Putnam
Ultra Short Duration
Income Fund

Annual report
7 | 31 | 22

 

Message from the Trustees

September 8, 2022

Dear Fellow Shareholder:

Financial markets are reminding us that the journey to long-term returns often involves weathering periods of heightened volatility. This year, both stocks and bonds have experienced declines, and U.S. GDP [gross domestic product] growth rates were negative in the first and second quarters. Consumers and businesses are grappling with multidecade-high inflation. Against this backdrop, the U.S. Federal Reserve has faced the difficult task of raising interest rates to contain price pressures without tipping the economy into a recession. Globally, the Russia-Ukraine War continues to disrupt trade and has weakened the economic outlooks for Europe and China.

While this challenging environment may test investors’ patience, you can be confident that Putnam portfolio managers are actively working for you. They are assessing risks while researching new and attractive investment opportunities for your fund.

We also would like to announce changes to the Board of Trustees. In July 2022, we welcomed Jennifer Williams Murphy and Marie Pillai as new Trustees. Both have a wealth of investment advisory and executive management experience. We also want to thank two Trustees who retired from the Board on June 30, 2022. Paul Joskow served with us since 1997, and Ravi Akhoury joined the Board in 2009. We wish them well.

Thank you for investing with Putnam.

Putnam Ultra Short Duration Income Fund is designed for investors who seek a conservative risk profile and low volatility, along with income potential. Managed by a team of industry veterans, the fund offers a level of flexibility not necessarily available in other conservative investment options. Because the fund is not a money market fund, the managers can invest in a broader range of sectors and securities that may offer higher yields without taking on significantly more risk.

 

Investors should be aware of the differences between Putnam Ultra Short Duration Income Fund and money market funds before investing: Both seek to preserve capital and maintain liquidity. Money market funds generally focus on stability of principal, while Putnam Ultra Short Duration Income Fund seeks a balance of stability and income, which may result in increased volatility. Money market funds seek to maintain a net asset value (NAV) of $1.00 per share; the NAV of Putnam Ultra Short Duration Income Fund will fluctuate to reflect the market value of the portfolio. The fund’s fees and expenses differ from money market funds; see the prospectus for details. The fund can invest in more bond sectors than money market funds and, as a result, will be exposed to a larger number of risks. Neither money market funds nor this fund is insured or guaranteed by the FDIC or any other government agency, and investors can lose money in each.

 

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 a shareholder may owe on fund distributions or on the redemption of fund shares. See below and pages 10–12 for additional performance information. The fund had expense limitations during the period, without which returns would have been lower.

This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 7/31/22. See above and pages 10–12 for additional fund performance information. Index descriptions can be found on page 16.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

 

How were market conditions during the 12-month reporting period?

Global financial markets faced increasing headwinds as the period progressed. Russia’s invasion of Ukraine and Covid-19-related lockdowns in China heightened political and economic uncertainty and weighed on sentiment. U.S. unemployment trended lower, but inflation spiked, hitting 40-year highs due to supply chain disruptions and soaring energy and food prices. Faced with persistently high inflation in the second half of the period, the Federal Reserve raised the federal funds target rate four times, from 0.00%–0.25% to 2.25%–2.50%.

The U.S. Treasury market underwent a sub stantial adjustment due to the Fed’s actions and market expectations. At times, yields on some shorter-term Treasuries edged above those of longer-term bonds like the 10-year note, creating a flat or inverted yield curve. The yield on the 2-year Treasury note, which began the period at 0.09%, rose to as high as 3.10% on June 28, 2022, before settling at 2.89% at period-end. The yield on the 10-year Treasury note, which helps set borrowing costs on everything from mortgages to corporate debt,

 

Allocations are shown as a percentage of the fund’s net assets as of 7/31/22. Cash and net other assets, if any, represent the market value weights of cash, derivatives, 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. Holdings and allocations may vary over time.

The cash and net other assets category may show a negative market value percentage as a result of the timing of trade-date and settlement-date transactions.

climbed to 2.67% at period-end from 1.24% at the end of July 2021.

The Fed’s sharp rate increases over such a short period favored investors focused on the shorter end of the maturity spectrum. Shorter-term rates tend to be more responsive to changes in the Fed’s benchmark rate than longer-term rates.

How did the fund perform? What were the drivers of performance during the period?

The fund underperformed its benchmark, the ICE BofA U.S. Treasury Bill Index, during the period. The fund returned –0.49% versus 0.13% for the benchmark index for the 12 months ended July 31, 2022.

Corporate credit was the largest detractor from the fund’s relative performance, as 1–3 year investment-grade corporate credit spreads widened meaningfully after narrowing to all-time tight levels in September 2021. After tightening to 31 basis points at the end of September, 1–3 year spreads widened by 49 basis points [bps] to end the period at 80 bps on July 31, 2022. While corporate credit was a detractor, the fund fared considerably better than the Bloomberg U.S. 1-3 Year Corporate Bond Index, which returned –3.12% during the period. This is reflective of our more conservative posture and capital preservation bias, which benefited the portfolio during the period. [One basis point is one-hundredth of one percentage point.]

Additionally, the fund’s allocation to securitized sectors, including non-agency residential mortgage-backed securities and asset-backed securities, detracted, albeit marginally. The team continues to focus the portfolio’s allocation in this area on highly rated securities that are senior in the capital structure, which we believe provide diversification benefits to our corporate exposure.

On the other hand, our allocations to commercial paper contributed to returns. We keep a balance of short-maturity commercial paper for liquidity. Commercial paper yields continued

 

to rise as interest rates rose in 2022, so we have been able to reinvest the maturing paper at higher rates.

What is your near-term outlook for fixed income markets?

The outlook for ultrashort fixed income has continued to improve, as realized yields and future yield expectations improved meaningfully over the past few months. The yields on 2-year and 3-year Treasury notes rose sharply in the first half of 2022. Interest rates on the shortest end of the yield curve, including the London Interbank Offered Rate [LIBOR] and Secured Overnight Financing Rate [SOFR], also rose sharply in the first half of 2022 with the Fed’s aggressive rate hikes. Looking at forward rates [market expectations for yields in the future], currently, the market is expecting 3-month LIBOR to end the year around 3.70% and SOFR to end the year around 3.30%. In this environment, we believe our fund, and ultrashort funds in general, will continue to capture these higher yields. Additionally, short-term corporate credit spreads [as measured by the Bloomberg U.S. 1-3 Year Corporate Bond Index] have widened in 2022 after reaching their all-time tightest levels at the end of the third quarter of 2021. This has made valuations more attractive on the short end of the curve, in our view.

The market is currently pricing in over 100 bps of additional Fed hikes for the remainder of

Credit qualities are shown as a percentage of the fund’s net assets as of 7/31/22. A bond rated BBB or higher (A-3/SP-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings may vary over time.

Cash and net other assets, if any, represent the market value weights of cash and derivatives and may show a negative market value as a result of the timing of trade versus settlement date transactions. The fund itself has not been rated by an independent rating agency.

 

2022. If the projected rate hikes do materialize, we believe the fund’s yield should continue to be positively affected given the fund’s current portfolio structure.

What are the fund’s strategies going forward?

We continue to have a constructive view and have positioned the fund to take advantage of a rising interest-rate environment. Specifically, we increased the fund’s allocation to securities with a floating-rate coupon tied to LIBOR or SOFR, which accounted for about 64% of the portfolio’s assets as of July 31, 2022. These securities’ coupons reset on a daily, 1-month, or 3-month basis to reflect current short-term rates and carry a very short duration [interest-rate sensitivity]. As of July 31, 2022, the fund’s duration was 0.21 years, down 0.05 years from where it began the one-year period. In a rising-rate environment, we believe this strategy can help the fund capture higher yields without experiencing the negative price effects of longer-duration fixed-rate securities. Additionally, as yields rise, the income generation can act as a larger buffer to net asset value movements on a total-return basis.

We have moved into a “credit pickers” market, in our view, with diverging outcomes and idiosyncratic opportunities across investment-grade credit. We have structured the portfolio with an emphasis on lower-tier investment-grade securities [BBB or equivalent], generally maturing in one year or less, and upper-tier investment-grade securities [A or AA rated], generally maturing in a range of 1 to 3.5 years.

Given the improving valuations on the short end of the curve, we have been able to add some incremental risk to the portfolio but have been judicious in doing so. Capital preservation remains the primary objective of our fund; we do not try to “stretch for yield” in our strategy.

Thank you, Joanne, for your time and insights today.

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.

