NPORT-EX 3 b_ec2nport.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam Dynamic Risk Allocation Fund
The fund's portfolio
2/29/20 (Unaudited)



COMMON STOCKS (49.5%)(a)
        Shares Value
Banking (2.6%)
ABN AMRO Group NV GDR (Netherlands) 3,566 $49,936
Banco BBVA Argentina SA ADR (Argentina) 2,300 9,269
Banco Bilbao Vizcaya Argenta (Spain) 19,710 95,233
Banco de Chile ADR (Chile) 416 7,517
Banco do Brasil SA (Brazil) 6,088 63,795
Banco Macro SA ADR (Argentina) 1,387 40,195
Banco Santander (Brasil) S.A. (Units) (Brazil) 3,900 34,762
Banco Santander Chile ADR (Chile) 414 7,481
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B (Mexico) 8,100 10,395
Bank Central Asia Tbk PT (Indonesia) 12,500 27,277
Bank Leumi Le-Israel BM (Israel) 8,861 57,466
Bank of China, Ltd. (China) 10,000 3,978
Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia)(NON) 34,000 8,945
BNP Paribas SA (France) 2,250 109,939
BOC Hong Kong Holdings, Ltd. (Hong Kong) 9,500 32,826
China Minsheng Banking Corp., Ltd. Class H (China) 19,000 12,905
Credit Agricole SA (France) 5,587 67,224
DNB ASA (Norway) 2,359 39,462
Fubon Financial Holding Co., Ltd. (Taiwan) 18,000 25,954
HSBC Holdings PLC (United Kingdom) 612 4,109
Industrial & Commercial Bank of China, Ltd. (China) 75,000 51,681
Israel Discount Bank, Ltd. Class A (Israel) 9,326 38,891
JPMorgan Chase & Co. 5,815 675,180
OTP Bank Nyrt (Hungary) 441 19,211
RHB Bank Bhd (Malaysia) 7,800 10,287
Sberbank of Russia PJSC ADR (Russia) 3,317 47,047
Shinhan Financial Group Co., Ltd. (South Korea) 627 16,748
Skandinaviska Enskilda Banken AB (Sweden) 7,497 71,967
Sumitomo Mitsui Financial Group, Inc. (Japan) 3,200 102,857
Sumitomo Mitsui Trust Holdings, Inc. (Japan) 800 27,289
U.S. Bancorp 8,362 388,331
2,158,157
Basic materials (1.6%)
Anglo American Platinum, Ltd. (South Africa) 525 36,148
Anglo American PLC (United Kingdom) 3,230 75,058
Anhui Conch Cement Co., Ltd. (China) 11,500 85,051
Arkema SA (France) 481 45,630
Axalta Coating Systems, Ltd.(NON) 3,932 97,985
BHP Billiton PLC (United Kingdom) 2,575 46,622
Boliden AB (Sweden) 506 10,717
China Resources Cement Holdings, Ltd. (China) 16,000 20,279
Covestro AG (Germany) 2,014 76,929
CRH PLC (Ireland) 2,869 96,783
Evraz PLC (Russia) 8,494 36,846
Fortescue Metals Group, Ltd. (Australia) 8,151 53,173
Glencore PLC (United Kingdom) 544 1,392
HOCHTIEF AG (Germany) 275 27,072
Impala Platinum Holdings, Ltd. (South Africa)(NON) 1,549 12,536
Israel Chemicals, Ltd. (Israel) 4,898 17,916
Korea Zinc Co., Ltd. (South Korea) 59 20,256
Kumba Iron Ore, Ltd. (South Africa) 856 15,998
MMC Norilsk Nickel PJSC ADR (Russia) 577 17,480
NewMarket Corp. 218 84,713
Nitto Denko Corp. (Japan) 500 24,931
Novolipetsk Steel PJSC (Russia) 636 12,126
PETRONAS Chemicals Group (PCG) Bhd (Malaysia) 11,100 14,249
Reliance Steel & Aluminum Co. 860 87,969
Rio Tinto PLC (United Kingdom) 2,267 106,253
Severstal PJSC (Russia) 710 8,607
Shin-Etsu Chemical Co., Ltd. (Japan) 800 89,475
Soulbrain Co., Ltd. (South Korea) 278 20,018
Taisei Corp. (Japan) 1,300 44,304
Tekfen Holding AS (Turkey) 4,132 10,142
Vale SA (Brazil)(NON) 3,700 36,662
1,333,320
Capital goods (3.5%)
ACS Actividades de Construccion y Servicios SA (Spain) 1,655 49,852
Allison Transmission Holdings, Inc. 2,219 90,091
AptarGroup, Inc. 200 20,214
Berry Plastics Group, Inc.(NON) 3,555 134,948
Daelim Industrial Co., Ltd. (South Korea) 239 14,249
Daikin Industries, Ltd. (Japan) 600 81,474
Dassault Aviation SA (France) 13 13,546
Faurecia SA (France) 1,328 60,746
General Dynamics Corp. 142 22,676
HEICO Corp. 1,030 111,086
Hitachi High-Technologies Corp. (Japan) 600 44,601
Hitachi, Ltd. (Japan) 2,800 93,920
Honeywell International, Inc. 3,091 501,267
Hyundai Mobis Co., Ltd. (South Korea) 337 58,890
Legrand SA (France) 649 50,104
Lockheed Martin Corp. 1,308 483,790
Obayashi Corp. (Japan) 2,600 26,111
Republic Services, Inc. 1,626 146,763
Samsung Engineering Co., Ltd. (South Korea)(NON) 1,160 13,562
Sandvik AB (Sweden) 5,818 96,749
Silgan Holdings, Inc. 1,299 37,190
Teledyne Technologies, Inc.(NON) 530 178,780
Tervita Corp. (Canada)(NON) 63 326
Trane Technologies PLC 1,958 252,660
Waste Management, Inc. 3,240 359,024
Weichai Power Co., Ltd. Class H (China) 14,000 27,803
2,970,422
Communication services (2.2%)
Advanced Info Service PCL (Thailand) 8,200 52,233
AT&T, Inc. 1,495 52,654
BT Group PLC (United Kingdom) 11,604 21,442
Charter Communications, Inc. Class A(NON) 517 254,969
China Mobile, Ltd. (China) 6,000 47,684
Deutsche Telekom AG (Germany) 6,235 101,972
Equinix, Inc.(R) 385 220,528
Hikari Tsushin, Inc. (Japan) 200 37,897
Juniper Networks, Inc. 8,811 186,969
KDDI Corp. (Japan) 4,300 121,520
KT Corp. (South Korea) 311 6,140
Nippon Telegraph & Telephone Corp. (Japan) 2,600 60,828
NTT DoCoMo, Inc. (Japan) 1,000 27,026
PLDT, Inc. (Philippines) 175 3,404
Telstra Corp., Ltd. (Australia) 32,883 72,406
TIM Participacoes SA (Brazil) 4,000 14,428
Verizon Communications, Inc. 10,849 587,582
1,869,682
Consumer cyclicals (5.3%)
Amazon.com, Inc.(NON) 182 342,843
Aristocrat Leisure, Ltd. (Australia) 3,917 84,075
Astro Malaysia Holdings Bhd (Malaysia) 5,100 1,449
Automatic Data Processing, Inc. 2,897 448,282
AutoZone, Inc.(NON) 210 216,827
Berkeley Group Holdings PLC (The) (United Kingdom) 408 25,093
Brambles, Ltd. (Australia) 1,487 11,447
CK Hutchison Holdings, Ltd. (Hong Kong) 4,500 39,437
Clear Channel Outdoor Holdings, Inc.(NON) 6,655 13,776
Clicks Group, Ltd. (South Africa) 816 12,594
Com7 PCL (Thailand) 12,400 8,724
Compagnie Generale des Etablissements Michelin SCA (France) 728 77,876
Compass Group PLC (United Kingdom) 3,711 81,477
Daiwa House Industry Co., Ltd. (Japan) 1,200 33,040
Ecolab, Inc. 637 114,947
Feng Tay Enterprise Co., Ltd. (Taiwan) 1,000 5,493
Fiat Chrysler Automobiles NV (Italy) 5,901 73,770
Ford Otomotiv Sanayi AS (Turkey) 721 9,078
Fosun International, Ltd. (China) 21,000 27,027
Geberit International AG (Switzerland) 100 50,144
Geely Automobile Holdings, Ltd. (China) 7,000 12,708
Genting Bhd (Singapore) 41,800 24,686
Genting Bhd (Malaysia) 7,400 8,689
Genting Malaysia Bhd (Malaysia) 18,300 12,563
Hermes International (France) 128 90,571
Home Product Center PCL (Thailand) 50,100 20,323
Host Hotels & Resorts, Inc.(R) 5,410 78,337
iHeartMedia, Inc. Class A(NON) 2,830 42,761
Industria de Diseno Textil SA (Inditex) (Spain) 2,649 82,447
Kering SA (France) 192 110,238
Kia Motors Corp. (South Korea) 1,869 56,490
Nintendo Co., Ltd. (Japan) 300 102,364
Omnicom Group, Inc. 4,418 306,079
Peugeot SA (France) 3,910 76,241
Porsche Automobil Holding SE (Preference) (Germany) 118 7,354
Pou Chen Corp. (Taiwan) 5,000 5,507
President Chain Store Corp. (Taiwan) 2,000 19,398
Qualicorp SA (Brazil) 4,100 31,402
Ross Stores, Inc. 2,648 288,049
Sabre Corp. 1,400 19,061
ServiceMaster Global Holdings, Inc.(NON) 371 13,271
Sinotruk Hong Kong, Ltd. (China) 11,000 21,347
Sohgo Security Services Co., Ltd. (Japan) 300 14,015
Sony Corp. (Japan) 2,200 136,143
Sun Art Retail Group, Ltd. (China) 6,000 7,720
Taylor Wimpey PLC (United Kingdom) 14,591 38,292
Teco Electric and Machinery Co., Ltd. (Taiwan) 5,000 4,353
TJX Cos., Inc. (The) 8,542 510,812
Toyota Motor Corp. (Japan) 200 13,078
Volkswagen AG (Preference) (Germany) 422 69,182
Volvo AB (Sweden) 2,088 32,593
Wal-Mart de Mexico SAB de CV (Mexico) 18,839 53,034
Walt Disney Co. (The) 3,078 362,127
Wolters Kluwer NV (Netherlands) 1,414 103,925
Zhongsheng Group Holdings, Ltd. (China) 6,000 23,059
4,475,618
Consumer finance (0.1%)
Capitec Bank Holdings, Ltd. (South Africa) 257 21,674
Chailease Holding Co., Ltd. (Taiwan) 3,000 11,054
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 2,700 15,223
Qudian, Inc. ADR (China)(NON) 5,900 15,458
63,409
Consumer staples (4.7%)
Ashtead Group PLC (United Kingdom) 3,209 100,446
Associated British Foods PLC (United Kingdom) 2,117 61,683
Bright Horizons Family Solutions, Inc.(NON) 493 77,475
British American Tobacco PLC (United Kingdom) 1,457 57,901
Carlsberg A/S Class B (Denmark) 632 83,798
Charoen Pokphand Foods PCL (Thailand) 7,400 6,273
Cia Cervecerias Unidas SA ADR (Chile) 228 3,634
Coca-Cola Co. (The) 3,628 194,062
Coca-Cola European Partners PLC (United Kingdom) 198 10,090
Coca-Cola HBC AG (Switzerland) 2,016 64,214
Colgate-Palmolive Co. 162 10,946
Essity AB Class B (Sweden) 2,522 75,629
Estacio Participacoes SA (Brazil) 478 5,547
Ferguson PLC (United Kingdom) 63 5,503
Hanjaya Mandala Sampoerna Tbk PT (Indonesia) 60,000 7,198
Hershey Co. (The) 2,018 290,572
Hindustan Unilever, Ltd. (India) 1,661 50,056
Indofood Sukses Makmur Tbk PT (Indonesia) 16,900 7,657
ITOCHU Corp. (Japan) 4,600 104,577
KT&G Corp. (South Korea) 593 41,165
McDonald's Corp. 393 76,309
Mondelez International, Inc. Class A 8,856 467,597
Nestle Malaysia Bhd (Malaysia) 100 3,385
Nestle SA (Switzerland) 1,137 117,801
PepsiCo, Inc. 1,568 207,023
Procter & Gamble Co. (The) 2,106 238,462
Sime Darby Bhd (Malaysia) 12,600 5,978
Starbucks Corp. 5,844 458,345
Sundrug Co., Ltd. (Japan) 700 21,819
Sysco Corp. 5,385 358,910
Tesco PLC (United Kingdom) 7,629 22,534
Uni-President Enterprises Corp. (Taiwan) 19,000 45,593
Unilever NV (Netherlands) 2,388 127,119
Unilever PLC (United Kingdom) 2,078 111,417
US Foods Holding Corp.(NON) 3,601 121,138
Vipshop Holdings, Ltd. ADR (China)(NON) 1,922 24,659
Want Want China Holdings, Ltd. (China) 22,000 17,127
WH Group, Ltd. (Hong Kong) 88,500 90,836
Wilmar International, Ltd. (Singapore) 8,400 23,932
Woolworths Group, Ltd. (Australia) 4,059 101,099
Yum China Holdings, Inc. (China) 1,763 77,202
3,976,711
Energy (1.3%)
Cabot Oil & Gas Corp. 8,282 115,368
Chevron Corp. 1,074 100,247
China Petroleum & Chemical Corp. (Sinopec) (China) 78,000 40,476
Ecopetrol SA ADR (Colombia) 1,234 21,780
Equinor ASA (Norway) 1,461 22,464
Exxon Mobil Corp. 5,069 260,749
Lukoil PJSC ADR (Russia) 549 47,732
Lundin Petroleum AB (Sweden) 921 26,261
Nine Point Energy(F) 540 1,080
Occidental Petroleum Corp. 5,604 183,475
