NPORT-EX 3 b_074nport063021.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Master Intermediate Income Trust
The fund's portfolio
6/30/21 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (63.1%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.6%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $68,316 $78,185
5.00%, with due dates from 5/20/49 to 3/20/50 226,656 251,011
4.00%, TBA, 7/1/51 4,000,000 4,223,040
3.50%, with due dates from 9/20/49 to 3/20/50 1,008,599 1,087,802
5,640,038
U.S. Government Agency Mortgage Obligations (60.5%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 87,160 96,296
4.50%, 5/1/49 27,274 29,660
Uniform Mortgage-Backed Securities
5.50%, TBA, 7/1/51 3,000,000 3,347,414
4.50%, TBA, 7/1/51 4,000,000 4,303,434
4.00%, TBA, 7/1/51 29,000,000 30,878,200
3.50%, TBA, 7/1/51 24,000,000 25,259,988
3.00%, TBA, 7/1/51 22,000,000 22,935,004
2.50%, TBA, 7/1/51 10,000,000 10,342,968
2.00%, TBA, 8/1/51 5,000,000 5,042,066
2.00%, TBA, 7/1/51 30,000,000 30,312,162
132,547,192
Total U.S. government and agency mortgage obligations (cost $138,353,031) $138,187,230








U.S. TREASURY OBLIGATIONS (0.1%)(a)
        Principal amount Value
U.S. Treasury Notes 1.125%, 2/28/27(i) $113,000 $114,233
Total U.S. treasury obligations (cost $114,233) $114,233








MORTGAGE-BACKED SECURITIES (47.0%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (24.9%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.577%, 4/15/40 $880,172 $88,184
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.159%, 9/25/50 6,368,375 1,241,833
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.127%, 12/15/47 1,244,714 149,366
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.027%, 8/15/56 3,173,806 726,135
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.027%, 4/15/47 701,912 138,412
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.959%, 1/25/50 4,595,708 789,333
REMICs Ser. 4813, IO, 5.50%, 8/15/48 1,592,002 339,955
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 891,032 133,655
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 4,912,975 718,381
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 3,411,949 487,580
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 4,039,057 698,467
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 6,057,441 947,427
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 4,287,186 752,954
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 487,289 59,567
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 265,406 31,398
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 889,165 105,107
REMICs Ser. 4425, IO, 4.00%, 1/15/45 1,138,310 128,857
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,054,171 151,664
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 685,276 90,893
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 16,526 3
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 1,700,796 151,609
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 899,776 49,393
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 416,137 9,318
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 417,141 29,712
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 373,689 22,347
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 7,185,967 871,298
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 9,742,560 1,284,470
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 1,762,384 122,932
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 745,085 46,797
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 241,005 6,232
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.38%, 7/25/43(WAC) 988,093 9,881
Federal National Mortgage Association
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 6.359%, 4/25/42 456,219 69,982
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.309%, 4/25/40 437,427 87,805
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.159%, 3/25/48 2,366,843 435,378
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.109%, 6/25/48 4,935,288 744,695
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.059%, 5/25/47 5,021,815 819,158
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.059%, 10/25/41 159,743 8,759
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.009%, 12/25/46 1,962,995 360,354
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.009%, 5/25/39 6,140,834 1,082,089
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,525,179 326,220
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,221,388 242,370
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.959%, 3/25/50 3,533,755 644,910
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.959%, 8/25/49 2,502,922 391,169
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.909%, 11/25/49 5,334,808 746,873
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.859%, 2/25/43 1,302,535 262,437
