Edgar Filing: PIMCO CORPORATE & INCOME OPPORTUNITY FUND

PIMCO Corporate & Income Opportunity Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY



Investment Company Act File Number:		811-21238

Registrant Name:		PIMCO Corporate & Income Opportunity Fund

Address of Principal Executive Offices:		1633 Broadway
		New York, NY 10019

Name and Address of Agent for Service:		Trent W. Walker
		650 Newport Center Drive
		Newport Beach, CA 92660

Registrant’s telephone number, including area code:		(844) 337-4626

Date of Fiscal Year End:		July 31

Date of Reporting Period:		October 31, 2017

Item 1. Schedule of Investments

Schedule of Investments

PIMCO Corporate & Income Opportunity Fund

October 31, 2017 (Unaudited)


	PRINCIPAL AMOUNT (000S)		MARKET VALUE (000S)
INVESTMENTS IN SECURITIES 136.2% ∎
LOAN PARTICIPATIONS AND ASSIGNMENTS 7.6%
Air Medical Group Holdings, Inc.
TBD% due 09/07/2024	$	200	$	200
Altice Financing S.A.
TBD% due 01/05/2026	EUR	500		584
TBD% due 01/05/2026	$	100		100
4.109% (LIBOR03M + 2.750%) due 07/15/2025 ~		657		657
Avantor, Inc.
TBD% due 09/07/2024		300		301
Beacon Roofing Supply, Inc.
TBD% due 08/23/2024		80		81
BMC Software Finance, Inc.
5.242% (LIBOR03M + 4.000%) due 09/10/2022 ~		12,952		13,053
Burger King Worldwide, Inc.
3.492% - 3.583% (LIBOR03M + 2.250%) due 02/16/2024 ~		1,043		1,044
BWAY Holding Co.
4.522% - 6.500% (LIBOR03M + 3.250%) due 04/03/2024 ~		1,067		1,072
Caesars Entertainment Operating Co.
TBD% due 10/06/2024		100		100
Caesars Resort Collection LLC
TBD% due 09/27/2024		900		905
Centene Corp.
TBD% due 09/13/2018		2,800		2,800
CenturyLink, Inc.
2.750% due 01/31/2025		1,000		988
CH Hold Corp.
4.242% (LIBOR03M + 3.000%) due 02/01/2024 ~		297		299
Charter Communications Operating LLC
3.250% (LIBOR03M + 2.000%) due 01/03/2021 ~		367		369
Cheniere Energy Partners LP
TBD% due 02/25/2020		1,030		1,030
Clover Merger Sub, Inc.
4.833% (LIBOR03M + 3.500%) due 09/26/2024 ~		100		98
Community Health Systems, Inc.
4.067% (LIBOR03M + 2.750%) due 12/31/2019 ~		217		214
Cypress Intermediate Holdings, Inc.
4.250% (LIBOR03M + 3.000%) due 04/27/2024 ~		100		100
Dell, Inc.
TBD% due 09/07/2023		100		100
Diamond Resorts Corp.
7.242% (LIBOR03M + 6.000%) due 08/11/2023 ~		5,173		5,214
Endo Luxembourg Finance Co. SARL
5.500% (LIBOR03M + 4.250%) due 04/29/2024 ~		6,025		6,111
FinCo LLC
2.750% (LIBOR03M + 2.750%) due 06/14/2022 ~		2,820		2,861
Forbes Energy Services LLC
5.000% - 7.000% due 04/13/2021 u		812		830
Gartner, Inc.
3.242% (LIBOR03M + 2.000%) due 04/05/2024 u~		31		31
Golden Entertainment, Inc.
4.240% (LIBOR03M + 3.000%) due 08/15/2024 ~		100		100
Golden Nugget, Inc.
4.490% - 4.554% (LIBOR03M + 3.250%) due 10/04/2023 ~		519		524
H.B. Fuller Co.
3.489% (LIBOR03M + 2.250%) due 10/12/2024 ~		200		201
iHeartCommunications, Inc.
8.083% (LIBOR03M + 6.750%) due 01/30/2019 ~		19,645		14,771
Ineos Finance PLC
3.250% (EUR003M + 2.500%) due 04/01/2024 ~	EUR	2,382		2,781
Ineos U.S. Finance LLC
TBD% due 03/31/2024		5,100		5,962
Klockner-Pentaplast of America, Inc.
4.750% (EUR003M + 4.750%) due 06/30/2022 ~		100		117
Lightstone Generation LLC
5.742% (LIBOR03M + 4.500%) due 01/30/2024 ~	$	2,866		2,883
McAfee LLC
5.833% (LIBOR03M + 4.500%) due 09/30/2024 ~		200		202
MH Sub LLC
5.070% (LIBOR03M + 3.750%) due 09/13/2024 ~		220		219
8.820% (LIBOR03M + 7.500%) due 08/15/2025 ~		100		100
Multi Color Corp.
TBD% due 09/20/2024		32		32
Nidda Healthcare Holding AG
TBD% due 09/19/2024	EUR	166		195
3.500% due 08/21/2024		34		39
Numericable Group S.A.
TBD% due 01/31/2026	$	250		251


Ocean Rig UDW, Inc.
8.000% (Fixed + 0.080%) due 09/20/2024 ~		1,441	1,461
Olympus Merger Sub, Inc.
5.242% (LIBOR03M + 4.000%) due 10/10/2024 ~		287	287
OXEA Finance & Cy S.C.A.
3.750% due 10/11/2024	EUR	1,000	1,169
Parexel International Corp.
TBD% due 09/27/2024	$	100	101
Petroleo Global Trading
3.597% (LIBOR03M + 2.140%) due 02/19/2020 u~		400	393
Post Holdings, Inc.
3.492% (LIBOR03M + 2.250%) due 05/24/2024 ~		988	993
Prestige Brands, Inc.
3.992% (LIBOR03M + 2.750%) due 01/26/2024 ~		179	180
Refresco Group BV
TBD% due 09/26/2024	EUR	1,500	1,758
Sequa Mezzanine Holdings LLC
6.807% - 6.874% (LIBOR03M + 5.500%) due 11/28/2021 ~	$	868	877
10.374% (LIBOR03M + 9.000%) due 04/28/2022 ~		160	164
Sprint Communications, Inc.
3.750% (LIBOR03M + 2.500%) due 02/02/2024 ~		2,786	2,797
Team Health Holdings, Inc.
3.992% (LIBOR03M + 2.750%) due 02/06/2024 ~		398	395
TransDigm, Inc.
4.242% - 4.333% (LIBOR03M + 3.000%) due 08/22/2024 ~		599	602
Traverse Midstream Partners LLC
5.330% (LIBOR03M + 4.000%) due 09/27/2024 ~		91	92
Tronox Blocked Borrower LLC
4.323% (LIBOR03M + 3.000%) due 09/22/2024 ~		23	23
Tronox Finance LLC
4.323% (LIBOR03M + 3.000%) due 09/22/2024 ~		52	53
Unitymedia Finance LLC
TBD% due 10/16/2024		280	280
Unitymedia Hessen GmbH & Co. KG
TBD% due 10/16/2024	EUR	500	585
Univision Communications, Inc.
3.992% (LIBOR03M + 2.750%) due 03/15/2024 ~	$	1,746	1,740
UPC Financing Partnership
TBD% due 10/15/2026	EUR	900	1,053
3.732% (LIBOR03M + 2.500%) due 01/15/2026 ~	$	200	201
Valeant Pharmaceuticals International, Inc.
5.990% (LIBOR03M + 4.750%) due 04/01/2022 ~		478	488
VICI Properties LLC
TBD% due 10/14/2022		650	651
Vistra Operations Co. LLC
3.987% - 4.084% (LIBOR03M + 2.750%) due 12/14/2023 ~		1,092	1,100
Westmoreland Coal Co.
7.833% (LIBOR03M + 6.500%) due 12/16/2020 ~		5,910	3,734
Xella International GmbH
4.000% due 02/02/2024	EUR	1,554	1,821
Ziggo Secured Finance BV
3.000% due 04/15/2025		150	176