Oil & Natural Gas Corp., Ltd. (India) 24,205 30,844
OMV AG (Austria) 777 32,871
Petronas Gas Bhd (Malaysia) 600 2,372
Petronet LNG, Ltd. (India) 3,185 10,840
PTT Exploration & Production PCL (Foreign depository shares) (Thailand) 9,900 33,256
Royal Dutch Shell PLC Class B (United Kingdom) 4,398 95,506
Santos, Ltd. (Australia) 13,041 57,147
Sao Martinho SA (Brazil) 1,246 7,381
Surgutneftegas OJSC (Russia) 31,838 15,526
1,105,375
Financial (1.0%)
3i Group PLC (United Kingdom) 5,353 69,786
Broadridge Financial Solutions, Inc. 429 44,770
Deutsche Boerse AG (Germany) 376 59,225
Intercontinental Exchange, Inc. 3,894 347,423
MGIC Investment Corp. 5,451 65,576
ORIX Corp. (Japan) 5,600 89,374
Partners Group Holding AG (Switzerland) 115 100,529
Singapore Exchange, Ltd. (Singapore) 4,600 28,285
Taishin Financial Holding Co., Ltd. (Taiwan) 29,000 13,420
Tisco Financial Group PCL (Thailand) 6,100 19,041
Yuanta Financial Holding Co., Ltd. (Taiwan) 31,000 19,382
856,811
Health care (5.8%)
AbbVie, Inc. 1,245 106,709
Advanz Pharma Corp., Ltd. (Canada)(NON) 214 954
Alfresa Holdings Corp. (Japan) 1,100 19,682
Allergan PLC 320 61,014
Amgen, Inc. 972 194,138
Astellas Pharma, Inc. (Japan) 6,100 95,655
Baxter International, Inc. 3,570 297,988
Biogen, Inc.(NON) 482 148,644
Bristol-Myers Squibb Co. 2,888 170,565
Chemed Corp. 241 100,646
Eli Lilly & Co. 1,447 182,510
Gilead Sciences, Inc. 1,083 75,117
GlaxoSmithKline PLC (United Kingdom) 2,553 51,447
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. (China) 2,000 6,026
Hologic, Inc.(NON) 4,367 205,773
Hypermarcas SA (Brazil) 3,300 25,311
Jazz Pharmaceuticals PLC(NON) 165 18,906
Johnson & Johnson 2,911 391,471
Koninklijke Philips NV (Netherlands) 2,505 107,678
Laboratory Corp. of America Holdings(NON) 842 147,931
Medtronic PLC 5,078 511,202
Merck & Co., Inc. 3,240 248,054
Novartis AG (Switzerland) 2,284 191,740
Novo Nordisk A/S Class B (Denmark) 2,639 156,845
Pfizer, Inc. 7,454 249,113
QIAGEN NV (Netherlands)(NON) 5,146 184,741
Quest Diagnostics, Inc. 1,129 119,742
Roche Holding AG (Switzerland) 716 233,376
Sabra Health Care REIT, Inc.(R) 2,057 40,214
Sartorius Stedim Biotech (France) 171 32,626
Shionogi & Co., Ltd. (Japan) 1,700 91,759
Sino Biopharmaceutical, Ltd. (China) 47,000 69,126
Suzuken Co., Ltd. (Japan) 600 19,784
Thermo Fisher Scientific, Inc. 188 54,670
Ventas, Inc.(R) 435 23,390
Vertex Pharmaceuticals, Inc.(NON) 197 44,134
Zimmer Biomet Holdings, Inc. 523 71,206
Zoetis, Inc. 1,029 137,094
4,886,981
Insurance (1.5%)
Allianz SE (Germany) 623 134,580
Allstate Corp. (The) 3,687 388,057
American Financial Group, Inc. 819 75,692
Aviva PLC (United Kingdom) 18,234 83,676
BB Seguridade Participacoes SA (Brazil) 3,700 26,352
Chubb, Ltd. 89 12,908
CNP Assurances (France) 658 10,358
IRB Brasil Resseguros SA (Brazil) 7,500 55,765
Legal & General Group PLC (United Kingdom) 29,340 98,952
Loews Corp. 3,536 161,348
Ping An Insurance (Group) Co. of China, Ltd. Class H (China) 10,000 111,940
Powszechny Zaklad Ubezpieczen SA (Poland) 1,554 13,903
Qualitas Controladora SAB de CV (Mexico) 900 3,864
Reinsurance Group of America, Inc. 504 61,503
Swiss Life Holding AG (Switzerland) 42 19,302
Zurich Insurance Group AG (Switzerland) 43 16,734
1,274,934
Investment banking/Brokerage (—%)
Amundi SA (France) 206 14,932
Banco BTG Pactual SA (Units) (Brazil) 700 10,575
Korea Investment Holdings Co., Ltd. (South Korea) 86 4,498
30,005
Real estate (6.5%)
AGNC Investment Corp.(R) 15,074 256,861
Agree Realty Corp.(R) 814 58,461
Alexandria Real Estate Equities, Inc.(R) 61 9,265
American Campus Communities, Inc.(R) 1,522 66,116
American Homes 4 Rent(R) 4,254 110,136
Americold Realty Trust(R) 1,985 60,880
Annaly Capital Management, Inc.(R) 41,287 365,803
Apple Hospitality REIT, Inc.(R) 2,981 38,962
AvalonBay Communities, Inc.(R) 717 143,823
Boston Properties, Inc.(R) 607 78,267
Brixmor Property Group, Inc.(R) 3,308 60,239
Camden Property Trust(R) 1,736 183,981
Chatham Lodging Trust(R) 334 4,656
Cheung Kong Property Holdings, Ltd. (Hong Kong) 14,500 91,285
Chimera Investment Corp.(R) 5,063 99,488
City Office REIT, Inc. (Canada)(R) 3,963 45,971
Colony Capital, Inc.(R) 1,980 7,841
Community Healthcare Trust, Inc.(R) 74 3,525
Corporate Office Properties Trust(R) 2,100 53,214
Digital Realty Trust, Inc.(R) 300 36,033
Duke Realty Corp.(R) 3,592 116,633
Easterly Government Properties, Inc.(R) 2,511 59,686
Equity Commonwealth(R) 1,835 57,729
Equity Lifestyle Properties, Inc.(R) 1,852 126,547
Equity Residential Trust(R) 3,155 236,940
Essex Property Trust, Inc.(R) 384 108,810
Extra Space Storage, Inc.(R) 906 90,926
Gaming and Leisure Properties, Inc.(R) 4,712 210,485
Gladstone Commercial Corp.(R) 1,106 20,870
Global Medical REIT, Inc.(R) 957 13,369
Goodman Group (Australia)(R) 3,855 37,116
Healthcare Realty Trust, Inc.(R) 1,998 68,531
Healthpeak Properties, Inc.(R) 216 6,834
Henderson Land Development Co., Ltd. (Hong Kong) 13,600 62,807
Japan Prime Realty Investment Corp. (Japan)(R) 4 17,471
Klepierre (France)(R) 214 6,438
Life Storage, Inc.(R) 635 68,523
Logan Property Holdings Co., Ltd. (China) 10,000 17,219
LTC Properties, Inc.(R) 1,062 47,609
MFA Financial, Inc.(R) 9,539 68,967
Mid-America Apartment Communities, Inc.(R) 603 77,944
National Health Investors, Inc.(R) 774 63,259
National Retail Properties, Inc. 1,487 75,614
New Residential Investment Corp.(R) 11,817 183,873
Nomura Real Estate Holdings, Inc. (Japan) 400 8,713
Paramount Group, Inc.(R) 4,448 54,043
Physicians Realty Trust(R) 3,440 64,878
Prologis, Inc.(R) 2,568 216,431
Public Storage(R) 533 111,461
Realty Income Corp.(R) 444 32,141
Retail Opportunity Investments Corp.(R) 3,093 46,395
Sekisui House, Ltd. (Japan) 300 5,873
Simon Property Group, Inc.(R) 1,034 127,265
Starwood Property Trust, Inc.(R) 5,782 128,245
STORE Capital Corp.(R) 2,017 66,279
Sun Hung Kai Properties, Ltd. (Hong Kong) 2,500 35,805
Terreno Realty Corp.(R) 588 32,264
Two Harbors Investment Corp.(R) 3,350 45,393
UDR, Inc.(R) 2,063 92,794
VEREIT, Inc.(R) 9,019 78,105
VICI Properties, Inc.(R) 13,110 328,536
Vornado Realty Trust(R) 3,901 209,016
Weingarten Realty Investors(R) 2,006 54,022
Welltower, Inc.(R) 790 59,108
5,415,774
Technology (10.6%)
Accenture PLC Class A 356 64,290
Alibaba Group Holding, Ltd. ADR (China)(NON) 745 154,960
Alphabet, Inc. Class A(NON) 556 744,623
Amdocs, Ltd. 1,834 116,918
Apple, Inc. 2,841 776,616
Black Knight, Inc.(NON) 1,871 124,814
Brother Industries, Ltd. (Japan) 700 12,583
Cadence Design Systems, Inc.(NON) 2,259 149,410
Capgemini SE (France) 191 21,071
Cisco Systems, Inc. 6,813 272,043
Cognizant Technology Solutions Corp. Class A 5,552 338,283
DXC Technology Co. 3,921 94,535
eBay, Inc. 7,487 259,350
F5 Networks, Inc.(NON) 1,628 195,279
Facebook, Inc. Class A(NON) 826 158,980
Fidelity National Information Services, Inc. 3,743 522,972
Fujitsu, Ltd. (Japan) 300 31,660
Garmin, Ltd. 2,764 244,310
Genpact, Ltd. 3,108 119,534
Globalwafers Co., Ltd. (Taiwan) 2,000 26,156
Hoya Corp. (Japan) 1,300 115,216
HP, Inc. 3,387 70,416
Infosys, Ltd. (India) 8,978 90,598
Intuit, Inc. 1,738 462,047
Itochu Techno-Solutions Corp. (Japan) 1,200 33,740
KLA Corp. 577 88,691
Leidos Holdings, Inc. 3,680 377,752
Lite-On technology Corp. (Taiwan) 15,000 21,214
Maxim Integrated Products, Inc. 2,601 144,668
Microsoft Corp. 4,503 729,531
Nexon Co., Ltd. (Japan)(NON) 4,200 66,553
Nomura Research Institute, Ltd. (Japan) 2,200 48,852
NTT Data Corp. (Japan) 900 10,910
Otsuka Corp. (Japan) 1,100 47,447
Paychex, Inc. 1,355 104,985
Radiant Opto-Electronics Corp. (Taiwan) 7,000 22,029
Samsung Electronics Co., Ltd. (South Korea) 5,391 243,889
Samsung SDS Co., Ltd. (South Korea) 167 23,111
SK Hynix, Inc. (South Korea) 331 23,891
STMicroelectronics NV (France) 1,853 50,722
Synopsys, Inc.(NON) 1,516 209,102
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 2,603 140,146
Take-Two Interactive Software, Inc.(NON) 2,142 230,222
Tata Consultancy Services, Ltd. (India) 2,370 65,684
Tech Mahindra, Ltd. (India) 5,763 59,451
Tencent Holdings, Ltd. (China) 2,700 133,179
Texas Instruments, Inc. 4,232 483,040
Thales SA (France) 115 11,662
Tokyo Electron, Ltd. (Japan) 100 20,555
Tripod Technology Corp. (Taiwan) 4,000 13,768
United Microelectronics Corp. (Taiwan) 64,000 31,625
Western Union Co. (The) 9,669 216,489
Wipro, Ltd. (India) 8,301 25,474
WNS Holdings, Ltd. ADR (India)(NON) 200 13,168
Xhen Ding Technology Holding, Ltd. (Taiwan) 11,000 40,464
8,898,678
Transportation (0.7%)
Aena SME SA (Spain) 413 66,480
AirAsia Bhd (Malaysia) 7,300 1,757
Aurizon Holdings, Ltd. (Australia) 16,038 49,747
Delta Air Lines, Inc. 4,607 212,521
Deutsche Post AG (Germany) 2,936 87,950
Grupo Aeroportuario del Centro Norte SAB de CV (Mexico) 1,543 10,101
Japan Airlines Co., Ltd. (Japan) 1,100 27,237
Malaysia Airports Holdings Bhd (Malaysia) 1,900 2,981
MISC Bhd (Malaysia) 10,100 18,180
Singapore Technologies Engineering, Ltd. (Singapore) 5,900 17,837
Union Pacific Corp. 78 12,465
United Airlines Holdings, Inc.(NON) 276 16,999
West Japan Railway Co. (Japan) 500 35,266
Westports Holdings Bhd (Malaysia) 3,200 2,611
Yangzijiang Shipbuilding Holdings, Ltd. (China) 51,800 35,793
597,925
Utilities and power (2.1%)
American Electric Power Co., Inc. 2,217 197,889
CenterPoint Energy, Inc. 2,463 56,698
Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) 1,255 16,488
CLP Holdings, Ltd. (Hong Kong) 3,000 31,611
DTE Energy Co. 2,828 315,803
E.ON SE (Germany) 4,599 53,106
Electricity Generating PCL (Thailand) 2,600 22,494
Enel Americas SA ADR (Chile) 2,734 23,512
Enel SpA (Italy) 16,260 136,155
Eni SpA (Italy) 3,384 41,892
Exelon Corp. 8,808 379,713
Federal Grid Co. Unified Energy System PJSC (Russia) 1,710,000 5,267
Glow Energy PCL (Thailand)(F) 400 —
Inter RAO UES PJSC (Russia) 489,441 37,902
Kinder Morgan, Inc. 21,425 410,717
Manila Electric Co. (Philippines) 470 2,492
Pinnacle West Capital Corp. 147 13,155
Snam SpA (Italy) 7,015 34,845
1,779,739
Total common stocks (cost $37,007,890) $41,693,541









