Optimum Fixed Income Fund

Objective

Optimum Fixed Income Fund seeks a high level of income. The Fund may also seek growth of capital.

Strategy

Under normal circumstances, the Fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in fixed income securities (80% policy). This policy may be changed only upon 60 days’ prior notice to shareholders. The Fund focuses on securities issued or guaranteed by the US government or its agencies or instrumentalities, corporate debt securities, taxable and tax-exempt municipal securities, and mortgage-backed and asset-backed securities.

The Fund invests primarily in investment grade fixed income securities (that is, those rated BBB- or higher by Standard & Poor’s Financial Services LLC (S&P), Baa3 or higher by Moody’s Investors Service, Inc. (Moody’s), or similarly rated by another nationally recognized statistical rating organization (NRSRO), or, if unrated, those determined by Delaware Management Company (Manager) or a sub-advisor to be of comparable quality).

The Fund may also invest in high yield securities (commonly known as junk bonds) rated lower than BBB- by S&P, lower than Baa3 by Moody's, or similarly rated by another NRSRO, or, if unrated, determined by the Manager or the sub-advisor to be of comparable quality. The Fund may invest in securities denominated in foreign currencies and US dollar-denominated securities of foreign issuers. The Fund may also invest in banks loans and other floating-rate securities, preferred stocks, and structured product securities. In keeping with the Fund's investment objective, the Fund may also invest in futures, options, credit default swaps, and other derivatives instruments. The Fund may purchase individual securities of any maturity.

The Manager has selected Pacific Investment Management Company LLC (PIMCO) to serve as the Fund’s sub-advisor. The sub-advisor is responsible for the day-to-day investment management of the portion of the Fund’s assets that the Manager allocates to the sub-advisor. The Manager also is responsible for the day-to-day investment management of a portion of the Fund’s assets. Within their respective portions of the Fund assets, both the Manager and PIMCO each manage an intermediate-term fixed income strategy. In addition, the Manager invests a portion of the Fund's assets in its diversified floating-rate strategy, and PIMCO manages a portion of its Fund assets in its low duration strategy. The Manager may change the allocation between the Manager and sub-advisor and the various strategies noted herein at any time. The relative values of the Manager’s and sub-advisor’s share of the Fund’s assets also may change over time. The Manager and the sub-advisor each select investments for their respective portions of the Fund based on their own investment style and strategy as described below.

In managing its intermediate-term portion of the Fund’s assets, the Manager allocates investments principally among the following four sectors of the fixed income securities market: (1) the US investment grade sector; (2) the US high yield sector; (3) the international developed markets sector; and (4) the emerging markets sector. The Manager determines how much to allocate to each of these sectors based on its evaluation of economic and market conditions and its assessment of the returns and potential for appreciation that can be achieved from investments in each of the sectors.

In managing its diversified floating-rate portion of the Fund's assets, the Manager principally invests in a diversified group of floating-rate securities, including but not limited to, investment-grade corporate bonds, bank loans, high yield bonds, nonagency mortgage-backed securities, asset-backed securities, securities issued or guaranteed by the US government, municipal bonds, and securities of foreign issuers in both developed and emerging markets. These floating-rate securities generally pay interest at rates that adjust whenever a specified interest rate changes and/or is reset on predetermined dates (such as the last day of a month or calendar quarter). Derivatives instruments may also be utilized to effectively convert the fixed-rate interest payments from a group of certain Fund portfolio securities into floating-rate interest payments. Currently, the average duration of the Manager's diversified floating-rate portion of the Fund will generally not exceed one year. The average duration for the Manager's diversified floating-rate strategy will normally be lower than the Manager's intermediate-term strategy.

In selecting securities for both its intermediate-term and low duration portions of the Fund, PIMCO develops an outlook for interest rates, currency exchange rates and the economy; analyzes credit and call risks, and uses other security selection techniques. The proportion of the Fund’s assets committed to investment in securities with particular characteristics (such as quality, sector, interest rate or maturity) varies based on PIMCO’s outlook for the US economy and the economies of other countries in the world, the financial markets and other factors.

PIMCO attempts to identify areas of the bond market that are undervalued relative to the rest of the market. PIMCO identifies these areas by grouping bonds into sectors such as money markets, governments, corporates, mortgages, asset-backed and international. Sophisticated proprietary software then assists in evaluating sectors and pricing specific securities. Once investment opportunities are identified, PIMCO will shift assets among sectors depending upon changes in relative valuations and credit spreads. There is no guarantee that PIMCO’s security selection techniques will produce the desired results.

Although PIMCO utilizes the above investment philosophy and process across all of the assets it manages for the Fund, the low duration portion of the assets that PIMCO manages will normally have a lower average duration than its intermediate-term portion of the Fund. Currently, PIMCO's low duration portion of its Fund assets has an average duration which ranges from one to three years based on PIMCO's forecast for interest rates.

Duration is a measure used to determine the sensitivity of a security's price to changes in interest rates. The longer a security's duration, the more sensitive it will be to changes in interest rates. The shorter a security's duration, the less sensitive it will be to changes in interest rates.

In response to market, economic, political, or other conditions, the Manager or the sub-advisor may temporarily use a different investment strategy for defensive purposes. If the Manager or the sub-advisor does so, different factors could affect the Fund’s performance and the Fund may not achieve its investment objective. The Fund’s investment objective is nonfundamental and may be changed without shareholder approval. However, the Fund’s Board of Trustees must approve any changes to nonfundamental investment objectives, and the Fund's shareholders would be given at least 60 days' notice prior to any such change.

Fund information
Inception date	08/01/2003
Dividends paid (if any)	Annually
Capital gains paid (if any)	December

Fund identifiers
NASDAQ	OAFIX
CUSIP	246118681

Investment minimums
Initial investment	$1,000
Subsequent Investments	$100

Account features
Payroll Deduction	No
IRAs	Yes

The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted.

Total returns may reflect waivers and/or expense reimbursements by the manager and/or distributor for some or all of the periods shown. Performance would have been lower without such waivers and reimbursements.

Average annual total return

as of month-end (08/31/2017)

	YTD	1 year	3 year	5 year	10 year	Lifetime	Inception date
NAV (view definition)	4.42%	2.23%	1.98%	1.65%	4.64%	4.64%	08/01/2003
Max offer price	-0.31%	-2.32%	0.42%	0.72%	4.16%	4.30%
Bloomberg Barclays US Aggregate Index	3.64%	0.49%	2.64%	2.19%	4.40%	n/a

		1 year	3 year	5 year	10 year	Lifetime	Inception date
NAV (view definition)	1.60%	1.81%	1.73%	1.70%	4.60%	4.59%	08/01/2003
Max offer price	-2.95%	-2.77%	0.16%	0.78%	4.13%	4.25%
Bloomberg Barclays US Aggregate Index	1.45%	-0.31%	2.48%	2.21%	4.48%	n/a

Returns for less than one year are not annualized.

Performance at NAV assumes that no front-end sales charge applied. Performance at max offer price assumes that a front-end sales charge applied.

Class A shares have a maximum up-front sales charge of 4.50% and are subject to an annual distribution fee.

Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.

Expense ratio
Gross	1.11%
Net	1.11%

Performance characteristics - as of 08/31/2017
Annualized standard deviation, 3 years (view definition)	2.61
SEC 30-day yield with waiver (view definition)	2.49%
SEC 30-day yield without waiver (view definition)	2.49%

Quarterly total returns @ NAV
Year	1st quarter	2nd quarter	3rd quarter	4th quarter	Annual return
2017	1.30%	1.60%	n/a	n/a	n/a
2016	1.96%	1.81%	1.05%	-2.10%	2.69%
2015	1.78%	-1.65%	-0.42%	-0.49%	-0.81%
2014	1.81%	1.95%	-0.31%	0.74%	4.25%
2013	0.10%	-3.53%	0.21%	0.17%	-3.06%
2012	1.25%	2.59%	2.13%	0.56%	6.68%
2011	1.27%	1.96%	1.66%	1.68%	6.74%
2010	3.45%	2.85%	3.62%	-0.85%	9.32%
2009	1.31%	9.23%	9.75%	3.40%	25.58%
2008	0.11%	-1.04%	-3.11%	-5.10%	-8.91%
2007	1.91%	-0.30%	2.23%	1.71%	5.65%

Investment managers

Roger A. Early, CPA, CFA

Executive Director, Global Co-Head of Fixed Income — Macquarie Investment Management

Start date on the Fund: May 2007

Years of industry experience: 41

(View bio)

Paul Grillo, CFA

Senior Vice President, Chief Investment Officer of Total Return Strategies

Start date on the Fund: August 2003

Years of industry experience: 36

(View bio)

Adam H. Brown, CFA

Senior Vice President, Senior Portfolio Manager, Co-Head of High Yield — Macquarie Investment Management, Americas

Start date on the Fund: January 2016

Years of industry experience: 19

(View bio)

Wen-Dar Chen, Ph.D.

Senior Vice President, Senior Portfolio Manager and Analyst

Start date on the Fund: May 2007

Years of industry experience: 31

(View bio)

David Hillmeyer, CFA

Senior Vice President, Senior Portfolio Manager

Start date on the Fund: April 2011

Years of industry experience: 24

(View bio)

John P. McCarthy, CFA

Senior Vice President, Senior Portfolio Manager, Co-Head of High Yield — Macquarie Investment Management, Americas

Start date on the Fund: July 2016

Years of industry experience: 30

(View bio)

Brian C. McDonnell, CFA

Senior Vice President, Senior Portfolio Manager, Senior Structured Products Analyst

Start date on the Fund: February 2015

Years of industry experience: 28

(View bio)

Sub-advisor

Pacific Investment Management Company, LLC (PIMCO)

Jerome M. Schneider

Managing Director (Newport Beach) and Portfolio Manager

Start date on the Fund: January 2015

Jerome M. Schneider shares primary responsibility for the day-to-day management of PIMCO’s share of the Fund’s assets. He is a managing director in the Newport Beach office and head of the short-term and funding desk. Morningstar named him Fixed-Income Manager of the Year (US) for 2015. Prior to joining PIMCO in 2008, Schneider was a senior managing director with Bear Stearns. There he most recently specialized in credit and mortgage-related funding transactions and helped develop one of the first "repo" conduit financing companies. Additionally, during his tenure at Bear Stearns he held various positions on the municipal and fixed income derivatives trading desks. Schneider has 21 years of investment experience and holds an undergraduate degree in economics and international relations from the University of Pennsylvania and an MBA from the Stern School of Business at New York University.

Marc P. Seidner

CIO Non-traditional Strategies, Managing Director, and Head of Portfolio Management (NY Office)

Start date on the Fund: January 2015

Marc P. Seidner shares primary responsibility for the day-to-day management of PIMCO’s share of the Fund’s assets. He is also a generalist portfolio manager and a member of the Investment Committee. Seidner rejoined PIMCO in November 2014 after serving as head of fixed income at GMO LLC. Previously, he was a PIMCO managing director, generalist portfolio manager and member of the Investment Committee until January 2014. Prior to joining PIMCO in 2009, he was a managing director and domestic fixed income portfolio manager at Harvard Management Company. Previously, Seidner was director of active core strategies at Standish Mellon Asset Management and a senior portfolio manager at Fidelity Management and Research. He has 30 years of investment experience and holds an undergraduate degree in economics from Boston College.

In addition, PIMCO has an Investment Committee, which oversees the setting of investment policy decisions, including duration positioning, yield curve management, sector rotation, credit quality and overall portfolio composition, for all PIMCO portfolios and strategies, including PIMCO’s share of the Fund’s assets.

You may qualify for sales-charge discounts if you and your family invest, or agree to invest in the future, at least $100,000 in Optimum Funds. More information about these and other discounts is available from your financial intermediary, in the Fund's prospectus under the section entitled "About your account," and in the Fund's statement of additional information (SAI) under the section entitled "Purchasing Shares."

The table below describes the fees and expenses that you may pay if you buy and hold shares of the Fund.

Shareholder fees
Maximum sales charge (load) imposed on purchases as a percentage of offering price	4.50%
Maximum contingent deferred sales charge (load) as a percentage of original purchase price or redemption price, whichever is lower	none

Annual fund operating expenses
Management fees	0.52%
Distribution and service (12b-1) fees	0.25%
Other expenses	0.34%
Total annual fund operating expenses	1.11%
Fee waivers and expense reimbursements	none
Total annual fund operating expenses after fee waivers and expense reimbursements	1.11%

¹Management fees have been restated to reflect current fees.

²The Fund’s investment manager, Delaware Management Company (Manager), has contractually agreed to waive all or a portion of its investment advisory fees and/or pay reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) in order to prevent total annual fund operating expenses from exceeding 0.86% of the Fund’s average daily net assets from July 29, 2017 through July 30, 2018. These waivers and reimbursements may only be terminated by agreement of the Manager and the Fund.

The chart below lists the percentage of the Fund's total assets under management that each sub-advisor manages on behalf of the Fund. The percentages include securities, cash, and any other assets managed by each sub-advisor in its sleeve of the Fund. These percentage allocations should be updated some time after 30 days following a given month end.

Date	Delaware Management Company		PIMCO		Total
Strategy	Multisector	Floating-rate multisector	Total return	Low duration
08/31/2016	45.94%	5.42%	43.98%	4.66%	100%
09/30/2016	45.91%	5.40%	44.03%	4.66%	100%
10/31/2016	45.86%	5.38%	44.08%	4.69%	100%
11/30/2016	45.87%	5.43%	43.93%	4.77%	100%
12/30/2016	45.94%	5.36%	43.95%	4.75%	100%
01/31/2017	46.05%	5.28%	43.94%	4.73%	100%
02/28/2017	46.17%	5.19%	43.94%	4.70%	100%
03/31/2017	46.21%	5.13%	43.96%	4.70%	100%
04/28/2017	46.30%	5.07%	43.96%	4.67%	100%
05/31/2017	46.33%	5.03%	44.00%	4.64%	100%
06/30/2017	46.37%	5.05%	43.93%	4.65%	100%
07/31/2017	46.45%	5.04%	43.89%	4.62%	100%

Total may not equal 100% due to rounding.

Carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus, which may be obtained by visiting optimummutualfunds.com/literature or calling 800 914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing.

Investing involves risk, including the possible loss of principal.

Mortgage-backed securities may experience increased prepayments on the underlying mortgages if rates decline, which may require the Fund to reinvest in lower yielding securities.

Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise. They also may be affected by economic conditions that hinder an issuer’s ability to make interest and principal payments on its debt.

The Fund may also be subject to prepayment risk, the risk that the principal of a fixed income security that is held by the Fund may be prepaid prior to maturity, potentially forcing the Fund to reinvest that money at a lower interest rate.

High yielding, non-investment-grade bonds (junk bonds) involve higher risk than investment grade bonds.

Securities in the lowest of the rating categories considered to be investment grade (that is, Baa or BBB) have some speculative characteristics.

International investments entail risks not ordinarily associated with US investments including fluctuation in currency values, differences in accounting principles, or economic or political instability in other nations.

Diversification may not protect against market risk.

The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivatives transaction depends upon the counterparties’ ability to fulfill their contractual obligations.

All third-party marks cited are the property of their respective owners.

Not FDIC Insured | No Bank Guarantee | May Lose Value

Fund Finder

Daily pricing (as of 09/18/2017)

Class A	Price	Net change
NAV	$9.66	-0.01
Max offer price	$10.12	n/a

Total net assets (as of 08/31/2017)

$1.9 billion all share classes

Lipper ranking (as of 08/31/2017)

YTD ranking	111 / 256
1 year	111 / 245
3 years	168 / 205
5 years	169 / 182
10 years	68 / 103
Lipper classification	Core Plus Bond Funds

(View Lipper disclosure)

Literature

Fact sheet and commentary

Prospectuses and reports

Holdings

View full list of quarterly holdings

Portfolio holdings are as of the date noted below and are subject to change at any time. Holdings may not be representative of current or future investments and may not include the entire investment portfolio. Holdings information is made available to the public 30 calendar days after the most recent quarter-end.

Holdings data is for informational purposes only, and is not intended as a recommendation, offer, or solicitation for the purchase or sale of any specific security. By accessing the portfolio holdings, you agree not to reproduce, distribute or disseminate the portfolio holdings, in whole or part. In no event shall the Optimum Fund Trust have any liability relating to the use of the portfolio holdings.

Unlike the Fund's regulatory filings, the portfolio data and its presentation in this document is not required to conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation requirements. Therefore, it may differ from that provided in the complete portfolio of investments in the annual and semiannual report to shareholders filed with the SEC on Form N-CSR, and the complete portfolio of investments filed in the first and third quarter on Form N-Q.

Quarterly holdings as of 06/30/2017 (all share classes)

