NPORT-EX 1 b_073nportex.htm PUTNAM PREMIER INCOME TRUST

Putnam Premier Income Trust
The fund's portfolio
4/30/19 (Unaudited)



U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (80.1%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.9%)
Government National Mortgage Association Pass-Through Certificates
5.00%, 4/20/49(FWC) $250,000 $261,067
4.50%, TBA, 5/1/49 17,000,000 17,629,530
4.00%, TBA, 5/1/49 9,000,000 9,267,188
27,157,785
U.S. Government Agency Mortgage Obligations (75.2%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3.00%, 4/1/30(i) 849,694 856,823
Federal National Mortgage Association Pass-Through Certificates
4.00%, TBA, 6/1/49 64,000,000 65,632,499
3.50%, TBA, 6/1/49 99,000,000 99,819,839
Federal National Mortgage Association Pass-Through Certificates
5.50%, TBA, 5/1/49 5,000,000 5,338,281
4.50%, TBA, 5/1/49 8,000,000 8,323,125
4.00%, TBA, 5/1/49 64,000,000 65,675,002
3.50%, TBA, 5/1/49 99,000,000 99,889,456
3.00%, TBA, 5/1/49 43,000,000 42,492,733
2.50%, TBA, 5/1/49 31,000,000 29,818,125
417,845,883
Total U.S. government and agency mortgage obligations (cost $445,127,215) $445,003,668









U.S. TREASURY OBLIGATIONS (0.1%)(a)
        Principal amount Value
U.S. Treasury Bonds 2.50%, 2/15/46(i) $89,000 $82,320
U.S. Treasury Notes
3.125%, 5/15/19(i) 128,000 129,877
2.00%, 9/30/20(i) 216,000 215,352
1.75%, 9/30/19(i) 111,000 110,837
1.625%, 2/15/26(i) 131,000 125,147
Total U.S. treasury obligations (cost $663,533) $663,533









MORTGAGE-BACKED SECURITIES (44.0%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (22.1%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 15.844%, 4/15/37 $70,421 $104,639
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 14.73%, 11/15/35 148,724 215,368
Ser. 4813, IO, 5.50%, 8/15/48 5,597,788 1,208,392
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 4,296,448 786,680
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 2,264,805 438,344
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 1,268,244 219,939
Ser. 4024, Class PI, IO, 4.50%, 12/15/41 2,016,475 326,012
IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.177%, 4/15/40 4,374,321 482,706
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 4,406,010 787,574
Ser. 4425, IO, 4.00%, 1/15/45 5,477,902 1,012,535
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 4,660,842 1,132,771
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 3,360,952 439,749
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 4,027,248 283,157
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.627%, 4/15/47 2,425,349 506,437
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 11,766,247 1,740,581
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 7,519,321 1,203,182
Ser. 4560, Class PI, IO, 3.50%, 5/15/45 2,786,206 424,896
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 5,033,217 741,242
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 1,946,297 175,324
Ser. 304, Class C37, IO, 3.50%, 12/15/27 1,891,737 149,616
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 8,600,322 729,092
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 3,900,869 301,147
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 2,283,684 116,240
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 6,895,146 515,329
FRB Ser. 57, Class 1AX, IO, 0.373%, 7/25/43(WAC) 2,426,501 24,265
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 1,951 1,493
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 25.04%, 7/25/36 102,745 171,317
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 15.119%, 6/25/37 122,203 174,469
IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 14.202%, 2/25/38 90,710 113,824
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 12.82%, 8/25/35 79,905 101,127
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 10.955%, 11/25/34 116,603 132,450
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.477%, 7/25/25 794,081 873,177
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 4,521,404 1,072,955
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 4,544,437 939,108
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 2,552,432 125,222
Ser. 15-30, IO, 5.50%, 5/25/45 7,469,310 1,586,631
Ser. 374, Class 6, IO, 5.50%, 8/25/36 199,955 38,835
Ser. 378, Class 19, IO, 5.00%, 6/25/35 618,269 114,612
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 900,921 205,009
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 5,475,117 578,172
Ser. 366, Class 22, IO, 4.50%, 10/25/35 17,726 370
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 3,774,379 698,260
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 3,143,280 434,338
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 3,642,654 583,412
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 8,597,990 1,683,309
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 2,554,317 369,278
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 2,046,951 280,064
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 2,029,975 313,225
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 3.973%, 4/25/42 2,500,046 399,497
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 3.923%, 4/25/40 1,758,452 312,125
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.673%, 10/25/41 1,834,496 150,319
IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.623%, 12/25/46 6,850,251 1,018,975
IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.623%, 5/25/39 22,507,194 3,404,573
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 5,178,205 702,579
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.473%, 2/25/43 4,558,065 871,730
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 3.423%, 10/25/41 5,493,976 748,554
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 2,986,653 162,659
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 3,126,573 189,839
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 2,959,863 249,123
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 2,608,654 116,268
Ser. 99-51, Class N, PO, zero %, 9/17/29 12,279 11,205
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 1,646,641 34,909
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 2,125,649 461,415
Ser. 16-42, IO, 5.00%, 2/20/46 5,584,519 1,155,401
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 9,162,692 1,245,393
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 8,926,301 1,952,093
Ser. 14-76, IO, 5.00%, 5/20/44 2,173,989 457,313
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,693,937 370,295
Ser. 12-146, IO, 5.00%, 12/20/42 1,506,343 332,872
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 2,249,475 488,102
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,586,013 349,414
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 7,120,684 1,555,157
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 3,631,731 794,005
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 7,310,197 1,550,930
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 1,352,402 289,636
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 5,667,375 1,085,926
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 2,865,013 544,352
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 6,778,431 961,724
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 4,741,870 564,852
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 2,080,653 445,884
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 3,096,766 642,579
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 4,054,135 632,972
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 3,069,485 630,924
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 673,534 90,792
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 2,784,794 547,900
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 3,189,884 643,432
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 5,057,609 1,012,685
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 2,806,022 569,314
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 3,199,503 652,161
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,947,774 384,101
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,637,265 370,104
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 3,621,985 484,441
Ser. 16-29, IO, 4.00%, 2/16/46 2,661,457 512,330
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 7,038,120 1,240,750
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 4,166,148 839,479
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 4,674,698 850,216
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 4,405,465 679,411
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 12,292,564 2,107,683
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 9,332,664 1,166,583
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,543,667 286,738
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 6,831,566 886,122
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,550,328 281,214
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,337,255 257,623
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 3,467,766 652,540
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.669%, 9/20/43 1,208,020 195,506
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 4,300,258 640,351
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 2,944,034 325,581
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 3,581,046 479,860
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 7,448,444 1,128,216
Ser. 15-111, Class IJ, IO, 3.50%, 8/20/45 4,938,550 742,343
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 7,478,572 1,234,579
Ser. 13-76, IO, 3.50%, 5/20/43 5,650,894 962,178
Ser. 13-28, IO, 3.50%, 2/20/43 1,739,367 282,334
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 2,704,059 431,595
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 3,991,475 631,771
Ser. 13-14, IO, 3.50%, 12/20/42 8,852,289 1,139,024
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 2,729,721 424,717
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 3,564,839 636,530
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 4,475,208 788,780
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 5,238,977 938,917
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 2,023,367 365,298
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 5,614,439 613,995
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 5,848,452 636,312
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 4,020,612 334,607
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 9,417,534 807,554
IFB Ser. 10-90, Class ES, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.469%, 7/20/40 11,916,847 1,765,088
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.119%, 8/20/44 5,183,273 719,179
Ser. 18-H05, Class AI, IO, 2.415%, 2/20/68(WAC) 6,217,822 833,577
Ser. 18-H02, Class EI, IO, 2.404%, 1/20/68(WAC) 15,290,897 2,026,044
Ser. 18-H03, Class XI, IO, 2.379%, 2/20/68(WAC) 10,524,038 1,366,020
Ser. 17-H06, Class BI, IO, 2.354%, 2/20/67(WAC) 10,624,193 1,200,534
Ser. 18-H05, Class BI, IO, 2.353%, 2/20/68(WAC) 10,887,124 1,445,946
Ser. 17-H16, Class FI, IO, 2.344%, 8/20/67(WAC) 7,766,636 902,871
Ser. 17-H02, Class BI, IO, 2.341%, 1/20/67(WAC) 6,583,522 783,637
Ser. 17-H16, Class JI, IO, 2.314%, 8/20/67(WAC) 20,591,231 2,857,033
Ser. 17-H12, Class QI, IO, 2.314%, 5/20/67(WAC) 9,410,514 1,068,244
Ser. 16-H22, Class AI, IO, 2.298%, 10/20/66(WAC) 10,372,845 1,120,060
Ser. 18-H15, Class KI, IO, 2.254%, 8/20/68(WAC) 9,195,467 1,241,388
Ser. 16-H23, Class NI, IO, 2.232%, 10/20/66(WAC) 28,499,597 3,129,256
Ser. 17-H08, Class NI, IO, 2.222%, 3/20/67(WAC) 13,905,134 1,510,098
Ser. 16-H16, Class EI, IO, 2.213%, 6/20/66(WAC) 7,674,546 811,967
Ser. 16-H03, Class AI, IO, 2.10%, 1/20/66(WAC) 8,458,580 782,419
Ser. 16-H18, Class QI, IO, 2.066%, 6/20/66(WAC) 7,159,379 811,874
Ser. 17-H19, Class MI, IO, 2.042%, 4/20/67(WAC) 5,234,918 582,646
Ser. 16-H03, Class DI, IO, 2.004%, 12/20/65(WAC) 8,917,281 791,409
Ser. 15-H20, Class CI, IO, 1.958%, 8/20/65(WAC) 9,497,436 939,353
Ser. 17-H09, IO, 1.937%, 4/20/67(WAC) 12,707,417 1,212,605
Ser. 16-H17, Class KI, IO, 1.923%, 7/20/66(WAC) 5,175,059 549,850
Ser. 15-H15, Class BI, IO, 1.906%, 6/20/65(WAC) 5,547,478 513,286
Ser. 17-H11, Class DI, IO, 1.88%, 5/20/67(WAC) 9,688,134 1,089,915
Ser. 16-H02, Class HI, IO, 1.868%, 1/20/66(WAC) 11,169,709 887,992
Ser. 15-H24, Class AI, IO, 1.868%, 9/20/65(WAC) 8,441,237 769,292
Ser. 15-H25, Class EI, IO, 1.848%, 10/20/65(WAC) 7,557,645 649,202
Ser. 15-H20, Class AI, IO, 1.828%, 8/20/65(WAC) 8,217,311 712,441
FRB Ser. 15-H08, Class CI, IO, 1.782%, 3/20/65(WAC) 6,438,257 524,428
Ser. 17-H16, Class IH, IO, 1.775%, 7/20/67(WAC) 14,254,510 1,291,644
Ser. 15-H10, Class BI, IO, 1.756%, 4/20/65(WAC) 6,323,068 559,465
Ser. 16-H09, Class BI, IO, 1.741%, 4/20/66(WAC) 11,196,429 1,099,176
Ser. 16-H10, Class AI, IO, 1.732%, 4/20/66(WAC) 18,618,947 1,258,846
Ser. 15-H23, Class BI, IO, 1.726%, 9/20/65(WAC) 9,450,042 756,003
Ser. 17-H16, Class IG, IO, 1.688%, 7/20/67(WAC) 18,640,322 1,770,831
Ser. 16-H24, Class CI, IO, 1.684%, 10/20/66(WAC) 6,826,466 546,213
Ser. 16-H14, IO, 1.672%, 6/20/66(WAC) 8,070,596 520,723
Ser. 13-H08, Class CI, IO, 1.666%, 2/20/63(WAC) 11,301,534 605,762
Ser. 16-H06, Class DI, IO, 1.639%, 7/20/65 13,161,982 984,727
Ser. 16-H06, Class CI, IO, 1.589%, 2/20/66(WAC) 11,885,285 761,728
Ser. 14-H21, Class BI, IO, 1.537%, 10/20/64(WAC) 10,746,984 728,646
Ser. 15-H26, Class CI, IO, 0.621%, 8/20/65(WAC) 21,275,284 223,390
Ser. 06-36, Class OD, PO, zero %, 7/16/36 3,888 3,241
122,503,184
Commercial mortgage-backed securities (8.5%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 24,982,098 250
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 1,339,000 1,191,710
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 1,026,000 1,027,775
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 1,100,844 1,105,027
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 07-T28, Class D, 5.718%, 9/11/42(WAC) 828,000 467,801
FRB Ser. 06-PW11, Class B, 5.283%, 3/11/39(WAC) 1,069,875 759,451
FRB Ser. 06-PW11, Class C, 5.283%, 3/11/39 (In default)(NON)(WAC) 798,804 100,865
FRB Ser. 06-PW14, Class XW, IO, 0.503%, 12/11/38(WAC) 1,117,957 6,766
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 3,632,777 36
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.948%, 12/15/47(WAC) 1,068,000 1,062,942
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,117,586
COMM Mortgage Trust 144A
FRB Ser. 12-CR3, Class E, 4.911%, 10/15/45(WAC) 613,000 541,733
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 1,345,467
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 1.089%, 12/15/39(WAC) 2,253,891 10,907
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 6.322%, 9/15/39(WAC) 26,697 26,697
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 259,165 263,093
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.937%, 4/15/50(WAC) 1,776,000 1,631,380
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.59%, 7/10/39(WAC) 875,288 263
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.663%, 9/10/47(WAC) 2,730,000 2,393,428
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.978%, 2/15/47(WAC) 2,670,000 2,483,036
FRB Ser. 13-C14, Class E, 4.713%, 8/15/46(WAC) 1,277,000 1,082,924
FRB Ser. C14, Class D, 4.713%, 8/15/46(WAC) 1,335,000 1,245,667
FRB Ser. 14-C18, Class E, 4.478%, 2/15/47(WAC) 914,000 705,701
FRB Ser. 14-C25, Class D, 4.092%, 11/15/47(WAC) 3,086,000 2,664,283
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,210,663
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.307%, 4/15/46(WAC) 948,000 826,892
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.389%, 2/12/51(WAC) 757,000 755,108
FRB Ser. 11-C3, Class F, 5.849%, 2/15/46(WAC) 1,113,000 1,102,943
FRB Ser. 12-C6, Class E, 5.32%, 5/15/45(WAC) 1,115,000 1,025,295
FRB Ser. 12-C8, Class E, 4.806%, 10/15/45(WAC) 273,000 265,365
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,807,000 1,466,473
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 4,996,264 50
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.273%, 4/20/48(WAC) 977,000 896,163
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.169%, 12/15/49(WAC) 473,964 571
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 1,233,626 1,164,420
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.502%, 8/15/46(WAC) 1,900,000 997,500
FRB Ser. 13-C10, Class E, 4.219%, 7/15/46(WAC) 2,860,000 2,429,330
FRB Ser. 13-C10, Class F, 4.219%, 7/15/46(WAC) 1,164,000 978,705
Ser. 14-C15, Class F, 4.00%, 4/15/47 520,000 432,926
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 773,043
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 995,834 273,516
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,600,000 1,512,423
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.288%, 1/11/43(WAC) 467,420 471,721
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/20 (Cayman Islands) (In default)(NON)(WAC) 376,000 38
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 1,081,996 73,576
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 1,476,000 1,037,008
Wachovia Bank Commercial Mortgage Trust FRB Ser. 07-C34, IO, 0.123%, 5/15/46(WAC) 4,219,349 114
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 1,500,000 1,093,245
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.421%, 7/15/46(WAC) 456,000 412,247
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 1,828,931
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 1,945,766
FRB Ser. 12-C9, Class E, 4.939%, 11/15/45(WAC) 787,000 699,043
FRB Ser. 12-C10, Class D, 4.589%, 12/15/45(WAC) 1,141,000 1,015,490
Ser. 13-C12, Class E, 3.50%, 3/15/48 412,000 337,891
47,261,244
Residential mortgage-backed securities (non-agency) (13.4%)
Bear Stearns Alt-A Trust
FRB Ser. 04-3, Class B, (1 Month US LIBOR + 2.93%), 5.402%, 4/25/34 469,086 512,534
FRB Ser. 05-7, Class 21A1, 4.437%, 9/25/35(WAC) 405,027 380,442
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.657%, 11/25/47 507,273 434,572
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AR5, Class 1A1A, 4.734%, 4/25/37(WAC) 394,157 396,132
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.827%, 3/25/37 2,606,963 2,240,354
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 3.405%, 8/25/46 477,829 444,387
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 3.385%, 6/25/46 820,862 744,734
FRB Ser. 06-OA7, Class 1A1, 3.026%, 6/25/46(WAC) 1,398,558 1,222,200
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.827%, 9/25/35 924,743 879,733
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.817%, 2/25/37 844,548 475,895
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.811%, 11/20/35 2,276,662 2,179,539
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 2.687%, 4/25/47 881,371 782,594
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.19%), 2.667%, 8/25/46 735,829 658,567
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.667%, 8/25/46 1,003,286 912,990
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.667%, 8/25/46 4,914,004 4,236,608
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, Class A2, (1 Month US LIBOR + 0.19%), 2.667%, 12/25/36 949,047 563,563
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.977%, 5/25/28 829,902 1,102,502
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 12.477%, 7/25/28 2,024,523 2,615,573
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.827%, 4/25/28 1,299,663 1,704,233
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 10.027%, 12/25/27 1,040,944 1,214,418
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 7.427%, 7/25/29 570,000 642,702
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 6.327%, 3/25/29 640,000 705,625
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.777%, 9/25/30 2,843,000 2,863,470
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Debt FRN Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 6.177%, 12/25/30 1,500,000 1,516,525
Structured Agency Credit Risk Trust FRN Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 5.127%, 1/25/49 500,000 515,169
Structured Agency Credit Risk Debt FRN Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 4.927%, 3/25/49 726,000 738,457
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.727%, 9/25/28 2,312,789 3,302,712
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 14.227%, 10/25/28 1,298,523 1,823,730
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 14.227%, 8/25/28 1,205,306 1,643,682
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 13.227%, 1/25/29 269,474 338,392
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 8.377%, 10/25/28 4,003,915 4,524,774
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 8.177%, 4/25/28 3,806,144 4,323,904
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 8.027%, 4/25/28 543,481 605,166
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.977%, 9/25/29 1,659,000 1,898,327
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 7.477%, 7/25/25 3,377,017 3,759,541
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 7.327%, 10/25/29 2,230,000 2,499,341
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.727%, 4/25/29 167,000 184,702
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.477%, 5/25/25 69,789 75,083
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 6.127%, 9/25/29 500,000 538,326
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 6.077%, 1/25/30 314,000 324,461
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 6.027%, 7/25/30 1,972,000 1,992,377
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 6.027%, 7/25/29 370,000 396,988
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 5.277%, 2/25/30 310,000 320,074
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 5.027%, 12/25/30 650,000 659,810
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 4.577%, 3/25/31 251,000 250,025
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 6.577%, 9/25/31 578,000 590,888
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.927%, 7/25/31 277,000 282,140
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (1 Month US LIBOR + 2.30%), 4.777%, 8/25/31 710,000 722,544
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.787%, 5/25/37 1,038,592 759,790
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 3.007%, 5/19/35 575,797 365,389
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.677%, 6/25/37 917,219 541,159
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 730,000 711,166
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 3.894%, 2/26/37 898,088 778,962
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 3.272%, 8/25/35 284,291 272,887
Oaktown Re, Ltd. 144A
FRB Ser. 17-1A, Class B1, (1 Month US LIBOR + 6.00%), 8.227%, 4/25/27 (Bermuda) 550,000 588,500
FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 5.327%, 7/25/28 (Bermuda) 2,230,000 2,237,666
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 5.177%, 3/25/28 (Bermuda) 620,000 623,100
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.687%, 8/25/36 1,047,265 937,302
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 2.657%, 1/25/37 1,206,254 1,117,125
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR14, Class 1A2, 4.195%, 12/25/35(WAC) 379,241 380,277
FRB Ser. 05-AR10, Class 1A3, 4.116%, 9/25/35(WAC) 912,711 922,223
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.967%, 10/25/45 768,500 767,298
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.877%, 12/25/45 671,165 665,158
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%), 2.827%, 12/25/45 455,954 443,011
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR5, Class 1A1, 5.202%, 4/25/36(WAC) 338,420 341,804
FRB Ser. 06-AR2, Class 1A1, 4.908%, 3/25/36(WAC) 332,016 331,641
74,524,963
Total mortgage-backed securities (cost $243,483,193) $244,289,391









