NPORT-EX 3 b_ed8nport013121.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Multi-Asset Absolute Return Fund
The fund's portfolio
1/31/21 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (37.5%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.8%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $67,442 $77,418
5.00%, 5/20/49 175,872 198,686
4.00%, TBA, 2/1/51 5,000,000 5,343,750
3.50%, with due dates from 10/20/49 to 11/20/49 93,915 103,052
5,722,906
U.S. Government Agency Mortgage Obligations (36.7%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
3.50%, 8/1/43 406,684 451,954
3.00%, 3/1/43 331,507 355,397
Federal National Mortgage Association Pass-Through Certificates
5.50%, 1/1/38 894,512 1,030,280
5.00%, with due dates from 1/1/49 to 8/1/49 108,563 121,420
4.50%, 5/1/49 34,655 38,337
3.50%, 6/1/56 1,885,476 2,117,750
3.50%, 1/1/50(FWC) 467,556 495,786
3.50%, with due dates from 6/1/42 to 7/1/43 719,501 788,705
3.00%, with due dates from 2/1/43 to 2/1/43 803,328 861,102
Uniform Mortgage-Backed Securities
5.50%, TBA, 2/1/51 3,000,000 3,345,030
4.50%, TBA, 2/1/51 2,000,000 2,173,125
4.00%, TBA, 2/1/51 49,000,000 52,521,875
3.50%, TBA, 3/1/51 59,000,000 62,710,545
3.50%, TBA, 2/1/51 79,000,000 83,925,160
3.00%, TBA, 2/1/51 6,000,000 6,308,437
2.50%, TBA, 2/1/51 14,000,000 14,741,563
2.00%, TBA, 2/1/51 18,000,000 18,568,125
1.50%, TBA, 2/1/51 16,000,000 16,050,000
266,604,591
Total U.S. government and agency mortgage obligations (cost $271,586,159) $272,327,497








U.S. TREASURY OBLIGATIONS (0.2%)(a)
        Principal amount Value
U.S. Treasury Notes
2.00%, 5/31/24(i) $375,000 $398,423
0.50%, 6/30/27(i) 675,000 667,994
0.125%, 5/31/22(i) 420,000 420,214
Total U.S. treasury obligations (cost $1,486,631) $1,486,631








COMMON STOCKS (13.2%)(a)
        Shares Value
Basic materials (1.3%)
Anglo American Platinum, Ltd. (South Africa) 12,919 $1,281,765
Anhui Conch Cement Co., Ltd. Class H (China) 211,500 1,254,456
China Resources Cement Holdings, Ltd. (China) 484,000 535,360
DL E&C Co., Ltd. (South Korea)(NON) 4,935 491,893
Kumba Iron Ore, Ltd. (South Africa) 15,823 633,063
MMC Norilsk Nickel PJSC ADR (Russia) 47,387 1,517,721
Press Metal Aluminium Holdings Bhd (Malaysia) 66,500 131,417
Southern Copper Corp. (Peru) 29,372 1,950,595
Vale SA ADR (Brazil) 121,473 1,961,789
9,758,059
Capital goods (0.4%)
DL Co., Ltd. (South Korea) 3,936 213,583
Frontken Corp Bhd (Malaysia) 111,700 128,491
Haitian International Holdings, Ltd. (China) 67,000 242,787
Hartalega Holdings Bhd (Malaysia) 158,800 504,438
Hyundai Mobis Co., Ltd. (South Korea) 2,439 687,033
Samsung Engineering Co., Ltd. (South Korea)(NON) 26,871 294,688
United Integrated Services Co., Ltd. (Taiwan) 38,000 324,769
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H (China) 264,200 362,397
2,758,186
Communication services (0.3%)
Advanced Info Service PCL (Thailand) 256,800 1,475,763
Far EasTone Telecommunications Co., Ltd. (Taiwan) 73,000 156,472
Hellenic Telecommunications Organization SA (Greece) 30,722 445,518
KT Corp. (South Korea) 7,992 170,815
PLDT, Inc. (Philippines) 9,255 252,451
2,501,019
Consumer cyclicals (0.9%)
Clear Channel Outdoor Holdings, Inc.(NON) 62,644 124,662
Com7 PCL (Thailand) 281,700 407,067
Feng Tay Enterprise Co., Ltd. (Taiwan) 43,000 275,819
iHeartMedia, Inc. Class A(NON) 26,640 387,346
Kia Motors Corp. (South Korea) 12,581 921,794
Lite-On Technology Corp. (Taiwan) 240,000 471,157
NICE Information Service Co., Ltd. (South Korea) 7,293 138,205
Nien Made Enterprise Co., Ltd. (Taiwan) 50,000 661,152
President Chain Store Corp. (Taiwan) 36,000 342,723
Puregold Price Club, Inc. (Philippines) 80,400 60,456
Sinotruk Hong Kong, Ltd. (China) 187,000 582,819
Teco Electric and Machinery Co., Ltd. (Taiwan) 102,000 97,562
Tofas Turk Otomobil Fabrikasi AS (Turkey) 46,119 227,793
Top Glove Corp. Bhd (Malaysia) 453,700 748,244
Zhongsheng Group Holdings, Ltd. (China) 133,000 778,144
6,224,943
Consumer staples (1.4%)
BIM Birlesik Magazalar AS (Turkey) 17,308 169,771
Charoen Pokphand Foods PCL (Thailand) 1,526,800 1,390,087
China Feihe, Ltd. (China) 255,000 763,872
China Yuhua Education Corp., Ltd. (China) 220,000 192,434
Dino Polska SA (Poland)(NON) 8,782 616,282
Hindustan Unilever, Ltd. (India) 35,923 1,112,890
Indofood Sukses Makmur Tbk PT (Indonesia) 441,100 190,355
JD.com, Inc. ADR (China)(NON) 29,859 2,648,195
Marfrig Global Foods SA (Brazil)(NON) 97,100 235,855
Meituan Dianping Class B (China)(NON) 8,800 401,385
Orion Corp. (Republic of Korea) (South Korea) 2,884 309,514
Sime Darby Bhd (Malaysia) 310,600 169,208
Want Want China Holdings, Ltd. (China) 553,000 398,151
Yum China Holdings, Inc. (China) 32,004 1,814,947
10,412,946
Energy (0.3%)
CHC Group, LLC(NON) 13,995 245
China Shenhua Energy Co., Ltd. (China) 159,000 294,101
Dialog Group Bhd (Malaysia) 180,400 134,646
Ecopetrol SA ADR (Colombia)(S) 26,666 303,459
Lukoil PJSC ADR (Russia) 15,379 1,089,455
Petronas Gas Bhd (Malaysia) 34,800 138,084
PTT Exploration & Production PCL (Foreign depository shares) (Thailand) 39,400 136,248
2,096,238
Financials (2.0%)
Banco BBVA Argentina SA ADR (Argentina)(NON)(S) 35,064 94,322
Banco Macro SA ADR (Argentina)(NON)(S) 25,040 333,533
Banco Santander (Brasil) S.A. (Units) (Brazil) 133,271 956,285
Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia) 311,600 75,241
Bursa Malaysia Bhd (Malaysia) 149,600 346,739
Chailease Holding Co., Ltd. (Taiwan) 143,480 795,067
China Minsheng Banking Corp., Ltd. Class H (China) 1,476,000 843,198
Commercial International Bank (CIB) Egypt SAE GDR (Egypt) 39,087 154,153
Country Garden Services Holdings Co, Ltd. (China) 249,000 2,028,308
CTBC Financial Holding Co., Ltd. (Taiwan) 554,000 376,239
Fubon Financial Holding Co., Ltd. (Taiwan) 568,000 925,235
Grupo Financiero Galicia SA ADR (Argentina)(S) 80,959 603,954
Hana Financial Group, Inc. (South Korea) 53,946 1,582,133
Hong Leong Bank Bhd (Malaysia) 37,300 157,035
KB Financial Group, Inc. (South Korea) 44,067 1,594,027
KWG Living Group Holdings, Ltd. (China)(NON) 26,500 27,924
KWG Property Holdings, Ltd. (China) 45,500 60,622
Logan Group Co., Ltd. (China) 247,000 370,529
Ping An Insurance (Group) Co. of China, Ltd. Class H (China) 194,000 2,288,140
Qualitas Controladora SAB de CV (Mexico) 19,898 104,834
Ruentex Development Co., Ltd. (Taiwan) 62,000 85,850
Taishin Financial Holding Co., Ltd. (Taiwan) 611,000 272,944
Tisco Financial Group PCL (Thailand) 114,400 352,603
14,428,915
Health care (0.4%)
Advanz Pharma Corp., Ltd. (Canada)(NON) 8,181 133,923
Celltrion, Inc. (South Korea) 321 93,033
China Biologic Products Holdings, Inc. (China)(NON) 505 59,514
Dr Reddy's Laboratories, Ltd. (India) 20,037 1,263,856
Hengan International Group Co., Ltd. (China) 28,000 200,599
Hypera SA (Brazil) 79,058 466,568
Seegene, Inc. (South Korea) 2,346 340,877
2,558,370
Technology (6.1%)
Alibaba Group Holding, Ltd. (China)(NON) 228,624 7,297,071
Globalwafers Co., Ltd. (Taiwan) 56,000 1,233,969
Infosys, Ltd. (India) 144,677 2,446,239
LG Electronics, Inc. (South Korea) 19,764 2,688,301
NetEase, Inc. ADR (China) 17,836 2,050,962
Parade Technologies, Ltd. (Taiwan) 18,000 774,828
Pegatron Corp. (Taiwan) 111,000 311,185
Quanta Computer, Inc. (Taiwan) 259,000 744,833
Radiant Opto-Electronics Corp. (Taiwan) 152,000 622,571
Realtek Semiconductor Corp. (Taiwan) 73,000 1,179,486
Samsung Electronics Co., Ltd. (South Korea) 105,935 7,731,326
Synnex Technology International Corp. (Taiwan) 182,000 293,290
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 47,651 5,790,550
Tata Consultancy Services, Ltd. (India) 51,104 2,180,234
Tech Mahindra, Ltd. (India) 42,319 555,898
Tencent Holdings, Ltd. (China) 62,600 5,480,196
United Microelectronics Corp. (Taiwan) 1,203,000 2,144,897
Wipro, Ltd. (India) 181,920 1,036,791
44,562,627
Transportation (—%)
MISC Bhd (Malaysia) 33,500 49,258
49,258
Utilities and power (0.1%)
Cia de Transmissao de Energia Eletrica Paulista (Preference) (Brazil) 89,900 432,954
Electricity Generating PCL (Thailand) 15,500 92,441
Federal Grid Co. Unified Energy System PJSC (Russia) 37,593,979 107,331
Glow Energy PCL (Thailand)(F) 35,800 12
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 25,989 28,588
661,326
Total common stocks (cost $61,410,637) $96,011,887








COMMODITY LINKED NOTES (10.8%)(a)(CLN)
        Principal amount Value
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.13%, 2021 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) $791,000 $817,545
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.11%, 2022 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) 11,630,000 11,066,227
Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month USD LIBOR less 0.06%, 2022 (Indexed to the Citi Commodities F3 vs F0 - 4x Leveraged Index multiplied by 3) 12,420,000 12,005,097
Citigroup Global Markets Holdings, Inc. 144A sr. notes, 2021 (Indexed to the Citi Cross-Asset Trend 10% Vol Index multiplied by 3) 13,045,000 15,696,068
Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month USD LIBOR less 0.05%, 2022 (Indexed to the S&P GSCI Light Energy Excess Return Index multiplied by 3) 4,910,000 5,034,120
Goldman Sachs International 144A notes zero %, 2022 (Indexed to the S&P GSCI Light Energy Excess Return Index multiplied by 3) 32,850,000 33,855,437
Total commodity Linked Notes (cost $75,646,000) $78,474,494








INVESTMENT COMPANIES (10.4%)(a)
        Shares Value
Communication Services Select Sector SPDR Fund 192,600 $12,881,088
Consumer Discretionary Select Sector SPDR Fund(S) 79,900 12,944,599
Consumer Staples Select Sector SPDR Fund(S) 183,100 11,734,879
Health Care Select Sector SPDR Fund(S) 109,000 12,538,270
Materials Select Sector SPDR Fund(S) 172,400 12,178,336
Technology Select Sector SPDR Fund(S) 102,400 13,202,432
Total investment companies (cost $63,526,050) $75,479,604








