| Putnam Short Duration Bond Fund | ||||||
| The fund's portfolio | ||||||
| 1/31/23 (Unaudited) | ||||||
| CORPORATE BONDS AND NOTES (63.3%)(a) | ||||||
| Principal amount | Value | |||||
| Banking (17.4%) | ||||||
| Banco Santander SA sr. unsec. unsub. FRN 1.722%, 9/14/27 (Spain) | $22,600,000 | $19,846,221 | ||||
| Bank of America Corp. sr. unsec. unsub. FRN 3.55%, 3/5/24 | 2,430,000 | 2,426,229 | ||||
| Bank of America Corp. unsec. sub. notes Ser. MTN, 4.45%, 3/3/26 | 32,011,000 | 31,721,889 | ||||
| Bank of America Corp. unsec. sub. notes Ser. MTN, 4.20%, 8/26/24 | 21,565,000 | 21,328,381 | ||||
| Bank of Nova Scotia (The) sr. unsec. notes 1.30%, 6/11/25 (Canada) | 7,434,000 | 6,864,363 | ||||
| Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 1.604%, 10/4/26 (France) | 5,000,000 | 4,444,435 | ||||
| Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 0.65%, 2/27/24 (France) | 7,500,000 | 7,162,875 | ||||
| BPCE SA 144A sr. unsec. notes 1.00%, 1/20/26 (France) | 15,798,000 | 14,069,312 | ||||
| BPCE SA 144A sr. unsec. unsub. FRN 5.975%, 1/18/27 (France) | 1,415,000 | 1,432,946 | ||||
| Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 | 3,825,000 | 3,886,410 | ||||
| Citigroup, Inc. sr. unsec. FRN 4.044%, 6/1/24 | 9,480,000 | 9,445,912 | ||||
| Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 | 10,945,000 | 10,881,008 | ||||
| Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25 | 4,825,000 | 4,753,353 | ||||
| Credit Suisse AG sr. unsec. notes 4.75%, 8/9/24 | 2,785,000 | 2,729,464 | ||||
| Credit Suisse AG/New York, NY sr. unsec. unsub. notes 1.25%, 8/7/26 | 14,188,000 | 11,929,880 | ||||
| Credit Suisse Group AG company guaranty sr. unsec. unsub. notes 4.55%, 4/17/26 (Switzerland) | 8,750,000 | 8,128,718 | ||||
| Danske Bank A/S 144A sr. unsec. notes 1.549%, 9/10/27 (Denmark) | 10,000,000 | 8,793,656 | ||||
| Fifth Third Bancorp sr. unsec. sub. notes 2.375%, 1/28/25 | 4,248,000 | 4,052,742 | ||||
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 6,917,000 | 7,250,596 | ||||
| ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) | 12,868,000 | 12,861,759 | ||||
| Intesa Sanpaolo SpA 144A unsec. sub. notes 5.71%, 1/15/26 (Italy) | 7,500,000 | 7,369,959 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN 4.023%, 12/5/24 | 4,627,000 | 4,581,373 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN 2.083%, 4/22/26 | 2,313,000 | 2,172,257 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. notes 3.797%, 7/23/24 | 6,042,000 | 6,001,638 | ||||
| JPMorgan Chase & Co. unsec. sub. notes 3.875%, 9/10/24 | 18,030,000 | 17,758,538 | ||||
| KeyCorp sr. unsec. unsub. FRN Ser. MTN, 3.878%, 5/23/25 | 2,113,000 | 2,075,380 | ||||
| Santander Holdings USA, Inc. sr. unsec. FRN 2.49%, 1/6/28 | 4,000,000 | 3,528,078 | ||||
| Societe Generale SA 144A unsec. sub. notes 5.00%, 1/17/24 (France) | 5,165,000 | 5,125,626 | ||||
| Truist Bank sr. unsec. notes Ser. BKNT, 2.15%, 12/6/24 | 2,500,000 | 2,392,466 | ||||
| Truist Bank sr. unsec. notes Ser. BKNT, 1.50%, 3/10/25 | 5,000,000 | 4,688,755 | ||||
| Truist Bank sr. unsec. unsub. notes Ser. BNKT, 3.20%, 4/1/24 | 5,643,000 | 5,550,510 | ||||
| Truist Financial Corp. sr. unsec. unsub. notes 4.00%, 5/1/25 | 958,000 | 943,330 | ||||
| UBS Group AG 144A sr. unsec. FRN 1.494%, 8/10/27 (Switzerland) | 5,500,000 | 4,843,146 | ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 3.908%, 4/25/26 | 5,345,000 | 5,221,904 | ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 2.164%, 2/11/26 | 3,000,000 | 2,830,806 | ||||
| 269,093,915 | ||||||
| Basic materials (3.6%) | ||||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 1,690,000 | 1,711,819 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.05%, 3/15/25 (Germany) | 857,000 | 863,580 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) | 893,000 | 874,099 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 10,693,000 | 9,211,129 | ||||
| CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 5,369,000 | 5,295,160 | ||||
| Georgia-Pacific, LLC 144A sr. unsec. notes 1.75%, 9/30/25 | 4,244,000 | 3,927,318 | ||||
| Georgia-Pacific, LLC 144A sr. unsec. notes 0.95%, 5/15/26 | 8,790,000 | 7,829,143 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 1.625%, 4/27/26 | 2,500,000 | 2,250,779 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 1.625%, 9/1/25 | 8,686,000 | 7,962,969 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 | 894,000 | 887,530 | ||||
| Graphic Packaging International, LLC 144A company guaranty sr. notes 1.512%, 4/15/26 | 7,461,000 | 6,623,758 | ||||
| International Flavors & Fragrances, Inc. sr. unsec. unsub. notes 3.20%, 5/1/23 | 3,450,000 | 3,433,733 | ||||
| International Flavors & Fragrances, Inc. 144A sr. unsec. unsub. notes 1.23%, 10/1/25 | 4,600,000 | 4,136,477 | ||||
| 55,007,494 | ||||||
| Capital goods (2.9%) | ||||||
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 11,250,000 | 9,841,614 | ||||
| Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 | 93,000 | 84,070 | ||||
| Boeing Co. (The) sr. unsec. notes 4.508%, 5/1/23 | 6,000,000 | 5,990,565 | ||||
| Boeing Co. (The) sr. unsec. notes 2.75%, 2/1/26 | 10,330,000 | 9,739,248 | ||||
| Northrop Grumman Corp. sr. unsec. notes 2.93%, 1/15/25 | 5,224,000 | 5,053,020 | ||||
| Republic Services, Inc. sr. unsec. notes 2.50%, 8/15/24 | 2,550,000 | 2,460,568 | ||||
| Republic Services, Inc. sr. unsec. notes 0.875%, 11/15/25 | 5,098,000 | 4,588,019 | ||||
| Waste Management, Inc. company guaranty sr. unsec. notes 0.75%, 11/15/25 | 7,700,000 | 6,980,856 | ||||
| 44,737,960 | ||||||
| Communication services (5.2%) | ||||||
| American Tower Corp. sr. unsec. notes 1.60%, 4/15/26 | 8,806,000 | 7,958,350 | ||||
| American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) | 4,403,000 | 4,057,916 | ||||
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 9,547,000 | 8,725,334 | ||||
| AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 | 7,247,000 | 7,208,296 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 4.50%, 2/1/24 | 5,500,000 | 5,446,966 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | 2,213,000 | 2,201,626 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. FRN (ICE LIBOR USD 3 Month + 1.65%), 6.464%, 2/1/24 | 1,373,000 | 1,383,181 | ||||
| Comcast Corp. company guaranty sr. unsec. unsub. notes 3.70%, 4/15/24 | 10,126,000 | 10,010,391 | ||||
| Cox Communications, Inc. 144A sr. unsec. notes 3.15%, 8/15/24 | 2,497,000 | 2,422,493 | ||||
| Crown Castle, Inc. sr. unsec. notes 3.20%, 9/1/24(R) | 6,840,000 | 6,656,368 | ||||
| Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26(R) | 718,000 | 668,574 | ||||
| Equinix, Inc. sr. unsec. sub. notes 1.00%, 9/15/25(R) | 6,000,000 | 5,420,072 | ||||