SEC description	# Holdings	Portfolio %	Market value	Income rate	Maturity date	Nasdaq symbol/Rating
1011778 BC ULC New Red Finance Inc. 4.250 5/15/2024	305,000.00	0.01	$303,837.95	4.250	05/15/2024	BCULC
21st Century Fox America Inc. 4.500 2/15/2021	155,000.00	0.00	$166,222.62	4.500	02/15/2021	FOXA
90DAY EURO$ FUTR DEC18	-1,002.00	-12.93	-$245,991,000.00	0.000	12/18/2018	EDZ8
90DAY EURO$ FUTR Jun18	-235.00	-3.04	-$57,789,437.50	0.000	06/19/2018	EDM8
90DAY EURO$ FUTR JUN19	-1,193.00	-15.38	-$292,538,512.50	0.000	06/18/2019	EDM9
90DAY EURO$ FUTR Sep18	-39.00	-0.51	-$9,583,275.00	0.000	09/18/2018	EDU8
A P MOLLER - MAERSK A S 2.875 9/28/2020	200,000.00	0.01	$204,013.60	2.875	09/28/2020	MAERSK
A Schulman Inc. 6.000 12/31/2049	308.00	0.01	$267,812.16	60.000	12/31/2049	SHLM
Abbott Laboratories 2.900 11/30/2021	475,000.00	0.02	$480,003.65	2.900	11/30/2021	ABT
Abbott Laboratories 4.900 11/30/2046	1,260,000.00	0.07	$1,398,169.08	4.900	11/30/2046	ABT
AbbVie Inc. 2.850 5/14/2023	1,400,000.00	0.07	$1,398,559.40	2.850	05/14/2023	ABBV
ABFC 2006-HE1 A2D	410,532.26	0.01	$276,495.61	1.436	01/25/2037	ABFC
ACASC 2014-1A AR	2,500,000.00	0.13	$2,508,472.50	2.408	07/18/2026	ACASC
Accudyne Industries Borrower SCA 4.000 12/13/2019	1,119,259.44	0.05	$1,112,264.07	4.000	12/13/2019	SILIIA
ACTAVIS FUNDING SCS 2.350 3/12/2018	500,000.00	0.02	$502,179.50	2.350	03/12/2018	AGN
Actavis Funding SCS 3.450 3/15/2022	1,000,000.00	0.05	$1,031,785.00	3.450	03/15/2022	AGN
Advanced Disposal Services Inc. 5.625 11/15/2024	80,000.00	0.00	$82,600.00	5.625	11/15/2024	ADSWST
AEPTC 2006-A A4	156,803.47	0.00	$158,249.72	5.170	01/01/2018	AEPTC
AerCap 3.000 10/30/2022	496,000.00	0.02	$498,893.17	3.000	10/30/2022	AER
AerCap Global Aviation Trust 6.500 6/15/2045	1,785,000.00	0.10	$1,905,487.50	6.500	06/15/2045	AER
AerCap Ireland Capital DAC AerCap Global Aviation Trust 3.950 2/1/2022	1,685,000.00	0.09	$1,756,005.90	3.950	02/01/2022	AER
AerCap Ireland Capital DAC AerCap Global Aviation Trust 4.625 10/30/2020	1,150,000.00	0.06	$1,223,026.15	4.625	10/30/2020	AER
Aerojet Rocketdyne Holdings Inc. 2.250 12/15/2023	100,000.00	0.00	$106,000.00	2.250	12/15/2023	AJRD
AES Andres BV Dominican Power Partners Empresa Generadora de Electricidad It 7.950 5/11/2026	500,000.00	0.02	$544,240.00	7.950	05/11/2026	AES
AES Corp. VA 5.500 4/15/2025	760,000.00	0.04	$798,950.00	5.500	04/15/2025	AES
AES Gener S.A. 5.250 8/15/2021	40,000.00	0.00	$43,067.68	5.250	08/15/2021	AESGEN
AES Gener S.A. 8.375 12/18/2073	796,000.00	0.04	$855,700.00	8.375	12/18/2073	AESGEN
AESOP 2013-1A A	700,000.00	0.03	$699,674.64	1.920	09/20/2019	AESOP
AESOP 2014-1A A	665,000.00	0.03	$666,764.31	2.460	07/20/2020	AESOP
Affiliated Managers Group Inc. 3.500 8/1/2025	730,000.00	0.03	$729,166.34	3.500	08/01/2025	AMG
Air Canada 2015-1 Class A Pass Through Trust 3.600 3/15/2027	542,949.07	0.02	$552,450.68	3.600	03/15/2027	ACACN
Air Lease Corp. 3.000 9/15/2023	985,000.00	0.05	$980,569.47	3.000	09/15/2023	AL
AIR LEASE CORP. 3.375 6/1/2021	1,600,000.00	0.08	$1,643,816.00	3.375	06/01/2021	AL
Air Lease Corp. 3.625 4/1/2027	715,000.00	0.03	$716,603.03	3.625	04/01/2027	AL
Air Medical Group Holdings Inc. 4.500 4/1/2022	1,204,137.25	0.06	$1,184,118.48	4.500	04/01/2022	AIMEGR
Air Medical Group Holdings Inc. 5.200 4/28/2022	225,000.00	0.01	$224,409.38	5.200	04/28/2022	AIMEGR
Air Medical Group Holdings Inc. 6.375 5/15/2023	110,000.00	0.00	$104,775.00	6.375	05/15/2023	AIMEGR
Akbank TAS 7.200 3/16/2027	840,000.00	0.04	$874,062.00	7.240	03/16/2027	AKBNK
Alaska Communications Systems Group Inc. 6.250 5/1/2018	216,000.00	0.01	$225,180.00	6.250	05/01/2018	ALSK
Albertsons Cos LLC Safeway Inc. New Albertson's Inc. Albertson's LLC 5.750 3/15/2025	720,000.00	0.03	$671,400.00	5.750	03/15/2025	ALBLLC
Albertsons Cos LLC Safeway Inc. New Albertson's Inc. Albertson's LLC 6.625 6/15/2024	70,000.00	0.00	$69,650.00	6.625	06/15/2024	ALBLLC
Albertsons LLC 3.750 8/23/2021	1,191,607.52	0.06	$1,194,961.89	4.050	08/23/2021	ALBLLC
Albertsons LLC 4.050 8/25/2021	100,000.00	0.00	$99,375.00	4.050	08/25/2021	ALBLLC
Allison Transmission Inc. 5.000 10/1/2024	275,000.00	0.01	$282,562.50	5.000	10/01/2024	ALSN
Allstate Corp. 3.280 12/15/2026	305,000.00	0.01	$310,197.81	3.280	12/15/2026	ALL
Ally Financial Inc. 4.125 3/30/2020	200,000.00	0.01	$206,000.00	4.125	03/30/2020	ALLY
Ally Financial Inc. 4.750 9/10/2018	200,000.00	0.01	$206,000.00	4.750	09/10/2018	ALLY
Ally Financial Inc. 5.750 11/20/2025	445,000.00	0.02	$470,031.25	5.750	11/20/2025	ALLY
Alpha 3 BV 4.000 1/31/2024	200,000.00	0.01	$200,850.00	4.000	01/31/2024	ALPTHR
Alta Mesa Holdings LP Alta Mesa Finance Services Corp. 7.875 12/15/2024	80,000.00	0.00	$81,000.00	7.875	12/15/2024	ALTMES
Amaya Holdings BV 4.500 8/1/2021	1,411,768.03	0.07	$1,416,082.40	4.500	08/01/2021	AYACN
Amaya Holdings BV 8.000 7/29/2022	165,000.00	0.00	$166,211.76	8.000	07/29/2022	AYACN
Ameren Corp. 3.650 2/15/2026	410,000.00	0.02	$419,380.39	3.650	02/15/2026	AEE
Ameren Illinois Co. 9.750 11/15/2018	2,110,000.00	0.12	$2,332,305.38	9.750	11/15/2018	AEE
AMERICAN AIRLINE 3.000 10/15/2028	1,300,000.00	0.06	$1,277,250.00	3.000	10/15/2028	AAL
American Airlines 2011-1 Class A Pass Through Trust 5.250 1/31/2021	330,311.24	0.01	$349,304.14	5.250	01/31/2021	AAL
American Airlines 2014-1 Class A Pass Through Trust 3.700 10/1/2026	403,180.05	0.02	$413,259.55	3.700	10/01/2026	AAL
American Airlines 2015-1 Class A Pass Through Trust 3.375 5/1/2027	338,971.83	0.01	$341,514.12	3.375	05/01/2027	AAL
American Airlines 2015-2 Class AA Pass Through Trust 3.600 9/22/2027	233,402.42	0.01	$238,934.06	3.600	09/22/2027	AAL
American Airlines 2016-1 Class AA Pass Through Trust 3.575 1/15/2028	472,733.77	0.02	$484,788.48	3.575	01/15/2028	AAL
American Airlines Inc. 3.250 12/14/2023	1,401,750.97	0.07	$1,405,936.61	3.250	12/14/2023	AAL
American Express Co. 7.000 3/19/2018	6,600,000.00	0.35	$6,846,602.40	7.000	03/19/2018	AXP
AMERICAN MUNI PWR-OHIO INC OH 8.084 2/15/2050	1,500,000.00	0.12	$2,396,940.00	8.084	02/15/2050	AMEPWR
American Tire Distributors Inc. 10.250 3/1/2022	60,000.00	0.00	$62,400.00	10.250	03/01/2022	ATD
American Tire Distributors Inc. 5.250 9/20/2021	235,000.00	0.01	$235,671.40	5.250	09/20/2021	ATD
American Tower Corp. 2.250 1/15/2022	225,000.00	0.01	$219,601.58	2.250	01/15/2022	AMT
American Tower Corp. 4.000 6/1/2025	1,440,000.00	0.07	$1,494,139.69	4.000	06/01/2025	AMT
American Tower Corp. 4.400 2/15/2026	525,000.00	0.02	$551,352.90	4.400	02/15/2026	AMT
AMERICAN TOWER CORP. 5.050 9/1/2020	500,000.00	0.02	$538,931.50	5.050	09/01/2020	AMT
American Tower Corp. 5.500 2/15/2018	926.00	0.00	$112,258.98	5.500	02/15/2018	AMT
American Tower Trust #1 3.070 3/15/2023	1,285,000.00	0.06	$1,296,611.52	3.070	03/15/2023	AMT
American Transmission Systems Inc. 5.250 1/15/2022	2,445,000.00	0.14	$2,697,385.13	5.250	01/15/2022	FE
AmeriGas Partners LP AmeriGas Finance Corp. 5.875 8/20/2026	825,000.00	0.04	$849,750.00	5.875	08/20/2026	APU
AMG Capital Trust II 5.150 10/15/2037	7,759.00	0.02	$460,690.63	2.575	10/15/2037	AMG
Amgen Inc. 4.000 9/13/2029	216,000.00	0.01	$318,796.62	4.000	09/13/2029	AMGN
AMMC 2013-13A A1LR	1,500,000.00	0.07	$1,500,000.00	n/a	07/24/2029	AMMC
AMMC 2015-16A AR	145,000.00	0.00	$144,927.07	2.208	04/14/2029	AMMC
AMXCA 2012-4 A	205,000.00	0.01	$205,121.85	1.399	05/15/2020	AMXCA
AMXCA 2013-1 A	500,000.00	0.02	$501,835.70	1.579	02/16/2021	AMXCA
AMXCA 2013-2 A	530,000.00	0.02	$532,159.64	1.579	05/17/2021	AMXCA
Anadarko Petroleum Corp. 5.550 3/15/2026	710,000.00	0.04	$794,854.94	5.550	03/15/2026	APC
Anadarko Petroleum Corp. 6.600 3/15/2046	1,875,000.00	0.12	$2,323,475.63	6.600	03/15/2046	APC
ANCHC 2015-6A A1	435,000.00	0.02	$435,000.00	2.698	04/15/2027	ANCHC
Anheuser-Busch InBev Finance Inc. 1.570 2/1/2019	340,000.00	0.01	$340,694.62	1.570	02/01/2019	ABIBB
Anheuser-Busch InBev Finance Inc. 2.650 2/1/2021	900,000.00	0.04	$912,747.60	2.650	02/01/2021	ABIBB
Anheuser-Busch InBev Finance Inc. 3.650 2/1/2026	5,310,000.00	0.28	$5,481,051.03	3.650	02/01/2026	ABIBB
Anheuser-Busch InBev Worldwide Inc. 5.375 1/15/2020	1,000,000.00	0.05	$1,083,351.00	5.375	01/15/2020	ABIBB
Antero Resources Corp. 5.625 6/1/2023	90,000.00	0.00	$91,575.00	5.625	06/01/2023	AR
ANZ New Zealand Int'l Ltd. London 2.600 9/23/2019	200,000.00	0.01	$201,593.80	2.600	09/23/2019	ANZNZ
Apple Inc. 1.532 5/11/2022	1,040,000.00	0.05	$1,043,478.80	1.521	05/11/2022	AAPL
Apple Inc. 1.680 2/9/2022	180,000.00	0.00	$181,947.42	1.680	02/09/2022	AAPL
Apple Inc. 3.200 5/11/2027	1,720,000.00	0.09	$1,738,460.76	3.200	05/11/2027	AAPL
Applied Systems Inc. 7.500 1/15/2022	2,276,655.39	0.12	$2,301,318.40	7.500	01/15/2022	APPSYS
Aramark Services Inc. 4.750 6/1/2026	895,000.00	0.04	$930,800.00	4.750	06/01/2026	ARMK
ArcelorMittal 6.125 6/1/2025	320,000.00	0.01	$360,000.00	6.125	06/01/2025	MTNA
Ardagh Packaging Finance PLC Ardagh Holdings USA Inc. 6.000 2/15/2025	405,000.00	0.02	$426,262.50	6.000	02/15/2025	ARGID
Ardagh Packaging Finance PLC Ardagh Holdings USA Inc. 7.250 5/15/2024	200,000.00	0.01	$219,500.00	7.250	05/15/2024	ARGID
Ares Capital Corp. 3.750 2/1/2022	102,000.00	0.00	$102,765.00	3.750	02/01/2022	ARCC
Argentine Bonos del Tesoro 15.500 10/17/2026	13,355,000.00	0.04	$927,988.51	15.500	10/17/2026	ARGTES
Argentine Bonos del Tesoro 16.000 10/17/2023	11,667,000.00	0.04	$781,215.92	16.000	10/17/2023	ARGTES
Argentine Bonos del Tesoro 22.750 3/5/2018	43,185,000.00	0.14	$2,818,898.15	22.750	03/05/2018	ARGTES
Argentine Republic Government International Bond 5.625 1/26/2022	930,000.00	0.05	$954,645.00	5.625	01/26/2022	ARGENT
Argentine Republic Government International Bond 7.125 6/28/2117	755,000.00	0.03	$686,295.00	7.125	06/28/2117	ARGENT
Argentine Republic Government International Bond 7.125 7/6/2036	300,000.00	0.01	$298,050.00	7.125	07/06/2036	ARGENT
ARMT 2004-5 3A1	624,143.71	0.03	$626,307.74	3.669	04/25/2035	ARMT
ARMT 2005-10 3A31	325,802.09	0.01	$302,759.18	3.123	01/25/2036	ARMT
ARMT 2006-2 1A4	1,143,082.78	0.05	$1,054,985.28	3.355	05/25/2036	ARMT
ARSI 2003-W9 M1	280,251.59	0.01	$272,628.24	2.251	01/25/2034	ARSI
ARSI 2006-M1 A2C	1,351,020.50	0.03	$585,858.56	1.366	07/25/2036	ARSI
ARSI 2006-W4 A2C	702,841.26	0.01	$242,531.61	1.376	05/25/2036	ARSI
Asian Development Bank 3.500 5/30/2024	921,000.00	0.03	$671,248.09	3.500	05/30/2024	ASIA
ASP AMC Merger Sub Inc. 4.500 4/13/2024	293,357.01	0.01	$290,790.14	4.500	04/13/2024	AIRM
AT&T Inc. 2.023 7/15/2021	700,000.00	0.03	$707,658.00	2.023	07/15/2021	T
AT&T Inc. 2.226 6/30/2020	810,000.00	0.04	$820,954.44	2.226	06/30/2020	T
AT&T Inc. 2.800 2/17/2021	2,200,000.00	0.11	$2,225,011.80	2.800	02/17/2021	T
AT&T Inc. 3.200 3/1/2022	100,000.00	0.00	$101,316.30	3.200	03/01/2022	T
AT&T Inc. 3.800 3/1/2024	100,000.00	0.00	$102,609.00	3.800	03/01/2024	T
AT&T Inc. 4.250 3/1/2027	5,080,000.00	0.27	$5,262,300.88	4.250	03/01/2027	T
AT&T Inc. 5.250 3/1/2037	790,000.00	0.04	$845,144.37	5.250	03/01/2037	T
ATCLO 2014-6A AR	2,500,000.00	0.13	$2,500,132.50	2.408	10/15/2026	ATCLO
Athene Global Funding 2.529 7/1/2022	600,000.00	0.03	$603,565.80	2.529	07/01/2022	ATHGLO
ATI Holdings Acquisition Inc. 5.500 5/6/2023	856,883.46	0.04	$865,452.29	5.500	05/06/2023	ATIHLD
AUD USD FWD 20170705 0.000 7/5/2017	523,000.00	0.02	$401,955.39	0.000	07/05/2017	AUA070517
AUD USD FWD 20170705 0.000 7/5/2017	-523,000.00	-0.03	-$401,955.39	0.000	07/05/2017	AUJ070517
AUD USD FWD 20170802 0.000 8/2/2017	-2,991,000.00	-0.13	-$2,297,820.77	0.000	08/02/2017	AUA080217
AUD/USD BNP 07/21/17	-1,381,816.82	-0.06	-$1,061,754.37	0.000	07/21/2017	ADUSI7217
AUD/USD BOA 07/21/17	-3,039,665.22	-0.13	-$2,335,604.68	0.000	07/21/2017	ADUSF7217
AUSTRALIAN DOLLAR	517,903.32	0.02	$398,060.50	0.000	-	AUD
Autonomous Community of Catalonia 4.900 9/15/2021	1,800,000.00	0.11	$2,180,866.90	4.900	09/15/2021	GENCAT
Autonomous Community of Catalonia 4.950 2/11/2020	1,100,000.00	0.07	$1,348,327.15	4.950	02/11/2020	GENCAT
AVERY 2015-6A A	250,000.00	0.01	$250,658.50	2.621	08/05/2027	AVERY
Aviation Capital Group Corp. 2.875 1/20/2022	1,540,000.00	0.08	$1,536,016.03	2.875	01/20/2022	PACLIF
Aviation Capital Group Corp. 2.875 9/17/2018	300,000.00	0.01	$302,977.50	2.875	09/17/2018	PACLIF
Aviation Capital Group Corp. 4.875 10/1/2025	1,090,000.00	0.06	$1,189,133.32	4.875	10/01/2025	PACLIF
Aviation Capital Group Corp. 6.750 4/6/2021	500,000.00	0.02	$567,850.50	6.750	04/06/2021	PACLIF
Avis Budget Car Rental LLC Avis Budget Finance Inc. 6.375 4/1/2024	320,000.00	0.01	$320,800.00	6.375	04/01/2024	CAR
Avolon TLB Borrower 1 US LLC 3.500 1/20/2022	485,000.00	0.02	$489,852.91	3.500	01/20/2022	AVOL
BACCT 2014-A3 A	1,120,000.00	0.05	$1,120,372.29	1.449	01/15/2020	BACCT
BACCT 2015-A1 A	205,000.00	0.01	$205,326.85	1.489	06/15/2020	BACCT
BACM 2007-4 AM	165,671.33	0.00	$165,725.97	6.158	02/10/2051	BACM
BACM 2017-BNK3 C	325,000.00	0.01	$331,700.43	4.352	02/15/2050	BACM
BAFC 2005-E 7A1	222,940.65	0.00	$175,835.61	2.075	06/20/2035	BAFC
BAFC 2006-I 1A1	388,846.00	0.02	$391,670.38	3.166	12/20/2036	BAFC
Bahrain Government International Bond 7.000 10/12/2028	800,000.00	0.04	$811,771.20	7.000	10/12/2028	BHRAIN
Ball Corp. 5.250 7/1/2025	725,000.00	0.04	$802,937.50	5.250	07/01/2025	BLL
BAMLL 2015-ASHF A	900,000.00	0.04	$902,963.16	2.379	01/15/2028	BAMLL
Banco Bilbao Vizcaya Argentaria S.A. 6.750 12/29/2049	400,000.00	0.02	$473,706.71	6.750	12/29/2049	BBVASM
Banco Nacional de Costa Rica 5.875 4/25/2021	840,000.00	0.04	$883,092.00	5.875	04/25/2021	BNALCR
Banco Nacional de Desenvolvimento Economico e Social 4.750 5/9/2024	675,000.00	0.03	$661,500.00	4.750	05/09/2024	BNDES
Banco Nacional de Desenvolvimento Economico e Social 6.369 6/16/2018	1,500,000.00	0.08	$1,556,400.00	6.369	06/16/2018	BNDES
Banco Nacional de Desenvolvimento Economico e Social 6.500 6/10/2019	2,500,000.00	0.14	$2,665,650.00	6.500	06/10/2019	BNDES
Banco Santander S.A. 4.250 4/11/2027	200,000.00	0.01	$208,004.40	4.250	04/11/2027	SANTAN
BANK 2017-BNK5 A5	880,000.00	0.04	$894,609.38	3.390	06/15/2060	BANK
BANK 2017-BNK5 B	605,000.00	0.03	$616,438.28	3.896	06/15/2060	BANK
Bank Nederlandse Gemeenten NV 3.500 7/19/2027	292,000.00	0.01	$225,122.22	3.500	07/19/2027	BNG
Bank of America Corp. 2.153 4/24/2023	1,120,000.00	0.05	$1,124,876.48	2.156	04/24/2023	BAC
Bank of America Corp. 2.600 1/15/2019	1,200,000.00	0.06	$1,211,788.80	2.600	01/15/2019	BAC
Bank of America Corp. 2.625 4/19/2021	2,300,000.00	0.12	$2,312,056.60	2.625	04/19/2021	BAC
Bank of America Corp. 3.300 1/11/2023	716,000.00	0.03	$730,561.29	3.300	01/11/2023	BAC
Bank of America Corp. 3.300 8/5/2021	240,000.00	0.00	$184,933.09	3.300	08/05/2021	BAC
Bank of America Corp. 3.705 4/24/2028	1,105,000.00	0.05	$1,114,700.80	3.705	04/24/2028	BAC
Bank of America Corp. 4.183 11/25/2027	4,790,000.00	0.25	$4,881,752.46	4.183	11/25/2027	BAC
Bank of America Corp. 4.443 1/20/2048	1,275,000.00	0.07	$1,355,595.30	4.443	01/20/2048	BAC
Bank of America Corp. 5.650 5/1/2018	3,300,000.00	0.17	$3,404,346.00	5.650	05/01/2018	BAC
Bank of America Corp. 5.750 12/1/2017	700,000.00	0.03	$711,926.60	5.750	12/01/2017	BAC
Bank of America Corp. 6.000 9/1/2017	3,200,000.00	0.16	$3,222,144.00	6.000	09/01/2017	BAC
Bank of America Corp. 6.400 8/28/2017	1,000,000.00	0.05	$1,007,140.00	6.400	08/28/2017	BAC
Bank of America Corp. 6.500 10/29/2049	1,150,000.00	0.06	$1,280,157.00	0.000	10/29/2049	BAC
Bank of America Corp. 6.875 4/25/2018	5,025,000.00	0.27	$5,230,231.05	6.875	04/25/2018	BAC
Bank of America Corp. 7.250 12/31/2049	229.00	0.01	$288,995.71	72.500	12/31/2049	BAC
Bank of America Corp. 7.625 6/1/2019	800,000.00	0.04	$882,988.00	7.625	06/01/2019	BAC
Bank of New York Mellon Corp. 2.150 2/24/2020	1,960,000.00	0.10	$1,971,901.12	2.150	02/24/2020	BK
Bank of New York Mellon Corp. 2.200 8/16/2023	810,000.00	0.04	$785,953.53	2.200	08/16/2023	BK
Bank of New York Mellon Corp. 2.222 10/30/2023	840,000.00	0.04	$859,540.08	2.222	10/30/2023	BK
Bank of New York Mellon Corp. 2.500 4/15/2021	180,000.00	0.00	$181,507.86	2.500	04/15/2021	BK
Bank of New York Mellon Corp. 3.442 2/7/2028	1,165,000.00	0.06	$1,183,789.12	3.442	02/07/2028	BK
Bank of New York Mellon Corp. 4.625 12/29/2049	1,365,000.00	0.07	$1,380,151.50	4.625	12/29/2049	BK
BANK OF NOVA SCOTIA 1.875 4/26/2021	4,500,000.00	0.23	$4,458,735.00	1.875	04/26/2021	BNS
BANK OF TOKYO MITSUBISHI 2.450 10/16/2019	500,000.00	0.02	$503,427.50	2.450	10/16/2019	MUFG
BANK OF TOKYO MITSUBISHI 2.650 10/19/2020	500,000.00	0.02	$503,375.00	2.650	10/19/2020	MUFG
BANQUE FED CRED MUTUEL 2.000 4/12/2019	500,000.00	0.02	$500,092.50	2.000	04/12/2019	BFCM
BARCLAYS BANK PLC 6.050 12/4/2017	300,000.00	0.01	$305,214.60	6.050	12/04/2017	BACR
Barclays Bank PLC 7.625 11/21/2022	1,800,000.00	0.10	$2,062,125.00	7.625	11/21/2022	BACR
Barclays Bank PLC NY 1.949 11/6/2017	3,000,000.00	0.15	$3,006,810.00	1.949	11/06/2017	BACR
BARCLAYS PLC 2.000 3/16/2018	1,000,000.00	0.05	$1,001,767.00	2.000	03/16/2018	BACR
Barclays PLC 4.337 1/10/2028	535,000.00	0.02	$551,854.64	4.337	01/10/2028	BACR
Barclays PLC 4.836 5/9/2028	795,000.00	0.04	$813,754.85	4.836	05/09/2028	BACR
BARCLAYS PLC 6.500 6/15/2049	400,000.00	0.02	$473,135.64	6.500	06/15/2049	BACR
Barclays PLC 8.250 12/29/2049	1,775,000.00	0.09	$1,885,937.50	8.250	12/29/2049	BACR
Barrick North America Finance LLC 5.750 5/1/2043	670,000.00	0.04	$817,245.90	5.750	05/01/2043	ABXCN
BAT INTL FINANCE PLC 2.750 6/15/2020	700,000.00	0.03	$709,589.30	2.750	06/15/2020	BATSLN
Bay Area Toll Authority 6.907 10/1/2050	905,000.00	0.07	$1,371,409.85	6.907	10/01/2050	BAYTRN
Bayer US Finance LLC 1.579 10/6/2017	295,000.00	0.01	$295,061.66	1.430	10/06/2017	BAYNGR
BB&T Corp. 1.830 2/1/2019	750,000.00	0.03	$755,475.75	1.830	02/01/2019	BBT
BB&T Corp. 2.106 6/15/2018	65,000.00	0.00	$65,401.44	2.106	06/15/2018	BBT
BB&T Corp. 2.450 1/15/2020	670,000.00	0.03	$677,680.88	2.450	01/15/2020	BBT
BBCMS 2015-RRI A	4,877,359.22	0.25	$4,878,893.15	2.409	05/15/2032	BBCMS
BBCMS 2015-STP A	4,482,540.75	0.24	$4,610,643.70	3.323	09/10/2028	BBCMS
BBVA Bancomer S.A. Texas 6.500 3/10/2021	955,000.00	0.05	$1,056,468.75	6.500	03/10/2021	BBVASM
BBVA Bancomer S.A. Texas 7.250 4/22/2020	100,000.00	0.00	$109,875.00	7.250	04/22/2020	BBVASM
Bear Stearns Cos LLC 6.400 10/2/2017	700,000.00	0.03	$708,099.70	6.400	10/02/2017	JPM
Bear Stearns Cos LLC 7.250 2/1/2018	2,000,000.00	0.10	$2,062,930.00	7.250	02/01/2018	JPM
Becle SAB de CV 3.750 5/13/2025	1,815,000.00	0.09	$1,814,990.02	3.750	05/13/2025	JBYCMX
Becton Dickinson and Co. 2.894 6/6/2022	1,085,000.00	0.05	$1,087,568.20	2.894	06/06/2022	BDX
Becton Dickinson and Co. 3.363 6/6/2024	595,000.00	0.03	$597,046.80	3.363	06/06/2024	BDX
Becton Dickinson and Co. 6.125 5/1/2020	3,652.00	0.01	$200,056.56	3.063	05/01/2020	BDX
Bell Canada Inc. 3.350 3/22/2023	219,000.00	0.00	$176,133.89	3.350	03/22/2023	BCECN
Berkshire Hathaway Energy Co. 3.750 11/15/2023	1,235,000.00	0.06	$1,300,688.42	3.750	11/15/2023	BRKHEC
Berkshire Hathaway Finance Corp. 2.900 10/15/2020	885,000.00	0.04	$913,719.14	2.900	10/15/2020	BRK
Berkshire Hathaway Inc. 2.750 3/15/2023	600,000.00	0.03	$608,337.60	2.750	03/15/2023	BRK
Bermuda Government International Bond 3.717 1/25/2027	800,000.00	0.04	$807,064.00	3.717	01/25/2027	BERMUD
BGEO Group JSC 6.000 7/26/2023	690,000.00	0.03	$703,110.00	6.000	07/26/2023	BGEOLN
BHILL 2013-1A AR	1,500,000.00	0.07	$1,503,124.50	2.338	01/15/2026	BHILL
BHP Billiton Finance Ltd. 3.250 9/25/2024	123,000.00	0.00	$175,784.30	3.250	09/25/2024	BHP
BHP Billiton Finance USA Ltd. 6.250 10/19/2075	2,795,000.00	0.16	$3,054,935.00	6.250	10/19/2075	BHP
Biogen Inc. 5.200 9/15/2045	870,000.00	0.05	$997,700.34	5.200	09/15/2045	BIIB
BioMarin Pharmaceutical Inc. 1.500 10/15/2020	225,000.00	0.01	$268,734.38	1.500	10/15/2020	BMRN
BJ's Wholesale Club Inc. 4.750 1/27/2024	583,000.00	0.02	$566,542.49	4.750	01/27/2024	BJ
BJ's Wholesale Club Inc. 8.500 1/27/2025	855,000.00	0.04	$835,495.74	8.500	01/27/2025	BJ
Blackhawk Network Holdings Inc. 1.500 1/15/2022	427,000.00	0.02	$478,240.00	1.500	01/15/2022	HAWK
BlackRock Inc. 3.200 3/15/2027	420,000.00	0.02	$425,686.80	3.200	03/15/2027	BLK
Blackstone Mortgage Trust Inc. 4.375 5/5/2022	338,000.00	0.01	$345,816.25	4.375	05/05/2022	BXMT
Blackstone Mortgage Trust Inc. 5.250 12/1/2018	429,000.00	0.02	$497,640.00	5.250	12/01/2018	BXMT
Blue Ribbon LLC 5.000 11/13/2021	1,333,137.23	0.06	$1,307,307.70	5.000	11/13/2021	PBST
BLUEM 2015-1A A1R	400,000.00	0.02	$401,455.20	2.485	04/13/2027	BLUEM
BLUEM 2015-2A A1	710,000.00	0.03	$711,474.67	2.588	07/18/2027	BLUEM
BMC East LLC 5.500 10/1/2024	50,000.00	0.00	$52,375.00	5.500	10/01/2024	BMCH
BMW US Capital LLC 1.500 4/11/2019	500,000.00	0.02	$498,174.50	1.500	04/11/2019	BMW
BNP Paribas S.A. 7.375 12/29/2049	500,000.00	0.02	$556,875.00	7.375	12/29/2049	BNP
BNP Paribas S.A. 7.375 8/19/2025	700,000.00	0.04	$779,625.00	7.375	08/19/2025	BNP
BOAA 2005-6 7A1	40,545.15	0.00	$38,935.93	5.500	07/25/2020	BOAA
BOAMS 2003-D 2A1	334,652.67	0.01	$337,981.90	3.893	05/25/2033	BOAMS
BOC AVIATION PTE LTD. 2.375 9/15/2021	600,000.00	0.03	$586,847.40	2.375	09/15/2021	BOCAVI
Boise Cascade Co. 5.625 9/1/2024	750,000.00	0.04	$776,250.00	5.625	09/01/2024	BCC
Bolivian Government International Bond 4.500 3/20/2028	775,000.00	0.03	$760,468.75	4.500	03/20/2028	BOLIVI
Bonos de la Tesoreria de la Republica en pesos 4.500 3/1/2021	785,000,000.00	0.06	$1,237,473.14	4.500	03/01/2021	BTPCL
BOSTON SCIENTIFIC CORP. 2.850 5/15/2020	900,000.00	0.04	$913,037.40	2.850	05/15/2020	BSX
BOSTON SCIENTIFIC CORP. 3.375 5/15/2022	800,000.00	0.04	$824,361.60	3.375	05/15/2022	BSX
Boyd Gaming Corp. 6.375 4/1/2026	860,000.00	0.04	$932,025.00	6.375	04/01/2026	BYD
BP Capital Markets PLC 3.216 11/28/2023	1,230,000.00	0.06	$1,250,023.17	3.216	11/28/2023	BPLN
BP Capital Markets PLC 3.224 4/14/2024	975,000.00	0.05	$985,254.08	3.224	04/14/2024	BPLN
BRAZIL LA SP CBK 6 20 2022 F 1.000000 ACT 360 Quarterly 20220620 PU 1.000 6/20/2022	100,000.00	-0.01	-$6,282.01	1.000	06/20/2022	SWPC0FXP3
Brazil LA SP CDS GLM 06 20 2022 F 1.000000 ACT 360 Quarterly 20220620 PU 1.000 6/20/2022	500,000.00	-0.01	-$31,410.05	1.000	06/20/2022	SWPC0FXJ7
Brazil Letras do Tesouro Nacional 0.000 4/1/2018	5,200,000.00	0.07	$1,474,446.20	0.000	04/01/2018	BLTN
Brazil Letras do Tesouro Nacional 0.000 7/1/2018	17,100,000.00	0.24	$4,749,282.53	0.000	07/01/2018	BLTN
Brazil Notas do Tesouro Nacional Serie F 10.000 1/1/2025	10,659,000.00	0.16	$3,148,558.69	10.000	01/01/2025	BNTNF
Brazilian Government International Bond 6.000 4/7/2026	200,000.00	0.01	$216,300.00	6.000	04/07/2026	BRAZIL
BRAZILIAN REAL	34,640.15	0.00	$10,456.15	0.000	-	BRAZILREL
Brighthouse Financial Inc. 3.700 6/22/2027	820,000.00	0.04	$809,084.98	3.700	06/22/2027	BHF
BRITISH POUNDS	799,873.80	0.05	$1,041,795.62	0.000	-	POUNDS
BRL USD FWD 20170802 0.000 8/2/2017	22,254,720.00	0.35	$6,667,401.67	0.000	08/02/2017	BRA080217
BRL USD FWD 20180403 0.000 4/3/2018	-5,200,000.00	-0.08	-$1,496,468.19	0.000	04/03/2018	BRC040318
BRL USD FWD 20180703 0.000 7/3/2018	-2,700,000.00	-0.05	-$765,348.55	0.000	07/03/2018	BRC070318
BRL USD FWD 20180703 0.000 7/3/2018	-5,500,000.00	-0.09	-$1,559,043.33	0.000	07/03/2018	BRJ070318
BRL USD FWD 20180703 0.000 7/3/2018	-8,900,000.00	-0.14	-$2,522,815.58	0.000	07/03/2018	BRA070318
BRL/USD GOS 07/21/17	9,285,127.39	0.14	$2,789,211.49	0.000	07/21/2017	BLUSO7217
BRL/USD TOR 07/21/17	3,662,369.70	0.05	$1,100,159.77	0.000	07/21/2017	BLUST7217
BRL/USD UBS 07/21/17	7,474,610.60	0.11	$2,245,340.20	0.000	07/21/2017	BLUSU7217
Broadcom Corp. Broadcom Cayman Finance Ltd. 3.000 1/15/2022	1,400,000.00	0.07	$1,413,826.40	3.000	01/15/2022	AVGO
Brookdale Senior Living Inc. 2.750 6/15/2018	711,000.00	0.03	$707,889.38	2.750	06/15/2018	BKD
BSABS 2005-FR1 M2	2,000,000.00	0.09	$1,863,884.80	2.221	06/25/2035	BSABS
BSABS 2007-HE2 1A2	365,192.24	0.02	$418,876.16	1.386	03/25/2037	BSABS
BSABS 2007-SD1 22A1	206,559.97	0.00	$147,867.50	2.388	10/25/2036	BSABS
BSARM 2003-5 2A1	57,915.86	0.00	$58,154.31	3.198	08/25/2033	BSARM
BSARM 2005-2 A2	117,436.72	0.00	$118,661.10	3.636	03/25/2035	BSARM
BSP 2014-IVA A1R	2,400,000.00	0.12	$2,419,840.80	2.646	01/20/2029	BSP
BSP 2015-VIA A1A	520,000.00	0.02	$520,008.32	2.708	04/18/2027	BSP
Buckeye Tobacco Settlement Financing Authority 5.875 6/1/2047	295,000.00	0.01	$289,282.90	5.875	06/01/2047	BUCGEN
Builders FirstSource Inc. 10.750 8/15/2023	70,000.00	0.00	$81,025.00	10.750	08/15/2023	BLDR
Builders FirstSource Inc. 4.000 2/29/2024	2,233,314.99	0.11	$2,232,383.70	5.500	02/29/2024	BLDR
Builders FirstSource Inc. 5.625 9/1/2024	715,000.00	0.03	$747,175.00	5.625	09/01/2024	BLDR
BWAY Corp. 3.250 3/23/2024	985,000.00	0.05	$985,351.65	3.250	03/23/2024	BWY
BWAY Holding Co. 5.500 4/15/2024	840,000.00	0.04	$859,950.00	5.500	04/15/2024	BWY
Cablevision S.A. Argentina 6.500 6/15/2021	950,000.00	0.05	$1,009,375.00	6.500	06/15/2021	CBVS
CAD/USD BOA 07/21/17	-2,450,799.48	-0.10	-$1,890,706.46	0.000	07/21/2017	CDUSF7217
Caesars Entertainment Operating Co. Inc. 2.500 4/3/2024	430,000.00	0.02	$429,193.75	2.500	04/03/2024	CZR
Calpine Construction Finance Co. LP 3.000 5/3/2020	262,945.75	0.01	$262,904.73	3.000	05/03/2020	CPN
Calpine Corp. 2.750 1/15/2023	197,000.00	0.01	$196,979.51	3.500	01/15/2023	CPN
Calpine Corp. 5.250 6/1/2026	495,000.00	0.02	$487,575.00	5.250	06/01/2026	CPN
Calpine Corp. 5.500 2/1/2024	344,000.00	0.01	$327,230.00	5.500	02/01/2024	CPN
Calpine Corp. 5.750 1/15/2025	100,000.00	0.00	$94,250.00	5.750	01/15/2025	CPN
CAN 10YR BOND FUT Sep17	99.00	0.56	$10,729,834.98	0.000	09/20/2017	CNU7
CANADIAN DOLLAR	259,144.10	0.01	$199,833.51	0.000	-	CANDOLLAR
Canadian Government Bond 2.750 12/1/2048	171,000.00	0.00	$150,402.99	2.750	12/01/2048	CAN
Cardinal Health Inc. 1.948 6/14/2019	1,200,000.00	0.06	$1,201,807.20	1.948	06/14/2019	CAH
Cardtronics Inc. 1.000 12/1/2020	220,000.00	0.01	$211,887.50	1.000	12/01/2020	CATM
CAS 2015-C03 2M1	18,486.82	0.00	$18,507.59	2.716	07/25/2025	CAS
CAS 2015-C04 2M1	25,521.61	0.00	$25,586.45	2.916	04/25/2028	CAS
CAS 2016-C03 1M1	90,706.56	0.00	$92,377.47	3.216	10/25/2028	CAS
CAS 2016-C04 1M1	52,080.64	0.00	$52,730.44	2.666	01/25/2029	CAS
CAS 2017-C01 1M1	34,098.00	0.00	$34,460.22	2.516	07/25/2029	CAS
CAS 2017-C04 2M2	420,000.00	0.02	$425,903.27	4.066	11/25/2029	CAS
CASH COLLATERAL CME FOB USD 0.000 12/31/2060	654,000.00	0.03	$654,000.00	0.000	12/31/2060	CCFOBCUS1
CASH COLLATERAL ICE FOB USD 0.000 12/31/2060	202,000.00	0.01	$202,000.00	0.000	12/31/2060	CCFOBZUS0
CASH COLLATERAL TBA MSC USD 0.000 12/31/2060	-1,242,000.00	-0.07	-$1,242,000.00	0.000	12/31/2060	CCMSCTUS6
CAVY 2014-5A A	70,216.44	0.00	$70,186.88	2.528	01/16/2024	CAVY
CC Holdings GS V LLC Crown Castle GS III Corp. 3.849 4/15/2023	450,000.00	0.02	$473,625.90	3.849	04/15/2023	CCI
CCCIT 2013-A2 A2	200,000.00	0.01	$200,358.98	1.496	05/26/2020	CCCIT
CCCIT 2013-A7 A7	500,000.00	0.02	$501,870.55	1.547	09/10/2020	CCCIT
CCCIT 2017-A6 A6	660,000.00	0.03	$664,228.55	0.000	05/14/2029	CCCIT
CCL Industries Inc. 3.250 10/1/2026	655,000.00	0.03	$632,137.88	3.250	10/01/2026	CCLBCN
CCO Holdings LLC CCO Holdings Capital Corp. 5.125 5/1/2027	215,000.00	0.01	$220,375.00	5.125	05/01/2027	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.500 5/1/2026	530,000.00	0.02	$563,787.50	5.500	05/01/2026	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.750 2/15/2026	80,000.00	0.00	$85,800.00	5.750	02/15/2026	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.875 5/1/2027	60,000.00	0.00	$64,275.00	5.875	05/01/2027	CHTR
CD 2016-CD2 A3	4,000,000.00	0.21	$4,052,757.60	3.248	11/10/2049	CD
CD 2016-CD2 A4	620,000.00	0.03	$640,141.75	3.526	11/10/2049	CD
CDK Global Inc. 5.000 10/15/2024	910,000.00	0.05	$971,425.00	5.000	10/15/2024	CDK
CDW LLC CDW Finance Corp. 5.000 9/1/2025	90,000.00	0.00	$93,825.00	5.000	09/01/2025	CDWC
CDX.EM.27 06 20 2022 - HSBC F 1.000000 ACT 360 Quarterly 20220620 PU 1.000 6/20/2022	2,240,000.00	0.00	$102,769.70	1.000	06/20/2022	/CDX27
CEDF 2016-5A A1	530,000.00	0.02	$535,548.04	2.768	07/17/2028	CEDF
CEDF 2016-6A A1	1,230,000.00	0.06	$1,239,104.46	2.352	10/20/2028	CEDF
Celgene Corp. 3.250 8/15/2022	1,475,000.00	0.07	$1,517,926.93	3.250	08/15/2022	CELG
Cemex SAB de CV 3.720 3/15/2020	277,000.00	0.01	$320,973.75	3.720	03/15/2020	CEMEX
Cemex SAB de CV 7.750 4/16/2026	1,035,000.00	0.06	$1,186,368.75	7.750	04/16/2026	CEMEX
Cencosud S.A. 6.625 2/12/2045	530,000.00	0.03	$580,468.46	6.625	02/12/2045	CENSUD
CENTURY COMM TRACKING	1,975,000.00	0.00	$0.00	0.000	-	156ESCAG0
CenturyLink Inc. 3.930 1/31/2025	1,836,000.00	0.09	$1,818,295.46	3.930	01/31/2025	CTL
CenturyLink Inc. 5.800 3/15/2022	1,160,000.00	0.06	$1,210,750.00	5.800	03/15/2022	CTL
CenturyLink Inc. 6.750 12/1/2023	729,000.00	0.04	$787,779.27	6.750	12/01/2023	CTL
CenturyLink Inc. 7.500 4/1/2024	20,000.00	0.00	$21,950.00	7.500	04/01/2024	CTL
CF Industries Inc. 6.875 5/1/2018	1,750,000.00	0.09	$1,822,187.50	6.875	05/01/2018	CF
