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 (03/31/2018)

	YTD	1 year	3 year	5 year	10 year	Lifetime	Inception date
NAV (view definition)	-1.06%	1.81%	1.06%	1.18%	4.21%	4.37%	08/01/2003
Max offer price	-5.56%	-2.75%	-0.49%	0.26%	3.73%	4.04%
Bloomberg Barclays US Aggregate Index	-1.46%	1.20%	1.20%	1.82%	3.63%	n/a

		1 year	3 year	5 year	10 year	Lifetime	Inception date
NAV (view definition)	-1.06%	1.81%	1.06%	1.18%	4.21%	4.37%	08/01/2003
Max offer price	-5.56%	-2.75%	-0.49%	0.26%	3.73%	4.04%
Bloomberg Barclays US Aggregate Index	-1.46%	1.20%	1.20%	1.82%	3.63%	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 03/31/2018
Annualized standard deviation, 3 years (view definition)	2.37
SEC 30-day yield with waiver (view definition)	3.09%
SEC 30-day yield without waiver (view definition)	3.09%

Quarterly total returns @ NAV
Year	1st quarter	2nd quarter	3rd quarter	4th quarter	Annual return
2018	-1.06%	n/a	n/a	n/a	n/a
2017	1.30%	1.60%	1.05%	0.23%	4.23%
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%

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: 25

(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: 31

(View bio)

Brian C. McDonnell, CFA

Senior Vice President, Senior Portfolio Manager

Start date on the Fund: February 2015

Years of industry experience: 29

(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
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%
08/31/2017	46.35%	5.02%	44.03%	4.59%	100%
09/29/2017	46.35%	5.08%	43.95%	4.62%	100%
10/31/2017	46.29%	5.13%	43.95%	4.63%	100%
11/30/2017	46.27%	5.16%	43.93%	4.63%	100%
12/30/2017	46.25%	5.18%	43.96%	4.61%	100%
01/31/2018	46.37%	5.29%	43.71%	4.63%	100%
02/28/2018	46.25%	5.36%	43.72%	4.67%	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 04/18/2018)

Class A	Price	Net change
NAV	$9.33	-0.02
Max offer price	$9.77	n/a

Total net assets (as of 03/31/2018)

$2.0 billion all share classes

Lipper ranking (as of 03/31/2018)

YTD ranking	50 / 271
1 year	116 / 255
3 years	150 / 203
5 years	163 / 187
10 years	70 / 110
Lipper classification	Core Plus Bond Funds

(View Lipper disclosure)

The Lipper ranking is based on historical total returns.

Literature

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 12/31/2017 (all share classes)