| T-Mobile USA, Inc. company guaranty sr. notes 1.50%, 2/15/26 | 8,000,000 | 7,299,678 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.25%, 2/15/26 | 1,257,000 | 1,164,969 | ||||
| Verizon Communications, Inc. sr. unsec. unsub. notes 2.625%, 8/15/26 | 10,000,000 | 9,390,096 | ||||
| 80,014,310 | ||||||
| Consumer cyclicals (6.3%) | ||||||
| Block, Inc. sr. unsec. notes 2.75%, 6/1/26 | 10,575,000 | 9,610,983 | ||||
| D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26 | 10,620,000 | 9,336,418 | ||||
| Gartner, Inc. 144A company guaranty sr. unsec. notes 4.50%, 7/1/28 | 8,368,000 | 7,949,516 | ||||
| General Motors Financial Co., Inc. sr. unsec. sub. notes 2.75%, 6/20/25 | 4,070,000 | 3,840,481 | ||||
| General Motors Financial Co., Inc. sr. unsec. sub. notes 1.50%, 6/10/26 | 15,000,000 | 13,336,835 | ||||
| General Motors Financial Co., Inc. sr. unsec. sub. notes 1.05%, 3/8/24 | 6,327,000 | 6,052,720 | ||||
| Global Payments, Inc. sr. unsec. notes 1.20%, 3/1/26 | 5,280,000 | 4,694,748 | ||||
| Hyatt Hotels Corp. sr. unsec. unsub. notes 1.80%, 10/1/24 | 750,000 | 711,609 | ||||
| Interpublic Group of Cos., Inc. (The) sr. unsec. notes 4.20%, 4/15/24 | 2,354,000 | 2,328,690 | ||||
| Lennar Corp. company guaranty sr. unsec. notes 4.50%, 4/30/24 | 9,870,000 | 9,805,132 | ||||
| Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 | 5,960,000 | 5,777,599 | ||||
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 4,700,000 | 4,146,349 | ||||
| VF Corp. sr. unsec. notes 2.40%, 4/23/25 | 1,138,000 | 1,079,626 | ||||
| Volkswagen Group of America Finance, LLC 144A company guaranty sr. unsec. notes 4.35%, 6/8/27 | 9,440,000 | 9,214,180 | ||||
| Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27 | 8,828,000 | 8,273,752 | ||||
| 96,158,638 | ||||||
| Consumer finance (2.5%) | ||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 2.45%, 10/29/26 (Ireland) | 14,000,000 | 12,594,418 | ||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 4.50%, 9/15/23 (Ireland) | 5,850,000 | 5,817,762 | ||||
| Air Lease Corp. sr. unsec. notes 0.80%, 8/18/24 | 8,500,000 | 7,919,477 | ||||
| Air Lease Corp. sr. unsec. unsub. notes 4.25%, 9/15/24 | 5,539,000 | 5,449,034 | ||||
| American Express Co. sr. unsec. unsub. notes 3.375%, 5/3/24 | 6,485,000 | 6,373,383 | ||||
| 38,154,074 | ||||||
| Consumer staples (2.9%) | ||||||
| Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 1.50%, 8/12/26 | 9,275,000 | 8,165,053 | ||||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 | 3,000,000 | 2,817,159 | ||||
| GSK Consumer Healthcare Capital US, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/27 | 4,040,000 | 3,824,168 | ||||
| JDE Peet's NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands) | 6,850,000 | 5,943,014 | ||||
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 | 1,392,000 | 1,381,400 | ||||
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.40%, 11/15/25 | 3,456,000 | 3,342,256 | ||||
| Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. unsub. notes 1.25%, 9/24/26 (Netherlands) | 10,000,000 | 8,829,158 | ||||
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | 10,000,000 | 9,962,500 | ||||
| 44,264,708 | ||||||
| Energy (0.7%) | ||||||
| Continental Resources, Inc. 144A company guaranty sr. unsec. notes 2.268%, 11/15/26 | 1,674,000 | 1,487,901 | ||||
| EQT Corp. sr. unsec. notes 5.678%, 10/1/25 | 2,735,000 | 2,738,569 | ||||
| Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 | 2,000,000 | 2,011,487 | ||||
| Total Energies Capital International SA company guaranty sr. unsec. unsub. notes 2.434%, 1/10/25 (France) | 4,248,000 | 4,089,756 | ||||
| 10,327,713 | ||||||
| Financial (1.0%) | ||||||
| Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 | 2,715,000 | 2,630,338 | ||||
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 10,200,000 | 10,137,304 | ||||
| LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/27 | 2,000,000 | 1,903,280 | ||||
| 14,670,922 | ||||||
| Health care (3.6%) | ||||||
| AbbVie, Inc. sr. unsec. sub. notes 2.60%, 11/21/24 | 10,937,000 | 10,540,078 | ||||
| AbbVie, Inc. sr. unsec. unsub. notes 3.20%, 5/14/26 | 9,905,000 | 9,509,828 | ||||
| Bristol-Myers Squibb Co. sr. unsec. sub. notes 0.75%, 11/13/25 | 314,000 | 284,925 | ||||
| Cigna Corp. sr. unsec. notes 1.25%, 3/15/26 | 5,543,000 | 4,994,378 | ||||
| CVS Health Corp. sr. unsec. unsub. notes 2.875%, 6/1/26 | 8,500,000 | 8,043,909 | ||||
| DH Europe Finance II SARL company guaranty sr. unsec. notes 2.20%, 11/15/24 (Luxembourg) | 4,414,000 | 4,229,084 | ||||
| GE Healthcare Holding, LLC 144A company guaranty sr. unsec. notes 5.65%, 11/15/27 | 2,020,000 | 2,092,928 | ||||
| Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25 | 1,448,000 | 1,402,593 | ||||
| Novartis Capital Corp. company guaranty sr. unsec. notes 1.75%, 2/14/25 | 8,477,000 | 8,046,606 | ||||
| UnitedHealth Group, Inc. company guaranty sr. unsec. unsub. notes 1.25%, 1/15/26 | 4,211,000 | 3,879,055 | ||||
| Zoetis, Inc. sr. unsec. notes 3.25%, 2/1/23 | 2,500,000 | 2,500,000 | ||||
| 55,523,384 | ||||||
| Insurance (1.9%) | ||||||
| Athene Global Funding 144A notes 1.73%, 10/2/26 | 12,044,000 | 10,519,848 | ||||
| CNO Global Funding 144A notes 1.75%, 10/7/26 | 3,340,000 | 2,996,432 | ||||
| Corebridge Financial, Inc. 144A sr. unsec. notes 3.65%, 4/5/27 | 6,415,000 | 6,131,354 | ||||
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 | 2,157,000 | 2,122,726 | ||||
| Pricoa Global Funding I 144A notes 2.40%, 9/23/24 | 5,000,000 | 4,793,960 | ||||
| Willis North America, Inc. company guaranty sr. unsec. unsub. notes 4.65%, 6/15/27 | 2,635,000 | 2,607,741 | ||||
| 29,172,061 | ||||||
| Investment banking/Brokerage (5.1%) | ||||||
| Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27 | 8,880,000 | 7,877,149 | ||||
| Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) | 5,914,000 | 5,737,260 | ||||
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) | 5,145,000 | 4,547,259 | ||||
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.129%, 11/24/26 (Germany) | 8,270,000 | 7,460,663 | ||||
| Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany) | 6,750,000 | 6,159,865 | ||||
| Discover Bank sr. unsec. notes Ser. BKNT, 3.35%, 2/6/23 | 2,023,000 | 2,022,666 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. FRN 1.948%, 10/21/27 | 15,000,000 | 13,426,947 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. notes 3.50%, 4/1/25 | 3,125,000 | 3,033,510 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN 1.431%, 3/9/27 | 4,000,000 | 3,584,110 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 4.00%, 3/3/24 | 4,119,000 | 4,079,479 | ||||
| Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.875%, 1/27/26 | 10,900,000 | 10,644,313 | ||||
