# Pacific Select Variable Annuity Semi-Annual Report · 2020. 5. 29. · Pacific Life Insurance...

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Pacific Select Fund

Pacific Select Variable AnnuitySeparate Account ofPacific Life Insurance Company

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Semi-AnnualReports

PACIFIC SELECT FUND

Schedule of Investments ……………………………………………..………………………………………………………………………… A-1 Financial Statements: Statements of Assets and Liabilities ………………………...…………...….…………………………………………………………… B-1 Statements of Operations .…………………………………………..……….…………………………………………………………… B-9 Statements of Changes in Net Assets …………………………….……..…..……..…………………………….……………………… B-17 Statements of Cash Flows …………………………...….……..…..……..…………………………….………………………....……… B-25 Financial Highlights …………………….……………………………………..………………………………………………………………… B-26 Notes to Financial Statements ………………….……………………….……………………………….…………………………………... C-1 Disclosure of Fund Expenses ………………….……………………….……………………………….………………………………….... D-1 Approval of Sub-Advisory Agreement ………………….……………………….……………………………….…………………………… D-5 Special Meeting of Shareholders ……………………………………………………………………………………………………………… D-7 Where to Go for More Information ………………….…………………….……………………….…………………………………........... D-8

PACIFIC SELECT VARIABLE ANNUITY SEPARATE ACCOUNT

Investments ……………………………………………..……………………………………………………………………………………… SA-1 Financial Statements: Statements of Assets and Liabilities ………………………...…………...….…………………………………………………………… SA-3 Statements of Operations .…………………………………………..……….…………………………………………………………… SA-9 Statements of Changes in Net Assets …………………………….……..…..……..…………………………….……………………… SA-15 Financial Highlights …………………….……………………………………..………………………………………………………………… SA-32 Notes to Financial Statements ………………….……………………….……………………………….…………………………………... SA-43

TABLE OF CONTENTS

The 2018 Semi-Annual Reports for all underlying investment options other than Pacific Select Fund may be mailed separately to Pacific Life Insurance Company variable annuity contract owners with allocations to those options and should be read in conjunction with the Pacific Select Variable Annuity Separate Account Semi-Annual Report included herein.

Semi-Annual Report• Pacific Select Fund

PACIFIC SELECT FUND

PACIFIC SELECT FUNDCORE INCOME PORTFOLIOSchedule of InvestmentsJune 30, 2018 (Unaudited)

PrincipalAmount Value

CORPORATE BONDS & NOTES - 45.5%

Basic Materials - 0.9%

Syngenta Finance NV (Netherlands)5.182% due 04/24/28 ~ $1,650,000 $1,596,024

Teck Resources Ltd (Canada)6.000% due 08/15/40 1,500,000 1,462,500

3,058,524Communications - 5.5%

Alibaba Group Holding Ltd (China)4.000% due 12/06/37 550,000 511,757

Amazon.com Inc4.250% due 08/22/57 1,000,000 989,730

AT&T Inc5.250% due 03/01/37 1,000,000 988,077

Charter Communications Operating LLC5.750% due 04/01/48 3,000,000 2,912,3926.384% due 10/23/35 1,500,000 1,570,740

Sprint Corp7.250% due 09/15/21 2,000,000 2,085,000

Sprint Spectrum Co LLC3.360% due 03/20/23 ~ 1,950,000 1,932,938

Tencent Holdings Ltd (China)3.595% due 01/19/28 ~ 1,650,000 1,562,171

Verizon Communications Inc4.125% due 03/16/27 1,500,000 1,481,2674.272% due 01/15/36 1,000,000 924,6934.812% due 03/15/39 1,957,000 1,897,1665.250% due 03/16/37 1,050,000 1,080,903

Vodafone Group PLC (United Kingdom)5.250% due 05/30/48 1,200,000 1,201,703

19,138,537Consumer, Cyclical - 7.7%

Air Canada Pass-Through Trust ‘A’(Canada)4.125% due 11/15/26 ~ 2,159,783 2,170,063

Alimentation Couche-Tard Inc (Canada)4.500% due 07/26/47 ~ 1,500,000 1,419,673

American Airlines Pass-Through Trust ‘AA’3.575% due 07/15/29 1,856,260 1,806,9763.600% due 03/22/29 1,720,058 1,686,517

American Airlines Pass-Through Trust ‘B’4.375% due 04/01/24 697,503 698,521

British Airways Pass-Through Trust ‘A’(United Kingdom)4.625% due 12/20/25 ~ 1,619,448 1,662,638

Continental Airlines Pass-Through Trust ‘A’4.000% due 04/29/26 1,545,109 1,554,712

Delta Air Lines Pass-Through Trust ‘AA’3.625% due 01/30/29 357,012 355,144

Downstream Development Authority of theQuapaw Tribe of Oklahoma10.500% due 02/15/23 ~ 1,500,000 1,537,500

General Motors Co5.200% due 04/01/45 2,000,000 1,840,718

Hawaiian Airlines Pass-ThroughCertificates ‘A’3.900% due 07/15/27 1,163,843 1,144,983

Kohl’s Corp5.550% due 07/17/45 1,000,000 974,181

Lennar Corp4.750% due 11/29/27 1,000,000 939,7006.250% due 12/15/21 2,000,000 2,105,000

Mattamy Group Corp (Canada)6.500% due 10/01/25 ~ 500,000 492,780

Nordstrom Inc5.000% due 01/15/44 1,000,000 924,603

Six Flags Entertainment Corp4.875% due 07/31/24 ~ 1,000,000 974,200

PrincipalAmount Value

United Airlines Pass-Through Trust ‘B’3.650% due 04/07/27 $1,148,611 $1,100,7404.750% due 10/11/23 2,174,340 2,189,234

US Airways Pass-Through Trust ‘A’4.625% due 12/03/26 1,371,294 1,403,979

26,981,862Consumer, Non-Cyclical - 4.4%

Anheuser-Busch InBev Finance Inc(Belgium)3.650% due 02/01/26 2,500,000 2,450,625

Anheuser-Busch InBev Worldwide Inc(Belgium)4.750% due 04/15/58 1,050,000 1,029,189

Bacardi Ltd (Bermuda)5.300% due 05/15/48 ~ 2,400,000 2,286,024

BAT Capital Corp (United Kingdom)4.390% due 08/15/37 ~ 2,500,000 2,351,223

Bayer US Finance II LLC4.250% due 12/15/25 ~ 1,200,000 1,208,779

CHS/Community Health Systems Inc5.125% due 08/01/21 1,000,000 930,000

General Mills Inc4.700% due 04/17/48 300,000 287,787

Maple Escrow Subsidiary Inc4.417% due 05/25/25 ~ 1,350,000 1,358,448

MEDNAX Inc5.250% due 12/01/23 ~ 1,000,000 982,500

Mylan Inc4.550% due 04/15/28 ~ 600,000 587,267

Teva Pharmaceutical FinanceNetherlands III BV (Israel)2.200% due 07/21/21 500,000 464,0672.800% due 07/21/23 750,000 648,326

Valeant Pharmaceuticals International Inc6.500% due 03/15/22 ~ 1,000,000 1,038,750

15,622,985Energy - 8.0%

Andeavor Logistics LP5.200% due 12/01/47 600,000 580,4185.250% due 01/15/25 2,000,000 2,052,260

Colorado Interstate Gas Co LLC4.150% due 08/15/26 ~ 450,000 436,538

Concho Resources Inc4.300% due 08/15/28 # 1,400,000 1,400,972

Energy Transfer Partners LP4.950% due 06/15/28 1,400,000 1,397,824

EnLink Midstream Partners LP5.450% due 06/01/47 2,000,000 1,686,052

EQT Corp3.900% due 10/01/27 1,600,000 1,495,898

Kinder Morgan Energy Partners LP4.300% due 05/01/24 2,500,000 2,496,4725.000% due 08/15/42 650,000 606,375

Marathon Oil Corp4.400% due 07/15/27 1,150,000 1,155,7355.200% due 06/01/45 1,500,000 1,583,797

MPLX LP4.500% due 04/15/38 1,200,000 1,111,169

Nabors Industries Inc5.500% due 01/15/23 300,000 288,300

ONEOK Inc4.950% due 07/13/47 1,450,000 1,416,019

Petrobras Global Finance BV (Brazil)5.299% due 01/27/25 ~ 1,000,000 925,2507.250% due 03/17/44 550,000 510,8137.375% due 01/17/27 1,000,000 1,001,250

Petroleos Mexicanos (Mexico)5.350% due 02/12/28 ~ 1,000,000 949,0006.350% due 02/12/48 ~ 1,400,000 1,274,0006.500% due 03/13/27 1,050,000 1,075,463

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-1

PACIFIC SELECT FUNDCORE INCOME PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

RSP Permian Inc5.250% due 01/15/25 $600,000 $644,400

Sabine Pass Liquefaction LLC4.200% due 03/15/28 800,000 770,5355.000% due 03/15/27 900,000 914,873

Southwestern Energy Co6.700% due 01/23/25 1,000,000 982,500

Transcontinental Gas Pipe Line Co LLC4.000% due 03/15/28 ~ 350,000 340,691

Williams Partners LP4.850% due 03/01/48 900,000 860,051

27,956,655Financial - 13.2%

Ares Capital Corp3.500% due 02/10/23 2,000,000 1,907,6834.250% due 03/01/25 1,500,000 1,444,387

Bank of America Corp4.183% due 11/25/27 2,500,000 2,438,4784.200% due 08/26/24 1,500,000 1,508,4214.250% due 10/22/26 2,500,000 2,472,113

Barclays PLC (United Kingdom)3.710% (USD LIBOR + 1.380%)due 05/16/24 § 1,000,000 992,531

Citigroup Inc4.075% due 04/23/29 2,500,000 2,455,7054.400% due 06/10/25 1,250,000 1,243,9064.600% due 03/09/26 2,400,000 2,399,625

Columbia Property Trust OperatingPartnership LP REIT4.150% due 04/01/25 1,250,000 1,221,061

Healthcare Realty Trust Inc REIT3.625% due 01/15/28 750,000 703,414

High Street Funding Trust I4.111% due 02/15/28 ~ 600,000 590,178

HSBC Holdings PLC (United Kingdom)3.326% (USD LIBOR + 1.000%)due 05/18/24 § 600,000 598,6774.583% due 06/19/29 900,000 909,752

Hudson Pacific Properties LP REIT3.950% due 11/01/27 1,000,000 936,462

Jefferies Finance LLC7.375% due 04/01/20 ~ 1,000,000 1,009,730

JPMorgan Chase & Co4.125% due 12/15/26 2,500,000 2,471,907

Morgan Stanley5.000% due 11/24/25 4,000,000 4,151,614

Piedmont Operating Partnership LP REIT4.450% due 03/15/24 2,000,000 2,013,931

Royal Bank of Scotland Group PLC(United Kingdom)3.885% (USD LIBOR + 1.550%)due 06/25/24 § 1,100,000 1,098,621

Teachers Insurance & Annuity Associationof America4.270% due 05/15/47 ~ 2,000,000 1,915,712

The Goldman Sachs Group Inc3.272% due 09/29/25 1,500,000 1,426,2083.500% due 11/16/26 5,000,000 4,714,429

UDR Inc REIT2.950% due 09/01/26 1,500,000 1,377,248

Ventas Realty LP REIT3.500% due 02/01/25 1,500,000 1,438,011

Wells Fargo & Co4.400% due 06/14/46 1,500,000 1,375,1744.750% due 12/07/46 1,450,000 1,405,243

46,220,221Industrial - 2.4%

Allegion US Holding Co Inc3.550% due 10/01/27 1,500,000 1,390,050

Masco Corp7.750% due 08/01/29 650,000 788,730

PrincipalAmount Value

Novelis Corp5.875% due 09/30/26 ~ $500,000 $480,0006.250% due 08/15/24 ~ 1,000,000 1,002,500

Owens-Brockway Glass Container Inc5.000% due 01/15/22 ~ 1,500,000 1,500,000

Park Aerospace Holdings Ltd (Ireland)5.250% due 08/15/22 ~ 750,000 745,320

Standard Industries Inc4.750% due 01/15/28 ~ 700,000 645,750

Union Pacific Corp3.950% due 09/10/28 1,750,000 1,761,224

8,313,574Technology - 0.5%

Apple Inc3.750% due 09/12/47 1,000,000 938,806

Dell International LLC6.020% due 06/15/26 ~ 950,000 1,000,247

1,939,053Utilities - 2.9%

Calpine Corp5.250% due 06/01/26 ~ 1,000,000 946,2505.750% due 01/15/25 1,000,000 916,875

Edison International4.125% due 03/15/28 1,000,000 986,162

Exelon Corp5.100% due 06/15/45 2,000,000 2,138,355

FirstEnergy Corp4.850% due 07/15/47 1,650,000 1,692,285

IPALCO Enterprises Inc3.700% due 09/01/24 1,750,000 1,698,041

Talen Energy Supply LLC6.500% due 06/01/25 1,000,000 767,500

The Southern Co3.250% due 07/01/26 1,200,000 1,127,967

10,273,435Total Corporate Bonds & Notes

(Cost $164,657,126) 159,504,846

SENIOR LOAN NOTES - 18.3%

Basic Materials - 0.6%

Ineos US Finance LLC Term B4.094% (USD LIBOR + 2.000%)due 03/31/24 § 995,000 992,868

PQ Corp Term B4.594% (USD LIBOR + 2.500%)due 02/08/25 § 982,563 981,846

1,974,714Communications - 3.9%

Altice US Finance I Corp Term B4.344% (USD LIBOR + 2.250%)due 07/28/25 § 3,439,868 3,437,003

Avaya Inc Term B6.323% (USD LIBOR + 4.250%)due 12/15/24 § 995,000 998,835

CSC Holdings LLC4.323% (USD LIBOR + 2.250%)due 07/17/25 § 990,000 984,050

Frontier Communications Corp8.375% (USD LIBOR + 4.375%)due 12/15/19 § 2,481,250 2,487,453Term Bdue 06/15/24 ∞ 2,000,000 1,975,400

