NPORT-EX 2 b_073nport040323.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Premier Income Trust
The fund's portfolio
4/30/23 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (108.2%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (7.7%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $75,064 $76,998
5.00%, with due dates from 5/20/49 to 3/20/50 260,100 260,983
4.50%, TBA, 5/1/53 12,000,000 11,763,865
4.50%, with due dates from 10/20/49 to 1/20/50 123,506 121,752
4.00%, TBA, 5/1/53 8,000,000 7,690,730
4.00%, with due dates from 8/20/49 to 1/20/50 98,818 95,898
3.50%, with due dates from 8/20/49 to 3/20/50 983,647 928,187
3.00%, TBA, 5/1/53 9,000,000 8,220,836
29,159,249
U.S. Government Agency Mortgage Obligations (100.5%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 125,383 125,118
4.50%, 5/1/49 18,791 18,590
Uniform Mortgage-Backed Securities
6.00%, TBA, 5/1/53 19,000,000 19,366,641
5.50%, TBA, 5/1/53 54,000,000 54,447,174
5.00%, TBA, 5/1/53 204,000,000 202,836,568
4.50%, TBA, 5/1/53 97,000,000 94,779,534
3.50%, TBA, 5/1/53 8,000,000 7,438,753
379,012,378
Total U.S. government and agency mortgage obligations (cost $407,926,342) $408,171,627








U.S. TREASURY OBLIGATIONS (0.5%)(a)
        Principal amount Value
U.S. Treasury Bonds 3.125%, 5/15/48(i) $116,000 $105,286
U.S. Treasury Notes
1.625%, 5/15/31(i) 1,732,000 1,531,192
1.625%, 5/15/26(i) 195,000 184,807
Total U.S. treasury obligations (cost $1,821,285) $1,821,285








MORTGAGE-BACKED SECURITIES (40.6%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (14.5%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 $978,576 $193,171
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 5,791,287 1,117,779
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 4,316,384 915,112
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 7,694,151 1,617,017
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 5,353,501 1,147,672
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 410,335 58,292
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 539,125 69,756
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 8,687,522 1,540,524
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,270,870 233,087
REMICs Ser. 4425, IO, 4.00%, 1/15/45 1,317,177 195,930
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,813,171 347,491
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,219,164 173,125
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 1,741,170 220,780
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 1,095,504 134,079
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 570,121 41,743
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 343,300 12,457
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 2,708,468 202,217
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 133,078 1,117
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 1.702%, 4/15/40 731,375 19,418
REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.252%, 12/15/47 1,457,924 179,908
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.23%, 9/25/50 8,514,650 1,069,355
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.152%, 8/15/56 5,016,607 671,373
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.152%, 4/15/47 1,047,900 139,878
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.08%, 7/25/50 8,153,629 1,095,348
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.03%, 1/25/50 5,350,975 557,172
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.382%, 7/25/43(WAC) 1,446,173 14,462
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,947,127 338,170
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 84,568 13,971
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 2,945,541 466,574
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 255,061 36,680
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 7,899,463 1,417,658
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 317,297 61,617
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 466,658 30,109
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 2,941,028 517,311
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 923,772 133,587
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 678,524 87,292
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 488,385 57,141
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 404,898 13,464
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 15,804,057 2,022,293
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 1.38%, 4/25/40 667,033 80,817
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.23%, 3/25/48 3,282,047 320,328
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.18%, 6/25/48 5,715,210 689,579
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.13%, 5/25/47 7,036,490 744,601
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.13%, 10/25/41 98,818 438
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.08%, 12/25/46 2,986,492 255,123
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.08%, 5/25/39 9,591,678 724,383
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.03%, 3/25/50 4,714,087 554,659
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.03%, 8/25/49 3,143,094 286,480
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 0.98%, 11/25/49 6,046,839 761,297
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 0.88%, 10/25/41 1,402,584 139,992
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 877,824 5,091
Government National Mortgage Association
Ser. 16-42, IO, 5.00%, 2/20/46 1,987,259 375,186
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 3,391,847 711,542
Ser. 14-76, IO, 5.00%, 5/20/44 790,905 157,821
Ser. 12-146, IO, 5.00%, 12/20/42 567,571 108,190
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 804,508 166,054
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 583,131 118,117
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,590,529 525,385
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,327,228 265,286
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,685,623 531,824
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 478,266 93,987
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,428,157 271,947
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,093,085 214,062
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 973,809 190,582
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,067,467 174,072
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,721,469 307,437
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 933,012 163,505
Ser. 16-29, IO, 4.00%, 2/16/46 914,269 157,388
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 2,181,676 346,254
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,909,542 350,210
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,264,871 149,761
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 4,216,108 628,875
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 977,954 36,593
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 504,949 84,270
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 1,149,621 70,000
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 487,238 75,676
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 463,918 79,346
Ser. 21-156, IO, 3.50%, 7/20/51 9,482,921 1,645,229
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 5,577,477 996,351
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 62,887 1,882
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 965,593 151,838
Ser. 13-28, IO, 3.50%, 2/20/43 333,440 42,127
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 522,130 58,129
Ser. 13-14, IO, 3.50%, 12/20/42 1,956,196 196,304
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,120,966 356,324
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 2,067,082 326,850
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 913,892 149,417
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,015,842 74,360
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 8,126,818 1,185,053
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 6,388,735 970,301
Ser. 17-H09, IO, 2.325%, 4/20/67(WAC) 7,370,472 198,745
Ser. 17-H12, Class QI, IO, 2.237%, 5/20/67(WAC) 4,534,466 154,906
Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67(WAC) 2,609,212 151,073
Ser. 16-H03, Class DI, IO, 2.039%, 12/20/65(WAC) 5,453,483 245,280
Ser. 15-H25, Class EI, IO, 1.90%, 10/20/65(WAC) 4,085,951 187,954
Ser. 15-H20, Class AI, IO, 1.84%, 8/20/65(WAC) 5,187,024 216,818
FRB Ser. 15-H08, Class CI, IO, 1.816%, 3/20/65(WAC) 3,903,274 148,324
Ser. 15-H23, Class BI, IO, 1.762%, 9/20/65(WAC) 5,608,252 213,674
Ser. 16-H24, Class CI, IO, 1.697%, 10/20/66(WAC) 4,116,227 165,472
Ser. 16-H14, IO, 1.683%, 6/20/66(WAC) 4,128,697 132,767
Ser. 17-H11, Class DI, IO, 1.677%, 5/20/67(WAC) 5,043,899 258,481
Ser. 16-H16, Class EI, IO, 1.637%, 6/20/66(WAC) 4,485,517 196,914
Ser. 13-H08, Class CI, IO, 1.63%, 2/20/63(WAC) 3,537,400 120,979
Ser. 14-H21, Class BI, IO, 1.544%, 10/20/64(WAC) 5,985,064 212,470
IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.347%, 6/20/51 11,366,136 1,472,710
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.347%, 5/20/51 7,105,159 979,430
IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.347%, 4/20/51 4,995,283 607,758
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.347%, 9/20/50 6,386,306 809,068
FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.252%, 11/20/47 7,514,643 1,179,914
IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 1.227%, 4/20/44 3,816,560 444,265
IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.197%, 7/20/50 3,878,562 564,651
IFB Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.197%, 1/20/49 3,495,123 377,135
IFB Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.147%, 5/20/50 4,685,941 563,975
IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.147%, 4/20/50 6,013,584 790,540
IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.147%, 8/20/49 4,707,861 495,267
IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.147%, 7/20/49 4,190,973 408,117
IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.147%, 7/20/49 5,425,275 540,171
IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.097%, 1/20/50 3,521,097 396,934
IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.097%, 12/20/49 2,909,466 309,123
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.097%, 9/20/49 4,660,078 544,246
IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.047%, 8/20/43 5,235,625 554,243
IFB Ser. 10-90, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 0.997%, 7/20/40 4,221,239 360,557
Ser. 17-H16, Class JI, IO, 0.934%, 8/20/67(WAC) 12,755,351 724,034
Ser. 18-H15, Class KI, IO, 0.814%, 8/20/68(WAC) 5,023,738 247,305
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 0.647%, 8/20/44 1,665,371 156,085
Ser. 17-H16, Class IG, IO, 0.357%, 7/20/67(WAC) 11,726,166 363,791
Ser. 15-H20, Class CI, IO, 0.087%, 8/20/65(WAC) 5,899,464 333,320
Ser. 16-H09, Class BI, IO, 0.083%, 4/20/66(WAC) 6,996,391 347,021
Ser. 16-H18, Class QI, IO, 0.078%, 6/20/66(WAC) 3,992,157 205,744
Ser. 18-H02, Class EI, IO, 0.05%, 1/20/68(WAC) 8,579,456 446,400
Ser. 16-H17, Class KI, IO, 0.049%, 7/20/66(WAC) 2,570,032 118,997
Ser. 15-H15, Class BI, IO, 0.037%, 6/20/65(WAC) 3,239,478 132,495
Ser. 18-H05, Class AI, IO, 0.036%, 2/20/68(WAC) 3,676,210 179,790
Ser. 18-H05, Class BI, IO, 0.036%, 2/20/68(WAC) 6,012,241 280,884
Ser. 15-H10, Class BI, IO, 0.036%, 4/20/65(WAC) 3,718,967 156,940
Ser. 16-H03, Class AI, IO, 0.034%, 1/20/66(WAC) 4,487,253 175,181
Ser. 17-H02, Class BI, IO, 0.03%, 1/20/67(WAC) 3,841,648 141,630
Ser. 16-H22, Class AI, IO, 0.029%, 10/20/66(WAC) 5,884,522 227,678
Ser. 16-H23, Class NI, IO, 0.026%, 10/20/66(WAC) 15,501,588 708,423
Ser. 18-H03, Class XI, IO, 0.019%, 2/20/68(WAC) 6,086,629 317,722
Ser. 17-H08, Class NI, IO, 0.019%, 3/20/67(WAC) 7,355,820 270,694
Ser. 17-H06, Class BI, IO, 0.014%, 2/20/67(WAC) 5,706,798 197,358
Ser. 15-H24, Class AI, IO, 0.014%, 9/20/65(WAC) 4,759,649 149,006
Ser. 16-H06, Class DI, IO, 0.008%, 7/20/65(WAC) 7,395,893 177,672
Ser. 16-H06, Class CI, IO, 0.001%, 2/20/66(WAC) 6,874,197 138,508
Ser. 16-H10, Class AI, IO, zero %, 4/20/66(WAC) 10,773,674 229,199
54,662,291
Commercial mortgage-backed securities (13.5%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 802,000 486,156
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 19,230 18,557
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.177%, 4/10/51(WAC) 1,213,000 772,376
Ser. 19-B13, Class D, 2.50%, 8/15/57 689,000 431,659
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44(WAC) 1,247,000 780,669
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 1,279,000 579,597
Ser. 19-CD8, Class D, 3.00%, 8/15/57 814,000 512,348
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 1,066,748
FRB Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) 1,068,000 868,017
Citigroup Commercial Mortgage Trust 144A
Ser. 15-P1, Class D, 3.225%, 9/15/48 1,273,000 943,887
Ser. 15-GC27, Class E, 3.00%, 2/10/48 1,182,000 870,659
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 5.08%, 4/10/47(WAC) 912,000 827,063
Ser. 13-CR12, Class AM, 4.30%, 10/10/46 1,123,000 1,014,096
Ser. 15-DC1, Class B, 4.035%, 2/10/48(WAC) 906,000 812,778
FRB Ser. 15-CR26, Class D, 3.615%, 10/10/48(WAC) 658,000 444,371
COMM Mortgage Trust 144A
FRB Ser. 13-CR13, Class D, 5.037%, 11/10/46(WAC) 581,000 483,675
FRB Ser. 14-CR17, Class D, 5.006%, 5/10/47(WAC) 617,000 547,401
FRB Ser. 14-CR17, Class E, 5.006%, 5/10/47(WAC) 919,000 622,521
FRB Ser. 14-UBS3, Class D, 4.923%, 6/10/47(WAC) 481,000 325,350
FRB Ser. 14-CR19, Class D, 4.853%, 8/10/47(WAC) 507,000 431,804
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 391,291
FRB Ser. 15-LC19, Class E, 4.355%, 2/10/48(WAC) 781,000 602,800
FRB Ser. 18-COR3, Class D, 2.962%, 5/10/51(WAC) 672,000 377,578
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.033%, 9/9/24 511,000 509,884
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.894%, 4/15/50(WAC) 1,390,000 779,831
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 8.815%, 11/25/51 1,746,000 1,531,448
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.688%, 2/10/46(WAC) 1,423,000 1,171,959
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 700,000 577,606
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.657%, 9/10/47(WAC) 2,827,000 1,477,342
Ser. 19-GC38, Class D, 3.00%, 2/10/52 825,000 541,907
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.893%, 2/15/47(WAC) 2,173,000 1,283,589
FRB Ser. 14-C19, Class C19, 4.801%, 4/15/47(WAC) 914,000 845,185
FRB Ser. 13-C14, Class E, 4.701%, 8/15/46(WAC) 1,277,000 222,709
FRB Ser. C14, Class D, 4.701%, 8/15/46(WAC) 1,265,000 665,405
FRB Ser. 14-C18, Class E, 4.393%, 2/15/47(WAC) 914,000 421,231
FRB Ser. 14-C23, Class D, 4.129%, 9/15/47(WAC) 574,000 485,971
FRB Ser. 14-C25, Class D, 4.083%, 11/15/47(WAC) 1,404,000 920,099
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,040,455
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.528%, 9/15/50(WAC) 577,000 391,775
JPMDB Commercial Mortgage Securities Trust
FRB Ser. 18-C8, Class C, 4.971%, 6/15/51(WAC) 822,000 676,930
Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 680,000 490,157
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.423%, 4/15/46(WAC) 1,312,000 779,825
Ser. 13-LC11, Class B, 3.499%, 4/15/46 508,000 455,623
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.71%, 2/15/46(WAC) 1,113,000 264,101
FRB Ser. 12-C6, Class E, 5.129%, 5/15/45(WAC) 659,000 516,458
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,807,000 913,981
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) 26,213 —
Morgan Stanley Bank of America Merrill Lynch Trust
Ser. 12-C6, Class C, 4.536%, 11/15/45(WAC) 727,716 691,330
FRB Ser. 15-C22, Class C, 4.341%, 4/15/48(WAC) 1,156,000 1,013,239
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C12, Class D, 5.099%, 10/15/46(WAC) 550,000 454,334
FRB Ser. 12-C6, Class E, 4.673%, 11/15/45(WAC) 619,000 442,956
FRB Ser. 13-C11, Class D, 4.502%, 8/15/46(WAC) 1,900,000 96,590
FRB Ser. 15-C23, Class D, 4.277%, 7/15/50(WAC) 1,499,000 1,183,294
FRB Ser. 13-C10, Class E, 4.193%, 7/15/46(WAC) 2,187,000 550,687
FRB Ser. 13-C10, Class F, 4.193%, 7/15/46(WAC) 1,988,000 272,693
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 735,471
Ser. 14-C19, Class D, 3.25%, 12/15/47 1,493,000 1,160,339
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 384,505 323,792
FRB Ser. 18-H3, Class C, 5.024%, 7/15/51(WAC) 576,000 482,452
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 8.77%, 3/25/50 1,558,000 1,464,618
FRB Ser. 19-01, Class M10, 8.27%, 10/25/49 1,197,539 1,117,953
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.438%, 6/25/37 930,955 928,168
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 8.143%, 1/19/37 1,046,000 1,014,620
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 1,081,996 11
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.536%, 8/15/50(WAC) 629,000 512,490
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 1,476,000 15
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 28,628 25,814
Wells Fargo Commercial Mortgage Trust
FRB Ser. 15-SG1, Class B, 4.602%, 9/15/48(WAC) 710,000 624,357
FRB Ser. 15-C29, Class D, 4.359%, 6/15/48(WAC) 819,000 687,950
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C30, Class D, 4.648%, 9/15/58(WAC) 265,000 211,594
FRB Ser. 13-LC12, Class D, 4.426%, 7/15/46(WAC) 356,000 126,398
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 276,053
Ser. 16-C33, Class D, 3.123%, 3/15/59 1,698,000 1,328,289
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 514,000 454,901
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 13-UBS1, Class D, 5.191%, 3/15/46(WAC) 457,000 444,258
FRB Ser. 13-UBS1, Class E, 5.191%, 3/15/46(WAC) 616,000 587,940
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 1,634,048
FRB Ser. 12-C9, Class E, 4.876%, 11/15/45(WAC) 537,000 491,731
FRB Ser. 12-C10, Class D, 4.538%, 12/15/45(WAC) 687,000 408,282
50,921,539
Residential mortgage-backed securities (non-agency) (12.6%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 5.21%, 5/25/47 642,056 340,436
Bear Stearns Alt-A Trust
FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 5.52%, 1/25/36 124,978 154,837
FRB Ser. 05-7, Class 21A1, 4.038%, 9/25/35(WAC) 165,936 134,128
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 5.025%, 11/25/47 529,244 436,661
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 5.37%, 3/25/37 1,621,919 1,320,211
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 5.72%, 9/25/35 431,891 370,981