CFCRE 2016-C7 A3	2,010,000.00	0.11	$2,101,277.72	3.839	12/10/2054	CFCRE
CFCRE 2017-C8 A4	735,000.00	0.03	$750,493.65	3.572	06/15/2050	CFCRE
CGCMT 2014-GC25 A4	1,665,000.00	0.09	$1,731,192.24	3.635	10/10/2047	CGCMT
CGCMT 2015-GC27 A5	3,085,000.00	0.16	$3,098,516.93	3.137	02/10/2048	CGCMT
CGCMT 2016-P3 A4	1,370,000.00	0.07	$1,395,430.49	3.329	04/15/2049	CGCMT
CGMS 2014-3A A1AR	1,900,000.00	0.09	$1,899,038.60	2.320	07/27/2026	CGMS
CGMS 2014-5A A1R	400,000.00	0.02	$399,798.40	2.471	10/16/2025	CGMS
CH Hold Corp. 8.250 2/1/2025	385,000.00	0.02	$395,828.13	8.250	02/01/2025	CHHOLD
CHAIT 2013-A6 A6	500,000.00	0.02	$501,592.10	1.579	07/15/2020	CHAIT
CHAIT 2014-A5 A5	500,000.00	0.02	$501,855.55	1.529	04/15/2021	CHAIT
CHAIT 2016-A3 A3	500,000.00	0.02	$504,085.05	1.709	06/15/2023	CHAIT
CHAIT 2017-A1 A	250,000.00	0.01	$250,825.13	1.459	01/18/2022	CHAIT
Change Healthcare Holdings LLC Change Healthcare Finance Inc. 5.750 3/1/2025	80,000.00	0.00	$81,900.00	5.750	03/01/2025	EM
Change Healthcare Holdings LLC 3.750 2/3/2024	1,775,550.00	0.09	$1,778,046.43	3.750	02/03/2024	EM
Chart Industries Inc. 2.000 8/1/2018	540,000.00	0.02	$537,975.00	2.000	08/01/2018	GTLS
CHARTER COMM OPT LLC CAP 4.464 7/23/2022	800,000.00	0.04	$853,214.40	4.464	07/23/2022	CHTR
Charter Communications Operating LLC 2.000 1/15/2022	46,412.50	0.00	$46,586.55	2.000	01/15/2022	CHTR
Charter Communications Operating LLC 2.250 1/15/2024	139,237.50	0.00	$139,924.08	2.250	01/15/2024	CHTR
CHASE 2005-A1 3A1	145,565.40	0.00	$140,105.47	3.172	12/25/2035	CHASE
Chemours Co. 7.000 5/15/2025	90,000.00	0.00	$98,550.00	7.000	05/15/2025	CC
Cheniere Corpus Christi Holdings LLC 5.875 3/31/2025	295,000.00	0.01	$315,650.00	5.875	03/31/2025	CHCOCH
Chesapeake Energy Corp. 8.500 8/16/2021	490,000.00	0.02	$524,147.12	8.500	08/16/2021	CHK
Chevron Corp. 1.748 3/3/2022	575,000.00	0.03	$580,314.73	1.748	03/03/2022	CVX
CHICAGO IL TRANSIT AUTH SALES 6.899 12/1/2040	1,800,000.00	0.12	$2,295,342.00	6.899	12/01/2040	CHITRN
CHICAGO IL TRANSIT AUTH SALES 6.899 12/1/2040	1,800,000.00	0.12	$2,295,342.00	6.899	12/01/2040	CHITRN
CHILEAN PESO	-3.00	0.00	$0.00	0.000	-	CHILEPESO
CHS Community Health Systems Inc. 3.750 12/31/2019	106,038.75	0.00	$106,013.94	3.750	12/31/2019	CYH
CHS Community Health Systems Inc. 4.000 1/27/2021	172,946.35	0.00	$172,884.61	4.000	01/27/2021	CYH
Cia Brasileira de Aluminio 6.750 4/5/2021	455,000.00	0.02	$485,712.50	6.750	04/05/2021	VOTORA
Ciena Corp. 3.750 10/15/2018	221,000.00	0.01	$298,626.25	3.750	10/15/2018	CIEN
CIFC 2012-3A A1R	2,270,710.84	0.11	$2,268,751.22	2.370	01/29/2025	CIFC
CINCINNATI BELL INC. 7.000 7/15/2024	355,000.00	0.01	$371,933.50	7.000	07/15/2024	CBB
Cisco Systems Inc. 1.702 3/1/2019	650,000.00	0.03	$654,908.15	1.702	03/01/2019	CSCO
Cisco Systems Inc. 1.850 9/20/2021	950,000.00	0.04	$938,760.55	1.850	09/20/2021	CSCO
CIT Group Inc. 5.500 2/15/2019	936,000.00	0.05	$985,140.00	5.500	02/15/2019	CIT
Citicorp Lease Pass-Through Trust 1999-1 8.040 12/15/2019	148,869.57	0.00	$168,789.06	8.040	12/15/2019	C
CITIGROUP INC. 2.052 7/30/2018	2,300,000.00	0.12	$2,315,479.00	2.052	07/30/2018	C
Citigroup Inc. 2.150 6/7/2019	2,300,000.00	0.12	$2,322,068.50	2.150	06/07/2019	C
Citigroup Inc. 2.279 5/17/2024	1,535,000.00	0.08	$1,534,877.20	2.281	05/17/2024	C
Citigroup Inc. 3.200 10/21/2026	1,000,000.00	0.05	$973,785.00	3.200	10/21/2026	C
Citigroup Inc. 3.750 10/27/2023	498,000.00	0.02	$384,514.32	3.750	10/27/2023	C
Citigroup Inc. 4.050 7/30/2022	150,000.00	0.00	$156,969.45	4.050	07/30/2022	C
Citizens Bank NA Providence RI 2.550 5/13/2021	1,655,000.00	0.08	$1,657,705.93	2.550	05/13/2021	CFG
Citizens Bank NA Providence RI 2.650 5/26/2022	250,000.00	0.01	$249,582.75	2.650	05/26/2022	CFG
Citizens Financial Group Inc. 2.375 7/28/2021	115,000.00	0.00	$114,103.92	2.375	07/28/2021	CFG
Citizens Financial Group Inc. 4.300 12/3/2025	965,000.00	0.05	$1,007,967.59	4.300	12/03/2025	CFG
CityCenter Holdings LLC 3.250 4/7/2024	460,000.00	0.02	$461,314.22	3.250	04/07/2024	CCTRH
CK Hutchison International 17 Ltd. 3.500 4/5/2027	700,000.00	0.03	$704,073.37	3.500	04/05/2027	CKHH
Clearwire Communications LLC Clearwire Finance Inc. 8.250 12/1/2040	515,000.00	0.02	$530,450.00	8.250	12/01/2040	CLWR
Cleveland Electric Illuminating Co. 5.500 8/15/2024	515,000.00	0.03	$590,985.16	5.500	08/15/2024	FE
Cliffs Natural Resources Inc. 5.750 3/1/2025	225,000.00	0.01	$213,187.50	5.750	03/01/2025	CLF
CMBX.NA.AAA.8 SP 10 17 2057-DUB F 0.500000 ACT 360 Monthly 20571017 PU 0.500 10/17/2057	14,200,000.00	-0.01	-$91,000.98	0.500	10/17/2057	SWPC0BLE0
CMBX.NA.BBB-.6	1,200,000.00	-0.01	-$140,118.13	3.000	05/11/2063	SP1A42XI9
CMBX.NA.BBB-.6 05 11 2063 F 3.000000 ACT 360 Monthly 20630511 PU 3.000 5/11/2063	600,000.00	-0.01	-$70,059.07	3.000	05/11/2063	SP9F6IAI8
CME - IRS MXN 5.79750 09-12-16-5Y CONTRACT SWCOIR 5.798 9/6/2021	82,500,000.00	-0.01	-$155,775.74	5.798	09/06/2021	SWU00JQ24
CME - IRS MXN 7.19900 12-09-16-5Y CONTRACT SWCOIR 7.199 12/3/2021	17,900,000.00	0.00	$18,336.49	7.199	12/03/2021	SWU00KIA2
CME - IRS USD 1.1905 08-09-16-5Y CONTRACT SWCOIR -1.190 8/9/2021	6,220,000.00	0.00	$166,414.67	-1.191	08/09/2021	/SWAP
CME - IRS USD 1.199 04-06-21-5Y CONTRACT SWCOIR -1.199 4/6/2021	5,035,000.00	0.00	$115,991.24	-1.199	04/06/2021	/SWAP
CME - IRS USD 1.25 06-21-17-5Y CONTRACT SWCOIR -1.250 6/21/2022	2,900,000.00	0.00	$97,343.60	-1.250	06/21/2022	SWU00KLI1
CME - IRS USD 1.25000 06-21-17-3Y CME CONTRACT SWCOIR -1.250 6/21/2020	32,700,000.00	0.02	$463,517.56	-1.250	06/21/2020	SWU00KLG5
CME - IRS USD 1.25000 06-21-17-4Y CME CONTRACT SWCOIR -1.250 6/21/2021	16,500,000.00	0.02	$381,888.75	-1.250	06/21/2021	SWU00KLH3
CME - IRS USD 1.35000 12-28-16-2Y CONTRACT SWCOIR 1.350 12/28/2018	7,200,000.00	-0.01	-$19,236.81	1.350	12/28/2018	SWU00KMY5
CME - IRS USD 1.416 04-06-23-7Y CONTRACT SWCOIR 1.416 4/6/2023	750,000.00	0.00	$24,988.12	-1.416	04/06/2023	/SWAP
CME - IRS USD 1.45 06-28-19-2Y CONTRACT SWCOIR -1.450 6/28/2021	30,100,000.00	0.01	$377,546.14	-1.450	06/28/2021	SWU00ISZ1
CME - IRS USD 1.5000 06-21-17-10Y CONTRACT SWCOIR -1.500 6/21/2027	8,400,000.00	0.03	$603,879.36	-1.500	06/21/2027	SWU00KLL4
CME - IRS USD 1.5000 06-21-17-10Y CONTRACT SWCOIR 1.500 6/21/2027	20,700,000.00	-0.08	-$1,488,131.28	1.500	06/21/2027	SWU00KLLX
CME - IRS USD 1.6865 04-05-16-10Y CONTRACT SWCOIR -1.687 4/5/2026	1,490,000.00	0.00	$65,552.35	-1.687	04/05/2026	/SWAP
CME - IRS USD 2.00 12-16-15-4Y CONTRACT SWCOIR -1.719 12/16/2019	1,600,000.00	-0.01	-$12,743.34	-0.863	12/16/2019	SWU00DAF5
CME - IRS USD 2.25 12-21-16-307Y CONTRACT SWCOIR -2.250 12/21/2046	900,000.00	0.00	$61,859.19	-2.250	12/21/2046	SWU00INI4
CME - IRS USD 2.50 06-15-16-30Y CONTRACT SWCOIR -2.500 6/15/2046	500,000.00	0.00	$7,048.70	-2.500	06/15/2046	SWU00FLJ0
CME - USSWAP30 2.767 12 21 46 CONTRACT SWCOIR 2.767 12/21/2046	1,770,000.00	-0.01	-$77,152.23	-2.767	12/21/2046	/SWAP
CMS Energy Corp. 6.250 2/1/2020	1,080,000.00	0.06	$1,189,512.00	6.250	02/01/2020	CMS
CNH 2016-B A2B	103,568.38	0.00	$103,702.61	1.559	10/15/2019	CNH
Coach Inc. 4.125 7/15/2027	645,000.00	0.03	$639,811.62	4.125	07/15/2027	COH
Colombia Government International Bond 5.000 6/15/2045	1,100,000.00	0.05	$1,112,100.00	5.000	06/15/2045	COLOM
COLOMBIA LA CDS 06 20 21 - BOA F 1.000000 ACT 360 Quarterly 20210620 PU 1.000 6/20/2021	100,000.00	n/a	-$151.04	1.000	06/20/2021	SWPC0DRL4
COLOMBIA LA CDS 06 20 21 - BPS F 1.000000 ACT 360 Quarterly 20210620 PU 1.000 6/20/2021	200,000.00	n/a	-$302.08	1.000	06/20/2021	SWPC0DQF8
COLOMBIA LA CDS 06 20 21 - GLM F 1.000000 ACT 360 Quarterly 20210620 PU 1.000 6/20/2021	3,100,000.00	-0.01	-$4,682.21	1.000	06/20/2021	SWPC0DQI2
COLOMBIA LA CDS 06 20 21 - JPM F 1.000000 ACT 360 Quarterly 20210620 PU 1.000 6/20/2021	100,000.00	n/a	-$151.04	1.000	06/20/2021	SWPC0DQG6
COLOMBIA LA CDS 06 20 21 -DUB F 1.000000 ACT 360 Quarterly 20210620 PU 1.000 6/20/2021	200,000.00	n/a	-$302.08	1.000	06/20/2021	SWPC0DRB6
COLOMBIA LA SP 06 20 22 - BOA F 1.000000 ACT 360 Quarterly 20220620 PU 1.000 6/20/2022	450,000.00	-0.01	-$7,554.93	1.000	06/20/2022	SWPC0FGF4
COLOMBIAN PESO	0.05	0.00	$0.00	0.000	-	COLOMPESO
Colorado Buyer Inc. 8.250 3/15/2025	325,000.00	0.01	$329,875.00	8.250	03/15/2025	COLBUY
Columbus Cable Barbados Ltd. 7.375 3/30/2021	395,000.00	0.02	$420,181.25	7.375	03/30/2021	COLUIF
Comcel Trust via Comunicaciones Celulares S.A. 6.875 2/6/2024	380,000.00	0.02	$406,185.80	6.875	02/06/2024	MIICF
ComEd Financing III 6.350 3/15/2033	680,000.00	0.03	$730,715.08	6.350	03/15/2033	EXC
COMET 2007-A5 A5	100,000.00	0.00	$99,997.05	1.199	07/15/2020	COMET
COMM 2013-WWP A2	1,100,000.00	0.05	$1,138,818.67	3.424	03/10/2031	COMM
COMM 2014-CR20 AM	2,225,000.00	0.12	$2,319,332.66	3.938	11/10/2047	COMM
COMM 2015-3BP A	605,000.00	0.03	$610,558.86	3.178	02/10/2035	COMM
COMM 2015-CR23 A4	780,000.00	0.04	$802,322.66	3.497	05/10/2048	COMM
Commonwealth of Massachusetts 5.000 10/1/2025	200,000.00	0.01	$246,972.00	5.000	10/01/2025	MAS
CommScope Technologies LLC 5.000 3/15/2027	740,000.00	0.03	$740,000.00	5.000	03/15/2027	COMM
CommScope Technologies LLC 6.000 6/15/2025	40,000.00	0.00	$42,900.00	6.000	06/15/2025	COMM
Compass Bank 2.875 6/29/2022	1,220,000.00	0.06	$1,216,608.40	2.875	06/29/2022	BCOMPS
Compass Bank 3.875 4/10/2025	1,145,000.00	0.06	$1,142,555.43	3.875	04/10/2025	BCOMPS
ConocoPhillips Co. 2.082 5/15/2022	575,000.00	0.03	$587,783.40	2.082	05/15/2022	COP
Constellis Holdings LLC 1.000 4/13/2025	317,000.00	0.01	$313,235.63	10.000	04/13/2025	XESERV
Constellis Holdings LLC 6.000 4/13/2024	566,000.00	0.02	$560,811.48	6.000	04/13/2024	XESERV
Consumers Energy Co. 3.250 8/15/2046	675,000.00	0.03	$621,469.13	3.250	08/15/2046	CMS
Continental Airlines 2009-2 Class A Pass Through Trust 7.250 11/10/2019	585,775.04	0.03	$650,942.51	7.250	11/10/2019	UAL
Cooperatieve Rabobank UA 2.500 9/4/2020	1,740,000.00	0.01	$217,226.20	2.500	09/04/2020	RABOBK
Cooperatieve Rabobank UA 3.750 7/21/2026	2,405,000.00	0.12	$2,409,425.20	3.750	07/21/2026	RABOBK
Cooperatieve Rabobank UA 4.375 8/4/2025	2,000,000.00	0.11	$2,101,086.00	4.375	08/04/2025	RABOBK
Cooperatieve Rabobank UA 6.875 3/19/2020	2,400,000.00	0.16	$3,223,247.81	6.875	03/19/2020	RABOBK
COP USD FWD 20170808 0.000 8/8/2017	7,744,505,000.00	0.13	$2,526,582.19	0.000	08/08/2017	COP080817
COP/USD BOA 07/21/17	6,759,608,342.00	0.11	$2,210,787.07	0.000	07/21/2017	COUSF7217
COP/USD CSF 07/21/17	3,561,420,436.20	0.06	$1,164,792.67	0.000	07/21/2017	COUSE7217
Corporate Office Properties LP 3.600 5/15/2023	690,000.00	0.03	$686,532.75	3.600	05/15/2023	OFC
Corporate Office Properties LP 5.250 2/15/2024	670,000.00	0.03	$718,306.33	5.250	02/15/2024	OFC
Costa Rica Government International Bond 4.250 1/26/2023	445,000.00	0.02	$435,543.75	4.250	01/26/2023	COSTAR
Cott Holdings Inc. 5.500 4/1/2025	380,000.00	0.02	$388,550.00	5.500	04/01/2025	BCBCN
Crane Co. 2.750 12/15/2018	170,000.00	0.00	$171,830.90	2.750	12/15/2018	CR
Crane Co. 4.450 12/15/2023	1,050,000.00	0.05	$1,104,946.50	4.450	12/15/2023	CR
Credit Suisse Group AG 4.282 1/9/2028	2,980,000.00	0.16	$3,084,291.06	4.282	01/09/2028	CS
Credit Suisse Group AG 6.250 12/29/2049	2,035,000.00	0.11	$2,167,051.15	6.250	12/29/2049	CS
Credit Suisse Group Funding Guernsey Ltd. 2.750 3/26/2020	2,199,000.00	0.11	$2,217,581.55	2.750	03/26/2020	CS
Credit Suisse Group Funding Guernsey Ltd. 3.125 12/10/2020	250,000.00	0.01	$254,885.50	3.125	12/10/2020	CS
Credit Suisse Group Funding Guernsey Ltd. 3.800 6/9/2023	2,300,000.00	0.12	$2,374,016.30	3.800	06/09/2023	CS
Credit Suisse Group Funding Guernsey Ltd. 3.800 9/15/2022	3,350,000.00	0.18	$3,484,268.00	3.800	09/15/2022	CS
Credit Suisse Group Funding Guernsey Ltd. 4.550 4/17/2026	1,810,000.00	0.10	$1,926,431.87	4.550	04/17/2026	CS
Crestwood Midstream Partners LP Crestwood Midstream Finance Corp. 5.750 4/1/2025	405,000.00	0.02	$405,000.00	5.750	04/01/2025	CMLP
CRMSI 2006-3 A5	900,000.00	0.04	$947,197.98	5.534	11/25/2036	CRMSI
Croatia Government International Bond 5.500 4/4/2023	655,000.00	0.03	$717,424.78	5.500	04/04/2023	CROATI
Crown Castle International Corp. 5.250 1/15/2023	1,190,000.00	0.06	$1,323,335.93	5.250	01/15/2023	CCI
Crown Castle Towers LLC 3.663 5/15/2025	110,000.00	0.00	$113,850.00	3.663	05/15/2025	CCI
Crown Castle Towers LLC 4.883 8/15/2020	2,090,000.00	0.11	$2,231,714.12	4.883	08/15/2020	CCI
CSC Holdings LLC 2.250 7/15/2025	430,000.25	0.02	$429,328.59	2.250	07/15/2025	CVC
CSC Holdings LLC 5.500 4/15/2027	826,000.00	0.04	$875,560.00	5.500	04/15/2027	CVC
CSMC 2005-1R 2A5	1,702,590.75	0.08	$1,525,112.86	5.750	12/26/2035	CSMC
CSMC 2007-1 5A14	305,711.06	0.01	$283,892.49	6.000	02/25/2037	CSMC
CSMC 2007-3 4A12	274,948.59	0.00	$33,291.55	5.534	04/25/2037	CSMC
CSMC 2007-3 4A15	122,085.80	0.00	$120,140.75	5.500	04/25/2037	CSMC
CSMC 2007-3 4A6	274,948.59	0.01	$228,970.06	1.466	04/25/2037	CSMC
CSMC 2017-1A-A	265,203.25	0.01	$265,391.01	4.500	03/01/2021	12651LAA8
CubeSmart LP 3.125 9/1/2026	930,000.00	0.04	$885,536.70	3.125	09/01/2026	CUBE
CVS Health Corp. 2.125 6/1/2021	450,000.00	0.02	$444,885.75	2.125	06/01/2021	CVS
CVS Pass-Through Trust 5.773 1/10/2033	82,341.43	0.00	$93,740.20	5.773	01/10/2033	CVS
CWALT 2004-J1 1A1	1,881.26	0.00	$1,913.28	6.000	02/25/2034	CWALT
CWALT 2008-2R 3A1	1,452,767.73	0.06	$1,196,485.56	6.000	08/25/2037	CWALT
CWHL 2006-R1 AF1	1,590,833.85	0.07	$1,416,824.47	1.556	01/25/2036	CWHL
CWHL 2007-4 1A1	1,333,921.78	0.05	$1,106,080.47	6.000	05/25/2037	CWHL
CWL 2004-3 2A	57,402.96	0.00	$55,310.76	1.616	08/25/2034	CWL
CWL 2005-3 MV7	4,200,000.00	0.21	$4,184,888.40	2.516	08/25/2035	CWL
CWL 2005-7 MV3	400,000.00	0.02	$397,029.04	1.796	11/25/2035	CWL
CWL 2005-AB2 2A3	129,539.92	0.00	$129,559.62	1.986	11/25/2035	CWL
CWL 2006-1 AF6	475,069.71	0.02	$479,000.77	4.816	07/25/2036	CWL
CWL 2006-11 1AF6	306,848.66	0.03	$618,681.71	4.621	09/25/2046	CWL
CWL 2006-17 2A2	2,262,387.90	0.11	$2,119,410.64	1.366	03/25/2047	CWL
CWL 2006-26 2A4	2,000,000.00	0.08	$1,687,678.20	1.436	06/25/2037	CWL
CWL 2007-6 2A4	1,000,000.00	0.02	$508,514.60	1.526	09/25/2037	CWL
CXHE 2002-A AF6	1,238.02	n/a	$1,236.32	5.540	01/25/2032	CXHE
Cyprus Government International Bond 3.875 5/6/2022	1,200,000.00	0.07	$1,509,776.10	3.875	05/06/2022	CYPRUS
CyrusOne LP CyrusOne Finance Corp. 5.000 3/15/2024	150,000.00	0.00	$154,875.00	5.000	03/15/2024	CONE
D.R. HORTON INC. 3.750 3/1/2019	200,000.00	0.01	$204,671.20	3.750	03/01/2019	DHI
D.R. HORTON INC. 4.000 2/15/2020	400,000.00	0.02	$415,608.00	4.000	02/15/2020	DHI
Daimler AG 2.750 12/10/2018	1,870,000.00	0.01	$229,685.16	2.750	12/10/2018	DAIGR
DAIMLER FINANCE NA LLC 2.000 8/3/2018	3,800,000.00	0.20	$3,810,374.00	2.000	08/03/2018	DAIGR
Daimler Finance North America LLC 1.510 8/1/2017	540,000.00	0.02	$540,078.84	1.510	08/01/2017	DAIGR
Daimler Finance North America LLC 1.882 8/3/2017	4,500,000.00	0.23	$4,501,620.00	1.882	08/03/2017	DAIGR
Daimler Finance North America LLC 2.000 7/6/2021	300,000.00	0.01	$294,937.20	2.000	07/06/2021	DAIGR
Daimler Finance North America LLC 2.200 10/30/2021	910,000.00	0.04	$899,438.54	2.200	10/30/2021	DAIGR
DANISH KRONE	269,911.95	0.00	$41,458.90	0.000	-	DKK
DaVita Inc. 3.500 6/19/2021	334,156.32	0.01	$336,513.46	3.500	06/19/2021	DVA
DaVita Inc. 5.000 5/1/2025	831,000.00	0.04	$835,155.00	5.000	05/01/2025	DVA
DaVita Inc. 5.125 7/15/2024	30,000.00	0.00	$30,506.25	5.125	07/15/2024	DVA
DBJPM 2016-C1 A4	1,970,000.00	0.10	$1,999,622.50	3.276	05/10/2049	DBJPM
DBJPM 2016-C3 A5	945,000.00	0.04	$928,781.34	2.890	09/10/2049	DBJPM
DBS Bank Ltd. 3.625 9/21/2022	200,000.00	0.01	$200,663.18	3.625	09/21/2022	DBSSP
DBS BANK LTD. 3.625 9/21/2022	700,000.00	0.03	$702,321.13	3.625	09/21/2022	DBSSP
DBUBS 2011-LC1A C	955,000.00	0.05	$1,043,070.58	5.871	11/10/2046	DBUBS
DCENT 2013-A6 A6	560,000.00	0.02	$562,554.83	1.609	04/15/2021	DCENT
DCENT 2014-A1 A1	690,000.00	0.03	$693,157.58	1.589	07/15/2021	DCENT
DCENT 2017-A1 A1	1,000,000.00	0.05	$1,005,389.50	1.649	07/15/2024	DCENT
DCENT 2017-A3 A3	8,940,000.00	0.47	$8,959,612.57	1.389	10/17/2022	DCENT
DCENT 2017-A5 A5	1,040,000.00	0.05	$1,045,527.81	1.816	12/15/2026	DCENT
DDR Corp. 7.875 9/1/2020	415,000.00	0.02	$475,664.70	7.875	09/01/2020	DDR
Dean Foods Co. 6.500 3/15/2023	525,000.00	0.02	$555,187.50	6.500	03/15/2023	DF
Dell International LLC EMC Corp. 4.420 6/15/2021	300,000.00	0.01	$316,517.40	4.420	06/15/2021	DELL
Dell International LLC EMC Corp. 6.020 6/15/2026	600,000.00	0.03	$662,095.80	6.020	06/15/2026	DELL
Dell International LLC EMC Corp. 8.100 7/15/2036	15,000.00	0.00	$18,920.72	8.100	07/15/2036	DELL
Delta Air Lines 2007-1 Class A Pass Through Trust 6.821 8/10/2022	251,405.61	0.01	$289,430.71	6.821	08/10/2022	DAL
DEUTSCHE BANK AG 2.850 5/10/2019	3,100,000.00	0.16	$3,134,568.10	2.850	05/10/2019	DB
Deutsche Bank AG 4.250 10/14/2021	1,700,000.00	0.09	$1,781,744.50	4.250	10/14/2021	DB
Deutsche Telekom International Finance BV 1.950 9/19/2021	770,000.00	0.03	$750,987.16	1.950	09/19/2021	DT
Deutsche Telekom International Finance BV 2.485 9/19/2023	3,005,000.00	0.15	$2,920,847.98	2.485	09/19/2023	DT
Deutsche Telekom International Finance BV 6.500 4/8/2022	36,000.00	0.00	$57,804.10	6.500	04/08/2022	DT
Dexia Credit Local S.A. 1.682 2/15/2019	560,000.00	0.02	$560,344.96	1.682	02/15/2019	DEXGRP
DIAMOND 1 FIN DIAMOND 2 3.480 6/1/2019	600,000.00	0.03	$614,331.00	3.480	06/01/2019	DELL
Diamondback Energy Inc. 4.750 11/1/2024	775,000.00	0.04	$775,000.00	4.750	11/01/2024	FANG
Digicel Group Ltd. 7.125 4/1/2022	645,000.00	0.02	$565,213.50	7.125	04/01/2022	DLLTD
Digicel Group Ltd. 8.250 9/30/2020	455,000.00	0.02	$427,085.75	8.250	09/30/2020	DLLTD
Digicel Ltd. 6.750 3/1/2023	205,000.00	0.01	$193,536.40	6.750	03/01/2023	DLLTD
DIGITAL REALTY TRUST LP 3.400 10/1/2020	2,100,000.00	0.11	$2,155,223.70	3.400	10/01/2020	DLR
DISH DBS CORP. 4.250 4/1/2018	200,000.00	0.01	$203,064.00	4.250	04/01/2018	DISH
DISH DBS Corp. 7.750 7/1/2026	300,000.00	0.01	$356,250.00	7.750	07/01/2026	DISH
DISH Network Corp. 2.375 3/15/2024	396,000.00	0.02	$417,037.50	2.375	03/15/2024	DISH
DISH Network Corp. 3.375 8/15/2026	209,000.00	0.01	$254,457.50	3.375	08/15/2026	DISH
DMSI 2005-WF1 1A3	78,509.81	0.00	$78,432.11	3.366	06/26/2035	DMSI
Dollar General Corp. 3.875 4/15/2027	1,650,000.00	0.08	$1,693,238.25	3.875	04/15/2027	DG
Dominion Resources Inc. VA 2.000 8/15/2021	280,000.00	0.01	$274,862.56	2.000	08/15/2021	D
Dominion Resources Inc. VA 3.625 12/1/2024	820,000.00	0.04	$841,491.38	3.625	12/01/2024	D
Dominion Resources Inc. VA 3.900 10/1/2025	825,000.00	0.04	$855,569.55	3.900	10/01/2025	D
Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust 5.125 11/30/2022	1,286,044.16	0.07	$1,336,045.56	5.125	11/30/2022	DORIC
Dow Chemical Co. 8.550 5/15/2019	3,662,000.00	0.21	$4,103,520.02	8.550	05/15/2019	DOW
DRSLF 2012-25A AR	3,343,178.14	0.17	$3,348,095.96	2.358	01/15/2025	DRSLF
DTE Energy Co. 2.850 10/1/2026	950,000.00	0.04	$905,467.80	2.850	10/01/2026	DTE
DTE Energy Co. 3.300 6/15/2022	855,000.00	0.04	$878,173.07	3.300	06/15/2022	DTE
DTE Energy Co. 6.500 10/1/2019	5,605.00	0.01	$307,434.25	3.195	10/01/2019	DTE
DUKE ENERGY CORP. 1.625 8/15/2017	1,000,000.00	0.05	$1,000,217.00	1.625	08/15/2017	DUK
Duke Energy Corp. 1.800 9/1/2021	480,000.00	0.02	$468,983.04	1.800	09/01/2021	DUK
Duke Energy Corp. 2.650 9/1/2026	205,000.00	0.01	$195,107.32	2.650	09/01/2026	DUK
Dynegy Inc. 4.250 2/7/2024	862,837.50	0.04	$861,966.90	4.250	02/07/2024	DYN
Dynegy Inc. 6.750 11/1/2019	290,000.00	0.01	$300,512.50	6.750	11/01/2019	DYN
Dynegy Inc. 8.000 1/15/2025	70,000.00	0.00	$68,250.00	8.000	01/15/2025	DYN
E*TRADE Financial Corp. 5.875 12/29/2049	1,120,000.00	0.06	$1,192,800.00	5.875	12/29/2049	ETFC
E.ON International Finance BV 5.800 4/30/2018	200,000.00	0.01	$206,144.80	5.800	04/30/2018	EOANGR
Ecopetrol S.A. 5.875 9/18/2023	410,000.00	0.02	$449,360.00	5.875	09/18/2023	ECOPET
Ecopetrol S.A. 7.375 9/18/2043	270,000.00	0.01	$291,114.00	7.375	09/18/2043	ECOPET
Ecuador Government International Bond 8.750 6/2/2023	700,000.00	0.03	$691,250.00	8.750	06/02/2023	ECUA
Ecuador Government International Bond 9.650 12/13/2026	800,000.00	0.04	$802,960.00	9.650	12/13/2026	ECUA
Education Realty Operating Partnership LP 4.600 12/1/2024	950,000.00	0.05	$967,310.90	4.600	12/01/2024	EDR
Egypt Government International Bond 6.125 1/31/2022	600,000.00	0.03	$613,926.00	6.125	01/31/2022	EGYPT
Egypt Government International Bond 8.500 1/31/2047	1,000,000.00	0.05	$1,080,540.00	8.500	01/31/2047	EGYPT
El Paso Energy Capital Trust I 4.750 3/31/2028	9,952.00	0.02	$498,595.20	2.375	03/31/2028	KMI
Eldorado Resorts Inc. 2.250 3/16/2024	74,812.50	0.00	$74,380.01	2.250	03/16/2024	ERI
EMC Corp. 2.650 6/1/2020	900,000.00	0.04	$883,651.50	2.650	06/01/2020	DELL
Emera Inc. 6.750 6/15/2076	1,365,000.00	0.08	$1,549,275.00	6.750	06/15/2076	EMACN
EMERA US FINANCE LP 3.550 6/15/2026	185,000.00	0.00	$185,791.25	3.550	06/15/2026	EMACN
Emera US Finance LP 4.750 6/15/2046	995,000.00	0.05	$1,055,719.88	4.750	06/15/2046	EMACN
EMLT 2004-2 M7	662,360.69	0.03	$640,975.71	4.216	10/25/2034	EMLT
EMNPK 2013-1A A1AR	300,000.00	0.01	$300,129.30	2.138	07/15/2025	EMNPK
Enbridge Inc. 1.946 6/15/2020	1,350,000.00	0.07	$1,349,804.25	1.936	06/15/2020	ENBCN
Enbridge Inc. 3.700 7/15/2027	630,000.00	0.03	$630,912.87	3.700	07/15/2027	ENBCN
Enbridge Inc. 5.500 12/1/2046	685,000.00	0.04	$775,990.61	5.500	12/01/2046	ENBCN
Enel Americas S.A. 4.000 10/25/2026	525,000.00	0.02	$531,431.25	4.000	10/25/2026	ENRSIS
Enel Finance International NV 3.625 5/25/2027	2,135,000.00	0.11	$2,118,974.69	3.625	05/25/2027	ENELIM
Enel Finance International NV 6.000 10/7/2039	305,000.00	0.01	$364,327.99	6.000	10/07/2039	ENELIM
Enel Finance International NV 6.250 9/15/2017	900,000.00	0.04	$907,973.10	6.250	09/15/2017	ENELIM
Enel SpA 8.750 9/24/2073	1,605,000.00	0.10	$1,913,962.50	8.750	09/24/2073	ENELIM
Energy Future Intermediate Holding Co. LLC 4.293 6/28/2018	1,100,000.00	0.05	$1,104,583.70	4.293	06/28/2018	TXU
Energy Transfer Equity LP 2.750 2/2/2024	550,000.00	0.02	$547,986.45	2.750	02/02/2024	ETE
ENERGY TRANSFER EQUITY LP 5.500 6/1/2027	50,000.00	0.00	$52,000.00	5.500	06/01/2027	ETE
Energy Transfer Equity LP 7.500 10/15/2020	475,000.00	0.02	$533,187.50	7.500	10/15/2020	ETE
Energy Transfer LP 6.125 12/15/2045	1,640,000.00	0.09	$1,799,112.80	6.125	12/15/2045	ETP
Energy Transfer LP 9.700 3/15/2019	694,000.00	0.04	$777,571.48	9.700	03/15/2019	ETP
Entegris Inc. 6.000 4/1/2022	60,000.00	0.00	$62,850.00	6.000	04/01/2022	ENTG
Entergy Arkansas Inc. 3.750 2/15/2021	200,000.00	0.01	$209,238.60	3.750	02/15/2021	ETR
Entergy Corp. 2.950 9/1/2026	195,000.00	0.00	$187,114.59	2.950	09/01/2026	ETR
Entergy Corp. 4.000 7/15/2022	1,070,000.00	0.05	$1,132,015.06	4.000	07/15/2022	ETR
Entergy Louisiana LLC 3.120 9/1/2027	80,000.00	0.00	$79,838.72	3.120	09/01/2027	ETR
Entergy Louisiana LLC 4.050 9/1/2023	1,555,000.00	0.08	$1,665,650.69	4.050	09/01/2023	ETR
Entergy Louisiana LLC 4.950 1/15/2045	235,000.00	0.01	$242,610.71	4.950	01/15/2045	ETR
Enterprise Products Operating LLC 7.034 1/15/2068	200,000.00	0.01	$205,800.00	7.034	01/15/2068	EPD
Equate Petrochemical BV 3.000 3/3/2022	625,000.00	0.03	$617,125.00	3.000	03/03/2022	EQPTRC
Equinix Inc. 5.375 5/15/2027	350,000.00	0.01	$374,062.50	5.375	05/15/2027	EQIX
ESAIL 2007-4X A2A	6,527.46	0.00	$8,513.07	0.590	06/13/2045	ESAIL
ESAL GmbH 6.250 2/5/2023	390,000.00	0.01	$342,225.00	6.250	02/05/2023	JBSSBZ
ESH Hospitality Inc. 2.500 8/30/2023	332,491.68	0.01	$334,124.54	2.500	08/30/2023	STAY
ESH Hospitality Inc. 5.250 5/1/2025	845,000.00	0.04	$877,743.75	5.250	05/01/2025	STAY
EUR USD FWD 20170705 0.000 7/5/2017	-17,495,000.00	-1.06	-$19,987,037.26	0.000	07/05/2017	EUA070517
EUR USD FWD 20170705 0.000 7/5/2017	1,171,000.00	0.07	$1,337,800.55	0.000	07/05/2017	EUJ070517
EUR USD FWD 20170705 0.000 7/5/2017	655,000.00	0.03	$748,300.05	0.000	07/05/2017	EUC070517
EUR USD FWD 20170705 0.000 7/5/2017	15,669,000.00	0.94	$17,900,936.66	0.000	07/05/2017	EUP070517
EUR USD FWD 20170802 0.000 8/2/2017	-15,669,000.00	-0.95	-$17,929,265.32	0.000	08/02/2017	EUP080217
EUR USD FWD 20170802 0.000 8/2/2017	847,000.00	0.05	$969,180.40	0.000	08/02/2017	EUA080217
EUR/USD BOA 07/21/17	2,301,970.01	0.13	$2,632,267.57	0.000	07/21/2017	EUUSF7217
EUR/USD HSB 07/21/17	158,194.13	0.00	$180,892.57	0.000	07/21/2017	EUUSH7217
EURO	475,432.55	0.02	$543,015.29	0.000	-	EURO
EURO BUXL 30Y BND Sep17	-6.00	-0.06	-$1,120,586.21	0.000	09/08/2017	UBU7
EURO-BOBL FUTURE Sep17	34.00	0.26	$5,114,319.27	0.000	09/08/2017	OEU7
Euro-BTP Future Sep17	1.00	0.00	$154,350.15	0.000	09/07/2017	IKU7
EURO-BUND FUTURE Sep17	-368.00	-3.58	-$68,035,773.94	0.000	09/07/2017	RXU7
EURO-OAT FUTURE SEP17	-120.00	-1.07	-$20,350,371.84	0.000	09/08/2017	OATU7
ExamWorks Group Inc. 4.250 7/27/2023	1,250,565.75	0.06	$1,259,684.88	4.250	07/27/2023	EXAM
EXELON CORP. 2.450 4/15/2021	200,000.00	0.01	$199,611.00	2.450	04/15/2021	EXC
Exelon Corp. 3.497 6/1/2022	870,000.00	0.04	$893,193.33	3.497	06/01/2022	EXC
Exelon Corp. 3.950 6/15/2025	1,070,000.00	0.05	$1,109,210.15	3.950	06/15/2025	EXC
Exelon Generation Co. LLC 3.400 3/15/2022	1,750,000.00	0.09	$1,782,982.25	3.400	03/15/2022	EXC
Export Credit Bank of Turkey 5.375 10/24/2023	880,000.00	0.04	$890,956.00	5.375	10/24/2023	EXCRTU
Export-Import Bank of India 3.375 8/5/2026	1,500,000.00	0.07	$1,471,302.00	3.375	08/05/2026	EXIMBK
Export-Import Bank of Korea 4.000 6/7/2027	210,000.00	0.00	$161,091.42	4.000	06/07/2027	EIBKOR
Exxon Mobil Corp. 1.593 3/6/2022	1,125,000.00	0.05	$1,136,244.38	1.593	03/06/2022	XOM
FCBSL 2013-2A A1FR	2,000,000.00	0.10	$1,998,992.00	n/a	10/19/2025	FCBSL
Federal Home Loan Bank Discount Notes 0.000 7/19/2017	30,600,000.00	1.60	$30,586,536.00	0.911	07/19/2017	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 7/21/2017	36,500,000.00	1.91	$36,481,932.50	0.973	07/21/2017	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 7/28/2017	2,700,000.00	0.14	$2,698,142.40	1.006	07/28/2017	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 7/31/2017	1,700,000.00	0.08	$1,698,691.00	1.001	07/31/2017	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 8/23/2017	1,800,000.00	0.09	$1,797,424.20	1.026	08/23/2017	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 8/25/2017	500,000.00	0.02	$499,256.50	1.016	08/25/2017	FHLBDN
FG A15404	26,654.75	0.00	$30,003.35	6.500	11/01/2033	FG
FG A38713	97,539.91	0.00	$114,046.92	6.500	01/01/2035	FG
FG A71059	24,842.25	0.00	$28,257.15	7.000	01/01/2038	FG
FG A81070	15,035.62	0.00	$16,677.35	6.500	08/01/2038	FG
FG C01797	30,826.58	0.00	$34,489.85	5.500	03/01/2034	FG
FG C90846	12,558.61	0.00	$13,845.80	5.500	08/01/2024	FG
FG D96325	36,914.49	0.00	$40,679.63	5.500	10/01/2023	FG
FG G01740	26,993.20	0.00	$30,241.03	5.500	12/01/2034	FG
FG G02096	93,846.17	0.00	$107,108.85	6.000	03/01/2036	FG
FG G02408	7,257.57	0.00	$8,096.75	5.500	12/01/2036	FG
FG G02977	176,352.42	0.01	$200,210.05	6.000	02/01/2036	FG
FG G03362	92,381.55	0.00	$103,964.82	6.000	09/01/2037	FG
FG G03781	32,846.20	0.00	$36,972.69	6.000	01/01/2038	FG
FG G04249	32,591.73	0.00	$36,460.77	5.500	11/01/2036	FG
FG G04473	20,941.19	0.00	$23,302.36	5.500	06/01/2038	FG
FG G04544	146,686.47	0.00	$166,774.45	6.000	08/01/2038	FG
FG G04715	89,782.52	0.00	$101,549.02	6.000	06/01/2038	FG
FG G04731	144,654.37	0.00	$161,081.45	5.500	04/01/2038	FG
FG G05142	26,642.52	0.00	$29,921.38	5.500	12/01/2035	FG
FG G06709	76,007.29	0.00	$82,339.98	4.500	04/01/2039	FG
FG G06947	40,922.28	0.00	$46,298.13	6.000	05/01/2040	FG
FG G07186	182,704.88	0.01	$203,405.34	5.500	06/01/2039	FG
FG G07546	62,280.99	0.00	$69,315.15	5.500	08/01/2040	FG
FG G07581	82,266.73	0.00	$91,491.28	5.500	03/01/2040	FG
FG G07583	141,255.10	0.00	$158,547.76	6.500	04/01/2039	FG
FG G07589	387,551.00	0.02	$431,522.61	5.500	06/01/2041	FG
FG G07605	91,440.23	0.00	$101,805.84	5.500	01/01/2041	FG
FG G07618	254,506.67	0.01	$283,270.81	5.500	08/01/2040	FG
FG G07700	295,998.90	0.01	$335,528.55	6.000	07/01/2040	FG
FG G07937	244,687.81	0.01	$277,285.90	6.000	07/01/2040	FG
FG G08112	55,965.16	0.00	$63,388.22	6.000	02/01/2036	FG
FG G08117	112,725.73	0.00	$127,931.48	6.000	03/01/2036	FG
FG G60020	171,356.81	0.00	$185,123.05	4.500	12/01/2043	FG
FG G60113	197,305.80	0.01	$223,559.70	6.000	05/01/2040	FG
FG G60385	852,463.66	0.04	$921,640.15	4.500	08/01/2044	FG
FG G60409	725,413.57	0.04	$782,724.14	4.500	07/01/2042	FG
FG G60473	647,871.96	0.03	$725,324.66	5.500	06/01/2041	FG
FG G60494	145,684.18	0.00	$162,445.83	5.500	01/01/2039	FG
FG G60547	271,905.02	0.01	$292,165.07	4.500	08/01/2044	FG
FG G60647	458,117.35	0.02	$503,911.08	5.000	12/01/2041	FG
FG G60672	442,756.66	0.02	$494,670.01	5.500	06/01/2041	FG
FG G61024	548,000.00	0.03	$606,151.14	5.000	04/01/2044	FG
FG Q00879	513,251.85	0.02	$566,170.94	5.000	05/01/2041	FG
FGLMC 3.5 7/17	6,000,000.00	0.32	$6,162,187.20	3.500	07/01/2046	FGLMC