Total Loan Participations and Assignments (Cost $93,867)			90,693

CORPORATE BONDS & NOTES 58.8%
BANKING & FINANCE 29.5%
AGFC Capital Trust
3.109% (US0003M + 1.750%) due 01/15/2067 ~	$	1,800	1,089
Ally Financial, Inc.
8.000% due 11/01/2031 (l)		19,184	25,428
Ardonagh Midco PLC
8.375% due 07/15/2023	GBP	2,300	3,177
Banco Bilbao Vizcaya Argentaria S.A.
6.750% due 02/18/2020 ¨(i)	EUR	14,000	17,663
7.000% due 02/19/2019 ¨(i)		3,200	3,944
8.875% due 04/14/2021 ¨(i)		400	560
Banco do Brasil S.A.
6.250% due 04/15/2024 ¨(i)(l)	$	1,110	1,049
9.000% due 06/18/2024 ¨(i)		4,826	5,309
Banco Espirito Santo S.A.
4.000% due 01/21/2019 ^(e)	EUR	5,000	1,660
4.750% due 01/15/2018 ^(e)		1,000	338
Banco Santander S.A.
6.250% due 09/11/2021 ¨(i)		2,600	3,316
Bank of Ireland
7.375% due 06/18/2020 ¨(i)		1,200	1,587
Barclays PLC
3.250% due 02/12/2027	GBP	200	276
6.500% due 09/15/2019 ¨(i)	EUR	4,200	5,272


7.000% due 09/15/2019 ¨(i)	GBP	630	886
7.250% due 03/15/2023 ¨(i)		10,405	15,163
7.875% due 09/15/2022 ¨(i)		3,565	5,274
8.000% due 12/15/2020 ¨(i)	EUR	200	270
8.250% due 12/15/2018 ¨(i)	$	430	458
Blackstone CQP Holdco LP
6.000% due 08/18/2021		1,500	1,502
6.500% due 03/20/2021		8,700	8,810
BNP Paribas S.A.
7.375% due 08/19/2025 ¨(i)		5,650	6,533
Brighthouse Holdings LLC
6.500% due 07/27/2037 (i)		300	320
Brookfield Finance, Inc.
4.700% due 09/20/2047		236	242
Cantor Fitzgerald LP
6.500% due 06/17/2022 (l)		10,000	11,204
CBL & Associates LP
5.950% due 12/15/2026 (l)		4,150	4,158
Co-operative Group Holdings Ltd.
7.500% due 07/08/2026	GBP	630	1,033
Cooperatieve Rabobank UA
6.625% due 06/29/2021 ¨(i)	EUR	1,800	2,441
Credit Agricole S.A.
7.500% due 06/23/2026 ¨(i)	GBP	4,433	6,958
7.875% due 01/23/2024 ¨(i)	$	2,200	2,509
Credit Suisse AG
6.500% due 08/08/2023		200	227
Credit Suisse Group AG
7.500% due 12/11/2023 ¨(i)		2,336	2,721
Deutsche Bank AG
4.250% due 10/14/2021 (l)		3,600	3,772
Emerald Bay S.A.
0.000% due 10/08/2020 ~	EUR	1,162	1,262
EPR Properties
4.750% due 12/15/2026 (l)	$	5,400	5,637
Equinix, Inc.
2.875% due 10/01/2025	EUR	100	120
Flagstar Bancorp, Inc.
6.125% due 07/15/2021	$	6,000	6,372
Fortress Transportation & Infrastructure Investors LLC
6.750% due 03/15/2022		400	421
GSPA Monetization Trust
6.422% due 10/09/2029		6,850	7,860
Harland Clarke Holdings
8.375% due 08/15/2022		166	174
Howard Hughes Corp.
5.375% due 03/15/2025		220	227
HSBC Holdings PLC
6.000% due 09/29/2023 ¨(i)	EUR	4,977	6,857
Intesa Sanpaolo SpA
7.750% due 01/11/2027 ¨(i)		220	312
iStar, Inc.
4.625% due 09/15/2020	$	26	27
5.250% due 09/15/2022		93	96
Jefferies Finance LLC
6.875% due 04/15/2022 (l)		3,900	3,958
7.250% due 08/15/2024		200	205
7.375% due 04/01/2020 (l)		5,625	5,829
7.500% due 04/15/2021		2,391	2,505
Jefferies LoanCore LLC
6.875% due 06/01/2020		11,610	12,024
Lloyds Bank PLC
12.000% (US0003M + 11.756%) due 12/16/2024 ¨(i)		3,300	4,470
Lloyds Banking Group PLC
7.000% due 06/27/2019 ¨(i)	GBP	2,710	3,838
7.625% due 06/27/2023 ¨(i)		4,410	6,685
7.875% due 06/27/2029 ¨(i)		6,015	9,673
MPT Operating Partnership LP
5.250% due 08/01/2026	$	2,203	2,305
Nationwide Building Society
10.250% ~(i)	GBP	21	4,459
Navient Corp.
4.875% due 06/17/2019	$	395	407
5.500% due 01/15/2019 (l)		4,950	5,117
5.625% due 08/01/2033		222	193
5.875% due 03/25/2021		710	749
6.500% due 06/15/2022		400	425
6.625% due 07/26/2021 (l)		4,170	4,477
7.250% due 01/25/2022		80	87
8.000% due 03/25/2020		1,540	1,702
Neuberger Berman Group LLC
4.875% due 04/15/2045 (l)		3,400	3,422
Omega Healthcare Investors, Inc.
4.500% due 01/15/2025		310	315


4.500% due 04/01/2027		310	309
4.750% due 01/15/2028		230	231
5.250% due 01/15/2026		550	580
OneMain Financial Holdings LLC
6.750% due 12/15/2019		3,796	3,943
7.250% due 12/15/2021		192	200
Oppenheimer Holdings, Inc.
6.750% due 07/01/2022		2,844	2,908
Provident Funding Associates LP
6.375% due 06/15/2025		57	60
Rio Oil Finance Trust
9.250% due 07/06/2024 (l)		4,723	5,130
9.250% due 07/06/2024		4,491	4,878
Royal Bank of Scotland Group PLC
7.500% due 08/10/2020 ¨(i)(l)		5,640	6,057
8.000% due 08/10/2025 ¨(i)(l)		13,625	15,610
8.625% due 08/15/2021 ¨(i)		6,330	7,184
Santander Holdings USA, Inc.
3.700% due 03/28/2022 (l)		750	768
4.400% due 07/13/2027		580	597
Santander UK Group Holdings PLC
6.750% due 06/24/2024 ¨(i)	GBP	5,705	8,328
7.375% due 06/24/2022 ¨(i)		1,440	2,097
Sberbank of Russia Via SB Capital S.A.
6.125% due 02/07/2022	$	500	548
SL Green Realty Corp.
4.500% due 12/01/2022		450	477
Spirit Realty LP
4.450% due 09/15/2026 (l)		2,600	2,581
Springleaf Finance Corp.
5.250% due 12/15/2019 (l)		3,271	3,385
6.000% due 06/01/2020 (l)		641	674
6.125% due 05/15/2022		1,204	1,273
7.750% due 10/01/2021		90	101
8.250% due 12/15/2020		9,270	10,475
Stearns Holdings LLC
9.375% due 08/15/2020 (l)		600	627
Stichting AK Rabobank Certificaten
6.500% due 12/29/2049 (i)	EUR	4,773	6,995
Tesco Property Finance PLC
5.411% due 07/13/2044	GBP	1,133	1,741
5.661% due 10/13/2041		611	959
5.744% due 04/13/2040		556	879
5.801% due 10/13/2040		1,677	2,670
6.052% due 10/13/2039		1,321	2,121
Vici Properties LLC
4.847% (US0003M + 3.500%) due 10/15/2022 ~	$	1,114	1,125
8.000% due 10/15/2023		4,054	4,531
Washington Prime Group LP
5.950% due 08/15/2024		1,007	1,035
WP Carey, Inc.
4.250% due 10/01/2026 (l)		5,000	5,090