 

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. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended July 31, 2022, the end of its most recent 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 N, 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 7/31/22

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Class A, C, R, R6, and Y share classes do not carry an initial sales charge or a contingent deferred sales charge. After-sales-charge returns for class N shares reflect the deduction of the maximum 1.50% sales charge, levied at the time of purchase. Performance for class N shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge and the higher operating expenses of class N shares. Performance for class R6 shares prior to their inception is derived from the historical performance of class Y shares.

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

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

Comparative annualized index returns For periods ended 7/31/22

 

Index results should be compared with fund performance at net asset value.

 

Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class C, N, R, R6, and Y shares would have been valued at $10,663, $10,854 ($10,691 after sales charge), $10,596, $11,133, and $11,115 respectively.

Fund price and distribution information For the 12-month period ended 7/31/22

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class N 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 (1.50% for class N 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 For the period, the fund had an expense limitation, without which the yield would have been lower.

³ 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 6/30/22

 

See the discussion following the fund performance table on page 10 for information about the calculation of fund performance.

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. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. 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.

^* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 11/30/22.

^‡ Reflects a voluntary waiver of certain fund expenses.

^† Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.

 

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 2/1/22 to 7/31/22. 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 7/31/22. 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 7/31/22, use the following calculation method. To find the value of your investment on 2/1/22, 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 7/31/22. 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

Putnam Ultra Short Duration Income Fund is not a money market fund. The effects of inflation may erode the value of your investment over time. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields.

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). Fixed income investments may be more susceptible to downgrades or defaults during economic downturns or other periods of economic stress. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Credit risk is generally greater for debt not backed by the full faith and credit of the U.S. government.

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. Unlike bonds, funds that invest in bonds have fees and expenses.

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 the class of shares by the number of outstanding shares in the class.

Net asset value (NAV) is the price, or value, of one share of a mutual fund, without a sales charge. Net asset values 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 1.50% maximum sales charge for class N shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class C shares and assumes redemption at the end of the period.

Share classes

Class A shares are not subject to an initial sales charge or a CDSC, except that a CDSC may apply to certain redemptions of class A shares obtained by exchanging shares from another Putnam fund that were originally purchased without an initial sales charge if the shares are redeemed within nine months of the original purchase. Exchange of your fund’s class A shares into another Putnam fund may involve an initial sales charge.

Class C shares are not subject to an initial sales charge or a CDSC, except that a CDSC of 1.00% may apply to class C shares obtained in an exchange for class C shares of another Putnam fund if exchanged within one year of the original purchase date.

Class N shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge). There is a 1.50% maximum sales charge.

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 “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. 1-3 Year Corporate Bond Index is an unmanaged index that tracks the performance of U.S. dollar-denominated, investment-grade, fixed-rate, taxable corporate bonds with 1- to 3-year maturities.

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) 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.

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 medians reflect performance trends for funds within a category.

 

Other information for shareholders

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, 2022, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) 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 July 31, 2022, Putnam employees had approximately $480,000,000 and the Trustees had approximately $65,000,000 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.

 

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

 

Trustee approval of management contract

General conclusions

The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2022, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2022, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2022 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management contract and the approval of your fund’s amended and restated sub-management contract, effective July 1, 2022. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund and the application of certain reductions and waivers noted below; and

• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example,

 

with certain exceptions primarily involving newer or repositioned funds, the current fee arrangements under the vast majority of the funds’ management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.) The Trustees considered that the proposed amended and restated sub-management contract would lower the sub-management fees paid by Putnam Management to PIL.

In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee schedule for your fund would be appropriate at this time.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. The Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2021. These expense limitations were: (i) a contractual expense limitation applicable to specified open-end funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2021. Putnam Management and PSERV have agreed to maintain these expense limitations until at least November 30, 2023. In addition, Putnam Management contractually agreed to waive fees and/or reimburse expenses of your fund to the extent that expenses of the fund (excluding payments under the fund’s distribution plans, investor servicing fees, brokerage, interest, taxes, investment-related expenses, extraordinary expenses and acquired fund fees and expenses) would exceed an annual rate of 0.24% of its average net assets through at least November 30, 2023. During its fiscal year ending in 2021, your fund’s expenses were reduced as a result of this expense limitation. Putnam Management and PSERV’s commitment to these expense limitation arrangements, which were intended to support an effort to have fund expenses meet competitive standards, was an important factor in the Trustees’ decision to approve the continuance of your fund’s management contract and to approve your fund’s amended and restated sub-management contract.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the second quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the second quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2021. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2021 reflected

 

the most recent fiscal year-end data available in Broadridge’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place for the Putnam funds, including the fee schedule for your fund, represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the Putnam funds at that time.

The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding services provided and fees charged by Putnam Management and its affiliates to other clients, including collective investment trusts offered in the defined contribution and defined benefit retirement plan markets, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, model-only separately managed accounts and Putnam Management’s exchange-traded funds. This information included, in cases where a product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for other clients, and the Trustees also considered the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of Putnam Management’s investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that, in the aggregate, the Putnam funds’ performance was generally solid in 2021 against a backdrop of strong U.S. economic and financial market growth. The Trustees considered Putnam Management’s observation that, despite an environment of generally strong growth, there had been various headwinds experienced in 2021. For the one-year period ended December 31, 2021, the Trustees noted that the Putnam funds, on an asset-weighted basis, ranked in the 52nd percentile of their peers as determined by Lipper Inc. (“Lipper”) and, on an asset-weighted-basis, delivered a gross return that trailed their benchmarks by 0.1%. Over the longer-term, the Committee noted that, on an asset-weighted basis, the Putnam funds delivered strong aggregate performance relative to their

 

Lipper peers over the three-, five- and ten-year periods ended December 31, 2021, ranking in the 31st, 29th and 21st percentiles, respectively, and that the funds, in the aggregate, outperformed their benchmarks on a gross basis for each of those periods.

In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes. In particular, the Trustees considered The Putnam Fund complex’s performance as reported in the Barron’s/Lipper Fund Families survey (the “Survey”), which ranks mutual fund companies based on their performance across a variety of asset types. The Trustees noted that The Putnam Fund complex continued to rank highly in the Survey, especially over the longer-term, with The Putnam Funds ranking as the 6th best performing mutual fund complex out of 45 complexes for the ten-year period and 13th out of 49 complexes for the five-year period. The Trustees noted that 2021 marked the fifth consecutive year that The Putnam Funds have ranked in the top ten fund complexes for the ten-year period. The Trustees also considered that The Putnam Fund complex’s Survey performance over the one-year period was solid, with The Putnam Funds ranking 27th out of 51 complexes. In addition to the Survey, the Trustees also considered the Putnam funds’ ratings assigned by Morningstar Inc., noting that 25 of the funds were four- or five-star rated at the end of 2021 (representing a decrease of one fund year-over-year) and that this included nine funds that had achieved a five-star rating (representing an increase of two funds year-over-year). They also noted, however, the disappointing investment performance of some Putnam funds for periods ended December 31, 2021 and considered information provided by Putnam Management regarding the factors contributing to the under-performance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds and evaluate whether additional actions to address areas of underperformance may be warranted.

For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered information about your fund’s total return and its performance relative to its benchmark over the one-year, three-year and five-year periods ended December 31, 2021. Your fund’s class A shares’ return, net of fees and expenses, was approximately zero and in line with the return of its benchmark over the one-year period ended December 31, 2021, and was positive and exceeded the return of its benchmark over the three-year and five-year periods ended December 31, 2021. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

The Trustees considered Putnam Management’s continued efforts to support fund performance through certain initiatives, including structuring compensation for portfolio managers to enhance accountability for fund performance, emphasizing accountability in the portfolio management process and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires and internal promotions in 2021 to strengthen its investment team.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. The Trustees indicated their continued intent to

 

monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contract and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the investor services provided by PSERV were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.

 

Audited financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited 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.

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.

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Putnam Funds Trust and Shareholders of
Putnam Ultra Short Duration Income Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam Ultra Short Duration Income Fund (one of the funds constituting Putnam Funds Trust, referred to hereafter as the “Fund”) as of July 31, 2022, the related statement of operations for the year ended July 31, 2022, the statement of changes in net assets for each of the two years in the period ended July 31, 2022, including the related notes, and the financial highlights for each of the three years in the period ended July 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2022 and the financial highlights for each of the three years in the period ended July 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

The financial statements of the Fund as of and for the year ended July 31, 2019 and the financial highlights for each of the periods ended on or prior to July 31, 2019 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated September 10, 2019 expressed an unqualified opinion on those financial statements and financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
September 8, 2022

We have served as the auditor of one or more investment companies in the Putnam Investments family of funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.

