% Net Assets Long-Term Bonds 139.5% Asset-Backed Securities 6.7%

Transcription

1 Portfolio of Investments May 31, 2018 (Unaudited) Principal Amount Value % Net Assets Long-Term Bonds 139.5% Asset-Backed Securities 6.7% Other Asset-Backed Securities Atrium CDO Corp. Series 2012-A, Class AR 3.192%, due 4/22/27 (a) $ 300,000 $ 299, % Bayview Koitere Fund Trust Series 2018-RN4, Class A %, due 3/28/33 (a) 307, , % Black Diamond CLO, Ltd. Series A, Class A1R 0.65%, due 10/3/29 (a) EUR 260, , % Catamaran CLO, Ltd. Series A, Class AR 3.216%, due 1/27/28 (a) $ 1,180,000 1,177, % CIFC Funding, Ltd. Series A, Class AR 3.128%, due 4/15/27 (a) 1,460,000 1,457, % CoreVest American Finance Trust Series , Class A 2.968%, due 10/15/49 (a) 98,655 97, % Halcyon Loan Advisors Funding, Ltd. Series A, Class AR 3.279%, due 4/20/27 (a) 300, , % Jamestown CLO IV, Ltd. Series A, Class A1AR 3.038%, due 7/15/26 (a) 532, , % Jamestown CLO VII, Ltd. Series A, Class A1R 3.19%, due 7/25/27 (a) 1,450,000 1,448, % Jubilee CDO B.V. Series A, Class A1R 0.473%, due 12/15/29 (a) EUR 1,660,000 1,937, % KVK CLO, Ltd. Series A, Class AR 3.248%, due 1/15/28 (a) $ 1,660,000 1,659, % Marathon CLO V, Ltd. Series A, Class A1R 3.201%, due 11/21/27 (a) 1,660,000 1,656, % MP CLO VII, Ltd. Series A, Class A1R 3.195%, due 4/18/27 (a) 280, , % Navient Student Loan Trust Series A, Class A 3.11% (1 Month LIBOR %), due 3/25/66 (a) 491, , % OCP CLO, Ltd. (a) Series A, Class A1R 3.148%, due 7/15/27 300, , % Series A, Class A1R 3.182%, due 10/26/27 1,660,000 1,658, % RASC Trust Series 2006-KS6, Class A4 2.21% (1 Month LIBOR %), due 8/25/36 530, , % Series 2005-KS8, Class M4 2.55% (1 Month LIBOR %), due 8/25/35 600, , %

2 SLM Student Loan Trust Series , Class A5 (zero coupon) (3 Month EURIBOR %), due 1/25/24 EUR 278, , % Series , Class A5, (zero coupon) (3 Month EURIBOR %), due 6/17/24 79,749 93, % Series 2013-B, Class A2A 1.85%, due 6/17/30 (a) $ 255, , % Series A, Class A6B 2.91% (3 Month LIBOR %), due 10/25/64 (a) 500, , % Series 2011-B, Class A % (1 Month LIBOR %), due 6/16/42 (a) 190, , % Sofi Professional Loan Program LLC Series 2017-F, Class A1FX 2.05%, due 1/25/41 (a) 575, , % Sound Point CLO VIII, Ltd. Series A, Class AR 3.208%, due 4/15/27 (a) 800, , % Symphony CLO VIII, Ltd. Series A, Class AR 3.431% (3 Month LIBOR %), due 1/9/23 (a) 95,861 95, % Venture XX CLO, Ltd. Series A, Class AR 3.168%, due 4/15/27 (a) 970, , % Venture XXI CLO, Ltd. Series A, Class AR 3.228%, due 7/15/27 (a) 400, , % Vericrest Opportunity Loan Trust (a) Series 2017-NPL2, Class A1 3.50%, due 3/25/47 67,575 67, % Series 2015-NPL8, Class A1 3.50%, due 6/26/45 711, , % Series 2015-NP14, Class A %, due 11/27/45 90,511 91, % Vibrant CLO II, Ltd. Series A, Class A1BR 3.259% (3 Month LIBOR %), due 7/24/24 (a) 549, , % Voya CLO, Ltd. Series A, Class A1R 3.08%, due 7/25/26 (a) 700, , % Z Capital Credit Partners CLO, Ltd. Series A, Class A1R 3.298%, due 7/16/27 (a) 570, , % 21,933, % Total Asset-Backed Securities 21,933, % Corporate Bonds 6.6% Agriculture BAT Capital Corp %, due 8/14/20 (a) 500, , % Auto Manufacturers American Honda Finance Corp %, due 11/5/21 30,000 30, % Banks Bank of America Corp %, due 12/31/99 190, , % Credit Suisse Group Funding Guernsey, Ltd. 3.80%, due 9/15/22 300, , % Deutsche Bank A.G. 4.25%, due 10/14/21 1,400,000 1,388, % Goldman Sachs Group, Inc %, due 10/31/22 500, , %