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.613%, 11/20/35 1,114,291 986,870
FRB Ser. 06-OA10, Class 2A1, (ICE LIBOR USD 1 Month + 0.38%), 5.40%, 8/25/46 369,617 312,004
FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 5.40%, 8/25/46 518,711 445,239
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 5.40%, 8/25/46 2,704,693 2,217,950
FRB Ser. 07-OH1, Class A1D, (ICE LIBOR USD 1 Month + 0.21%), 5.23%, 4/25/47 418,228 325,516
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 4.425%, 8/25/46 211,862 193,377
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 4.405%, 6/25/46 362,100 305,141
FRB Ser. 06-OA7, Class 1A1, 3.161%, 6/25/46(WAC) 904,165 816,823
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (ICE LIBOR USD 1 Month + 11.25%), 16.27%, 12/25/28 482,885 531,492
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 15.52%, 5/25/28 826,861 898,876
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 15.02%, 7/25/28 2,795,683 2,986,946
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 14.37%, 4/25/28 1,284,531 1,347,128
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 14.22%, 10/25/27 727,842 767,080
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 12.57%, 12/25/27 1,211,393 1,239,005
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (ICE LIBOR USD 1 Month + 12.25%), 17.27%, 2/25/49 254,000 297,241
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.315%, 10/25/50 491,000 591,041
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 16.27%, 4/25/49 298,000 336,149
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 16.02%, 10/25/48 1,619,000 1,884,099
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 15.77%, 1/25/49 315,000 360,957
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 15.52%, 3/25/49 252,000 282,478
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 15.02%, 8/25/50 966,000 1,106,070
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 15.02%, 7/25/50 1,027,000 1,195,813
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 12.77%, 9/25/48 389,000 406,239
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 10.77%, 7/25/50 602,325 644,314
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (ICE LIBOR USD 1 Month + 5.25%), 10.27%, 9/25/50 836,607 881,849
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 9.615%, 10/25/50 900,000 954,000
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class HQA1, (ICE LIBOR USD 1 Month + 4.40%), 9.42%, 2/25/49 410,000 432,550
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 9.27%, 10/25/48 1,548,000 1,663,716
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 8.92%, 9/25/48 420,000 437,647
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.72%, 12/25/30 599,000 623,353
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 685,000 600,182
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 346,000 294,179
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 17.77%, 10/25/28 238,608 269,685
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 17.27%, 9/25/28 2,299,879 2,589,167
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.77%, 10/25/28 1,289,795 1,432,978
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.77%, 8/25/28 833,891 927,806
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 15.77%, 1/25/29 268,768 288,968
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (ICE LIBOR USD 1 Month + 10.25%), 15.27%, 1/25/29 266,693 287,783
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 14.27%, 4/25/29 396,478 418,052
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 10.52%, 9/25/29 872,000 956,432
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 9.87%, 10/25/29 2,039,000 2,236,755
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 9.52%, 12/25/30 699,000 756,998
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 9.47%, 5/25/30 180,000 193,236
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 9.47%, 2/25/30 110,000 119,625
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (ICE LIBOR USD 1 Month + 4.25%), 9.27%, 1/25/31 322,000 351,300
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 9.02%, 5/25/25 13,667 14,243
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 8.62%, 1/25/30 427,000 450,290
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.315%, 1/25/42 402,000 389,940
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 9.12%, 9/25/31 578,000 598,312
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 1/25/40 459,000 445,418
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 7.47%, 7/25/31 14,217 14,253
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 7.07%, 1/25/40 249,005 249,946
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 5.33%, 5/25/37 548,199 392,597
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 5.471%, 5/19/35 407,775 134,419
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.965%, 1/25/34 (Bermuda) 300,000 277,168
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 5.42%, 6/25/37 651,974 262,942
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 2.702%, 2/26/37 434,077 361,877
MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 5.815%, 8/25/35 85,297 78,616
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (ICE LIBOR USD 1 Month + 2.85%), 7.87%, 7/25/28 (Bermuda) 1,230,000 1,236,814
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 5.44%, 8/25/36 406,440 314,991
FRB Ser. 07-AR1, Class 2A1, (ICE LIBOR USD 1 Month + 0.18%), 5.20%, 1/25/37 572,963 495,053
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 1,033,000 918,937
Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 815,000 671,071
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 6.00%, 10/25/45 266,311 247,968
47,506,218
Total mortgage-backed securities (cost $176,628,748) $153,090,048








CORPORATE BONDS AND NOTES (21.9%)(a)
        Principal amount Value
Basic materials (2.3%)
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 $288,000 $294,339
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 150,000 129,713
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 200,000 198,353
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 680,000 613,764
Braskem Netherlands Finance BV 144A company guaranty sr. unsec. notes 7.25%, 2/13/33 (Brazil) 890,000 849,498
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 70,000 69,630
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 165,000 144,570
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 200,000 202,612
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 85,000 86,041
Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) EUR 450,000 407,876
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) $130,000 123,317
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 670,000 628,901
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 4.50%, 4/1/26 (Canada) 186,000 173,207
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) 590,000 551,825
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 1,100,000 875,875
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 345,000 302,738
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 255,000 213,537
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 175,000 158,353
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 693,000 634,416
Unigel Luxembourg SA company guaranty sr. unsec. notes Ser. REGS, 8.75%, 10/1/26 (Brazil) 430,000 396,463
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 140,000 132,958
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 1,315,000 1,318,288
8,506,274
Capital goods (3.3%)
Adient Global Holdings, Ltd. 144A sr. notes 7.00%, 4/15/28 670,000 685,075
Adient Global Holdings, Ltd. 144A sr. unsec. unsub. notes 8.25%, 4/15/31 670,000 685,075
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 350,000 298,757
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 75,000 71,456
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 300,000 309,000
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 158,000 158,222
Clarios Global LP 144A sr. notes 6.75%, 5/15/28 128,000 128,495
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 EUR 895,000 942,591
Clean Harbors, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 2/1/31 $1,360,000 1,387,526
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 364,749
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 678,000 631,021
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 505,000 397,238
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 603,000 541,134
Ritchie Bros Holdings, Inc. 144A company guaranty sr. notes 6.75%, 3/15/28 70,000 72,450
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 757,000 802,420
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 700,000 632,583
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 702,000 689,357
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 785,000 662,019
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 1,100,000 1,055,649
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 265,000 240,820
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 175,000 158,375
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 390,000 391,844
TransDigm, Inc. 144A sr. notes 6.75%, 8/15/28 95,000 96,425
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 753,000 679,722
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 245,000 251,485
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 298,000 303,037
12,636,525
Communication services (0.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,478,000 1,355,500
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 1,275,000 1,173,618
Frontier Communications Holdings, LLC 144A company guaranty sr. notes 8.75%, 5/15/30 130,000 128,583
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 175,000 151,636
2,809,337
Consumer cyclicals (4.9%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 150,000 130,313
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 719,000 730,359
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 29,000 31,031
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 601,000 576,939
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria)(FWC) 243,000 248,468
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 165,000 134,425
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 130,000 125,461
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 1,224,000 1,234,911
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 625,000 630,147
Carnival Corp. notes Ser. REGS, 10.125%, 2/1/26 EUR 465,000 533,427
Carnival Corp. 144A notes 10.50%, 2/1/26 $100,000 104,393
Carnival Corp. 144A notes 9.875%, 8/1/27 685,000 702,284
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 300,000 261,981
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 45,000 39,837
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 422,000 400,651
Hilton Domestic Operating Co., Inc. 144A company guaranty sr. unsec. notes 4.00%, 5/1/31 1,755,000 1,552,253
Levi Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 EUR 668,000 696,646
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $127,000 107,370
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 380,000 380,468
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 195,000 175,998
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 55,000 52,024
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 1,535,000 1,363,414
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 1,509,000 1,420,346
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 20,000 18,416
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 200,000 177,566
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 125,000 111,706
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 155,000 180,924
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 1,065,000 1,136,115
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 368,000 318,576
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 221,000 207,816
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 125,000 113,125
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 EUR 370,000 356,891
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 $95,000 75,183
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 868,000 829,976
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 23,366
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 250,000 229,858
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 981,000 919,890
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 617,000 611,330
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 45,000 43,179
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 100,000 80,500
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 153,000 147,187
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 905,000 925,363
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 270,000 248,602
18,388,715
Consumer staples (0.9%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 225,000 210,375
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 930,000 867,225
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 590,000 522,738
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 589,000 560,964
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 185,000 181,479
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 190,000 174,008
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 80,000 75,371
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 70,000 57,183
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 55,000 47,010
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 130,000 119,925
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 5.625%, 2/15/29 430,000 404,295
US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 75,000 69,764
3,290,337
Energy (5.2%)
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 893,000 765,337
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 83,000 77,752
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 1,445,000 1,372,484
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 96,000 104,251
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 877,000 868,230
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 200,000 178,885
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 118,000 128,189
Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) 1,300,000 1,260,427
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 1,653,000 1,644,730
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 435,000 416,717
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 1,180,000 1,144,600
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 248,000 254,580
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 1,537,000 1,631,141
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 430,000 468,523
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 155,000 157,678
Patterson-UTI Energy, Inc. sr. unsec. notes 3.95%, 2/1/28 124,000 111,575
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 1,321,000 1,179,688
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 398,400
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 473,000 454,208
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 300,000 298,341
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 425,000 327,153
Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) 2,840,000 2,642,103
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 510,000 495,340
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 796,000 719,839
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 137,000 132,205
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 263,000 259,055
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 291,000 275,723
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 140,000 136,765
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 397,000 350,057
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 757,000 704,495
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 505,000 476,103
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 80,000 77,332
19,511,906
Financials (1.0%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 235,000 218,393
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 60,000 54,933
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 225,000 214,153
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) 200,000 148,980
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 211,558
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 194,688
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 260,000 240,701
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 425,000 364,423
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 295,000 274,253
Freedom Mortgage Corp. 144A sr. unsec. notes 7.625%, 5/1/26 580,000 495,970
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 143,000 113,149
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 55,000 51,700
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 250,000 213,125
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 285,000 237,047
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 203,000 181,178
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 448,000 376,880
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 6.50%, perpetual maturity (Netherlands) EUR 252,125 263,231
3,854,362
Health care (1.9%)
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 $120,000 102,269
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 349,000 328,933
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 125,000 108,906
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 120,000 105,450
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 585,000 569,574
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 155,000 146,955
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 540,000 543,900
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 125,000 112,511
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 183,813
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 270,000 248,401
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 350,000 336,875
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 1,155,000 978,551
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 90,000 79,314
Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 300,000 291,083
Tenet Healthcare Corp. company guaranty sr. notes 4.875%, 1/1/26 282,000 277,729
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 272,000 269,662
Tenet Healthcare Corp. company guaranty sr. notes 4.25%, 6/1/29 120,000 110,094
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 190,000 187,931
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 435,000 432,781