| Morgan Stanley unsec. unsub. notes 3.95%, 4/23/27 | 10,000,000 | 9,666,490 | ||||
| 78,239,711 | ||||||
| Real estate (0.7%) | ||||||
| Digital Realty Trust LP company guaranty sr. unsec. unsub. notes 5.55%, 1/15/28(R) | 4,500,000 | 4,598,142 | ||||
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) | 2,785,000 | 2,764,113 | ||||
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) | 2,339,000 | 2,264,917 | ||||
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) | 876,000 | 809,376 | ||||
| 10,436,548 | ||||||
| Technology (4.7%) | ||||||
| Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 | 6,000,000 | 5,874,287 | ||||
| Apple, Inc. sr. unsec. notes 1.125%, 5/11/25 | 7,691,000 | 7,162,679 | ||||
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 5,295,000 | 5,101,964 | ||||
| Cisco Systems, Inc. sr. unsec. unsub. notes 2.60%, 2/28/23 | 4,585,000 | 4,578,296 | ||||
| Dell International, LLC/EMC Corp. company guaranty sr. notes 4.00%, 7/15/24 | 1,500,000 | 1,479,419 | ||||
| Dell International, LLC/EMC Corp. sr. unsec. notes 5.45%, 6/15/23 | 799,000 | 799,970 | ||||
| Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 | 4,600,000 | 4,417,489 | ||||
| Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 | 5,137,000 | 5,120,414 | ||||
| Microchip Technology, Inc. company guaranty sr. notes 2.67%, 9/1/23 | 1,600,000 | 1,577,209 | ||||
| MSCI, Inc. 144A company guaranty sr. unsec. notes 4.00%, 11/15/29 | 3,200,000 | 2,912,000 | ||||
| Oracle Corp. sr. unsec. notes 2.50%, 4/1/25 | 6,500,000 | 6,197,464 | ||||
| Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 | 3,400,000 | 3,100,803 | ||||
| Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 | 10,000,000 | 9,363,474 | ||||
| VMware, Inc. sr. unsec. notes 1.40%, 8/15/26 | 13,989,000 | 12,387,447 | ||||
| Workday, Inc. sr. unsec. notes 3.50%, 4/1/27 | 1,600,000 | 1,530,429 | ||||
| 71,603,344 | ||||||
| Transportation (0.6%) | ||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.95%, 3/10/25 | 1,541,000 | 1,497,017 | ||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.45%, 7/1/24 | 2,300,000 | 2,234,054 | ||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 2.70%, 11/1/24 | 5,000,000 | 4,767,582 | ||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 1.20%, 11/15/25 | 1,385,000 | 1,239,778 | ||||
| 9,738,431 | ||||||
| Utilities and power (4.2%) | ||||||
| AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 | 6,000,000 | 5,409,222 | ||||
| American Electric Power Co., Inc. jr. unsec. sub. notes 2.031%, 3/15/24 | 1,140,000 | 1,101,587 | ||||
| American Electric Power Co., Inc. sr. unsec. unsub. notes 1.00%, 11/1/25 | 4,000,000 | 3,602,016 | ||||
| Boardwalk Pipelines LP company guaranty sr. unsec. unsub. notes 5.95%, 6/1/26 | 3,805,000 | 3,902,692 | ||||
| Duke Energy Ohio, Inc. sr. notes 3.80%, 9/1/23 | 478,000 | 474,401 | ||||
| Enbridge, Inc. company guaranty sr. unsec. notes 1.60%, 10/4/26 (Canada) | 1,900,000 | 1,697,872 | ||||
| Energy Transfer LP company guaranty sr. unsec. notes 5.875%, 1/15/24 | 391,000 | 392,713 | ||||
| Energy Transfer LP company guaranty sr. unsec. notes 4.50%, 4/15/24 | 3,970,000 | 3,937,167 | ||||
| Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 | 174,000 | 166,000 | ||||
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 3.35%, 3/15/23 | 4,660,000 | 4,651,798 | ||||
| Eversource Energy sr. unsec. unsub. notes Ser. H, 3.15%, 1/15/25 | 5,978,000 | 5,781,642 | ||||
| Eversource Energy sr. unsec. unsub. notes Ser. Q, 0.80%, 8/15/25 | 1,000,000 | 900,764 | ||||
| FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 4.15%, 7/15/27 | 3,500,000 | 3,344,775 | ||||
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 4.30%, 5/1/24 | 6,450,000 | 6,402,731 | ||||
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 | 2,150,000 | 2,148,760 | ||||
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 2,855,000 | 2,764,582 | ||||
| NRG Energy, Inc. 144A sr. notes 2.00%, 12/2/25 | 2,000,000 | 1,797,842 | ||||
| Pacific Gas and Electric Co. sr. notes 3.25%, 2/16/24 | 5,000,000 | 4,907,716 | ||||
| Southern Co. (The) sr. unsec. unsub. notes 3.25%, 7/1/26 | 4,950,000 | 4,707,813 | ||||
| Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | 7,250,000 | 7,007,559 | ||||
| 65,099,652 | ||||||
| Total corporate bonds and notes (cost $1,046,347,689) | $972,242,865 | |||||
| MORTGAGE-BACKED SECURITIES (18.7%)(a) | ||||||
| Principal amount | Value | |||||
| Agency collateralized mortgage obligations (—%) | ||||||
| Federal Home Loan Mortgage Corporation | ||||||
| REMICs Ser. 3724, Class CM, 5.50%, 6/15/37 | $12,715 | $12,915 | ||||
| REMICs Ser. 3539, Class PM, 4.50%, 5/15/37 | 4,816 | 4,784 | ||||
| Federal National Mortgage Association | ||||||
| REMICs Ser. 11-60, Class PA, 4.00%, 10/25/39 | 4,766 | 4,552 | ||||
| REMICs Ser. 10-81, Class AP, 2.50%, 7/25/40 | 10,555 | 10,159 | ||||
| Federal National Mortgage Association REMICs Trust Ser. 98-W2, Class X, IO, 0.059%, 6/25/28(WAC) | 4,869 | 73 | ||||
| Government National Mortgage Association Ser. 09-32, Class AB, 4.00%, 5/16/39 | 5,452 | 5,401 | ||||
| 37,884 | ||||||
| Commercial mortgage-backed securities (10.3%) | ||||||
| ACRE Commercial Mortgage, Ltd. 144A FRB Ser. 21-FL4, Class A, 5.30%, 12/18/37 (Cayman Islands) | 1,661,568 | 1,620,028 | ||||
| ACRES Commercial Realty, Ltd. 144A FRB Ser. 21-FL1, Class A, 5.665%, 6/15/36 | 2,345,000 | 2,289,409 | ||||
| AREIT Trust 144A | ||||||
| FRB Ser. 20-CRE4, Class C, 7.518%, 4/15/37 | 4,395,000 | 4,340,063 | ||||
| FRB Ser. 19-CRE3, Class A, 5.867%, 9/14/36 | 259,910 | 256,045 | ||||
| Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.313%, 1/15/49(WAC) | 13,903 | — | ||||
| BANK | ||||||
| FRB Ser. 17-BNK9, Class XA, IO, 0.766%, 11/15/54(WAC) | 53,491,940 | 1,602,100 | ||||
| FRB Ser. 17-BNK8, Class XA, IO, 0.713%, 11/15/50(WAC) | 25,880,812 | 728,959 | ||||
| BDS Ltd. 144A FRB Ser. 21-FL8, Class B, 5.82%, 1/18/36 (Cayman Islands) | 3,538,000 | 3,316,100 | ||||
| BDS, Ltd. 144A FRB Ser. 21-FL10, Class A, 5.82%, 12/16/36 (Cayman Islands) | 1,993,000 | 1,928,228 | ||||
| CD Commercial Mortgage Trust | ||||||
| FRB Ser. 16-CD1, Class XA, IO, 1.366%, 8/10/49(WAC) | 7,934,157 | 276,087 | ||||
| FRB Ser. 17-CD6, Class XA, IO, 0.875%, 11/13/50(WAC) | 17,805,116 | 490,810 | ||||
| CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.607%, 5/10/58(WAC) | 28,432,881 | 1,096,298 | ||||
| CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.08%, 12/15/47(WAC) | 152,737 | 137,433 | ||||
| Citigroup Commercial Mortgage Trust | ||||||
| FRB Ser. 14-GC19, Class GC19, 5.088%, 3/11/47(WAC) | 1,191,000 | 1,157,519 | ||||
| Ser. 13-GC11, Class C, 4.134%, 4/10/46(WAC) | 4,918,000 | 4,828,935 | ||||