			353,526

INDUSTRIALS 23.1%
Adecoagro S.A.
6.000% due 09/21/2027		150	152
Altice Financing S.A.
7.500% due 05/15/2026		6,100	6,718
American Airlines Pass Through Trust
4.950% due 08/15/2026		3,400	3,600
Avantor, Inc.
6.000% due 10/01/2024		246	251
Beacon Escrow Corp.
4.875% due 11/01/2025		59	60
BMC Software Finance, Inc.
8.125% due 07/15/2021 (l)		1,031	1,061
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)
9.000% due 10/15/2019 (d)(l)		15,226	15,274
Catalent Pharma Solutions, Inc.
4.875% due 01/15/2026		92	94
Charter Communications Operating LLC
4.200% due 03/15/2028		260	258
5.375% due 05/01/2047		67	68
Cheniere Corpus Christi Holdings LLC
5.875% due 03/31/2025		400	434
Cheniere Energy Partners LP
5.250% due 10/01/2025		320	330
Chesapeake Energy Corp.
4.609% (US0003M + 3.250%) due 04/15/2019 ~		157	156


CommScope Technologies LLC
5.000% due 03/15/2027		4	4
Community Health Systems, Inc.
6.250% due 03/31/2023 (l)		279	269
CRC Escrow Issuer LLC
5.250% due 10/15/2025		124	125
CSN Islands Corp.
6.875% due 09/21/2019		240	222
CSN Resources S.A.
6.500% due 07/21/2020		2,300	2,139
DAE Funding LLC
4.000% due 08/01/2020		120	122
4.500% due 08/01/2022		120	122
5.000% due 08/01/2024 (l)		290	297
Diamond Resorts International, Inc.
7.750% due 09/01/2023		278	302
10.750% due 09/01/2024 (l)		4,300	4,639
Discovery Communications LLC
2.500% due 09/20/2024	GBP	100	130
3.950% due 03/20/2028	$	89	88
DriveTime Automotive Group, Inc.
8.000% due 06/01/2021 (l)		9,300	9,393
Ecopetrol S.A.
5.875% due 05/28/2045		200	198
EI Group PLC
6.375% due 09/26/2031	GBP	1,000	1,485
Exela Intermediate LLC
10.000% due 07/15/2023 (l)	$	217	209
Ferroglobe PLC
9.375% due 03/01/2022 (l)		3,400	3,706
Ford Motor Co.
7.700% due 05/15/2097 (l)		29,796	38,040
Fresh Market, Inc.
9.750% due 05/01/2023 (l)		12,200	6,954
Frontier Finance PLC
8.000% due 03/23/2022	GBP	8,200	11,579
goeasy Ltd.
7.875% due 11/01/2022 (c)	$	88	90
Greene King Finance PLC
5.702% due 12/15/2034	GBP	350	438
Hampton Roads PPV LLC
6.171% due 06/15/2053 (l)	$	1,800	1,892
HCA, Inc.
4.500% due 02/15/2027		1,550	1,569
5.500% due 06/15/2047		182	186
7.500% due 11/15/2095 (l)		4,800	4,938
Hologic, Inc.
4.375% due 10/15/2025		50	51
iHeartCommunications, Inc.
9.000% due 09/15/2022		5,810	4,227
10.625% due 03/15/2023		5,600	4,046
11.250% due 03/01/2021		2,920	2,110
Intelsat Jackson Holdings S.A.
7.250% due 10/15/2020		14,570	14,092
9.750% due 07/15/2025		217	219
Intelsat Luxembourg S.A.
7.750% due 06/01/2021		18,643	11,792
8.125% due 06/01/2023 (l)		1,939	1,192
Intrepid Aviation Group Holdings LLC
6.875% due 02/15/2019		22,531	22,362
Kinder Morgan Energy Partners LP
6.375% due 03/01/2041 (l)		800	926
Kinder Morgan, Inc.
7.750% due 01/15/2032 (l)		3,100	3,988
7.800% due 08/01/2031 (l)		6,000	7,750
Mallinckrodt International Finance S.A.
4.750% due 04/15/2023 (l)		5,058	4,287
5.500% due 04/15/2025		560	505
Multi-Color Corp.
4.875% due 11/01/2025		57	58
Netflix, Inc.
4.875% due 04/15/2028		320	318
Park Aerospace Holdings Ltd.
3.625% due 03/15/2021		155	155
4.500% due 03/15/2023		310	311
5.250% due 08/15/2022		24	25
5.500% due 02/15/2024		390	406
Petroleos Mexicanos
6.500% due 03/13/2027		936	1,022
6.750% due 09/21/2047		500	517
PetSmart, Inc.
5.875% due 06/01/2025		199	174
Pitney Bowes, Inc.
3.625% due 09/15/2020		56	56
4.700% due 04/01/2023		118	115


Plastipak Holdings, Inc.
6.250% due 10/15/2025		29	30
QVC, Inc.
4.375% due 03/15/2023		768	801
5.450% due 08/15/2034		1,650	1,647
5.950% due 03/15/2043		6,770	6,697
Russian Railways via RZD Capital PLC
7.487% due 03/25/2031	GBP	1,500	2,480
Sabine Pass Liquefaction LLC
5.875% due 06/30/2026 (l)	$	4,300	4,872
Safeway, Inc.
7.250% due 02/01/2031		9,392	8,171
Scientific Games International, Inc.
5.000% due 10/15/2025		53	54
10.000% due 12/01/2022		1,364	1,512
SFR Group S.A.
6.250% due 05/15/2024 (l)		12,500	13,141
7.375% due 05/01/2026		3,600	3,883
Simmons Foods, Inc.
5.750% due 11/01/2024		82	82
Spirit Issuer PLC
0.884% (BP0003M + 0.550%) due 12/28/2028 ~	GBP	748	829
3.034% (BP0003M + 2.700%) due 12/28/2031 ~		1,855	2,402
6.582% due 12/28/2027		2,500	3,548
Tech Data Corp.
4.950% due 02/15/2027	$	100	105
Time Warner Cable LLC
8.250% due 04/01/2019		140	152
Transocean, Inc.
7.500% due 01/15/2026		170	176
UAL Pass-Through Trust
7.336% due 01/02/2021		1,699	1,810
Unique Pub Finance Co. PLC
5.659% due 06/30/2027	GBP	6,676	10,072
United Group BV
4.375% due 07/01/2022	EUR	8,200	10,053
4.875% due 07/01/2024		200	245
UPCB Finance Ltd.
3.625% due 06/15/2029		350	411
Valeant Pharmaceuticals International, Inc.
6.500% due 03/15/2022	$	153	163
7.000% due 03/15/2024		293	318
ViaSat, Inc.
5.625% due 09/15/2025		178	181
Viking Cruises Ltd.
5.875% due 09/15/2027		39	39
Virgin Media Secured Finance PLC
5.000% due 04/15/2027	GBP	1,780	2,464
Wind Tre SpA
2.467% due 01/20/2024 ~(c)	EUR	400	469
2.625% due 01/20/2023 (c)		400	468
3.125% due 01/20/2025 (c)		200	234
5.000% due 01/20/2026 (c)	$	200	202
Wynn Las Vegas LLC
5.250% due 05/15/2027		18	18
Wynn Macau Ltd.
4.875% due 10/01/2024		200	204
5.500% due 10/01/2027		200	203

			276,432

UTILITIES 6.2%
AT&T, Inc.
2.850% due 02/14/2023		370	368
3.400% due 08/14/2024 (l)		740	741
3.900% due 08/14/2027 (l)		670	668
4.900% due 08/14/2037 (l)		678	680
5.150% due 02/14/2050 (l)		1,018	1,008
5.300% due 08/14/2058 (l)		2,393	2,377
DTEK Finance PLC (10.750% Cash or 10.750% PIK)
10.750% due 12/31/2024 (d)		700	727
Gazprom OAO Via Gaz Capital S.A.
9.250% due 04/23/2019		11,200	12,218
Mountain States Telephone & Telegraph Co.
7.375% due 05/01/2030		15,730	16,615
Odebrecht Drilling Norbe Ltd.
6.350% due 06/30/2022 ^(e)		501	303
Odebrecht Offshore Drilling Finance Ltd.
6.625% due 10/01/2023 ^(e)(j)		4,696	1,691
6.750% due 10/01/2023 ^(e)(j)		4,465	1,608