3 3.325% (3 Month LIBOR %), due 9/15/20 1,300,000 1,321, % ING Bank N.V %, due 12/5/22 (a) 400, , % Intesa Sanpaolo S.p.A. 6.50%, due 2/24/21 (a) 400, , % Lloyds Banking Group PLC 6.375% (EUR 5 Year Interest Swap Rate %), due 12/31/49 EUR 200, , % 7.00% (GBP 5 Year Swap Rate %), due 12/29/49 GBP 400, , % Macquarie Bank, Ltd %, due 4/4/19 (a) $ 600, , % Nykredit Realkredit A/S 2.50%, due 10/1/47 DKK 15,782 2, % Realkredit Danmark A/S 2.50%, due 7/1/47 88,690 14, % State Bank of India 3.275% (3 Month LIBOR %), due 4/6/20 $ 700, , % Toronto-Dominion Bank 2.25%, due 3/15/21 (a) 600, , % UBS A.G. (a) 2.355% (3 Month LIBOR %), due 12/7/18 800, , % 2.627% (3 Month LIBOR %), due 6/8/20 800, , % 8,807, % Diversified Financial Services AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625%, due 10/30/20 100, , % BRFkredit A/S 2.50%, due 10/1/47 DKK 54,309 8, % International Lease Finance Corp. 6.25%, due 5/15/19 $ 100, , % Navient Corp. 5.50%, due 1/15/19 300, , % Nordea Kredit Realkreditaktieselskab 2.50%, due 10/1/47 DKK 17,654 2, % 520, % Electric Dominion Energy, Inc. 2.93%, due 5/15/20 (a) $ 800, , % Duke Energy Corp. 2.83%, due 5/14/21 (a) 900, , % NextEra Energy Capital Holdings, Inc %, due 9/3/19 560, , % Southern Power Co %, due 12/20/20 (a) 300, , % 2,561, % Gas Sempra Energy 2.575%, due 3/15/21 100, , % Home Builders D.R. Horton, Inc. 4.00%, due 2/15/20 900, , % Machinery - Diversified John Deere Capital Corp % (3 Month LIBOR %), due 6/22/20 1,100,000 1,104, %

4 Miscellaneous - Manufacturing Textron, Inc %, due 11/10/20 580, , % Oil & Gas Gazprom OAO Via Gaz Capital S.A %, due 10/15/18 EUR 120, , % Petrobras Global Finance B.V %, due 1/27/28 (a) $ 706, , % 6.125%, due 1/17/22 600, , % 6.625%, due 1/16/34 GBP 100, , % 8.375%, due 12/10/18 $ 100, , % 1,663, % Pipelines Enbridge, Inc %, due 1/10/20 600, , % 2.825% (3 Month LIBOR %), due 6/15/20 800, , % Spectra Energy Partners, L.P % (3 Month LIBOR %), due 6/5/20 100, , % 1,505, % Real Estate Investment Trusts Unibail-Rodamco SE 3.118% (3 Month USD-LIBOR-BBA %), due 4/16/19 700, , % Retail McDonald's Corp %, due 10/28/21 900, , % Software VMware, Inc. 2.95%, due 8/21/22 100,000 96, % Telecommunications AT&T, Inc % (3 Month LIBOR %), due 7/15/21 1,000,000 1,015, % 5.15%, due 2/15/50 (a) 300, , % 5.30%, due 8/15/58 (a) 100,000 96, % 1,403, % Total Corporate Bonds 21,392, % Foreign Government Bonds 8.1% Argentina Argentina Bocon %, due 10/4/22 ARS 100,000 6, % Argentina Bonar Bonds % (BADLARPP Index %), due 4/3/22 2,684, , % Argentina POM Politica Monetaria %, due 6/21/20 13,583, , % Argentine Republic Government International Bond 5.875%, due 1/11/28 $ 400, , % 6.875%, due 1/26/27 900, , % 1,911, % Australia Australia Government Bond 1.25%, due 2/21/22 A$ 980, , % 3.00%, due 9/20/25 1,450,000 1,543, % 2,401, %