MORTGAGE-BACKED SECURITIES (9.7%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (6.3%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 16.622%, 6/15/34 $96,952 $118,281
REMICs IFB Ser. 3747, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%), 6.374%, 10/15/40 1,512,559 322,002
REMICs IFB Ser. 4073, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.924%, 8/15/38 1,122,554 19,952
REMICs IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), 5.874%, 5/15/41 1,107,568 1,210,694
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 827,479 105,268
REMICs Ser. 4530, Class HI, IO, 4.00%, 11/15/45 2,157,634 196,595
REMICs Ser. 4389, Class IA, IO, 4.00%, 9/15/44 2,429,762 279,146
REMICs Ser. 4355, Class DI, IO, 4.00%, 3/15/44 1,790,256 71,275
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,772,517 229,334
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 823,167 48,940
REMICs Ser. 3996, Class IK, IO, 4.00%, 3/15/39 80,911 35
REMICs Ser. 4369, Class IA, IO, 3.50%, 7/15/44 508,305 68,287
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 687,516 13,069
REMICs Ser. 4663, Class KI, IO, 3.50%, 11/15/42 473,980 4,147
REMICs Ser. 4136, Class IW, IO, 3.50%, 10/15/42 2,100,773 217,946
REMICs Ser. 4097, Class PI, IO, 3.50%, 11/15/40 1,092,439 18,195
REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 1,775,722 175,907
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 3,253,636 256,094
REMICs Ser. 4134, Class PI, IO, 3.00%, 11/15/42 2,648,223 264,996
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,264,776 79,206
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 2,411,271 140,511
Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.428%, 11/15/28(WAC) 118,304 1,633
Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.286%, 10/25/43(WAC) 500,453 5,005
Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33(WAC) 790,507 5,929
REMICs Ser. 3206, Class EO, PO, zero %, 8/15/36 8,956 8,508
REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 7,523 7,072
Strips Ser. 315, PO, zero %, 9/15/43 1,446,912 1,322,807
Federal National Mortgage Association
REMICs IFB Ser. 05-74, Class NK, ((-5 x 1 Month US LIBOR) + 27.50%), 26.85%, 5/25/35 41,870 63,005
REMICs IFB Ser. 05-122, Class SE, ((-3.5 x 1 Month US LIBOR) + 23.10%), 22.582%, 11/25/35 38,594 56,347
REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 12.64%, 5/25/40 468,505 571,576
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,879,058 615,576
REMICs IFB Ser. 17-8, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.97%, 2/25/47 6,925,631 1,477,168
REMICs IFB Ser. 17-74, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.75%), 5.62%, 10/25/47 7,852,161 1,473,592
REMICs Ser. 18-58, Class IO, IO, 5.50%, 8/25/48 2,551,604 505,898
REMICs Ser. 15-28, IO, 5.50%, 5/25/45 3,975,115 770,179
Interest Strip Ser. 397, Class 2, IO, 5.00%, 9/25/39 21,174 3,317
REMICs Ser. 17-113, IO, 5.00%, 1/25/38 773,778 98,650
REMICs Ser. 12-104, Class QI, IO, 4.50%, 5/25/42 1,043,487 132,513
REMICs Ser. 17-48, Class LI, IO, 4.00%, 5/25/47 2,282,155 228,215
REMICs Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 977,817 108,782
REMICs Ser. 14-47, Class IP, IO, 4.00%, 3/25/44 2,326,706 215,248
REMICs Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 2,852,851 385,626
REMICs Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 1,669,393 113,480
REMICs Ser. 15-73, Class PI, IO, 3.50%, 10/25/45 882,293 35,124
REMICs Ser. 15-10, Class AI, IO, 3.50%, 8/25/43 516,408 40,354
REMICs Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 818,324 46,523
REMICs Ser. 14-10, IO, 3.50%, 8/25/42 1,112,781 110,793
REMICs Ser. 12-101, Class PI, IO, 3.50%, 8/25/40 319,009 1,628
REMICs Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 1,800,587 192,775
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 1,630,489 167,202
REMICs Ser. 6, Class BI, IO, 3.00%, 12/25/42 1,460,542 70,976
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,293,058 59,690
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 1,278,569 29,473
REMICs Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 1,629,190 44,164
REMICs Trust Ser. 98-W5, Class X, IO, 0.746%, 7/25/28(WAC) 236,759 6,819
REMICs Trust Ser. 98-W2, Class X, IO, 0.14%, 6/25/28(WAC) 791,844 25,735
REMICs Ser. 08-36, Class OV, PO, zero %, 1/25/36 5,680 5,287
Government National Mortgage Association
IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.119%, 7/20/48 3,529,208 564,006
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.019%, 9/20/43 458,670 94,385
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.971%, 7/16/43 552,940 97,262
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.919%, 2/20/50 268,518 32,007
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.919%, 8/20/49 179,954 25,562
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.919%, 6/20/49 253,063 31,016
IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.919%, 2/20/41 1,009,107 172,517
IFB Ser. 10-134, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.869%, 11/20/39 844,020 31,119
Ser. 17-132, Class IB, IO, 5.50%, 9/20/47 641,097 140,149
Ser. 16-150, Class I, IO, 5.00%, 11/20/46 3,205,716 553,916
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 1,641,835 300,998
Ser. 14-76, IO, 5.00%, 5/20/44 1,870,761 316,548
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 1,521,044 234,232
Ser. 14-2, Class IC, IO, 5.00%, 1/16/44 3,664,825 731,843
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 652,179 115,762
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 8,968 784
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 452,532 82,809
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 708,904 129,848
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,328,823 441,754
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,796,849 334,591
Ser. 17-160, Class AI, IO, 4.50%, 10/20/47 611,430 97,372
Ser. 16-49, IO, 4.50%, 11/16/45 1,850,262 319,555
Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 3,211,495 541,668
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 2,232,702 197,750
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,458,742 279,787
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 334,141 27,202
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,059,957 94,437
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 527,941 86,967
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 849,992 131,029
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 618,612 95,143
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 342,570 63,228
Ser. 17-99, Class AI, IO, 4.00%, 1/20/47 1,828,600 216,781
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 600,155 45,174
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 3,296,575 593,384
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 2,107,651 264,675
Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 549,687 42,997
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 801,739 90,061
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 345,175 48,324
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,122,971 159,086
Ser. 14-104, IO, 4.00%, 3/20/42 3,263,263 395,214
Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 1,025,647 90,705
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 1,702,969 157,772
Ser. 14-133, Class AI, IO, 4.00%, 10/20/36 1,707,430 31,633
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 1,383,523 105,009
Ser. 15-24, Class IA, IO, 3.50%, 2/20/45 1,109,947 105,445
Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 471,249 10,972
Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 1,182,550 78,367
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 926,387 89,313
Ser. 12-145, IO, 3.50%, 12/20/42 1,187,973 202,593
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 270,881 25,417
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 539,579 36,012
Ser. 13-37, Class LI, IO, 3.50%, 1/20/42 752,501 43,269
Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 873,316 22,996
Ser. 15-36, Class GI, IO, 3.50%, 6/16/41 1,187,910 65,941
Ser. 13-157, Class IA, IO, 3.50%, 4/20/40 1,109,249 39,564
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 2,802,896 138,193
Ser. 183, Class AI, IO, 3.50%, 10/20/39 1,150,510 33,241
Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 1,836,523 147,393
Ser. 15-118, Class EI, IO, 3.50%, 7/20/39 691,028 5,487
Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 1,600,572 46,096
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 3,104,407 70,526
Ser. 15-82, Class GI, IO, 3.50%, 12/20/38 41,231 25
Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 1,337,595 60,192
Ser. 15-H09, Class AI, IO, 2.841%, 4/20/65(WAC) 9,207,818 675,762
Ser. 16-H04, Class KI, IO, 2.758%, 2/20/66(WAC) 9,081,759 542,562
FRB Ser. 16-H16, Class DI, IO, 2.645%, 6/20/66(WAC) 4,663,507 413,215
Ser. 15-H22, Class GI, IO, 2.598%, 9/20/65(WAC) 7,509,721 765,241
Ser. 16-H03, Class AI, IO, 2.466%, 1/20/66(WAC) 9,940,225 729,066
FRB Ser. 15-H16, Class XI, IO, 2.462%, 7/20/65(WAC) 8,501,221 776,161
Ser. 16-H04, Class HI, IO, 2.383%, 7/20/65(WAC) 4,952,038 305,046
Ser. 16-H23, Class NI, IO, 2.368%, 10/20/66(WAC) 7,414,874 671,046
Ser. 16-H07, Class HI, IO, 2.35%, 2/20/66(WAC) 6,401,908 537,325
Ser. 17-H11, Class NI, IO, 2.326%, 5/20/67(WAC) 11,855,460 1,130,003
Ser. 15-H20, Class CI, IO, 2.196%, 8/20/65(WAC) 13,759,257 1,332,584
Ser. 16-H11, Class HI, IO, 2.104%, 1/20/66(WAC) 4,743,897 316,295
Ser. 15-H24, Class HI, IO, 2.041%, 9/20/65(WAC) 15,818,412 809,839
Ser. 15-H15, Class JI, IO, 1.969%, 6/20/65(WAC) 9,851,031 842,263
Ser. 15-H25, Class BI, IO, 1.941%, 10/20/65(WAC) 12,591,505 1,074,055
Ser. 15-H19, Class NI, IO, 1.924%, 7/20/65(WAC) 13,000,153 1,020,512
Ser. 15-H26, Class DI, IO, 1.891%, 10/20/65(WAC) 5,394,427 457,296
Ser. 15-H25, Class EI, IO, 1.869%, 10/20/65(WAC) 8,918,974 687,653
Ser. 15-H18, Class IA, IO, 1.844%, 6/20/65(WAC) 5,496,824 308,372
Ser. 16-H02, Class BI, IO, 1.817%, 11/20/65(WAC) 12,716,086 1,121,012
Ser. 15-H10, Class CI, IO, 1.815%, 4/20/65(WAC) 13,932,837 1,134,300
Ser. 15-H26, Class GI, IO, 1.812%, 10/20/65(WAC) 8,758,674 640,259
Ser. 15-H26, Class EI, IO, 1.725%, 10/20/65(WAC) 9,362,894 641,358
Ser. 17-H14, Class DI, IO, 1.719%, 6/20/67(WAC) 9,117,505 579,809
Ser. 15-H09, Class BI, IO, 1.70%, 3/20/65(WAC) 12,824,818 872,408
Ser. 14-H21, Class AI, IO, 1.637%, 10/20/64(WAC) 10,386,025 782,203
Ser. 15-H10, Class EI, IO, 1.628%, 4/20/65(WAC) 9,559,896 400,627
Ser. 15-H25, Class AI, IO, 1.627%, 9/20/65(WAC) 12,480,242 849,904
Ser. 15-H24, Class BI, IO, 1.62%, 8/20/65(WAC) 13,860,006 490,173
Ser. 15-H14, Class BI, IO, 1.572%, 5/20/65(WAC) 14,233,051 547,659
Ser. 11-H15, Class AI, IO, 1.546%, 6/20/61(WAC) 3,310,738 158,704
Ser. 17-H02, Class BI, IO, 1.487%, 1/20/67(WAC) 5,807,671 562,583
Ser. 16-H08, Class GI, IO, 1.439%, 4/20/66(WAC) 12,285,439 594,026
Ser. 11-H08, Class GI, IO, 1.27%, 3/20/61(WAC) 5,473,492 223,318
Ser. 15-H26, Class CI, IO, 0.529%, 8/20/65(WAC) 15,499,002 204,587
GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27(WAC) 75,072 285
45,871,163
Commercial mortgage-backed securities (1.9%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.425%, 1/15/49(WAC) 123,983 6
Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, Class C, 6.786%, 2/10/51 (In default)(NON)(WAC) 1,107,980 99,718
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class C, 5.665%, 11/10/42(WAC) 721,000 194,670
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.432%, 1/12/45(WAC) 884,000 693,940
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 806,000 620,620
Ser. 05-PWR7, Class C, 5.235%, 2/11/41(WAC) 489,000 545,904
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class B, 5.702%, 3/11/39 (In default)(NON)(WAC) 491,242 353,695
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class D, 4.847%, 5/10/47(WAC) 315,000 290,577
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 725,000 201,982
Ser. 12-LC4, Class E, 4.25%, 12/10/44 1,056,000 681,040
Credit Suisse First Boston Mortgage Securities Corp. 144A FRB Ser. 03-C3, Class AX, IO, 1.858%, 5/15/38(WAC) 90,574 690
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.531%, 9/10/47(WAC) 1,168,000 443,840
FRB Ser. 06-GG8, Class X, IO, 1.114%, 11/10/39(WAC) 7,977,271 80
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47(WAC) 2,751,000 1,523,947
FRB Ser. 13-C14, Class E, 4.702%, 8/15/46(WAC) 1,491,000 872,931
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 07-LDPX, Class X, IO, 0.102%, 1/15/49(WAC) 38,876 —
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 12-C6, Class F, 5.142%, 5/15/45(WAC) 766,000 278,502
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 370,000 233,270
Ser. 12-C6, Class G, 2.972%, 5/15/45(WAC) 1,166,000 297,299
LB-UBS Commercial Mortgage Trust FRB Ser. 07-C2, Class XW, IO, 0.171%, 2/15/40(WAC) 87,283 15
ML-CFC Commercial Mortgage Trust 144A FRB Ser. 06-4, Class XC, IO, 0.724%, 12/12/49(WAC) 675,865 1,888
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class E, 4.352%, 8/15/46(WAC) 1,350,000 67,500
FRB Ser. 13-C11, Class F, 4.352%, 8/15/46(WAC) 1,720,000 567,600
FRB Ser. 13-C10, Class D, 4.081%, 7/15/46(WAC) 2,538,000 1,159,349
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 526,076 120,997
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,865,057 1,836,801
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class G, 5.244%, 7/15/49(WAC) 795,000 413,041
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 853,000 191,750
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.415%, 11/15/48(WAC) 912,284 27
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.16%, 10/15/44(WAC) 454,842 418,454
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.274%, 7/15/46(WAC) 1,041,000 416,400
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class E, 5.193%, 6/15/44(WAC) 87,000 56,896
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 1,355,000 379,400
Ser. 11-C3, Class E, 5.00%, 3/15/44(WAC) 367,000 208,927
FRB Ser. 13-C15, Class D, 4.49%, 8/15/46(WAC) 673,004 309,813
FRB Ser. 12-C10, Class E, 4.427%, 12/15/45(WAC) 697,000 137,569
13,619,138
Residential mortgage-backed securities (non-agency) (1.5%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.32%, 5/25/47 381,630 209,713
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.48%, 3/25/37 703,900 643,410
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (1 Month US LIBOR + 0.62%), 0.75%, 4/25/35 255,181 219,708
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.13%, 7/25/28 1,226,591 1,386,846
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.13%, 10/25/48 161,000 180,828
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.63%, 3/25/49 63,000 66,015
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.28%, 7/25/49 92,000 95,697
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 5.88%, 7/25/50 95,000 101,900
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 458,000 472,380
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.83%, 12/25/30 82,000 84,157
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.78%, 1/25/49 101,970 102,729
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.58%, 3/25/49 11,147 11,196
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.38%, 9/25/28 2,216,272 2,684,950
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.83%, 4/25/28 886,675 941,565
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.68%, 4/25/28 61,638 64,706
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.13%, 7/25/25 75,498 76,958
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.98%, 10/25/29 265,000 285,633
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%), 4.68%, 2/25/25 37,463 37,803
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.58%, 2/25/30 451,000 470,168
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.13%, 5/25/25 40,193 40,786
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 4.13%, 5/25/25 67,292 68,069
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.73%, 1/25/30 346,000 357,887
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 2.93%, 2/25/30 80,466 81,406
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 94,654 96,537
GSAA Trust FRB Ser. 07-6, Class 1A1, (1 Month US LIBOR + 0.12%), 0.37%, 5/25/47 171,981 130,319
MortgageIT Trust FRB Ser. 04-1, Class M2, (1 Month US LIBOR + 1.01%), 1.135%, 11/25/34 169,958 160,279
Pretium Mortgage Credit Partners, LLC 144A FRB Ser. 20-RPL1, Class A1, 3.819%, 5/27/60 238,716 239,071
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 0.56%, 5/25/46 176,110 156,738
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO10, Class A1, (1 Month US LIBOR + 0.16%), 0.29%, 1/25/37 202,528 191,812
Structured Asset Mortgage Investments II Trust
FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), 0.98%, 5/25/47 147,845 117,687
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 0.31%, 1/25/37 777,858 680,296
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR14, Class 1A2, 2.899%, 12/25/35(WAC) 484,654 475,923
10,933,172
Total mortgage-backed securities (cost $84,355,896) $70,423,473