Petrobras Global Finance BV
5.299% due 01/27/2025		304	305
5.999% due 01/27/2028		314	318
6.125% due 01/17/2022		704	763
6.250% due 12/14/2026	GBP	6,100	8,796
6.625% due 01/16/2034		800	1,137
6.750% due 01/27/2041 (l)	$	4,100	4,141
7.250% due 03/17/2044		447	470
7.375% due 01/17/2027 (l)		1,224	1,361
Rio Oil Finance Trust
9.750% due 01/06/2027		588	639
Sprint Capital Corp.
6.900% due 05/01/2019		2,000	2,115
TerraForm Power Operating LLC
6.375% due 02/01/2023		1,075	1,131
Transcanada Trust
5.300% due 03/15/2077 ¨		10,000	10,421
Transocean Phoenix Ltd.
7.750% due 10/15/2024		2,619	2,835
Transocean Proteus Ltd.
6.250% due 12/01/2024		380	400
Verizon Communications, Inc.
2.875% due 01/15/2038	EUR	180	216
3.375% due 10/27/2036	GBP	130	171

			74,223

Total Corporate Bonds & Notes (Cost $659,052)			704,181

CONVERTIBLE BONDS & NOTES 0.7%
INDUSTRIALS 0.7%
Caesars Entertainment Corp.
5.000% due 10/01/2024 (j)	$	1,050	2,065
DISH Network Corp.
3.375% due 08/15/2026		5,900	6,376

Total Convertible Bonds & Notes (Cost $7,859)			8,441

MUNICIPAL BONDS & NOTES 5.1%
CALIFORNIA 1.1%
Riverside County, California Redevelopment Successor Agency Tax Allocation Bonds, Series 2010
7.500% due 10/01/2030		3,425	3,796
Stockton Public Financing Authority, California Revenue Bonds, (BABs), Series 2009
7.942% due 10/01/2038		8,500	9,357

			13,153

ILLINOIS 2.5%
Chicago, Illinois General Obligation Bonds, (BABs), Series 2010
7.517% due 01/01/2040		23,700	27,513
Chicago, Illinois General Obligation Bonds, Series 2014
6.314% due 01/01/2044		120	128
Chicago, Illinois General Obligation Bonds, Series 2015
7.375% due 01/01/2033		100	116
7.750% due 01/01/2042		300	328
Chicago, Illinois General Obligation Bonds, Series 2017
7.045% due 01/01/2029		200	222
Illinois State General Obligation Bonds, (BABs), Series 2010
6.725% due 04/01/2035		60	68
7.350% due 07/01/2035		40	47
Illinois State General Obligation Bonds, Series 2003
5.100% due 06/01/2033		1,035	1,045

			29,467

IOWA 0.0%
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		480	487

TEXAS 0.2%
Texas Public Finance Authority Revenue Notes, Series 2014
8.250% due 07/01/2024		2,300	2,394

VIRGINIA 0.1%
Tobacco Settlement Financing Corp., Virginia Revenue Bonds, Series 2007
6.706% due 06/01/2046		1,400	1,278


WEST VIRGINIA 1.2%
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007
0.000% due 06/01/2047 (h)	78,700	4,196
7.467% due 06/01/2047	10,510	10,201

		14,397

Total Municipal Bonds & Notes (Cost $54,737)		61,176

U.S. GOVERNMENT AGENCIES 4.1%
Fannie Mae
3.000% due 01/25/2042 (a)	1,219	101
3.500% due 02/25/2033 (a)	3,000	386
4.788% (US0001M + 3.550%) due 07/25/2029 ~	1,490	1,587
4.862% (-1*LIBOR01M + 6.100%) due 07/25/2040 ~(a)	1,388	157
5.488% (US0001M + 4.250%) due 01/25/2029 ~	800	892
6.088% (US0001M + 4.850%) due 10/25/2029 ~	590	624
6.988% (US0001M + 5.750%) due 07/25/2029 ~	2,010	2,273
Freddie Mac
0.000% due 04/25/2045 - 08/25/2046 (b)(h)	19,541	15,348
0.100% due 04/25/2046 - 08/25/2046 (a)	91,330	340
0.200% due 04/25/2045 (a)	10,054	23
4.635% due 11/25/2055 u~	14,603	7,826
5.861% (-1*LIBOR01M + 7.100%) due 02/15/2034 ~(a)	2,421	437
6.452% (-2.333*LIBOR01M + 9.333%) due 07/15/2039 ~	2,323	2,499
7.538% (-2.5*LIBOR01M + 10.625%) due 03/15/2044 ~	1,485	1,680
8.707% (-2.667*LIBOR01M + 12.000%) due 02/15/2036 ~	5,228	6,021
8.788% (US0001M + 7.550%) due 12/25/2027 ~	4,442	5,386
11.988% (US0001M + 10.750%) due 03/25/2025 ~	2,352	3,203
Ginnie Mae
3.000% due 12/20/2042 (a)	74	10
3.500% due 09/16/2041 - 06/20/2042 (a)	1,758	257
5.511% (-1*LIBOR01M + 6.750%) due 01/20/2042 ~(a)	2,717	315

Total U.S. Government Agencies (Cost $47,766)		49,365

NON-AGENCY MORTGAGE-BACKED SECURITIES 24.9%
Adjustable Rate Mortgage Trust
1.578% (US0001M + 0.340%) due 05/25/2036 ~	2,084	1,281
2.388% (US0001M + 1.150%) due 01/25/2035 ~	5,080	4,400
Banc of America Alternative Loan Trust
6.000% due 01/25/2036 ^	228	215
6.000% due 04/25/2036 ^	4,028	4,081
Banc of America Funding Trust
5.500% due 01/25/2036	232	202
6.000% due 07/25/2037 ^	638	505
BCAP LLC Trust
3.300% due 07/26/2037 ~	478	14
3.302% due 03/27/2036 ~	3,854	2,475
5.006% due 03/26/2037	1,887	1,264
7.000% due 12/26/2036 ~	5,056	4,476
Bear Stearns ALT-A Trust
3.325% due 08/25/2046 ~	5,728	5,379
3.477% due 11/25/2036 ^~	917	789
3.698% due 08/25/2036 ^~	3,675	2,907
3.758% due 09/25/2035 ^~	1,256	1,083
3.818% due 11/25/2034 ~	365	351
Bear Stearns Asset-Backed Securities Trust
1.638% (US0001M + 0.400%) due 04/25/2037 ~	19,115	15,535
Bear Stearns Commercial Mortgage Securities Trust
5.721% due 04/12/2038 ~	370	294
Bear Stearns Mortgage Funding Trust
7.500% due 08/25/2036	2,198	2,232
Chase Mortgage Finance Trust
3.287% due 12/25/2035 ^~	24	24
6.000% due 02/25/2037 ^	2,125	1,739
6.000% due 03/25/2037 ^	495	439
6.000% due 07/25/2037 ^	1,830	1,663
Citigroup Commercial Mortgage Trust
5.742% due 12/10/2049 ~	1,308	1,153
Citigroup Mortgage Loan Trust
3.188% due 04/25/2037 ^~	4,063	3,486
3.356% due 03/25/2037 ^~	1,049	1,020
3.883% due 11/25/2035 ~	18,105	12,470
6.000% due 11/25/2036 ~	14,943	11,256
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.398% due 12/11/2049 ~	98	60
5.688% due 10/15/2048	14,858	7,829
CitiMortgage Alternative Loan Trust
5.750% due 04/25/2037 ^	3,173	2,819