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) 1,070,000 1,123,500
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) 505,000 468,451
7,006,683
Technology (1.0%)
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 542,000 471,455
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 818,000 708,348
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 444,000 399,874
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 915,000 764,647
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 695,000 593,356
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 938,000 808,772
3,746,452
Transportation (0.1%)
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 324,000 314,638
314,638
Utilities and power (0.6%)
Diamond II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) 1,220,000 1,201,700
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 41,000 31,326
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 385,000 375,991
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 197,000 159,068
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 122,000 113,777
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 115,000 106,158
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 224,000 219,485
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 165,000 156,801
2,364,306
Total corporate bonds and notes (cost $85,765,173) $82,429,535








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.8%)(a)
        Principal amount Value
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) EUR 470,000 $349,992
Benin (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin) EUR 690,000 565,732
Cameroon (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 7/7/32 (Cameroon) EUR 760,000 583,523
Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d'lvoire) EUR 760,000 680,733
Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d'lvoire) EUR 2,060,000 1,715,193
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) $2,765,000 2,329,513
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) 300,000 290,250
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 920,000 791,663
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 715,000 728,296
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 1,350,000 1,330,836
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,632,745
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 2,480,000 1,512,800
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana) (In default)(NON) 1,310,000 487,975
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)(NON) 3,040,000 1,223,600
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)(NON) 1,300,000 490,750
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) 2,670,000 2,673,332
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 756,333
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 640,000 741,178
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,261,392
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 670,000 612,213
Romania (Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania) 910,000 973,573
Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) 950,000 967,813
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 3,710,000 1,919,710
Turkey (Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey) 660,000 659,175
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) 1,390,000 1,160,618
United Mexican States sr. unsec. unsub. notes 6.338%, 5/4/53 (Mexico) 1,150,000 1,185,715
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 1,720,000 1,679,761
Total foreign government and agency bonds and notes (cost $34,315,227) $29,304,414








CONVERTIBLE BONDS AND NOTES (5.2%)(a)
        Principal amount Value
Basic materials (—%)
MP Materials Corp. 144A cv. sr. unsec. notes 0.25%, 4/1/26 $113,000 $96,049
96,049
Capital goods (0.2%)
Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 285,000 320,625
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 198,000 182,259
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 155,000 187,628
690,512
Communication services (0.2%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 403,000 189,813
Liberty Broadband Corp. 144A cv. sr. unsec. notes 3.125%, 3/31/53 299,000 295,412
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 318,289 283,595
768,820
Consumer cyclicals (1.1%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 242,000 203,886
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 253,000 194,810
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 120,000 98,460
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 309,000 460,562
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 164,000 183,885
Cinemark Holdings, Inc. cv. sr. unsec. notes 4.50%, 8/15/25 140,000 195,115
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 224,000 160,384
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 256,000 225,599
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 303,000 295,577
Liberty Media Corp. 144A cv. sr. unsec. notes 2.25%, 8/15/27 293,000 310,434
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 212,000 164,300
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 377,000 364,371
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 88,000 93,896
NCL Corp., Ltd. company guaranty cv. sr. unsec. unsub. notes 2.50%, 2/15/27 181,000 136,384
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 215,000 327,983
Sabre GLBL, Inc. company guaranty cr. sr. unsec. notes 4.00%, 4/15/25 221,000 193,563
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 224,000 244,272
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 322,000 291,209
4,144,690
Consumer staples (0.6%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 177,000 154,344
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 223,000 182,303
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 148,000 123,210
Chefs' Warehouse, Inc. (The) 144A cv. sr. unsec. unsub. notes 2.375%, 12/15/28 110,000 110,687
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 194,000 155,143
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 400,000 324,919
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 107,000 94,802
Post Holdings, Inc. 144A company guaranty cv. sr. unsec. notes 2.50%, 8/15/27 204,000 213,649
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 218,000 161,682
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 254,000 220,917
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 160,000 126,080
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 263,000 196,951
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 247,000 250,705
2,315,392
Energy (0.2%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 204,000 190,907
Nabors Industries, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 138,000 106,053
Northern Oil and Gas, Inc. 144A cv. sr. unsec. notes 3.625%, 4/15/29 223,000 251,603
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 59,000 134,373
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) 151,000 187,316
870,252
Financials (—%)
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 176,000 125,576
125,576
Health care (0.9%)
Alnylam Pharmaceuticals, Inc. 144A cv. sr. unsec. unsub. notes 1.00%, 9/15/27 291,000 288,760
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 180,000 185,768
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 138,000 149,247
Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 212,000 231,340
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 398,000 344,989
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 434,000 355,454
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 152,000 226,860
Integer Holdings Corp. 144A cv. sr. unsec. unsub. notes 2.125%, 2/15/28 135,000 153,225
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 252,000 240,742
Lantheus Holdings, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27 239,000 316,568
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 92,000 123,096
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 209,000 196,721
Sarepta Therapeutics, Inc. 144A cv. sr. unsec. unsub. notes 1.25%, 9/15/27 190,000 214,226
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 202,000 161,126
3,188,122
Technology (1.7%)
3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 97,000 70,446
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 258,000 242,907
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 202,000 207,966
Altair Engineering, Inc. 144A cv. sr. unsec. sub. notes 1.75%, 6/15/27 130,000 147,810
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 202,000 170,084
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 228,000 179,436
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 138,000 160,563
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 246,000 214,890
Cloudflare, Inc. cv. sr. unsec. notes zero %, 8/15/26 122,000 100,650
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 160,000 166,254
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 185,000 192,770
DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 211,000 164,925
Dropbox, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 161,000 137,414
Envestnet, Inc. 144A company guaranty cv. sr. unsec. notes 2.625%, 12/1/27 181,000 197,471
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 138,000 112,125
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 139,000 127,884
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 183,000 284,199
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 148,000 159,328
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 302,000 255,643
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 167,000 219,789
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 359,000 302,099
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 143,000 210,282
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 98,000 181,006
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 159,000 143,339
Progress Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26 78,000 82,849
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 199,000 177,110
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 146,000 175,031
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 275,000 199,375
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 413,000 353,115
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 152,000 128,060
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 214,000 214,802
Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 177,000 137,618
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 109,000 104,913
Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 145,000 107,083
Workiva, Inc. cv. sr. unsec. notes 1.125%, 8/15/26 121,000 159,800
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 182,000 173,446
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 120,000 115,920
6,478,402
Transportation (0.2%)
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 163,000 126,993
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 381,000 407,861
534,854
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 258,000 235,296
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 200,000 205,500
440,796
Total convertible bonds and notes (cost $21,910,093) $19,653,465








SENIOR LOANS (2.5%)(a)(c)
        Principal amount Value
Adient US, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.269%, 4/1/28 $111,125 $111,021
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 8.732%, 10/19/27 463,859 459,105
Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 8.068%, 12/7/29 517,750 518,723
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 9.239%, 6/21/24 569,956 535,405
Chart Industries, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.74%, 12/8/29 1,079,000 1,078,331
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 8.807%, 8/21/26 496,059 466,707
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 8.659%, 5/27/28 1,167,000 1,163,499
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 10.025%, 7/22/27 545,853 523,167
Envision Healthcare Corp. bank term loan FRN (CME Term SOFR 3 Month + 3.75%), 8.648%, 3/31/27 148,914 5,212
Forest City Enterprises LP bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 8.525%, 12/7/25 185,143 150,336
GFL Environmental, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.00%), 8.145%, 5/31/27 427,741 427,741
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 9.025%, 12/1/27 395,888 391,683
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 8.082%, 12/15/27 805,000 791,218
One Call Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 5.50%), 10.829%, 4/22/27 148,204 107,200
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.832%, 1/29/28 1,360,631 1,353,828
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 11.275%, 8/31/29 115,000 109,011
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 13.188%, 2/28/26 162,000 30,375
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.00%), 8.055%, 5/29/26 554,034 540,704
TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.498%, 3/30/29 288,000 268,891
Vision Solutions, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.00%), 9.255%, 4/24/28 447,727 397,197
Total senior loans (cost $9,734,720) $9,429,354








ASSET-BACKED SECURITIES (0.8%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $295,730 $292,773
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 8.27%, 10/22/24 1,286,000 1,260,280
FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 7.02%, 10/22/24 1,086,000 1,058,444
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class F, (ICE LIBOR USD 1 Month + 5.25%), 10.27%, 5/7/24 416,000 397,070
Total asset-backed securities (cost $2,941,154) $3,008,567








COMMON STOCKS (—%)(a)
        Shares Value
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 $24,234
Total common stocks (cost $21,953) $24,234








SHORT-TERM INVESTMENTS (21.2%)(a)
        Principal amount/
shares		 Value
ABN AMRO Funding USA, LLC commercial paper 4.807%, 5/16/23 $2,000,000 $1,995,042
Australia and New Zealand Banking Group, Ltd. commercial paper 4.797%, 5/15/23 (Australia) 2,000,000 1,995,405
Banco Santander SA commercial paper 4.864%, 5/25/23 (Spain) 2,000,000 1,992,520
Credit Agricole Corporate & Investment Bank/New York commercial paper 4.858%, 5/22/23 (France) 2,000,000 1,993,372
ING (U.S.) Funding, LLC commercial paper 5.057%, 9/1/23 2,000,000 1,963,656
Interest in $423,210,000 joint tri-party repurchase agreement dated 4/28/2023 with Citigroup Global Markets, Inc. due 5/1/2023 - maturity value of $8,386,353 for an effective yield of 4.800% (collateralized by Agency Mortgage-Backed Securities and U.S. Treasuries (including strips) with coupon rates ranging from 1.375% to 6.500% and due dates ranging from 6/30/2023 to 10/1/2052, valued at $431,698,605) 8,383,000 8,383,000
Lloyds Bank PLC commercial paper 4.795%, 5/8/23 (United Kingdom) 2,000,000 1,997,293
Mitsubishi UFJ Trust & Banking Corp./Singapore commercial paper 4.853%, 5/15/23 (Singapore) 2,000,000 1,995,358
Putnam Short Term Investment Fund Class P 4.98%(AFF) Shares 47,293,801 47,293,801
Skandinaviska Enskilda Banken AB commercial paper 4.776%, 5/15/23 (Sweden) $2,000,000 1,995,395
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.76%(P) Shares 2,213,000 2,213,000
U.S. Treasury Bills 4.739%, 5/11/23(SEGSF) $200,000 199,768
U.S. Treasury Bills 4.738%, 5/2/23(SEGSF) 800,000 799,908
U.S. Treasury Bills 4.291%, 5/30/23(SEG)(SEGSF) 5,200,000 5,182,773
Total short-term investments (cost $80,009,364) $80,000,291
TOTAL INVESTMENTS
Total investments (cost $821,074,059) $786,932,820








FORWARD CURRENCY CONTRACTS at 4/30/23 (aggregate face value $42,366,027) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Canadian Dollar Sell 7/19/23 $14,858 $14,990 $132
Euro Sell 6/21/23 378,678 365,664 (13,014)
New Zealand Dollar Sell 7/19/23 26,890 27,393 503
Swedish Krona Sell 6/21/23 376,592 368,402 (8,190)
Barclays Bank PLC
British Pound Buy 6/21/23 322,940 306,965 15,975
Canadian Dollar Sell 7/19/23 134,909 136,124 1,215
Euro Buy 6/21/23 155,802 150,484 5,318
Swiss Franc Buy 6/21/23 218,713 208,344 10,369
Citibank, N.A.
Australian Dollar Sell 7/19/23 18,854 19,244 390
Canadian Dollar Sell 7/19/23 60,912 61,457 545
Norwegian Krone Sell 6/21/23 113,795 114,833 1,038
Swedish Krona Sell 6/21/23 10,294 10,073 (221)
Goldman Sachs International
Swiss Franc Buy 6/21/23 2,416,753 2,305,395 111,358
HSBC Bank USA, National Association
Australian Dollar Sell 7/19/23 193,920 198,023 4,103
British Pound Buy 6/21/23 3,523 3,384 139
Canadian Dollar Sell 7/19/23 50,489 50,897 408
Euro Buy 6/21/23 590,834 572,743 18,091
New Zealand Dollar Sell 7/19/23 24,479 24,935 456
Norwegian Krone Buy 6/21/23 8,287 8,380 (93)
Swedish Krona Sell 6/21/23 242,494 237,517 (4,977)
JPMorgan Chase Bank N.A.
British Pound Sell 6/21/23 335,520 319,411 (16,109)
Canadian Dollar Sell 7/19/23 318,828 321,669 2,841
Euro Sell 6/21/23 100,222 96,765 (3,457)
Norwegian Krone Sell 6/21/23 23,581 24,085 504
Swiss Franc Buy 6/21/23 23,626 22,542 1,084
Morgan Stanley & Co. International PLC
Australian Dollar Sell 7/19/23 20,580 21,006 426
Euro Sell 6/21/23 4,158,603 4,019,039 (139,564)
Japanese Yen Buy 5/17/23 3,236,101 3,422,751 (186,650)
New Zealand Dollar Sell 7/19/23 3,161,732 3,220,429 58,697
Norwegian Krone Buy 6/21/23 16,423 16,788 (365)
Swedish Krona Buy 6/21/23 366,308 351,718 14,590
Swiss Franc Sell 6/21/23 60,191 57,781 (2,410)
NatWest Markets PLC
British Pound Sell 6/21/23 16,984 16,445 (539)
Euro Sell 6/21/23 5,746 5,614 (132)
Japanese Yen Buy 5/17/23 938,699 992,819 (54,120)
State Street Bank and Trust Co.
Australian Dollar Sell 7/19/23 2,408,031 2,456,978 48,947
British Pound Sell 6/21/23 1,493,550 1,421,661 (71,889)
Canadian Dollar Sell 7/19/23 390,755 394,163 3,408
Euro Sell 6/21/23 5,490,660 5,309,327 (181,333)
New Zealand Dollar Sell 7/19/23 47,228 48,117 889
Norwegian Krone Sell 6/21/23 614,282 627,450 13,168
Swedish Krona Sell 6/21/23 1,675,934 1,639,047 (36,887)
Swiss Franc Buy 6/21/23 194,074 185,455 8,619
Toronto-Dominion Bank
British Pound Sell 6/21/23 73,344 69,821 (3,523)
Canadian Dollar Sell 7/19/23 4,387,826 4,426,396 38,570
Euro Sell 6/21/23 2,990,194 2,887,019 (103,175)
Japanese Yen Buy 5/17/23 10,055 10,634 (579)
Norwegian Krone Sell 6/21/23 457,445 467,317 9,872
UBS AG
Canadian Dollar Sell 7/19/23 1,372,004 1,384,197 12,193
Euro Sell 6/21/23 499,562 495,083 (4,479)
Japanese Yen Buy 5/17/23 1,739,279 1,839,785 (100,506)
New Zealand Dollar Sell 7/19/23 79,434 80,888 1,454
Swedish Krona Sell 6/21/23 12,807 12,521 (286)
WestPac Banking Corp.