5 Brazil Brazil Letras do Tesouro Nacional (zero coupon), due 1/1/19 B$ 21,822,000 5,640, % Canada Canadian Government Real Return Bond 4.25%, due 12/1/26 CAD 907, , % Cyprus Cyprus Government International Bond 2.75%, due 6/27/24 EUR 50,000 58, % 3.75%, due 7/26/23 140, , % 3.875%, due 5/6/22 110, , % 4.25%, due 11/4/25 120, , % 522, % France France Government Bond OAT 1.85%, due 7/25/27 712,914 1,058, % French Republic Government Bond OAT 0.10%, due 3/1/25 1,076,513 1,366, % 0.25%, due 7/25/24 500, , % 3,070, % New Zealand New Zealand Government Bond 2.00%, due 9/20/25 NZD 1,800,000 1,401, % 2.50%, due 9/20/35 800, , % 3.00%, due 9/20/30 500, , % 2,467, % Nigeria Nigeria Government International Bond %, due 11/22/18 NGN 109,100, , % Peru Peru Government Bond 6.15%, due 8/12/32 (a) PEN 2,600, , % Qatar Qatar Government International Bond (a) 3.875%, due 4/23/23 $ 300, , % 5.103%, due 4/23/48 200, , % 498, % Spain Autonomous Community of Catalonia 4.95%, due 2/11/20 EUR 500, , %

6 United Kingdom United Kingdom Gilt 4.25%, due 12/7/27 GBP 300, , % United Kingdom Gilt Inflation Linked 0.125%, due 3/22/26 3,278,211 5,074, % 0.125%, due 3/22/46 164, , % 0.125%, due 8/10/48 111, , % 0.125%, due 11/22/56 59, , % 0.125%, due 11/22/65 128, , % 1.875%, due 11/22/22 311, , % 7,207, % Total Foreign Government Bonds 26,351, % Mortgage-Backed Securities 3.2% Agency (Collateralized Mortgage Obligations) Federal Home Loan Mortgage Corporation Remics (Collateralized Mortgage Obligations) Series 4779, Class WF 2.237%, due 7/15/44 $ 632, , % Federal Home Loan Mortgage Corporation Strips Series 278, Class F % (1 Month LIBOR %), due 9/15/42 720, , % 1,355, % Commercial Mortgage Loans (Collateralized Mortgage Obligations) CGGS Commercial Mortgage Trust Series 2018-WSS, Class A 2.819%, due 2/15/37 (a) 1,000,000 1,000, % Whole Loan (Collateralized Mortgage Obligations) BCAP LLC Trust Series 2011-RR5, Class 5A1 5.25%, due 8/26/37 (a) 1,450,161 1,484, % Eurosail-UK PLC Series X, Class A3A, Reg S 1.554% (3 Month LIBOR %), due 6/13/45 GBP 248, , % Series A, Class A3C 1.554% (3 Month LIBOR %), due 6/13/45 (a) 66,297 87, % Series X, Class A3C, Reg S 1.554% (3 Month LIBOR %), due 6/13/45 66,297 87, % IndyMac Index Mortgage Loan Trust Series 2005-AR14, Class 1A1A 2.24% (1 Month LIBOR %), due 7/25/35 $ 1,420,029 1,229, % Merrill Lynch Mortgage Investors Trust Series 2005-A4, Class 1A 3.712%, due 7/25/35 326, , % Onslow Bay Financial LLC Series , Class A2 2.61%, due 6/25/57 (a) 161, , % Paragon Mortgages No.13 PLC Series 13X, Class A1, Reg S 0.787% (3 Month LIBOR %), due 1/15/39 GBP 2,238,786 2,881, % Trinity Square PLC Series A, Class A 1.936% (3 Month LIBOR %), due 7/15/51 (a) 787,636 1,059, %