Commercial Mortgage Loan Trust
6.031% due 12/10/2049 ~		3,472	2,185
Countrywide Alternative Loan Resecuritization Trust
6.000% due 08/25/2037 ^~		2,525	2,031
Countrywide Alternative Loan Trust
1.449% (US0001M + 0.210%) due 03/20/2046 ~		5,936	5,091
1.508% (US0001M + 0.270%) due 08/25/2035 ~		367	262
3.486% due 06/25/2047 ~		3,899	3,710
4.012% (-1*US0001M + 5.250%) due 04/25/2037 ^~(a)		26,024	4,948
5.250% due 05/25/2021 ^		18	17
5.500% due 03/25/2035		630	490
5.500% due 09/25/2035 ^		5,772	5,305
5.500% due 03/25/2036 ^		223	178
5.750% due 01/25/2035		782	784
5.750% due 02/25/2035		864	814
6.000% due 02/25/2035		819	849
6.000% due 04/25/2036		2,220	1,755
6.000% due 05/25/2036 ^		2,446	2,013
6.000% due 02/25/2037 ^		780	549
6.000% due 02/25/2037		2,949	2,557
6.000% due 04/25/2037 ^		7,824	6,009
6.000% due 08/25/2037 ^~		10,994	9,005
6.250% due 10/25/2036 ^		3,171	2,567
6.250% (US0001M + 0.650%) due 12/25/2036 ^~		3,832	2,969
6.500% due 08/25/2036 ^		1,028	708
6.500% due 09/25/2036 ^		517	439
17.094% (-3.667*US0001M + 21.633%) due 02/25/2036 ~		2,253	2,852
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 07/25/2037 ^		800	683
6.000% due 04/25/2036 ^		599	559
Credit Suisse Mortgage Capital Mortgage-Backed Trust
5.750% due 04/25/2036 ^		1,767	1,403
Epic Drummond Ltd.
0.137% (EUR003M + 0.190%) due 01/25/2022 ~	EUR	231	266
Eurosail PLC
1.652% (BP0003M + 1.350%) due 06/13/2045 ~	GBP	4,487	4,410
4.302% (BP0003M + 4.000%) due 06/13/2045 ~		1,394	1,584
First Horizon Alternative Mortgage Securities Trust
6.000% due 08/25/2036 ^	$	2,488	2,100
GS Mortgage Securities Trust
4.744% due 10/10/2032 u		10,500	9,639
5.622% due 11/10/2039		1,689	1,594
GSR Mortgage Loan Trust
3.632% due 03/25/2037 ^~		3,941	3,628
3.657% due 11/25/2035 ^~		2,126	1,978
5.500% due 05/25/2036 ^		292	281
HomeBanc Mortgage Trust
2.038% (US0001M + 0.800%) due 03/25/2035 ~		286	259
IndyMac Mortgage Loan Trust
6.500% due 07/25/2037 ^		6,707	4,448
JPMorgan Alternative Loan Trust
3.102% due 03/25/2037 ~		11,812	10,337
JPMorgan Chase Commercial Mortgage Securities Trust
5.411% due 05/15/2047		3,600	2,567
5.623% due 05/12/2045		2,663	2,413
JPMorgan Mortgage Trust
3.396% due 02/25/2036 ^~		2,503	2,264
3.443% due 01/25/2037 ^~		1,507	1,486
3.507% due 06/25/2036 ^~		1,194	1,073
3.550% due 10/25/2035 ~		64	62
LB-UBS Commercial Mortgage Trust
5.407% due 11/15/2038		7,151	5,480
Lehman Mortgage Trust
6.000% due 07/25/2037 ^		304	288
22.617% (-5.5*US0001M + 29.425%) due 11/25/2035 ^~		279	399
Lehman XS Trust
1.458% (US0001M + 0.220%) due 06/25/2047 ~		4,338	3,735
MASTR Alternative Loan Trust
6.750% due 07/25/2036		3,825	2,654
Merrill Lynch Mortgage Investors Trust
3.210% due 03/25/2036 ^~		4,092	3,170
Mesdag Delta BV
0.000% due 01/25/2020 ¨	EUR	1,996	2,282
Morgan Stanley Capital Trust
5.966% due 06/11/2049 ~	$	2,434	2,442
Motel 6 Trust
8.165% (LIBOR01M + 6.927%) due 08/15/2019 ~		15,549	15,806
RBSSP Resecuritization Trust
1.457% (LIBOR01M + 0.220%) due 10/27/2036 ~		3,609	894
1.477% (LIBOR01M + 0.240%) due 08/27/2037 ~		8,000	2,412
Residential Accredit Loans, Inc. Trust
1.428% (US0001M + 0.190%) due 08/25/2036 ~		1,280	1,190
1.468% (US0001M + 0.230%) due 05/25/2037 ^~		402	328
6.000% due 08/25/2036 ^		855	757
6.000% due 05/25/2037 ^		2,610	2,374


Residential Asset Securitization Trust
5.750% due 02/25/2036 ^		466	367
6.000% due 02/25/2037 ^		2,192	1,701
6.250% due 09/25/2037 ^		5,401	3,879
Residential Funding Mortgage Securities, Inc. Trust
4.059% due 02/25/2037 ~		3,684	2,982
Structured Adjustable Rate Mortgage Loan Trust
3.277% due 11/25/2036 ^~		5,627	5,220
3.383% due 03/25/2037 ^~		1,175	945
3.468% due 01/25/2036 ^~		8,087	6,507
3.510% due 07/25/2036 ^~		1,250	1,031
3.567% due 07/25/2035 ^~		2,695	2,365
Structured Asset Mortgage Investments Trust
1.358% (US0001M + 0.120%) due 08/25/2036 ~		228	201
Suntrust Adjustable Rate Mortgage Loan Trust
3.447% due 02/25/2037 ^~		9,029	7,786
3.569% due 02/25/2037 ^~		790	713
3.611% due 04/25/2037 ^~		841	720
WaMu Mortgage Pass-Through Certificates Trust
3.025% due 07/25/2037 ^~		986	827
3.218% due 02/25/2037 ^~		1,370	1,323
3.261% due 10/25/2036 ^~		1,893	1,758
3.338% due 07/25/2037 ^~		2,280	2,134
Washington Mutual Mortgage Pass-Through Certificates Trust
1.784% (12MTA + 0.840%) due 05/25/2047 ^~		367	70
6.000% due 10/25/2035 ^		1,943	1,548
6.000% due 03/25/2036 ^		2,784	2,841
6.000% due 02/25/2037		6,699	6,004

Total Non-Agency Mortgage-Backed Securities (Cost $275,413)			297,695

ASSET-BACKED SECURITIES 18.6%
Airspeed Ltd.
1.509% (LIBOR01M + 0.270%) due 06/15/2032 ~		5,280	4,667
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates
2.588% (US0001M + 1.350%) due 03/25/2033 ~		88	87
Belle Haven ABS CDO Ltd.
1.593% (LIBOR03M + 0.250%) due 07/05/2046 ~		324,260	4,378
BlueMountain CLO Ltd.
6.809% (US0003M + 5.450%) due 04/13/2027 ~		1,000	1,002
CIFC Funding Ltd.
0.000% due 05/24/2026 (h)		4,100	2,543
0.000% due 07/22/2026 (h)		3,000	1,982
Citigroup Mortgage Loan Trust
1.398% (US0001M + 0.160%) due 12/25/2036 ~		7,199	4,803
1.638% (US0001M + 0.400%) due 11/25/2046 ~		7,974	7,712
Cork Street CLO Designated Activity Co.
0.000% due 11/27/2028 ~	EUR	2,667	2,815
3.600% due 11/27/2028		1,197	1,397
4.500% due 11/27/2028		1,047	1,223
6.200% due 11/27/2028		1,296	1,518
Countrywide Asset-Backed Certificates
1.408% (US0001M + 0.170%) due 03/25/2037 ~	$	3,928	3,758
1.438% (US0001M + 0.200%) due 06/25/2047 ~		18,268	15,686
1.548% (US0001M + 0.310%) due 09/25/2037 ^~		19,068	12,418
3.713% (US0001M + 2.475%) due 08/25/2033 ~		307	257
Credit-Based Asset Servicing and Securitization LLC
3.858% due 12/25/2035 ^		70	70
Emerald Aviation Finance Ltd.
6.350% due 10/15/2038		809	831
First Franklin Mortgage Loan Trust
1.398% (US0001M + 0.160%) due 10/25/2036 ~		5,357	4,126
Fremont Home Loan Trust
1.388% (US0001M + 0.150%) due 01/25/2037 ~		7,200	4,198
1.558% (US0001M + 0.320%) due 02/25/2036 ~		14,710	6,137
Glacier Funding CDO Ltd.
1.442% (US0003M + 0.270%) due 08/04/2035 ~		8,538	2,251
Grosvenor Place CLO BV
0.000% due 04/30/2029 ~	EUR	750	669
Home Equity Mortgage Loan Asset-Backed Trust
1.398% (US0001M + 0.160%) due 07/25/2037 ~		3,550	2,429
Hyundai Auto Receivables Trust (HART) 2016
3.230% due 12/15/2022 u	$	7,010	7,010
JPMorgan Mortgage Acquisition Trust
5.830% due 07/25/2036 ^		143	80
Lehman XS Trust
6.290% due 06/24/2046		3,670	3,699
Long Beach Mortgage Loan Trust
1.538% (US0001M + 0.300%) due 01/25/2036 ~		8,000	5,984