 

The fund’s portfolio 7/31/22

CORPORATE BONDS AND NOTES (68.9%)*			Principal amount	Value
Banking (35.8%)
ANZ New Zealand Int’l, Ltd./London 144A company guaranty sr. unsec. FRN (US SOFR + 0.60%), 2.022%, 2/18/25 (United Kingdom)			$28,032,000	$27,635,207
Australia & New Zealand Banking Group, Ltd. 144A sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.49%), 1.995%, 11/21/22 (Australia)			24,180,000	24,172,944
Banco Bilbao Vizcaya Argentaria SA sr. unsec. unsub. notes 0.875%, 9/18/23 (Spain)			28,200,000	27,293,986
Banco Santander SA sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.12%), 3.543%, 4/12/23 (Spain)			58,074,000	58,039,036
Banco Santander SA sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.09%), 2.595%, 2/23/23 (Spain)			35,450,000	35,439,612
Bank of America Corp. sr. unsec. FRN Ser. GMTN, (ICE LIBOR USD 3 Month + 0.96%), 3.743%, 7/23/24			11,340,000	11,277,386
Bank of America Corp. sr. unsec. FRN Ser. MTN, (Bloomberg 3 Month Short Term Bank Yield Index + 0.43%), 1.938%, 5/28/24			71,000,000	69,888,850
Bank of America Corp. sr. unsec. unsub. FRN 3.004%, 12/20/23			36,246,000	36,149,642
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN, (ICE LIBOR USD 3 Month + 0.79%), 2.401%, 3/5/24			62,949,000	62,497,022
Bank of Montreal sr. unsec. FRN Ser. MTN, (US SOFR Compounded Index + 0.47%), 2.578%, 1/10/25 (Canada)			46,935,000	45,975,432
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.71%), 2.474%, 3/8/24 (Canada)			37,475,000	37,206,704
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.32%), 2.433%, 7/9/24 (Canada)			37,695,000	37,055,693
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.27%), 2.426%, 4/14/23 (Canada)			28,038,000	27,883,988
Bank of New York Mellon Corp. (The) sr. unsec. FRN Ser. MTN, (ICE LIBOR USD 3 Month + 1.05%), 3.856%, 10/30/23			18,685,000	18,697,449
Bank of New York Mellon Corp. (The) sr. unsec. unsub. FRN (US SOFR + 0.62%), 2.849%, 4/25/25			51,384,000	50,608,985
Bank of New York Mellon Corp. (The) sr. unsec. unsub. FRN (US SOFR + 0.20%), 2.429%, 10/25/24			34,593,000	33,914,742
Bank of Nova Scotia (The) sr. unsec. FRN (US SOFR Compounded Index + 0.45%), 2.609%, 4/15/24 (Canada)			74,000,000	73,151,465
Bank of Nova Scotia (The) sr. unsec. notes 1.625%, 5/1/23 (Canada)			5,040,000	4,981,020
Bank of Nova Scotia (The) sr. unsec. unsub. FRN (US SOFR + 0.38%), 2.658%, 7/31/24 (Canada)			46,700,000	45,934,416
Bank of Nova Scotia (The) sr. unsec. unsub. FRN (US SOFR + 0.26%), 2.141%, 9/15/23 (Canada)			22,930,000	22,724,345
Bank of Nova Scotia (The) sr. unsec. unsub. FRN Ser. BKNT, (ICE LIBOR USD 3 Month + 0.62%), 2.716%, 9/19/22 (Canada)			5,096,000	5,092,748

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Banking cont.
Banque Federative du Credit Mutuel SA 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.96%), 3.67%, 7/20/23 (France)			$7,635,000	$7,664,321
Banque Federative du Credit Mutuel SA 144A sr. unsec. FRN (US SOFR Compounded Index + 0.41%), 1.587%, 2/4/25 (France)			70,375,000	68,890,871
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 2.125%, 11/21/22 (France)			36,233,000	36,125,718
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 0.65%, 2/27/24 (France)			35,500,000	33,829,074
Barclays PLC sr. unsec. unsub. FRN 4.338%, 5/16/24 (United Kingdom)			18,704,000	18,687,779
Barclays PLC sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.38%), 2.791%, 5/16/24 (United Kingdom)			57,529,000	57,283,502
BNP Paribas SA 144A sr. unsec. unsub. notes 3.50%, 3/1/23 (France)			10,214,000	10,198,480
BPCE SA 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.24%), 2.961%, 9/12/23 (France)			69,767,000	69,815,719
BPCE SA 144A sr. unsec. FRN (US SOFR + 0.57%), 2.742%, 1/14/25 (France)			24,089,000	23,628,364
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (US SOFR + 0.80%), 2.749%, 3/17/23 (Canada)			62,781,000	62,859,476
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (US SOFR + 0.42%), 2.592%, 10/18/24 (Canada)			37,396,000	36,581,428
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (US SOFR + 0.34%), 2.292%, 6/22/23 (Canada)			47,455,000	47,094,079
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN Ser. BKNT, (ICE LIBOR USD 3 Month + 0.66%), 2.381%, 9/13/23 (Canada)			20,445,000	20,391,836
Capital One Bank USA NA unsec. sub. notes 3.375%, 2/15/23			24,166,000	24,151,113
Citigroup, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.43%), 3.01%, 9/1/23			30,501,000	30,489,419
Citigroup, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.02%), 2.603%, 6/1/24			89,440,000	88,790,397
Citigroup, Inc. sr. unsec. unsub. FRN (US SOFR + 0.67%), 2.956%, 5/1/25			39,605,000	38,583,963
Citigroup, Inc. sr. unsec. unsub. FRN (US SOFR + 1.37%), 2.876%, 5/24/25			13,997,000	13,943,128
Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25			19,435,000	19,420,966
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (ICE LIBOR USD 3 Month + 0.95%), 3.182%, 3/29/23			17,893,000	17,896,066
Commonwealth Bank of Australia 144A sr. unsec. unsub. FRN (US SOFR + 0.74%), 2.58%, 3/14/25 (Australia)			65,581,000	65,241,557
Cooperatieve Rabobank UA sr. unsec. FRN (US SOFR Compounded Index + 0.38%), 2.493%, 1/10/25 (Netherlands)			63,599,000	62,457,470
Cooperatieve Rabobank UA sr. unsec. FRN (US SOFR Compounded Index + 0.30%), 2.421%, 1/12/24 (Netherlands)			64,725,000	64,128,654

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Banking cont.
Cooperatieve Rabobank UA 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.86%), 3.057%, 9/26/23 (Netherlands)			$27,341,000	$27,392,712
Credit Agricole SA/London 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.02%), 3.803%, 4/24/23 (United Kingdom)			65,372,000	65,482,339
Credit Suisse Group AG sr. unsec. FRN (US SOFR Compounded Index + 0.39%), 2.677%, 2/2/24			33,500,000	32,980,382
Credit Suisse Group AG sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.38%), 1.622%, 8/9/23			18,345,000	18,217,060
Credit Suisse Group AG 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.24%), 2.961%, 6/12/24 (Switzerland)			71,642,000	71,676,531
Credit Suisse Group Funding Guernsey, Ltd. company guaranty sr. unsec. unsub. notes 3.80%, 9/15/22 (United Kingdom)			31,294,000	31,271,836
DNB Bank ASA 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.62%), 2.231%, 12/2/22 (Norway)			46,725,000	46,695,403
DNB Bank ASA 144A sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.83%), 2.841%, 3/28/25 (Norway)			51,541,000	50,953,768
Federation des Caisses Desjardins du Quebec 144A sr. unsec. FRN (US SOFR + 0.43%), 1.916%, 5/21/24 (Canada)			41,990,000	41,200,795
First-Citizens Bank & Trust Co. sr. unsec. sub. FRN 3.929%, 6/19/24			30,599,000	30,380,468
Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23			7,864,000	7,866,217
Huntington National Bank (The) sr. unsec. FRN (US SOFR Compounded Index + 1.19%), 2.553%, 5/16/25			28,010,000	27,624,806
ING Groep NV sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.00%), 3.293%, 10/2/23 (Netherlands)			67,884,000	67,682,798
Intesa Sanpaolo SpA 144A sr. unsec. notes 3.375%, 1/12/23 (Italy)			59,497,000	59,186,735
JPMorgan Chase & Co. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.89%), 3.673%, 7/23/24			49,091,000	48,912,700
JPMorgan Chase & Co. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.73%), 3.513%, 4/23/24			60,212,000	59,790,335
JPMorgan Chase & Co. sr. unsec. unsub. FRN (US SOFR + 0.58%), 2.478%, 3/16/24			13,994,000	13,861,171
JPMorgan Chase & Co. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.23%), 4.013%, 10/24/23			52,951,000	52,974,413
KeyBank NA sr. unsec. FRN Ser. BKNT, (US SOFR + 0.34%), 2.62%, 1/3/24			54,980,000	54,561,216
KeyBank NA sr. unsec. FRN Ser. BKNT, (US SOFR + 0.32%), 2.60%, 6/14/24			27,540,000	27,168,948
KeyBank NA sr. unsec. FRN Ser. BKNT, 0.423%, 1/3/24			53,877,000	53,169,173
KeyCorp sr. unsec. unsub. FRN Ser. MTN, 3.878%, 5/23/25			13,996,000	13,954,543
Lloyds Banking Group PLC sr. unsec. unsub. FRN 2.907%, 11/7/23 (United Kingdom)			19,376,000	19,300,300