SEC description	# Holdings	Portfolio %	Market value	Income rate	Maturity date	Nasdaq symbol/Rating
1011778 BC ULC New Red Finance Inc. 5.000 10/15/2025	310,000.00	0.01	$313,875.00	5.000	10/15/2025	BCULC
3M Co. 2.875 10/15/2027	825,000.00	0.04	$821,363.73	2.875	10/15/2027	MMM
90DAY EURO$ FUTR DEC18	-905.00	-11.14	-$221,396,937.50	0.000	12/18/2018	EDZ8
90DAY EURO$ FUTR DEC19	-97.00	-1.20	-$23,684,975.00	0.000	12/17/2019	EDZ9
90DAY EURO$ FUTR Jun18	-143.00	-1.77	-$35,061,812.50	0.000	06/19/2018	EDM8
90DAY EURO$ FUTR JUN19	-1,285.00	-15.79	-$313,989,750.00	0.000	06/18/2019	EDM9
90DAY EURO$ FUTR Sep18	-39.00	-0.49	-$9,551,100.00	0.000	09/18/2018	EDU8
A P MOLLER - MAERSK A S 2.875 9/28/2020	200,000.00	0.01	$201,510.72	2.875	09/28/2020	MAERSK
A Schulman Inc. 6.000 12/31/2049	317.00	0.01	$295,196.74	60.000	12/31/2049	SHLM
Abbott Laboratories 2.900 11/30/2021	475,000.00	0.02	$480,879.03	2.900	11/30/2021	ABT
Abbott Laboratories 4.900 11/30/2046	1,260,000.00	0.07	$1,449,132.80	4.900	11/30/2046	ABT
AbbVie Inc. 2.850 5/14/2023	1,400,000.00	0.07	$1,398,446.98	2.850	05/14/2023	ABBV
ABFC 2006-HE1 A2D	396,094.74	0.01	$271,523.38	1.772	01/25/2037	ABFC
Abu Dhabi Crude Oil Pipeline LLC 3.650 11/2/2029	1,090,000.00	0.05	$1,084,191.39	3.650	11/02/2029	ADNOUH
Abu Dhabi Crude Oil Pipeline LLC 4.600 11/2/2047	780,000.00	0.04	$804,390.60	4.600	11/02/2047	ADNOUH
ACTAVIS FUNDING SCS 2.350 3/12/2018	500,000.00	0.02	$500,413.95	2.350	03/12/2018	AGN
Actavis Funding SCS 3.450 3/15/2022	1,000,000.00	0.05	$1,016,889.50	3.450	03/15/2022	AGN
Adani Abbot Point Terminal Pty Ltd. 4.450 12/15/2022	1,500,000.00	0.07	$1,460,314.50	4.450	12/15/2022	ADAABB
Advanced Disposal Services Inc. 5.625 11/15/2024	80,000.00	0.00	$82,000.00	5.625	11/15/2024	ADSWST
Aegea Finance Sarl 5.750 10/10/2024	585,000.00	0.03	$596,700.00	5.750	10/10/2024	AEGEBZ
AEP Texas Inc. 2.400 10/1/2022	245,000.00	0.01	$241,593.69	2.400	10/01/2022	AEP
AEPTC 2006-A A4	77,646.66	0.00	$77,660.44	5.170	01/01/2018	AEPTC
AerCap Global Aviation Trust 6.500 6/15/2045	1,585,000.00	0.08	$1,739,537.50	6.500	06/15/2045	AER
AerCap Ireland Capital DAC AerCap Global Aviation Trust 3.650 7/21/2027	1,990,000.00	0.09	$1,972,789.09	3.650	07/21/2027	AER
AerCap Ireland Capital DAC AerCap Global Aviation Trust 4.625 10/30/2020	1,000,000.00	0.05	$1,048,900.60	4.625	10/30/2020	AER
Aerojet Rocketdyne Holdings Inc. 2.250 12/15/2023	99,000.00	0.00	$136,805.63	2.250	12/15/2023	AJRD
AES Andres BV Dominican Power Partners Empresa Generadora de Electricidad It 7.950 5/11/2026	840,000.00	0.04	$913,500.00	7.950	05/11/2026	AES
AES Corp. VA 5.500 4/15/2025	413,000.00	0.02	$435,715.00	5.500	04/15/2025	AES
AES Gener S.A. 5.250 8/15/2021	20,000.00	0.00	$20,961.93	5.250	08/15/2021	AESGEN
AES Gener S.A. 8.375 12/18/2073	595,000.00	0.03	$625,208.15	8.375	12/18/2073	AESGEN
AESOP 2013-1A A	700,000.00	0.03	$698,928.02	1.920	09/20/2019	AESOP
AESOP 2014-1A A	665,000.00	0.03	$665,944.97	2.460	07/20/2020	AESOP
Air Canada 2015-1 Class A Pass Through Trust 3.600 3/15/2027	528,956.84	0.02	$538,583.86	3.600	03/15/2027	ACACN
Air Lease Corp. 3.000 9/15/2023	985,000.00	0.04	$978,484.91	3.000	09/15/2023	AL
Air Lease Corp. 3.625 4/1/2027	715,000.00	0.03	$715,622.26	3.625	04/01/2027	AL
Air Medical Group Holdings Inc. 4.500 4/1/2022	1,013,937.59	0.05	$1,011,131.01	4.583	04/01/2022	AIMEGR
Air Medical Group Holdings Inc. 5.314 4/28/2022	224,567.67	0.01	$224,731.38	5.333	04/28/2022	AIMEGR
Air Medical Group Holdings Inc. 6.375 5/15/2023	110,000.00	0.00	$106,150.00	6.375	05/15/2023	AIMEGR
AK Steel Corp. 6.375 10/15/2025	220,000.00	0.01	$218,900.00	6.375	10/15/2025	AKS
Akbank Turk AS 7.200 3/16/2027	840,000.00	0.04	$884,101.68	7.200	03/16/2027	AKBNK
Alaska Communications Systems Group Inc. 6.250 5/1/2018	216,000.00	0.01	$220,860.00	6.250	05/01/2018	ALSK
Albertson's LLC 4.050 8/25/2021	518,160.59	0.02	$508,639.39	4.083	08/25/2021	ALBLLC
Albertsons Cos LLC Safeway Inc. New Albertson's Inc. Albertson's LLC 5.750 3/15/2025	298,000.00	0.01	$270,435.00	5.750	03/15/2025	ALBLLC
Albertsons Cos LLC Safeway Inc. New Albertson's Inc. Albertson's LLC 6.625 6/15/2024	35,000.00	0.00	$33,600.00	6.625	06/15/2024	ALBLLC
Alexandria Real Estate Equities Inc. 3.450 4/30/2025	1,760,000.00	0.08	$1,756,539.31	3.450	04/30/2025	ARE
Alibaba Group Holding Ltd. 3.400 12/6/2027	985,000.00	0.04	$985,684.77	3.400	12/06/2027	BABA
Alibaba Group Holding Ltd. 4.000 12/6/2037	275,000.00	0.01	$284,948.26	4.000	12/06/2037	BABA
Alibaba Group Holding Ltd. 4.200 12/6/2047	270,000.00	0.01	$281,573.58	4.200	12/06/2047	BABA
ALLEG 2017-2A A	400,000.00	0.02	$400,000.00	n/a	01/16/2030	ALLEG
Allegheny Technologies Inc. 7.875 8/15/2023	205,000.00	0.01	$221,783.35	7.875	08/15/2023	ATI
Allegion US Holding Co. Inc. 3.200 10/1/2024	475,000.00	0.02	$470,606.25	3.200	10/01/2024	ALLE
Allegion US Holding Co. Inc. 3.550 10/1/2027	1,469,000.00	0.07	$1,456,234.39	3.550	10/01/2027	ALLE
Allison Transmission Inc. 4.750 10/1/2027	325,000.00	0.01	$327,843.75	4.750	10/01/2027	ALSN
Allstate Corp. 3.280 12/15/2026	305,000.00	0.01	$310,095.94	3.280	12/15/2026	ALL
Ally Financial Inc. 4.125 3/30/2020	200,000.00	0.01	$204,500.00	4.125	03/30/2020	ALLY
Ally Financial Inc. 4.750 9/10/2018	200,000.00	0.01	$203,000.00	4.750	09/10/2018	ALLY
Ally Financial Inc. 5.750 11/20/2025	445,000.00	0.02	$486,718.75	5.750	11/20/2025	ALLY
Alpha 3 BV 4.000 1/31/2024	199,000.00	0.01	$200,523.54	4.333	01/31/2024	ALPTHR
Alta Mesa Holdings LP Alta Mesa Finance Services Corp. 7.875 12/15/2024	80,000.00	0.00	$88,100.00	7.875	12/15/2024	ALTMES
Amazon.com Inc. 3.150 8/22/2027	1,700,000.00	0.08	$1,705,495.76	3.150	08/22/2027	AMZN
AMC Entertainment Holdings Inc. 6.125 5/15/2027	405,000.00	0.02	$403,987.50	6.125	05/15/2027	AMC
AMC Networks Inc. 4.750 8/1/2025	440,000.00	0.02	$437,250.00	4.750	08/01/2025	AMCX
Ameren Illinois Co. 3.700 12/1/2047	505,000.00	0.02	$517,603.69	3.700	12/01/2047	AEE
Ameren Illinois Co. 9.750 11/15/2018	2,110,000.00	0.11	$2,247,211.40	9.750	11/15/2018	AEE
AMERICAN AIRLINE 3.000 10/15/2028	1,264,102.29	0.06	$1,239,818.89	3.000	10/15/2028	AAL
American Airlines 2011-1 Class A Pass Through Trust 5.250 1/31/2021	305,780.12	0.01	$321,711.26	5.250	01/31/2021	AAL
American Airlines 2014-1 Class A Pass Through Trust 3.700 10/1/2026	390,429.37	0.02	$399,214.03	3.700	10/01/2026	AAL
American Airlines 2015-1 Class A Pass Through Trust 3.375 5/1/2027	329,495.66	0.01	$330,382.01	3.375	05/01/2027	AAL
American Airlines 2015-2 Class AA Pass Through Trust 3.600 9/22/2027	227,599.77	0.01	$232,208.67	3.600	09/22/2027	AAL
American Airlines 2016-1 Class AA Pass Through Trust 3.575 1/15/2028	461,522.71	0.02	$471,376.22	3.575	01/15/2028	AAL
American Airlines Inc. 3.477 12/14/2023	858,083.47	0.04	$858,955.28	3.477	12/14/2023	AAL
American Express Co. 7.000 3/19/2018	6,600,000.00	0.33	$6,671,037.12	7.000	03/19/2018	AXP
AMERICAN MUNI PWR-OHIO INC OH 8.084 2/15/2050	1,500,000.00	0.12	$2,564,010.00	8.084	02/15/2050	AMEPWR
American Tire Distributors Inc. 10.250 3/1/2022	60,000.00	0.00	$62,100.00	10.250	03/01/2022	ATD
American Tire Distributors Inc. 5.250 9/20/2021	233,201.55	0.01	$235,154.61	5.583	09/20/2021	ATD
American Tower Corp. 3.600 1/15/2028	620,000.00	0.03	$617,453.66	3.600	01/15/2028	AMT
American Tower Corp. 4.400 2/15/2026	525,000.00	0.02	$552,865.11	4.400	02/15/2026	AMT
AMERICAN TOWER CORP. 5.050 9/1/2020	500,000.00	0.02	$530,702.85	5.050	09/01/2020	AMT
American Tower Corp. 5.500 2/15/2018	926.00	0.00	$116,444.50	5.500	02/15/2018	AMT
American Tower Trust #1 3.070 3/15/2023	1,285,000.00	0.06	$1,300,820.40	3.070	03/15/2023	AMT
American Transmission Systems Inc. 5.250 1/15/2022	2,445,000.00	0.13	$2,648,193.68	5.250	01/15/2022	FE
AmeriGas Partners LP AmeriGas Finance Corp. 5.875 8/20/2026	825,000.00	0.04	$853,875.00	5.875	08/20/2026	APU
AMG Capital Trust II 5.150 10/15/2037	12,759.00	0.04	$809,399.06	2.575	10/15/2037	AMG
Amgen Inc. 4.000 9/13/2029	216,000.00	0.01	$336,595.41	4.000	09/13/2029	AMGN
AMMC 2013-12A AR	2,000,000.00	0.10	$2,011,200.00	n/a	11/10/2030	AMMC
AMMC 2013-13A A1LR	1,500,000.00	0.07	$1,515,960.00	2.625	07/24/2029	AMMC
AMMC 2015-16A AR	145,000.00	0.00	$146,203.36	2.619	04/14/2029	AMMC
AMMC 2017-21A A	2,400,000.00	0.12	$2,412,000.00	2.637	11/02/2030	AMMC
AMOT 2015-2 A1	1,200,000.00	0.06	$1,204,664.76	2.047	01/15/2021	AMOT
AMXCA 2013-1 A	500,000.00	0.02	$500,947.55	1.897	02/16/2021	AMXCA
AMXCA 2013-2 A	530,000.00	0.02	$531,416.21	1.897	05/17/2021	AMXCA
AMXCA 2017-2 A	135,000.00	0.00	$136,046.30	2.038	09/16/2024	AMXCA
AMXCA 2017-5 A	620,000.00	0.03	$623,013.95	1.857	02/18/2025	AMXCA
AMXCA 2017-8 A	760,000.00	0.03	$760,352.18	1.597	05/16/2022	AMXCA
Anadarko Petroleum Corp. 6.600 3/15/2046	1,215,000.00	0.07	$1,567,199.34	6.600	03/15/2046	APC
Andeavor 3.800 4/1/2028	315,000.00	0.01	$316,309.17	3.800	04/01/2028	ANDV
Andeavor 4.500 4/1/2048	120,000.00	0.00	$121,747.14	4.500	04/01/2048	ANDV
Andeavor Logistics LP Tesoro Logistics Finance Corp. 5.250 1/15/2025	390,000.00	0.02	$410,650.50	5.250	01/15/2025	ANDX
Andeavor Logistics LP 6.875 12/29/2049	25,000.00	0.00	$25,426.88	6.875	12/29/2049	ANDX
ANGLO AMERICAN CAPITAL PLC 4.875 5/14/2025	2,205,000.00	0.11	$2,338,925.75	4.875	05/14/2025	AALLN
Anheuser-Busch InBev Finance Inc. 1.777 2/1/2019	490,000.00	0.02	$491,429.38	1.777	02/01/2019	ABIBB
Anheuser-Busch InBev Finance Inc. 2.650 2/1/2021	900,000.00	0.04	$905,084.37	2.650	02/01/2021	ABIBB
Anheuser-Busch InBev Finance Inc. 3.650 2/1/2026	4,720,000.00	0.24	$4,877,990.67	3.650	02/01/2026	ABIBB
Anheuser-Busch InBev Worldwide Inc. 5.375 1/15/2020	1,000,000.00	0.05	$1,061,266.80	5.375	01/15/2020	ABIBB
Antero Resources Corp. 5.000 3/1/2025	110,000.00	0.00	$112,750.00	5.000	03/01/2025	AR
Antero Resources Corp. 5.625 6/1/2023	90,000.00	0.00	$94,050.00	5.625	06/01/2023	AR
ANZ New Zealand Int'l Ltd. London 2.600 9/23/2019	200,000.00	0.01	$200,740.52	2.600	09/23/2019	ANZNZ
APEXC 2015-2A AX	120,000.00	0.00	$120,318.60	2.803	10/19/2026	APEXC
APEXC 2017-1A A1	1,275,000.00	0.06	$1,280,997.60	2.835	04/24/2029	APEXC
Apple Inc. 1.763 5/11/2022	1,040,000.00	0.05	$1,047,283.02	1.763	05/11/2022	AAPL
Apple Inc. 1.903 2/9/2022	180,000.00	0.00	$182,584.89	1.903	02/09/2022	AAPL
Apple Inc. 2.750 1/13/2025	2,215,000.00	0.11	$2,197,292.85	2.750	01/13/2025	AAPL
Applied Systems Inc. 8.320 9/18/2025	765,000.00	0.03	$793,448.82	8.333	09/18/2025	APPSYS
Aramark Services Inc. 3.522 3/7/2025	385,000.00	0.01	$387,646.88	3.522	03/07/2025	ARMK
Aramark Services Inc. 4.750 6/1/2026	895,000.00	0.04	$910,662.50	4.750	06/01/2026	ARMK
ArcelorMittal 6.125 6/1/2025	320,000.00	0.01	$370,000.00	6.125	06/01/2025	MTNA
ARCLO 2017-FL3 A	250,000.00	0.01	$250,001.50	2.233	12/15/2027	ARCLO
Ardagh Packaging Finance PLC Ardagh Holdings USA Inc. 6.000 2/15/2025	205,000.00	0.01	$216,275.00	6.000	02/15/2025	ARGID
Ardagh Packaging Finance PLC Ardagh Holdings USA Inc. 7.250 5/15/2024	200,000.00	0.01	$218,500.00	7.250	05/15/2024	ARGID
Ares Capital Corp. 3.750 2/1/2022	176,000.00	0.00	$181,390.01	3.750	02/01/2022	ARCC
Argentine Bonos del Tesoro 15.500 10/17/2026	13,355,000.00	0.03	$747,521.48	15.500	10/17/2026	ARGTES
Argentine Bonos del Tesoro 16.000 10/17/2023	21,516,000.00	0.05	$1,184,102.02	16.000	10/17/2023	ARGTES
Argentine Bonos del Tesoro 22.750 3/5/2018	43,185,000.00	0.12	$2,478,645.10	22.750	03/05/2018	ARGTES
Argentine Republic Government International Bond 5.625 1/26/2022	930,000.00	0.04	$983,475.00	5.625	01/26/2022	ARGENT
Argentine Republic Government International Bond 7.125 6/28/2117	835,000.00	0.04	$862,555.00	7.125	06/28/2117	ARGENT
ARMT 2004-5 3A1	571,983.07	0.02	$576,658.52	3.769	04/25/2035	ARMT
ARMT 2005-10 3A31	250,122.73	0.01	$239,148.75	3.468	01/25/2036	ARMT
ARMT 2006-2 1A4	1,008,960.71	0.04	$936,897.31	3.387	05/25/2036	ARMT
ARSI 2003-W9 M1	260,914.00	0.01	$261,317.58	2.587	01/25/2034	ARSI
ARSI 2006-M1 A2C	1,326,909.68	0.02	$562,424.47	1.702	07/25/2036	ARSI
ARSI 2006-W4 A2C	693,140.95	0.01	$266,094.73	1.712	05/25/2036	ARSI
Ashtead Capital Inc. 4.375 8/15/2027	450,000.00	0.02	$457,875.00	4.375	08/15/2027	AHTLN
Asian Development Bank 1.488 2/28/2018	2,000,000.00	0.10	$1,999,383.60	1.488	02/28/2018	ASIA
Asian Development Bank 1.547 2/8/2018	740,000.00	0.03	$739,893.96	1.547	02/08/2018	ASIA
Asian Development Bank 3.500 5/30/2024	921,000.00	0.03	$663,732.44	3.500	05/30/2024	ASIA
AssuredPartners Inc. 4.829 10/22/2024	214,462.50	0.01	$216,104.42	4.833	10/22/2024	ASSPAR
AT&T Inc. 2.303 2/14/2023	810,000.00	0.04	$816,899.66	2.303	02/14/2023	T
AT&T Inc. 2.309 7/15/2021	500,000.00	0.02	$507,108.15	2.309	07/15/2021	T
AT&T Inc. 3.200 3/1/2022	100,000.00	0.00	$101,163.46	3.200	03/01/2022	T
AT&T Inc. 3.400 8/14/2024	325,000.00	0.01	$327,066.84	3.400	08/14/2024	T
AT&T Inc. 3.800 3/1/2024	100,000.00	0.00	$102,526.87	3.800	03/01/2024	T
AT&T Inc. 3.900 8/14/2027	740,000.00	0.03	$746,183.29	3.900	08/14/2027	T
AT&T Inc. 4.100 2/15/2028	3,171,000.00	0.16	$3,186,957.42	4.100	02/15/2028	T
AT&T Inc. 4.900 8/14/2037	2,105,000.00	0.10	$2,141,041.39	4.900	08/14/2037	T
AT&T Inc. 5.250 3/1/2037	530,000.00	0.02	$561,852.95	5.250	03/01/2037	T
ATCLO 2014-6A AR	2,500,000.00	0.12	$2,514,550.00	2.609	10/15/2026	ATCLO
Atento Luxco 1 S.A. 6.125 8/10/2022	740,000.00	0.03	$777,000.00	6.125	08/10/2022	ATENTO
Athene Global Funding 2.564 7/1/2022	700,000.00	0.03	$710,970.54	2.564	07/01/2022	ATHGLO
ATI Holdings Acquisition Inc. 4.865 5/10/2023	852,555.79	0.04	$861,081.35	4.865	05/10/2023	ATIHLD
ATRM 12A AR	2,500,000.00	0.12	$2,498,740.00	2.203	04/22/2027	ATRM
ATRM 13A A1	250,000.00	0.01	$251,450.00	n/a	11/21/2030	ATRM
AUD USD FWD 20180110 0.000 1/10/2018	-1,845,000.00	-0.08	-$1,439,569.27	0.000	01/10/2018	AUA011018
AUD/USD BNP 01/12/18	-1,381,816.82	-0.06	-$1,078,170.98	0.000	01/12/2018	ADUSI1128
AUD/USD BOA 01/12/18	-3,190,767.19	-0.13	-$2,489,615.52	0.000	01/12/2018	ADUSF1128
AUD/USD TOR 01/12/18	2,944,555.00	0.11	$2,297,506.96	0.000	01/12/2018	ADUST1128
AUSTRALIAN DOLLAR	26,118.32	0.00	$20,378.82	0.000	-	AUD
Autonomous Community of Catalonia 4.900 9/15/2021	1,800,000.00	0.11	$2,318,254.18	4.900	09/15/2021	GENCAT
Autonomous Community of Catalonia 4.950 2/11/2020	1,100,000.00	0.07	$1,409,546.82	4.950	02/11/2020	GENCAT
AvalonBay Communities Inc. 3.200 1/15/2028	1,200,000.00	0.06	$1,196,555.28	3.200	01/15/2028	AVB
Avangrid Inc. 3.150 12/1/2024	305,000.00	0.01	$303,800.71	3.150	12/01/2024	AGR
Avaya Inc. 6.160 11/9/2024	220,000.00	0.01	$216,745.76	6.160	11/09/2024	AVYA
AVERY 2015-6A A	250,000.00	0.01	$250,596.25	2.841	08/05/2027	AVERY
Aviation Capital Group LLC 2.875 9/17/2018	300,000.00	0.01	$301,051.59	2.875	09/17/2018	PACLIF
Aviation Capital Group LLC 3.500 11/1/2027	480,000.00	0.02	$471,253.25	3.500	11/01/2027	PACLIF
Aviation Capital Group LLC 4.875 10/1/2025	1,090,000.00	0.05	$1,185,792.47	4.875	10/01/2025	PACLIF
Aviation Capital Group LLC 6.750 4/6/2021	500,000.00	0.02	$559,171.25	6.750	04/06/2021	PACLIF
Avis Budget Car Rental LLC Avis Budget Finance Inc. 6.375 4/1/2024	235,000.00	0.01	$245,645.50	6.375	04/01/2024	CAR
AXIS Specialty Finance PLC 4.000 12/6/2027	1,170,000.00	0.05	$1,177,273.90	4.000	12/06/2027	AXS
BACM 2017-BNK3 AS	640,000.00	0.03	$656,694.46	3.748	02/15/2050	BACM
BACM 2017-BNK3 C	325,000.00	0.01	$330,805.02	4.352	02/15/2050	BACM
BAFC 2005-E 7A1	209,406.86	0.00	$174,650.12	2.167	06/20/2035	BAFC
BAFC 2006-I 1A1	328,717.08	0.01	$331,782.30	3.374	12/20/2036	BAFC
Bahrain Government International Bond 7.500 9/20/2047	500,000.00	0.02	$478,810.00	7.500	09/20/2047	BHRAIN
Ball Corp. 5.250 7/1/2025	725,000.00	0.03	$791,156.25	5.250	07/01/2025	BLL
BAMLL 2015-ASHF A	900,000.00	0.04	$901,705.32	2.697	01/15/2028	BAMLL
Banco Bilbao Vizcaya Argentaria S.A. 6.125 12/29/2049	200,000.00	0.01	$206,750.00	6.125	12/29/2049	BBVASM
Banco Bilbao Vizcaya Argentaria S.A. 6.750 12/29/2049	400,000.00	0.02	$520,398.94	6.750	12/29/2049	BBVASM
Banco de Credito e Inversiones 3.500 10/12/2027	570,000.00	0.02	$556,818.75	3.500	10/12/2027	BCICI
Banco do Brasil S.A. Cayman 4.625 1/15/2025	1,120,000.00	0.05	$1,108,049.60	4.625	01/15/2025	BANBRA
Banco Nacional de Costa Rica 5.875 4/25/2021	840,000.00	0.04	$877,275.00	5.875	04/25/2021	BNALCR
Banco Nacional de Desenvolvimento Economico e Social 6.369 6/16/2018	1,500,000.00	0.07	$1,532,355.00	6.369	06/16/2018	BNDES
Banco Nacional de Desenvolvimento Economico e Social 6.500 6/10/2019	2,500,000.00	0.13	$2,629,050.00	6.500	06/10/2019	BNDES
Banco Santander S.A. 3.800 2/23/2028	1,200,000.00	0.06	$1,202,307.00	3.800	02/23/2028	SANTAN
Bancolombia S.A. 4.875 10/18/2027	965,000.00	0.04	$955,350.00	4.875	10/18/2027	BCOLO
Banistmo S.A. 3.650 9/19/2022	505,000.00	0.02	$499,950.00	3.650	09/19/2022	BISTPP
BANK 2017-BNK5 A5	1,430,000.00	0.07	$1,458,647.76	3.390	06/15/2060	BANK
BANK 2017-BNK5 B	605,000.00	0.03	$611,569.76	3.896	06/15/2060	BANK
BANK 2017-BNK7 A5	715,000.00	0.03	$730,725.35	3.435	09/15/2060	BANK
BANK 2017-BNK7 B	1,085,000.00	0.05	$1,105,504.66	3.949	09/15/2060	BANK
BANK 2017-BNK8 A4	515,000.00	0.02	$528,588.58	3.488	11/15/2050	BANK
BANK ACCEPT FUTR Mar19	26.00	0.25	$5,053,659.51	0.000	03/19/2019	BAH9
Bank Nederlandse Gemeenten NV 3.500 7/19/2027	292,000.00	0.01	$231,577.89	3.500	07/19/2027	BNG
BANK NOVA SCOTIA 0.000 1/19/2018	4,500,000.00	0.17	$3,577,159.90	1.253	01/19/2018	06414PNL1
BANK NOVA SCOTIA 0.000 1/22/2018	3,500,000.00	0.13	$2,781,929.20	1.285	01/22/2018	06414PNP2
Bank of America Corp. 2.023 7/21/2021	900,000.00	0.04	$904,612.23	2.023	07/21/2021	BAC
Bank of America Corp. 2.365 4/24/2023	1,320,000.00	0.06	$1,342,044.00	2.365	04/24/2023	BAC
Bank of America Corp. 2.600 1/15/2019	174,000.00	0.00	$174,610.74	2.600	01/15/2019	BAC
Bank of America Corp. 2.625 4/19/2021	2,300,000.00	0.11	$2,312,600.32	2.625	04/19/2021	BAC
Bank of America Corp. 3.004 12/20/2023	2,001,000.00	0.10	$2,007,235.32	3.004	12/20/2023	BAC
Bank of America Corp. 3.300 1/11/2023	716,000.00	0.03	$732,871.18	3.300	01/11/2023	BAC
Bank of America Corp. 3.300 8/5/2021	240,000.00	0.00	$189,109.19	3.300	08/05/2021	BAC
Bank of America Corp. 3.419 12/20/2028	2,890,000.00	0.14	$2,893,366.85	3.419	12/20/2028	BAC
Bank of America Corp. 4.183 11/25/2027	2,105,000.00	0.11	$2,201,662.23	4.183	11/25/2027	BAC
Bank of America Corp. 4.443 1/20/2048	780,000.00	0.04	$880,439.82	4.443	01/20/2048	BAC
Bank of America Corp. 5.650 5/1/2018	3,300,000.00	0.16	$3,339,537.63	5.650	05/01/2018	BAC
Bank of America Corp. 6.500 10/29/2049	1,150,000.00	0.06	$1,308,125.00	0.000	10/29/2049	BAC
Bank of America Corp. 6.875 4/25/2018	4,125,000.00	0.21	$4,188,206.55	6.875	04/25/2018	BAC
Bank of America Corp. 7.250 12/31/2049	229.00	0.01	$302,051.00	72.500	12/31/2049	BAC
Bank of Montreal 3.803 12/15/2032	810,000.00	0.04	$801,802.80	3.803	12/15/2032	BMO
Bank of New York Mellon Corp. 2.428 10/30/2023	840,000.00	0.04	$863,606.94	2.428	10/30/2023	BK
Bank of New York Mellon Corp. 2.500 4/15/2021	180,000.00	0.00	$180,471.19	2.500	04/15/2021	BK
Bank of New York Mellon Corp. 3.300 8/23/2029	1,805,000.00	0.09	$1,801,259.50	3.300	08/23/2029	BK
Bank of New York Mellon Corp. 4.625 12/29/2049	1,365,000.00	0.06	$1,390,593.75	4.625	12/29/2049	BK
BANK OF NOVA SCOTIA 1.875 4/26/2021	4,500,000.00	0.22	$4,414,098.60	1.875	04/26/2021	BNS
BANK OF TOKYO MITSUBISHI 2.450 10/16/2019	500,000.00	0.02	$500,866.00	2.450	10/16/2019	MUFG
BANK OF TOKYO MITSUBISHI 2.650 10/19/2020	500,000.00	0.02	$500,903.75	2.650	10/19/2020	MUFG
Banque Ouest Africaine de Developpement 5.000 7/27/2027	1,000,000.00	0.05	$1,040,890.00	5.000	07/27/2027	BOAD
Barclays Bank PLC 7.625 11/21/2022	1,800,000.00	0.10	$2,041,875.00	7.625	11/21/2022	BACR
BARCLAYS BANK PLC NY SR UNSEC YCD 1.940 9/4/2018	4,450,000.00	0.22	$4,450,526.88	1.940	09/04/2018	06742TBC9
BARCLAYS PLC 2.000 3/16/2018	1,000,000.00	0.05	$1,000,461.00	2.000	03/16/2018	BACR
BARCLAYS PLC 6.500 6/15/2049	400,000.00	0.02	$514,063.73	6.500	06/15/2049	BACR
Barclays PLC 8.250 12/29/2049	1,775,000.00	0.09	$1,864,415.63	8.250	12/29/2049	BACR
Barrick North America Finance LLC 5.750 5/1/2043	1,360,000.00	0.08	$1,715,213.37	5.750	05/01/2043	ABXCN
BAT Capital Corp. 2.764 8/15/2022	440,000.00	0.02	$438,017.36	2.764	08/15/2022	BATSLN
BAT Capital Corp. 3.557 8/15/2027	2,270,000.00	0.11	$2,276,869.93	3.557	08/15/2027	BATSLN
BAT INTL FINANCE PLC 2.750 6/15/2020	700,000.00	0.03	$703,793.30	2.750	06/15/2020	BATSLN
Bay Area Toll Authority 6.907 10/1/2050	905,000.00	0.07	$1,434,090.15	6.907	10/01/2050	BAYTRN
BB&T Corp. 1.608 2/1/2021	980,000.00	0.04	$975,822.36	1.602	02/01/2021	BBT
BB&T Corp. 2.850 10/26/2024	725,000.00	0.03	$720,210.36	2.850	10/26/2024	BBT
BBCMS 2015-RRI A	4,851,383.59	0.24	$4,855,128.37	2.727	05/15/2032	BBCMS
BBCMS 2015-STP A	4,462,587.31	0.22	$4,535,578.73	3.323	09/10/2028	BBCMS
BBVA Bancomer S.A. Texas 6.500 3/10/2021	955,000.00	0.05	$1,042,143.75	6.500	03/10/2021	BBVASM
BBVA Bancomer S.A. Texas 7.250 4/22/2020	100,000.00	0.00	$108,500.00	7.250	04/22/2020	BBVASM
Beacon Escrow Corp. 4.875 11/1/2025	640,000.00	0.03	$645,600.00	4.875	11/01/2025	BECN
Bear Stearns Cos LLC 7.250 2/1/2018	2,000,000.00	0.10	$2,008,020.80	7.250	02/01/2018	JPM
Becle SAB de CV 3.750 5/13/2025	1,815,000.00	0.09	$1,824,412.41	3.750	05/13/2025	JBYCMX
Becton Dickinson and Co. 3.363 6/6/2024	1,375,000.00	0.06	$1,380,479.24	3.363	06/06/2024	BDX
Becton Dickinson and Co. 6.125 5/1/2020	12,507.00	0.03	$724,155.30	3.063	05/01/2020	BDX
Bell Canada Inc. 3.350 3/22/2023	219,000.00	0.00	$178,362.17	3.350	03/22/2023	BCECN
Berkshire Hathaway Energy Co. 3.750 11/15/2023	1,145,000.00	0.06	$1,193,635.82	3.750	11/15/2023	BRKHEC
Berkshire Hathaway Finance Corp. 2.900 10/15/2020	885,000.00	0.04	$901,652.60	2.900	10/15/2020	BRK
Berkshire Hathaway Inc. 2.750 3/15/2023	600,000.00	0.03	$604,258.08	2.750	03/15/2023	BRK
Bermuda Government International Bond 3.717 1/25/2027	800,000.00	0.04	$813,000.00	3.717	01/25/2027	BERMUD
BGEO Group JSC 6.000 7/26/2023	690,000.00	0.03	$720,765.03	6.000	07/26/2023	BGEOLN
BHILL 2013-1A AR	1,500,000.00	0.07	$1,508,428.50	2.539	01/15/2026	BHILL
BHP Billiton Finance USA Ltd. 6.250 10/19/2075	2,795,000.00	0.15	$3,033,972.50	6.250	10/19/2075	BHP
Biogen Inc. 5.200 9/15/2045	1,455,000.00	0.08	$1,732,430.52	5.200	09/15/2045	BIIB
BioMarin Pharmaceutical Inc. 1.500 10/15/2020	595,000.00	0.03	$707,678.13	1.500	10/15/2020	BMRN
Blackhawk Network Holdings Inc. 1.500 1/15/2022	928,000.00	0.04	$947,140.01	1.500	01/15/2022	HAWK
Blackstone Mortgage Trust Inc. 4.375 5/5/2022	355,000.00	0.01	$361,878.13	4.375	05/05/2022	BXMT
Blackstone Mortgage Trust Inc. 5.250 12/1/2018	919,000.00	0.05	$1,080,973.75	5.250	12/01/2018	BXMT
Blue Ribbon LLC 5.000 11/13/2021	726,557.53	0.03	$725,346.36	5.333	11/13/2021	PBST
BLUEM 2015-1A A1R	400,000.00	0.02	$399,896.40	2.689	04/13/2027	BLUEM
BLUEM 2015-2A A1	710,000.00	0.03	$712,975.61	2.784	07/18/2027	BLUEM
BMC East LLC 5.500 10/1/2024	250,000.00	0.01	$259,375.00	5.500	10/01/2024	BMCH
BMW US Capital LLC 1.500 4/11/2019	500,000.00	0.02	$496,599.55	1.500	04/11/2019	BMW
BMWFT 2015-1A A	500,000.00	0.02	$501,044.70	1.977	07/15/2020	BMWFT
BMWLT 2017-2 A2B	890,000.00	0.04	$890,196.96	1.681	02/20/2020	BMWLT
BNP Paribas S.A. 7.375 12/29/2049	500,000.00	0.02	$578,125.00	7.375	12/29/2049	BNP
BNP Paribas S.A. 7.375 8/19/2025	700,000.00	0.04	$809,375.00	7.375	08/19/2025	BNP
BOAA 2005-6 7A1	31,663.76	0.00	$30,203.30	5.500	07/25/2020	BOAA
BOAMS 2003-D 2A1	273,109.21	0.01	$276,692.57	3.917	05/25/2033	BOAMS
BOC Aviation Ltd. 2.375 9/15/2021	910,000.00	0.04	$886,855.06	2.375	09/15/2021	BOCAVI
BOC AVIATION PTE LTD. 2.375 9/15/2021	600,000.00	0.02	$584,739.60	2.375	09/15/2021	BOCAVI
BOC AVIATION PTE LTD. 3.000 5/23/2022	300,000.00	0.01	$297,080.70	3.000	05/23/2022	BOCAVI
Boise Cascade Co. 5.625 9/1/2024	750,000.00	0.03	$795,000.00	5.625	09/01/2024	BCC
BOMFT 2017-RN8 A1	300,000.00	0.01	$299,392.20	3.352	12/28/2032	BOMFT
BOSTON SCIENTIFIC CORP. 2.850 5/15/2020	600,000.00	0.03	$605,064.06	2.850	05/15/2020	BSX
BOSTON SCIENTIFIC CORP. 3.375 5/15/2022	800,000.00	0.04	$813,093.04	3.375	05/15/2022	BSX
Boyd Gaming Corp. 6.375 4/1/2026	920,000.00	0.04	$993,600.00	6.375	04/01/2026	BYD
Branch Banking & Trust Co. 2.850 4/1/2021	670,000.00	0.03	$679,438.42	2.850	04/01/2021	BBT
Braskem Netherlands Finance BV 4.500 1/10/2028	1,250,000.00	0.06	$1,231,312.50	4.500	01/10/2028	BRASKM
BRAZIL LA SP CBK 6 20 2022 F 1.000000 ACT 360 Quarterly 20220620 PU 1.000 6/20/2022	100,000.00	n/a	-$1,855.67	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	-$9,278.37	1.000	06/20/2022	SWPC0FXJ7
Brazil Letras do Tesouro Nacional 0.000 4/1/2018	5,200,000.00	0.07	$1,543,060.14	0.000	04/01/2018	BLTN
Brazil Letras do Tesouro Nacional 0.000 7/1/2018	17,100,000.00	0.25	$4,994,348.56	0.000	07/01/2018	BLTN
Brazil Notas do Tesouro Nacional Serie F 10.000 1/1/2025	14,776,000.00	0.22	$4,432,624.05	10.000	01/01/2025	BNTNF
BRAZILIAN REAL	34,640.16	0.00	$10,442.90	0.000	-	BRAZILREL
BRITISH POUNDS	787,644.03	0.05	$1,063,437.58	0.000	-	POUNDS
BRL USD FWD 20180202 0.000 2/2/2018	7,790,988.65	0.11	$2,338,898.74	0.000	02/02/2018	BRC020218