CORPORATE BONDS AND NOTES (27.4%)(a)
        Principal amount Value
Basic materials (2.1%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $40,000 $42,428
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) 30,000 37,861
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 10,000 9,925
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 20,000 19,294
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 55,000 55,550
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 55,000 56,650
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 55,000 56,788
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 5.00%, 3/1/30 10,000 10,005
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 14,000 15,085
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 15,000 14,939
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 50,000 48,460
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) 13,000 13,802
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 29,000 31,096
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 45,000 47,736
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 59,000 67,132
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 15,000 12,866
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 10,000 9,325
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 35,000 37,100
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 20,000 20,150
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 30,000 30,075
Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 37,000 39,936
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 10,000 9,700
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 55,000 57,200
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 26,000 28,042
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 47,000 50,258
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 35,000 37,646
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 35,000 33,819
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 50,000 49,215
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 25,000 28,682
International Flavors & Fragrances, Inc. sr. unsec. notes 3.40%, 9/25/20 85,000 85,705
International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 14,000 15,029
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 15,000 15,563
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 25,000 23,750
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 25,000 25,500
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 15,000 15,356
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 20,000 18,864
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 85,000 87,793
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 15,000 14,794
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 7,000 8,778
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) 18,000 20,017
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 25,000 28,436
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 35,000 36,006
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 25,000 24,438
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 16,000 17,442
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 5,000 5,146
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 40,000 50,050
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 30,000 30,870
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 30,000 27,975
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 45,000 46,800
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 20,000 18,904
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 10,000 9,600
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 33,000 33,581
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 40,000 40,408
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 10,000 9,863
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 18,000 25,384
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 14,000 19,943
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 35,000 38,675
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 6,000 6,290
1,771,725
Capital goods (1.7%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 40,000 41,000
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 15,000 15,900
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 25,000 25,135
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 35,000 35,845
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 10,000 10,400
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 50,000 50,025
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) 25,000 24,813
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 20,000 20,200
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 10,000 10,713
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 15,000 15,671
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 20,000 20,625
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 25,000 29,313
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 25,000 25,875
GFL Environmental, Inc. 144A sr. unsec. notes 8.50%, 5/1/27 (Canada) 30,000 32,487
GFL Environmental, Inc. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 75,000 78,844
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 40,000 41,844
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 43,000 54,541
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 30,000 29,100
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 25,000 30,089
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 15,000 18,576
L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 4.40%, 6/15/28 18,000 20,888
L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 3.85%, 12/15/26 28,000 30,948
Moog, Inc. 144A company guaranty sr. unsec. notes 4.25%, 12/15/27 10,000 10,175
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 32,000 34,528
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 65,000 66,781
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 34,000 38,484
Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 5,000 5,167
Otis Worldwide Corp. 144A company guaranty sr. unsec. notes 2.565%, 2/15/30 5,000 5,144
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 10,000 10,272
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 35,000 35,571
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 35,000 35,510
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 50,000 50,507
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 50,000 49,813
Staples, Inc. 144A sr. unsec. notes 10.75%, 4/15/27 30,000 28,716
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 60,000 65,046
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 5,000 4,764
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 5,000 5,161
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 35,000 35,964
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 50,000 52,938
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 35,000 34,956
United Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 5,000 5,858
United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 113,000 112,979
Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24 15,000 16,041
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 15,000 15,450
Waste Management, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 6/30/20 12,000 12,125
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 45,000 43,891
1,438,673
Communication services (2.7%)
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27(R) 15,000 15,778
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 46,000 47,457
AT&T, Inc. sr. unsec. bonds 4.30%, 2/15/30 12,000 13,737
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 54,000 60,542
AT&T, Inc. sr. unsec. sub. notes 3.80%, 2/15/27 76,000 83,329
AT&T, Inc. sr. unsec. sub. notes 2.95%, 7/15/26 19,000 19,954
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 36,000 42,224
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 30,000 31,128
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 175,000 186,323
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 40,000 41,588
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 43,000 55,262
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 21,000 23,633
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47 30,000 34,323
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47 22,000 25,882
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 5,000 5,167
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 46,000 69,404
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25 24,000 25,947
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 5,000 5,394
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 20,000 18,750
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 14,000 15,079
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) 14,000 15,383
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 22,000 23,978
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 5,000 5,334
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 24,000 26,099
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 110,000 118,800
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 100,000 106,000
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 9,000 13,634
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 75,000 76,930
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 25,000 26,920
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) 31,000 32,446
Front Range BidCo., Inc. 144A sr. notes 4.00%, 3/1/27(FWC) 5,000 4,894
Front Range BidCo., Inc. 144A sr. unsec. notes 6.125%, 3/1/28(FWC) 10,000 9,877
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 40,000 18,150
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 15,000 15,188
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 65,000 57,200
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 10,000 10,038
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 105,000 107,100
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 4.375%, 4/1/21 72,000 74,202
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 10,000 10,650
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 50,000 59,565
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 25,000 29,493
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 85,000 97,113
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 40,000 42,454
Sprint Corp. 144A company guaranty sr. unsec. notes 7.25%, 2/1/28 25,000 25,060
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 10,000 10,271
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 40,000 42,400
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 75,000 78,094
Verizon Communications, Inc. sr. unsec. unsub. bonds 5.25%, 3/16/37 20,000 26,717
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 16,000 19,546
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 105,000 123,455
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 100,000 104,871
Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 34,000 39,064
2,271,827
Conglomerates (0.3%)
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 250,000 250,014
250,014
Consumer cyclicals (4.6%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 14,000 15,060
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) 8,000 8,233
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 50,000 54,829
Amazon.com, Inc. sr. unsec. notes 2.50%, 11/29/22 24,000 24,730
Amazon.com, Inc. sr. unsec. unsub. notes 3.30%, 12/5/21 68,000 70,096
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 10,000 8,000
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 35,000 28,613
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 10,000 10,354
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 10,000 9,763
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 2,000 2,274
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21 7,000 7,199
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 2.00%, 4/11/21 42,000 42,250
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 20,000 20,544
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 35,000 36,488
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes 4.75%, 12/1/27 10,000 9,876
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 10,000 10,275
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 (Canada) 5,000 4,950
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 45,000 47,250
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 35,000 34,782
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 15,000 15,041
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. notes 9.25%, 2/15/24 21,000 22,330
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 35,000 30,100
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 65,000 63,831
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 30,000 27,661
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 60,000 48,399
Ecolab, Inc. sr. unsec. notes 4.35%, 12/8/21 45,000 47,371
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 51,000 54,585
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 5,000 5,385
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 15,000 15,489
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 30,000 31,350
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 35,000 36,706
Fox Corp. 144A company guaranty sr. unsec. notes 4.03%, 1/25/24 20,000 21,655
Garda World Security Corp. 144A sr. notes 4.625%, 2/15/27 (Canada) 5,000 4,938
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 20,000 20,652
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 35,000 36,102
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 11,000 11,689
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 5,000 5,302
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 40,000 43,200
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) 34,000 35,955
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 30,000 31,350
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 115,000 117,588
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 30,000 30,366
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 32,000 36,576
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 16,004 17,200
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 49,008 53,220
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 22,000 25,630
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 178,000 198,026
Installed Building Products, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/28 5,000 5,369
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 97,000 115,810
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 25,000 25,883
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 35,000 35,438
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 25,000 25,858
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 30,000 30,225
L Brands, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity 15,000 15,188
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 20,000 21,250
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 15,000 16,376
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 40,000 38,688
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 10,000 9,800
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 10,000 10,200
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/15/27 5,000 5,025
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 20,000 20,550
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 10,000 10,494
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 35,000 36,488
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 25,000 24,254
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 35,000 36,575
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 55,000 55,149
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 45,000 46,612
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 40,000 39,600
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 30,000 30,855
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 40,000 41,402
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 40,000 39,500
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 40,000 39,870
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 37,000 40,635
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. bonds 4.625%, 3/15/30 5,000 5,014
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 25,000 25,875
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 30,000 30,300
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 35,000 35,788
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 10,000 10,238
PetSmart, Inc. 144A company guaranty sr. notes 5.875%, 6/1/25 25,000 25,158
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 25,000 24,088
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 55,000 74,250
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 5,000 5,510
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 9.375%, 4/1/27 10,000 10,250
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 45,000 48,305
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 19,000 21,814
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 2.95%, 1/22/27 16,000 17,132
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 30,000 30,000
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 40,000 39,000
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/15/26 50,000 51,360
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 10,000 9,672
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 35,000 36,225
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 25,000 24,845
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 10,000 10,722
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 115,000 119,888
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 40,000 38,200
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 25,000 24,675
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 30,000 30,800
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 10,000 10,326
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 40,000 40,504
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 93,000 95,474
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 20,000 19,005
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 35,000 34,300
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27 45,000 44,663
Total System Services, Inc. sr. unsec. unsub. notes 4.00%, 6/1/23 5,000 5,356
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 15,000 15,150
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 25,000 27,094
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 35,000 33,023
ViacomCBS, Inc. company guaranty sr. unsec. bonds 4.20%, 6/1/29 38,000 42,658
ViacomCBS, Inc. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 30,000 30,764
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 13,000 14,261
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 6,000 6,580
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 67,000 122,209
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 30,000 30,000
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 45,000 42,525
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 15,000 15,263
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 10,000 10,450
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 25,000 25,823
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 30,000 31,088
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 40,000 38,800
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 30,000 28,988
3,863,770
Consumer staples (1.5%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 50,000 50,813
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 15,000 14,925
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 25,000 24,844
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 5,000 5,000
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 15,000 14,757
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertson's, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 35,000 38,894
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 14,000 15,311
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49 16,000 21,743
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29 19,000 22,519
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.15%, 1/23/25 16,000 17,832
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 45,000 46,538
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 35,000 33,906
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 5,000 5,425
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 15,000 15,560
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 27,000 31,982
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 78,000 117,651
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 30,000 40,669
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 35,000 16,207
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 10,000 10,400
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 50,000 50,211
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 35,000 34,377
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 35,000 36,026
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28 29,000 33,478
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 34,000 38,129
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.057%, 5/25/23 10,000 10,764
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 35,000 35,788
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 15,000 15,118
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 20,000 20,450
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 5.00%, 7/15/35 30,000 31,860
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 3.00%, 6/1/26 35,000 34,951
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 105,000 108,943
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 50,000 51,750
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 35,000 36,845
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 25,000 28,628
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 10,000 11,243
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 10,000 10,872
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 5,000 5,269
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 25,000 26,098
Party City Holdings, Inc. 144A company guaranty sr. unsec. notes 6.125%, 8/15/23 15,000 11,963
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.125%, 1/15/28 5,000 5,225
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25 23,000 22,943