WARRANTS (1.9%)(a)(NON)
    Expiration date Strike Price Warrants Value
Bank of Shanghai Co., Ltd. (China) 12/30/21 $0.00 749,100 $943,893
Foshan Haitian Flavouring & Food Co., Ltd. 144A (China) 4/12/21 0.00 22,400 686,978
Hundsun Technologies, Inc. 144A (China) 7/29/21 0.00 58,700 886,930
Jiangsu Hengli Hydraulic Co., Ltd. 144A Class A (China) 3/23/22 0.00 41,300 752,774
Kweichow Moutai Co., Ltd. 144A (China) 10/1/21 0.00 6,500 2,139,754
Luenmei Quantum Co., Ltd. 144A Class A (China) 12/2/21 0.00 112,600 169,906
Poly Developments and Holdings Group Co., Ltd. 144A (China) 7/29/21 0.00 580,800 1,247,723
RiseSun Real Estate Development Co., Ltd. 144A Class A (China) 11/2/21 0.00 642,100 627,278
Sany Heavy Industry Co., Ltd. 144A Class A (China) 1/17/22 0.00 392,300 2,469,119
Seazen Holdings Co., Ltd. 144A (China) 5/6/21 0.00 57,300 376,599
Shandong Buchang Pharmaceuticals Co., Ltd. 144A Class A (China) 12/2/21 0.00 113,177 390,849
Shanghai Pudong Development Bank Co., Ltd. (China) 11/10/21 0.00 75,600 117,133
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. (China) 12/10/21 0.00 29,100 2,029,770
Stearns Holdings, LLC Class B(F) 11/5/39 0.01 70,872 120,482
Suofeiya Home Collection Co., Ltd. 144A Class A (China) 6/14/21 0.00 179,700 886,425
Total warrants (cost $11,411,609) $13,845,613








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.3%)(a)
        Principal amount Value
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 2/1/29 (Argentina) $542,411 $347,143
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) (In default)(NON) 275,000 100,612
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) (In default)(NON) 255,000 93,498
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) (In default)(NON) 735,000 269,586
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 2/15/48 (Dominican Republic) 208,000 236,080
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 183,000 215,940
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 303,000 349,586
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 200,000 224,999
Egypt (Arab Republic of) 144A sr. unsec. bonds 7.053%, 1/15/32 (Egypt) 510,000 544,425
Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, 5/29/24 (Egypt) 270,000 290,606
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana) 340,000 354,025
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) 1,005,000 1,146,943
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 348,380
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 1,310,000 1,441,000
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Ivory Coast) EUR 190,000 245,218
Kenya (Republic of) sr. unsec. bonds Ser. REGS, 8.00%, 5/22/32 (Kenya) $280,000 321,647
Mongolia International Bond sr. unsec. unsub. notes Ser. REGS, 5.125%, 12/5/22 (Mongolia) 320,000 330,402
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 1,260,000 1,381,275
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 247,000 262,123
Turkey (Republic of) unsec. notes 10.60%, 2/11/26 (Turkey) TRY 1,644,000 205,804
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) $383,000 380,909
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 815,000 77,425
Total foreign government and agency bonds and notes (cost $9,366,677) $9,167,626








ASSET-BACKED SECURITIES (1.2%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.118%, 7/25/24 $1,011,000 $1,014,539
Mello Warehouse Securitization Trust 144A
FRB Ser. 20-1, Class A, (1 Month US LIBOR + 0.90%), 1.03%, 10/25/53 455,000 455,000
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 0.93%, 11/25/53 274,000 274,000
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 0.93%, 6/25/52 1,450,000 1,449,094
MRA Issuance Trust 144A
FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%), 1.95%, 7/21/21 783,000 789,920
FRB Ser. 20-11, Class A1X, (1 Month US LIBOR + 1.75%), 1.90%, 4/23/21 512,000 514,494
FRB Ser. 20-12, Class A1X, (1 Month US LIBOR + 1.35%), 1.477%, 7/15/21 769,000 770,658
FRB Ser. 21-5, Class A1X, (1 Month US LIBOR + 1.75%), zero %, 7/26/21 512,000 512,000
Station Place Securitization Trust 144A
FRB Ser. 20-13, Class A, (1 Month US LIBOR + 1.50%), 1.63%, 10/10/21 549,000 549,000
FRB Ser. 20-15, Class A, (1 Month US LIBOR + 1.37%), 1.50%, 12/10/21 545,000 545,000
FRB Ser. 20-WL1, Class A, (1 Month US LIBOR + 1.15%), 1.28%, 6/25/51 478,000 478,000
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), 0.955%, 3/26/21 1,228,000 1,228,000
Total asset-backed securities (cost $8,566,000) $8,579,705








CORPORATE BONDS AND NOTES (0.3%)(a)
        Principal amount Value
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) $220,000 $220,328
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 602,000 752,199
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 60,000 68,625
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 127,000 148,590
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 1,809,000 63,315
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 7.69%, 1/23/50 (Mexico) 242,000 228,806
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 130,000 123,354
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 35,000 35,976
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 400,000 427,000
Total corporate bonds and notes (cost $2,530,098) $2,068,193








PURCHASED SWAP OPTIONS OUTSTANDING (—%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Barclays Bank PLC
(0.615)/3 month USD-LIBOR-BBA/Apr-26 (United Kingdom) Apr-21/0.615 $25,774,700 $68,561
Total purchased swap options outstanding (cost $105,676) $68,561








SHORT-TERM INVESTMENTS (62.3%)(a)
        Principal amount/
shares		 Value
ABN AMRO Funding USA, LLC commercial paper 0.200%, 8/2/21 $4,000,000 $3,992,148
Alpine Securitization, LLC asset backed commercial paper 0.210%, 3/9/21 4,250,000 4,249,098
Atlantic Asset Securitization, LLC asset backed commercial paper 0.180%, 5/19/21 4,000,000 3,997,593
Australia & New Zealand Banking Group, Ltd. commercial paper 0.210%, 3/17/21 4,000,000 3,999,425
Barclays Bank PLC CCP asset backed commercial paper 0.160%, 2/12/21 4,000,000 3,999,786
Bedford Row Funding Corp. asset backed commercial paper 0.220%, 3/30/21 4,000,000 3,998,935
BPCE SA commercial paper 0.230%, 3/19/21 4,250,000 4,249,289
Chariot Funding, LLC asset backed commercial paper 0.210%, 2/16/21 4,000,000 3,999,693
CHARTA, LLC asset backed commercial paper 0.170%, 4/19/21 4,000,000 3,998,551
Commonwealth Bank of Australia commercial paper 0.200%, 2/11/21 4,250,000 4,249,848
DNB Bank ASA commercial paper 0.165%, 6/24/21 4,000,000 3,997,567
Fairway Finance Co., LLC asset backed commercial paper 0.200%, 2/8/21 4,000,000 3,999,848
Federal Home Loan Banks discount notes commercial paper 0.088%, 2/24/21 5,000,000 4,999,872
Federal Home Loan Banks discount notes commercial paper 0.090%, 6/18/21 4,000,000 3,998,782
FMS Wertmanagement commercial paper 0.220%, 3/26/21 4,000,000 3,999,241
Interest in $377,326,000 joint tri-party repurchase agreement dated 1/29/2021 with Citigroup Global Markets, Inc. due 2/1/2021 - maturity value of $29,295,146 for an effective yield of 0.060% (collateralized by various mortgage backed securities with coupon rates ranging from 2.000% to 5.000% and due dates ranging from 6/1/2050 to 9/1/2050, valued at $384,890,117) 29,295,000 29,295,000
Liberty Street Funding, LLC asset backed commercial paper 0.180%, 2/5/21 4,000,000 3,999,900
Lloyds Bank PLC commercial paper 0.250%, 3/29/21 4,000,000 3,998,957
Matchpoint Finance PLC asset backed commercial paper 0.210%, 3/2/21 4,250,000 4,249,391
Mitsubishi UFJ Trust & Banking Corp. commercial paper 0.120%, 2/9/21 4,000,000 3,999,872
Nationwide Building Society commercial paper 0.170%, 3/4/21 4,000,000 3,999,468
NRW.Bank commercial paper 0.140%, 4/26/21 4,000,000 3,998,464
Old Line Funding, LLC asset backed commercial paper 0.250%, 3/29/21 5,000,000 4,998,690
Putnam Cash Collateral Pool, LLC 0.15%(AFF) Shares 51,484,885 51,484,885
Putnam Short Term Investment Fund Class P 0.13%(AFF) Shares 178,522,475 178,522,475
Skandinaviska Enskilda Banken AB commercial paper 0.200%, 2/18/21 $5,000,000 4,999,722
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 1,545,000 1,545,000
Sumitomo Mitsui Trust BankLtd./Singapore commercial paper 0.200%, 2/3/21 $5,000,000 4,999,937
Swedbank AB commercial paper 0.150%, 3/8/21 4,000,000 3,999,641
Total Capital Canada, Ltd. commercial paper 0.180%, 4/6/21 4,000,000 3,998,943
U.S. Treasury Bills 0.085%, 2/16/21(SEG)(SEGSF)(SEGCCS) 15,700,000 15,699,689
U.S. Treasury Bills 0.078%, 5/13/21(SEGSF)(SEGCCS) 5,500,000 5,498,843
U.S. Treasury Bills 0.085%, 3/4/21(SEG)(SEGSF)(SEGCCS) 9,100,000 9,099,570
U.S. Treasury Bills 0.078%, 3/25/21(SEG)(SEGSF)(SEGCCS) 9,500,000 9,499,176
U.S. Treasury Bills 0.089%, 2/23/21(SEG)(SEGSF)(SEGCCS) 17,900,000 17,899,507
U.S. Treasury Bills 0.079%, 3/18/21(SEGSF) 1,800,000 1,799,860
U.S. Treasury Cash Management Bills 0.088%, 5/11/21(SEG)(SEGSF)(SEGCCS) 5,000,000 4,999,313
U.S. Treasury Cash Management Bills 0.079%, 5/25/21(SEG)(SEGSF)(SEGCCS) 10,800,000 10,797,626
UBS AG/London commercial paper 0.150%, 3/15/21 4,000,000 3,999,151
Westpac Banking Corp./New York, NY commercial paper 0.180%, 3/3/21 4,000,000 3,999,516
Total short-term investments (cost $453,110,242) $453,112,272
TOTAL INVESTMENTS
Total investments (cost $1,043,101,675) $1,081,045,556