Australian Dollar Sell 7/19/23 347,144 354,273 7,129
Euro Sell 6/21/23 22,542 21,766 (776)
New Zealand Dollar Sell 7/19/23 137,480 140,020 2,540
Unrealized appreciation 394,971
Unrealized (depreciation) (933,274)
Total $(538,303)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 4/30/23 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized depreciation
U.S. Treasury Note 2 yr (Short) 701 $144,521,007 $144,521,007 Jun-23 $(1,282,780)
U.S. Treasury Note Ultra 10 yr (Short) 31 3,765,047 3,765,047 Jun-23 (125,148)
Unrealized appreciation —
Unrealized (depreciation) (1,407,928)
Total $(1,407,928)








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/23 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $95,706,500 $(1,100,625) $1,824,163
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 95,706,500 (1,100,625) (614,436)
3.63/US SOFR/Mar-26 (Written) Mar-24/3.63 66,745,900 830,986 360,428
(3.63)/US SOFR/Mar-26 (Written) Mar-24/3.63 66,745,900 830,986 (300,357)
(0.7988)/US SOFR/Apr-34 (Written) Apr-24/0.7988 65,015,900 80,281 (65)
1.8838/US SOFR/Apr-34 (Purchased) Apr-24/1.8838 32,507,900 (237,767) 19,505
3.1625/US SOFR/Mar-37 (Written) Mar-27/3.1625 32,086,300 2,213,955 304,499
(3.1625)/US SOFR/Mar-37 (Written) Mar-27/3.1625 32,086,300 2,213,955 10,268
3.095/US SOFR/Mar-36 (Written) Mar-26/3.095 31,418,700 2,079,918 384,879
(3.095)/US SOFR/Mar-36 (Written) Mar-26/3.095 31,418,700 2,079,918 124,104
(1.0035)/US SOFR/Mar-34 (Written) Mar-24/1.0035 16,254,000 24,623 975
3.03/US SOFR/Mar-36 (Purchased) Mar-26/3.03 15,450,300 (988,047) (73,852)
(3.03)/US SOFR/Mar-36 (Purchased) Mar-26/3.03 15,450,300 (988,047) (123,602)
2.063/US SOFR/Apr-56 (Purchased) Apr-26/2.063 14,707,300 (696,531) 31,915
(2.063)/US SOFR/Apr-56 (Purchased) Apr-26/2.063 14,707,300 (3,080,135) (161,780)
(2.558)/US SOFR/Dec-57 (Purchased) Dec-27/2.558 14,076,200 (2,080,462) 21,959
2.558/US SOFR/Dec-57 (Purchased) Dec-27/2.558 14,076,200 (2,080,462) (483,940)
(2.47)/US SOFR/Dec-57 (Purchased) Dec-27/2.47 11,414,100 (1,694,994) 104,325
2.47/US SOFR/Dec-57 (Purchased) Dec-27/2.47 11,414,100 (1,694,994) (478,365)
2.0035/US SOFR/Mar-34 (Purchased) Mar-24/2.0035 11,377,800 (88,363) 6,144
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 10,783,700 784,514 87,671
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 10,783,700 784,514 72,359
0.6385/US SOFR/Mar-40 (Purchased) Mar-30/0.6385 9,326,800 (91,188) 5,876
(0.6385)/US SOFR/Mar-40 (Purchased) Mar-30/0.6385 9,326,800 (2,161,324) (42,250)
(3.17)/US SOFR/Dec-35 (Purchased) Dec-25/3.17 9,143,300 (475,452) (37,213)
2.67/US SOFR/Dec-35 (Purchased) Dec-25/2.67 9,143,300 (466,308) (76,987)
3.343/US SOFR/Dec-35 (Purchased) Dec-25/3.343 9,049,800 (586,880) 73,484
(3.343)/US SOFR/Dec-35 (Purchased) Dec-25/3.343 9,049,800 (586,880) (186,516)
(3.18)/US SOFR/Dec-35 (Purchased) Dec-25/3.18 8,869,000 (447,885) (26,784)
2.68/US SOFR/Dec-35 (Purchased) Dec-25/2.68 8,869,000 (447,885) (67,493)
3.03/US SOFR/Feb-33 (Written) Feb-28/3.03 6,860,600 260,703 (6,449)
(3.03)/US SOFR/Feb-33 (Written) Feb-28/3.03 6,860,600 260,703 (24,218)
0.5644/US SOFR/Mar-40 (Purchased) Mar-30/0.5644 4,749,700 (43,455) 2,897
(0.5644)/US SOFR/Mar-40 (Purchased) Mar-30/0.5644 4,749,700 (1,127,760) (21,516)
0.9876/US SOFR/Mar-50 (Purchased) Mar-30/0.9876 4,687,800 (101,827) 938
(0.9876)/US SOFR/Mar-50 (Purchased) Mar-30/0.9876 4,687,800 (1,513,967) (33,049)
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 4,270,400 333,518 26,135
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 4,270,400 333,518 17,551
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,121,700 (325,416) 274,315
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,121,700 (325,416) (197,488)
Barclays Bank PLC
(3.09)/US SOFR/Dec-42 (Purchased) Dec-32/3.09 16,333,000 (1,328,690) 980
3.09/US SOFR/Dec-42 (Purchased) Dec-32/3.09 16,333,000 (1,328,690) (66,639)
Citibank, N.A.
2.703/US SOFR/Jul-33 (Purchased) Jul-23/2.703 65,311,700 (728,033) (397,095)
2.643/US SOFR/Jul-33 (Purchased) Jul-23/2.643 65,311,700 (728,033) (454,569)
(3.166)/US SOFR/Jul-28 (Purchased) Jul-23/3.166 43,374,700 (540,557) 7,807
3.166/US SOFR/Jul-28 (Purchased) Jul-23/3.166 43,374,700 (540,557) (52,483)
(2.25)/US SOFR/Jan-34 (Written) Jan-24/2.25 22,859,100 297,745 80,921
(1.887)/US SOFR/Jan-35 (Written) Jan-25/1.887 22,859,100 392,831 75,435
(2.311)/US SOFR/Jan-34 (Written) Jan-24/2.311 22,859,100 297,745 58,062
(1.947)/US SOFR/Jan-35 (Written) Jan-25/1.947 22,859,100 392,831 51,890
2.394/US SOFR/Sep-33 (Purchased) Sep-23/2.394 21,969,300 (265,829) (113,581)
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 14,768,300 (1,090,639) 806,792
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 14,768,300 (1,090,639) (484,843)
(3.20)/US SOFR/Jul-33 (Purchased) Jul-23/3.20 10,847,100 (171,927) (9,871)
3.39/US SOFR/Jul-33 (Written) Jul-23/3.39 10,847,100 103,047 3,580
3.58/US SOFR/Jul-33 (Written) Jul-23/3.58 10,847,100 61,828 3,580
2.14/US SOFR/Jun-41 (Purchased) Jun-31/2.14 4,617,700 (179,167) (3,371)
(2.14)/US SOFR/Jun-41 (Purchased) Jun-31/2.14 4,617,700 (595,868) (11,406)
1.34/US SOFR/Jan-61 (Purchased) Jan-41/1.34 4,450,300 (371,600) (13,173)
(1.34)/US SOFR/Jan-61 (Purchased) Jan-41/1.34 4,450,300 (1,040,302) (13,573)
2.403/US SOFR/Nov-49 (Purchased) Nov-24/2.403 2,064,000 (83,592) (1,692)
(2.403)/US SOFR/Nov-49 (Purchased) Nov-24/2.403 2,064,000 (275,007) (6,502)
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) Mar-24/0.055 EUR 219,158,200 703,152 659,269
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) Mar-24/0.555 EUR 109,579,100 (691,234) (650,817)
3.18/6 month EUR-EURIBOR/Mar-29 (Purchased) Mar-24/3.18 EUR 28,513,100 (623,805) 248,521
(3.18)/6 month EUR-EURIBOR/Mar-29 (Purchased) Mar-24/3.18 EUR 28,513,100 (623,805) (190,082)
Deutsche Bank AG
(2.98)/US SOFR/Mar-35 (Written) Mar-30/2.98 $24,708,300 1,143,994 107,975
2.98/US SOFR/Mar-35 (Written) Mar-30/2.98 24,708,300 1,143,994 1,483
3.19/US SOFR/Mar-38 (Written) Mar-28/3.19 10,227,100 712,318 46,636
(3.19)/US SOFR/Mar-38 (Written) Mar-28/3.19 10,227,100 712,318 (28,329)
2.818/3 month EUR-EURIBOR/Mar-29 (Written) Mar-28/2.818 EUR 40,707,100 393,060 (2,691)
(2.818)/3 month EUR-EURIBOR/Mar-29 (Written) Mar-28/2.818 EUR 40,707,100 393,060 (25,567)
Goldman Sachs International
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 $12,168,600 (1,569,749) 361,772
2.40/US SOFR/May-57 (Purchased) May-27/2.40 12,168,600 (1,569,749) (442,329)
3.123/US SOFR/Jul-33 (Purchased) Jul-23/3.123 6,573,200 (130,149) 3,681
(3.123)/US SOFR/Jul-33 (Purchased) Jul-23/3.123 6,573,200 (130,149) (13,212)
2.525/US SOFR/Mar-47 (Purchased) Mar-27/2.525 1,629,100 (95,873) 7,706
(2.525)/US SOFR/Mar-47 (Purchased) Mar-27/2.525 1,629,100 (229,703) (11,762)
2.85/3 month EUR-EURIBOR/Mar-29 (Purchased) Mar-28/2.85 EUR 40,603,400 (381,932) 31,766
(2.85)/3 month EUR-EURIBOR/Mar-29 (Purchased) Mar-28/2.85 EUR 40,603,400 (381,932) (2,237)
3.18/6 month EUR-EURIBOR/Sep-33 (Purchased) Sep-23/3.18 EUR 1,471,300 (41,441) 10,003
(3.18)/6 month EUR-EURIBOR/Sep-33 (Purchased) Sep-23/3.18 EUR 1,471,300 (41,441) (20,411)
JPMorgan Chase Bank N.A.
(3.0175)/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 $28,152,400 (2,371,840) 1,971
3.0175/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 28,152,400 (2,371,840) (243,237)
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 22,135,000 472,306 374,746
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 22,135,000 472,306 (887,392)
(3.115)/US SOFR/Mar-43 (Written) Mar-33/3.115 19,558,800 1,650,763 95,643
3.115/US SOFR/Mar-43 (Written) Mar-33/3.115 19,558,800 1,650,763 54,178
3.1525/US SOFR/Mar-40 (Written) Mar-30/3.1525 7,832,800 620,749 31,645
(3.1525)/US SOFR/Mar-40 (Written) Mar-30/3.1525 7,832,800 620,749 30,626
(2.317)/US SOFR/Apr-42 (Written) Apr-32/2.317 4,718,700 399,674 143,826
2.317/US SOFR/Apr-42 (Written) Apr-32/2.317 4,718,700 399,674 (115,327)
3.187/US SOFR/Jan-36 (Purchased) Jan-26/3.187 4,077,500 (263,203) 3,588
(3.187)/US SOFR/Jan-36 (Purchased) Jan-26/3.187 4,077,500 (263,203) (63,201)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 3,636,400 214,911 122,510
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 3,636,400 214,911 (216,257)
(3.0925)/US SOFR/Mar-43 (Written) Mar-33/3.0925 2,852,600 239,618 15,318
3.0925/US SOFR/Mar-43 (Written) Mar-33/3.0925 2,852,600 239,618 5,249
(4.178)/6 month AUD-BBR-BBSW/Apr-40 (Purchased) Apr-33/4.178 AUD 14,070,900 (504,308) (13,035)
4.178/6 month AUD-BBR-BBSW/Apr-40 (Purchased) Apr-33/4.178 AUD 14,070,900 (504,308) (20,670)
(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 9,928,600 (834,904) 14,256
3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 9,928,600 (834,904) (182,311)
4.344/6 month AUD-BBR-BBSW/Mar-33 (Purchased) Mar-28/4.344 AUD 9,795,400 (244,469) 16,852
(4.344)/6 month AUD-BBR-BBSW/Mar-33 (Purchased) Mar-28/4.344 AUD 9,795,400 (244,469) (32,667)
4.12/6 month AUD-BBR-BBSW/Jan-43 (Purchased) Jan-33/4.12 AUD 6,533,800 (340,868) (14,397)
(4.12)/6 month AUD-BBR-BBSW/Jan-43 (Purchased) Jan-33/4.12 AUD 6,533,800 (340,868) (24,600)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) 403,200
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) (210,161)
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) 373,687
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) (125,943)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) 277,068
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) (84,689)
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) 323,016
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) (106,217)
Morgan Stanley & Co. International PLC
2.22/US SOFR/Nov-49 (Purchased) Nov-24/2.22 $2,064,000 (50,568) 11,579
(2.22)/US SOFR/Nov-49 (Purchased) Nov-24/2.22 2,064,000 (344,275) (26,564)
(2.3825)/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 953,100 (120,805) 26,258
2.3825/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 953,100 (120,805) (44,081)
Toronto-Dominion Bank
2.118/US SOFR/Mar-41 (Purchased) Mar-31/2.118 1,584,500 (52,764) 4,484
(2.118)/US SOFR/Mar-41 (Purchased) Mar-31/2.118 1,584,500 (210,086) (7,320)
UBS AG
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) 157,541
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) (87,679)
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) 26,928
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) (31,663)
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) 666,518
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) (203,410)
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 3,146,000 (436,172) 314,696
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 3,146,000 (436,172) (236,455)
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) 316,978
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) (134,549)
Unrealized appreciation 10,134,610
Unrealized (depreciation) (9,084,420)
Total $1,050,190








TBA SALE COMMITMENTS OUTSTANDING at 4/30/23 (proceeds receivable $164,807,910) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 5/1/53 $1,000,000 5/18/23 $939,016
Uniform Mortgage-Backed Securities, 5.00%, 5/1/53 70,000,000 5/11/23 69,600,783
Uniform Mortgage-Backed Securities, 4.50%, 5/1/53 65,000,000 5/11/23 63,512,059
Uniform Mortgage-Backed Securities, 4.00%, 5/1/53 4,000,000 5/11/23 3,823,750
Uniform Mortgage-Backed Securities, 3.00%, 5/1/53 13,000,000 5/11/23 11,682,230
Uniform Mortgage-Backed Securities, 2.50%, 5/1/53 9,000,000 5/11/23 7,789,927
Uniform Mortgage-Backed Securities, 2.00%, 5/1/53 9,000,000 5/11/23 7,480,760
Total $164,828,525