CORPORATE BONDS AND NOTES (23.8%)(a)
        Principal amount Value
Basic materials (2.7%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $429,000 $464,228
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 85,000 86,700
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 720,000 722,916
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 242,000 251,680
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 212,000 203,986
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 498,000 530,131
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 402,000 403,005
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 547,000 547,000
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 336,000 336,840
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 275,000 273,116
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 485,000 499,744
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) 200,000 205,500
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 122,000 121,695
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 136,000 143,820
Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes 5.75%, 3/1/25 101,000 100,515
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 586,000 551,573
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) 295,000 276,194
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 333,000 351,315
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 151,000 136,278
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 714,000 724,053
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 321,000 330,630
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 368,000 358,800
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 194,750
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 141,000 149,460
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 283,000 285,123
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 106,000 109,975
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 214,000 220,420
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 160,000 158,000
Mercer International, Inc. 144A sr. unsec. notes 7.375%, 1/15/25 (Canada) 65,000 68,616
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 297,000 276,953
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 1,015,000 1,058,138
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 365,000 363,175
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 403,000 458,413
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 132,000 135,960
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 47,000 46,648
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 110,000 113,575
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 45,000 45,731
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 575,000 588,201
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 4.892%, 4/24/25 (Switzerland) 325,000 334,699
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 63,000 63,154
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 354,000 356,655
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 125,000 122,031
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 324,000 332,910
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 271,000 275,699
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 379,000 382,790
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 218,000 220,725
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 270,000 289,575
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 489,000 516,506
14,787,601
Capital goods (1.5%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 757,000 741,716
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 240,000 243,300
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 154,000 156,310
Berry Global, Inc. 144A notes 4.50%, 2/15/26 85,000 82,450
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 110,000 121,550
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 369,000 380,993
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 315,000 320,119
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 388,640
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 343,000 343,858
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 408,000 430,950
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 233,000 226,593
Nordex SE sr. unsec. notes Ser. REGS, 6.50%, 2/1/23 (Germany) EUR 200,000 223,519
Novafives SAS sr. notes Ser. REGS, 5.00%, 6/15/25 (France) EUR 200,000 210,253
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $215,000 221,988
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 268,000 279,055
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 250,000 258,500
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 675,000 675,817
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 180,000 186,300
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 585,000 586,097
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 695,000 731,488
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 230,000 236,325
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 361,000 361,903
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 867,000 902,764
8,310,488
Communication services (2.5%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 400,000 410,000
Altice France SA 144A sr. bonds 6.25%, 5/15/24 (France) 450,000 459,000
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 200,000 221,236
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $800,000 812,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 655,000 675,960
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 203,000 211,881
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 112,000 116,984
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 815,000 835,375
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 710,000 721,112
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 44,000 41,140
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 270,000 274,725
CSC Holdings, LLC 144A sr. unsec. unsub. notes 7.50%, 4/1/28 200,000 218,250
CSC Holdings, LLC 144A sr. unsec. unsub. notes 5.125%, 12/15/21 666,000 667,665
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 314,000 270,825
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 372,000 393,799
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 85,000 89,781
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 180,000 169,650
Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 230,000 213,325
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 15,000 15,656
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 408,000 412,080
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 598,000 607,160
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 91,960
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 278,000 266,185
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 238,000 246,925
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 929,000 967,739
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 465,000 487,088
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 181,250 180,797
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 505,000 525,054
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 291,000 299,366
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 74,000 77,798
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 100,000 101,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 295,000 297,581
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 125,000 125,520
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 639,000 799,648
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $662,000 686,825
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 170,000 173,825
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 134,192
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 337,433
Ziggo BV 144A company guaranty sr. notes 5.50%, 1/15/27 (Netherlands) $150,000 149,625
13,786,165
Consumer cyclicals (4.1%)
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 85,000 87,550
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 198,000 205,673
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 350,000 363,563
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 94,000 95,833
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 165,000 167,475
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 420,000 424,343
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 280,000 285,950
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 465,000 454,538
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 50,000 51,875
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 163,000 170,335
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 250,000 255,000
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 228,000 235,980
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 530,000 542,837
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 154,000 166,272
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 320,000 323,200
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 450,000 456,188
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 481,000 485,069
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 674,000 498,760
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 145,000 151,888
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 600,000 627,000
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 75,000 74,906
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 73,000 71,905
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 591,000 573,270
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 505,000 520,781
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds 7.40%, 4/1/37 235,000 95,763
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 170,000 162,350
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 195,000 185,738
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 180,000 193,275
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 404,000 412,080
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 255,000 266,794
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 679,000 707,858
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 353,000 365,355
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 257,000 262,783
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 265,000 275,600
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 337,000 361,433
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 534,000 544,013
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 547,000 555,314
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 177,000 174,345
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 476,000 472,849
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 315,000 325,631
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 296,000 300,210
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 439,000 446,134
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 241,000 240,398
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 290,000 293,625
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 264,000 306,240
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 400,000 422,000
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 224,000 229,880
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 515,000 521,438
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 339,000 346,628
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 580,000 610,450
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 223,000 225,444
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 263,000 271,876
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 819,000 824,119
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 495,000 505,395
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 600,000 600,000
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 240,000 245,472
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 12,000 12,270
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 333,000 347,639
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 410,000 417,688
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 23,969
Star Merger Sub, Inc. 144A sr. notes 6.875%, 8/15/26 125,000 129,925
Tendam Brands SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 200,000 225,971
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 $282,000 285,948
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 495,000 477,675
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 420,000 411,600
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 230,000 197,800
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 52,000 53,040
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 223,275
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 250,000 254,063
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 612,000 597,465
22,699,009
Consumer staples (0.9%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 385,000 382,113
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 170,000 170,638
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 275,000 270,875
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 25,000 27,094
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 100,000 103,219
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 229,000 239,878
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 505,000 516,363
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 737,000 731,473
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 304,219
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 295,000 301,638
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 180,000 178,718
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 350,000 355,250
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 85,000 86,265
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 416,000 418,080
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 265,000 262,681
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 270,000 284,850
Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29 135,000 147,488
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 235,000 223,633
5,004,475
Energy (5.0%)
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 70,000 73,500
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 213,000 215,460
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 324,000 326,430
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 38,000 38,143
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 389,000 401,643
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 141,000 154,043
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 151,000 147,225
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 113,000 106,785
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 450,000 342,000
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 214,000 245,030
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 608,000 655,120
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 836,000 871,530
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 114,000 111,467
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 253,000 256,163
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 58,000 57,275
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 413,000 384,090
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 276,000 280,140
Denbury Resources, Inc. 144A notes 7.50%, 2/15/24 103,000 94,760
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 714,000 745,066
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 140,000 142,975
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 499,000 533,930
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 135,000 141,413
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.875%, 1/15/24 356,000 388,599
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.50%, 6/1/27 139,000 151,027
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 575,000 546,250
Ensco Rowan PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 223,000 192,895
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 543,000 555,218
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 510,000 530,400
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 306,000 283,815
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 50,000 47,422
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 97,000 91,665
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 278,000 279,390
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 315,000 286,650
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 40,000 38,100
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 130,000 134,225
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 124,000 112,530
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 196,000 196,980
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 168,000 168,630
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 275,000 266,750
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 279,798
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 410,388
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 1,300,000 1,450,540
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 3,254,000 3,449,240
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 1,060,000 1,083,850
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 4,723,000 4,852,883
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 689,000 149,630
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 972,000 204,120
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 2,345,000 509,264
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.375%, 1/23/45 (Mexico) 1,552,000 1,400,000
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 313,000 314,565
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 195,000 204,976
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 233,000 230,961
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 195,000 143,813
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 243,000 206,550
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 45,000 5
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 110,000 103,056
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 211,000 213,110
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 280,000 285,250
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 186,000 182,738
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 80,000 86,400
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/15/27 125,000 133,906
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 203,175 209,270
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 137,000 145,905
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 10,000 10,700
Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26 102,000 101,842
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 78,000 109,048
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.75%, 6/15/31 118,000 149,232
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 60,000 68,475
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 238,000 246,033
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 320,000 332,800
27,863,082
Financials (3.5%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 778,000 789,670
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 1,028,000 1,315,840
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 369,000 399,904
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 163,000 197,638
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 148,000 158,545
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 185,000 203,167
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 175,000 188,890
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 578,000 614,848
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 82,000 85,280
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 233,000 229,505
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 678,000 711,053
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6.625%, 3/15/26 125,000 131,563
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 500,000 640,000
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 256,000
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 360,000 361,350
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 170,000 169,901
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 260,000 230,750
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 250,000 263,125
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 185,000 195,371
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 214,000 225,235
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 210,000 219,713
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 205,000 211,207
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 51,000 51,383
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 440,000 444,400
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 21,525
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 200,000 196,111
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 360,000 368,550
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 125,000 125,938
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 670,000 882,571
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 242,000 252,588
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 450,000 457,875
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 115,000 110,400
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 175,000 230,790
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 $80,000 80,000
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 220,000 221,650
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 284,000 284,355
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 300,000 280,500
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) 200,000 217,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 306,000 388,238
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 410,000 421,788
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 235,000 237,148
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 745,000 799,013
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 330,000 330,825
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 178,000 169,100
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 327,000 351,525
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 200,000 206,931
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 4,200,000 4,368,000
19,297,509
Health care (1.8%)
Bausch Health Americas, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 305,000 339,313
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 611,000 665,990
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 270,000 305,709
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $90,000 92,110
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 255,000 282,413
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 370,000 374,163
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 338,000 340,603
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 355,000 374,081
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 270,000 279,450
Bausch Health Cos., Inc. 144A sr. notes 5.75%, 8/15/27 95,000 98,990
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 395,000 413,763
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 305,000 310,844
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 135,000 140,431
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 1,051,000 1,023,411
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 235,000 153,778
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 125,000 121,563
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 256,000 273,420
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 270,000 285,838
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 128,000 140,800
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 370,000 377,400
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 408,000 441,619
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 270,000 281,813
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 70,000 69,650
Par Pharmaceutical, Inc. 144A company guaranty sr. notes 7.50%, 4/1/27 250,000 259,375
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 100,000 100,750
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 1,075,000 1,103,337
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 160,000 160,451
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 393,000 406,264
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 125,000 130,313
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 385,000 396,852
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes zero %, 4/15/24 (Israel) 250,000 254,435
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 165,000 170,363
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 110,000 115,203
10,284,495
Technology (0.8%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/20 1,318,000 —
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 160,000 169,400
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 75,000 78,234
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 895,000 969,703
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 293,000 309,975
First Data Corp. 144A notes 5.75%, 1/15/24 761,000 784,306
First Data Corp. 144A sr. notes 5.375%, 8/15/23 375,000 383,400
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 204,000 232,856
Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26 210,000 218,925
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 175,000 179,375
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 992,000 979,600
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 400,000 386,000
4,691,774
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 502,000 505,765
505,765
Utilities and power (0.9%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 965,000 998,775
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 135,000 140,400
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 160,000 162,000
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 135,000 137,180
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 584,000 578,160
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 188,000 188,235
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 85,000 86,806
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 656,241
GenOn Energy, Inc./NRG Americas, Inc. company guaranty sub. FRN (BBA LIBOR USD 6 Month + 6.50%), 9.392%, 12/1/23 71,326 70,791
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 272,000 296,480
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 393,000 420,510
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 320,000 338,870
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) 205,000 820
Vistra Energy Corp. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 244,000 257,220
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 169,000 183,788
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 152,000 155,990
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 369,000 380,070
5,052,336
Total corporate bonds and notes (cost $130,881,868) $132,282,699