FORWARD CURRENCY CONTRACTS at 1/31/21 (aggregate face value $509,293,695) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Sell 4/21/21 $227,235 $231,456 $4,221
Canadian Dollar Sell 4/21/21 2,783,555 2,807,744 24,189
Chinese Yuan (Offshore) Buy 2/18/21 1,212,464 1,207,665 4,799
Chinese Yuan (Offshore) Sell 2/18/21 1,212,464 1,173,177 (39,287)
Euro Buy 3/17/21 10,705,112 10,737,070 (31,958)
Hong Kong Dollar Sell 2/17/21 3,024,862 3,024,750 (112)
Japanese Yen Buy 2/17/21 642,816 685,565 (42,749)
New Zealand Dollar Sell 4/21/21 856,865 865,468 8,603
Swedish Krona Buy 3/17/21 4,124,292 4,118,469 5,823
Barclays Bank PLC
British Pound Buy 3/17/21 2,182,060 2,151,421 30,639
Canadian Dollar Sell 4/21/21 1,615,665 1,630,064 14,399
Euro Sell 3/17/21 7,918,812 7,939,508 20,696
Japanese Yen Buy 2/17/21 3,857,029 3,865,222 (8,193)
New Zealand Dollar Buy 4/21/21 383,951 387,832 (3,881)
Swedish Krona Sell 3/17/21 2,816,918 2,810,421 (6,497)
Citibank, N.A.
Australian Dollar Sell 4/21/21 1,836,153 1,870,264 34,111
British Pound Sell 3/17/21 2,919,373 2,885,151 (34,222)
Canadian Dollar Buy 4/21/21 3,034,543 3,061,590 (27,047)
Euro Sell 3/17/21 4,963,910 4,973,042 9,132
Hong Kong Dollar Buy 2/17/21 617,305 617,320 (15)
Japanese Yen Sell 2/17/21 1,358,932 1,369,300 10,368
New Zealand Dollar Sell 4/21/21 1,705,681 1,750,669 44,988
Swedish Krona Sell 3/17/21 1,321,945 1,318,727 (3,218)
Swiss Franc Sell 3/17/21 36,869 37,054 185
Credit Suisse International
Australian Dollar Buy 4/21/21 2,240,542 2,282,254 (41,712)
British Pound Sell 3/17/21 3,699,032 3,649,383 (49,649)
Canadian Dollar Sell 4/21/21 881,314 889,085 7,771
Euro Sell 3/17/21 669,427 682,840 13,413
New Zealand Dollar Buy 4/21/21 769,986 777,850 (7,864)
Swiss Franc Sell 3/17/21 2,196,851 2,202,419 5,568
Goldman Sachs International
Australian Dollar Buy 4/21/21 10,744,418 10,945,542 (201,124)
British Pound Buy 3/17/21 997,153 964,427 32,726
Canadian Dollar Buy 4/21/21 7,409,751 7,465,084 (55,333)
Chinese Yuan (Offshore) Buy 2/18/21 6,809,676 6,654,863 154,813
Chinese Yuan (Offshore) Sell 2/18/21 6,809,676 6,781,142 (28,534)
Euro Sell 3/17/21 1,288,928 1,292,155 3,227
Hong Kong Dollar Buy 2/17/21 655,973 656,034 (61)
Japanese Yen Sell 2/17/21 3,236,146 3,246,229 10,083
New Taiwan Dollar Buy 2/17/21 2,837,809 2,837,008 801
New Taiwan Dollar Sell 2/17/21 2,837,809 2,800,806 (37,003)
New Zealand Dollar Sell 4/21/21 11,848,869 11,967,169 118,300
Norwegian Krone Buy 3/17/21 6,224,574 6,215,149 9,425
Swedish Krona Buy 3/17/21 2,047,725 1,937,150 110,575
Swiss Franc Sell 3/17/21 5,605,544 5,623,086 17,542
HSBC Bank USA, National Association
Australian Dollar Buy 4/21/21 1,256,750 1,280,064 (23,314)
British Pound Buy 3/17/21 2,078,179 2,028,913 49,266
Canadian Dollar Buy 4/21/21 97,142 97,981 (839)
Chinese Yuan (Offshore) Buy 2/18/21 5,706,583 5,683,894 22,689
Chinese Yuan (Offshore) Sell 2/18/21 5,706,583 5,546,567 (160,016)
Euro Buy 3/17/21 8,068,707 8,090,588 (21,881)
Hong Kong Dollar Sell 2/17/21 2,224,691 2,224,229 (462)
Indian Rupee Buy 2/17/21 2,252,348 2,209,672 42,676
Indian Rupee Sell 2/17/21 2,252,348 2,185,306 (67,042)
Japanese Yen Buy 2/17/21 4,376,884 4,380,890 (4,006)
New Zealand Dollar Sell 4/21/21 1,508,497 1,523,620 15,123
Norwegian Krone Buy 3/17/21 984,886 969,693 15,193
South Korean Won Buy 2/17/21 2,477,990 2,391,249 86,741
South Korean Won Sell 2/17/21 2,477,990 2,501,627 23,637
Swedish Krona Sell 3/17/21 615,117 613,735 (1,382)
Swiss Franc Sell 3/17/21 3,655,648 3,655,687 39
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/21/21 5,274,498 5,356,211 (81,713)
British Pound Buy 3/17/21 1,301,123 1,289,335 11,788
Canadian Dollar Sell 4/21/21 7,948,645 8,013,229 64,584
Chinese Yuan (Offshore) Buy 2/18/21 1,206,407 1,159,488 46,919
Chinese Yuan (Offshore) Sell 2/18/21 1,206,407 1,154,791 (51,616)
Euro Sell 3/17/21 13,142,426 13,169,477 27,051
Indian Rupee Buy 2/17/21 2,252,348 2,208,782 43,566
Indian Rupee Sell 2/17/21 2,252,348 2,187,041 (65,307)
Japanese Yen Sell 2/17/21 443,813 441,449 (2,364)
New Taiwan Dollar Buy 2/17/21 2,454,712 2,455,012 (300)
New Taiwan Dollar Sell 2/17/21 2,454,712 2,438,138 (16,574)
New Zealand Dollar Sell 4/21/21 4,125,083 4,167,307 42,224
Norwegian Krone Buy 3/17/21 5,194,685 5,222,726 (28,041)
South Korean Won Buy 2/17/21 2,837,058 2,746,444 90,614
South Korean Won Sell 2/17/21 2,837,058 2,859,498 22,440
Swedish Krona Sell 3/17/21 809,038 812,958 3,920
Swiss Franc Buy 3/17/21 2,620,282 2,639,965 (19,683)
Morgan Stanley & Co. International PLC
Australian Dollar Buy 4/21/21 8,043,365 8,196,544 (153,179)
British Pound Buy 3/17/21 5,421,574 5,308,812 112,762
Canadian Dollar Buy 4/21/21 4,769,249 4,805,912 (36,663)
Euro Buy 3/17/21 2,415,328 2,415,481 (153)
Japanese Yen Buy 2/17/21 7,695,992 7,731,971 (35,979)
New Zealand Dollar Buy 4/21/21 7,217,098 7,277,776 (60,678)
Norwegian Krone Sell 3/17/21 756,669 766,926 10,257
Swedish Krona Buy 3/17/21 5,276,752 5,231,730 45,022
Swiss Franc Sell 3/17/21 2,799,344 2,818,202 18,858
NatWest Markets PLC
Australian Dollar Buy 4/21/21 9,081,673 9,263,729 (182,056)
British Pound Buy 3/17/21 4,671,928 4,580,486 91,442
Canadian Dollar Sell 4/21/21 1,650,783 1,644,370 (6,413)
Euro Buy 3/17/21 3,464,959 3,478,203 (13,244)
Japanese Yen Buy 2/17/21 2,320,737 2,305,476 15,261
New Zealand Dollar Sell 4/21/21 10,125,079 10,230,535 105,456
Norwegian Krone Sell 3/17/21 1,377,299 1,338,681 (38,618)
Swedish Krona Sell 3/17/21 1,948,855 1,942,608 (6,247)
Swiss Franc Sell 3/17/21 1,443,060 1,450,130 7,070
State Street Bank and Trust Co.
Australian Dollar Buy 4/21/21 2,559,374 2,606,774 (47,400)
Australian Dollar Sell 4/21/21 2,570,920 2,586,156 15,236
British Pound Sell 3/17/21 14,221,902 14,128,604 (93,298)
Canadian Dollar Sell 4/21/21 14,882,151 14,952,658 70,507
Euro Sell 3/17/21 12,842,514 12,870,926 28,412
Hong Kong Dollar Sell 2/17/21 10,475,787 10,475,404 (383)
Japanese Yen Sell 2/17/21 16,544,340 16,693,585 149,245
New Zealand Dollar Sell 4/21/21 684,615 652,645 (31,970)
Norwegian Krone Sell 3/17/21 654,264 645,573 (8,691)
Swedish Krona Buy 3/17/21 3,283,539 3,297,190 (13,651)
Swiss Franc Sell 3/17/21 3,531,777 3,553,063 21,286
Toronto-Dominion Bank
Australian Dollar Buy 4/21/21 2,303,850 2,346,951 (43,101)
British Pound Sell 3/17/21 299,173 294,199 (4,974)
Canadian Dollar Sell 4/21/21 3,719,541 3,751,479 31,938
Euro Sell 3/17/21 10,133,348 10,147,671 14,323
Hong Kong Dollar Sell 2/17/21 1,512,444 1,512,472 28
Japanese Yen Buy 2/17/21 5,583,317 5,601,430 (18,113)
New Zealand Dollar Sell 4/21/21 582,430 588,310 5,880
Norwegian Krone Buy 3/17/21 4,007,639 3,967,935 39,704
Swedish Krona Sell 3/17/21 624,037 622,589 (1,448)
Swiss Franc Sell 3/17/21 3,145,215 3,153,379 8,164
UBS AG
Australian Dollar Buy 3/15/21 3,290,640 3,084,496 206,144
Australian Dollar Sell 3/15/21 3,290,640 3,106,426 (184,214)
Australian Dollar Sell 4/21/21 3,412,958 3,475,952 62,994
British Pound Sell 3/17/21 2,988,718 2,939,413 (49,305)
Canadian Dollar Buy 4/21/21 1,937,046 1,962,452 (25,406)
Euro Buy 3/17/21 12,325,534 12,368,859 (43,325)
Hong Kong Dollar Sell 2/17/21 1,638,121 1,638,124 3
Japanese Yen Buy 2/17/21 9,646,093 9,673,088 (26,995)
New Zealand Dollar Sell 4/21/21 9,392,173 9,478,952 86,779
Norwegian Krone Buy 3/17/21 5,230,408 5,264,647 (34,239)
Swedish Krona Buy 3/17/21 751,175 682,526 68,649
Swiss Franc Buy 3/17/21 1,297,383 1,307,576 (10,193)
WestPac Banking Corp.
Australian Dollar Buy 4/21/21 2,709,080 2,748,881 (39,801)
British Pound Sell 3/17/21 2,119,019 2,135,793 16,774
Canadian Dollar Buy 4/21/21 823,515 834,790 (11,275)
Chinese Yuan (Offshore) Buy 2/18/21 1,206,391 1,159,402 46,989
Chinese Yuan (Offshore) Sell 2/18/21 1,206,391 1,154,684 (51,707)
Euro Sell 3/17/21 1,316,381 1,328,470 12,089
Japanese Yen Sell 2/17/21 920,748 922,707 1,959
New Zealand Dollar Sell 4/21/21 3,658,564 3,695,702 37,138
Unrealized appreciation 2,635,236
Unrealized (depreciation) (2,435,718)
Total $199,518
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 1/31/21 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
MSCI EAFE Index (Short) 81 $8,602,382 $8,567,775 Mar-21 $(83,908)
S&P 500 Index E-Mini (Long) 766 142,255,392 141,909,160 Mar-21 (2,712,076)
U.S. Treasury Note 2 yr (Short) 1,387 306,494,491 306,494,491 Mar-21 (295,692)
U.S. Treasury Note 10 yr (Long) 4,234 580,190,313 580,190,313 Mar-21 (3,770,611)
U.S. Treasury Note Ultra 10 yr (Long) 595 91,527,734 91,527,734 Mar-21 (840,683)
Unrealized appreciation —
Unrealized (depreciation) (7,702,970)
Total $(7,702,970)








WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/21 (premiums $105,104) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Barclays Bank PLC
(0.615)/3 month USD-LIBOR-BBA/Apr-26 Apr-21/0.615 $25,774,700 $106,965
Total $106,965








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/21 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 $479,600 $(62,468) $22,316
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 359,700 (8,138) 1,360
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 479,600 (62,468) (26,963)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 359,700 (169,122) (105,676)
Goldman Sachs International
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 166,600 (21,033) 10,764
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 166,600 (21,033) (13,211)
JPMorgan Chase Bank N.A.
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 833,400 (116,363) 126,602
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 833,400 (116,363) (110,860)
Unrealized appreciation 161,042
Unrealized (depreciation) (256,710)
Total $(95,668)








TBA SALE COMMITMENTS OUTSTANDING at 1/31/21 (proceeds receivable $114,323,164) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 3.50%, 2/1/51 $59,000,000 2/11/21 $62,678,284
Uniform Mortgage-Backed Securities, 2.00%, 2/1/51 19,000,000 2/11/21 19,599,688
Uniform Mortgage-Backed Securities, 1.50%, 3/1/51 16,000,000 3/11/21 16,028,125
Uniform Mortgage-Backed Securities, 1.50%, 2/1/51 16,000,000 2/11/21 16,050,000
Total $114,356,097










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/21 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$391,400 $39,937 $(6) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly $(41,087)
470,500 17,651 (E) (5) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 17,646
39,300 5,898 (E) (1) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (5,900)
835,100 90,257 (E) (28) 1/27/47 3 month USD-LIBOR-BBA — Quarterly 1.27% — Semiannually (90,285)
70,500 7,236 (E) (2) 3/7/50 1.275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 7,234
25,774,700 148,617 (91,938) 1/15/26 0.418% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 54,827
146,000 16,522 381 10/16/50 3 month USD-LIBOR-BBA — Quarterly 1.16% — Semiannually (15,659)
93,370,000 113,445 (E) (88,290) 3/17/23 3 month USD-LIBOR-BBA — Quarterly 0.25% — Semiannually 25,154
9,458,000 54,998 (E) (15,181) 3/17/26 0.45% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 39,817
15,528,000 379,520 (E) (117,296) 3/17/31 0.90% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 262,225
2,998,000 279,420 (E) 144,648 3/17/51 3 month USD-LIBOR-BBA — Quarterly 1.25% — Semiannually (134,772)
21,238,000 458,911 (E) (3,919) 3/17/31 0.700% — Annually Secured Overnight Financing Rate — Annually 454,992
1,266,000 23,772 (17) 1/6/31 3 month USD-LIBOR-BBA — Quarterly 0.9305% — Semiannually (23,187)
1,098,000 45 (4) 1/7/23 3 month USD-LIBOR-BBA — Quarterly 0.188% — Semiannually (2)
2,400,000 43,978 (32) 1/7/31 3 month USD-LIBOR-BBA — Quarterly 0.9355% — Semiannually (42,907)
999,000 376 (4) 1/8/23 3 month USD-LIBOR-BBA — Quarterly 0.205% — Semiannually 347
2,480,000 23,473 (33) 1/8/31 3 month USD-LIBOR-BBA — Quarterly 1.0275% — Semiannually (22,265)
1,791,000 11,695 (24) 1/11/31 1.059% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 10,853
861,000 492 (3) 1/11/23 3 month USD-LIBOR-BBA — Quarterly 0.2145% — Semiannually 479
2,611,000 14,274 (35) 1/11/31 3 month USD-LIBOR-BBA — Quarterly 1.070% — Semiannually (13,099)
1,608,000 917 (6) 1/13/23 3 month USD-LIBOR-BBA — Quarterly 0.2145% — Semiannually 892
1,905,000 1,642 (25) 1/13/31 3 month USD-LIBOR-BBA — Quarterly 1.1355% — Semiannually 2,473
2,638,000 12,211 (35) 1/14/31 1.1749% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (13,402)
1,541,000 1,248 (6) 1/14/23 3 month USD-LIBOR-BBA — Quarterly 0.228% — Semiannually 1,228
2,002,000 8,901 (27) 1/14/31 3 month USD-LIBOR-BBA — Quarterly 1.173% — Semiannually 9,749
25,774,700 38,275 (E) (243) 4/15/26 3 month USD-LIBOR-BBA — Quarterly 0.615% — Semiannually 38,032
2,294,000 1,615 (9) 1/15/23 3 month USD-LIBOR-BBA — Quarterly 0.2235% — Semiannually 1,573
3,062,000 2,633 (41) 1/15/31 3 month USD-LIBOR-BBA — Quarterly 1.185% — Semiannually (1,501)
1,912,000 1,233 (7) 1/15/23 3 month USD-LIBOR-BBA — Quarterly 0.2205% — Semiannually 1,196
2,552,000 6,980 (34) 1/15/31 3 month USD-LIBOR-BBA — Quarterly 1.0991% — Semiannually (6,058)
AUD 4,346,000 87,071 (E) 27,227 3/17/31 6 month AUD-BBR-BBSW — Semiannually 0.90% — Semiannually (59,844)
CAD 6,424,000 97,228 (E) 76,465 3/17/31 3 month CAD-BA-CDOR — Semiannually 1.20% — Semiannually (20,763)
CHF 4,220,000 57,277 (E) (40,221) 3/17/31 — 0.33% plus 6 month CHF-LIBOR-BBA — Semiannually 17,056
EUR 11,152,000 172,985 (E) (150,979) 3/17/31 — 0.30% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 22,005
GBP 3,864,000 91,903 (E) 5,908 3/17/31 Sterling Overnight Index Average — Annually 0.12% — Annually (85,995)
NOK 25,248,000 54,428 (E) (1,534) 3/17/31 6 month NOK-NIBOR-NIBR — Semiannually 1.20% — Annually (55,962)
NZD 2,954,000 62,772 (E) 2,796 3/17/31 3 month NZD-BBR-FRA — Quarterly 0.90% — Semiannually (59,975)
SEK 63,315,000 115,275 (E) (23,658) 3/17/31 0.300% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 91,617
Total $(276,218) $366,732
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/21 (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.
$171,500,028 $169,442,368 $— 6/20/23 (3 month USD-LIBOR-BBA plus 0.10%) — Quarterly A basket (MLFCF15) of common stocks — Quarterly* $(1,992,904)
171,494,166 167,701,813 — 6/20/23 3 month USD-LIBOR-BBA minus 0.07% — Quarterly Russell 1000 Total Return Index — Quarterly 3,807,147
Barclays Bank PLC
1,819,367 1,824,333 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 8,370
292,206 293,004 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 1,344
110,349 110,650 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 508
9,952,737 9,970,408 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 39,929
1,397,496 1,397,496 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 3,149
720,548 721,879 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (3,207)
12,274,276 12,292,977 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (52,056)
94,925 91,501 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,203
33,772 33,491 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 154
100,024 101,257 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 2,516
5,012 5,074 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 126
Citibank, N.A.
570,608 576,464 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly ACI Worldwide, Inc. — Monthly (5,943)
4,360,524 4,137,740 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Advance Auto Parts Inc. — Monthly 222,120
2,096,834 2,814,523 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Axon Enterprise, Inc. — Monthly (718,009)
276,124 393,519 — 7/5/22 1 month USD-LIBOR-BBA minus 1.85% — Monthly B&G Foods, Inc. — Monthly (123,189)
2,339,475 2,734,034 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Bausch Health Cos, Inc. — Monthly (394,346)
498,103 703,594 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Beyond Meat Inc. — Monthly (205,654)
663,247 706,837 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Bruker Corp — Monthly (43,306)
658,667 821,178 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Century Link, Inc. — Monthly (155,358)
4,334,953 4,527,874 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Citrix Systems, Inc. — Monthly (182,950)
828,116 816,701 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Columbia Sportswear Co — Monthly 11,314
812,487 908,687 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Dycom Industries, Inc. — Monthly (96,323)
133,433 181,881 — 7/5/22 1 month USD-LIBOR-BBA minus 1.25% — Monthly Ebix, Inc. — Monthly (48,200)
1,904,789 1,807,059 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Elanco Animal Health, Inc. — Monthly 97,440
1,003,937 887,441 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Everbridge, Inc. — Monthly 116,343
960,860 1,033,738 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly First Solar Inc. — Monthly (73,024)
2,279,008 2,254,128 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Horizon Therapeutics, PLC — Monthly 24,533
3,775,618 4,294,677 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Illumina, Inc. — Monthly (519,634)
332,983 393,171 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Medallia Inc. — Monthly (60,229)
987,335 1,032,286 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Middleby Corp — Monthly (45,102)
1,380,608 1,459,487 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Oshkosh Corp. — Monthly (79,088)
290,879 280,502 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly OSI systems Inc. — Monthly 10,332
375,508 397,996 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Patterson Companies, Inc. — Monthly (25,811)
1,339,293 1,275,663 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Perrigo Co PLC — Monthly 63,468
352,191 683,499 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Plug Power, Inc. — Monthly (331,362)
577,442 632,640 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Prestige Brands Holdings, Inc. — Monthly (55,286)
363,708 444,350 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Qualys, Inc. — Monthly (80,698)
3,113,136 3,024,831 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Ralph Lauren Corp. — Monthly 87,832
935,706 992,076 — 7/5/22 1 month USD-LIBOR-BBA minus 0.65% — Monthly Restoration Hardware Holdings, Inc. — Monthly (56,285)
1,331,066 1,297,207 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Skechers USA, Inc.-Cl A — Monthly 33,657
134,358 156,518 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Solarwinds, Corp. — Monthly (22,181)
1,043,274 995,153 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Store Capital Corp. — Monthly 24,864
842,304 793,812 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly SVMK, Inc. — Monthly 48,363
625,998 627,110 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,511
300,709 301,243 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,206
2,949,261 3,183,642 — 7/5/22 1 month USD-LIBOR-BBA minus 1.30% — Monthly Tesla, Inc. — Monthly (234,830)
438,739 453,579 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly TPI Composites, Inc. — Monthly (14,906)
1,094,046 1,212,793 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Vertiv Holdings Co — Monthly (118,727)
2,815,583 2,840,462 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly WABTEC, Corp. — Monthly (25,308)
336,306 392,993 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly WD-40 Co. — Monthly (57,604)
514,463 479,545 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly WSFS Financial Corp. — Monthly 34,855
171,415 229,272 — 7/5/22 1 month USD-LIBOR-BBA minus 3.25% — Monthly Zynex, Inc. — Monthly (58,020)
Credit Suisse International
52,926,858 53,892,191 — 11/2/21 1 month USD-LIBOR-BBA minus 0.35% — Monthly MSCI Emerging Markets TR Net USD — Monthly (973,370)
433,142 433,911 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,738
151,136 145,686 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (3,509)
96,210 92,740 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,233)
37,891 36,525 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (880)
7,214 6,954 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (167)
355,801 346,637 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,805)
88,796 86,509 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (950)
54,519 53,531 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (207)
5,602 5,500 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (21)
69,974 68,706 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 265
Goldman Sachs International
25,031,710 24,674,973 — 12/15/25 (1 month USD-LIBOR-BBA plus 0.35%) — Monthly A basket (GSGLPHCL) of common stocks — Monthly* (357,750)
193,976,585 187,280,031 — 12/15/25 (1 month USD-LIBOR-BBA plus 0.50%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* (6,592,978)
191,105,814 188,109,988 — 12/15/25 1 month USD-LIBOR-BBA minus 0.15% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* 2,957,914
33,716,679 33,898,129 — 12/15/25 (0.20%) — Monthly Goldman Sachs Cross Asset Trend Series 27 Excess Return Strategy — Monthly††† 179,202
9,155,224 8,936,019 — 12/15/25 (0.45%) — Monthly Goldman Sachs Volatility Carry US Enhanced 3x Excess Return Strategy — Monthly†† (220,579)
29,606,247 28,923,400 — 12/15/25 (0.45%) — Monthly Goldman Sachs Volatility Carry US Series 85 Excess Return Strategy — Monthly†† (687,289)
6,411,773 6,501,461 — 12/15/25 (0.30%) — Monthly Goldman Sachs Volatility of Volatility Carry Excess Return Strategy — Monthly† 89,047
17,227,316 17,809,953 — 12/15/25 (0.30%) — Monthly Goldman Sachs Volatility of Volatility Carry Series 69 Excess Return Strategy — Monthly† 580,914
806,837 782,213 — 12/15/25 1 month USD-LIBOR-BBA minus 0.35% — Monthly Open Text Corp. — Monthly 28,713
3,704,059 4,047,470 — 12/15/25 1 month USD-LIBOR-BBA minus 0.35% — Monthly Seagate Technology PLC — Monthly (302,087)
172,566 169,612 — 12/15/25 1 month USD-LIBOR-BBA minus 0.50% — Monthly Sillajen Inc. — Monthly 2,933
286,090 286,598 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,148
42,830 42,895 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (182)
114,189 114,363 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (484)
238,888 239,252 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,013)
635,900 636,869 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,697)
871,094 872,421 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (3,694)
214,696 208,994 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 2,828
197,527 190,403 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 4,586
232,311 226,328 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,485)
9,853 9,674 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (37)
281,411 279,075 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 1,286
204,173 202,478 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 933
109,061 108,156 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 498
593 588 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 3
175,030 177,188 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 4,403
139,584 141,305 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 3,511
127,366 128,936 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 3,203
98,260 99,472 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 2,471
4,254 4,307 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 107
JPMorgan Chase Bank N.A.
58,801,341 57,809,604 — 1/27/22 (1 month USD-LIBOR-BBA plus 0.35%) — Monthly A basket (JPCMPTFL) of common stocks — Monthly* (994,071)
JPMorgan Securities LLC
105,057 102,674 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (927)
105,057 102,674 — 1/12/44 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 927
181,278 176,609 — 1/12/45 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,939
495,631 482,865 — 1/12/45 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,302
UBS AG
268,399,074 258,311,083 — 5/22/23 (1 month USD-LIBOR-BBA plus 0.35%) — Monthly A basket (UBSPUSER) of common stocks — Monthly* (9,995,572)
52,926,228 53,891,549 — 11/2/21 1 month USD-LIBOR-BBA minus 0.25% — Monthly MSCI Emerging Markets TR Net USD — Monthly (969,536)
268,499,802 258,880,761 — 5/22/23 1 month USD-LIBOR-BBA plus 0.20% — Monthly S&P 500 Total Return 4 Jan 1988 Index — Monthly 9,633,573
Upfront premium received — Unrealized appreciation 18,151,728
Upfront premium (paid) — Unrealized (depreciation) (26,996,063)
Total $— Total $(8,844,335)
† Replicates exposure to the difference between the implied and the realized volatility risk premium in the CBOE Volatility Index option market, with a delta hedge overlay.
†† Replicates exposure to the difference between the implied and the realized volatility risk premium on the S&P500 Index, with a delta hedge overlay.
††† Provides synthetic exposure to assets in several asset classes (equity, credit, foreign exchange and interest rates). The Strategy is calculated on an "excess return" basis and does not include any synthetic interest rate return on a notional cash amount.
* 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 87,300 $11,520,135 6.80%
Amazon.com, Inc. Consumer cyclicals 2,560 8,209,268 4.84%
Alphabet, Inc. Class A Technology 4,257 7,779,284 4.59%
Microsoft Corp. Technology 23,736 5,505,805 3.25%
JPMorgan Chase & Co. Financials 32,004 4,117,907 2.43%
NVIDIA Corp. Technology 7,795 4,050,174 2.39%
Qualcomm, Inc. Technology 21,838 3,412,850 2.01%
Procter & Gamble Co. (The) Consumer staples 24,701 3,166,955 1.87%
Verizon Communications, Inc. Communication services 55,149 3,019,413 1.78%
Adobe, Inc. Technology 6,513 2,987,928 1.76%
Intuit, Inc. Technology 7,602 2,746,115 1.62%
Ford Motor Co. Consumer cyclicals 249,076 2,622,771 1.55%
Eli Lilly and Co. Health care 12,436 2,586,416 1.53%
Citigroup, Inc. Financials 39,643 2,298,876 1.36%
Cisco Systems, Inc. Technology 51,347 2,289,028 1.35%
Lockheed Martin Corp. Capital goods 6,896 2,219,313 1.31%
Johnson & Johnson Health care 13,430 2,190,769 1.29%
Medtronic PLC Health care 19,479 2,168,585 1.28%
eBay, Inc. Technology 32,079 1,812,760 1.07%
Honeywell International, Inc. Capital goods 9,174 1,792,381 1.06%
PepsiCo, Inc. Consumer staples 12,885 1,759,702 1.04%
Abbott Laboratories Health care 13,893 1,717,061 1.01%
Autodesk, Inc. Technology 6,090 1,689,493 1.00%
Pinterest, Inc. Class A Technology 24,095 1,650,752 0.97%
MetLife, Inc. Financials 34,077 1,640,831 0.97%
Comcast Corp. Class A Communication services 32,606 1,616,262 0.95%
McDonald's Corp. Consumer staples 7,360 1,529,774 0.90%
Merck & Co., Inc. Health care 19,055 1,468,536 0.87%
Veeva Systems, Inc. Class A Technology 5,243 1,449,366 0.86%
Activision Blizzard, Inc. Technology 15,124 1,376,271 0.81%
Southern Co. (The) Utilities and power 22,402 1,319,926 0.78%
Morgan Stanley Financials 19,479 1,306,060 0.77%
Edwards Lifesciences Corp. Health care 15,647 1,292,155 0.76%
Cummins, Inc. Capital goods 5,202 1,219,563 0.72%
Best Buy Co., Inc. Consumer cyclicals 10,969 1,193,700 0.70%
Fastly, Inc. Class A Technology 10,207 1,116,101 0.66%
Fortinet, Inc. Technology 7,703 1,115,019 0.66%
Target Corp. Consumer cyclicals 6,089 1,103,179 0.65%
Moderna, Inc. Health care 6,314 1,093,341 0.65%
Coca-Cola Co. (The) Consumer staples 22,649 1,090,531 0.64%
Simon Property Group, Inc. Financials 11,585 1,076,577 0.64%
Altria Group, Inc. Consumer staples 25,850 1,061,933 0.63%
Halliburton Co. Energy 59,326 1,045,914 0.62%
Humana, Inc. Health care 2,683 1,027,937 0.61%
PayPal Holdings, Inc. Consumer cyclicals 4,160 974,683 0.58%
Cadence Design Systems, Inc. Technology 7,441 970,198 0.57%
BigCommerce Holdings, Inc. Ser. 1 Technology 12,085 966,051 0.57%
Exelon Corp. Utilities and power 22,503 935,222 0.55%
Rockwell Automation, Inc. Technology 3,731 927,177 0.55%
Synchrony Financial Financials 27,221 915,995 0.54%