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.809%, 10/25/41 1,167,109 200,388
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 55,465 9,275
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 1,932,662 357,542
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 162,244 26,951
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50 2,797,377 446,512
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 2,988,551 542,123
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 6,795,067 1,090,763
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 222,832 42,069
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 643,382 25,735
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 9,949,769 1,442,716
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 721,153 91,139
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 259,381 12,072
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 513,226 31,693
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 1,949,365 293,175
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 557,163 65,032
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 436,335 49,869
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 388,877 31,110
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 395,367 21,959
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 489,778 24,807
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 603,529 32,756
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 253,783 4,710
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 587,984 1,995
Government National Mortgage Association
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.225%, 6/20/51 6,473,000 845,503
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.207%, 5/20/51 5,992,211 788,455
IFB Ser. 21-59, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.207%, 4/20/51 4,327,725 632,718
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.207%, 9/20/50 4,470,821 840,380
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 6.087%, 4/20/44 2,600,235 545,742
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.057%, 7/20/50 3,677,213 603,778
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.057%, 1/20/49 2,950,021 463,674
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.057%, 11/20/43 1,633,785 316,975
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.057%, 9/20/43 282,065 52,633
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.007%, 5/20/50 3,741,459 628,137
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.007%, 4/20/50 4,798,756 840,779
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.007%, 8/20/49 4,261,125 628,516
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.007%, 7/20/49 3,948,527 573,761
IFB Ser. 19-89, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.007%, 7/20/49 4,387,852 653,080
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.957%, 2/20/50 448,055 54,312
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.957%, 1/20/50 2,513,829 418,441
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.957%, 12/20/49 2,582,088 392,097
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.957%, 9/20/49 4,134,553 613,636
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.957%, 8/20/49 149,918 21,620
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.957%, 6/20/49 196,377 25,183
IFB Ser. 20-63, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.907%, 8/20/43 3,488,683 692,434
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.507%, 8/20/44 1,290,893 226,054
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 532,238 89,794
Ser. 16-42, IO, 5.00%, 2/20/46 1,370,019 240,414
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 2,350,981 344,395
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 2,383,764 467,480
Ser. 14-76, IO, 5.00%, 5/20/44 551,729 93,477
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 397,393 70,537
Ser. 12-146, IO, 5.00%, 12/20/42 356,385 66,013
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 516,442 94,751
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 375,845 68,640
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 1,684,270 314,217
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 868,559 159,902
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 1,735,429 321,728
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 295,919 53,559
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,993,400 282,103
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 1,013,578 144,232
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 644,420 65,666
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 567,732 109,067
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 761,560 133,334
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 861,921 77,943