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-2

PACIFIC SELECT FUNDCORE INCOME PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

Level 3 Financing Inc Term B4.334% (USD LIBOR + 2.250%)due 02/22/24 § $2,000,000 $1,997,812

Sprint Communications Inc Term B4.625% (USD LIBOR + 2.500%)due 02/02/24 § 1,975,000 1,966,977

13,847,530Consumer, Cyclical - 4.5%

Bass Pro Group LLC Term B7.094% (USD LIBOR + 5.000%)due 09/25/24 § 997,487 1,001,539

BJ’s Wholesale Club Inc5.530% (USD LIBOR + 3.500%)due 02/03/24 § 994,957 996,077

ClubCorp Holdings Inc Term B5.084% (USD LIBOR + 2.750%)due 09/18/24 § 1,468,902 1,459,721

HD Supply Inc Term B34.344% (USD LIBOR + 2.250%)due 08/13/21 § 940,539 943,949

Hilton Worldwide Finance LLC Term B23.841% (USD LIBOR + 1.750%)due 10/25/23 § 1,495,331 1,496,188

Las Vegas Sands LLC Term B3.844% (USD LIBOR + 1.750%)due 03/27/25 § 2,910,074 2,893,885

New Red Finance Term B3 (Canada)4.344% (USD LIBOR + 2.250%)due 02/16/24 § 2,723,262 2,711,756

Nexeo Solutions LLC5.584% (USD LIBOR + 3.250%)due 06/09/23 § 980,131 982,581

SeaWorld Parks & Entertainment IncTerm B55.094% (USD LIBOR + 3.000%)due 03/31/24 § 1,982,444 1,971,913

Univar Inc Term B4.594% (USD LIBOR + 2.500%)due 07/01/24 § 1,256,556 1,255,771

15,713,380Consumer, Non-Cyclical - 2.2%

Albertsons LLC Term B44.844% (USD LIBOR + 2.750%)due 08/25/21 § 2,551,758 2,528,833

Community Health Systems Inc Term G5.307% (USD LIBOR + 3.000%)due 12/31/19 § 976,190 973,810

Jaguar Holding Co II4.594% (USD LIBOR + 2.500%)due 08/18/22 § 242,500 241,338

US Foods Inc Term B4.094% (USD LIBOR + 2.000%)due 06/27/23 § 2,450,000 2,450,764

Valeant Pharmaceuticals International IncTerm B (Canada)4.983% (USD LIBOR + 3.000%)due 06/01/25 § 1,500,000 1,497,008

7,691,753Energy - 0.4%

Arch Coal Inc Term B4.844% (USD LIBOR + 2.750%)due 03/07/24 § 1,484,962 1,481,621

PrincipalAmount Value

Financial - 1.3%

Hub International Ltd Term B5.360% (USD LIBOR + 3.000%)due 04/25/25 § $1,000,000 $994,755

Realogy Group LLC Term B4.296% (USD LIBOR + 2.250%)due 02/08/25 § 572,935 573,472

USI Inc5.334% (USD LIBOR + 3.000%)due 05/16/24 § 2,481,250 2,469,774

VICI Properties 1 LLC Term B4.084% (USD LIBOR + 2.000%)due 12/20/24 § 477,273 474,986

4,512,987Industrial - 3.3%

Avolon SARL Term B34.088% (USD LIBOR + 2.000%)due 01/15/25 § 1,985,000 1,964,257

BWAY Holding Co Term B5.588% (USD LIBOR + 3.250%)due 04/03/24 § 742,500 744,125

Flex Acquisition Co Inc5.308% (USD LIBOR + 3.000%)due 12/29/23 § 990,000 988,321

Proampac PG Borrower LLC5.610% (USD LIBOR + 3.500%)due 11/18/23 § 2,468,672 2,475,873

Reynolds Group Holdings Inc4.844% (USD LIBOR + 2.750%)due 02/05/23 § 2,566,505 2,566,148

TransDigm IncTerm E4.594% (USD LIBOR + 2.500%)due 05/30/25 § 968,893 965,691Term F4.594% (USD LIBOR + 2.500%)due 06/09/23 § 1,935,024 1,929,583

11,633,998Technology - 1.3%

First Data Corp4.091% (USD LIBOR + 2.000%)due 07/08/22 § 1,759,244 1,750,888

Kronos Inc Term B5.358% (USD LIBOR + 3.000%)due 11/01/23 § 990,019 989,906

Sensata Technologies BV Term B(Netherlands)3.797% (USD LIBOR + 1.750%)due 10/14/21 § 926,951 929,461

Tempo Acquisition LLC5.094% (USD LIBOR + 3.000%)due 05/01/24 § 994,975 992,798

4,663,053Utilities - 0.8%

Talen Energy Supply LLC Term B16.094% (USD LIBOR + 4.000%)due 07/15/23 § 1,480,019 1,488,899

TEX Operations Co LLC Term B4.094% (USD LIBOR + 2.250%)due 08/04/23 § 1,203,107 1,196,058

2,684,957Total Senior Loan Notes

(Cost $64,423,504) 64,203,993

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-3

PACIFIC SELECT FUNDCORE INCOME PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

MORTGAGE-BACKED SECURITIES - 0.8%

Fannie Mae - 0.4%

2.500% due 07/01/33 $1,500,000 $1,457,887

Freddie Mac - 0.4%

2.500% due 07/01/33 1,500,000 1,455,852

Total Mortgage-Backed Securities(Cost $2,900,859) 2,913,739

ASSET-BACKED SECURITIES - 20.3%

Ally Auto Receivables Trust2.010% due 03/15/22 2,000,000 1,962,835

ALM XII Ltd (Cayman)3.436% (USD LIBOR + 1.350%)due 04/16/27 § ~ 1,200,000 1,201,395

American Express Credit AccountMaster Trust2.350% due 05/15/25 1,000,000 971,868

AmeriCredit Automobile Receivables Trust1.980% due 12/20/21 500,000 495,3892.240% due 06/19/23 650,000 639,0302.300% due 02/18/22 1,250,000 1,236,4722.400% due 05/18/22 900,000 889,8962.690% due 06/19/23 700,000 688,9212.710% due 08/18/22 750,000 741,834

Atrium CLO XI (Cayman)3.502% (USD LIBOR + 1.140%)due 10/23/25 § ~ 750,000 750,818

BA Credit Card Trust2.700% due 07/17/23 1,500,000 1,491,508

Birchwood Park CLO Ltd (Cayman)3.528% (USD LIBOR + 1.180%)due 07/15/26 § ~ 850,000 850,632

BlueMountain CLO Ltd (Cayman)3.488% (USD LIBOR + 1.140%)due 10/15/26 § ~ 1,500,000 1,500,728

Capital Auto Receivables Asset Trust2.110% due 03/22/21 400,000 396,0463.090% due 08/22/22 ~ 900,000 897,005

Carlyle Global Market Strategies CLO Ltd(Cayman)4.359% (USD LIBOR + 2.000%)due 04/20/27 § ~ 1,550,000 1,552,347

CIFC Funding Ltd CLO (Cayman)3.225% (USD LIBOR + 0.870%)due 04/19/29 § ~ 2,000,000 1,994,5674.005% (USD LIBOR + 1.650%)due 04/19/29 § ~ 1,250,000 1,235,475

Citibank Credit Card Issuance Trust1.920% due 04/07/22 1,500,000 1,475,1792.827% (USD LIBOR + 0.770%)due 05/14/29 § 4,000,000 4,033,586

Dryden 55 CLO Ltd (Cayman)3.941% (USD LIBOR + 1.900%)due 04/15/31 § ~ 1,000,000 999,510

Dryden 58 CLO Ltd (Cayman)0.000% (USD LIBOR + 1.500%)due 07/17/31 § # ~ 1,000,000 1,000,0000.000% (USD LIBOR + 1.800%)due 07/17/31 § # ~ 1,000,000 1,000,000

Dryden 64 CLO Ltd (Cayman)3.619% (USD LIBOR + 1.400%)due 04/18/31 § ~ 800,000 792,744

PrincipalAmount Value

Ford Credit Auto Owner Trust1.730% due 03/15/22 $400,000 $389,4352.350% due 04/15/23 1,500,000 1,469,3612.360% due 03/15/29 ~ 3,000,000 2,895,8813.190% due 07/15/31 ~ 3,500,000 3,448,604

Madison Park Funding XXVIII Ltd (Cayman)3.937% (USD LIBOR + 1.600%)due 07/15/30 § ~ 1,400,000 1,400,0004.187% (USD LIBOR + 1.850%)due 07/15/30 § ~ ± 600,000 600,000

Navient Student Loan Trust2.691% (USD LIBOR + 0.600%)due 06/25/65 § ~ 82,863 82,9002.811% (USD LIBOR + 0.720%)due 03/25/67 § ~ 1,000,000 1,004,867

Oak Hill Credit Partners X Ltd CLO(Cayman)3.489% (USD LIBOR + 1.130%)due 07/20/26 § ~ 1,500,000 1,502,350

OCP CLO Ltd (Cayman)3.182% (USD LIBOR + 0.820%)due 10/26/27 § ~ 1,000,000 999,215

Octagon Investment Partners 25 Ltd CLO(Cayman)3.559% (USD LIBOR + 1.200%)due 10/20/26 § ~ 1,000,000 1,000,976

OneMain Financial Issuance Trust2.370% due 09/14/32 ~ 2,400,000 2,354,278

Regatta IV Funding Ltd CLO3.380% (USD LIBOR + 1.020%)due 07/25/26 § ~ 1,000,000 1,001,015

Santander Drive Auto Receivables Trust2.080% due 02/16/21 530,005 529,1662.100% due 06/15/21 1,000,000 994,4872.630% due 07/15/22 1,150,000 1,141,2522.660% due 11/15/21 500,000 498,1722.960% due 03/15/24 900,000 891,7013.350% due 07/17/23 1,230,000 1,231,0893.510% due 08/15/23 2,500,000 2,502,727

SLM Private Credit Student Loan Trust2.631% (USD LIBOR + 0.290%)due 06/15/39 § 1,866,272 1,830,810

SLM Student Loan Trust2.910% (USD LIBOR + 0.550%)due 10/25/64 § ~ 2,000,000 1,995,929

SMB Private Education Loan Trust2.340% due 09/15/34 ~ 1,000,000 972,1732.700% due 05/15/31 ~ 1,367,480 1,339,4872.820% due 10/15/35 ~ 2,100,000 2,042,8322.880% due 09/15/34 ~ 2,500,000 2,450,5002.973% (USD LIBOR + 0.900%)due 09/15/34 § ~ 1,250,000 1,264,0473.500% due 02/15/36 ~ 1,200,000 1,200,8793.600% due 01/15/37 ~ 1,050,000 1,055,954

Synchrony Credit Card Master Note Trust2.210% due 05/15/24 500,000 487,427

Verizon Owner Trust2.060% due 09/20/21 ~ 1,000,000 988,916

Volvo Financial Equipment LLC2.210% due 11/15/21 ~ 750,000 737,948

Total Asset-Backed Securities(Cost $71,569,787) 71,102,163

U.S. GOVERNMENT AGENCY ISSUES - 1.9%

Fannie Mae1.875% due 09/18/18 3,500,000 3,499,387

Freddie Mac1.250% due 10/02/19 3,250,000 3,201,013

Total U.S. Government Agency Issues(Cost $6,754,208) 6,700,400

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-4

PACIFIC SELECT FUNDCORE INCOME PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

U.S. TREASURY OBLIGATIONS - 9.9%

U.S. Treasury Bonds - 2.7%

2.250% due 08/15/46 $1,950,000 $1,677,6862.500% due 02/15/45 500,000 455,5272.500% due 02/15/46 1,500,000 1,362,7152.500% due 05/15/46 1,750,000 1,588,6732.750% due 11/15/47 2,000,000 1,906,7583.000% due 02/15/48 2,500,000 2,506,348

9,497,707U.S. Treasury Notes - 7.2%

1.125% due 04/30/20 2,000,000 1,950,4301.250% due 07/31/23 2,750,000 2,555,5131.375% due 06/30/23 1,650,000 1,545,1671.375% due 08/31/23 2,000,000 1,867,7351.500% due 10/31/19 2,500,000 2,469,2871.625% due 07/31/20 2,000,000 1,962,6561.625% due 02/15/26 1,500,000 1,376,1621.625% due 05/15/26 2,000,000 1,829,5311.875% due 10/31/22 1,500,000 1,448,9062.000% due 10/31/21 3,000,000 2,937,4222.125% due 12/31/21 3,000,000 2,945,7422.125% due 12/31/22 2,500,000 2,436,963

25,325,514Total U.S. Treasury Obligations

(Cost $35,611,106) 34,823,221

FOREIGN GOVERNMENT BONDS & NOTES - 2.3%

Chile Government (Chile)2.250% due 10/30/22 1,000,000 954,500

Export-Import Bank of Korea (South Korea)2.250% due 01/21/20 1,500,000 1,481,007

Mexico Government (Mexico)3.750% due 01/11/28 1,340,000 1,268,6454.350% due 01/15/47 1,000,000 896,000

Province of British Columbia (Canada)2.000% due 10/23/22 1,500,000 1,441,940

Province of Ontario (Canada)1.875% due 05/21/20 2,000,000 1,965,508

Total Foreign Government Bonds & Notes(Cost $8,326,189) 8,007,600

PrincipalAmount Value

SHORT-TERM INVESTMENT - 1.8%

Repurchase Agreement - 1.8%

Fixed Income Clearing Corp0.350% due 07/02/18(Dated 06/29/18, repurchase price of$6,468,730; collateralized by U.S.Treasury Notes: 2.625% due 11/15/20and value $6,598,468) $6,468,541 $6,468,541

Total Short-Term Investment(Cost $6,468,541) 6,468,541

TOTAL INVESTMENTS - 100.8%(Cost $360,711,320) 353,724,503

OTHER ASSETS & LIABILITIES, NET - (0.8%) (2,856,494)

NET ASSETS - 100.0% $350,868,009

Notes to Schedule of Investments

(a) As of June 30, 2018, the Fund’s composition as a percentage of net assets wasas follows:

Corporate Bonds & Notes 45.5%Asset-Backed Securities 20.3%Senior Loan Notes 18.3%U.S. Treasury Obligations 9.9%Others (each less than 3.0%) 6.8%

100.8%Other Assets & Liabilities, Net (0.8%)

100.0%

(b) Fair Value Measurements

The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D inNotes to Financial Statements) as of June 30, 2018:

Total Value atJune 30, 2018

Level 1Quoted Price

Level 2Significant

Observable Inputs

Level 3Significant

Unobservable InputsAssets Corporate Bonds & Notes $159,504,846 $- $159,504,846 $-

Senior Loan Notes 64,203,993 - 64,203,993 -Mortgage-Backed Securities 2,913,739 - 2,913,739 -Asset-Backed Securities 71,102,163 - 70,502,163 600,000U.S. Government Agency Issues 6,700,400 - 6,700,400 -U.S. Treasury Obligations 34,823,221 - 34,823,221 -Foreign Government Bonds & Notes 8,007,600 - 8,007,600 -Short-Term Investment 6,468,541 - 6,468,541 -

Total $353,724,503 $- $353,124,503 $600,000

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-5

PACIFIC SELECT FUNDDIVERSIFIED BOND PORTFOLIOSchedule of InvestmentsJune 30, 2018 (Unaudited)

Shares Value

PREFERRED STOCKS - 0.1%

Financial - 0.1%

Citigroup Capital XIII8.729% (USD LIBOR + 6.370%)due 10/30/40 § 47,050 $1,275,055

GMAC Capital Trust I8.128% (USD LIBOR + 5.785%)due 02/15/40 § 149,256 3,925,433

5,200,488

Total Preferred Stocks(Cost $4,909,083) 5,200,488

PrincipalAmount

CORPORATE BONDS & NOTES - 34.4%

Basic Materials - 1.4%

Alcoa Nederland Holding BV6.750% due 09/30/24 ~ $2,330,000 2,468,845

Anglo American Capital PLC(United Kingdom)3.625% due 09/11/24 ~ 500,000 473,7233.750% due 04/10/22 ~ 2,830,000 2,812,0994.000% due 09/11/27 ~ 1,080,000 1,006,6394.750% due 04/10/27 ~ 1,380,000 1,362,033

ArcelorMittal (Luxembourg)6.250% due 02/25/22 740,000 789,9507.000% due 10/15/39 740,000 853,775

Barrick Gold Corp (Canada)5.250% due 04/01/42 340,000 356,813

Barrick North America Finance LLC(Canada)4.400% due 05/30/21 1,077,000 1,114,8375.700% due 05/30/41 1,983,000 2,205,539

BHP Billiton Finance USA Ltd (Australia)2.875% due 02/24/22 214,000 211,4005.000% due 09/30/43 1,220,000 1,370,8606.750% due 10/19/75 ~ 4,750,000 5,163,250

Equate Petrochemical BV (Kuwait)4.250% due 11/03/26 ~ 2,440,000 2,371,990

Glencore Funding LLC (Switzerland)2.875% due 04/16/20 ~ 560,000 554,2724.000% due 03/27/27 ~ 5,010,000 4,735,9114.125% due 05/30/23 ~ 380,000 379,585

LyondellBasell Industries NV5.000% due 04/15/19 431,000 435,3216.000% due 11/15/21 490,000 524,736

Nutrien Ltd (Canada)4.875% due 03/30/20 640,000 652,396

OCP SA (Morocco)4.500% due 10/22/25 ~ 2,800,000 2,672,818

Southern Copper Corp (Peru)5.250% due 11/08/42 6,630,000 6,579,6936.750% due 04/16/40 600,000 691,154

Syngenta Finance NV (Switzerland)3.933% due 04/23/21 ~ 2,590,000 2,584,947

Vale Overseas Ltd (Brazil)6.875% due 11/21/36 2,485,000 2,802,334

Yamana Gold Inc (Brazil)4.625% due 12/15/27 1,810,000 1,736,832

46,911,752Communications - 3.2%

21st Century Fox America Inc6.200% due 12/15/34 1,000,000 1,183,7386.650% due 11/15/37 70,000 87,091

PrincipalAmount Value

Altice France SA (France)6.250% due 05/15/24 ~ $370,000 $360,7507.375% due 05/01/26 ~ 3,900,000 3,827,655

Amazon.com Inc3.150% due 08/22/27 ~ 2,710,000 2,606,7703.875% due 08/22/37 ~ 1,310,000 1,282,0954.050% due 08/22/47 ~ 1,720,000 1,689,1174.950% due 12/05/44 2,190,000 2,437,540

America Movil SAB de CV (Mexico)5.000% due 03/30/20 3,300,000 3,393,851

AT&T Inc3.000% due 02/15/22 260,000 254,0093.000% due 06/30/22 260,000 252,2733.400% due 05/15/25 7,480,000 7,045,2593.875% due 08/15/21 110,000 111,2174.350% due 06/15/45 1,615,000 1,373,7114.450% due 05/15/21 390,000 399,421

Bharti Airtel Ltd (India)4.375% due 06/10/25 ~ 1,390,000 1,283,230

CCO Holdings LLC5.000% due 02/01/28 ~ 1,040,000 956,8005.125% due 05/01/27 ~ 1,120,000 1,048,600

CenturyLink Inc6.150% due 09/15/19 1,000,000 1,022,500

Charter Communications Operating LLC3.579% due 07/23/20 1,970,000 1,970,6754.200% due 03/15/28 3,530,000 3,309,8725.375% due 04/01/38 870,000 823,7735.750% due 04/01/48 70,000 67,9566.384% due 10/23/35 530,000 554,9956.484% due 10/23/45 650,000 686,8916.834% due 10/23/55 370,000 397,787

Comcast Corp5.150% due 03/01/20 1,658,000 1,711,7305.650% due 06/15/35 290,000 321,6976.500% due 11/15/35 1,530,000 1,821,026

CommScope Technologies LLC5.000% due 03/15/27 ~ 650,000 613,438

Deutsche Telekom International Finance BV(Germany)2.820% due 01/19/22 ~ 710,000 690,1886.750% due 08/20/18 1,545,000 1,553,678

DISH DBS Corp5.875% due 07/15/22 740,000 698,3755.875% due 11/15/24 4,686,000 3,983,1006.750% due 06/01/21 100,000 100,375

Myriad International Holdings BV(South Africa)4.850% due 07/06/27 ~ 3,660,000 3,591,492

NBCUniversal Enterprise Inc1.974% due 04/15/19 ~ 4,080,000 4,050,034

NBCUniversal Media LLC4.375% due 04/01/21 680,000 698,045

Sprint Capital Corp8.750% due 03/15/32 1,850,000 1,984,125

Sprint Communications Inc9.000% due 11/15/18 ~ 85,000 86,806

Sprint Corp7.625% due 02/15/25 2,530,000 2,599,5757.875% due 09/15/23 130,000 135,119

Sprint Spectrum Co LLC3.360% due 03/20/23 ~ 650,000 644,312

Telefonica Emisiones SAU (Spain)4.103% due 03/08/27 2,630,000 2,547,0965.134% due 04/27/20 2,020,000 2,084,7105.877% due 07/15/19 350,000 360,108

Time Warner Cable LLC5.500% due 09/01/41 250,000 233,1735.875% due 11/15/40 1,470,000 1,441,6116.750% due 06/15/39 1,050,000 1,121,932

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-6

PACIFIC SELECT FUNDDIVERSIFIED BOND PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

7.300% due 07/01/38 $1,620,000 $1,840,3068.250% due 04/01/19 5,445,000 5,648,818

Time Warner Entertainment Co LP8.375% due 07/15/33 990,000 1,224,535

Verizon Communications Inc2.625% due 08/15/26 2,770,000 2,462,0033.376% due 02/15/25 2,938,000 2,825,9313.500% due 11/01/24 410,000 396,9493.850% due 11/01/42 730,000 611,3904.125% due 03/16/27 4,570,000 4,512,9254.329% due 09/21/28 ~ 2,720,000 2,701,2264.500% due 08/10/33 2,010,000 1,952,6284.522% due 09/15/48 1,450,000 1,326,1075.500% due 03/16/47 250,000 262,729

Viacom Inc3.875% due 04/01/24 610,000 590,6944.250% due 09/01/23 620,000 615,482

Vodafone Group PLC (United Kingdom)4.375% due 05/30/28 6,190,000 6,121,6515.250% due 05/30/48 3,300,000 3,304,684

Warner Media LLC4.700% due 01/15/21 410,000 422,3046.250% due 03/29/41 450,000 490,506

108,810,189Consumer, Cyclical - 1.3%

American Axle & Manufacturing Inc6.625% due 10/15/22 1,015,000 1,042,912

Beacon Roofing Supply Inc4.875% due 11/01/25 ~ 680,000 632,400

BMW US Capital LLC (Germany)1.850% due 09/15/21 ~ 440,000 419,733

Daimler Finance North America LLC(Germany)2.450% due 05/18/20 ~ 380,000 374,502

Delta Air Lines Pass-Through Trust ‘A’6.821% due 02/10/24 2,322,159 2,534,404

Ford Motor Co4.750% due 01/15/43 530,000 459,320

Ford Motor Credit Co LLC2.459% due 03/27/20 200,000 196,9263.200% due 01/15/21 1,250,000 1,236,6703.664% due 09/08/24 2,770,000 2,653,5135.750% due 02/01/21 1,070,000 1,124,2058.125% due 01/15/20 1,570,000 1,682,621

General Motors Co5.150% due 04/01/38 440,000 420,0256.250% due 10/02/43 570,000 592,200

General Motors Financial Co Inc2.450% due 11/06/20 800,000 781,5363.450% due 04/10/22 720,000 708,0064.250% due 05/15/23 1,250,000 1,253,9254.350% due 01/17/27 520,000 503,8674.375% due 09/25/21 930,000 948,548

GLP Capital LP5.375% due 04/15/26 2,162,000 2,145,785

Hilton Worldwide Finance LLC4.875% due 04/01/27 2,420,000 2,341,350

Lennar Corp4.500% due 04/30/24 1,160,000 1,120,9084.750% due 11/29/27 1,050,000 986,685

McDonald’s Corp3.500% due 03/01/27 740,000 722,9523.700% due 01/30/26 2,560,000 2,544,670

MGM Resorts International6.625% due 12/15/21 800,000 844,000

NCL Corp Ltd4.750% due 12/15/21 ~ 2,325,000 2,325,000

New Red Finance Inc (Canada)5.000% due 10/15/25 ~ 1,170,000 1,112,904

PrincipalAmount Value

Newell Brands Inc3.150% due 04/01/21 $1,810,000 $1,794,2433.850% due 04/01/23 2,040,000 2,010,9224.200% due 04/01/26 1,590,000 1,537,027

QVC Inc5.950% due 03/15/43 100,000 94,594

Taylor Morrison Communities Inc5.250% due 04/15/21 ~ 1,100,000 1,101,375

Toll Brothers Finance Corp4.375% due 04/15/23 770,000 757,488

Walgreens Boots Alliance Inc3.450% due 06/01/26 2,240,000 2,092,780

Walmart Inc3.700% due 06/26/28 3,540,000 3,567,631

44,665,627Consumer, Non-Cyclical - 6.1%

Abbott Laboratories3.750% due 11/30/26 2,550,000 2,510,0274.750% due 11/30/36 1,300,000 1,374,6674.900% due 11/30/46 2,180,000 2,341,566

AbbVie Inc3.600% due 05/14/25 1,600,000 1,551,473

Aetna Inc2.800% due 06/15/23 540,000 515,381

Allergan Funding SCS3.450% due 03/15/22 1,420,000 1,398,0943.800% due 03/15/25 2,730,000 2,654,0494.550% due 03/15/35 430,000 408,8984.750% due 03/15/45 491,000 474,039

Altria Group Inc4.750% due 05/05/21 2,980,000 3,095,9429.250% due 08/06/19 3,330,000 3,557,539

Amgen Inc2.125% due 05/01/20 420,000 413,0643.625% due 05/22/24 590,000 588,0754.663% due 06/15/51 289,000 286,707

Anheuser-Busch InBev Finance Inc(Belgium)2.650% due 02/01/21 2,520,000 2,486,2703.300% due 02/01/23 6,590,000 6,539,6653.650% due 02/01/26 1,450,000 1,421,3634.900% due 02/01/46 6,230,000 6,429,617

Anheuser-Busch InBev Worldwide Inc(Belgium)2.500% due 07/15/22 2,790,000 2,695,4564.000% due 04/13/28 2,680,000 2,678,067

Anthem Inc2.950% due 12/01/22 490,000 476,2253.125% due 05/15/22 3,300,000 3,252,8333.350% due 12/01/24 560,000 541,5263.650% due 12/01/27 1,360,000 1,290,3323.700% due 08/15/21 220,000 222,021

Ashtead Capital Inc (United Kingdom)4.375% due 08/15/27 ~ 200,000 186,500

BAT Capital Corp (United Kingdom)3.557% due 08/15/27 ~ 7,780,000 7,249,5794.540% due 08/15/47 ~ 3,450,000 3,231,477

Becton Dickinson & Co3.363% due 06/06/24 3,810,000 3,663,1863.734% due 12/15/24 993,000 970,8024.685% due 12/15/44 740,000 719,386

Cardinal Health Inc2.616% due 06/15/22 630,000 604,117

Catholic Health Initiatives4.350% due 11/01/42 420,000 398,566

Celgene Corp2.250% due 08/15/21 1,680,000 1,617,1903.550% due 08/15/22 910,000 903,6713.875% due 08/15/25 1,440,000 1,401,053

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-7

PACIFIC SELECT FUNDDIVERSIFIED BOND PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

5.000% due 08/15/45 $660,000 $648,1445.250% due 08/15/43 320,000 328,438

Centene Corp4.750% due 05/15/22 660,000 667,4254.750% due 01/15/25 970,000 967,5755.625% due 02/15/21 340,000 348,0336.125% due 02/15/24 1,270,000 1,341,438