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Banking cont.
Lloyds Banking Group PLC sr. unsec. unsub. FRN 0.695%, 5/11/24 (United Kingdom)			$51,410,000	$49,931,568
Macquarie Bank, Ltd. 144A sr. unsec. FRN (US SOFR + 1.31%), 3.253%, 3/21/25 (Australia)			19,285,000	19,277,093
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN 4.788%, 7/18/25 (Japan)			18,706,000	18,908,059
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.86%), 3.626%, 7/26/23 (Japan)			99,217,000	99,568,204
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.74%), 2.351%, 3/2/23 (Japan)			16,300,000	16,317,174
Mizuho Financial Group, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.99%), 3.418%, 7/10/24 (Japan)			36,970,000	36,931,110
Mizuho Financial Group, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.63%), 2.154%, 5/25/24 (Japan)			36,473,000	36,150,312
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.00%), 2.721%, 9/11/24 (Japan)			8,907,000	8,885,556
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.79%), 2.401%, 3/5/23 (Japan)			13,977,000	13,988,031
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.88%), 2.601%, 9/11/22 (Japan)			52,440,000	52,417,870
National Australia Bank, Ltd. 144A sr. unsec. FRN (US SOFR + 0.38%), 2.501%, 1/12/25 (Australia)			70,891,000	70,006,989
National Australia Bank, Ltd. 144A sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.41%), 2.131%, 12/13/22 (Australia)			36,650,000	36,626,899
National Bank of Canada company guaranty sr. unsec. FRN (US SOFR + 0.49%), 1.711%, 8/6/24 (Canada)			36,500,000	36,034,252
National Bank of Canada company guaranty sr. unsec. FRN 0.90%, 8/15/23 (Canada)			48,000,000	47,943,411
NatWest Group PLC sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.55%), 3.747%, 6/25/24 (United Kingdom)			54,317,000	54,310,180
Nordea Bank ABP 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.94%), 2.538%, 8/30/23 (Finland)			8,522,000	8,527,997
Nordea Bank ABP 144A unsec. sub. notes 4.25%, 9/21/22 (Finland)			88,296,000	88,287,759
Royal Bank of Canada sr. unsec. FRN Ser. GMTN, (ICE LIBOR USD 3 Month + 0.36%), 3.10%, 1/17/23 (Canada)			42,500,000	42,454,151
Royal Bank of Canada sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.36%), 2.638%, 7/29/24 (Canada)			37,500,000	36,831,965
Royal Bank of Canada sr. unsec. unsub. FRN Ser. GMTN, (US SOFR Compounded Index + 0.34%), 2.439%, 10/7/24 (Canada)			45,925,000	44,856,735
Royal Bank of Canada sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.45%), 2.688%, 10/26/23 (Canada)			27,919,000	27,715,943
Royal Bank of Canada sr. unsec. unsub. notes (US SOFR + 0.40%), 1.599%, 8/5/22 (Canada)			27,800,000	27,801,296
Santander Holdings USA, Inc. sr. unsec. unsub. notes 3.40%, 1/18/23			21,353,000	21,311,992
Santander UK Group Holdings PLC sr. unsec. unsub. FRN 3.373%, 1/5/24 (United Kingdom)			45,069,000	44,869,064

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Banking cont.
Skandinaviska Enskilda Banken AB 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.65%), 2.366%, 12/12/22 (Sweden)			$20,000,000	$19,995,395
Skandinaviska Enskilda Banken AB 144A sr. unsec. notes (ICE LIBOR USD 3 Month + 0.32%), 1.90%, 9/1/23 (Sweden)			57,957,000	57,682,305
Skandinaviska Enskilda Banken AB 144A sr. unsec. notes 0.55%, 9/1/23 (Sweden)			23,478,000	22,669,723
Societe Generale SA 144A unsec. sub. notes 5.00%, 1/17/24 (France)			19,579,000	19,652,331
Sumitomo Mitsui Financial Group, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.80%), 3.54%, 10/16/23 (Japan)			32,710,000	32,714,995
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.86%), 3.598%, 7/19/23 (Japan)			13,534,000	13,555,248
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.74%), 3.478%, 1/17/23 (Japan)			20,603,000	20,627,717
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.74%), 3.478%, 10/18/22 (Japan)			5,922,000	5,927,148
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. notes 2.778%, 10/18/22 (Japan)			36,373,000	36,367,431
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan)			47,459,000	46,020,518
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. unsub. FRN (US SOFR + 0.44%), 2.28%, 9/16/24 (Japan)			51,242,000	50,401,529
Svenska Handelsbanken AB 144A sr. unsec. notes 0.625%, 6/30/23 (Sweden)			17,000,000	16,566,518
Swedbank AB 144A sr. unsec. FRN (US SOFR Compounded Index + 0.91%), 2.967%, 4/4/25 (Sweden)			28,103,000	27,835,459
Swedbank AB 144A sr. unsec. notes 1.30%, 6/2/23 (Sweden)			19,500,000	19,093,503
Swedbank AB 144A sr. unsec. notes 0.60%, 9/25/23 (Sweden)			9,653,000	9,328,485
Toronto-Dominion Bank (The) sr. unsec. FRN Ser. MTN, (US SOFR + 0.35%), 2.147%, 9/10/24 (Canada)			36,820,000	36,041,807
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.48%), 2.742%, 1/27/23 (Canada)			57,295,000	57,227,780
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.91%), 2.674%, 3/8/24 (Canada)			23,419,000	23,379,667
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 0.45%, 9/11/23 (Canada)			11,127,000	10,799,762
Truist Bank sr. unsec. FRN Ser. BKNT, (US SOFR + 0.73%), 2.511%, 3/9/23			38,890,000	38,841,757
Truist Bank sr. unsec. unsub. FRN Ser. BKNT, (US SOFR + 0.20%), 2.372%, 1/17/24			55,450,000	54,734,331
U.S. Bank NA sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.40%), 2.09%, 12/9/22			47,500,000	47,435,780
UBS AG/London 144A sr. unsec. FRN (US SOFR + 0.47%), 2.617%, 1/13/25 (United Kingdom)			7,149,000	7,048,216

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Banking cont.
UBS AG/London 144A sr. unsec. FRN (US SOFR + 0.36%), 1.602%, 2/9/24 (United Kingdom)			$47,500,000	$47,177,238
UBS Group AG 144A sr. unsec. FRN 2.859%, 8/15/23 (Switzerland)			46,684,000	46,671,195
UBS Group AG 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.95%), 2.361%, 8/15/23 (Switzerland)			69,063,000	69,046,851
Wells Fargo & Co. sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.23%), 4.036%, 10/31/23			68,635,000	68,689,137
Wells Fargo & Co. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.90%), 2.344%, 5/17/23			9,100,000	9,079,821
Westpac Banking Corp. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.39%), 2.845%, 1/13/23 (Australia)			17,300,000	17,288,056
Westpac Banking Corp. sr. unsec. unsub. FRN (US SOFR + 0.30%), 1.722%, 11/18/24 (Australia)			43,562,000	43,059,730
				4,510,991,744
Basic materials (1.1%)
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.90%, 7/5/24 (Germany)			46,875,000	47,208,021
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany)			23,775,000	23,863,823
Georgia-Pacific, LLC 144A sr. unsec. notes 0.625%, 5/15/24			23,275,000	22,056,069
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 4.25%, 10/25/22 (Canada)			6,887,000	6,886,862
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 3.00%, 10/27/22			2,490,000	2,479,382
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 0.697%, 9/15/22			14,000,000	13,950,247
Nutrien, Ltd. sr. unsec. notes 1.90%, 5/13/23 (Canada)			15,600,000	15,405,574
Westlake Corp. sr. unsec. notes 0.875%, 8/15/24			7,332,000	7,014,002
				138,863,980
Capital goods (1.8%)
Caterpillar Financial Services Corp. sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.27%), 2.084%, 9/13/24			18,650,000	18,316,948
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 1.00%), 3.064%, 4/5/24			23,416,000	23,301,938
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.75%), 2.631%, 12/13/24			23,389,000	23,090,949
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.60%), 2.498%, 12/14/23			28,067,000	27,894,544
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.50%), 2.281%, 6/14/23			37,423,000	37,263,702
Honeywell International, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.37%), 1.741%, 8/8/22			28,000,000	27,996,079
L3Harris Technologies, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.75%), 2.438%, 3/10/23			64,900,000	64,796,975
				222,661,135

