Putnam
Short Duration Bond
Fund

Semiannual report
4 | 30 | 22

 

 

Message from the Trustees

June 10, 2022

Dear Fellow Shareholder:

The year to date has been difficult for investors, with bond and stock prices falling in repeated market downturns. Inflation has climbed to levels not seen in decades, prompting the U.S. Federal Reserve to reverse the stimulus that had helped support financial assets since 2020. Markets globally also have reacted to the Russia-Ukraine War and the worsening Covid-19 pandemic in China. In the underlying economy, we have seen encouraging signs, such as abundant job openings and wage gains in the United States.

History has shown us that markets eventually recover from crises and may reward those focused on long-term goals rather than short-term uncertainties. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.

Thank you for investing with Putnam.

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 2.25%; had they, returns would have been lower. See below and pages 8–10 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

Before June 1, 2018, the fund was managed with a materially different investment strategy and may have achieved materially different performance results under its current investment strategy from that shown for periods before this date.

Returns for periods of less than one year are not annualized.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* The Putnam Short Duration Bond Linked Benchmark represents the performance of the ICE BofA U.S. Treasury Bill Index through May 31, 2018, and the performance of the ICE BofA 1-3 Year U.S. Corporate Index thereafter.

This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 4/30/22. See above and pages 8–10 for additional fund performance information. Index descriptions can be found on page 14.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

 

 

What was the market environment like during the six-month reporting period?

It was a challenging time for bond markets around the world. Hawkish policy pivots from the U.S. Federal Reserve and the European Central Bank in the face of rapidly rising inflation, combined with Russia’s invasion of Ukraine, fueled a flight from risk.

Within this environment, credit spreads widened, and interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury note rose from 1.52% at the end of December 2021 to 2.89% on April 29, 2022. In anticipation of Fed policy changes, yields on some shorter-term Treasuries at times edged above those of longer-term Treasuries, creating a flat or inverted yield curve.

In mid-March, the Fed lifted the federal funds rate to a target range of 0.25% to 0.50%, its first increase since December 2018. Fed Chair Jerome Powell signaled an aggressive approach going forward, indicating that additional hikes could occur at each of the remaining six policy

 

 

Allocations are shown as a percentage of the fund’s net assets as of 4/30/22. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Allocations may not total 100% because the chart includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

meetings in 2022. Policymakers also reduced their U.S. growth estimates for the year and raised inflation expectations.

How did the fund perform for the six months ended April 30, 2022?

The fund returned –3.73%, outperforming the return of –4.07% in the primary benchmark, the ICE BofA 1-3 Year U.S. Corporate Index.

Which holdings and strategies aided the fund’s performance versus the benchmark during the period?

Not holding the benchmark’s exposure to U.S. dollar-denominated debt that was issued by companies in emerging market countries was the largest contributor to returns, specifically the benchmark’s exposure to Russia. At the end of 2021, the benchmark index included 11 Russian companies that had issued U.S. dollar-denominated debt accounting for roughly 58 basis points [bps] of index exposure. Following Russia’s invasion of Ukraine, the positions lost nearly half their value and were removed from the benchmark as part of the March month-end rebalancing.

Mortgage credit strategies were also a notable contributor during the period, driven by exposure to mezzanine commercial mortgage-backed security [CMBS] cash bonds. Technicals remained strong, and fundamentals within the sector continued to improve despite broader macro concerns, with declining delinquencies and forbearance deals on commercial properties proving to work well.

What about detractors during the period?

Positioning within corporate credit was a marginal detractor. The fund holds marginal out-of-benchmark exposure to BB-rated bonds, along with positions in corporate credit with a maturity greater than the 1–3 year benchmark exposure. These out-of-benchmark positions modestly weighed on returns, as spreads widened more in BB-rated bonds and longer-maturity bonds relative to the 1–3 year investment-grade holdings in the benchmark.

 

 

What are your current views on the major sectors in which the fund invests?

We have a cautious outlook, recognizing that geopolitical tensions and monetary policy decisions will likely continue to influence fixed income markets.

Looking first at investment-grade [IG] corporate credit, we have a modestly constructive outlook for IG bonds. That said, we anticipate continued bouts of volatility given the conflict in Ukraine, the pace of Fed interest-rate hikes, and potentially negative effects on energy supplies from sanctions on Russia. We have a positive outlook on fundamentals, along with improving valuations in investment grade. Technicals have turned a bit more challenging after a highly supportive period in 2021.

We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic increases at retailers, and hotels welcome back business and leisure travelers. Our emphasis on investment opportunities in the U.S. broadly isolates us from geopolitical risk. Moreover, with real assets serving as collateral, along with the potential for rent adjustments, CMBS have historically performed well during periods of rising inflation. We continue to find attractive opportunities in higher-quality, more-liquid areas of CMBS cash bonds.

Within residential mortgage credit, we believe continued high demand and low inventory of available homes is likely to push prices even higher over the next year. Given that home prices have already risen substantially, and

This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 4/30/22. Short-term investments and derivatives, if any, are excluded. Holdings may vary over time.

 

 

mortgage rates have moved up, we are aware that affordability has become a constraint for many prospective buyers. Consequently, we think the pace of home price appreciation is likely to moderate during 2022. We have found attractive opportunities in pre-financial crisis legacy residential mortgage-backed securities, unrated reperforming loans, and fix-and-flip securities that offer structural protection against downside risk. We also have found attractive opportunities in credit risk transfer [CRT] mezzanine bonds with high credit enhancement and backed by seasoned collateral with built-up home equity.

What is the team’s near-term outlook?

We believe the Fed’s shift toward tighter monetary policy may cause it to accelerate sales of mortgage-backed securities [MBS] that it currently holds. This not only would serve to promote a smaller proportion of mortgage securities on its balance sheet, but additionally would likely widen mortgage spreads and may reduce home price inflation, helping to boost the Fed’s inflation-fighting mandate, in our view.

Thank you for your time and for bringing us up to date, Albert.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

 

 

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

 

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended April 30, 2022, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.

Annualized fund performance Total return for periods ended 4/30/22

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 2.25% sales charge levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 1% in the first year, declining over time to 0.50% in the second year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC. Performance for class R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R6 shares; had it, returns would have been higher.

Returns for periods of less than one year are not annualized.

For the periods, the fund had expense limitations, without which returns would have been lower.

Class B and C share performance reflects conversion to class A shares after eight years.

 

 

Comparative annualized index returns For periods ended 4/30/22

 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

Returns for periods of less than one year are not annualized.

Lipper peer group average is provided by Lipper, a Refinitiv company.

^* The Putnam Short Duration Bond Linked Benchmark represents the performance of the ICE BofA U.S. Treasury Bill Index through May 31, 2018, and the performance of the ICE BofA 1-3 Year U.S. Corporate Index thereafter.

^† Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 4/30/22, there were 374, 369, 340, 307, 202, and 157 funds, respectively, in this Lipper category.

Fund price and distribution information For the six-month period ended 4/30/22

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (2.25% for class A shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

¹ Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

² Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

 

 

Annualized fund performance as of most recent calendar quarter
Total return for periods ended 3/31/22

 

See the discussion following the fund performance table on page 8 for information about the calculation of fund performance.

Returns for periods of less than one year are not annualized.

Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

 

Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Expenses are shown as a percentage of average net assets.

 

 

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 11/1/21 to 4/30/22. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

 

^* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/22. The expense ratio may differ for each share class.

^† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (181); and then dividing that result by the number of days in the year (365).

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 4/30/22, use the following calculation method. To find the value of your investment on 11/1/21, call Putnam at 1-800-225-1581.

Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

 

^* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/22. The expense ratio may differ for each share class.

^† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (181); and then dividing that result by the number of days in the year (365).

 

 

Consider these risks before investing

Allocation of assets among fixed-income strategies and sectors may hurt performance. The effects of inflation may erode the value of your investment over time. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less when interest rates decline and decline in value more when interest rates rise.