Constellation Brands Inc4.250% due 05/01/23 590,000 601,968

Cott Holdings Inc (Canada)5.500% due 04/01/25 ~ 1,530,000 1,491,750

CVS Health Corp2.750% due 12/01/22 4,660,000 4,469,4293.350% due 03/09/21 1,210,000 1,209,3543.700% due 03/09/23 1,930,000 1,912,3873.875% due 07/20/25 1,278,000 1,251,1534.100% due 03/25/25 2,180,000 2,171,2144.300% due 03/25/28 12,230,000 12,082,7545.050% due 03/25/48 980,000 993,5855.125% due 07/20/45 1,440,000 1,463,327

CVS Pass-Through Trust5.298% due 01/11/27 ~ 544,066 557,9666.036% due 12/10/28 2,641,442 2,815,188

Danone SA (France)2.077% due 11/02/21 ~ 2,540,000 2,429,8972.589% due 11/02/23 ~ 4,030,000 3,798,666

DaVita Inc5.000% due 05/01/25 30,000 28,313

Diageo Investment Corp (United Kingdom)2.875% due 05/11/22 3,620,000 3,567,095

Ecolab Inc4.350% due 12/08/21 767,000 792,221

Eli Lilly & Co3.100% due 05/15/27 1,310,000 1,254,896

Fresenius Medical Care US Finance II Inc(Germany)4.125% due 10/15/20 ~ 1,080,000 1,091,3845.875% due 01/31/22 ~ 1,160,000 1,230,521

Gilead Sciences Inc2.550% due 09/01/20 530,000 523,6993.650% due 03/01/26 1,660,000 1,639,9783.700% due 04/01/24 2,210,000 2,215,0244.750% due 03/01/46 1,900,000 1,964,131

GlaxoSmithKline Capital PLC(United Kingdom)2.850% due 05/08/22 3,020,000 2,969,673

HCA Inc4.500% due 02/15/27 110,000 103,8135.000% due 03/15/24 1,333,000 1,336,3335.250% due 06/15/26 180,000 179,2265.500% due 06/15/47 640,000 588,8005.875% due 03/15/22 2,120,000 2,215,4005.875% due 05/01/23 827,000 860,0807.500% due 02/15/22 980,000 1,068,200

Humana Inc3.150% due 12/01/22 970,000 944,8483.950% due 03/15/27 860,000 846,9294.625% due 12/01/42 1,090,000 1,090,1914.800% due 03/15/47 130,000 134,1694.950% due 10/01/44 610,000 638,145

Johnson & Johnson3.625% due 03/03/37 1,810,000 1,771,066

Kraft Heinz Foods Co3.000% due 06/01/26 2,510,000 2,263,4293.500% due 06/06/22 20,000 19,8313.500% due 07/15/22 800,000 790,9523.950% due 07/15/25 720,000 700,6914.000% due 06/15/23 150,000 149,6684.375% due 06/01/46 1,350,000 1,171,3875.000% due 07/15/35 1,120,000 1,105,803

PrincipalAmount Value

5.000% due 06/04/42 $560,000 $536,0825.200% due 07/15/45 340,000 331,6985.375% due 02/10/20 1,219,000 1,261,104

Lamb Weston Holdings Inc4.875% due 11/01/26 ~ 1,410,000 1,374,750

Medtronic Global Holdings SCA3.350% due 04/01/27 2,110,000 2,057,233

Medtronic Inc3.125% due 03/15/22 430,000 426,8583.500% due 03/15/25 5,680,000 5,623,769

Merck & Co Inc2.750% due 02/10/25 1,510,000 1,444,410

Molson Coors Brewing Co3.500% due 05/01/22 500,000 498,474

Pernod Ricard SA (France)4.450% due 01/15/22 ~ 3,840,000 3,950,508

Philip Morris International Inc1.875% due 11/01/19 3,730,000 3,682,4182.500% due 08/22/22 2,560,000 2,463,9162.500% due 11/02/22 2,670,000 2,562,2902.900% due 11/15/21 1,460,000 1,437,755

Reynolds American Inc (United Kingdom)3.250% due 06/12/20 974,000 972,4965.850% due 08/15/45 1,090,000 1,195,4078.125% due 06/23/19 1,220,000 1,279,115

Spectrum Brands Inc5.750% due 07/15/25 800,000 794,000

Teva Pharmaceutical Finance Co BV(Israel)2.950% due 12/18/22 780,000 710,427

Teva Pharmaceutical Finance IV BV (Israel)3.650% due 11/10/21 1,230,000 1,178,785

Teva Pharmaceutical FinanceNetherlands III BV (Israel)1.700% due 07/19/19 700,000 683,5392.200% due 07/21/21 4,790,000 4,445,763

UBM PLC (United Kingdom)5.750% due 11/03/20 ~ 1,930,000 1,969,110

United Rentals North America Inc4.875% due 01/15/28 420,000 391,1255.500% due 07/15/25 1,350,000 1,365,1885.500% due 05/15/27 2,000,000 1,945,000

UnitedHealth Group Inc2.700% due 07/15/20 1,600,000 1,589,4772.875% due 12/15/21 1,130,000 1,119,1953.750% due 07/15/25 820,000 820,6393.875% due 10/15/20 2,610,000 2,652,4085.700% due 10/15/40 10,000 11,8855.800% due 03/15/36 860,000 1,019,591

Valeant Pharmaceuticals International8.500% due 01/31/27 ~ 270,000 274,7259.250% due 04/01/26 ~ 520,000 541,450

Valeant Pharmaceuticals International Inc5.500% due 03/01/23 ~ 320,000 299,2005.625% due 12/01/21 ~ 480,000 474,0007.000% due 03/15/24 ~ 1,800,000 1,889,4427.500% due 07/15/21 ~ 3,750,000 3,815,6259.000% due 12/15/25 ~ 360,000 374,850

Wm Wrigley Jr Co2.400% due 10/21/18 ~ 680,000 679,5532.900% due 10/21/19 ~ 2,380,000 2,374,349

209,471,619Energy - 5.3%

Anadarko Petroleum Corp4.850% due 03/15/21 1,160,000 1,194,4135.550% due 03/15/26 580,000 622,3566.600% due 03/15/46 2,070,000 2,494,6758.700% due 03/15/19 5,485,000 5,699,284

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-8

PACIFIC SELECT FUNDDIVERSIFIED BOND PORTFOLIOSchedule of Investments (Continued)June 30, 2018 (Unaudited)

PrincipalAmount Value

Apache Corp3.250% due 04/15/22 $492,000 $480,0364.250% due 01/15/44 2,240,000 1,986,1974.750% due 04/15/43 1,000,000 952,1836.000% due 01/15/37 1,010,000 1,103,7176.900% due 09/15/18 5,000,000 5,035,833

Baker Hughes a GE Co LLC3.200% due 08/15/21 58,000 57,814

BP Capital Markets PLC (United Kingdom)3.119% due 05/04/26 3,490,000 3,342,0713.216% due 11/28/23 3,640,000 3,571,4933.506% due 03/17/25 520,000 515,9133.535% due 11/04/24 350,000 347,4433.561% due 11/01/21 220,000 222,229

Cheniere Corpus Christi Holdings LLC5.125% due 06/30/27 1,370,000 1,363,150

Chesapeake Energy Corp5.750% due 03/15/23 600,000 570,0006.125% due 02/15/21 210,000 213,6758.000% due 12/15/22 ~ 235,000 247,561

Chevron Corp2.954% due 05/16/26 3,140,000 3,014,558

CNOOC Finance LLC (China)3.500% due 05/05/25 6,220,000 6,004,751

Concho Resources Inc4.300% due 08/15/28 # 1,460,000 1,461,0144.375% due 01/15/25 1,050,000 1,055,289

ConocoPhillips6.500% due 02/01/39 860,000 1,101,033

Continental Resources Inc4.375% due 01/15/28 880,000 874,206

Devon Energy Corp3.250% due 05/15/22 2,510,000 2,468,9135.000% due 06/15/45 3,330,000 3,397,4425.600% due 07/15/41 170,000 183,8525.850% due 12/15/25 3,650,000 4,023,001

Ecopetrol SA (Colombia)5.875% due 05/28/45 5,710,000 5,437,062

Energy Transfer Partners LP4.500% due 11/01/23 520,000 523,6575.875% due 03/01/22 1,770,000 1,873,397

Ensco PLC8.000% due 01/31/24 1,195,000 1,206,950

Enterprise Products Operating LLC6.066% (USD LIBOR + 3.708%)due 08/01/66 § 3,000,000 3,011,250

EOG Resources Inc4.150% due 01/15/26 1,370,000 1,402,976

Exxon Mobil Corp3.043% due 03/01/26 2,840,000 2,768,6534.114% due 03/01/46 1,250,000 1,274,351

Halliburton Co3.800% due 11/15/25 3,250,000 3,231,708

KazMunayGas National Co JSC(Kazakhstan)5.375% due 04/24/30 ~ 310,000 311,7486.375% due 10/24/48 ~ 1,100,000 1,113,613

Kerr-McGee Corp7.875% due 09/15/31 2,297,000 2,918,043

Kinder Morgan Energy Partners LP3.500% due 03/01/21 750,000 749,1043.500% due 09/01/23 1,410,000 1,373,2546.850% due 02/15/20 2,180,000 2,296,355

Kinder Morgan Inc4.300% due 03/01/28 760,000 737,7365.000% due 02/15/21 ~ 1,720,000 1,781,5825.300% due 12/01/34 1,029,000 1,015,971

MEG Energy Corp (Canada)7.000% due 03/31/24 ~ 340,000 319,175

PrincipalAmount Value

MPLX LP4.000% due 03/15/28 $190,000 $181,0734.500% due 04/15/38 2,070,000 1,916,7674.700% due 04/15/48 3,660,000 3,409,3404.875% due 12/01/24 1,670,000 1,723,2934.875% due 06/01/25 1,190,000 1,224,907

Noble Energy Inc3.850% due 01/15/28 1,900,000 1,818,5654.950% due 08/15/47 930,000 933,8165.250% due 11/15/43 1,270,000 1,296,5996.000% due 03/01/41 200,000 220,527

Oasis Petroleum Inc6.875% due 03/15/22 625,000 637,319

Occidental Petroleum Corp3.000% due 02/15/27 1,510,000 1,427,3253.125% due 02/15/22 1,350,000 1,345,4813.400% due 04/15/26 1,890,000 1,846,2644.100% due 02/15/47 2,110,000 2,065,1524.400% due 04/15/46 600,000 606,4414.625% due 06/15/45 1,280,000 1,340,559

Petrobras Global Finance BV (Brazil)5.299% due 01/27/25 ~ 13,551,000 12,538,0636.250% due 03/17/24 8,580,000 8,539,2457.250% due 03/17/44 3,430,000 3,185,6137.375% due 01/17/27 1,440,000 1,441,800

Petroleos Mexicanos (Mexico)5.500% due 01/21/21 1,570,000 1,618,2626.000% due 03/05/20 1,273,000 1,315,9646.375% due 01/23/45 520,000 480,2206.625% due 06/15/35 160,000 157,0006.875% due 08/04/26 3,110,000 3,276,385

QEP Resources Inc6.875% due 03/01/21 1,830,000 1,953,525

Range Resources Corp4.875% due 05/15/25 180,000 169,6505.000% due 03/15/23 4,040,000 3,945,0605.875% due 07/01/22 90,000 91,575

Sabine Pass Liquefaction LLC5.750% due 05/15/24 1,030,000 1,101,092

Schlumberger Holdings Corp3.000% due 12/21/20 ~ 2,570,000 2,555,9684.000% due 12/21/25 ~ 1,960,000 1,955,954

Schlumberger Norge AS4.200% due 01/15/21 ~ 50,000 51,101

Shell International Finance BV(Netherlands)2.875% due 05/10/26 2,090,000 1,987,4604.000% due 05/10/46 900,000 873,0614.375% due 03/25/20 4,150,000 4,258,8444.375% due 05/11/45 2,050,000 2,104,6144.550% due 08/12/43 1,200,000 1,271,552

Sinopec Group Overseas Development Ltd(China)4.375% due 04/10/24 ~ 4,560,000 4,657,620

The Williams Cos Inc7.500% due 01/15/31 6,475,000 7,733,4167.750% due 06/15/31 100,000 120,618

Transcontinental Gas Pipe Line Co LLC7.850% due 02/01/26 2,290,000 2,788,930

Western Gas Partners LP4.650% due 07/01/26 990,000 973,840

Williams Partners LP5.250% due 03/15/20 910,000 938,454

WPX Energy Inc6.000% due 01/15/22 60,000 62,7008.250% due 08/01/23 290,000 329,875

181,421,576

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-9

PrincipalAmount Value

Financial - 12.6%

ABN AMRO Bank NV (Netherlands)2.450% due 06/04/20 ~ $810,000 $796,9164.750% due 07/28/25 ~ 2,220,000 2,211,608

AerCap Ireland Capital DAC (Ireland)3.750% due 05/15/19 2,590,000 2,606,0104.500% due 05/15/21 1,010,000 1,030,5735.000% due 10/01/21 875,000 902,206

Ally Financial Inc7.500% due 09/15/20 32,000 34,320

Ambac Assurance Corp5.100% due 06/07/20 ~ 111,048 149,360

Ambac LSNI LLC (Cayman)7.337% (USD LIBOR + 5.000%)due 02/12/23 § ~ 505,742 513,985

American Express Credit Corp2.375% due 05/26/20 1,930,000 1,902,440

American International Group Inc3.750% due 07/10/25 2,610,000 2,522,935

Banco Santander SA (Spain)3.459% (USD LIBOR + 1.120%)due 04/12/23 § 1,000,000 999,4303.800% due 02/23/28 600,000 548,8933.848% due 04/12/23 2,600,000 2,544,6784.379% due 04/12/28 1,800,000 1,723,718