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 724,943 118,651
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 152,227 10,638
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 641,492 109,106
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 668,302 58,850
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,208,663 199,151
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 630,715 104,361
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 717,801 116,289
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 435,696 67,010
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 441,443 81,305
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 361,615 28,482
Ser. 16-29, IO, 4.00%, 2/16/46 622,154 103,111
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 1,771,508 260,128
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,184,654 213,238
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 1,149,152 156,733
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,090,613 111,319
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 2,826,456 381,413
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 1,661,042 90,170
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 369,002 56,601
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 1,221,971 85,719
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 329,721 46,722
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 298,285 45,922
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 746,279 108,645
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 4,316,719 507,290
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 8,165,899 943,376
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 195,710 3,638
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 930,324 89,674
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 788,870 60,355
Ser. 13-76, IO, 3.50%, 5/20/43 897,249 106,369
Ser. 13-28, IO, 3.50%, 2/20/43 252,813 25,036
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 401,256 41,177
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 653,756 65,454
Ser. 13-14, IO, 3.50%, 12/20/42 1,636,076 147,051
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 276,923 26,438
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 972,025 149,669
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,272,961 196,324
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,304,923 181,767
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 621,710 102,349
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 1,089,883 60,231
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,244,639 80,902
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 414,948 7,320
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 2,113,843 131,608
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51 5,205,045 443,884
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 6,487,679 494,686
Ser. 21-67, Class PI, IO, 3.00%, 4/20/51 10,346,132 854,748
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 5,342,498 549,408
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 3,635,013 559,508
Ser. 16-H18, Class QI, IO, 2.727%, 6/20/66(WAC) 2,556,422 202,139
Ser. 17-H02, Class BI, IO, 2.441%, 1/20/67(WAC) 2,353,018 178,589
Ser. 18-H05, Class BI, IO, 2.396%, 2/20/68(WAC) 3,782,144 352,212
Ser. 18-H05, Class AI, IO, 2.389%, 2/20/68(WAC) 1,880,883 175,157
Ser. 18-H02, Class EI, IO, 2.38%, 1/20/68(WAC) 5,143,371 475,762
Ser. 16-H23, Class NI, IO, 2.369%, 10/20/66(WAC) 9,244,360 697,949
Ser. 17-H06, Class BI, IO, 2.366%, 2/20/67(WAC) 3,654,738 282,475
Ser. 16-H22, Class AI, IO, 2.354%, 10/20/66(WAC) 3,448,867 261,076
Ser. 17-H16, Class FI, IO, 2.352%, 8/20/67(WAC) 2,757,254 208,834
Ser. 18-H03, Class XI, IO, 2.315%, 2/20/68(WAC) 3,836,992 333,818
Ser. 18-H15, Class KI, IO, 2.294%, 8/20/68(WAC) 3,122,246 263,121
Ser. 16-H16, Class EI, IO, 2.277%, 6/20/66(WAC) 3,532,638 271,307
Ser. 17-H08, Class NI, IO, 2.262%, 3/20/67(WAC) 4,684,192 353,188
Ser. 17-H12, Class QI, IO, 2.259%, 5/20/67(WAC) 3,186,991 217,056
Ser. 17-H16, Class JI, IO, 2.241%, 8/20/67(WAC) 7,737,457 702,445
Ser. 15-H20, Class CI, IO, 2.197%, 8/20/65(WAC) 3,835,230 314,105
Ser. 15-H15, Class BI, IO, 2.162%, 6/20/65(WAC) 2,146,256 150,238
Ser. 16-H17, Class KI, IO, 2.121%, 7/20/66(WAC) 2,340,999 170,797
Ser. 15-H24, Class AI, IO, 2.114%, 9/20/65(WAC) 2,907,130 190,987
Ser. 17-H19, Class MI, IO, 2.061%, 4/20/67(WAC) 1,726,601 148,488
Ser. 16-H03, Class DI, IO, 2.034%, 12/20/65(WAC) 3,554,990 226,929
Ser. 16-H06, Class DI, IO, 1.919%, 7/20/65(WAC) 4,843,804 266,608
Ser. 17-H11, Class DI, IO, 1.854%, 5/20/67(WAC) 3,404,640 265,123
Ser. 15-H25, Class EI, IO, 1.852%, 10/20/65(WAC) 2,494,901 177,138
Ser. 17-H09, IO, 1.822%, 4/20/67(WAC) 4,540,964 275,609