FH 1G2685	44,924.60	0.00	$47,401.03	5.391	02/01/2038	FH
FH 1J1612	277,086.87	0.01	$294,429.02	3.307	05/01/2037	FH
FH 2B4726	504,496.19	0.02	$514,044.39	2.929	10/01/2045	FH
FH 2B5646	645,461.97	0.03	$648,221.71	2.553	10/01/2046	FH
FHASI 2005-AR2 2A1	116,395.83	0.00	$111,415.67	3.296	06/25/2035	FHASI
FHMS K719 A2	1,900,000.00	0.10	$1,943,537.74	2.731	06/25/2022	FHMS
FHMS KS03 A4	920,000.00	0.04	$950,717.60	3.161	05/25/2025	FHMS
FHR 1730 Z	30,139.32	0.00	$33,404.20	7.000	05/15/2024	FHR
FHR 2165 PE	90,246.28	0.00	$100,975.97	6.000	06/15/2029	FHR
FHR 2326 ZQ	51,548.81	0.00	$58,266.46	6.500	06/15/2031	FHR
FHR 3143 BC	2,175,555.43	0.12	$2,398,744.79	5.500	02/15/2036	FHR
FHR 3289 SA	1,016,306.29	0.00	$169,571.72	5.591	03/15/2037	FHR
FHR 3656 PM	673,112.89	0.03	$740,410.45	5.000	04/15/2040	FHR
FHR 4050 EI	1,376,240.86	0.00	$144,124.35	4.000	02/15/2039	FHR
FHR 4065 DE	120,000.00	0.00	$122,435.86	3.000	06/15/2032	FHR
FHR 4101 WI	706,910.18	0.00	$105,877.12	3.500	08/15/2032	FHR
FHR 4109 AI	2,883,055.29	0.01	$320,391.63	3.000	07/15/2031	FHR
FHR 4120 IK	2,334,166.86	0.01	$319,914.37	3.000	10/15/2032	FHR
FHR 4135 AI	1,173,605.13	0.01	$240,228.75	3.500	11/15/2042	FHR
FHR 4146 IA	1,224,123.40	0.00	$187,599.48	3.500	12/15/2032	FHR
FHR 4150 UI	1,259,944.56	0.00	$138,247.29	3.500	08/15/2032	FHR
FHR 4159 KS	1,091,212.68	0.01	$237,682.27	4.991	01/15/2043	FHR
FHR 4161 IM	353,926.59	0.00	$74,962.32	3.500	02/15/2043	FHR
FHR 4181 DI	776,305.53	0.00	$93,254.71	2.500	03/15/2033	FHR
FHR 4184 GS	1,271,641.59	0.01	$274,980.29	4.961	03/15/2043	FHR
FHR 4185 LI	603,484.19	0.00	$83,744.11	3.000	03/15/2033	FHR
FHR 4191 CI	255,578.92	0.00	$35,606.28	3.000	04/15/2033	FHR
FHR 4342 CI	454,061.79	0.00	$54,642.25	3.000	11/15/2033	FHR
FHR 4435 DY	1,305,000.00	0.06	$1,314,015.33	3.000	02/15/2035	FHR
FHR 4453 DI	583,417.83	0.00	$74,743.64	3.500	11/15/2033	FHR
FHR 4494 SA	326,309.71	0.00	$70,084.31	5.021	07/15/2045	FHR
FHR 4504 IO	584,695.43	0.00	$62,336.48	3.500	05/15/2042	FHR
FHR 4527 CI	1,535,566.82	0.01	$262,750.38	3.500	02/15/2044	FHR
FHR 4543 HI	627,153.00	0.00	$99,516.89	3.000	04/15/2044	FHR
FHR 4581 LI	579,238.63	0.00	$78,935.34	3.000	05/15/2036	FHR
FHR 4592 WT	2,401,080.99	0.14	$2,682,857.93	5.500	06/15/2046	FHR
FHR 4594 SG	3,451,443.01	0.04	$858,471.90	4.841	06/15/2046	FHR
FHR 4614 HB	605,000.00	0.02	$552,571.00	2.500	09/15/2046	FHR
FHR 4618 SA	710,483.24	0.00	$170,473.06	4.841	09/15/2046	FHR
FHR 4623 LZ	524,662.97	0.02	$460,027.90	2.500	10/15/2046	FHR
FHR 4623 MW	610,000.00	0.02	$562,867.74	2.500	10/15/2046	FHR
FHR 4625 BI	2,241,902.79	0.02	$450,683.89	3.500	06/15/2046	FHR
FHR 4625 PZ	273,407.14	0.01	$259,660.86	3.000	06/15/2046	FHR
FHR 4631 GS	2,481,686.51	0.02	$525,906.35	4.841	11/15/2046	FHR
FHR 4631 LJ	168,000.00	0.00	$166,869.71	3.000	03/15/2041	FHR
FHR 4636 NZ	671,992.27	0.03	$644,927.24	3.000	12/15/2046	FHR
FHR 4644 GI	889,556.74	0.00	$140,447.58	3.500	05/15/2040	FHR
FHR 4648 MZ	116,444.71	0.00	$111,125.95	3.000	06/15/2046	FHR
FHR 4648 SA	1,696,807.01	0.01	$375,782.18	4.841	01/15/2047	FHR
FHR 4650 JE	112,000.00	0.00	$108,418.95	3.000	07/15/2046	FHR
FHR 4655 WI	691,032.23	0.00	$111,922.41	3.500	08/15/2043	FHR
FHR 4657 JZ	130,511.60	0.00	$132,086.69	3.500	02/15/2047	FHR
FHR 4657 NW	146,000.00	0.00	$145,401.74	3.000	04/15/2045	FHR
FHR 4657 PS	1,749,284.20	0.02	$382,421.69	4.841	02/15/2047	FHR
FHR 4660 GI	502,610.51	0.00	$79,168.80	3.000	08/15/2043	FHR
FHR 4663 AI	1,204,427.53	0.00	$168,270.93	3.000	03/15/2042	FHR
FHR 4663 HZ	154,342.66	0.00	$150,321.82	3.500	03/15/2047	FHR
FHR 4664 ZC	113,849.62	0.00	$110,991.60	3.000	09/15/2045	FHR
FHR 4665 NI	3,720,290.60	0.02	$489,311.22	3.500	07/15/2041	FHR
FHR 4675 KS	1,337,508.24	0.01	$305,555.09	4.841	04/15/2047	FHR
FHR 4676 KZ	336,397.29	0.01	$294,795.10	2.500	07/15/2045	FHR
FHS 267 S5	1,594,600.64	0.01	$330,814.89	4.841	08/15/2042	FHS
FHS 299 S1	1,195,928.42	0.01	$240,990.22	4.841	01/15/2043	FHS
FHS 319 S2	487,625.41	0.00	$106,823.66	4.841	11/15/2043	FHS
FHS 326 S2	1,223,636.29	0.01	$245,143.54	4.791	03/15/2044	FHS
FHS 337 S1	1,027,856.82	0.01	$233,879.57	4.891	09/15/2044	FHS
Fifth Third Bancorp 2.600 6/15/2022	610,000.00	0.03	$607,492.30	2.600	06/15/2022	FITB
Fifth Third Bancorp 2.875 7/27/2020	435,000.00	0.02	$445,126.80	2.875	07/27/2020	FITB
Fifth Third Bank Cincinnati OH 2.082 8/20/2018	905,000.00	0.04	$909,504.19	2.082	08/20/2018	FITB
Fifth Third Bank Cincinnati OH 2.250 6/14/2021	665,000.00	0.03	$663,367.43	2.250	06/14/2021	FITB
Fifth Third Bank Cincinnati OH 3.850 3/15/2026	985,000.00	0.05	$1,004,790.62	3.850	03/15/2026	FITB
FIG 2013-2A A1R	400,000.00	0.02	$399,797.60	n/a	06/20/2027	FIG
FINNS 2012-1A A1R	2,359,436.57	0.12	$2,357,124.32	2.506	12/24/2023	FINNS
First Data Corp. 2.250 7/10/2022	661,064.03	0.03	$660,880.26	2.250	07/10/2022	FDC
First Data Corp. 3.672 4/26/2024	1,983,991.76	0.10	$1,985,727.75	3.672	04/26/2024	FDC
First Data Corp. 5.750 1/15/2024	510,000.00	0.02	$531,675.00	5.750	01/15/2024	FDC
First Data Corp. 7.000 12/1/2023	513,000.00	0.02	$548,910.00	7.000	12/01/2023	FDC
First Eagle Holdings Inc. 4.250 12/1/2022	1,509,719.65	0.08	$1,525,760.42	4.250	12/01/2022	ARNBLE
FIRSTENERGY CORP. 2.750 3/15/2018	1,000,000.00	0.05	$1,006,539.00	2.750	03/15/2018	FE
FLAGS 2014-8A AR	2,300,000.00	0.12	$2,300,105.80	2.408	01/16/2026	FLAGS
FLAT 2014-1A A1R	1,250,000.00	0.06	$1,252,640.00	2.338	07/17/2026	FLAT
Flex Acquisition Co. Inc. 4.250 12/16/2023	435,000.00	0.02	$437,283.75	4.250	12/16/2023	FLXACQ
Florida Gas Transmission Co. LLC 7.900 5/15/2019	320,000.00	0.01	$351,137.28	7.900	05/15/2019	CITCOR
FMG Resources August 2006 Pty Ltd. 4.750 5/15/2022	225,000.00	0.01	$226,406.25	4.750	05/15/2022	FMGAU
FMG Resources August 2006 Pty Ltd. 5.125 5/15/2024	235,000.00	0.01	$235,587.50	5.125	05/15/2024	FMGAU
FN 190370	22,383.25	0.00	$25,420.64	6.000	06/01/2036	FN
FN 255895	155,671.92	0.00	$167,635.67	4.500	09/01/2035	FN
FN 310104	127,432.94	0.00	$142,788.37	5.500	08/01/2037	FN
FN 310105	22,514.16	0.00	$25,184.96	5.500	11/01/2034	FN
FN 310141	243,939.76	0.01	$273,520.16	6.500	05/01/2040	FN
FN 636708	1,482.66	n/a	$1,661.74	7.500	04/01/2032	FN
FN 637091	313.02	n/a	$357.68	7.500	03/01/2032	FN
FN 725205	2,771.45	0.00	$3,032.01	5.000	03/01/2034	FN
FN 725705	26,672.39	0.00	$29,194.57	5.000	08/01/2034	FN
FN 733023	12,640.93	0.00	$12,943.35	4.500	08/01/2018	FN
FN 735503	214,760.78	0.01	$245,354.25	6.000	04/01/2035	FN
FN 745440	61,791.03	0.00	$63,269.32	4.500	07/01/2020	FN
FN 747631	4,671.23	0.00	$5,169.73	6.500	11/01/2033	FN
FN 761558	17,879.21	0.00	$19,905.25	5.500	12/01/2033	FN
FN 774996	17,487.89	0.00	$19,191.98	5.000	04/01/2034	FN
FN 814578	7,380.11	0.00	$8,141.99	5.000	04/01/2035	FN
FN 829473	47,271.98	0.00	$53,801.86	6.500	02/01/2036	FN
FN 830970	10,830.84	0.00	$11,436.75	2.576	08/01/2035	FN
FN 835751	177,196.86	0.01	$190,557.18	4.500	08/01/2035	FN
FN 869926	60,626.21	0.00	$67,165.53	6.500	03/01/2036	FN
FN 872891	50,166.77	0.00	$56,818.49	6.500	06/01/2036	FN
FN 878200	157,913.43	0.00	$182,037.83	6.000	09/01/2036	FN
FN 882694	114,300.24	0.00	$131,947.93	6.500	06/01/2036	FN
FN 888482	93,402.65	0.00	$100,693.98	4.500	05/01/2035	FN
FN 888657	389,200.59	0.02	$434,019.10	5.500	02/01/2035	FN
FN 889455	138,858.69	0.00	$157,785.21	6.000	05/01/2038	FN
FN 889522	13,595.22	0.00	$15,452.72	6.000	06/01/2037	FN
FN 889608	112,931.92	0.00	$125,977.47	5.500	03/01/2038	FN
FN 889959	46,302.05	0.00	$52,687.02	6.000	05/01/2036	FN
FN 890102	153,089.91	0.00	$173,188.23	6.000	12/01/2038	FN
FN 890248	36,609.53	0.00	$41,887.87	6.000	08/01/2037	FN
FN 890604	67,572.55	0.00	$73,491.33	4.500	10/01/2044	FN
FN 897160	16,283.42	0.00	$18,408.28	6.000	09/01/2036	FN
FN 922275	24,723.53	0.00	$28,072.15	6.000	12/01/2036	FN
FN 923096	15,819.03	0.00	$16,754.79	5.500	03/01/2037	FN
FN 928988	3,045.17	0.00	$3,323.91	5.000	12/01/2037	FN
FN 929964	74,999.39	0.00	$85,343.02	6.000	09/01/2038	FN
FN 931065	256,854.73	0.01	$277,870.76	4.500	05/01/2039	FN
FN 931988	140,446.27	0.00	$152,359.40	4.500	09/01/2039	FN
FN 941050	35,556.43	0.00	$35,495.80	5.817	08/01/2037	FN
FN 944052	19,488.43	0.00	$20,527.84	5.500	07/01/2037	FN
FN 944095	50,370.01	0.00	$52,788.88	2.069	07/01/2037	FN
FN 944130	73,105.40	0.00	$78,268.77	5.500	07/01/2037	FN
FN 944715	11,368.66	0.00	$12,891.87	6.000	07/01/2037	FN
FN 968119	27,771.65	0.00	$31,264.06	6.500	02/01/2038	FN
FN 974634	127,409.87	0.00	$139,072.38	5.000	03/01/2038	FN
FN 975194	15,903.66	0.00	$17,359.41	5.000	03/01/2038	FN
FN 984049	2,481.06	0.00	$2,708.16	5.000	06/01/2038	FN
FN 984762	4,713.95	0.00	$5,145.44	5.000	06/01/2038	FN
FN 988030	96,870.61	0.00	$109,311.39	6.000	08/01/2038	FN
FN 995020	126,040.03	0.00	$143,162.34	6.000	10/01/2038	FN
FN 995442	10,041.30	0.00	$11,393.47	6.000	12/01/2038	FN
FN AA0923	313,247.75	0.01	$354,539.57	6.000	09/01/2037	FN
FN AA2451	4,242.85	0.00	$4,631.22	5.000	02/01/2039	FN
FN AA4369	387,865.68	0.02	$416,827.42	4.500	05/01/2039	FN
FN AB0513	8,511.73	0.00	$9,666.09	6.500	11/01/2038	FN
FN AB2894	479,508.88	0.02	$520,474.43	4.500	06/01/2040	FN
FN AB2896	138,493.83	0.00	$149,680.70	4.500	08/01/2040	FN
FN AB2959	531,512.02	0.03	$574,712.73	4.500	07/01/2040	FN
FN AC5136	440,176.34	0.02	$479,607.82	4.500	11/01/2039	FN
FN AD0209	582,788.34	0.03	$662,896.21	6.000	09/01/2038	FN
FN AD0637	237,843.15	0.01	$271,145.00	6.000	03/01/2036	FN
FN AD4168	98,084.37	0.00	$107,265.57	5.000	05/01/2040	FN
FN AE0028	62,052.65	0.00	$70,341.03	6.000	10/01/2039	FN
FN AE0478	148,992.45	0.00	$157,320.20	4.000	11/01/2040	FN
FN AE0615	58,271.02	0.00	$66,202.57	6.000	11/01/2038	FN
FN AE0616	105,614.51	0.00	$120,053.84	6.000	03/01/2040	FN
FN AE7116	26,168.21	0.00	$27,619.44	4.000	10/01/2040	FN
FN AH9410	73,113.26	0.00	$79,015.18	4.500	04/01/2041	FN
FN AL0663	326,954.16	0.01	$370,732.01	6.000	09/01/2039	FN
FN AL2903	539,948.57	0.03	$611,277.29	5.500	09/01/2041	FN
FN AL3480	371,419.91	0.02	$420,782.17	6.000	07/01/2040	FN
FN AL4287	40,263.64	0.00	$45,903.57	6.000	11/01/2040	FN
FN AL5228	532,068.21	0.03	$577,432.08	4.500	01/01/2042	FN
FN AL5704	1,128,528.87	0.06	$1,155,954.49	3.103	04/01/2044	FN
FN AL5751	1,346,768.85	0.07	$1,520,484.93	6.500	03/01/2040	FN
FN AL6406	1,202,082.84	0.07	$1,371,483.96	6.000	10/01/2039	FN
FN AL7191	428,574.19	0.02	$488,917.69	6.000	07/01/2041	FN
FN AL8325	516,612.61	0.02	$559,819.97	4.500	03/01/2046	FN
FN AL8365	274,726.58	0.01	$310,356.17	6.000	05/01/2041	FN
FN AL9903	13,083,394.96	0.76	$14,650,622.13	5.500	05/01/2044	FN
FN AS3651	314,581.75	0.01	$340,689.30	4.500	10/01/2044	FN
FN AS7566	711,489.52	0.04	$768,779.79	4.500	07/01/2046	FN
FN AT2127	1,417,019.14	0.07	$1,422,710.17	3.000	04/01/2043	FN
FN AY8555	249,297.16	0.01	$253,976.42	2.910	07/01/2045	FN
FN BC4489	367,992.87	0.02	$411,403.04	5.500	06/01/2039	FN
FN BD2357	603,167.40	0.03	$646,941.01	4.500	07/01/2046	FN
FNCL 3 7/17	48,600,000.00	2.54	$48,524,062.50	3.000	07/01/2046	FNCL
FNCL 3.5 8/17	83,800,000.00	4.51	$85,892,477.62	3.500	08/01/2046	FNCL
FNCL 4 7/17	96,000,000.00	5.30	$100,897,497.60	4.000	07/01/2046	FNCL
FNCL 4.5 7/17	32,000,000.00	1.80	$34,317,475.20	4.500	07/01/2043	FNCL
FNCL 4.5 8/16	297,000.00	0.01	$318,137.82	4.500	08/01/2044	FNCL
FNGT 1999-T2 A1	9,310.82	0.00	$10,416.13	7.500	01/19/2039	FNGT
FNGT 2002-T4 A3	32,069.77	0.00	$36,051.75	7.500	12/25/2041	FNGT
FNGT 2004-T1 1A2	10,042.92	0.00	$11,543.32	6.500	01/25/2044	FNGT
FNR 1996-46 ZA	6,382.71	0.00	$7,375.63	7.500	11/25/2026	FNR
FNR 1999-19 PH	112,373.41	0.00	$125,156.56	6.000	05/25/2029	FNR
FNR 2001-14 Z	6,724.97	0.00	$7,397.70	6.000	05/25/2031	FNR
FNR 2002-90 A1	8,939.39	0.00	$10,376.54	6.500	06/25/2042	FNR
FNR 2002-90 A2	30,578.77	0.00	$35,108.01	6.500	11/25/2042	FNR
FNR 2005-110 MB	54,682.23	0.00	$57,324.72	5.500	09/25/2035	FNR
FNR 2005-70 PA	63,334.60	0.00	$70,795.04	5.500	08/25/2035	FNR
FNR 2007-30 OE	3,355,981.65	0.14	$2,831,872.96	0.000	04/25/2037	FNR
FNR 2008-15 SB	141,561.83	0.00	$27,243.81	5.384	08/25/2036	FNR
FNR 2008-24 ZA	13,619,771.10	0.78	$14,894,578.95	5.000	04/25/2038	FNR
FNR 2009-2 AS	1,044,546.00	0.00	$122,516.89	4.484	02/25/2039	FNR
FNR 2009-68 SA	304,931.41	0.00	$51,304.40	5.534	09/25/2039	FNR
FNR 2009-94 AC	180,218.49	0.01	$196,303.15	5.000	11/25/2039	FNR
FNR 2010-123 FE	2,223,346.84	0.11	$2,235,295.33	1.696	11/25/2040	FNR
FNR 2010-129 SM	1,075,629.98	0.00	$174,062.75	4.784	11/25/2040	FNR
FNR 2010-41 PN	475,000.00	0.02	$509,697.85	4.500	04/25/2040	FNR
FNR 2010-43 HJ	100,293.44	0.00	$115,661.53	5.500	05/25/2040	FNR
FNR 2010-96 DC	435,102.62	0.02	$463,797.20	4.000	09/25/2025	FNR
FNR 2011-118 DC	1,215,988.02	0.06	$1,272,961.19	4.000	11/25/2041	FNR
FNR 2012-115 MI	284,063.93	0.00	$35,700.67	3.500	03/25/2042	FNR
FNR 2012-120 WI	1,310,525.76	0.00	$125,977.83	3.000	11/25/2027	FNR
FNR 2012-122 SD	1,494,984.40	0.01	$296,664.26	4.884	11/25/2042	FNR
FNR 2012-139 NS	2,022,967.67	0.02	$493,083.60	5.484	12/25/2042	FNR
FNR 2012-98 MI	1,553,303.70	0.00	$169,213.95	3.000	08/25/2031	FNR
FNR 2012-99 AI	565,513.39	0.00	$66,378.83	3.500	05/25/2039	FNR
FNR 2013-103 SK	1,907,267.13	0.02	$423,929.98	4.704	10/25/2043	FNR
FNR 2013-26 ID	814,328.36	0.00	$113,065.18	3.000	04/25/2033	FNR
FNR 2013-38 AI	767,899.58	0.00	$105,606.54	3.000	04/25/2033	FNR
FNR 2013-41 HI	1,564,290.42	0.00	$173,233.28	3.000	02/25/2033	FNR
FNR 2013-43 IX	4,512,455.69	0.05	$1,032,402.03	4.000	05/25/2043	FNR
FNR 2013-44 DI	2,457,798.31	0.01	$350,563.39	3.000	05/25/2033	FNR
FNR 2013-45 PI	159,983.97	0.00	$22,097.31	3.000	05/25/2033	FNR
FNR 2013-55 AI	1,902,322.11	0.01	$267,543.34	3.000	06/25/2033	FNR
FNR 2013-59 PY	110,000.00	0.00	$102,057.19	2.500	06/25/2043	FNR
FNR 2013-69 IJ	366,013.44	0.00	$50,752.92	3.000	07/25/2033	FNR
FNR 2013-7 EI	855,409.13	0.00	$108,380.25	3.000	10/25/2040	FNR
FNR 2014-36 ZE	665,749.42	0.03	$624,425.69	3.000	06/25/2044	FNR
FNR 2014-68 BS	1,525,939.31	0.01	$322,160.88	4.934	11/25/2044	FNR
FNR 2014-90 SA	8,130,543.11	0.08	$1,590,095.19	4.934	01/25/2045	FNR
FNR 2015-27 SA	579,120.35	0.00	$113,040.59	5.234	05/25/2045	FNR
FNR 2015-40 GZ	431,286.22	0.02	$426,372.27	3.500	05/25/2045	FNR
FNR 2015-43 PZ	451,721.23	0.02	$468,082.98	3.500	06/25/2045	FNR
FNR 2015-44 Z	1,640,414.63	0.08	$1,606,077.96	3.000	09/25/2043	FNR
FNR 2015-89 AZ	154,306.77	0.00	$158,576.16	3.500	12/25/2045	FNR
FNR 2015-95 SH	1,441,778.61	0.01	$321,720.06	4.784	01/25/2046	FNR
FNR 2016-105 SA	1,566,658.73	0.01	$347,552.27	4.784	01/25/2047	FNR
FNR 2016-30 CI	972,658.59	0.00	$132,587.08	3.000	05/25/2036	FNR
FNR 2016-33 DI	2,391,842.48	0.01	$362,577.49	3.500	06/25/2036	FNR
FNR 2016-36 SB	764,647.01	0.00	$131,452.30	4.784	03/25/2043	FNR
FNR 2016-40 IO	320,478.59	0.00	$49,663.86	3.500	07/25/2036	FNR
FNR 2016-40 ZC	343,128.51	0.01	$321,297.34	3.000	07/25/2046	FNR
FNR 2016-50 IB	137,729.42	0.00	$20,120.13	3.000	02/25/2046	FNR
FNR 2016-55 SK	1,176,689.11	0.01	$270,148.29	4.784	08/25/2046	FNR
FNR 2016-6 AI	1,216,171.17	0.00	$154,948.48	3.500	04/25/2034	FNR
FNR 2016-62 SA	2,317,201.43	0.02	$570,531.37	4.784	09/25/2046	FNR
FNR 2016-64 CI	1,187,573.64	0.00	$172,097.35	3.500	07/25/2043	FNR
FNR 2016-74 GS	1,546,464.84	0.02	$386,959.53	4.784	10/25/2046	FNR
FNR 2016-79 JS	1,195,312.83	0.01	$260,870.09	4.834	11/25/2046	FNR
FNR 2016-85 SA	2,378,028.67	0.02	$564,097.65	4.784	11/25/2046	FNR
FNR 2016-99 DI	664,747.54	0.00	$110,413.77	3.500	01/25/2046	FNR
FNR 2017-11 EI	1,915,952.86	0.01	$263,636.84	3.000	03/25/2042	FNR
FNR 2017-12 JI	661,697.40	0.00	$88,267.12	3.500	05/25/2040	FNR
FNR 2017-16 SM	2,380,360.29	0.02	$511,967.42	4.834	03/25/2047	FNR
FNR 2017-16 WI	415,308.31	0.00	$53,764.53	3.000	01/25/2045	FNR
FNR 2017-16 YT	19,000.00	0.00	$19,234.02	3.000	07/25/2046	FNR
FNR 2017-21 ZD	386,361.04	0.02	$382,208.97	3.500	04/25/2047	FNR
FNR 2017-25 BL	157,000.00	0.00	$145,364.42	3.000	04/25/2047	FNR
FNR 2017-25 GS	162,998.53	0.00	$26,533.94	5.484	04/25/2047	FNR
FNR 2017-39 CY	904,000.00	0.04	$913,152.01	3.500	05/25/2047	FNR
FNR 2017-4 AI	1,255,892.31	0.00	$152,013.71	3.500	05/25/2041	FNR
FNR 2017-4 BI	711,833.14	0.00	$107,138.58	3.500	05/25/2041	FNR
FNR 2017-40 GZ	332,933.65	0.01	$342,283.89	3.500	05/25/2047	FNR
FNR 2017-45 JZ	115,287.50	0.00	$101,542.62	3.000	06/25/2047	FNR
FNR 2017-45 ZK	245,714.58	0.01	$243,469.49	3.500	06/25/2047	FNR
FNR 2017-46 VG	201,000.00	0.01	$207,952.63	3.500	04/25/2038	FNR
FNR 2017-6 NI	136,759.76	0.00	$24,365.94	3.500	03/25/2046	FNR
FNR 2017-8 BZ	1,088,504.86	0.05	$1,008,832.07	3.000	02/25/2047	FNR
FNR 2017-8 SG	1,944,974.75	0.02	$439,546.21	4.784	02/25/2047	FNR
FNS 419 C3	445,001.84	0.00	$73,177.17	3.000	11/25/2043	FNS
FNW 2004-W11 1A2	52,338.32	0.00	$60,368.70	6.500	05/25/2044	FNW
FNW 2004-W15 1A1	45,634.89	0.00	$51,525.74	6.000	08/25/2044	FNW
FNW 2004-W4 A5	533,077.85	0.02	$552,262.63	5.500	06/25/2034	FNW
FORD MOTOR CREDIT 1.897 8/12/2019	1,000,000.00	0.05	$992,900.00	1.897	08/12/2019	F
FORD MOTOR CREDIT 3.200 1/15/2021	4,600,000.00	0.24	$4,672,459.20	3.200	01/15/2021	F
Ford Motor Credit Co. LLC 2.240 6/15/2018	4,000,000.00	0.21	$4,010,708.00	2.240	06/15/2018	F
Ford Motor Credit Co. LLC 3.096 5/4/2023	1,340,000.00	0.06	$1,325,729.00	3.096	05/04/2023	F
Ford Motor Credit Co. LLC 5.750 2/1/2021	700,000.00	0.04	$770,802.90	5.750	02/01/2021	F
FORDF 2014-4 A2	1,240,000.00	0.06	$1,240,322.77	1.509	08/15/2019	FORDF
Forterra Finance LLC 4.180 10/25/2023	1,041,875.62	0.05	$986,135.27	4.180	10/25/2023	FRTA
Fortis Inc. Canada 2.100 10/4/2021	325,000.00	0.01	$318,607.90	2.100	10/04/2021	FTSCN
Fortis Inc. Canada 3.055 10/4/2026	1,970,000.00	0.10	$1,905,021.52	3.055	10/04/2026	FTSCN
Freeport-McMoRan Inc. 4.550 11/14/2024	650,000.00	0.03	$615,875.00	4.550	11/14/2024	FCX
Freeport-McMoRan Inc. 6.875 2/15/2023	410,000.00	0.02	$434,600.00	6.875	02/15/2023	FCX
FREMF 2011-K10 B	550,000.00	0.03	$582,740.07	4.793	11/25/2049	FREMF
FREMF 2011-K12 B	685,000.00	0.03	$725,769.69	4.492	01/25/2046	FREMF
FREMF 2011-K15 B	75,000.00	0.00	$81,586.06	5.116	08/25/2044	FREMF
FREMF 2011-K704 B	650,000.00	0.03	$665,263.89	4.690	10/25/2030	FREMF
FREMF 2012-K22 B	665,000.00	0.03	$689,720.71	3.811	08/25/2045	FREMF
FREMF 2012-K23 B	1,500,000.00	0.08	$1,552,097.70	3.781	10/25/2045	FREMF
FREMF 2012-K708 B	885,000.00	0.04	$905,097.82	3.883	02/25/2045	FREMF
FREMF 2013-K32 B	650,000.00	0.03	$671,757.19	3.651	10/25/2046	FREMF
FREMF 2013-K33 B	505,000.00	0.02	$515,501.48	3.617	08/25/2046	FREMF
FREMF 2013-K712 B	470,000.00	0.02	$480,942.31	3.480	05/25/2045	FREMF
FREMF 2013-K713 B	285,000.00	0.01	$290,302.54	3.274	04/25/2046	FREMF
FREMF 2013-K713 C	945,000.00	0.04	$950,917.59	3.274	04/25/2046	FREMF
FREMF 2014-K41 B	1,245,000.00	0.06	$1,268,704.43	3.962	11/25/2047	FREMF
FREMF 2014-K716 B	500,000.00	0.02	$517,594.25	4.083	08/25/2047	FREMF
Frontier Communications Corp. 4.960 6/1/2024	1,330,000.00	0.06	$1,311,712.50	4.960	06/01/2024	FTR
FSPC T-54 2A	15,373.06	0.00	$18,110.03	6.500	02/25/2043	FSPC
FSPC T-58 2A	7,876.81	0.00	$9,124.37	6.500	09/25/2043	FSPC
G2 616376	5,275.80	0.00	$5,846.21	6.000	04/20/2034	G2
G2 AR8426	204,481.31	0.01	$223,124.26	5.500	04/20/2040	G2
G2 AR8429	234,694.29	0.01	$260,466.38	5.500	05/20/2037	G2
G2 AS6771	257,481.88	0.01	$286,183.69	6.000	02/20/2039	G2
G2 MA3602	298,979.84	0.01	$333,529.08	6.000	04/20/2046	G2
G2 MA3940	97,723.07	0.00	$105,284.67	5.000	09/20/2046	G2
G2 MA4074	950,793.55	0.05	$1,062,138.61	6.000	02/20/2040	G2
G2 MA4075	359,268.68	0.02	$405,433.41	6.500	10/20/2039	G2
G2 MA4201	427,512.97	0.02	$475,144.54	6.000	10/20/2039	G2
G2SF 4 8/17	6,000,000.00	0.33	$6,304,218.60	4.000	08/20/2046	G2SF
GAIN Capital Holdings Inc. 4.125 12/1/2018	359,000.00	0.01	$345,537.50	4.125	12/01/2018	GCAP
GALXY 2013-16A A2R	1,500,000.00	0.07	$1,500,747.00	2.310	11/16/2025	GALXY
Gardner Denver Inc. 4.250 7/23/2020	985,784.98	0.05	$989,235.23	4.250	07/23/2020	GDI
Gates Global LLC 4.250 3/30/2024	722,427.47	0.03	$724,083.27	4.250	03/30/2024	GATGLO
Gazprom OAO Via Gaz Capital S.A. 4.950 3/23/2027	1,065,000.00	0.05	$1,072,721.25	4.950	03/23/2027	GAZPRU
GBP USD FWD 20170705 0.000 7/5/2017	-12,316,000.00	-0.85	-$16,043,613.17	0.000	07/05/2017	GBC070517
GBP/USD HSB 07/21/17	453,906.05	0.03	$591,618.88	0.000	07/21/2017	KBUSH7217
GCCT 2014-2A A	420,000.00	0.02	$421,111.11	1.609	03/15/2021	GCCT
GE Capital International Funding Co. Unlimited Co. 2.342 11/15/2020	251,000.00	0.01	$253,106.64	2.342	11/15/2020	GE
GEDFT 2014-2 A	1,000,000.00	0.05	$1,000,837.00	1.662	10/20/2019	GEDFT
General Cable Corp. 4.500 11/15/2029	811,000.00	0.03	$614,839.38	4.500	11/15/2029	BGC
General Electric Co. 1.551 5/5/2026	920,000.00	0.04	$904,401.40	1.551	05/05/2026	GE
General Electric Co. 4.250 1/17/2018	140,000.00	0.00	$103,537.69	4.250	01/17/2018	GE
General Electric Co. 4.650 10/17/2021	89,000.00	0.00	$98,086.81	4.650	10/17/2021	GE
General Electric Co. 5.000 12/29/2049	2,448,000.00	0.13	$2,601,367.20	0.000	12/29/2049	GE
General Electric Co. 5.550 5/4/2020	470,000.00	0.02	$516,601.44	5.550	05/04/2020	GE
General Electric Co. 6.000 8/7/2019	1,025,000.00	0.05	$1,114,316.45	6.000	08/07/2019	GE
General Motors Co. 6.750 4/1/2046	245,000.00	0.01	$291,930.73	6.750	04/01/2046	GM
General Motors Financial Co. Inc. 3.000 9/25/2017	3,400,000.00	0.17	$3,409,866.80	3.000	09/25/2017	GM
General Motors Financial Co. Inc. 3.700 5/9/2023	525,000.00	0.02	$533,726.55	3.700	05/09/2023	GM
General Motors Financial Co. Inc. 4.375 9/25/2021	800,000.00	0.04	$847,160.00	4.375	09/25/2021	GM
General Motors Financial Co. Inc. 4.750 8/15/2017	900,000.00	0.04	$903,094.20	4.750	08/15/2017	GM
General Motors Financial Co. Inc. 5.250 3/1/2026	725,000.00	0.04	$784,490.60	5.250	03/01/2026	GM
Genesis Energy LP Genesis Energy Finance Corp. 5.625 6/15/2024	315,000.00	0.01	$300,037.50	5.625	06/15/2024	GEL
Genesis Energy LP Genesis Energy Finance Corp. 5.750 2/15/2021	30,000.00	0.00	$30,075.00	5.750	02/15/2021	GEL
Genesis Energy LP Genesis Energy Finance Corp. 6.000 5/15/2023	30,000.00	0.00	$29,550.00	6.000	05/15/2023	GEL
Genesis Energy LP Genesis Energy Finance Corp. 6.750 8/1/2022	375,000.00	0.01	$377,812.50	6.750	08/01/2022	GEL
Genesys Telecommunications Laboratories Inc. 5.000 12/1/2023	1,031,651.65	0.05	$1,036,036.17	5.000	12/01/2023	GCTI
Genesys Telecommunications Laboratories Inc. Greeneden Lux 3 Sarl Greeneden US Ho 10.000 11/30/2024	20,000.00	0.00	$22,525.00	10.000	11/30/2024	GENLAB
Genoa a QoL Healthcare Co. LLC 4.750 10/26/2023	957,762.50	0.05	$963,149.91	4.750	10/26/2023	QOLMED
GEO Group Inc. 5.125 4/1/2023	140,000.00	0.00	$141,400.00	5.125	04/01/2023	GEO
GEO Group Inc. 5.875 10/15/2024	40,000.00	0.00	$41,500.00	5.875	10/15/2024	GEO
GEO Group Inc. 6.000 4/15/2026	85,000.00	0.00	$88,612.50	6.000	04/15/2026	GEO
Georgia-Pacific LLC 2.539 11/15/2019	1,050,000.00	0.05	$1,059,969.75	2.539	11/15/2019	GP
Georgia-Pacific LLC 8.000 1/15/2024	2,242,000.00	0.15	$2,880,082.17	8.000	01/15/2024	GP
GLM 2017-1A A	1,190,000.00	0.06	$1,194,626.72	2.346	04/20/2029	GLM
GLP Capital LP GLP Financing II Inc. 5.375 4/15/2026	730,000.00	0.04	$799,196.70	5.375	04/15/2026	GLPI
GMACM 2006-J1 A1	60,609.16	0.00	$59,574.31	5.750	04/25/2036	GMACM
GN 782048	161,622.37	0.00	$189,926.33	7.000	12/15/2034	GN
GN 784244	290,311.46	0.01	$323,723.12	5.500	02/15/2041	GN
GNR 2008-65 SB	855,058.60	0.00	$130,452.61	4.788	08/20/2038	GNR
GNR 2009-2 SE	2,602,298.54	0.01	$370,984.98	4.608	01/20/2039	GNR
GNR 2010-113 KE	1,170,000.00	0.06	$1,284,148.59	4.500	09/20/2040	GNR
GNR 2011-H21 FT	10,278,257.29	0.54	$10,377,820.71	1.760	10/20/2061	GNR
GNR 2011-H23 FA	6,890,665.08	0.36	$6,930,271.24	1.693	10/20/2061	GNR
GNR 2012-136 MX	240,000.00	0.01	$220,712.16	2.000	11/20/2042	GNR
GNR 2012-H08 FB	1,115,990.25	0.05	$1,119,385.20	1.593	03/20/2062	GNR
GNR 2012-H18 NA	641,681.06	0.03	$641,554.39	1.513	08/20/2062	GNR
GNR 2012-H29 SA	5,065,613.98	0.26	$5,059,966.33	1.508	10/20/2062	GNR
GNR 2013-113 AZ	1,688,177.24	0.08	$1,642,835.16	3.000	08/20/2043	GNR
GNR 2013-113 LY	173,000.00	0.00	$173,307.75	3.000	05/20/2043	GNR
GNR 2015-133 AL	1,725,000.00	0.08	$1,695,209.60	3.000	05/20/2045	GNR
GNR 2015-142 AI	427,380.37	0.00	$54,713.11	4.000	02/20/2044	GNR
GNR 2015-64 GZ	638,016.58	0.02	$537,274.34	2.000	05/20/2045	GNR
GNR 2015-74 CI	1,260,539.18	0.00	$171,152.86	3.000	10/16/2039	GNR
GNR 2015-H10 FA	16,133,909.98	0.84	$16,095,136.97	1.593	04/20/2065	GNR
GNR 2015-H11 FC	1,970,774.45	0.10	$1,961,313.75	1.543	05/20/2065	GNR
GNR 2015-H12 FB	7,895,760.91	0.41	$7,877,105.60	1.593	05/20/2065	GNR
GNR 2015-H20 FB	2,138,953.38	0.11	$2,133,654.34	1.593	08/20/2065	GNR
GNR 2015-H30 FD	167,442.49	0.00	$167,740.82	1.593	10/20/2065	GNR
GNR 2016-108 SK	1,767,326.25	0.02	$414,538.21	4.838	08/20/2046	GNR
GNR 2016-111 PB	579,000.00	0.02	$532,411.75	2.500	08/20/2046	GNR
GNR 2016-116 GI	2,194,785.18	0.01	$348,821.16	3.500	11/20/2044	GNR
GNR 2016-118 DI	2,492,082.36	0.01	$376,615.95	3.500	03/20/2043	GNR
GNR 2016-118 ES	1,124,414.03	0.01	$264,207.84	4.888	09/20/2046	GNR
GNR 2016-120 AS	1,906,746.12	0.02	$462,448.28	4.888	09/20/2046	GNR
GNR 2016-120 NS	2,552,312.89	0.03	$632,044.04	4.888	09/20/2046	GNR
GNR 2016-121 JS	1,855,127.74	0.02	$453,044.08	4.888	09/20/2046	GNR
GNR 2016-126 NS	1,281,203.12	0.01	$299,488.92	4.888	09/20/2046	GNR
GNR 2016-134 MW	98,000.00	0.00	$99,662.55	3.000	10/20/2046	GNR
GNR 2016-147 ST	1,206,665.58	0.01	$282,739.85	4.838	10/20/2046	GNR
GNR 2016-149 GI	1,125,855.78	0.01	$242,420.28	4.000	11/20/2046	GNR
GNR 2016-156 PB	362,000.00	0.01	$299,725.72	2.000	11/20/2046	GNR
GNR 2016-160 GI	1,512,065.99	0.01	$357,502.75	3.500	11/20/2046	GNR
GNR 2016-160 GS	3,465,012.64	0.04	$850,709.46	4.888	11/20/2046	GNR
GNR 2016-160 VZ	176,553.41	0.00	$151,278.89	2.500	11/20/2046	GNR
GNR 2016-163 MI	1,214,704.54	0.00	$145,764.42	3.500	11/20/2046	GNR
GNR 2016-163 PI	3,134,186.63	0.02	$477,151.71	3.500	05/20/2043	GNR
GNR 2016-163 XI	1,767,504.23	0.01	$238,422.53	3.000	10/20/2046	GNR
GNR 2016-171 IP	1,553,893.20	0.01	$230,908.37	3.000	03/20/2046	GNR
GNR 2016-89 QS	1,094,669.68	0.01	$268,687.22	4.838	07/20/2046	GNR
GNR 2016-H06 FD	2,042,643.11	0.10	$2,068,828.98	1.913	07/20/2065	GNR
GNR 2017-10 IB	1,535,956.69	0.01	$361,068.55	4.000	01/20/2047	GNR
GNR 2017-10 KZ	121,507.52	0.00	$113,310.73	3.000	01/20/2047	GNR
GNR 2017-18 QI	1,225,583.86	0.01	$214,347.63	4.000	03/16/2041	GNR
GNR 2017-18 QS	1,451,544.77	0.01	$330,518.92	4.928	02/16/2047	GNR
GNR 2017-25 CZ	458,308.16	0.02	$463,510.65	3.500	02/20/2047	GNR
GNR 2017-26 SA	1,560,575.20	0.01	$317,417.87	4.888	02/20/2047	GNR
GNR 2017-34 DY	230,000.00	0.01	$231,095.88	3.500	03/20/2047	GNR
GNR 2017-4 BW	106,000.00	0.00	$101,394.89	3.000	01/20/2047	GNR
GNR 2017-56 JZ	271,351.69	0.01	$254,272.92	3.000	04/20/2047	GNR
Goldman Sachs Group Inc. 2.268 6/5/2023	505,000.00	0.02	$505,671.15	2.268	06/05/2023	GS
Goldman Sachs Group Inc. 2.446 9/15/2020	3,000,000.00	0.16	$3,052,890.00	2.446	09/15/2020	GS
Goldman Sachs Group Inc. 2.800 11/29/2023	875,000.00	0.04	$903,988.75	2.800	11/29/2023	GS
Goldman Sachs Group Inc. 3.035 8/21/2019	140,000.00	0.00	$108,631.94	3.035	08/21/2019	GS
Goldman Sachs Group Inc. 3.550 2/12/2021	100,000.00	0.00	$80,336.98	3.550	02/12/2021	GS
Goldman Sachs Group Inc. 3.691 6/5/2028	2,720,000.00	0.14	$2,734,478.56	3.691	06/05/2028	GS
Goldman Sachs Group Inc. 5.150 5/22/2045	1,410,000.00	0.08	$1,572,347.40	5.150	05/22/2045	GS
Goldman Sachs Group Inc. 5.200 12/17/2019	206,000.00	0.00	$157,598.90	5.200	12/17/2019	GS
Goldman Sachs Group Inc. 5.950 1/18/2018	700,000.00	0.03	$715,745.80	5.950	01/18/2018	GS
Goodman Funding Pty Ltd. 6.375 11/12/2020	5,300,000.00	0.31	$5,926,279.80	6.375	11/12/2020	GMGAU
Goodman US Finance Two LLC 6.000 3/22/2022	300,000.00	0.01	$338,923.20	6.000	03/22/2022	GMGAU
Goodyear Tire & Rubber Co. 4.875 3/15/2027	370,000.00	0.01	$376,475.00	4.875	03/15/2027	GT
Goodyear Tire & Rubber Co. 5.000 5/31/2026	530,000.00	0.02	$549,875.00	5.000	05/31/2026	GT
Gray Television Inc. 5.875 7/15/2026	750,000.00	0.04	$766,875.00	5.875	07/15/2026	GTN
GRCE 2014-GRCE A	2,200,000.00	0.12	$2,284,803.62	3.369	06/10/2028	GRCE
GRCE 2014-GRCE B	1,455,000.00	0.07	$1,495,108.53	3.520	06/10/2028	GRCE
Great Plains Energy Inc. 3.150 4/1/2022	965,000.00	0.05	$976,144.79	3.150	04/01/2022	GXP
Great Plains Energy Inc. 3.900 4/1/2027	535,000.00	0.02	$542,343.95	3.900	04/01/2027	GXP
Great Plains Energy Inc. 4.850 6/1/2021	545,000.00	0.03	$581,234.87	4.850	06/01/2021	GXP
Grupo Televisa SAB 6.125 1/31/2046	570,000.00	0.03	$637,760.63	6.125	01/31/2046	TELVIS
GSAMP 2006-FM3 A2D	1,143,523.49	0.03	$681,454.01	1.446	11/25/2036	GSAMP
GSAMP 2007-SEA1 A	1,046,776.01	0.05	$976,029.55	1.516	12/25/2036	GSAMP
GSMS 2010-C1 C	375,000.00	0.02	$397,342.24	5.635	08/10/2043	GSMS
GSMS 2016-RENT A 144A	2,300,000.00	0.12	$2,361,519.71	3.203	02/10/2029	36251GAA2
GSMS 2017-GS5 A4	1,205,000.00	0.06	$1,257,538.96	3.674	03/10/2050	GSMS
GSMS 2017-GS6 A3	735,000.00	0.03	$751,603.28	3.433	05/10/2050	GSMS
GSMS 2017-GS6 XA	21,996,095.50	0.09	$1,870,921.89	1.199	05/10/2050	GSMS