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Communication services (1.6%)
American Tower Corp. sr. unsec. notes 0.60%, 1/15/24 R			$21,400,000	$20,438,113
American Tower Corp. sr. unsec. unsub. notes 3.50%, 1/31/23 R			4,660,000	4,658,645
AT&T, Inc. sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.18%), 2.901%, 6/12/24			46,641,000	46,505,747
AT&T, Inc. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.64%), 2.632%, 3/25/24			43,033,000	42,509,590
AT&T, Inc. 144A sr. unsec. unsub. notes zero %, 11/27/22			6,000,000	5,925,911
Verizon Communications, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.10%), 2.511%, 5/15/25			80,834,000	80,661,647
				200,699,653
Conglomerates (0.3%)
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN (US SOFR + 0.43%), 2.239%, 3/11/24 (Netherlands)			42,200,000	41,958,110
				41,958,110
Consumer cyclicals (2.9%)
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 0.53%), 2.578%, 4/1/24			24,200,000	23,975,135
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 0.84%), 1.884%, 4/1/25			14,056,000	13,926,107
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 0.38%), 1.704%, 8/12/24			37,400,000	36,815,064
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.25%, 5/15/23			14,600,000	14,674,874
General Motors Financial Co., Inc. sr. unsec. sub. FRN (US SOFR + 0.76%), 2.524%, 3/8/24			19,350,000	18,885,143
Hyundai Capital America 144A sr. unsec. notes 1.15%, 11/10/22 (South Korea)			16,583,000	16,471,231
Magallanes, Inc. 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 1.78%), 3.661%, 3/15/24			28,410,000	28,307,724
Mercedes-Benz Finance North America, LLC 144A company guaranty sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.84%), 2.175%, 5/4/23			10,615,000	10,634,742
Toyota Motor Credit Corp. sr. unsec. unsub. FRN (US SOFR + 0.29%), 2.104%, 9/13/24			47,610,000	46,994,212
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.34%), 2.496%, 10/14/22			18,500,000	18,490,248
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.33%), 2.443%, 1/11/24			55,600,000	55,223,204
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.32%), 2.393%, 4/6/23			32,700,000	32,609,376
Volkswagen Group of America Finance, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.95%), 2.667%, 6/7/24			51,319,000	51,225,805
				368,232,865

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Consumer finance (4.3%)
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. FRN (US SOFR + 0.68%), 2.712%, 9/29/23 (Ireland)			$54,354,000	$53,557,721
Air Lease Corp. sr. unsec. FRN Ser. MTN, (ICE LIBOR USD 3 Month + 0.35%), 2.179%, 12/15/22			70,000,000	69,875,859
American Express Co. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.65%), 2.203%, 2/27/23			25,601,000	25,597,293
American Express Co. sr. unsec. FRN (ICE LIBOR USD 3 Month + 0.75%), 2.036%, 8/3/23			20,359,000	20,347,151
American Express Co. sr. unsec. unsub. FRN (US SOFR + 0.93%), 2.622%, 3/4/25			16,863,000	16,729,088
American Express Co. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.72%), 1.857%, 5/3/24			42,046,000	41,749,954
American Express Co. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.23%), 1.367%, 11/3/23			37,415,000	37,097,604
American Honda Finance Corp. sr. unsec. FRN Ser. MTN, (ICE LIBOR USD 3 Month + 0.42%), 2.085%, 9/8/23			19,000,000	18,949,807
American Honda Finance Corp. sr. unsec. FRN Ser. MTN, (ICE LIBOR USD 3 Month + 0.37%), 1.772%, 5/10/23			69,262,000	69,047,282
American Honda Finance Corp. sr. unsec. unsub. notes Ser. MTN, 2.60%, 11/16/22			5,026,000	5,029,755
Capital One Financial Corp. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.72%), 3.526%, 1/30/23			54,407,000	54,302,267
Capital One Financial Corp. sr. unsec. unsub. FRN (US SOFR + 1.35%), 2.592%, 5/9/25			28,010,000	27,518,799
Capital One Financial Corp. sr. unsec. unsub. FRN (US SOFR + 0.69%), 2.454%, 12/6/24			47,215,000	45,685,376
Discover Financial Services sr. unsec. notes 3.85%, 11/21/22			52,153,000	52,279,675
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22			2,189,000	2,191,736
				539,959,367
Consumer staples (1.1%)
Conagra Brands, Inc. sr. unsec. unsub. notes 0.50%, 8/11/23			14,000,000	13,577,822
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.30%, 10/15/22			1,065,000	1,064,684
General Mills, Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.01%), 3.75%, 10/17/23			25,963,000	25,964,497
GSK Consumer Healthcare Capital US, LLC 144A company guaranty sr. unsec. unsub. FRN (US SOFR + 0.89%), 2.877%, 3/24/24			25,677,000	25,584,152
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 0.75%, 3/15/24			29,313,000	28,048,818
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. notes 2.125%, 9/19/22 (Netherlands)			6,790,000	6,780,454
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24			13,931,000	13,382,537
Starbucks Corp. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.42%), 1.766%, 2/14/24			21,109,000	20,904,206
				135,307,170

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Energy (0.7%)
Chevron USA, Inc. company guaranty sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.20%), 1.599%, 8/11/23			$42,293,000	$42,312,428
Chevron USA, Inc. company guaranty sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.11%), 1.51%, 8/12/22			28,196,000	28,186,935
Plains All American Pipeline LP/PAA Finance Corp. sr. unsec. notes 2.85%, 1/31/23			15,893,000	15,786,187
				86,285,550
Financial (1.5%)
Macquarie Group, Ltd. 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.35%), 3.547%, 3/27/24 (Australia)			59,608,000	59,647,946
Macquarie Group, Ltd. 144A sr. unsec. FRN (ICE LIBOR USD 3 Month + 1.02%), 2.618%, 11/28/23 (Australia)			62,295,000	62,170,659
Nasdaq, Inc. sr. unsec. notes 0.445%, 12/21/22			36,315,000	35,883,275
NatWest Markets PLC 144A sr. unsec. unsub. notes 2.375%, 5/21/23 (United Kingdom)			7,954,000	7,849,274
Secured Forward-Backed Note 2021-05 144A sr. unsub. FRN (ICE LIBOR USD 3 Month + 0.37%), 2.604%, 9/28/22			30,000,000	29,967,000
				195,518,154
Health care (2.1%)
AstraZeneca PLC sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.67%), 2.109%, 8/17/23 (United Kingdom)			36,320,000	36,320,808
Cigna Corp. company guaranty sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.89%), 3.402%, 7/15/23			64,462,000	64,622,587
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22			10,500,000	10,534,844
Gilead Sciences, Inc. sr. unsec. notes 0.75%, 9/29/23			21,000,000	20,392,281
Roche Holdings, Inc. 144A company guaranty sr. unsec. FRN (US SOFR + 0.33%), 2.139%, 9/11/23 (Switzerland)			32,790,000	32,655,658
Stryker Corp. sr. unsec. notes 0.60%, 12/1/23			14,000,000	13,478,892
Thermo Fisher Scientific, Inc. sr. unsec. FRN (US SOFR Compounded Index + 0.53%), 2.702%, 10/18/24			14,025,000	13,780,095
Thermo Fisher Scientific, Inc. sr. unsec. FRN (US SOFR Compounded Index + 0.39%), 2.562%, 10/18/23			32,726,000	32,475,182
Thermo Fisher Scientific, Inc. sr. unsec. FRN (US SOFR Compounded Index + 0.35%), 2.522%, 4/18/23			46,751,000	46,608,815
				270,869,162
Insurance (6.0%)
AIG Global Funding 144A sr. unsub. FRN (US SOFR + 0.38%), 2.261%, 12/15/23			37,000,000	36,765,828
Athene Global Funding 144A FRN (ICE LIBOR USD 3 Month + 0.73%), 3.121%, 1/8/24			9,348,000	9,233,712
Athene Global Funding 144A FRN (US SOFR Compounded Index + 0.72%), 2.814%, 1/7/25			46,845,000	45,231,143
Athene Global Funding 144A FRN (US SOFR Compounded Index + 0.56%), 1.998%, 8/19/24			32,630,000	31,618,500
Athene Global Funding 144A sr. FRN (US SOFR Compounded Index + 0.70%), 2.204%, 5/24/24			23,802,000	23,251,618
GA Global Funding Trust 144A FRN (US SOFR + 1.36%), 3.473%, 4/11/25			28,086,000	27,486,960
GA Global Funding Trust 144A FRN (US SOFR + 0.50%), 2.314%, 9/13/24			9,350,000	9,064,444