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.088%, 3/11/47(WAC) | 2,888,000 | 2,710,716 | ||||
| COMM Mortgage Trust | ||||||
| FRB Ser. 12-LC4, Class C, 5.298%, 12/10/44(WAC) | 332,000 | 328,348 | ||||
| FRB Ser. 13-CR11, Class B, 5.11%, 8/10/50(WAC) | 5,161,000 | 5,056,341 | ||||
| FRB Ser. 13-CR13, Class C, 4.876%, 11/10/46(WAC) | 6,422,000 | 6,102,274 | ||||
| FRB Ser. 14-CR17, Class C, 4.781%, 5/10/47(WAC) | 1,040,000 | 951,118 | ||||
| Ser. 14-CR16, Class B, 4.582%, 4/10/47 | 2,457,000 | 2,350,030 | ||||
| FRB Ser. 15-CR25, Class B, 4.518%, 8/10/48(WAC) | 3,315,000 | 3,112,940 | ||||
| FRB Ser. 14-LC15, Class XA, IO, 1.047%, 4/10/47(WAC) | 15,135,352 | 124,110 | ||||
| FRB Ser. 13-LC13, Class XA, IO, 0.956%, 8/10/46(WAC) | 3,081,457 | 8,380 | ||||
| FRB Ser. 14-CR20, Class XA, IO, 0.944%, 11/10/47(WAC) | 51,251,305 | 607,328 | ||||
| FRB Ser. 15-CR26, Class XA, IO, 0.899%, 10/10/48(WAC) | 39,666,355 | 740,730 | ||||
| FRB Ser. 15-LC21, Class XA, IO, 0.654%, 7/10/48(WAC) | 63,201,253 | 783,639 | ||||
| FRB Ser. 14-CR14, Class XA, IO, 0.511%, 2/10/47(WAC) | 26,987,013 | 93,186 | ||||
| COMM Mortgage Trust 144A | ||||||
| FRB Ser. 10-C1, Class D, 5.792%, 7/10/46(WAC) | 360,469 | 329,323 | ||||
| FRB Ser. 13-CR9, Class AM, 4.293%, 7/10/45(WAC) | 2,000,000 | 1,977,559 | ||||
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41(WAC) | 497,986 | 182,761 | ||||
| CSAIL Commercial Mortgage Trust | ||||||
| Ser. 15-C1, Class XA, IO, 0.817%, 4/15/50(WAC) | 44,257,167 | 504,753 | ||||
| FRB Ser. 18-CX12, Class XA, IO, 0.566%, 8/15/51(WAC) | 184,556,013 | 4,886,859 | ||||
| CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.708%, 12/15/49(WAC) | 67,559,385 | 1,655,205 | ||||
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.355%, 8/10/44(WAC) | 3,280,722 | 2,903,548 | ||||
| Federal Home Loan Mortgage Corporation | ||||||
| Multifamily Structured Pass-Through Certificates FRB Ser. K739, Class XAM, IO, 1.569%, 9/25/27(WAC) | 36,816,638 | 2,246,551 | ||||
| Multifamily Structured Pass-Through Certificates Ser. K738, Class XAM, IO, 1.368%, 3/25/27(WAC) | 17,882,000 | 867,277 | ||||
| Multifamily Structured Pass-Through Certificates FRB Ser. KC06, Class X1, IO, 0.883%, 6/25/26(WAC) | 31,531,938 | 518,417 | ||||
| Multifamily Structured Pass-Through Certificates FRB Ser. K740, Class X1, IO, 0.754%, 9/25/27(WAC) | 48,227,465 | 1,369,038 | ||||
| Multifamily Structured Pass-Through Certificates FRB Ser. K737, Class X1, IO, 0.637%, 10/25/26(WAC) | 66,661,438 | 1,234,637 | ||||
| FREMF Mortgage Trust 144A Ser. 15-K48, Class X2A, IO, 0.10%, 8/25/48 | 383,312,281 | 675,396 | ||||
| GS Mortgage Securities Corp., II 144A Ser. 13-GC10, Class C, 4.285%, 2/10/46(WAC) | 3,097,379 | 3,067,347 | ||||
| GS Mortgage Securities Trust | ||||||
| FRB Ser. 14-GC18, Class C, 5.055%, 1/10/47(WAC) | 748,000 | 508,640 | ||||
| FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47(WAC) | 451,000 | 430,535 | ||||
| FRB Ser. 13-GC12, Class XA, IO, 1.295%, 6/10/46(WAC) | 3,578,333 | 36 | ||||
| FRB Ser. 14-GC24, Class XA, IO, 0.697%, 9/10/47(WAC) | 87,054,773 | 748,671 | ||||
| GS Mortgage Securities Trust 144A | ||||||
| FRB Ser. 10-C1, Class D, 6.356%, 8/10/43(WAC) | 1,563,000 | 1,253,007 | ||||
| FRB Ser. 11-GC5, Class B, 5.154%, 8/10/44(WAC) | 3,315,000 | 2,664,588 | ||||
| Ser. 10-C1, Class B, 5.148%, 8/10/43 | 345,237 | 341,622 | ||||
| JPMBB Commercial Mortgage Securities Trust | ||||||
| FRB Ser. 13-C15, Class C, 5.18%, 11/15/45(WAC) | 2,525,000 | 2,436,607 | ||||
| FRB Ser. 14-C19, Class C, 4.653%, 4/15/47(WAC) | 2,024,000 | 1,924,256 | ||||
| FRB Ser. 13-C12, Class C, 4.112%, 7/15/45(WAC) | 4,088,000 | 3,917,388 | ||||
| FRB Ser. 15-C31, Class XA, IO, 0.815%, 8/15/48(WAC) | 13,887,518 | 239,272 | ||||
| JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 13-C15, Class D, 5.18%, 11/15/45(WAC) | 5,100,000 | 4,864,392 | ||||
| JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-C10, Class XA, IO, 0.867%, 12/15/47(WAC) | 1,292,597 | 1,922 | ||||
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||||||
| FRB Ser. 11-C3, Class B, 5.013%, 2/15/46(WAC) | 1,760,517 | 1,693,526 | ||||
| FRB Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) | 532,000 | 414,481 | ||||
| FRB Ser. 12-LC9, Class D, 3.797%, 12/15/47(WAC) | 173,000 | 172,908 | ||||
| LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class AJ, 5.452%, 9/15/39(WAC) | 94,429 | 41,359 | ||||
| LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class AS, 3.141%, 4/20/48(WAC) | 774,012 | 740,985 | ||||
| Morgan Stanley Bank of America Merrill Lynch Trust | ||||||
| FRB Ser. 13-C13, Class B, 4.743%, 11/15/46(WAC) | 2,813,000 | 2,742,112 | ||||
| Ser. 13-C13, Class AS, 4.266%, 11/15/46 | 4,699,000 | 4,626,917 | ||||
| FRB Ser. 13-C9, Class C, 4.014%, 5/15/46(WAC) | 3,168,000 | 2,854,517 | ||||
| Ser. 12-C6, Class B, 3.93%, 11/15/45 | 98,901 | 98,901 | ||||
| FRB Ser. 14-C17, Class XA, IO, 1.031%, 8/15/47(WAC) | 4,568,276 | 37,784 | ||||
| FRB Ser. 15-C26, Class XA, IO, 0.966%, 10/15/48(WAC) | 47,400,439 | 752,198 | ||||
| FRB Ser. 17-C34, Class XA, IO, 0.774%, 11/15/52(WAC) | 235,414,984 | 6,274,610 | ||||
| FRB Ser. 16-C32, Class XA, IO, 0.654%, 12/15/49(WAC) | 94,446,861 | 1,917,819 | ||||
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||||||
| FRB Ser. 12-C5, Class E, 4.656%, 8/15/45(WAC) | 6,424,000 | 5,927,542 | ||||
| FRB Ser. 13-C9, Class D, 4.102%, 5/15/46(WAC) | 1,837,000 | 1,624,799 | ||||
| FRB Ser. 13-C7, Class XB, IO, 0.229%, 2/15/46(WAC) | 9,231,879 | 92 | ||||
| Morgan Stanley Capital I Trust | ||||||
| FRB Ser. 18-H4, Class XA, IO, 0.831%, 12/15/51(WAC) | 61,569,096 | 2,237,587 | ||||
| FRB Ser. 16-UB12, Class XA, IO, 0.652%, 12/15/49(WAC) | 26,358,267 | 525,181 | ||||
| FRB Ser. 18-L1, Class XA, IO, 0.505%, 10/15/51(WAC) | 78,288,911 | 1,686,500 | ||||
| PFP, Ltd. 144A FRB Ser. 22-9, Class A, 6.752%, 8/19/35 (Bermuda) | 2,323,000 | 2,276,540 | ||||
| Ready Capital Mortgage Financing, LLC 144A | ||||||
| FRB Ser. 22-FL8, Class AS, 6.41%, 1/25/37 | 1,751,000 | 1,741,787 | ||||
| FRB Ser. 21-FL6, Class B, 6.106%, 7/25/36 | 2,612,000 | 2,480,683 | ||||
| UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.004%, 12/15/50(WAC) | 11,110,831 | 400,045 | ||||
| UBS-Barclays Commercial Mortgage Trust 144A | ||||||
| FRB Ser. 12-C2, Class D, 4.78%, 5/10/63(WAC) | 279,000 | 12,555 | ||||
| FRB Ser. 12-C2, Class XA, IO, 0.601%, 5/10/63(WAC) | 2,119,899 | 21 | ||||
| VMC Finance, LLC 144A FRB Ser. 21-FL4, Class AS, 5.92%, 6/16/36 | 4,199,000 | 4,010,045 | ||||
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.342%, 11/15/48(WAC) | 198,945 | 62 | ||||
| Wells Fargo Commercial Mortgage Trust | ||||||
| FRB Ser. 13-LC12, Class C, 4.291%, 7/15/46(WAC) | 898,000 | 759,888 | ||||