Merrill Lynch Mortgage Investors Trust
5.895% due 03/25/2037		7,593	2,439
Morgan Stanley ABS Capital, Inc. Trust
1.388% (US0001M + 0.150%) due 10/25/2036 ~		8,132	5,410
Morgan Stanley Mortgage Loan Trust
6.250% due 07/25/2047 ^~		1,415	1,006
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
2.213% (US0001M + 0.975%) due 07/25/2035 ~		6,000	4,456
Renaissance Home Equity Loan Trust
5.612% due 04/25/2037		11,635	6,207
7.238% due 09/25/2037 ^		9,592	5,549
Residential Asset Securities Corp. Trust
1.818% (US0001M + 0.580%) due 08/25/2034 ~		10,019	8,220
Securitized Asset-Backed Receivables LLC Trust
1.518% (US0001M + 0.280%) due 03/25/2036 ~		11,660	6,730
SLM Student Loan EDC Repackaging Trust
0.000% due 10/28/2029 u(h)		8	8,369
SLM Student Loan Trust
0.000% due 01/25/2042 u(h)		7	5,880
SoFi Professional Loan Program LLC
0.000% due 05/25/2040 u(h)		7,500	3,960
0.000% due 07/25/2040 u(h)		38	2,154
0.000% due 09/25/2040 u(h)		3,226	1,858
Sound Point CLO Ltd.
6.213% (US0003M + 4.850%) due 01/23/2027 ~		1,000	989
South Coast Funding Ltd.
1.909% (LIBOR03M + 0.600%) due 08/10/2038 ~		20,378	4,177
Symphony CLO Ltd.
5.959% (US0003M + 4.600%) due 07/14/2026 ~		3,600	3,511
6.259% (US0003M + 4.900%) due 10/15/2025 ~		1,400	1,405
Taberna Preferred Funding Ltd.
1.672% (LIBOR03M + 0.360%) due 12/05/2036 ~		11,886	9,390
1.692% (US0003M + 0.380%) due 08/05/2036 ~		747	583
1.692% (US0003M + 0.380%) due 08/05/2036 ^~		14,476	11,292
1.712% (LIBOR03M + 0.400%) due 02/05/2036 ~		8,148	6,437
Thunderbolt Aircraft Lease Ltd.
4.212% due 05/17/2032		378	391
Tropic CDO Ltd.
2.058% (US0003M + 0.900%) due 04/15/2034 ~		25,000	18,750

Total Asset-Backed Securities (Cost $215,338)			222,893

SOVEREIGN ISSUES 3.9%
Argentina Bonar Bonds
23.743% (BADLARPP + 2.000%) due 04/03/2022 ~	ARS	112,470	6,729
24.756% (BADLARPP + 3.250%) due 03/01/2020 ~		2,100	131
Argentina Government International Bond
2.260% due 12/31/2038	EUR	1,300	1,082
3.875% due 01/15/2022		300	362
5.000% due 01/15/2027		400	472
7.820% due 12/31/2033		14,043	18,828
27.146% (ARPP7DRR) due 06/21/2020 ~	ARS	76,810	4,809
Autonomous Community of Catalonia
4.750% due 06/04/2018	EUR	19	22
4.900% due 09/15/2021		2,650	3,251
4.950% due 02/11/2020		50	61
Emirate of Abu Dhabi
4.125% due 10/11/2047	$	1,500	1,489
Ghana Government International Bond
10.750% due 10/14/2030		600	801
Republic of Greece Government International Bond
4.750% due 04/17/2019	EUR	600	716
Saudi Government International Bond
2.875% due 03/04/2023	$	1,400	1,396
3.250% due 10/26/2026		400	394
3.625% due 03/04/2028		1,600	1,590
4.500% due 10/26/2046		2,600	2,610
4.625% due 10/04/2047		1,800	1,846
Sri Lanka Government International Bond
6.200% due 05/11/2027		200	213
Venezuela Government International Bond
9.250% due 09/15/2027		598	223

Total Sovereign Issues (Cost $43,033)			47,025


	SHARES
COMMON STOCKS 2.7%
CONSUMER DISCRETIONARY 0.8%
Caesars Entertainment Corp. (f)		754,965	9,777


ENERGY 0.6%
Forbes Energy Services Ltd. (f)(j)		64,837		849
Ocean Rig UDW, Inc. (f)		237,175		6,352

				7,201

FINANCIALS 1.3%
TIG FinCo PLC u(j)		3,315,033		4,403
VICI Properties, Inc. (f)(j)		606,311		11,216

				15,619

Total Common Stocks (Cost $29,008)				32,597

WARRANTS 0.0%
INDUSTRIALS 0.0%
Sequa Corp. - Exp. 04/28/2024 u		1,355,000		464

UTILITIES 0.0%
Dynegy, Inc. - Exp. 02/02/2024		42,898		12

Total Warrants (Cost $113)				476

PREFERRED SECURITIES 3.0%
BANKING & FINANCE 1.0%
Farm Credit Bank of Texas
10.000% due 12/15/2020 (i)		5,745		7,023
VICI Properties, Inc.
0.000% (i)		25,874		2,063
0.000% due 10/02/2035 (j)		32,974		2,630

				11,716

INDUSTRIALS 2.0%
Sequa Corp.
9.000% u		25,121		23,865

Total Preferred Securities (Cost $33,579)				35,581

SHORT-TERM INSTRUMENTS 6.8%
REPURCHASE AGREEMENTS (k) 4.2%				50,835


	PRINCIPAL AMOUNT (000S)
U.S. TREASURY BILLS 2.6%
0.997% due 11/09/2017 - 01/04/2018 (g)(h)(n)(p)		31,430		31,415

Total Short-Term Instruments (Cost $82,250)				82,250

Total Investments in Securities (Cost $1,542,015)				1,632,373

Total Investments 136.2% (Cost $1,542,015)			$	1,632,373
Financial Derivative Instruments (m)(o) (1.9)% (Cost or Premiums, net $(66,192))				(22,971	)
Preferred Shares (19.9)%				(237,950	)
Other Assets and Liabilities, net) (14.4)%				(173,072	)

Net Assets Applicable to Common Shareholders 100.0%			$	1,198,380

Notes to Schedule of Investments (amounts in thousands*, except number of units):

*	A zero balance may reflect actual amounts rounding to less than one thousand.

∎	The geographical classification of foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.

^	Security is in default.

u	Security valued using significant unobservable inputs (Level 3).

Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.

¨	Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.

(a)

Interest only security.

(b)

Principal only security.

(c)

When-issued security.

(d)

Payment in-kind security.

(e)

Security is not accruing income as of the date of this report.

(f)

Security did not produce income within the last twelve months.

(g)

Coupon represents a weighted average yield to maturity.

(h)

Zero coupon security.

(i)

Perpetual maturity; date shown, if applicable, represents next contractual call date.