7 Washington Mutual Mortgage Pass-Through Certificates Series 2007-HY1, Class A2A 2.12% (1 Month LIBOR %), due 2/25/37 $ 860, , % 8,272, % Total Mortgage-Backed Securities 10,629, % U.S. Government & Federal Agencies 114.9% Federal National Mortgage Association (Mortgage Pass-Through Securities) 2.577% (12 Month Monthly Treasury Average Index %), due 6/1/43 390, , % 3.00%, due 7/1/48 TBA 3,300,000 3,199, % 3.50%, due 7/1/48 TBA 30,220,000 30,116, % 3.578% (1 Year Treasury Constant Maturity Rate %), due 11/1/34 516, , % 4.00%, due 6/1/48 TBA 4,000,000 4,089, % 4.242% (11th District Cost of Funds Index %), due 12/1/36 463, , % 38,837, % Government National Mortgage Association (Mortgage Pass-Through Securities) Series 2017-H10, Class FB 3.247%, due 4/20/67 388, , % United States Treasury Notes 1.875%, due 2/28/22 4,100,000 3,992, % 1.875%, due 7/31/22 3,300,000 3,201, % 2.125%, due 12/31/22 2,000,000 1,954, % 2.25%, due 11/15/24 300, , % 2.50%, due 5/15/24 1,100,000 1,085, % 10,526, % United States Treasury Inflation - Indexed Bonds 0.375%, due 7/15/25 7,606,788 7,476, % 0.625%, due 4/15/23 1,657,607 1,658, % 0.625%, due 2/15/43 1,888,526 1,774, % 0.75%, due 2/15/42 3,787,852 3,677, % 0.75%, due 2/15/45 2,861,136 2,752, % 0.875%, due 2/15/47 11,642,901 11,540, % 1.00%, due 2/15/46 4,602,222 4,704, % 1.00%, due 2/15/48 1,098,945 1,127, % 1.375%, due 7/15/18 347, , % 1.375%, due 2/15/44 14,379,501 15,947, % 1.75%, due 1/15/28 16,228,233 17,739, % 2.00%, due 1/15/26 10,860,126 11,919, % 2.125%, due 2/15/40 2,967,091 3,716, % 2.125%, due 2/15/41 1,606,667 2,027, % 2.375%, due 1/15/25 20,017,670 22,251, % 2.375%, due 1/15/27 965,156 1,099, % 2.50%, due 1/15/29 13,319,500 15,662, % 3.375%, due 4/15/32 1,317,272 1,760, % 3.625%, due 4/15/28 3,181,295 4,046, % 3.875%, due 4/15/29 2,953,872 3,899, % 135,131, % United States Treasury Inflation - Indexed Notes 0.125%, due 4/15/19 7,891,205 7,860, % 0.125%, due 4/15/20 24,681,520 24,484, % 0.125%, due 4/15/21 31,940,935 31,524, % 0.125%, due 1/15/22 2,723,200 2,682, % 0.125%, due 4/15/22 1,630,425 1,600, % 0.125%, due 7/15/22 7,796,515 7,687, % 0.125%, due 1/15/23 6,278,855 6,152, % 0.125%, due 7/15/24 12,809,664 12,461, % 0.125%, due 7/15/26 2,946,115 2,821, % 0.25%, due 1/15/25 14,520,942 14,139, % 0.375%, due 7/15/23 16,787,459 16,673, % 0.375%, due 1/15/27 526, , % 0.50%, due 1/15/28 10,271,904 10,040, % 0.625%, due 7/15/21 664, , %