BRL USD FWD 20180202 0.000 2/2/2018	14,463,731.35	0.21	$4,342,093.74	0.000	02/02/2018	BRJ020218
BRL USD FWD 20180403 0.000 4/3/2018	-5,200,000.00	-0.08	-$1,551,414.22	0.000	04/03/2018	BRC040318
BRL USD FWD 20180703 0.000 7/3/2018	-2,700,000.00	-0.05	-$797,563.59	0.000	07/03/2018	BRC070318
BRL USD FWD 20180703 0.000 7/3/2018	-5,500,000.00	-0.09	-$1,624,666.57	0.000	07/03/2018	BRJ070318
BRL USD FWD 20180703 0.000 7/3/2018	-8,900,000.00	-0.14	-$2,629,005.91	0.000	07/03/2018	BRA070318
BRL/USD DBK 01/12/18	7,950,420.80	0.12	$2,392,793.58	0.000	01/12/2018	BLUSD1128
Broadcom Corp. Broadcom Cayman Finance Ltd. 3.000 1/15/2022	1,400,000.00	0.06	$1,389,289.44	3.000	01/15/2022	AVGO
Broadcom Corp. Broadcom Cayman Finance Ltd. 3.500 1/15/2028	990,000.00	0.04	$945,456.44	3.500	01/15/2028	AVGO
Brookdale Senior Living Inc. 2.750 6/15/2018	862,000.00	0.04	$862,538.76	2.750	06/15/2018	BKD
BSABS 2005-FR1 M2	2,000,000.00	0.10	$1,996,641.40	2.557	06/25/2035	BSABS
BSABS 2007-HE2 1A2	319,388.42	0.01	$384,433.98	1.722	03/25/2037	BSABS
BSABS 2007-SD1 22A1	200,880.65	0.00	$148,089.26	2.565	10/25/2036	BSABS
BSARM 2003-5 2A1	53,545.03	0.00	$53,499.55	3.385	08/25/2033	BSARM
BSARM 2005-2 A2	106,373.44	0.00	$107,411.94	3.636	03/25/2035	BSARM
BSP 2014-IVA A1R	2,400,000.00	0.12	$2,436,585.60	2.853	01/20/2029	BSP
Buckeye Tobacco Settlement Financing Authority 5.875 6/1/2047	295,000.00	0.01	$285,412.50	5.875	06/01/2047	BUCGEN
Builders FirstSource Inc. 4.000 2/29/2024	2,003,848.47	0.10	$2,014,492.92	4.333	02/29/2024	BLDR
Builders FirstSource Inc. 5.625 9/1/2024	715,000.00	0.03	$746,781.75	5.625	09/01/2024	BLDR
BWAY Corp. 3.250 3/23/2024	980,075.00	0.04	$985,435.03	4.583	03/23/2024	BWY
BWAY Holding Co. 5.500 4/15/2024	840,000.00	0.04	$875,700.00	5.500	04/15/2024	BWY
BX 2017-APPL A	600,000.00	0.03	$600,752.22	2.357	07/15/2034	BX
Cablevision S.A. 6.500 6/15/2021	950,000.00	0.05	$1,011,465.00	6.500	06/15/2021	CBVS
CAD USD FWD 20180110 0.000 1/10/2018	-2,435,000.00	-0.10	-$1,937,615.06	0.000	01/10/2018	CAA011018
CAD USD FWD 20180111 0.000 1/11/2018	-2,100,000.00	-0.09	-$1,671,065.18	0.000	01/11/2018	CAJ011118
CAD USD FWD 20180117 0.000 1/17/2018	-2,000,000.00	-0.09	-$1,591,612.89	0.000	01/17/2018	CAJ011718
CAD USD FWD 20180118 0.000 1/18/2018	-2,400,000.00	-0.10	-$1,909,959.92	0.000	01/18/2018	CAJ011818
CAD USD FWD 20180119 0.000 1/19/2018	-4,500,000.00	-0.19	-$3,581,220.70	0.000	01/19/2018	CAJ011918
CAD USD FWD 20180122 0.000 1/22/2018	-5,100,000.00	-0.21	-$4,058,872.69	0.000	01/22/2018	CAA012218
CAD/USD BOA 01/12/18	-2,544,121.92	-0.11	-$2,024,499.03	0.000	01/12/2018	CDUSF1128
Calpine Construction Finance Co. LP 0.000 5/3/2020	53,991.07	0.00	$54,109.20	3.583	05/03/2020	CPN
Calpine Corp. 5.250 6/1/2026	1,040,000.00	0.05	$1,023,110.40	5.250	06/01/2026	CPN
CANADIAN DOLLAR	88,544.45	0.00	$70,441.09	0.000	-	CANDOLLAR
Canadian Government Bond 2.750 12/1/2048	171,000.00	0.00	$150,675.89	2.750	12/01/2048	CAN
Cardinal Health Inc. 1.948 6/14/2019	1,200,000.00	0.05	$1,192,935.24	1.948	06/14/2019	CAH
Cardtronics Inc. 1.000 12/1/2020	243,000.00	0.01	$216,725.63	1.000	12/01/2020	CATM
Carlisle Cos Inc. 3.750 12/1/2027	1,985,000.00	0.10	$2,009,067.73	3.750	12/01/2027	CSL
CAS 2016-C03 1M1	69,890.39	0.00	$71,003.16	3.552	10/25/2028	CAS
CAS 2016-C04 1M1	40,415.42	0.00	$40,808.38	3.002	01/25/2029	CAS
CAS 2017-C01 1M1	30,753.03	0.00	$31,068.48	2.852	07/25/2029	CAS
CAS 2017-C04 2M2	420,000.00	0.02	$436,614.49	4.402	11/25/2029	CAS
CASH COLLATERAL CME FOB USD 0.000 12/31/2060	853,000.00	0.04	$853,000.00	0.000	12/31/2060	CCFOBCUS1
CASH COLLATERAL ICE FOB USD 0.000 12/31/2060	122,000.00	0.00	$122,000.00	0.000	12/31/2060	CCFOBZUS0
CASH COLLATERAL LCH FOB USD 0.000 5/14/2065	187,000.00	0.00	$187,000.00	0.000	05/14/2065	CCFOBHUS0
CASH COLLATERAL TBA MSC USD 0.000 12/31/2060	-1,222,000.00	-0.07	-$1,222,000.00	0.000	12/31/2060	CCMSCTUS6
CC Holdings GS V LLC Crown Castle GS III Corp. 3.849 4/15/2023	450,000.00	0.02	$464,745.02	3.849	04/15/2023	CCI
CCCIT 2013-A2 A2	200,000.00	0.01	$200,171.80	1.832	05/26/2020	CCCIT
CCCIT 2013-A7 A7	500,000.00	0.02	$501,240.20	1.862	09/10/2020	CCCIT
CCCIT 2016-A3 A3	500,000.00	0.02	$504,797.65	1.893	12/07/2023	CCCIT
CCCIT 2017-A5 A5	1,195,000.00	0.06	$1,208,692.55	2.155	04/22/2026	CCCIT
CCCIT 2017-A6 A6	340,000.00	0.01	$343,190.63	2.242	05/14/2029	CCCIT
CCCIT 2017-A7 A7	500,000.00	0.02	$502,025.15	1.777	08/08/2024	CCCIT
CCL Industries Inc. 3.250 10/1/2026	655,000.00	0.03	$628,981.50	3.250	10/01/2026	CCLBCN
CCO Holdings LLC CCO Holdings Capital Corp. 5.000 2/1/2028	900,000.00	0.04	$879,750.00	5.000	02/01/2028	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.125 5/1/2027	525,000.00	0.02	$518,437.50	5.125	05/01/2027	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.500 5/1/2026	530,000.00	0.02	$544,575.00	5.500	05/01/2026	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.750 2/15/2026	80,000.00	0.00	$83,300.00	5.750	02/15/2026	CHTR
CCO Holdings LLC CCO Holdings Capital Corp. 5.875 5/1/2027	60,000.00	0.00	$61,800.00	5.875	05/01/2027	CHTR
CCUBS 2017-C1 A4	3,600,000.00	0.18	$3,699,750.60	3.544	11/15/2050	CCUBS
CD 2016-CD2 A3	4,000,000.00	0.20	$4,054,187.20	3.248	11/10/2049	CD
CD 2016-CD2 A4	620,000.00	0.03	$639,759.90	3.526	11/10/2049	CD
CD 2017-CD6 B	440,000.00	0.02	$449,897.01	3.911	11/13/2050	CD
CDK Global Inc. 4.875 6/1/2027	305,000.00	0.01	$309,575.00	4.875	06/01/2027	CDK
CDK Global Inc. 5.000 10/15/2024	910,000.00	0.04	$947,310.00	5.000	10/15/2024	CDK
CDW LLC CDW Finance Corp. 5.000 9/1/2025	90,000.00	0.00	$93,600.00	5.000	09/01/2025	CDWC
CDX.EM.27 06 22 1.000 6/20/2022	2,172,800.00	0.00	$3,730.22	1.000	06/20/2022	/CDX27
CEDF 2016-5A A1	530,000.00	0.02	$534,936.95	2.963	07/17/2028	CEDF
CEDF 2016-6A A1	1,230,000.00	0.06	$1,245,954.33	2.833	10/20/2028	CEDF
Celgene Corp. 3.250 8/15/2022	1,475,000.00	0.07	$1,499,753.75	3.250	08/15/2022	CELG
Cemex SAB de CV 3.720 3/15/2020	627,000.00	0.03	$655,215.00	3.720	03/15/2020	CEMEX
Cencosud S.A. 6.625 2/12/2045	730,000.00	0.04	$801,257.64	6.625	02/12/2045	CENSUD
Central Nippon Expressway Co. Ltd. 2.079 11/5/2019	1,200,000.00	0.05	$1,189,002.00	2.079	11/05/2019	CENEXP
CENTURY COMM TRACKING	1,975,000.00	0.00	$0.00	0.000	-	156ESCAG0
CenturyLink Inc. 3.930 1/31/2025	850,000.00	0.04	$821,615.95	4.083	01/31/2025	CTL
CenturyLink Inc. 6.750 12/1/2023	434,000.00	0.02	$426,947.50	6.750	12/01/2023	CTL
Cerro del Aguila S.A. 4.125 8/16/2027	1,070,000.00	0.05	$1,061,975.00	4.125	08/16/2027	KALLPA
CFCRE 2016-C7 A3	1,100,000.00	0.05	$1,147,911.82	3.839	12/10/2054	CFCRE
CFCRE 2017-C8 A4	440,000.00	0.02	$449,225.88	3.572	06/15/2050	CFCRE
CGCMT 2014-GC25 A4	785,000.00	0.04	$816,071.71	3.635	10/10/2047	CGCMT
CGCMT 2015-GC27 A5	3,085,000.00	0.15	$3,108,175.75	3.137	02/10/2048	CGCMT
CGCMT 2016-P3 A4	1,895,000.00	0.09	$1,927,792.22	3.329	04/15/2049	CGCMT
CGCMT 2017-C4 A4	1,015,000.00	0.05	$1,039,789.75	3.471	10/12/2050	CGCMT
CGMS 2014-3A A1AR	1,900,000.00	0.09	$1,899,485.10	2.524	07/27/2026	CGMS
CGMS 2014-5A A1R	400,000.00	0.02	$401,238.80	2.499	10/16/2025	CGMS
CH Hold Corp. 8.561 2/1/2025	385,000.00	0.01	$393,662.50	8.583	02/01/2025	CHHOLD
CHAIT 2013-A6 A6	500,000.00	0.02	$500,904.60	2.008	07/15/2020	CHAIT
CHAIT 2014-A5 A5	500,000.00	0.02	$501,885.80	1.847	04/15/2021	CHAIT
CHAIT 2016-A3 A3	500,000.00	0.02	$505,664.45	2.027	06/15/2023	CHAIT
CHAIT 2017-A1 A	1,370,000.00	0.06	$1,374,876.25	1.777	01/18/2022	CHAIT
Change Healthcare Holdings LLC Change Healthcare Finance Inc. 5.750 3/1/2025	265,000.00	0.01	$265,993.75	5.750	03/01/2025	EM
Change Healthcare Holdings LLC 3.750 2/3/2024	1,766,650.02	0.08	$1,771,480.04	4.083	02/03/2024	EM
Charles Schwab Corp. 3.200 1/25/2028	340,000.00	0.01	$340,856.77	3.200	01/25/2028	SCHW
Charles Schwab Corp. 5.000 12/29/2049	355,000.00	0.01	$356,792.75	5.000	12/29/2049	SCHW
Chart Industries Inc. 1.000 11/15/2024	510,000.00	0.02	$535,818.75	1.000	11/15/2024	GTLS
CHARTER COMM OPT LLC CAP 4.464 7/23/2022	800,000.00	0.04	$835,407.60	4.464	07/23/2022	CHTR
Charter Communications Operating LLC 3.588 4/13/2025	185,000.00	0.00	$185,346.88	3.588	04/13/2025	CHTR
CHASE 2005-A1 3A1	125,054.43	0.00	$121,787.21	3.355	12/25/2035	CHASE
Chemours Co. 5.375 5/15/2027	180,000.00	0.00	$186,750.00	5.375	05/15/2027	CC
Chemours Co. 7.000 5/15/2025	90,000.00	0.00	$98,100.00	7.000	05/15/2025	CC
Cheniere Corpus Christi Holdings LLC 5.875 3/31/2025	295,000.00	0.01	$320,259.38	5.875	03/31/2025	CHCOCH
Chesapeake Energy Corp. 8.500 8/16/2021	790,000.00	0.04	$842,831.25	8.833	08/16/2021	CHK
Chevron Corp. 2.017 3/3/2022	575,000.00	0.02	$581,397.16	2.017	03/03/2022	CVX
CHICAGO IL TRANSIT AUTH SALES 6.899 12/1/2040	1,800,000.00	0.12	$2,445,768.00	6.899	12/01/2040	CHITRN
CHICAGO IL TRANSIT AUTH SALES 6.899 12/1/2040	1,800,000.00	0.12	$2,445,768.00	6.899	12/01/2040	CHITRN
Ciena Corp. 3.750 10/15/2018	221,000.00	0.01	$257,465.00	3.750	10/15/2018	CIEN
CIFC 2015-2A AR	2,050,000.00	0.10	$2,050,000.00	n/a	04/15/2027	CIFC
Cigna Corp. 3.050 10/15/2027	1,205,000.00	0.05	$1,185,711.20	3.050	10/15/2027	CI
CINCINNATI BELL INC. 7.000 7/15/2024	185,000.00	0.00	$184,075.00	7.000	07/15/2024	CBB
CIRCOR International Inc. 4.946 11/21/2024	355,000.00	0.01	$354,334.38	4.946	11/21/2024	CIR
Cisco Systems Inc. 1.981 3/1/2019	650,000.00	0.03	$653,279.51	1.981	03/01/2019	CSCO
CIT Group Inc. 5.500 2/15/2019	936,000.00	0.04	$964,080.00	5.500	02/15/2019	CIT
Citicorp Lease Pass-Through Trust 1999-1 8.040 12/15/2019	148,869.57	0.00	$163,754.00	8.040	12/15/2019	C
Citigroup Inc. 2.258 7/30/2018	2,300,000.00	0.11	$2,308,598.09	2.258	07/30/2018	C
Citigroup Inc. 2.445 6/7/2019	2,300,000.00	0.11	$2,318,609.53	2.445	06/07/2019	C
Citigroup Inc. 2.522 5/17/2024	1,535,000.00	0.07	$1,559,776.74	2.522	05/17/2024	C
Citigroup Inc. 3.200 10/21/2026	1,000,000.00	0.04	$993,042.20	3.200	10/21/2026	C
Citigroup Inc. 3.520 10/27/2028	600,000.00	0.03	$603,891.72	3.520	10/27/2028	C
Citigroup Inc. 3.750 10/27/2023	498,000.00	0.01	$395,389.25	3.750	10/27/2023	C
Citigroup Inc. 4.050 7/30/2022	150,000.00	0.00	$156,262.95	4.050	07/30/2022	C
Citizens Bank NA Providence RI 2.550 5/13/2021	1,655,000.00	0.08	$1,650,032.35	2.550	05/13/2021	CFG
Citizens Bank NA Providence RI 2.650 5/26/2022	250,000.00	0.01	$247,937.70	2.650	05/26/2022	CFG
Citizens Financial Group Inc. 2.375 7/28/2021	115,000.00	0.00	$113,579.31	2.375	07/28/2021	CFG
Citizens Financial Group Inc. 4.300 12/3/2025	965,000.00	0.05	$1,013,607.43	4.300	12/03/2025	CFG
Citrix Systems Inc. 4.500 12/1/2027	1,840,000.00	0.09	$1,870,517.69	4.500	12/01/2027	CTXS
CityCenter Holdings LLC 3.250 4/7/2024	457,700.00	0.02	$460,345.96	3.833	04/07/2024	CCTRH
CK Hutchison International 17 Ltd. 2.875 4/5/2022	1,120,000.00	0.05	$1,116,698.80	2.875	04/05/2022	CKHH
Cleveland Electric Illuminating Co. 5.500 8/15/2024	515,000.00	0.02	$586,980.01	5.500	08/15/2024	FE
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	0.00	$61,656.26	0.500	10/17/2057	SWPC0BLE0
CMBX.NA.BBB -.6 05 11 2063 F 3.000000 ACT 360 Monthly 20630511 PU 0.030 5/11/2063	605,000.00	-0.01	-$88,522.93	3.000	05/11/2063	/CMBX
CMBX.NA.BBB-.6	1,200,000.00	-0.01	-$175,582.68	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	-$87,791.34	3.000	05/11/2063	SP9F6IAI8
CME - FRA USD 1.89 3ML CONTRACT SWCOIR 1.390 9/19/2018	93,500,000.00	-0.01	-$8,342.07	1.390	09/19/2018	FRA001812
CME - FRA USD R 1.91 3ML CONTRACT SWCOIR 1.410 9/19/2018	112,200,000.00	-0.01	-$4,406.54	1.410	09/19/2018	FRA001820
CME - FRA USD R 1.945 3ML CONTRACT SWCOIR 1.445 9/19/2018	34,500,000.00	n/a	$1,660.83	1.445	09/19/2018	FRA001838
CME - IRS 2.767 12 21 46 29YR -2.767 12/21/2046	1,770,000.00	-0.01	-$73,525.11	-2.767	12/21/2046	/SWAP
CME - IRS MXN 5.79750 09-12-16-5Y CONTRACT SWCOIR 5.798 9/6/2021	26,200,000.00	-0.01	-$89,739.99	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	-0.01	-$20,996.27	7.199	12/03/2021	SWU00KIA2
CME - IRS MXN 8.28000 12-23-16 20Y CONTRACT SWCOIR 8.280 11/28/2036	14,000,000.00	0.00	$8,104.37	8.280	11/28/2036	SWU00KN24
CME - IRS USD 1.1905 08-09-16-5Y CONTRACT SWCOIR -1.190 8/9/2021	6,220,000.00	0.01	$216,747.28	-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	$155,956.10	-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	$122,086.78	-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	0.03	$687,350.70	-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	$520,625.44	-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	-$38,269.76	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	$31,661.17	-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	0.02	$515,799.05	-1.450	06/28/2021	SWU00ISZ1
CME - IRS USD 1.5000 06-21-17-10Y CONTRACT SWCOIR -1.500 6/21/2027	4,100,000.00	0.01	$318,366.80	-1.500	06/21/2027	SWU00KLL4
CME - IRS USD 1.6865 04-05-16-10Y CONTRACT SWCOIR -1.687 4/5/2026	1,490,000.00	0.00	$76,836.66	-1.687	04/05/2026	/SWAP
CME - IRS USD 2.0 12-20-17-2Y CONTRACT SWCOIR -2.000 12/20/2019	1,100,000.00	n/a	$1,284.99	-2.000	12/20/2019	SWU00LT7X
CME - IRS USD 2.00 12-16-15-4Y CONTRACT SWCOIR -1.719 12/16/2019	1,600,000.00	n/a	$1,750.03	-0.400	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	$62,524.51	-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	$7,753.69	-2.500	06/15/2046	SWU00FLJ0
CME - OIS USD 1.675 06-20-18-1Y CONTRACT SWCOIR -1.675 9/19/2018	93,500,000.00	n/a	$705.74	-1.675	09/19/2018	SWU00NHA7
CME - OIS USD FEDL01 1.69625-1Y CONTRACT SWCOIR -1.696 9/19/2018	112,200,000.00	-0.01	-$5,110.71	-1.696	09/19/2018	SWU00NHJ8
CME - OIS USD FEDL01 1.72375 - 1Y CONTRACT SWCOIR -1.724 9/19/2018	34,500,000.00	-0.01	-$3,942.04	-1.724	09/19/2018	SWU00NOK7
CMS Energy Corp. 6.250 2/1/2020	1,080,000.00	0.05	$1,162,180.33	6.250	02/01/2020	CMS
CNH 2016-B A2B	65,453.72	0.00	$65,485.53	1.877	10/15/2019	CNH
Colombia Government International Bond 5.000 6/15/2045	600,000.00	0.03	$636,000.00	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	$1,094.52	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	0.00	$2,189.04	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	0.00	$33,930.06	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	$1,094.52	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	0.00	$2,189.04	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	250,000.00	n/a	$825.51	1.000	06/20/2022	SWPC0FGF4
COLOMBIA LA SP CDS 12 20 22 - CBK F 1.000000 ACT 360 Quarterly 20221220 PU 1.000 12/20/2022	200,000.00	n/a	-$416.56	1.000	12/20/2022	SWPC0G5Z0
COLOMBIAN PESO	0.00	0.00	$0.00	0.000	-	COLOMPESO
Colombian TES 7.000 6/30/2032	5,376,000,000.00	0.09	$1,829,116.07	7.000	06/30/2032	COLTES
ComEd Financing III 6.350 3/15/2033	680,000.00	0.03	$746,300.00	6.350	03/15/2033	EXC
COMET 2017-A5 A5	870,000.00	0.04	$876,805.92	1.818	07/15/2027	COMET
COMM 2013-WWP A2	1,100,000.00	0.05	$1,140,735.20	3.424	03/10/2031	COMM
COMM 2014-CR20 AM	2,225,000.00	0.11	$2,295,965.49	3.938	11/10/2047	COMM
COMM 2015-3BP A	605,000.00	0.03	$609,107.77	3.178	02/10/2035	COMM
COMM 2015-CR23 A4	780,000.00	0.04	$801,786.88	3.497	05/10/2048	COMM
COMM 2016-CR28 A4	1,295,000.00	0.06	$1,359,931.17	3.762	02/10/2049	COMM
Commonwealth of Massachusetts 5.000 10/1/2025	100,000.00	0.00	$121,902.00	5.000	10/01/2025	MAS
CommScope Technologies LLC 5.000 3/15/2027	740,000.00	0.03	$741,850.00	5.000	03/15/2027	COMM
Compass Bank 2.875 6/29/2022	1,220,000.00	0.06	$1,208,350.71	2.875	06/29/2022	BCOMPS
Compass Bank 3.875 4/10/2025	1,145,000.00	0.05	$1,150,174.15	3.875	04/10/2025	BCOMPS
Comunicaciones Celulares S.A. Via Comcel Trust 6.875 2/6/2024	380,000.00	0.01	$394,983.40	6.875	02/06/2024	MIICF
ConocoPhillips Co. 2.316 5/15/2022	575,000.00	0.02	$588,108.39	2.316	05/15/2022	COP
Constellis Holdings LLC 10.000 4/13/2025	237,000.00	0.01	$237,592.50	10.333	04/13/2025	XESERV
Constellis Holdings LLC 6.000 4/13/2024	563,170.00	0.02	$568,977.41	6.333	04/13/2024	XESERV
Consumers Energy Co. 3.250 8/15/2046	675,000.00	0.03	$649,293.57	3.250	08/15/2046	CMS
Continental Airlines 2009-2 Class A Pass Through Trust 7.250 11/10/2019	567,086.51	0.03	$611,957.23	7.250	11/10/2019	UAL
Cooperatieve Rabobank UA 2.500 9/4/2020	1,740,000.00	0.01	$219,510.07	2.500	09/04/2020	RABOBK
Cooperatieve Rabobank UA 3.750 7/21/2026	2,405,000.00	0.12	$2,440,134.41	3.750	07/21/2026	RABOBK
Cooperatieve Rabobank UA 4.375 8/4/2025	2,000,000.00	0.10	$2,114,120.00	4.375	08/04/2025	RABOBK
Cooperatieve Rabobank UA 6.875 3/19/2020	2,400,000.00	0.16	$3,316,052.32	6.875	03/19/2020	RABOBK
Cooperatieve Rabobank UA New Zealand 3.625 6/8/2022	538,000.00	0.01	$388,301.12	3.625	06/08/2022	RABOBK
COP USD FWD 20180131 0.000 1/31/2018	7,744,505,000.00	0.13	$2,586,446.09	0.000	01/31/2018	COC013118
Corning Inc. 4.375 11/15/2057	550,000.00	0.02	$547,977.87	4.375	11/15/2057	GLW
Corporate Office Properties LP 3.600 5/15/2023	690,000.00	0.03	$691,166.51	3.600	05/15/2023	OFC
Corporate Office Properties LP 5.250 2/15/2024	670,000.00	0.03	$723,589.41	5.250	02/15/2024	OFC
Costa Rica Government International Bond 4.250 1/26/2023	445,000.00	0.02	$434,987.50	4.250	01/26/2023	COSTAR
Cott Holdings Inc. 5.500 4/1/2025	380,000.00	0.01	$391,875.00	5.500	04/01/2025	BCBCN
Covanta Holding Corp. 5.875 7/1/2025	230,000.00	0.01	$231,725.00	5.875	07/01/2025	CVA
Crane Co. 2.750 12/15/2018	170,000.00	0.00	$170,791.18	2.750	12/15/2018	CR
Crane Co. 4.450 12/15/2023	1,050,000.00	0.05	$1,098,707.51	4.450	12/15/2023	CR
Credit Suisse Group AG 4.282 1/9/2028	1,885,000.00	0.09	$1,966,963.76	4.282	01/09/2028	CS
Credit Suisse Group AG 6.250 12/29/2049	2,035,000.00	0.11	$2,211,454.85	6.250	12/29/2049	CS
Credit Suisse Group Funding Guernsey Ltd. 2.750 3/26/2020	2,199,000.00	0.11	$2,208,632.72	2.750	03/26/2020	CS
Credit Suisse Group Funding Guernsey Ltd. 3.125 12/10/2020	250,000.00	0.01	$253,337.93	3.125	12/10/2020	CS
Credit Suisse Group Funding Guernsey Ltd. 3.800 6/9/2023	2,300,000.00	0.11	$2,374,524.37	3.800	06/09/2023	CS
Credit Suisse Group Funding Guernsey Ltd. 3.800 9/15/2022	3,350,000.00	0.17	$3,458,911.85	3.800	09/15/2022	CS
Credit Suisse Group Funding Guernsey Ltd. 4.550 4/17/2026	1,810,000.00	0.09	$1,940,803.09	4.550	04/17/2026	CS
Crestwood Midstream Partners LP Crestwood Midstream Finance Corp. 5.750 4/1/2025	405,000.00	0.02	$419,681.25	5.750	04/01/2025	CMLP
CRMN 2013-1A AR	3,500,000.00	0.17	$3,500,000.00	2.363	01/27/2028	CRMN
CRMSI 2006-3 A5	900,000.00	0.04	$935,865.99	5.468	11/25/2036	CRMSI
Croatia Government International Bond 5.500 4/4/2023	655,000.00	0.03	$723,531.34	5.500	04/04/2023	CROATI
Crown Castle International Corp. 3.650 9/1/2027	980,000.00	0.04	$979,286.08	3.650	09/01/2027	CCI
Crown Castle International Corp. 5.250 1/15/2023	975,000.00	0.05	$1,068,613.84	5.250	01/15/2023	CCI
Crown Castle International Corp. 6.875 8/1/2020	37.00	0.00	$41,765.60	68.750	08/01/2020	CCI
Crown Castle Towers LLC 3.663 5/15/2025	110,000.00	0.00	$111,879.90	3.663	05/15/2025	CCI
Crown Castle Towers LLC 4.883 8/15/2020	2,090,000.00	0.10	$2,186,928.35	4.883	08/15/2020	CCI
CSC Holdings LLC 2.250 7/15/2025	427,850.25	0.02	$426,673.66	3.583	07/15/2025	CVC
CSC Holdings LLC 5.500 4/15/2027	826,000.00	0.04	$844,585.00	5.500	04/15/2027	CVC
CSMC 2005-1R 2A5	1,509,406.14	0.07	$1,402,156.95	5.750	12/26/2035	CSMC
CSMC 2007-1 5A14	279,043.01	0.01	$251,562.18	6.000	02/25/2037	CSMC
CSMC 2007-3 4A12	254,004.57	0.00	$36,531.57	5.198	04/25/2037	CSMC
CSMC 2007-3 4A15	112,786.00	0.00	$111,412.24	5.500	04/25/2037	CSMC
CSMC 2007-3 4A6	254,004.57	0.01	$216,198.12	1.802	04/25/2037	CSMC
CSMC 2017-1A-A	214,651.81	0.01	$216,369.58	4.500	03/01/2021	12651LAA8
CubeSmart LP 3.125 9/1/2026	930,000.00	0.04	$887,988.92	3.125	09/01/2026	CUBE
CVP 2017-2A A	400,000.00	0.02	$400,000.00	n/a	01/20/2031	CVP
CVS Health Corp. 2.125 6/1/2021	450,000.00	0.02	$439,473.29	2.125	06/01/2021	CVS
CVS Pass-Through Trust 5.773 1/10/2033	80,686.28	0.00	$90,855.43	5.773	01/10/2033	CVS
CWALT 2008-2R 3A1	1,352,708.13	0.05	$1,088,212.70	6.000	08/25/2037	CWALT
CWHL 2006-R1 AF1	1,401,457.14	0.06	$1,325,102.39	1.892	01/25/2036	CWHL
CWHL 2007-4 1A1	1,237,030.29	0.05	$1,002,170.94	6.000	05/25/2037	CWHL
CWL 2004-3 2A	55,184.47	0.00	$54,023.17	1.952	08/25/2034	CWL
CWL 2005-3 MV7	4,200,000.00	0.21	$4,188,562.56	3.278	08/25/2035	CWL
CWL 2005-7 MV3	395,927.47	0.01	$394,926.49	2.132	11/25/2035	CWL
CWL 2005-AB2 2A3	64,163.00	0.00	$64,235.96	2.322	11/25/2035	CWL
CWL 2006-1 AF6	397,447.98	0.02	$400,238.62	4.764	07/25/2036	CWL
CWL 2006-11 1AF6	249,892.41	0.02	$531,542.47	4.540	09/25/2046	CWL
CWL 2006-17 2A2	2,020,766.25	0.09	$1,948,661.87	1.702	03/25/2047	CWL
CWL 2006-26 2A4	2,000,000.00	0.09	$1,839,958.00	1.772	06/25/2037	CWL
CWL 2007-6 2A4	1,000,000.00	0.03	$616,459.50	1.862	09/25/2037	CWL
CXHE 2002-A AF6	976.69	n/a	$990.31	5.540	01/25/2032	CXHE
Cydsa SAB de CV 6.250 10/4/2027	555,000.00	0.02	$562,631.25	6.250	10/04/2027	CYDSA
Cyprus Government International Bond 3.875 5/6/2022	1,200,000.00	0.08	$1,624,527.31	3.875	05/06/2022	CYPRUS
CyrusOne LP CyrusOne Finance Corp. 5.000 3/15/2024	150,000.00	0.00	$156,000.00	5.000	03/15/2024	CONE
Cyxtera DC Holdings Inc. 8.250 3/15/2025	240,000.00	0.01	$243,600.00	8.583	03/15/2025	COLBUY
D.R. HORTON INC. 3.750 3/1/2019	200,000.00	0.01	$202,721.24	3.750	03/01/2019	DHI
D.R. HORTON INC. 4.000 2/15/2020	400,000.00	0.02	$411,641.48	4.000	02/15/2020	DHI
Daimler AG 2.750 12/10/2018	1,870,000.00	0.01	$231,837.55	2.750	12/10/2018	DAIGR
DAIMLER FINANCE NA LLC 2.000 8/3/2018	3,800,000.00	0.19	$3,800,756.20	2.000	08/03/2018	DAIGR
DANISH KRONE	269,911.95	0.00	$43,501.21	0.000	-	DKK
DaVita Inc. 3.500 6/19/2021	123,516.35	0.00	$124,612.56	4.083	06/19/2021	DVA
DaVita Inc. 5.000 5/1/2025	516,000.00	0.02	$517,135.20	5.000	05/01/2025	DVA
DBJPM 2016-C1 A4	1,970,000.00	0.10	$1,996,156.48	3.276	05/10/2049	DBJPM
DBJPM 2016-C3 A5	945,000.00	0.04	$931,383.50	2.890	09/10/2049	DBJPM
DBUBS 2011-LC1A C	955,000.00	0.05	$1,023,024.55	5.698	11/10/2046	DBUBS
DCENT 2013-A6 A6	560,000.00	0.02	$561,773.41	1.927	04/15/2021	DCENT
DCENT 2014-A1 A1	1,190,000.00	0.06	$1,194,069.44	1.907	07/15/2021	DCENT
DCENT 2017-A1 A1	1,205,000.00	0.06	$1,214,226.93	1.967	07/15/2024	DCENT
DCENT 2017-A3 A3	8,940,000.00	0.45	$8,958,570.17	1.707	10/17/2022	DCENT
DCENT 2017-A5 A5	1,940,000.00	0.09	$1,961,453.30	2.077	12/15/2026	DCENT
DCENT 2017-A7 A7	2,625,000.00	0.13	$2,635,922.36	1.837	04/15/2025	DCENT
Deerfield Holdings Corp. 4.765 12/6/2024	440,000.00	0.02	$442,291.52	4.765	12/06/2024	DUFPHE
Dell International LLC EMC Corp. 4.420 6/15/2021	1,600,000.00	0.08	$1,668,532.80	4.420	06/15/2021	DELL
Dell International LLC EMC Corp. 4.420 6/15/2021	300,000.00	0.01	$312,819.93	4.420	06/15/2021	DELL
Dell International LLC EMC Corp. 5.450 6/15/2023	600,000.00	0.03	$649,038.54	5.450	06/15/2023	DELL
Dell International LLC EMC Corp. 6.020 6/15/2026	600,000.00	0.03	$662,493.36	6.020	06/15/2026	DELL
Dell International LLC EMC Corp. 8.100 7/15/2036	15,000.00	0.00	$18,980.19	8.100	07/15/2036	DELL
Delta Air Lines 2007-1 Class A Pass Through Trust 6.821 8/10/2022	242,139.12	0.01	$275,893.31	6.821	08/10/2022	DAL
DELTA AIR LINES INC. 3.625 3/15/2022	500,000.00	0.02	$507,808.95	3.625	03/15/2022	DAL
DEUTSCHE BANK AG 2.850 5/10/2019	3,100,000.00	0.15	$3,111,089.01	2.850	05/10/2019	DB
Deutsche Bank AG 4.250 10/14/2021	1,700,000.00	0.08	$1,774,511.51	4.250	10/14/2021	DB
Deutsche Telekom International Finance BV 1.950 9/19/2021	770,000.00	0.03	$749,350.29	1.950	09/19/2021	DT
Deutsche Telekom International Finance BV 2.485 9/19/2023	3,005,000.00	0.14	$2,914,577.15	2.485	09/19/2023	DT
Deutsche Telekom International Finance BV 6.500 4/8/2022	36,000.00	0.00	$58,903.91	6.500	04/08/2022	DT
Dexia Credit Local S.A. 1.916 2/15/2019	560,000.00	0.02	$561,731.52	1.916	02/15/2019	DEXGRP
Diamondback Energy Inc. 4.750 11/1/2024	775,000.00	0.03	$781,781.25	4.750	11/01/2024	FANG
Digicel Group Ltd. 7.125 4/1/2022	645,000.00	0.03	$599,701.65	7.125	04/01/2022	DLLTD
Digicel Group Ltd. 8.250 9/30/2020	455,000.00	0.02	$448,766.50	8.250	09/30/2020	DLLTD
Digicel Ltd. 6.750 3/1/2023	205,000.00	0.01	$202,316.55	6.750	03/01/2023	DLLTD
DIGITAL REALTY TRUST LP 3.400 10/1/2020	2,100,000.00	0.10	$2,142,686.28	3.400	10/01/2020	DLR
Discovery Communications LLC 3.950 3/20/2028	1,690,000.00	0.08	$1,683,957.41	3.950	03/20/2028	DISCA
Discovery Communications LLC 5.200 9/20/2047	1,510,000.00	0.07	$1,580,695.78	5.200	09/20/2047	DISCA
DISH DBS CORP. 4.250 4/1/2018	200,000.00	0.01	$201,250.00	4.250	04/01/2018	DISH
DISH Network Corp. 2.375 3/15/2024	396,000.00	0.01	$381,397.50	2.375	03/15/2024	DISH
DISH Network Corp. 3.375 8/15/2026	652,000.00	0.03	$711,087.51	3.375	08/15/2026	DISH
Dominican Republic International Bond 6.850 1/27/2045	500,000.00	0.02	$563,755.00	6.850	01/27/2045	DOMREP
Dominion Resources Inc. VA 2.000 8/15/2021	280,000.00	0.01	$273,822.39	2.000	08/15/2021	D
Dominion Resources Inc. VA 3.625 12/1/2024	820,000.00	0.04	$849,715.98	3.625	12/01/2024	D
Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust 5.125 11/30/2022	1,193,108.46	0.06	$1,246,573.92	5.125	11/30/2022	DORIC