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$8,725,000 $1,342,603 $365,462 9/1/32 3 month USD-LIBOR-ICE — Quarterly 1.512% — Semiannually $(1,028,518)
26,548,000 745,999 1,283 12/23/23 0.695% — Annually US SOFR — Annually 1,115,449
17,960,000 1,468,410 1,544 12/23/26 1.085% — Annually US SOFR — Annually 1,693,923
8,583,000 1,207,886 1,037 12/23/31 1.285% — Annually US SOFR — Annually 1,309,805
4,489,000 1,326,185 (7,993) 12/23/51 US SOFR — Annually 1.437% — Annually (1,384,496)
39,725,000 1,115,478 (4,042) 12/24/23 0.697% — Annually US SOFR — Annually 1,641,804
6,991,000 569,207 (936) 12/24/26 1.096% — Annually US SOFR — Annually 652,000
9,943,000 1,399,577 (4,439) 12/24/31 1.285% — Annually US SOFR — Annually 1,507,749
17,998,000 5,323,988 (9,727) 12/24/51 1.435% — Annually US SOFR — Annually 5,508,802
8,125,000 2,265,006 (1,324) 12/31/51 1.525% — Annually US SOFR — Annually 2,347,703
3,304,000 265,476 (438) 12/31/26 US SOFR — Annually 1.135% — Annually (304,448)
867,000 117,695 15,612 12/31/31 US SOFR — Annually 1.355% — Annually (111,548)
2,215,200 147,466 (E) (49) 1/15/47 1.724% — Annually US SOFR — Annually 147,417
5,869,000 1,466,135 (200) 1/21/52 1.679% — Annually US SOFR — Annually 1,513,049
3,669,000 953,316 (125) 1/19/52 US SOFR — Annually 1.626% — Annually (984,547)
2,384,000 606,752 (81) 2/1/52 1.6545% — Annually US SOFR — Annually 624,358
8,865,400 1,911,558 (302) 2/24/52 US SOFR — Annually 1.86% — Annually (1,958,059)
4,600,000 1,072,720 (157) 2/29/52 1.7674% — Annually US SOFR — Annually 1,095,874
4,617,000 496,928 (61) 2/29/32 US SOFR — Annually 1.75% — Annually (520,525)
30,452,000 1,930,352 (246) 2/28/27 1.675% — Annually US SOFR — Annually 2,089,284
48,806,000 1,377,305 (185) 2/29/24 US SOFR — Annually 1.47709% — Annually (1,649,222)
4,119,800 466,279 (55) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (485,607)
3,014,000 66,700 (11) 4/7/24 US SOFR — Annually 2.4485% — Annually (71,466)
605,000 21,441 (5) 4/7/27 2.469% — Annually US SOFR — Annually 22,383
682,000 43,566 (9) 4/7/23 2.3305% — Annually US SOFR — Annually 44,687
272,000 46,218 (9) 4/7/52 US SOFR — Annually 2.1005% — Annually (46,720)
12,716,000 649,279 (169) 4/14/32 2.4975% — Annually US SOFR — Annually 662,965
11,082,000 1,378,158 (378) 4/14/52 US SOFR — Annually 2.3395% — Annually (1,391,437)
3,170,000 110,855 (26) 4/14/27 2.483% — Annually US SOFR — Annually 114,305
3,773,000 86,213 (14) 4/14/24 US SOFR — Annually 2.403% — Annually (90,507)
32,580,000 898,231 (308) 5/2/27 US SOFR — Annually 2.685% — Annually (1,042,824)
56,004,900 1,264,031 (211) 5/25/24 2.5945% — Annually US SOFR — Annually 1,630,016
2,330,000 217,669 (79) 5/25/52 US SOFR — Annually 2.501% — Annually (231,059)
1,622,500 107,117 (E) (55) 5/28/57 2.40% — Annually US SOFR — Annually 107,062
4,472,000 140,510 (59) 6/7/32 US SOFR — Annually 2.7565% — Annually (156,181)
3,899,000 273,944 (133) 6/7/52 US SOFR — Annually 2.622% — Annually (295,677)
3,515,900 646,363 (441,293) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 195,844
63,314,000 955,408 (239) 6/15/24 US SOFR — Annually 3.3385% — Annually (1,017,299)
41,483,500 360,077 (336) 6/15/27 3.185% — Annually US SOFR — Annually 456,737
5,242,900 36,543 (74) 9/8/32 US SOFR — Annually 3.07% — Annually (67,695)
8,218,600 213,519 (116) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 246,535
17,649,000 1,024,701 (234) 8/2/32 US SOFR — Annually 2.4275% — Annually (1,196,208)
1,683,100 58,437 (E) (33) 4/1/42 US SOFR — Annually 2.63% — Annually (58,470)
2,286,900 101,904 (E) (34) 3/24/35 US SOFR — Annually 2.39% — Annually (101,939)
4,997,900 369,345 (147) 8/10/42 2.645% — Annually US SOFR — Annually 412,323
8,470,900 674,707 (18,886) 8/10/42 US SOFR — Annually 2.605% — Annually (764,941)
3,473,200 283,378 (102) 8/10/42 2.5915% — Annually US SOFR — Annually 313,902
14,087,000 349,358 (E) (132) 2/6/29 2.40% — Annually US SOFR — Annually 349,225
28,629,000 1,243,930 (378) 8/16/32 US SOFR — Annually 2.613% — Annually (1,493,693)
3,284,000 77,962 (E) (73) 1/15/47 2.49% — Annually US SOFR — Annually 77,889
495,000 12,499 (7) 8/25/32 US SOFR — Annually 2.8415% — Annually (16,069)
2,067,000 26,065 (E) (31) 2/21/35 2.785% — Annually US SOFR — Annually 26,034
33,327,700 485,585 (125) 9/6/24 US SOFR — Annually 3.413% — Annually (607,670)
16,345,300 18,470 (E) (91) 1/15/27 US SOFR — Annually 2.73% — Annually (18,561)
15,813,300 144,692 (209) 9/13/32 3.043% — Annually US SOFR — Annually 241,179
3,026,200 23,574 (E) (59) 1/15/41 3.0500% — Annually US SOFR — Annually 23,515
1,671,800 20,246 (E) (33) 1/15/42 2.9825% — Annually US SOFR — Annually 20,213
5,676,000 86,843 (193) 9/26/52 2.905% — Annually US SOFR — Annually 127,135
29,514,000 105,070 (277) 9/26/27 US SOFR — Annually 3.465% — Annually (6,095)
1,852,000 12,427 (24) 9/19/32 3.24% — Annually US SOFR — Annually (3,071)
10,427,000 246,077 (138) 9/26/32 US SOFR — Annually 3.449% — Annually 205,759
12,162,000 185,714 (98) 10/4/27 3.75% — Annually US SOFR — Annually (159,122)
29,664,000 742,490 (392) 10/5/32 US SOFR — Annually 3.466% — Annually 625,234
3,631,000 27,378 (E) (54) 10/21/36 US SOFR — Annually 3.116% — Annually 27,323
11,079,000 148,459 (E) (156) 8/23/33 US SOFR — Annually 3.237% — Annually 148,302
10,652,000 136,985 (E) (150) 9/1/33 US SOFR — Annually 3.225% — Annually 136,835
392,000 6,111 (6) 11/14/32 3.347% — Annually US SOFR — Annually (4,298)
1,504,000 14,649 (51) 2/3/53 2.9275% — Annually US SOFR — Annually 19,994
85,713,000 329,138 (321) 10/7/24 US SOFR — Annually 4.1845% — Annually (331,261)
17,625,000 490,504 (233) 10/7/32 3.5005% — Annually US SOFR — Annually (430,527)
171,426,000 644,562 39,251 10/7/24 4.19% — Annually US SOFR — Annually 681,972
79,885,000 1,159,930 (18,886) 10/7/27 US SOFR — Annually 3.73% — Annually 931,626
142,776,000 3,967,745 (56,132) 10/7/32 3.50% — Annually US SOFR — Annually (3,461,681)
35,250,000 1,008,150 (33,755) 10/7/32 US SOFR — Annually 3.51% — Annually 837,611
41,362,000 526,125 27,701 10/7/52 US SOFR — Annually 3.05% — Annually 284,452
17,014,000 99,192 (E) (117) 4/8/28 3.44% — Annually US SOFR — Annually (99,309)
45,937,000 194,314 (E) (172) 1/31/25 US SOFR — Annually 4.035% — Annually 194,141
1,529,000 41,084 (E) (52) 1/16/55 2.97% — Annually US SOFR — Annually (41,136)
34,655,000 245,011 (E) (192) 1/16/26 US SOFR — Annually 3.605% — Annually 244,819
5,908,000 311,883 (201) 10/20/52 US SOFR — Annually 3.2571% — Annually 282,454
14,354,600 754,621 (E) (488) 10/9/54 3.115% — Annually US SOFR — Annually (755,109)
58,375,300 2,673,589 (E) (823) 10/10/33 US SOFR — Annually 3.594% — Annually 2,672,766
440,000 30,048 (15) 10/20/52 US SOFR — Annually 3.3375% — Annually 28,046
1,730,900 99,648 (E) (59) 1/24/55 3.135% — Annually US SOFR — Annually (99,707)
6,648,400 197,192 (62) 4/13/28 3.965% — Annually US SOFR — Annually (198,902)
2,198,600 108,281 (E) (33) 4/4/35 3.5575% — Annually US SOFR — Annually (108,314)
4,397,400 133,549 (E) (49) 5/8/30 US SOFR — Annually 3.52% — Annually 133,500
6,020,200 48,101 (E) (52) 4/4/32 3.515% — Annually US SOFR — Annually (48,154)
29,278,300 1,677,354 (E) (413) 11/24/33 US SOFR — Annually 3.708% — Annually 1,676,941
11,005,200 629,167 (E) (155) 6/6/34 US SOFR — Annually 3.645% — Annually 629,012
839,900 41,550 (E) (13) 2/19/36 US SOFR — Annually 3.6145% — Annually 41,537
622,500 30,664 (E) (9) 3/3/36 US SOFR — Annually 3.614% — Annually 30,655
7,089,000 652,542 (241) 10/24/52 US SOFR — Annually 3.4605% — Annually 623,457
21,728,800 182,522 (E) (81) 6/26/25 US SOFR — Annually 4.31% — Annually 182,440
4,279,000 441,293 (145) 10/27/32 3.5176% — Annually US SOFR — Annually (425,891)
9,838,700 618,559 (E) (139) 12/4/33 US SOFR — Annually 3.77% — Annually 618,420
3,219,500 96,939 (E) (36) 3/24/32 US SOFR — Annually 3.64% — Annually 96,903
7,996,800 388,485 (E) (120) 6/28/37 US SOFR — Annually 3.70% — Annually 388,365
1,817,500 73,918 (E) (35) 6/20/40 US SOFR — Annually 3.75% — Annually 73,882
21,332,000 488,716 (172) 11/1/27 3.9195% — Annually US SOFR — Annually (449,580)
37,990,000 214,644 (142) 11/9/24 US SOFR — Annually 4.7655% — Annually 306,741
27,451,300 1,623,744 (362) 11/14/32 3.88% — Annually US SOFR — Annually (1,565,033)
13,300,000 321,594 (176) 11/21/32 3.4515% — Annually US SOFR — Annually (263,343)
2,039,600 53,641 (27) 11/25/32 3.477% — Annually US SOFR — Annually (46,129)
52,684,000 15,805 (198) 12/5/24 4.3515% — Annually US SOFR — Annually (3,915)
4,100,000 5,371 (54) 12/9/32 3.14% — Annually US SOFR — Annually 25,327
3,043,800 155,142 (E) (103) 12/10/57 2.47% — Annually US SOFR — Annually 155,039
3,519,000 126,156 (E) (120) 12/13/57 2.558% — Annually US SOFR — Annually 126,037
3,560,000 146,743 (121) 12/29/52 US SOFR — Annually 3.1925% — Annually 129,815
3,017,000 28,058 (24) 1/6/28 3.5615% — Annually US SOFR — Annually (18,181)
15,031,000 97,100 (511) 1/18/53 US SOFR — Annually 2.9451% — Annually (169,429)
4,667,000 8,867 (62) 1/19/33 3.178% — Annually US SOFR — Annually 10,101
8,238,000 8,156 (109) 1/24/33 3.167% — Annually US SOFR — Annually 24,229
16,814,000 56,495 (222) 1/30/33 3.19529% — Annually US SOFR — Annually 5,062
1,200,000 20,124 (16) 2/10/33 US SOFR — Annually 3.3555% — Annually 16,568
9,126,000 205,244 (120) 2/15/33 US SOFR — Annually 3.4235% — Annually 181,061
20,000,000 463,800 (161) 2/21/28 3.855% — Annually US SOFR — Annually (431,663)
9,800,000 323,400 (129) 2/21/33 US SOFR — Annually 3.5485% — Annually 301,688
4,563,000 119,049 (37) 2/24/28 3.9195% — Annually US SOFR — Annually (112,536)
3,049,000 121,259 (40) 2/24/33 US SOFR — Annually 3.629% — Annually 115,218
5,862,000 234,128 (77) 2/24/33 US SOFR — Annually 3.631% — Annually 222,536
7,986,000 254,514 (64) 2/28/28 4.0475% — Annually US SOFR — Annually (245,468)
2,917,000 133,161 (39) 2/28/33 US SOFR — Annually 3.6985% — Annually 128,042
19,949,000 1,005,230 (678) 3/7/53 3.235% — Annually US SOFR — Annually (968,087)
12,314,000 106,270 (E) (85) 6/24/28 3.254% — Annually US SOFR — Annually (106,355)
2,231,000 97,673 (29) 3/2/33 3.676% — Annually US SOFR — Annually (93,843)
6,140,000 182,849 (49) 3/2/28 US SOFR — Annually 3.998% — Annually 175,473
2,178,000 56,367 (E) (33) 2/4/36 3.3105% — Annually US SOFR — Annually (56,399)
19,952,000 295,489 (E) (223) 12/16/31 3.245% — Annually US SOFR — Annually (295,713)
11,976,000 573,291 (158) 3/2/33 3.7245% — Annually US SOFR — Annually (553,985)
423,000 31,095 (14) 3/6/53 3.354% — Annually US SOFR — Annually (30,208)
4,007,000 220,145 (53) 3/6/33 US SOFR — Annually 3.808% — Annually 214,387
4,575,000 164,746 (37) 3/6/28 4.1355% — Annually US SOFR — Annually (160,599)
2,200,000 76,626 (18) 3/7/28 US SOFR — Annually 4.108% — Annually 74,532
3,173,000 155,540 (42) 3/7/33 3.7375% — Annually US SOFR — Annually (150,791)
534,000 28,099 (18) 3/7/53 US SOFR — Annually 3.2465% — Annually 26,874
1,587,000 66,384 (21) 3/10/33 3.6515% — Annually US SOFR — Annually (63,923)
3,645,000 159,469 (E) (12,360) 6/21/33 US SOFR — Annually 3.635% — Annually 147,108
2,131,100 87,780 (E) (30) 8/9/33 3.575% — Annually US SOFR — Annually (87,810)
1,692,200 4,789 (E) (22) 2/9/38 3.31% — Annually US SOFR — Annually (4,811)
807,600 11,500 (E) (12) 2/9/38 3.275% — Annually US SOFR — Annually (11,512)
11,180,200 470,575 (E) (158) 5/11/33 3.64% — Annually US SOFR — Annually (470,732)
28,297,400 915,421 (E) (266) 5/11/28 US SOFR — Annually 3.997% — Annually 915,155
14,261,000 252,705 (115) 3/14/28 US SOFR — Annually 3.7185% — Annually 233,032
747,000 17,390 (10) 3/14/33 3.4305% — Annually US SOFR — Annually (16,089)
392,000 2,219 (13) 3/14/53 3.0045% — Annually US SOFR — Annually (1,321)
1,931,000 13,034 (25) 3/15/33 3.234% — Annually US SOFR — Annually (9,236)