8 0.625%, due 1/15/24 13,016,276 13,023, % 0.625%, due 1/15/26 20,952,194 20,847, % 1.25%, due 7/15/20 1,258,631 1,284, % 1.375%, due 1/15/20 4,615,760 4,688, % 1.875%, due 7/15/19 10,518,210 10,733, % 189,886, % Total U.S. Government & Federal Agencies 374,782, % Municipal Bonds 0.0% South Carolina South Carolina Student Loan Corp. Series A %, due 12/1/23 109, , % Total Long-Term Bonds 455,199, % Short-Term Investments 6.8% Repurchase Agreement Fixed Income Clearing Corp. 0.74%, dated 5/31/18 due 6/1/18 904, , % Total Repurchase Agreement 904, % Short Term Instruments Bank of Montreal (zero coupon), due 6/29/18 CAD 700, , % 1.54%, due 6/22/18 732, , % Bank of Nova Scotia 1.556%, due 6/25/18 300, , % Barclays Bank PLC 1.94%, due 9/4/18 (a) $ 1,200,000 1,198, % HSBC Bank Canada 1.592%, due 6/25/18 CAD 418, , % Mondelez International, Inc %, due 6/12/18 (a) $ 3,300,000 3,297, % Morgan Stanley 1.00%, due 12/31/30 125, , % 2.72%, due 12/31/30 1,162,000 1,162, % Total Short Term Instruments 7,439, % Foreign Government Bonds Argentina Treasury Bills (zero coupon), due 6/15/18 ARS $119,000 22, % (zero coupon), due 7/13/18 $ 200, , % (zero coupon), due 9/28/18 200, , % (zero coupon), due 10/12/18 100,000 98, % 2.839%, due 6/29/18 62,000 61, % 3.09%, due 11/16/18 238, , % 3.10%, due 10/26/18 100,000 98, % 3.11%, due 11/16/18 31,000 30, % 25.25%, due 9/14/18 ARS 200,000 7, % 25.45%, due 9/14/18 500,000 17, % 25.50%, due 9/14/18 1,100,000 39, % Brazil Letras do Tesouro Nacional (zero coupon), due 7/1/18 B$ 17,550,000 4,688, % Hellenic Republic Treasury Bills (zero coupon), due 7/13/18 EUR 270, , % (zero coupon), due 10/5/18 280, , % 1.211%, due 8/31/18 1,270,000 1,481, % Japan Treasury Discount Bills (zero coupon), due 7/30/18 JPY 600,000,000 5,516, %

9 Nigeria Treasury Bills %, due 11/29/18 NGN 95,200, , % Total Foreign Government Bonds 13,582, % Total Short-Term Investments 21,926, % Total Investments, Net of Investments Sold Short 477,125, % Other Assets, Less Liabilities (150,981,056) (46.3%) Net Assets $ 326,144, % (a) May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. Written Call Options (0.0%) 10-Year United States Treasury Note Strike Price $ Expires 6/22/18 (5) (7,656) 0.0% 10-Year United States Treasury Note Strike Price $ Expires 6/22/18 (18) (19,969) 0.0% Total Written Call Options (27,625) 0.0% Written Put Options (0.0%) 10-Year United States Treasury Note Strike Price $ Expires 6/22/18 (23) (359) 0.0% Markit CDX North American Investment Grade Series 30 Strike Price $0.90 Expires 6/20/18 (1,100,000) (233) 0.0% United States Treasury Bond Strike Price $ Expires 6/22/18 (8) (875) 0.0% United States Treasury Bond Strike Price $ Expires 6/22/18 (8) (1,500) 0.0% United States Treasury Bond Strike Price $ Expires 6/22/18 (16) (5,500) 0.0% Total Written Put Options (8,467) 0.0% As of May 31, 2018, the Portfolio held the following foreign currency forward contracts: Contract Amount Purchased Contract Amount Sold Unrealized Appreciation (Depreciation) Foreign Currency Buy Contracts Expiration Date Counterparty Argentine Peso vs. U.S. Dollar 6/15/18 Bank of America N.A. ARS 5,295,220 $ 210,629 $ (905) Argentine Peso vs. U.S. Dollar 6/26/18 Bank of America N.A. 6,181, ,483 (53,412) Brazilian Real vs. U.S. Dollar 6/4/18 Bank of America N.A. BRL 5,258,445 1,437,912 (25,889) Brazilian Real vs. U.S. Dollar 6/4/18 Bank N.A. 5,258,445 1,407,130 4,893 Brazilian Real vs. U.S. Dollar 7/3/18 Bank N.A. 26,370,000 7,376,501 (314,936) Colombian Peso vs. U.S. Dollar 7/17/18 Bank N.A. COP 2,310,140, ,740 (8,828) Euro vs. U.S. Dollar 6/4/18 Bank of America N.A. EUR 529, ,766 (5,338)