GSR 2007-AR1 2A1	1,096,573.92	0.05	$1,022,103.39	3.298	03/25/2047	GSR
GTP Acquisition Partners I LLC 2.350 6/15/2020	530,000.00	0.02	$524,347.44	2.350	06/15/2020	AMTTOW
Gulfport Energy Corp. 6.000 10/15/2024	520,000.00	0.02	$508,300.00	6.000	10/15/2024	GPOR
GULFPORT ENERGY CORP. 6.625 5/1/2023	245,000.00	0.01	$246,837.50	6.625	05/01/2023	GPOR
Hanesbrands Inc. 4.875 5/15/2026	630,000.00	0.03	$642,600.00	4.875	05/15/2026	HBI
HASC 2006-HE1 2A1	33,447.41	0.00	$18,036.57	1.266	10/25/2036	HASC
HBOS PLC 1.923 9/6/2017	500,000.00	0.02	$499,795.00	1.923	09/06/2017	LLOYDS
HCA Inc. 2.000 3/18/2023	228,694.33	0.01	$229,567.71	2.000	03/18/2023	HCA
HCA Inc. 3.750 3/15/2019	2,600,000.00	0.13	$2,658,500.00	3.750	03/15/2019	HCA
HCA Inc. 5.375 2/1/2025	795,000.00	0.04	$840,553.50	5.375	02/01/2025	HCA
HCA Inc. 7.580 9/15/2025	30,000.00	0.00	$34,575.00	7.580	09/15/2025	HCA
HCP Inc. 5.375 2/1/2021	2,300,000.00	0.13	$2,511,901.30	5.375	02/01/2021	HCP
HD Supply Inc. 5.750 4/15/2024	510,000.00	0.02	$543,150.00	5.750	04/15/2024	HDSUPP
HEALTH CARE REIT INC. 2.250 3/15/2018	400,000.00	0.02	$401,126.40	2.250	03/15/2018	HCN
HealthSouth Corp. 5.125 3/15/2023	235,000.00	0.01	$243,225.00	5.125	03/15/2023	HLS
HealthSouth Corp. 5.750 11/1/2024	643,000.00	0.03	$662,611.50	5.750	11/01/2024	HLS
HealthSouth Corp. 5.750 9/15/2025	270,000.00	0.01	$285,525.00	5.750	09/15/2025	HLS
HEATHROW FUNDING LTD. 4.875 7/15/2021	200,000.00	0.01	$215,675.00	4.875	07/15/2021	HTHROW
Heineken NV 3.500 1/29/2028	385,000.00	0.02	$391,599.29	3.500	01/29/2028	HEIANA
Helix Energy Solutions Group Inc. 4.250 5/1/2022	479,000.00	0.02	$449,361.88	4.250	05/01/2022	HLX
Hellenic Republic Government Bond 3.375 7/17/2017	3,800,000.00	0.22	$4,343,902.55	3.375	07/17/2017	GGB
Herc Rentals Inc. 7.500 6/1/2022	9,000.00	0.00	$9,540.00	7.500	06/01/2022	HERCRE
Herc Rentals Inc. 7.750 6/1/2024	361,000.00	0.02	$382,660.00	7.750	06/01/2024	HERCRE
HEWLETT PACKARD ENTERPRISE 2.850 10/5/2018	150,000.00	0.00	$151,333.50	3.100	10/05/2018	HPE
Hewlett Packard Enterprise Co. 2.450 10/5/2017	106,000.00	0.00	$106,286.41	2.347	10/05/2017	HPE
Hexion Inc. 10.375 2/1/2022	40,000.00	0.00	$39,800.00	10.375	02/01/2022	HXN
Hilcorp Energy I LP Hilcorp Finance Co. 5.000 12/1/2024	700,000.00	0.03	$647,500.00	5.000	12/01/2024	HILCRP
Hilcorp Energy I LP Hilcorp Finance Co. 5.750 10/1/2025	40,000.00	0.00	$37,900.00	5.750	10/01/2025	HILCRP
Hill-Rom Holdings Inc. 5.000 2/15/2025	245,000.00	0.01	$251,125.00	5.000	02/15/2025	HRC
Hill-Rom Holdings Inc. 5.750 9/1/2023	325,000.00	0.01	$343,687.50	5.750	09/01/2023	HRC
Hilton Worldwide Finance LLC Hilton Worldwide Finance Corp. 4.875 4/1/2027	365,000.00	0.02	$382,793.75	4.875	04/01/2027	HLT
Hilton Worldwide Finance LLC 2.000 10/25/2023	2,025,349.96	0.10	$2,033,647.82	2.000	10/25/2023	HLT
HLA 2012-1A A1	276,310.26	0.01	$276,319.65	2.682	08/15/2023	HLA
Holly Energy Partners LP Holly Energy Finance Corp. 6.000 8/1/2024	40,000.00	0.00	$41,800.00	6.000	08/01/2024	HEP
Hologic Inc. 2.000 3/1/2042	239,000.00	0.01	$350,732.50	2.000	03/01/2042	HOLX
HOOTY 2014-1A A2	1,020,600.00	0.05	$965,263.07	4.846	08/20/2044	HOOTY
Hospitality Properties Trust 4.500 3/15/2025	870,000.00	0.04	$894,362.62	4.500	03/15/2025	HPT
Host Hotels & Resorts LP 3.750 10/15/2023	1,270,000.00	0.06	$1,296,564.59	3.750	10/15/2023	HST
Host Hotels & Resorts LP 3.875 4/1/2024	250,000.00	0.01	$254,606.75	3.875	04/01/2024	HST
Host Hotels & Resorts LP 4.500 2/1/2026	45,000.00	0.00	$47,274.93	4.500	02/01/2026	HST
Houghton International Inc. 4.000 12/20/2019	10,982.50	0.00	$11,051.14	4.000	12/20/2019	HGHP
Hoya Midco LLC 5.293 6/27/2024	710,000.00	0.03	$711,775.00	5.293	06/27/2024	VIVSEA
HSBC Bank PLC 1.822 5/15/2018	620,000.00	0.03	$622,570.52	1.822	05/15/2018	HSBC
HSBC Holdings PLC 2.650 1/5/2022	200,000.00	0.01	$199,449.40	2.650	01/05/2022	HSBC
HSBC Holdings PLC 2.799 1/5/2022	2,000,000.00	0.10	$2,058,650.00	2.650	01/05/2022	HSBC
HSBC Holdings PLC 2.849 5/25/2021	900,000.00	0.04	$931,538.70	2.849	05/25/2021	HSBC
HSBC Holdings PLC 4.375 11/23/2026	360,000.00	0.01	$374,299.92	4.375	11/23/2026	HSBC
HSBC Holdings PLC 6.000 12/29/2049	900,000.00	0.06	$1,155,148.12	6.000	12/29/2049	HSBC
HUB International Ltd. 4.250 10/2/2020	447,686.38	0.02	$449,857.66	4.250	10/02/2020	HBGCN
HUB International Ltd. 7.875 10/1/2021	120,000.00	0.00	$125,400.00	7.875	10/01/2021	HBGCN
HudBay Minerals Inc. 7.250 1/15/2023	10,000.00	0.00	$10,362.50	7.250	01/15/2023	HBMCN
HudBay Minerals Inc. 7.625 1/15/2025	325,000.00	0.01	$342,062.50	7.625	01/15/2025	HBMCN
HULLS 2014-1A AR	500,000.00	0.02	$499,748.00	2.378	10/18/2026	HULLS
HUNGARIAN FORINT	0.20	0.00	$0.00	0.000	-	FORINT
Hungary Government Bond 3.000 6/26/2024	161,600,000.00	0.03	$620,650.71	3.000	06/26/2024	HGB
Hungary Government International Bond 5.750 11/22/2023	1,160,000.00	0.06	$1,328,492.32	5.750	11/22/2023	REPHUN
Huntington Bancshares Inc. OH 2.300 1/14/2022	670,000.00	0.03	$660,569.75	2.300	01/14/2022	HBAN
Huntington Bancshares Inc. OH 8.500 12/31/2049	305.00	0.02	$440,420.00	85.000	12/31/2049	HBAN
Huntington National Bank 2.375 3/10/2020	275,000.00	0.01	$276,130.53	2.375	03/10/2020	HBAN
HYATT 2015-HYT A	900,000.00	0.04	$900,544.32	2.459	11/15/2029	HYATT
Hyperion Insurance Group Ltd. 5.500 3/26/2022	1,372,606.03	0.07	$1,383,758.46	5.500	03/26/2022	HYPINS
Hyundai Capital America 2.125 10/2/2017	615,000.00	0.03	$615,476.01	2.125	10/02/2017	HYNMTR
Hyundai Capital America 2.550 2/6/2019	715,000.00	0.03	$717,982.27	2.550	02/06/2019	HYNMTR
Hyundai Capital America 3.000 3/18/2021	580,000.00	0.03	$584,056.52	3.000	03/18/2021	HYNMTR
IASIS Healthcare LLC 5.250 2/17/2021	44,818.58	0.00	$45,143.52	5.250	02/17/2021	IAS
ICE - CDX.HY27- 12 20 2021 - CREDIT SUISSE F 5.000000 ACT 360 Quarterly 20211220 PU 5.000 12/20/2021	5,742,000.00	-0.03	-$430,033.14	5.000	12/20/2021	SWPC0DXA1
ICE - CDX.NA.HY.28 06 20 2022 - JPM F 5.000000 ACT 360 Quarterly 20220620 PU 0.050 6/20/2022	16,140,000.00	-0.06	-$1,111,198.33	5.000	06/20/2022	CDX28
ICE - CITIGROUP INC CDS 12 20 2020 - CS F 1.000000 ACT 360 Quarterly 20201220 PU 1.000 12/20/2020	700,000.00	0.00	$15,089.26	1.000	12/20/2020	SWPC0FIV7
ICICI Bank Ltd. Dubai 4.000 3/18/2026	1,070,000.00	0.05	$1,083,713.12	4.000	03/18/2026	ICICI
Imperial Brands Finance PLC 3.750 7/21/2022	470,000.00	0.02	$489,824.13	3.750	07/21/2022	IMBLN
IMPERIAL TOBACCO FIN PLC 2.050 2/11/2018	270,000.00	0.01	$270,393.66	2.050	02/11/2018	IMBLN
IMPERIAL TOBACCO FIN PLC 2.950 7/21/2020	700,000.00	0.03	$712,286.40	2.950	07/21/2020	IMBLN
INABS 2007-A 2A3	1,708,584.45	0.05	$1,130,688.22	1.456	04/25/2037	INABS
Indonesia Government International Bond 5.125 1/15/2045	200,000.00	0.01	$214,612.20	5.125	01/15/2045	INDON
Indonesia Treasury Bond 7.500 8/15/2032	15,069,000,000.00	0.06	$1,147,064.38	7.500	08/15/2032	INDOGB
Indonesia Treasury Bond 8.375 9/15/2026	15,310,000,000.00	0.06	$1,269,945.98	8.375	09/15/2026	INDOGB
Indonesia Treasury Bond 9.000 3/15/2029	16,867,000,000.00	0.07	$1,443,798.75	9.000	03/15/2029	INDOGB
INDONESIAN RUPIAH	14,396,760.00	n/a	$1,080.23	0.000	-	RUPIAH
Ineos US Finance LLC 2.750 3/31/2022	353,007.59	0.01	$354,496.93	2.750	03/31/2022	INEGRP
Ineos US Finance LLC 2.750 3/31/2024	34,276.38	0.00	$34,469.18	2.750	03/31/2024	INEGRP
Infinera Corp. 1.750 6/1/2018	353,000.00	0.02	$380,798.75	1.750	06/01/2018	INFN
Inflation Linked Korea Treasury Bond 1.125 6/10/2023	1,112,829,014.70	0.05	$982,890.19	1.125	06/10/2023	KTBI
Infor US Inc. 6.500 5/15/2022	70,000.00	0.00	$72,800.00	6.500	05/15/2022	LWSN
ING BANK NV 1.959 8/17/2018	4,500,000.00	0.23	$4,527,562.50	1.959	08/17/2018	INTNED
ING Groep NV 3.150 3/29/2022	525,000.00	0.02	$535,526.78	3.150	03/29/2022	INTNED
ING Groep NV 3.950 3/29/2027	210,000.00	0.01	$218,831.55	3.950	03/29/2027	INTNED
INR/USD FWD 20170720	23,338,266.00	0.01	$360,263.58	0.000	07/20/2017	INC072017
INR/USD HSB 07/21/17	170,950,216.22	0.13	$2,638,589.77	0.000	07/21/2017	IRUSH7217
Insulet Corp. 1.250 9/15/2021	220,000.00	0.01	$242,550.00	1.250	09/15/2021	PODD
Integrys Holding Inc.	35,650.00	0.05	$962,995.63	1.500	08/01/2073	WEC
Intel Corp. 2.450 7/29/2020	200,000.00	0.01	$203,451.00	2.450	07/29/2020	INTC
Inter-American Development Bank 1.378 10/15/2020	890,000.00	0.04	$895,814.37	1.378	10/15/2020	IADB
Inter-American Development Bank 6.250 6/15/2021	43,200,000,000.00	0.17	$3,250,821.48	6.250	06/15/2021	IADB
International Bank for Reconstruction & Development 1.279 4/17/2019	440,000.00	0.02	$439,886.92	1.279	04/17/2019	IBRD
International Bank for Reconstruction & Development 2.500 11/25/2024	440,000.00	0.02	$444,338.84	2.500	11/25/2024	IBRD
International Bank for Reconstruction & Development 3.375 1/25/2022	500,000.00	0.01	$369,885.56	3.375	01/25/2022	IBRD
International Bank for Reconstruction & Development 3.500 1/22/2021	2,981,000.00	0.11	$2,225,846.42	3.500	01/22/2021	IBRD
International Bank for Reconstruction & Development 4.625 10/6/2021	380,000.00	0.01	$295,470.63	4.625	10/06/2021	IBRD
International Business Machines Corp. 1.625 5/15/2020	440,000.00	0.02	$436,441.72	1.625	05/15/2020	IBM
International Finance Corp. 1.215 1/9/2019	600,000.00	0.03	$600,613.20	1.215	01/09/2019	IFC
International Finance Corp. 3.000 5/6/2021	305,000.00	0.01	$223,329.67	3.000	05/06/2021	IFC
International Finance Corp. 3.625 5/20/2020	163,000.00	0.00	$122,179.93	3.625	05/20/2020	IFC
International Finance Corp. 6.300 11/25/2024	133,470,000.00	0.11	$2,099,929.37	6.300	11/25/2024	IFC
INTERNATIONAL LEASE FINANCE 6.250 5/15/2019	200,000.00	0.01	$214,619.60	6.250	05/15/2019	AER
INTERNATIONAL LEASE FINANCE 7.125 9/1/2018	100,000.00	0.00	$105,866.70	7.125	09/01/2018	AER
International Lease Finance Corp. 8.625 1/15/2022	1,455,000.00	0.09	$1,793,201.66	8.625	01/15/2022	AER
International Paper Co. 4.400 8/15/2047	1,480,000.00	0.07	$1,497,976.08	4.400	08/15/2047	IP
inVentiv Group Holdings Inc. 4.545 6/26/2024	510,000.00	0.02	$511,593.76	4.545	06/26/2024	VTIV
inVentiv Group Holdings Inc. 4.750 9/28/2023	2,223,825.00	0.11	$2,234,150.22	4.750	09/28/2023	VTIV
inVentiv Group Holdings Inc. inVentiv Health Inc. inVentiv Health Clinical Inc. 7.500 10/1/2024	40,000.00	0.00	$43,600.00	7.500	10/01/2024	VTIV
INVISTA Finance LLC 4.250 10/15/2019	1,060,000.00	0.05	$1,097,312.00	4.250	10/15/2019	INVSTA
IPALCO Enterprises Inc. 5.000 5/1/2018	165,000.00	0.00	$168,506.25	5.000	05/01/2018	AES
IRO USD 10Y C 2.00000 M 11-15-18 MYC 0.000 11/15/2018	-19,100,000.00	-0.02	-$281,935.10	0.000	11/15/2018	SWU00K9G9
IRO USD 2Y C 1.65000 M 11-15-18 MYC 0.000 11/15/2018	88,800,000.00	0.01	$252,103.20	0.000	11/15/2018	SWU00K9F1
IRO USD 2Y C 1.67000 M 09-06-17 BOA 0.000 9/6/2017	6,400,000.00	0.00	$8,806.40	0.000	09/06/2017	SWU00L5K2
IRO USD 30Y P 2.9050 08-20-18 MYC 0.000 8/20/2018	4,400,000.00	0.00	$152,904.40	0.000	08/20/2018	SWU00DXX1
IRO USD 5Y P 2.80 08-20-18 MYC 0.000 8/20/2018	-19,500,000.00	-0.01	-$84,220.50	0.000	08/20/2018	SWU00DXV5
IRO USD 7Y C 1.8800 M 07-07-17 GLM 0.000 7/7/2017	-11,300,000.00	n/a	-$67.80	0.000	07/07/2017	SWU00LIR3
IRO USD 7Y P 2.4800 M 07-07-17 GLM 0.000 7/7/2017	-11,300,000.00	0.00	$0.00	0.000	07/07/2017	SWU00LIS1
Iron Mountain US Holdings Inc. 5.375 6/1/2026	600,000.00	0.03	$633,000.00	5.375	06/01/2026	IRM
Israeli Shekel	1,415.87	n/a	$405.89	0.000	-	ISSHEKEL
ITALY GOVT SW CDS 06 20 2021-BOA F 1.000000 ACT 360 Quarterly 20210620 PU 1.000 6/20/2021	9,800,000.00	0.00	$92,888.91	1.000	06/20/2021	SWPC0CRI3
Ivory Coast Government International Bond 6.125 6/15/2033	1,400,000.00	0.07	$1,349,250.00	6.125	06/15/2033	IVYCST
Jamaica Government International Bond 8.000 3/15/2039	410,000.00	0.02	$485,850.00	8.000	03/15/2039	JAMAN
Japan Bank for International Cooperation Japan 1.762 2/24/2020	248,000.00	0.01	$247,931.55	1.762	02/24/2020	JBIC
JAPAN BANK FOR INTL COOP 2.125 6/1/2020	700,000.00	0.03	$700,291.20	2.125	06/01/2020	JBIC
Japan Finance Organization for Municipalities 2.125 3/6/2019	900,000.00	0.04	$900,477.90	2.125	03/06/2019	JFM
JAPANESE YEN	3,906,533.00	0.00	$34,732.46	0.000	-	YENS
JBS USA LUX S.A. JBS USA Finance Inc. 5.750 6/15/2025	155,000.00	0.00	$146,475.00	5.750	06/15/2025	JBSSBZ
JBS USA LUX S.A. JBS USA Finance Inc. 5.875 7/15/2024	320,000.00	0.01	$301,600.00	5.875	07/15/2024	JBSSBZ
JBS USA LUX S.A. 3.250 10/30/2022	1,760,587.50	0.09	$1,718,498.90	3.250	10/30/2022	JBSSBZ
JC Penney Corp. Inc. 5.250 6/23/2023	683,532.96	0.03	$676,526.75	5.250	06/23/2023	JCP
JC Penney Corp. Inc. 8.125 10/1/2019	108,000.00	0.00	$118,260.00	8.125	10/01/2019	JCP
JD.com Inc. 3.125 4/29/2021	1,270,000.00	0.06	$1,271,606.55	3.125	04/29/2021	JD
Jefferies Group LLC 3.875 11/1/2029	305,000.00	0.01	$307,287.50	3.875	11/01/2029	JEF
Jefferies Group LLC 6.450 6/8/2027	331,000.00	0.01	$379,977.74	6.450	06/08/2027	JEF
Jefferies Group LLC 6.500 1/20/2043	270,000.00	0.01	$306,488.88	6.500	01/20/2043	JEF
Jersey Central Power & Light Co. 7.350 2/1/2019	1,000,000.00	0.05	$1,077,490.00	7.350	02/01/2019	FE
JFIN 2015-2A AX	150,000.00	0.00	$150,182.10	2.608	10/19/2026	JFIN
JFIN 2017-1A A1	1,275,000.00	0.06	$1,279,229.18	2.720	04/24/2029	JFIN
JMP 2014-1A AR	2,600,000.00	0.13	$2,609,250.80	2.398	10/17/2025	JMP
Jordan Government International Bond 5.750 1/31/2027	400,000.00	0.02	$398,760.00	5.750	01/31/2027	JORDAN
Joseph T Ryerson & Son Inc. 11.000 5/15/2022	30,000.00	0.00	$34,012.50	11.000	05/15/2022	RYI
JPMAC 2006-CW2 AV5	500,000.00	0.02	$445,777.65	1.456	08/25/2036	JPMAC
JPMBB 2015-C31 A3	650,000.00	0.03	$681,195.19	3.801	08/15/2048	JPMBB
JPMBB 2015-C32 A5	1,340,000.00	0.07	$1,384,989.03	3.598	11/15/2048	JPMBB
JPMBB 2015-C33 A4	570,000.00	0.03	$596,675.94	3.770	12/15/2048	JPMBB
JPMCC 2005-CB11 E	230,000.00	0.01	$238,739.95	5.702	08/12/2037	JPMCC
JPMCC 2011-C5 C	410,000.00	0.02	$442,238.71	5.588	08/15/2046	JPMCC
JPMCC 2016-ATRM A	2,700,000.00	0.14	$2,705,724.27	2.962	10/05/2028	JPMCC
JPMCC 2016-JP2 A4	2,555,000.00	0.13	$2,497,250.61	2.822	08/15/2049	JPMCC
JPMCC 2016-JP2 AS	1,250,000.00	0.06	$1,219,246.13	3.056	08/15/2049	JPMCC
JPMCC 2016-JP3 B	1,550,000.00	0.07	$1,518,464.94	3.397	08/15/2049	JPMCC
JPMCC 2016-WIKI A	705,000.00	0.03	$715,189.65	2.798	10/05/2031	JPMCC
JPMCC 2016-WIKI B	690,000.00	0.03	$702,835.31	3.201	10/05/2031	JPMCC
JPMDB 2016-C2 A4	1,640,000.00	0.08	$1,645,913.18	3.144	06/15/2049	JPMDB
JPMDB 2016-C4 A3	1,065,000.00	0.05	$1,065,530.80	3.141	12/15/2049	JPMDB
JPMMT 2006-A6 2A4L	653,480.93	0.03	$582,514.53	3.373	10/25/2036	JPMMT
JPMMT 2006-A7 2A2	128,316.32	0.00	$127,042.14	3.263	01/25/2037	JPMMT
JPMMT 2007-A1 6A1	234,318.64	0.01	$232,371.15	3.408	07/25/2035	JPMMT
JPMMT 2014-2 B1	77,258.39	0.00	$77,457.25	3.424	06/25/2029	JPMMT
JPMMT 2014-2 B2	77,258.39	0.00	$75,899.48	3.424	06/25/2029	JPMMT
JPMMT 2015-1 B1	652,426.75	0.03	$648,008.52	2.617	12/25/2044	JPMMT
JPMMT 2015-4 B1	488,110.73	0.02	$481,107.41	3.628	06/25/2045	JPMMT
JPMMT 2015-4 B2	349,334.15	0.01	$340,323.32	3.628	06/25/2045	JPMMT
JPMMT 2015-5 B2	535,642.36	0.02	$523,795.45	2.867	05/25/2045	JPMMT
JPMMT 2015-6 B1	353,681.10	0.01	$350,819.01	3.623	10/25/2045	JPMMT
JPMMT 2015-6 B2	344,122.15	0.01	$337,681.80	3.623	10/25/2045	JPMMT
JPMMT 2016-4 B1	246,341.24	0.01	$248,252.85	3.904	10/25/2046	JPMMT
JPMMT 2016-4 B2	418,780.11	0.02	$426,128.86	3.904	10/25/2046	JPMMT
JPMMT 2017-1 B2	729,885.95	0.03	$725,547.51	3.572	01/25/2047	JPMMT
JPMMT 2017-2 A3	368,474.11	0.01	$373,713.07	3.500	05/25/2047	JPMMT
JPMorgan Chase & Co. 1.802 1/28/2019	200,000.00	0.01	$201,297.40	1.802	01/28/2019	JPM
JPMorgan Chase & Co. 2.056 4/25/2023	895,000.00	0.04	$896,311.18	2.058	04/25/2023	JPM
JPMorgan Chase & Co. 2.250 1/23/2020	9,800,000.00	0.51	$9,833,271.00	2.250	01/23/2020	JPM
JPMorgan Chase & Co. 2.320 6/7/2021	2,900,000.00	0.15	$2,946,199.90	2.320	06/07/2021	JPM
JPMorgan Chase & Co. 2.383 10/24/2023	375,000.00	0.02	$380,961.38	2.383	10/24/2023	JPM
JPMorgan Chase & Co. 2.776 4/25/2023	240,000.00	0.01	$240,565.20	2.776	04/25/2023	JPM
JPMorgan Chase & Co. 3.540 5/1/2028	835,000.00	0.04	$840,642.10	3.540	05/01/2028	JPM
JPMorgan Chase & Co. 4.250 10/1/2027	160,000.00	0.00	$166,647.04	4.250	10/01/2027	JPM
JPMorgan Chase & Co. 4.250 11/2/2018	570,000.00	0.02	$424,283.07	4.250	11/02/2018	JPM
JPMorgan Chase & Co. 4.260 2/22/2048	1,665,000.00	0.09	$1,754,515.40	4.260	02/22/2048	JPM
JPMorgan Chase & Co. 4.400 7/22/2020	400,000.00	0.02	$426,121.60	4.400	07/22/2020	JPM
JPMorgan Chase & Co. 6.750 1/29/2049	865,000.00	0.05	$983,937.50	6.750	01/29/2049	JPM
JPMorgan Chase & Co. 7.900 4/29/2049	500,000.00	0.02	$520,375.00	7.900	04/29/2049	JPM
JPMorgan Chase Bank NA 6.000 10/1/2017	600,000.00	0.03	$606,175.80	6.000	10/01/2017	JPM
JPY USD FWD 20170705 0.000 7/5/2017	-306,800,000.00	-0.15	-$2,728,308.97	0.000	07/05/2017	JPC070517
JPY USD FWD 20170705 0.000 7/5/2017	306,800,000.00	0.14	$2,728,308.97	0.000	07/05/2017	JPP070517
JPY USD FWD 20170802 0.000 8/2/2017	-306,800,000.00	-0.15	-$2,731,809.46	0.000	08/02/2017	JPP080217
JPY/USD BOA 07/21/17	41,178,223.00	0.01	$366,460.65	0.000	07/21/2017	JYUSF7217
JPY/USD TOR 07/21/17	452,188,363.00	0.21	$4,024,196.00	0.000	07/21/2017	JYUST7217
JUBIL I-RA A	201,627.45	0.01	$230,091.90	0.000	07/30/2024	JUBIL
JUBIL I-RX A	1,008,137.24	0.06	$1,150,459.46	0.000	07/30/2024	JUBIL
Kaman Corp. 3.250 5/1/2024	387,000.00	0.02	$394,014.38	3.250	05/01/2024	KAMN
Kansas City Power & Light Co. 3.650 8/15/2025	1,350,000.00	0.07	$1,372,505.85	3.650	08/15/2025	GXP
KANSAS CITY SOUTHERN 3.000 5/15/2023	500,000.00	0.02	$502,257.00	3.000	05/15/2023	KSU
KAR Auction Services Inc. 5.125 6/1/2025	200,000.00	0.01	$204,250.00	5.125	06/01/2025	KAR
KazMunayGas National Co. JSC 3.875 4/19/2022	345,000.00	0.01	$342,257.25	3.875	04/19/2022	KZOKZ
KazMunayGas National Co. JSC 4.750 4/19/2027	945,000.00	0.04	$928,911.38	4.750	04/19/2027	KZOKZ
KBC Bank NV 8.000 1/25/2023	2,200,000.00	0.11	$2,268,420.00	8.000	01/25/2023	KBC
Kernel Holding S.A. 8.750 1/31/2022	890,000.00	0.05	$957,284.00	8.750	01/31/2022	KERPW
KeyBank NA Cleveland OH 2.400 6/9/2022	810,000.00	0.04	$806,436.81	2.400	06/09/2022	KEY
KeyBank NA Cleveland OH 3.180 5/22/2022	250,000.00	0.01	$254,725.50	3.180	05/22/2022	KEY
KeyBank NA Cleveland OH 3.400 5/20/2026	2,245,000.00	0.11	$2,233,725.61	3.400	05/20/2026	KEY
KeyBank NA Cleveland OH 6.950 2/1/2028	1,220,000.00	0.08	$1,530,524.16	6.950	02/01/2028	KEY
KFC Holding Co. Pizza Hut Holdings LLC Taco Bell of America LLC 5.000 6/1/2024	340,000.00	0.01	$355,300.00	5.000	06/01/2024	YUM
KFC Holding Co. Pizza Hut Holdings LLC Taco Bell of America LLC 5.250 6/1/2026	318,000.00	0.01	$335,490.00	5.250	06/01/2026	YUM
KIK Custom Products Inc. 5.500 8/26/2022	774,259.16	0.04	$780,453.23	5.500	08/26/2022	KIKCN
Kinder Morgan Energy Partners LP 5.000 10/1/2021	620,000.00	0.03	$666,429.94	5.000	10/01/2021	KMI
Kinder Morgan Energy Partners LP 5.950 2/15/2018	1,000,000.00	0.05	$1,024,866.00	5.950	02/15/2018	KMI
Kinder Morgan Energy Partners LP 6.850 2/15/2020	2,000,000.00	0.11	$2,206,248.00	6.850	02/15/2020	KMI
Kinder Morgan Energy Partners LP 9.000 2/1/2019	2,200,000.00	0.12	$2,427,792.40	9.000	02/01/2019	KMI
KINDER MORGAN INC DE 2.000 12/1/2017	600,000.00	0.03	$600,388.80	2.000	12/01/2017	KMI
Kingpin Intermediate Holdings LLC 10.046 6/29/2025	590,000.00	0.03	$588,525.00	10.046	06/29/2025	ABWI
Kingpin Intermediate Holdings LLC 5.546 6/29/2024	710,000.00	0.03	$714,437.50	5.546	06/29/2024	ABWI
Kloeckner Pentaplast of America Inc. 5.550 6/29/2022	865,000.00	0.04	$857,971.88	5.550	06/29/2022	KPERST
KLX Inc. 5.875 12/1/2022	500,000.00	0.02	$526,875.00	5.875	12/01/2022	KLXI
Knowles Corp. 3.250 11/1/2021	299,000.00	0.01	$353,006.88	3.250	11/01/2021	KN
Koppers Inc. 6.000 2/15/2025	80,000.00	0.00	$85,200.00	6.000	02/15/2025	KOP
KOREA DEVELOPMENT BANK 3.000 3/17/2019	850,000.00	0.04	$862,604.06	3.000	03/17/2019	KDB
Kraton Polymers LLC Kraton Polymers Capital Corp. 10.500 4/15/2023	70,000.00	0.00	$81,200.00	10.500	04/15/2023	KRA
KRATON Polymers LLC 5.000 1/6/2022	1,032,973.40	0.05	$1,044,481.76	5.000	01/06/2022	KRA
Kroger Co. 2.650 10/15/2026	570,000.00	0.02	$526,799.13	2.650	10/15/2026	KR
Kronos Inc. MA 4.500 11/1/2023	537,300.00	0.02	$541,634.93	4.500	11/01/2023	KRON
Kronos Inc. MA 9.250 10/20/2024	735,000.00	0.04	$763,174.76	9.250	10/20/2024	KRON
KRW/USD FWD 20170918	-2,339,122,800.00	-0.11	-$2,044,926.10	0.000	09/18/2017	KRJ091817
KRW/USD JPM 07/21/17	-1,150,799,750.00	-0.06	-$1,005,259.96	0.000	07/21/2017	KWUSJ7217
Kuwait International Government Bond 2.750 3/20/2022	3,400,000.00	0.17	$3,416,150.00	2.750	03/20/2022	KUWIB
KVK 2013-2A AR	2,000,000.00	0.10	$1,999,026.00	2.308	01/15/2026	KVK
KVK 2015-1A AR	1,750,000.00	0.09	$1,749,109.25	2.422	05/20/2027	KVK
LafargeHolcim Finance US LLC 3.500 9/22/2026	2,040,000.00	0.10	$2,021,013.72	3.500	09/22/2026	LHNVX
Lamar Media Corp. 5.750 2/1/2026	501,000.00	0.02	$541,706.25	5.750	02/01/2026	LAMR
Lamb Weston Holdings Inc. 4.625 11/1/2024	220,000.00	0.01	$227,700.00	4.625	11/01/2024	LW
Lamb Weston Holdings Inc. 4.875 11/1/2026	355,000.00	0.01	$369,643.75	4.875	11/01/2026	LW
Landry's Inc. 3.500 10/4/2023	497,000.36	0.02	$496,120.17	3.500	10/04/2023	LNY
Landry's Inc. 6.750 10/15/2024	50,000.00	0.00	$51,312.50	6.750	10/15/2024	LNY
Landwirtschaftliche Rentenbank 5.375 4/23/2024	1,150,000.00	0.04	$931,100.26	5.375	04/23/2024	RENTEN
Laredo Petroleum Inc. 6.250 3/15/2023	285,000.00	0.01	$284,287.50	6.250	03/15/2023	LPI
Las Vegas Sands LLC 2.000 3/29/2024	196,969.39	0.01	$197,426.55	2.000	03/29/2024	LVSLLC
LATAM AIRLINES 4.200 11/15/2027	463,269.26	0.02	$461,800.70	4.200	11/15/2027	LATAIR
Lazard Group LLC 3.750 2/13/2025	2,100,000.00	0.11	$2,121,182.71	3.750	02/13/2025	LAZ
LBMLT 2006-1 2A4	4,004,385.38	0.14	$2,758,424.07	1.516	02/25/2036	LBMLT
LBMLT 2006-7 1A	4,148,729.51	0.13	$2,476,620.17	1.371	08/25/2036	LBMLT
LBUBS 2006-C6 AJ	709,245.02	0.03	$617,473.32	5.452	09/15/2039	LBUBS
LCH - IRS USA30020 2.02650 06-15-22 CONTRACT SWCOIR 2.027 6/15/2022	1,400,000.00	-0.01	-$5,565.90	-2.027	06/15/2022	/SWAP
LCH - IRS USD 1.97590 04-27-22 CONTRACT SWCOIR 1.976 4/27/2022	2,005,000.00	-0.01	-$4,317.63	-1.976	04/27/2022	/SWAP
LCH - IRS USD 2.25 06-15-16-30Y CONTRACT SWCOIR -2.500 6/15/2046	16,600,000.00	0.00	$117,103.70	-2.500	06/15/2046	SWU00FAL7
LCH - IRS USD 2.25 12-16-15-7Y CONTRACT SWCOIR -1.968 12/16/2022	42,500,000.00	-0.04	-$584,629.92	-1.113	12/16/2022	SWU00DAD0
LCH - IRS USD 2.2500 11 15 25 CONTRACT SWCOIR 2.250 11/15/2025	1,215,000.00	-0.01	-$5,820.18	-2.250	11/15/2025	/SWAP
LCH - IRS USD 2.4802 01-11-47 - MS CONTRACT SWCOIR 2.480 1/11/2047	620,000.00	0.00	$7,208.32	-2.480	01/11/2047	/SWAP
LCH - USSWAP3 1.66650 01 25 20 CONTRACT SWCOIR 1.667 1/25/2020	2,930,000.00	n/a	$1,296.23	-1.667	01/25/2020	/SWAP
LCH - USSWAP30 2.59640 01 23 47 CONTRACT SWCOIR 2.596 1/23/2047	440,000.00	-0.01	-$6,039.32	-2.596	01/23/2047	/SWAP
LCH - USSWAP30 2.62300 01 24 47 CONTRACT SWCOIR 2.623 1/24/2047	440,000.00	-0.01	-$8,589.17	-2.623	01/24/2047	/SWAP
LCH - USSWAP30 2.66120 01 27 47 CONTRACT SWCOIR 2.661 1/27/2047	440,000.00	-0.01	-$12,250.38	-2.661	01/27/2047	/SWAP
LCH - USSWAP30 2.68650 01 30 47 CONTRACT SWCOIR 2.687 1/30/2047	705,000.00	-0.01	-$23,520.82	-2.687	01/30/2047	/SWAP
LCH - USSWAP30 2.7156 12 22 46 CONTRACT SWCOIR 2.716 12/22/2046	885,000.00	-0.01	-$35,013.47	-2.716	12/22/2046	/SWAP
LCH - USSWAP7 2.12520 01 25 24 CONTRACT SWCOIR -2.125 1/25/2024	3,260,000.00	-0.01	-$10,602.52	-2.125	01/25/2024	/SWAP
LEASEPLAN Corp. NV 2.875 1/22/2019	1,600,000.00	0.08	$1,605,724.80	2.875	01/22/2019	LPTY
Lennar Corp. 4.500 4/30/2024	270,000.00	0.01	$279,747.00	4.500	04/30/2024	LEN
Lennar Corp. 4.750 5/30/2025	40,000.00	0.00	$41,950.00	4.750	05/30/2025	LEN
Lennar Corp. 4.875 12/15/2023	185,000.00	0.01	$197,371.88	4.875	12/15/2023	LEN
Lennox International Inc. 3.000 11/15/2023	710,000.00	0.03	$709,850.19	3.000	11/15/2023	LII
Level 3 Financing Inc. 2.250 2/22/2024	590,000.00	0.03	$592,089.78	2.250	02/22/2024	LVLT
Level 3 Financing Inc. 5.375 5/1/2025	1,036,000.00	0.05	$1,092,980.00	5.375	05/01/2025	LVLT
Levi Strauss & Co. 5.000 5/1/2025	805,000.00	0.04	$845,250.00	5.000	05/01/2025	LEVI
LG&E & KU Energy LLC 3.750 11/15/2020	165,000.00	0.00	$172,161.50	3.750	11/15/2020	PPL
LG&E & KU Energy LLC 4.375 10/1/2021	1,555,000.00	0.08	$1,654,306.97	4.375	10/01/2021	PPL
LGATE 2006-1X A2A	1,792,070.40	0.11	$2,252,907.39	0.484	12/01/2060	LGATE
LGATE 2008-W1X A1	789,368.96	0.05	$1,005,926.91	0.904	01/01/2061	LGATE
Liberty Interactive LLC 1.750 9/30/2046	285,000.00	0.01	$327,215.63	1.750	09/30/2046	LINTA
Liberty Media Corp. 2.250 9/30/2046	103,000.00	0.00	$111,368.75	2.250	09/30/2046	LMCA
Liberty Mutual Group Inc. 4.950 5/1/2022	320,000.00	0.01	$351,304.96	4.950	05/01/2022	LIBMUT
Lifestorage LP CA 3.500 7/1/2026	695,000.00	0.03	$666,464.69	3.500	07/01/2026	LSI
Live Nation Entertainment Inc. 4.875 11/1/2024	711,000.00	0.03	$723,442.50	4.875	11/01/2024	LYV
LLOYDS BANK PLC 12.000 12/29/2049	3,600,000.00	0.25	$4,908,816.00	12.000	12/29/2049	LLOYDS
Lloyds Banking Group PLC 3.000 1/11/2022	975,000.00	0.05	$985,559.25	3.000	01/11/2022	LLOYDS
Lloyds Banking Group PLC 7.000 12/29/2049	400,000.00	0.02	$541,678.01	7.000	12/29/2049	LLOYDS
Lloyds Banking Group PLC 7.500 4/30/2049	510,000.00	0.02	$563,868.75	7.500	04/30/2049	LLOYDS
Lloyds Banking Group PLC 7.625 12/29/2049	2,500,000.00	0.18	$3,611,423.59	7.625	12/29/2049	LLOYDS
Lloyds Banking Group PLC 7.875 12/29/2049	1,300,000.00	0.10	$1,986,569.94	7.875	12/29/2049	LLOYDS
LMT 2007-10 2A2	1,908,291.24	0.07	$1,443,846.93	6.500	01/25/2038	LMT
LOCKHEED MARTIN CORP. 3.100 1/15/2023	1,111,000.00	0.05	$1,137,913.98	3.100	01/15/2023	LMT
LONG GILT FUTURE Sep17	-27.00	-0.24	-$4,415,813.46	0.000	09/27/2017	G U7
Lowe's Cos Inc. 1.648 9/10/2019	520,000.00	0.02	$524,006.08	1.648	09/10/2019	LOW
Lowe's Cos Inc. 3.100 5/3/2027	315,000.00	0.01	$313,992.63	3.100	05/03/2027	LOW
Lowe's Cos Inc. 3.700 4/15/2046	1,475,000.00	0.07	$1,427,617.10	3.700	04/15/2046	LOW
Lowe's Cos Inc. 4.050 5/3/2047	300,000.00	0.01	$306,350.10	4.050	05/03/2047	LOW
LROCK 2014-2A AR	2,000,000.00	0.10	$2,003,752.00	2.458	04/18/2026	LROCK
LWCLO 2014-1A A1R	500,000.00	0.02	$500,333.00	2.626	04/25/2025	LWCLO
M I Homes Inc. 6.750 1/15/2021	80,000.00	0.00	$84,200.00	6.750	01/15/2021	MHO
Majapahit Holding BV 7.750 1/20/2020	400,000.00	0.02	$448,000.00	7.750	01/20/2020	PLNIJ
Malaysia Treasury Bill 0.000 7/28/2017	1,240,000.00	0.01	$288,291.59	3.060	07/28/2017	MGTB
Malaysia Treasury Bill 0.000 8/30/2017	1,710,000.00	0.02	$396,426.57	3.028	08/30/2017	MGTB
MALIN 2007-1A A1	179,147.04	0.01	$204,437.64	0.000	05/07/2023	MALIN
Mallinckrodt International Finance S.A. Mallinckrodt CB LLC 5.500 4/15/2025	572,000.00	0.02	$503,360.00	5.500	04/15/2025	MNK
Mallinckrodt International Finance S.A. Mallinckrodt CB LLC 5.625 10/15/2023	30,000.00	0.00	$27,525.00	5.625	10/15/2023	MNK
MALT 2004-3 8A1	3,574.93	0.00	$3,829.46	7.000	04/25/2034	MALT
MALT 2004-5 6A1	50,126.86	0.00	$52,668.47	7.000	06/25/2034	MALT
MANSD 2007-1X A2	856,187.19	0.05	$1,065,006.50	0.516	04/15/2047	MANSD
Manufacturers & Traders Trust Co. 2.500 5/18/2022	555,000.00	0.02	$554,155.29	2.500	05/18/2022	MTB
Manulife Financial Corp. 4.061 2/24/2032	1,075,000.00	0.05	$1,086,849.73	4.061	02/24/2032	MFCCN
Marfrig Holdings Europe BV 8.000 6/8/2023	935,000.00	0.05	$951,549.50	8.000	06/08/2023	MRFGBZ
MARKIT CMBX.NA.BBB-.6	600,000.00	-0.01	-$70,059.07	3.000	05/11/2063	SP1A44QH5
MARKIT CMBX.NA.BBB-.6	1,200,000.00	-0.01	-$140,118.13	3.000	05/11/2063	SP9I5VUI2
MARM 2004-4 4A1	101,770.17	0.00	$100,394.26	3.396	05/25/2034	MARM
Marriott International Inc. MD 3.750 3/15/2025	670,000.00	0.03	$691,385.73	3.750	03/15/2025	MAR
Marriott International Inc. MD 4.500 10/1/2034	160,000.00	0.00	$167,845.44	4.500	10/01/2034	MAR
Masco Corp. 3.500 4/1/2021	1,265,000.00	0.06	$1,306,150.45	3.500	04/01/2021	MAS
MASCO CORP. 5.950 3/15/2022	304,000.00	0.01	$343,488.08	5.950	03/15/2022	MAS
MBMOT 2016-AA A	915,000.00	0.04	$918,381.47	1.739	05/15/2020	MBMOT
MBMOT 2016-BA A	1,021,000.00	0.05	$1,029,537.70	1.859	05/17/2021	MBMOT
MDPK 2014-13A AR	1,500,000.00	0.07	$1,500,081.00	2.268	01/19/2025	MDPK
Medicines Co. 2.750 7/15/2023	318,000.00	0.01	$334,297.50	2.750	07/15/2023	MDCO
Merck & Co. Inc. 1.541 5/18/2018	680,000.00	0.03	$681,882.92	1.541	05/18/2018	MRK
MetLife Capital Trust IV 7.875 12/15/2037	300,000.00	0.02	$406,530.00	7.875	12/15/2037	MET
MetLife Inc. 9.250 4/8/2038	1,100,000.00	0.08	$1,641,750.00	9.250	04/08/2038	MET
Metropolitan Edison Co. 4.000 4/15/2025	600,000.00	0.03	$616,645.81	4.000	04/15/2025	FE
Metropolitan Life Global Funding I 3.450 12/18/2026	765,000.00	0.04	$785,141.69	3.450	12/18/2026	MET
Mexican Bonos 5.750 3/5/2026	43,668,400.00	0.11	$2,248,632.36	5.750	03/05/2026	MBONO
MEXICAN BONOS 6.500 6/9/2022	82,842,000.00	0.23	$4,542,473.52	6.500	06/09/2022	MBONO
MEXICAN PESO	5,600,324.93	0.01	$308,579.11	0.000	-	PESOS