The fund may have to invest the proceeds from prepaid investments in other investments with less attractive terms and yields. The fund’s exposure to mortgage-backed securities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate parties. International investing involves currency, economic, and political risks. Emerging market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.

 

 

Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions. They are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 2.25% maximum sales charge for class A shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 1% maximum during the first year to 0.50% during the second year. After the second year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.

Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.

Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

• Agency credit risk transfer (CRT) security is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.

• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association

 

 

(Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

ICE BofA (Intercontinental Exchange Bank of America) 1-3 Year U.S. Corporate Index is an unmanaged index of U.S. investment-grade corporate debt with a remaining term to maturity of less than three years.

ICE BofA U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.

Putnam Short Duration Bond Linked Benchmark represents the performance of the ICE BofA U.S. Treasury Bill Index through May 31, 2018, and the performance of the ICE BofA 1-3 Year U.S. Corporate Index thereafter.

S&P 500^® Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

BLOOMBERG^®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

 

 

Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2021, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of April 30, 2022, Putnam employees had approximately $492,000,000 and the Trustees had approximately $72,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

Liquidity risk management program

Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in April 2022. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2021 through December 2021. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2021. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.

 

 

Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

 

 

The fund’s portfolio 4/30/22 (Unaudited)

CORPORATE BONDS AND NOTES (56.8%)*		Principal amount	Value
Banking (15.6%)
Australia & New Zealand Banking Group, Ltd. sr. unsec. notes Ser. MTN, 2.05%, 11/21/22		$4,250,000	$4,248,777
Banco Santander SA sr. unsec. unsub. FRN 1.722%, 9/14/27 (Spain)		22,600,000	19,879,320
Bank of America Corp. sr. unsec. unsub. FRN 3.55%, 3/5/24		2,430,000	2,431,550
Bank of America Corp. unsec. sub. notes Ser. MTN, 4.45%, 3/3/26		32,011,000	32,049,173
Bank of America Corp. unsec. sub. notes Ser. MTN, 4.20%, 8/26/24		15,165,000	15,304,268
Bank of New York Mellon Corp. (The) sr. unsec. notes Ser. MTN, 1.85%, 1/27/23		7,500,000	7,476,963
Bank of New York Mellon Corp. (The) sr. unsec. unsub. notes 0.85%, 10/25/24		1,873,000	1,773,937
Bank of Nova Scotia (The) sr. unsec. notes 1.30%, 6/11/25 (Canada)		7,434,000	6,894,401
Bank of Nova Scotia (The) sr. unsec. notes 2.00%, 11/15/22 (Canada)		4,772,000	4,769,760
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 1.604%, 10/4/26 (France)		5,000,000	4,492,328
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 0.65%, 2/27/24 (France)		7,500,000	7,131,298
BNP Paribas SA 144A sr. unsec. notes 2.95%, 5/23/22 (France)		680,000	680,607
BPCE SA 144A sr. unsec. notes 1.00%, 1/20/26 (France)		15,798,000	14,105,702
Citigroup, Inc. sr. unsec. FRN 4.044%, 6/1/24		9,480,000	9,533,236
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26		10,945,000	11,022,025
Citigroup, Inc. unsec. sub. notes 3.50%, 5/15/23		6,250,000	6,289,654
Citizens Financial Group, Inc. 144A unsec. sub. notes 4.15%, 9/28/22		960,000	966,181
Credit Suisse AG/New York, NY sr. unsec. unsub. notes 1.25%, 8/7/26		14,188,000	12,551,628
Credit Suisse Group AG sr. unsec. unsub. notes 4.55%, 4/17/26 (Switzerland)		8,750,000	8,725,550
Danske Bank A/S 144A sr. unsec. notes 1.549%, 9/10/27 (Denmark)		10,000,000	8,806,360
DNB Bank ASA 144A sr. unsec. notes 2.15%, 12/2/22 (Norway)		5,585,000	5,583,116
Fifth Third Bancorp sr. unsec. notes 1.625%, 5/5/23		2,548,000	2,513,986
Fifth Third Bancorp sr. unsec. sub. notes 2.375%, 1/28/25		4,248,000	4,096,651
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28		6,917,000	7,408,089
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.71%, 1/15/26 (Italy)		7,500,000	7,463,348
JPMorgan Chase & Co. sr. unsec. unsub. FRN 4.023%, 12/5/24		4,627,000	4,647,922
JPMorgan Chase & Co. sr. unsec. unsub. FRN 2.083%, 4/22/26		2,313,000	2,175,210
JPMorgan Chase & Co. sr. unsec. unsub. notes 3.797%, 7/23/24		6,042,000	6,068,955
JPMorgan Chase & Co. unsec. sub. notes 3.875%, 9/10/24		18,030,000	18,091,095
JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23		9,250,000	9,304,209
PNC Bank NA sr. unsec. unsub. notes 3.30%, 10/30/24		5,635,000	5,620,344
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 3.70%, 10/5/23 (Canada)		1,510,000	1,526,744
Santander Holdings USA, Inc. sr. unsec. FRN 2.49%, 1/6/28		4,000,000	3,623,565
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.90%, 12/1/22 (Canada)		4,879,000	4,872,540
Truist Bank sr. unsec. FRN Ser. BKNT, 3.689%, 8/2/24		2,350,000	2,366,004
Truist Bank sr. unsec. notes Ser. BKNT, 2.15%, 12/6/24		2,500,000	2,430,320
Truist Bank sr. unsec. notes Ser. BKNT, 1.50%, 3/10/25		5,000,000	4,743,280

CORPORATE BONDS AND NOTES (56.8%)* cont.		Principal amount	Value
Banking cont.
Truist Bank sr. unsec. unsub. notes Ser. BNKT, 3.20%, 4/1/24		$5,643,000	$5,646,504
Truist Financial Corp. sr. unsec. unsub. notes 4.00%, 5/1/25		958,000	967,512
U.S. Bancorp sr. unsec. notes 1.45%, 5/12/25		8,000,000	7,535,718
U.S. Bancorp unsec. sub. notes Ser. MTN, 3.60%, 9/11/24		3,220,000	3,236,649
U.S. Bancorp unsec. sub. notes unsec. sub. notes Ser. MTN, 2.95%, 7/15/22		1,315,000	1,317,819
UBS Group AG 144A sr. unsec. FRN 1.494%, 8/10/27 (Switzerland)		5,500,000	4,874,760
UBS Group AG 144A sr. unsec. notes 3.491%, 5/23/23 (Switzerland)		8,765,000	8,767,296
Wells Fargo & Co. sr. unsec. unsub. notes Ser. MTN, 3.75%, 1/24/24		7,839,000	7,896,813
			311,911,167
Basic materials (2.8%)
Air Products & Chemicals, Inc. sr. unsec. notes 1.50%, 10/15/25		2,208,000	2,072,015
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany)		893,000	889,320
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany)		9,550,000	8,470,281
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26		5,369,000	5,463,306
Georgia-Pacific, LLC 144A sr. unsec. notes 1.75%, 9/30/25		4,244,000	3,989,842
Georgia-Pacific, LLC 144A sr. unsec. notes 0.95%, 5/15/26		8,790,000	7,923,436
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 1.625%, 4/27/26		2,500,000	2,260,443
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 1.625%, 9/1/25		8,686,000	8,006,512
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24		894,000	904,611
Graphic Packaging International, LLC 144A company guaranty sr. notes 1.512%, 4/15/26		7,461,000	6,727,830
International Flavors & Fragrances, Inc. sr. unsec. unsub. notes 3.20%, 5/1/23		3,450,000	3,454,301
International Flavors & Fragrances, Inc. 144A sr. unsec. unsub. notes 1.23%, 10/1/25		4,600,000	4,185,462
Nutrien, Ltd. sr. unsec. notes 1.90%, 5/13/23 (Canada)		765,000	757,143
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22		422,000	422,271
			55,526,773
Capital goods (2.6%)
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27		11,250,000	9,975,505
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26		93,000	84,608
Boeing Co. (The) sr. unsec. notes 4.508%, 5/1/23		6,000,000	6,055,389
Boeing Co. (The) sr. unsec. notes 2.75%, 2/1/26		10,330,000	9,754,992
CANPACK SA/Eastern PA Land Investment Holding, LLC 144A company guaranty sr. unsec. notes 3.125%, 11/1/25 (Poland)		1,225,000	1,127,000
Howmet Aerospace, Inc. sr. unsec. unsub. notes 5.90%, 2/1/27		2,000,000	2,052,520
Northrop Grumman Corp. sr. unsec. notes 2.93%, 1/15/25		5,224,000	5,135,521
Republic Services, Inc. sr. unsec. notes 2.50%, 8/15/24		2,550,000	2,494,793
Republic Services, Inc. sr. unsec. notes 0.875%, 11/15/25		5,098,000	4,618,827
Waste Management, Inc. company guaranty sr. unsec. notes 0.75%, 11/15/25		7,700,000	7,023,923
Waste Management, Inc. company guaranty sr. unsec. unsub. notes 2.90%, 9/15/22		3,585,000	3,589,175
			51,912,253