Dow Chemical Co. 8.550 5/15/2019	3,662,000.00	0.19	$3,967,567.90	8.550	05/15/2019	DOW
DROCK 2017-1 A	220,000.00	0.01	$220,614.77	1.807	03/15/2023	DROCK
DTE Energy Co. 2.850 10/1/2026	475,000.00	0.02	$456,836.62	2.850	10/01/2026	DTE
DTE Energy Co. 3.300 6/15/2022	715,000.00	0.03	$726,058.33	3.300	06/15/2022	DTE
DTE Energy Co. 6.500 10/1/2019	9,605.00	0.02	$518,285.80	3.243	10/01/2019	DTE
Duke Energy Corp. 1.800 9/1/2021	480,000.00	0.02	$467,233.58	1.800	09/01/2021	DUK
Duke Energy Corp. 2.650 9/1/2026	205,000.00	0.00	$196,745.06	2.650	09/01/2026	DUK
Duke Energy Corp. 3.150 8/15/2027	820,000.00	0.04	$815,502.46	3.150	08/15/2027	DUK
Dynegy Inc. 4.363 2/7/2024	785,049.73	0.03	$789,793.00	4.363	02/07/2024	DYN
Dynegy Inc. 8.000 1/15/2025	136,000.00	0.00	$147,900.00	8.000	01/15/2025	DYN
E*TRADE Financial Corp. 3.800 8/24/2027	865,000.00	0.04	$863,656.83	3.800	08/24/2027	ETFC
E*TRADE Financial Corp. 5.300 12/29/2049	250,000.00	0.01	$251,875.00	5.300	12/29/2049	ETFC
E*TRADE Financial Corp. 5.875 12/29/2049	950,000.00	0.05	$1,009,375.00	5.875	12/29/2049	ETFC
E.ON International Finance BV 5.800 4/30/2018	200,000.00	0.01	$202,424.40	5.800	04/30/2018	EOANGR
Eaton Corp. 3.103 9/15/2027	1,020,000.00	0.05	$1,003,897.26	3.103	09/15/2027	ETN
Ecopetrol S.A. 5.875 9/18/2023	410,000.00	0.02	$454,075.00	5.875	09/18/2023	ECOPET
Ecopetrol S.A. 7.375 9/18/2043	270,000.00	0.01	$325,552.50	7.375	09/18/2043	ECOPET
Ecuador Government International Bond 8.875 10/23/2027	1,400,000.00	0.07	$1,545,250.00	8.875	10/23/2027	ECUA
Education Realty Operating Partnership LP 4.600 12/1/2024	950,000.00	0.04	$989,215.15	4.600	12/01/2024	EDR
Egypt Government International Bond 6.125 1/31/2022	600,000.00	0.03	$628,905.00	6.125	01/31/2022	EGYPT
Egypt Government International Bond 8.500 1/31/2047	550,000.00	0.03	$632,890.50	8.500	01/31/2047	EGYPT
El Paso Energy Capital Trust I 4.750 3/31/2028	9,952.00	0.02	$479,139.04	2.375	03/31/2028	KMI
Electronics For Imaging Inc. 0.750 9/1/2019	502,000.00	0.02	$485,371.25	0.000	09/01/2019	EFII
EMC Corp. 2.650 6/1/2020	900,000.00	0.04	$889,055.01	2.650	06/01/2020	DELL
Emera Inc. 6.750 6/15/2076	1,365,000.00	0.07	$1,542,450.00	6.750	06/15/2076	EMACN
Emera US Finance LP 4.750 6/15/2046	790,000.00	0.04	$867,601.54	4.750	06/15/2046	EMACN
EMLT 2004-2 M7	662,360.69	0.03	$646,084.43	4.552	10/25/2034	EMLT
EMNPK 2013-1A A1AR	262,396.50	0.01	$263,041.47	2.339	07/15/2025	EMNPK
Enbridge Inc. 1.750 1/10/2020	2,550,000.00	0.12	$2,554,268.70	1.743	01/10/2020	ENBCN
Enbridge Inc. 2.288 6/15/2020	1,350,000.00	0.06	$1,363,024.53	2.288	06/15/2020	ENBCN
Enbridge Inc. 3.700 7/15/2027	1,400,000.00	0.07	$1,408,243.62	3.700	07/15/2027	ENBCN
Enel Americas S.A. 4.000 10/25/2026	525,000.00	0.02	$535,641.75	4.000	10/25/2026	ENRSIS
Enel Finance International NV 3.625 5/25/2027	2,905,000.00	0.14	$2,891,136.76	3.625	05/25/2027	ENELIM
Enel SpA 8.750 9/24/2073	1,605,000.00	0.10	$2,000,231.25	8.750	09/24/2073	ENELIM
Energy Future Intermediate Holding Co. LLC 4.293 6/28/2018	1,100,000.00	0.05	$1,103,850.00	4.333	06/28/2018	TXU
Energy Transfer Equity LP 3.357 2/2/2024	390,000.00	0.01	$389,085.84	3.357	02/02/2024	ETE
ENERGY TRANSFER EQUITY LP 5.500 6/1/2027	50,000.00	0.00	$51,125.00	5.500	06/01/2027	ETE
Energy Transfer Equity LP 7.500 10/15/2020	475,000.00	0.02	$523,687.50	7.500	10/15/2020	ETE
Energy Transfer LP Regency Energy Finance Corp. 5.000 10/1/2022	1,500,000.00	0.08	$1,600,370.40	5.000	10/01/2022	ETP
Energy Transfer LP 6.125 12/15/2045	1,640,000.00	0.08	$1,785,679.72	6.125	12/15/2045	ETP
Energy Transfer LP 9.700 3/15/2019	694,000.00	0.03	$751,269.78	9.700	03/15/2019	ETP
Energy Transfer Partners LP 6.625 12/29/2049	1,235,000.00	0.06	$1,201,809.38	6.625	12/29/2049	ETP
EnLink Midstream Partners LP 6.000 12/29/2049	455,000.00	0.02	$436,906.47	0.000	12/29/2049	ENLK
Entergy Arkansas Inc. 3.750 2/15/2021	200,000.00	0.01	$207,312.30	3.750	02/15/2021	ETR
Entergy Louisiana LLC 3.120 9/1/2027	80,000.00	0.00	$79,870.72	3.120	09/01/2027	ETR
Entergy Louisiana LLC 4.050 9/1/2023	1,555,000.00	0.08	$1,649,203.61	4.050	09/01/2023	ETR
Entergy Louisiana LLC 4.950 1/15/2045	235,000.00	0.01	$247,095.03	4.950	01/15/2045	ETR
Enterprise Products Operating LLC 7.034 1/15/2068	200,000.00	0.01	$201,000.00	7.034	01/15/2068	EPD
Equate Petrochemical BV 3.000 3/3/2022	625,000.00	0.03	$616,942.50	3.000	03/03/2022	EQPTRC
Equinix Inc. 5.375 5/15/2027	350,000.00	0.01	$375,375.00	5.375	05/15/2027	EQIX
ESAL GmbH 6.250 2/5/2023	875,000.00	0.04	$835,625.00	6.250	02/05/2023	JBSSBZ
ESH Hospitality Inc. 3.863 8/30/2023	330,827.15	0.01	$332,170.97	3.863	08/30/2023	STAY
ESH Hospitality Inc. 5.250 5/1/2025	845,000.00	0.04	$855,562.50	5.250	05/01/2025	STAY
EUR USD FWD 20180110 0.000 1/10/2018	-289,000.00	-0.02	-$347,012.85	0.000	01/10/2018	EUD011018
EUR USD FWD 20180110 0.000 1/10/2018	-316,000.00	-0.02	-$379,432.74	0.000	01/10/2018	EUJ011018
EUR USD FWD 20180110 0.000 1/10/2018	-9,171,000.00	-0.56	-$11,011,954.51	0.000	01/10/2018	EUP011018
EUR USD FWD 20180116 0.000 1/16/2018	-7,432,614.76	-0.45	-$8,928,061.65	0.000	01/16/2018	EUA011618
EUR USD FWD 20180124 0.000 1/24/2018	-14,600,000.00	-0.89	-$17,546,572.81	0.000	01/24/2018	EUJ012418
EUR USD FWD 20180131 0.000 1/31/2018	-7,740,169.86	-0.47	-$9,306,189.81	0.000	01/31/2018	EUA013118
EUR USD FWD 20180309 0.000 3/9/2018	-1,800,000.00	-0.11	-$2,168,788.02	0.000	03/09/2018	EUD030918
EUR/USD BOA 01/12/18	-433,414.89	-0.03	-$520,484.12	0.000	01/12/2018	EUUSF1128
EUR/USD HSB 01/12/18	158,194.13	0.00	$189,973.94	0.000	01/12/2018	EUUSH1128
EURO	514,932.62	0.03	$617,841.90	0.000	-	EURO
EURO BUXL 30Y BND Mar18	-3.00	-0.03	-$589,822.26	0.000	03/09/2018	UBH8
EURO-BOBL FUTURE Mar18	13.00	0.10	$2,052,859.36	0.000	03/09/2018	OEH8
EURO-BUND FUTURE Mar18	-40.00	-0.40	-$7,759,669.92	0.000	03/08/2018	RXH8
Euro-OAT Future Mar18	-108.00	-1.02	-$20,108,814.09	0.000	03/08/2018	OATH8
European Bank for Reconstruction & Development 1.675 3/23/2020	505,000.00	0.02	$504,779.42	1.675	03/23/2020	EBRD
ExamWorks Group Inc. 4.250 7/27/2023	1,244,281.52	0.06	$1,254,391.31	4.583	07/27/2023	EXAM
EXELON CORP. 2.450 4/15/2021	200,000.00	0.01	$199,230.20	2.450	04/15/2021	EXC
Exelon Corp. 3.497 6/1/2022	1,075,000.00	0.05	$1,096,493.77	3.497	06/01/2022	EXC
Exelon Corp. 3.950 6/15/2025	670,000.00	0.03	$699,161.75	3.950	06/15/2025	EXC
Export-Import Bank of Korea 4.000 6/7/2027	210,000.00	0.00	$164,569.85	4.000	06/07/2027	EIBKOR
Exxon Mobil Corp. 1.878 3/6/2022	1,125,000.00	0.05	$1,133,435.03	1.878	03/06/2022	XOM
FCBSL 2013-2A A1FR	2,000,000.00	0.10	$2,004,186.00	2.507	10/19/2025	FCBSL
Federal Home Loan Bank Discount Notes 0.000 1/26/2018	1,611,852.42	0.08	$1,610,477.51	1.288	01/26/2018	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 2/5/2018	1,279,247.96	0.06	$1,277,665.53	1.314	02/05/2018	FHLBDN
Federal Home Loan Bank Discount Notes 0.000 2/8/2018	1,846,643.95	0.09	$1,844,158.37	1.316	02/08/2018	FHLBDN
Federal Home Loan Mortgage Corp. 2.250 11/24/2020	2,300,000.00	0.11	$2,304,071.00	2.250	11/24/2020	FHLMC
FG A15404	26,073.96	0.00	$28,910.10	6.500	11/01/2033	FG
FG A38713	95,762.30	0.00	$110,699.53	6.500	01/01/2035	FG
FG A71059	21,739.21	0.00	$24,151.69	7.000	01/01/2038	FG
FG A81070	13,493.73	0.00	$14,946.59	6.500	08/01/2038	FG
FG C01797	27,072.70	0.00	$29,990.89	5.500	03/01/2034	FG
FG C90846	10,902.02	0.00	$11,912.24	5.500	08/01/2024	FG
FG D96325	28,222.02	0.00	$30,831.37	5.500	10/01/2023	FG
FG G01740	24,176.30	0.00	$26,854.36	5.500	12/01/2034	FG
FG G02096	87,146.54	0.00	$98,968.55	6.000	03/01/2036	FG
FG G02408	6,395.72	0.00	$7,080.52	5.500	12/01/2036	FG
FG G02977	145,235.85	0.00	$163,241.44	6.000	02/01/2036	FG
FG G03362	76,136.82	0.00	$85,374.96	6.000	09/01/2037	FG
FG G03781	28,734.19	0.00	$32,203.02	6.000	01/01/2038	FG
FG G04249	30,365.53	0.00	$33,691.37	5.500	11/01/2036	FG
FG G04473	18,625.26	0.00	$20,561.72	5.500	06/01/2038	FG
FG G04544	129,158.47	0.00	$146,179.50	6.000	08/01/2038	FG
FG G04715	79,744.13	0.00	$89,942.22	6.000	06/01/2038	FG
FG G04731	126,971.65	0.00	$140,319.81	5.500	04/01/2038	FG
FG G05142	23,561.64	0.00	$26,235.82	5.500	12/01/2035	FG
FG G06709	68,695.41	0.00	$73,699.09	4.500	04/01/2039	FG
FG G06947	36,183.69	0.00	$40,723.18	6.000	05/01/2040	FG
FG G07186	160,847.99	0.00	$177,793.65	5.500	06/01/2039	FG
FG G07546	55,591.54	0.00	$61,424.73	5.500	08/01/2040	FG
FG G07581	73,388.08	0.00	$81,160.63	5.500	03/01/2040	FG
FG G07583	126,254.15	0.00	$141,065.67	6.500	04/01/2039	FG
FG G07589	336,060.75	0.01	$371,102.31	5.500	06/01/2041	FG
FG G07605	81,599.77	0.00	$90,231.96	5.500	01/01/2041	FG
FG G07618	225,075.98	0.01	$248,723.32	5.500	08/01/2040	FG
FG G07700	259,591.55	0.01	$292,282.56	6.000	07/01/2040	FG
FG G07937	218,854.69	0.01	$247,154.57	6.000	07/01/2040	FG
FG G08112	50,701.39	0.00	$57,252.71	6.000	02/01/2036	FG
FG G08117	100,420.27	0.00	$113,334.87	6.000	03/01/2036	FG
FG G60020	150,797.66	0.00	$161,797.47	4.500	12/01/2043	FG
FG G60113	181,226.66	0.01	$204,598.61	6.000	05/01/2040	FG
FG G60385	647,320.22	0.03	$689,684.67	4.500	08/01/2044	FG
FG G60409	650,735.18	0.03	$700,282.68	4.500	07/01/2042	FG
FG G60473	578,711.57	0.03	$642,918.81	5.500	06/01/2041	FG
FG G60494	129,670.78	0.00	$143,374.35	5.500	01/01/2039	FG
FG G60547	238,222.41	0.01	$256,325.81	4.500	08/01/2044	FG
FG G60647	414,662.83	0.02	$453,904.45	5.000	12/01/2041	FG
FG G60672	391,552.12	0.02	$431,568.08	5.500	06/01/2041	FG
FG G60893	186,797.93	0.01	$204,761.73	5.500	06/01/2041	FG
FG G61024	483,551.37	0.02	$527,654.20	5.000	04/01/2044	FG
FG Q00879	455,202.46	0.02	$497,056.37	5.000	05/01/2041	FG
FGLMC 3.5 2/18	6,000,000.00	0.30	$6,154,556.40	3.500	02/01/2048	FGLMC
FH 1G2685	32,964.15	0.00	$34,515.57	5.391	02/01/2038	FH
FH 1J1612	209,757.04	0.01	$223,128.30	3.933	05/01/2037	FH
FH 2B4726	470,121.76	0.02	$476,483.45	2.929	10/01/2045	FH
FH 2B5646	627,222.42	0.03	$626,982.32	2.553	10/01/2046	FH
FHMS KS03 A4	920,000.00	0.04	$939,219.54	3.161	05/25/2025	FHMS
FHR 1730 Z	26,424.43	0.00	$28,869.09	7.000	05/15/2024	FHR
FHR 2165 PE	81,701.31	0.00	$90,049.16	6.000	06/15/2029	FHR
FHR 2326 ZQ	45,691.32	0.00	$50,931.88	6.500	06/15/2031	FHR
FHR 3143 BC	1,929,821.92	0.10	$2,102,655.81	5.500	02/15/2036	FHR
FHR 3289 SA	950,451.03	0.00	$163,894.64	5.273	03/15/2037	FHR
FHR 3656 PM	592,100.23	0.03	$644,209.31	5.000	04/15/2040	FHR
FHR 4050 EI	1,155,888.13	0.00	$128,989.95	4.000	02/15/2039	FHR
FHR 4065 DE	120,000.00	0.00	$121,115.56	3.000	06/15/2032	FHR
FHR 4096 EI	1,517,403.06	0.00	$143,715.98	3.000	08/15/2027	FHR
FHR 4101 WI	618,152.73	0.00	$95,619.57	3.500	08/15/2032	FHR
FHR 4109 AI	2,613,046.43	0.01	$299,095.04	3.000	07/15/2031	FHR
FHR 4120 IK	2,149,033.20	0.01	$293,840.75	3.000	10/15/2032	FHR
FHR 4123 DI	3,419,508.61	0.01	$307,141.63	3.000	10/15/2027	FHR
FHR 4135 AI	1,065,706.27	0.01	$219,703.23	3.500	11/15/2042	FHR
FHR 4146 IA	1,098,776.94	0.00	$173,282.07	3.500	12/15/2032	FHR
FHR 4150 UI	1,819,138.69	0.00	$196,156.45	3.500	08/15/2032	FHR
FHR 4159 KS	1,012,253.14	0.01	$219,748.41	4.673	01/15/2043	FHR
FHR 4161 IM	332,965.01	0.00	$73,773.36	3.500	02/15/2043	FHR
FHR 4181 DI	712,713.68	0.00	$89,141.67	2.500	03/15/2033	FHR
FHR 4184 GS	1,176,119.11	0.01	$250,945.36	4.643	03/15/2043	FHR
FHR 4185 LI	563,171.77	0.00	$80,649.97	3.000	03/15/2033	FHR
FHR 4191 CI	236,103.20	0.00	$33,937.52	3.000	04/15/2033	FHR
FHR 4216 KI	1,392,944.75	0.00	$143,066.01	3.500	06/15/2028	FHR
FHR 4342 CI	417,263.37	0.00	$51,488.51	3.000	11/15/2033	FHR
FHR 4435 DY	1,305,000.00	0.06	$1,305,151.38	3.000	02/15/2035	FHR
FHR 4448 TS	4,095,407.95	0.01	$245,341.96	1.931	05/15/2040	FHR
FHR 4453 DI	525,066.27	0.00	$68,424.38	3.500	11/15/2033	FHR
FHR 4464 DA	181,603.93	0.00	$172,064.46	2.500	01/15/2043	FHR
FHR 4494 SA	299,773.76	0.00	$62,619.83	4.703	07/15/2045	FHR
FHR 4504 IO	518,167.04	0.00	$57,391.04	3.500	05/15/2042	FHR
FHR 4527 CI	1,415,312.10	0.01	$240,419.92	3.500	02/15/2044	FHR
FHR 4543 HI	586,772.50	0.00	$92,362.51	3.000	04/15/2044	FHR
FHR 4581 LI	532,089.91	0.00	$74,436.93	3.000	05/15/2036	FHR
FHR 4592 WT	2,097,406.30	0.11	$2,318,547.38	5.500	06/15/2046	FHR
FHR 4594 SG	3,237,890.48	0.03	$738,706.90	4.523	06/15/2046	FHR
FHR 4600 WI	950,976.25	0.00	$161,518.85	3.500	05/15/2036	FHR
FHR 4601 IN	5,371,498.30	0.05	$1,058,476.30	3.500	07/15/2046	FHR
FHR 4610 IB	3,356,152.68	0.01	$388,249.81	3.000	06/15/2041	FHR
FHR 4614 HB	605,000.00	0.02	$558,303.32	2.500	09/15/2046	FHR
FHR 4618 SA	676,452.67	0.00	$156,400.39	4.523	09/15/2046	FHR
FHR 4623 LZ	531,255.51	0.02	$465,362.93	2.500	10/15/2046	FHR
FHR 4623 MW	610,000.00	0.02	$570,253.62	2.500	10/15/2046	FHR
FHR 4625 BI	2,108,615.42	0.02	$437,635.33	3.500	06/15/2046	FHR
FHR 4625 PZ	277,533.97	0.01	$263,283.18	3.000	06/15/2046	FHR
FHR 4631 GS	2,309,652.41	0.02	$502,122.82	4.523	11/15/2046	FHR
FHR 4631 LJ	168,000.00	0.00	$167,293.88	3.000	03/15/2041	FHR
FHR 4636 NZ	682,135.38	0.03	$653,335.76	3.000	12/15/2046	FHR
FHR 4644 GI	820,751.39	0.00	$114,685.07	3.500	05/15/2040	FHR
FHR 4648 MZ	118,202.33	0.00	$113,271.47	3.000	06/15/2046	FHR
FHR 4648 SA	1,593,457.00	0.01	$340,778.15	4.523	01/15/2047	FHR
FHR 4650 JE	112,000.00	0.00	$108,078.91	3.000	07/15/2046	FHR
FHR 4655 WI	639,130.97	0.00	$105,450.60	3.500	08/15/2043	FHR
FHR 4657 JZ	132,812.27	0.00	$138,509.25	3.500	02/15/2047	FHR
FHR 4657 NW	146,000.00	0.00	$145,371.15	3.000	04/15/2045	FHR
FHR 4657 PS	1,640,590.17	0.01	$344,378.09	4.523	02/15/2047	FHR
FHR 4660 GI	478,640.55	0.00	$77,956.19	3.000	08/15/2043	FHR
FHR 4663 AI	1,141,083.03	0.00	$146,351.89	3.000	03/15/2042	FHR
FHR 4663 HZ	157,063.43	0.00	$156,871.44	3.500	03/15/2047	FHR
FHR 4664 ZC	115,568.08	0.00	$112,301.43	3.000	09/15/2045	FHR
FHR 4665 NI	3,396,953.10	0.02	$409,724.86	3.500	07/15/2041	FHR
FHR 4673 WI	822,591.16	0.00	$112,844.70	3.500	09/15/2043	FHR
FHR 4675 KS	1,289,375.39	0.01	$280,983.39	4.523	04/15/2047	FHR
FHR 4676 KZ	340,624.21	0.01	$301,629.01	2.500	07/15/2045	FHR
FHR 4681 WI	4,248,461.51	0.01	$284,592.97	1.566	08/15/2033	FHR
FHR 4690 WI	1,070,741.95	0.00	$160,975.56	3.500	12/15/2043	FHR
FHR 4693 EI	565,203.22	0.00	$76,186.34	3.500	08/15/2042	FHR
FHR 4700 WI	1,456,734.52	0.01	$209,743.99	3.500	01/15/2044	FHR
FHR 4703 CI	1,680,719.43	0.01	$199,057.01	3.500	07/15/2042	FHR
FHS 267 S5	1,449,682.30	0.01	$281,459.30	4.523	08/15/2042	FHS
FHS 299 S1	1,112,313.48	0.01	$208,164.46	4.523	01/15/2043	FHS
FHS 319 S2	443,649.59	0.00	$94,165.29	4.523	11/15/2043	FHS
FHS 326 S2	1,123,991.52	0.01	$215,888.31	4.473	03/15/2044	FHS
FHS 337 S1	980,402.17	0.00	$194,100.32	4.573	09/15/2044	FHS
FHS 350 S5	2,040,710.34	0.00	$104,090.10	1.747	09/15/2040	FHS
Fifth Third Bancorp 2.600 6/15/2022	630,000.00	0.03	$626,907.33	2.600	06/15/2022	FITB
Fifth Third Bank Cincinnati OH 2.250 6/14/2021	665,000.00	0.03	$658,901.68	2.250	06/14/2021	FITB
Fifth Third Bank Cincinnati OH 2.346 8/20/2018	905,000.00	0.04	$908,847.97	2.346	08/20/2018	FITB
Fifth Third Bank Cincinnati OH 3.850 3/15/2026	985,000.00	0.05	$1,017,665.46	3.850	03/15/2026	FITB
FIG 2013-2A A1R	400,000.00	0.02	$401,513.20	2.875	06/20/2027	FIG
First Data Corp. 2.250 7/10/2022	661,064.03	0.03	$662,211.64	3.583	07/10/2022	FDC
First Data Corp. 3.727 4/26/2024	1,434,227.16	0.07	$1,436,788.69	3.727	04/26/2024	FDC
First Data Corp. 5.750 1/15/2024	510,000.00	0.02	$531,547.50	5.750	01/15/2024	FDC
First Data Corp. 7.000 12/1/2023	268,000.00	0.01	$284,080.00	7.000	12/01/2023	FDC
First Eagle Holdings Inc. 4.363 12/1/2022	804,586.29	0.04	$812,632.15	4.363	12/01/2022	ARNBLE
First Quantum Minerals Ltd. 7.250 4/1/2023	830,000.00	0.04	$896,400.00	7.250	04/01/2023	FMCN
FirstEnergy Corp. 2.850 7/15/2022	200,000.00	0.00	$198,365.30	2.850	07/15/2022	FE
FLAGS 2014-8A AR	2,300,000.00	0.11	$2,299,172.00	2.609	01/16/2026	FLAGS
FLAT 2014-1A A1R	1,250,000.00	0.06	$1,259,130.00	2.533	07/17/2026	FLAT
Flex Acquisition Co. Inc. 4.314 12/29/2023	432,825.00	0.02	$435,710.64	4.333	12/29/2023	FLXACQ
Florida Gas Transmission Co. LLC 7.900 5/15/2019	320,000.00	0.01	$342,731.07	7.900	05/15/2019	CITCOR
Flying Fortress Holdings LLC 3.312 10/30/2022	496,000.00	0.02	$499,410.01	3.333	10/30/2022	AER
FMG Resources August 2006 Pty Ltd. 4.750 5/15/2022	225,000.00	0.01	$228,656.25	4.750	05/15/2022	FMGAU
FMG Resources August 2006 Pty Ltd. 5.125 5/15/2024	695,000.00	0.03	$706,293.75	5.125	05/15/2024	FMGAU
FN 255895	151,931.95	0.00	$162,346.00	4.500	09/01/2035	FN
FN 310141	213,368.91	0.01	$238,046.67	6.500	05/01/2040	FN
FN 636708	1,455.44	n/a	$1,632.17	7.500	04/01/2032	FN
FN 637091	304.37	n/a	$342.45	7.500	03/01/2032	FN
FN 725205	2,478.63	0.00	$2,685.63	5.000	03/01/2034	FN
FN 725705	23,866.84	0.00	$25,862.79	5.000	08/01/2034	FN
FN 733023	5,437.19	0.00	$5,526.95	4.500	08/01/2018	FN
FN 745440	38,808.59	0.00	$39,449.26	4.500	07/01/2020	FN
FN 747631	3,951.80	0.00	$4,380.37	6.500	11/01/2033	FN
FN 761558	14,972.01	0.00	$16,483.04	5.500	12/01/2033	FN
FN 774996	15,475.34	0.00	$16,811.51	5.000	04/01/2034	FN
FN 814578	7,248.09	0.00	$7,909.83	5.000	04/01/2035	FN
FN 829473	40,446.95	0.00	$45,221.00	6.500	02/01/2036	FN
FN 830970	10,464.20	0.00	$11,015.22	2.576	08/01/2035	FN
FN 835751	160,344.31	0.00	$171,327.88	4.500	08/01/2035	FN
FN 869926	59,627.17	0.00	$66,093.69	6.500	03/01/2036	FN
FN 872891	42,682.87	0.00	$47,716.80	6.500	06/01/2036	FN
FN 878200	142,276.96	0.00	$163,122.44	6.000	09/01/2036	FN
FN 882694	111,759.25	0.00	$126,521.10	6.500	06/01/2036	FN
FN 888482	84,167.04	0.00	$90,040.91	4.500	05/01/2035	FN
FN 888657	352,056.75	0.01	$393,264.25	5.500	02/01/2035	FN
FN 889522	12,187.64	0.00	$13,794.32	6.000	06/01/2037	FN
FN 889608	95,663.02	0.00	$105,490.98	5.500	03/01/2038	FN
FN 890102	134,230.59	0.00	$151,663.87	6.000	12/01/2038	FN
FN 890604	60,571.31	0.00	$65,364.78	4.500	10/01/2044	FN
FN 897160	16,057.06	0.00	$18,007.38	6.000	09/01/2036	FN
FN 922275	22,124.55	0.00	$25,003.22	6.000	12/01/2036	FN
FN 923096	10,482.12	0.00	$10,942.33	5.500	03/01/2037	FN
FN 928988	3,001.94	0.00	$3,232.20	5.000	12/01/2037	FN
FN 931065	237,154.30	0.01	$255,319.30	4.500	05/01/2039	FN
FN 941050	34,927.26	0.00	$34,685.08	3.450	08/01/2037	FN
FN 944052	9,007.92	0.00	$9,313.99	5.500	07/01/2037	FN
FN 944095	49,527.48	0.00	$51,758.45	2.069	07/01/2037	FN
FN 944130	23,534.02	0.00	$24,410.82	5.500	07/01/2037	FN
FN 944715	8,522.65	0.00	$9,546.37	6.000	07/01/2037	FN
FN 968119	27,271.29	0.00	$30,272.41	6.500	02/01/2038	FN
FN 974634	124,909.83	0.00	$134,563.69	5.000	03/01/2038	FN
FN 975194	14,315.54	0.00	$15,410.55	5.000	03/01/2038	FN
FN 984049	2,444.90	0.00	$2,625.13	5.000	06/01/2038	FN
FN 984762	4,640.47	0.00	$4,994.66	5.000	06/01/2038	FN
FN 988030	72,020.14	0.00	$80,469.64	6.000	08/01/2038	FN
FN 995020	111,211.97	0.00	$125,365.65	6.000	10/01/2038	FN
FN 995442	8,851.72	0.00	$9,986.06	6.000	12/01/2038	FN
FN AA2451	4,191.16	0.00	$4,500.12	5.000	02/01/2039	FN
FN AA4369	344,884.87	0.01	$367,768.91	4.500	05/01/2039	FN
FN AB0513	8,104.99	0.00	$9,207.89	6.500	11/01/2038	FN
FN AB2894	456,856.93	0.02	$493,687.14	4.500	06/01/2040	FN
FN AB2896	127,492.40	0.00	$137,198.57	4.500	08/01/2040	FN
FN AB2959	487,827.15	0.02	$520,867.88	4.500	07/01/2040	FN
FN AC5136	410,369.23	0.02	$444,958.19	4.500	11/01/2039	FN
FN AD0209	444,531.49	0.02	$499,397.83	6.000	09/01/2038	FN
FN AD4168	96,822.45	0.00	$104,510.42	5.000	05/01/2040	FN
FN AE0478	135,072.94	0.00	$142,000.41	4.000	11/01/2040	FN
FN AE0615	52,257.42	0.00	$59,112.38	6.000	11/01/2038	FN
FN AE7116	24,084.72	0.00	$25,310.72	4.000	10/01/2040	FN
FN AH9410	72,178.25	0.00	$77,354.77	4.500	04/01/2041	FN
FN AL2903	500,166.26	0.02	$560,311.70	5.500	09/01/2041	FN
FN AL4287	35,549.03	0.00	$40,343.85	6.000	11/01/2040	FN
FN AL5704	1,014,517.72	0.05	$1,031,402.44	3.103	04/01/2044	FN
FN AL5751	1,168,049.51	0.06	$1,322,673.68	6.500	03/01/2040	FN
FN AL6406	1,075,210.71	0.06	$1,220,631.56	6.000	10/01/2039	FN
FN AL7191	374,019.98	0.02	$424,314.60	6.000	07/01/2041	FN
FN AL8325	465,415.67	0.02	$501,250.72	4.500	03/01/2046	FN
FN AL8365	227,248.08	0.01	$256,381.92	6.000	05/01/2041	FN
FN AL9107	280,511.49	0.01	$298,675.87	4.500	03/01/2046	FN
FN AL9570	1,114,717.55	0.06	$1,221,703.57	5.000	06/01/2044	FN
FN AL9903	11,593,083.67	0.64	$12,861,239.50	5.500	05/01/2044	FN
FN AS3651	279,420.25	0.01	$300,897.16	4.500	10/01/2044	FN
FN AS7198	1,757,185.45	0.09	$1,889,228.62	4.500	05/01/2046	FN
FN AS7566	667,447.94	0.03	$717,399.94	4.500	07/01/2046	FN
FN AT2127	1,337,978.68	0.06	$1,345,456.91	3.000	04/01/2043	FN
FN AY8555	227,322.95	0.01	$229,749.80	2.910	07/01/2045	FN
FN BC4489	306,207.82	0.01	$338,277.00	5.500	06/01/2039	FN
FN BD2357	516,500.33	0.02	$549,946.05	4.500	07/01/2046	FN
FN BM1886	608,098.28	0.03	$656,094.57	4.500	10/01/2043	FN
FN BM1948	2,999,939.66	0.17	$3,389,163.83	6.000	07/01/2041	FN
FN BM3196	1,976,000.00	0.11	$2,203,656.94	5.500	05/01/2044	FN
FNCL 3 2/18	48,600,000.00	2.44	$48,543,274.08	3.000	02/01/2048	FNCL
FNCL 3.5 2/18	78,800,000.00	4.06	$80,821,960.72	3.500	02/01/2048	FNCL
FNCL 3.5 3/18	5,000,000.00	0.25	$5,120,093.50	3.500	03/01/2048	FNCL
FNCL 4 1/18	76,000,000.00	3.99	$79,518,800.00	4.000	01/01/2047	FNCL
FNCL 4 2/18	2,100,000.00	0.11	$2,194,276.98	4.000	02/01/2048	FNCL
FNCL 4.5 1/18	6,100,000.00	0.32	$6,489,790.00	4.500	01/01/2048	FNCL
FNCL 4.5 2/18	2,836,000.00	0.15	$3,013,675.40	4.500	02/01/2048	FNCL
FNGT 1999-T2 A1	8,438.91	0.00	$9,290.95	7.500	01/19/2039	FNGT
FNGT 2002-T4 A3	29,922.99	0.00	$33,529.84	7.500	12/25/2041	FNGT
FNGT 2004-T1 1A2	9,575.16	0.00	$10,830.25	6.500	01/25/2044	FNGT
FNR 1996-46 ZA	5,750.45	0.00	$6,449.38	7.500	11/25/2026	FNR
FNR 1999-19 PH	103,978.60	0.00	$114,218.70	6.000	05/25/2029	FNR
FNR 2001-14 Z	6,235.61	0.00	$6,764.98	6.000	05/25/2031	FNR
FNR 2002-90 A1	8,444.78	0.00	$9,653.74	6.500	06/25/2042	FNR
FNR 2002-90 A2	27,878.28	0.00	$31,525.84	6.500	11/25/2042	FNR
FNR 2005-110 MB	42,896.96	0.00	$44,454.44	5.500	09/25/2035	FNR
FNR 2005-70 PA	56,673.04	0.00	$63,034.98	5.500	08/25/2035	FNR
FNR 2007-30 OE	3,198,812.40	0.13	$2,643,870.59	0.000	04/25/2037	FNR
FNR 2008-15 SB	129,553.99	0.00	$23,468.46	5.048	08/25/2036	FNR
FNR 2008-24 ZA	12,222,837.75	0.66	$13,182,948.99	5.000	04/25/2038	FNR
FNR 2009-2 AS	874,142.00	0.00	$93,190.01	4.148	02/25/2039	FNR
FNR 2009-68 SA	255,048.15	0.00	$41,498.50	5.198	09/25/2039	FNR
FNR 2009-94 AC	159,700.30	0.00	$171,957.28	5.000	11/25/2039	FNR
FNR 2010-123 FE	1,993,003.74	0.10	$2,005,763.95	2.032	11/25/2040	FNR
FNR 2010-129 SM	979,621.96	0.00	$141,574.57	4.448	11/25/2040	FNR
FNR 2010-41 PN	475,000.00	0.02	$502,272.74	4.500	04/25/2040	FNR
FNR 2010-43 HJ	90,132.38	0.00	$99,215.84	5.500	05/25/2040	FNR
FNR 2010-96 DC	372,804.86	0.01	$395,664.69	4.000	09/25/2025	FNR
FNR 2011-118 DC	1,120,268.67	0.05	$1,157,550.65	4.000	11/25/2041	FNR
FNR 2012-115 MI	259,991.36	0.00	$31,792.58	3.500	03/25/2042	FNR
FNR 2012-120 WI	1,131,116.86	0.00	$110,049.41	3.000	11/25/2027	FNR
FNR 2012-122 SD	1,362,136.65	0.01	$259,994.84	4.548	11/25/2042	FNR
FNR 2012-132 AI	1,551,183.35	0.00	$146,670.90	3.000	12/25/2027	FNR
FNR 2012-137 AI	531,033.87	0.00	$49,044.06	3.000	12/25/2027	FNR
FNR 2012-139 NS	1,864,012.01	0.02	$429,353.92	5.373	12/25/2042	FNR
FNR 2012-150 DI	1,721,410.32	0.00	$167,425.92	3.000	01/25/2028	FNR
FNR 2012-98 MI	1,399,046.97	0.00	$157,283.94	3.000	08/25/2031	FNR
FNR 2012-99 AI	482,103.00	0.00	$49,154.64	3.500	05/25/2039	FNR
FNR 2013-101 HS	666,924.41	0.00	$158,983.91	4.948	10/25/2043	FNR
FNR 2013-103 SK	1,781,284.06	0.01	$391,464.78	4.368	10/25/2043	FNR
FNR 2013-2 CS	1,364,820.85	0.01	$258,984.86	4.598	02/25/2043	FNR
FNR 2013-26 ID	753,753.76	0.00	$107,995.65	3.000	04/25/2033	FNR
FNR 2013-38 AI	721,287.50	0.00	$102,639.28	3.000	04/25/2033	FNR
FNR 2013-41 HI	1,431,957.08	0.00	$161,096.89	3.000	02/25/2033	FNR
FNR 2013-43 IX	4,175,407.80	0.04	$991,425.11	4.000	05/25/2043	FNR
FNR 2013-44 DI	2,272,351.36	0.01	$326,908.65	3.000	05/25/2033	FNR
FNR 2013-45 PI	148,012.34	0.00	$21,125.27	3.000	05/25/2033	FNR
FNR 2013-55 AI	1,782,569.74	0.01	$258,563.35	3.000	06/25/2033	FNR
FNR 2013-59 PY	110,000.00	0.00	$101,719.00	2.500	06/25/2043	FNR
FNR 2013-69 IJ	334,795.53	0.00	$46,957.52	3.000	07/25/2033	FNR
FNR 2013-7 EI	774,949.59	0.00	$103,960.65	3.000	10/25/2040	FNR
FNR 2013-87 IW	4,122,271.91	0.01	$323,201.78	2.500	06/25/2028	FNR
FNR 2013-92 SA	2,123,740.26	0.02	$417,591.05	4.398	09/25/2043	FNR
FNR 2014-36 ZE	675,798.28	0.03	$632,937.26	3.000	06/25/2044	FNR
FNR 2014-68 BS	1,395,038.24	0.01	$262,950.62	4.598	11/25/2044	FNR
FNR 2014-90 SA	7,256,132.95	0.06	$1,361,530.63	4.598	01/25/2045	FNR
FNR 2015-27 SA	522,218.15	0.00	$110,480.11	4.898	05/25/2045	FNR
FNR 2015-40 GZ	438,888.98	0.02	$431,227.82	3.500	05/25/2045	FNR
FNR 2015-43 PZ	459,684.22	0.02	$471,079.19	3.500	06/25/2045	FNR
FNR 2015-44 Z	1,662,548.85	0.08	$1,615,372.70	3.000	09/25/2043	FNR
FNR 2015-89 AZ	157,026.90	0.00	$154,091.72	3.500	12/25/2045	FNR
FNR 2015-95 SH	1,324,919.33	0.01	$290,083.01	4.448	01/25/2046	FNR
FNR 2016-105 SA	1,438,727.70	0.01	$312,433.96	4.448	01/25/2047	FNR
FNR 2016-30 CI	888,472.27	0.00	$125,737.66	3.000	05/25/2036	FNR
FNR 2016-33 DI	2,185,542.58	0.01	$323,242.18	3.500	06/25/2036	FNR