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Insurance cont.
Jackson National Life Global Funding 144A FRN (US SOFR + 0.60%), 2.673%, 1/6/23			$46,750,000	$46,735,213
MassMutual Global Funding II 144A FRN (US SOFR + 0.87%), 2.813%, 3/21/25			47,226,000	46,843,874
MassMutual Global Funding II 144A FRN (US SOFR + 0.27%), 2.483%, 10/21/24			28,116,000	27,707,315
MassMutual Global Funding II 144A FRN (US SOFR + 0.36%), 2.481%, 4/12/24			74,780,000	74,013,315
MET Tower Global Funding 144A FRN (US SOFR + 0.55%), 2.721%, 1/17/23			13,300,000	13,290,941
Metropolitan Life Global Funding I 144A company guaranty sr. FRN (US SOFR + 0.30%), 2.296%, 9/27/24			19,850,000	19,516,611
Metropolitan Life Global Funding I 144A FRN (US SOFR + 0.32%), 2.419%, 1/7/24			27,300,000	27,099,427
Metropolitan Life Global Funding I 144A sr. unsub. FRN (US SOFR Compounded Index + 0.91%), 2.853%, 3/21/25			19,175,000	19,057,841
New York Life Global Funding 144A FRN (US SOFR Compounded Index + 0.36%), 2.573%, 10/21/23			9,500,000	9,447,513
New York Life Global Funding 144A FRN (US SOFR + 0.22%), 2.507%, 2/2/23			27,255,000	27,192,423
New York Life Global Funding 144A sr. notes (ICE LIBOR USD 3 Month + 0.28%), 2.708%, 1/10/23			56,750,000	56,594,973
New York Life Global Funding 144A sr. unsub. FRN (US SOFR Compounded Index + 0.33%), 2.486%, 1/14/25			9,020,000	8,835,695
Northwestern Mutual Global Funding 144A FRN (US SOFR + 0.33%), 2.322%, 3/25/24			27,995,000	27,603,725
Pacific Life Global Funding II 144A company guaranty sr. notes 0.50%, 9/23/23			28,215,000	27,328,736
Pacific Life Global Funding II 144A FRN (US SOFR + 0.40%), 2.662%, 1/27/25			46,685,000	45,908,304
Pacific Life Global Funding II 144A unsec. FRN (US SOFR + 0.38%), 2.527%, 4/12/24			47,055,000	46,614,921
Principal Life Global Funding II 144A FRN (US SOFR + 0.45%), 2.571%, 4/12/24			28,000,000	27,587,179
Principal Life Global Funding II 144A FRN (US SOFR + 0.38%), 1.916%, 8/23/24			18,615,000	18,235,866
Protective Life Global Funding 144A notes 0.631%, 10/13/23			11,851,000	11,466,554
				763,732,631
Investment banking/Brokerage (4.6%)
Ares Capital Corp. sr. unsec. unsub. notes 3.50%, 2/10/23			37,474,000	37,316,797
Charles Schwab Corp. (The) sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.50%), 2.428%, 3/18/24			60,160,000	59,728,954
Deutsche Bank AG sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.23%), 2.783%, 2/27/23 (Germany)			24,430,000	24,349,104
Deutsche Bank AG sr. unsec. unsub. FRN (US SOFR + 0.50%), 1.731%, 11/8/23 (Germany)			32,732,000	32,360,197

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Investment banking/Brokerage cont.
Deutsche Bank AG sr. unsec. unsub. notes 3.30%, 11/16/22 (Germany)			$23,876,000	$23,839,107
Discover Bank sr. unsec. notes Ser. BKNT, 3.35%, 2/6/23			41,041,000	40,975,972
Goldman Sachs Group, Inc. (The) sr. unsec. FRN (US SOFR + 0.58%), 2.344%, 3/8/24			65,854,000	65,031,813
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.49%), 2.703%, 10/21/24			18,700,000	18,281,148
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.50%), 2.297%, 9/10/24			37,185,000	36,396,678
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.75%), 2.255%, 2/23/23			35,149,000	35,100,847
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.00%), 1.932%, 11/17/23			19,200,000	19,069,349
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN 0.627%, 11/17/23			9,400,000	9,311,177
Morgan Stanley sr. unsec. FRN Ser. MTN, 0.56%, 11/10/23			18,500,000	18,332,971
Morgan Stanley sr. unsec. FRN Ser. MTN, 0.529%, 1/25/24			23,000,000	22,627,880
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, (ICE LIBOR USD 3 Month + 1.22%), 2.591%, 5/8/24			62,439,000	62,457,130
Morgan Stanley unsec. sub. notes 4.875%, 11/1/22			72,216,000	72,545,067
				577,724,191
Real estate (0.7%)
AvalonBay Communities, Inc. sr. unsec. notes Ser. GMTN, 2.85%, 3/15/23 R			9,250,000	9,180,436
Public Storage sr. unsec. FRN (US SOFR + 0.47%), 2.699%, 4/23/24			51,508,000	51,252,480
Simon Property Group LP sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.43%), 2.543%, 1/11/24 R			29,529,000	29,203,649
				89,636,565
Technology (0.2%)
Advanced Micro Devices, Inc. sr. unsec. unsub. notes 7.50%, 8/15/22			1,800,000	1,810,440
Analog Devices, Inc. sr. unsec. FRN (US SOFR + 0.25%), 2.298%, 10/1/24			11,205,000	10,945,234
VMware, Inc. sr. unsec. notes 1.00%, 8/15/24			18,765,000	17,653,906
				30,409,580
Utilities and power (4.2%)
American Electric Power Co., Inc. jr. unsec. sub. notes 2.031%, 3/15/24			9,840,000	9,573,081
American Electric Power Co., Inc. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.48%), 3.262%, 11/1/23			23,858,000	23,714,680
American Electric Power Co., Inc. sr. unsec. unsub. notes 0.75%, 11/1/23			9,500,000	9,198,634
Atmos Energy Corp. sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.38%), 2.07%, 3/9/23			18,700,000	18,669,630
Dominion Energy, Inc. sr. unsec. unsub. FRN Ser. D, (ICE LIBOR USD 3 Month + 0.53%), 2.359%, 9/15/23			23,938,000	23,808,636

CORPORATE BONDS AND NOTES (68.9%)* cont.			Principal amount	Value
Utilities and power cont.
Dominion Energy, Inc. sr. unsec. unsub. notes 2.75%, 9/15/22			$17,410,000	$17,387,204
Duke Energy Carolinas, LLC sr. notes 3.05%, 3/15/23			28,893,000	28,883,467
Duke Energy Corp. sr. unsec. FRN (US SOFR + 0.25%), 2.047%, 6/10/23			18,629,000	18,495,484
Enbridge, Inc. company guaranty sr. unsec. FRN (US SOFR + 0.40%), 1.792%, 2/17/23 (Canada)			18,620,000	18,542,522
Enbridge, Inc. company guaranty sr. unsec. notes 0.55%, 10/4/23 (Canada)			9,341,000	9,012,158
Enbridge, Inc. company guaranty sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.63%), 1.987%, 2/16/24 (Canada)			23,380,000	23,069,162
Eversource Energy sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.25%), 1.596%, 8/15/23			18,600,000	18,459,132
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23			17,495,000	17,461,112
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 1.28%), 3.792%, 1/15/23			12,407,000	12,411,857
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23			4,845,000	4,837,404
Mississippi Power Co. sr. unsec. unsub. FRN (US SOFR + 0.30%), 2.311%, 6/28/24			21,857,000	21,366,569
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.54%), 2.163%, 3/1/23			18,700,000	18,617,167
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. FRN (ICE LIBOR USD 3 Month + 0.27%), 1.775%, 2/22/23			70,700,000	70,359,801
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.40%), 1.537%, 11/3/23			61,776,000	61,006,367
PPL Electric Utilities Corp. sr. FRN (US SOFR + 0.33%), 2.32%, 6/24/24			7,765,000	7,621,531
PPL Electric Utilities Corp. sr. unsub. FRN (ICE LIBOR USD 3 Month + 0.25%), 2.484%, 9/28/23			9,000,000	8,952,041
Southern Co. (The) sr. unsec. FRN (US SOFR + 0.37%), 1.65%, 5/10/23			56,269,000	55,837,525
TransCanada PipeLines, Ltd. sr. unsec. unsub. notes 1.00%, 10/12/24 (Canada)			23,370,000	21,946,103
Xcel Energy, Inc. sr. unsec. notes 0.50%, 10/15/23			9,189,000	8,873,886
				528,105,153
Total corporate bonds and notes (cost $8,794,978,016)				$8,700,955,010