CORPORATE BONDS AND NOTES (56.8%)* cont.		Principal amount	Value
Communication services (4.2%)
American Tower Corp. sr. unsec. notes 1.60%, 4/15/26		$8,806,000	$8,001,703
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R		4,403,000	4,089,527
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27		16,794,000	17,134,466
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 4.50%, 2/1/24		5,500,000	5,567,766
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25		2,213,000	2,253,852
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. FRN (BBA LIBOR USD 3 Month + 1.65%), 2.936%, 2/1/24		1,373,000	1,398,441
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.70%, 4/15/24		10,126,000	10,228,426
Cox Communications, Inc. 144A sr. unsec. notes 3.15%, 8/15/24		2,497,000	2,469,525
Crown Castle International Corp. sr. unsec. notes 3.20%, 9/1/24 R		6,840,000	6,783,768
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26 R		718,000	677,998
Equinix, Inc. sr. unsec. sub. notes 2.625%, 11/18/24 R		2,300,000	2,238,475
Equinix, Inc. sr. unsec. sub. notes 1.00%, 9/15/25 R		6,000,000	5,436,830
T-Mobile USA, Inc. company guaranty sr. notes 3.50%, 4/15/25		8,000,000	7,886,546
Verizon Communications, Inc. sr. unsec. unsub. notes 2.625%, 8/15/26		10,000,000	9,503,606
			83,670,929
Conglomerates (0.6%)
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 0.65%, 3/11/24 (Netherlands)		12,750,000	12,180,415
			12,180,415
Consumer cyclicals (5.9%)
Amazon.com, Inc. sr. unsec. notes 2.50%, 11/29/22		1,164,000	1,166,342
Block, Inc. 144A sr. unsec. notes 2.75%, 6/1/26		10,575,000	9,644,612
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26		10,620,000	9,411,909
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26		4,570,000	4,387,200
Ford Motor Co., LLC sr. unsec. unsub. notes 3.664%, 9/8/24		6,000,000	5,805,000
Ford Motor Co., LLC sr. unsec. unsub. notes 2.30%, 2/10/25		3,000,000	2,786,100
Gartner, Inc. 144A company guaranty sr. unsec. notes 4.50%, 7/1/28		8,368,000	8,020,021
General Motors Financial Co., Inc. sr. unsec. notes 1.70%, 8/18/23		6,842,000	6,705,963
General Motors Financial Co., Inc. sr. unsec. sub. notes 2.75%, 6/20/25		4,070,000	3,900,023
General Motors Financial Co., Inc. sr. unsec. sub. notes 1.50%, 6/10/26		15,000,000	13,354,770
General Motors Financial Co., Inc. sr. unsec. sub. notes 1.05%, 3/8/24		6,327,000	6,039,505
Global Payments, Inc. sr. unsec. notes 1.20%, 3/1/26		5,280,000	4,742,848
Interpublic Group of Cos., Inc. (The) sr. unsec. notes 4.20%, 4/15/24		2,354,000	2,380,655
Lennar Corp. company guaranty sr. unsec. notes 4.50%, 4/30/24		9,870,000	10,015,485
Magallanes, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27		8,828,000	8,520,724
Moody’s Corp. sr. unsec. notes 4.875%, 2/15/24		2,345,000	2,406,036

CORPORATE BONDS AND NOTES (56.8%)* cont.		Principal amount	Value
Consumer cyclicals cont.
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26		$5,960,000	$5,894,130
Paramount Global sr. unsec. notes 4.75%, 5/15/25		1,554,000	1,592,225
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 3.125%, 9/1/26		6,000,000	5,527,500
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27		4,700,000	4,169,549
VF Corp. sr. unsec. notes 2.40%, 4/23/25		1,138,000	1,100,728
			117,571,325
Consumer finance (2.0%)
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 2.45%, 10/29/26 (Ireland)		14,000,000	12,450,235
Air Lease Corp. sr. unsec. notes 0.80%, 8/18/24		8,500,000	7,901,554
Air Lease Corp. sr. unsec. unsub. notes 4.25%, 9/15/24		5,539,000	5,559,249
American Express Co. sr. unsec. unsub. notes 3.375%, 5/3/24		6,485,000	6,479,824
Capital One Financial Corp. sr. unsec. unsub. notes 3.50%, 6/15/23		6,500,000	6,538,406
			38,929,268
Consumer staples (2.6%)
Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 1.50%, 8/12/26		9,275,000	8,250,527
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.30%, 10/15/22		5,000,000	5,021,977
ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26		3,000,000	2,909,711
GSK Consumer Healthcare Capital US, LLC 144A company guaranty sr. unsec. unsub. notes 3.375%, 3/24/27		6,853,000	6,621,197
JDE Peet’s NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands)		6,850,000	5,974,503
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25		1,392,000	1,421,708
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.40%, 11/15/25		3,456,000	3,420,894
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. unsub. notes 1.25%, 9/24/26 (Netherlands)		10,000,000	8,996,856
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28		10,000,000	9,789,400
			52,406,773
Energy (0.6%)
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 7.00%, 6/30/24		540,000	566,269
Continental Resources, Inc. 144A company guaranty sr. unsec. notes 2.268%, 11/15/26		4,809,000	4,393,166
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24		2,000,000	2,069,361
Total Energies Capital International SA company guaranty sr. unsec. unsub. notes 2.434%, 1/10/25 (France)		4,248,000	4,143,444
			11,172,240
Financial (0.9%)
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25		10,200,000	10,478,512
Intercontinental Exchange, Inc. sr. unsec. notes 0.70%, 6/15/23		6,204,000	6,062,245
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/27		2,000,000	1,897,500
			18,438,257