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (12.7%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%, 7/6/28 (Argentina) $460,000 $323,150
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) 385,000 289,231
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 3,493,000 2,514,960
Argentina (Republic of) sr. unsec. unsub. notes 4.625%, 1/11/23 (Argentina) 650,000 478,563
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) 2,375,000 1,617,969
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,255,000 2,260,922
Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 1,370,000 1,385,413
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 900,000 591,750
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 700,000 513,625
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 48.50%, 5/31/22 (Argentina) ARS 17,110,000 362,690
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $1,990,000 1,318,375
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 66,667 58,917
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 3,308,000 2,493,612
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 5,464,000 3,961,400
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,233,000 988,866
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 175,000 180,250
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 445,000 521,763
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 1,150,000 1,267,875
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,697,438
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 6.125%, 1/31/22 (Egypt) 635,000 641,356
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%, 2/21/23 (Egypt) 310,000 307,049
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 880,000 862,391
Egypt (Arab Republic of) 144A sr. unsec. notes 5.577%, 2/21/23 (Egypt) 1,010,000 1,001,453
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 700,000 679,875
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 2,332,000 2,833,581
Hellenic (Republic of) sr. unsec. notes 3.45%, 4/2/24 (Greece) EUR 1,411,000 1,669,304
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.00%, 2/24/20), 2/24/40 (Greece)(STP) EUR 61,000 65,528
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 468,000 514,379
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)(STP) EUR 141,000 156,745
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)(STP) EUR 178,000 199,254
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)(STP) EUR 468,000 526,342
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)(STP) EUR 3,840,211 4,352,968
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 137,295 156,954
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 4,094,435 4,717,324
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)(STP) EUR 398,000 463,324
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 1,556,500 1,811,500
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 114,000 133,238
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 1,269,807 1,491,909
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) $2,370,000 2,524,050
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 783,765
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 319,492
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 1,555,000 1,932,010
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,314,004
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,360,070
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 840,000 762,300
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) 630,000 611,680
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 300,000 292,125
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) 1,385,000 1,262,163
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Ivory Coast) EUR 760,000 811,731
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $5,014,000 5,513,234
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 265,000 273,997
Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) 200,000 199,500
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 805,000 783,992
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 625,000 602,344
United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 1,040,000 1,069,960
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 3,080,000 3,121,977
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 182,000
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 1,652,000 485,275
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 439,000 126,213
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 2,674,000 782,145
Total foreign government and agency bonds and notes (cost $72,712,848) $70,525,270









CONVERTIBLE BONDS AND NOTES (3.9%)(a)
        Principal amount Value
Capital goods (0.2%)
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 $145,000 $136,822
Fortive Corp. 144A cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 524,000 552,833
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 47,000 28,605
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 309,000 337,453
1,055,713
Communication services (0.3%)
8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24 232,000 260,606
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 500,000 458,656
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 404,000 454,588
Intelsat SA 144A cv. company guaranty sr. unsec. notes 4.50%, 6/15/25, (Luxembourg) 105,000 145,407
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23 175,000 264,301
1,583,558
Consumer cyclicals (0.6%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 194,928 288,507
Euronet Worldwide, Inc. 144A cv. sr. unsec. bonds 0.75%, 3/15/49 254,000 283,490
FTI Consulting, Inc. 144A cv. sr. unsec. notes 2.00%, 8/15/23 216,000 231,418
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 386,000 450,809
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 237,000 283,443
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 425,000 499,613
Marriott Vacations Worldwide Corp. cv. sr. unsec. notes 1.50%, 9/15/22 345,000 337,708
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 497,000 566,222
Quotient Technology, Inc. cv. sr. unsec. notes 1.75%, 12/1/22 144,000 133,589
Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23 184,000 219,690
3,294,489
Consumer staples (0.3%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 376,000 359,550
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 224,000 347,900
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 250,000 249,954
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 59,000 59,365
Wayfair, Inc. 144A cv. sr. unsec. notes 1.125%, 11/1/24 231,000 359,788
Zillow Group, Inc. cv. sr. unsec. notes 1.50%, 7/1/23 301,000 274,332
1,650,889
Energy (0.1%)
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20, (acquired 2/2/17, cost $58,386)(RES) 84,334 25,300
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 272,000 246,659
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 233,000 222,779
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 215,000 230,187
724,925
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 222,000 226,163
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 183,000 168,474
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22,(R) 194,000 225,032
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 272,000 272,653
Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 112,000 108,290
1,000,612
Health care (0.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 273,000 280,650
CONMED Corp. 144A cv. sr. unsec. notes 2.625%, 2/1/24 181,000 198,021
DexCom, Inc. 144A cv. sr. unsec. notes 0.75%, 12/1/23 434,000 451,903
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 206,000 231,379
Illumina, Inc. 144A cv. sr. unsec. notes zero %, 8/15/23 229,000 246,839
Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24 187,000 213,075
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 151,000 167,625
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 460,000 437,000
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 150,000 181,572
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 226,000 225,576
Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23 222,000 223,827
Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes 1.75%, 2/15/26 157,000 163,228
Teladoc, Inc. 144A cv. sr. unsec. notes 1.375%, 5/15/25 243,000 320,978
Wright Medical Group, Inc. 144A cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 203,000 220,488
3,562,161
Technology (1.5%)
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25 548,000 580,073
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 114,000 132,673
DocuSign, Inc. 144A cv. sr. unsec. notes 0.50%, 9/15/23 314,000 338,142
Envestnet, Inc. cv. sr. unsec. sub. notes 1.75%, 12/15/19 213,000 250,159
Five9, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/23 114,000 161,487
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 239,000 271,928
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 263,000 278,780
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 146,000 198,104
LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 107,000 110,617
Lumentum Holdings, Inc. cv. sr. unsec. unsub. notes 0.25%, 3/15/24 185,000 229,783
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 228,000 295,798
New Relic, Inc. 144A cv. sr. unsec. notes 0.50%, 5/1/23 270,000 314,842
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 335,000 331,533
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 385,000 506,502
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.75%, 7/1/23 496,000 562,196
Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 414,000 471,871
Rapid7, Inc. 144A cv. sr. unsec. notes 1.25%, 8/1/23 118,000 170,571
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 9/15/25 585,000 681,133
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 472,000 455,544
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 195,000 218,326
Viavi Solutions, Inc. 144A cv. sr. unsec. notes 1.75%, 6/1/23 216,000 249,719
Vocera Communications, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/23 96,000 112,895
Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23, (Israel) 200,000 235,213
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 390,000 578,850
Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 231,000 347,426
8,084,165
Transportation (—%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 224,000 223,300
223,300
Utilities and power (0.1%)
NRG Energy, Inc. 144A cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 392,000 441,182
441,182
Total convertible bonds and notes (cost $21,414,950) $21,620,994