FNR 2016-36 SB	711,903.82	0.00	$111,331.43	4.448	03/25/2043	FNR
FNR 2016-40 IO	294,170.72	0.00	$45,694.95	3.500	07/25/2036	FNR
FNR 2016-40 ZC	348,307.72	0.01	$326,013.27	3.000	07/25/2046	FNR
FNR 2016-50 IB	133,122.96	0.00	$19,909.87	3.000	02/25/2046	FNR
FNR 2016-51 LI	2,749,585.84	0.02	$414,741.48	3.000	08/25/2046	FNR
FNR 2016-55 SK	1,108,576.80	0.01	$237,083.67	4.448	08/25/2046	FNR
FNR 2016-6 AI	1,108,165.03	0.00	$139,094.99	3.500	04/25/2034	FNR
FNR 2016-62 SA	2,181,492.74	0.02	$488,570.82	4.448	09/25/2046	FNR
FNR 2016-64 CI	1,075,590.23	0.00	$138,666.38	3.500	07/25/2043	FNR
FNR 2016-74 GS	1,468,425.84	0.01	$349,697.54	4.448	10/25/2046	FNR
FNR 2016-79 JS	1,109,581.82	0.01	$232,084.35	4.498	11/25/2046	FNR
FNR 2016-85 SA	2,275,555.72	0.02	$513,832.77	4.448	11/25/2046	FNR
FNR 2016-99 DI	639,874.95	0.00	$105,412.68	3.500	01/25/2046	FNR
FNR 2017-1 EI	470,947.09	0.00	$73,931.72	3.500	09/25/2035	FNR
FNR 2017-11 EI	1,850,412.84	0.01	$259,641.79	3.000	03/25/2042	FNR
FNR 2017-12 JI	594,375.26	0.00	$85,160.78	3.500	05/25/2040	FNR
FNR 2017-16 SM	2,227,555.42	0.02	$463,442.91	4.498	03/25/2047	FNR
FNR 2017-16 WI	399,494.74	0.00	$54,814.83	3.000	01/25/2045	FNR
FNR 2017-16 YT	19,000.00	0.00	$18,923.44	3.000	07/25/2046	FNR
FNR 2017-21 ZD	393,171.84	0.01	$391,397.61	3.500	04/25/2047	FNR
FNR 2017-25 BL	157,000.00	0.00	$149,574.92	3.000	04/25/2047	FNR
FNR 2017-25 GS	141,072.87	0.00	$21,968.11	5.148	04/25/2047	FNR
FNR 2017-26 VZ	911,249.15	0.04	$859,685.84	3.000	04/25/2047	FNR
FNR 2017-39 CY	904,000.00	0.04	$902,264.23	3.500	05/25/2047	FNR
FNR 2017-4 AI	1,133,301.49	0.00	$143,536.83	3.500	05/25/2041	FNR
FNR 2017-4 BI	651,830.53	0.00	$97,483.47	3.500	05/25/2041	FNR
FNR 2017-40 GZ	338,802.64	0.01	$344,599.79	3.500	05/25/2047	FNR
FNR 2017-45 JZ	117,027.66	0.00	$104,513.85	3.000	06/25/2047	FNR
FNR 2017-45 ZK	250,046.06	0.01	$248,912.55	3.500	06/25/2047	FNR
FNR 2017-46 VG	201,000.00	0.01	$205,266.95	3.500	04/25/2038	FNR
FNR 2017-6 NI	131,695.74	0.00	$21,431.39	3.500	03/25/2046	FNR
FNR 2017-61 SB	3,011,099.88	0.03	$660,487.77	4.598	08/25/2047	FNR
FNR 2017-69 SG	1,502,760.98	0.01	$316,368.76	4.598	09/25/2047	FNR
FNR 2017-77 HZ	481,185.94	0.02	$494,018.16	3.500	10/25/2047	FNR
FNR 2017-8 BZ	1,104,934.82	0.05	$1,023,946.74	3.000	02/25/2047	FNR
FNR 2017-8 SG	1,854,102.55	0.01	$392,760.85	4.448	02/25/2047	FNR
FNR 2017-94 CZ	301,752.55	0.01	$300,360.02	3.500	11/25/2047	FNR
FNR 2017-95 FA	942,054.72	0.04	$942,165.60	1.592	11/25/2047	FNR
FNR 2017-96 EZ	535,557.50	0.02	$531,899.64	3.500	12/25/2047	FNR
FNS 409 C3	689,940.09	0.00	$59,903.50	3.000	05/25/2027	FNS
FNS 419 C3	415,821.34	0.00	$81,841.37	3.000	11/25/2043	FNS
FNW 2004-W11 1A2	49,747.85	0.00	$56,473.39	6.500	05/25/2044	FNW
FNW 2004-W15 1A1	43,947.39	0.00	$48,852.24	6.000	08/25/2044	FNW
FNW 2004-W4 A5	415,175.21	0.02	$425,928.00	5.500	06/25/2034	FNW
FORD MOTOR CREDIT 1.897 8/12/2019	1,000,000.00	0.04	$992,762.50	1.897	08/12/2019	F
FORD MOTOR CREDIT 3.200 1/15/2021	4,200,000.00	0.21	$4,261,476.24	3.200	01/15/2021	F
Ford Motor Credit Co. LLC 2.240 6/15/2018	4,000,000.00	0.20	$4,004,218.40	2.240	06/15/2018	F
Ford Motor Credit Co. LLC 2.956 3/28/2022	400,000.00	0.02	$406,896.68	2.956	03/28/2022	F
Ford Motor Credit Co. LLC 3.096 5/4/2023	1,340,000.00	0.06	$1,333,751.58	3.096	05/04/2023	F
Ford Motor Credit Co. LLC 5.750 2/1/2021	700,000.00	0.03	$760,452.35	5.750	02/01/2021	F
FORDL 2017-B A2B	930,000.00	0.04	$929,777.73	1.637	06/15/2020	FORDL
Fortis Inc. Canada 2.100 10/4/2021	325,000.00	0.01	$317,489.12	2.100	10/04/2021	FTSCN
Fortis Inc. Canada 3.055 10/4/2026	1,245,000.00	0.06	$1,204,051.08	3.055	10/04/2026	FTSCN
France Treasury Bill BTF 0.000 1/24/2018	14,600,000.00	0.88	$17,526,060.89	0.000	01/24/2018	BTF
Freeport-McMoRan Inc. 4.550 11/14/2024	650,000.00	0.03	$664,105.00	4.550	11/14/2024	FCX
Freeport-McMoRan Inc. 6.875 2/15/2023	645,000.00	0.03	$706,275.00	6.875	02/15/2023	FCX
FREMF 2011-K10 B	550,000.00	0.02	$572,028.05	4.622	11/25/2049	FREMF
FREMF 2011-K12 B	685,000.00	0.03	$716,809.28	4.344	01/25/2046	FREMF
FREMF 2011-K15 B	75,000.00	0.00	$79,842.61	4.948	08/25/2044	FREMF
FREMF 2011-K704 B	650,000.00	0.03	$656,537.96	4.536	10/25/2030	FREMF
FREMF 2012-K22 B	665,000.00	0.03	$679,437.82	3.686	08/25/2045	FREMF
FREMF 2012-K23 B	1,500,000.00	0.07	$1,531,280.85	3.655	10/25/2045	FREMF
FREMF 2012-K708 B	885,000.00	0.04	$894,916.07	3.750	02/25/2045	FREMF
FREMF 2013-K32 B	510,000.00	0.02	$522,492.96	3.537	10/25/2046	FREMF
FREMF 2013-K33 B	505,000.00	0.02	$508,803.31	3.501	08/25/2046	FREMF
FREMF 2013-K712 B	470,000.00	0.02	$474,116.87	3.362	05/25/2045	FREMF
FREMF 2013-K713 B	285,000.00	0.01	$286,511.73	3.165	04/25/2046	FREMF
FREMF 2013-K713 C	945,000.00	0.04	$941,485.73	3.165	04/25/2046	FREMF
FREMF 2014-K41 B	1,245,000.00	0.06	$1,272,506.28	3.832	11/25/2047	FREMF
FREMF 2014-K716 B	500,000.00	0.02	$513,274.00	3.950	08/25/2047	FREMF
FREMF 2015-K49 B	840,000.00	0.04	$848,327.84	3.721	10/25/2048	FREMF
FREMF 2017-K71 B	470,000.00	0.02	$463,397.53	3.753	11/25/2050	FREMF
FREMF 2017-K729 B	310,000.00	0.01	$306,741.13	3.675	11/25/2049	FREMF
Frontier Communications Corp. 4.960 6/1/2024	337,876.07	0.01	$326,768.39	5.083	06/01/2024	FTR
FSPC T-54 2A	14,824.64	0.00	$17,217.13	6.500	02/25/2043	FSPC
FSPC T-58 2A	7,525.83	0.00	$8,589.75	6.500	09/25/2043	FSPC
G2 616376	4,778.26	0.00	$5,213.57	6.000	04/20/2034	G2
G2 AR8426	159,782.72	0.00	$172,643.49	5.500	04/20/2040	G2
G2 AR8429	211,206.85	0.01	$232,409.82	5.500	05/20/2037	G2
G2 AS6771	201,545.91	0.01	$222,744.55	6.000	02/20/2039	G2
G2 MA3602	244,904.28	0.01	$271,695.22	6.000	04/20/2046	G2
G2 MA3940	83,882.83	0.00	$90,379.35	5.000	09/20/2046	G2
G2 MA4074	796,195.22	0.04	$883,611.24	6.000	02/20/2040	G2
G2 MA4075	310,351.03	0.01	$344,766.01	6.500	10/20/2039	G2
G2 MA4201	355,751.41	0.01	$393,174.39	6.000	10/20/2039	G2
G2SF 4 1/18	6,000,000.00	0.31	$6,258,000.00	4.000	01/20/2048	G2SF
GAIN Capital Holdings Inc. 5.000 8/15/2022	684,000.00	0.04	$933,660.00	5.000	08/15/2022	GCAP
GALXY 2013-16A A2R	1,500,000.00	0.07	$1,505,541.00	2.549	11/16/2025	GALXY
Gardner Denver Inc. 4.064 7/30/2024	1,093,045.52	0.05	$1,097,488.75	4.083	07/30/2024	GDI
Gates Global LLC 4.479 3/31/2024	718,815.34	0.03	$723,364.00	4.479	03/31/2024	GATGLO
GATX Corp. 2.111 11/5/2021	1,300,000.00	0.06	$1,310,264.15	2.107	11/05/2021	GMT
Gazprom OAO Via Gaz Capital S.A. 4.950 3/23/2027	1,065,000.00	0.05	$1,110,422.25	4.950	03/23/2027	GAZPRU
GBP USD FWD 20180110 0.000 1/10/2018	-12,814,000.00	-0.88	-$17,307,739.53	0.000	01/10/2018	GBJ011018
GBP USD FWD 20180129 0.000 1/29/2018	-12,300,000.00	-0.84	-$16,625,036.30	0.000	01/29/2018	GBC012918
GBP USD FWD 20180129 0.000 1/29/2018	-2,600,000.00	-0.18	-$3,514,235.32	0.000	01/29/2018	GBJ012918
GBP/USD BNP 01/12/18	1,201,184.00	0.08	$1,622,547.09	0.000	01/12/2018	KBUSI1128
GBP/USD HSB 01/12/18	-415,587.25	-0.03	-$561,371.02	0.000	01/12/2018	KBUSH1128
GCCT 2014-2A A	420,000.00	0.02	$421,620.57	1.927	03/15/2021	GCCT
GCCT 2016-1A A	1,000,000.00	0.05	$1,000,267.80	2.077	01/15/2020	GCCT
GE Capital International Funding Co. Unlimited Co. 2.342 11/15/2020	251,000.00	0.01	$249,927.33	2.342	11/15/2020	GE
General Electric Co. 1.771 5/5/2026	920,000.00	0.04	$883,072.21	1.771	05/05/2026	GE
General Electric Co. 4.250 1/17/2018	140,000.00	0.00	$99,290.53	4.250	01/17/2018	GE
General Electric Co. 4.650 10/17/2021	89,000.00	0.00	$95,860.44	4.650	10/17/2021	GE
General Electric Co. 5.000 12/29/2049	2,648,000.00	0.13	$2,732,338.80	0.000	12/29/2049	GE
General Electric Co. 5.550 5/4/2020	470,000.00	0.02	$503,275.25	5.550	05/04/2020	GE
General Electric Co. 6.000 8/7/2019	1,025,000.00	0.05	$1,086,223.46	6.000	08/07/2019	GE
General Motors Co. 6.750 4/1/2046	245,000.00	0.01	$309,316.25	6.750	04/01/2046	GM
General Motors Financial Co. Inc. 4.375 9/25/2021	800,000.00	0.04	$842,147.36	4.375	09/25/2021	GM
General Motors Financial Co. Inc. 5.250 3/1/2026	725,000.00	0.04	$798,327.08	5.250	03/01/2026	GM
Genesis Energy LP Genesis Energy Finance Corp. 6.750 8/1/2022	690,000.00	0.03	$719,325.00	6.750	08/01/2022	GEL
Genesys Telecommunications Laboratories Inc. Greeneden Lux 3 Sarl Greeneden US Ho 10.000 11/30/2024	20,000.00	0.00	$21,900.00	10.000	11/30/2024	GENLAB
Genoa a QoL Healthcare Co. LLC 4.567 10/28/2023	952,973.70	0.04	$959,723.62	4.583	10/28/2023	QOLMED
GEO Group Inc. 5.125 4/1/2023	140,000.00	0.00	$140,700.00	5.125	04/01/2023	GEO
GEO Group Inc. 6.000 4/15/2026	85,000.00	0.00	$87,762.50	6.000	04/15/2026	GEO
Georgia-Pacific LLC 2.539 11/15/2019	1,050,000.00	0.05	$1,053,944.33	2.539	11/15/2019	GP
Georgia-Pacific LLC 8.000 1/15/2024	2,242,000.00	0.14	$2,856,375.04	8.000	01/15/2024	GP
GLM 2017-1A A	1,190,000.00	0.06	$1,199,017.82	2.583	04/20/2029	GLM
GLP Capital LP GLP Financing II Inc. 5.375 4/15/2026	730,000.00	0.03	$784,750.00	5.375	04/15/2026	GLPI
GMACM 2006-J1 A1	50,521.42	0.00	$49,540.42	5.750	04/25/2036	GMACM
GN 782048	146,916.77	0.00	$170,331.04	7.000	12/15/2034	GN
GN 784244	262,995.93	0.01	$289,405.24	5.500	02/15/2041	GN
GNR 2008-65 SB	761,764.20	0.00	$95,249.40	4.499	08/20/2038	GNR
GNR 2009-2 SE	2,318,301.94	0.01	$295,418.90	4.319	01/20/2039	GNR
GNR 2010-113 KE	1,170,000.00	0.06	$1,261,133.64	4.500	09/20/2040	GNR
GNR 2011-H21 FT	9,634,567.78	0.48	$9,719,596.69	2.130	10/20/2061	GNR
GNR 2011-H23 FA	6,339,996.13	0.32	$6,373,548.66	1.943	10/20/2061	GNR
GNR 2012-136 MX	240,000.00	0.01	$211,861.58	2.000	11/20/2042	GNR
GNR 2012-H08 FB	1,048,601.12	0.05	$1,051,405.92	1.843	03/20/2062	GNR
GNR 2012-H18 NA	603,142.02	0.03	$603,405.35	1.763	08/20/2062	GNR
GNR 2012-H29 SA	4,849,281.25	0.24	$4,853,517.10	1.758	10/20/2062	GNR
GNR 2013-113 AZ	1,713,658.69	0.08	$1,665,614.21	3.000	08/20/2043	GNR
GNR 2013-113 LY	173,000.00	0.00	$173,342.76	3.000	05/20/2043	GNR
GNR 2015-133 AL	1,725,000.00	0.08	$1,745,215.79	3.000	05/20/2045	GNR
GNR 2015-142 AI	359,045.62	0.00	$45,724.17	4.000	02/20/2044	GNR
GNR 2015-64 GZ	644,423.39	0.02	$540,034.53	2.000	05/20/2045	GNR
GNR 2015-74 CI	1,171,480.61	0.00	$152,971.94	3.000	10/16/2039	GNR
GNR 2015-H10 FA	14,638,347.34	0.73	$14,638,360.51	1.843	04/20/2065	GNR
GNR 2015-H11 FC	1,842,754.37	0.09	$1,838,687.96	1.793	05/20/2065	GNR
GNR 2015-H12 FB	7,488,584.00	0.37	$7,488,438.72	1.843	05/20/2065	GNR
GNR 2015-H20 FB	1,922,289.62	0.09	$1,922,332.87	1.843	08/20/2065	GNR
GNR 2015-H30 FD	158,926.32	0.00	$159,421.88	1.843	10/20/2065	GNR
GNR 2016-108 SK	1,708,267.21	0.01	$369,172.26	4.549	08/20/2046	GNR
GNR 2016-111 PB	579,000.00	0.02	$530,766.12	2.500	08/20/2046	GNR
GNR 2016-115 SA	3,028,857.67	0.03	$660,792.25	4.599	08/20/2046	GNR
GNR 2016-116 GI	2,097,727.47	0.01	$366,165.04	3.500	11/20/2044	GNR
GNR 2016-118 DI	2,367,038.05	0.01	$363,775.40	3.500	03/20/2043	GNR
GNR 2016-118 ES	1,057,350.38	0.01	$250,585.80	4.599	09/20/2046	GNR
GNR 2016-120 AS	1,810,664.77	0.02	$416,369.61	4.599	09/20/2046	GNR
GNR 2016-120 NS	2,447,265.77	0.02	$564,480.69	4.599	09/20/2046	GNR
GNR 2016-121 JS	1,787,243.57	0.02	$415,797.39	4.599	09/20/2046	GNR
GNR 2016-126 NS	1,204,252.43	0.01	$281,416.09	4.599	09/20/2046	GNR
GNR 2016-134 MW	98,000.00	0.00	$99,784.64	3.000	10/20/2046	GNR
GNR 2016-147 ST	1,146,966.12	0.01	$254,415.67	4.549	10/20/2046	GNR
GNR 2016-149 GI	1,086,285.98	0.01	$244,740.88	4.000	11/20/2046	GNR
GNR 2016-156 PB	362,000.00	0.01	$299,293.13	2.000	11/20/2046	GNR
GNR 2016-160 GI	1,443,316.66	0.01	$337,258.50	3.500	11/20/2046	GNR
GNR 2016-160 GS	3,319,663.67	0.03	$755,231.78	4.599	11/20/2046	GNR
GNR 2016-160 VZ	178,771.86	0.00	$154,069.93	2.500	11/20/2046	GNR
GNR 2016-163 MI	1,113,832.23	0.00	$128,205.10	3.500	11/20/2046	GNR
GNR 2016-163 PI	3,004,421.69	0.02	$490,211.96	3.500	05/20/2043	GNR
GNR 2016-163 XI	1,659,994.61	0.01	$225,088.80	3.000	10/20/2046	GNR
GNR 2016-171 IP	1,491,834.45	0.01	$233,385.71	3.000	03/20/2046	GNR
GNR 2016-89 QS	1,029,868.24	0.01	$240,120.68	4.549	07/20/2046	GNR
GNR 2016-H06 FD	1,908,855.25	0.09	$1,935,826.23	2.163	07/20/2065	GNR
GNR 2017-10 IB	1,360,917.70	0.01	$286,478.35	4.000	01/20/2047	GNR
GNR 2017-10 KZ	123,341.56	0.00	$115,555.51	3.000	01/20/2047	GNR
GNR 2017-101 AI	862,891.50	0.00	$165,258.05	4.000	07/20/2047	GNR
GNR 2017-101 KS	1,414,551.60	0.01	$297,399.71	4.699	07/20/2047	GNR
GNR 2017-101 SK	3,576,442.98	0.03	$740,738.92	4.699	07/20/2047	GNR
GNR 2017-101 TI	1,348,087.84	0.01	$211,054.34	4.000	03/20/2044	GNR
GNR 2017-107 QZ	219,726.10	0.01	$209,028.32	3.000	08/20/2045	GNR
GNR 2017-107 T	614,000.00	0.03	$615,003.89	3.000	01/20/2047	GNR
GNR 2017-113 LB	595,000.00	0.02	$571,521.72	3.000	07/20/2047	GNR
GNR 2017-114 IK	1,932,534.27	0.02	$403,112.73	4.000	10/20/2044	GNR
GNR 2017-117 SD	99,078.62	0.00	$21,551.04	4.699	08/20/2047	GNR
GNR 2017-120 QS	1,534,766.12	0.01	$349,140.57	4.699	08/20/2047	GNR
GNR 2017-130 YJ	270,000.00	0.01	$250,962.92	2.500	08/20/2047	GNR
GNR 2017-134 ES	851,399.05	0.00	$173,935.72	4.699	09/20/2047	GNR
GNR 2017-137 CZ	1,300,706.72	0.06	$1,217,299.29	3.000	09/20/2047	GNR
GNR 2017-141 JS	1,319,952.28	0.01	$296,621.66	4.699	09/20/2047	GNR
GNR 2017-156 LP	159,000.00	0.00	$141,570.58	2.500	10/20/2047	GNR
GNR 2017-163 ZK	3,312,225.54	0.16	$3,290,894.15	3.500	11/20/2047	GNR
GNR 2017-18 QI	1,145,755.63	0.01	$203,814.00	4.000	03/16/2041	GNR
GNR 2017-18 QS	1,373,975.92	0.01	$293,244.52	4.609	02/16/2047	GNR
GNR 2017-25 CZ	466,387.27	0.02	$474,689.85	3.500	02/20/2047	GNR
GNR 2017-26 SA	1,387,929.33	0.01	$283,318.85	4.599	02/20/2047	GNR
GNR 2017-34 DY	230,000.00	0.01	$228,001.09	3.500	03/20/2047	GNR
GNR 2017-4 BW	106,000.00	0.00	$105,248.39	3.000	01/20/2047	GNR
GNR 2017-56 JZ	275,447.48	0.01	$264,317.97	3.000	04/20/2047	GNR
GNR 2017-56 QS	1,839,596.15	0.01	$370,946.47	4.649	04/20/2047	GNR
GNR 2017-68 SB	2,802,870.17	0.02	$509,145.01	4.649	05/20/2047	GNR
GNR 2017-80 AS	3,569,088.05	0.03	$747,623.30	4.699	05/20/2047	GNR
GNR 2017-91 SM	98,935.61	0.00	$21,566.70	4.699	06/20/2047	GNR
Goldman Sachs Group Inc. 2.545 6/5/2023	505,000.00	0.02	$509,820.98	2.545	06/05/2023	GS
Goldman Sachs Group Inc. 2.727 4/23/2021	1,300,000.00	0.06	$1,332,599.45	2.727	04/23/2021	GS
Goldman Sachs Group Inc. 2.788 9/15/2020	1,700,000.00	0.08	$1,732,844.51	2.788	09/15/2020	GS
Goldman Sachs Group Inc. 3.020 8/21/2019	140,000.00	0.00	$110,322.43	3.020	08/21/2019	GS
Goldman Sachs Group Inc. 3.077 11/29/2023	875,000.00	0.04	$911,460.11	3.077	11/29/2023	GS
Goldman Sachs Group Inc. 3.272 9/29/2025	510,000.00	0.02	$508,286.09	3.272	09/29/2025	GS
Goldman Sachs Group Inc. 3.550 2/12/2021	100,000.00	0.00	$81,884.65	3.550	02/12/2021	GS
Goldman Sachs Group Inc. 3.691 6/5/2028	3,005,000.00	0.15	$3,051,179.94	3.691	06/05/2028	GS
Goldman Sachs Group Inc. 5.150 5/22/2045	910,000.00	0.05	$1,056,825.77	5.150	05/22/2045	GS
Goldman Sachs Group Inc. 5.200 12/17/2019	206,000.00	0.00	$152,560.83	5.200	12/17/2019	GS
Goldman Sachs Group Inc. 5.950 1/18/2018	700,000.00	0.03	$701,111.39	5.950	01/18/2018	GS
Goodman US Finance Three LLC 3.700 3/15/2028	330,000.00	0.01	$328,049.11	3.700	03/15/2028	GMGAU
Goodyear Tire & Rubber Co. 4.875 3/15/2027	370,000.00	0.01	$379,712.50	4.875	03/15/2027	GT
Goodyear Tire & Rubber Co. 5.000 5/31/2026	530,000.00	0.02	$548,470.50	5.000	05/31/2026	GT
Gray Television Inc. 5.875 7/15/2026	640,000.00	0.03	$657,600.00	5.875	07/15/2026	GTN
GRCE 2014-GRCE A	2,200,000.00	0.11	$2,256,277.98	3.369	06/10/2028	GRCE
GRCE 2014-GRCE B	1,455,000.00	0.07	$1,476,008.45	3.520	06/10/2028	GRCE
Great Plains Energy Inc. 4.850 6/1/2021	545,000.00	0.02	$577,615.86	4.850	06/01/2021	GXP
Greeneden US Holdings II LLC 5.061 12/1/2023	1,024,675.89	0.05	$1,031,811.74	5.083	12/01/2023	GCTI
Greenhill & Co. Inc. 5.099 10/6/2022	230,000.00	0.01	$231,437.50	5.099	10/06/2022	GHL
GSAMP 2006-FM3 A2D	1,112,081.77	0.03	$671,939.60	1.782	11/25/2036	GSAMP
GSAMP 2007-SEA1 A	1,008,549.12	0.04	$973,016.12	1.852	12/25/2036	GSAMP
GSMS 2010-C1 C	375,000.00	0.01	$390,952.39	5.635	08/10/2043	GSMS
GSMS 2016-RENT A 144A	2,300,000.00	0.11	$2,322,492.62	3.203	02/10/2029	36251GAA2
GSMS 2017-GS5 A4	1,205,000.00	0.06	$1,260,494.47	3.674	03/10/2050	GSMS
GSMS 2017-GS6 A3	1,935,000.00	0.09	$1,982,964.59	3.433	05/10/2050	GSMS
GSMS 2017-GS6 XA	21,971,294.15	0.08	$1,770,829.18	1.052	05/10/2050	GSMS
GSR 2007-AR1 2A1	976,511.09	0.04	$899,545.22	3.537	03/25/2047	GSR
GTP Acquisition Partners I LLC 2.350 6/15/2020	530,000.00	0.02	$525,769.81	2.350	06/15/2020	AMTTOW
Gulfport Energy Corp. 6.000 10/15/2024	520,000.00	0.02	$522,600.00	6.000	10/15/2024	GPOR
Gulfport Energy Corp. 6.625 5/1/2023	245,000.00	0.01	$251,125.00	6.625	05/01/2023	GPOR
Hanesbrands Inc. 4.875 5/15/2026	630,000.00	0.03	$648,900.00	4.875	05/15/2026	HBI
Harris Corp. 1.871 4/30/2020	2,100,000.00	0.10	$2,100,707.07	1.851	04/30/2020	HRS
HASC 2006-HE1 2A1	32,867.38	0.00	$18,137.54	1.602	10/25/2036	HASC
HCA Inc. 2.000 3/18/2023	66,983.83	0.00	$67,381.58	3.333	03/18/2023	HCA
HCA Inc. 3.750 3/15/2019	2,600,000.00	0.13	$2,629,250.00	3.750	03/15/2019	HCA
HCA Inc. 5.375 2/1/2025	1,025,000.00	0.05	$1,063,437.50	5.375	02/01/2025	HCA
HCA Inc. 5.875 2/15/2026	250,000.00	0.01	$265,000.00	5.875	02/15/2026	HCA
HCA Inc. 7.580 9/15/2025	30,000.00	0.00	$34,500.00	7.580	09/15/2025	HCA
HCP Inc. 5.375 2/1/2021	359,000.00	0.01	$385,749.34	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	$400,174.52	2.250	03/15/2018	HCN
HealthSouth Corp. 5.125 3/15/2023	235,000.00	0.01	$241,462.50	5.125	03/15/2023	EHC
HealthSouth Corp. 5.750 11/1/2024	643,000.00	0.03	$660,682.50	5.750	11/01/2024	EHC
HealthSouth Corp. 5.750 9/15/2025	270,000.00	0.01	$282,150.00	5.750	09/15/2025	EHC
HEATHROW FUNDING LTD. 4.875 7/15/2021	200,000.00	0.01	$213,829.80	4.875	07/15/2021	HTHROW
Helix Energy Solutions Group Inc. 4.250 5/1/2022	651,000.00	0.03	$650,186.25	4.250	05/01/2022	HLX
Hellenic Republic Treasury Bill 0.000 3/9/2018	1,800,000.00	0.10	$2,154,460.26	1.744	03/09/2018	GTB
Herc Rentals Inc. 7.750 6/1/2024	434,000.00	0.02	$478,485.00	7.750	06/01/2024	HERCRE
HEWLETT PACKARD ENTERPRISE 2.850 10/5/2018	150,000.00	0.00	$150,750.20	3.100	10/05/2018	HPE
Hilcorp Energy I LP Hilcorp Finance Co. 5.000 12/1/2024	700,000.00	0.03	$696,500.00	5.000	12/01/2024	HILCRP
Hilcorp Energy I LP Hilcorp Finance Co. 5.750 10/1/2025	40,000.00	0.00	$41,100.00	5.750	10/01/2025	HILCRP
Hill-Rom Holdings Inc. 5.000 2/15/2025	245,000.00	0.01	$251,051.50	5.000	02/15/2025	HRC
Hill-Rom Holdings Inc. 5.750 9/1/2023	325,000.00	0.01	$341,656.25	5.750	09/01/2023	HRC
Hilton Worldwide Finance LLC Hilton Worldwide Finance Corp. 4.875 4/1/2027	365,000.00	0.01	$382,793.75	4.875	04/01/2027	HLT
Hilton Worldwide Finance LLC 2.000 10/25/2023	2,015,197.84	0.10	$2,027,563.09	3.333	10/25/2023	HLT
HLA 2012-1A A1	158,849.95	0.00	$158,983.38	2.916	08/15/2023	HLA
Holly Energy Partners LP Holly Energy Finance Corp. 6.000 8/1/2024	40,000.00	0.00	$41,900.00	6.000	08/01/2024	HEP
Hologic Inc. 2.000 3/1/2042	569,000.00	0.03	$785,575.63	2.000	03/01/2042	HOLX
HOOTY 2014-1A A2	1,009,800.00	0.04	$982,323.34	4.846	08/20/2044	HOOTY
Hospitality Properties Trust 4.500 3/15/2025	870,000.00	0.04	$904,116.97	4.500	03/15/2025	HPT
Host Hotels & Resorts LP 3.750 10/15/2023	1,270,000.00	0.06	$1,294,186.01	3.750	10/15/2023	HST
Host Hotels & Resorts LP 3.875 4/1/2024	250,000.00	0.01	$254,642.45	3.875	04/01/2024	HST
Host Hotels & Resorts LP 4.500 2/1/2026	45,000.00	0.00	$47,178.39	4.500	02/01/2026	HST
Houghton International Inc. 0.000 12/20/2019	10,925.00	0.00	$10,945.48	4.333	12/20/2019	HGHP
Hoya Midco LLC 5.293 6/27/2024	706,450.02	0.03	$706,450.02	5.333	06/27/2024	VIVSEA
HSBC BANK CANADA 0.000 1/17/2018	2,400,000.00	0.09	$1,907,952.27	1.318	01/17/2018	40428PNJ9
HSBC Bank PLC 2.056 5/15/2018	620,000.00	0.03	$621,060.51	2.056	05/15/2018	HSBC
HSBC Holdings PLC 2.650 1/5/2022	200,000.00	0.00	$198,761.98	2.650	01/05/2022	HSBC
HSBC Holdings PLC 2.842 1/5/2022	2,000,000.00	0.10	$2,068,881.40	2.843	01/05/2022	HSBC
HSBC Holdings PLC 3.122 5/25/2021	900,000.00	0.04	$934,422.84	3.122	05/25/2021	HSBC
HSBC Holdings PLC 6.000 12/29/2049	900,000.00	0.06	$1,264,048.93	6.000	12/29/2049	HSBC
HUB International Ltd. 4.250 10/2/2020	445,378.20	0.02	$447,884.34	4.583	10/02/2020	HBGCN
HUB International Ltd. 7.875 10/1/2021	120,000.00	0.00	$125,100.00	7.875	10/01/2021	HBGCN
HudBay Minerals Inc. 7.250 1/15/2023	10,000.00	0.00	$10,650.00	7.250	01/15/2023	HBMCN
HudBay Minerals Inc. 7.625 1/15/2025	325,000.00	0.01	$357,500.00	7.625	01/15/2025	HBMCN
Hudson Pacific Properties LP 3.950 11/1/2027	490,000.00	0.02	$488,320.08	3.950	11/01/2027	HPP
HULLS 2014-1A AR	500,000.00	0.02	$502,702.50	2.574	10/18/2026	HULLS
Huntington Bancshares Inc. OH 2.300 1/14/2022	670,000.00	0.03	$659,763.94	2.300	01/14/2022	HBAN
Huntington Bancshares Inc. OH 8.500 12/31/2049	164.00	0.01	$230,420.00	85.000	12/31/2049	HBAN
Huntington Ingalls Industries Inc. 3.483 12/1/2027	660,000.00	0.03	$659,175.00	3.483	12/01/2027	HII
Huntington National Bank 2.500 8/7/2022	1,245,000.00	0.06	$1,229,147.17	2.500	08/07/2022	HBAN
Huron Consulting Group Inc. 1.250 10/1/2019	237,000.00	0.01	$221,743.13	1.250	10/01/2019	HURN
HVSC Merger Sub Corp. 5.362 10/20/2024	495,000.00	0.02	$499,228.29	5.363	10/20/2024	VANSPE
HVSC Merger Sub Corp. 9.613 10/20/2025	605,000.00	0.03	$597,437.50	9.613	10/20/2025	VANSPE
Hyperion Insurance Group Ltd. 5.100 12/15/2024	1,288,000.00	0.06	$1,292,830.00	5.100	12/15/2024	HYPINS
Hyundai Capital America 2.550 2/6/2019	715,000.00	0.03	$713,884.60	2.550	02/06/2019	HYNMTR
Hyundai Capital America 3.000 3/18/2021	580,000.00	0.02	$579,025.43	3.000	03/18/2021	HYNMTR
IAC FinanceCo Inc. 0.875 10/1/2022	510,000.00	0.02	$539,962.50	0.875	10/01/2022	IAC
ICE - CDX.HY29 5Y - 12 20 2022 -CREDIT SUISSE F 5.000000 ACT 360 Quarterly 20221220 PU 5.000 12/20/2022	2,600,000.00	-0.02	-$215,337.64	5.000	12/20/2022	SWPC0GA92
ICE - CDX.NA.HY.28 06 22 0.050 6/20/2022	2,054,250.00	-0.01	-$179,118.36	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	$14,979.38	1.000	12/20/2020	SWPC0FIV7
ICICI Bank Ltd. Dubai 4.000 3/18/2026	1,070,000.00	0.05	$1,085,153.34	4.000	03/18/2026	ICICI
IDR/USD BNP 01/12/18	24,374,015,200.00	0.09	$1,800,403.21	0.000	01/12/2018	IDUSI1128
Imperial Brands Finance PLC 3.750 7/21/2022	470,000.00	0.02	$486,128.47	3.750	07/21/2022	IMBLN
IMPERIAL TOBACCO FIN PLC 2.050 2/11/2018	270,000.00	0.01	$269,972.06	2.050	02/11/2018	IMBLN
IMPERIAL TOBACCO FIN PLC 2.950 7/21/2020	700,000.00	0.03	$707,142.80	2.950	07/21/2020	IMBLN
INABS 2007-A 2A3	1,630,974.68	0.05	$1,138,068.20	1.792	04/25/2037	INABS
INC Research Holdings Inc. 4.545 6/26/2024	314,843.75	0.01	$315,748.93	3.583	06/26/2024	INCR
Indonesia Government International Bond 5.125 1/15/2045	200,000.00	0.01	$221,435.60	5.125	01/15/2045	INDON
INDONESIAN RUPIAH	335,580,146.00	0.00	$24,734.12	0.000	-	RUPIAH
INEOS US Finance LLC 3.374 3/31/2024	960,000.00	0.04	$962,466.25	3.374	03/31/2024	INEGRP
Infinera Corp. 1.750 6/1/2018	353,000.00	0.01	$349,911.25	1.750	06/01/2018	INFN
Inflation Linked Korea Treasury Bond 1.125 6/10/2023	1,120,856,703.20	0.05	$1,054,098.43	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 2.202 8/17/2018	4,500,000.00	0.22	$4,517,540.55	2.202	08/17/2018	INTNED
Inkia Energy Ltd. 5.875 11/9/2027	585,000.00	0.02	$589,832.10	5.875	11/09/2027	INKENE
INR/USD FWD 20180313	23,338,266.00	0.01	$363,081.38	0.000	03/13/2018	INC031318
Insulet Corp. 1.250 9/15/2021	595,000.00	0.03	$778,706.25	1.250	09/15/2021	PODD
Insulet Corp. 1.375 11/15/2024	275,000.00	0.01	$279,296.88	1.375	11/15/2024	PODD
Integrys Holding Inc.	35,650.00	0.04	$966,560.63	1.500	08/01/2073	WEC
Inter-American Development Bank 1.579 10/15/2020	890,000.00	0.04	$894,846.58	1.579	10/15/2020	IADB
Inter-American Development Bank 6.250 6/15/2021	43,200,000,000.00	0.16	$3,186,349.85	6.250	06/15/2021	IADB
Intercontinental Exchange Inc. 3.100 9/15/2027	570,000.00	0.02	$569,931.60	3.100	09/15/2027	ICE
International Bank for Reconstruction & Development 1.561 4/17/2019	440,000.00	0.02	$439,920.10	1.561	04/17/2019	IBRD
International Bank for Reconstruction & Development 2.500 11/25/2024	440,000.00	0.02	$440,605.88	2.500	11/25/2024	IBRD
International Bank for Reconstruction & Development 3.375 1/25/2022	300,000.00	0.01	$217,202.38	3.375	01/25/2022	IBRD
International Bank for Reconstruction & Development 4.625 10/6/2021	380,000.00	0.01	$287,344.65	4.625	10/06/2021	IBRD
International Business Machines Corp. 1.625 5/15/2020	440,000.00	0.02	$434,729.24	1.625	05/15/2020	IBM
International Finance Corp. 1.410 1/9/2019	600,000.00	0.03	$600,374.46	1.410	01/09/2019	IFC
International Finance Corp. 3.625 5/20/2020	163,000.00	0.00	$118,633.39	3.625	05/20/2020	IFC
International Finance Corp. 3.750 8/9/2027	305,000.00	0.01	$217,199.68	3.750	08/09/2027	IFC
INTERNATIONAL LEASE FINANCE 6.250 5/15/2019	200,000.00	0.01	$209,632.14	6.250	05/15/2019	AER
INTERNATIONAL LEASE FINANCE 7.125 9/1/2018	100,000.00	0.00	$103,203.19	7.125	09/01/2018	AER
International Lease Finance Corp. 8.625 1/15/2022	1,455,000.00	0.08	$1,753,645.45	8.625	01/15/2022	AER
International Paper Co. 4.400 8/15/2047	365,000.00	0.01	$382,645.82	4.400	08/15/2047	IP