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 42,000 38,483
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 20,000 20,752
1,265,142
Energy (2.7%)
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 17,000 14,218
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 12,000 7,440
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 30,000 31,308
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 31,000 26,419
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 11,000 2,475
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 30,000 37,494
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 20,000 22,437
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 80,000 89,232
Chevron Corp. sr. unsec. unsub. notes 2.10%, 5/16/21 28,000 28,261
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 48,000 49,898
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 10,000 7,372
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 40,000 42,000
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 41,000 35,875
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 10,000 10,153
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 30,000 31,327
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 65,000 63,700
Energy Transfer Operating LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 25,000 25,350
Energy Transfer Operating LP company guaranty sr. unsec. notes 5.875%, 1/15/24 40,000 44,697
Energy Transfer Operating LP company guaranty sr. unsec. notes 2.90%, 5/15/25 18,000 18,375
Energy Transfer Operating LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 106,000 94,605
Energy Transfer Operating LP sr. unsec. unsub. bonds 6.125%, 12/15/45 7,000 7,897
Energy Transfer Operating LP sr. unsec. unsub. notes 5.20%, 2/1/22 18,000 18,993
EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 5,000 5,611
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 25,000 25,734
Equinor ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 33,000 33,359
Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 124,000 124,546
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 70,000 69,826
Hess Midstream Operations LP 144A sr. unsec. notes 5.125%, 6/15/28 20,000 19,500
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 10,000 10,063
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 20,000 17,050
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 42,000 41,370
MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) 20,000 18,865
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 45,000 32,288
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 1/15/28 10,000 9,226
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 10,000 9,125
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 20,000 15,900
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 25,000 15,406
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 11,000 8,635
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 20,000 12,300
Occidental Petroleum Corp. sr. unsec. unsub. bonds 4.40%, 4/15/46 30,000 27,206
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 76,000 92,180
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 18,000 19,148
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 45,000 50,963
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 5,000 5,456
Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.093%, 1/15/30 (Brazil) 81,000 86,670
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 110,000 11,000
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 24,000 25,372
Petroleos Mexicanos 144A company guaranty sr. unsec. bonds 7.69%, 1/23/50 (Mexico) 10,000 10,417
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5.95%, 1/28/31 (Mexico) 82,000 79,581
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 45,000 41,535
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 5,000 5,340
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 20,000 21,519
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 14,000 14,858
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 20,000 22,111
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 50,000 5
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 40,000 42,587
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 10,000 7,750
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 25,000 19,487
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 10,000 7,900
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 19,000 17,005
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 26,000 27,939
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 35,000 31,157
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 10,000 10,788
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 15,000 15,656
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 40,000 39,488
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 5,000 4,949
Total Capital International SA company guaranty sr. unsec. unsub. notes 2.75%, 6/19/21 (France) 117,000 118,879
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 31,000 31,698
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 20,875 20,875
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 20,000 20,304
Transocean Sentry, Ltd. 144A company guaranty sr. notes 5.375%, 5/15/23 (Cayman Islands) 20,000 19,350
Transocean, Inc. company guaranty sr. unsec. unsub. bonds 7.50%, 4/15/31 30,000 17,850
Transocean, Inc. 144A company guaranty sr. unsec. notes 8.00%, 2/1/27 20,000 16,600
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 25,000 25,408
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 30,000 33,450
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 10,000 9,922
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 10,000 9,547
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 20,000 19,682
2,259,962
Financials (6.5%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 20,000 19,800
AIG Global Funding 144A sr. notes 2.15%, 7/2/20 32,000 32,062
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 45,000 50,813
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 48,000 48,745
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 15,000 14,963
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 130,000 180,382
Ally Financial, Inc. sr. unsec. notes 3.875%, 5/21/24 2,000 2,097
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 45,000 50,549
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 34,000 46,410
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 49,000 54,206
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 15,000 16,555
Bank of America Corp. sr. unsec. notes Ser. MTN, 3.499%, 5/17/22 12,000 12,273
Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, 3.248%, 10/21/27 40,000 42,938
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 170,000 235,717
Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, 4/13/21 (Canada) 47,000 47,881
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 7,000 7,545
Bank of Nova Scotia (The) sr. unsec. notes 2.00%, 11/15/22 (Canada) 40,000 40,471
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, 3/7/22 (Canada) 8,000 8,177
Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. notes 2.20%, 7/20/20 (France) 245,000 245,589
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. notes 4.25%, 1/15/21 8,000 8,195
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 5,000 5,197
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 42,000 46,028
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 25,000 28,837
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 24,000 27,580
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 35,000 37,538
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 108,000 118,530
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 43,000 47,208
Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 54,000 54,342
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 15,000 16,629
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 35,000 39,529
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 35,000 39,677
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 20,000 22,887
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 25,000 28,308
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 40,000 43,376
Commonwealth Bank of Australia 144A unsec. notes 2.20%, 11/9/20 (Australia) 330,000 331,792
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 15,000 15,275
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6.625%, 3/15/26 20,000 21,000
Credit Acceptance Corp. 144A sr. unsec. notes 5.125%, 12/31/24 10,000 10,300
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) 54,000 62,064
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 20,000 20,117
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 56,000 63,202
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 42,000 46,627
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 15,000 14,869
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 15,000 14,208
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 30,000 28,875
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 30,000 33,653
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 25,000 25,750
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 15,000 17,015
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 86,000 94,470
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 46,000 46,788
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 12/27/20 108,000 108,261
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 40,000 40,398
Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23 22,000 23,584
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 30,000 31,050
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 20,000 20,502
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5.25%, 5/15/27 15,000 15,038
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 9/15/24 15,000 15,300
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 30,000 30,623
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 35,000 34,556
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 6,000 6,447
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity 31,000 31,031
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (BBA LIBOR USD 3 Month + 1.00%), 2.692%, 5/15/47 66,000 58,410
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 135,000 161,643
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 14,000 17,688
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 20,000 18,975
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 200,000 217,250
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 60,000 62,250
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 15,000 15,375
Mitsubishi UFJ Financial Group, Inc. sr. unsec. notes 3.535%, 7/26/21 (Japan) 76,000 78,129
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 40,000 50,505
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 86,000 94,079
National Australia Bank, Ltd./New York, NY sr. unsec. notes 2.50%, 1/12/21 (Australia) 250,000 251,968
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 10,000 10,825
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 35,000 36,313
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 10,000 10,159
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 28,000 31,161
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) 5,000 5,027
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) 2,000 2,018
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 40,000 40,000
Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 25,000 25,660
Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 40,000 40,000
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.80%, 4/29/22 (Canada) 2,000 2,054
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 22,000 25,445
Service Properties Trust sr. unsec. notes 4.375%, 2/15/30(R) 16,000 16,229
Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 270,000 272,236
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 15,000 16,650
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 10,000 10,975
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 30,000 33,000
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 20,000 20,426
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 45,000 45,900
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 43,000 55,266
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 10,000 11,049
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 31,000 33,770
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 12/31/99 20,000 20,146
U.S. Bancorp sr. unsec. unsub. notes Ser. V, 2.625%, 1/24/22 4,000 4,095
UBS AG/London 144A sr. unsec. notes 2.20%, 6/8/20 (United Kingdom) 200,000 200,270
UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. notes 3.491%, 5/23/23 (Switzerland) 200,000 207,876
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 55,000 54,746
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 27,000 29,666
Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 52,000 52,189
Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 150,000 150,010
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) 10,000 11,768
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 25,000 26,027
5,451,057
Health care (2.0%)
AbbVie, Inc. 144A sr. unsec. notes 3.20%, 11/21/29 90,000 94,930
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 10,000 9,650
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 12,000 12,433
Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 11,000 12,021
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 34,000 42,097
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 50,000 52,902
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 50,000 32,625
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 45,000 49,500
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 30,000 30,887
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds 5.25%, 1/30/30 10,000 9,900
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 20,000 22,000
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 10,000 10,701
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 65,000 66,281
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/30/28 10,000 9,888
Bristol-Myers Squibb Co. 144A sr. unsec. bonds 3.40%, 7/26/29 10,000 11,218
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 15,000 15,183
Centene Corp. 144A sr. unsec. bonds 4.625%, 12/15/29 50,000 53,500
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 15,000 15,750
Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 20,000 20,550
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 20,000 21,007
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 65,000 64,513
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 20,000 20,654
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 1,000 915
CHS/Community Health Systems, Inc. 144A sr. notes 6.625%, 2/15/25 30,000 30,600
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 42,000 44,779
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 28,000 32,939
CVS Health Corp. sr. unsec. unsub. notes 3.70%, 3/9/23 43,000 45,425
DH Europe Finance II Sarl company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) 10,000 11,015
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.65%, 8/28/28 25,000 28,653
Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 8.75%, 10/15/26 20,000 10,586
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 50,000 57,168
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 30,000 32,919
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 12,000 14,242
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 60,000 66,492
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 10,000 9,796
Hologic, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/15/25 20,000 20,369
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) 12,000 9,720
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 25,000 29,638
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 25,000 26,018
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 20,000 20,300
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 43,000 53,676
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 7.25%, 2/1/28 10,000 9,825
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 22,000 23,957
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 30,000 32,438
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 20,000 20,950
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 25,000 25,469
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 24,000 25,664
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 19,000 19,724
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 20,000 20,000
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 50,000 54,173
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 20,000 20,950
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 45,000 46,744
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 65,000 66,219
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 65,000 73,673
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 22,000 25,159
1,688,385
Technology (1.8%)
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 14,000 17,777
Apple, Inc. sr. unsec. notes 2.85%, 5/6/21 50,000 50,868
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 20,000 25,544
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 54,000 64,269
Apple, Inc. sr. unsec. unsub. notes 2.00%, 5/6/20 15,000 15,010
Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 65,000 65,322
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 33,000 34,491
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 50,000 51,448
Cisco Systems, Inc. sr. unsec. unsub. bonds 5.90%, 2/15/39 5,000 7,440
Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 22,000 23,240
Cisco Systems, Inc. sr. unsec. unsub. notes 2.20%, 2/28/21 84,000 84,555
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 15,000 15,396
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 10,000 10,176
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 131,000 153,535
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 9,000 12,264
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 20,000 21,355
Fidelity National Information Services, Inc. sr. unsec. notes 3.75%, 5/21/29 36,000 40,602
Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 8,000 8,550
Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 11,000 12,709
Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 32,000 36,666
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 2,000 1,915
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 15,000 15,022
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 55,000 59,379
Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 96,000 116,562
Microsoft Corp. sr. unsec. unsub. notes 2.40%, 2/6/22 10,000 10,224
Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 82,000 82,402
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 20,000 24,208
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 65,000 68,640
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 55,000 50,051
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 30,000 30,990
Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 61,000 68,981
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 30,000 31,718
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 50,000 52,625
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 95,000 94,555
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 40,000 40,800
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 7,000 7,534
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 36,000 37,170
1,543,993
Transportation (0.1%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 12,000 12,843
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 11,000 11,872
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 40,000 40,300
65,015
Utilities and power (1.4%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 140,000 142,975
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 40,000 41,552
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 20,000 19,900
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 29,000 33,734
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 49,000 65,377
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 10,000 9,200
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 5,000 4,750
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 10,000 9,706
Buckeye Partners LP 144A sr. unsec. notes 4.125%, 3/1/25 5,000 4,988
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 25,000 24,785
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 35,000 33,572
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 10,000 11,835
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 29,000 31,108
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 22,000 24,868
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 20,000 28,973
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 10,000 11,529
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 28,000 31,302
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 47,000 50,310
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 70,000 95,822
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 25,000 26,365
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 17,000 19,707
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 32,000 33,387
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 43,000 44,578
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 5,000 5,306
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 5,000 5,213
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 15,000 15,582
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 59,000 63,697
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 55,000 57,656
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 30,000 31,182
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 46,000 55,212
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 25,000 26,500
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 15,000 15,150
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 24,000 24,741
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 21,000 21,667
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 20,000 20,500
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 20,000 20,232
1,162,961
Total corporate bonds and notes (cost $22,169,950) $23,032,524