CORPORATE BONDS AND NOTES (56.8%)* cont.		Principal amount	Value
Health care (3.5%)
AbbVie, Inc. sr. unsec. sub. notes 2.60%, 11/21/24		$10,937,000	$10,671,605
AbbVie, Inc. sr. unsec. unsub. notes 3.20%, 5/14/26		9,905,000	9,644,932
Becton Dickinson and Co. sr. unsec. unsub. notes 3.734%, 12/15/24		582,000	582,383
Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24		4,768,000	4,740,713
Bristol-Myers Squibb Co. sr. unsec. sub. notes 0.75%, 11/13/25		4,248,000	3,872,140
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23		367,000	370,129
Cigna Corp. sr. unsec. notes 1.25%, 3/15/26		5,543,000	5,034,867
CVS Health Corp. sr. unsec. unsub. notes 2.875%, 6/1/26		8,500,000	8,208,604
DH Europe Finance II SARL company guaranty sr. unsec. notes 2.20%, 11/15/24 (Luxembourg)		4,414,000	4,275,030
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24		273,000	272,528
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25		1,448,000	1,432,265
Novartis Capital Corp. company guaranty sr. unsec. notes 1.75%, 2/14/25		8,477,000	8,165,559
UnitedHealth Group, Inc. company guaranty sr. unsec. unsub. notes 1.25%, 1/15/26		4,211,000	3,886,335
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.375%, 8/15/24		1,700,000	1,674,229
Utah Acquistion Sub, Inc. company guaranty sr. unsec. notes 3.95%, 6/15/26		5,280,000	5,126,345
Zoetis, Inc. sr. unsec. notes 3.25%, 2/1/23		2,500,000	2,509,288
			70,466,952
Insurance (1.8%)
Athene Global Funding 144A notes 1.73%, 10/2/26		12,044,000	10,694,587
CNO Global Funding 144A notes 1.75%, 10/7/26		3,340,000	3,015,516
Corebridge Financial, Inc. 144A sr. unsec. notes 3.65%, 4/5/27		6,415,000	6,223,616
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24		2,157,000	2,189,441
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 3.875%, 3/15/24		1,694,000	1,713,984
Metropolitan Life Global Funding I 144A notes 1.95%, 1/13/23		3,135,000	3,120,578
Metropolitan Life Global Funding I 144A sr. notes 3.00%, 1/10/23		1,085,000	1,088,866
New York Life Global Funding 144A notes 2.30%, 6/10/22		4,000,000	4,003,272
Pricoa Global Funding I 144A notes 2.40%, 9/23/24		5,000,000	4,877,184
			36,927,044
Investment banking/Brokerage (4.3%)
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27		8,880,000	7,953,269
Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany)		6,750,000	6,159,180
Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany)		5,145,000	4,549,515
Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.129%, 11/24/26 (Germany)		8,270,000	7,509,575
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany)		5,914,000	5,809,222
Goldman Sachs Group, Inc. (The) sr. unsec. FRN 1.948%, 10/21/27		15,000,000	13,438,275
Goldman Sachs Group, Inc. (The) sr. unsec. notes 3.50%, 4/1/25		3,125,000	3,077,798
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN 1.431%, 3/9/27		4,000,000	3,570,674
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 4.00%, 3/3/24		4,119,000	4,156,169
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.875%, 1/27/26		10,900,000	10,804,792

CORPORATE BONDS AND NOTES (56.8%)* cont.		Principal amount	Value
Investment banking/Brokerage cont.
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.75%, 2/25/23		$2,095,000	$2,110,682
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.70%, 10/23/24		2,195,000	2,199,221
Morgan Stanley unsec. sub. notes 4.875%, 11/1/22		4,185,000	4,240,815
Morgan Stanley unsec. unsub. notes 3.95%, 4/23/27		10,000,000	9,800,645
			85,379,832
Real estate (0.3%)
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R		2,785,000	2,654,467
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28 R		2,339,000	2,329,457
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27 R		876,000	807,847
			5,791,771
Technology (4.1%)
Alphabet, Inc. sr. unsec. notes 0.45%, 8/15/25		3,060,000	2,820,629
Analog Devices, Inc. sr. unsec. notes 2.95%, 4/1/25		1,500,000	1,480,470
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24		6,000,000	5,997,453
Apple, Inc. sr. unsec. notes 2.10%, 9/12/22		670,000	670,861
Apple, Inc. sr. unsec. notes 1.125%, 5/11/25		7,691,000	7,249,828
Apple, Inc. sr. unsec. notes 0.55%, 8/20/25		4,117,000	3,793,034
Apple, Inc. sr. unsec. unsub. notes 3.20%, 5/13/25		2,122,000	2,127,265
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27		5,295,000	5,164,436
Cisco Systems, Inc. sr. unsec. unsub. notes 2.60%, 2/28/23		4,585,000	4,588,402
Citrix Systems, Inc. sr. unsec. sub. notes 1.25%, 3/1/26		3,615,000	3,516,851
Dell International, LLC/EMC Corp. sr. unsec. notes 5.45%, 6/15/23		799,000	816,427
Dell International, LLC/EMC Corp. company guaranty sr. notes 4.00%, 7/15/24		1,500,000	1,507,558
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23		5,137,000	5,192,507
Microchip Technology, Inc. company guaranty sr. notes 2.67%, 9/1/23		1,600,000	1,584,752
MSCI, Inc. 144A company guaranty sr. unsec. notes 4.00%, 11/15/29		3,200,000	2,947,360
Oracle Corp. sr. unsec. notes 2.50%, 4/1/25		6,500,000	6,198,581
salesforce.com, Inc. sr. unsec. unsub. notes 3.25%, 4/11/23		7,150,000	7,199,042
Skyworks Solutions, Inc. sr. unsec. notes 0.90%, 6/1/23		5,000,000	4,874,792
VMware, Inc. sr. unsec. notes 1.40%, 8/15/26		13,989,000	12,538,747
Workday, Inc. sr. unsec. notes 3.50%, 4/1/27		1,600,000	1,561,683
			81,830,678
Transportation (0.5%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.95%, 3/10/25		1,541,000	1,539,998
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.45%, 7/1/24		2,300,000	2,277,864
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 2.70%, 11/1/24		5,000,000	4,861,570
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 1.20%, 11/15/25		1,385,000	1,257,122
			9,936,554

CORPORATE BONDS AND NOTES (56.8%)* cont.		Principal amount	Value
Utilities and power (4.5%)
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26		$6,000,000	$5,375,194
American Electric Power Co., Inc. jr. unsec. sub. notes 2.031%, 3/15/24		1,140,000	1,109,878
American Electric Power Co., Inc. sr. unsec. unsub. notes 1.00%, 11/1/25		4,000,000	3,638,806
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. notes 5.95%, 6/1/26		3,805,000	3,996,902
Duke Energy Carolinas, LLC sr. notes 3.35%, 5/15/22		2,615,000	2,616,546
Duke Energy Ohio, Inc. sr. notes 3.80%, 9/1/23		478,000	482,199
Enbridge, Inc. company guaranty sr. unsec. notes 1.60%, 10/4/26 (Canada)		1,900,000	1,717,459
Energy Transfer LP company guaranty sr. unsec. notes 5.875%, 1/15/24		391,000	402,847
Energy Transfer LP company guaranty sr. unsec. notes 4.50%, 4/15/24		3,970,000	4,002,546
Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25		174,000	167,950
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 3.35%, 3/15/23		4,660,000	4,684,896
Eversource Energy sr. unsec. unsub. notes Ser. H, 3.15%, 1/15/25		5,978,000	5,890,898
Eversource Energy sr. unsec. unsub. notes Ser. Q, 0.80%, 8/15/25		1,000,000	910,524
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 4.40%, 7/15/27		3,500,000	3,395,665
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 4.30%, 5/1/24		6,450,000	6,523,128
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23		2,150,000	2,160,408
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 0.65%, 3/1/23		5,568,000	5,478,390
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24		2,855,000	2,827,989
NRG Energy, Inc. 144A sr. notes 2.00%, 12/2/25		2,000,000	1,858,482
Pacific Gas and Electric Co. notes 1.75%, 6/16/22		4,320,000	4,317,070
Pacific Gas and Electric Co. sr. notes 3.25%, 2/16/24		5,000,000	4,932,374
Pacific Gas and Electric Co. sr. notes 1.367%, 3/10/23		10,935,000	10,773,993
Southern Co. (The) sr. unsec. unsub. notes 3.25%, 7/1/26		4,950,000	4,795,799
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24		7,250,000	7,129,794
			89,189,737
Total corporate bonds and notes (cost $1,209,615,471)			$1,133,241,968