A BASKET (GSGLPHCL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
PerkinElmer, Inc. Health care 7,544 $1,109,564 4.50%
Mettler-Toledo International, Inc. Health care 938 1,095,530 4.44%
Merck KGaA (Germany) Health care 6,439 1,077,239 4.37%
Thermo Fisher Scientific, Inc. Health care 2,097 1,069,045 4.33%
Waters Corp. Health care 4,033 1,067,424 4.33%
Agilent Technologies, Inc. Technology 8,383 1,007,358 4.08%
IQVIA Holdings, Inc. Health care 5,339 949,321 3.85%
Illumina, Inc. Health care 2,039 869,646 3.52%
Zoetis, Inc. Health care 5,419 835,878 3.39%
Pfizer, Inc. Health care 22,838 819,895 3.32%
Alexion Pharmaceuticals, Inc. Health care 5,176 793,708 3.22%
Ipsen SA (France) Health care 8,960 784,303 3.18%
Merck & Co., Inc. Health care 9,704 747,922 3.03%
Johnson & Johnson Health care 4,484 731,424 2.96%
Viatris, Inc. Health care 42,967 730,017 2.96%
GlaxoSmithKline PLC (United Kingdom) Health care 35,689 665,046 2.70%
AbbVie, Inc. Health care 6,028 617,754 2.50%
Sanofi (France) Health care 6,441 603,696 2.45%
Perrigo Co. PLC Health care 13,223 564,621 2.29%
Sumitomo Dainippon Pharma Co., Ltd. (Japan) Health care 34,612 561,033 2.27%
Bayer AG (Germany) Health care 9,096 551,584 2.24%
Taisho Pharmaceutical Holdings Co., Ltd. (Japan) Health care 8,294 541,062 2.19%
Biogen, Inc. Health care 1,835 518,676 2.10%
Sartorius Stedim Biotech (France) Health care 1,217 510,081 2.07%
Bristol-Myers Squibb Co. Health care 7,853 482,437 1.96%
Teva Pharmaceutical Industries, Ltd. ADR (Israel) Health care 40,737 479,879 1.94%
AstraZeneca PLC (United Kingdom) Health care 4,336 446,064 1.81%
CSL, Ltd. (Australia) Health care 2,110 439,918 1.78%
Amgen, Inc. Health care 1,668 402,799 1.63%
Gilead Sciences, Inc. Health care 5,780 379,151 1.54%
Eli Lilly and Co. Health care 1,622 337,332 1.37%
Hisamitsu Pharmaceutical Co., Inc. (Japan) Health care 5,618 335,914 1.36%
Galenica AG (Switzerland) Health care 2,357 321,074 1.30%
Takeda Pharmaceutical Co., Ltd. (Japan) Health care 7,982 281,955 1.14%
Galapagos NV (Belgium) Health care 2,569 268,542 1.09%
Eisai Co., Ltd. (Japan) Health care 3,219 234,972 0.95%
Shionogi & Co., Ltd. (Japan) Health care 3,829 207,715 0.84%
Hikma Pharmaceuticals PLC (United Kingdom) Health care 5,828 192,006 0.78%
H Lundbeck A/S (Denmark) Health care 4,953 177,358 0.72%
Astellas Pharma, Inc. (Japan) Health care 9,343 151,036 0.61%
UCB SA (Belgium) Health care 1,263 131,245 0.53%
Incyte Corp. Health care 1,350 121,198 0.49%
Grifols SA (Spain) Health care 3,675 108,490 0.44%
Eurofins Scientific (Luxembourg) Health care 1,005 96,637 0.39%
Regeneron Pharmaceuticals, Inc. Health care 129 64,826 0.26%
Novartis AG (Switzerland) Health care 712 64,415 0.26%
Daiichi Sankyo Co., Ltd. (Japan) Health care 1,940 62,354 0.25%
Recordati SpA (Italy) Health care 559 28,997 0.12%
Orion Oyj Class B (Finland) Health care 579 26,597 0.11%
Vertex Pharmaceuticals, Inc. Health care 99 22,630 0.09%








A BASKET (GSGLPWDL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Discovery, Inc. Class C Consumer cyclicals 44,947 $1,574,500 0.84%
Fortescue Metals Group, Ltd. (Australia) Basic materials 80,188 1,335,376 0.71%
Invesco, Ltd. Financials 61,236 1,260,858 0.67%
Woodside Petroleum, Ltd. (Australia) Energy 64,185 1,200,340 0.64%
Mitsubishi Heavy Industries, Ltd. (Japan) Capital goods 41,689 1,193,213 0.64%
GVC Holdings PLC (Isle of Man) Consumer cyclicals 69,948 1,189,364 0.64%
Ford Motor Co. Consumer cyclicals 112,185 1,181,313 0.63%
Fujitsu, Ltd. (Japan) Technology 7,705 1,178,453 0.63%
Mitsubishi Chemical Holdings Corp. (Japan) Basic materials 171,693 1,171,009 0.63%
Stellantis NV Consumer cyclicals 76,267 1,158,223 0.62%
Ally Financial, Inc. Financials 30,503 1,154,244 0.62%
Santos, Ltd. (Australia) Energy 228,249 1,135,600 0.61%
Citigroup, Inc. Financials 19,323 1,120,527 0.60%
Fox Corp. Class A Consumer cyclicals 35,727 1,113,976 0.59%
Hologic, Inc. Health care 13,894 1,107,804 0.59%
Cadence Design Systems, Inc. Technology 8,485 1,106,295 0.59%
Arrow Electronics, Inc. Technology 11,167 1,090,273 0.58%
Toronto-Dominion Bank (Canada) Financials 19,215 1,088,832 0.58%
Lennar Corp. Class A Consumer cyclicals 13,091 1,088,517 0.58%
Logitech International SA (Switzerland) Technology 10,422 1,086,482 0.58%
ITOCHU Corp. (Japan) Consumer staples 37,665 1,077,870 0.58%
Allstate Corp. (The) Financials 9,978 1,069,442 0.57%
Repsol SA (Spain) Energy 106,026 1,045,043 0.56%
Nomura Holdings, Inc. (Japan) Financials 197,971 1,042,730 0.56%
Biogen, Inc. Health care 3,664 1,035,457 0.55%
Annaly Capital Management, Inc.® Financials 127,472 1,035,076 0.55%
Lincoln National Corp. Financials 22,728 1,033,882 0.55%
Canadian Tire Corp., Ltd. (Canada) Consumer cyclicals 7,971 1,033,515 0.55%
Nippon Telegraph & Telephone Corp. (Japan) Communication services 41,110 1,027,493 0.55%
MetLife, Inc. Financials 21,279 1,024,576 0.55%
NextEra Energy, Inc. Utilities and power 12,633 1,021,666 0.55%
Royal Bank of Canada (Canada) Financials 12,620 1,021,429 0.55%
Koninklijke Ahold Delhaize NV (Netherlands) Consumer staples 35,564 1,018,127 0.54%
AGNC Investment Corp.® Financials 65,032 1,014,497 0.54%
Canadian Imperial Bank of Commerce (Canada) Financials 11,891 1,013,427 0.54%
Principal Financial Group, Inc. Financials 20,528 1,011,422 0.54%
NN Group NV (Netherlands) Financials 24,196 1,007,167 0.54%
Swisscom AG (Switzerland) Communication services 1,847 1,006,618 0.54%
PulteGroup, Inc. Consumer cyclicals 23,134 1,006,337 0.54%
Amgen, Inc. Health care 4,127 996,374 0.53%
Sun Hung Kai Properties, Ltd. (Hong Kong) Financials 72,678 993,632 0.53%
State Street Corp. Financials 14,076 985,309 0.53%
Roche Holding AG (Switzerland) Health care 2,850 982,732 0.52%
Rio Tinto PLC (United Kingdom) Basic materials 12,812 981,130 0.52%
Air Liquide SA (France) Basic materials 5,953 975,307 0.52%
Sumitomo Mitsui Trust Holdings, Inc. (Japan) Financials 32,450 970,281 0.52%
Aurizon Holdings, Ltd. (Australia) Transportation 340,361 962,449 0.51%
Givaudan SA (Switzerland) Basic materials 237 955,898 0.51%
Church & Dwight Co., Inc. Consumer staples 11,320 955,781 0.51%
Mizuho Financial Group, Inc. (Japan) Financials 72,405 952,882 0.51%