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (10.3%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.5%)
Government National Mortgage Association Pass-Through Certificates 3.50%, TBA, 3/1/50 $2,000,000 $2,072,188
2,072,188
U.S. Government Agency Mortgage Obligations (7.8%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
3.50%, 10/1/25(i) 129,407 135,573
3.00%, 5/1/30(i) 159,783 166,192
Federal National Mortgage Association Pass-Through Certificates
4.00%, with due dates from 5/1/49 to 1/1/57 948,855 1,009,622
Uniform Mortgage-Backed Securities
6.00%, TBA, 3/1/49 1,000,000 1,108,164
4.00%, TBA, 3/1/50 2,000,000 2,106,562
3.00%, TBA, 3/1/50 1,000,000 1,029,922
3.00%, TBA, 3/1/34 1,000,000 1,035,781
6,591,816
Total U.S. government and agency mortgage obligations (cost $8,582,742) $8,664,004









MORTGAGE-BACKED SECURITIES (3.4%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (0.2%)
Federal Home Loan Mortgage Corporation REMICs IFB Ser. 3829, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 5.292%, 3/15/41 $116,135 $22,076
Government National Mortgage Association
Ser. 17-162, Class QI, IO, 5.00%, 10/20/47 124,147 24,209
IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.403%, 6/20/43 238,120 50,669
Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 229,869 22,088
Ser. 17-H22, Class EI, IO, 2.797%, 10/20/67(WAC) 281,911 29,601
Ser. 15-H26, Class DI, IO, 1.985%, 10/20/65(WAC) 272,477 24,481
173,124
Commercial mortgage-backed securities (1.9%)
Citigroup Commercial Mortgage Trust
FRB Ser. 13-GC17, Class C, 5.11%, 11/10/46(WAC) 17,000 18,656
FRB Ser. 14-GC19, Class XA, IO, 1.151%, 3/10/47(WAC) 992,550 39,276
Citigroup Commercial Mortgage Trust 144A
FRB Ser. 14-GC19, Class D, 5.092%, 3/10/47(WAC) 13,000 14,239
FRB Ser. 12-GC8, Class XA, IO, 1.769%, 9/10/45(WAC) 616,992 20,796
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.537%, 12/10/44(WAC) 33,000 34,255
FRB Ser. 14-CR17, Class C, 4.784%, 5/10/47(WAC) 37,000 40,125
FRB Ser. 14-UBS6, Class C, 4.447%, 12/10/47(WAC) 51,000 53,630
FRB Ser. 14-LC15, Class XA, IO, 1.096%, 4/10/47(WAC) 1,431,745 54,116
FRB Ser. 13-CR11, Class XA, IO, 0.928%, 8/10/50(WAC) 633,398 18,636
FRB Ser. 14-UBS6, Class XA, IO, 0.892%, 12/10/47(WAC) 1,275,228 45,291
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.359%, 12/15/49(WAC) 125,000 136,002
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.334%, 8/10/44(WAC) 100,000 102,485
Federal Home Loan Mortgage Corporation
Multifamily Structured Pass-Through Certificates FRB Ser. K104, Class XAM, IO, 1.384%, 1/25/30 159,000 18,553
Multifamily Structured Pass-Through Certificates FRB Ser. K087, Class X1, IO, 0.363%, 12/25/28(WAC) 803,432 24,973
GS Mortgage Securities Trust FRB Ser. 14-GC22, Class XA, IO, 0.985%, 6/10/47(WAC) 1,739,526 49,643
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 14-C22, Class C, 4.554%, 9/15/47(WAC) 118,000 119,399
FRB Ser. 14-C22, Class XA, IO, 0.835%, 9/15/47(WAC) 3,095,033 99,005
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.149%, 4/20/48(WAC) 147,000 150,136
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 14-C14, Class C, 4.934%, 2/15/47(WAC) 23,000 25,166
FRB Ser. 14-C17, Class C, 4.498%, 8/15/47(WAC) 44,000 46,236
FRB Ser. 14-C17, Class XA, IO, 1.108%, 8/15/47(WAC) 537,738 19,593
FRB Ser. 13-C12, Class XA, IO, 0.603%, 10/15/46(WAC) 700,916 12,677
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C5, Class E, 4.677%, 8/15/45(WAC) 28,000 29,252
Morgan Stanley Capital I Trust 144A Ser. 12-C4, Class C, 5.419%, 3/15/45(WAC) 100,000 104,353
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C2, Class D, 4.891%, 5/10/63(WAC) 48,000 48,856
Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class C, 4.285%, 7/15/46(WAC) 45,000 46,654
WF-RBS Commercial Mortgage Trust
FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46(WAC) 33,000 36,057
Ser. 13-UBS1, Class AS, 4.306%, 3/15/46(WAC) 48,000 52,019
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C3, Class D, 5.68%, 3/15/44(WAC) 47,000 39,818
FRB Ser. 12-C6, Class D, 5.579%, 4/15/45(WAC) 25,000 26,471
FRB Ser. 11-C5, Class XA, IO, 1.687%, 11/15/44(WAC) 883,221 17,007
FRB Ser. 12-C10, Class XA, IO, 1.537%, 12/15/45(WAC) 781,937 27,940
1,571,315
Residential mortgage-backed securities (non-agency) (1.3%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.36%, 5/25/35(WAC) 40,328 41,814
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 2.993%, 6/25/46 151,105 140,287
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 1.837%, 4/25/47 25,287 21,347
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 4.277%, 1/25/49 10,000 10,106
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 3.977%, 2/25/49 10,000 10,121
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (1 Month US LIBOR + 1.90%), 3.735%, 1/25/50 17,000 17,049
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (1 Month US LIBOR + 6.95%), 8.577%, 8/25/28 32,239 34,936
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 7.627%, 9/25/28 85,328 91,978
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.327%, 4/25/28 140,545 156,038
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 6.627%, 7/25/25 33,162 35,219
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 6.527%, 11/25/24 19,428 21,487
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 5.877%, 1/25/29 47,503 49,750
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 5.627%, 5/25/25 8,279 8,846
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 4.227%, 5/25/24 30,429 31,746
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 3.877%, 7/25/30 10,000 10,133
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (1 Month US LIBOR + 1.25%), 2.877%, 7/25/29 10,000 9,957
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (1 Month US LIBOR + 2.30%), 3.927%, 8/25/31 14,646 14,741
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 2.15%), 3.811%, 11/25/39 36,165 36,434
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2M2, (1 Month US LIBOR + 2.10%), 3.727%, 6/25/39 70,000 70,729
GSAA Trust FRB Ser. 07-6, Class 1A1, (1 Month US LIBOR + 0.12%), 1.747%, 5/25/47 25,547 19,373
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 3.732%, 2/25/35(WAC) 17,034 18,044
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 2.485%, 8/26/47(WAC) 80,000 79,381
Structured Asset Investment Loan Trust FRB Ser. 04-10, Class A10, (1 Month US LIBOR + 0.90%), 2.527%, 11/25/34 65,976 66,065
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), 2.477%, 5/25/47 50,671 43,546
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 4.129%, 9/25/35(WAC) 19,865 20,251
FRB Ser. 05-AR12, Class 1A8, 3.87%, 10/25/35(WAC) 78,053 79,720
1,139,098
Total mortgage-backed securities (cost $2,868,213) $2,883,537









COMMODITY LINKED NOTES (3.0%)(a)(CLN)
        Principal amount Value
Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month LIBOR less 0.15%, 2020 (Indexed to the S&P GSCI 3 Month Forward Total Return Index multiplied by 3) $1,275,000 $874,753
Goldman Sachs International 144A notes zero %, 2021 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) 1,763,000 1,197,312
Bank of America Corp. notes, 1-month LIBOR less 0.11%, 2020 (Indexed to the S&P GSCI Total Return Index multiplied by 3) 417,000 216,379
Bank of America Corp. sr. notes, 1-month LIBOR less 0.16%, 2020 (Indexed to the S&P GSCI Total Return Index multiplied by 3) 401,000 215,114
Total commodity linked notes (cost $3,856,000) $2,503,558









PURCHASED OPTIONS OUTSTANDING (1.7%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
SPDR S&P 500 ETF Trust (Put) Nov-20/$265.00 $4,049,578 $13,669 $185,624
SPDR S&P 500 ETF Trust (Put) Oct-20/255.00 4,368,354 14,745 149,934
Barclays Bank PLC
GBP/USD (Call) Apr-20/1.34 521,162 GBP 406,475 272
Citibank, N.A.
GBP/USD (Call) Apr-20/1.34 521,162 GBP 406,475 342
SPDR S&P 500 ETF Trust (Put) Jan-21/290.00 4,466,712 $15,077 345,508
SPDR S&P 500 ETF Trust (Put) Feb-21/290.00 4,528,927 15,287 333,625
Goldman Sachs International
EUR/NOK (Put) Apr-20/NOK 9.60 805,773 EUR 729,900 1
HSBC Bank USA, National Association
EUR/USD (Put) Mar-20/1.09 527,550 EUR 477,875 1,202
JPMorgan Chase Bank N.A.
SPDR S&P 500 ETF Trust (Put) Dec-20/275.00 4,281,846 $14,453 248,572
SPDR S&P 500 ETF Trust (Put) Sep-20/255.00 4,578,106 15,453 147,558
USD/JPY (Put) Apr-20/JPY 107.00 1,345,850 1,345,850 14,136
USD/JPY (Put) Apr-20/JPY 101.00 1,345,850 1,345,850 2,497
UBS AG
EUR/USD (Put) Apr-20/1.09 527,550 EUR 477,875 1,436
GBP/USD (Call) Apr-20/1.34 521,162 GBP 406,475 342
USD/JPY (Put) Apr-20/JPY 107.00 1,345,850 $1,345,850 13,219
USD/JPY (Put) Apr-20/JPY 101.00 1,345,850 1,345,850 2,176
Total purchased options outstanding (cost $754,162) $1,446,444









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.0%)(a)
        Principal amount Value
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.625%, 1/7/41 (Brazil) $100,000 $117,626
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 117,000 128,115
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 200,000 223,996
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 100,000 113,361
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $105,000 135,384
United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 60,000 63,946
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 51,000 7,650
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 82,000 12,300
Total foreign government and agency bonds and notes (cost $754,967) $802,378









SENIOR LOANS (0.7%)(a)(c)
        Principal amount Value
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.088%, 6/21/24 $73,125 $71,419
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.084%, 4/3/24 19,949 19,018
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.363%, 12/31/22 15,000 13,138
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.103%, 8/21/26 29,925 29,476
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.933%, 5/5/24 9,495 9,400
Front Range BidCo, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 4.668%, 2/21/27 15,000 14,638
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.353%, 4/16/21 11,213 10,091
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.68%), 5.298%, 5/31/25 9,975 9,770
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 10.879%, 5/21/24 44,769 17,348
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.629%, 10/16/23 19,203 13,754
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.16%, 11/6/24 93,051 91,888
Neiman Marcus Group, Ltd., LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.00%), 7.666%, 10/25/23 44,852 37,291
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.763%, 11/3/23 9,711 9,129
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.113%, 9/7/23 28,259 19,428
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.625%, 2/28/26 30,000 23,850
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 4.875%, 2/28/25 29,475 26,380
Solenis International LP bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 5.613%, 6/26/25 14,962 14,650
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.831%, 6/26/26 15,000 14,175
Solenis International, LLC bank term loan FRN (1 Month US LIBOR + 4.00%), 5.655%, 6/26/25 15,000 14,588
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.655%, 4/12/26 14,925 14,412
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.603%, 3/28/25 48,914 46,383
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 4.655%, 3/2/27 70,000 69,584
Total senior loans (cost $655,291) $589,810









ASSET-BACKED SECURITIES (0.5%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 2.477%, 11/25/51 $24,667 $24,667
Station Place Securitization Trust 144A
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), 2.379%, 10/24/20 79,000 79,000
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), 2.329%, 9/24/20 83,000 83,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 2.329%, 6/24/20 60,000 60,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), 2.277%, 8/25/52 31,333 31,333
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), zero %, 3/26/21 74,000 74,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.227%, 1/25/46 90,320 90,045
Total asset-backed securities (cost $441,957) $442,045









WARRANTS (0.5%)(a)(NON)
    Expiration date Strike Price Warrants Value
Bank of Jiangsu Co., Ltd. 144A Class A (China) 9/7/20 $0.00 27,000 $24,570
Bank of Shanghai Co., Ltd. 144A (China) 12/2/20 0.00 45,667 56,170
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. 144A (China) 2/18/21 0.00 5,200 24,336
Gree Electric Appliances, Inc. of Zhuhai 144A (China) 8/24/20 0.00 7,600 64,220
HLA Corp., Ltd. 144A (China) 10/8/20 0.00 20,500 19,885
Kweichow Moutai Co., Ltd 144A Class A (China) 9/7/20 0.00 300 45,276
Sany Heavy Industry Co., Ltd. 144A (China) 12/21/20 0.00 20,600 51,294
Seazen Holdings Co., Ltd. 144A (China) 4/17/20 0.00 2,054 9,407
Shanghai Pudong Development Bank Co., Ltd. 144A (China) 11/11/20 0.00 35,500 55,025
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. 144A (China) 11/11/20 0.00 1,600 54,608
Total warrants (cost $391,259) $404,791









CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
        Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) $1,550 $44,020
Nine Point Energy 6.75% cv. pfd.(F) 11 2,200
Total convertible preferred stocks (cost $45,286) $46,220









PREFERRED STOCKS (—%)(a)
        Shares Value
Telefonica Brasil S.A. $0.00 (Preference shares) (Brazil) 2,100 $25,067
Total preferred stocks (cost $28,196) $25,067









CONVERTIBLE BONDS AND NOTES (—%)(a)
        Principal amount Value
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $20,000 $19,310
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 8,000 5,437
Total convertible bonds and notes (cost $24,960) $24,747









SHORT-TERM INVESTMENTS (11.5%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 1.74%(AFF) Shares 5,962,104 $5,962,104
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.53%(P) Shares 840,000 840,000
U.S. Treasury Bills 1.574%, 5/21/20(SEG)(SEGCCS) $1,225,000 1,221,539
U.S. Treasury Bills 1.564%, 6/11/20(SEG)(SEGCCS) 1,206,001 1,201,855
U.S. Treasury Bills 1.909%, 3/12/20(SEG)(SEGCCS) 301,001 300,877
U.S. Treasury Bills 1.562%, 6/4/20(SEG)(SEGCCS) 41,001 40,865
U.S. Treasury Bills 1.547%, 7/16/20(SEGCCS) 41,001 40,821
U.S. Treasury Bills 1.582%, 4/21/20(SEGCCS) 33,000 32,937
Total short-term investments (cost $9,639,010) $9,640,998
TOTAL INVESTMENTS
Total investments (cost $87,219,883) $92,199,664









FORWARD CURRENCY CONTRACTS at 2/29/20 (aggregate face value $29,579,642) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 4/15/20 $232,066 $246,326 $(14,260)
British Pound Buy 3/18/20 65,931 66,618 (687)
British Pound Sell 3/18/20 65,931 66,937 1,006
Canadian Dollar Sell 4/15/20 81,730 83,377 1,647
Chinese Yuan (Offshore) Buy 5/20/20 132,812 132,281 531
Euro Sell 3/18/20 706,312 713,262 6,950
Hong Kong Dollar Sell 5/20/20 134,025 134,384 359
Japanese Yen Sell 5/20/20 477,980 472,660 (5,320)
Mexican Peso Buy 4/15/20 128,984 134,026 (5,042)
Mexican Peso Sell 4/15/20 129,443 133,035 3,592
New Taiwan Dollar Sell 5/20/20 132,365 132,503 138
New Zealand Dollar Buy 4/15/20 64,346 66,345 (1,999)
Swedish Krona Sell 3/18/20 265,189 268,686 3,497
Barclays Bank PLC
Australian Dollar Sell 4/15/20 32,603 34,278 1,675
British Pound Buy 3/18/20 35,146 35,575 (429)
Hong Kong Dollar Sell 5/20/20 267,370 268,066 696
New Zealand Dollar Buy 4/15/20 100,990 101,102 (112)
Norwegian Krone Buy 3/18/20 95,517 95,791 (274)
Norwegian Krone Sell 3/18/20 95,517 100,937 5,420
Russian Ruble Buy 3/18/20 130,457 136,410 (5,953)
Russian Ruble Sell 3/18/20 130,457 132,731 2,274
Swedish Krona Sell 3/18/20 32,867 33,653 786
Citibank, N.A.
Danish Krone Sell 3/18/20 61,797 62,424 627
Japanese Yen Sell 5/20/20 256,239 253,521 (2,718)
Mexican Peso Buy 4/15/20 64,618 67,083 (2,465)
Mexican Peso Sell 4/15/20 64,724 66,455 1,731
New Zealand Dollar Sell 4/15/20 127,879 132,385 4,506
Norwegian Krone Buy 3/18/20 64,032 65,653 (1,621)
Norwegian Krone Sell 3/18/20 64,032 64,212 180
Credit Suisse International
Australian Dollar Buy 4/15/20 31,886 33,835 (1,949)
Australian Dollar Sell 4/15/20 32,277 32,581 304
Euro Buy 3/18/20 33,702 34,022 (320)
Euro Sell 3/18/20 33,702 33,297 (405)
Goldman Sachs International
Australian Dollar Sell 4/15/20 8,282 8,768 486
British Pound Buy 3/18/20 111,467 113,176 (1,709)
British Pound Sell 3/18/20 111,467 112,824 1,357
Chinese Yuan Buy 5/20/20 132,813 132,327 486
Japanese Yen Sell 5/20/20 1,169,075 1,156,409 (12,666)
New Taiwan Dollar Buy 5/20/20 132,365 134,433 (2,068)
New Taiwan Dollar Sell 5/20/20 132,365 132,352 (13)
New Zealand Dollar Sell 4/15/20 63,471 67,371 3,900
Norwegian Krone Buy 3/18/20 195,563 198,866 (3,303)
Russian Ruble Buy 3/18/20 260,914 281,381 (20,467)
Russian Ruble Sell 3/18/20 260,914 265,908 4,994
Russian Ruble Buy 6/17/20 128,986 135,919 (6,933)
Russian Ruble Sell 6/17/20 128,986 132,040 3,054
Swedish Krona Sell 3/18/20 32,285 32,938 653
HSBC Bank USA, National Association
Australian Dollar Sell 4/15/20 48,252 49,933 1,681
British Pound Buy 3/18/20 111,467 113,681 (2,214)
British Pound Sell 3/18/20 111,467 112,824 1,357
Canadian Dollar Sell 4/15/20 32,930 33,333 403
Euro Sell 3/18/20 1,321,682 1,335,313 13,631
Hong Kong Dollar Sell 5/20/20 201,012 201,497 485
Japanese Yen Sell 5/20/20 631,929 625,359 (6,570)
Norwegian Krone Buy 3/18/20 63,830 64,014 (184)
Norwegian Krone Sell 3/18/20 63,830 67,136 3,306
Swedish Krona Sell 3/18/20 134,354 134,330 (24)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/15/20 64,228 67,502 (3,274)
British Pound Buy 3/18/20 275,139 278,588 (3,449)
Canadian Dollar Buy 4/15/20 46,490 49,777 (3,287)
Euro Buy 3/18/20 6,411,390 6,472,816 (61,426)
Japanese Yen Buy 5/20/20 5,430,185 5,372,175 58,010
New Zealand Dollar Sell 4/15/20 136,071 141,824 5,753
Norwegian Krone Sell 3/18/20 8,205 5,962 (2,243)
Singapore Dollar Sell 5/20/20 202,772 208,685 5,913
Swedish Krona Sell 3/18/20 178,042 178,835 793
Swiss Franc Sell 3/18/20 428,635 421,135 (7,500)
NatWest Markets PLC
Australian Dollar Buy 4/15/20 40,493 42,053 (1,560)
British Pound Buy 3/18/20 65,803 66,487 (684)
British Pound Sell 3/18/20 65,803 66,804 1,001
Canadian Dollar Sell 4/15/20 32,632 33,449 817
Euro Buy 3/18/20 66,521 67,313 (792)
Euro Sell 3/18/20 66,521 66,848 327
Hong Kong Dollar Buy 5/20/20 39,158 39,166 (8)
Japanese Yen Sell 5/20/20 273,540 270,521 (3,019)
New Zealand Dollar Buy 4/15/20 47,525 49,828 (2,303)
Norwegian Krone Buy 3/18/20 143,340 147,877 (4,537)
State Street Bank and Trust Co.
Australian Dollar Sell 4/15/20 259,191 270,179 10,988
British Pound Sell 3/18/20 161,620 165,683 4,063
Canadian Dollar Sell 4/15/20 640,873 652,005 11,132
Euro Buy 3/18/20 130,831 138,343 (7,512)
Hong Kong Dollar Sell 5/20/20 268,037 268,722 685
Israeli Shekel Buy 4/16/20 7,570 7,576 (6)
Japanese Yen Sell 5/20/20 235,399 233,758 (1,641)
New Zealand Dollar Buy 4/15/20 181,469 189,550 (8,081)
Norwegian Krone Buy 3/18/20 369,897 375,027 (5,130)
Swedish Krona Sell 3/18/20 395,711 401,751 6,040
Toronto-Dominion Bank
Canadian Dollar Sell 4/15/20 65,711 67,963 2,252
Euro Buy 3/18/20 33,371 33,705 (334)
Euro Sell 3/18/20 33,371 32,851 (520)
Hong Kong Dollar Sell 5/20/20 67,013 67,172 159
Swedish Krona Sell 3/18/20 66,797 67,610 813
UBS AG
Australian Dollar Sell 4/15/20 202,202 214,397 12,195
British Pound Buy 3/18/20 65,931 66,705 (774)
British Pound Sell 3/18/20 65,931 67,227 1,296
Euro Sell 3/18/20 356,360 359,603 3,243
Hong Kong Dollar Sell 5/20/20 134,025 134,383 358
Japanese Yen Sell 5/20/20 16,159 15,985 (174)
Mexican Peso Buy 4/15/20 64,371 67,055 (2,684)
Mexican Peso Sell 4/15/20 64,719 66,411 1,692
New Zealand Dollar Buy 4/15/20 119,312 127,375 (8,063)
Norwegian Krone Buy 3/18/20 32,186 32,279 (93)
Norwegian Krone Sell 3/18/20 32,186 33,124 938
Swedish Krona Sell 3/18/20 99,436 100,289 853
WestPac Banking Corp.
British Pound Buy 3/18/20 32,965 33,470 (505)
British Pound Sell 3/18/20 32,965 33,627 662
Canadian Dollar Buy 4/15/20 231,257 239,161 (7,904)
Euro Buy 3/18/20 66,963 67,555 (592)
Euro Sell 3/18/20 66,963 67,676 713
Japanese Yen Sell 5/20/20 664,971 657,746 (7,225)
New Zealand Dollar Buy 4/15/20 96,487 99,451 (2,964)
Unrealized appreciation 202,408
Unrealized (depreciation) (247,989)
Total $(45,581)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 2/29/20 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bobl 5 yr (Long) 18 $2,695,713 $2,695,714 Mar-20 $31,990
Euro-Bund 10 yr (Long) 19 3,722,232 3,722,233 Mar-20 113,437
Euro-Buxl 30 yr (Long) 10 2,426,261 2,426,262 Mar-20 181,911
Euro-Schatz 2 yr (Long) 16 1,983,842 1,983,843 Mar-20 6,272
Japanese Government Bond 10 yr (Long) 8 11,427,406 11,427,406 Mar-20 107,502
Russell 2000 Index E-Mini (Long) 16 1,181,145 1,179,920 Mar-20 (139,102)
S&P 500 Index E-Mini (Short) 41 6,056,151 6,049,755 Mar-20 291,260
U.K. Gilt 10 yr (Long) 18 3,124,856 3,124,856 Jun-20 30,191
U.S. Treasury Bond 30 yr (Long) 5 851,250 851,250 Jun-20 18,426
U.S. Treasury Bond Ultra 30 yr (Long) 7 1,452,500 1,452,500 Jun-20 32,828
U.S. Treasury Note 2 yr (Long) 14 3,056,594 3,056,594 Jun-20 15,820
U.S. Treasury Note 5 yr (Long) 24 2,946,000 2,946,000 Jun-20 27,633
U.S. Treasury Note 10 yr (Long) 28 3,773,000 3,773,000 Jun-20 48,281
Unrealized appreciation 905,551
Unrealized (depreciation) (139,102)
Total $766,449









WRITTEN OPTIONS OUTSTANDING at 2/29/20 (premiums $18,619) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
SPDR S&P 500 ETF Trust (Call) Mar-20/$348.00 $5,330,014 $17,991 $363
HSBC Bank USA, National Association
EUR/USD (Call) Mar-20/1.11 527,550 EUR 477,875 3,189
JPMorgan Chase Bank N.A.
USD/JPY (Put) Apr-20/JPY 104.00 2,691,700 $2,691,700 11,447
UBS AG
EUR/USD (Call) Apr-20/$1.12 527,550 EUR 477,875 2,442
USD/JPY (Put) Apr-20/JPY 104.00 2,691,700 $2,691,700 10,253
Total $27,694