MORTGAGE-BACKED SECURITIES (21.1%)*		Principal amount	Value
Agency collateralized mortgage obligations (—%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 2976, Class LC, ((-3.667 x 1 Month US LIBOR) + 24.42%), 22.388%, 5/15/35		$8,526	$11,510
REMICs Ser. 3724, Class CM, 5.50%, 6/15/37		14,559	15,344
REMICs Ser. 3539, Class PM, 4.50%, 5/15/37		5,461	5,560
Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.446%, 11/15/28 W		26,161	196
Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.28%, 10/25/43 W		144,902	1,534

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation
Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33 W		$227,134	$1,702
Federal National Mortgage Association
REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 11.564%, 5/25/40		49,543	57,398
REMICs Ser. 11-60, Class PA, 4.00%, 10/25/39		5,598	5,520
REMICs Ser. 10-81, Class AP, 2.50%, 7/25/40		12,906	12,753
REMICs Trust Ser. 98-W2, Class X, IO, 0.456%, 6/25/28 W		174,482	3,923
REMICs Trust Ser. 98-W5, Class X, IO, 0.048%, 7/25/28 W		54,068	1,145
Government National Mortgage Association Ser. 09-32, Class AB, 4.00%, 5/16/39		6,466	6,552
GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27 W		21,115	80
			123,217
Commercial mortgage-backed securities (11.5%)
ACRE Commercial Mortgage, Ltd. 144A FRB Ser. 21-FL4, Class A, 1.384%, 12/18/37 (Cayman Islands)		3,244,999	3,242,727
AREIT Trust 144A
FRB Ser. 20-CRE4, Class C, 3.49%, 4/15/37		4,395,000	4,424,447
FRB Ser. 19-CRE3, Class A, 1.893%, 9/14/36		1,257,944	1,245,406
BANK
FRB Ser. 17-BNK9, Class XA, IO, 0.91%, 11/15/54 W		64,066,033	2,184,114
FRB Ser. 17-BNK8, Class XA, IO, 0.859%, 11/15/50 W		30,878,361	996,537
BDS Ltd. 144A FRB Ser. 21-FL8, Class B, 1.904%, 1/18/36 (Cayman Islands)		3,538,000	3,438,179
CD Commercial Mortgage Trust
FRB Ser. 16-CD1, Class XA, IO, 1.505%, 8/10/49 W		8,046,585	356,249
FRB Ser. 17-CD6, Class XA, IO, 1.059%, 11/13/50 W		19,360,293	603,538
CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.786%, 5/10/58 W		29,975,825	1,505,314
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.249%, 12/15/47 W		152,737	155,807
Citigroup Commercial Mortgage Trust
FRB Ser. 14-GC19, Class GC19, 5.26%, 3/10/47 W		1,191,000	1,192,471
Ser. 13-GC11, Class C, 4.134%, 4/10/46 W		4,918,000	5,119,884
Ser. 13-GC11, Class B, 3.732%, 4/10/46 W		2,550,000	2,551,640
Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.26%, 3/10/47 W		2,888,000	2,851,023
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.456%, 12/10/44 W		332,000	328,680
FRB Ser. 13-CR11, Class B, 5.277%, 8/10/50 W		5,161,000	5,218,946
FRB Ser. 13-CR13, Class C, 5.042%, 11/10/46 W		6,422,000	6,343,305
FRB Ser. 14-CR17, Class C, 4.945%, 5/10/47 W		1,040,000	1,028,272
FRB Ser. 15-CR25, Class B, 4.679%, 8/10/48 W		3,315,000	3,278,652
Ser. 14-CR16, Class B, 4.582%, 4/10/47		2,410,000	2,392,853
Ser. 12-CR2, Class B, 4.393%, 8/15/45		1,693,000	1,688,835
Ser. 13-LC6, Class B, 3.739%, 1/10/46		2,720,000	2,715,270
Ser. 12-CR3, Class A3, 2.822%, 10/15/45		2,141,302	2,139,351
FRB Ser. 14-LC15, Class XA, IO, 1.224%, 4/10/47 W		15,560,290	241,032

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
COMM Mortgage Trust
FRB Ser. 13-LC13, Class XA, IO, 1.166%, 8/10/46 W		$3,372,394	$34,234
FRB Ser. 14-CR20, Class XA, IO, 1.133%, 11/10/47 W		53,988,789	1,046,843
FRB Ser. 14-CR17, Class XA, IO, 1.117%, 5/10/47 W		2,961,422	44,972
FRB Ser. 15-CR26, Class XA, IO, 1.071%, 10/10/48 W		41,507,607	1,050,641
FRB Ser. 15-LC21, Class XA, IO, 0.817%, 7/10/48 W		66,844,538	1,138,396
FRB Ser. 14-CR14, Class XA, IO, 0.677%, 2/10/47 W		27,635,314	219,223
COMM Mortgage Trust 144A
FRB Ser. 10-C1, Class D, 5.985%, 7/10/46 W		396,291	373,428
FRB Ser. 13-CR9, Class AM, 4.436%, 7/10/45 W		2,000,000	1,985,479
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41 W		497,986	245,358
CSAIL Commercial Mortgage Trust
Ser. 15-C1, Class XA, IO, 0.963%, 4/15/50 W		45,497,037	780,320
FRB Ser. 18-CX12, Class XA, IO, 0.726%, 8/15/51 W		185,876,086	5,169,957
CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.861%, 12/15/49 W		69,060,488	1,691,982
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.55%, 8/10/44 W		4,187,259	4,163,392
Federal Home Loan Mortgage Corporation
Multifamily Structured Pass-Through Certificates FRB Ser. K109, Class XAM, IO, 1.914%, 4/25/30 W		15,372,000	1,916,673
Multifamily Structured Pass-Through Certificates FRB Ser. K739, Class XAM, IO, 1.667%, 9/25/27 W		36,816,638	2,647,853
Multifamily Structured Pass-Through Certificates Ser. K738, Class XAM, IO, 1.481%, 3/25/27 W		17,882,000	1,049,197
Multifamily Structured Pass-Through Certificates FRB Ser. KC06, Class X1, IO, 1.031%, 6/25/26 W		33,472,641	768,331
Multifamily Structured Pass-Through Certificates FRB Ser. K740, Class X1, IO, 0.844%, 9/25/27 W		48,552,519	1,676,713
Multifamily Structured Pass-Through Certificates FRB Ser. K737, Class X1, IO, 0.751%, 10/25/26 W		67,170,900	1,558,231
FREMF Mortgage Trust 144A Ser. 15-K48, Class X2A, IO, 0.10%, 8/25/48		389,907,985	952,155
GS Mortgage Securities Corp., II FRB Ser. 13-GC10, Class XA, IO, 1.616%, 2/10/46 W		11,568,980	80,602
GS Mortgage Securities Corp., II 144A
Ser. 13-GC10, Class C, 4.285%, 2/10/46 W		4,487,200	4,478,050
Ser. GC10, Class B, 3.682%, 2/10/46		3,478,000	3,443,185
GS Mortgage Securities Trust
FRB Ser. 14-GC18, Class C, 5.226%, 1/10/47 W		748,000	558,311
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47 W		451,000	442,489
FRB Ser. 13-GC12, Class XA, IO, 1.524%, 6/10/46 W		6,153,328	54,039
FRB Ser. 14-GC24, Class XA, IO, 0.844%, 9/10/47 W		90,959,304	1,263,114
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 6.565%, 8/10/43 W		1,663,000	1,249,967
FRB Ser. 11-GC5, Class B, 5.302%, 8/10/44 W		3,315,000	3,182,106
Ser. 10-C1, Class B, 5.148%, 8/10/43		444,983	439,611
Ser. 12-GCJ9, Class C, 4.448%, 11/10/45 W		5,720,000	5,663,791