PURCHASED SWAP OPTIONS OUTSTANDING (2.9%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/
Maturity date		 Expiration date/
strike 		  Notional/
Contract amount		 Value
Bank of America N.A.
(2.785)/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 $8,145,400 $670,285
2.785/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 8,145,400 600,397
Citibank, N.A.
2.226/3 month USD-LIBOR-BBA/May-24 May-19/2.226 78,737,700 97,635
(2.406)/3 month USD-LIBOR-BBA/May-24 May-19/2.406 78,737,700 91,336
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 7,048,900 379,442
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 7,048,900 336,585
0.025/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.025 EUR 74,867,100 325,807
-0.065/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/-0.065 EUR 74,867,100 183,896
(2.458)/3 month USD-LIBOR-BBA/Jul-20 Jul-19/2.458 $70,290,000 52,718
(2.658)/3 month USD-LIBOR-BBA/Jul-20 Jul-19/2.658 140,580,100 14,058
(2.3975)/3 month USD-LIBOR-BBA/May-24 May-19/2.3975 78,737,700 4,724
2.1975/3 month USD-LIBOR-BBA/May-24 May-19/2.1975 78,737,700 787
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 26,351,000 1,779,747
1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 17,032,000 1,482,018
1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 6,794,000 1,234,083
3.096/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 $21,080,800 1,135,623
1.288/6 month EUR-EURIBOR-Reuters/Feb-50 Feb-20/1.288 EUR 10,069,900 671,904
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 $6,980,300 383,637
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 373,306
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 321,233
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 312,717
(3.162)/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 26,351,000 269,307
(1.288)/6 month EUR-EURIBOR-Reuters/Feb-50 Feb-20/1.288 EUR 10,069,900 229,728
(3.096)/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 $21,080,800 35,205
(3.095)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.095 52,701,900 3,689
Morgan Stanley & Co. International PLC
3.02/3 month USD-LIBOR-BBA/Aug-20 Aug-19/3.02 176,157,900 1,012,908
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 6,990,700 820,149
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 809,873
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 809,803
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 13,275,300 476,849
2.764/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 13,275,300 469,946
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 13,275,300 254,488
(2.764)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 13,275,300 253,824
(3.0975)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.0975 52,701,900 3,689
Total purchased swap options outstanding (cost $15,052,150) $15,901,396









SENIOR LOANS (1.7%)(a)(c)
        Principal amount Value
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.101%, 4/21/24 $181,763 $156,381
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.00%), 5.601%, 1/31/24 285,000 283,634
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.723%, 12/15/24 557,938 558,914
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.823%, 6/21/24 472,583 463,278
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.854%, 4/3/24 142,463 140,610
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 7.229%, 12/31/22 175,000 168,984
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 6.633%, 5/5/24 278,665 277,736
Diamond (BC) BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.583%, 9/6/24 289,000 277,801
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 7.233%, 4/16/21 14,707 14,678
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.233%, 3/31/24 171,852 172,040
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.483%, 5/31/25 285,000 283,575
HFOTCO, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.25%, 6/26/25 441,663 437,798
iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA LIBOR USD 3 Month + 2.00%), 2.00%, 1/30/20 (In default)(NON) 743,000 549,820
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.727%, 5/21/24 434,761 413,748
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.592%, 10/16/23 169,377 168,813
KCA Deutag US Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.75%), 9.553%, 3/21/23 125,629 108,983
Navistar Financial Corp Owner Trust bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.25%, 7/30/25 84,575 84,681
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.89%, 11/6/24 680,812 679,748
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.733%, 6/1/25 262,323 257,159
Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.701%, 2/28/25 232,650 232,650
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.738%, 11/3/23 140,006 132,455
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.233%, 10/1/25 946,628 936,766
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.129%, 9/7/23 207,913 161,548
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.233%, 2/5/23 316,893 317,509
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 10.50%, 2/28/26 220,000 190,300
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 6.00%, 2/28/25 523,001 490,313
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 9.483%, 11/28/22 279,463 271,079
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.483%, 3/28/25 519,614 499,803
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 5.00%), 7.633%, 3/18/26 (Luxembourg) 215,000 209,894
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.629%, 11/15/23 290,000 276,829
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.601%, 7/24/24 167,870 162,414
Total senior loans (cost $9,768,532) $9,379,941









ASSET-BACKED SECURITIES (0.6%)(a)
        Principal amount Value
Nationstar HECM Loan Trust 144A Ser. 18-1A, Class M5, 6.00%, 2/25/28(WAC) $770,000 $758,065
Station Place Securitization Trust 144A FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), zero %, 6/24/20 2,770,000 2,770,000
Total asset-backed securities (cost $3,519,268) $3,528,065









PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
GBP/USD (Call) Jul-19/$1.37 $19,264,383 GBP 14,773,300 $33,828
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) May-19/99.63 48,000,000 $48,000,000 2,784
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/101.19 26,000,000 26,000,000 82,264
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/100.71 26,000,000 26,000,000 73,125
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/101.07 26,000,000 26,000,000 58,214
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/100.52 26,000,000 26,000,000 49,634
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/101.02 20,000,000 20,000,000 38,200
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/99.21 26,000,000 26,000,000 6,094
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/99.02 26,000,000 26,000,000 2,340
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/99.69 26,000,000 26,000,000 26
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/99.57 26,000,000 26,000,000 26
Total purchased options outstanding (cost $845,162) $346,535









COMMON STOCKS (—%)(a)
        Shares Value
Advanz Pharma Corp. (Canada)(NON) 1,070 $19,121
Avaya Holdings Corp. 14,007 267,254
CHC Group, LLC (Units) (acquired 3/23/17, cost $23,780)(RES) 1,640 164
GenOn Energy, Inc. 892 124,880
MWO Holdings, LLC (Units)(F) 169 5,717
Nine Point Energy(F) 1,515 3,030
Tervita Corp. (Canada)(NON) 449 2,148
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 14,962
Tribune Media Co. Class 1C 92,963 60,426
Total common stocks (cost $837,271) $497,702









PREFERRED STOCKS (—%)(a)
        Shares Value
GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 16,265 $427,770
Total preferred stocks (cost $412,195) $427,770









CONVERTIBLE PREFERRED STOCKS (—%)(a)
        Shares Value
Nine Point Energy 6.75% cv. pfd.(F) 32 $6,400
Total convertible preferred stocks (cost $32,000) $6,400









SHORT-TERM INVESTMENTS (14.8%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 2.60%(AFF) Shares 61,308,189 $61,308,189
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.37%(P) Shares 305,000 305,000
U.S. Treasury Bills 2.547%, 6/13/19(SEG)(SEGSF)(SEGCCS) $5,765,000 5,748,542
U.S. Treasury Bills 2.532%, 6/6/19(SEG)(SEGSF)(SEGCCS) 3,067,000 3,059,700
U.S. Treasury Bills 2.528%, 6/20/19(SEG)(SEGSF)(SEGCCS) 1,879,000 1,872,788
U.S. Treasury Bills 2.473%, 7/25/19(SEGSF)(SEGCCS) 3,823,000 3,801,658
U.S. Treasury Bills 2.466%, 7/18/19(SEG)(SEGSF)(SEGCCS) 3,979,000 3,958,535
U.S. Treasury Bills 2.449%, 5/9/19 5,000 4,997
U.S. Treasury Bills 2.444%, 5/16/19(SEGSF)(SEGCCS) 350,000 349,651
U.S. Treasury Bills 2.427%, 8/8/19(SEGSF)(SEGCCS) 1,874,000 1,861,748
U.S. Treasury Bills 2.365%, 5/23/19(SEGSF) 46,000 45,933
Total short-term investments (cost $82,314,925) $82,316,741
TOTAL INVESTMENTS
Total investments (cost $1,027,065,110) $1,026,790,105









FORWARD CURRENCY CONTRACTS at 4/30/19 (aggregate face value $325,426,722) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 7/17/19 $4,520,508 $4,570,191 $(49,683)
Canadian Dollar Buy 7/17/19 2,329,317 2,319,775 9,542
Euro Sell 6/19/19 2,740,789 2,849,050 108,261
Hong Kong Dollar Buy 5/15/19 305,506 305,696 (190)
Hong Kong Dollar Sell 5/15/19 305,506 305,684 178
Japanese Yen Buy 5/15/19 2,431,898 2,457,729 (25,831)
Japanese Yen Sell 5/15/19 2,431,898 2,458,515 26,617
Japanese Yen Sell 8/21/19 121,316 121,066 (250)
Norwegian Krone Buy 6/19/19 6,879,044 6,949,079 (70,035)
Swedish Krona Sell 6/19/19 111,710 115,436 3,726
Barclays Bank PLC
Canadian Dollar Sell 7/17/19 6,819,756 6,876,616 56,860
Euro Sell 6/19/19 3,851,993 3,953,255 101,262
Hong Kong Dollar Buy 5/15/19 190,849 190,930 (81)
Hong Kong Dollar Sell 5/15/19 190,849 191,418 569
Japanese Yen Buy 5/15/19 2,311,517 2,337,588 (26,071)
Japanese Yen Sell 5/15/19 2,311,517 2,376,342 64,825
Norwegian Krone Buy 6/19/19 5,595,672 5,653,037 (57,365)
Swedish Krona Buy 6/19/19 2,306,494 2,347,196 (40,702)
Citibank, N.A.
Australian Dollar Buy 7/17/19 5,544,557 5,606,429 (61,872)
British Pound Buy 6/19/19 223,815 224,873 (1,058)
Canadian Dollar Sell 7/17/19 3,389,049 3,404,455 15,406
Euro Sell 6/19/19 3,044,971 3,125,259 80,288
Japanese Yen Buy 5/15/19 8,000,390 8,008,435 (8,045)
Japanese Yen Sell 5/15/19 8,000,390 8,203,233 202,843
Japanese Yen Sell 8/21/19 5,733,048 5,715,421 (17,627)
New Zealand Dollar Buy 7/17/19 1,010,236 1,021,935 (11,699)
Norwegian Krone Buy 6/19/19 44,651 44,818 (167)
Credit Suisse International
Australian Dollar Buy 7/17/19 4,553,913 4,604,653 (50,740)
Euro Sell 6/19/19 6,184,316 6,285,241 100,925
Japanese Yen Buy 5/15/19 1,189,345 1,186,026 3,319
Japanese Yen Sell 5/15/19 1,189,345 1,223,828 34,483
Goldman Sachs International
Australian Dollar Buy 7/17/19 3,378,657 3,428,746 (50,089)
Euro Sell 6/19/19 4,893,712 4,996,286 102,574
Japanese Yen Buy 5/15/19 4,520,198 4,502,693 17,505
Japanese Yen Sell 5/15/19 4,520,198 4,643,653 123,455
Japanese Yen Sell 8/21/19 4,555,297 4,537,883 (17,414)
New Zealand Dollar Buy 7/17/19 1,050,233 1,059,368 (9,135)
Norwegian Krone Buy 6/19/19 8,949,550 9,024,443 (74,893)
Swedish Krona Buy 6/19/19 2,219,105 2,282,416 (63,311)
HSBC Bank USA, National Association
Australian Dollar Buy 7/17/19 6,710,985 6,785,449 (74,464)
British Pound Buy 6/19/19 3,109,873 3,170,158 (60,285)
Canadian Dollar Sell 7/17/19 3,451,946 3,466,726 14,780
Chinese Yuan (Offshore) Buy 5/15/19 1,525,210 1,516,182 9,028
Chinese Yuan (Offshore) Sell 5/15/19 1,525,210 1,528,018 2,808
Euro Sell 6/19/19 5,863,917 6,023,824 159,907
Japanese Yen Buy 5/15/19 2,311,517 2,337,598 (26,081)
Japanese Yen Sell 5/15/19 2,311,517 2,348,634 37,117
Norwegian Krone Sell 6/19/19 2,227,069 2,243,280 16,211
JPMorgan Chase Bank N.A.
Australian Dollar Sell 7/17/19 4,609,423 4,632,551 23,128
British Pound Buy 6/19/19 5,457,312 5,555,912 (98,600)
Canadian Dollar Sell 7/17/19 5,549,872 5,570,344 20,472
Euro Buy 6/19/19 4,646,402 4,563,282 83,120
Japanese Yen Buy 5/15/19 4,642,100 4,669,093 (26,993)
Japanese Yen Sell 5/15/19 4,642,100 4,701,022 58,922
New Zealand Dollar Buy 7/17/19 2,347,607 2,291,761 55,846
Norwegian Krone Buy 6/19/19 6,025,716 6,088,148 (62,432)
Swedish Krona Sell 6/19/19 425,629 435,657 10,028
Swiss Franc Buy 6/19/19 83,901 80,721 3,180
NatWest Markets PLC
Australian Dollar Buy 7/17/19 11,775,015 11,905,880 (130,865)
Canadian Dollar Sell 7/17/19 2,255,503 2,259,697 4,194
Euro Sell 6/19/19 9,041,890 9,197,869 155,979
Japanese Yen Buy 5/15/19 3,530,382 3,519,142 11,240
Japanese Yen Sell 5/15/19 3,530,382 3,565,483 35,101
Japanese Yen Sell 8/21/19 1,346,426 1,341,197 (5,229)
Norwegian Krone Sell 6/19/19 2,284,495 2,299,703 15,208
State Street Bank and Trust Co.
Australian Dollar Buy 7/17/19 333,840 337,623 (3,783)
British Pound Sell 6/19/19 4,364,124 4,365,346 1,222
Canadian Dollar Sell 7/17/19 680,488 680,497 9
Euro Sell 6/19/19 12,915,956 13,124,928 208,972
Japanese Yen Buy 5/15/19 7,043,088 7,016,626 26,462
Japanese Yen Sell 5/15/19 7,043,088 7,205,716 162,628
Japanese Yen Sell 8/21/19 7,097,777 7,071,836 (25,941)
New Zealand Dollar Buy 7/17/19 681,628 697,436 (15,808)
Norwegian Krone Buy 6/19/19 6,381,856 6,444,336 (62,480)
Swedish Krona Sell 6/19/19 4,389,704 4,511,471 121,767
UBS AG
Australian Dollar Buy 7/17/19 6,395,860 6,463,501 (67,641)
Canadian Dollar Sell 7/17/19 2,270,310 2,280,227 9,917
Euro Sell 6/19/19 9,572,660 9,735,754 163,094
Japanese Yen Buy 5/15/19 6,847,510 6,830,757 16,753
Japanese Yen Sell 5/15/19 6,847,510 6,966,797 119,287
Japanese Yen Sell 8/21/19 4,551,998 4,533,991 (18,007)
WestPac Banking Corp.
Australian Dollar Buy 7/17/19 1,842,300 1,892,569 (50,269)
Canadian Dollar Sell 7/17/19 501,372 503,404 2,032
Euro Sell 6/19/19 3,097,226 3,157,879 60,653
Unrealized appreciation 2,661,703
Unrealized (depreciation) (1,365,136)
Total $1,296,567
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 4/30/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Schatz 2 yr (Short) 130 $16,318,831 $16,318,840 Jun-19 $(6,562)
U.K. Gilt 10 yr (Short) 21 3,486,531 3,486,532 Jun-19 (11,775)
U.S. Treasury Bond Ultra 30 yr (Long) 38 6,242,688 6,242,688 Jun-19 29,688
U.S. Treasury Note 2 yr (Long) 133 28,330,039 28,330,039 Jun-19 60,266
U.S. Treasury Note 5 yr (Short) 224 25,903,500 25,903,500 Jun-19 (103,250)
U.S. Treasury Note Ultra 10 yr (Long) 30 3,953,438 3,953,438 Jun-19 17,812
Unrealized appreciation 107,766
Unrealized (depreciation) (121,587)
Total $(13,821)









WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/19 (premiums $12,019,794) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Citibank, N.A.
(2.316)/3 month USD-LIBOR-BBA/May-24 May-19/2.316 $39,368,800 $109,445
2.316/3 month USD-LIBOR-BBA/May-24 May-19/2.316 39,368,800 110,626
Goldman Sachs International
(2.2975)/3 month USD-LIBOR-BBA/May-24 May-19/2.2975 39,368,800 20,472
2.2975/3 month USD-LIBOR-BBA/May-24 May-19/2.2975 39,368,800 61,415
2.558/3 month USD-LIBOR-BBA/Jul-20 Jul-19/2.558 210,870,100 67,478
1.722/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 4,577,200 335,081
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 4,577,200 365,939
(0.115)/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.115 EUR 74,867,100 475,276
JPMorgan Chase Bank N.A.
3.415/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.415 $105,403,900 1,054
2.975/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 26,351,000 51,911
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 10,069,900 473,235
(2.975)/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 $26,351,000 593,161
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 26,351,000 667,471
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 10,069,900 697,090
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $26,351,000 1,640,613
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 18,614,000 2,529,725
Morgan Stanley & Co. International PLC
3.3975/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.3975 $105,403,900 1,054
2.7225/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 9,654,800 92,783
2.715/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 9,654,800 98,189
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 3,620,600 150,182
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 3,620,600 154,889
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 3,620,600 185,157
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 3,620,600 190,842
(2.715)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 9,654,800 268,790
(2.7225)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 9,654,800 270,528
(2.58)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.58 176,157,900 324,131
(2.80)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.80 176,157,900 644,738
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 6,990,700 650,065
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 6,990,700 650,834
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-25/3.00 6,990,700 669,429
Total $12,551,603









WRITTEN OPTIONS OUTSTANDING at 4/30/19 (premiums $396,641) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) May-19/$99.63 $48,000,000 $48,000,000 $381,455
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) May-19/101.02 20,000,000 20,000,000 17,880
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/100.21 26,000,000 26,000,000 28,438
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/100.02 26,000,000 26,000,000 20,046
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.69 26,000,000 26,000,000 13,780
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/99.71 26,000,000 26,000,000 12,188
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.57 26,000,000 26,000,000 7,462
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jun-19/99.52 26,000,000 26,000,000 7,306
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.19 26,000,000 26,000,000 780
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.07 26,000,000 26,000,000 312
Total $489,647









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/19 (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.
(2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 $13,575,700 $(530,810) $(137,115)
2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 13,575,700 (530,810) (160,058)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) 124,581
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) (96,614)
Citibank, N.A.
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 $2,064,000 (265,740) (44,830)
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) (86,523)
(2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810) (139,287)
2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810) (158,157)
Goldman Sachs International
(2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 3,439,600 (275,684) (18,746)
(3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 3,439,600 (238,364) (23,836)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (42,129)
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (49,411)
3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 3,439,600 (313,004) (57,716)
2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 3,439,600 (275,684) (60,124)
JPMorgan Chase Bank N.A.
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) 127,355
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 $3,439,600 (198,809) (21,566)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (221,467) (42,931)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (357,718) (52,110)
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (319,094) (99,732)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) (128,720)
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $8,145,400 (1,137,301) (441,644)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301) (581,011)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) 97,087
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (316,205) (52,900)
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (222,086) (72,818)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) (158,735)
Unrealized appreciation 349,023
Unrealized (depreciation) (2,726,713)
Total $(2,377,690)









TBA SALE COMMITMENTS OUTSTANDING at 4/30/19 (proceeds receivable $267,405,840) (Unaudited)
  Agency Principal amount Settlement date Value
Federal National Mortgage Association, 4.50%, 6/1/49 $8,000,000 6/13/19 $8,318,125
Federal National Mortgage Association, 4.50%, 5/1/49 8,000,000 5/13/19 8,323,125
Federal National Mortgage Association, 4.00%, 5/1/49 64,000,000 5/13/19 65,675,002
Federal National Mortgage Association, 3.50%, 5/1/49 99,000,000 5/13/19 99,889,455
Federal National Mortgage Association, 3.00%, 6/1/49 43,000,000 6/13/19 42,445,704
Federal National Mortgage Association, 3.00%, 5/1/49 43,000,000 5/13/19 42,492,733
Total $267,144,144











OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation
Goldman Sachs International
ILS 6,341,000 $106 $— 3/19/24 3 month ILS-TELBOR03 — Quarterly 1.035% — Annually $1,734
ILS 57,200,000 10,652 — 3/20/24 3 month ILS-TELBOR03 — Quarterly 1.02% — Annually 3,421
Upfront premium received — Unrealized appreciation 5,155
Upfront premium (paid) — Unrealized (depreciation) —
Total $— Total $5,155









CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$9,011,000 $208,965 (E) $(101) 2/27/28 3 month USD-LIBOR-BBA — Quarterly 3.11% — Semiannually $208,864
10,713,000 219,092 (E) (120) 3/7/28 3 month USD-LIBOR-BBA — Quarterly 3.05125% — Semiannually 218,971
4,357,000 561,312 (149) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually 603,341
26,351,000 1,332,122 (373) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,544,032)
14,545,700 751,809 (206) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 761,092
79,052,900 161,031 (39,718) 1/22/20 3 month USD-LIBOR-BBA — Quarterly 2.86% — Semiannually 697,538
79,052,900 355,106 (E) 37,647 1/22/21 2.77% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (317,458)
2,258,100 11,214 (E) (13) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 11,201
5,844,400 24,237 (E) (33) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (24,269)
3,794,500 63,748 (50) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (64,003)
87,173,000 1,196,537 (E) (516,094) 6/19/26 3 month USD-LIBOR-BBA — Quarterly 2.60% — Semiannually 680,443
496,723,500 1,956,097 (E) 2,602,664 6/19/21 2.55% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 646,567
291,253,000 2,507,397 (E) 3,706,217 6/19/24 2.50% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,198,821
114,974,900 1,596,312 (E) (2,773,052) 6/19/29 3 month USD-LIBOR-BBA — Quarterly 2.65% — Semiannually (1,176,741)
2,708,300 56,880 (E) 136,972 6/19/49 2.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 80,092
12,234,100 99,292 (E) (2,476) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 96,816
4,229,500 20,809 (E) (723) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 20,087
1,191,046 30,272 (E) (17) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 30,255
3,175,800 35,956 (E) (45) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (36,001)
16,543,000 82,103 (E) 147,258 6/19/29 2.55% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 65,155
54,098,000 210,982 (E) (147,334) 6/19/24 2.40% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (358,316)
47,869,000 210,193 (E) (44,811) 3/21/29 3 month USD-LIBOR-BBA — Quarterly 2.776% — Semiannually 165,381
2,450,500 40,573 (E) (84) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 40,489
9,696,000 128,520 (129) 3/29/29 3 month USD-LIBOR-BBA — Quarterly 2.33973% — Semiannually (132,232)
40,943,600 232,109 (387) 4/10/24 3 month USD-LIBOR-BBA — Quarterly 2.20% — Semiannually (241,667)
34,119,700 353,651 (483) 4/16/29 3 month USD-LIBOR-BBA — Quarterly 2.375% — Semiannually (357,347)
12,331,000 21,296 (100) 4/2/24 2.28456% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 24,327
17,175,000 6,767 (228) 4/11/29 3 month USD-LIBOR-BBA — Quarterly 2.486% — Semiannually (7,904)
11,454,000 10,091 (152) 4/12/29 2.4811% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 10,679
10,292,000 38,749 (136) 4/16/29 3 month USD-LIBOR-BBA — Quarterly 2.5335% — Semiannually 38,323
10,124,000 87,583 (134) 4/23/29 3 month USD-LIBOR-BBA — Quarterly 2.5885% — Semiannually 87,442
12,247,000 80,610 (162) 4/25/29 2.56515% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (80,741)
7,620,100 655 (E) (42) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 613
11,185,500 3,121 (E) (62) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 3,058
2,997,900 4,740 (E) (102) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (4,842)
25,878,500 414 (244) 5/1/24 3 month USD-LIBOR-BBA — Quarterly 2.3225% — Semiannually 170
14,179,000 22,204 (188) 5/1/29 2.5095% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (22,392)
9,582,000 383 (127) 5/2/29 2.5345% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (510)
AUD 114,228,000 906,712 (E) 83,555 6/19/24 1.90% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (823,157)
AUD 6,111,000 69,367 (E) 8,830 6/19/29 2.25% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (60,536)
AUD 10,708,000 81,646 (100) 3/20/29 6 month AUD-BBR-BBSW — Semiannually 2.1825% — Semiannually 83,757
CAD 11,645,000 37,950 (37) 11/2/22 3 month CAD-BA-CDOR — Semiannually 2.02% — Semiannually 30,101
CAD 11,645,000 47,425 (37) 11/14/22 3 month CAD-BA-CDOR — Semiannually 2.0525% — Semiannually 41,840
CAD 6,037,000 32,409 (E) 23,275 6/19/29 2.25% — Semiannually 3 month CAD-BA-CDOR — Semiannually (9,134)
CAD 48,296,000 128,734 (E) 76,066 6/19/24 2.00% — Semiannually 3 month CAD-BA-CDOR — Semiannually (52,669)
CAD 10,566,000 36,705 (105) 3/19/29 2.208% — Semiannually 3 month CAD-BA-CDOR — Semiannually (38,487)
CHF 23,906,000 120,826 (E) (93) 9/21/21 — 0.046% plus 6 month CHF-LIBOR-BBA — Semiannually (120,919)
CHF 12,585,000 136,935 (E) (18,651) 6/19/29 6 month CHF-LIBOR-BBA — Semiannually 0.20% — Annually 118,284
CHF 36,332,000 141,805 (E) 42,657 6/19/24 — 0.30% plus 6 month CHF-LIBOR-BBA — Semiannually (99,149)
CZK 215,585,000 73,095 (125) 3/19/29 1.948% — Annually 6 month CZK-PRIBOR — Semiannually 74,481
CZK 1,005,772,000 151,956 (165) 3/27/21 6 month CZK-PRIBOR — Semiannually 2.03% — Annually (153,553)
EUR 8,503,000 19,055 (34) 2/18/20 — 0.124% plus 1 Day Euribor rate — Annually (23,462)
EUR 8,503,000 20,609 (34) 2/18/20 — 0.104% plus 1 Day Euribor rate — Annually (25,400)
EUR 27,544,000 317,460 (242) 5/4/22 0.21% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (423,227)
EUR 7,933,000 406,169 (E) (67) 10/27/27 1.61375% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (406,236)
EUR 7,207,000 421,507 (E) (99) 2/27/28 1.815% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (421,607)
EUR 21,457,000 109,501 (E) (94) 9/21/21 6 month EUR-EURIBOR-REUTERS — Semiannually 0.354% — Annually 109,407
EUR 1,144,400 42,897 (E) (44) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (42,940)
EUR 1,556,300 97,485 (E) (60) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 97,425
EUR 1,719,000 61,743 (E) (66) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (61,809)
EUR 1,739,200 33,749 (E) (66) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (33,815)
EUR 40,000 148 (E) 98 6/19/24 0.12% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (51)
EUR 73,584,000 544,297 (E) 266,591 6/19/29 6 month EUR-EURIBOR-REUTERS — Semiannually 0.60% — Annually 810,888
EUR 15,314,000 68,894 (140) 3/21/24 0.106% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (75,613)
EUR 26,275,000 183,156 (E) (334) 3/21/29 1.104% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (183,490)
EUR 2,008,000 20,893 (E) (77) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 20,816
EUR 1,798,800 442 (E) (68) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually (510)
GBP 1,561,200 31,579 (28) 4/16/29 1.52% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (32,084)
GBP 3,361,000 6,855 (E) (40,619) 6/19/29 6 month GBP-LIBOR-BBA — Semiannually 1.35% — Semiannually (47,474)
GBP 6,933,000 2,757 (E) 28,778 6/19/24 6 month GBP-LIBOR-BBA — Semiannually 1.20% — Semiannually 26,021
GBP 1,561,200 4,045 (27) 5/1/29 6 month GBP-LIBOR-BBA — Semiannually 1.336% — Semiannually (4,072)
JPY 794,000,000 30,685 (28) 12/19/22 6 month JPY-LIBOR-BBA — Semiannually 0.09% — Semiannually 33,131
JPY 398,000,000 64,905 (26) 12/19/27 0.29% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (68,795)
JPY 794,000,000 42,995 (58) 1/15/23 6 month JPY-LIBOR-BBA — Semiannually 0.135% — Semiannually 45,530
JPY 398,000,000 88,082 (47) 1/15/28 0.365% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (91,829)
JPY 794,000,000 47,492 (60) 2/16/23 6 month JPY-LIBOR-BBA — Semiannually 0.148% — Semiannually 49,470
JPY 398,000,000 88,468 (49) 2/16/28 0.366% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (91,076)
JPY 110,098,700 20,882 (E) (32) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (20,914)
NOK 59,977,000 42,420 (E) (10,770) 6/19/24 1.80% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 31,651
NOK 28,431,000 33,030 (E) (6,764) 6/19/29 2.00% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 26,266
NZD 45,603,000 246,681 (E) 26,251 6/19/24 2.00% — Semiannually 3 month NZD-BBR-FRA — Quarterly (220,431)
NZD 7,347,000 65,912 (E) (92,439) 6/19/29 3 month NZD-BBR-FRA — Quarterly 2.40% — Semiannually (26,527)
NZD 15,746,000 71,966 (E) (120) 3/28/29 2.524% — Semiannually 3 month NZD-BBR-FRA — Quarterly 71,846
SEK 36,591,000 130,769 (31) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.125% — Annually 152,431
SEK 36,591,000 132,380 (31) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.13% — Annually 154,221
SEK 36,591,000 141,796 (31) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.16% — Annually 181,069
SEK 36,591,000 140,991 (31) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.1575% — Annually 180,900
SEK 119,527,000 50,166 (E) 26,103 6/19/24 0.45% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (24,063)
SEK 135,434,000 101,050 (E) (2,252) 6/19/29 3 month SEK-STIBOR-SIDE — Quarterly 0.95% — Annually 98,798
Total $3,510,706 $76,574
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$1,100,790 $1,099,958 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $(26)
186,645 186,504 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (4)
131,850 131,751 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (3)
870,570 869,925 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 176
14,330,241 14,326,069 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 12,281
1,683,470 1,682,242 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 715
226,013 226,211 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 459
497,460 497,949 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (1,253)
8,446,353 8,446,353 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (14,232)
160,792 161,317 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,868
107,340 107,504 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,128
552,277 550,973 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,847)
385,527 386,366 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (5,059)
139,369 139,269 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 1,396
106,397 106,321 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 1,066
83,897 83,838 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 840
93,511 94,042 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 1,602
191,031 191,254 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 2,423
27,412 27,444 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 348
12,905 12,920 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 164
Citibank, N.A.
1,919,122 1,918,563 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,645
843,454 843,208 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 723
293,146 293,060 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 251
Credit Suisse International
639,707 639,521 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 548
237,537 237,367 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 2,379
621,240 621,240 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,047)
267,092 267,778 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 3,040
189,260 189,879 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,199
99,451 99,611 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 978
52,155 52,325 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 606
29,835 29,933 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 347
11,335 11,353 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 111
758,922 760,720 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 8,904
272,144 272,789 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,193
141,929 141,593 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 989
11,375 11,348 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 79
494,368 493,201 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,444)
236,031 236,545 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (3,097)
259,060 259,624 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (3,400)
222,432 222,273 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 2,228
Deutsche Bank AG
621,240 621,240 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,047)
Goldman Sachs International
25,502 25,502 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (43)
68,026 68,026 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (115)
147,824 147,824 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (249)
277,384 277,384 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (467)
332,830 332,830 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (561)
393,494 393,494 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (663)
539,081 539,081 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (908)
359,511 359,186 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly (2,493)
480,619 481,394 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 4,728
380,711 381,325 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 3,745
200,913 201,237 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,976
324,013 325,072 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (3,764)
946,001 948,243 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 11,098
606,206 607,130 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 6,373
524,618 525,418 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,515
270,054 270,694 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,168
266,328 266,734 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,800
266,328 266,734 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,800
151,838 152,088 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,743
871,922 869,862 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,074)
369,522 370,327 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (4,849)
136,470 137,244 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 2,338
131,825 132,573 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 2,258
65,916 66,290 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 1,129
65,516 65,888 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 1,122
9,854 9,910 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 169
60,098 60,169 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 762
4,323 4,328 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 55
JPMorgan Chase Bank N.A.
763,638 761,834 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,320
443,070 442,023 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,087
411,272 410,300 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,865
147,284 146,936 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,026
369,522 370,327 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (4,849)
JPMorgan Securities LLC
514,433 514,066 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (5,152)
108,030 108,383 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,255)
1,173,029 1,174,921 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (11,539)
454,615 457,392 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 6,870
1,770,821 1,773,521 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (18,619)
Upfront premium received — Unrealized appreciation 123,633
Upfront premium (paid) — Unrealized (depreciation) (98,059)
Total $— Total $25,574