COMMERCIAL PAPER (20.1%)*	Yield (%)	Maturity date	Principal amount	Value
Alexandria Real Estate Equities, Inc.	2.502	8/10/22	$46,750,000	$46,712,678
Alimentation Couche-Tard, Inc. (Canada)	2.504	8/9/22	46,400,000	46,362,613
Alimentation Couche-Tard, Inc. (Canada)	2.503	8/11/22	47,000,000	46,955,092
Alimentation Couche-Tard, Inc. (Canada)	2.401	8/3/22	10,000,000	9,996,381
Amcor Finance (USA), Inc.	2.034	8/4/22	12,000,000	11,994,914

COMMERCIAL PAPER (20.1%)* cont.	Yield (%)	Maturity date	Principal amount	Value
Amcor Flexibles North America, Inc.	2.646	8/18/22	$28,000,000	$27,959,136
Amcor Flexibles North America, Inc.	2.605	8/16/22	23,500,000	23,469,239
Arrow Electronics, Inc.	2.901	8/2/22	55,750,000	55,732,365
Arrow Electronics, Inc.	2.449	8/4/22	74,800,000	74,764,395
Autonation, Inc.	2.751	8/1/22	67,935,000	67,919,358
AvalonBay Communities, Inc.	2.401	8/2/22	22,000,000	21,993,818
Aviation Capital Group, LLC	3.001	8/1/22	53,250,000	53,239,177
Aviation Capital Group, LLC	2.654	8/3/22	5,000,000	4,998,303
Baxter International, Inc.	2.054	8/1/22	9,500,000	9,498,004
Becton Dickinson and Co.	2.103	8/3/22	23,250,000	23,241,811
Cabot Corp.	2.713	8/31/22	65,492,000	65,332,309
Crown Castle International Corp.	3.188	9/1/22	15,000,000	14,960,250
Crown Castle International Corp.	3.107	8/23/22	69,250,000	69,115,539
Crown Castle International Corp.	2.554	8/2/22	43,000,000	42,986,780
Enbridge US, Inc.	2.751	8/25/22	41,600,000	41,513,202
Enbridge US, Inc.	2.726	8/26/22	10,150,000	10,128,022
Enbridge US, Inc.	1.061	1/19/23	24,250,000	23,798,950
Energy Transfer LP	2.951	8/1/22	91,250,000	91,228,985
ERAC USA Finance, LLC	2.102	8/1/22	51,500,000	51,489,181
Fidelity National Information Services, Inc.	2.652	8/5/22	30,845,000	30,829,706
Fidelity National Information Services, Inc.	2.511	8/2/22	37,200,000	37,189,547
Fiserv, Inc.	2.706	8/24/22	30,000,000	29,942,518
Fiserv, Inc.	2.453	8/9/22	33,500,000	33,473,509
Fiserv, Inc.	2.252	8/4/22	28,000,000	27,988,039
Fiserv, Inc.	2.252	8/1/22	21,900,000	21,895,363
Fiserv, Inc.	2.203	8/3/22	23,650,000	23,641,604
FMC Corp.	2.801	8/1/22	92,500,000	92,478,255
FMC Corp.	2.455	8/8/22	35,500,000	35,471,768
General Motors Financial Co., Inc.	4.273	6/22/23	14,000,000	13,473,196
General Motors Financial Co., Inc.	2.607	8/23/22	18,000,000	17,965,300
General Motors Financial Co., Inc.	2.606	8/22/22	12,000,000	11,977,800
General Motors Financial Co., Inc.	2.407	8/12/22	23,000,000	22,975,367
General Motors Financial Co., Inc.	2.305	8/2/22	28,000,000	27,991,507
Glencore Funding, LLC	2.174	8/5/22	28,000,000	27,986,280
Healthpeak Properties, Inc.	2.706	8/24/22	21,500,000	21,458,649
Healthpeak Properties, Inc.	2.402	8/10/22	23,500,000	23,479,618
Healthpeak Properties, Inc.	2.134	8/2/22	10,000,000	9,997,162
Healthpeak Properties, Inc.	2.052	8/3/22	62,525,000	62,502,743
HSBC USA, Inc.	2.327	11/22/22	23,250,000	23,023,602
HSBC USA, Inc.	0.725	1/3/23	28,250,000	27,837,994
HSBC USA, Inc.	0.725	12/28/22	23,250,000	22,928,799
Humana, Inc.	2.575	8/17/22	41,300,000	41,245,529
Humana, Inc.	2.352	8/4/22	28,000,000	27,988,473
International Flavors & Fragrances, Inc.	2.807	8/22/22	18,500,000	18,467,637
International Flavors & Fragrances, Inc.	2.704	8/12/22	12,000,000	11,987,955
Kinder Morgan, Inc.	2.601	8/1/22	45,860,000	45,849,441
Louisville Gas and Electric Co.	2.103	8/2/22	28,000,000	27,992,163
Marsh & McLennan Cos., Inc.	2.203	8/3/22	18,750,000	18,743,396
Mohawk Industries, Inc.	2.153	8/2/22	46,750,000	46,736,863
Nutrien, Ltd. (Canada)	2.155	8/9/22	32,500,000	32,474,101

COMMERCIAL PAPER (20.1%)* cont.	Yield (%)	Maturity date	Principal amount	Value
Nutrien, Ltd. (Canada)	2.135	8/8/22	$16,500,000	$16,488,070
Nutrien, Ltd. (Canada)	2.125	8/4/22	28,000,000	27,987,946
ONEOK, Inc.	2.886	8/23/22	18,650,000	18,616,028
ONEOK, Inc.	2.695	8/9/22	30,350,000	30,326,352
ONEOK, Inc.	2.568	8/4/22	34,300,000	34,285,594
ONEOK, Inc.	2.474	8/5/22	18,750,000	18,740,849
ONEOK, Inc.	2.455	8/8/22	16,250,000	16,238,535
ONEOK, Inc.	2.353	8/2/22	5,000,000	4,998,589
Plains All American Pipeline LP	2.801	8/1/22	42,105,000	42,096,155
PPG Industries, Inc.	2.084	8/1/22	30,000,000	29,993,698
Realty Income Corp.	2.780	9/12/22	14,787,000	14,737,094
Realty Income Corp.	2.779	9/9/22	9,250,000	9,220,970
Realty Income Corp.	2.351	8/3/22	10,100,000	10,096,443
Republic Services, Inc.	2.603	8/11/22	18,750,000	18,732,558
Republic Services, Inc.	2.002	8/2/22	23,250,000	23,243,467
Sherwin-Williams Co. (The)	2.301	8/3/22	13,000,000	12,995,667
Suncor Energy, Inc. (Canada)	2.707	9/1/22	25,000,000	24,937,124
Suncor Energy, Inc. (Canada)	2.164	8/8/22	25,250,000	25,232,024
TransCanada PipeLines, Ltd. (Canada)	2.705	8/25/22	14,250,000	14,221,817
TransCanada PipeLines, Ltd. (Canada)	2.606	8/22/22	27,100,000	27,052,593
TransCanada PipeLines, Ltd. (Canada)	2.319	8/5/22	51,890,000	51,864,271
TransCanada PipeLines, Ltd. (Canada)	2.193	8/2/22	11,250,000	11,246,839
UDR, Inc.	2.505	8/19/22	38,000,000	37,942,123
WEC Energy Group, Inc.	2.002	8/1/22	14,405,000	14,401,974
Welltower, Inc.	2.736	8/24/22	18,500,000	18,464,820
Welltower, Inc.	2.684	8/17/22	35,000,000	34,951,935
Westpac Banking Corp. (Australia)	2.000	3/21/23	46,850,000	46,822,120
Williams Cos., Inc. (The)	2.302	8/4/22	23,000,000	22,990,252
Williams Cos., Inc. (The)	2.253	8/3/22	24,000,000	23,991,547
Total commercial paper (cost $2,537,829,240)				$2,536,301,840