| FRB Ser. 16-BNK1, Class XA, IO, 1.716%, 8/15/49(WAC) | 22,079,525 | 1,009,034 | ||||
| FRB Ser. 19-C50, Class XA, IO, 1.412%, 5/15/52(WAC) | 31,885,383 | 2,094,838 | ||||
| FRB Ser. 17-C41, Class XA, IO, 1.153%, 11/15/50(WAC) | 20,564,274 | 861,047 | ||||
| FRB Ser. 18-C48, Class XA, IO, 0.944%, 1/15/52(WAC) | 20,505,054 | 897,916 | ||||
| FRB Ser. 16-C37, Class XA, IO, 0.805%, 12/15/49(WAC) | 5,737,939 | 128,035 | ||||
| FRB Ser. 18-C44, Class XA, IO, 0.713%, 5/15/51(WAC) | 66,466,257 | 1,880,197 | ||||
| FRB Ser. 15-LC20, Class XB, IO, 0.476%, 4/15/50(WAC) | 10,567,000 | 97,322 | ||||
| Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.291%, 7/15/46(WAC) | 763,000 | 315,912 | ||||
| WF-RBS Commercial Mortgage Trust | ||||||
| FRB Ser. 14-C19, Class C19, 4.646%, 3/15/47(WAC) | 1,086,000 | 1,003,810 | ||||
| Ser. 13-C18, Class AS, 4.387%, 12/15/46(WAC) | 601,000 | 588,109 | ||||
| FRB Ser. 12-C10, Class C, 4.327%, 12/15/45(WAC) | 267,000 | 234,962 | ||||
| Ser. 13-C12, Class B, 3.863%, 3/15/48(WAC) | 4,671,000 | 4,591,561 | ||||
| Ser. 12-C10, Class AS, 3.241%, 12/15/45 | 815,617 | 762,602 | ||||
| FRB Ser. 14-C22, Class XA, IO, 0.782%, 9/15/57(WAC) | 23,764,135 | 218,583 | ||||
| FRB Ser. 14-C23, Class XA, IO, 0.55%, 10/15/57(WAC) | 68,949,300 | 467,338 | ||||
| WF-RBS Commercial Mortgage Trust 144A | ||||||
| FRB Ser. 13-UBS1, Class D, 5.024%, 3/15/46(WAC) | 6,641,000 | 6,356,019 | ||||
| Ser. 11-C4, Class D, 4.845%, 6/15/44(WAC) | 2,130,000 | 1,777,937 | ||||
| Ser. 11-C4, Class E, 4.845%, 6/15/44(WAC) | 40,000 | 31,138 | ||||
| 158,154,565 | ||||||
| Residential mortgage-backed securities (non-agency) (8.4%) | ||||||
| Angel Oak Mortgage Trust 144A | ||||||
| Ser. 20-5, Class A3, 2.041%, 5/25/65(WAC) | 781,408 | 723,819 | ||||
| Ser. 21-5, Class A2, 1.208%, 7/25/66(WAC) | 4,326,073 | 3,871,835 | ||||
| Angel Oak Mortgage Trust I, LLC 144A Ser. 19-1, Class A3, 4.124%, 11/25/48(WAC) | 9,964 | 9,925 | ||||
| Arroyo Mortgage Trust 144A | ||||||
| Ser. 19-1, Class A3, 4.208%, 1/25/49(WAC) | 639,095 | 599,006 | ||||
| Ser. 19-3, Class A3, 3.416%, 10/25/48(WAC) | 173,560 | 160,815 | ||||
| BankUnited Trust FRB Ser. 05-1, Class 1A1, (ICE LIBOR USD 1 Month + 0.60%), 5.106%, 9/25/45 | 97,482 | 87,379 | ||||
| Bellemeade Re, Ltd. 144A | ||||||
| FRB Ser. 17-1, Class M2, (ICE LIBOR USD 1 Month + 3.35%), 7.856%, 10/25/27 (Bermuda) | 472,769 | 472,996 | ||||
| FRB Ser. 21-3A, Class M1B, (US 30 Day Average SOFR + 1.40%), 5.71%, 9/25/31 (Bermuda) | 1,139,000 | 1,086,778 | ||||
| BRAVO Residential Funding Trust 144A | ||||||
| Ser. 20-NQM1, Class A3, 2.406%, 5/25/60(WAC) | 288,357 | 273,147 | ||||
| Ser. 21-B, Class A1, 2.115%, 4/1/69 | 3,610,832 | 3,376,792 | ||||
| Ser. 21-C, Class A1, 1.62%, 3/1/61 | 4,544,953 | 3,954,109 | ||||
| Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55(WAC) | 3,766,000 | 3,301,712 | ||||
| Cascade Funding Mortgage Trust 144A Ser. 21-HB6, Class M1, 1.805%, 6/25/36(WAC) | 5,000,000 | 4,573,669 | ||||
| Cascade Funding Mortgage Trust, LLC 144A | ||||||
| Ser. 21-HB7, Class M2, 2.679%, 10/27/31(WAC) | 1,712,000 | 1,623,907 | ||||
| Ser. 21-HB5, Class M2, 1.847%, 2/25/31(WAC) | 2,500,000 | 2,389,800 | ||||
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.073%, 5/25/35(WAC) | 73,773 | 71,399 | ||||
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65(WAC) | 87,168 | 85,390 | ||||
| Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (ICE LIBOR USD 1 Month + 0.62%), 5.126%, 4/25/35 | 83,820 | 72,017 | ||||
| CSMC Trust 144A Ser. 20-RPL5, Class A1, 3.023%, 8/25/60(WAC) | 639,985 | 623,536 | ||||
| Eagle Re, Ltd. 144A | ||||||
| FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 3.00%), 7.506%, 11/25/28 | 600,000 | 605,638 | ||||
| FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 6.206%, 11/25/28 (Bermuda) | 247,773 | 246,991 | ||||
| Federal Home Loan Mortgage Corporation | ||||||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, (ICE LIBOR USD 1 Month + 5.55%), 9.939%, 7/25/28 | 4,004,524 | 4,265,283 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.206%, 4/25/28 | 6,082,026 | 6,391,204 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 17-HQA3, Class M2, (ICE LIBOR USD 1 Month + 2.35%), 6.856%, 4/25/30 | 335,126 | 338,529 | ||||
| Federal Home Loan Mortgage Corporation 144A | ||||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 7.11%, 10/25/50 | 129,630 | 131,284 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 6.96%, 7/25/42 | 2,534,432 | 2,566,113 | ||||
| Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 6.906%, 2/25/47 | 13,398,144 | 13,465,135 | ||||
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class M2, (ICE LIBOR USD 1 Month + 2.05%), 6.556%, 7/25/49 | 96,359 | 96,359 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA4, Class M1A, (US 30 Day Average SOFR + 2.20%), 6.51%, 5/25/42 | 84,822 | 85,353 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.46%, 9/25/42 | 52,928 | 53,303 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M1A, (US 30 Day Average SOFR + 2.10%), 6.41%, 3/25/42 | 15,155 | 15,174 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class M2, (US 30 Day Average SOFR + 2.10%), 6.41%, 10/25/33 | 750,000 | 746,016 | ||||
| Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 5.506%, 2/25/47 | 5,905,674 | 5,855,625 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.31%, 1/25/42 | 274,303 | 269,421 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.11%, 10/25/41 | 1,366,311 | 1,355,371 | ||||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class M1, (US 30 Day Average SOFR + 0.75%), 5.06%, 10/25/33 | 2,204,492 | 2,190,963 | ||||
| Federal National Mortgage Association | ||||||
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.456%, 8/25/28 | 57,682 | 61,031 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.256%, 8/25/28 | 2,959 | 3,144 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.406%, 10/25/28 | 144,107 | 150,591 | ||||
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.206%, 4/25/28 | 4,480,344 | 4,728,831 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 9.806%, 10/25/28 | 599,939 | 629,979 | ||||
| Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, (ICE LIBOR USD 1 Month + 5.25%), 9.756%, 10/25/23 | 1,145,890 | 1,176,022 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 9.506%, 11/25/24 | 213,648 | 216,288 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 9.406%, 11/25/24 | 723,960 | 753,454 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C01, Class M2, (ICE LIBOR USD 1 Month + 4.40%), 8.906%, 1/25/24 | 7,994 | 8,225 | ||||
| Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 8.806%, 2/25/25 | 1,087 | 1,125 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.406%, 7/25/24 | 523,040 | 528,856 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (ICE LIBOR USD 1 Month + 2.80%), 7.306%, 2/25/30 | 177,000 | 178,828 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (ICE LIBOR USD 1 Month + 2.60%), 7.106%, 5/25/24 | 897,340 | 910,812 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (ICE LIBOR USD 1 Month + 2.35%), 6.856%, 1/25/31 | 821,157 | 828,342 | ||||
| Federal National Mortgage Association 144A | ||||||
| Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.26%, 6/25/42 | 148,098 | 151,146 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.956%, 7/25/31 | 89,162 | 89,273 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 6.81%, 9/25/42 | 3,386,520 | 3,405,104 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 11/25/39 | 386,747 | 383,920 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 19-R07, Class 1M2, (ICE LIBOR USD 1 Month + 2.10%), 6.606%, 10/25/39 | 122,069 | 122,069 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M1, (US 30 Day Average SOFR + 2.00%), 6.31%, 3/25/42 | 1,611,519 | 1,579,289 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.31%, 12/25/41 | 2,509,340 | 2,481,110 | ||||
| Connecticut Avenue Securities Trust FRB Ser. 21-R03, Class 1M1, (US 30 Day Average SOFR + 0.85%), 5.16%, 12/25/41 | 28,310 | 28,010 | ||||
| First Franklin Mortgage Loan Trust FRB Ser. 06-FF15, Class A5, (ICE LIBOR USD 1 Month + 0.16%), 4.666%, 11/25/36 | 528,074 | 516,599 | ||||
| FWD Securitization Trust 144A Ser. 19-INV1, Class A3, 3.11%, 6/25/49(WAC) | 874,690 | 808,870 | ||||
| Galton Funding Mortgage Trust 144A FRB Ser. 20-H1, Class A3, 2.617%, 1/25/60(WAC) | 2,041,804 | 1,856,047 | ||||
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 1,254,577 | 1,154,357 | ||||
| GS Mortgage-Backed Securities Trust 144A Ser. 20-NQM1, Class A3, 2.352%, 9/27/60(WAC) | 446,848 | 403,934 | ||||
| GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (ICE LIBOR USD 1 Month + 0.36%), 4.866%, 5/25/36 | 463,473 | 115,573 | ||||
| Home Re, Ltd. 144A FRB Ser. 21-1, Class M1B, (ICE LIBOR USD 1 Month + 1.55%), 6.056%, 7/25/33 (Bermuda) | 3,372,822 | 3,347,330 | ||||
| Homeward Opportunities Fund I Trust 144A Ser. 20-2, Class A1, 1.657%, 5/25/65(WAC) | 28,438 | 28,263 | ||||
| Imperial Fund Mortgage Trust 144A Ser. 21-NQM1, Class A3, 1.617%, 6/25/56(WAC) | 2,031,147 | 1,714,362 | ||||
| Legacy Mortgage Asset Trust 144A | ||||||
| FRB Ser. 19-GS7, Class A1, 6.25%, 11/25/59 | 3,470,952 | 3,483,958 | ||||
| Ser. 21-GS1, Class A1, 1.892%, 10/25/66 | 3,971,958 | 3,695,021 | ||||
| Ser. 21-GS3, Class A1, 1.75%, 7/25/61 | 1,957,622 | 1,817,928 | ||||
| Ser. 21-GS4, Class A1, 1.65%, 11/25/60 | 3,192,473 | 2,873,813 | ||||
| LHOME Mortgage Trust 144A Ser. 21-RTL2, Class A1, 2.09%, 6/25/26 | 6,536,000 | 6,101,578 | ||||
| MFRA Trust 144A Ser. 20-NQM1, Class A3, 2.30%, 8/25/49(WAC) | 872,083 | 807,916 | ||||
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.484%, 8/26/47(WAC) | 932,568 | 906,043 | ||||
| New Residential Mortgage Loan Trust 144A | ||||||
| FRB Ser. 18-4A, Class A1M, (ICE LIBOR USD 1 Month + 0.90%), 5.406%, 1/25/48 | 213,933 | 209,115 | ||||
| Ser. 19-NQM4, Class A3, 2.797%, 9/25/59(WAC) | 1,952,701 | 1,799,218 | ||||
| Ser. 19-NQM4, Class A2, 2.644%, 9/25/59(WAC) | 766,760 | 705,420 | ||||
| New York Mortgage Trust 144A Ser. 21-BPL1, Class A1, 2.239%, 5/25/26 | 1,500,000 | 1,396,086 | ||||
| Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M1, (ICE LIBOR USD 1 Month + 1.55%), 6.056%, 7/25/28 (Bermuda) | 164,210 | 163,948 | ||||
| Onslow Bay Financial, LLC Trust 144A Ser. 18-EXP1, Class 1A3, 4.00%, 4/25/48(WAC) | 199,759 | 186,390 | ||||
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (ICE LIBOR USD 1 Month + 1.05%), 5.556%, 10/25/34 | 126,228 | 122,736 | ||||
| Radnor Re, Ltd. 144A | ||||||
| FRB Ser. 19-1, Class M2, (ICE LIBOR USD 1 Month + 3.20%), 7.706%, 2/25/29 (Bermuda) | 1,570,000 | 1,556,152 | ||||
| FRB Ser. 19-2, Class M1B, (ICE LIBOR USD 1 Month + 1.75%), 6.256%, 6/25/29 (Bermuda) | 275,289 | 275,087 | ||||
| Residential Mortgage Loan Trust 144A | ||||||
| Ser. 19-3, Class A2, 2.941%, 9/25/59(WAC) | 177,773 | 174,264 | ||||
| Ser. 21-1R, Class A1, 0.859%, 1/25/65(WAC) | 224,258 | 205,281 | ||||
| ROC Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.487%, 8/25/26(WAC) | 2,039,000 | 1,850,393 | ||||
| Starwood Mortgage Residential Trust 144A Ser. 19-INV1, Class A2, 2.865%, 9/27/49(WAC) | 1,381,182 | 1,368,483 | ||||
| Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 5.356%, 5/25/47 | 399,720 | 318,895 | ||||
| Toorak Mortgage Corp., Ltd. 144A | ||||||
| Ser. 20-1, Class A1, 2.734%, 3/25/23(WAC) | 2,314,780 | 2,230,740 | ||||
| Ser. 21-1, Class A1, 2.24%, 6/25/24 | 1,850,000 | 1,765,596 | ||||
| VCAT Asset Securitization, LLC 144A Ser. 21-NPL1, Class A1, 2.289%, 12/26/50 | 407,709 | 389,883 | ||||
| Verus Securitization Trust 144A Ser. 19-INV3, Class A3, 3.10%, 11/25/59(WAC) | 1,063,790 | 1,011,209 | ||||
| 129,811,730 | ||||||
| Total mortgage-backed securities (cost $311,597,297) | $288,004,179 | |||||
| COLLATERALIZED LOAN OBLIGATIONS (2.3%)(a) | ||||||
| Principal amount | Value | |||||
| AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 4/15/34 (Cayman Islands) | $2,517,000 | $2,473,630 | ||||
| AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.008%, 7/20/34 (Cayman Islands) | 1,948,000 | 1,921,564 | ||||
| Apidos CLO XII 144A FRB Ser. 18-12A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/31 (Cayman Islands) | 2,743,000 | 2,718,464 | ||||
| Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 6.065%, 11/22/34 (Cayman Islands) | 2,854,000 | 2,784,294 | ||||
| BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 10/15/34 (Cayman Islands) | 2,091,000 | 2,056,524 | ||||
| CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.918%, 4/20/32 (Cayman Islands) | 3,000,000 | 2,964,066 | ||||
| Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 5.785%, 7/27/30 (Cayman Islands) | 2,757,946 | 2,728,765 | ||||
| CIFC Funding, Ltd. 144A FRB Ser. 21-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 5.766%, 10/24/30 (Cayman Islands) | 2,535,274 | 2,508,866 | ||||
| LCM, Ltd. 144A FRB Ser. 30A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.888%, 4/20/31 (Cayman Islands) | 1,957,000 | 1,925,508 | ||||
| Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 6.215%, 10/22/30 (Cayman Islands) | 2,250,000 | 2,209,457 | ||||
| Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 6.082%, 1/15/35 (Cayman Islands) | 1,655,000 | 1,618,360 | ||||
| OCP CLO, Ltd. 144A FRB Ser. 21-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 5.848%, 7/20/32 (Cayman Islands) | 3,424,000 | 3,372,270 | ||||