Bank of America Corp2.600% due 01/15/19 1,045,000 1,044,4263.004% due 12/20/23 ~ 8,404,000 8,154,1603.300% due 01/11/23 3,190,000 3,144,1593.419% due 12/20/28 ~ 9,774,000 9,211,2303.500% due 04/19/26 5,410,000 5,236,4413.550% due 03/05/24 3,370,000 3,336,5383.593% due 07/21/28 1,290,000 1,232,5464.000% due 04/01/24 2,280,000 2,300,8314.125% due 01/22/24 9,345,000 9,502,2444.200% due 08/26/24 4,930,000 4,957,6784.450% due 03/03/26 660,000 662,4795.000% due 01/21/44 3,310,000 3,510,9786.100% due 03/17/25 1,370,000 1,425,6916.250% due 09/05/24 2,990,000 3,128,288

Banque Federative du Credit Mutuel SA(France)2.200% due 07/20/20 ~ 1,130,000 1,104,139

Barclays PLC (United Kingdom)4.972% due 05/16/29 1,490,000 1,478,444

BNP Paribas SA (France)4.375% due 03/01/33 ~ 2,150,000 2,019,0224.625% due 03/13/27 ~ 1,110,000 1,091,037

BPCE SA (France)5.150% due 07/21/24 ~ 1,370,000 1,390,301

Brighthouse Financial Inc4.700% due 06/22/47 ~ 2,780,000 2,297,726

Chubb INA Holdings Inc2.300% due 11/03/20 950,000 928,9823.350% due 05/03/26 1,190,000 1,155,265

CIT Group Inc5.250% due 03/07/25 930,000 939,300

Citigroup Inc3.500% due 05/15/23 2,380,000 2,329,2054.075% due 04/23/29 3,400,000 3,339,7594.400% due 06/10/25 4,900,000 4,876,1134.450% due 09/29/27 7,030,000 6,924,3794.650% due 07/30/45 3,761,000 3,754,0184.750% due 05/18/46 440,000 419,6565.300% due 05/06/44 240,000 247,7825.500% due 09/13/25 4,580,000 4,868,3675.900% due 02/15/23 670,000 683,4005.950% due 01/30/23 1,820,000 1,854,1255.950% due 05/15/25 7,040,000 7,110,400

PrincipalAmount Value

6.300% due 05/15/24 $3,900,000 $3,963,0246.625% due 06/15/32 480,000 566,6216.675% due 09/13/43 580,000 702,7808.125% due 07/15/39 200,000 281,981

Commonwealth Bank of Australia(Australia)3.900% due 07/12/47 ~ 3,370,000 3,146,1215.000% due 10/15/19 ~ 1,060,000 1,087,488

Cooperatieve Rabobank UA (Netherlands)2.250% due 01/14/20 1,230,000 1,214,9934.375% due 08/04/25 5,000,000 4,908,0554.625% due 12/01/23 5,690,000 5,736,0924.750% due 01/15/20 ~ 2,140,000 2,193,4335.250% due 08/04/45 870,000 910,48311.000% due 06/30/19 ~ 4,830,000 5,192,250

Credit Agricole SA (France)2.500% due 04/15/19 ~ 1,280,000 1,277,3748.375% due 10/13/19 ~ 5,180,000 5,413,100

Credit Suisse Group Funding Guernsey Ltd(Switzerland)4.550% due 04/17/26 440,000 440,5374.875% due 05/15/45 5,980,000 5,919,616

GE Capital International Funding Co2.342% due 11/15/20 13,485,000 13,178,8793.373% due 11/15/25 3,577,000 3,439,249

Goldman Sachs Capital II4.000% (USD LIBOR + 0.768%)due 08/13/18 § 398,000 335,554

HSBC Bank USA NA4.875% due 08/24/20 1,750,000 1,802,7757.000% due 01/15/39 3,240,000 4,180,718

HSBC Holdings PLC (United Kingdom)3.400% due 03/08/21 8,230,000 8,229,5944.250% due 03/14/24 3,300,000 3,286,0134.250% due 08/18/25 3,460,000 3,401,0994.583% due 06/19/29 5,370,000 5,428,1846.250% due 03/23/23 3,390,000 3,330,6756.375% due 09/17/24 1,080,000 1,071,0256.500% due 03/23/28 3,390,000 3,258,6386.800% due 06/01/38 600,000 723,795

ING Bank NV (Netherlands)2.500% due 10/01/19 ~ 1,130,000 1,121,9735.800% due 09/25/23 ~ 5,370,000 5,694,666

International Lease Finance Corp5.875% due 08/15/22 910,000 967,0648.625% due 01/15/22 1,940,000 2,226,883

Intesa Sanpaolo SPA (Italy)3.125% due 07/14/22 ~ 2,100,000 1,939,5233.375% due 01/12/23 ~ 1,040,000 956,6443.875% due 07/14/27 ~ 3,590,000 3,102,2143.875% due 01/12/28 ~ 850,000 729,7554.375% due 01/12/48 ~ 660,000 515,2425.017% due 06/26/24 ~ 10,470,000 9,511,5265.710% due 01/15/26 ~ 350,000 320,407

JPMorgan Chase & Co2.550% due 03/01/21 600,000 588,1763.875% due 09/10/24 4,840,000 4,797,0244.250% due 10/15/20 3,230,000 3,300,2484.250% due 10/01/27 870,000 864,9454.350% due 08/15/21 690,000 709,8384.500% due 01/24/22 2,310,000 2,390,0644.950% due 06/01/45 3,380,000 3,445,121

KKR Group Finance Co II LLC5.500% due 02/01/43 ~ 350,000 365,644

Lloyds Bank PLC (United Kingdom)2.700% due 08/17/20 380,000 375,621

Lloyds Banking Group PLC(United Kingdom)3.574% due 11/07/28 630,000 582,1624.375% due 03/22/28 760,000 751,9554.500% due 11/04/24 3,000,000 2,968,601

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-10

PrincipalAmount Value

MetLife Inc4.750% due 02/08/21 $1,828,000 $1,899,068

Mitsubishi UFJ Financial Group Inc (Japan)2.998% due 02/22/22 1,590,000 1,561,385

Morgan Stanley3.737% due 04/24/24 5,230,000 5,202,6275.500% due 07/24/20 350,000 365,393

Navient Corp8.000% due 03/25/20 3,380,000 3,574,350

Nordea Bank AB (Sweden)4.875% due 05/13/21 ~ 7,870,000 8,097,321

Nuveen Finance LLC2.950% due 11/01/19 ~ 1,000,000 996,394

Quicken Loans Inc5.750% due 05/01/25 ~ 590,000 580,430

Reliance Standard Life Global Funding II2.500% due 01/15/20 ~ 640,000 633,409

Royal Bank of Canada (Canada)2.150% due 10/26/20 1,670,000 1,632,0653.200% due 04/30/21 1,740,000 1,739,819

Royal Bank of Scotland Group PLC(United Kingdom)4.519% due 06/25/24 200,000 200,2965.125% due 05/28/24 6,260,000 6,319,8136.000% due 12/19/23 4,240,000 4,452,9196.100% due 06/10/23 3,870,000 4,078,8856.125% due 12/15/22 1,910,000 2,011,456

Santander UK Group Holdings PLC(United Kingdom)5.625% due 09/15/45 ~ 610,000 628,254

Santander UK PLC (United Kingdom)2.375% due 03/16/20 990,000 975,196

Standard Chartered PLC (United Kingdom)3.869% (USD LIBOR + 1.510%)due 01/30/27 § ~ 3,900,000 3,422,2503.950% due 01/11/23 ~ 310,000 303,0645.700% due 03/26/44 ~ 3,150,000 3,296,968

Sumitomo Mitsui Financial Group Inc(Japan)2.058% due 07/14/21 2,320,000 2,225,653

Svenska Handelsbanken AB (Sweden)3.350% due 05/24/21 1,830,000 1,833,286

Teachers Insurance & Annuity Associationof America6.850% due 12/16/39 ~ 132,000 174,988

The Goldman Sachs Group Inc3.500% due 11/16/26 2,430,000 2,291,2123.850% due 07/08/24 1,690,000 1,676,4554.250% due 10/21/25 4,270,000 4,210,0034.750% due 10/21/45 3,400,000 3,370,6885.150% due 05/22/45 3,480,000 3,468,2885.250% due 07/27/21 2,570,000 2,701,8265.750% due 01/24/22 400,000 428,1085.950% due 01/15/27 1,733,000 1,879,8166.000% due 06/15/20 6,360,000 6,691,5706.250% due 02/01/41 6,880,000 8,042,9556.750% due 10/01/37 2,145,000 2,552,402

The Toronto-Dominion Bank (Canada)3.250% due 06/11/21 2,100,000 2,100,088

UBS Group Funding Switzerland AG(Switzerland)3.491% due 05/23/23 ~ 5,620,000 5,495,9784.125% due 09/24/25 ~ 2,340,000 2,325,0834.253% due 03/23/28 ~ 4,190,000 4,166,085

US Bank NA3.150% due 04/26/21 1,720,000 1,723,757

Visa Inc3.150% due 12/14/25 3,940,000 3,814,6494.300% due 12/14/45 2,520,000 2,628,963

Wachovia Capital Trust III5.570% (USD LIBOR + 0.930%)due 08/13/18 § 6,220,000 6,165,575

PrincipalAmount Value

WEA Finance LLC REIT (Australia)3.750% due 09/17/24 ~ $4,730,000 $4,674,852

Wells Fargo & Co3.000% due 10/23/26 3,850,000 3,557,4053.450% due 02/13/23 2,330,000 2,285,1424.300% due 07/22/27 8,710,000 8,596,3154.400% due 06/14/46 1,650,000 1,512,6924.600% due 04/01/21 6,240,000 6,441,5184.650% due 11/04/44 1,600,000 1,526,4254.750% due 12/07/46 2,550,000 2,471,2904.900% due 11/17/45 3,920,000 3,890,8115.375% due 11/02/43 2,030,000 2,122,6885.606% due 01/15/44 1,567,000 1,688,161

Westpac Banking Corp (Australia)2.300% due 05/26/20 340,000 334,5802.600% due 11/23/20 1,960,000 1,929,770

429,962,062Industrial - 1.9%

ABB Finance USA Inc (Switzerland)4.375% due 05/08/42 390,000 400,595

Air 2 US8.027% due 10/01/20 ~ 161,775 164,303

Boeing Capital Corp4.700% due 10/27/19 1,360,000 1,394,867

Caterpillar Financial Services Corp1.931% due 10/01/21 2,315,000 2,223,991

DAE Funding LLC (United Arab Emirates)4.500% due 08/01/22 ~ 654,000 636,0155.000% due 08/01/24 ~ 620,000 597,060

Eaton Corp2.750% due 11/02/22 3,849,000 3,739,6124.150% due 11/02/42 1,040,000 1,005,883

General Electric Co3.150% due 09/07/22 1,369,000 1,341,6894.375% due 09/16/20 396,000 406,1604.500% due 03/11/44 2,610,000 2,562,6604.650% due 10/17/21 98,000 101,9525.300% due 02/11/21 1,378,000 1,441,3765.500% due 01/08/20 260,000 269,5155.875% due 01/14/38 450,000 511,5356.000% due 08/07/19 2,786,000 2,877,6356.150% due 08/07/37 317,000 371,4316.875% due 01/10/39 3,306,000 4,191,499

Harris Corp4.854% due 04/27/35 530,000 542,0575.054% due 04/27/45 1,470,000 1,524,568

Lockheed Martin Corp3.100% due 01/15/23 300,000 296,3303.550% due 01/15/26 3,240,000 3,192,8084.500% due 05/15/36 580,000 603,398

Northrop Grumman Corp2.930% due 01/15/25 1,460,000 1,387,8503.250% due 01/15/28 5,430,000 5,119,115

Park Aerospace Holdings Ltd (Ireland)5.250% due 08/15/22 ~ 550,000 546,5685.500% due 02/15/24 ~ 890,000 880,913

Raytheon Co3.125% due 10/15/20 1,680,000 1,688,283

Reynolds Group Issuer Inc5.125% due 07/15/23 ~ 270,000 266,9635.750% due 10/15/20 959,417 964,2146.875% due 02/15/21 478,222 484,797

The Boeing Co4.875% due 02/15/20 5,560,000 5,743,305

Union Pacific Corp3.750% due 07/15/25 1,210,000 1,214,1443.950% due 09/10/28 3,890,000 3,914,9504.500% due 09/10/48 2,350,000 2,380,948

United Parcel Service Inc2.500% due 04/01/23 910,000 879,4403.050% due 11/15/27 640,000 609,645

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-11

PrincipalAmount Value

United Technologies Corp4.500% due 04/15/20 $2,630,000 $2,699,4144.500% due 06/01/42 540,000 534,394

Waste Management Inc3.500% due 05/15/24 1,750,000 1,734,9817.375% due 05/15/29 1,910,000 2,385,289

WestRock RKT Co3.500% due 03/01/20 990,000 992,3344.000% due 03/01/23 1,150,000 1,164,840

65,989,326Technology - 1.4%

Apple Inc2.000% due 11/13/20 2,040,000 2,004,6352.450% due 08/04/26 4,090,000 3,756,679

Broadcom Corp3.125% due 01/15/25 1,610,000 1,495,4343.875% due 01/15/27 240,000 227,329

Dell International LLC3.480% due 06/01/19 ~ 5,890,000 5,906,1854.420% due 06/15/21 ~ 5,450,000 5,531,044

First Data Corp5.000% due 01/15/24 ~ 4,790,000 4,772,0377.000% due 12/01/23 ~ 270,000 281,902

Intel Corp3.700% due 07/29/25 890,000 896,3523.734% due 12/08/47 ~ 729,000 687,995

Microsoft Corp2.400% due 08/08/26 7,810,000 7,229,8352.700% due 02/12/25 1,080,000 1,036,4092.875% due 02/06/24 4,410,000 4,319,0103.300% due 02/06/27 6,100,000 6,026,9923.450% due 08/08/36 150,000 143,7933.950% due 08/08/56 1,100,000 1,087,9404.100% due 02/06/37 260,000 271,229

salesforce.com Inc3.250% due 04/11/23 1,720,000 1,711,5333.700% due 04/11/28 610,000 606,129

47,992,462Utilities - 1.2%

AES Corp4.875% due 05/15/23 1,170,000 1,172,9255.500% due 04/15/25 304,000 307,800