ASSET-BACKED SECURITIES (7.1%)*			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			$36,188,000	$36,097,530
AmeriCredit Automobile Receivables Trust Ser. 22-1, Class A3, 2.45%, 11/18/26			4,160,000	4,069,024
Bank of The West Auto Trust 144A Ser. 19-1, Class A3, 2.43%, 4/15/24			1,354,698	1,354,310
BMW Vehicle Lease Trust
Ser. 22-1, Class A2, 0.67%, 5/28/24			4,640,930	4,597,987
Ser. 21-2, Class A2, 0.19%, 11/27/23			4,777,294	4,749,399
Canadian Pacer Auto Receivables Trust 144A Ser. 21-1A, Class A2A, 0.24%, 10/19/23 (Canada)			2,582,044	2,572,573
Capital One Prime Auto Receivables Trust Ser. 20-1, Class A3, 1.60%, 11/15/24			5,999,559	5,948,119
CarMax Auto Owner Trust
Ser. 22-2, Class A3, 3.49%, 2/16/27			14,000,000	14,002,884
Ser. 19-1, Class A3, 3.05%, 3/15/24			491,593	491,777
Ser. 19-3, Class A3, 2.18%, 8/15/24			4,970,014	4,952,239

ASSET-BACKED SECURITIES (7.1%)* cont.			Principal amount	Value
CarMax Auto Owner Trust
Ser. 20-1, Class A3, 1.89%, 12/16/24			$8,666,620	$8,598,823
Ser. 20-3, Class A3, 0.62%, 3/17/25			11,786,255	11,605,784
Carvana Auto Receivables Trust
Ser. 22-P2, Class A3, 3.75%, 4/12/27			13,000,000	12,818,130
Ser. 21-P4, Class A3, 1.31%, 1/11/27			34,305,000	32,483,322
Citibank Credit Card Issuance Trust FRB Ser. 17-A7, Class A7, (ICE LIBOR USD 1 Month + 0.37%), 2.177%, 8/8/24			5,000,000	4,999,999
Discover Card Execution Note Trust Ser. 19-A3, Class A, 1.89%, 10/15/24			39,873,000	39,818,175
First Investors Auto Owner Trust 144A Ser. 22-1A, Class A, 2.03%, 1/15/27			11,659,416	11,391,345
Ford Credit Auto Owner Trust
Ser. 19-B, Class A3, 2.23%, 10/15/23			720,012	719,700
Ser. 20-A, Class A3, 1.04%, 8/15/24			15,137,920	14,994,579
Ser. 21-A, Class A2, 0.17%, 10/15/23			1,097,480	1,096,348
Ford Credit Auto Owner Trust 144A Ser. 18-2, Class A, 3.47%, 1/15/30			12,955,000	12,903,959
Ford Credit Floorplan Master Owner Trust Ser. 20-1, Class A1, 0.70%, 9/15/25			31,000,000	29,989,710
Foursight Capital Automobile Receivables Trust 144A Ser. 22-2, Class A2, 4.49%, 3/16/26			19,500,000	19,528,782
General Motors Financial Floorplan Owner Revolving Trust 144A Ser. 20-1, Class A, 0.68%, 8/15/25			26,500,000	25,745,810
GM Financial Automobile Leasing Trust
Ser. 20-3, Class A3, 0.45%, 8/21/23			20,654,484	20,593,383
Ser. 21-3, Class A2, 0.24%, 12/20/23			2,262,401	2,240,392
GM Financial Consumer Automobile Receivables Trust
Ser. 22-2, Class A3, 3.10%, 2/16/27			15,000,000	14,903,165
Ser. 20-4, Class A3, 0.38%, 8/18/25			2,569,021	2,512,225
Golden Credit Card Trust 144A Ser. 18-4A, Class A, 3.44%, 8/15/25			1,250,000	1,249,683
Harley-Davidson Motorcycle Trust Ser. 21-B, Class A2, 0.24%, 12/16/24			3,565,260	3,550,486
Honda Auto Receivables Owner Trust
Ser. 19-2, Class A4, 2.54%, 3/21/25			8,000,000	7,995,392
Ser. 19-4, Class A3, 1.83%, 1/18/24			2,614,012	2,602,099
Ser. 20-2, Class A3, 0.82%, 7/15/24			6,756,301	6,675,394
Ser. 20-3, Class A3, 0.37%, 10/18/24			9,693,488	9,522,490
Ser. 21-2, Class A2, 0.17%, 11/15/23			3,038,275	3,024,982
Ser. 21-1, Class A2, 0.16%, 7/21/23			3,388	3,383
Mello Warehouse Securitization Trust 144A
FRB Ser. 20-2, Class A, (ICE LIBOR USD 1 Month + 0.80%), 3.059%, 11/25/53			8,620,800	8,620,800
FRB Ser. 21-2, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.009%, 4/25/55			35,465,000	35,465,000
FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.70%), 2.324%, 2/25/55			30,739,000	30,739,000
Mercedes-Benz Auto Receivables Trust
Ser. 19-1, Class A3, 1.94%, 3/15/24			5,645,713	5,632,540
Ser. 21-1, Class A2, 0.21%, 7/15/24			7,196,766	7,136,387

ASSET-BACKED SECURITIES (7.1%)* cont.			Principal amount	Value
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 21-S1, Class A1, (ICE LIBOR USD 1 Month + 0.50%), 2.372%, 9/10/22			$33,981,000	$33,981,000
MRA Issuance Trust 144A
FRB Ser. 20-7, Class A, (ICE LIBOR USD 1 Month + 1.30%), 3.013%, 9/15/22			8,128,000	8,078,135
FRB Ser. 20-2, Class A2, (ICE LIBOR USD 1 Month + 1.45%), 2.913%, 8/15/22			45,609,000	45,609,000
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.009%, 5/25/55			30,497,000	29,353,667
Nissan Auto Receivables Owner Trust
Ser. 19-A, Class A3, 2.90%, 10/16/23			527,856	527,928
Ser. 19-B, Class A3, 2.50%, 11/15/23			2,840,989	2,840,105
Ser. 19-C, Class A3, 1.93%, 7/15/24			6,153,172	6,132,891
Ser. 20-B, Class A3, 0.55%, 7/15/24			15,668,056	15,505,296
Santander Consumer Auto Receivables Trust 144A Ser. 20-BA, Class A4, 0.54%, 4/15/25			8,925,000	8,819,631
Santander Drive Auto Receivables Trust Ser. 22-4, Class A2, 4.05%, 7/15/25			23,380,000	23,379,065
Santander Retail Auto Lease Trust 144A Ser. 20-B, Class A2, 0.42%, 11/20/23			1,132,888	1,129,290
Station Place Securitization Trust 144A
FRB Ser. 22-3, Class A1, (CME TERM SOFR 1 Month + 1.25%), 3.507%, 5/29/23			49,752,000	49,752,000
FRB Ser. 22-2, Class A1, (CME TERM SOFR 1 Month + 0.93%), 3.187%, 5/25/23			49,752,000	49,752,000
FRB Ser. 21-10, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.009%, 8/8/22			50,432,000	50,432,000
FRB Ser. 21-14, Class A1, (ICE LIBOR USD 1 Month + 0.70%), 2.959%, 12/8/22			16,990,000	16,990,000
FRB Ser. 21-16, Class A1, (ICE LIBOR USD 1 Month + 0.62%), 2.879%, 11/7/22			50,695,000	50,695,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 2.224%, 1/25/46			759,026	756,868
Toyota Auto Receivables Owner Trust
Ser. 18-D, Class A4, 3.30%, 2/15/24			1,326,049	1,326,999
Ser. 18-C, Class A4, 3.13%, 2/15/24			2,505,176	2,505,024
Ser. 19-B, Class A3, 2.57%, 8/15/23			141,331	141,323
Ser. 20-B, Class A3, 1.36%, 8/15/24			18,308,406	18,158,002
Ser. 21-C, Class A2, 0.20%, 5/15/24			3,783,850	3,739,852
Volkswagen Auto Loan Enhanced Trust
Ser. 20-1, Class A3, 0.98%, 11/20/24			4,917,064	4,855,743
Ser. 21-1, Class A2, 0.49%, 10/21/24			7,177,467	7,093,204
World Omni Auto Receivables Trust
Ser. 18-D, Class A4, 3.44%, 12/16/24			2,000,000	2,001,642
Ser. 18-C, Class A4, 3.27%, 9/16/24			1,164,696	1,164,883
Ser. 21-A, Class A2, 0.17%, 2/15/24			133,303	133,170
Total asset-backed securities (cost $910,820,495)				$902,850,827