12,172,000 130,119 (161) 3/15/33 3.28091% — Annually US SOFR — Annually (106,923)
10,322,000 38,811 (83) 3/17/28 US SOFR — Annually 3.404% — Annually 21,261
1,020,000 1,142 (35) 3/17/53 2.9695% — Annually US SOFR — Annually 3,388
1,736,000 7,048 (23) 3/20/33 3.2019% — Annually US SOFR — Annually (3,890)
1,809,000 8,647 (24) 3/20/33 US SOFR — Annually 3.2105% — Annually 5,327
209,937,000 1,274,318 (E) 1,205,066 6/21/25 4.20% — Annually US SOFR — Annually (69,251)
132,709,000 3,431,855 (E) 2,820,920 6/21/28 3.80% — Annually US SOFR — Annually (610,935)
96,957,000 2,311,455 (E) 1,445,818 6/21/33 3.40% — Annually US SOFR — Annually (865,637)
2,839,000 84,687 (E) 113,408 6/21/53 US SOFR — Annually 2.80% — Annually 28,721
167,390,000 1,287,229 (E) 215,444 6/21/28 US SOFR — Annually 3.40% — Annually 1,502,672
90,490,000 142,069 (E) 1,351,996 6/21/33 US SOFR — Annually 3.10% — Annually 1,209,926
2,413,500 2,872 (19) 3/21/28 US SOFR — Annually 3.2915% — Annually (6,975)
1,475,000 15,030 (50) 3/22/53 US SOFR — Annually 2.9225% — Annually (18,126)
2,679,500 7,637 (35) 3/22/33 3.1875% — Annually US SOFR — Annually (2,928)
4,695,000 1,080 (38) 3/22/28 US SOFR — Annually 3.323% — Annually (6,564)
6,850,000 67,130 (55) 3/23/28 3.5365% — Annually US SOFR — Annually (57,918)
3,864,000 37,944 (31) 3/23/28 3.537% — Annually US SOFR — Annually (32,750)
1,005,000 1,397 (34) 3/24/53 US SOFR — Annually 2.982% — Annually (556)
452,000 59 (15) 3/24/53 2.9755% — Annually US SOFR — Annually 792
1,244,000 15,090 (16) 3/24/33 US SOFR — Annually 3.2975% — Annually 13,112
520,000 4,186 (18) 3/24/53 2.9335% — Annually US SOFR — Annually 5,188
5,594,000 56 (45) 3/24/28 US SOFR — Annually 3.317% — Annually (8,804)
1,547,000 2,583 (20) 3/24/33 3.17535% — Annually US SOFR — Annually 37
6,530,000 3,396 (53) 3/27/28 US SOFR — Annually 3.3045% — Annually (12,959)
6,530,000 17,174 (53) 3/27/28 US SOFR — Annually 3.2575% — Annually (27,036)
2,249,000 9,086 (18) 3/27/28 US SOFR — Annually 3.226% — Annually (12,551)
6,530,000 4,571 (53) 3/27/28 3.3005% — Annually US SOFR — Annually 14,055
2,407,000 28,427 (19) 3/28/28 US SOFR — Annually 3.0525% — Annually (32,474)
1,583,000 20,389 (21) 3/28/33 3.001% — Annually US SOFR — Annually 23,094
13,453,900 94,446 (E) (190) 6/13/33 3.041% — Annually US SOFR — Annually 94,257
35,283,000 250,156 (E) (332) 6/13/28 3.086% — Annually US SOFR — Annually 249,825
10,444,000 78,957 (138) 4/4/33 US SOFR — Annually 3.064% — Annually (88,619)
1,135,800 125 (E) (22) 3/27/40 US SOFR — Annually 3.1525% — Annually 103
3,522,000 7,537 (28) 3/29/28 3.363% — Annually US SOFR — Annually (2,848)
3,492,000 13,724 (46) 3/29/33 US SOFR — Annually 3.20% — Annually 8,478
1,753,000 12,218 (23) 3/30/33 US SOFR — Annually 3.236% — Annually 9,728
5,468,000 42,978 (72) 3/30/33 3.2465% — Annually US SOFR — Annually (35,398)
35,436,000 13,820 (133) 3/31/25 4.081% — Annually US SOFR — Annually 36,385
6,336,000 55,630 (215) 3/31/53 US SOFR — Annually 3.0195% — Annually 45,565
3,485,500 41,547 (E) (49) 3/13/34 US SOFR — Annually 3.118% — Annually 41,498
14,950,000 3,289 (56) 3/31/25 US SOFR — Annually 4.0905% — Annually (12,799)
5,841,000 57,067 (77) 3/31/33 US SOFR — Annually 3.269% — Annually 49,164
7,794,000 52,220 (103) 4/4/33 US SOFR — Annually 3.2325% — Annually 42,846
4,261,000 32,852 (56) 4/4/33 3.2445% — Annually US SOFR — Annually (27,879)
14,691,000 4,848 (55) 4/4/25 US SOFR — Annually 4.113% — Annually (2,968)
5,664,000 26,451 (75) 4/4/33 US SOFR — Annually 3.2085% — Annually 19,542
2,478,000 6,220 (33) 4/4/33 3.1830% — Annually US SOFR — Annually (3,215)
1,634,000 5,441 (22) 4/5/33 3.114% — Annually US SOFR — Annually 7,425
11,761,000 15,289 (44) 4/5/25 US SOFR — Annually 4.02% — Annually (22,073)
6,264,000 11,025 (83) 4/5/33 US SOFR — Annually 3.1325% — Annually (18,712)
13,920,000 6,821 (52) 4/6/25 US SOFR — Annually 4.0635% — Annually (14,211)
1,472,000 12,689 (19) 4/6/33 3.0515% — Annually US SOFR — Annually 14,474
2,330,000 21,366 (31) 4/6/33 3.45% — Annually US SOFR — Annually 24,202
8,714,000 80,517 (E) (123) 9/13/33 US SOFR — Annually 2.955% — Annually (80,640)
7,406,000 68,357 (60) 4/7/28 3.1075% — Annually US SOFR — Annually 76,724
1,849,000 22,983 (24) 4/7/33 3.0065% — Annually US SOFR — Annually 25,187
3,564,000 22,382 (13) 4/7/25 3.7505% — Annually US SOFR — Annually 24,896
1,123,000 15,958 (15) 4/7/33 2.9855% — Annually US SOFR — Annually 17,312
2,690,000 57,028 (91) 4/10/53 US SOFR — Annually 2.865% — Annually (60,173)
8,884,000 41,044 (33) 4/10/25 US SOFR — Annually 3.8355% — Annually (46,132)
4,127,000 54,807 (54) 4/10/33 US SOFR — Annually 2.9965% — Annually (59,229)
1,495,000 7,550 (20) 4/11/33 US SOFR — Annually 3.0935% — Annually (8,993)
3,356,000 23,257 (114) 4/13/53 2.938% — Annually US SOFR — Annually 26,281
3,200,000 22,176 (109) 4/14/53 US SOFR — Annually 2.938% — Annually (25,106)
4,809,000 18,996 (63) 4/17/33 3.1065% — Annually US SOFR — Annually 22,106
4,364,000 25,922 (58) 4/17/33 US SOFR — Annually 3.083% — Annually (28,900)
4,041,000 10,830 (E) (57) 8/9/33 US SOFR — Annually 3.055% — Annually (10,887)
3,098,200 4,152 (29) 4/19/28 3.278% — Annually US SOFR — Annually 5,698
15,094,000 11,924 (57) 4/18/25 US SOFR — Annually 4.1125% — Annually 8,101
8,389,000 50,586 (111) 4/18/33 US SOFR — Annually 3.224% — Annually 45,690
2,452,000 31,165 (83) 4/19/53 3.0383% — Annually US SOFR — Annually (29,806)
4,917,000 50,743 (65) 4/20/33 3.2745% — Annually US SOFR — Annually (48,512)
2,237,000 24,696 (30) 4/20/33 US SOFR — Annually 3.283% — Annually 23,628
6,359,000 71,857 (84) 4/20/33 US SOFR — Annually 3.286% — Annually 68,825
10,962,000 41,875 (41) 4/21/25 US SOFR — Annually 4.2675% — Annually 40,205
4,913,000 73,498 (65) 4/21/33 US SOFR — Annually 3.329% — Annually 71,423
4,910,000 25,974 (40) 4/24/28 US SOFR — Annually 3.422% — Annually 24,617
3,442,000 20,583 (45) 4/26/33 US SOFR — Annually 3.223% — Annually 19,783
6,261,000 33,559 (83) 5/1/33 3.214% — Annually US SOFR — Annually (33,642)
3,017,500 7,242 (E) (40) 5/11/33 US SOFR — Annually 3.173% — Annually 7,202
AUD 177,000 20,681 (E) (2) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 20,679
AUD 596,700 76,729 (E) (6) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 76,723
AUD 221,500 29,291 (E) (2) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 29,289
AUD 345,400 41,964 (E) (4) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 41,960
AUD 1,289,300 172,034 (E) (15) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 172,018
AUD 82,700 17,669 (E) (2) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 17,668
AUD 4,100,000 343,923 (45) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (347,496)
AUD 3,287,400 433,728 571,992 11/24/42 6 month AUD-BBR-BBSW — Semiannually 2.50% — Semiannually 127,342
AUD 4,358,000 26,270 (E) (1,524) 6/21/25 3.94% — Quarterly 3 month AUD-BBR-BBSW — Quarterly (27,794)
AUD 7,655,000 174,348 (E) 1,951 6/21/33 6 month AUD-BBR-BBSW — Semiannually 4.22% — Semiannually 176,299
CAD 5,288,000 112,290 (E) 44,341 6/21/33 3.62% — Semiannually 3 month CAD-BA-CDOR — Semiannually (67,949)
CAD 4,196,000 2,292 (E) (15,330) 6/21/25 3 month CAD-BA-CDOR — Semiannually 4.14% — Semiannually (13,039)
EUR 1,144,400 181,813 (E) (44) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR — Semiannually 181,769
EUR 1,556,300 423,320 (60) 2/19/50 6 month EUR-EURIBOR — Semiannually 1.354% — Annually (429,240)
EUR 1,719,000 499,833 (66) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR — Semiannually 505,390
EUR 1,739,200 525,675 (66) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR — Semiannually 531,438
EUR 2,008,000 646,239 (77) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR — Semiannually 650,716
EUR 1,798,800 335,411 (E) (68) 11/29/58 6 month EUR-EURIBOR — Semiannually 1.343% — Annually (335,479)
EUR 2,077,000 694,833 (79) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR — Semiannually 703,913
EUR 1,655,300 520,398 (E) (63) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR — Semiannually 520,335
EUR 1,510,500 551,306 (58) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR — Semiannually 558,383
EUR 904,900 349,666 (35) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR — Semiannually 354,091
EUR 3,288,600 1,423,538 (E) (125) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR — Semiannually 1,423,413
EUR 2,023,200 1,009,211 (E) (76) 6/6/54 6 month EUR-EURIBOR — Semiannually 0.207% — Annually (1,009,287)
EUR 2,735,100 1,376,767 (102) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR — Semiannually 1,393,487
EUR 11,076,900 4,748,115 (418) 2/19/50 6 month EUR-EURIBOR — Semiannually 0.595% — Annually (4,805,028)
EUR 1,285,600 671,498 (E) (48) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR — Semiannually 671,450
EUR 585,600 351,751 (E) (23) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR — Semiannually 351,728
EUR 3,783,300 787,782 (E) (80) 5/13/40 6 month EUR-EURIBOR — Semiannually 0.276% — Annually (787,862)
EUR 1,853,200 378,329 (E) (40) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 378,289
EUR 2,522,800 524,395 (E) (58) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 524,337
EUR 863,600 177,959 (E) (20) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR — Semiannually 177,939
EUR 2,373,100 1,074,209 (97) 5/21/51 6 month EUR-EURIBOR — Semiannually 0.516% — Annually (1,088,484)
EUR 2,436,000 540,013 (42) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR — Semiannually 561,564
EUR 2,079,900 481,401 (36) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR — Semiannually 498,925
EUR 694,000 341,110 (28) 9/14/52 6 month EUR-EURIBOR — Semiannually 0.374% — Annually (342,907)
EUR 6,666,000 1,354,100 (107) 3/7/32 6 month EUR-EURIBOR — Semiannually 0.60% — Annually (1,384,879)
EUR 4,368,900 21,712 (E) (69) 2/2/36 2.875% — Annually 6 month EUR-EURIBOR — Semiannually 21,642
EUR 7,340,100 245,634 (109) 9/8/32 2.615% — Annually 6 month EUR-EURIBOR — Semiannually 155,494
EUR 27,208,300 972,278 (E) (103) 6/28/25 1.718% — Annually 6 month EUR-EURIBOR — Semiannually 972,175
EUR 2,398,000 509,895 (83) 8/29/52 6 month EUR-EURIBOR — Semiannually 1.636% — Annually (496,704)
EUR 8,996,400 487,131 (E) (102) 9/12/29 1.71% — Annually 6 month EUR-EURIBOR — Semiannually 487,029
EUR 29,124,000 2,197,321 (279) 9/2/27 6 month EUR-EURIBOR — Semiannually 1.372% — Annually (2,090,573)
EUR 1,052,700 113,120 (E) (36) 6/6/54 2.005% — Annually 6 month EUR-EURIBOR — Semiannually 113,084
EUR 1,555,000 146,706 (E) (53) 6/7/54 2.065% — Annually 6 month EUR-EURIBOR — Semiannually 146,653
EUR 4,115,000 127,052 (E) (61) 2/18/36 6 month EUR-EURIBOR — Semiannually 3.285% — Annually 126,991
EUR 1,052,700 13,838 (E) (20) 8/22/39 6 month EUR-EURIBOR — Semiannually 3.14% — Annually 13,818
EUR 24,170,900 221,861 (E) (164) 6/26/28 6 month EUR-EURIBOR — Semiannually 3.26% — Annually 221,696
EUR 1,925,300 19,645 (E) (37) 3/28/40 6 month EUR-EURIBOR — Semiannually 3.09% — Annually 19,608
EUR 7,366,000 54,300 (63) 2/24/28 3.206% — Annually 6 month EUR-EURIBOR — Semiannually (54,762)
EUR 5,019,000 50,161 (70) 2/24/33 6 month EUR-EURIBOR — Semiannually 3.095% — Annually 49,243
EUR 3,409,000 34,408 (48) 2/24/33 3.096% — Annually 6 month EUR-EURIBOR — Semiannually (33,887)
EUR 9,655,000 172,881 (82) 3/2/28 3.4215% — Annually 6 month EUR-EURIBOR — Semiannually (175,090)
EUR 5,882,000 157,951 (82) 3/2/33 6 month EUR-EURIBOR — Semiannually 3.2755% — Annually 157,641
EUR 618,000 21,566 (22) 3/2/53 2.7465% — Annually 6 month EUR-EURIBOR — Semiannually (20,985)
EUR 5,924,000 99,220 (51) 3/2/28 3.398% — Annually 6 month EUR-EURIBOR — Semiannually (100,329)