(j)

Restricted Securities:


Issuer Description	Acquisition Date		Cost		Market Value		Market Value as Percentage of Net Assets
Caesars Entertainment Corp. 5.000% due 10/01/2024		06/02/2017 - 06/21/2017	$	1,959	$	2,065		0.17	%
Forbes Energy Services Ltd.		10/09/2014 - 11/18/2016		2,472		849		0.07
Odebrecht Offshore Drilling Finance Ltd. 6.625% due 10/01/2023		04/09/2015 - 07/30/2015		3,726		1,691		0.14
Odebrecht Offshore Drilling Finance Ltd. 6.750% due 10/01/2023		04/09/2015 - 07/30/2015		3,318		1,608		0.13
TIG FinCo PLC		04/02/2015 - 07/20/2017		4,441		4,403		0.37
VICI Properties, Inc.		11/19/2014 - 01/08/2015		8,634		11,216		0.94
VICI Properties, Inc. 0.000% due 10/02/2035		09/27/2017		538		2,630		0.22

			$	25,088	$	24,462		2.04	%

Borrowings and Other Financing Transactions

(k)

Repurchase Agreements:


Counterparty	Lending Rate			Settlement Date		Maturity Date		Principal Amount		Collateralized By	Collateral (Received)			Repurchase Agreements, at Value		Repurchase Agreement Proceeds to be Received⁽¹⁾
BPG		1.200	%		10/31/2017		11/01/2017	$	40,800	U.S. Treasury Inflation Protected Securities 0.375% due 07/15/2027	$	(41,621	)	$	40,800	$	40,802
FICC		0.500			10/31/2017		11/01/2017		2,435	Freddie Mac 1.000% due 12/15/2017		(2,484	)		2,435		2,435
NOM		1.030			10/31/2017		11/01/2017		7,600	U.S. Treasury Bonds 2.500% due 05/15/2046		(7,753	)		7,600		7,600

Total Repurchase Agreements											$	(51,858	)	$	50,835	$	50,837

Reverse Repurchase Agreements:


Counterparty	Borrowing Rate⁽²⁾			Settlement Date		Maturity Date		Amount Borrowed⁽²⁾			Payable for Reverse Repurchase Agreements
BCY		(0.750	)%		06/22/2017		11/13/2017	$	(231	)	$	(230	)
BPS		1.650			10/13/2017		11/13/2017		(4,652	)		(4,656	)
CIW		1.540			10/13/2017		11/10/2017		(23,533	)		(23,552	)
DEU		(0.500	)		09/20/2017		11/10/2017		(2,563	)		(2,563	)
JPS		1.854			10/19/2017		01/19/2018		(4,959	)		(4,962	)
NOM		1.980			10/16/2017		11/09/2017		(3,664	)		(3,667	)
RBC		2.150			07/05/2017		01/05/2018		(13,687	)		(13,784	)
		2.150			11/01/2017		01/05/2018		(3,873	)		(3,873	)
RDR		1.720			09/08/2017		12/08/2017		(10,294	)		(10,321	)
		1.750			10/10/2017		01/10/2018		(4,851	)		(4,856	)
		2.150			07/05/2017		11/01/2017		(4,594	)		(4,627	)
SOG		1.880			08/16/2017		11/16/2017		(1,208	)		(1,213	)
		1.880			08/23/2017		11/22/2017		(12,680	)		(12,726	)
		1.880			09/07/2017		12/07/2017		(4,655	)		(4,668	)
		1.880			09/11/2017		11/02/2017		(334	)		(335	)
		1.880			09/11/2017		11/06/2017		(269	)		(270	)
		1.880			09/11/2017		11/22/2017		(893	)		(896	)
		1.880			09/11/2017		12/11/2017		(6,417	)		(6,434	)
		1.880			09/14/2017		12/14/2017		(26,594	)		(26,661	)
		1.930			10/11/2017		01/11/2018		(3,060	)		(3,064	)
UBS		1.660			08/23/2017		11/27/2017		(14,980	)		(15,028	)
		1.660			09/11/2017		12/12/2017		(21,324	)		(21,374	)
		1.750			10/10/2017		01/10/2018		(4,298	)		(4,303	)
		1.910			08/23/2017		11/27/2017		(7,308	)		(7,335	)
		1.920			09/14/2017		11/28/2017		(4,788	)		(4,800	)
		1.920			09/14/2017		12/14/2017		(9,101	)		(9,124	)

Total Reverse Repurchase Agreements											$	(195,322	)

(l)

Securities with an aggregate market value of $206,943 have been pledged as collateral under the terms of master agreements as of October 31, 2017.

⁽¹⁾	Includes accrued interest.

⁽²⁾	The average amount of borrowings outstanding during the period ended October 31, 2017 was $(183,890) at a weighted average interest rate of 1.769%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

⁽³⁾	Open maturity reverse repurchase agreement.

(m)

Financial Derivative Instruments: Exchange-Traded or Centrally Cleared

Swap Agreements:

Credit Default Swaps on Corporate Issues - Sell Protection⁽¹⁾


																						Variation Margin
Reference Entity	Fixed Receive Rate			Payment Frequency		Maturity Date		Implied Credit Spread at October 31, 2017⁽²⁾			Notional Amount⁽³⁾		Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Market Value⁽⁴⁾			Asset		Liability
Ally Financial, Inc.		5.000	%		Quarterly		06/20/2022		0.918	%	$	4,040	$	523		$	228		$	751		$	2	$	0
Banco Espirito Santo S.A.		5.000			Quarterly		09/20/2020		8.441		EUR	8,000		(2,531	)		1,856			(675	)		122		0
Frontier Communications Corp.		5.000			Quarterly		06/20/2020		8.913		$	17,570		(724	)		(701	)		(1,425	)		0		(11	)
Frontier Communications Corp.		5.000			Quarterly		06/20/2022		11.574			1,000		(135	)		(69	)		(204	)		3		0
Navient Corp.		5.000			Quarterly		12/20/2021		1.989			15,900		(30	)		1,999			1,969			44		0
Navient Corp.		5.000			Quarterly		06/20/2022		2.423			300		27			8			35			0		0

													$	(2,870	)	$	3,321		$	451		$	171	$	(11	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


																Variation Margin
Index/Tranches	Fixed Receive Rate			Payment Frequency		Maturity Date		Notional Amount⁽³⁾		Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)		Market Value⁽⁴⁾		Asset		Liability
CDX.HY-28 5-Year Index		5.000	%		Quarterly		06/20/2022	$	11,088	$	748	$	317	$	1,065	$	15	$	0
CDX.IG-28 5-Year Index		1.000			Quarterly		06/20/2022		21,600		382		113		495		0		0
CDX.HY-29 5-Year Index		5.000			Quarterly		12/20/2022		11,900		994		72		1,066		14		0
CDX.IG-29 5-Year Index		1.000			Quarterly		12/20/2022		1,900		42		4		46		1		0

										$	2,166	$	506	$	2,672	$	30	$	0

Interest Rate Swaps


																				Variation Margin
Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate			Payment Frequency		Maturity Date		Notional Amount		Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Market Value			Asset		Liability
Pay	1-Year BRL-CDI		11.250	%		Maturity		01/04/2021	BRL	210,000	$	(1,280	)	$	1,871		$	591		$	0	$	(1	)
Pay	1-Year BRL-CDI		11.500			Maturity		01/04/2021		22,400		(223	)		427			204			0		0
Pay⁽⁵⁾	3-Month USD-LIBOR		2.250			Semi-Annual		12/20/2022	$	12,500		(120	)		49			(71	)		6		0
Pay	3-Month USD-LIBOR		2.750			Semi-Annual		06/17/2025		145,380		9,193			(2,972	)		6,221			0		(63	)
Pay	3-Month USD-LIBOR		2.250			Semi-Annual		06/15/2026		44,400		2,099			(2,035	)		64			0		(14	)
Pay⁽⁵⁾	3-Month USD-LIBOR		2.500			Semi-Annual		12/20/2027		73,900		530			144			674			0		(2	)
Pay	3-Month USD-LIBOR		3.500			Semi-Annual		06/19/2044		305,100		(9,953	)		66,835			56,882			227		0
Receive⁽⁵⁾	3-Month USD-LIBOR		2.750			Semi-Annual		12/20/2047		470,000		(14,597	)		3,130			(11,467	)		0		(427	)
Pay	6-Month AUD-BBR-BBSW		3.500			Semi-Annual		06/17/2025	AUD	13,400		332			330			662			75		0
Receive⁽⁵⁾	6-Month EUR-EURIBOR		1.000			Annual		03/21/2028	EUR	38,000		(225	)		(102	)		(327	)		0		(124	)
Receive⁽⁵⁾	6-Month GBP-LIBOR		1.500			Semi-Annual		03/21/2028	GBP	46,600		(1,613	)		1,189			(424	)		0		(110	)

											$	(15,857	)	$	68,866		$	53,009		$	308	$	(741	)

Total Swap Agreements											$	(16,561	)	$	72,693		$	56,132		$	509	$	(752	)

(n)

Securities with an aggregate market value of $882 and cash of $33,460 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of October 31, 2017.