Mexico Cetes 0.000 8/17/2017	593,000,000.00	0.17	$3,237,186.14	6.690	08/17/2017	MCET
Mexico Government International Bond 4.150 3/28/2027	200,000.00	0.01	$207,350.00	4.150	03/28/2027	MEX
Mexico Government International Bond 4.350 1/15/2047	800,000.00	0.03	$753,360.00	4.350	01/15/2047	MEX
MEXICO LA SP 5YR CDS 12 20 2019-JPM F 1.000000 ACT 360 Quarterly 20191220 PU 1.000 12/20/2019	7,100,000.00	0.00	$79,716.67	1.000	12/20/2019	SWPC06SV6
MGM Growth Properties Operating Partnership LP MGP Finance Co-Issuer Inc. 4.500 9/1/2026	265,000.00	0.01	$267,981.25	4.500	09/01/2026	MGMGPO
MGM Growth Properties Operating Partnership LP 3.430 5/1/2023	681,724.12	0.03	$683,598.86	3.430	05/01/2023	MGMGPO
MGM Resorts International 4.625 9/1/2026	605,000.00	0.03	$614,075.00	4.625	09/01/2026	MGM
MHP S.A. 7.750 5/10/2024	520,000.00	0.02	$528,996.00	7.750	05/10/2024	MHPSA
Microsoft Corp. 3.700 8/8/2046	265,000.00	0.01	$263,333.95	3.700	08/08/2046	MSFT
Microsoft Corp. 4.250 2/6/2047	3,795,000.00	0.21	$4,125,487.58	4.250	02/06/2047	MSFT
Midcontinent Communications Midcontinent Finance Corp. 6.875 8/15/2023	355,000.00	0.02	$384,287.50	6.875	08/15/2023	MIDCON
Millicom International Cellular S.A. 6.000 3/15/2025	300,000.00	0.01	$315,951.00	6.000	03/15/2025	MIICF
MIRANT 2.50% CNV (ESCROW)	115,000.00	0.00	$0.00	0.000	-	6046759B6
MITSUBISHI UFJ FINANCIAL GR 2.190 9/13/2021	2,050,000.00	0.10	$2,021,275.40	2.190	09/13/2021	MUFG
Mitsubishi UFJ Financial Group Inc. 2.296 9/13/2021	450,000.00	0.02	$456,111.45	2.296	09/13/2021	MUFG
Mitsubishi UFJ Trust & Banking Corp. NY 1.987 9/19/2017	1,900,000.00	0.09	$1,902,829.10	1.598	09/19/2017	MUFG
MIZUHO BANK 2.450 4/16/2019	600,000.00	0.03	$603,383.40	2.450	04/16/2019	MIZUHO
MLMI 2004-A1 2A2	7,136.33	0.00	$7,121.60	3.297	02/25/2034	MLMI
MLMI 2006-FF1 M2	2,000,000.00	0.10	$1,988,404.60	1.506	08/25/2036	MLMI
MMC Norilsk Nickel OJSC via MMC Finance DAC 4.100 4/11/2023	595,000.00	0.03	$593,438.13	4.100	04/11/2023	GMKNRM
Mohegan Gaming & Entertainment 5.200 10/13/2023	1,417,690.48	0.07	$1,432,221.82	5.200	10/13/2023	MOHEGN
Mohegan Gaming & Entertainment 7.875 10/15/2024	110,000.00	0.00	$114,812.50	7.875	10/15/2024	MOHEGN
Molson Coors Brewing Co. 3.000 7/15/2026	1,410,000.00	0.07	$1,358,994.66	3.000	07/15/2026	TAP
Molson Coors Brewing Co. 4.200 7/15/2046	830,000.00	0.04	$817,950.06	4.200	07/15/2046	TAP
Morgan Stanley 2.373 5/8/2024	875,000.00	0.04	$880,232.50	2.419	05/08/2024	MS
Morgan Stanley 2.500 4/21/2021	3,500,000.00	0.18	$3,498,873.00	2.500	04/21/2021	MS
Morgan Stanley 3.125 8/5/2021	387,000.00	0.01	$307,123.06	3.125	08/05/2021	MS
Morgan Stanley 3.950 4/23/2027	1,670,000.00	0.08	$1,684,071.42	3.950	04/23/2027	MS
Morgan Stanley 4.375 1/22/2047	1,870,000.00	0.10	$1,958,613.69	4.375	01/22/2047	MS
Morgan Stanley 5.000 9/30/2021	359,000.00	0.01	$295,201.20	5.000	09/30/2021	MS
MORGAN STANLEY DEAN WITTER 2.125 4/25/2018	3,450,000.00	0.18	$3,462,092.25	2.125	04/25/2018	MS
MP6 2014-2A AR	2,000,000.00	0.10	$1,998,992.00	2.358	01/15/2027	MP6
MPH Acquisition Holdings LLC 4.000 6/7/2023	1,004,690.21	0.05	$1,005,820.49	4.000	06/07/2023	MLTPLN
MPH Acquisition Holdings LLC 7.125 6/1/2024	110,000.00	0.00	$117,562.50	7.125	06/01/2024	MLTPLN
MPLX LP 4.875 12/1/2024	1,615,000.00	0.09	$1,724,601.98	4.875	12/01/2024	MPLX
MSAC 2007-HE1 A2C	5,822,204.07	0.19	$3,746,742.03	1.366	11/25/2036	MSAC
MSAC 2007-HE5 A2D	3,838,317.34	0.10	$2,032,936.76	1.556	03/25/2037	MSAC
MSBAM 2014-C17 A5	795,000.00	0.04	$832,733.09	3.741	08/15/2047	MSBAM
MSBAM 2015-C23 A4	1,275,000.00	0.07	$1,334,916.97	3.719	07/15/2050	MSBAM
MSBAM 2015-C26 A5	820,000.00	0.04	$846,549.22	3.531	10/15/2048	MSBAM
MSBAM 2015-C27 ASB	2,200,000.00	0.12	$2,301,724.26	3.557	12/15/2047	MSBAM
MSBAM 2016-C29 A4	795,000.00	0.04	$807,684.30	3.325	05/15/2049	MSBAM
MSC 2011-C3 A4	855,000.00	0.04	$905,077.18	4.118	07/15/2049	MSC
MSC 2014-CPT AM	2,200,000.00	0.11	$2,276,044.54	3.516	07/13/2029	MSC
MSC 2015-XLF1 A	1,602,832.08	0.08	$1,602,299.30	2.289	08/14/2031	MSC
MSC 2016-BNK2 A4	2,066,000.00	0.10	$2,048,198.93	3.049	11/15/2049	MSC
MUNI ELEC AUTH OF GEORGIA 6.655 4/1/2057	1,800,000.00	0.11	$2,205,180.00	6.655	04/01/2057	MELPWR
Murphy Oil Corp. 6.875 8/15/2024	860,000.00	0.04	$900,850.00	6.875	08/15/2024	MUR
Murphy Oil USA Inc. 6.000 8/15/2023	895,000.00	0.04	$948,700.00	6.000	08/15/2023	MUSA
MXN USD FWD 20170808 0.000 8/8/2017	-158,367,000.00	-0.46	-$8,668,720.99	0.000	08/08/2017	MXJ080817
MXN USD FWD 20170808 0.000 8/8/2017	156,857,925.70	0.45	$8,586,117.01	0.000	08/08/2017	MXP080817
MXN/USD FWD 20170817	-14,300,000.00	-0.05	-$781,697.56	0.000	08/17/2017	MXA081717
MXN/USD FWD 20170817	-45,000,000.00	-0.13	-$2,459,887.44	0.000	08/17/2017	MXP081717
Mylan NV 3.950 6/15/2026	1,160,000.00	0.06	$1,177,622.72	3.950	06/15/2026	MYL
MYR USD FWD 20170801 0.000 8/1/2017	-1,235,958.96	-0.02	-$286,807.56	0.000	08/01/2017	MYA080117
MYR USD FWD 20170905 0.000 9/5/2017	-1,699,847.00	-0.03	-$393,952.74	0.000	09/05/2017	MYJ090517
Myriad International Holdings BV 4.850 7/6/2027	570,000.00	0.03	$573,120.75	4.850	07/06/2027	NPNSJ
Myriad International Holdings BV 5.500 7/21/2025	700,000.00	0.03	$749,875.00	5.500	07/21/2025	NPNSJ
Nabors Industries Inc. 5.500 1/15/2023	262,000.00	0.01	$249,227.50	5.500	01/15/2023	NBR
National Rural Utilities Cooperative Finance Corp. 2.700 2/15/2023	1,215,000.00	0.06	$1,217,214.95	2.700	02/15/2023	NRUC
National Rural Utilities Cooperative Finance Corp. 4.750 4/30/2043	1,195,000.00	0.06	$1,224,067.18	4.750	04/30/2043	NRUC
National Rural Utilities Cooperative Finance Corp. 5.250 4/20/2046	865,000.00	0.04	$912,241.98	5.250	04/20/2046	NRUC
Nationwide Building Society 4.125 3/20/2023	300,000.00	0.01	$351,760.73	4.125	03/20/2023	NWIDE
Natixis S.A. New York NY 1.979 9/25/2017	4,300,000.00	0.22	$4,306,544.60	1.979	09/25/2017	KNFP
NAVIENT CORP. 5.500 1/15/2019	1,000,000.00	0.05	$1,043,750.00	5.500	01/15/2019	NAVI
NAVMT 2016-1 A	525,000.00	0.02	$527,801.72	2.566	09/27/2021	NAVMT
NAVSL 2016-5A A	182,996.12	0.00	$185,886.03	2.466	06/25/2065	NAVSL
NBCUniversal Enterprise Inc. 1.843 4/15/2018	840,000.00	0.04	$844,418.40	1.843	04/15/2018	CMCSA
NCHET 2005-1 M2	233,599.48	0.01	$199,376.48	1.936	03/25/2035	NCHET
NCI Building Systems Inc. 8.250 1/15/2023	275,000.00	0.01	$298,718.75	8.250	01/15/2023	NCS
NEUB 2015-19A A1	1,300,000.00	0.06	$1,300,000.00	2.578	07/15/2027	NEUB
Neurocrine Biosciences Inc. 2.250 5/15/2024	290,000.00	0.01	$288,731.26	2.250	05/15/2024	NBIX
New Gold Inc. 6.250 11/15/2022	30,000.00	0.00	$30,975.00	6.250	11/15/2022	NGDCN
New Jersey Transportation Trust Fund Authority 5.754 12/15/2028	1,590,000.00	0.08	$1,704,782.10	5.754	12/15/2028	NJSTRN
New Jersey Turnpike Authority 7.102 1/1/2041	495,000.00	0.03	$723,294.00	7.102	01/01/2041	NJSTRN
New Jersey Turnpike Authority 7.414 1/1/2040	240,000.00	0.01	$361,322.40	7.414	01/01/2040	NJSTRN
New Mountain Finance Corp. 5.000 6/15/2019	331,000.00	0.01	$344,240.00	5.000	06/15/2019	NMFC
New South Wales Treasury Corp. 4.000 5/20/2026	404,900.00	0.01	$339,674.97	4.000	05/20/2026	NSWTC
NEW TURKISH LIRA	9,513,161.02	0.14	$2,703,793.15	0.000	-	TURKYLIRA
New York and Presbyterian Hospital 4.063 8/1/2056	690,000.00	0.03	$692,065.17	4.063	08/01/2056	NYPRES
New York City Transitional Finance Authority Future Tax Secured Revenue 5.508 8/1/2037	700,000.00	0.04	$878,248.00	5.508	08/01/2037	NYCGEN
New York State Electric & Gas Corp. 3.250 12/1/2026	1,015,000.00	0.05	$1,017,711.07	3.250	12/01/2026	AGR
New York State Urban Development Corp. 5.770 3/15/2039	800,000.00	0.05	$984,552.00	5.770	03/15/2039	NYSDEV
NEW ZEALAND DOLLAR	12,218.21	0.00	$8,953.50	0.000	-	NEWZEALND
New Zealand Government Bond 2.750 4/15/2025	1,623,000.00	0.06	$1,179,825.67	2.750	04/15/2025	NZGB
NEWFIELD EXPLORATION CO. 5.375 1/1/2026	50,000.00	0.00	$52,000.00	5.375	01/01/2026	NFX
Newfield Exploration Co. 5.750 1/30/2022	475,000.00	0.02	$502,312.50	5.750	01/30/2022	NFX
Newfoundland & Labrador Hydro 3.600 12/1/2045	100,000.00	0.00	$80,929.21	3.600	12/01/2045	NFLAB
Nexstar Broadcasting Inc. 5.625 8/1/2024	635,000.00	0.03	$644,525.00	5.625	08/01/2024	NXST
NextEra Energy Capital Holdings Inc. 2.700 9/15/2019	450,000.00	0.02	$455,986.80	2.700	09/15/2019	NEE
NextEra Energy Capital Holdings Inc. 3.550 5/1/2027	2,340,000.00	0.12	$2,380,858.74	3.550	05/01/2027	NEE
NGCLO 2014-1A A1R	1,500,000.00	0.07	$1,500,444.00	2.300	08/28/2026	NGCLO
Nielsen Co. Luxembourg SARL 5.000 2/1/2025	790,000.00	0.04	$811,725.00	5.000	02/01/2025	NLSN
Nigeria Government International Bond 7.875 2/16/2032	1,000,000.00	0.05	$1,087,540.00	7.875	02/16/2032	NGERIA
Noble Energy Inc. 5.050 11/15/2044	2,055,000.00	0.11	$2,121,117.57	5.050	11/15/2044	NBL
NOK/USD BNP 07/21/17	6,491,577.65	0.04	$777,921.58	0.000	07/21/2017	NKUSI7217
Norinchukin Bank New York 1.871 10/10/2017	700,000.00	0.03	$701,391.60	1.605	10/10/2017	NORBK
Norinchukin Bank New York 1.871 10/11/2017	700,000.00	0.03	$701,401.40	1.605	10/11/2017	NORBK
Norinchukin Bank New York 1.871 10/12/2017	1,500,000.00	0.07	$1,503,019.50	1.605	10/12/2017	NORBK
Northern Trust Corp. 3.375 5/8/2032	330,000.00	0.01	$330,305.58	3.375	05/08/2032	NTRS
NORWEGIAN KRONE	3.83	n/a	$0.46	0.000	-	NOKKRONER
NOVA Chemicals Corp. 5.000 5/1/2025	526,000.00	0.02	$524,685.00	5.000	05/01/2025	NCX
NOVA Chemicals Corp. 5.250 6/1/2027	180,000.00	0.00	$179,550.00	5.250	06/01/2027	NCX
Novelis Corp. 6.250 8/15/2024	280,000.00	0.01	$294,700.00	6.250	08/15/2024	HNDLIN
Novellus Systems Inc. 2.625 5/15/2041	96,000.00	0.02	$401,220.00	2.625	05/15/2041	LRCX
NRZT 2017-2A A3	499,618.65	0.02	$520,169.46	4.000	03/25/2057	NRZT
NuVasive Inc. 2.250 3/15/2021	180,000.00	0.01	$249,300.00	2.250	03/15/2021	NUVA
NUVEEN FINANCE LLC 2.950 11/1/2019	1,130,000.00	0.06	$1,146,843.78	2.950	11/01/2019	TIAAGL
NUVEEN FINANCE LLC 4.125 11/1/2024	1,460,000.00	0.07	$1,513,019.91	4.125	11/01/2024	TIAAGL
NV Energy Inc. 6.250 11/15/2020	935,000.00	0.05	$1,052,580.93	6.250	11/15/2020	BRKHEC
NXP BV NXP Funding LLC 4.625 6/1/2023	575,000.00	0.03	$621,718.75	4.625	06/01/2023	NXPI
NXP Semiconductors NV 1.000 12/1/2019	375,000.00	0.02	$449,062.50	1.000	12/01/2019	NXPI
NZD/USD BOA 07/21/17	-4,123,058.53	-0.16	-$3,020,194.00	0.000	07/21/2017	NZUSF7217
OAKC 2014-10A AR	1,000,000.00	0.05	$999,495.00	2.286	07/20/2026	OAKC
OAKCL 2014-1A A1R	250,000.00	0.01	$249,872.50	2.472	05/13/2029	OAKCL
Oasis Petroleum Inc. 6.875 3/15/2022	40,000.00	0.00	$39,000.00	6.875	03/15/2022	OAS
OCP 2017-13A A1A	1,000,000.00	0.05	$998,626.00	0.000	07/15/2030	OCP
OCP S.A. 4.500 10/22/2025	1,180,000.00	0.06	$1,193,275.00	4.500	10/22/2025	OCPMR
OCP S.A. 6.875 4/25/2044	210,000.00	0.01	$237,704.46	6.875	04/25/2044	OCPMR
OCT19 2014-1A AR	1,000,000.00	0.05	$1,003,078.00	2.258	04/15/2026	OCT19
Olin Corp. 5.125 9/15/2027	360,000.00	0.01	$371,700.00	5.125	09/15/2027	OLN
ON Semiconductor Corp. 1.000 12/1/2020	299,000.00	0.01	$311,707.50	1.000	12/01/2020	ON
ON Semiconductor Corp. 2.250 3/31/2023	492,665.33	0.02	$494,051.19	2.250	03/31/2023	ON
OOMLT 2005-1 M1	2,155,252.23	0.09	$1,785,859.02	1.996	02/25/2035	OOMLT
OOMLT 2007-4 2A4	7,226,156.00	0.23	$4,539,050.64	1.526	04/25/2037	OOMLT
OPMAC 2006-1 2A1	716,113.53	0.03	$720,877.05	5.750	04/25/2036	OPMAC
Oracle Corp. 1.665 10/8/2019	940,000.00	0.04	$949,865.30	1.665	10/08/2019	ORCL
Owens-Brockway Glass Container Inc. 5.875 8/15/2023	600,000.00	0.03	$662,625.00	5.875	08/15/2023	OI
OZLM 2014-9A A1R	1,800,000.00	0.09	$1,805,976.00	2.376	01/20/2027	OZLM
PACCAR Financial Corp. 1.823 12/6/2018	835,000.00	0.04	$841,253.32	1.823	12/06/2018	PCAR
Pacira Pharmaceuticals Inc. DE 2.375 4/1/2022	382,000.00	0.02	$406,830.00	2.375	04/01/2022	PCRX
Pampa Energia S.A. 7.500 1/24/2027	725,000.00	0.03	$757,755.50	7.500	01/24/2027	PAMPAR
Panda Hummel 7.000 10/26/2022	315,000.00	0.01	$300,825.00	7.000	10/26/2022	PANTMP
Panda Stonewall LLC 6.500 11/13/2021	591,000.00	0.02	$546,675.00	6.500	11/13/2021	GRESTO
Park Aerospace Holdings Ltd. 5.500 2/15/2024	785,000.00	0.04	$821,895.00	5.500	02/15/2024	AVOL
Parker-Hannifin Corp. 3.300 11/21/2024	65,000.00	0.00	$67,088.32	3.300	11/21/2024	PH
PDC Energy Inc. 1.125 9/15/2021	227,000.00	0.01	$207,137.50	1.125	09/15/2021	PDCE
Pedernales Electric Cooperative Inc. 6.202 11/15/2032	620,000.00	0.03	$708,814.38	6.202	11/15/2032	PEDELC
Penn National Gaming Inc. 3.250 1/13/2024	204,487.50	0.01	$205,710.74	3.250	01/13/2024	PENN
Penn National Gaming Inc. 5.625 1/15/2027	930,000.00	0.04	$949,762.50	5.625	01/15/2027	PENN
Pennsylvania Electric Co. 5.200 4/1/2020	1,380,000.00	0.07	$1,458,746.94	5.200	04/01/2020	FE
Penske Automotive Group Inc. 5.500 5/15/2026	490,000.00	0.02	$488,775.00	5.500	05/15/2026	PAG
Penske Truck Leasing Co. Lp PTL Finance Corp. 3.300 4/1/2021	855,000.00	0.04	$879,034.91	3.300	04/01/2021	PENSKE
Penske Truck Leasing Co. Lp PTL Finance Corp. 3.400 11/15/2026	140,000.00	0.00	$137,861.64	3.400	11/15/2026	PENSKE
Penske Truck Leasing Co. Lp PTL Finance Corp. 4.200 4/1/2027	2,535,000.00	0.13	$2,624,178.77	4.200	04/01/2027	PENSKE
PepsiCo Inc. 1.505 10/13/2017	950,000.00	0.04	$951,029.80	1.505	10/13/2017	PEP
Pernod Ricard S.A. 4.450 1/15/2022	1,940,000.00	0.10	$2,081,955.63	4.450	01/15/2022	RIFP
Pertamina Persero PT 4.875 5/3/2022	525,000.00	0.02	$561,853.43	4.875	05/03/2022	PERTIJ
Pertamina Persero PT 5.250 5/23/2021	440,000.00	0.02	$477,491.52	5.250	05/23/2021	PERTIJ
Pertamina Persero PT 5.625 5/20/2043	255,000.00	0.01	$264,455.91	5.625	05/20/2043	PERTIJ
Perusahaan Gas Negara Persero Tbk 5.125 5/16/2024	615,000.00	0.03	$662,005.68	5.125	05/16/2024	PGASIJ
Perusahaan Listrik Negara PT 4.125 5/15/2027	500,000.00	0.02	$492,615.25	4.125	05/15/2027	PLNIJ
Perusahaan Listrik Negara PT 5.250 5/15/2047	410,000.00	0.02	$411,792.19	5.250	05/15/2047	PLNIJ
Perusahaan Listrik Negara PT 5.500 11/22/2021	505,000.00	0.02	$551,712.50	5.500	11/22/2021	PLNIJ
Peruvian Government International Bond 6.900 8/12/2037	3,868,000.00	0.06	$1,308,259.71	6.900	08/12/2037	PERU
Peruvian Government International Bond 6.950 8/12/2031	3,500,000.00	0.06	$1,196,113.81	6.950	08/12/2031	PERU
Petrobras Global Finance BV 5.375 1/27/2021	490,000.00	0.02	$499,408.00	5.375	01/27/2021	PETBRA
Petrobras Global Finance BV 6.125 1/17/2022	500,000.00	0.02	$517,500.00	6.125	01/17/2022	PETBRA
Petrobras Global Finance BV 6.750 1/27/2041	985,000.00	0.04	$925,900.00	6.750	01/27/2041	PETBRA
PETROBRAS GLOBAL FINANCE BV 6.850 6/5/2115	1,700,000.00	0.07	$1,508,750.00	6.850	06/05/2115	PETBRA
PETROBRAS GLOBAL FINANCE BV 7.250 3/17/2044	1,040,000.00	0.05	$1,026,480.00	7.250	03/17/2044	PETBRA
Petrobras Global Finance BV 7.375 1/17/2027	385,000.00	0.02	$408,292.50	7.375	01/17/2027	PETBRA
Petrobras Global Finance BV 8.375 5/23/2021	1,200,000.00	0.07	$1,346,256.00	8.375	05/23/2021	PETBRA
PETROLEOS MEXICANOS 3.125 1/23/2019	200,000.00	0.01	$201,900.00	3.125	01/23/2019	PEMEX
Petroleos Mexicanos 4.878 3/11/2022	110,000.00	0.00	$118,772.50	4.878	03/11/2022	PEMEX
Petroleos Mexicanos 6.500 3/13/2027	390,000.00	0.02	$419,445.00	6.500	03/13/2027	PEMEX
Petroleos Mexicanos 6.750 9/21/2047	375,000.00	0.01	$379,642.50	6.750	09/21/2047	PEMEX
Petroleos Mexicanos 9.250 3/30/2018	1,000,000.00	0.05	$1,048,562.60	9.750	03/30/2018	PEMEX
PetSmart Inc. 4.000 3/10/2022	510,000.00	0.02	$474,897.72	4.000	03/10/2022	PETM
Pfizer Inc. 1.546 6/15/2018	754,000.00	0.03	$756,093.86	1.546	06/15/2018	PFE
Pfizer Inc. 3.000 12/15/2026	1,105,000.00	0.05	$1,109,562.55	3.000	12/15/2026	PFE
PFSFC 2015-AA A	250,000.00	0.01	$249,949.35	1.779	04/15/2020	PFSFC
PFSFC 2017-AA A	1,250,000.00	0.06	$1,252,301.88	1.739	03/15/2021	PFSFC
PHEAA 2006-2 A3	736,663.79	0.03	$713,665.15	1.286	10/25/2036	PHEAA
Phosagro OAO via Phosagro Bond Funding DAC 3.950 11/3/2021	955,000.00	0.05	$963,064.98	3.950	11/03/2021	PHORRU
Physicians Realty LP 4.300 3/15/2027	395,000.00	0.02	$401,118.95	4.300	03/15/2027	DOC
Plains All American Pipeline LP PAA Finance Corp. 3.850 10/15/2023	10,000.00	0.00	$10,078.72	3.850	10/15/2023	PAA
Plains All American Pipeline LP PAA Finance Corp. 6.500 5/1/2018	800,000.00	0.04	$828,696.80	6.500	05/01/2018	PAA
Plains All American Pipeline LP PAA Finance Corp. 8.750 5/1/2019	1,160,000.00	0.06	$1,290,201.88	8.750	05/01/2019	PAA
PLN/USD JPM 07/21/17	-1,265,105.22	-0.02	-$341,361.60	0.000	07/21/2017	PZUSJ7217
PNC Bank NA 2.300 6/1/2020	500,000.00	0.02	$502,963.00	2.300	06/01/2020	PNC
PNC Bank NA 2.450 11/5/2020	1,035,000.00	0.05	$1,044,202.19	2.450	11/05/2020	PNC
PNC Bank NA 6.875 4/1/2018	1,415,000.00	0.07	$1,468,087.97	6.875	04/01/2018	PNC
PNC FINANCIAL SERVICES GROU 3.150 5/19/2027	570,000.00	0.02	$567,934.89	3.150	05/19/2027	PNC
PNC Financial Services Group Inc. 5.000 12/29/2049	1,100,000.00	0.05	$1,135,750.00	5.000	12/29/2049	PNC
POLISH ZLOTY	875.17	n/a	$236.18	0.000	-	POLZLOTY
PolyOne Corp. 5.250 3/15/2023	290,000.00	0.01	$305,950.00	5.250	03/15/2023	POL
Popular Inc. 7.000 7/1/2019	645,000.00	0.03	$680,475.00	7.000	07/01/2019	BPOP
Portugal Government International Bond 5.125 10/15/2024	702,000.00	0.03	$717,795.00	5.125	10/15/2024	PORTUG
Post Holdings Inc. 5.000 8/15/2026	825,000.00	0.04	$825,000.00	5.000	08/15/2026	POST
Post Holdings Inc. 5.750 3/1/2027	105,000.00	0.00	$108,412.50	5.750	03/01/2027	POST
PQ Corp. 5.250 11/4/2022	1,554,218.24	0.08	$1,571,437.43	5.250	11/04/2022	PQCOR
PQ Corp. 6.750 11/15/2022	70,000.00	0.00	$75,425.00	6.750	11/15/2022	PQCOR
Prime Security Services Borrower LLC Prime Finance Inc. 9.250 5/15/2023	745,000.00	0.04	$811,424.20	9.250	05/15/2023	PRSESE
Principal Life Global Funding II 3.000 4/18/2026	745,000.00	0.03	$735,186.86	3.000	04/18/2026	PFG
Progressive Corp. 4.125 4/15/2047	1,025,000.00	0.05	$1,069,079.10	4.125	04/15/2047	PGR
Prologis LP 4.000 1/15/2018	300,000.00	0.01	$301,893.00	4.000	01/15/2018	PLD
PROS Holdings Inc. 2.000 12/1/2019	510,000.00	0.02	$542,512.50	2.000	12/01/2019	PRO
Province of Ontario Canada 3.450 6/2/2045	551,000.00	0.02	$464,283.78	3.450	06/02/2045	ONT
Province of Quebec Canada 1.650 3/3/2022	419,000.00	0.01	$320,327.57	1.650	03/03/2022	Q
Province of Quebec Canada 6.000 10/1/2029	155,000.00	0.00	$161,153.15	6.000	10/01/2029	Q
Provincia de Buenos Aires Argentina 7.875 6/15/2027	780,000.00	0.04	$809,484.00	7.875	06/15/2027	BUENOS
Provincia de Cordoba 7.125 8/1/2027	680,000.00	0.03	$678,738.61	7.125	08/01/2027	PDCAR
Provincia de Cordoba 7.450 9/1/2024	960,000.00	0.05	$999,033.60	7.450	09/01/2024	PDCAR
Prudential Financial Inc. 5.375 5/15/2045	765,000.00	0.04	$830,025.00	5.375	05/15/2045	PRU
Public Service Co. of New Hampshire 3.500 11/1/2023	635,000.00	0.03	$663,534.36	3.500	11/01/2023	ES
Public Service Co. of Oklahoma 5.150 12/1/2019	645,000.00	0.03	$687,932.49	5.150	12/01/2019	AEP
Puget Energy Inc. 6.500 12/15/2020	3,800,000.00	0.22	$4,250,714.20	6.500	12/15/2020	PSD
PulteGroup Inc. 5.000 1/15/2027	430,000.00	0.02	$442,900.00	5.000	01/15/2027	PHM
QEP Resources Inc. 5.250 5/1/2023	565,000.00	0.02	$536,750.00	5.250	05/01/2023	QEP
Queensland Treasury Corp. 2.750 8/20/2027	446,000.00	0.01	$330,068.63	2.750	08/20/2027	QTC
Queensland Treasury Corp. 3.250 7/21/2028	495,000.00	0.01	$380,435.31	3.250	07/21/2028	QTC
Quintiles IMS Inc. 5.000 10/15/2026	610,000.00	0.03	$630,587.50	5.000	10/15/2026	RX
RAAC 2005-SP2 2A	580,730.46	0.02	$489,217.68	1.516	06/25/2044	RAAC
Radiate Holdco LLC Radiate Finance Inc. 6.625 2/15/2025	80,000.00	0.00	$80,200.00	6.625	02/15/2025	RADIAT
Radiate Holdco LLC 3.750 2/1/2024	1,376,550.00	0.07	$1,360,634.33	3.750	02/01/2024	RADIAT
Raizen Fuels Finance S.A. 5.300 1/20/2027	885,000.00	0.04	$899,381.25	5.300	01/20/2027	RAIZBZ
RAMP 2006-RZ5 A2	177,103.06	0.00	$176,549.44	1.396	08/25/2046	RAMP
RAMP 2007-RZ1 A2	608,987.51	0.03	$600,690.85	1.376	02/25/2037	RAMP
Regency Centers LP 3.600 2/1/2027	815,000.00	0.04	$811,092.89	3.600	02/01/2027	REG
Regency Energy Partners LP Regency Energy Finance Corp. 5.000 10/1/2022	1,500,000.00	0.08	$1,610,362.50	5.000	10/01/2022	ETP
Regency Energy Partners LP Regency Energy Finance Corp. 5.750 9/1/2020	400,000.00	0.02	$432,952.40	5.750	09/01/2020	ETP
Regions Bank Birmingham AL 2.250 9/14/2018	345,000.00	0.01	$346,503.17	2.250	09/14/2018	RF
Republic of Angola 7.683 12/16/2023	1,503,125.00	0.07	$1,352,812.50	6.250	12/16/2023	ANGOL
Republic of Poland Government Bond 2.500 7/25/2026	8,756,000.00	0.11	$2,236,582.46	2.500	07/25/2026	POLGB
Republic of Poland Government Bond 3.250 7/25/2025	1,087,000.00	0.01	$296,007.55	3.250	07/25/2025	POLGB
Republic of South Africa Government Bond 8.000 1/31/2030	86,581,000.00	0.31	$5,995,521.65	8.000	01/31/2030	SAGB
Republic of South Africa Government Bond 8.750 1/31/2044	32,828,000.00	0.11	$2,240,165.66	8.750	01/31/2044	SAGB
Republic of South Africa Government International Bond 5.875 5/30/2022	750,000.00	0.04	$820,637.25	5.875	05/30/2022	SOAF
Revlon Consumer Products Corp. 4.250 7/14/2023	1,187,894.99	0.05	$1,110,434.73	4.250	07/14/2023	REV
Revlon Consumer Products Corp. 6.250 8/1/2024	310,000.00	0.01	$271,250.00	6.250	08/01/2024	REV
Reynolds American Inc. 4.000 6/12/2022	2,200,000.00	0.12	$2,333,597.20	4.000	06/12/2022	RAI
RFMSI 2004-S9 2A1	54,641.59	0.00	$54,790.17	4.750	12/25/2019	RFMSI
RFTI 2015-FL1 A	1,339,804.76	0.07	$1,339,102.70	2.909	08/15/2030	RFTI
Rio Oil Finance Trust Series 2014-1 9.250 7/6/2024	200,503.41	0.01	$204,563.60	9.250	07/06/2024	RIOOIL
RISE 2014-1 A	2,096,993.13	0.11	$2,107,478.10	4.750	02/15/2039	RISE
Rite Aid Corp. 5.750 8/3/2020	475,500.00	0.02	$478,769.06	5.750	08/03/2020	RAD
Rochester Gas & Electric Corp. 3.100 6/1/2027	30,000.00	0.00	$30,006.12	3.100	06/01/2027	AGR
Rockies Express Pipeline LLC 6.850 7/15/2018	500,000.00	0.02	$523,125.00	6.850	07/15/2018	ROCKIE
Rockwell Collins Inc. 3.200 3/15/2024	530,000.00	0.02	$537,887.99	3.200	03/15/2024	COL
ROCKWELL COLLINS INC. 3.500 3/15/2027	370,000.00	0.01	$375,984.75	3.500	03/15/2027	COL
Roper Technologies Inc. 2.800 12/15/2021	685,000.00	0.03	$691,466.40	2.800	12/15/2021	ROP
Roper Technologies Inc. 3.800 12/15/2026	280,000.00	0.01	$288,273.16	3.800	12/15/2026	ROP
ROYAL BANK OF CANADA 2.300 3/22/2021	2,300,000.00	0.12	$2,308,470.90	2.300	03/22/2021	RY
Royal Bank of Canada 2.750 2/1/2022	185,000.00	0.00	$188,240.28	2.750	02/01/2022	RY
Royal Bank of Scotland Group PLC 2.652 5/15/2023	390,000.00	0.02	$393,426.54	2.652	05/15/2023	RBS
Royal Bank of Scotland Group PLC 3.498 5/15/2023	500,000.00	0.02	$503,519.50	3.498	05/15/2023	RBS
Royal Bank of Scotland Group PLC 3.875 9/12/2023	690,000.00	0.03	$704,625.93	3.875	09/12/2023	RBS
Royal Bank of Scotland Group PLC 6.990 10/29/2049	300,000.00	0.01	$341,250.00	6.990	10/29/2049	RBS
Royal Bank of Scotland Group PLC 8.625 12/29/2049	4,970,000.00	0.28	$5,429,725.00	8.625	12/29/2049	RBS
Russell Investments US Institutional Holdco Inc. 6.750 4/14/2023	2,298,934.22	0.12	$2,326,234.06	6.750	04/14/2023	RUSINV
Russian Foreign Bond - Eurobond 4.750 5/27/2026	600,000.00	0.03	$627,255.00	4.750	05/27/2026	RUSSIA
S&P500 EMINI FUT Sep17	-112.00	-0.72	-$13,557,040.00	0.000	09/15/2017	ESU7
SABINE PASS LIQUEFACTION LL 6.250 3/15/2022	400,000.00	0.02	$453,349.20	6.250	03/15/2022	CQP
Sabine Pass Liquefaction LLC 5.625 3/1/2025	765,000.00	0.04	$845,995.91	5.625	03/01/2025	CQP
Sabine Pass Liquefaction LLC 5.625 4/15/2023	2,105,000.00	0.12	$2,342,444.00	5.625	04/15/2023	CQP
Sabine Pass Liquefaction LLC 5.750 5/15/2024	6,465,000.00	0.37	$7,209,380.10	5.750	05/15/2024	CQP
SAIL 2003-BC2 M1	15,777.50	0.00	$13,612.17	2.596	04/25/2033	SAIL
SAM Finance Lux Sarl 4.250 11/26/2020	692,839.88	0.03	$697,850.50	4.250	11/26/2020	SAMFLU
SAMI 2005-AR5 A2	481,947.08	0.02	$470,663.01	1.459	07/19/2035	SAMI
SANTANDER HOLDINGS USA 2.700 5/24/2019	2,100,000.00	0.11	$2,116,506.00	2.700	05/24/2019	SOV
Santander Holdings USA Inc. 2.642 11/24/2017	2,500,000.00	0.13	$2,510,107.50	2.642	11/24/2017	SOV
Santander UK Group Holdings PLC 3.571 1/10/2023	250,000.00	0.01	$255,927.50	3.571	01/10/2023	SANUK
Santander UK Group Holdings PLC 7.375 6/24/2022	2,200,000.00	0.15	$3,016,825.86	7.375	06/24/2022	SANUK
Santander UK PLC 2.042 8/24/2018	730,000.00	0.03	$734,780.77	2.042	08/24/2018	SANUK
SANTANDER UK PLC 5.000 11/7/2023	1,505,000.00	0.08	$1,618,504.09	5.000	11/07/2023	SANUK
SARM 2006-1 7A4	698,264.79	0.03	$623,014.05	3.332	02/25/2036	SARM
SASC 2006-BC1 A6	1,800,000.00	0.07	$1,415,740.14	1.486	03/25/2036	SASC
Saudi Government International Bond 2.375 10/26/2021	400,000.00	0.02	$394,078.40	2.375	10/26/2021	KSA
Saudi Government International Bond 3.250 10/26/2026	1,000,000.00	0.05	$992,555.00	3.250	10/26/2026	KSA
Saudi Government International Bond 4.500 10/26/2046	800,000.00	0.04	$816,844.00	4.500	10/26/2046	KSA
SBA Communications Corp. 4.875 9/1/2024	525,000.00	0.02	$535,500.00	4.875	09/01/2024	SBAC
SBA Tower Trust 2.240 4/16/2018	735,000.00	0.03	$734,789.35	2.240	04/16/2018	SBAC
SBA Tower Trust 2.898 10/15/2019	600,000.00	0.03	$603,168.84	2.898	10/15/2019	SBAC
SCANA Corp. 4.125 2/1/2022	810,000.00	0.04	$815,501.52	4.125	02/01/2022	SCG
SCFT 2016-AA A	3,584,501.55	0.18	$3,605,631.83	3.050	04/25/2029	SCFT
Scientific Games International Inc. 10.000 12/1/2022	750,000.00	0.04	$825,000.00	10.000	12/01/2022	SGMS
Scientific Games International Inc. 4.750 10/1/2021	1,677,522.81	0.08	$1,696,094.66	4.750	10/01/2021	SGMS
SCLP 2017-3 A	2,182,965.19	0.11	$2,194,177.99	2.770	05/25/2026	SCLP
Scotts Miracle-Gro Co. 5.250 12/15/2026	395,000.00	0.02	$414,750.00	5.250	12/15/2026	SMG
SECURITIZED NET CASH - ACR1	13,476,543.67	0.70	$13,476,543.67	0.000	-	SECCASHAC
SECURITIZED NET CASH - CSH1 0.050 12/15/2038	-309,933,675.21	-16.29	-$309,933,675.21	0.000	-	US-CASH
SECURITIZED NET CASH - LT	155,414.79	0.00	$155,414.79	0.000	-	SECNCAHUS
SEK/USD JPM 07/21/17	813,406.54	0.00	$96,672.53	0.000	07/21/2017	SKUSJ7217
SEMT 2004-5 A3	246,652.07	0.01	$233,469.65	1.959	06/20/2034	SEMT
SEMT 2007-1 4A1	769,125.12	0.03	$630,390.33	3.502	09/20/2046	SEMT
SEMT 2015-1 B2	372,946.85	0.01	$375,618.60	3.877	01/25/2045	SEMT
SEMT 2017-4 A1	400,000.00	0.02	$406,436.00	3.500	07/25/2047	SEMT
Senegal Government International Bond 6.250 5/23/2033	500,000.00	0.02	$508,756.50	6.250	05/23/2033	SENEGL
Serbia International Bond 4.875 2/25/2020	665,000.00	0.03	$693,932.82	4.875	02/25/2020	SERBIA
ServiceMaster Co. LLC 5.125 11/15/2024	650,000.00	0.03	$674,375.00	5.125	11/15/2024	SERV
SFR Group S.A. 3.000 6/22/2025	1,675,000.00	0.08	$1,663,784.20	3.000	06/22/2025	SFRFP
SFR Group S.A. 4.000 1/31/2025	1,064,650.00	0.05	$1,063,699.27	4.000	01/31/2025	SFRFP
SFR Group S.A. 6.250 5/15/2024	790,000.00	0.04	$837,400.00	6.250	05/15/2024	SFRFP
SFR Group S.A. 7.375 5/1/2026	1,000,000.00	0.05	$1,088,750.00	7.375	05/01/2026	SFRFP
SGD/USD FWD 20170918	-9,478,080.00	-0.37	-$6,893,149.09	0.000	09/18/2017	SGJ091817
SHACK 2015-8A A1	250,000.00	0.01	$250,102.50	2.666	10/20/2027	SHACK
Shell International Finance BV 1.632 5/11/2020	595,000.00	0.03	$600,641.79	1.632	05/11/2020	RDSALN
Shell International Finance BV 4.375 5/11/2045	400,000.00	0.02	$420,243.60	4.375	05/11/2045	RDSALN
Sherwin-Williams Co. 3.450 6/1/2027	2,055,000.00	0.10	$2,073,869.01	3.450	06/01/2027	SHW
Shire Acquisitions Investments Ireland DAC 2.400 9/23/2021	1,470,000.00	0.07	$1,454,159.28	2.400	09/23/2021	SHPLN
Shire Acquisitions Investments Ireland DAC 2.875 9/23/2023	1,385,000.00	0.07	$1,374,518.32	2.875	09/23/2023	SHPLN
Siemens Financieringsmaatschappij NV 1.469 5/25/2018	610,000.00	0.03	$611,296.86	1.469	05/25/2018	SIEGR
Siemens Financieringsmaatschappij NV 1.700 9/15/2021	1,235,000.00	0.06	$1,207,037.13	1.700	09/15/2021	SIEGR
Siemens Financieringsmaatschappij NV 3.125 3/16/2024	1,325,000.00	0.07	$1,346,875.75	3.125	03/16/2024	SIEGR
Silicon Laboratories Inc. 1.375 3/1/2022	39,000.00	0.00	$40,511.25	1.375	03/01/2022	SLAB
Sinclair Television Group Inc. 2.250 1/31/2024	2,626,800.00	0.13	$2,633,083.30	2.250	01/31/2024	SBGI
Sinclair Television Group Inc. 5.125 2/15/2027	615,000.00	0.03	$598,087.50	5.125	02/15/2027	SBGI
SINGAPORE DOLLAR	257.31	n/a	$186.90	0.000	-	SINGDOLL
Sirius XM Radio Inc. 5.375 4/15/2025	1,147,000.00	0.06	$1,188,578.75	5.375	04/15/2025	SIRI
SLMA 2003-11 A6	400,000.00	0.02	$401,440.00	1.796	12/15/2025	SLMA
SLMA 2008-9 A	2,112,870.30	0.11	$2,157,844.01	2.656	04/25/2023	SLMA
SLMA 2012-5 A2	161,809.67	0.00	$161,872.37	1.516	06/25/2019	SLMA
SMBC Aviation Capital Finance DAC 2.650 7/15/2021	895,000.00	0.04	$879,523.66	2.650	07/15/2021	SMBCAC
SNDPT 2013-2A A1R	300,000.00	0.01	$299,849.10	2.148	07/15/2025	SNDPT
SOCIETE GENERALE 4.250 4/14/2025	3,600,000.00	0.19	$3,656,818.80	4.250	04/14/2025	SOCGEN
SOFI 2016-F A2	623,995.04	0.03	$626,613.82	3.020	02/25/2040	SOFI
Solera LLC Solera Finance Inc. 10.500 3/1/2024	50,000.00	0.00	$57,687.50	10.500	03/01/2024	SLH
SOUTH AFRICA RAND	2,658,532.17	0.01	$203,212.85	0.000	-	ZAR
South Carolina Public Service Authority 4.770 12/1/2045	290,000.00	0.01	$287,990.30	4.770	12/01/2045	SCSUTL