A BASKET (GSGLPWDS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Sharp Corp./Japan (Japan) Consumer cyclicals 78,664 $1,632,692 0.87%
Slack Technologies, Inc. Class A Technology 38,256 1,613,239 0.86%
ThyssenKrupp AG (Germany) Basic materials 115,985 1,352,077 0.72%
Hong Kong Exchanges and Clearing, Ltd. (Hong Kong) Financials 20,160 1,293,359 0.69%
Albemarle Corp. Basic materials 7,844 1,275,834 0.68%
Twilio, Inc. Class A Technology 3,464 1,244,902 0.66%
ASML Holding NV (Netherlands) Technology 2,253 1,201,509 0.64%
Square, Inc. Class A Consumer cyclicals 5,531 1,194,566 0.64%
Panasonic Corp. (Japan) Consumer cyclicals 92,450 1,192,855 0.63%
Renault SA (France) Consumer cyclicals 27,645 1,182,258 0.63%
Hess Corp. Energy 21,524 1,161,872 0.62%
Walt Disney Co. (The) Consumer cyclicals 6,778 1,139,879 0.61%
Suncor Energy, Inc. (Canada) Energy 67,004 1,120,798 0.60%
Cameco Corp. (Canada) Basic materials 88,690 1,103,461 0.59%
Nissan Motor Co., Ltd. (Japan) Consumer cyclicals 216,833 1,101,500 0.59%
Exact Sciences Corp. Health care 7,956 1,091,228 0.58%
Argenx SE (Netherlands) Health care 3,720 1,088,742 0.58%
Marathon Petroleum Corp. Energy 24,960 1,077,290 0.57%
Bunge, Ltd. Consumer staples 16,341 1,069,364 0.57%
Abbott Laboratories Health care 8,627 1,066,227 0.57%
ABB, Ltd. (Switzerland) Capital goods 35,812 1,058,996 0.56%
Hang Seng Bank, Ltd. (Hong Kong) Financials 57,956 1,048,749 0.56%
First Republic Bank Financials 7,219 1,046,650 0.56%
AIA Group, Ltd. (Hong Kong) Financials 86,221 1,042,559 0.55%
Walgreens Boots Alliance, Inc. Consumer staples 20,571 1,033,681 0.55%
WPP PLC (United Kingdom) Consumer cyclicals 98,089 1,029,214 0.55%
Caterpillar, Inc. Capital goods 5,617 1,027,041 0.55%
MarketAxess Holdings, Inc. Consumer cyclicals 1,898 1,026,151 0.55%
Fast Retailing Co., Ltd. (Japan) Consumer cyclicals 1,183 1,014,446 0.54%
Analog Devices, Inc. Technology 6,808 1,003,068 0.53%
Zurich Insurance Group AG (Switzerland) Financials 2,497 998,336 0.53%
Prologis, Inc.® Financials 9,626 993,352 0.53%
Tradeweb Markets, Inc. Class A Financials 16,300 990,874 0.53%
Camden Property Trust® Financials 9,678 988,579 0.53%
Vornado Realty Trust® Financials 24,663 980,599 0.52%
Archer-Daniels-Midland Co. Basic materials 19,476 974,013 0.52%
Sensata Technologies Holding PLC Technology 17,863 973,508 0.52%
Arthur J. Gallagher & Co. Financials 8,383 967,439 0.51%
Intact Financial Corp. (Canada) Financials 8,731 962,748 0.51%
Aon PLC Financials 4,740 962,636 0.51%
American Express Co. Financials 8,280 962,592 0.51%
Live Nation Entertainment, Inc. Consumer cyclicals 14,469 961,459 0.51%
James Hardie Industries PLC (CDI) (Australia) Basic materials 34,031 956,835 0.51%
Emera, Inc. (Canada) Utilities and power 22,877 956,582 0.51%
Aeon Co., Ltd. (Japan) Consumer cyclicals 30,517 954,446 0.51%
Deere & Co. Capital goods 3,304 954,280 0.51%
T-Mobile US, Inc. Communication services 7,558 952,957 0.51%
UDR, Inc. Financials 24,632 947,093 0.50%
Cellnex Telecom, SA 144A (Spain) Communication services 16,011 938,693 0.50%
Jacobs Engineering Group, Inc. Capital goods 9,249 933,808 0.50%








A BASKET (JPCMPTFL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Catalent, Inc. Health care 7,663 $881,593 1.52%
Peloton Interactive, Inc. Class A Consumer cyclicals 5,796 846,919 1.47%
Western Digital Corp. Technology 14,940 843,066 1.46%
Jazz Pharmaceuticals PLC Health care 5,386 837,594 1.45%
Polaris, Inc. Consumer cyclicals 7,142 833,274 1.44%
United Therapeutics Corp. Health care 5,054 827,867 1.43%
Burlington Stores, Inc. Consumer cyclicals 3,281 816,673 1.41%
Allison Transmission Holdings, Inc. Capital goods 19,756 804,069 1.39%
Charles River Laboratories International, Inc. Health care 3,098 802,489 1.39%
AT&T, Inc. Communication services 27,538 788,414 1.36%
Generac Holdings, Inc. Capital goods 3,196 787,436 1.36%
United Rentals, Inc. Consumer cyclicals 3,229 784,790 1.36%
Flowserve Corp. Capital goods 21,370 759,925 1.31%
Reata Pharmaceuticals, Inc. Class A Health care 7,196 745,416 1.29%
Thor Industries, Inc. Consumer cyclicals 6,073 734,878 1.27%
Merck & Co., Inc. Health care 8,879 684,295 1.18%
AZEK Co., Inc. (The) Basic materials 17,137 683,607 1.18%
Bristol-Myers Squibb Co. Health care 10,975 674,198 1.17%
Dick's Sporting Goods, Inc. Consumer cyclicals 9,608 643,800 1.11%
Waters Corp. Health care 2,394 633,614 1.10%
BorgWarner, Inc. Capital goods 14,385 604,025 1.04%
TransDigm Group, Inc. Capital goods 1,078 596,322 1.03%
Pure Storage, Inc. Class A Technology 25,327 585,807 1.01%
Bio-Rad Laboratories, Inc. Class A Health care 1,016 582,721 1.01%
Timken Co. (The) Basic materials 7,679 580,959 1.00%
Kohl's Corp. Consumer cyclicals 13,157 579,687 1.00%
GrubHub, Inc. Consumer staples 7,284 548,245 0.95%
Pfizer, Inc. Health care 15,011 538,879 0.93%
RingCentral, Inc. Class A Technology 1,377 513,469 0.89%
Air Lease Corp. Financials 12,937 512,678 0.89%
Eli Lilly and Co. Health care 2,351 488,895 0.85%
Vroom, Inc. Consumer cyclicals 13,118 483,146 0.84%
Virgin Galactic Holdings, Inc. Consumer cyclicals 10,889 482,281 0.83%
Quidel Corp. Health care 1,873 470,071 0.81%
AECOM Capital goods 9,352 468,535 0.81%
Coupa Software, Inc. Technology 1,496 463,564 0.80%
PRA Health Sciences, Inc. Health care 3,693 455,120 0.79%
Johnson & Johnson Health care 2,783 453,950 0.79%
Trade Desk, Inc. (The) Class A Consumer cyclicals 585 448,268 0.78%
Spirit AeroSystems Holdings, Inc. Class A Capital goods 13,186 446,597 0.77%
Bio-Techne Corp. Health care 1,347 437,808 0.76%
Tapestry, Inc. Consumer cyclicals 13,693 432,982 0.75%
General Motors Co. Consumer cyclicals 8,524 431,985 0.75%
Lamb Weston Holdings, Inc. Consumer staples 5,696 425,516 0.74%
HubSpot, Inc. Technology 1,126 419,252 0.73%
Roku, Inc. Technology 1,054 410,186 0.71%
MSC Industrial Direct Co., Inc. Class A Consumer cyclicals 5,014 388,946 0.67%
Zynga, Inc. Class A Technology 38,889 385,387 0.67%
Hanesbrands, Inc. Consumer cyclicals 24,753 378,467 0.65%
Hexcel Corp. Capital goods 8,592 375,148 0.65%








A BASKET (UBSPUSER) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Microsoft Corp. Technology 87,634 $20,327,676 7.87%
Apple, Inc. Technology 113,717 15,006,093 5.81%
Amazon.com, Inc. Consumer cyclicals 3,650 11,701,239 4.53%
Alphabet, Inc. Class C Technology 3,815 7,002,849 2.71%
Eli Lilly and Co. Health care 23,942 4,979,121 1.93%
PayPal Holdings, Inc. Consumer cyclicals 21,058 4,933,984 1.91%
Walmart, Inc. Consumer cyclicals 33,321 4,681,211 1.81%
Charter Communications, Inc. Class A Communication services 7,458 4,531,118 1.75%
Qualcomm, Inc. Technology 28,225 4,410,966 1.71%
Danaher Corp. Conglomerates 18,166 4,320,576 1.67%
JPMorgan Chase & Co. Financials 33,237 4,276,635 1.66%
Visa, Inc. Class A Financials 20,150 3,894,064 1.51%
Union Pacific Corp. Transportation 19,614 3,873,164 1.50%
Facebook, Inc. Class A Technology 14,826 3,829,877 1.48%
Home Depot, Inc. (The) Consumer cyclicals 13,215 3,578,852 1.39%
Citigroup, Inc. Financials 60,497 3,508,200 1.36%
Johnson & Johnson Health care 21,022 3,429,367 1.33%
NIKE, Inc. Class B Consumer cyclicals 25,279 3,377,015 1.31%
Fidelity National Information Services, Inc. Technology 27,337 3,375,009 1.31%
UnitedHealth Group, Inc. Health care 10,076 3,361,205 1.30%
Bank of America Corp. Financials 113,274 3,358,580 1.30%
Mastercard, Inc. Class A Consumer cyclicals 10,581 3,346,540 1.30%
Adobe, Inc. Technology 7,283 3,341,281 1.29%
American Tower Corp. Communication services 14,168 3,221,275 1.25%
Freeport-McMoRan, Inc. (Indonesia) Basic materials 110,671 2,978,164 1.15%
General Motors Co. Consumer cyclicals 56,605 2,868,741 1.11%
NVIDIA Corp. Technology 5,313 2,760,763 1.07%
Procter & Gamble Co. (The) Consumer staples 19,933 2,555,658 0.99%
Tesla, Inc. Consumer cyclicals 3,156 2,504,168 0.97%
Northrop Grumman Corp. Capital goods 8,594 2,463,023 0.95%
Cigna Corp. Health care 11,239 2,439,497 0.94%
AbbVie, Inc. Health care 22,171 2,272,124 0.88%
Merck & Co., Inc. Health care 28,722 2,213,568 0.86%
Texas Instruments, Inc. Technology 13,357 2,213,120 0.86%
IDEXX Laboratories, Inc. Health care 4,581 2,192,750 0.85%
PepsiCo, Inc. Consumer staples 15,895 2,170,812 0.84%
Goldman Sachs Group, Inc. (The) Financials 7,977 2,163,141 0.84%
Cisco Systems, Inc. Technology 48,449 2,159,847 0.84%
NRG Energy, Inc. Utilities and power 50,533 2,092,577 0.81%
Johnson Controls International PLC Capital goods 41,674 2,076,196 0.80%
Comcast Corp. Class A Communication services 41,285 2,046,515 0.79%
Amgen, Inc. Health care 8,255 1,992,903 0.77%
Exelon Corp. Utilities and power 46,303 1,924,351 0.74%
Estee Lauder Cos., Inc. (The) Class A Consumer staples 8,092 1,914,890 0.74%
Target Corp. Consumer cyclicals 10,538 1,909,118 0.74%
United Rentals, Inc. Consumer cyclicals 7,827 1,902,100 0.74%
Eaton Corp. PLC Capital goods 15,736 1,852,171 0.72%
American Electric Power Co., Inc. Utilities and power 22,306 1,804,764 0.70%
Valero Energy Corp. Energy 31,288 1,765,579 0.68%
Southwest Airlines Co. Transportation 39,764 1,747,247 0.68%