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/19 (Unaudited)
  Notional
amount		 Value   Upfront
premium received
(paid)		   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 17,671,000 $1,170,359 $— 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $1,170,358
EUR 11,045,000 707,037 (262) 8/15/37 1.7138% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 706,770
EUR 8,836,000 604,875 (214) 9/15/37 1.735% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 604,661
EUR 6,627,000 417,644 (160) 8/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 417,484
EUR 6,627,000 144,420 (86) 8/15/27 (1.42%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (144,506)
EUR 8,836,000 216,623 (114) 9/15/27 (1.4475%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (216,737)
EUR 11,045,000 251,106 (142) 8/15/27 (1.4275%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (251,248)
EUR 14,401,000 330,651 (169) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (330,819)
EUR 14,401,000 333,881 (169) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (334,050)
EUR 14,401,000 334,964 (170) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (335,134)
EUR 14,401,000 336,030 (170) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (336,199)
EUR 17,671,000 388,190 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (388,190)
GBP 8,846,000 270,604 (189) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 270,415
GBP 2,477,000 23,498 (58) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity (23,556)
GBP 6,900,000 48,893 (160) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity (49,053)
GBP 5,308,000 63,229 (124) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (63,353)
GBP 9,908,000 169,072 (234) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (169,305)
$7,952,000 79,114 (86) 12/6/27 2.19% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 79,029
7,952,000 78,089 (86) 12/21/27 2.1939% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 78,003
8,217,000 51,964 — 7/5/22 (1.89%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 51,964
7,142,000 32,625 — 7/3/22 (1.9225%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 32,625
7,142,000 6,556 — 7/3/27 2.085% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (6,556)
7,952,000 27,562 (49) 12/6/22 (2.05%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (27,610)
7,952,000 31,585 (49) 12/21/22 (2.068%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (31,634)
8,217,000 37,527 — 7/5/27 2.05% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (37,527)
Total $(2,691) $665,832