SOUTH KOREA WON	16,694,528.00	0.00	$14,591.21	0.000	-	SKOREAWON
Southern Co. 2.750 6/15/2020	1,260,000.00	0.06	$1,276,882.74	2.750	06/15/2020	SO
SOUTHERN CO. 2.950 7/1/2023	500,000.00	0.02	$497,403.50	2.950	07/01/2023	SO
Southern Co. 3.250 7/1/2026	1,170,000.00	0.06	$1,146,892.50	3.250	07/01/2026	SO
Southern Co. 4.400 7/1/2046	970,000.00	0.05	$993,078.24	4.400	07/01/2046	SO
Southern Copper Corp. 5.875 4/23/2045	450,000.00	0.02	$484,659.00	5.875	04/23/2045	SCCO
Southern Gas Corridor CJSC 6.875 3/24/2026	600,000.00	0.03	$651,120.00	6.875	03/24/2026	SGCAZE
Southwestern Electric Power Co. 6.450 1/15/2019	690,000.00	0.03	$734,792.73	6.450	01/15/2019	AEP
Southwestern Energy Co. 4.100 3/15/2022	220,000.00	0.01	$206,112.50	4.100	03/15/2022	SWN
Southwestern Energy Co. 6.700 1/23/2025	95,000.00	0.00	$93,337.50	6.700	01/23/2025	SWN
SPCM S.A. 4.875 9/15/2025	550,000.00	0.02	$562,375.00	4.875	09/15/2025	SNFF
Spectra Energy Capital LLC 3.300 3/15/2023	710,000.00	0.03	$713,449.89	3.300	03/15/2023	SE
Spectra Energy Partners LP 1.920 6/5/2020	500,000.00	0.02	$502,160.00	1.923	06/05/2020	SEP
Spectrum Pharmaceuticals Inc. 2.750 12/15/2018	540,000.00	0.03	$574,425.00	2.750	12/15/2018	SPPI
Spirit Realty Capital Inc. 3.750 5/15/2021	476,000.00	0.02	$473,324.88	3.750	05/15/2021	SRC
SPRINGLEAF FINANCE CORP. 8.250 12/15/2020	2,500,000.00	0.14	$2,812,500.00	8.250	12/15/2020	AMGFIN
Sprint Capital Corp. 6.900 5/1/2019	900,000.00	0.05	$965,016.00	6.900	05/01/2019	S
Sprint Communications Inc. 3.250 2/2/2024	1,506,225.00	0.07	$1,507,838.16	3.250	02/02/2024	S
Sprint Communications Inc. 7.000 8/15/2020	260,000.00	0.01	$286,650.00	7.000	08/15/2020	S
Sprint Corp. 7.125 6/15/2024	300,000.00	0.01	$334,500.00	7.125	06/15/2024	S
Sprint Corp. 7.875 9/15/2023	628,000.00	0.03	$723,770.00	7.875	09/15/2023	S
Sri Lanka Government International Bond 6.200 5/11/2027	580,000.00	0.03	$580,526.64	6.200	05/11/2027	SRILAN
Sri Lanka Government International Bond 6.825 7/18/2026	510,000.00	0.02	$538,521.75	6.825	07/18/2026	SRILAN
St. Marys Cement Inc. Canada 5.750 1/28/2027	920,000.00	0.04	$907,350.00	5.750	01/28/2027	VOTORA
STACR 2016-DNA3 M1	192,795.89	0.01	$193,445.59	2.316	12/25/2028	STACR
STACR 2017-DNA1 M2	750,000.00	0.04	$782,367.45	4.466	07/25/2029	STACR
Standard Chartered PLC 2.308 8/19/2019	3,200,000.00	0.16	$3,230,950.40	2.308	08/19/2019	STANLN
Standard Industries Inc. NJ 5.000 2/15/2027	985,000.00	0.05	$1,007,162.50	5.000	02/15/2027	BMCAUS
StandardAero Aviation Holdings Inc. 10.000 7/15/2023	30,000.00	0.00	$33,375.00	10.000	07/15/2023	DAEAVI
StandardAero Aviation Holdings Inc. 5.440 7/7/2022	613,759.54	0.03	$617,902.42	5.440	07/07/2022	DAEAVI
STANI 2014-1A AR	1,500,000.00	0.07	$1,499,239.50	2.426	06/15/2025	STANI
State of California 1.831 4/1/2047	1,250,000.00	0.06	$1,254,725.00	1.831	04/01/2047	CAS
State of California 7.550 4/1/2039	715,000.00	0.05	$1,093,871.35	7.550	04/01/2039	CAS
State of Oregon 5.892 6/1/2027	65,000.00	0.00	$78,786.50	5.892	06/01/2027	ORS
State Street Corp. 2.653 5/15/2023	45,000.00	0.00	$45,162.14	2.653	05/15/2023	STT
State Street Corp. 3.100 5/15/2023	525,000.00	0.02	$534,681.00	3.100	05/15/2023	STT
State Street Corp. 3.300 12/16/2024	875,000.00	0.04	$900,782.75	3.300	12/16/2024	STT
State Street Corp. 3.550 8/18/2025	900,000.00	0.04	$938,251.80	3.550	08/18/2025	STT
Statoil ASA 1.639 11/8/2018	835,000.00	0.04	$839,149.95	1.639	11/08/2018	STLNO
Steel Dynamics Inc. 5.000 12/15/2026	875,000.00	0.04	$900,156.25	5.000	12/15/2026	STLD
STNY 2007-1A A1	81,863.34	0.00	$81,651.97	1.398	04/18/2022	STNY
STRU AM-1240 IO	2,025,000.00	0.02	$438,539.06	4.000	12/31/2049	STRU
SUAM Finance BV 4.875 4/17/2024	655,000.00	0.03	$696,690.75	4.875	04/17/2024	SUAMSA
Sumitomo Mitsui Banking Corp. 1.698 1/11/2019	1,000,000.00	0.05	$1,003,070.00	1.698	01/11/2019	SUMIBK
Sumitomo Mitsui Banking Corp. New York 1.946 9/15/2017	3,800,000.00	0.19	$3,805,152.80	1.574	09/15/2017	SUMIBK
Sumitomo Mitsui Financial Group Inc. 2.901 3/9/2021	2,300,000.00	0.12	$2,370,428.30	2.901	03/09/2021	SUMIBK
Sumitomo Mitsui Trust Bank Limited New York 1.997 9/18/2017	2,700,000.00	0.14	$2,704,079.70	1.997	09/18/2017	SUMITR
Summit Materials LLC Summit Materials Finance Corp. 6.125 7/15/2023	70,000.00	0.00	$73,675.00	6.125	07/15/2023	SUMMAT
Summit Materials LLC Summit Materials Finance Corp. 8.500 4/15/2022	30,000.00	0.00	$34,050.00	8.500	04/15/2022	SUMMAT
Summit Materials LLC 3.500 7/17/2022	723,060.91	0.03	$729,952.40	3.500	07/17/2022	SUMMAT
Summit Midstream Holdings LLC Summit Midstream Finance Corp. 5.750 4/15/2025	50,000.00	0.00	$50,500.00	5.750	04/15/2025	SUMMPL
Summit Midstream Partners Holdings LLC 7.000 5/16/2022	525,000.00	0.02	$532,218.75	7.000	05/16/2022	SUMMPL
SunTrust Bank Atlanta GA 3.300 5/15/2026	540,000.00	0.02	$528,834.42	3.300	05/15/2026	STI
SunTrust Banks Inc. 2.700 1/27/2022	1,105,000.00	0.05	$1,108,350.36	2.700	01/27/2022	STI
SunTrust Banks Inc. 5.050 12/31/2049	280,000.00	0.01	$284,900.00	5.050	12/31/2049	STI
SURA Asset Management S.A. 4.375 4/11/2027	315,000.00	0.01	$318,937.50	4.375	04/11/2027	SUAMSA
Surgery Center Holdings Inc. 4.530 6/20/2024	160,000.00	0.00	$160,600.00	4.530	06/20/2024	SURCEN
Suzano Austria GmbH 5.750 7/14/2026	290,000.00	0.01	$300,875.00	5.750	07/14/2026	SUZANO
Suzano Austria GmbH 7.000 3/16/2047	485,000.00	0.02	$493,730.00	7.000	03/16/2047	SUZANO
Suzano Trading Ltd. 5.875 1/23/2021	250,000.00	0.01	$266,250.00	5.875	01/23/2021	SUZANO
SVB Financial Group 3.500 1/29/2025	2,205,000.00	0.11	$2,168,026.56	3.500	01/29/2025	SIVB
SVHE 2006-WF2 A1	488,430.49	0.02	$484,599.83	1.346	12/25/2036	SVHE
Swedbank AB 2.650 3/10/2021	1,135,000.00	0.06	$1,150,143.17	2.650	03/10/2021	SWEDA
SWEDISH KRONA	0.44	n/a	$0.05	0.000	-	SWKRONOR
Symantec Corp. 4.200 9/15/2020	2,000,000.00	0.11	$2,110,000.00	4.200	09/15/2020	SYMC
Symantec Corp. 5.000 4/15/2025	530,000.00	0.02	$556,001.80	5.000	04/15/2025	SYMC
Synaptics Inc. 0.500 6/15/2022	76,000.00	0.00	$76,950.00	0.500	06/15/2022	SYNA
Synchronoss Technologies Inc. 0.750 8/15/2019	303,000.00	0.01	$282,547.50	0.750	08/15/2019	SNCR
Synchrony Financial 1.875 8/15/2017	500,000.00	0.02	$500,119.50	1.875	08/15/2017	SYF
Synchrony Financial 2.402 2/3/2020	500,000.00	0.02	$503,965.00	2.402	02/03/2020	SYF
Synchrony Financial 2.580 11/9/2017	1,400,000.00	0.07	$1,404,515.00	2.580	11/09/2017	SYF
T-Mobile US Inc. 5.500 12/15/2017	2,180.00	0.01	$215,035.20	2.750	12/15/2017	TMUS
T-Mobile USA Inc. 6.375 3/1/2025	50,000.00	0.00	$54,187.50	6.375	03/01/2025	TMUS
T-Mobile USA Inc. 6.500 1/15/2026	760,000.00	0.04	$840,750.00	6.500	01/15/2026	TMUS
Targa Resources Partners LP Targa Resources Partners Finance Corp. 5.375 2/1/2027	680,000.00	0.03	$707,200.00	5.375	02/01/2027	NGLS
Team Health Holdings Inc. 3.750 1/12/2024	623,437.50	0.03	$620,865.82	3.750	01/12/2024	TMH
Team Health Holdings Inc. 6.375 2/1/2025	60,000.00	0.00	$58,350.00	6.375	02/01/2025	TMH
Telecom Italia SpA Milano 5.303 5/30/2024	200,000.00	0.01	$215,250.00	5.303	05/30/2024	TITIM
Telefonica Emisiones SAU 5.213 3/8/2047	1,400,000.00	0.07	$1,519,807.80	5.213	03/08/2047	TELEFO
Telefonica Emisiones SAU 6.221 7/3/2017	722,000.00	0.03	$722,000.00	6.221	07/03/2017	TELEFO
Telenet Financing USD LLC 2.750 6/30/2025	710,000.00	0.03	$711,109.74	2.750	06/30/2025	TNETBB
Temasek Financial I Ltd. 2.375 1/23/2023	560,000.00	0.02	$554,824.37	2.375	01/23/2023	TEMASE
Tempur Sealy International Inc. 5.500 6/15/2026	450,000.00	0.02	$458,437.50	5.500	06/15/2026	TPX
TENET HEALTHCARE CORP. 8.000 8/1/2020	160,000.00	0.00	$162,200.00	8.000	08/01/2020	THC
Tengizchevroil Finance Co. International Ltd. 4.000 8/15/2026	785,000.00	0.03	$758,663.25	4.000	08/15/2026	TENGIZ
Tesoro Corp. 4.750 12/15/2023	1,080,000.00	0.06	$1,168,452.00	4.750	12/15/2023	TSO
Tesoro Logistics LP Tesoro Logistics Finance Corp. 5.250 1/15/2025	390,000.00	0.02	$410,962.50	5.250	01/15/2025	TLLP
Teva Pharmaceutical Industries Ltd. 7.000 12/15/2018	194.00	0.00	$115,333.00	70.000	12/15/2018	TEVA
Texas Eastern Transmission LP 6.000 9/15/2017	800,000.00	0.04	$806,265.60	6.000	09/15/2017	SEP
Texas Water Development Board 5.000 10/15/2045	255,000.00	0.01	$294,815.70	5.000	10/15/2045	TXSWTR
Texas Water Development Board 5.000 10/15/2046	665,000.00	0.04	$776,826.40	5.000	10/15/2046	TXSWTR
THB/USD FWD 20170918	-4,239,616.00	-0.01	-$124,810.22	0.000	09/18/2017	THJ091817
THC Escrow Corp. III 5.125 5/1/2025	345,000.00	0.01	$347,156.25	5.125	05/01/2025	THC
Thermo Fisher Scientific Inc. 3.000 4/15/2023	1,980,000.00	0.10	$1,998,380.34	3.000	04/15/2023	TMO
THRON 2013-1 A	1,366,173.12	0.09	$1,790,035.96	1.836	07/20/2044	THRON
TIA 2017-1A A	1,040,000.00	0.05	$1,043,996.72	2.490	04/20/2029	TIA
Time Warner Cable LLC 6.750 7/1/2018	1,500,000.00	0.08	$1,569,720.00	6.750	07/01/2018	TWC
Time Warner Cable LLC 7.300 7/1/2038	2,685,000.00	0.18	$3,445,660.50	7.300	07/01/2038	TWC
Time Warner Entertainment Co. LP 8.375 3/15/2023	1,415,000.00	0.09	$1,782,324.10	8.375	03/15/2023	TWC
TKC Holdings Inc. 4.750 1/13/2023	653,362.50	0.03	$652,954.15	4.750	01/13/2023	TKCHOL
Toronto-Dominion Bank 1.722 4/30/2018	835,000.00	0.04	$837,958.41	1.722	04/30/2018	TD
Toronto-Dominion Bank 2.500 12/14/2020	690,000.00	0.03	$698,242.74	2.500	12/14/2020	TD
Toyota Motor Credit Corp. 2.800 7/13/2022	420,000.00	0.02	$427,409.22	2.800	07/13/2022	TOYOTA
TPMT 2017-1 A1	401,645.04	0.02	$404,715.34	2.750	10/25/2056	TPMT
TPMT 2017-2 A1	221,399.12	0.01	$223,503.78	2.750	04/25/2057	TPMT
TRAL 2014-3A A1R	250,000.00	0.01	$250,030.00	2.606	07/20/2026	TRAL
Trans-Allegheny Interstate Line Co. 3.850 6/1/2025	525,000.00	0.02	$545,382.60	3.850	06/01/2025	FE
Transcanada Trust 5.300 3/15/2077	430,000.00	0.02	$442,846.25	5.300	03/15/2077	TRPCN
Transcanada Trust 5.875 8/15/2076	560,000.00	0.03	$609,112.00	5.875	08/15/2076	TRPCN
TransDigm Inc. 3.500 5/14/2022	59,167.91	0.00	$59,155.60	3.500	05/14/2022	TDG
TransDigm Inc. 3.750 6/9/2023	702,400.61	0.03	$702,510.19	3.750	06/09/2023	TDG
TransDigm Inc. 6.375 6/15/2026	410,000.00	0.02	$417,175.00	6.375	06/15/2026	TDG
Transnet SOC Ltd. 4.000 7/26/2022	575,000.00	0.02	$561,069.48	4.000	07/26/2022	SAFTRA
Transocean Inc. 9.000 7/15/2023	70,000.00	0.00	$72,975.00	9.000	07/15/2023	RIG
Transocean Proteus Ltd. 6.250 12/1/2024	308,750.00	0.01	$316,468.75	6.250	12/01/2024	RIG
Tribune Media Co. 3.750 12/27/2020	471,824.07	0.02	$475,731.24	3.750	12/27/2020	TRCO
Tribune Media Co. 5.875 7/15/2022	313,000.00	0.01	$329,432.50	5.875	07/15/2022	TRCO
Trust F 1401 5.250 1/30/2026	745,000.00	0.04	$774,427.50	5.250	01/30/2026	FUNOTR
Turkey Government Bond 8.000 3/12/2025	37,655,000.00	0.49	$9,452,679.09	8.000	03/12/2025	TURKGB
Turkey Government International Bond 3.250 3/23/2023	1,000,000.00	0.04	$939,920.00	3.250	03/23/2023	TURKEY
Turkiye Garanti Bankasi AS 5.250 9/13/2022	355,000.00	0.01	$361,354.50	5.250	09/13/2022	GARAN
Turkiye Garanti Bankasi AS 6.250 4/20/2021	590,000.00	0.03	$626,624.25	6.250	04/20/2021	GARAN
TWD/USD FWD 20170918	-186,760,561.00	-0.33	-$6,144,584.88	0.000	09/18/2017	TWJ091817
Tyson Foods Inc. 2.650 8/15/2019	1,500,000.00	0.07	$1,519,723.50	2.650	08/15/2019	TSN
Tyson Foods Inc. 3.550 6/2/2027	1,215,000.00	0.06	$1,224,492.80	3.550	06/02/2027	TSN
UBS AG 4.750 5/22/2023	1,300,000.00	0.06	$1,327,831.70	4.750	05/22/2023	UBS
UBS AG 5.125 5/15/2024	200,000.00	0.01	$211,761.20	5.125	05/15/2024	UBS
UBS AG London 1.539 12/7/2018	2,000,000.00	0.10	$2,001,258.00	1.532	12/07/2018	UBS
UBS AG London 1.799 6/8/2020	2,000,000.00	0.10	$2,004,098.00	1.790	06/08/2020	UBS
UBS AG Stamford CT 5.875 12/20/2017	1,163,000.00	0.06	$1,186,734.50	5.875	12/20/2017	UBS
UBS AG Stamford CT 7.625 8/17/2022	500,000.00	0.03	$588,250.00	7.625	08/17/2022	UBS
UBS Group AG 6.875 12/29/2049	555,000.00	0.03	$599,963.33	6.875	12/29/2049	UBS
UBS Group Funding Switzerland AG 2.650 2/1/2022	785,000.00	0.04	$784,087.05	2.650	02/01/2022	UBS
UBS Group Funding Switzerland AG 2.938 4/14/2021	400,000.00	0.02	$414,416.00	2.938	04/14/2021	UBS
UBS Group Funding Switzerland AG 3.000 4/15/2021	3,165,000.00	0.16	$3,216,111.59	3.000	04/15/2021	UBS
UBS Group Funding Switzerland AG 3.491 5/23/2023	1,145,000.00	0.06	$1,172,631.14	3.491	05/23/2023	UBS
UBS Group Funding Switzerland AG 4.125 4/15/2026	845,000.00	0.04	$882,949.80	4.125	04/15/2026	UBS
UBS Group Funding Switzerland AG 4.125 9/24/2025	870,000.00	0.04	$913,002.36	4.125	09/24/2025	UBS
UBS Group Funding Switzerland AG 4.253 3/23/2028	290,000.00	0.01	$303,607.09	4.253	03/23/2028	UBS
Ukraine Government International Bond 7.750 9/1/2022	900,000.00	0.04	$906,588.00	7.750	09/01/2022	UKRAIN
Union Andina de Cementos SAA 5.875 10/30/2021	460,000.00	0.02	$478,860.00	5.875	10/30/2021	UNACEM
Union Electric Co. 2.950 6/15/2027	900,000.00	0.04	$891,967.50	2.950	06/15/2027	AEE
United Airlines 2014-1 Class A Pass Through Trust 4.000 4/11/2026	310,708.43	0.01	$325,070.93	4.000	04/11/2026	UAL
United Airlines 2014-2 Class A Pass Through Trust 3.750 9/3/2026	593,961.41	0.03	$616,234.96	3.750	09/03/2026	UAL
United Airlines 2016-1 Class AA Pass Through Trust 3.100 7/7/2028	555,000.00	0.02	$555,000.00	3.100	07/07/2028	UAL
United Kingdom Gilt 1.750 9/7/2022	100,000.00	0.00	$137,425.41	1.750	09/07/2022	UKT
United Kingdom Gilt 3.500 1/22/2045	138,800.00	0.01	$242,677.34	3.500	01/22/2045	UKT
United Parcel Service Inc. 5.125 4/1/2019	2,210,000.00	0.12	$2,336,944.61	5.125	04/01/2019	UPS
United Rentals North America Inc. 5.500 5/15/2027	1,080,000.00	0.05	$1,115,100.00	5.500	05/15/2027	URI
United States Treasury Floating Rate Note 1.073 4/30/2019	1,200,000.00	0.06	$1,199,970.00	1.073	04/30/2019	TF
United States Treasury Inflation Indexed Bonds 0.125 4/15/2019	1,252,260.00	0.06	$1,253,273.08	0.125	04/15/2019	TII
United States Treasury Inflation Indexed Bonds 0.125 4/15/2020	7,831,275.00	0.41	$7,845,386.96	0.125	04/15/2020	TII
United States Treasury Inflation Indexed Bonds 0.125 4/15/2022	2,815,288.00	0.14	$2,802,689.59	0.125	04/15/2022	TII
United States Treasury Inflation Indexed Bonds 0.125 7/15/2026	20,402.40	0.00	$19,687.95	0.125	07/15/2026	TII
United States Treasury Inflation Indexed Bonds 0.375 7/15/2025	2,577,800.00	0.13	$2,559,394.51	0.375	07/15/2025	TII
United States Treasury Inflation Indexed Bonds 0.625 1/15/2026	30,872.70	0.00	$31,081.89	0.625	01/15/2026	TII
United States Treasury Inflation Indexed Bonds 1.750 1/15/2028	32,938,384.00	1.93	$36,738,650.05	1.750	01/15/2028	TII
United States Treasury Inflation Indexed Bonds 2.375 1/15/2025	5,292,698.40	0.31	$6,031,522.05	2.375	01/15/2025	TII
United States Treasury Inflation Indexed Bonds 2.500 1/15/2029	34,167.30	0.00	$41,115.29	2.500	01/15/2029	TII
United States Treasury Inflation Indexed Bonds 3.875 4/15/2029	282,611.70	0.02	$384,023.23	3.875	04/15/2029	TII
United States Treasury Note Bond 1.250 6/30/2019	25,000,000.00	1.31	$24,934,575.00	1.250	06/30/2019	T
United States Treasury Note Bond 1.500 8/31/2018	5,700,000.00	0.30	$5,711,690.70	1.500	08/31/2018	T
United States Treasury Note Bond 1.750 5/31/2022	3,635,000.00	0.18	$3,613,702.54	1.750	05/31/2022	T
United States Treasury Note Bond 1.750 6/30/2022	2,510,000.00	0.13	$2,493,823.05	1.750	06/30/2022	T
United States Treasury Note Bond 2.000 6/30/2024	7,700,000.00	0.40	$7,631,123.50	2.000	06/30/2024	T
United States Treasury Note Bond 2.250 2/15/2027	265,000.00	0.01	$263,861.30	2.250	02/15/2027	T
United States Treasury Note Bond 2.375 5/15/2027	11,520,000.00	0.60	$11,596,055.04	2.375	05/15/2027	T
United States Treasury Note Bond 2.500 2/15/2045	37,100,000.00	1.82	$34,687,053.10	2.500	02/15/2045	T
United States Treasury Note Bond 2.875 8/15/2045	16,700,000.00	0.88	$16,823,296.10	2.875	08/15/2045	T
United States Treasury Note Bond 3.000 5/15/2047	14,005,000.00	0.76	$14,481,226.02	3.000	05/15/2047	T
United States Treasury Note Bond 4.375 5/15/2040	100,000.00	0.00	$127,794.90	4.375	05/15/2040	T
United Technologies Corp. 2.800 5/4/2024	720,000.00	0.03	$722,699.28	2.800	05/04/2024	UTX
United Technologies Corp. 3.750 11/1/2046	875,000.00	0.04	$860,371.75	3.750	11/01/2046	UTX
Uniti Group Inc. 4.000 10/24/2022	1,174,536.90	0.06	$1,175,756.07	4.000	10/24/2022	UNIT
Uniti Group Inc. CSL Capital LLC 7.125 12/15/2024	120,000.00	0.00	$119,438.16	7.125	12/15/2024	UNIT
Uniti Group Inc. CSL Capital LLC 8.250 10/15/2023	235,000.00	0.01	$243,225.00	8.250	10/15/2023	UNIT
Uniti Group Inc. Uniti Fiber Holdings Inc. CSL Capital LLC 7.125 12/15/2024	40,000.00	0.00	$39,750.00	7.125	12/15/2024	UNIT
Unitymedia GmbH 6.125 1/15/2025	340,000.00	0.01	$366,350.00	6.125	01/15/2025	UNITY
Univar USA Inc. 3.780 7/1/2022	49,128.13	0.00	$49,225.35	2.750	07/01/2022	UNIVAR
UNIVERSAL HEALTH SERVICES 3.750 8/1/2019	1,400,000.00	0.07	$1,433,250.00	3.750	08/01/2019	UHS
Universal Health Services Inc. 5.000 6/1/2026	210,000.00	0.01	$218,925.00	5.000	06/01/2026	UHS
Univision Communications Inc. 3.750 3/15/2024	1,561,609.41	0.08	$1,535,746.04	3.750	03/15/2024	UVN
UPCB Finance IV Ltd. 5.375 1/15/2025	488,000.00	0.02	$513,010.00	5.375	01/15/2025	UPCB
Uruguay Government International Bond 9.875 6/20/2022	80,125,000.00	0.15	$2,888,913.62	9.875	06/20/2022	URUGUA
US 10YR FUT OPTN Aug17C 128 0.000 7/21/2017	-108.00	-0.01	-$3,375.00	0.000	07/21/2017	TYQ7C
US 10YR FUT OPTN Aug17P 124 0.000 7/21/2017	-108.00	-0.01	-$13,500.00	0.000	07/21/2017	TYQ7P
US 10YR FUT OPTN Sep17P 111.5 0.000 8/25/2017	650.00	0.00	$0.00	0.000	08/25/2017	TYU7P0240
US 10YR NOTE (CBT)Sep17	1,149.00	7.57	$144,235,406.25	0.000	09/20/2017	TYU7
US 2YR FUTR OPTN Sep17C112.13 0.000 8/25/2017	450.00	0.00	$0.00	0.000	08/25/2017	TUU7C0069
US 2YR NOTE (CBT) Sep17	-449.00	-5.10	-$97,033,111.62	0.000	09/29/2017	TUU7
US 5YR NOTE (CBT) Sep17	2,375.00	14.70	$279,860,357.50	0.000	09/29/2017	FVU7
US Airways 2012-2 Class A Pass Through Trust 4.625 6/3/2025	516,785.18	0.02	$556,696.50	4.625	06/03/2025	AAL
US Bancorp 2.375 7/22/2026	1,700,000.00	0.08	$1,604,227.10	2.375	07/22/2026	USB
US Bancorp 2.625 1/24/2022	935,000.00	0.04	$945,192.44	2.625	01/24/2022	USB
US Bancorp 3.150 4/27/2027	1,940,000.00	0.10	$1,945,880.14	3.150	04/27/2027	USB
US Bancorp 3.600 9/11/2024	1,275,000.00	0.06	$1,325,716.95	3.600	09/11/2024	USB
US Concrete Inc. 6.375 6/1/2024	505,000.00	0.02	$535,300.00	6.375	06/01/2024	USCR
US Concrete Inc. 6.375 6/1/2024	95,000.00	0.00	$100,700.00	6.375	06/01/2024	USCR
US LONG BOND(CBT) Sep17	248.00	2.00	$38,114,500.00	0.000	09/20/2017	USU7
US TREASURY BONDS 2.750 11/15/2042	1,400,000.00	0.07	$1,385,617.80	2.750	11/15/2042	US/T
US TREASURY BONDS 2.750 8/15/2042	900,000.00	0.04	$891,544.50	2.750	08/15/2042	US/T
US TREASURY BONDS 2.875 5/15/2043	2,200,000.00	0.11	$2,224,492.60	2.875	05/15/2043	US/T
US TREASURY NOTES 1.125 8/31/2021	13,800,000.00	0.70	$13,437,474.00	1.125	08/31/2021	US/T
US TREASURY NOTES 1.875 10/31/2022	45,700,000.00	2.39	$45,539,318.80	1.875	10/31/2022	US/T
US TREASURY NOTES 2.000 10/31/2021	1,600,000.00	0.08	$1,612,937.60	2.000	10/31/2021	US/T
US TREASURY NOTES 2.000 5/31/2024	53,800,000.00	2.80	$53,359,700.80	2.000	05/31/2024	US/T
USB Capital IX 3.500 10/29/2049	1,820,000.00	0.08	$1,618,253.00	3.500	10/29/2049	USB
USB Realty Corp. 2.305 12/29/2049	500,000.00	0.02	$438,750.00	0.000	12/29/2049	USB
USD CALL BRL PUT 0.000 9/27/2017	770,000.00	0.00	$10,335.46	0.000	09/27/2017	USDBRL035
USD CALL KRW PUT 0.000 9/27/2017	770,000.00	0.00	$9,005.69	0.000	09/27/2017	USDKRW116
USD CALL MXN PUT 0.000 8/11/2017	1,300,000.00	0.00	$6,053.85	0.000	08/11/2017	USDMXN019
USD CALL MXN PUT 0.000 9/27/2017	770,000.00	0.00	$15,756.99	0.000	09/27/2017	USDMXN185
USD CALL TRY PUT 0.000 9/27/2017	770,000.00	0.00	$8,224.06	0.000	09/27/2017	USDTRY375
USD CALL TWD PUT 0.000 9/27/2017	770,000.00	0.00	$6,996.53	0.000	09/27/2017	USDTWD305
USD PUT JPY CALL 0.000 9/27/2017	1,540,000.00	0.00	$10,789.78	0.000	09/27/2017	USDJPY109
USI Inc. NY 3.250 4/5/2024	1,830,000.00	0.09	$1,821,078.75	3.250	04/05/2024	COMINV
USIC Holdings Inc. 4.500 12/9/2023	1,024,850.00	0.05	$1,028,693.19	4.500	12/09/2023	USICHO
USIS Merger Sub Inc. 6.875 5/1/2025	200,000.00	0.01	$204,000.00	6.875	05/01/2025	COMINV
Vale Overseas Ltd. 5.875 6/10/2021	520,000.00	0.02	$559,520.00	5.875	06/10/2021	VALEBZ
Vale Overseas Ltd. 6.250 8/10/2026	1,010,000.00	0.05	$1,092,062.50	6.250	08/10/2026	VALEBZ
VC GB Holdings Inc. 9.000 2/23/2025	355,000.00	0.01	$351,450.00	9.000	02/23/2025	GENBRD
Vector Group Ltd. 1.750 4/15/2020	466,000.00	0.02	$539,395.00	1.750	04/15/2020	VGR
Vector Group Ltd. 2.500 1/15/2019	147,000.00	0.01	$215,814.38	2.500	01/15/2019	VGR
Vedanta Resources PLC 6.375 7/30/2022	455,000.00	0.02	$457,593.50	6.375	07/30/2022	VEDLN
Vedanta Resources PLC 8.250 6/7/2021	670,000.00	0.03	$732,155.90	8.250	06/07/2021	VEDLN
VENTR 2014-17A AR	400,000.00	0.02	$400,000.00	n/a	07/15/2026	VENTR
VENTR 2015-21A A	285,000.00	0.01	$284,876.03	2.648	07/15/2027	VENTR
VENTR 2016-24A A1D	1,115,000.00	0.05	$1,116,160.72	2.576	10/20/2028	VENTR
VENTR 2016-25A A1	490,000.00	0.02	$491,396.50	2.490	04/20/2029	VENTR
VENTR 2017-28A A2	2,000,000.00	0.10	$1,983,428.00	0.000	07/20/2030	VENTR
VEREIT Inc. 3.750 12/15/2020	568,000.00	0.03	$585,397.84	3.750	12/15/2020	VER
Verint Systems Inc. 1.500 6/1/2021	585,000.00	0.03	$575,859.38	1.500	06/01/2021	VRNT
Verizon Communications Inc. 2.250 3/16/2022	3,000,000.00	0.15	$3,037,248.00	2.250	03/16/2022	VZ
Verizon Communications Inc. 2.946 3/15/2022	1,631,000.00	0.08	$1,643,943.62	2.946	03/15/2022	VZ
Verizon Communications Inc. 2.992 9/14/2018	650,000.00	0.03	$661,878.10	2.992	09/14/2018	VZ
Verizon Communications Inc. 3.125 3/16/2022	1,600,000.00	0.08	$1,622,684.80	3.125	03/16/2022	VZ
Verizon Communications Inc. 3.250 2/17/2026	323,000.00	0.02	$416,338.40	3.250	02/17/2026	VZ
VERIZON COMMUNICATIONS INC. 3.500 11/1/2021	50,000.00	0.00	$51,751.50	3.500	11/01/2021	VZ
Verizon Communications Inc. 4.125 3/16/2027	1,500,000.00	0.08	$1,552,423.50	4.125	03/16/2027	VZ
Verizon Communications Inc. 5.150 9/15/2023	2,650,000.00	0.15	$2,947,125.95	5.150	09/15/2023	VZ
Verizon Communications Inc. 5.250 3/16/2037	225,000.00	0.01	$242,897.85	5.250	03/16/2037	VZ
VimpelCom Holdings BV 4.950 6/16/2024	510,000.00	0.02	$512,845.80	4.950	06/16/2024	VIP
VimpelCom Holdings BV 5.950 2/13/2023	925,000.00	0.05	$985,125.00	5.950	02/13/2023	VIP
Virgin Media Bristol LLC 2.750 1/31/2025	310,000.00	0.01	$310,549.01	2.750	01/31/2025	VMED
Virgin Media Secured Finance PLC 5.250 1/15/2026	790,000.00	0.04	$825,202.40	5.250	01/15/2026	VMED
VM Holding S.A. 5.375 5/4/2027	750,000.00	0.03	$759,000.00	5.375	05/04/2027	VMETAL
Volkswagen Financial Services NV 2.375 11/13/2018	800,000.00	0.05	$1,058,419.84	2.375	11/13/2018	VW
VOLKSWAGEN INTERNATIONAL 2YR CDS 12 20 2017 - JPM F 1.000000 ACT 360 Quarterly 20171220 PU 1.000 12/20/2017	2,500,000.00	0.00	$12,207.07	1.000	12/20/2017	SWPC0BD41
VOLT 2015-NP14 A1	136,444.63	0.00	$136,937.17	4.375	11/27/2045	VOLT
VOLT 2017-NPL5 A1	483,489.18	0.02	$483,313.58	3.375	05/27/2047	VOLT
VOLT 2017-NPL6 A1	97,221.94	0.00	$97,343.75	3.250	05/25/2047	VOLT
VOLT 2017-NPL7 A1	300,000.00	0.01	$299,736.84	3.250	04/25/2059	VOLT
VOLT 2017-NPL8 A1	100,000.00	0.00	$100,000.00	3.125	06/25/2047	VOLT
VOYA 2012-2A AR	88,801.78	0.00	$88,899.28	2.458	10/15/2022	VOYA
VTR Finance BV 6.875 1/15/2024	855,000.00	0.04	$908,437.50	6.875	01/15/2024	LBTYA
VZOT 2016-2A A	680,000.00	0.03	$678,160.67	1.680	05/20/2021	VZOT
Waha Aerospace BV 3.925 7/28/2020	735,000.00	0.03	$755,083.14	3.925	07/28/2020	ADWA
WAMU 2005-AR16 1A3	585,641.87	0.02	$566,501.34	2.880	12/25/2035	WAMU
WAMU 2007-HY1 3A3	308,593.57	0.01	$291,315.23	3.141	02/25/2037	WAMU
WAMU 2007-HY7 4A1	626,220.54	0.03	$578,967.07	4.001	07/25/2037	WAMU
WATSON PHARMACEUTICALS INC. 3.250 10/1/2022	300,000.00	0.01	$306,831.30	3.250	10/01/2022	AGN
WEA FINANCE LLC WESTFIELD 3.250 10/5/2020	1,800,000.00	0.09	$1,833,017.40	3.250	10/05/2020	WFDAU
Wells Fargo & Co. 2.402 10/31/2023	1,440,000.00	0.07	$1,466,654.40	2.402	10/31/2023	WFC
Wells Fargo & Co. 2.550 12/7/2020	3,000,000.00	0.15	$3,035,622.00	2.550	12/07/2020	WFC
Wells Fargo & Co. 3.000 7/27/2021	979,000.00	0.03	$745,854.31	3.000	07/27/2021	WFC
Wells Fargo & Co. 3.500 9/12/2029	196,000.00	0.01	$283,450.88	3.500	09/12/2029	WFC
Wells Fargo & Co. 3.584 5/22/2028	1,835,000.00	0.09	$1,856,478.68	3.584	05/22/2028	WFC
Wells Fargo & Co. 4.750 12/7/2046	935,000.00	0.05	$1,002,143.29	4.750	12/07/2046	WFC
Wells Fargo & Co. 7.500 12/31/2049	325.00	0.02	$426,110.75	75.000	12/31/2049	WFC
Welltower Inc. 6.500 12/31/2049	6,247.00	0.02	$413,926.22	3.250	12/31/2049	HCN
Western Digital Corp. 3.500 4/29/2023	302,480.00	0.01	$304,772.19	3.500	04/29/2023	WDC
Western Digital Corp. 7.375 4/1/2023	240,000.00	0.01	$264,300.00	7.375	04/01/2023	WDC
Westlake Chemical Corp. 5.000 8/15/2046	1,375,000.00	0.07	$1,460,053.38	5.000	08/15/2046	WLK
Westpac Banking Corp. 4.322 11/23/2031	860,000.00	0.04	$883,224.30	4.322	11/23/2031	WSTP
WFCM 2014-LC18 A5	275,000.00	0.01	$280,932.66	3.405	12/15/2047	WFCM
WFCM 2015-C30 XA	6,550,873.54	0.02	$398,764.77	1.153	09/15/2058	WFCM
WFCM 2015-NXS3 A4	740,000.00	0.04	$765,840.28	3.617	09/15/2057	WFCM
WFCM 2016-BNK1 A3	1,220,000.00	0.06	$1,174,947.84	2.652	08/15/2049	WFCM
WFCM 2017-C38 A5	905,000.00	0.04	$932,077.60	3.453	07/15/2050	WFCM
WFCM 2017-RB1 XA	8,523,120.86	0.04	$836,344.02	1.445	03/15/2050	WFCM
WFMBS 2005-AR16 2A1	149,964.56	0.00	$152,803.73	3.185	02/25/2034	WFMBS
WFMBS 2006-2 3A1	67,958.75	0.00	$68,066.06	5.750	03/25/2036	WFMBS
WFMBS 2006-3 A11	94,362.29	0.00	$96,236.11	5.500	03/25/2036	WFMBS
WFMBS 2006-6 1A3	47,348.41	0.00	$47,455.56	5.750	05/25/2036	WFMBS
WFMBS 2006-AR11 A6	694,104.28	0.03	$659,603.13	3.169	08/25/2036	WFMBS
WFMBS 2006-AR17 A1	382,201.18	0.01	$369,898.39	3.047	10/25/2036	WFMBS
WFMBS 2006-AR5 2A1	54,820.50	0.00	$51,719.01	3.330	04/25/2036	WFMBS
WFMBS 2007-10 1A36	275,031.54	0.01	$272,140.82	6.000	07/25/2037	WFMBS
WideOpenWest Finance LLC WideOpenWest Capital Corp. 10.250 7/15/2019	90,000.00	0.00	$92,812.50	10.250	07/15/2019	WOWFIN
WideOpenWest Finance LLC 4.500 8/19/2023	1,153,659.79	0.06	$1,155,751.38	4.500	08/19/2023	WOWFIN
WildHorse Resource Development Corp. 6.875 2/1/2025	80,000.00	0.00	$75,400.00	6.875	02/01/2025	WRD
Willis North America Inc. 3.600 5/15/2024	340,000.00	0.01	$343,846.08	3.600	05/15/2024	WLTW
Wind Acquisition Finance S.A. 7.375 4/23/2021	350,000.00	0.01	$364,218.75	7.375	04/23/2021	WINDIM
Windstream Services LLC 4.750 3/30/2021	1,392,863.74	0.07	$1,390,252.12	4.750	03/30/2021	WIN
Wisconsin Electric Power Co. 4.300 12/15/2045	555,000.00	0.03	$585,479.49	4.300	12/15/2045	WEC
WITEH 2012-1A A1R	3,514,062.86	0.18	$3,506,525.20	2.370	02/03/2025	WITEH
WITEH 2014-9A AR	400,000.00	0.02	$400,000.00	n/a	07/17/2026	WITEH
WMALT 2005-1 5A2	31,750.23	0.00	$10,181.98	6.000	03/25/2035	WMALT
WOLVERINE WORLD WIDE INC. 5.000 9/1/2026	400,000.00	0.02	$395,500.00	5.000	09/01/2026	WWW
WOODS 2017-15A A	3,000,000.00	0.15	$2,998,449.00	0.000	06/20/2029	WOODS
Woodside Finance Ltd. 3.650 3/5/2025	485,000.00	0.02	$484,083.84	3.650	03/05/2025	WPLAU
Woodside Finance Ltd. 3.700 9/15/2026	680,000.00	0.03	$670,947.16	3.700	09/15/2026	WPLAU
Woodside Finance Ltd. 4.600 5/10/2021	400,000.00	0.02	$422,273.60	4.600	05/10/2021	WPLAU
Woodside Finance Ltd. 8.750 3/1/2019	1,125,000.00	0.06	$1,242,882.00	8.750	03/01/2019	WPLAU
Woori Bank 4.750 4/30/2024	800,000.00	0.04	$839,424.80	4.750	04/30/2024	WOORIB
WP Carey Inc. 4.600 4/1/2024	695,000.00	0.03	$724,833.57	4.600	04/01/2024	WPC
WR Grace & Co-Conn 5.625 10/1/2024	508,000.00	0.02	$544,830.00	5.625	10/01/2024	GRA
Wyndham Worldwide Corp. 4.150 4/1/2024	555,000.00	0.02	$570,737.03	4.150	04/01/2024	WYN
XLIT Ltd. 3.616 10/29/2049	510,000.00	0.02	$476,850.00	3.616	10/29/2049	XL
XLIT Ltd. 5.500 3/31/2045	900,000.00	0.05	$965,232.00	5.500	03/31/2045	XL
XPO Logistics Inc. 6.125 9/1/2023	705,000.00	0.03	$736,725.00	6.125	09/01/2023	XPO
YPF S.A. 23.083 7/7/2020	1,205,000.00	0.06	$1,316,462.50	23.083	07/07/2020	YPFDAR
Zayo Group LLC Zayo Capital Inc. 5.750 1/15/2027	120,000.00	0.00	$125,850.00	5.750	01/15/2027	ZAYOGR
Zayo Group LLC Zayo Capital Inc. 6.000 4/1/2023	695,000.00	0.03	$734,962.50	6.000	04/01/2023	ZAYOGR
Zayo Group LLC Zayo Capital Inc. 6.375 5/15/2025	110,000.00	0.00	$119,143.20	6.375	05/15/2025	ZAYOGR
Zayo Group LLC 3.500 1/19/2024	146,567.31	0.00	$147,208.54	3.500	01/19/2024	ZAYO
Zekelman Industries Inc. 4.750 6/14/2021	678,167.12	0.03	$684,383.88	4.750	06/14/2021	ZEKIND
Zekelman Industries Inc. 9.875 6/15/2023	90,000.00	0.00	$101,362.50	9.875	06/15/2023	ZEKIND
ZF NORTH AMERICA CAPITAL IN 4.000 4/29/2020	400,000.00	0.02	$415,500.00	4.000	04/29/2020	ZFFNGR
Zimmer Biomet Holdings Inc. 4.625 11/30/2019	1,270,000.00	0.07	$1,337,721.48	4.625	11/30/2019	ZBH
Zions Bancorporation 4.500 6/13/2023	830,000.00	0.04	$874,425.75	4.500	06/13/2023	ZION