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 13-C15, Class C, 5.358%, 11/15/45 W		$2,525,000	$2,528,843
FRB Ser. 14-C19, Class C, 4.807%, 4/15/47 W		2,024,000	1,967,694
FRB Ser. 13-C12, Class C, 4.228%, 7/15/45 W		4,088,000	4,040,574
FRB Ser. 15-C31, Class XA, IO, 0.971%, 8/15/48 W		14,909,299	323,626
FRB Ser. 14-C22, Class XA, IO, 0.966%, 9/15/47 W		17,389,029	254,951
JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 13-C15, Class D, 5.358%, 11/15/45 W		5,100,000	5,042,242
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 12-C6, Class B, 4.819%, 5/15/45 W		1,843,557	1,841,018
FRB Ser. 13-C10, Class XA, IO, 1.064%, 12/15/47 W		7,576,632	34,846
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C4, Class C, 5.574%, 7/15/46 W		264,051	266,003
FRB Ser. 12-C6, Class E, 5.35%, 5/15/45 W		532,000	494,980
FRB Ser. 11-C3, Class B, 5.013%, 2/15/46 W		2,030,221	1,967,225
FRB Ser. 12-LC9, Class D, 4.509%, 12/15/47 W		173,000	168,668
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class AJ, 5.452%, 9/15/39 W		94,429	39,299
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class AS, 3.297%, 4/20/48 W		944,226	944,226
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 13-C13, Class B, 4.908%, 11/15/46 W		2,813,000	3,016,886
Ser. 13-C13, Class AS, 4.266%, 11/15/46		4,699,000	4,722,542
FRB Ser. 13-C9, Class C, 4.156%, 5/15/46 W		3,168,000	3,091,840
Ser. 12-C6, Class B, 3.93%, 11/15/45		4,574,000	4,564,889
Ser. 13-C8, Class B, 3.647%, 12/15/48 W		6,856,000	6,805,588
Ser. 12-C6, Class AS, 3.476%, 11/15/45		2,007,000	2,005,647
FRB Ser. 13-C7, Class XA, IO, 1.402%, 2/15/46 W		22,743,772	75,941
FRB Ser. 14-C17, Class XA, IO, 1.211%, 8/15/47 W		5,111,250	78,672
FRB Ser. 15-C26, Class XA, IO, 1.125%, 10/15/48 W		49,175,526	1,137,332
FRB Ser. 17-C34, Class XA, IO, 0.914%, 11/15/52 W		237,771,405	7,688,529
FRB Ser. 16-C32, Class XA, IO, 0.80%, 12/15/49 W		95,715,946	2,345,596
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 12-C5, Class E, 4.843%, 8/15/45 W		6,424,000	6,410,186
FRB Ser. 13-C9, Class D, 4.244%, 5/15/46 W		1,837,000	1,711,257
FRB Ser. 13-C7, Class XB, IO, 0.402%, 2/15/46 W		24,165,000	38,659
Morgan Stanley Capital I Trust
FRB Ser. 18-H4, Class XA, IO, 1.003%, 12/15/51 W		62,004,707	2,591,530
FRB Ser. 16-UB12, Class XA, IO, 0.792%, 12/15/49 W		26,742,656	665,248
FRB Ser. 18-L1, Class XA, IO, 0.672%, 10/15/51 W		78,807,281	2,061,362
Morgan Stanley Capital I Trust 144A FRB Ser. 07-IQ15, Class C, 6.359%, 6/11/49 W		784,405	796,720
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 21-FL6, Class B, 2.268%, 7/25/36		2,612,000	2,543,883
UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.161%, 12/15/50 W		12,449,027	510,952
UBS-Barclays Commercial Mortgage Trust 144A
FRB Ser. 12-C3, Class C, 5.216%, 8/10/49 W		3,183,000	3,191,142
FRB Ser. 12-C2, Class D, 5.059%, 5/10/63 W		279,000	127,894

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
UBS-Barclays Commercial Mortgage Trust 144A
FRB Ser. 12-C4, Class C4, 3.718%, 12/10/45 W		$1,825,000	$1,814,225
FRB Ser. 12-C2, Class XA, IO, 1.378%, 5/10/63 W		5,310,399	2,346
VMC Finance, LLC 144A FRB Ser. 21-FL4, Class AS, 2.004%, 6/16/36		4,199,000	4,158,945
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.416%, 11/15/48 W		562,073	248
Wells Fargo Commercial Mortgage Trust
FRB Ser. 13-LC12, Class C, 4.44%, 7/15/46 W		898,000	803,782
FRB Ser. 16-BNK1, Class XA, IO, 1.861%, 8/15/49 W		22,404,928	1,305,850
FRB Ser. 19-C50, Class XA, IO, 1.599%, 5/15/52 W		33,409,239	2,519,257
FRB Ser. 17-C41, Class XA, IO, 1.332%, 11/15/50 W		20,914,515	985,555
FRB Ser. 18-C48, Class XA, IO, 1.12%, 1/15/52 W		21,549,728	1,100,825
FRB Ser. 16-C37, Class XA, IO, 0.958%, 12/15/49 W		5,858,369	166,357
FRB Ser. 18-C44, Class XA, IO, 0.893%, 5/15/51 W		68,262,299	2,203,166
FRB Ser. 15-LC20, Class XB, IO, 0.621%, 4/15/50 W		10,567,000	133,356
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.44%, 7/15/46 W		763,000	437,186
WF-RBS Commercial Mortgage Trust
FRB Ser. 14-C19, Class C19, 4.646%, 3/15/47 W		1,086,000	1,055,147
FRB Ser. 12-C10, Class C, 4.493%, 12/15/45 W		267,000	244,501
Ser. 13-C18, Class AS, 4.387%, 12/15/46 W		601,000	604,432
Ser. 12-C8, Class B, 4.311%, 8/15/45		6,434,000	6,476,464
Ser. 13-C12, Class B, 3.863%, 3/15/48 W		7,671,000	7,650,888
Ser. 12-C9, Class B, 3.84%, 11/15/45		3,960,000	3,959,644
FRB Ser. 14-C22, Class XA, IO, 0.938%, 9/15/57 W		25,700,685	331,744
FRB Ser. 14-C23, Class XA, IO, 0.702%, 10/15/57 W		71,686,924	785,187
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 13-UBS1, Class D, 5.192%, 3/15/46 W		6,641,000	6,577,992
Ser. 11-C4, Class D, 5.026%, 6/15/44 W		2,130,000	1,893,035
Ser. 11-C4, Class E, 5.026%, 6/15/44 W		40,000	29,329
FRB Ser. 12-C8, Class D, 5.012%, 8/15/45 W		2,373,000	2,398,249
			228,345,375
Residential mortgage-backed securities (non-agency) (9.6%)
Angel Oak Mortgage Trust 144A
Ser. 20-5, Class A3, 2.041%, 5/25/65 W		1,105,473	1,094,419
Ser. 21-5, Class A2, 1.208%, 7/25/66 W		5,076,361	4,695,634
Angel Oak Mortgage Trust I, LLC 144A Ser. 19-1, Class A3, 4.124%, 11/25/48 W		133,194	133,066
Arroyo Mortgage Trust 144A
Ser. 19-1, Class A3, 3.995%, 1/25/49 W		949,381	927,090
Ser. 19-3, Class A3, 3.416%, 10/25/48 W		231,864	225,787
BankUnited Trust FRB Ser. 05-1, Class 1A1, (1 Month US LIBOR + 0.60%), 1.268%, 9/25/45		115,746	112,502
Bellemeade Re, Ltd. 144A
FRB Ser. 17-1, Class M2, (1 Month US LIBOR + 3.35%), 4.018%, 10/25/27 (Bermuda)		1,630,171	1,628,800
FRB Ser. 21-3A, Class M1B, (US 30 Day Average SOFR + 1.40%), 1.689%, 9/25/31 (Bermuda)		1,139,000	1,111,754