EUR 1,051,000 17,869 (15) 3/10/33 3.176% — Annually 6 month EUR-EURIBOR — Semiannually (17,384)
EUR 4,393,000 94,102 (E) 35,334 6/21/33 3.22% — Annually 6 month EUR-EURIBOR — Semiannually (58,767)
EUR 5,461,000 50,426 (E) (5,336) 6/21/25 3.875% — Annually 6 month EUR-EURIBOR — Semiannually (55,762)
EUR 22,548,200 392,316 (224) 4/13/28 6 month EUR-EURIBOR — Semiannually 3.395% — Annually 392,786
EUR 3,708,600 75,723 (55) 4/13/33 3.203% — Annually 6 month EUR-EURIBOR — Semiannually (75,501)
EUR 9,687,000 70,983 (82) 3/14/28 6 month EUR-EURIBOR — Semiannually 3.214% — Annually 66,486
EUR 3,683,000 20,251 (51) 3/14/33 3.0525% — Annually 6 month EUR-EURIBOR — Semiannually (17,779)
EUR 303,000 2,160 (11) 3/14/53 2.5595% — Annually 6 month EUR-EURIBOR — Semiannually 2,569
EUR 6,515,000 144 (56) 3/17/28 6 month EUR-EURIBOR — Semiannually 3.075% — Annually (490)
EUR 5,333,000 32,379 (46) 3/22/28 6 month EUR-EURIBOR — Semiannually 2.909% — Annually (33,840)
EUR 4,630,000 1,480 (40) 3/23/28 3.021% — Annually 6 month EUR-EURIBOR — Semiannually 2,269
EUR 3,963,000 19,520 (34) 3/24/28 3.14% — Annually 6 month EUR-EURIBOR — Semiannually (19,492)
EUR 1,114,000 4,174 (16) 3/24/33 6 month EUR-EURIBOR — Semiannually 3.0215% — Annually 3,992
EUR 1,874,000 165 (16) 3/27/28 6 month EUR-EURIBOR — Semiannually 3.045% — Annually (691)
EUR 12,196,000 134,388 (107) 3/28/28 6 month EUR-EURIBOR — Semiannually 2.8235% — Annually (141,419)
EUR 1,321,000 79,520 (49) 3/28/53 2.3165% — Annually 6 month EUR-EURIBOR — Semiannually 80,893
EUR 6,855,900 93,223 (E) (105) 6/13/33 2.85% — Annually 6 month EUR-EURIBOR — Semiannually 93,117
EUR 25,138,400 232,403 (E) (254) 6/13/28 2.87% — Annually 6 month EUR-EURIBOR — Semiannually 232,149
EUR 3,162,000 7,909 (27) 3/29/28 2.989% — Annually 6 month EUR-EURIBOR — Semiannually 9,095
EUR 1,860,000 8,915 (26) 3/29/33 6 month EUR-EURIBOR — Semiannually 2.9295% — Annually (9,763)
EUR 631,000 17,640 (23) 3/29/53 6 month EUR-EURIBOR — Semiannually 2.459% — Annually (18,230)
EUR 3,142,000 381 (45) 3/31/33 6 month EUR-EURIBOR — Semiannually 2.9825% — Annually (1,557)
EUR 1,726,000 6,885 (25) 4/3/33 6 month EUR-EURIBOR — Semiannually 3.0285% — Annually 6,475
EUR 552,000 5,492 (20) 4/3/53 6 month EUR-EURIBOR — Semiannually 2.542% — Annually (5,865)
EUR 719,000 22,889 (27) 4/5/53 2.444% — Annually 6 month EUR-EURIBOR — Semiannually 23,373
EUR 1,360,000 14,641 (20) 4/11/33 2.872% — Annually 6 month EUR-EURIBOR — Semiannually 15,009
EUR 1,005,000 2,503 (14) 4/14/33 6 month EUR-EURIBOR — Semiannually 3.0165% — Annually 2,311
EUR 458,000 257 (17) 4/14/53 6 month EUR-EURIBOR — Semiannually 2.59% — Annually 58
EUR 1,138,000 13,392 (42) 4/20/53 6 month EUR-EURIBOR — Semiannually 2.6425% — Annually 12,992
EUR 1,713,979 21,039 (E) (26) 3/13/34 6 month EUR-EURIBOR — Semiannually 3.062% — Annually 21,013
GBP 1,571,100 400,089 (31) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (432,935)
GBP 92,703,900 1,660,205 76,790 9/15/23 Sterling Overnight Index Average — Annually 0.84% — Annually (3,305,721)
GBP 92,703,900 1,728,943 115,314 9/15/23 Sterling Overnight Index Average — Annually 0.68% — Annually (3,357,750)
GBP 92,703,900 1,797,682 (180,050) 9/15/23 0.52% — Annually Sterling Overnight Index Average — Annually 3,561,313
GBP 37,081,600 625,869 (191) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 1,211,543
GBP 16,305,000 271,920 (246) 9/21/32 3.522% — Annually Sterling Overnight Index Average — Annually 247,292
GBP 1,676,000 20,831 (E) (36) 1/14/40 3.306% — Annually Sterling Overnight Index Average — Annually 20,796
GBP 863,000 10,607 (E) (18) 8/20/39 3.299% — Annually Sterling Overnight Index Average — Annually 10,589
GBP 54,289,000 796,217 (228) 11/7/24 5.495% — Annually Sterling Overnight Index Average — Annually (1,408,579)
GBP 21,663,000 1,408,892 (343) 11/9/32 Sterling Overnight Index Average — Annually 4.35% — Annually 1,503,238
GBP 1,234,500 35,699 (E) (28) 2/26/39 Sterling Overnight Index Average — Annually 3.778% — Annually 35,672
GBP 606,000 625 (E) 22,333 6/21/33 3.675% — Annually Sterling Overnight Index Average — Annually 21,710
NOK 14,817,000 9,343 (E) (13,473) 6/21/33 6 month NOK-NIBOR-NIBR — Semiannually 3.35% — Annually (4,130)
NZD 2,361,000 57,438 (E) (20,701) 6/21/33 3 month NZD-BBR-FRA — Quarterly 4.66% — Semiannually 36,736
SEK 65,747,000 160,344 (E) (16,276) 6/21/33 3.11% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (176,619)
Total $7,582,726 $11,450,354
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized depreciation
Morgan Stanley & Co. International PLC
$2,391,316 $2,118,718 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually $(218,217)
2,285,366 2,158,626 — 7/17/24 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly (120,277)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (338,494)
Total $— Total $(338,494)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/23 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BB/P $1,539 $15,451 $3,197 5/11/63 300 bp — Monthly $(1,650)
CMBX NA BBB-.6 Index BB/P 9,980 83,549 17,286 5/11/63 300 bp — Monthly (7,265)
CMBX NA BBB-.6 Index BB/P 16,545 153,365 31,731 5/11/63 300 bp — Monthly (15,110)
CMBX NA BBB-.6 Index BB/P 19,586 185,983 38,480 5/11/63 300 bp — Monthly (18,801)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A+/P 14,591 44,217 7,137 5/11/63 200 bp — Monthly 7,469
CMBX NA A.6 Index A+/P 17,760 49,215 7,943 5/11/63 200 bp — Monthly 9,833
CMBX NA A.6 Index A+/P 27,135 62,288 10,053 5/11/63 200 bp — Monthly 17,103
CMBX NA A.6 Index A+/P 28,714 71,515 11,543 5/11/63 200 bp — Monthly 17,195
CMBX NA A.6 Index A+/P 34,485 87,664 14,149 5/11/63 200 bp — Monthly 20,365
CMBX NA A.6 Index A+/P 63,321 137,648 22,216 5/11/63 200 bp — Monthly 41,151
CMBX NA A.6 Index A+/P 46,648 152,643 24,637 5/11/63 200 bp — Monthly 22,062
CMBX NA A.6 Index A+/P 71,820 166,100 26,809 5/11/63 200 bp — Monthly 45,067
CMBX NA BB.11 Index BB-/P 167,805 297,000 120,760 11/18/54 500 bp — Monthly 47,292
CMBX NA BB.12 Index BB-/P 11,025 21,000 8,957 8/17/61 500 bp — Monthly 2,086
CMBX NA BB.13 Index BB-/P 11,397 114,000 49,510 12/16/72 500 bp — Monthly (38,018)
CMBX NA BB.13 Index BB-/P 35,081 385,000 167,206 12/16/72 500 bp — Monthly (131,804)
CMBX NA BB.13 Index BB-/P 119,284 461,000 200,212 12/16/27 500 bp — Monthly (80,544)
CMBX NA BB.13 Index BB-/P 54,265 575,000 249,723 12/16/72 500 bp — Monthly (194,979)
CMBX NA BB.13 Index BB-/P 102,570 1,125,000 488,588 12/16/72 500 bp — Monthly (385,080)
CMBX NA BB.14 Index BB/P 22,476 205,000 87,105 12/16/72 500 bp — Monthly (64,457)
CMBX NA BB.6 Index B+/P 244,400 411,489 171,262 5/11/63 500 bp — Monthly 73,481
CMBX NA BB.6 Index B+/P 336,680 1,583,221 658,936 5/11/63 500 bp — Monthly (320,937)
CMBX NA BB.7 Index B-/P 136,056 2,666,000 1,104,257 1/17/47 500 bp — Monthly (968,971)
CMBX NA BB.9 Index B/P 8,348 41,000 17,179 9/17/58 500 bp — Monthly (8,797)
CMBX NA BB.9 Index B/P 65,555 321,000 134,499 9/17/58 500 bp — Monthly (68,676)
CMBX NA BBB-.10 Index BB+/P 26,678 215,000 62,157 11/17/59 300 bp — Monthly (35,371)
CMBX NA BBB-.10 Index BB+/P 42,328 388,000 112,171 11/17/59 300 bp — Monthly (69,649)
CMBX NA BBB-.11 Index BBB-/P 7,704 123,000 31,328 11/18/54 300 bp — Monthly (23,562)
CMBX NA BBB-.14 Index BBB-/P 585 18,000 4,804 12/16/72 300 bp — Monthly (4,210)
CMBX NA BBB-.14 Index BBB-/P 2,029 41,000 10,943 12/16/72 300 bp — Monthly (8,894)
CMBX NA BBB-.15 Index BBB-/P 24,573 92,000 24,555 11/18/64 300 bp — Monthly 64
CMBX NA BBB-.16 Index BBB-/P 80,697 355,000 94,324 4/17/65 300 bp — Monthly (13,449)
Credit Suisse International
CMBX NA BB.7 Index B-/P 63,938 478,000 197,988 1/17/47 500 bp — Monthly (133,652)
CMBX NA BBB-.7 Index BB-/P 27,745 351,000 71,393 1/17/47 300 bp — Monthly (43,473)
CMBX NA BBB-.7 Index BB-/P 138,664 1,876,000 381,578 1/17/47 300 bp — Monthly (241,976)
CMBX NA BBB-.7 Index BB-/P 143,170 2,180,000 443,412 1/17/47 300 bp — Monthly (299,152)
Goldman Sachs International
CMBX NA BB.6 Index B+/P 109,860 217,212 90,404 5/11/63 500 bp — Monthly 19,637
CMBX NA BB.6 Index B+/P 249,681 511,326 212,814 5/11/63 500 bp — Monthly 37,294
CMBX NA BB.9 Index B/P 10,109 25,000 10,475 9/17/58 500 bp — Monthly (345)
CMBX NA BBB-.13 Index BBB-/P 11,283 72,000 21,146 12/16/72 300 bp — Monthly (9,827)
CMBX NA BBB-.13 Index BBB-/P 4,765 80,000 23,496 12/16/72 300 bp — Monthly (18,691)
CMBX NA BBB-.13 Index BBB-/P 5,531 88,000 25,846 12/16/72 300 bp — Monthly (20,271)
CMBX NA BBB-.13 Index BBB-/P 7,097 120,000 35,244 12/16/72 300 bp — Monthly (28,087)
CMBX NA BBB-.13 Index BBB-/P 14,269 222,000 65,201 12/16/72 300 bp — Monthly (50,821)
CMBX NA BBB-.13 Index BBB-/P 14,538 316,000 92,809 12/16/72 300 bp — Monthly (78,113)
CMBX NA BBB-.14 Index BBB-/P 28,258 186,000 49,643 12/16/72 300 bp — Monthly (21,292)
CMBX NA BBB-.15 Index BBB-/P 1,305 21,000 5,605 11/18/64 300 bp — Monthly (4,290)
CMBX NA BBB-.15 Index BBB-/P 17,747 192,000 51,245 11/18/64 300 bp — Monthly (33,402)
CMBX NA BBB-.15 Index BBB-/P 17,096 192,000 51,245 11/18/64 300 bp — Monthly (34,053)
CMBX NA BBB-.16 Index BBB-/P 58,722 244,000 64,831 4/17/65 300 bp — Monthly (5,987)
CMBX NA BBB-.16 Index BBB-/P 70,200 270,000 71,739 4/17/65 300 bp — Monthly (1,404)
CMBX NA BBB-.7 Index BB-/P 54,254 734,000 149,296 1/17/47 300 bp — Monthly (94,675)
JPMorgan Securities LLC
CMBX NA BB.10 Index B/P 17,251 215,000 95,396 5/11/63 500 bp — Monthly (77,965)
CMBX NA BB.6 Index B+/P 10,811 14,166 5,896 5/11/63 500 bp — Monthly 4,927
CMBX NA BBB-.13 Index BBB-/P 34,234 259,000 76,068 12/16/72 300 bp — Monthly (41,704)
CMBX NA BBB-.8 Index BB-/P 37,581 241,000 48,586 10/17/57 300 bp — Monthly (10,884)
Merrill Lynch International
CMBX NA A.13 Index A-/P 52,396 402,000 49,969 12/16/72 200 bp — Monthly 2,561
CMBX NA A.13 Index A-/P 53,512 402,000 49,969 12/16/72 200 bp — Monthly 3,678
CMBX NA BB.6 Index B+/P 28,625 172,690 71,874 5/11/63 500 bp — Monthly (43,104)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 4,192 46,000 19,978 12/16/72 500 bp — Monthly (15,748)
CMBX NA BB.13 Index BB-/P 10,544 110,000 47,773 12/16/72 500 bp — Monthly (37,137)
CMBX NA BB.13 Index BB-/P 12,184 131,000 56,893 12/16/72 500 bp — Monthly (44,600)
CMBX NA BB.13 Index BB-/P 18,751 203,000 88,163 12/16/72 500 bp — Monthly (69,243)
CMBX NA BB.13 Index BB-/P 41,316 450,000 195,435 12/16/72 500 bp — Monthly (153,744)
CMBX NA BB.6 Index B+/P 120,960 194,277 80,858 5/11/63 500 bp — Monthly 40,264
CMBX NA BB.6 Index B+/P 261,415 415,536 172,946 5/11/63 500 bp — Monthly 88,815
CMBX NA BB.6 Index B+/P 224,145 446,567 185,861 5/11/63 500 bp — Monthly 38,656
CMBX NA BBB-.13 Index BBB-/P 118 2,000 587 12/16/72 300 bp — Monthly (468)
CMBX NA BBB-.13 Index BBB-/P 2,205 24,000 7,049 12/16/72 300 bp — Monthly (4,832)
CMBX NA BBB-.13 Index BBB-/P 3,083 33,000 9,692 12/16/72 300 bp — Monthly (6,593)
CMBX NA BBB-.13 Index BBB-/P 4,295 63,000 18,503 12/16/72 300 bp — Monthly (14,177)
CMBX NA BBB-.15 Index BBB-/P 44,303 281,000 74,999 11/18/64 300 bp — Monthly (30,555)
CMBX NA BBB-.15 Index BBB-/P 63,363 373,000 99,554 11/18/64 300 bp — Monthly (36,004)
CMBX NA BBB-.15 Index BBB-/P 169,525 671,000 179,090 11/18/64 300 bp — Monthly (9,229)
CMBX NA BBB-.16 Index BBB-/P 59,102 260,000 69,082 4/17/65 300 bp — Monthly (9,850)
CMBX NA BBB-.9 Index BB+/P 2,330 24,000 5,438 9/17/58 300 bp — Monthly (3,096)
Upfront premium received 4,176,133 Unrealized appreciation 539,000
Upfront premium (paid) — Unrealized (depreciation) (4,188,668)
Total $4,176,133 Total $(3,649,668)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at April 30, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/23 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(201,802) $837,000 $371,377 11/17/59 (500 bp) — Monthly $168,878