| Octagon Investment Partners 44, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 5.972%, 10/15/34 (Cayman Islands) | 1,265,000 | 1,244,300 | ||||
| Saranac CLO VII, Ltd. 144A FRB Ser. 17-2A, Class BR, (ICE LIBOR USD 3 Month + 1.75%), 6.425%, 11/20/29 (Jersey) | 1,000,000 | 949,782 | ||||
| Shackleton CLO, Ltd. 144A FRB Ser. 18-4RA, Class A1A, (ICE LIBOR USD 3 Month + 1.00%), 5.815%, 4/13/31 (Cayman Islands) | 1,500,000 | 1,479,572 | ||||
| Sound Point CLO XVIII, Ltd. 144A FRB Ser. 18-4A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 5.928%, 1/21/31 (Cayman Islands) | 1,500,000 | 1,476,294 | ||||
| Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 7/15/34 (Cayman Islands) | 1,195,000 | 1,163,674 | ||||
| Total collateralized loan obligations (cost $35,660,109) | $35,595,390 | |||||
| ASSET-BACKED SECURITIES (1.5%)(a) | ||||||
| Principal amount | Value | |||||
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $1,722,577 | $1,701,045 | ||||
| Mortgage Repurchase Agreement Financing Trust II 144A FRN Ser. 22-S1, Class A1, (US 30 Day Average SOFR + 2.00%), 6.228%, 3/30/25 | 1,800,000 | 1,800,000 | ||||
| MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.55%, 6/15/23 | 5,986,000 | 5,986,000 | ||||
| NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 5.256%, 5/25/55 | 5,328,000 | 5,017,559 | ||||
| Prodigy Finance Designated Activity Co. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 1 Month + 1.25%), 5.756%, 7/25/51 (Ireland) | 635,837 | 623,157 | ||||
| Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 5.77%, 5/29/23 | 7,541,000 | 7,541,000 | ||||
| Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 5.106%, 1/25/46 | 108,895 | 107,959 | ||||
| Total asset-backed securities (cost $23,097,110) | $22,776,720 | |||||
| U.S. TREASURY OBLIGATIONS (—%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Treasury Notes 1.875%, 2/28/27(i) | $106,000 | $99,552 | ||||
| Total U.S. treasury obligations (cost $99,552) | $99,552 | |||||
| SHORT-TERM INVESTMENTS (13.3%)(a) | ||||||
| Principal amount/shares | Value | |||||
| Amcor Finance (USA), Inc. commercial paper 4.949%, 2/2/23 | $5,000,000 | $4,998,708 | ||||
| Arrow Electronics, Inc. commercial paper 4.960%, 2/1/23 | 5,000,000 | 4,999,325 | ||||
| Autonation, Inc. commercial paper 4.851%, 2/1/23 | 13,000,000 | 12,998,254 | ||||
| Aviation Capital Group, LLC commercial paper 4.981%, 2/1/23 | 7,500,000 | 7,499,074 | ||||
| Cabot Corp. commercial paper 4.659%, 2/1/23 | 5,000,000 | 4,999,370 | ||||
| Crown Castle, Inc. commercial paper 5.166%, 2/8/23 | 1,400,000 | 1,398,444 | ||||
| Dollar General Corp. commercial paper 4.703%, 2/15/23 | 5,000,000 | 4,990,144 | ||||
| ERAC USA Finance, LLC commercial paper 4.767%, 2/16/23 | 2,500,000 | 2,494,740 | ||||
| Fidelity National Information Services, Inc. commercial paper 4.913%, 2/1/23 | 5,000,000 | 4,999,370 | ||||
| FMC Corp. commercial paper 4.851%, 2/1/23 | 10,875,000 | 10,873,538 | ||||
| Humana, Inc. commercial paper 4.872%, 2/13/23 | 5,000,000 | 4,991,295 | ||||
| Mercedes-Benz Finance North America, LLC commercial paper 4.727%, 2/16/23 | 5,000,000 | 4,989,480 | ||||
| Mohawk Industries, Inc. commercial paper 4.713%, 2/2/23 | 2,550,000 | 2,549,353 | ||||
| Nutrien, Ltd. commercial paper 4.770%, 2/13/23 (Canada) | 3,500,000 | 3,493,999 | ||||
| Plains All American Pipeline LP commercial paper 4.851%, 2/1/23 | 7,000,000 | 6,999,117 | ||||
| Protective Life Corp. commercial paper 4.658%, 2/7/23 | 5,000,000 | 4,995,411 | ||||
| Putnam Short Term Investment Fund Class P 4.58%(AFF) | Shares | 79,592,914 | 79,592,914 | |||
| Societe Generale SA commercial paper 5.806%, 11/13/23 (France) | $5,300,000 | 5,088,138 | ||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18%(P) | Shares | 360,000 | 360,000 | |||
| Suncor Energy, Inc. commercial paper 4.767%, 2/13/23 (Canada) | $2,500,000 | 2,495,733 | ||||
| Suncor Energy, Inc. commercial paper 4.990%, 2/2/23 (Canada) | 3,500,000 | 3,499,112 | ||||
| Targa Resources Corp. commercial paper 5.051%, 2/1/23 | 5,000,000 | 4,999,411 | ||||
| Toronto-Dominion Bank (The) commercial paper 3.702%, 7/3/23 (Canada) | 5,000,000 | 4,898,404 | ||||
| U.S. Treasury Bills 4.491%, 3/16/23(SEGSF)(SEGCCS) | 2,800,000 | 2,785,056 | ||||
| U.S. Treasury Bills 4.530%, 3/2/23(SEGSF)(SEGCCS) | 2,000,000 | 1,992,883 | ||||
| UDR, Inc. commercial paper 4.718%, 2/10/23 | 5,000,000 | 4,993,447 | ||||
| Westpac Banking Corp. commercial paper 4.690%, 9/13/23 (Australia) | 6,125,000 | 5,938,226 | ||||
| Total short-term investments (cost $204,950,888) | $204,912,946 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $1,621,752,645) | $1,523,631,652 | |||||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited) | |||||||||||
| Notional amount | Value | Upfront premium received (paid) | Termi- nation date |
Payments
made by fund |
Payments
received by fund |
Unrealized appreciation/ (depreciation) |
|||||
| $662,903,000 | $238,645 | (E) | $2,193,627 | 3/15/25 | US SOFR — Annually | 4.10% — Annually | $1,954,982 | ||||
| 301,561,000 | 4,933,538 | (E) | 1,210,462 | 3/15/28 | 3.70% — Annually | US SOFR — Annually | (3,723,076) | ||||
| Total | $3,404,089 | $(1,768,094) | |||||||||
| (E) | Extended effective date. | ||||||||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (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 | $2,939 | $26,597 | $6,503 | 5/11/63 | 300 bp — Monthly | $(3,548) | ||||
| CMBX NA BBB-.6 Index | BB/P | 5,604 | 57,524 | 14,065 | 5/11/63 | 300 bp — Monthly | (8,427) | ||||
| CMBX NA BBB-.6 Index | BB/P | 11,483 | 115,049 | 28,129 | 5/11/63 | 300 bp — Monthly | (16,580) | ||||
| CMBX NA BBB-.6 Index | BB/P | 10,944 | 118,760 | 29,037 | 5/11/63 | 300 bp — Monthly | (18,024) | ||||
| Citigroup Global Markets, Inc. | |||||||||||
| CMBX NA BB.6 Index | B/P | 16,784 | 79,974 | 29,542 | 5/11/63 | 500 bp — Monthly | (12,681) | ||||
| CMBX NA BB.7 Index | B-/P | 1,123 | 22,000 | 7,185 | 1/17/47 | 500 bp — Monthly | (6,041) | ||||
| Credit Suisse International | |||||||||||
| CMBX NA BBB-.7 Index | BB-/P | 38,436 | 520,000 | 98,124 | 1/17/47 | 300 bp — Monthly | (59,385) | ||||
| Goldman Sachs International | |||||||||||
| CMBX NA A.7 Index | BBB+/P | 1,714 | 34,000 | 1,935 | 1/17/47 | 200 bp — Monthly | (207) | ||||
| JPMorgan Securities LLC | |||||||||||
| CMBX NA BB.6 Index | B/P | 22,651 | 30,076 | 11,110 | 5/11/63 | 500 bp — Monthly | 11,570 | ||||
| CMBX NA BB.7 Index | B-/P | 627,248 | 1,281,000 | 418,375 | 1/17/47 | 500 bp — Monthly | 210,121 | ||||
| Merrill Lynch International | |||||||||||
| CMBX NA BBB-.6 Index | BB/P | 269 | 619 | 151 | 5/11/63 | 300 bp — Monthly | 119 | ||||
| Morgan Stanley & Co. International PLC | |||||||||||