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
BRAVO Residential Funding Trust 144A
Ser. 20-NQM1, Class A3, 2.406%, 5/25/60 W		$446,124	$427,665
Ser. 21-B, Class A1, 2.115%, 4/1/69		4,337,472	4,090,843
Ser. 21-A, Class A1, 1.991%, 10/25/59		6,951,175	6,608,607
Ser. 21-C, Class A1, 1.62%, 3/1/61		4,888,370	4,591,387
Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55 W		3,766,000	3,534,592
Cascade Funding Mortgage Trust 144A Ser. 21-HB6, Class M1, 1.805%, 6/25/36 W		5,000,000	4,732,116
Cascade Funding Mortgage Trust, LLC 144A
Ser. 21-HB7, Class M2, 2.679%, 10/27/31 W		1,712,000	1,642,210
Ser. 21-HB5, Class M2, 1.847%, 2/25/31 W		2,500,000	2,366,355
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 2.782%, 5/25/35 W		95,692	96,110
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65 W		242,378	240,100
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (1 Month US LIBOR + 0.62%), 1.288%, 4/25/35		98,902	88,849
CSMC Trust 144A
Ser. 21-RPL4, Class A1, 1.796%, 12/27/60 W		3,235,528	3,063,062
Ser. 20-RPL5, Class A1, 3.023%, 8/25/60 W		735,534	716,548
Eagle Re, Ltd. 144A
FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 3.00%), 3.668%, 11/25/28		600,000	596,676
FRB Ser. 19-1, Class M1B, (1 Month US LIBOR + 1.80%), 2.468%, 4/25/29 (Bermuda)		1,203,130	1,194,478
FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.70%), 2.368%, 11/25/28 (Bermuda)		247,773	245,447
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, (1 Month US LIBOR + 5.55%), 6.007%, 7/25/28		5,044,257	5,361,035
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.818%, 11/25/28		560,268	590,758
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (1 Month US LIBOR + 4.70%), 5.368%, 4/25/28		7,777,300	8,077,760
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 5.318%, 10/25/28		10,844,125	11,328,674
Structured Agency Credit Risk Debt FRN Ser. 14-HQ1, Class M3, (1 Month US LIBOR + 4.10%), 4.768%, 8/25/24		55,443	55,478
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class M2B, (1 Month US LIBOR + 3.45%), 4.118%, 10/25/29		2,054,000	2,119,625
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 3.118%, 3/25/49		964,197	970,223
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (1 Month US LIBOR + 2.40%), 3.068%, 2/25/47		15,286,914	15,227,955
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 3.018%, 2/25/49		327,936	329,770
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class M2B, (1 Month US LIBOR + 2.10%), 2.768%, 9/25/48		283,000	278,411

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class M2, (1 Month US LIBOR + 2.05%), 2.718%, 7/25/49		$125,723	$126,116
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class M2, (US 30 Day Average SOFR + 2.10%), 2.389%, 10/25/33		750,000	731,250
Structured Agency Credit Risk Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 1.40%), 2.068%, 2/25/49		7,732,707	7,696,311
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M2, (1 Month US LIBOR + 1.25%), 1.918%, 2/25/47		611,175	611,345
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (1 Month US LIBOR + 1.00%), 1.668%, 2/25/47		7,618,000	7,537,287
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2AS, (1 Month US LIBOR + 0.90%), 1.568%, 10/25/48		932,000	922,680
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.368%, 4/25/28		5,444,337	5,841,210
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (1 Month US LIBOR + 5.30%), 5.968%, 10/25/28		803,228	837,099
Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, (1 Month US LIBOR + 5.25%), 5.918%, 10/25/23		1,336,899	1,391,885
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (1 Month US LIBOR + 5.00%), 5.668%, 11/25/24		597,726	604,771
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 5.568%, 11/25/24		858,866	903,975
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.668%, 10/25/29		103,732	106,583
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 3.568%, 7/25/24		723,283	730,874
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 3.268%, 5/25/24		1,014,646	1,023,775
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%), 3.268%, 5/25/24		1,170,418	1,183,010
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1M2, (1 Month US LIBOR + 2.20%), 2.868%, 1/25/30		147,446	148,594
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2ED3, (1 Month US LIBOR + 1.35%), 2.018%, 9/25/29		4,757,186	4,734,142
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (1 Month US LIBOR + 0.65%), 1.318%, 1/25/31		1,014,971	992,134
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (1 Month US LIBOR + 0.60%), 1.268%, 11/25/29		767,868	754,430
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 3.118%, 7/25/31		162,500	163,007
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 2.15%), 2.818%, 11/25/39		590,463	580,705
Connecticut Avenue Securities Trust FRB Ser. 19-R07, Class 1M2, (1 Month US LIBOR + 2.10%), 2.768%, 10/25/39		296,049	296,049
First Franklin Mortgage Loan Trust FRB Ser. 06-FF15, Class A5, (1 Month US LIBOR + 0.16%), 0.828%, 11/25/36		749,688	740,500
FWD Securitization Trust 144A Ser. 19-INV1, Class A3, 3.11%, 6/25/49 W		1,069,764	1,062,038

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Galton Funding Mortgage Trust 144A FRB Ser. 20-H1, Class A3, 2.617%, 1/25/60 W		$2,054,805	$1,983,349
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65		1,463,693	1,439,792
GS Mortgage-Backed Securities Trust 144A Ser. 20-NQM1, Class A3, 2.352%, 9/27/60 W		618,148	591,258
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 1.028%, 5/25/36		472,186	143,723
Home Re, Ltd. 144A
FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.60%), 2.268%, 10/25/28 (Bermuda)		580,625	575,279
FRB Ser. 21-1, Class M1B, (1 Month US LIBOR + 1.55%), 2.218%, 7/25/33 (Bermuda)		5,764,000	5,617,883
Homeward Opportunities Fund I Trust 144A Ser. 20-2, Class A1, 1.657%, 5/25/65 W		285,315	282,290
Imperial Fund Mortgage Trust 144A Ser. 21-NQM1, Class A3, 1.617%, 6/25/56 W		2,447,151	2,311,740
Legacy Mortgage Asset Trust 144A
FRB Ser. 19-GS7, Class A1, 3.25%, 11/25/59		3,880,760	3,851,654
Ser. 21-GS1, Class A1, 1.892%, 10/25/66		4,279,545	4,101,939
Ser. 21-GS3, Class A1, 1.75%, 7/25/61		2,125,786	2,009,451
Ser. 21-GS4, Class A1, 1.65%, 11/25/60		3,539,157	3,310,528
LHOME Mortgage Trust 144A Ser. 21-RTL2, Class A1, 2.09%, 6/25/26		6,536,000	6,223,756
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.806%, 2/25/35 W		50,495	48,187
MFRA Trust 144A Ser. 20-NQM1, Class A3, 2.30%, 8/25/49 W		1,134,022	1,103,416
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 1.282%, 8/26/47 W		1,315,305	1,218,145
New Residential Mortgage Loan Trust 144A
Ser. 19-NQM4, Class A3, 2.797%, 9/25/59 W		2,240,149	2,175,409
Ser. 19-NQM4, Class A2, 2.644%, 9/25/59 W		879,632	856,497
FRB Ser. 18-4A, Class A1M, (1 Month US LIBOR + 0.90%), 1.568%, 1/25/48		270,976	269,082
New York Mortgage Trust 144A Ser. 21-BPL1, Class A1, 2.239%, 5/25/26		1,500,000	1,432,752
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M1, (1 Month US LIBOR + 1.55%), 2.218%, 7/25/28 (Bermuda)		164,210	163,743
Onslow Bay Financial, LLC Trust 144A Ser. 18-EXP1, Class 1A3, 4.00%, 4/25/48 W		268,601	264,586
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (1 Month US LIBOR + 1.05%), 1.718%, 10/25/34		157,102	155,042
Radnor Re, Ltd. 144A
FRB Ser. 19-1, Class M2, (1 Month US LIBOR + 3.20%), 3.868%, 2/25/29 (Bermuda)		1,570,000	1,538,611
FRB Ser. 19-2, Class M1B, (1 Month US LIBOR + 1.75%), 2.418%, 6/25/29 (Bermuda)		1,978,807	1,961,562
Residential Mortgage Loan Trust 144A
Ser. 19-3, Class A2, 2.941%, 9/25/59 W		338,177	331,951
Ser. 21-1R, Class A1, 0.859%, 1/25/65 W		316,131	302,749
ROC Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.487%, 8/25/26 W		2,039,000	1,964,373