CMBX NA BB.10 Index (136,680) 536,000 237,823 11/17/59 (500 bp) — Monthly 100,697
CMBX NA BB.10 Index (30,474) 292,000 129,560 11/17/59 (500 bp) — Monthly 98,843
CMBX NA BB.10 Index (26,425) 241,000 106,932 11/17/59 (500 bp) — Monthly 80,306
CMBX NA BB.11 Index (25,912) 200,000 81,320 11/18/54 (500 bp) — Monthly 55,241
CMBX NA BB.11 Index (3,683) 71,000 28,869 11/18/54 (500 bp) — Monthly 25,126
CMBX NA BB.11 Index (2,451) 26,000 10,572 11/18/54 (500 bp) — Monthly 8,099
CMBX NA BB.8 Index (84,415) 236,759 110,212 10/17/57 (500 bp) — Monthly 25,599
CMBX NA BB.8 Index (17,507) 136,257 63,428 10/17/57 (500 bp) — Monthly 45,807
CMBX NA BBB-.10 Index (117,433) 683,000 197,455 11/17/59 (300 bp) — Monthly 79,681
CMBX NA BBB-.10 Index (112,583) 485,000 140,214 11/17/59 (300 bp) — Monthly 27,388
CMBX NA BBB-.10 Index (44,315) 349,000 100,896 11/17/59 (300 bp) — Monthly 56,406
CMBX NA BBB-.10 Index (53,699) 246,000 71,119 11/17/59 (300 bp) — Monthly 17,296
CMBX NA BBB-.10 Index (46,791) 215,000 62,157 11/17/59 (300 bp) — Monthly 15,258
CMBX NA BBB-.10 Index (33,162) 139,000 40,185 11/17/59 (300 bp) — Monthly 6,954
CMBX NA BBB-.10 Index (12,748) 100,000 28,910 11/17/59 (300 bp) — Monthly 16,112
CMBX NA BBB-.10 Index (9,561) 75,000 21,683 11/17/59 (300 bp) — Monthly 12,084
CMBX NA BBB-.10 Index (8,564) 70,000 20,237 11/17/59 (300 bp) — Monthly 11,638
CMBX NA BBB-.12 Index (32,563) 473,000 137,785 8/17/61 (300 bp) — Monthly 104,985
CMBX NA BBB-.12 Index (139,005) 416,000 121,181 8/17/61 (300 bp) — Monthly (18,032)
CMBX NA BBB-.12 Index (143,904) 414,000 120,598 8/17/61 (300 bp) — Monthly (23,512)
CMBX NA BBB-.12 Index (97,719) 278,000 80,981 8/17/61 (300 bp) — Monthly (16,877)
CMBX NA BBB-.12 Index (35,165) 207,000 60,299 8/17/61 (300 bp) — Monthly 25,031
CMBX NA BBB-.12 Index (29,000) 165,000 48,065 8/17/61 (300 bp) — Monthly 18,982
CMBX NA BBB-.13 Index (12,165) 208,000 61,090 12/16/72 (300 bp) — Monthly 48,821
CMBX NA BBB-.13 Index (4,939) 97,000 28,489 12/16/72 (300 bp) — Monthly 23,501
CMBX NA BBB-.13 Index (3,833) 70,000 20,559 12/16/72 (300 bp) — Monthly 16,691
CMBX NA BBB-.13 Index (2,622) 52,000 15,272 12/16/72 (300 bp) — Monthly 12,624
CMBX NA BBB-.6 Index (143,487) 438,349 90,694 5/11/63 (300 bp) — Monthly (53,012)
CMBX NA BBB-.8 Index (44,550) 297,000 59,875 10/17/57 (300 bp) — Monthly 15,177
CMBX NA BBB-.8 Index (13,043) 94,000 18,950 10/17/57 (300 bp) — Monthly 5,861
CMBX NA BBB-.8 Index (9,851) 71,000 14,314 10/17/57 (300 bp) — Monthly 4,427
CMBX NA BBB-.9 Index (12,539) 53,000 12,010 9/17/58 (300 bp) — Monthly (556)
Credit Suisse International
CMBX NA BB.10 Index (80,855) 606,000 268,882 11/17/59 (500 bp) — Monthly 187,522
CMBX NA BB.10 Index (71,945) 605,000 268,439 11/17/59 (500 bp) — Monthly 195,989
CMBX NA BB.10 Index (39,651) 319,000 141,540 11/17/59 (500 bp) — Monthly 101,623
CMBX NA BB.7 Index (54,048) 293,000 121,361 1/17/47 (500 bp) — Monthly 67,068
CMBX NA BB.7 Index (4,130) 157,850 65,697 5/11/63 (500 bp) — Monthly 61,435
Goldman Sachs International
CMBX NA A.6 Index (23,158) 90,740 14,645 5/11/63 (200 bp) — Monthly (8,542)
CMBX NA A.6 Index (23,473) 88,049 14,211 5/11/63 (200 bp) — Monthly (9,291)
CMBX NA A.6 Index (9,474) 54,982 8,874 5/11/63 (200 bp) — Monthly (618)
CMBX NA A.6 Index (13,845) 54,598 8,812 5/11/63 (200 bp) — Monthly (5,051)
CMBX NA A.6 Index (12,756) 49,984 8,067 5/11/63 (200 bp) — Monthly (4,706)
CMBX NA A.6 Index (11,781) 44,601 7,199 5/11/63 (200 bp) — Monthly (4,598)
CMBX NA A.6 Index (9,258) 35,373 5,709 5/11/63 (200 bp) — Monthly (3,560)
CMBX NA A.6 Index (8,331) 33,066 5,337 5/11/63 (200 bp) — Monthly (3,005)
CMBX NA A.6 Index (7,459) 29,606 4,778 5/11/63 (200 bp) — Monthly (2,691)
CMBX NA A.6 Index (7,459) 29,606 4,778 5/11/63 (200 bp) — Monthly (2,691)
CMBX NA A.6 Index (7,308) 28,452 4,592 5/11/63 (200 bp) — Monthly (2,725)
CMBX NA A.6 Index (7,308) 28,452 4,592 5/11/63 (200 bp) — Monthly (2,725)
CMBX NA A.6 Index (3,913) 15,380 2,482 5/11/63 (200 bp) — Monthly (1,435)
CMBX NA A.6 Index (3,913) 15,380 2,482 5/11/63 (200 bp) — Monthly (1,435)
CMBX NA A.6 Index (2,484) 9,612 1,551 5/11/63 (200 bp) — Monthly (936)
CMBX NA A.6 Index (244) 1,153 186 5/11/63 (200 bp) — Monthly (58)
CMBX NA A.6 Index (174) 769 124 5/11/63 (200 bp) — Monthly (51)
CMBX NA A.6 Index (79) 384 62 5/11/63 (200 bp) — Monthly (17)
CMBX NA A.6 Index (86) 384 62 5/11/63 (200 bp) — Monthly (24)
CMBX NA A.6 Index (96) 384 62 5/11/63 (200 bp) — Monthly (34)
CMBX NA BB.6 Index (11,756) 64,084 26,672 5/11/63 (500 bp) — Monthly 14,862
CMBX NA BB.7 Index (35,063) 214,000 88,639 1/17/47 (500 bp) — Monthly 53,398
CMBX NA BB.7 Index (31,765) 174,000 72,071 1/17/47 (500 bp) — Monthly 40,161
CMBX NA BB.7 Index (26,028) 172,000 71,242 1/17/47 (500 bp) — Monthly 45,071
CMBX NA BB.8 Index (25,917) 69,578 32,389 10/17/57 (500 bp) — Monthly 6,414
CMBX NA BB.8 Index (13,320) 36,722 17,094 10/17/57 (500 bp) — Monthly 3,744
CMBX NA BB.8 Index (8,166) 23,193 10,796 10/17/57 (500 bp) — Monthly 2,610
CMBX NA BBB-.12 Index (19,885) 102,000 29,713 8/17/61 (300 bp) — Monthly 9,776
CMBX NA BBB-.12 Index (2,702) 8,000 2,330 8/17/61 (300 bp) — Monthly (375)
CMBX NA BBB-.13 Index (20,233) 267,000 78,418 12/16/72 (300 bp) — Monthly 58,052
JPMorgan Securities LLC
CMBX NA A.6 Index (19,224) 94,585 15,266 5/11/63 (200 bp) — Monthly (3,990)
CMBX NA BB.7 Index (1,004,773) 2,052,000 849,938 1/17/47 (500 bp) — Monthly (156,544)
CMBX NA BBB-.11 Index (18,504) 168,000 42,790 11/18/54 (300 bp) — Monthly 24,202
CMBX NA BBB-.7 Index (577,517) 2,460,000 500,364 1/17/47 (300 bp) — Monthly (78,383)
Merrill Lynch International
CMBX NA BB.10 Index (33,229) 584,000 259,121 11/17/59 (500 bp) — Monthly 225,405
CMBX NA BB.9 Index (78) 2,000 838 9/17/58 (500 bp) — Monthly 758
CMBX NA BBB-.7 Index (75,310) 919,000 186,925 1/17/47 (300 bp) — Monthly 111,155
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (13,065) 51,522 8,316 5/11/63 (200 bp) — Monthly (4,767)
CMBX NA A.6 Index (1,944) 7,690 1,241 5/11/63 (200 bp) — Monthly (705)
CMBX NA A.6 Index (581) 2,307 372 5/11/63 (200 bp) — Monthly (210)
CMBX NA A.6 Index (293) 1,153 186 5/11/63 (200 bp) — Monthly (107)
CMBX NA A.6 Index (191) 769 124 5/11/63 (200 bp) — Monthly (67)
CMBX NA A.6 Index (171) 769 124 5/11/63 (200 bp) — Monthly (47)
CMBX NA A.6 Index (193) 769 124 5/11/63 (200 bp) — Monthly (69)
CMBX NA A.6 Index (91) 384 62 5/11/63 (200 bp) — Monthly (29)
CMBX NA A.6 Index (84) 384 62 5/11/63 (200 bp) — Monthly (22)
CMBX NA BB.10 Index (108,971) 464,000 205,877 11/17/59 (500 bp) — Monthly 96,519
CMBX NA BB.10 Index (93,555) 308,000 136,660 11/17/59 (500 bp) — Monthly 42,848
CMBX NA BB.10 Index (20,975) 200,000 88,740 11/17/59 (500 bp) — Monthly 67,598
CMBX NA BB.12 Index (1,533) 21,000 8,957 8/17/61 (500 bp) — Monthly 7,406
CMBX NA BB.7 Index (53,896) 268,000 111,006 1/17/47 (500 bp) — Monthly 56,886
CMBX NA BB.7 Index (36,252) 188,000 77,870 1/17/47 (500 bp) — Monthly 41,461
CMBX NA BB.7 Index (10,105) 54,000 22,367 1/17/47 (500 bp) — Monthly 12,217
CMBX NA BB.7 Index (8,476) 42,000 17,396 1/17/47 (500 bp) — Monthly 8,885
CMBX NA BB.8 Index (9,059) 24,159 11,246 10/17/57 (500 bp) — Monthly 2,167
CMBX NA BB.9 Index (24,292) 161,000 67,459 9/17/58 (500 bp) — Monthly 43,033
CMBX NA BB.9 Index (5,715) 94,000 39,386 9/17/58 (500 bp) — Monthly 33,593
CMBX NA BB.9 Index (11,806) 78,000 32,682 9/17/58 (500 bp) — Monthly 20,811
CMBX NA BB.9 Index (5,724) 43,000 18,017 9/17/58 (500 bp) — Monthly 12,257
CMBX NA BB.9 Index (1,231) 9,000 3,771 9/17/58 (500 bp) — Monthly 2,533
CMBX NA BBB-.10 Index (39,851) 323,000 93,379 11/17/59 (300 bp) — Monthly 53,367
CMBX NA BBB-.10 Index (19,485) 225,000 65,048 11/17/59 (300 bp) — Monthly 45,450
CMBX NA BBB-.10 Index (27,596) 215,000 62,157 11/17/59 (300 bp) — Monthly 34,453
CMBX NA BBB-.10 Index (19,291) 161,000 46,545 11/17/59 (300 bp) — Monthly 27,174
CMBX NA BBB-.10 Index (17,629) 139,000 40,185 11/17/59 (300 bp) — Monthly 22,487
CMBX NA BBB-.10 Index (11,275) 52,000 15,033 11/17/59 (300 bp) — Monthly 3,732
CMBX NA BBB-.10 Index (6,985) 32,000 9,251 11/17/59 (300 bp) — Monthly 2,250
CMBX NA BBB-.12 Index (55) 1,000 291 8/17/61 (300 bp) — Monthly 235
CMBX NA BBB-.13 Index (22,433) 364,000 106,907 12/16/72 (300 bp) — Monthly 84,291
CMBX NA BBB-.7 Index (30,222) 476,000 96,818 1/17/47 (300 bp) — Monthly 66,359
CMBX NA BBB-.7 Index (34,235) 336,000 68,342 1/17/47 (300 bp) — Monthly 33,939
Upfront premium received — Unrealized appreciation 3,158,709
Upfront premium (paid) (4,656,548) Unrealized (depreciation) (411,497)
Total $(4,656,548) Total $2,747,212
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro
GBP British Pound
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
bp Basis Points
CME Chicago Mercantile Exchange
DAC Designated Activity Company
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
ICE Intercontinental Exchange
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
OTC Over-the-counter
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REMICs Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2022 through April 30, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $377,072,891.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
7/31/22		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
4/30/23
Short-term investments
Putnam Short Term Investment Fund* $42,452,304 $98,575,394 $93,733,897 $1,390,742 $47,293,801
Total Short-term investments $42,452,304 $98,575,394 $93,733,897 $1,390,742 $47,293,801
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,208,391.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $3,098,144.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 92.5%
Indonesia 0.8
Mexico 0.7
Cote d'lvoire 0.6
Dominican Republic 0.6
Other 4.8
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $8,551,143 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
At the close of the reporting period, the fund has deposited cash valued at $3,327,241 in segregated account to cover margin requirements on open centrally cleared swap contracts.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,213,778 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,098,144 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Utilities and power $— $24,234 $—
Total common stocks — 24,234 —
Asset-backed securities — 3,008,567 —
Convertible bonds and notes — 19,653,465 —
Corporate bonds and notes — 82,429,535 —
Foreign government and agency bonds and notes — 29,304,414 —
Mortgage-backed securities — 153,090,048 —
Senior loans — 9,429,354 —
U.S. government and agency mortgage obligations — 408,171,627 —
U.S. treasury obligations — 1,821,285 —
Short-term investments 2,213,000 77,787,291 —
Totals by level $2,213,000 $784,719,820 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(538,303) $—
Futures contracts (1,407,928) — —
Forward premium swap option contracts — 1,050,190 —
TBA sale commitments — (164,828,525) —
Interest rate swap contracts — 3,867,628 —
Total return swap contracts — (338,494) —
Credit default contracts — (422,041) —
Totals by level $(1,407,928) $(161,209,545) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased swap option contracts (contract amount) $1,320,400,000
Written swap option contracts (contract amount) $774,000,000
Futures contracts (number of contracts) 900
Forward currency contracts (contract amount) $57,200,000
Centrally cleared interest rate swap contracts (notional) $3,621,500,000
OTC total return swap contracts (notional) $4,700,000
OTC credit default contracts (notional) $55,300,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com