10 Euro vs. U.S. Dollar 6/4/18 Indian Rupee vs. U.S. Dollar 6/20/18 Indonesian Rupiah vs. U.S. Dollar 6/20/18 Japanese Yen vs. U.S. Dollar 6/4/18 Bank N.A. 8,343, ,699 36,399 Bank N.A. INR 59,912, ,139 (22,883) Bank N.A. IDR 6,681,018, ,069 (6,410) Bank N.A. JPY 950,700, ,747 51,785 Japanese Yen vs. U.S. Dollar 7/3/18 Bank of America N.A. 192,400,000 1,769,985 2,241 Mexican Peso vs. U.S. Dollar 8/27/18 Bank of America N.A. MXN 3,903, ,178 (11,227) Pound Sterling vs. U.S. Dollar 6/4/18 Russian Ruble vs. U.S. Dollar 6/7/18 Russian Ruble vs. U.S. Dollar 7/10/18 Bank N.A. GBP 261, ,428 (4,467) Bank N.A. RUB 17,886, ,021 (4,641) Bank N.A. 45,988, ,835 14,813 Yuan Renminbi Offshore vs. U.S. Dollar 6/20/18 Bank of America N.A. CNH 10,387,285 1,625,553 (6,471) Foreign Currency Sales Expiration Contracts Date Australian Dollar vs. U.S. Dollar 6/4/18 Contract Amount Sold Contract Amount Purchased Unrealized Appreciation (Depreciation) Counterparty Bank N.A. AUD 4,640,000 3,505,403 (3,597) Brazilian Real vs. U.S. Dollar 6/4/18Bank of America, N.A. BRL 5,258,445 1,407,130 (4,893) Brazilian Real vs. U.S. Dollar 6/4/18 Bank N.A. 5,258,445 1,548, ,081 Brazilian Real vs. U.S. Dollar 7/3/18 Bank of America N.A. 7,558,445 2,112,198 88,139 Brazilian Real vs. U.S. Dollar 7/3/18 Bank N.A. 36,420,000 11,073,111 1,320,279 Brazilian Real vs. U.S. Dollar 1/3/19 Bank N.A. 21,822,000 5,859, ,447 Canadian Dollar vs. U.S. Dollar 6/4/18 Bank N.A. CAD 2,767,000 2,151,397 17,241 Canadian Dollar vs. U.S. Dollar 6/22/18 Bank of America N.A. 732, ,549 3,682 Canadian Dollar vs. U.S. Dollar 6/25/18 Bank of America N.A. 718, ,099 1,984 Canadian Dollar vs. U.S. Dollar 6/29/18 Bank of America N.A. 700, ,652 3,362 Euro vs. U.S. Dollar 6/4/18 Bank N.A. EUR 8,872,000 10,755, ,098 Euro vs. U.S. Dollar 7/3/18 Bank N.A. 7,613,000 8,880,128 (40,146) Euro vs. U.S. Dollar 7/13/18 Bank of America N.A. 230, ,864 17,164 Credit Suisse Euro vs. U.S. Dollar 7/13/18 International 40,000 49,622 2,717 Euro vs. U.S. Dollar 8/31/18 Bank of America N.A. 880,000 1,088,826 53,109 Euro vs. U.S. Dollar 8/31/18 Bank N.A. 390, ,861 25,850 Euro vs. U.S. Dollar 10/5/18 Bank of America N.A. 280, ,975 18,503 Japanese Yen vs. U.S. Dollar 6/4/18 Bank of America N.A. JPY 950,700,000 8,719,584 (19,672) Japanese Yen vs. U.S. Dollar 7/30/18 New Zealand Dollar vs. U.S. Dollar 6/5/18 Nigerian Naira vs. U.S. Dollar 11/23/18 Bank N.A. 600,000,000 5,520,160 (16,560) Bank N.A. NZD 3,339,000 2,340,089 3,457 Bank N.A. NGN 102,780, ,750 5,268