^*Cash balance includes other assets and liabilities.

Benchmark, peer group

Bloomberg Barclays US Aggregate Index (view definition)

Lipper Core Plus Bond Funds Average (view definition)

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Optimum Fixed Income Fund

Objective

Strategy

Investment managers

Roger A. Early, CPA, CFA

Roger A. Early biography

Roger A. Early,CPA, CFA

Paul Grillo, CFA

Paul Grillo biography

Paul Grillo,CFA

Adam H. Brown, CFA

Adam H. Brown biography

Adam H. Brown,CFA

Wen-Dar Chen, Ph.D.

Wen-Dar Chen biography

Wen-Dar Chen,Ph.D.

David Hillmeyer, CFA

David Hillmeyer biography

David Hillmeyer,CFA

John P. McCarthy, CFA

John P. McCarthy biography

John P. McCarthy,CFA

Brian C. McDonnell, CFA

Brian C. McDonnell biography

Brian C. McDonnell,CFA

Sub-advisor

Pacific Investment Management Company, LLC (PIMCO)

Jerome M. Schneider

Managing Director (Newport Beach) and Portfolio Manager

Marc P. Seidner

CIO Non-traditional Strategies, Managing Director, and Head of Portfolio Management (NY Office)

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Daily pricing (as of 09/18/2017)

Total net assets (as of 08/31/2017)

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