inVentiv Group Holdings Inc. inVentiv Health Inc. inVentiv Health Clinical Inc. 7.500 10/1/2024	14,000.00	0.00	$15,190.00	7.500	10/01/2024	VTIV
IRO USD 10Y C 2.00000 M 11-15-18 MYC 0.000 11/15/2018	-19,100,000.00	-0.01	-$106,520.70	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	0.00	$35,164.80	0.000	11/15/2018	SWU00K9F1
IRO USD 30Y P 2.9050 08-20-18 MYC 0.000 8/20/2018	4,400,000.00	0.00	$62,075.20	0.000	08/20/2018	SWU00DXX1
IRO USD 5Y P 2.30 M 01-31-18 CBK 0.000 1/31/2018	-9,800,000.00	-0.01	-$14,719.60	0.000	01/31/2018	SWU00N3P9
IRO USD 5Y P 2.80 08-20-18 MYC 0.000 8/20/2018	-19,500,000.00	-0.01	-$35,217.00	0.000	08/20/2018	SWU00DXV5
Iron Mountain US Holdings Inc. 5.375 6/1/2026	600,000.00	0.03	$619,500.00	5.375	06/01/2026	IRM
Israeli Shekel	1,415.87	n/a	$406.90	0.000	-	ISSHEKEL
Italy Buoni Poliennali Del Tesoro 0.750 1/15/2018	7,400,000.00	0.44	$8,883,542.54	0.750	01/15/2018	BTPS
ITAU CorpBanca New York 2.500 12/7/2018	500,000.00	0.02	$499,781.95	2.500	12/07/2018	CORBAN
ITAU CorpBanca New York 2.570 1/11/2019	300,000.00	0.01	$299,526.87	2.570	01/11/2019	CORBAN
ITC Holdings Corp. 2.700 11/15/2022	330,000.00	0.01	$329,731.05	2.700	11/15/2022	ITC
ITC Holdings Corp. 3.350 11/15/2027	990,000.00	0.04	$992,483.61	3.350	11/15/2027	ITC
Ivory Coast Government International Bond 6.125 6/15/2033	2,000,000.00	0.10	$2,038,798.00	6.125	06/15/2033	IVYCST
Japan Bank for International Cooperation Japan 2.032 2/24/2020	248,000.00	0.01	$249,743.19	2.032	02/24/2020	JBIC
Japan Bank for International Cooperation Japan 2.125 11/16/2020	594,000.00	0.02	$589,151.18	2.125	11/16/2020	JBIC
Japan Bank for International Cooperation Japan 2.375 11/16/2022	536,000.00	0.02	$530,504.82	2.375	11/16/2022	JBIC
Japan Bank for International Cooperation Japan 2.750 11/16/2027	240,000.00	0.01	$240,005.57	2.750	11/16/2027	JBIC
JAPAN BANK FOR INTL COOP 2.125 6/1/2020	700,000.00	0.03	$695,985.71	2.125	06/01/2020	JBIC
Japan Finance Organization for Municipalities 2.125 3/6/2019	900,000.00	0.04	$899,384.40	2.125	03/06/2019	JFM
JAPANESE YEN	3,883,169.00	0.00	$34,463.44	0.000	-	YENS
JBS USA LUX S.A. JBS USA Finance Inc. 5.750 6/15/2025	155,000.00	0.00	$149,962.50	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	$310,800.00	5.875	07/15/2024	JBSSBZ
JBS USA LUX S.A. 3.250 10/30/2022	696,192.74	0.03	$684,531.51	3.833	10/30/2022	JBSSBZ
JC Penney Corp. Inc. 5.250 6/23/2023	275,966.00	0.01	$258,718.12	5.583	06/23/2023	JCP
JD.com Inc. 3.125 4/29/2021	1,270,000.00	0.06	$1,266,771.03	3.125	04/29/2021	JD
Jefferies Group LLC 6.450 6/8/2027	331,000.00	0.01	$385,126.01	6.450	06/08/2027	JEF
Jefferies Group LLC 6.500 1/20/2043	270,000.00	0.01	$319,311.02	6.500	01/20/2043	JEF
Jersey Central Power & Light Co. 7.350 2/1/2019	1,000,000.00	0.05	$1,050,267.80	7.350	02/01/2019	FE
JMP 2014-1A AR	2,600,000.00	0.13	$2,622,224.80	2.593	10/17/2025	JMP
Jordan Government International Bond 5.750 1/31/2027	400,000.00	0.02	$397,802.00	5.750	01/31/2027	JORDAN
Joseph T Ryerson & Son Inc. 11.000 5/15/2022	160,000.00	0.00	$179,400.00	11.000	05/15/2022	RYI
JPMAC 2006-CW2 AV5	500,000.00	0.02	$449,141.00	1.792	08/25/2036	JPMAC
JPMBB 2015-C31 A3	650,000.00	0.03	$680,989.53	3.801	08/15/2048	JPMBB
JPMBB 2015-C33 A4	570,000.00	0.03	$596,888.90	3.770	12/15/2048	JPMBB
JPMCC 2005-CB11 E	230,000.00	0.01	$235,166.63	5.525	08/12/2037	JPMCC
JPMCC 2013-LC11 B	355,000.00	0.01	$353,219.39	3.499	04/15/2046	JPMCC
JPMCC 2016-JP2 A4	2,555,000.00	0.12	$2,500,977.85	2.822	08/15/2049	JPMCC
JPMCC 2016-JP2 AS	1,250,000.00	0.06	$1,214,960.25	3.056	08/15/2049	JPMCC
JPMCC 2016-JP3 B	1,550,000.00	0.07	$1,508,599.50	3.397	08/15/2049	JPMCC
JPMCC 2016-WIKI A	705,000.00	0.03	$705,723.82	2.798	10/05/2031	JPMCC
JPMCC 2016-WIKI B	690,000.00	0.03	$692,568.32	3.201	10/05/2031	JPMCC
JPMDB 2016-C2 A4	1,640,000.00	0.08	$1,645,369.36	3.144	06/15/2049	JPMDB
JPMDB 2016-C4 A3	1,065,000.00	0.05	$1,067,128.30	3.141	12/15/2049	JPMDB
JPMDB 2017-C7 A5	1,395,000.00	0.07	$1,429,667.15	3.409	10/15/2050	JPMDB
JPMMT 2006-A6 2A4L	575,667.28	0.02	$521,110.03	3.600	10/25/2036	JPMMT
JPMMT 2006-A7 2A2	107,905.83	0.00	$108,591.63	3.554	01/25/2037	JPMMT
JPMMT 2007-A1 6A1	192,700.82	0.00	$193,116.96	3.575	07/25/2035	JPMMT
JPMMT 2014-2 B1	73,169.40	0.00	$73,863.81	3.427	06/25/2029	JPMMT
JPMMT 2014-2 B2	73,169.40	0.00	$73,365.51	3.427	06/25/2029	JPMMT
JPMMT 2015-1 B1	649,681.85	0.03	$646,415.38	2.587	12/25/2044	JPMMT
JPMMT 2015-4 B1	807,130.38	0.04	$810,670.70	3.626	06/25/2045	JPMMT
JPMMT 2015-4 B2	344,967.90	0.01	$339,210.77	3.626	06/25/2045	JPMMT
JPMMT 2015-5 B2	531,482.23	0.02	$521,981.93	2.864	05/25/2045	JPMMT
JPMMT 2015-6 B1	348,504.22	0.01	$347,344.61	3.617	10/25/2045	JPMMT
JPMMT 2015-6 B2	339,085.19	0.01	$329,215.61	3.617	10/25/2045	JPMMT
JPMMT 2016-4 B1	243,130.03	0.01	$248,096.20	3.901	10/25/2046	JPMMT
JPMMT 2016-4 B2	413,321.04	0.02	$420,604.17	3.901	10/25/2046	JPMMT
JPMMT 2017-1 B2	722,029.03	0.03	$717,729.35	3.558	01/25/2047	JPMMT
JPMMT 2017-2 A3	339,441.02	0.01	$343,822.19	3.500	05/25/2047	JPMMT
JPMMT 2017-6 B1	470,000.00	0.02	$476,298.00	3.858	12/25/2048	JPMMT
JPMorgan Chase & Co. 2.008 1/28/2019	200,000.00	0.01	$200,961.24	2.008	01/28/2019	JPM
JPMorgan Chase & Co. 2.250 1/23/2020	9,100,000.00	0.45	$9,096,144.33	2.250	01/23/2020	JPM
JPMorgan Chase & Co. 2.267 4/25/2023	895,000.00	0.04	$905,715.57	2.267	04/25/2023	JPM
JPMorgan Chase & Co. 2.595 10/24/2023	375,000.00	0.01	$385,009.31	2.595	10/24/2023	JPM
JPMorgan Chase & Co. 2.615 6/7/2021	2,900,000.00	0.14	$2,964,939.12	2.615	06/07/2021	JPM
JPMorgan Chase & Co. 3.964 11/15/2048	2,810,000.00	0.14	$2,906,231.82	3.964	11/15/2048	JPM
JPMorgan Chase & Co. 4.032 7/24/2048	835,000.00	0.04	$872,247.68	4.032	07/24/2048	JPM
JPMorgan Chase & Co. 4.250 11/2/2018	570,000.00	0.02	$409,597.86	4.250	11/02/2018	JPM
JPMorgan Chase & Co. 4.400 7/22/2020	400,000.00	0.02	$420,338.72	4.400	07/22/2020	JPM
JPMorgan Chase & Co. 6.750 1/29/2049	865,000.00	0.04	$980,693.75	6.750	01/29/2049	JPM
JPY USD FWD 20180110 0.000 1/10/2018	-158,900,000.00	-0.08	-$1,411,106.96	0.000	01/10/2018	JPP011018
JPY/USD BOA 01/12/18	-220,792,027.00	-0.10	-$1,960,934.97	0.000	01/12/2018	JYUSF1128
JPY/USD TOR 01/12/18	322,149,201.00	0.14	$2,861,125.20	0.000	01/12/2018	JYUST1128
JTWN 2014-4A A1CR	1,500,000.00	0.07	$1,500,301.50	2.049	07/15/2026	470474AU1
JTWN 2015-7A A1R	700,000.00	0.03	$699,647.90	2.197	07/25/2027	JTWN
Kaman Corp. 3.250 5/1/2024	758,000.00	0.04	$846,591.26	3.250	05/01/2024	KAMN
Kansas City Power & Light Co. 3.650 8/15/2025	1,350,000.00	0.06	$1,383,702.62	3.650	08/15/2025	GXP
Kansas City Southern 3.000 5/15/2023	500,000.00	0.02	$496,202.80	3.000	05/15/2023	KSU
KAR Auction Services Inc. 5.125 6/1/2025	200,000.00	0.01	$205,500.00	5.125	06/01/2025	KAR
KazMunayGas National Co. JSC 3.875 4/19/2022	345,000.00	0.01	$351,015.42	3.875	04/19/2022	KZOKZ
KazMunayGas National Co. JSC 4.750 4/19/2027	550,000.00	0.02	$580,943.00	4.750	04/19/2027	KZOKZ
KBC Bank NV 8.000 1/25/2023	2,200,000.00	0.11	$2,213,274.80	8.000	01/25/2023	KBC
Kernel Holding S.A. 8.750 1/31/2022	890,000.00	0.04	$982,467.44	8.750	01/31/2022	KERPW
KeyBank NA Cleveland OH 2.300 9/14/2022	730,000.00	0.03	$716,012.03	2.300	09/14/2022	KEY
KeyBank NA Cleveland OH 2.400 6/9/2022	810,000.00	0.04	$799,511.47	2.400	06/09/2022	KEY
KeyBank NA Cleveland OH 3.180 5/22/2022	250,000.00	0.01	$251,991.80	3.180	05/22/2022	KEY
KeyBank NA Cleveland OH 3.400 5/20/2026	2,245,000.00	0.11	$2,240,076.72	3.400	05/20/2026	KEY
KeyBank NA Cleveland OH 6.950 2/1/2028	1,220,000.00	0.07	$1,543,913.17	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	$351,475.00	5.000	06/01/2024	YUM
KFC Holding Co. Pizza Hut Holdings LLC Taco Bell of America LLC 5.250 6/1/2026	393,000.00	0.02	$414,615.00	5.250	06/01/2026	YUM
Kilroy Realty LP 3.450 12/15/2024	720,000.00	0.03	$718,870.10	3.450	12/15/2024	KRC
Kinder Morgan Energy Partners LP 5.000 10/1/2021	620,000.00	0.03	$661,295.72	5.000	10/01/2021	KMI
Kinder Morgan Energy Partners LP 5.950 2/15/2018	1,000,000.00	0.05	$1,004,679.90	5.950	02/15/2018	KMI
Kinder Morgan Energy Partners LP 6.850 2/15/2020	2,000,000.00	0.10	$2,167,347.80	6.850	02/15/2020	KMI
Kinder Morgan Energy Partners LP 9.000 2/1/2019	2,200,000.00	0.11	$2,349,180.24	9.000	02/01/2019	KMI
Kinder Morgan Inc. DE 9.750 10/26/2018	16,800.00	0.03	$637,728.00	4.875	10/26/2018	KMI
Kingpin Intermediate Holdings LLC 5.546 6/29/2024	472,625.00	0.02	$477,930.21	5.583	06/29/2024	ABWI
KKR 20 A	300,000.00	0.01	$300,000.00	n/a	10/16/2030	KKR
Kloeckner Pentaplast of America Inc. 5.550 6/29/2022	643,387.50	0.03	$651,128.09	5.583	06/29/2022	KPERST
Knowles Corp. 3.250 11/1/2021	441,000.00	0.02	$491,163.75	3.250	11/01/2021	KN
Koppers Inc. 6.000 2/15/2025	60,000.00	0.00	$63,750.00	6.000	02/15/2025	KOP
KOREA DEVELOPMENT BANK 3.000 3/17/2019	850,000.00	0.04	$853,695.29	3.000	03/17/2019	KDB
Kraft Heinz Foods Co. 2.230 8/10/2022	300,000.00	0.01	$302,766.03	2.230	08/10/2022	KHC
Kraton Polymers LLC Kraton Polymers Capital Corp. 7.000 4/15/2025	120,000.00	0.00	$129,000.00	7.000	04/15/2025	KRA
Kraton Polymers LLC 4.317 1/6/2022	565,453.84	0.02	$572,027.24	4.333	01/06/2022	KRA
Kronos Inc. MA 4.500 11/1/2023	534,610.14	0.02	$538,772.62	4.833	11/01/2023	KRON
Kronos Inc. MA 9.250 10/20/2024	505,000.00	0.02	$525,326.25	9.583	10/20/2024	KRON
KRW/USD FWD 20180314	-2,339,122,800.00	-0.12	-$2,193,630.27	0.000	03/14/2018	KRC031418
KRW/USD JPM 01/12/18	-1,149,723,270.00	-0.06	-$1,077,520.06	0.000	01/12/2018	KWUSJ1128
Kuwait International Government Bond 2.750 3/20/2022	3,400,000.00	0.17	$3,392,693.40	2.750	03/20/2022	KUWIB
KVK 2013-2A AR	2,000,000.00	0.10	$1,999,208.00	2.509	01/15/2026	KVK
KVK 2015-1A AR	1,750,000.00	0.08	$1,759,248.75	2.686	05/20/2027	KVK
LafargeHolcim Finance US LLC 3.500 9/22/2026	1,135,000.00	0.05	$1,120,844.17	3.500	09/22/2026	LHNVX
Lamar Media Corp. 5.750 2/1/2026	501,000.00	0.02	$536,696.25	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	$371,862.50	4.875	11/01/2026	LW
Landwirtschaftliche Rentenbank 2.500 11/15/2027	295,000.00	0.01	$292,455.86	2.500	11/15/2027	RENTEN
Landwirtschaftliche Rentenbank 5.375 4/23/2024	1,150,000.00	0.04	$909,106.29	5.375	04/23/2024	RENTEN
Laredo Petroleum Inc. 6.250 3/15/2023	285,000.00	0.01	$296,485.50	6.250	03/15/2023	LPI
Las Vegas Sands LLC 2.000 3/29/2024	195,979.60	0.00	$197,231.71	3.333	03/29/2024	LVSLLC
LATAM AIRLINES 4.200 11/15/2027	449,081.46	0.02	$455,256.33	4.200	11/15/2027	LATAIR
Lazard Group LLC 3.750 2/13/2025	2,100,000.00	0.10	$2,144,368.38	3.750	02/13/2025	LAZ
LBMLT 2006-1 2A4	3,883,118.19	0.13	$2,748,362.33	1.852	02/25/2036	LBMLT
LBMLT 2006-7 1A	4,047,074.03	0.13	$2,722,480.46	1.707	08/25/2036	LBMLT
LBUBS 2006-C6 AJ	708,529.73	0.02	$562,930.41	5.452	09/15/2039	LBUBS
LCH - IRS 1.798 8 30 22 5YR -1.798 8/30/2022	3,035,000.00	0.00	$57,591.82	-1.798	08/30/2022	/SWAP
LCH - IRS 1.976 4 27 22 5YR -1.976 4/27/2022	2,005,000.00	0.00	$19,944.79	-1.976	04/27/2022	/SWAP
LCH - IRS 2.250 10 31 24 6YR 2.250 10/31/2024	2,625,000.00	0.00	$7,658.28	-2.250	10/31/2024	/SWAP
LCH - IRS 2.661 1 27 47 30YR -2.661 1/27/2047	440,000.00	-0.01	-$11,615.63	-2.661	01/27/2047	/SWAP
LCH - IRS 2.687 1 30 47 30YR -2.687 1/30/2047	705,000.00	-0.01	-$22,456.68	-2.687	01/30/2047	/SWAP
LCH - IRS GBP 1.000 03-21-18-5Y CONTRACT SWCOIR -1.000 3/21/2023	26,700,000.00	0.00	$119,014.85	-1.000	03/21/2023	SWU00MID2
LCH - IRS USA30020 2.02650 06-15-22 CONTRACT SWCOIR -2.027 6/15/2022	1,400,000.00	0.00	$11,681.87	-2.027	06/15/2022	/SWAP
LCH - IRS USD 2.25 06-15-16-30Y CONTRACT SWCOIR -2.500 6/15/2046	16,600,000.00	0.00	$137,069.85	-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	-0.01	-$23,283.50	-0.650	12/16/2022	SWU00DAD0
LEASEPLAN Corp. NV 2.875 1/22/2019	1,600,000.00	0.08	$1,601,390.24	2.875	01/22/2019	LPTY
Leggett & Platt Inc. 3.500 11/15/2027	2,040,000.00	0.10	$2,023,763.23	3.500	11/15/2027	LEG
Lennar Corp. 4.500 4/30/2024	270,000.00	0.01	$277,506.00	4.500	04/30/2024	LEN
Lennar Corp. 4.750 5/30/2025	40,000.00	0.00	$41,700.00	4.750	05/30/2025	LEN
Lennar Corp. 4.875 12/15/2023	185,000.00	0.00	$194,943.75	4.875	12/15/2023	LEN
Lennox International Inc. 3.000 11/15/2023	710,000.00	0.03	$701,900.68	3.000	11/15/2023	LII
Level 3 Financing Inc. 5.375 5/1/2025	1,036,000.00	0.05	$1,037,295.00	5.375	05/01/2025	LVLT
LG&E & KU Energy LLC 3.750 11/15/2020	165,000.00	0.00	$170,326.18	3.750	11/15/2020	PPL
LG&E & KU Energy LLC 4.375 10/1/2021	1,555,000.00	0.08	$1,644,519.17	4.375	10/01/2021	PPL
LGATE 2006-1X A2A	1,698,485.76	0.11	$2,210,469.22	0.710	12/01/2060	LGATE
LGATE 2008-W1X A1	746,550.72	0.04	$988,907.11	0.936	01/01/2061	LGATE
Liberty Interactive LLC 1.750 9/30/2046	755,000.00	0.04	$875,328.13	1.750	09/30/2046	LINTA
Liberty Media Corp. 2.250 9/30/2046	103,000.00	0.00	$107,763.75	2.250	09/30/2046	LMCA
Liberty Mutual Group Inc. 4.950 5/1/2022	320,000.00	0.01	$345,589.44	4.950	05/01/2022	LIBMUT
Life Storage LP 3.875 12/15/2027	175,000.00	0.00	$174,660.80	3.875	12/15/2027	LSI
Lifestorage LP CA 3.500 7/1/2026	695,000.00	0.03	$677,917.53	3.500	07/01/2026	LSI
Lithia Motors Inc. 5.250 8/1/2025	345,000.00	0.01	$360,525.00	5.250	08/01/2025	LAD
LLOYDS BANK PLC 12.000 12/29/2049	2,600,000.00	0.17	$3,500,975.40	12.000	12/29/2049	LLOYDS
Lloyds Banking Group PLC 2.907 11/7/2023	700,000.00	0.03	$694,684.48	2.907	11/07/2023	LLOYDS
Lloyds Banking Group PLC 3.574 11/7/2028	1,555,000.00	0.07	$1,543,077.19	3.574	11/07/2028	LLOYDS
Lloyds Banking Group PLC 7.000 12/29/2049	400,000.00	0.02	$570,626.86	7.000	12/29/2049	LLOYDS
Lloyds Banking Group PLC 7.500 4/30/2049	765,000.00	0.04	$869,231.25	7.500	04/30/2049	LLOYDS
Lloyds Banking Group PLC 7.625 12/29/2049	2,500,000.00	0.19	$3,894,355.78	7.625	12/29/2049	LLOYDS
Lloyds Banking Group PLC 7.875 12/29/2049	1,300,000.00	0.10	$2,141,074.62	7.875	12/29/2049	LLOYDS
LMT 2007-10 2A2	1,803,824.98	0.06	$1,312,301.25	6.500	01/25/2038	LMT
LONG GILT FUTURE Mar18	-78.00	-0.67	-$13,180,812.37	0.000	03/27/2018	G H8
Lowe's Cos Inc. 1.956 9/10/2019	520,000.00	0.02	$522,801.60	1.956	09/10/2019	LOW
Lowe's Cos Inc. 3.700 4/15/2046	1,475,000.00	0.07	$1,483,457.50	3.700	04/15/2046	LOW
Lowe's Cos Inc. 4.050 5/3/2047	170,000.00	0.00	$181,264.06	4.050	05/03/2047	LOW
LROCK 2014-2A AR	2,000,000.00	0.10	$2,012,500.00	2.654	04/18/2026	LROCK
LWCLO 2014-1A A1R	500,000.00	0.02	$499,981.50	2.837	04/25/2025	LWCLO
M I Homes Inc. 6.750 1/15/2021	80,000.00	0.00	$83,200.00	6.750	01/15/2021	MHO
Majapahit Holding BV 7.750 1/20/2020	400,000.00	0.02	$438,520.00	7.750	01/20/2020	PLNIJ
Malaysia Government Bond 3.844 4/15/2033	14,844,000.00	0.17	$3,436,710.61	3.844	04/15/2033	MGS
Malaysia Treasury Bill 0.000 1/19/2018	810,000.00	0.01	$199,894.87	2.950	01/19/2018	MGTB
MALAYSIAN RINGGIT	27.50	n/a	$6.80	0.000	-	RIGGIT
MALIN 2007-1A A1	32,903.41	0.00	$39,452.47	0.000	05/07/2023	MALIN
MALT 2004-3 8A1	3,335.40	0.00	$3,520.11	7.000	04/25/2034	MALT
MALT 2004-5 6A1	43,945.51	0.00	$45,959.69	7.000	06/25/2034	MALT
MANSD 2007-1X A2	812,847.77	0.05	$1,061,216.00	0.559	04/15/2047	MANSD
Manufacturers & Traders Trust Co. 2.050 8/17/2020	485,000.00	0.02	$481,589.19	2.050	08/17/2020	MTB
Manufacturers & Traders Trust Co. 2.500 5/18/2022	555,000.00	0.02	$552,883.17	2.500	05/18/2022	MTB
Marathon Oil Corp. 4.400 7/15/2027	515,000.00	0.02	$539,083.72	4.400	07/15/2027	MRO
Marfrig Holdings Europe BV 8.000 6/8/2023	935,000.00	0.04	$978,243.75	8.000	06/08/2023	MRFGBZ
MARKIT CMBX.NA.BBB-.6	600,000.00	-0.01	-$87,791.34	3.000	05/11/2063	SP1A44QH5
MARKIT CMBX.NA.BBB-.6	1,200,000.00	-0.01	-$175,582.68	3.000	05/11/2063	SP9I5VUI2
MARM 2004-4 4A1	92,543.46	0.00	$92,331.64	3.489	05/25/2034	MARM
Marriott International Inc. MD 4.500 10/1/2034	160,000.00	0.00	$170,381.65	4.500	10/01/2034	MAR
Martin Marietta Materials Inc. 3.500 12/15/2027	710,000.00	0.03	$705,953.99	3.500	12/15/2027	MLM
Martin Marietta Materials Inc. 4.250 12/15/2047	680,000.00	0.03	$675,038.04	4.250	12/15/2047	MLM
MASCO CORP. 5.950 3/15/2022	304,000.00	0.01	$336,845.10	5.950	03/15/2022	MAS
MASTER REPURCHASE AGREEMENT 1.248 1/2/2018	13,166,955.56	0.66	$13,166,955.56	1.248	01/02/2018	0102KREPO
MBMOT 2016-AA A	915,000.00	0.04	$916,642.61	2.057	05/15/2020	MBMOT
MBMOT 2016-BA A	1,021,000.00	0.05	$1,028,453.81	2.177	05/17/2021	MBMOT
MCLO 2013-5A A1R	1,100,000.00	0.05	$1,099,440.10	2.311	11/21/2027	MCLO
MDPK 2014-13A AR	1,500,000.00	0.07	$1,499,509.50	2.467	01/19/2025	MDPK
Medicines Co. 2.750 7/15/2023	784,000.00	0.03	$720,790.00	2.750	07/15/2023	MDCO
Merck & Co. Inc. 1.796 5/18/2018	680,000.00	0.03	$680,578.00	1.796	05/18/2018	MRK
MetLife Capital Trust IV 7.875 12/15/2037	300,000.00	0.02	$401,250.00	7.875	12/15/2037	MET
MetLife Inc. 9.250 4/8/2038	1,100,000.00	0.08	$1,625,250.00	9.250	04/08/2038	MET
Metropolitan Life Global Funding I 3.450 12/18/2026	765,000.00	0.03	$786,807.86	3.450	12/18/2026	MET
Mexican Bonos 10.000 12/5/2024	19,178,000.00	0.05	$1,100,380.72	10.000	12/05/2024	MBONO
Mexican Bonos 5.750 3/5/2026	43,668,400.00	0.09	$1,965,405.58	5.750	03/05/2026	MBONO
MEXICAN BONOS 6.500 6/9/2022	82,842,000.00	0.20	$4,037,128.18	6.500	06/09/2022	MBONO
MEXICAN PESO	8,500,825.12	0.02	$432,336.94	0.000	-	PESOS
Mexichem SAB de CV 5.500 1/15/2048	915,000.00	0.04	$893,268.75	5.500	01/15/2048	MXCHF
Mexico Government International Bond 4.150 3/28/2027	200,000.00	0.01	$207,650.00	4.150	03/28/2027	MEX
Mexico Government International Bond 4.350 1/15/2047	800,000.00	0.03	$766,000.00	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	$71,680.32	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	$265,000.00	4.500	09/01/2026	MGMGPO
MGM Growth Properties Operating Partnership LP 3.430 5/1/2023	250,537.50	0.01	$251,835.03	3.583	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 SE 7.750 5/10/2024	520,000.00	0.02	$564,928.00	7.750	05/10/2024	MHPSA
Microchip Technology Inc. 1.625 2/15/2027	430,000.00	0.02	$506,056.25	1.625	02/15/2027	MCHP
Midcontinent Communications Midcontinent Finance Corp. 6.875 8/15/2023	355,000.00	0.01	$378,518.75	6.875	08/15/2023	MIDCON
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	$2,013,747.80	2.190	09/13/2021	MUFG
Mitsubishi UFJ Financial Group Inc. 2.623 9/13/2021	450,000.00	0.02	$456,623.46	2.623	09/13/2021	MUFG
MIZUHO BANK 2.450 4/16/2019	600,000.00	0.03	$600,505.32	2.450	04/16/2019	MIZUHO
MLMI 2004-A1 2A2	6,460.47	0.00	$6,452.31	3.178	02/25/2034	MLMI
MLMI 2006-FF1 M2	2,000,000.00	0.10	$1,998,868.00	1.842	08/25/2036	MLMI
Mohegan Gaming & Entertainment 5.200 10/13/2023	897,956.38	0.04	$906,374.72	5.333	10/13/2023	MOHEGN
Mohegan Gaming & Entertainment 7.875 10/15/2024	75,000.00	0.00	$77,156.25	7.875	10/15/2024	MOHEGN
Molson Coors Brewing Co. 3.000 7/15/2026	1,120,000.00	0.05	$1,097,978.22	3.000	07/15/2026	TAP
Molson Coors Brewing Co. 4.200 7/15/2046	830,000.00	0.04	$848,508.09	4.200	07/15/2046	TAP
Mongolia Government International Bond 5.625 5/1/2023	890,000.00	0.04	$900,177.15	5.625	05/01/2023	MONGOL
Morgan Stanley 2.500 4/21/2021	3,500,000.00	0.17	$3,495,454.55	2.500	04/21/2021	MS
Morgan Stanley 2.617 5/8/2024	875,000.00	0.04	$894,063.36	2.617	05/08/2024	MS
Morgan Stanley 3.125 8/5/2021	387,000.00	0.01	$312,943.53	3.125	08/05/2021	MS
Morgan Stanley 3.591 7/22/2028	1,615,000.00	0.08	$1,631,348.48	3.591	07/22/2028	MS
Morgan Stanley 3.950 4/23/2027	565,000.00	0.02	$574,694.84	3.950	04/23/2027	MS
Morgan Stanley 4.375 1/22/2047	1,870,000.00	0.10	$2,053,144.81	4.375	01/22/2047	MS
Morgan Stanley 5.000 11/24/2025	1,790,000.00	0.09	$1,961,437.25	5.000	11/24/2025	MS
Morgan Stanley 5.000 9/30/2021	359,000.00	0.01	$299,664.77	5.000	09/30/2021	MS
Morgan Stanley 5.550 12/29/2049	240,000.00	0.01	$249,600.00	0.000	12/29/2049	MS
MORGAN STANLEY DEAN WITTER 2.125 4/25/2018	3,450,000.00	0.17	$3,450,254.61	2.125	04/25/2018	MS
Mosaic Co. 4.050 11/15/2027	835,000.00	0.04	$838,601.52	4.050	11/15/2027	MOS
Mosaic Co. 5.625 11/15/2043	850,000.00	0.04	$918,319.35	5.625	11/15/2043	MOS
MP6 2014-2A AR	2,000,000.00	0.10	$2,012,218.00	2.559	01/15/2027	MP6
MP7 2015-1A A1R	2,500,000.00	0.12	$2,500,000.00	n/a	04/18/2027	MP7
MPH Acquisition Holdings LLC 4.000 6/7/2023	972,845.83	0.04	$975,961.85	4.333	06/07/2023	MLTPLN
MPH Acquisition Holdings LLC 7.125 6/1/2024	330,000.00	0.01	$352,275.00	7.125	06/01/2024	MLTPLN
MPLX LP 4.875 12/1/2024	1,615,000.00	0.08	$1,742,913.01	4.875	12/01/2024	MPLX
MSAC 2007-HE1 A2C	5,572,170.70	0.18	$3,704,325.59	1.702	11/25/2036	MSAC
MSAC 2007-HE5 A2D	3,727,025.71	0.10	$2,006,939.61	1.892	03/25/2037	MSAC
MSBAM 2014-C17 A5	795,000.00	0.04	$830,649.95	3.741	08/15/2047	MSBAM
MSBAM 2015-C23 A4	1,275,000.00	0.06	$1,332,300.16	3.719	07/15/2050	MSBAM
MSBAM 2015-C26 A5	820,000.00	0.04	$847,157.66	3.531	10/15/2048	MSBAM
MSBAM 2015-C27 ASB	2,200,000.00	0.11	$2,287,062.14	3.557	12/15/2047	MSBAM
MSBAM 2016-C29 A4	795,000.00	0.04	$807,959.14	3.325	05/15/2049	MSBAM
MSC 2011-C3 A4	855,000.00	0.04	$895,014.77	4.118	07/15/2049	MSC
MSC 2014-CPT AM	2,200,000.00	0.11	$2,241,295.76	3.402	07/13/2029	MSC
MSC 2016-BNK2 A4	2,066,000.00	0.10	$2,056,960.42	3.049	11/15/2049	MSC
MUNI ELEC AUTH OF GEORGIA 6.655 4/1/2057	1,800,000.00	0.11	$2,273,526.00	6.655	04/01/2057	MELPWR
Municipality Finance PLC 1.562 2/7/2020	485,000.00	0.02	$486,282.83	1.562	02/07/2020	KUNTA
Murphy Oil Corp. 6.875 8/15/2024	1,030,000.00	0.05	$1,102,100.00	6.875	08/15/2024	MUR
Murphy Oil USA Inc. 6.000 8/15/2023	895,000.00	0.04	$937,512.50	6.000	08/15/2023	MUSA
MXN USD FWD 20180124 0.000 1/24/2018	-1,891,000.00	-0.01	-$95,664.60	0.000	01/24/2018	MXC012418
MXN/USD BNP 01/12/18	3,079,632.00	0.00	$156,188.44	0.000	01/12/2018	MXUSI1128
MYR USD FWD 20180123 0.000 1/23/2018	-810,000.00	-0.02	-$199,110.79	0.000	01/23/2018	MYP012318
Myriad International Holdings BV 4.850 7/6/2027	570,000.00	0.02	$592,467.12	4.850	07/06/2027	NPNSJ
Myriad International Holdings BV 5.500 7/21/2025	315,000.00	0.01	$343,705.64	5.500	07/21/2025	NPNSJ
Nabors Industries Inc. 5.500 1/15/2023	262,000.00	0.01	$254,795.00	5.500	01/15/2023	NBR
NAROT 2016-C A2A	61,348.43	0.00	$61,303.82	1.070	05/15/2019	NAROT
National Rural Utilities Cooperative Finance Corp. 2.700 2/15/2023	1,215,000.00	0.06	$1,214,722.49	2.700	02/15/2023	NRUC
National Rural Utilities Cooperative Finance Corp. 4.750 4/30/2043	1,195,000.00	0.06	$1,256,876.87	4.750	04/30/2043	NRUC
National Rural Utilities Cooperative Finance Corp. 5.250 4/20/2046	865,000.00	0.04	$930,549.27	5.250	04/20/2046	NRUC
Nationwide Building Society 10.250 6/20/2166	625,000.00	0.06	$1,327,851.43	10.250	06/20/2166	NWIDE
Nationwide Building Society 4.125 10/18/2032	1,740,000.00	0.08	$1,743,557.43	4.125	10/18/2032	NWIDE
Nationwide Building Society 4.125 3/20/2023	300,000.00	0.01	$363,062.85	4.125	03/20/2023	NWIDE
NAVIENT CORP. 5.500 1/15/2019	2,500,000.00	0.12	$2,550,000.00	5.500	01/15/2019	NAVI
NAVMT 2016-1 A	525,000.00	0.02	$528,087.42	2.902	09/27/2021	NAVMT
NAVSL 2016-5A A	167,422.98	0.00	$170,981.10	2.802	06/25/2065	NAVSL
NBCUniversal Enterprise Inc. 2.044 4/15/2018	840,000.00	0.04	$841,403.64	2.044	04/15/2018	CMCSA
NCHET 2005-1 M2	233,599.48	0.01	$220,374.88	2.272	03/25/2035	NCHET
NCI Building Systems Inc. 8.250 1/15/2023	275,000.00	0.01	$291,843.75	8.250	01/15/2023	NCS
Nederlandse Waterschapsbank NV 1.608 3/15/2019	1,500,000.00	0.07	$1,499,892.90	1.608	03/15/2019	NEDWBK
Nederlandse Waterschapsbank NV 2.125 11/15/2021	275,000.00	0.01	$272,683.13	2.125	11/15/2021	NEDWBK
Neurocrine Biosciences Inc. 2.250 5/15/2024	636,000.00	0.04	$813,682.50	2.250	05/15/2024	NBIX
New England Power Co. 3.800 12/5/2047	870,000.00	0.04	$890,954.47	3.800	12/05/2047	NGGLN
New Jersey Transportation Trust Fund Authority 5.754 12/15/2028	1,590,000.00	0.09	$1,827,959.40	5.754	12/15/2028	NJSTRN
New Jersey Turnpike Authority 7.102 1/1/2041	495,000.00	0.03	$741,366.45	7.102	01/01/2041	NJSTRN
New Jersey Turnpike Authority 7.414 1/1/2040	240,000.00	0.01	$371,376.00	7.414	01/01/2040	NJSTRN
New Mountain Finance Corp. 5.000 6/15/2019	331,000.00	0.01	$340,723.13	5.000	06/15/2019	NMFC
New South Wales Treasury Corp. 4.000 5/20/2026	404,900.00	0.01	$343,516.59	4.000	05/20/2026	NSWTC
NEW TURKISH LIRA	2,266,339.87	0.03	$597,899.97	0.000	-	TURKYLIRA
New York and Presbyterian Hospital 4.063 8/1/2056	690,000.00	0.03	$726,111.84	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	$892,654.00	5.508	08/01/2037	NYCGEN
New York State Electric & Gas Corp. 3.250 12/1/2026	1,015,000.00	0.05	$1,024,186.05	3.250	12/01/2026	AGR
New York State Urban Development Corp. 5.770 3/15/2039	800,000.00	0.04	$979,720.00	5.770	03/15/2039	NYSDEV
NEW ZEALAND DOLLAR	302,570.70	0.01	$214,431.86	0.000	-	NEWZEALND
NEWFIELD EXPLORATION CO. 5.375 1/1/2026	50,000.00	0.00	$53,125.00	5.375	01/01/2026	NFX
Newfield Exploration Co. 5.750 1/30/2022	475,000.00	0.02	$509,437.50	5.750	01/30/2022	NFX
Newfoundland & Labrador Hydro 3.600 12/1/2045	100,000.00	0.00	$84,191.73	3.600	12/01/2045	NFLAB
Nexa Resources S.A. 5.375 5/4/2027	750,000.00	0.04	$796,875.00	5.375	05/04/2027	NEXA
Nexstar Broadcasting Inc. 5.625 8/1/2024	635,000.00	0.03	$657,225.00	5.625	08/01/2024	NXST