| CMBX NA A.7 Index | BBB+/P | (6) | 6,000 | 341 | 1/17/47 | 200 bp — Monthly | (345) | ||||
| CMBX NA BB.6 Index | B/P | 9,332 | 25,974 | 9,595 | 5/11/63 | 500 bp — Monthly | (238) | ||||
| CMBX NA BB.6 Index | B/P | 18,481 | 51,265 | 18,937 | 5/11/63 | 500 bp — Monthly | (407) | ||||
| Upfront premium received | 767,008 | Unrealized appreciation | 221,810 | ||||||||
| Upfront premium (paid) | (6) | Unrealized (depreciation) | (125,883) | ||||||||
| Total | $767,002 | Total | $95,927 | ||||||||
| * | 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, 2023. 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 1/31/23 (Unaudited) | |||||||||||
| Swap
counterparty/ referenced debt* |
Upfront premium received (paid)** | Notional amount |
Value | Termi- nation date |
Payments (paid) by fund | Unrealized appreciation/ (depreciation) |
|||||
| Citigroup Global Markets, Inc. | |||||||||||
| CMBX NA A.7 Index | $(297) | $40,000 | $2,276 | 1/17/47 | (200 bp) — Monthly | $1,964 | |||||
| CMBX NA BBB-.6 Index | (9,679) | 94,018 | 22,987 | 5/11/63 | (300 bp) — Monthly | 13,253 | |||||
| Credit Suisse International | |||||||||||
| CMBX NA BB.7 Index | (52,019) | 282,000 | 92,101 | 1/17/47 | (500 bp) — Monthly | 39,808 | |||||
| CMBX NA BB.7 Index | (42,273) | 257,000 | 83,936 | 1/17/47 | (500 bp) — Monthly | 41,413 | |||||
| CMBX NA BB.7 Index | (3,989) | 154,480 | 57,065 | 5/11/63 | (500 bp) — Monthly | 52,926 | |||||
| CMBX NA BBB-.6 Index | (42,991) | 224,530 | 54,898 | 5/11/63 | (300 bp) — Monthly | 11,775 | |||||
| Goldman Sachs International | |||||||||||
| CMBX NA BB.6 Index | (4,910) | 32,810 | 12,120 | 5/11/63 | (500 bp) — Monthly | 7,178 | |||||
| CMBX NA BB.7 Index | (15,401) | 94,000 | 30,700 | 1/17/47 | (500 bp) — Monthly | 15,208 | |||||
| CMBX NA BB.7 Index | (5,685) | 28,000 | 9,145 | 1/17/47 | (500 bp) — Monthly | 3,432 | |||||
| CMBX NA BB.7 Index | (4,086) | 27,000 | 8,818 | 1/17/47 | (500 bp) — Monthly | 4,706 | |||||
| CMBX NA BBB-.7 Index | (8,458) | 104,000 | 19,625 | 1/17/47 | (300 bp) — Monthly | 11,106 | |||||
| CMBX NA BBB-.7 Index | (135) | 2,000 | 377 | 1/17/47 | (300 bp) — Monthly | 241 | |||||
| CMBX NA BBB-.7 Index | (69) | 1,000 | 189 | 1/17/47 | (300 bp) — Monthly | 119 | |||||
| CMBX NA BBB-.7 Index | (68) | 1,000 | 189 | 1/17/47 | (300 bp) — Monthly | 120 | |||||
| JPMorgan Securities LLC | |||||||||||
| CMBX NA BBB-.7 Index | (96,488) | 411,000 | 77,556 | 1/17/47 | (300 bp) — Monthly | (19,172) | |||||
| Merrill Lynch International | |||||||||||
| CMBX NA BB.7 Index | (58,463) | 337,000 | 110,064 | 1/17/47 | (500 bp) — Monthly | 51,274 | |||||
| CMBX NA BBB-.7 Index | (82) | 1,000 | 189 | 1/17/47 | (300 bp) — Monthly | 106 | |||||
| Morgan Stanley & Co. International PLC | |||||||||||
| CMBX NA BB.7 Index | (24,622) | 122,000 | 39,845 | 1/17/47 | (500 bp) — Monthly | 15,105 | |||||
| CMBX NA BB.7 Index | (15,619) | 81,000 | 26,455 | 1/17/47 | (500 bp) — Monthly | 10,757 | |||||
| CMBX NA BB.7 Index | (15,083) | 75,000 | 24,495 | 1/17/47 | (500 bp) — Monthly | 9,339 | |||||
| Upfront premium received | — | Unrealized appreciation | 289,830 | ||||||||
| Upfront premium (paid) | (400,417) | Unrealized (depreciation) | (19,172) | ||||||||
| Total | $(400,417) | Total | $270,658 | ||||||||
| * | 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 abbreviations | ||||||
| BKNT | Bank Note | |||||
| bp | Basis Points | |||||
| CME | Chicago Mercantile Exchange | |||||
| DAC | Designated Activity Company | |||||
| 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. | |||||
| GMTN | Global Medium Term Notes | |||||
| ICE | Intercontinental Exchange | |||||
| IO | Interest Only | |||||
| LIBOR | London Interbank Offered Rate | |||||
| MTN | Medium Term Notes | |||||
| OTC | Over-the-counter | |||||
| REMICs | Real Estate Mortgage Investment Conduits | |||||
| SOFR | Secured Overnight Financing Rate | |||||
| 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, 2022 through January 31, 2023 (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 $1,537,043,550. | |||||
| (AFF) | Affiliated company. For investments in 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 10/31/22 |
Purchase cost |
Sale proceeds |
Investment income |
Shares
outstanding and fair value as of 1/31/23 |
|
| Short-term investments | ||||||
| Putnam Short Term Investment Fund* | $98,133,483 | $243,813,585 | $262,354,154 | $697,317 | $79,592,914 | |
| Total Short-term investments | $98,133,483 | $243,813,585 | $262,354,154 | $697,317 | $79,592,914 | |
| * 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. | ||||||
| (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 $406,126. | |||||
| (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 $4,182,049. | |||||
| (i) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | |||||
| (P) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | |||||
| (R) | Real Estate Investment Trust. | |||||
| (WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | |||||
| 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. | ||||||
| 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
| 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. | ||||||
| To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
| To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
| Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | ||||||
| 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 term structure risk back in line with the benchmark, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. | ||||||
| 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. | ||||||
| Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. | ||||||
| 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. | ||||||
| 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 $439,877 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $406,126 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 | |
| Asset-backed securities | $— | $22,776,720 | $— | |
| Collateralized loan obligations | — | 35,595,390 | — | |
| Corporate bonds and notes | — | 972,242,865 | — | |
| Mortgage-backed securities | — | 288,004,179 | — | |
| U.S. treasury obligations | — | 99,552 | — | |
| Short-term investments | 360,000 | 204,552,946 | — | |
| Totals by level | $360,000 | $1,523,271,652 | $— | |
| Valuation inputs | ||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |
| Interest rate swap contracts | $— | $(5,172,183) | $— | |
| Totals by level | $— | $(5,172,183) | $— | |
| 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: | ||||
| Centrally cleared interest rate swap contracts (notional) | $1,015,400,000 | |||
| OTC credit default contracts (notional) | $4,800,000 | |||
| 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 | ||||