MORTGAGE-BACKED SECURITIES (21.1%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Starwood Mortgage Residential Trust 144A Ser. 19-INV1, Class A2, 2.865%, 9/27/49 W		$2,643,435	$2,617,354
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), 1.518%, 5/25/47		410,164	357,444
Toorak Mortgage Corp., Ltd. 144A
Ser. 20-1, Class A1, 2.734%, 3/25/23 W		5,442,215	5,351,934
Ser. 21-1, Class A1, 2.24%, 6/25/24		1,850,000	1,779,874
Triangle Re, Ltd. 144A
FRB Ser. 21-1, Class M1B, (1 Month US LIBOR + 3.00%), 3.668%, 8/25/33 (Bermuda)		123,409	122,969
FRB Ser. 19-1, Class M2, (1 Month US LIBOR + 2.90%), 3.568%, 11/26/29		2,299,058	2,287,457
FRB Ser. 21-2, Class M1A, (1 Month US LIBOR + 2.05%), 2.718%, 10/25/33 (Bermuda)		2,657,000	2,600,892
VCAT Asset Securitization, LLC 144A Ser. 21-NPL1, Class A1, 2.289%, 12/26/50		635,659	615,966
Verus Securitization Trust 144A Ser. 19-INV3, Class A3, 3.10%, 11/25/59 W		1,532,642	1,509,630
			191,695,823
Total mortgage-backed securities (cost $439,579,845)			$420,164,415

ASSET-BACKED SECURITIES (3.3%)*		Principal amount	Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24		$5,087,000	$5,074,283
Mello Warehouse Securitization Trust 144A
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 1.468%, 11/25/53		1,711,800	1,711,800
FRB Ser. 21-2, Class A, (1 Month US LIBOR + 0.75%), 1.418%, 4/25/55		5,549,000	5,549,000
FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.70%), 1.157%, 2/25/55		4,000,000	4,000,000
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 21-S1, Class A1, (1 Month US LIBOR + 0.50%), 0.988%, 9/10/22		3,975,000	3,969,694
MRA Issuance Trust 144A
FRB Ser. 20-7, Class A, (1 Month US LIBOR + 1.30%), 1.755%, 9/15/22		4,340,000	4,271,376
FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%), 1.655%, 8/15/22		5,986,000	5,985,992
FRB Ser. 21-8, Class A2X, (1 Month US LIBOR + 1.15%), 1.381%, 5/15/22		4,856,000	4,855,981
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.75%), 1.418%, 5/25/55		4,658,000	4,607,982
Prodigy Finance Designated Activity Co. 144A FRB Ser. 21-1A, Class A, (1 Month US LIBOR + 1.25%), 1.707%, 7/25/51 (Ireland)		987,786	981,280
Station Place Securitization Trust 144A
FRB Ser. 22-2, Class A1, (CME TERM SOFR 1 Month + 0.93%), 1.576%, 5/25/23		7,541,000	7,541,000
FRB Ser. 21-14, Class A1, (1 Month US LIBOR + 0.70%), 1.368%, 12/8/22		2,689,000	2,689,000

ASSET-BACKED SECURITIES (3.3%)* cont.		Principal amount	Value
Station Place Securitization Trust 144A
FRB Ser. 21-16, Class A1, (1 Month US LIBOR + 0.62%), 1.288%, 11/7/22		$7,798,000	$7,798,000
FRB Ser. 21-10, Class A, (1 Month US LIBOR + 0.75%), zero %, 8/8/22		6,308,000	6,308,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 1.268%, 1/25/46		175,893	175,336
Total asset-backed securities (cost $65,636,071)			$65,518,724

COLLATERALIZED LOAN OBLIGATIONS (2.8%)*		Principal amount	Value
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 2.144%, 4/15/34 (Cayman Islands)		$2,517,000	$2,480,184
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 2.236%, 4/22/34		2,049,000	2,003,145
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (BBA LIBOR USD 3 Month + 1.25%), 2.386%, 11/22/34 (Cayman Islands)		2,854,000	2,804,640
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (BBA LIBOR USD 3 Month + 1.17%), 2.214%, 10/15/34 (Cayman Islands)		2,091,000	2,061,586
Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 2.233%, 10/20/34		1,463,000	1,442,107
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class B, (BBA LIBOR USD 3 Month + 1.70%), 2.744%, 4/15/33 (Cayman Islands)		4,500,000	4,449,074
Elmwood CLO VI, Ltd. 144A FRB Ser. 21-3A, Class BR, (BBA LIBOR USD 3 Month + 1.65%), 2.713%, 10/20/34 (Cayman Islands)		2,000,000	1,967,814
Elmwood CLO XII, Ltd. 144A FRB Ser. 21-5A, Class B, (BBA LIBOR USD 3 Month + 1.70%), 2.763%, 1/20/35 (Cayman Islands)		1,000,000	988,015
GoldenTree Loan Management US CLO 5, Ltd. 144A FRB Ser. 21-5A, Class BR, (BBA LIBOR USD 3 Month + 1.55%), 2.613%, 10/20/32		3,202,000	3,159,266
Greywolf CLO III, Ltd. 144A FRB Ser. 20-3RA, Class A2R, (BBA LIBOR USD 3 Month + 1.85%), 2.986%, 4/15/33 (Cayman Islands)		1,384,000	1,392,278
HalseyPoint CLO I, Ltd. 144A FRB Ser. 19-1A, Class A1A1, (BBA LIBOR USD 3 Month + 1.35%), 2.413%, 1/20/33 (Cayman Islands)		2,028,000	2,013,372
HalseyPoint CLO II, Ltd. 144A FRB Ser. 20-2A, Class B, (BBA LIBOR USD 3 Month + 1.64%), 2.703%, 7/20/31 (Cayman Islands)		5,250,000	5,202,115
ICG US CLO, Ltd. 144A FRB Ser. 20-2RA, Class A2, (BBA LIBOR USD 3 Month + 1.80%), 2.844%, 1/16/33 (Cayman Islands)		4,000,000	3,938,428
ICG US CLO, Ltd. 144A FRB Ser. 21-3A, Class B1R, (BBA LIBOR USD 3 Month + 1.45%), 2.634%, 1/24/32 (Cayman Islands)		3,750,000	3,660,979
Magnetite XXI CLO, Ltd. 144A FRB Ser. 21-21A, Class BR, (BBA LIBOR USD 3 Month + 1.35%), 2.413%, 4/20/34 (Cayman Islands)		750,000	728,275
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (BBA LIBOR USD 3 Month + 1.29%), 2.334%, 1/15/35 (Cayman Islands)		1,655,000	1,623,828
Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (BBA LIBOR USD 3 Month + 1.18%), 2.364%, 1/24/33 (Cayman Islands)		2,413,000	2,394,536
Octagon Investment Partners 44, Ltd. 144A FRB Ser. 21-1A, Class AR, (BBA LIBOR USD 3 Month + 1.18%), 2.224%, 10/15/34 (Cayman Islands)		2,000,000	1,978,780
Octagon Investment Partners 48, Ltd. 144A FRB Ser. 21-3A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands)		3,107,000	3,064,276