NextEra Energy Capital Holdings Inc. 2.700 9/15/2019	450,000.00	0.02	$452,886.08	2.700	09/15/2019	NEE
NextEra Energy Capital Holdings Inc. 3.550 5/1/2027	385,000.00	0.01	$392,824.55	3.550	05/01/2027	NEE
NextEra Energy Inc. 6.123 9/1/2019	5,664.00	0.01	$318,316.80	3.062	09/01/2019	NEE
NextEra Energy Inc. 6.371 9/1/2018	3,162.00	0.01	$220,011.96	3.186	09/01/2018	NEE
NGCLO 2014-1A A1R	1,500,000.00	0.07	$1,500,282.00	2.768	08/28/2026	NGCLO
Nielsen Co. Luxembourg SARL 5.000 2/1/2025	980,000.00	0.05	$1,019,200.00	5.000	02/01/2025	NLSN
Nigeria Government International Bond 7.625 11/28/2047	395,000.00	0.02	$424,914.93	7.625	11/28/2047	NGERIA
Nigeria Government International Bond 7.875 2/16/2032	1,000,000.00	0.05	$1,132,800.00	7.875	02/16/2032	NGERIA
Noble Energy Inc. 3.850 1/15/2028	2,020,000.00	0.10	$2,029,673.78	3.850	01/15/2028	NBL
Noble Energy Inc. 4.950 8/15/2047	155,000.00	0.00	$166,385.23	4.950	08/15/2047	NBL
Noble Energy Inc. 5.050 11/15/2044	500,000.00	0.02	$537,129.90	5.050	11/15/2044	NBL
NOK/USD BNP 01/12/18	11,778,146.35	0.07	$1,435,139.14	0.000	01/12/2018	NKUSI1128
Northern Trust Corp. 3.375 5/8/2032	330,000.00	0.01	$329,073.03	3.375	05/08/2032	NTRS
Northrop Grumman Corp. 3.250 1/15/2028	615,000.00	0.03	$617,017.26	3.250	01/15/2028	NOC
Northrop Grumman Corp. 4.030 10/15/2047	705,000.00	0.03	$739,294.16	4.030	10/15/2047	NOC
NORWEGIAN KRONE	3.83	n/a	$0.47	0.000	-	NOKKRONER
NOVA Chemicals Corp. 5.000 5/1/2025	526,000.00	0.02	$526,000.00	5.000	05/01/2025	NCX
NOVA Chemicals Corp. 5.250 6/1/2027	180,000.00	0.00	$180,000.00	5.250	06/01/2027	NCX
Novelis Corp. 6.250 8/15/2024	280,000.00	0.01	$294,000.00	6.250	08/15/2024	HNDLIN
Novellus Systems Inc. 2.625 5/15/2041	96,000.00	0.02	$528,720.00	2.625	05/15/2041	LRCX
Novolipetsk Steel via Steel Funding DAC 4.500 6/15/2023	595,000.00	0.03	$621,269.25	4.500	06/15/2023	NLMKRU
NRZT 2017-2A A3	432,257.02	0.02	$446,737.33	4.000	03/25/2057	NRZT
NRZT 2017-6A A1	279,368.53	0.01	$286,670.16	4.000	08/27/2057	NRZT
NuStar Logistics LP 5.625 4/28/2027	285,000.00	0.01	$290,700.00	5.625	04/28/2027	NSUS
NUVEEN FINANCE LLC 2.950 11/1/2019	1,130,000.00	0.05	$1,141,178.98	2.950	11/01/2019	TIAAGL
NUVEEN FINANCE LLC 4.125 11/1/2024	1,460,000.00	0.07	$1,542,779.52	4.125	11/01/2024	TIAAGL
NV Energy Inc. 6.250 11/15/2020	935,000.00	0.05	$1,027,458.60	6.250	11/15/2020	BRKHEC
NXP BV NXP Funding LLC 4.625 6/1/2023	575,000.00	0.03	$602,887.50	4.625	06/01/2023	NXPI
NXP Semiconductors NV 1.000 12/1/2019	371,000.00	0.02	$459,344.38	1.000	12/01/2019	NXPI
NZD/USD BOA 01/12/18	-4,123,058.53	-0.15	-$2,921,475.52	0.000	01/12/2018	NZUSF1128
OAKC 2014-10A AR	1,000,000.00	0.05	$1,004,954.00	2.493	07/20/2026	OAKC
OAKCL 2014-1A A1R	250,000.00	0.01	$252,588.50	2.703	05/13/2029	OAKCL
OASIS PETROLEUM INC. 6.500 11/1/2021	260,000.00	0.01	$266,175.00	6.500	11/01/2021	OAS
Oasis Petroleum Inc. 6.875 3/15/2022	40,000.00	0.00	$41,150.00	6.875	03/15/2022	OAS
OCP 2015-10A A1R	3,200,000.00	0.16	$3,205,977.60	2.191	10/26/2027	OCP
OCP 2015-9A A1R	2,100,000.00	0.10	$2,100,743.40	2.159	07/15/2027	OCP
OCP 2017-13A A1A	1,000,000.00	0.05	$1,005,871.00	0.000	07/15/2030	OCP
OCP S.A. 4.500 10/22/2025	980,000.00	0.04	$983,228.12	4.500	10/22/2025	OCPMR
OCP S.A. 6.875 4/25/2044	210,000.00	0.01	$241,571.40	6.875	04/25/2044	OCPMR
OCT19 2014-1A AR	1,000,000.00	0.05	$1,003,299.00	2.459	04/15/2026	OCT19
OFSBS 2014-7A AR	2,100,000.00	0.10	$2,110,997.70	2.254	10/18/2026	OFSBS
Olin Corp. 5.125 9/15/2027	360,000.00	0.01	$379,800.00	5.125	09/15/2027	OLN
ON Semiconductor Corp. 1.000 12/1/2020	295,000.00	0.01	$377,968.75	1.000	12/01/2020	ON
ON Semiconductor Corp. 3.508 3/31/2023	328,857.44	0.01	$330,810.20	3.508	03/31/2023	ON
ONEOK Inc. 4.950 7/13/2047	560,000.00	0.02	$584,384.30	4.950	07/13/2047	OKE
ONEOK Inc. 7.500 9/1/2023	1,485,000.00	0.08	$1,770,966.45	7.500	09/01/2023	OKE
OOMLT 2005-1 M1	2,155,252.23	0.10	$2,015,467.31	2.332	02/25/2035	OOMLT
OOMLT 2007-4 2A4	7,016,463.70	0.22	$4,415,571.47	1.862	04/25/2037	OOMLT
OPMAC 2006-1 2A1	532,097.88	0.02	$534,239.10	5.750	04/25/2036	OPMAC
Oracle Corp. 1.859 10/8/2019	940,000.00	0.04	$947,610.71	1.859	10/08/2019	ORCL
Oracle Corp. 3.800 11/15/2037	1,585,000.00	0.08	$1,665,792.21	3.800	11/15/2037	ORCL
Oracle Corp. 4.000 11/15/2047	1,260,000.00	0.06	$1,343,983.16	4.000	11/15/2047	ORCL
Owens-Brockway Glass Container Inc. 5.875 8/15/2023	600,000.00	0.03	$647,625.00	5.875	08/15/2023	OI
OZLM 2014-9A A1R	1,800,000.00	0.09	$1,809,187.20	2.583	01/20/2027	OZLM
PACCAR Financial Corp. 2.108 12/6/2018	835,000.00	0.04	$838,884.42	2.108	12/06/2018	PCAR
Pacira Pharmaceuticals Inc. DE 2.375 4/1/2022	894,000.00	0.04	$938,700.00	2.375	04/01/2022	PCRX
Panda Hummel 7.000 10/26/2022	315,000.00	0.01	$299,250.00	7.333	10/26/2022	PANTMP
Panda Stonewall LLC 6.500 11/13/2021	589,522.50	0.02	$571,836.83	6.833	11/13/2021	GRESTO
Parker-Hannifin Corp. 3.300 11/21/2024	65,000.00	0.00	$66,598.56	3.300	11/21/2024	PH
PDC Energy Inc. 1.125 9/15/2021	833,000.00	0.04	$814,778.13	1.125	09/15/2021	PDCE
Pedernales Electric Cooperative Inc. 6.202 11/15/2032	620,000.00	0.03	$698,918.81	6.202	11/15/2032	PEDELC
Penn National Gaming Inc. 3.250 1/13/2024	193,212.50	0.00	$194,259.13	3.833	01/13/2024	PENN
Penn National Gaming Inc. 5.625 1/15/2027	930,000.00	0.04	$967,200.00	5.625	01/15/2027	PENN
Pennsylvania Electric Co. 5.200 4/1/2020	280,000.00	0.01	$295,670.54	5.200	04/01/2020	FE
Penske Automotive Group Inc. 5.500 5/15/2026	490,000.00	0.02	$498,428.00	5.500	05/15/2026	PAG
Penske Truck Leasing Co. Lp PTL Finance Corp. 2.700 3/14/2023	695,000.00	0.03	$683,638.70	2.700	03/14/2023	PENSKE
Penske Truck Leasing Co. Lp PTL Finance Corp. 3.300 4/1/2021	1,230,000.00	0.06	$1,253,583.65	3.300	04/01/2021	PENSKE
Penske Truck Leasing Co. Lp PTL Finance Corp. 3.400 11/15/2026	140,000.00	0.00	$138,456.51	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	$2,639,230.08	4.200	04/01/2027	PENSKE
Pernod Ricard S.A. 4.450 1/15/2022	1,665,000.00	0.08	$1,770,045.02	4.450	01/15/2022	RIFP
Pertamina Persero PT 4.300 5/20/2023	475,000.00	0.02	$497,567.25	4.300	05/20/2023	PERTIJ
Pertamina Persero PT 4.875 5/3/2022	525,000.00	0.02	$559,213.20	4.875	05/03/2022	PERTIJ
Pertamina Persero PT 5.625 5/20/2043	255,000.00	0.01	$277,925.52	5.625	05/20/2043	PERTIJ
Perusahaan Gas Negara Persero Tbk 5.125 5/16/2024	615,000.00	0.03	$661,632.99	5.125	05/16/2024	PGASIJ
Perusahaan Listrik Negara PT 4.125 5/15/2027	500,000.00	0.02	$501,978.30	4.125	05/15/2027	PLNIJ
Perusahaan Listrik Negara PT 5.250 5/15/2047	410,000.00	0.02	$428,015.69	5.250	05/15/2047	PLNIJ
Petrobras Global Finance BV 5.299 1/27/2025	520,000.00	0.02	$522,210.00	5.299	01/27/2025	PETBRA
Petrobras Global Finance BV 5.999 1/27/2028	2,816,000.00	0.14	$2,826,560.00	5.999	01/27/2028	PETBRA
Petrobras Global Finance BV 6.125 1/17/2022	500,000.00	0.02	$531,875.00	6.125	01/17/2022	PETBRA
Petrobras Global Finance BV 6.750 1/27/2041	985,000.00	0.04	$987,323.32	6.750	01/27/2041	PETBRA
PETROBRAS GLOBAL FINANCE BV 6.850 6/5/2115	1,700,000.00	0.08	$1,642,625.00	6.850	06/05/2115	PETBRA
PETROBRAS GLOBAL FINANCE BV 7.250 3/17/2044	1,040,000.00	0.05	$1,084,200.00	7.250	03/17/2044	PETBRA
Petrobras Global Finance BV 7.375 1/17/2027	385,000.00	0.02	$424,655.00	7.375	01/17/2027	PETBRA
PETROLEO GLOBAL TRADING BV TL 3.451 2/19/2020	800,000.00	0.04	$796,000.00	3.451	02/19/2020	BLZ03GGW9
PETROLEOS MEXICANOS 3.125 1/23/2019	200,000.00	0.01	$201,500.00	3.125	01/23/2019	PEMEX
Petroleos Mexicanos 5.186 3/11/2022	110,000.00	0.00	$121,054.23	5.186	03/11/2022	PEMEX
Petroleos Mexicanos 6.500 3/13/2027	390,000.00	0.02	$426,757.50	6.500	03/13/2027	PEMEX
Petroleos Mexicanos 6.750 9/21/2047	305,000.00	0.01	$319,136.75	6.750	09/21/2047	PEMEX
Petroleos Mexicanos 6.750 9/21/2047	155,000.00	0.00	$162,184.25	6.750	09/21/2047	PEMEX
Petroleos Mexicanos 9.250 3/30/2018	1,000,000.00	0.05	$1,019,879.70	9.750	03/30/2018	PEMEX
Pfizer Inc. 1.888 6/15/2018	754,000.00	0.03	$754,918.90	1.888	06/15/2018	PFE
Pfizer Inc. 3.000 12/15/2026	1,105,000.00	0.05	$1,112,642.07	3.000	12/15/2026	PFE
PFSFC 2017-C A	685,000.00	0.03	$683,901.95	1.947	10/15/2021	PFSFC
PharMerica Corp. 4.833 9/26/2024	655,000.00	0.03	$659,011.88	4.833	09/26/2024	PMC
PharMerica Corp. 9.083 9/26/2025	345,000.00	0.01	$348,450.00	9.083	09/26/2025	PMC
PHEAA 2006-2 A3	673,982.43	0.03	$664,492.76	1.497	10/25/2036	PHEAA
Phosagro OAO via Phosagro Bond Funding DAC 3.950 11/3/2021	955,000.00	0.04	$963,943.58	3.950	11/03/2021	PHORRU
PLN/USD JPM 01/12/18	-1,265,105.22	-0.02	-$363,441.72	0.000	01/12/2018	PZUSJ1128
PNC Bank NA 1.874 7/27/2022	1,000,000.00	0.05	$1,003,184.10	1.874	07/27/2022	PNC
PNC Bank NA 2.450 11/5/2020	250,000.00	0.01	$250,456.13	2.450	11/05/2020	PNC
PNC Bank NA 3.100 10/25/2027	745,000.00	0.03	$743,780.14	3.100	10/25/2027	PNC
PNC Bank NA 6.875 4/1/2018	1,415,000.00	0.07	$1,432,088.67	6.875	04/01/2018	PNC
PNC Financial Services Group Inc. 5.000 12/29/2049	1,100,000.00	0.05	$1,166,000.00	5.000	12/29/2049	PNC
POLISH ZLOTY	875.17	n/a	$251.41	0.000	-	POLZLOTY
PolyOne Corp. 5.250 3/15/2023	530,000.00	0.02	$560,475.00	5.250	03/15/2023	POL
Popular Inc. 7.000 7/1/2019	645,000.00	0.03	$674,025.00	7.000	07/01/2019	BPOP
Post Holdings Inc. 5.000 8/15/2026	825,000.00	0.04	$813,656.25	5.000	08/15/2026	POST
Post Holdings Inc. 5.750 3/1/2027	105,000.00	0.00	$107,100.00	5.750	03/01/2027	POST
PQ Corp. 4.559 11/4/2022	1,546,388.44	0.07	$1,561,127.07	4.583	11/04/2022	PQCOR
PQ Corp. 6.750 11/15/2022	70,000.00	0.00	$74,987.50	6.750	11/15/2022	PQCOR
Precision Drilling Corp. 7.125 1/15/2026	165,000.00	0.00	$168,712.50	7.125	01/15/2026	PDCN
Precision Drilling Corp. 7.750 12/15/2023	235,000.00	0.01	$247,925.00	7.750	12/15/2023	PDCN
Priceline Group Inc. 0.350 6/15/2020	460,000.00	0.03	$635,375.00	0.350	06/15/2020	PCLN
Prime Security Services Borrower LLC Prime Finance Inc. 9.250 5/15/2023	745,000.00	0.04	$828,812.50	9.250	05/15/2023	PRSESE
Progressive Corp. 4.125 4/15/2047	780,000.00	0.04	$843,763.28	4.125	04/15/2047	PGR
PROS Holdings Inc. 2.000 12/1/2019	661,000.00	0.03	$695,289.38	2.000	12/01/2019	PRO
Province of New Brunswick Canada 2.500 12/12/2022	300,000.00	0.01	$299,156.67	2.500	12/12/2022	NBRNS
Province of Ontario Canada 2.600 6/2/2027	203,000.00	0.00	$161,326.05	2.600	06/02/2027	ONT
Province of Ontario Canada 3.450 6/2/2045	551,000.00	0.02	$479,795.19	3.450	06/02/2045	ONT
Province of Quebec Canada 1.650 3/3/2022	419,000.00	0.01	$327,050.00	1.650	03/03/2022	Q
Province of Quebec Canada 2.750 4/12/2027	1,805,000.00	0.09	$1,791,709.42	2.750	04/12/2027	Q
Province of Quebec Canada 6.000 10/1/2029	155,000.00	0.00	$163,576.17	6.000	10/01/2029	Q
Provincia de Buenos Aires Argentina 7.875 6/15/2027	630,000.00	0.03	$700,761.60	7.875	06/15/2027	BUENOS
Provincia de Cordoba 7.125 6/10/2021	395,000.00	0.02	$427,571.70	7.125	06/10/2021	PDCAR
Provincia de Cordoba 7.125 8/1/2027	675,000.00	0.03	$718,031.25	7.125	08/01/2027	PDCAR
Prudential Financial Inc. 5.375 5/15/2045	765,000.00	0.04	$821,610.00	5.375	05/15/2045	PRU
Public Service Co. of New Hampshire 3.500 11/1/2023	635,000.00	0.03	$655,335.30	3.500	11/01/2023	ES
Public Service Co. of Oklahoma 5.150 12/1/2019	645,000.00	0.03	$675,654.66	5.150	12/01/2019	AEP
Puget Energy Inc. 6.500 12/15/2020	3,800,000.00	0.21	$4,209,167.66	6.500	12/15/2020	PSD
PulteGroup Inc. 5.000 1/15/2027	430,000.00	0.02	$450,962.50	5.000	01/15/2027	PHM
QEP Resources Inc. 5.250 5/1/2023	565,000.00	0.02	$574,525.90	5.250	05/01/2023	QEP
QNB Finance Ltd. 2.125 2/14/2018	300,000.00	0.01	$299,907.00	2.125	02/14/2018	QNBK
Queensland Treasury Corp. 2.750 8/20/2027	446,000.00	0.01	$338,042.42	2.750	08/20/2027	QTC
Queensland Treasury Corp. 3.250 7/21/2028	495,000.00	0.01	$389,697.83	3.250	07/21/2028	QTC
Quintiles IMS Inc. 5.000 10/15/2026	610,000.00	0.03	$627,537.50	5.000	10/15/2026	RX
Quotient Technology Inc. 1.750 12/1/2022	304,000.00	0.01	$297,540.00	1.750	12/01/2022	QUOT
RAAC 2005-SP2 2A	532,149.37	0.02	$468,133.50	1.852	06/25/2044	RAAC
Radiate Holdco LLC Radiate Finance Inc. 6.625 2/15/2025	80,000.00	0.00	$75,800.00	6.625	02/15/2025	RADIAT
Radiate Holdco LLC 3.750 2/1/2024	1,369,650.00	0.06	$1,361,089.69	4.333	02/01/2024	RADIAT
Raizen Fuels Finance S.A. 5.300 1/20/2027	885,000.00	0.04	$928,188.00	5.300	01/20/2027	RAIZBZ
RAMP 2006-RZ5 A2	56,178.26	0.00	$56,159.04	1.732	08/25/2046	RAMP
RAMP 2007-RZ1 A2	488,075.56	0.02	$483,844.04	1.712	02/25/2037	RAMP
Regency Centers LP 3.600 2/1/2027	815,000.00	0.04	$817,081.75	3.600	02/01/2027	REG
Regency Energy Partners LP Regency Energy Finance Corp. 5.750 9/1/2020	400,000.00	0.02	$425,931.40	5.750	09/01/2020	ETP
Regions Bank Birmingham AL 2.250 9/14/2018	345,000.00	0.01	$345,427.14	2.250	09/14/2018	RF
Regions Financial Corp. 2.750 8/14/2022	430,000.00	0.02	$429,052.32	2.750	08/14/2022	RF
Republic of Angola 8.024 12/16/2023	1,387,500.00	0.06	$1,288,640.63	6.250	12/16/2023	ANGOL
Republic of Poland Government Bond 3.250 7/25/2025	1,087,000.00	0.01	$315,128.36	3.250	07/25/2025	POLGB
Republic of South Africa Government Bond 8.750 1/31/2044	41,433,000.00	0.15	$3,018,773.72	8.750	01/31/2044	SAGB
Republic of South Africa Government International Bond 5.875 5/30/2022	750,000.00	0.04	$821,004.00	5.875	05/30/2022	SOAF
Republic Services Inc. 3.375 11/15/2027	325,000.00	0.01	$328,000.50	3.375	11/15/2027	RSG
REPURCHASE AGREEMENT 1.510 1/3/2018	71,400,000.00	3.58	$71,400,000.00	-4.529	01/03/2018	UTRA4S9I0
REPURCHASE AGREEMENT 1.670 1/2/2018	71,500,000.00	3.59	$71,500,000.00	1.252	01/02/2018	UTRA4S6V4
Reynolds American Inc. 4.000 6/12/2022	900,000.00	0.04	$941,184.90	4.000	06/12/2022	BATSLN
RFMSI 2004-S9 2A1	41,027.85	0.00	$41,095.75	4.750	12/25/2019	RFMSI
RFTI 2015-FL1 A	752,294.87	0.03	$753,498.24	3.227	08/15/2030	RFTI
Ring Container Technologies Group LLC 4.083 9/29/2024	440,000.00	0.02	$441,375.00	4.083	09/29/2024	RNGCON
Rio Oil Finance Trust Series 2014-1 9.250 7/6/2024	177,102.88	0.00	$192,156.63	9.250	07/06/2024	RIOOIL
RISE 2014-1 A	1,810,130.40	0.09	$1,830,494.37	4.750	02/15/2039	RISE
Rite Aid Corp. 0.000 8/3/2020	475,500.00	0.02	$477,580.31	6.083	08/03/2020	RAD
Rockies Express Pipeline LLC 6.850 7/15/2018	500,000.00	0.02	$511,250.00	6.850	07/15/2018	ROCKIE
Rockwell Collins Inc. 3.200 3/15/2024	530,000.00	0.02	$534,681.01	3.200	03/15/2024	COL
ROYAL BANK OF CANADA 2.300 3/22/2021	2,300,000.00	0.11	$2,287,200.73	2.300	03/22/2021	RY
Royal Bank of Canada 2.750 2/1/2022	185,000.00	0.00	$187,397.36	2.750	02/01/2022	RY
ROYAL BANK OF CANADA BK ACCEPTANCE 18 0.000 1/11/2018	2,100,000.00	0.08	$1,669,875.89	1.260	01/11/2018	780088NC0
Royal Bank of Scotland Group PLC 2.886 5/15/2023	390,000.00	0.01	$394,512.92	2.886	05/15/2023	RBS
Royal Bank of Scotland Group PLC 3.498 5/15/2023	500,000.00	0.02	$501,532.25	3.498	05/15/2023	RBS
Royal Bank of Scotland Group PLC 3.875 9/12/2023	690,000.00	0.03	$702,472.92	3.875	09/12/2023	RBS
Royal Bank of Scotland Group PLC 8.625 12/29/2049	4,970,000.00	0.28	$5,609,887.50	8.625	12/29/2049	RBS
ROYAL BK CANADA 0.000 1/18/2018	2,000,000.00	0.07	$1,589,896.58	1.298	01/18/2018	780088NK2
ROYAL BK CANADA 0.000 1/22/2018	1,600,000.00	0.06	$1,271,739.06	1.308	01/22/2018	780088NP1
Royal Caribbean Cruises Ltd. 3.700 3/15/2028	1,505,000.00	0.07	$1,494,018.32	3.700	03/15/2028	RCL
RPM International Inc. 2.250 12/15/2020	235,000.00	0.01	$272,453.13	2.250	12/15/2020	RPM
Russell Investments US Institutional Holdco Inc. 5.586 6/1/2023	2,053,510.33	0.10	$2,073,532.06	5.586	06/01/2023	RUSINV
Russian Foreign Bond - Eurobond 4.750 5/27/2026	600,000.00	0.03	$637,127.40	4.750	05/27/2026	RUSSIA
SABINE PASS LIQUEFACTION LL 6.250 3/15/2022	400,000.00	0.02	$445,397.24	6.250	03/15/2022	CQP
Sabine Pass Liquefaction LLC 5.750 5/15/2024	6,950,000.00	0.38	$7,733,363.69	5.750	05/15/2024	SPLLLC
Sabine Pass Liquefaction LLC 5.875 6/30/2026	1,815,000.00	0.10	$2,041,905.86	5.875	06/30/2026	SPLLLC
Sable International Finance Ltd. 3.500 1/19/2025	265,000.00	0.01	$265,662.50	4.833	01/19/2025	CWCLN
SAIL 2003-BC2 M1	15,777.50	0.00	$15,458.59	2.932	04/25/2033	SAIL
SAMI 2005-AR5 A2	447,799.51	0.02	$437,717.26	1.745	07/19/2035	SAMI
SANTANDER HOLDINGS USA 2.700 5/24/2019	2,100,000.00	0.10	$2,105,078.85	2.700	05/24/2019	SOV
Santander UK Group Holdings PLC 3.823 11/3/2028	1,275,000.00	0.06	$1,280,177.01	3.823	11/03/2028	SANUK
Santander UK Group Holdings PLC 7.375 6/24/2022	2,200,000.00	0.16	$3,279,467.09	7.375	06/24/2022	SANUK
Santander UK PLC 1.685 11/3/2020	1,000,000.00	0.05	$1,000,282.90	1.680	11/03/2020	SANUK
Santander UK PLC 2.312 8/24/2018	730,000.00	0.03	$732,885.18	2.312	08/24/2018	SANUK
SANTANDER UK PLC 5.000 11/7/2023	1,540,000.00	0.08	$1,649,344.62	5.000	11/07/2023	SANUK
Sarepta Therapeutics Inc. 1.500 11/15/2024	87,000.00	0.00	$93,198.75	1.500	11/15/2024	SRPT
SARM 2006-1 7A4	546,467.90	0.02	$483,016.64	3.330	02/25/2036	SARM
SASC 2006-BC1 A6	1,800,000.00	0.07	$1,491,359.40	1.822	03/25/2036	SASC
Saudi Government International Bond 2.375 10/26/2021	200,000.00	0.00	$195,346.00	2.375	10/26/2021	KSA
Saudi Government International Bond 2.875 3/4/2023	3,569,000.00	0.17	$3,513,734.04	2.875	03/04/2023	KSA
Saudi Government International Bond 3.250 10/26/2026	1,000,000.00	0.04	$982,457.00	3.250	10/26/2026	KSA
Saudi Government International Bond 4.500 10/26/2046	800,000.00	0.04	$800,360.00	4.500	10/26/2046	KSA
SBA Communications Corp. 4.875 9/1/2024	525,000.00	0.02	$540,750.00	4.875	09/01/2024	SBAC
SBA Tower Trust 2.240 4/10/2018	735,000.00	0.03	$735,145.38	2.240	04/10/2018	SBAC
SBA Tower Trust 2.898 10/8/2019	600,000.00	0.03	$601,425.12	2.898	10/08/2019	SBAC
SCFT 2016-AA A	3,037,151.26	0.15	$3,055,986.76	3.050	04/25/2029	SCFT
Schaeffler Finance BV 4.750 5/15/2023	200,000.00	0.01	$204,500.00	4.750	05/15/2023	SHAEFF
Scientific Games International Inc. 10.000 12/1/2022	575,000.00	0.03	$633,218.75	10.000	12/01/2022	SGMS
Scientific Games International Inc. 4.811 8/14/2024	1,730,662.52	0.08	$1,747,969.15	4.583	08/14/2024	SGMS
Scientific Games International Inc. 5.000 10/15/2025	195,000.00	0.00	$195,975.00	5.000	10/15/2025	SGMS
SCLP 2017-3 A	1,698,805.75	0.08	$1,699,421.91	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	13,892,648.61	0.69	$13,892,648.61	0.000	-	SECCASHAC
SECURITIZED NET CASH - CSH1 0.050 12/15/2038	-336,817,453.97	-16.94	-$336,817,453.97	0.000	-	US-CASH
SECURITIZED NET CASH - LT	-5,916,163.12	-0.30	-$5,916,163.12	0.000	-	SECNCAHUS
SEK/USD JPM 01/12/18	813,406.54	0.00	$99,245.26	0.000	01/12/2018	SKUSJ1128
Sempra Energy 2.038 3/15/2021	2,050,000.00	0.10	$2,054,106.77	2.038	03/15/2021	SRE
SEMT 2004-5 A3	226,343.32	0.01	$217,334.34	2.192	06/20/2034	SEMT
SEMT 2007-1 4A1	702,610.37	0.02	$583,612.62	3.559	09/20/2046	SEMT
SEMT 2015-1 B2	367,979.85	0.01	$367,445.21	3.874	01/25/2045	SEMT
SEMT 2017-4 A1	364,384.30	0.01	$370,680.13	3.500	07/25/2047	SEMT
Service Corp. International US 4.625 12/15/2027	355,000.00	0.01	$361,077.60	4.625	12/15/2027	SCI
ServiceMaster Co. LLC 5.125 11/15/2024	460,000.00	0.02	$466,900.00	5.125	11/15/2024	SERV
SFR Group S.A. 3.000 6/22/2025	1,407,925.00	0.06	$1,349,848.10	4.083	06/22/2025	SFRFP
SFR Group S.A. 4.349 1/6/2026	638,641.00	0.03	$617,618.85	4.349	01/06/2026	SFRFP
SFR Group S.A. 6.250 5/15/2024	790,000.00	0.03	$794,937.50	6.250	05/15/2024	SFRFP
SGD/USD FWD 20180314	-9,478,080.00	-0.36	-$7,094,875.76	0.000	03/14/2018	SGA031418
Shell International Finance BV 1.863 5/11/2020	595,000.00	0.03	$600,651.01	1.863	05/11/2020	RDSALN
Shell International Finance BV 4.375 5/11/2045	151,000.00	0.00	$170,046.07	4.375	05/11/2045	RDSALN
Shire Acquisitions Investments Ireland DAC 2.400 9/23/2021	1,620,000.00	0.08	$1,595,739.21	2.400	09/23/2021	SHPLN
Shire Acquisitions Investments Ireland DAC 2.875 9/23/2023	1,385,000.00	0.06	$1,363,121.29	2.875	09/23/2023	SHPLN
Siemens Financieringsmaatschappij NV 1.742 5/25/2018	610,000.00	0.03	$610,415.04	1.742	05/25/2018	SIEGR
Sinclair Television Group Inc. 2.250 1/31/2024	2,613,600.00	0.13	$2,617,507.33	3.583	01/31/2024	SBGI
Sinclair Television Group Inc. 2.500 12/12/2024	715,000.00	0.03	$715,218.79	2.500	12/12/2024	SBGI
Sinclair Television Group Inc. 5.125 2/15/2027	615,000.00	0.03	$612,693.75	5.125	02/15/2027	SBGI
SINGAPORE DOLLAR	257.31	n/a	$192.39	0.000	-	SINGDOLL
Sirius XM Radio Inc. 5.000 8/1/2027	500,000.00	0.02	$503,750.00	5.000	08/01/2027	SIRI
Sirius XM Radio Inc. 5.375 4/15/2025	1,147,000.00	0.06	$1,197,181.25	5.375	04/15/2025	SIRI
SLMA 2003-11 A6	391,240.35	0.01	$392,906.21	2.138	12/15/2025	SLMA
SLMA 2008-9 A	1,940,839.16	0.09	$1,986,000.35	2.867	04/25/2023	SLMA
SLMA 2012-5 A2	31,308.78	0.00	$31,312.79	1.628	06/25/2019	SLMA
SMBC Aviation Capital Finance DAC 3.000 7/15/2022	400,000.00	0.01	$396,488.44	3.000	07/15/2022	SMBCAC
SNDPT 2013-2A A1R	271,530.17	0.01	$272,098.75	2.349	07/15/2025	SNDPT
SNDPT 2015-1A AR	3,200,000.00	0.16	$3,198,400.00	2.219	04/15/2027	83609EAU4
Societe Generale S.A. 4.250 4/14/2025	3,600,000.00	0.18	$3,677,371.20	4.250	04/14/2025	SOCGEN
SOFI 2016-F A2	541,964.28	0.02	$540,246.42	3.020	02/25/2040	SOFI
SolarCity Corp. 1.625 11/1/2019	648,000.00	0.03	$603,045.00	1.625	11/01/2019	SCTY
Solera LLC Solera Finance Inc. 10.500 3/1/2024	50,000.00	0.00	$56,499.00	10.500	03/01/2024	SLH
SOUTH AFRICA RAND	4,134,537.01	0.01	$334,171.51	0.000	-	ZAR
South Carolina Public Service Authority 4.770 12/1/2045	290,000.00	0.01	$315,238.70	4.770	12/01/2045	SCSUTL
SOUTH KOREA WON	21,070,496.00	0.00	$19,681.94	0.000	-	SKOREAWON
SOUTHERN CO. 2.950 7/1/2023	500,000.00	0.02	$500,798.25	2.950	07/01/2023	SO
Southern Co. 3.250 7/1/2026	950,000.00	0.04	$933,148.05	3.250	07/01/2026	SO
Southern Gas Corridor CJSC 6.875 3/24/2026	600,000.00	0.03	$683,213.40	6.875	03/24/2026	SGCAZE
Southern Power Co. 2.175 12/20/2020	1,700,000.00	0.08	$1,703,813.95	2.175	12/20/2020	SO
Southwestern Electric Power Co. 6.450 1/15/2019	690,000.00	0.03	$718,461.40	6.450	01/15/2019	AEP
Southwestern Energy Co. 4.100 3/15/2022	220,000.00	0.01	$217,250.00	4.100	03/15/2022	SWN
Southwestern Energy Co. 6.700 1/23/2025	95,000.00	0.00	$99,156.25	6.700	01/23/2025	SWN
Spain Government Bond 4.500 1/31/2018	7,400,000.00	0.44	$8,911,209.16	4.500	01/31/2018	SPGB
SPCM S.A. 4.875 9/15/2025	550,000.00	0.02	$556,187.50	4.875	09/15/2025	SNFF
Spectra Energy Partners LP 2.195 6/5/2020	500,000.00	0.02	$503,921.25	2.195	06/05/2020	SEP
Spectrum Pharmaceuticals Inc. 2.750 12/15/2018	98,000.00	0.00	$182,341.25	2.750	12/15/2018	SPPI
Spirit Realty Capital Inc. 3.750 5/15/2021	525,000.00	0.02	$545,018.25	3.750	05/15/2021	SRC
SPRINGLEAF FINANCE CORP. 8.250 12/15/2020	2,500,000.00	0.13	$2,756,250.00	8.250	12/15/2020	AMGFIN
Sprint Capital Corp. 6.900 5/1/2019	900,000.00	0.04	$943,875.00	6.900	05/01/2019	S
Sprint Communications Inc. 3.250 2/2/2024	150,337.17	0.00	$150,446.77	3.833	02/02/2024	S
Sprint Communications Inc. 7.000 8/15/2020	260,000.00	0.01	$276,250.00	7.000	08/15/2020	S
Sprint Corp. 7.125 6/15/2024	300,000.00	0.01	$306,000.00	7.125	06/15/2024	S
Sprint Corp. 7.875 9/15/2023	628,000.00	0.03	$670,390.00	7.875	09/15/2023	S
SRANC 2014-2A A1AR	250,000.00	0.01	$249,872.00	n/a	11/20/2029	SRANC
Sri Lanka Government International Bond 6.200 5/11/2027	580,000.00	0.03	$613,477.02	6.200	05/11/2027	SRILAN
Sri Lanka Government International Bond 6.825 7/18/2026	510,000.00	0.02	$562,436.16	6.825	07/18/2026	SRILAN
STACR 2016-DNA3 M1	82,070.21	0.00	$82,192.25	2.652	12/25/2028	STACR
STACR 2017-DNA1 M2	750,000.00	0.04	$803,733.68	4.802	07/25/2029	STACR
STACR 2017-DNA3 M2	315,000.00	0.01	$326,244.68	4.052	03/25/2030	STACR
STACR 2017-HQA3 M2	790,000.00	0.04	$808,774.35	3.902	04/25/2030	STACR
Standard Chartered PLC 2.566 8/19/2019	3,200,000.00	0.16	$3,237,333.44	2.566	08/19/2019	STANLN
Standard Industries Inc. NJ 5.000 2/15/2027	985,000.00	0.05	$1,009,625.00	5.000	02/15/2027	BMCAUS
StandardAero Aviation Holdings Inc. 10.000 7/15/2023	30,000.00	0.00	$33,000.00	10.000	07/15/2023	DAEAVI
StandardAero Aviation Holdings Inc. 5.440 7/7/2022	610,636.08	0.03	$615,215.85	5.083	07/07/2022	DAEAVI
STANI 2014-1A AR	1,500,000.00	0.07	$1,505,775.00	2.768	06/15/2025	STANI
Staples Inc. 5.314 9/12/2024	260,000.00	0.01	$254,897.50	5.314	09/12/2024	SPLS
Stars Group Holdings BV 4.500 8/1/2021	1,404,565.14	0.07	$1,414,134.44	4.833	08/01/2021	TSGICN
Stars Group Holdings BV 8.000 7/29/2022	74,642.86	0.00	$75,062.73	8.333	07/29/2022	TSGICN
Starwood Property Trust Inc. 4.750 3/15/2025	200,000.00	0.01	$199,000.00	4.750	03/15/2025	STWD
State Bank of India London 2.297 4/6/2020	900,000.00	0.04	$902,340.00	2.297	04/06/2020	SBIIN
State of California 2.141 4/1/2047	1,250,000.00	0.06	$1,262,112.50	2.141	04/01/2047	CAS
State of California 7.550 4/1/2039	715,000.00	0.05	$1,128,005.45	7.550	04/01/2039	CAS
State of Oregon 5.892 6/1/2027	65,000.00	0.00	$78,277.55	5.892	06/01/2027	ORS
State Street Corp. 2.653 5/15/2023	45,000.00	0.00	$45,035.03	2.653	05/15/2023	STT
State Street Corp. 3.100 5/15/2023	525,000.00	0.02	$529,868.48	3.100	05/15/2023	STT
State Street Corp. 3.300 12/16/2024	875,000.00	0.04	$904,403.41	3.300	12/16/2024	STT