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $9,980 $146,000 $15,899 5/11/63 300 bp — Monthly $(5,847)
CMBX NA BBB-.6 Index BBB-/P 19,586 325,000 35,393 5/11/63 300 bp — Monthly (15,644)
CMBX NA BBB-.6 Index BBB-/P 40,127 650,000 70,785 5/11/63 300 bp — Monthly (30,333)
CMBX NA BBB-.6 Index BBB-/P 38,247 671,000 73,072 5/11/63 300 bp — Monthly (34,489)
Citigroup Global Markets, Inc.
CMBX NA BBB-.6 Index BBB-/P 1,141 8,000 871 5/11/63 300 bp — Monthly 274
CMBX NA BBB-.6 Index BBB-/P 9,654 68,000 7,405 5/11/63 300 bp — Monthly 2,283
CMBX NA BB.6 Index BB/P 175,851 928,000 201,562 5/11/63 500 bp — Monthly (24,938)
CMBX NA BB.6 Index BB/P 317,017 1,288,000 279,754 5/11/63 500 bp — Monthly 38,337
CMBX NA BB.7 Index BB/P 41,933 302,000 36,391 1/17/47 500 bp — Monthly 5,794
CMBX NA BB.7 Index BB/P 81,233 632,000 76,156 1/17/47 500 bp — Monthly 5,604
CMBX NA BB.7 Index BB/P 105,809 876,000 105,558 1/17/47 500 bp — Monthly 981
CMBX NA BBB-.6 Index BBB-/P 382 4,000 436 5/11/63 300 bp — Monthly (52)
CMBX NA BBB-.6 Index BBB-/P 2,251 21,000 2,287 5/11/63 300 bp — Monthly (25)
CMBX NA BBB-.6 Index BBB-/P 2,230 21,000 2,287 5/11/63 300 bp — Monthly (47)
CMBX NA BBB-.6 Index BBB-/P 5,733 58,000 6,316 5/11/63 300 bp — Monthly (554)
CMBX NA BBB-.6 Index BBB-/P 13,565 103,000 11,217 5/11/63 300 bp — Monthly 2,400
CMBX NA BBB-.6 Index BBB-/P 10,023 105,000 11,435 5/11/63 300 bp — Monthly (1,359)
CMBX NA BBB-.6 Index BBB-/P 19,220 168,000 18,295 5/11/63 300 bp — Monthly 1,009
CMBX NA BBB-.6 Index BBB-/P 19,311 190,000 20,691 5/11/63 300 bp — Monthly (1,285)
CMBX NA BBB-.6 Index BBB-/P 22,001 200,000 21,780 5/11/63 300 bp — Monthly 321
CMBX NA BBB-.6 Index BBB-/P 33,001 300,000 32,670 5/11/63 300 bp — Monthly 481
CMBX NA BBB-.6 Index BBB-/P 38,805 336,000 36,590 5/11/63 300 bp — Monthly 2,383
CMBX NA BBB-.6 Index BBB-/P 40,862 365,000 39,749 5/11/63 300 bp — Monthly 1,296
CMBX NA BBB-.6 Index BBB-/P 51,837 502,000 54,668 5/11/63 300 bp — Monthly (2,580)
CMBX NA BBB-.6 Index BBB-/P 77,334 701,000 76,339 5/11/63 300 bp — Monthly 1,346
CMBX NA BBB-.6 Index BBB-/P 218,669 1,489,000 162,152 5/11/63 300 bp — Monthly 57,262
Credit Suisse International
CMBX NA BBB-.6 Index BBB-/P 58,297 376,000 40,946 5/11/63 300 bp — Monthly 17,539
CMBX NA BBB-.6 Index BBB-/P 81,330 582,000 63,380 5/11/63 300 bp — Monthly 18,241
CMBX NA BBB-.6 Index BBB-/P 85,335 585,000 63,707 5/11/63 300 bp — Monthly 21,921
CMBX NA BBB-.6 Index BBB-/P 170,816 1,171,000 127,522 5/11/63 300 bp — Monthly 43,880
CMBX NA BB.7 Index BB/P 63,938 478,000 57,599 1/17/47 500 bp — Monthly 6,737
CMBX NA BBB-.6 Index BBB-/P 8,504 85,000 9,257 5/11/63 300 bp — Monthly (710)
CMBX NA BBB-.6 Index BBB-/P 9,537 90,000 9,801 5/11/63 300 bp — Monthly (219)
CMBX NA BBB-.6 Index BBB-/P 10,314 106,000 11,543 5/11/63 300 bp — Monthly (1,176)
CMBX NA BBB-.6 Index BBB-/P 14,440 143,000 15,573 5/11/63 300 bp — Monthly (1,062)
CMBX NA BBB-.6 Index BBB-/P 35,881 212,000 23,087 5/11/63 300 bp — Monthly 12,900
CMBX NA BBB-.6 Index BBB-/P 21,056 222,000 24,176 5/11/63 300 bp — Monthly (3,009)
CMBX NA BBB-.6 Index BBB-/P 27,946 285,000 31,037 5/11/63 300 bp — Monthly (2,948)
CMBX NA BBB-.6 Index BBB-/P 27,616 291,000 31,690 5/11/63 300 bp — Monthly (3,928)
CMBX NA BBB-.6 Index BBB-/P 35,352 316,000 34,412 5/11/63 300 bp — Monthly 1,097
CMBX NA BBB-.6 Index BBB-/P 32,187 336,000 36,590 5/11/63 300 bp — Monthly (4,235)
CMBX NA BBB-.6 Index BBB-/P 43,994 391,000 42,580 5/11/63 300 bp — Monthly 1,610
CMBX NA BBB-.6 Index BBB-/P 54,922 461,000 50,203 5/11/63 300 bp — Monthly 4,950
CMBX NA BBB-.6 Index BBB-/P 52,114 474,000 51,619 5/11/63 300 bp — Monthly 733
CMBX NA BBB-.6 Index BBB-/P 68,259 595,000 64,796 5/11/63 300 bp — Monthly 3,761
CMBX NA BBB-.6 Index BBB-/P 142,278 943,000 102,693 5/11/63 300 bp — Monthly 40,057
CMBX NA BBB-.6 Index BBB-/P 124,926 1,090,000 118,701 5/11/63 300 bp — Monthly 6,770
CMBX NA BBB-.6 Index BBB-/P 127,067 1,150,000 125,235 5/11/63 300 bp — Monthly 2,407
CMBX NA BBB-.6 Index BBB-/P 143,661 1,359,000 147,995 5/11/63 300 bp — Monthly (3,655)
CMBX NA BBB-.6 Index BBB-/P 185,042 1,710,000 186,219 5/11/63 300 bp — Monthly (322)
CMBX NA BBB-.6 Index BBB-/P 355,922 2,359,000 256,895 5/11/63 300 bp — Monthly 100,207
CMBX NA BBB-.6 Index BBB-/P 265,073 2,399,000 261,251 5/11/63 300 bp — Monthly 5,021
CMBX NA BBB-.6 Index BBB-/P 417,777 3,841,000 418,285 5/11/63 300 bp — Monthly 1,412
CMBX NA BBB-.6 Index BBB-/P 775,069 7,249,000 789,416 5/11/63 300 bp — Monthly (10,723)
CMBX NA BBB-.7 Index BBB-/P 27,745 351,000 12,706 1/17/47 300 bp — Monthly 15,214
CMBX NA BBB-.7 Index BBB-/P 143,170 2,180,000 78,916 1/17/47 300 bp — Monthly 65,344
CMBX NA BBB-.7 Index BBB-/P 945,593 12,793,000 463,107 1/17/47 300 bp — Monthly 489,035
Goldman Sachs International
CMBX NA BBB-.6 Index BBB-/P 14,630 88,000 9,583 5/11/63 300 bp — Monthly 5,091
CMBX NA BBB-.6 Index BBB-/P 20,235 183,000 19,929 5/11/63 300 bp — Monthly 398
CMBX NA BBB-.6 Index BBB-/P 25,594 188,000 20,473 5/11/63 300 bp — Monthly 5,215
CMBX NA BBB-.6 Index BBB-/P 9,360 192,000 20,909 5/11/63 300 bp — Monthly (11,453)
CMBX NA BBB-.6 Index BBB-/P 21,361 203,000 22,107 5/11/63 300 bp — Monthly (644)
CMBX NA BBB-.6 Index BBB-/P 17,848 206,000 22,433 5/11/63 300 bp — Monthly (4,482)
CMBX NA BBB-.6 Index BBB-/P 24,541 223,000 24,285 5/11/63 300 bp — Monthly 367
CMBX NA BBB-.6 Index BBB-/P 17,962 227,000 24,720 5/11/63 300 bp — Monthly (6,645)
CMBX NA BBB-.6 Index BBB-/P 27,421 245,000 26,681 5/11/63 300 bp — Monthly 863
CMBX NA BBB-.6 Index BBB-/P 24,979 296,000 32,234 5/11/63 300 bp — Monthly (7,108)
CMBX NA BBB-.6 Index BBB-/P 33,986 304,000 33,106 5/11/63 300 bp — Monthly 1,032
CMBX NA BBB-.6 Index BBB-/P 37,886 326,000 35,501 5/11/63 300 bp — Monthly 2,548
CMBX NA BBB-.6 Index BBB-/P 39,813 327,000 35,610 5/11/63 300 bp — Monthly 4,367
CMBX NA BBB-.6 Index BBB-/P 58,232 389,000 42,362 5/11/63 300 bp — Monthly 16,065
CMBX NA BBB-.6 Index BBB-/P 57,641 392,000 42,689 5/11/63 300 bp — Monthly 15,148
CMBX NA BBB-.6 Index BBB-/P 44,904 403,000 43,887 5/11/63 300 bp — Monthly 1,219
CMBX NA BBB-.6 Index BBB-/P 34,559 417,000 45,411 5/11/63 300 bp — Monthly (10,643)
CMBX NA BBB-.6 Index BBB-/P 45,403 418,000 45,520 5/11/63 300 bp — Monthly 92
CMBX NA BBB-.6 Index BBB-/P 45,228 418,000 45,520 5/11/63 300 bp — Monthly (83)
CMBX NA BBB-.6 Index BBB-/P 37,046 439,000 47,807 5/11/63 300 bp — Monthly (10,541)
CMBX NA BBB-.6 Index BBB-/P 30,861 453,000 49,332 5/11/63 300 bp — Monthly (18,244)
CMBX NA BBB-.6 Index BBB-/P 51,553 462,000 50,312 5/11/63 300 bp — Monthly 1,472
CMBX NA BBB-.6 Index BBB-/P 51,553 462,000 50,312 5/11/63 300 bp — Monthly 1,472
CMBX NA BBB-.6 Index BBB-/P 73,722 531,000 57,826 5/11/63 300 bp — Monthly 16,162
CMBX NA BBB-.6 Index BBB-/P 48,875 566,000 61,637 5/11/63 300 bp — Monthly (12,480)
CMBX NA BBB-.6 Index BBB-/P 86,808 576,000 62,726 5/11/63 300 bp — Monthly 24,370
CMBX NA BBB-.6 Index BBB-/P 59,933 597,000 65,013 5/11/63 300 bp — Monthly (4,782)
CMBX NA BBB-.6 Index BBB-/P 31,646 638,000 69,478 5/11/63 300 bp — Monthly (37,513)
CMBX NA BBB-.6 Index BBB-/P 34,009 652,000 71,003 5/11/63 300 bp — Monthly (36,668)
CMBX NA BBB-.6 Index BBB-/P 76,544 707,000 76,992 5/11/63 300 bp — Monthly (95)
CMBX NA BBB-.6 Index BBB-/P 69,759 928,000 101,059 5/11/63 300 bp — Monthly (30,836)
CMBX NA BBB-.6 Index BBB-/P 134,739 961,000 104,653 5/11/63 300 bp — Monthly 30,567
CMBX NA BBB-.6 Index BBB-/P 124,607 1,193,000 129,918 5/11/63 300 bp — Monthly (4,714)
CMBX NA BBB-.6 Index BBB-/P 155,880 1,414,000 153,985 5/11/63 300 bp — Monthly 2,602
CMBX NA BBB-.6 Index BBB-/P 184,707 1,551,000 168,904 5/11/63 300 bp — Monthly 16,578
CMBX NA BBB-.6 Index BBB-/P 93,617 1,935,000 210,722 5/11/63 300 bp — Monthly (116,137)
CMBX NA BBB-.6 Index BBB-/P 320,704 2,144,000 233,482 5/11/63 300 bp — Monthly 88,295
CMBX NA BBB-.7 Index BBB-/P 46,909 673,000 24,363 1/17/47 300 bp — Monthly 22,882
CMBX NA BBB-.7 Index BBB-/P 107,990 1,461,000 52,888 1/17/47 300 bp — Monthly 55,832
JPMorgan Securities LLC
CMBX NA BB.6 Index BB/P 79,440 375,000 81,450 5/11/63 500 bp — Monthly (1,698)
CMBX NA BB.6 Index BB/P 86,142 407,000 88,400 5/11/63 500 bp — Monthly (1,919)
CMBX NA BB.6 Index BB/P 109,255 519,000 112,727 5/11/63 500 bp — Monthly (3,040)
CMBX NA BBB-.6 Index BBB-/P 6,596,592 49,863,000 5,430,081 5/11/63 300 bp — Monthly 1,191,444
Merrill Lynch International
CMBX NA BBB-.6 Index BBB-/P 6,485 49,000 5,336 5/11/63 300 bp — Monthly 1,173
CMBX NA BBB-.6 Index BBB-/P 20,789 184,000 20,038 5/11/63 300 bp — Monthly 843
CMBX NA BBB-.6 Index BBB-/P 50,283 428,000 46,609 5/11/63 300 bp — Monthly 3,888
CMBX NA BBB-.6 Index BBB-/P 57,709 488,000 53,143 5/11/63 300 bp — Monthly 4,810
CMBX NA BBB-.6 Index BBB-/P 278,522 2,486,000 270,725 5/11/63 300 bp — Monthly 9,039
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 32,411 230,000 25,047 5/11/63 300 bp — Monthly 7,479
CMBX NA BBB-.6 Index BBB-/P 86,313 584,000 63,598 5/11/63 300 bp — Monthly 23,007
CMBX NA BBB-.6 Index BBB-/P 86,440 584,000 63,598 5/11/63 300 bp — Monthly 23,134
CMBX NA BBB-.6 Index BBB-/P 85,231 585,000 63,707 5/11/63 300 bp — Monthly 21,817
CMBX NA BBB-.6 Index BBB-/P 172,880 1,168,000 127,195 5/11/63 300 bp — Monthly 46,269
CMBX NA BBB-.6 Index BBB-/P 173,042 1,168,000 127,195 5/11/63 300 bp — Monthly 46,431
CMBX NA BBB-.6 Index BBB-/P 171,233 1,171,000 127,522 5/11/63 300 bp — Monthly 44,297
CMBX NA BBB-.6 Index BBB-/P 212,053 1,533,000 166,944 5/11/63 300 bp — Monthly 45,875
CMBX NA BBB-.6 Index BBB-/P 258,148 1,753,000 190,902 5/11/63 300 bp — Monthly 68,122
CMBX NA BBB-.6 Index BBB-/P 255,855 1,756,000 191,228 5/11/63 300 bp — Monthly 65,504
CMBX NA BBB-.6 Index BBB-/P 344,982 2,337,000 254,499 5/11/63 300 bp — Monthly 91,651
CMBX NA A.6 Index A/P 61 6,000 40 5/11/63 200 bp — Monthly 23
CMBX NA BB.6 Index BB/P 101,667 414,000 89,921 5/11/63 500 bp — Monthly 12,091
CMBX NA BB.6 Index BB/P 204,028 828,000 179,842 5/11/63 500 bp — Monthly 24,877
CMBX NA BBB-.6 Index BBB-/P 620 5,000 545 5/11/63 300 bp — Monthly 78
CMBX NA BBB-.6 Index BBB-/P 1,175 11,000 1,198 5/11/63 300 bp — Monthly (17)
CMBX NA BBB-.6 Index BBB-/P 2,117 20,000 2,178 5/11/63 300 bp — Monthly (51)
CMBX NA BBB-.6 Index BBB-/P 3,029 25,000 2,723 5/11/63 300 bp — Monthly 319
CMBX NA BBB-.6 Index BBB-/P 4,605 38,000 4,138 5/11/63 300 bp — Monthly 485
CMBX NA BBB-.6 Index BBB-/P 5,923 50,000 5,445 5/11/63 300 bp — Monthly 503
CMBX NA BBB-.6 Index BBB-/P 8,313 65,000 7,079 5/11/63 300 bp — Monthly 1,267
CMBX NA BBB-.6 Index BBB-/P 12,211 94,000 10,237 5/11/63 300 bp — Monthly 2,022
CMBX NA BBB-.6 Index BBB-/P 9,936 104,000 11,326 5/11/63 300 bp — Monthly (1,337)
CMBX NA BBB-.6 Index BBB-/P 13,353 109,000 11,870 5/11/63 300 bp — Monthly 1,538
CMBX NA BBB-.6 Index BBB-/P 18,054 141,000 15,355 5/11/63 300 bp — Monthly 2,769
CMBX NA BBB-.6 Index BBB-/P 18,684 164,000 17,860 5/11/63 300 bp — Monthly 906
CMBX NA BBB-.6 Index BBB-/P 24,655 164,000 17,860 5/11/63 300 bp — Monthly 6,878
CMBX NA BBB-.6 Index BBB-/P 19,950 170,000 18,513 5/11/63 300 bp — Monthly 1,522
CMBX NA BBB-.6 Index BBB-/P 19,918 204,000 22,216 5/11/63 300 bp — Monthly (2,196)
CMBX NA BBB-.6 Index BBB-/P 24,251 206,000 22,433 5/11/63 300 bp — Monthly 1,921
CMBX NA BBB-.6 Index BBB-/P 25,446 215,000 23,414 5/11/63 300 bp — Monthly 2,140
CMBX NA BBB-.6 Index BBB-/P 24,997 218,000 23,740 5/11/63 300 bp — Monthly 1,366
CMBX NA BBB-.6 Index BBB-/P 49,325 291,000 31,690 5/11/63 300 bp — Monthly 17,780
CMBX NA BBB-.6 Index BBB-/P 48,789 348,000 37,897 5/11/63 300 bp — Monthly 11,066
CMBX NA BBB-.6 Index BBB-/P 64,507 433,000 47,154 5/11/63 300 bp — Monthly 17,570
CMBX NA BBB-.6 Index BBB-/P 41,997 449,000 48,896 5/11/63 300 bp — Monthly (6,675)