⁽¹⁾

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽²⁾

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾	The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾

The prices and resulting values for credit default swap agreements on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁵⁾	This instrument has a forward starting effective date.

(o)

Financial Derivative Instruments: Over the Counter

Forward Foreign Currency Contracts:


									Unrealized Appreciation/(Depreciation)
Counterparty	Settlement Month		Currency to be Delivered			Currency to be Received			Asset		Liability
BOA		11/2017		EUR	90,381		$	106,109	$	831	$	(2	)
		11/2017		$	870		EUR	740		0		(8	)
BPS		11/2017			103,768			89,186		120		0
		12/2017		EUR	89,186		$	103,942		0		(119	)
CBK		11/2017			700			831		15		0
		11/2017		$	959		EUR	815		0		(10	)
DUB		11/2017		GBP	357		$	475		1		0
GLM		11/2017		$	1,471		EUR	1,252		0		(13	)
HUS		11/2017		BRL	1,738		$	530		0		(1	)
		11/2017		$	543		BRL	1,738		0		(12	)
		12/2017		BRL	1,738		$	541		12		0
JPM		11/2017		AUD	557			435		9		0
		11/2017		BRL	1,737			552		21		0
		11/2017		EUR	2,522			2,968		30		0
		11/2017		$	530		BRL	1,737		1		0
UAG		11/2017		GBP	95,676		$	128,085		1,013		0
		11/2017		$	125,728		GBP	96,033		1,818		0
		12/2017		GBP	96,033		$	125,837		0		(1,820	)

Total Forward Foreign Currency Contracts									$	3,871	$	(1,985	)

Swap Agreements:

Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection⁽¹⁾


																				Swap Agreements, at Value
Counterparty	Reference Entity	Fixed Receive Rate			Payment Frequency		Maturity Date		Implied Credit Spread at October 31, 2017⁽²⁾			Notional Amount⁽³⁾		Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Asset		Liability
BPS	Petrobras Global Finance BV		1.000	%		Quarterly		12/20/2024		2.729	%	$	1,800	$	(352	)	$	158		$	0	$	(194	)
BRC	Springleaf Finance Corp.		5.000			Quarterly		12/20/2021		1.821			2,700		(40	)		395			355		0
DUB	Petroleos Mexicanos		1.000			Quarterly		12/20/2021		1.316			100		(9	)		8			0		(1	)
GST	Petrobras Global Finance BV		1.000			Quarterly		09/20/2020		1.165			20		(3	)		3			0		0
	Petrobras Global Finance BV		1.000			Quarterly		12/20/2024		2.729			2,400		(476	)		218			0		(258	)
	Springleaf Finance Corp.		5.000			Quarterly		06/20/2022		2.141			1,550		138			63			201		0
HUS	Brazil Government International Bond		1.000			Quarterly		03/20/2018		0.347			7,200		17			7			24		0
	Petrobras Global Finance BV		1.000			Quarterly		12/20/2019		0.844			500		(41	)		43			2		0
	Petrobras Global Finance BV		1.000			Quarterly		09/20/2020		1.165			60		(9	)		9			0		0
	Petrobras Global Finance BV		1.000			Quarterly		12/20/2024		2.729			3,000		(623	)		300			0		(323	)
JPM	Russia Government International Bond		1.000			Quarterly		06/20/2019		0.429			28,600		(1,957	)		2,248			291		0
	Russia Government International Bond		1.000			Quarterly		12/20/2020		0.722			1,300		(149	)		162			13		0
	Springleaf Finance Corp.		5.000			Quarterly		06/20/2022		2.141			6,570		620			230			850		0
MYC	Novo Banco S.A.		5.000			Quarterly		09/20/2020		8.441		EUR	3,000		(28	)		(225	)		0		(253	)
	Petrobras Global Finance BV		1.000			Quarterly		12/20/2019		0.844		$	14,500		(1,342	)		1,412			70		0
UAG	Avolon Holdings Ltd. u		5.000			Quarterly		07/01/2020		2.918			1,900		111			(9	)		102		0

														$	(4,143	)	$	5,022		$	1,908	$	(1,029	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾


																	Swap Agreements, at Value⁽⁴⁾
Counterparty	Index/Tranches	Fixed Receive Rate			Payment Frequency		Maturity Date		Notional Amount⁽³⁾		Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Asset		Liability
BRC	ABX.HE.AAA.6-2 Index		0.110	%		Monthly		05/25/2046	$	72,075	$	(14,279	)	$	8,882		$	0	$	(5,397	)
DUB	CMBX.NA.BBB-.6 Index		3.000			Monthly		05/11/2063		3,200		(195	)		(339	)		0		(534	)
	CMBX.NA.BBB-.8 Index		3.000			Monthly		10/17/2057		4,400		(507	)		(175	)		0		(682	)
	CMBX.NA.BBB-.9 Index		3.000			Monthly		09/17/2058		2,800		(351	)		30			0		(321	)
FBF	CMBX.NA.BBB-.10 Index		3.000			Monthly		11/17/2059		100		(11	)		1			0		(10	)
	CMBX.NA.BBB-.6 Index		3.000			Monthly		05/11/2063		300		(36	)		(14	)		0		(50	)
	CMBX.NA.BBB-.7 Index		3.000			Monthly		01/17/2047		400		(36	)		(10	)		0		(46	)
	CMBX.NA.BBB-.8 Index		3.000			Monthly		10/17/2057		1,300		(203	)		1			0		(202	)
GST	ABX.HE.AA.6-1 Index		0.320			Monthly		07/25/2045		26,888		(1,277	)		(731	)		0		(2,008	)
	ABX.HE.AAA.6-2 Index		0.110			Monthly		05/25/2046		5,063		(1,007	)		628			0		(379	)
	CMBX.NA.A.6 Index		2.000			Monthly		05/11/2063		4,300		(219	)		(36	)		0		(255	)
	CMBX.NA.BB.6 Index		5.000			Monthly		05/11/2063		2,900		(392	)		(367	)		0		(759	)
	CMBX.NA.BBB-.6 Index		3.000			Monthly		05/11/2063		6,500		(358	)		(726	)		0		(1,084	)
	CMBX.NA.BBB-.7 Index		3.000			Monthly		01/17/2047		1,100		(56	)		(72	)		0		(128	)
	CMBX.NA.BBB-.9 Index		3.000			Monthly		09/17/2058		6,400		(797	)		63			0		(734	)
MEI	ABX.HE.AAA.6-2 Index		0.110			Monthly		05/25/2046		69,761		(13,810	)		8,586			0		(5,224	)
	CMBX.NA.BBB-.10 Index		3.000			Monthly		11/17/2059		100		(10	)		0			0		(10	)
MYC	ABX.HE.AAA.6-2 Index		0.110			Monthly		05/25/2046		75,945		(10,422	)		4,735			0		(5,687	)
	CMBX.NA.BBB-.10 Index		3.000			Monthly		11/17/2059		6,850		(731	)		12			0		(719	)
	CMBX.NA.BBB-.6 Index		3.000