11 Nigerian Naira vs. U.S. Dollar 11/29/18 Peruvian Sol vs. U.S. Dollar 7/19/18 Bank N.A. 89,369, ,000 5,743 Credit Suisse International PEN 2,932, , Pound Sterling vs. U.S. Dollar 6/4/18 Bank of America N.A. GBP 152, ,856 4,794 Pound Sterling vs. U.S. Dollar 6/4/18 Russian Ruble vs. U.S. Dollar 6/7/18 Russian Ruble vs. U.S. Dollar 6/25/18 Russian Ruble vs. U.S. Dollar 8/24/18 South Korean Won vs. U.S. Dollar 6/20/18 Yuan Renminbi Offshore vs. U.S. Dollar 6/20/18 Bank N.A. 9,617,000 13,241, ,489 Credit Suisse International RUB 17,886, ,103 26,723 Bank N.A. 17,886, ,449 4,654 Bank N.A. 28,410, , Bank N.A. KRW 707,752, ,058 5,157 Bank N.A. CNH 10,387,285 1,647,207 28,124 Yuan Renminbi Offshore vs. U.S. Dollar 9/19/18 Bank of America N.A. 10,387,285 1,619,218 6,528 Net unrealized appreciation (depreciation) on foreign currency forward contracts $ 2,285,048 As of May 31, 2018, the Portfolio held the following futures contracts: Unrealized Number of Contracts Appreciation Type Long (Short) Expiration Date Notional Amount (Depreciation) 3-Year Australia Government Bond (13) June 2018 $ (1,093,129) $ (2,981) 5-Year United States Treasury Note 2 September , Year Australia Government Bond (7) June 2018 (682,922) (9,350) 10-Year Japan Government Bond (4) June 2018 (5,551,133) (10,033) 10-Year United States Treasury Note 33 September ,974,438 29, Year United States Treasury Ultra Note (6) September 2018 (770,063) (7,091) Euro BOBL (6) June 2018 (929,606) (14,748) Euro Bund 18 June ,411, ,038 Euro-BTP (1) June 2018 (128,128) 3,483 Euro Bund, Put (13) August 2018 (4,711) 3,495 Euro Bund, Call (26) August 2018 (55,016) (40,239) Euro-OAT (53) September 2018 (9,516,387) (25,679) UK Long Gilt (76) September 2018 (12,473,244) (209,695) United States Treasury Long Bond (75) September 2018 (10,884,375) (354,008) United States Treasury Ultra Bond (1) September 2018 (159,500) (5,962) $ (34,634,098) $ (540,456)

12 Interest Rate Swaptions Description Floor-OTC USA Non-Revised Consumer Price Index-Urban (CPI-U), American Style Floor-OTC USA Non-Revised Consumer Price Index-Urban (CPI-U), American Style Counterparty Pay/ Receive Floating Rate Exercise Rate/Call Expiration Price Date Notional Amount Premium Received Market Value Bank N.A. Receive 0.00% 10/2/2020 (1,900,000) (35,068) (3,268) Bank N.A. Receive 4.00% 5/16/2024 (300,000) (2,085) (69) $ (37,153) $ (3,337)