CMBX NA BBB-.6 Index BBB-/P 61,333 542,000 59,024 5/11/63 300 bp — Monthly 2,580
CMBX NA BBB-.6 Index BBB-/P 76,220 629,000 68,498 5/11/63 300 bp — Monthly 8,036
Upfront premium received 18,422,977 Unrealized appreciation 3,103,764
Upfront premium (paid) — Unrealized (depreciation) (479,141)
Total $18,422,977 Total $2,624,623
* 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, 2019. 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 4/30/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(56) $6,000 $40 5/11/63 (200 bp) — Monthly $(18)
CMBX NA BB.10 Index (64,144) 585,000 56,745 11/17/59 (500 bp) — Monthly (7,887)
CMBX NA BB.10 Index (30,474) 292,000 28,324 11/17/59 (500 bp) — Monthly (2,393)
CMBX NA BB.11 Index (113,495) 876,000 95,396 11/18/54 (500 bp) — Monthly (18,828)
CMBX NA BB.9 Index (123,167) 876,000 105,996 9/17/58 (500 bp) — Monthly (17,901)
CMBX NA BB.9 Index (97,972) 636,000 76,956 9/17/58 (500 bp) — Monthly (21,546)
CMBX NA BB.9 Index (98,414) 636,000 76,956 9/17/58 (500 bp) — Monthly (21,988)
CMBX NA BB.9 Index (97,309) 632,000 76,472 9/17/58 (500 bp) — Monthly (21,364)
CMBX NA BB.9 Index (78,503) 584,000 70,664 9/17/58 (500 bp) — Monthly (8,326)
CMBX NA BB.9 Index (75,916) 584,000 70,664 9/17/58 (500 bp) — Monthly (5,738)
CMBX NA BB.9 Index (49,471) 316,000 38,236 9/17/58 (500 bp) — Monthly (11,498)
CMBX NA BB.9 Index (17,878) 112,000 13,552 9/17/58 (500 bp) — Monthly (4,419)
CMBX NA BBB-.6 Index (20,351) 184,000 20,038 5/11/63 (300 bp) — Monthly (344)
Credit Suisse International
CMBX NA BB.10 Index (80,855) 606,000 58,782 11/17/59 (500 bp) — Monthly (22,578)
CMBX NA BB.10 Index (71,945) 605,000 58,685 11/17/59 (500 bp) — Monthly (13,764)
CMBX NA BB.10 Index (39,651) 319,000 30,943 11/17/59 (500 bp) — Monthly (8,974)
CMBX NA BB.7 Index (43,155) 2,445,000 531,054 5/11/63 (500 bp) — Monthly 485,857
CMBX NA BB.7 Index (99,427) 539,000 64,950 1/17/47 (500 bp) — Monthly (34,926)
CMBX NA BB.7 Index (37,503) 228,000 27,474 1/17/47 (500 bp) — Monthly (10,219)
CMBX NA BB.9 Index (156,273) 979,000 118,459 9/17/58 (500 bp) — Monthly (38,630)
CMBX NA BB.9 Index (56,515) 367,000 44,407 9/17/58 (500 bp) — Monthly (12,413)
CMBX NA BB.9 Index (46,100) 322,000 38,962 9/17/58 (500 bp) — Monthly (7,407)
CMBX NA BB.9 Index (48,964) 319,000 38,599 9/17/58 (500 bp) — Monthly (10,631)
CMBX NA BB.9 Index (45,914) 303,000 36,663 9/17/58 (500 bp) — Monthly (9,504)
CMBX NA BB.9 Index (34,410) 220,000 26,620 9/17/58 (500 bp) — Monthly (7,973)
CMBX NA BB.9 Index (27,140) 174,000 21,054 9/17/58 (500 bp) — Monthly (6,231)
CMBX NA BB.9 Index (27,140) 174,000 21,054 9/17/58 (500 bp) — Monthly (6,231)
Goldman Sachs International
CMBX NA BB.6 Index (104,038) 1,017,000 220,892 5/11/63 (500 bp) — Monthly 116,007
CMBX NA BB.7 Index (71,729) 474,000 57,117 1/17/47 (500 bp) — Monthly (15,007)
CMBX NA BB.6 Index (19,578) 134,000 29,105 5/11/63 (500 bp) — Monthly 9,415
CMBX NA BB.7 Index (135,933) 804,000 96,882 1/17/47 (500 bp) — Monthly (39,721)
CMBX NA BB.7 Index (84,052) 513,000 61,817 1/17/47 (500 bp) — Monthly (22,663)
CMBX NA BB.7 Index (57,666) 284,000 34,222 1/17/47 (500 bp) — Monthly (23,681)
CMBX NA BB.7 Index (31,765) 174,000 20,967 1/17/47 (500 bp) — Monthly (10,943)
CMBX NA BB.9 Index (18,626) 117,000 14,157 9/17/58 (500 bp) — Monthly (4,566)
CMBX NA BB.9 Index (8,945) 56,000 6,776 9/17/58 (500 bp) — Monthly (2,216)
CMBX NA BB.9 Index (8,847) 56,000 6,776 9/17/58 (500 bp) — Monthly (2,118)
JPMorgan Securities LLC
CMBX NA BB.6 Index (84,642) 602,000 130,754 5/11/63 (500 bp) — Monthly 45,611
CMBX NA BB.6 Index (64,085) 442,000 96,002 5/11/63 (500 bp) — Monthly 31,549
CMBX NA BB.6 Index (26,464) 184,000 39,965 5/11/63 (500 bp) — Monthly 13,348
CMBX NA BB.6 Index (133) 1,000 217 5/11/63 (500 bp) — Monthly 83
CMBX NA BB.7 Index (611,741) 4,834,000 582,497 1/17/47 (500 bp) — Monthly (33,271)
CMBX NA BB.9 Index (39,347) 278,000 33,638 9/17/58 (500 bp) — Monthly (5,941)
CMBX NA BB.9 Index (26,674) 169,000 20,449 9/17/58 (500 bp) — Monthly (6,366)
CMBX NA BB.9 Index (19,207) 136,000 16,456 9/17/58 (500 bp) — Monthly (2,865)
CMBX NA BB.9 Index (13,261) 85,000 10,285 9/17/58 (500 bp) — Monthly (3,047)
CMBX NA BB.9 Index (1,840) 12,000 1,452 9/17/58 (500 bp) — Monthly (398)
CMBX NA BBB-.7 Index (138,115) 3,640,000 131,768 1/17/47 (300 bp) — Monthly (8,167)
CMBX NA BBB-.7 Index (11,036) 304,000 11,005 1/17/47 (300 bp) — Monthly (31)
Merrill Lynch International
CMBX NA BB.10 Index (34,710) 292,000 28,324 11/17/59 (500 bp) — Monthly (6,629)
CMBX NA BB.10 Index (30,774) 292,000 28,324 11/17/59 (500 bp) — Monthly (2,693)
CMBX NA BB.7 Index (29,492) 170,000 20,485 1/17/47 (500 bp) — Monthly (9,148)
CMBX NA BB.9 Index (126,691) 810,000 98,010 9/17/58 (500 bp) — Monthly (29,356)
CMBX NA BB.9 Index (38,226) 292,000 35,332 9/17/58 (500 bp) — Monthly (3,137)
CMBX NA BB.9 Index (42,318) 289,000 34,969 9/17/58 (500 bp) — Monthly (7,590)
CMBX NA BB.9 Index (43,313) 276,000 33,396 9/17/58 (500 bp) — Monthly (10,147)
CMBX NA BB.9 Index (40,370) 274,000 33,154 9/17/58 (500 bp) — Monthly (7,444)
CMBX NA BB.9 Index (39,475) 258,000 31,218 9/17/58 (500 bp) — Monthly (8,472)
CMBX NA BBB-.7 Index (75,310) 919,000 33,268 1/17/47 (300 bp) — Monthly (42,502)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (34,235) 336,000 12,163 1/17/47 (300 bp) — Monthly (22,240)
CMBX NA BB.10 Index (30,624) 292,000 28,324 11/17/59 (500 bp) — Monthly (2,543)
CMBX NA BB.7 Index (166,515) 828,000 99,774 1/17/47 (500 bp) — Monthly (67,431)
CMBX NA BB.7 Index (142,886) 741,000 89,291 1/17/47 (500 bp) — Monthly (54,213)
CMBX NA BB.7 Index (131,385) 651,000 78,446 1/17/47 (500 bp) — Monthly (53,482)
CMBX NA BB.7 Index (57,259) 306,000 36,873 1/17/47 (500 bp) — Monthly (20,641)
CMBX NA BB.9 Index (29,533) 205,000 24,805 9/17/58 (500 bp) — Monthly (4,899)
CMBX NA BB.9 Index (22,495) 169,000 20,449 9/17/58 (500 bp) — Monthly (2,187)
CMBX NA BB.9 Index (22,550) 166,000 20,086 9/17/58 (500 bp) — Monthly (2,602)
CMBX NA BB.9 Index (24,292) 161,000 19,481 9/17/58 (500 bp) — Monthly (4,945)
CMBX NA BB.9 Index (22,012) 161,000 19,481 9/17/58 (500 bp) — Monthly (2,666)
CMBX NA BB.9 Index (17,446) 116,000 14,036 9/17/58 (500 bp) — Monthly (3,506)
CMBX NA BB.9 Index (15,719) 101,000 12,221 9/17/58 (500 bp) — Monthly (3,582)
CMBX NA BB.9 Index (11,806) 78,000 9,438 9/17/58 (500 bp) — Monthly (2,433)
CMBX NA BB.9 Index (11,806) 78,000 9,438 9/17/58 (500 bp) — Monthly (2,433)
CMBX NA BBB-.7 Index (30,222) 476,000 17,231 1/17/47 (300 bp) — Monthly (13,228)
Upfront premium received — Unrealized appreciation 701,870
Upfront premium (paid) (4,531,330) Unrealized (depreciation) (902,881)
Total $(4,531,330) Total $(201,011)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/19 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized depreciation
NA HY Series 32 Index $1,262,808 $21,160,000 $1,615,227 6/20/24 (500 bp) — Quarterly $(452,341)
Total $1,262,808 $(452,341)
* 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
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
CZK Czech Koruna
EUR Euro
GBP British Pound
ILS Israeli Shekel
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
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.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
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, 2018 through April 30, 2019 (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 $555,215,946.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $25,464, or less than 0.1% of net assets.
(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
7/31/18		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as  of
4/30/19
Short-term investments
Putnam Short Term Investment Fund* $58,463,800 $141,020,336 $138,175,947 $662,747 $61,308,189
Total Short-term investments $58,463,800 $141,020,336 $138,175,947 $662,747 $61,308,189
* 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 $250,063.
(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 $11,654,157.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $7,680,457.
(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.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(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.
At the close of the reporting period, the fund maintained liquid assets totaling $282,847,554 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
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 89.2%
Greece 1.9
Argentina 1.5
Brazil 1.4
Mexico 1.2
Indonesia 0.9
Canada 0.5
Russia 0.5
Other 2.9
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.
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.
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, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
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 posted to the fund which cannot be sold or repledged totaled $277,403 at the close of the reporting period.
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 $11,302,747 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $11,654,157 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*:
Capital goods $2,148 $— $—
Consumer cyclicals — 60,426 —
Energy — 164 8,747
Health care 19,121 — —
Technology 267,254 — —
Utilities and power — 139,842 —
Total common stocks 288,523 200,432 8,747
Asset-backed securities — 3,528,065 —
Convertible bonds and notes — 21,620,994 —
Convertible preferred stocks — 6,400 —
Corporate bonds and notes — 132,281,874 825
Foreign government and agency bonds and notes — 70,525,270 —
Mortgage-backed securities — 244,289,391 —
Preferred stocks 427,770 — —
Purchased options outstanding — 346,535 —
Purchased swap options outstanding — 15,901,396 —
Senior loans — 9,379,941 —
U.S. government and agency mortgage obligations — 445,003,668 —
U.S. treasury obligations — 663,533 —
Short-term investments 61,613,189 20,703,552 —
Totals by level $62,329,482 $964,451,051 $9,572
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $1,296,567 $—
Futures contracts (13,821) — —
Written options outstanding — (489,647) —
Written swap options outstanding — (12,551,603) —
Forward premium swap option contracts — (2,377,690) —
TBA sale commitments — (267,144,144) —
Interest rate swap contracts — (3,428,977) —
Total return swap contracts — 694,097 —
Credit default contracts — (13,183,184) —
Totals by level $(13,821) $(297,184,581) $—
* 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.
Fair Value of Derivative Instruments as  of
the close of the reporting period
  Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments
under ASC 815		 Fair value Fair value
Credit contracts $4,330,319 $17,513,503
Foreign exchange contracts 2,695,531 1,365,136
Interest rate contracts 28,363,759 30,317,297
Total $35,389,609 $49,195,936

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 TBA commitment option contracts (contract amount) $316,300,000
Purchased currency option contracts (contract amount) $59,900,000
Purchased swap option contracts (contract amount) $1,940,300,000
Written TBA commitment option contracts (contract amount) $447,400,000
Written swap option contracts (contract amount) $1,602,500,000
Futures contracts (number of contracts) 500
Forward currency contracts (contract amount) $494,900,000
OTC interest rate swap contracts (notional) $5,500,000
Centrally cleared interest rate swap contracts (notional) $3,302,000,000
OTC total return swap contracts (notional) $55,300,000
Centrally cleared total return swap contracts (notional) $273,200,000
OTC credit default contracts (notional) $187,400,000
Centrally cleared credit default contracts (notional) $19,300,000

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