Berkshire Hathaway Energy Co6.125% due 04/01/36 586,000 723,890

Duke Energy Corp3.550% due 09/15/21 1,350,000 1,356,3733.950% due 08/15/47 440,000 402,935

FirstEnergy Corp3.900% due 07/15/27 3,750,000 3,643,3774.250% due 03/15/23 4,980,000 5,063,4154.850% due 07/15/47 900,000 923,0647.375% due 11/15/31 12,550,000 16,295,205

Pacific Gas & Electric Co6.050% due 03/01/34 5,602,000 6,065,011

PacifiCorp5.650% due 07/15/18 1,860,000 1,861,953

Virginia Electric & Power Co6.350% due 11/30/37 2,130,000 2,680,566

40,496,514Total Corporate Bonds & Notes

(Cost $1,182,813,941) 1,175,721,127

SENIOR LOAN NOTES - 5.0%

Communications - 1.2%

Ancestry.com Operations Inc5.350% (USD LIBOR + 3.250%)due 10/19/23 § 1,619,293 1,618,618

CBS Radio Inc Term B4.838% (USD LIBOR + 2.750%)due 11/17/24 § 1,970,100 1,960,659

PrincipalAmount Value

CenturyLink Inc Term B4.844% (USD LIBOR + 2.750%)due 01/31/25 § $1,036,970 $1,017,341

Charter Communications Operating LLCTerm B4.100% (USD LIBOR + 2.000%)due 04/30/25 § 4,185,524 4,186,474

CSC Holdings LLC4.323% (USD LIBOR + 2.250%)due 07/17/25 § 813,738 808,847

Level 3 Financing Inc Term B4.334% (USD LIBOR + 2.250%)due 02/22/24 § 4,130,000 4,125,482

Numericable Group SA Term B12 (France)5.348% (USD LIBOR + 3.000%)due 01/31/26 § 3,262,960 3,216,055

Sinclair Television Group Inc Term B1due 12/12/24 ∞ 3,660,000 3,659,067

Sprint Communications Inc Term B4.625% (USD LIBOR + 2.500%)due 02/02/24 § 4,043,813 4,027,387

Unitymedia Finance LLCTerm B4.323% (USD LIBOR + 2.250%)due 09/30/25 § 1,377,000 1,370,401Term D4.323% (USD LIBOR + 2.250%)due 01/15/26 § 2,750,000 2,739,687

Univision Communications Inc Term C54.844% (USD LIBOR + 2.750%)due 03/15/24 § 4,956,306 4,798,765

UPC Financing Partnership Term AR4.573% (USD LIBOR + 2.500%)due 01/15/26 § 1,849,500 1,831,699

Virgin Media Bristol LLC Term K4.573% (USD LIBOR + 2.500%)due 01/15/26 § 2,191,848 2,178,833

Ziggo Secured Finance Partnership Term E4.573% (USD LIBOR + 2.500%)due 04/15/25 § 2,496,000 2,473,381

40,012,696Consumer, Cyclical - 1.4%

Academy Ltd Term B5.988% (USD LIBOR + 4.000%)due 07/01/22 § 2,736,128 2,288,087

American Axle & Manufacturing Inc Term B4.350% (USD LIBOR + 2.250%)due 04/06/24 § 2,296,957 2,291,789

American Builders & Contractors Supply CoInc Term B4.094% (USD LIBOR + 2.000%)due 10/31/23 § 3,549,728 3,527,137

Aramark Services Inc Term B34.084% (USD LIBOR + 1.750%)due 03/11/25 § 3,062,325 3,064,239

Aristocrat Technologies Inc4.105% (USD LIBOR + 1.750%)due 10/19/24 § 2,302,343 2,291,260

Beacon Roofing Supply Inc Term B4.285% (USD LIBOR + 2.250%)due 01/02/25 § 2,180,894 2,173,056

Boyd Gaming Corp Term B34.488% (USD LIBOR + 2.500%)due 09/15/23 § 1,969,500 1,977,764

Caesars Resort Collection LLC Term B4.844% (USD LIBOR + 2.750%)due 12/22/24 § 3,369,686 3,367,880

CityCenter Holdings LLC Term B4.344% (USD LIBOR + 2.250%)due 04/18/24 § 400,168 398,709

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-12

PrincipalAmount Value

CWGS Group LLC4.775% (USD LIBOR + 2.750%)due 11/08/23 § $1,477,500 $1,465,265

Four Seasons Hotels Ltd (Canada)4.094% (USD LIBOR + 2.000%)due 11/30/23 § 1,979,899 1,977,425

Golden Nugget Inc Term B4.823% (USD LIBOR + 2.750%)due 10/04/23 § 3,735,965 3,743,844

Hilton Worldwide Finance LLC Term B23.841% (USD LIBOR + 1.750%)due 10/25/23 § 3,148,411 3,150,215

Michaels Stores Inc Term B4.584% (USD LIBOR + 2.500%)due 01/28/23 § 2,249,053 2,234,434

New Red Finance Term B3 (Canada)4.344% (USD LIBOR + 2.250%)due 02/16/24 § 3,426,167 3,411,692

Party City Holdings Inc Term B4.992% (USD LIBOR + 2.750%)due 08/19/22 § 2,597,891 2,600,123

PetSmart Inc Term B25.010% (USD LIBOR + 3.000%)due 03/11/22 § 4,574,310 3,800,108

Scientific Games International Inc Term B54.906% (USD LIBOR + 2.750%)due 08/14/24 § 3,691,740 3,682,049

Station Casinos LLC Term B4.600% (USD LIBOR + 2.500%)due 06/08/23 § 1,698,962 1,698,967

49,144,043Consumer, Non-Cyclical - 1.2%

Albertsons LLCTerm B44.844% (USD LIBOR + 2.750%)due 08/25/21 § 1,425,600 1,412,792Term B65.319% (USD LIBOR + 3.000%)due 06/22/23 § 2,691,488 2,667,658

Brickman Group Ltd LLC5.465% (USD LIBOR + 3.000%)due 12/18/20 § 1,073,358 1,075,818

Catalent Pharma Solutions Inc Term B4.344% (USD LIBOR + 2.250%)due 05/20/24 § 2,834,582 2,835,245

Change Healthcare Holdings LLC Term B4.844% (USD LIBOR + 2.750%)due 03/01/24 § 4,118,904 4,110,407

Global Medical Response Inc Term B15.280% (USD LIBOR + 3.250%)due 04/28/22 § 2,222,799 2,161,672

HCA Inc Term B104.094% (USD LIBOR + 2.000%)due 03/13/25 § 1,781,281 1,788,851

Jaguar Holding Co II4.594% (USD LIBOR + 2.500%)due 08/18/22 § 3,438,387 3,421,911

MPH Acquisition Holdings LLC Term B5.084% (USD LIBOR + 2.750%)due 06/07/23 § 4,112,099 4,096,358

Parexel International Corp Term B4.844% (USD LIBOR + 2.750%)due 09/27/24 § 763,687 760,505

Post Holdings Inc Series A4.100% (USD LIBOR + 2.000%)due 05/24/24 § 3,453,591 3,446,214

Prime Security Services Borrower LLC4.844% (USD LIBOR + 2.750%)due 05/02/22 § 3,745,917 3,733,919

PrincipalAmount Value

ServiceMaster Co Term B4.594% (USD LIBOR + 2.500%)due 11/08/23 § $992,443 $994,428

Trans Union LLC Term B34.094% (USD LIBOR + 2.000%)due 04/10/23 § 3,701,269 3,695,717

Valeant Pharmaceuticals International IncTerm B (Canada)4.983% (USD LIBOR + 3.000%)due 06/01/25 § 3,762,139 3,754,633

39,956,128Financial - 0.2%

Lions Gate Capital Holdings LLC Term B4.341% (USD LIBOR + 2.250%)due 03/24/25 § 597,061 595,568

MGM Growth Properties OperatingPartnership LP Term B4.094% (USD LIBOR + 2.000%)due 04/25/23 § ∞ 3,710,890 3,711,662

RPI Finance Trust Term B64.334% (USD LIBOR + 2.000%)due 03/27/23 § 1,658,714 1,659,898

VICI Properties 1 LLC Term B4.084% (USD LIBOR + 2.000%)due 12/20/24 § 2,291,364 2,280,383

8,247,511Industrial - 0.6%

Avolon SARL Term B34.088% (USD LIBOR + 2.000%)due 01/15/25 § 4,199,696 4,155,810

Berry Global Inc Term Q4.075% (USD LIBOR + 2.000%)due 10/01/22 § 4,197,759 4,197,759

Quikrete Holdings Inc4.844% (USD LIBOR + 2.750%)due 11/15/23 § 2,557,499 2,550,394

Reynolds Group Holdings Inc4.844% (USD LIBOR + 2.750%)due 02/05/23 § 3,792,946 3,792,419

Wrangler Buyer Corp Term B4.844% (USD LIBOR + 2.750%)due 09/27/24 § 1,416,008 1,415,123

XPO Logistics Inc Term B4.091% (USD LIBOR + 2.000%)due 02/24/25 § 3,188,916 3,170,774

19,282,279Technology - 0.4%

Dell International LLC Term B4.100% (USD LIBOR + 2.000%)due 09/07/23 § 3,890,450 3,877,771

First Data Corp4.091% (USD LIBOR + 2.000%)due 07/08/22 § 2,799,792 2,786,4934.091% (USD LIBOR + 2.000%)due 04/26/24 § 1,213,364 1,207,601

MA FinanceCo LLC Term B34.844% (USD LIBOR + 2.750%)due 06/21/24 § 72,176 71,747

ON Semiconductor Corp Term B3.844% (USD LIBOR + 1.750%)due 03/31/23 § 2,588,447 2,590,243

Seattle Spinco Inc Term B34.844% (USD LIBOR + 2.750%)due 06/21/24 § 487,422 487,016

Western Digital Corp Term B43.844% (USD LIBOR + 1.750%)due 04/29/23 § 3,523,341 3,527,379

14,548,250

Total Senior Loan Notes(Cost $173,701,494) 171,190,907

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-13

PrincipalAmount Value

MORTGAGE-BACKED SECURITIES - 41.6%

Collateralized Mortgage Obligations - Commercial - 6.1%

Banc of America CommercialMortgage Trust5.734% due 04/10/49 § $1,181,609 $726,279

BBCCRE Trust4.715% due 08/10/33 § ~ 9,930,000 8,576,610

BENCHMARK Mortgage Trust3.666% due 01/15/51 9,290,000 9,285,984

CD Commercial Mortgage Trust5.398% due 12/11/49 § 146,316 87,424

CD Mortgage Trust3.431% due 08/15/50 3,890,000 3,808,4685.688% due 10/15/48 516,001 260,580

CD Mortgage Trust (IO)1.478% due 05/10/50 § 32,183,104 2,700,111

CGRBS Commercial Mortgage Trust3.369% due 03/13/35 ~ 160,000 159,843

Citigroup Commercial Mortgage Trust4.017% due 10/10/47 2,610,000 2,621,5725.482% due 10/15/49 708,271 676,7616.337% due 12/10/49 § 680,000 320,839

Cold Storage Trust3.323% (USD LIBOR + 1.250%)due 04/15/36 § ~ 7,270,000 7,301,837

Commercial Mortgage Trust3.086% due 04/12/35 § ~ 880,000 859,7414.300% due 10/10/46 510,000 523,5784.762% due 10/10/46 § 450,000 464,7474.993% due 08/15/45 § ~ 2,390,000 2,276,0845.247% due 10/10/46 § 220,000 218,2685.247% due 10/10/46 § ~ 510,000 371,044

Commercial Mortgage Trust (IO)2.038% due 10/15/45 § 26,422,349 1,728,532

Credit Suisse Commercial Mortgage Trust5.373% due 12/15/39 4,753,245 3,885,7115.869% due 09/15/40 § 675,480 656,2096.600% due 06/15/38 § 581,678 364,109

Credit Suisse Mortgage Trust3.881% due 11/15/37 ~ 780,000 792,6053.953% due 09/15/37 ~ 1,800,000 1,819,7004.373% due 09/15/37 ~ 3,800,000 3,442,4357.693% (USD LIBOR + 5.620%)due 07/15/32 § ~ 7,500,000 7,481,347

CSAIL Commercial Mortgage Trust3.500% due 11/15/48 § ~ 3,400,000 2,062,144

Fannie Mae - Aces3.196% due 11/25/27 § 630,000 614,487

Fannie Mae - Aces (IO)0.468% due 10/25/24 § 110,105,975 2,125,629

Freddie Mac Multifamily Structured Pass-Through Certificates (IO)0.844% due 01/25/24 § 91,649,935 3,159,1551.205% due 04/25/20 § 14,431,910 215,6001.672% due 10/25/21 § 1,333,910 54,2751.752% due 07/25/21 § 6,147,525 249,377

Freddie Mac Structured Pass-Through Certificates3.089% due 11/25/27 500,000 483,240

FREMF Mortgage Trust (IO)0.200% due 05/25/45 ~ 57,690,824 356,725

GE Commercial Mortgage Corp Trust5.677% due 12/10/49 § 6,530,000 2,182,391

GMAC Commercial MortgageSecurities Inc Trust5.349% due 11/10/45 § 266,371 247,065

Government National Mortgage Association3.365% due 03/16/57 § 3,782,192 3,615,868

PrincipalAmount Value

Government National MortgageAssociation (IO)0.467% due 01/16/53 § $78,851,285 $2,358,9540.772% due 11/16/55 § 32,702,934 1,469,186

GS Mortgage Securities Corp II3.281% (USD LIBOR + 1.300%)due 09/15/31 § ~ 8,570,000 8,581,4083.777% due 05/10/50 § 3,880,000 3,881,7844.148% due 05/10/50 § 550,000 549,225

GS Mortgage Securities Corp Trust3.721% due 02/10/37 ~ 2,940,000 2,930,162

GS Mortgage Securities Trust3.469% due 11/10/50 3,710,000 3,625,3104.470% due 02/10/48 § 2,680,000 2,591,0304.569% due 11/10/48 § ~ 3,400,000 2,180,8644.809% due 10/10/48 § 3,970,000 4,000,3284.923% due 08/10/46 § ~ 730,000 557,0405.161% due 11/10/46 § 1,070,000 1,138,1045.622% due 11/10/39 1,591,018 1,373,6695.979% due 08/10/45 § 1,550,690 1,583,875