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/29/20 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$1,866,600 $24,654 (E) $(476) 3/18/22 3 month USD-LIBOR-BBA — Quarterly 1.60% — Semiannually $24,178
5,303,100 70,043 (E) (4,521) 3/18/22 1.60% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (74,565)
755,600 137,945 (E) 391 3/18/50 3 month USD-LIBOR-BBA — Quarterly 2.00% — Semiannually 138,337
122,400 22,346 (E) (442) 3/18/50 2.00% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (22,788)
23,236,900 1,469,153 (E) 173,645 3/18/30 3 month USD-LIBOR-BBA — Quarterly 1.75% — Semiannually 1,643,099
3,934,500 248,759 (E) (29,566) 3/18/30 1.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (278,505)
1,207,800 40,240 (E) 3,461 3/18/25 3 month USD-LIBOR-BBA — Quarterly 1.625% — Semiannually 43,701
1,313,700 43,769 (E) (3,774) 3/18/25 1.625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (47,542)
Total $138,718 $1,425,915
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Bank of America N.A.
$13,254,452 $11,991,002 $— 6/20/23 (3 month USD-LIBOR-BBA plus 0.10%) — Quarterly A basket (MLFCF15) of common stocks — Quarterly* $(1,259,183)
13,258,550 12,065,820 — 6/20/23 3 month USD-LIBOR-BBA minus 0.07% — Quarterly Russell 1000 Total Return Index — Quarterly 1,208,732
Barclays Bank PLC
7,162 6,438 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (651)
203,533 187,976 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (13,223)
Citibank, N.A.
4,500,538 4,246,651 — 11/25/20 (3 month USD-LIBOR-BBA plus 0.34%) — Quarterly A basket (CGPUTQL2) of common stocks — Quarterly* (252,006)
3,895,931 3,694,979 — 11/25/20 3 month USD-LIBOR-BBA plus 0.09% — Quarterly Russell 1000 Total Return Index — Quarterly 201,704
Credit Suisse International
16,569 14,964 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,424)
JPMorgan Securities LLC
203,533 187,976 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 13,223
Upfront premium received — Unrealized appreciation 1,423,659
Upfront premium (paid) — Unrealized (depreciation) (1,526,487)
Total $— Total $(102,828)
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.









A BASKET (MLFCF15) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Apple, Inc. Technology 2,167 $592,454 4.94%
Amazon.com, Inc. Consumer cyclicals 259 487,808 4.07%
Alphabet, Inc. Class A Technology 335 448,787 3.74%
Microsoft Corp. Technology 2,203 356,949 2.98%
JPMorgan Chase & Co. Financials 2,867 332,888 2.78%
Adobe, Inc. Technology 759 261,878 2.18%
Verizon Communications, Inc. Communication services 4,725 255,896 2.13%
Procter & Gamble Co. (The) Consumer staples 2,223 251,680 2.10%
PayPal Holdings, Inc. Consumer cyclicals 2,185 235,917 1.97%
Cisco Systems, Inc. Technology 5,822 232,487 1.94%
Citigroup, Inc. Financials 3,552 225,400 1.88%
Chevron Corp. Energy 2,353 219,591 1.83%
Oracle Corp. Technology 4,266 210,982 1.76%
Coca-Cola Co. (The) Consumer staples 3,942 210,883 1.76%
Qualcomm, Inc. Technology 2,677 209,582 1.75%
Comcast Corp. Class A Communication services 4,730 191,218 1.59%
Medtronic PLC Health care 1,695 170,671 1.42%
Johnson & Johnson Health care 1,203 161,800 1.35%
PepsiCo, Inc. Consumer staples 1,153 152,276 1.27%
Lockheed Martin Corp. Capital goods 379 140,151 1.17%
Honeywell International, Inc. Capital goods 821 133,191 1.11%
Intuit, Inc. Technology 494 131,372 1.10%
Merck & Co., Inc. Health care 1,708 130,768 1.09%
Amgen, Inc. Health care 622 124,251 1.04%
Northrop Grumman Corp. Capital goods 363 119,467 1.00%
Starbucks Corp. Consumer staples 1,504 117,954 0.98%
Booking Holdings, Inc. Consumer cyclicals 68 115,906 0.97%
Mondelez International, Inc. Class A Consumer staples 2,010 106,118 0.88%
S&P Global, Inc. Consumer cyclicals 381 101,275 0.84%
Abbott Laboratories Health care 1,243 95,763 0.80%
Activision Blizzard, Inc. Technology 1,627 94,564 0.79%
Morgan Stanley Financials 2,076 93,492 0.78%
MetLife, Inc. Financials 2,096 89,531 0.75%
Exelon Corp. Utilities and power 2,018 86,980 0.73%
Delta Air Lines, Inc. Transportation 1,856 85,595 0.71%
Lowe's Cos., Inc. Consumer cyclicals 773 82,428 0.69%
eBay, Inc. Technology 2,360 81,759 0.68%
Danaher Corp. Conglomerates 555 80,199 0.67%
Union Pacific Corp. Transportation 500 79,940 0.67%
Biogen, Inc. Health care 259 79,788 0.67%
Trane Technologies PLC Capital goods 610 78,761 0.66%
Edwards Lifesciences Corp. Health care 382 78,275 0.65%
Crown Castle International Corp. Communication services 511 73,187 0.61%
Kinder Morgan, Inc. Utilities and power 3,773 72,320 0.60%
Autodesk, Inc. Technology 377 71,967 0.60%
Waste Management, Inc. Capital goods 647 71,746 0.60%
McKesson Corp. Health care 495 69,248 0.58%
Cummins, Inc. Capital goods 452 68,407 0.57%
Veeva Systems, Inc. Class A Technology 472 66,966 0.56%
Capital One Financial Corp. Financials 752 66,369 0.55%









A BASKET (CGPUTQL2) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Apple, Inc. Technology 446 $121,914 2.87%
Microsoft Corp. Technology 729 118,091 2.78%
Alphabet, Inc. Class A Technology 85 113,588 2.67%
JPMorgan Chase & Co. Financials 882 102,435 2.41%
Verizon Communications, Inc. Communication services 1,739 94,169 2.22%
Fidelity National Information Services, Inc. Technology 593 82,845 1.95%
Medtronic PLC Health care 822 82,722 1.95%
Honeywell International, Inc. Capital goods 499 80,983 1.91%
TJX Cos., Inc. (The) Consumer cyclicals 1,318 78,824 1.86%
Lockheed Martin Corp. Capital goods 211 78,212 1.84%
Mondelez International, Inc. Class A Consumer staples 1,446 76,333 1.80%
Starbucks Corp. Consumer staples 953 74,741 1.76%
Texas Instruments, Inc. Technology 647 73,901 1.74%
Automatic Data Processing, Inc. Consumer cyclicals 470 72,698 1.71%
Intuit, Inc. Technology 266 70,723 1.67%
Kinder Morgan, Inc. Utilities and power 3,503 67,144 1.58%
Johnson & Johnson Health care 468 62,968 1.48%
Leidos Holdings, Inc. Technology 607 62,316 1.47%
U.S. Bancorp Financials 1,341 62,292 1.47%
Allstate Corp. (The) Financials 585 61,604 1.45%
Exelon Corp. Utilities and power 1,377 59,365 1.40%
Walt Disney Co. (The) Consumer cyclicals 504 59,351 1.40%
Waste Management, Inc. Capital goods 531 58,843 1.39%
Annaly Capital Management, Inc. Financials 6,631 58,752 1.38%
Intercontinental Exchange, Inc. Financials 637 56,842 1.34%
Sysco Corp. Consumer staples 853 56,835 1.34%
Amazon.com, Inc. Consumer cyclicals 29 55,386 1.30%
Cognizant Technology Solutions Corp. Class A Technology 854 52,033 1.23%
DTE Energy Co. Utilities and power 457 51,042 1.20%
Omnicom Group, Inc. Consumer cyclicals 683 47,334 1.11%
Hershey Co. (The) Consumer staples 327 47,105 1.11%
Baxter International, Inc. Health care 556 46,431 1.09%
Ross Stores, Inc. Consumer cyclicals 413 44,904 1.06%
VICI Properties, Inc. Financials 1,777 44,527 1.05%
Cisco Systems, Inc. Technology 1,104 44,097 1.04%
eBay, Inc. Technology 1,214 42,056 0.99%
AGNC Investment Corp. Financials 2,456 41,844 0.99%
Trane Technologies PLC Capital goods 323 41,691 0.98%
Exxon Mobil Corp. Energy 790 40,655 0.96%
Charter Communications, Inc. Class A Communication services 82 40,499 0.95%
Garmin, Ltd. Technology 457 40,433 0.95%
Merck & Co., Inc. Health care 505 38,657 0.91%
Pfizer, Inc. Health care 1,153 38,532 0.91%
Procter & Gamble Co. (The) Consumer staples 336 38,048 0.90%
Take-Two Interactive Software, Inc. Technology 341 36,671 0.86%
Bristol-Myers Squibb Co. Health care 614 36,244 0.85%
AutoZone, Inc. Consumer cyclicals 34 35,062 0.83%
Western Union Co. (The) Technology 1,559 34,914 0.82%
PepsiCo, Inc. Consumer staples 257 33,905 0.80%
Delta Air Lines, Inc. Transportation 733 33,806 0.80%