Statoil ASA 1.857 11/8/2018	835,000.00	0.04	$837,237.05	1.857	11/08/2018	STLNO
STCR 2017-1A A	250,000.00	0.01	$249,868.75	n/a	01/15/2030	STCR
Steel Dynamics Inc. 5.000 12/15/2026	875,000.00	0.04	$927,500.00	5.000	12/15/2026	STLD
SUAM Finance BV 4.875 4/17/2024	655,000.00	0.03	$698,393.75	4.875	04/17/2024	SUAMSA
Sumitomo Mitsui Financial Group Inc. 3.216 3/9/2021	2,300,000.00	0.11	$2,379,597.25	3.216	03/09/2021	SUMIBK
Summit Materials LLC Summit Materials Finance Corp. 5.125 6/1/2025	230,000.00	0.01	$235,175.00	5.125	06/01/2025	SUMMAT
Summit Materials LLC Summit Materials Finance Corp. 6.125 7/15/2023	70,000.00	0.00	$73,150.00	6.125	07/15/2023	SUMMAT
Summit Materials LLC Summit Materials Finance Corp. 8.500 4/15/2022	30,000.00	0.00	$33,375.00	8.500	04/15/2022	SUMMAT
Summit Materials LLC 3.663 11/10/2024	735,000.00	0.03	$740,053.13	3.663	11/10/2024	SUMMAT
Summit Midstream Holdings LLC Summit Midstream Finance Corp. 5.750 4/15/2025	425,000.00	0.02	$430,690.75	5.750	04/15/2025	SUMMPL
Summit Midstream Partners Holdings LLC 7.000 5/16/2022	483,000.00	0.02	$491,452.50	7.333	05/16/2022	SUMMPL
SunTrust Bank Atlanta GA 2.450 8/1/2022	1,160,000.00	0.05	$1,144,894.36	2.450	08/01/2022	STI
SunTrust Bank Atlanta GA 3.300 5/15/2026	540,000.00	0.02	$535,638.85	3.300	05/15/2026	STI
SunTrust Banks Inc. 2.700 1/27/2022	1,105,000.00	0.05	$1,105,889.75	2.700	01/27/2022	STI
SunTrust Banks Inc. 5.050 12/31/2049	280,000.00	0.01	$284,200.00	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	159,600.00	0.00	$158,070.56	4.583	06/20/2024	SURCEN
Suzano Austria GmbH 7.000 3/16/2047	805,000.00	0.04	$925,750.00	7.000	03/16/2047	SUZANO
SVB Financial Group 3.500 1/29/2025	2,205,000.00	0.11	$2,213,206.57	3.500	01/29/2025	SIVB
SVHE 2006-WF2 A1	366,663.27	0.01	$365,489.40	1.682	12/25/2036	SVHE
SWEDISH KRONA	0.44	n/a	$0.05	0.000	-	SWKRONOR
Symantec Corp. 4.200 9/15/2020	2,000,000.00	0.10	$2,065,000.00	4.200	09/15/2020	SYMC
Symantec Corp. 5.000 4/15/2025	530,000.00	0.02	$552,525.00	5.000	04/15/2025	SYMC
Synaptics Inc. 0.500 6/15/2022	418,000.00	0.01	$386,650.00	0.500	06/15/2022	SYNA
Synchronoss Technologies Inc. 0.750 8/15/2019	303,000.00	0.01	$273,268.13	0.750	08/15/2019	SNCR
Synchrony Financial 2.615 2/3/2020	500,000.00	0.02	$507,190.75	2.615	02/03/2020	SYF
T-Mobile USA Inc. 6.375 3/1/2025	50,000.00	0.00	$53,625.00	6.375	03/01/2025	TMUS
T-Mobile USA Inc. 6.500 1/15/2026	760,000.00	0.04	$831,250.00	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	$700,400.00	5.375	02/01/2027	NGLS
Team Health Holdings Inc. 3.750 1/12/2024	331,491.14	0.01	$323,618.23	4.083	01/12/2024	TMH
Team Inc. 5.000 8/1/2023	129,000.00	0.00	$131,015.63	5.000	08/01/2023	TISI
Tecpetrol S.A. 4.875 12/12/2022	1,340,000.00	0.06	$1,346,030.00	4.875	12/12/2022	TECPET
Telecom Italia SpA Milano 5.303 5/30/2024	400,000.00	0.02	$428,500.00	5.303	05/30/2024	TITIM
Teleflex Inc. 4.625 11/15/2027	305,000.00	0.01	$308,751.50	4.625	11/15/2027	TFX
Telefonica Emisiones SAU 5.213 3/8/2047	540,000.00	0.03	$614,705.27	5.213	03/08/2047	TELEFO
Telenet Financing USD LLC 3.970 3/31/2026	370,000.00	0.01	$371,618.75	3.978	03/31/2026	TNETBB
Temasek Financial I Ltd. 2.375 1/23/2023	560,000.00	0.02	$553,986.72	2.375	01/23/2023	TEMASE
Tempur Sealy International Inc. 5.500 6/15/2026	450,000.00	0.02	$462,465.00	5.500	06/15/2026	TPX
Tenet Healthcare Corp. 5.125 5/1/2025	1,105,000.00	0.05	$1,081,518.75	5.125	05/01/2025	THC
Tengizchevroil Finance Co. International Ltd. 4.000 8/15/2026	785,000.00	0.03	$789,513.75	4.000	08/15/2026	TENGIZ
Texas Water Development Board 5.000 10/15/2045	255,000.00	0.01	$299,038.50	5.000	10/15/2045	TXSWTR
Texas Water Development Board 5.000 10/15/2046	665,000.00	0.03	$784,999.25	5.000	10/15/2046	TXSWTR
Textron Inc. 1.960 11/10/2020	1,900,000.00	0.09	$1,900,254.03	1.947	11/10/2020	TXT
Thermo Fisher Scientific Inc. 3.000 4/15/2023	1,980,000.00	0.10	$1,994,270.26	3.000	04/15/2023	TMO
THRON 2013-1 A	1,189,093.02	0.08	$1,612,288.36	1.813	07/20/2044	THRON
TIA 2017-1A A	1,040,000.00	0.05	$1,045,954.00	2.643	04/20/2029	TIA
TICP 2017-9A A	400,000.00	0.02	$400,000.00	n/a	01/20/2031	TICP
Time Warner Cable LLC 6.750 7/1/2018	1,500,000.00	0.07	$1,533,387.00	6.750	07/01/2018	TWC
Time Warner Cable LLC 7.300 7/1/2038	2,165,000.00	0.13	$2,719,900.54	7.300	07/01/2038	TWC
Time Warner Entertainment Co. LP 8.375 3/15/2023	1,415,000.00	0.08	$1,719,630.26	8.375	03/15/2023	TWC
TKC Holdings Inc. 4.750 1/13/2023	82,964.38	0.00	$83,716.20	5.583	01/13/2023	TKCHOL
Toronto-Dominion Bank 1.928 4/30/2018	835,000.00	0.04	$836,307.36	1.928	04/30/2018	TD
Toronto-Dominion Bank 2.500 12/14/2020	690,000.00	0.03	$692,446.95	2.500	12/14/2020	TD
Toyota Motor Credit Corp. 2.800 7/13/2022	420,000.00	0.02	$425,180.66	2.800	07/13/2022	TOYOTA
TPMT 2017-1 A1	357,782.46	0.01	$357,283.57	2.750	10/25/2056	TPMT
TPMT 2017-2 A1	196,434.92	0.00	$196,258.48	2.750	04/25/2057	TPMT
TPMT 2017-4 M1	615,000.00	0.03	$602,863.04	3.250	06/25/2057	TPMT
Trans-Allegheny Interstate Line Co. 3.850 6/1/2025	525,000.00	0.02	$545,326.79	3.850	06/01/2025	FE
Transcanada Trust 5.300 3/15/2077	555,000.00	0.02	$573,384.38	5.300	03/15/2077	TRPCN
Transcanada Trust 5.875 8/15/2076	560,000.00	0.03	$607,600.00	5.875	08/15/2076	TRPCN
TransDigm Inc. 4.258 6/9/2023	701,381.57	0.03	$703,428.90	4.258	06/09/2023	TDG
TransDigm Inc. 6.375 6/15/2026	350,000.00	0.01	$355,687.50	6.375	06/15/2026	TDG
Transnet SOC Ltd. 4.000 7/26/2022	575,000.00	0.02	$564,333.75	4.000	07/26/2022	SAFTRA
Transocean Inc. 9.000 7/15/2023	70,000.00	0.00	$75,950.00	9.000	07/15/2023	RIG
Transocean Proteus Ltd. 6.250 12/1/2024	292,500.00	0.01	$307,856.25	6.250	12/01/2024	RIG
Tribune Media Co. 3.750 1/27/2024	413,162.12	0.02	$414,195.02	4.333	01/27/2024	TRCO
Tribune Media Co. 3.750 12/27/2020	33,149.16	0.00	$33,259.65	4.333	12/27/2020	TRCO
Tribune Media Co. 5.875 7/15/2022	313,000.00	0.01	$323,172.50	5.875	07/15/2022	TRCO
Trust F 1401 5.250 1/30/2026	745,000.00	0.03	$787,837.50	5.250	01/30/2026	FUNOTR
Turkey Government Bond 11.100 5/15/2019	12,706,000.00	0.16	$3,264,240.28	11.100	05/15/2019	TURKGB
Turkey Government International Bond 3.250 3/23/2023	1,000,000.00	0.04	$949,595.00	3.250	03/23/2023	TURKEY
Turkey Government International Bond 5.750 5/11/2047	200,000.00	0.00	$195,344.60	5.750	05/11/2047	TURKEY
Turkiye Garanti Bankasi AS 5.250 9/13/2022	355,000.00	0.01	$362,898.75	5.250	09/13/2022	GARAN
Turkiye Garanti Bankasi AS 6.250 4/20/2021	590,000.00	0.03	$624,883.75	6.250	04/20/2021	GARAN
Turkiye Is Bankasi 7.000 6/29/2028	560,000.00	0.02	$561,788.08	7.000	06/29/2028	ISCTR
TWD/USD FWD 20180314	-186,760,561.00	-0.32	-$6,349,700.33	0.000	03/14/2018	TWC031418
Tyson Foods Inc. 2.650 8/15/2019	1,500,000.00	0.07	$1,507,644.90	2.650	08/15/2019	TSN
UBS AG 4.750 5/22/2023	1,300,000.00	0.06	$1,311,592.10	4.750	05/22/2023	UBS
UBS AG 5.125 5/15/2024	200,000.00	0.01	$211,512.00	5.125	05/15/2024	UBS
UBS AG London 1.835 12/7/2018	2,000,000.00	0.10	$2,002,478.00	1.835	12/07/2018	UBS
UBS AG London 2.103 6/8/2020	2,000,000.00	0.10	$2,009,902.00	2.103	06/08/2020	UBS
UBS AG Stamford CT 7.625 8/17/2022	500,000.00	0.02	$585,350.00	7.625	08/17/2022	UBS
UBS Group AG 6.875 12/29/2049	555,000.00	0.03	$615,531.08	6.875	12/29/2049	UBS
UBS Group Funding Switzerland AG 2.859 8/15/2023	820,000.00	0.04	$811,388.28	2.859	08/15/2023	UBS
UBS Group Funding Switzerland AG 3.000 4/15/2021	2,705,000.00	0.13	$2,725,847.71	3.000	04/15/2021	UBS
UBS Group Funding Switzerland AG 3.139 4/14/2021	400,000.00	0.02	$415,282.76	3.139	04/14/2021	UBS
UBS Group Funding Switzerland AG 3.491 5/23/2023	1,145,000.00	0.05	$1,164,255.01	3.491	05/23/2023	UBS
UBS Group Funding Switzerland AG 4.125 4/15/2026	845,000.00	0.04	$887,349.71	4.125	04/15/2026	UBS
UBS Group Funding Switzerland AG 4.125 9/24/2025	870,000.00	0.04	$913,708.63	4.125	09/24/2025	UBS
UBS Group Funding Switzerland AG 4.253 3/23/2028	715,000.00	0.03	$754,615.15	4.253	03/23/2028	UBS
UBSCM 2012-C1 A3	1,458,938.25	0.07	$1,496,494.82	3.400	05/10/2045	UBSCM
Ukraine Government International Bond 7.375 9/25/2032	1,800,000.00	0.08	$1,773,079.20	7.375	09/25/2032	UKRAIN
Ukraine Government International Bond 7.750 9/1/2026	900,000.00	0.04	$931,464.00	7.750	09/01/2026	UKRAIN
Union Electric Co. 2.950 6/15/2027	900,000.00	0.04	$892,428.75	2.950	06/15/2027	AEE
United Airlines 2014-1 Class A Pass Through Trust 4.000 4/11/2026	301,105.57	0.01	$316,193.97	4.000	04/11/2026	UAL
United Airlines 2014-2 Class A Pass Through Trust 3.750 9/3/2026	575,443.45	0.03	$596,965.04	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	$555,416.25	3.100	07/07/2028	UAL
United Continental Holdings Inc. 4.250 10/1/2022	380,000.00	0.01	$381,425.00	4.250	10/01/2022	UAL
United Kingdom Gilt 1.750 9/7/2022	100,000.00	0.00	$141,434.96	1.750	09/07/2022	UKT
United Kingdom Gilt 3.500 1/22/2045	138,800.00	0.01	$256,060.73	3.500	01/22/2045	UKT
United Kingdom Treasury Bill 0.000 1/29/2018	14,900,000.00	1.01	$20,113,794.95	0.080	01/29/2018	UKTB
United Parcel Service Inc. 3.050 11/15/2027	1,135,000.00	0.05	$1,136,171.77	3.050	11/15/2027	UPS
United Parcel Service Inc. 5.125 4/1/2019	2,210,000.00	0.11	$2,292,408.47	5.125	04/01/2019	UPS
United Rentals North America Inc. 5.500 5/15/2027	1,430,000.00	0.07	$1,508,650.00	5.500	05/15/2027	URI
United States Cash Management Bill 0.000 1/2/2018	5,881,684.48	0.29	$5,881,684.48	1.001	01/02/2018	CMB
United States Treasury Bill 0.000 1/11/2018	2,365,872.75	0.11	$2,365,179.30	1.060	01/11/2018	B
United States Treasury Floating Rate Note 1.498 10/31/2019	1,200,000.00	0.06	$1,200,375.36	1.408	10/31/2019	TF
United States Treasury Inflation Indexed Bonds 0.125 4/15/2019	1,263,216.00	0.06	$1,260,781.02	0.125	04/15/2019	TII
United States Treasury Inflation Indexed Bonds 0.125 4/15/2022	9,468,117.10	0.47	$9,406,420.01	0.125	04/15/2022	TII
United States Treasury Inflation Indexed Bonds 0.125 7/15/2026	20,580.80	0.00	$20,130.77	0.125	07/15/2026	TII
United States Treasury Inflation Indexed Bonds 0.250 1/15/2025	9,164,408.00	0.45	$9,091,366.75	0.250	01/15/2025	TII
United States Treasury Inflation Indexed Bonds 0.375 7/15/2027	8,671,896.00	0.43	$8,634,649.34	0.375	07/15/2027	TII
United States Treasury Inflation Indexed Bonds 0.625 1/15/2026	8,408,529.00	0.42	$8,551,806.97	0.625	01/15/2026	TII
United States Treasury Inflation Indexed Bonds 1.750 1/15/2028	14,270,209.20	0.80	$16,060,461.17	1.750	01/15/2028	TII
United States Treasury Inflation Indexed Bonds 2.375 1/15/2025	8,898,344.00	0.51	$10,148,580.02	2.375	01/15/2025	TII
United States Treasury Inflation Indexed Bonds 2.375 1/15/2027	1,590,082.00	0.09	$1,862,155.21	2.375	01/15/2027	TII
United States Treasury Inflation Indexed Bonds 2.500 1/15/2029	34,466.10	0.00	$41,865.49	2.500	01/15/2029	TII
United States Treasury Note Bond 1.125 8/31/2021	13,800,000.00	0.67	$13,332,273.84	1.125	08/31/2021	T
United States Treasury Note Bond 1.500 10/31/2019	42,700,000.00	2.13	$42,406,317.94	1.500	10/31/2019	T
United States Treasury Note Bond 1.500 8/31/2018	3,400,000.00	0.17	$3,396,171.60	1.500	08/31/2018	T
United States Treasury Note Bond 1.875 7/31/2022	39,700,000.00	1.96	$39,163,113.08	1.875	07/31/2022	T
United States Treasury Note Bond 2.000 10/31/2022	40,000.00	0.00	$39,651.89	2.000	10/31/2022	T
United States Treasury Note Bond 2.000 11/30/2022	10,100,000.00	0.50	$10,007,834.47	2.000	11/30/2022	T
United States Treasury Note Bond 2.000 6/30/2024	7,700,000.00	0.37	$7,552,074.53	2.000	06/30/2024	T
United States Treasury Note Bond 2.125 11/30/2024	9,400,000.00	0.46	$9,275,649.28	2.125	11/30/2024	T
United States Treasury Note Bond 2.250 8/15/2027	745,000.00	0.03	$734,407.96	2.250	08/15/2027	T
United States Treasury Note Bond 2.375 5/15/2027	12,600,000.00	0.63	$12,562,186.14	2.375	05/15/2027	T
United States Treasury Note Bond 2.500 2/15/2045	37,100,000.00	1.77	$35,337,186.08	2.500	02/15/2045	T
United States Treasury Note Bond 2.750 11/15/2047	2,020,000.00	0.10	$2,021,355.42	2.750	11/15/2047	T
United States Treasury Note Bond 2.750 2/15/2024	4,000,000.00	0.20	$4,104,821.20	2.750	02/15/2024	T
United States Treasury Note Bond 2.750 8/15/2047	10,460,000.00	0.52	$10,463,562.68	2.750	08/15/2047	T
United States Treasury Note Bond 2.875 8/15/2045	16,700,000.00	0.86	$17,112,389.80	2.875	08/15/2045	T
United States Treasury Note Bond 4.375 5/15/2040	100,000.00	0.00	$128,856.06	4.375	05/15/2040	T
United Technologies Corp. 2.800 5/4/2024	720,000.00	0.03	$715,145.98	2.800	05/04/2024	UTX
United Technologies Corp. 3.750 11/1/2046	875,000.00	0.04	$877,830.98	3.750	11/01/2046	UTX
Uniti Group LP 4.000 10/24/2022	186,575.99	0.00	$180,254.80	4.333	10/24/2022	UNIT
Unitymedia Finance LLC 3.612 1/20/2026	295,000.00	0.01	$294,876.99	3.613	01/20/2026	UNITY
Unitymedia GmbH 6.125 1/15/2025	340,000.00	0.01	$360,400.00	6.125	01/15/2025	UNITY
Univar USA Inc. 4.008 7/1/2024	48,882.18	0.00	$49,126.59	4.008	07/01/2024	UNIVAR
UNIVERSAL HEALTH SERVICES 3.750 8/1/2019	1,400,000.00	0.07	$1,428,000.00	3.750	08/01/2019	UHS
Universal Health Services Inc. 5.000 6/1/2026	210,000.00	0.01	$217,612.50	5.000	06/01/2026	UHS
Univision Communications Inc. 3.750 3/15/2024	935,050.52	0.04	$933,355.27	4.083	03/15/2024	UVN
UPC Financing Partnership 3.859 1/15/2026	290,000.00	0.01	$290,208.52	3.859	01/15/2026	UPCB
UPCB Finance IV Ltd. 5.375 1/15/2025	488,000.00	0.02	$493,807.20	5.375	01/15/2025	UPCB
Uruguay Government International Bond 8.500 3/15/2028	22,248,000.00	0.03	$777,052.66	8.500	03/15/2028	URUGUA
Uruguay Government International Bond 9.875 6/20/2022	66,970,000.00	0.12	$2,470,553.86	9.875	06/20/2022	URUGUA
US 10YR FUT OPTN Mar18P 113.5 0.000 2/23/2018	892.00	0.00	$0.00	0.000	02/23/2018	TYH8P1135
US 10YR NOTE (CBT)Mar18	931.00	5.80	$115,487,645.28	0.000	03/20/2018	TYH8
US 5YR NOTE (CBT) MAR18	2,281.00	13.32	$264,970,220.86	0.000	03/29/2018	FVH8
US Airways 2012-2 Class A Pass Through Trust 4.625 6/3/2025	500,043.29	0.02	$532,021.06	4.625	06/03/2025	AAL
US Bancorp 2.375 7/22/2026	1,700,000.00	0.08	$1,601,973.92	2.375	07/22/2026	USB
US Bancorp 2.625 1/24/2022	1,435,000.00	0.07	$1,443,886.96	2.625	01/24/2022	USB
US Bancorp 3.150 4/27/2027	1,940,000.00	0.09	$1,945,321.23	3.150	04/27/2027	USB
US Bancorp 3.600 9/11/2024	1,275,000.00	0.06	$1,321,676.48	3.600	09/11/2024	USB
US Concrete Inc. 6.375 6/1/2024	600,000.00	0.03	$646,500.00	6.375	06/01/2024	USCR
US LONG BOND(CBT) MAR18	144.00	1.10	$22,032,000.00	0.000	03/20/2018	USH8
US TREASURY BONDS 2.750 11/15/2042	1,400,000.00	0.07	$1,407,826.98	2.750	11/15/2042	US/T
US TREASURY BONDS 2.750 8/15/2042	900,000.00	0.04	$905,564.07	2.750	08/15/2042	US/T
US TREASURY BONDS 2.875 5/15/2043	2,200,000.00	0.11	$2,260,283.30	2.875	05/15/2043	US/T
US TREASURY NOTES 2.000 10/31/2021	1,600,000.00	0.08	$1,593,274.08	2.000	10/31/2021	US/T
US TREASURY NOTES 2.000 5/31/2024	25,200,000.00	1.24	$24,727,759.56	2.000	05/31/2024	US/T
US ULTRA BOND CBT Mar18	-12.00	-0.11	-$2,011,875.00	0.000	03/21/2018	WNH8
USB Capital IX 3.500 10/29/2049	1,820,000.00	0.08	$1,649,375.00	3.500	10/29/2049	USB
USB Realty Corp. 2.506 12/22/2049	500,000.00	0.02	$451,875.00	0.000	12/22/2049	USB
USD CALL CNH PUT 0.000 1/19/2018	2,168,000.00	n/a	$178.86	0.000	01/19/2018	USCN5711C
USD CALL KRW PUT 0.000 1/22/2018	2,357,000.00	n/a	$761.67	0.000	01/22/2018	USKR6762C
USD CALL KRW PUT 0.000 1/31/2018	2,393,000.00	n/a	$1,691.35	0.000	01/31/2018	USKR3741C
USD CALL MXN PUT 0.000 1/17/2018	2,388,000.00	0.00	$40,368.88	0.000	01/17/2018	USMX2614P
USD CALL MXN PUT 0.000 2/12/2018	1,201,000.00	0.00	$30,939.68	0.000	02/12/2018	USMX1838C
USD CALL SGD PUT 0.000 1/19/2018	2,648,000.00	n/a	$238.24	0.000	01/19/2018	USSG5741C
USI Inc. NY 3.000 5/16/2024	2,004,975.00	0.10	$2,006,645.14	4.333	05/16/2024	COMINV
USIC Holdings Inc. 4.500 12/9/2023	1,019,700.00	0.05	$1,024,798.50	4.833	12/09/2023	USICHO
USIS Merger Sub Inc. 6.875 5/1/2025	200,000.00	0.01	$202,500.00	6.875	05/01/2025	COMINV
USS Ultimate Holdings Inc. 9.059 8/10/2025	110,000.00	0.00	$111,375.00	9.083	08/10/2025	UNSTSV
Utz Quality Foods LLC 4.916 11/14/2024	330,000.00	0.01	$333,402.96	4.916	11/14/2024	UTZQFD
Vale Overseas Ltd. 4.375 1/11/2022	230,000.00	0.01	$238,395.00	4.375	01/11/2022	VALEBZ
Valeant Pharmaceuticals International Inc. 5.008 4/1/2022	133,549.37	0.00	$135,695.64	5.008	04/01/2022	VRXCN
VC GB Holdings Inc. 9.000 2/23/2025	252,000.00	0.01	$254,835.00	9.333	02/23/2025	GENBRD
Vector Group Ltd. 1.750 4/15/2020	466,000.00	0.02	$539,103.75	1.750	04/15/2020	VGR
Vector Group Ltd. 2.500 1/15/2019	537,000.00	0.04	$852,823.13	2.500	01/15/2019	VGR
Vedanta Resources PLC 6.125 8/9/2024	365,000.00	0.01	$373,343.90	6.125	08/09/2024	VEDLN
Vedanta Resources PLC 6.375 7/30/2022	455,000.00	0.02	$476,066.50	6.375	07/30/2022	VEDLN
VENTR 2014-17A AR	400,000.00	0.02	$399,860.40	2.439	07/15/2026	VENTR
VENTR 2015-20A AR	2,000,000.00	0.10	$2,000,000.00	n/a	04/23/2027	VENTR
VENTR 2016-24A A1D	1,115,000.00	0.05	$1,119,520.21	2.783	10/20/2028	VENTR
VENTR 2016-25A A1	490,000.00	0.02	$493,795.54	2.853	04/20/2029	VENTR
VENTR 2017-28A A2	2,100,000.00	0.10	$2,106,640.20	2.716	07/20/2030	VENTR
VEON Holdings BV 4.950 6/16/2024	510,000.00	0.02	$518,415.00	4.950	06/16/2024	VIP
VEON Holdings BV 5.950 2/13/2023	925,000.00	0.05	$996,687.50	5.950	02/13/2023	VIP
VEREIT Inc. 3.750 12/15/2020	690,000.00	0.03	$709,840.95	3.750	12/15/2020	VER
Verint Systems Inc. 1.500 6/1/2021	785,000.00	0.03	$766,356.25	1.500	06/01/2021	VRNT
Verizon Communications Inc. 2.600 3/16/2022	2,800,000.00	0.14	$2,856,822.36	2.600	03/16/2022	VZ
Verizon Communications Inc. 2.946 3/15/2022	1,981,000.00	0.10	$1,994,784.99	2.946	03/15/2022	VZ
Verizon Communications Inc. 3.125 3/16/2022	1,600,000.00	0.08	$1,623,645.12	3.125	03/16/2022	VZ
Verizon Communications Inc. 3.250 2/17/2026	323,000.00	0.02	$445,570.73	3.250	02/17/2026	VZ
Verizon Communications Inc. 3.324 9/14/2018	250,000.00	0.01	$252,770.58	3.324	09/14/2018	VZ
Verizon Communications Inc. 3.376 2/15/2025	2,691,000.00	0.13	$2,704,785.72	3.376	02/15/2025	VZ
Verizon Communications Inc. 4.125 3/16/2027	1,500,000.00	0.07	$1,566,623.55	4.125	03/16/2027	VZ
Verizon Communications Inc. 4.500 8/10/2033	845,000.00	0.04	$888,203.24	4.500	08/10/2033	VZ
Verizon Communications Inc. 4.500 8/17/2027	900,000.00	0.03	$714,829.94	4.500	08/17/2027	VZ
VICI Properties 1 LLC 3.863 12/15/2024	60,000.00	0.00	$60,106.26	3.863	12/15/2024	VICI
Virgin Media Bristol LLC 3.910 1/31/2026	315,000.00	0.01	$315,393.75	3.910	01/31/2026	VMED
Virgin Media Secured Finance PLC 5.250 1/15/2026	790,000.00	0.04	$800,862.50	5.250	01/15/2026	VMED
Volkswagen Financial Services NV 2.375 11/13/2018	800,000.00	0.05	$1,094,417.55	2.375	11/13/2018	VW
VOLT 2015-NP14 A1	75,629.62	0.00	$75,798.95	4.375	11/27/2045	VOLT
VOLT 2017-NP10 A1	500,000.00	0.02	$499,210.95	3.000	10/25/2047	VOLT
VOLT 2017-NPL5 A1	284,281.08	0.01	$284,698.60	3.375	05/27/2047	VOLT
VOLT 2017-NPL6 A1	67,080.74	0.00	$67,244.42	3.250	05/25/2047	VOLT
VOLT 2017-NPL7 A1	202,908.31	0.01	$203,256.44	3.250	04/25/2059	VOLT
VOLT 2017-NPL8 A1	70,213.83	0.00	$70,240.87	3.125	06/25/2047	VOLT
VOYA 2014-3A A1R	1,100,000.00	0.05	$1,099,450.00	n/a	07/25/2026	VOYA
VTR Finance BV 6.875 1/15/2024	855,000.00	0.04	$904,162.50	6.875	01/15/2024	LBTYA
VZOT 2016-2A A	680,000.00	0.03	$675,343.97	1.680	05/20/2021	VZOT
Waha Aerospace BV 3.925 7/28/2020	630,000.00	0.03	$641,267.55	3.925	07/28/2020	ADWA
WAMU 2005-AR16 1A3	526,571.61	0.02	$512,941.78	3.363	12/25/2035	WAMU
WAMU 2007-HY1 3A3	276,505.03	0.01	$264,684.88	3.229	02/25/2037	WAMU
WAMU 2007-HY7 4A1	576,936.09	0.02	$535,486.17	3.380	07/25/2037	WAMU
Waste Management Inc. 3.150 11/15/2027	900,000.00	0.04	$901,107.18	3.150	11/15/2027	WM
WATSON PHARMACEUTICALS INC. 3.250 10/1/2022	300,000.00	0.01	$301,198.47	3.250	10/01/2022	AGN
WEA FINANCE LLC WESTFIELD 3.250 10/5/2020	1,800,000.00	0.09	$1,832,561.28	3.250	10/05/2020	WFDAU
Wells Fargo & Co. 2.343 2/11/2022	200,000.00	0.01	$202,584.92	2.343	02/11/2022	WFC
Wells Fargo & Co. 2.550 12/7/2020	2,800,000.00	0.14	$2,812,311.32	2.550	12/07/2020	WFC
Wells Fargo & Co. 2.610 10/31/2023	1,440,000.00	0.07	$1,479,285.36	2.610	10/31/2023	WFC
Wells Fargo & Co. 3.000 7/27/2021	979,000.00	0.03	$763,614.20	3.000	07/27/2021	WFC
Wells Fargo & Co. 3.500 9/12/2029	196,000.00	0.01	$298,015.31	3.500	09/12/2029	WFC
Wells Fargo & Co. 7.500 12/31/2049	325.00	0.02	$425,746.75	75.000	12/31/2049	WFC
Welltower Inc. 6.500 12/31/2049	7,547.00	0.02	$451,838.89	3.250	12/31/2049	HCN
WEN 2018-1A A2I	480,000.00	0.02	$479,850.24	3.573	03/15/2048	WEN
Western Digital Corp. 3.422 4/29/2023	300,965.71	0.01	$302,533.14	3.422	04/29/2023	WDC
Westlake Chemical Corp. 4.375 11/15/2047	355,000.00	0.01	$369,875.71	4.375	11/15/2047	WLK
Westpac Banking Corp. New Zealand 5.000 12/29/2049	280,000.00	0.01	$279,484.60	5.000	12/29/2049	WSTP
WestRock Co. 3.000 9/15/2024	480,000.00	0.02	$476,349.31	3.000	09/15/2024	WRK
WestRock Co. 3.375 9/15/2027	430,000.00	0.02	$427,729.08	3.375	09/15/2027	WRK
WFCM 2014-LC18 A5	275,000.00	0.01	$281,533.51	3.405	12/15/2047	WFCM
WFCM 2015-C30 XA	6,387,904.01	0.01	$357,334.88	0.958	09/15/2058	WFCM
WFCM 2015-NXS3 A4	510,000.00	0.02	$529,159.43	3.617	09/15/2057	WFCM
WFCM 2016-BNK1 A3	1,220,000.00	0.05	$1,181,191.07	2.652	08/15/2049	WFCM
WFCM 2017-C38 A5	905,000.00	0.04	$924,788.73	3.453	07/15/2050	WFCM
WFCM 2017-RB1 XA	8,508,844.78	0.03	$788,845.64	1.285	03/15/2050	WFCM
WFMBS 2005-AR16 2A1	138,457.36	0.00	$141,720.98	3.542	02/25/2034	WFMBS
WFMBS 2006-2 3A1	65,859.08	0.00	$65,898.94	5.750	03/25/2036	WFMBS
WFMBS 2006-3 A11	87,317.63	0.00	$89,306.74	5.500	03/25/2036	WFMBS
WFMBS 2006-6 1A3	40,073.91	0.00	$40,147.74	5.750	05/25/2036	WFMBS
WFMBS 2006-AR11 A6	551,895.28	0.02	$527,039.35	3.484	08/25/2036	WFMBS
WFMBS 2006-AR17 A1	317,221.15	0.01	$309,556.42	3.631	10/25/2036	WFMBS
WFMBS 2006-AR5 2A1	49,648.93	0.00	$46,901.91	3.325	04/25/2036	WFMBS
WFMBS 2007-10 1A36	233,899.07	0.01	$232,754.13	6.000	07/25/2037	WFMBS
WideOpenWest Finance LLC 4.564 8/6/2023	754,814.98	0.03	$747,031.33	4.583	08/06/2023	WOWFIN
WildHorse Resource Development Corp. 6.875 2/1/2025	80,000.00	0.00	$82,000.00	6.875	02/01/2025	WRD
Windstream Services LLC 4.750 3/30/2021	215,318.34	0.01	$202,802.96	5.333	03/30/2021	WIN
Wink Holdco Inc. 8.135 11/2/2025	845,000.00	0.04	$855,562.50	8.134	11/02/2025	SUPVIS
Wisconsin Electric Power Co. 4.300 12/15/2045	555,000.00	0.03	$614,590.85	4.300	12/15/2045	WEC
WITEH 2012-1A A1R	2,111,755.27	0.10	$2,110,678.27	2.581	02/03/2025	WITEH
WITEH 2014-9A AR	400,000.00	0.02	$401,879.20	2.513	07/17/2026	WITEH
WMALT 2005-1 5A2	28,064.88	0.00	$7,654.94	6.000	03/25/2035	WMALT
WOLVERINE WORLD WIDE INC. 5.000 9/1/2026	400,000.00	0.02	$400,000.00	5.000	09/01/2026	WWW
WOODS 2017-15A A	3,000,000.00	0.15	$3,019,341.00	2.925	06/20/2029	WOODS
Woodside Finance Ltd. 3.650 3/5/2025	485,000.00	0.02	$488,573.72	3.650	03/05/2025	WPLAU
Woodside Finance Ltd. 3.700 9/15/2026	400,000.00	0.02	$402,333.80	3.700	09/15/2026	WPLAU
Woodside Finance Ltd. 4.600 5/10/2021	400,000.00	0.02	$419,123.52	4.600	05/10/2021	WPLAU
Woodside Finance Ltd. 8.750 3/1/2019	1,125,000.00	0.06	$1,204,525.47	8.750	03/01/2019	WPLAU
Woori Bank 4.750 4/30/2024	800,000.00	0.04	$839,989.60	4.750	04/30/2024	WOORIB
WP Carey Inc. 4.600 4/1/2024	695,000.00	0.03	$726,846.29	4.600	04/01/2024	WPC
WR Grace & Co-Conn 5.625 10/1/2024	508,000.00	0.02	$549,910.00	5.625	10/01/2024	GRA
Wyndham Worldwide Corp. 4.150 4/1/2024	255,000.00	0.01	$256,483.79	4.150	04/01/2024	WYN
XLIT Ltd. 3.817 12/29/2049	510,000.00	0.02	$457,980.00	3.817	12/29/2049	XL
XLIT Ltd. 5.500 3/31/2045	725,000.00	0.03	$772,474.74	5.500	03/31/2045	XL
XPO Logistics Inc. 6.125 9/1/2023	486,000.00	0.02	$515,767.50	6.125	09/01/2023	XPO
YPF S.A. 25.458 7/7/2020	1,205,000.00	0.05	$1,180,779.50	25.458	07/07/2020	YPFDAR
YPF S.A. 7.000 12/15/2047	470,000.00	0.02	$466,945.00	7.000	12/15/2047	YPFDAR
ZAR/USD BNP 01/12/18	-16,316,352.59	-0.07	-$1,315,751.01	0.000	01/12/2018	SAUSI1128
Zayo Group LLC Zayo Capital Inc. 5.750 1/15/2027	805,000.00	0.04	$823,112.50	5.750	01/15/2027	ZAYOGR
Zayo Group LLC Zayo Capital Inc. 6.375 5/15/2025	110,000.00	0.00	$116,737.50	6.375	05/15/2025	ZAYOGR
Zayo Group LLC 3.561 1/19/2024	146,567.31	0.00	$147,224.37	3.583	01/19/2024	ZAYO
ZCCP 2015-1A A1R	2,600,000.00	0.13	$2,600,000.00	n/a	07/16/2027	ZCCP
Zekelman Industries Inc. 4.062 6/14/2024	674,759.25	0.03	$679,651.26	4.083	06/14/2024	ZEKIND
Zekelman Industries Inc. 9.875 6/15/2023	90,000.00	0.00	$101,475.00	9.875	06/15/2023	ZEKIND
ZF NORTH AMERICA CAPITAL IN 4.000 4/29/2020	250,000.00	0.01	$259,937.50	4.000	04/29/2020	ZFFNGR
Zimmer Biomet Holdings Inc. 4.625 11/30/2019	1,270,000.00	0.06	$1,319,126.14	4.625	11/30/2019	ZBH
ZIMMER HOLDINGS INC. 3.150 4/1/2022	300,000.00	0.01	$300,985.65	3.150	04/01/2022	ZBH
Zions Bancorporation 4.500 6/13/2023	690,000.00	0.03	$722,594.15	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 04/18/2018)

Total net assets (as of 03/31/2018)

Lipper ranking (as of 03/31/2018)

Literature

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