JP Morgan Chase Commercial MortgageSecurities Trust5.411% due 05/15/47 6,200,000 4,464,1035.438% due 01/15/49 ~ 10,060,000 1,717,5215.502% due 06/12/47 § 6,325,000 5,279,1935.503% due 01/15/49 § 6,140,000 1,048,2046.011% due 02/12/49 § 1,416,549 1,069,3866.168% due 02/15/51 § 84,304 82,7888.298% (USD LIBOR + 6.225%)due 10/15/19 § ~ 1,900,000 1,910,404

JPMBB Commercial MortgageSecurities Trust3.914% due 11/15/47 § 2,960,000 2,980,8464.564% due 11/15/47 § 4,295,000 4,239,5684.771% due 08/15/48 § 3,100,000 3,168,7225.044% due 01/15/47 § 510,000 532,9175.253% due 11/15/45 § 950,000 986,223

LSTAR Commercial Mortgage Trust2.729% due 04/20/48 § ~ 7,967,420 7,883,330

Magnolia Finance X Ltd (Ireland)3.238% (GBP LIBOR + 2.483%)due 03/12/20 § ~ ± GBP 6,428,461 8,271,8654.504% (GBP LIBOR + 3.750%)due 03/12/20 § ~ ± 2,116,925 2,723,968

ML-CFC Commercial Mortgage Trust5.450% due 08/12/48 § $1,436,293 1,098,8215.450% due 08/12/48 § ~ 181,350 138,7406.193% due 09/12/49 § 1,787,380 1,415,690

Morgan Stanley Bank of America MerrillLynch Trust3.536% due 11/15/52 8,090,000 7,956,8613.720% due 12/15/49 3,710,000 3,712,002

Morgan Stanley Capital I Trust5.438% due 03/15/44 192,605 192,553

One Market Plaza Trust3.614% due 02/10/32 ~ 9,330,000 9,322,244

Rosslyn Portfolio Trust3.023% (USD LIBOR + 0.950%)due 06/15/33 § ~ 3,890,000 3,896,019

Waterfall Commercial Mortgage Trust4.104% due 09/14/22 § ~ 3,906,827 3,812,847

Wells Fargo Commercial Mortgage Trust3.250% due 02/15/48 ~ 5,670,000 3,506,8443.500% due 07/15/46 ~ 620,000 417,9283.848% due 05/15/48 § 3,700,000 3,528,9324.238% due 05/15/48 § 4,325,000 3,777,050

WFRBS Commercial Mortgage Trust4.114% due 06/15/46 § ~ 1,750,000 1,590,6224.204% due 11/15/47 § 3,830,000 3,711,5944.723% due 03/15/47 § 340,000 351,283

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-14

PrincipalAmount Value

WFRBS Commercial Mortgage Trust (IO)1.275% due 03/15/47 § $10,312,691 $451,2001.580% due 06/15/45 § ~ 2,783,357 118,385

208,955,966Collateralized Mortgage Obligations - Residential - 11.8%

Adjustable Rate Mortgage Trust2.591% (USD LIBOR + 0.500%)due 03/25/36 § 501,637 262,2503.809% due 10/25/35 § 4,565,995 4,216,852

Alternative Loan Trust6.000% due 03/25/27 85,698 88,0916.000% due 05/25/36 3,830,927 3,057,2576.500% due 09/25/34 82,135 82,8586.500% due 09/25/36 1,886,607 1,541,68712.340% (16.940% - USD LIBOR)due 06/25/35 § 4,652,168 5,225,48020.236% (28.600% - USD LIBOR)due 07/25/36 § 1,329,586 1,884,545

BCAP LLC Trust2.360% due 03/28/37 § ~ 6,317,007 6,165,221

Chevy Chase Funding LLC Mortgage-Backed Certificates2.271% (USD LIBOR + 0.180%)due 08/25/47 § ~ 473,194 394,624

Citigroup Mortgage Loan Trust3.744% due 04/25/37 § 969,260 909,8466.500% due 10/25/36 ~ 2,048,913 1,546,413

Countrywide Home Loan MortgagePass-Through Trust5.500% due 07/25/35 1,347,460 1,301,3485.750% due 02/25/37 5,840,346 4,906,771

Credit Suisse Mortgage Trust2.160% (USD LIBOR + 0.200%)due 06/27/46 § ~ 20,506,355 17,658,3293.500% due 02/25/48 § ~ 34,600,000 33,841,9143.632% due 01/27/36 § ~ 12,554,547 11,263,422

Fannie Mae2.441% (USD LIBOR + 0.350%)due 05/25/34 § 509,482 510,0774.000% due 04/25/40 - 07/25/40 30,373,685 31,022,5175.500% due 04/25/42 3,739,855 4,063,0926.000% due 05/25/42 1,307,155 1,431,0676.500% due 06/25/39 - 07/25/42 2,870,679 3,216,5867.000% due 05/25/42 530,046 610,643

Fannie Mae (IO)1.103% due 10/25/35 494,843 35,1211.238% due 08/25/55 § 1,635,917 80,9791.275% due 04/25/36 342,340 29,9061.444% due 08/25/44 § 4,653,544 255,9493.000% due 11/25/26 - 09/25/32 10,360,852 918,4223.500% due 07/25/28 - 11/25/41 4,106,539 642,4164.000% due 11/25/41 3,570,773 756,8524.059% (6.150% - USD LIBOR)due 09/25/41 - 08/25/45 § 12,963,041 1,914,5994.389% (6.480% - USD LIBOR)due 04/25/40 § 726,903 120,9034.500% due 11/25/39 452,054 100,4624.509% (6.600% - USD LIBOR)due 07/25/42 § 611,925 103,8684.559% (6.650% - USD LIBOR)due 02/25/41 - 03/25/42 § 2,324,750 281,1355.000% due 01/25/38 - 01/25/39 1,032,017 212,1675.000% due 01/25/39 § 273,346 63,5295.500% due 01/25/39 § 256,548 49,0016.000% due 01/25/38 - 07/25/38 1,124,764 243,95913.300% due 12/25/36 1,403,928 139,33213.988% due 07/25/36 411,868 38,60415.277% due 12/25/36 926,466 66,757

PrincipalAmount Value

Fannie Mae (PO)0.444% due 03/25/42 $151,930 $136,7480.561% due 03/25/42 91,158 79,822

Fannie Mae Connecticut Avenue Securities7.091% (USD LIBOR + 5.000%)due 11/25/24 § 5,146,046 5,802,3907.341% (USD LIBOR + 5.250%)due 10/25/23 § 2,610,000 3,014,960

Flagstar Mortgage Trust3.500% due 04/25/48 § ~ 13,816,187 13,599,314

Freddie Mac3.073% (USD LIBOR + 1.000%)due 02/15/32 § 75,549 77,3703.500% due 10/15/37 2,700,000 2,654,4654.000% due 12/15/39 7,486,647 7,675,0135.000% due 02/15/30 - 03/15/35 12,265,172 12,948,3256.000% due 05/15/36 2,339,671 2,578,596

Freddie Mac (IO)0.250% due 01/15/38 § 144,302 1,1281.404% due 04/15/41 § 2,437,789 115,2023.000% due 12/15/31 1,074,061 103,5693.500% due 06/15/27 - 04/15/43 6,374,835 744,1343.877% (5.950% - USD LIBOR)due 10/15/41 § 1,974,569 288,2583.927% (6.000% - USD LIBOR)due 05/15/44 § 7,833,107 1,208,0193.957% (6.030% - USD LIBOR)due 09/15/37 § 1,490,789 189,8523.977% (6.050% - USD LIBOR)due 08/15/39 § 1,417,432 164,5794.000% due 04/15/43 896,079 124,5464.127% (6.200% - USD LIBOR)due 05/15/39 § 1,151,379 119,8334.157% (6.230% - USD LIBOR)due 01/15/40 § 301,353 39,7524.177% (6.250% - USD LIBOR)due 09/15/42 § 1,280,150 161,9184.217% (6.290% - USD LIBOR)due 11/15/36 § 533,453 70,780

Freddie Mac Structured Agency Credit RiskDebt Notes5.341% (USD LIBOR + 3.250%)due 07/25/29 § 17,670,000 19,061,2836.591% (USD LIBOR + 4.500%)due 02/25/24 § 3,590,000 4,143,0577.041% (USD LIBOR + 4.950%)due 07/25/29 § 4,410,000 5,022,22411.441% (USD LIBOR + 9.350%)due 04/25/28 § 2,872,179 3,753,193

Government National Mortgage Association2.217% (USD LIBOR + 0.300%)due 02/20/68 - 05/20/68 § 4,852,890 4,843,2972.267% (USD LIBOR + 0.350%)due 08/20/58 § 15,410,126 15,402,4092.350% (USD LIBOR + 0.300%)due 05/20/68 § ± 1,142,000 1,141,2922.417% (USD LIBOR + 0.500%)due 03/20/61 § 2,294,538 2,301,9012.750% due 03/20/48 2,069,465 2,002,0772.976% (USD LIBOR + 1.000%)due 05/20/60 § 519,169 526,7624.500% due 10/20/39 7,615,847 7,836,6735.000% due 07/20/39 3,000,000 3,160,490

Government National MortgageAssociation (IO)0.698% due 11/20/42 § 378,060 12,2673.500% due 04/20/27 - 05/20/43 4,904,153 488,4793.516% (5.600% - USD LIBOR)due 08/20/44 § 2,183,592 288,532

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-15

PrincipalAmount Value

4.000% due 04/16/45 $1,797,770 $351,7024.015% (6.100% - USD LIBOR)due 08/16/42 § 1,179,907 181,7314.065% (6.150% - USD LIBOR)due 06/16/43 § 2,224,211 238,3244.115% (6.200% - USD LIBOR)due 10/16/42 § 1,617,921 261,7064.396% (6.480% - USD LIBOR)due 04/20/40 § 194,378 26,7204.416% (6.500% - USD LIBOR)due 03/20/39 § 210,222 8,9084.466% (6.550% - USD LIBOR)due 06/20/40 § 3,001,047 491,3444.515% (6.600% - USD LIBOR)due 04/16/42 § 3,096,731 623,0074.566% (6.650% - USD LIBOR)due 01/20/40 § 250,004 23,7245.000% due 10/20/44 9,366,032 2,132,955

GSMPS Mortgage Loan Trust2.441% (USD LIBOR + 0.350%)due 03/25/35 § ~ 1,000,004 942,442

GSMSC Resecuritization Trust2.570% (USD LIBOR + 0.610%)due 11/26/37 § ~ 13,880,000 12,030,240

GSR Mortgage Loan Trust4.070% due 07/25/35 § 338,771 327,451

Impac CMB Trust2.611% (USD LIBOR + 0.520%)due 11/25/35 § 2,903,311 2,416,899

IndyMac INDX Mortgage Loan Trust2.351% (USD LIBOR + 0.260%)due 06/25/35 § 1,847,044 1,758,282

JP Morgan Mortgage Trust3.500% due 09/25/48 § ~ 17,648,708 17,372,6153.500% due 10/25/48 § ~ 29,089,601 28,660,8463.786% due 08/25/35 § 1,080,295 1,091,016

Lehman Mortgage Trust2.841% (USD LIBOR + 0.750%)due 12/25/35 § 5,233,340 4,176,2036.000% due 05/25/37 1,179,375 1,186,191

MASTR Adjustable Rate Mortgages Trust3.809% due 04/21/34 § 1,109,108 1,143,001

MASTR Reperforming Loan Trust7.000% due 08/25/34 ~ 1,476,364 1,453,150

Merrill Lynch Mortgage Investors Trust3.989% due 06/25/35 § 1,934,423 1,937,212

Morgan Stanley Mortgage Loan Trust3.747% due 07/25/35 § 1,315,823 1,231,5134.231% due 07/25/34 § 442,391 438,184

Morgan Stanley Resecuritization Trust2.174% (US FED + 0.710%)due 12/27/46 § ~ 26,397,068 20,706,5572.234% (US FED + 0.770%)due 04/26/47 § ~ 4,379,000 4,021,079

NAAC Reperforming Loan REMIC TrustCertificates6.500% due 02/25/35 ~ 1,984,094 2,010,818

New Residential Mortgage Loan Trust4.000% due 05/25/57 § ~ 6,981,138 7,082,216

Nomura Resecuritization Trust2.464% (US FED + 1.000%)due 08/26/46 § ~ 5,855,041 5,082,132

RAAC Trust6.000% due 09/25/34 23,198 23,263

RBSSP Resecuritization Trust4.394% due 12/26/35 § ~ 6,094 6,099

Residential Asset Securitization Trust2.591% (USD LIBOR + 0.500%)due 07/25/36 § 544,173 451,4196.000% due 08/25/36 1,274,729 1,134,822

PrincipalAmount Value

Structured Adjustable Rate MortgageLoan Trust3.700% due 05/25/36 § $2,435,293 $2,233,8023.841% due 08/25/36 § 6,826,759 6,235,391

WaMu Mortgage Pass-ThroughCertificates Trust2.814% due 10/25/36 § 1,265,831 1,174,6433.368% due 09/25/33 § 179,559 185,2263.565% due 07/25/37 § 3,332,124 3,108,436

Washington Mutual Mortgage Pass-ThroughCertificates Trust2.258% (US FED + 0.700%)due 01/25/47 § 6,723,778 5,458,8526.000% due 07/25/36 677,688 560,814