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized depreciation
$700,000 $7,474 $(12) 10/1/29 (1.765%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity $(7,486)
1,100,000 14,010 (18) 9/9/29 (1.79%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (14,028)
1,500,000 19,188 — 4/7/26 (1.858%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (19,188)
500,000 33,314 — 12/5/26 (2.308%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (33,314)
1,400,000 42,484 — 8/7/25 (1.92%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (42,484)
2,100,000 49,669 (35) 7/8/29 (1.875%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (49,704)
1,100,000 54,932 (18) 3/7/29 (2.138%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (54,950)
1,400,000 66,891 (24) 2/7/29 (2.099%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (66,914)
1,400,000 103,018 (24) 4/6/28 (2.3075%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (103,041)
1,700,000 140,262 (29) 7/9/28 (2.3875%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (140,290)
3,500,000 166,114 (38) 11/7/27 (2.1438%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (166,151)
2,600,000 389,956 — 1/9/23 (2.76%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (389,956)
6,000,000 470,652 (100) 7/2/28 (2.356%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (470,754)
Total $(298) $(1,558,260)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 2/29/20 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A/P $(317) $37,000 $56 5/11/63 200 bp — Monthly $(252)
CMBX NA BB.6 Index BB-/P 4,734 33,000 5,310 5/11/63 500 bp — Monthly (553)
CMBX NA BB.7 Index BB/P 1,633 32,000 2,166 1/17/47 500 bp — Monthly (510)
CMBX NA BBB-.7 Index BBB-/P 15 3,000 66 5/11/63 300 bp — Monthly (50)
Credit Suisse International
CMBX NA A.6 Index A/P (130) 118,000 177 5/11/63 200 bp — Monthly 79
CMBX NA A.7 Index A/P 1,040 25,000 570 1/17/47 200 bp — Monthly 1,617
CMBX NA A.7 Index A/P 943 24,000 547 1/17/47 200 bp — Monthly 1,497
CMBX NA A.7 Index A/P 294 8,000 182 1/17/47 200 bp — Monthly 479
CMBX NA BB.7 Index BB/P 936 7,000 474 1/17/47 500 bp — Monthly 467
CMBX NA BBB-.6 Index BBB-/P 1,128 12,000 989 5/11/63 300 bp — Monthly 144
Goldman Sachs International
CMBX NA A.6 Index A/P 3,257 64,000 96 5/11/63 200 bp — Monthly 3,371
CMBX NA A.6 Index A/P 3,736 62,000 93 5/11/63 200 bp — Monthly 3,847
CMBX NA A.6 Index A/P 1,820 58,000 87 5/11/63 200 bp — Monthly 1,923
CMBX NA A.6 Index A/P 1,083 35,000 53 5/11/63 200 bp — Monthly 1,145
CMBX NA A.6 Index A/P 1,988 31,000 47 5/11/63 200 bp — Monthly 2,043
CMBX NA A.6 Index A/P 1,186 24,000 36 5/11/63 200 bp — Monthly 1,228
CMBX NA A.6 Index A/P 1,133 22,000 33 5/11/63 200 bp — Monthly 1,172
CMBX NA A.6 Index A/P (161) 20,000 30 5/11/63 200 bp — Monthly (125)
CMBX NA A.6 Index A/P 1,248 19,000 29 5/11/63 200 bp — Monthly 1,282
CMBX NA A.6 Index A/P 781 15,000 23 5/11/63 200 bp — Monthly 807
CMBX NA A.6 Index A/P 759 15,000 23 5/11/63 200 bp — Monthly 786
CMBX NA A.6 Index A/P 301 13,000 20 5/11/63 200 bp — Monthly 324
CMBX NA A.6 Index A/P 607 12,000 18 5/11/63 200 bp — Monthly 629
CMBX NA BBB-.6 Index BBB-/P 109 1,000 82 5/11/63 300 bp — Monthly 27
CMBX NA BBB-.6 Index BBB-/P 317 4,000 330 5/11/63 300 bp — Monthly (11)
CMBX NA BBB-.6 Index BBB-/P 613 9,000 742 5/11/63 300 bp — Monthly (125)
CMBX NA BBB-.6 Index BBB-/P 1,056 9,000 742 5/11/63 300 bp — Monthly 318
CMBX NA BBB-.6 Index BBB-/P 1,266 15,000 1,236 5/11/63 300 bp — Monthly 36
CMBX NA BBB-.6 Index BBB-/P 1,941 23,000 1,895 5/11/63 300 bp — Monthly 55
CMBX NA BBB-.6 Index BBB-/P 4,261 35,000 2,884 5/11/63 300 bp — Monthly 1,392
CMBX NA BBB-.6 Index BBB-/P 5,939 79,000 6,510 5/11/63 300 bp — Monthly (538)
CMBX NA BBB-.6 Index BBB-/P 8,253 88,000 7,251 5/11/63 300 bp — Monthly 1,039
JPMorgan Securities LLC
CMBX NA A.6 Index A/P 10,997 478,000 717 5/11/63 200 bp — Monthly 11,847
CMBX NA A.6 Index A/P 55 19,000 29 5/11/63 200 bp — Monthly 89
CMBX NA A.6 Index A/P (111) 15,000 23 5/11/63 200 bp — Monthly (84)
CMBX NA BB.10 Index BB-/P 722 9,000 784 5/11/63 500 bp — Monthly (56)
CMBX NA BB.6 Index BB-/P 1,569 11,000 1,770 5/11/63 500 bp — Monthly (193)
CMBX NA BB.7 Index BB/P 416 8,000 542 1/17/47 500 bp — Monthly (120)
CMBX NA BBB-.6 Index BBB-/P 5,026 81,000 6,674 5/11/63 300 bp — Monthly (1,614)
Merrill Lynch International
CMBX NA A.6 Index A/P (50) 3,000 5 5/11/63 200 bp — Monthly (45)
CMBX NA BBB-.6 Index BBB-/P 446 5,000 412 5/11/63 300 bp — Monthly 37
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index A/P (553) 72,000 108 5/11/63 200 bp — Monthly (425)
CMBX NA BB.6 Index BB-/P 1,473 6,000 965 5/11/63 500 bp — Monthly 512
CMBX NA BB.6 Index BB-/P 3,203 13,000 2,092 5/11/63 500 bp — Monthly 1,121
Upfront premium received 76,284 Unrealized appreciation 39,313
Upfront premium (paid) (1,322) Unrealized (depreciation) (4,701)
Total $74,962 Total $34,612
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 29, 2020. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 2/29/20 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.7 Index $(22) $3,000 $68 1/17/47 (200 bp) — Monthly $(91)
CMBX NA BB.10 Index (417) 4,000 348 11/17/59 (500 bp) — Monthly (72)
CMBX NA BB.10 Index (329) 3,000 261 11/17/59 (500 bp) — Monthly (70)
CMBX NA BB.11 Index (1,684) 13,000 969 11/18/54 (500 bp) — Monthly (725)
CMBX NA BB.11 Index (377) 4,000 298 11/18/54 (500 bp) — Monthly (82)
CMBX NA BB.11 Index (69) 1,000 75 11/18/54 (500 bp) — Monthly 5
CMBX NA BB.11 Index (51) 1,000 75 11/18/54 (500 bp) — Monthly 23
CMBX NA BB.11 Index (52) 1,000 75 11/18/54 (500 bp) — Monthly 22
CMBX NA BB.12 Index (86) 1,000 91 8/17/61 (500 bp) — Monthly 4
CMBX NA BB.12 Index (86) 1,000 91 8/17/61 (500 bp) — Monthly 4
CMBX NA BB.8 Index (124) 1,000 130 10/17/57 (500 bp) — Monthly 5
CMBX NA BB.9 Index (6,193) 60,000 3,486 9/17/58 (500 bp) — Monthly (2,749)
CMBX NA BB.9 Index (581) 9,000 523 9/17/58 (500 bp) — Monthly (64)
CMBX NA BB.9 Index (363) 9,000 523 9/17/58 (500 bp) — Monthly 154
CMBX NA BB.9 Index (129) 2,000 116 9/17/58 (500 bp) — Monthly (14)
CMBX NA BB.9 Index (39) 1,000 58 9/17/58 (500 bp) — Monthly 18
CMBX NA BB.9 Index (36) 1,000 58 9/17/58 (500 bp) — Monthly 21
CMBX NA BBB-.6 Index (27,891) 438,000 36,091 5/11/63 (300 bp) — Monthly 8,017
Credit Suisse International
CMBX NA BB.10 Index (1,201) 9,000 784 11/17/59 (500 bp) — Monthly (423)
CMBX NA BB.10 Index (1,070) 9,000 784 11/17/59 (500 bp) — Monthly (293)
CMBX NA BB.10 Index (622) 5,000 436 11/17/59 (500 bp) — Monthly (189)
CMBX NA BB.7 Index (1,112) 63,000 10,137 5/11/63 (500 bp) — Monthly 8,981
CMBX NA BB.9 Index (2,907) 29,000 1,685 9/17/58 (500 bp) — Monthly (1,242)
CMBX NA BBB-.7 Index (78) 1,000 22 1/17/47 (300 bp) — Monthly (57)
Goldman Sachs International
CMBX NA BB.7 Index (303) 2,000 135 1/17/47 (500 bp) — Monthly (169)
CMBX NA BB.7 Index (6,904) 34,000 2,302 1/17/47 (500 bp) — Monthly (4,626)
CMBX NA BB.7 Index (655) 4,000 271 1/17/47 (500 bp) — Monthly (387)
CMBX NA BB.9 Index (39) 1,000 58 9/17/58 (500 bp) — Monthly 19
JPMorgan Securities LLC
CMBX NA A.7 Index (1,138) 54,000 1,231 1/17/47 (200 bp) — Monthly (2,385)
CMBX NA BB.11 Index (205) 3,000 224 11/18/54 (500 bp) — Monthly 17
CMBX NA BB.11 Index (147) 2,000 149 11/18/54 (500 bp) — Monthly 2
CMBX NA BB.11 Index (136) 2,000 149 11/18/54 (500 bp) — Monthly 11
CMBX NA BB.11 Index (51) 1,000 75 11/18/54 (500 bp) — Monthly 23
CMBX NA BB.11 Index (57) 1,000 75 11/18/54 (500 bp) — Monthly 17
CMBX NA BB.12 Index (821) 9,000 815 8/17/61 (500 bp) — Monthly (12)
CMBX NA BB.7 Index (6,960) 55,000 3,724 1/17/47 (500 bp) — Monthly (3,275)
CMBX NA BB.9 Index (115) 2,000 116 9/17/58 (500 bp) — Monthly (1)
CMBX NA BB.9 Index (42) 1,000 58 9/17/58 (500 bp) — Monthly 15
CMBX NA BB.9 Index (45) 1,000 58 9/17/58 (500 bp) — Monthly 12
CMBX NA BBB-.7 Index (38) 1,000 22 1/17/47 (300 bp) — Monthly (16)
Merrill Lynch International
CMBX NA BB.10 Index (455) 8,000 697 11/17/59 (500 bp) — Monthly 236
CMBX NA BB.11 Index (429) 8,000 596 11/18/54 (500 bp) — Monthly 162
CMBX NA BB.9 Index (623) 16,000 930 9/17/58 (500 bp) — Monthly 295
Morgan Stanley & Co. International PLC
CMBX NA BB.10 Index (420) 4,000 348 11/17/59 (500 bp) — Monthly (74)
CMBX NA BB.12 Index (71) 1,000 91 8/17/61 (500 bp) — Monthly 19
CMBX NA BB.7 Index (578) 3,000 203 1/17/47 (500 bp) — Monthly (377)
CMBX NA BB.9 Index (161) 4,000 232 9/17/58 (500 bp) — Monthly 69
CMBX NA BB.9 Index (123) 2,000 116 9/17/58 (500 bp) — Monthly (8)
CMBX NA BB.9 Index (99) 2,000 116 9/17/58 (500 bp) — Monthly 16
CMBX NA BB.9 Index (75) 1,000 58 9/17/58 (500 bp) — Monthly (18)
CMBX NA BB.9 Index (54) 1,000 58 9/17/58 (500 bp) — Monthly 3
CMBX NA BB.9 Index (62) 1,000 58 9/17/58 (500 bp) — Monthly (4)
CMBX NA BB.9 Index (39) 1,000 58 9/17/58 (500 bp) — Monthly 18
CMBX NA BB.9 Index (61) 1,000 58 9/17/58 (500 bp) — Monthly (3)
Upfront premium received — Unrealized appreciation 18,188
Upfront premium (paid) (66,425) Unrealized (depreciation) (17,426)
Total $(66,425) Total $762
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 2/29/20 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized depreciation
EM Series 32 Index BBB-/P $326,580 $6,400,000 $417,901 12/20/24 100 bp — Quarterly $(78,622)
NA IG Series 33 Index BBB+/P (24,441) 1,150,000 17,865 12/20/24 100 bp — Quarterly (4,275)
Total $302,139 $(82,897)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 29, 2020. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 2/29/20 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation
NA HY Series 33 Index $281,310 $4,131,270 $204,498 12/20/24 (500 bp) — Quarterly $35,500
Total $281,310 $35,500
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.











Key to holding's currency abbreviations
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
USD / $ United States Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
bp Basis Points
DAC Designated Activity Company
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
MTN Medium Term Notes
OJSC Open Joint Stock Company
OTC Over-the-counter
PJSC Public Joint Stock Company
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2019 through February 29, 2020 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $84,151,497.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(NON) This security is non-income-producing.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC, and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
5/31/19		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
2/29/20
Short-term investments
Putnam Cash Collateral Pool, LLC* $80,100 $1,873,325 $1,953,425 $4,843 $—
Putnam Short Term Investment Fund** 4,614,804 21,962,549 20,615,249 114,727 5,962,104
Total Short-term investments $4,694,904 $23,835,874 $22,568,674 $119,570 $5,962,104
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $602,314.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,139,157.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $21,606,620 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 80.2%
Japan 2.3
United Kingdom 2.1
China 1.6
Canada 1.4
Australia 1.4
France 1.4
Switzerland 1.1
Netherlands 1.0
Brazil 0.8
Germany 0.7
Sweden 0.6
South Korea 0.6
Taiwan 0.5
Other 4.3
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $89,981 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Basic materials $315,936 $1,017,384 $—
Capital goods 2,338,815 631,607 —
Communication services 1,369,363 500,319 —
Consumer cyclicals 2,870,655 1,604,963 —
Consumer staples 2,628,244 1,348,467 —
Energy 737,782 366,513 1,080
Financials 7,658,304 2,140,786 —
Health care 3,811,237 1,075,744 —
Technology 7,607,174 1,291,504 —
Transportation 252,086 345,839 —
Utilities and power 1,479,638 300,101 —
Total common stocks 31,069,234 10,623,227 1,080
Asset-backed securities — 442,045 —
Commodity linked notes — 2,503,558 —
Convertible bonds and notes — 24,747 —
Convertible preferred stocks — 44,020 2,200
Corporate bonds and notes — 23,032,519 5
Foreign government and agency bonds and notes — 802,378 —
Mortgage-backed securities — 2,883,537 —
Preferred stocks 25,067 — —
Purchased options outstanding — 1,446,444 —
Senior loans — 589,810 —
U.S. government and agency mortgage obligations — 8,664,004 —
Warrants — 404,791 —
Short-term investments 6,802,104 2,838,894 —
Totals by level $37,896,405 $54,299,974 $3,285
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(45,581) $—
Futures contracts 766,449 — —
Written options outstanding — (27,694) —
Interest rate swap contracts — 1,287,197 —
Total return swap contracts — (1,660,790) —
Credit default contracts — (604,009) —
Totals by level $766,449 $(1,050,877) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount) $90,000
Purchased currency option contracts (contract amount) $4,700,000
Written equity option contracts (contract amount) $31,000
Written currency option contracts (contract amount) $3,700,000
Futures contracts (number of contracts) 200
Forward currency contracts (contract amount) $39,200,000
Centrally cleared interest rate swap contracts (notional) $40,100,000
OTC total return swap contracts (notional) $35,300,000
Centrally cleared total return swap contracts (notional) $25,500,000
OTC credit default contracts (notional) $2,500,000
Centrally cleared credit default contracts (notional) $10,400,000
Warrants (number of warrants) 140,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com