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BB/P $4,580 $67,000 $17,393 5/11/63 300 bp — Monthly $(12,774)
CMBX NA BBB-.6 Index BB/P 6,498 114,000 29,594 5/11/63 300 bp — Monthly (23,030)
CMBX NA BBB-.6 Index BB/P 15,001 243,000 63,083 5/11/63 300 bp — Monthly (47,940)
Barclays Bank PLC
CMBX NA BBB-.6 Index BB/P 26,163 236,000 61,266 5/11/63 300 bp — Monthly (34,965)
CMBX NA BBB-.7 Index BB+/P 8,583 1,527,000 311,508 1/17/47 300 bp — Monthly (302,034)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index B/P 237,268 1,654,000 695,838 5/11/63 500 bp — Monthly (456,962)
CMBX NA BB.7 Index B+/P 32,151 630,000 236,187 1/17/47 500 bp — Monthly (203,423)
CMBX NA BBB-.6 Index BB/P 886,347 13,919,000 3,613,372 5/11/63 300 bp — Monthly (2,718,906)
Credit Suisse International
CMBX NA BBB-.6 Index BB/P 3,581,285 38,114,000 9,894,394 5/11/63 300 bp — Monthly (6,290,876)
CMBX NA BBB-.7 Index BB+/P 41,182 521,000 106,284 1/17/47 300 bp — Monthly (64,798)
CMBX NA BBB-.7 Index BB+/P 477,712 6,463,000 1,318,452 1/17/47 300 bp — Monthly (836,970)
Goldman Sachs International
CMBX NA BBB-.6 Index BB/P 12,819 162,000 42,055 5/11/63 300 bp — Monthly (29,142)
CMBX NA BBB-.6 Index BB/P 14,345 170,000 44,132 5/11/63 300 bp — Monthly (29,687)
CMBX NA BBB-.6 Index BB/P 15,423 178,000 46,209 5/11/63 300 bp — Monthly (30,683)
CMBX NA BBB-.6 Index BB/P 21,266 252,000 65,419 5/11/63 300 bp — Monthly (44,007)
CMBX NA BBB-.6 Index BB/P 32,134 292,000 75,803 5/11/63 300 bp — Monthly (43,499)
CMBX NA BBB-.6 Index BB/P 22,005 323,000 83,851 5/11/63 300 bp — Monthly (61,658)
CMBX NA BBB-.6 Index BB/P 43,866 508,000 131,877 5/11/63 300 bp — Monthly (87,714)
CMBX NA BBB-.6 Index BB/P 72,333 521,000 135,252 5/11/63 300 bp — Monthly (62,614)
CMBX NA BBB-.6 Index BB/P 54,650 727,000 188,729 5/11/63 300 bp — Monthly (133,656)
CMBX NA BBB-.6 Index BB/P 43,204 871,000 226,112 5/11/63 300 bp — Monthly (182,400)
CMBX NA BBB-.6 Index BB/P 113,818 1,020,000 264,792 5/11/63 300 bp — Monthly (150,379)
CMBX NA BBB-.6 Index BB/P 113,818 1,020,000 264,792 5/11/63 300 bp — Monthly (150,379)
CMBX NA BBB-.6 Index BB/P 90,667 1,094,000 284,002 5/11/63 300 bp — Monthly (192,698)
CMBX NA BBB-.6 Index BB/P 123,458 1,108,000 287,637 5/11/63 300 bp — Monthly (163,532)
CMBX NA BBB-.6 Index BB/P 67,079 1,286,000 333,846 5/11/63 300 bp — Monthly (266,017)
CMBX NA BBB-.6 Index BB/P 217,829 2,012,000 522,315 5/11/63 300 bp — Monthly (303,312)
CMBX NA BBB-.6 Index BB/P 440,741 3,998,000 1,037,881 5/11/63 300 bp — Monthly (594,808)
CMBX NA BBB-.7 Index BB+/P 171,603 2,462,000 502,248 1/17/47 300 bp — Monthly (329,209)
CMBX NA BBB-.7 Index BB+/P 587,623 7,950,000 1,621,800 1/17/47 300 bp — Monthly (1,029,539)
JPMorgan Securities LLC
CMBX NA BBB-.6 Index BB/P 16,227,132 50,757,000 13,176,517 5/11/63 300 bp — Monthly 3,080,223
Merrill Lynch International
CMBX NA BB.7 Index B+/P 23,979 210,000 78,729 1/17/47 500 bp — Monthly (54,546)
CMBX NA BBB-.6 Index BB/P 4,041,450 14,999,000 3,893,740 5/11/63 300 bp — Monthly 156,459
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BB/P 320,980 4,845,000 1,257,762 5/11/63 300 bp — Monthly (933,956)
Upfront premium received 28,188,992 Unrealized appreciation 3,236,682
Upfront premium (paid) — Unrealized (depreciation) (15,866,113)
Total $28,188,992 Total $(12,629,431)
* 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 January 31, 2021. Securities rated by Fitch are indicated by "/F." 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 1/31/21 (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.6 Index $3,715 $433,000 $32,475 5/11/63 (200 bp) — Monthly $36,022
CMBX NA BB.10 Index (25,000) 228,000 72,755 11/17/59 (500 bp) — Monthly 47,533
CMBX NA BB.10 Index (21,916) 210,000 67,011 11/17/59 (500 bp) — Monthly 44,891
CMBX NA BB.11 Index (81,623) 630,000 115,038 11/18/54 (500 bp) — Monthly 32,803
CMBX NA BB.11 Index (18,193) 193,000 35,242 11/18/54 (500 bp) — Monthly 16,862
CMBX NA BB.9 Index (255,056) 2,471,000 729,686 9/17/58 (500 bp) — Monthly 472,228
Credit Suisse International
CMBX NA BB.10 Index (51,729) 435,000 138,809 11/17/59 (500 bp) — Monthly 86,657
CMBX NA BB.10 Index (55,104) 413,000 131,788 11/17/59 (500 bp) — Monthly 76,283
CMBX NA BB.7 Index (29,194) 1,654,000 695,838 5/11/63 (500 bp) — Monthly 665,036
CMBX NA BB.9 Index (112,076) 1,118,000 330,145 9/17/58 (500 bp) — Monthly 216,982
Goldman Sachs International
CMBX NA BB.7 Index (30,568) 202,000 75,730 1/17/47 (500 bp) — Monthly 44,965
CMBX NA BB.7 Index (296,107) 1,622,000 608,088 1/17/47 (500 bp) — Monthly 310,404
CMBX NA BB.7 Index (43,113) 255,000 95,600 1/17/47 (500 bp) — Monthly 52,239
CMBX NA BB.7 Index (19,899) 98,000 36,740 1/17/47 (500 bp) — Monthly 16,746
CMBX NA BB.9 Index (22,144) 184,000 54,335 9/17/58 (500 bp) — Monthly 32,012
CMBX NA BB.9 Index (21,896) 184,000 54,335 9/17/58 (500 bp) — Monthly 32,260
JPMorgan Securities LLC
CMBX NA BB.17 Index (1,514,014) 3,092,000 1,159,191 1/17/47 (500 bp) — Monthly (357,829)
CMBX NA BBB-.7 Index (2,665,497) 11,354,000 2,316,216 1/17/47 (300 bp) — Monthly (355,904)
Merrill Lynch International
CMBX NA A.6 Index 8,647 520,000 39,000 5/11/63 (200 bp) — Monthly 47,444
CMBX NA BB.10 Index (23,898) 420,000 134,022 11/17/59 (500 bp) — Monthly 109,716
CMBX NA BB.11 Index (273,312) 553,000 100,978 11/18/54 (500 bp) — Monthly (172,872)
CMBX NA BB.9 Index (29,958) 769,000 227,086 9/17/58 (500 bp) — Monthly 196,380
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (315,451) 3,096,000 631,584 1/17/47 (300 bp) — Monthly 314,327
CMBX NA BB.10 Index (22,024) 210,000 67,011 11/17/59 (500 bp) — Monthly 44,783
CMBX NA BB.9 Index (44,620) 368,000 108,670 9/17/58 (500 bp) — Monthly 63,693
CMBX NA BB.9 Index (22,310) 184,000 54,335 9/17/58 (500 bp) — Monthly 31,846
Upfront premium received 12,362 Unrealized appreciation 2,992,112
Upfront premium (paid) (5,994,702) Unrealized (depreciation) (886,605)
Total $(5,982,340) Total $2,105,507
* 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 1/31/21 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
NA HY Series 35 Index B+/P $(1,535,193) $37,420,000 $2,984,806 12/20/25 500 bp — Quarterly $1,667,897
Total $(1,535,193) $1,667,897
* 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 January 31, 2021. Securities rated by Fitch are indicated by "/F." 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 1/31/21 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
EM Series 34 Index $(4,724,198) $64,692,000 $2,200,304 12/20/25 (100 bp) — Quarterly $(2,599,368)
NA HY Series 35 Index 2,897,291 69,858,000 5,572,223 12/20/25 (500 bp) — Quarterly (3,082,438)
Total $(1,826,907) $(5,681,806)
* 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
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
TRY Turkish Lira
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
bp Basis Points
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
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
OJSC Open Joint Stock Company
OTC Over-the-counter
PJSC Public Joint Stock Company
PO Principal Only
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 November 1, 2020 through January 31, 2021 (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 $726,780,234.
(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.
(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
10/31/20		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
1/31/21
Short-term investments
Putnam Cash Collateral Pool, LLC*# $54,965,683 $208,056,433 $211,537,231 $16,896 $51,484,885
Putnam Short Term Investment Fund** 194,264,638 21,717,960 37,460,123 81,653 178,522,475
Total Short-term investments $249,230,321 $229,774,393 $248,997,354 $98,549 $230,007,360
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $51,484,885, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $49,472,779.
** 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 $16,032,096.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $48,730,031.
(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 $6,181,712.
(FWC) Forward commitment, in part or in entirety.
(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.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
(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 $347,870,304 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.
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 and total return swap contracts 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 and total return swaps 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.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $29,882,266 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
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 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 and to gain exposure to specific sectors or industries.
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 $43,172,311 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $48,730,031 and may include amounts related to unsettled 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 $4,404,277 $5,353,782 $—
Capital goods — 2,758,186 —
Communication services 1,475,763 1,025,256 —
Consumer cyclicals 919,075 5,305,868 —
Consumer staples 6,089,084 4,323,862 —
Energy 439,707 1,656,531 —
Financials 2,473,455 11,955,460 —
Health care 660,005 1,898,365 —
Technology 7,841,512 36,721,115 —
Transportation — 49,258 —
Utilities and power 632,726 28,588 12
Total common stocks 24,935,604 71,076,271 12
Asset-backed securities — 8,579,705 —
Commodity linked notes — 78,474,494 —
Corporate bonds and notes — 2,068,193 —
Foreign government and agency bonds and notes — 9,167,626 —
Investment companies 75,479,604 — —
Mortgage-backed securities — 70,423,473 —
Purchased swap options outstanding — 68,561 —
U.S. government and agency mortgage obligations — 272,327,497 —
U.S. treasury obligations — 1,486,631 —
Warrants — 13,725,131 120,482
Short-term investments 1,545,000 451,567,272 —
Totals by level $101,960,208 $978,964,854 $120,494
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $199,518 $—
Futures contracts (7,702,970) — —
Written swap options outstanding — (106,965) —
Forward premium swap option contracts — (95,668) —
TBA sale commitments — (114,356,097) —
Interest rate swap contracts — 642,950 —
Total return swap contracts — (8,844,335) —
Credit default contracts — (33,382,385) —
Totals by level $(7,702,970) $(155,942,982) $—
* 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 swap option contracts (contract amount) $29,500,000
Written swap option contracts (contract amount) $25,800,000
Futures contracts (number of contracts) 7,000
Forward currency contracts (contract amount) $670,300,000
Centrally cleared interest rate swap contracts (notional) $248,000,000
OTC total return swap contracts (notional) $2,078,700,000
OTC credit default contracts (notional) $191,400,000
Centrally cleared credit default contracts (notional) $179,000,000
Warrants (number of warrants) 4,200,000
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