Wells Fargo Mortgage Loan Trust3.148% due 08/27/35 § ~ 526,880 530,747

Wells Fargo Mortgage-BackedSecurities Trust6.000% due 08/25/37 783,812 780,772

404,429,814Fannie Mae - 9.6%

2.500% due 01/01/28 - 02/01/28 2,173,301 2,130,2432.810% due 04/01/25 120,000 116,7573.000% due 07/01/33 - 07/01/48 68,018,481 66,188,0093.500% due 07/01/33 - 03/01/57 76,799,492 76,857,8714.000% due 10/01/42 - 06/01/57 47,802,021 49,103,4674.500% due 04/01/23 - 09/01/57 86,335,253 90,268,5915.000% due 07/01/33 - 07/01/48 33,340,156 35,479,8495.500% due 04/01/37 - 11/01/38 1,807,397 1,958,5126.000% due 04/01/33 - 08/01/37 529,089 583,4016.500% due 05/01/40 2,346,339 2,588,2417.000% due 02/01/39 1,140,603 1,268,909

326,543,850Freddie Mac - 5.5%

3.000% due 01/01/47 - 07/01/48 23,049,941 22,367,3223.500% due 10/01/42 - 03/01/45 15,184,830 15,188,3584.000% due 10/01/25 - 07/01/48 112,359,215 114,682,1464.500% due 07/01/23 - 05/01/47 20,330,338 21,390,4245.000% due 12/01/35 - 11/01/41 6,127,441 6,547,8075.500% due 08/01/37 - 12/01/38 1,629,317 1,765,9106.000% due 10/01/36 - 11/01/39 4,157,777 4,586,0426.500% due 09/01/39 723,618 806,4817.000% due 03/01/39 346,434 381,736

187,716,226Government National Mortgage Association - 8.6%

2.502% (USD LIBOR + 0.627%)due 08/20/60 § 738,260 748,3573.000% due 09/20/47 - 07/01/48 57,830,284 56,591,4813.500% due 10/20/47 - 07/01/48 13,529,575 13,592,5804.000% due 08/20/47 - 07/01/48 62,780,051 64,356,0404.500% due 01/20/40 - 07/01/48 118,359,551 123,192,0995.000% due 01/15/40 - 07/01/48 27,529,990 29,055,1955.500% due 06/15/36 432,309 472,1766.000% due 06/20/35 - 03/20/42 5,714,662 6,282,5316.500% due 10/20/37 657,119 750,771

295,041,230Total Mortgage-Backed Securities

(Cost $1,427,423,326) 1,422,687,086

ASSET-BACKED SECURITIES - 4.9%

Asset-Backed Pass-Through Certificates2.781% (USD LIBOR + 0.690%)due 04/25/34 § 569,437 572,486

Bayview Opportunity Master Fund IVa Trust3.000% due 03/28/57 § ~ 7,327,430 7,228,115

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-16

PrincipalAmount Value

Bear Stearns Asset-Backed Securities Trust3.231% (USD LIBOR + 1.140%)due 09/25/34 § $94,203 $94,562

CIT Mortgage Loan Trust3.591% (USD LIBOR + 1.500%)due 10/25/37 § ~ 17,500,000 18,050,939

Citigroup Mortgage Loan Trust2.161% (USD LIBOR + 0.070%)due 05/25/37 § 235,831 170,380

Citigroup Mortgage Loan Trust Inc2.241% (USD LIBOR + 0.150%)due 08/25/36 § 47,448 47,532

Community Funding Ltd CLO (Cayman)5.750% due 11/01/27 § ~ 9,180,000 8,978,701

Credit Suisse Mortgage Trust3.105% due 07/25/57 § ~ 9,880,000 9,576,645

Credit-Based Asset Servicing &Securitization LLC2.871% (USD LIBOR + 0.780%)due 07/25/33 § 876,163 834,789

Hertz Vehicle Financing II LP3.290% due 02/25/24 ~ 3,850,000 3,768,5133.560% due 10/25/21 ~ 9,620,000 9,547,1185.330% due 09/25/21 ~ 10,344,000 10,301,498

JGWPT XXXIII LLC3.500% due 06/15/77 ~ 6,313,565 6,142,041

Manufactured Housing Contract Trust Pass-Through Certificates5.546% (Auction Rate + 0.000%)due 02/20/32 § 200,000 200,1545.557% (Auction Rate + 0.000%)due 03/13/32 § 1,000,000 1,000,682

National Collegiate Student Loan Trust2.941% (USD LIBOR + 0.850%)due 03/25/38 § 18,354,002 12,723,724

Navient Student Loan Trust2.891% (USD LIBOR + 0.800%)due 07/26/66 § ~ 5,826,765 5,889,468

Origen Manufactured HousingContract Trust4.020% due 10/15/37 § 8,412,692 8,246,1224.580% due 04/15/37 § 5,070,657 4,800,192

RAMP Trust 2.361% (USD LIBOR +0.270%) due 10/25/36 § 4,072,236 4,030,294

SBA Small Business Investment Cos2.518% due 09/10/27 2,700,388 2,620,0873.187% due 03/10/28 2,460,000 2,453,256

SLM Student Loan EDC Repackaging Trust3.500% due 10/28/29 ~ 2,022,017 1,990,398

SLM Student Loan Trust2.510% (USD LIBOR + 0.150%)due 03/25/44 § 38,310,000 37,086,5893.091% (USD LIBOR + 0.750%)due 03/15/33 § ~ 3,509,258 3,514,126

Shares

SoFi Professional Loan Program LLC0.000% due 08/25/36 ~ 13 3,529,743

PrincipalAmount

Structured Asset Investment Loan Trust3.091% (USD LIBOR + 1.000%)due 10/25/33 § $1,637,985 1,629,289

United States Small BusinessAdministration2.840% due 04/01/37 1,267,122 1,215,585

Total Asset-Backed Securities(Cost $164,325,604) 166,243,028

PrincipalAmount Value

U.S. GOVERNMENT AGENCY ISSUES - 1.8%

Fannie Mae2.553% due 10/09/19 $22,680,000 $21,961,5446.625% due 11/15/30 15,850,000 21,352,518

Financing Corp2.241% due 11/02/18 12,210,000 12,117,6712.294% due 12/06/18 5,350,000 5,297,410

Total U.S. Government Agency Issues(Cost $60,240,498) 60,729,143

U.S. TREASURY OBLIGATIONS - 5.1%

U.S. Treasury Bonds - 3.5%

3.000% due 05/15/47 1,250,000 1,252,5883.125% due 05/15/48 40,190,000 41,275,6013.750% due 11/15/43 69,100,000 78,471,687

120,999,876U.S. Treasury Inflation Protected Securities - 0.7%

0.750% due 02/15/42 ^ 10,864,868 10,618,8520.875% due 02/15/47 ^ 1,421,759 1,423,2742.125% due 02/15/40 ^ 5,088,142 6,402,5592.125% due 02/15/41 ^ 2,962,805 3,755,079

22,199,764U.S. Treasury Notes - 0.9%

2.000% due 02/15/25 5,310,000 5,049,8932.125% due 03/31/24 4,490,000 4,333,9902.250% due 12/31/24 1,690,000 1,634,2172.625% due 06/30/23 # 8,540,000 8,496,8002.875% due 04/30/25 12,600,000 12,648,4812.875% due 05/15/28 5,000 5,008

32,168,389Total U.S. Treasury Obligations

(Cost $176,780,332) 175,368,029

FOREIGN GOVERNMENT BONDS & NOTES - 7.1%

Abu Dhabi Government(United Arab Emirates)2.500% due 10/11/22 ~ 4,960,000 4,758,500

Argentina POM Politica Monetaria(Argentina)40.000% (ARS Reference + 0.000%)due 06/21/20 § ARS 14,990,000 540,311

Argentine Bonos del Tesoro (Argentina)18.200% due 10/03/21 142,410,000 4,310,51121.200% due 09/19/18 2,323,000 77,736

Argentine Republic Government (Argentina)4.625% due 01/11/23 $2,540,000 2,244,4335.625% due 01/26/22 8,910,000 8,348,6705.875% due 01/11/28 280,000 228,3756.875% due 01/11/48 6,830,000 5,177,2087.125% due 07/06/36 1,240,000 999,1307.500% due 04/22/26 1,430,000 1,324,5387.625% due 04/22/46 1,850,000 1,502,200

Brazil Notas do Tesouro Nacional ‘F’(Brazil)10.000% due 01/01/21 BRL 58,211,000 15,262,56910.000% due 01/01/23 34,999,000 8,829,21210.000% due 01/01/27 6,493,000 1,530,497

Brazilian Government (Brazil)2.625% due 01/05/23 $660,000 601,5905.000% due 01/27/45 3,450,000 2,739,3355.625% due 01/07/41 4,690,000 4,084,9905.625% due 02/21/47 7,120,000 6,062,680

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-17

PrincipalAmount Value

China Government (China)3.310% due 11/30/25 ~ CNY 77,500,000 $11,183,5333.380% due 11/21/24 ~ 17,000,000 2,485,7113.390% due 05/21/25 ~ 20,500,000 2,980,054

Colombia Government (Colombia)5.625% due 02/26/44 $3,130,000 3,333,450

Ecuador Government (Ecuador)7.875% due 01/23/28 ~ 2,470,000 2,078,382

Egypt Government (Egypt)5.577% due 02/21/23 ~ 2,640,000 2,508,000

Indonesia Government (Indonesia)3.500% due 01/11/28 530,000 490,7683.750% due 04/25/22 ~ 1,490,000 1,477,4853.850% due 07/18/27 ~ 1,190,000 1,130,9634.350% due 01/11/48 1,460,000 1,310,7314.750% due 07/18/47 ~ 400,000 378,2294.875% due 05/05/21 ~ 6,730,000 6,933,5695.125% due 01/15/45 ~ 2,540,000 2,502,1975.250% due 01/08/47 ~ 2,930,000 2,939,3505.375% due 10/17/23 ~ 400,000 420,6355.875% due 03/13/20 ~ 260,000 271,0585.875% due 01/15/24 ~ 973,000 1,043,469

Japanese Government CPI Linked (Japan)0.100% due 03/10/26 ^ JPY 1,894,739,126 18,046,357

Kenya Government (Kenya)6.875% due 06/24/24 ~ $1,760,000 1,742,2617.250% due 02/28/28 ~ 1,210,000 1,164,831

Kuwait Government (Kuwait)3.500% due 03/20/27 ~ 3,850,000 3,754,982

Mexican Bonos (Mexico)6.500% due 06/09/22 MXN 311,561,300 15,063,6277.750% due 11/23/34 171,270,000 8,711,8937.750% due 11/13/42 502,047,500 25,494,3898.000% due 11/07/47 270,860,000 14,133,87210.000% due 12/05/24 109,240,000 6,182,323

Mexico Government (Mexico)4.600% due 02/10/48 $1,250,000 1,151,250

Nigeria Government (Nigeria)6.500% due 11/28/27 ~ 1,440,000 1,343,3247.143% due 02/23/30 ~ 1,540,000 1,457,551

Peruvian Government (Peru)5.625% due 11/18/50 1,660,000 1,931,8256.550% due 03/14/37 850,000 1,064,625

Provincia de Buenos Aires (Argentina)6.500% due 02/15/23 ~ 2,060,000 1,888,2177.875% due 06/15/27 ~ 1,770,000 1,557,600

Republic of Poland Government (Poland)4.000% due 01/22/24 7,420,000 7,546,993

Russian Federal (Russia)7.000% due 01/25/23 RUB 198,150,000 3,114,7557.000% due 08/16/23 234,570,000 3,693,0417.050% due 01/19/28 328,663,000 5,063,0368.150% due 02/03/27 458,179,000 7,578,298

Total Foreign Government Bonds & Notes(Cost $281,350,886) 243,775,119

SHORT-TERM INVESTMENTS - 9.1%

Repurchase Agreements - 6.2%

Deutsche Bank AG2.050% due 07/02/18(Dated 06/29/18, repurchase price of$71,012,129; collateralized by U.S.Treasury Notes: 3.625% due 02/15/20and value $72,718,934) $71,000,000 71,000,000

PrincipalAmount Value

Fixed Income Clearing Corp0.350% due 07/02/18(Dated 06/29/18, repurchase price of$23,391,214; collateralized by U.S.Treasury Notes: 2.625% due 11/15/20and value $23,862,952) $23,390,531 $23,390,531

The Goldman Sachs Group Inc2.100% due 07/02/18(Dated 06/29/18, repurchase price of$119,020,825; collateralized by FederalHome Loan Bank: 5.500% due 07/15/36and value $72,718,934; and FreddieMac: 1.500% – 3.750% due 03/27/19 –01/17/20 and value $63,660,800) 119,000,000 119,000,000

213,390,531U.S. Government Agency Issues - 0.3%

Federal Home Loan Bank1.928% due 08/27/18 4,430,000 4,416,8381.946% due 08/17/18 4,370,000 4,359,333

8,776,171U.S. Treasury Bills - 2.6%

1.896% due 08/23/18 45,310,000 45,190,8852.085% due 11/15/18 45,720,000 45,375,424

90,566,309

Total Short-Term Investments(Cost $312,718,132) 312,733,011

TOTAL INVESTMENTS - 109.1%(Cost $3,784,263,296) 3,733,647,938

DERIVATIVES - 0.2%(See Notes (b) through (f) in Notes to Schedule of Investments) 7,463,535

OTHER ASSETS & LIABILITIES, NET - (9.3%) (319,758,464)

NET ASSETS - 100.0% $3,421,353,009

Notes to Schedule of Investments

(a) As of June 30, 2018, the Fund’s composition as a percentage of net assets wasas follows:

Mortgage-Backed Securities 41.6%Corporate Bonds & Notes 34.4%Short-Term Investments 9.1%Foreign Government Bonds & Notes 7.1%U.S. Treasury Obligations 5.1%Senior Loan Notes 5.0%Asset-Backed Securities 4.9%Others (each less than 3.0%) 1.9%

109.1%Derivatives 0.2%Other Assets & Liabilities, Net (9.3%)

100.0%

See Notes to Financial Statements See explanation of symbols and terms, if any, on A-198 and A-199A-18

(b) Open futures contracts outstanding as of June 30, 2018 were as follows:

Long Futures OutstandingExpiration

MonthNumber ofContracts

NotionalAmount Value

UnrealizedAppreciation

(Depreciation)CAD FX 09/18 1,173 $90,412,729 $89,335,680 ($1,077,049)CHF FX 09/18 51 6,527,136 6,473,813 (53,