Ser. 15-H20, Class AI, IO, 1.815%, 8/20/65(WAC) 3,186,526 228,474
Ser. 15-H10, Class BI, IO, 1.80%, 4/20/65(WAC) 2,344,391 159,653
FRB Ser. 15-H08, Class CI, IO, 1.786%, 3/20/65(WAC) 1,798,500 111,327
Ser. 16-H03, Class AI, IO, 1.758%, 1/20/66(WAC) 3,125,717 194,813
Ser. 15-H23, Class BI, IO, 1.746%, 9/20/65(WAC) 3,422,577 224,179
Ser. 17-H16, Class IG, IO, 1.744%, 7/20/67(WAC) 6,812,785 407,336
Ser. 17-H16, Class IH, IO, 1.728%, 7/20/67(WAC) 4,964,475 286,113
Ser. 16-H09, Class BI, IO, 1.721%, 4/20/66(WAC) 4,231,514 325,403
Ser. 16-H24, Class CI, IO, 1.69%, 10/20/66(WAC) 2,264,964 139,522
Ser. 16-H14, IO, 1.675%, 6/20/66(WAC) 3,128,947 166,310
Ser. 13-H08, Class CI, IO, 1.615%, 2/20/63(WAC) 2,793,243 108,657
Ser. 16-H10, Class AI, IO, 1.552%, 4/20/66(WAC) 8,089,854 405,439
Ser. 16-H02, Class HI, IO, 1.542%, 1/20/66(WAC) 4,147,523 232,676
Ser. 14-H21, Class BI, IO, 1.532%, 10/20/64(WAC) 4,729,657 257,766
Ser. 16-H06, Class CI, IO, 1.516%, 2/20/66 4,286,281 189,869
54,485,423
Commercial mortgage-backed securities (8.4%)
BANK 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54 374,000 335,193
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 359,000 310,509
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.54%, 1/12/45(WAC) 1,319,000 1,068,390
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 339,570
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 198,914 197,919
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW14, Class XW, IO, 0.762%, 12/11/38(WAC) 223,265 1,458
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50 378,000 314,163
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.971%, 12/15/47(WAC) 409,000 402,463
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 977,241
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 5.09%, 4/10/47(WAC) 380,000 401,286
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 5.01%, 5/10/47(WAC) 647,000 504,660
FRB Ser. 14-UBS3, Class D, 4.927%, 6/10/47(WAC) 144,000 145,508
FRB Ser. 12-CR3, Class E, 4.908%, 10/15/45(WAC) 164,000 72,527
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 188,305
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.905%, 4/15/50(WAC) 527,000 384,639
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.548%, 2/10/46(WAC) 638,000 581,328
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 160,000 156,496
FRB Ser. 14-GC24, Class D, 4.669%, 9/10/47(WAC) 1,270,000 787,400
FRB Ser. 13-GC13, Class D, 4.221%, 7/10/46(WAC) 531,000 276,579
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class C, 4.235%, 7/15/45(WAC) 245,000 252,091
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.96%, 2/15/47(WAC) 1,078,000 536,734
FRB Ser. C14, Class D, 4.723%, 8/15/46(WAC) 515,000 365,018
FRB Ser. 14-C18, Class E, 4.46%, 2/15/47(WAC) 407,000 183,782
FRB Ser. 14-C23, Class D, 4.133%, 9/15/47(WAC) 244,000 246,294
FRB Ser. 14-C25, Class D, 4.095%, 11/15/47(WAC) 300,000 226,398
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 470,558
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 408,431
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.305%, 4/15/46(WAC) 581,000 469,492
Ser. 13-LC11, Class B, 3.499%, 4/15/46 221,000 225,156
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.374%, 2/12/51(WAC) 398,000 59,700
FRB Ser. 11-C3, Class F, 5.707%, 2/15/46(WAC) 410,000 76,305
FRB Ser. 11-C5, Class D, 5.611%, 8/15/46(WAC) 282,000 251,992
FRB Ser. 11-C4, Class C, 5.575%, 7/15/46(WAC) 154,059 154,759
FRB Ser. 12-C6, Class E, 5.313%, 5/15/45(WAC) 263,000 181,119
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 534,415
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.776%, 9/15/39(WAC) 782,399 835
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) 13,487 —
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 44,441 44,441
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.496%, 8/15/46(WAC) 900,000 80,910
FRB Ser. 13-C11, Class F, 4.496%, 8/15/46(WAC) 496,000 163,680
FRB Ser. 15-C23, Class D, 4.282%, 7/15/50(WAC) 546,000 551,830
FRB Ser. 13-C9, Class D, 4.248%, 5/15/46(WAC) 350,000 318,500
FRB Ser. 13-C10, Class D, 4.217%, 7/15/46(WAC) 485,000 270,439
FRB Ser. 13-C10, Class E, 4.217%, 7/15/46(WAC) 1,316,000 1,031,029
FRB Ser. 13-C10, Class F, 4.217%, 7/15/46(WAC) 975,000 312,098
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 278,334
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 372,465 367,015
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 3.842%, 3/25/50 701,000 729,914
FRB Ser. 19-01, Class M10, 3.342%, 10/15/49 289,000 293,029
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 558,952 6
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 622,000 42,296
Ser. 13-C6, Class B, 3.875%, 4/10/46(WAC) 297,000 302,176
Wells Fargo Commercial Mortgage Trust
FRB Ser. 16-NXS5, Class D, 5.151%, 1/15/59(WAC) 269,000 291,209
FRB Ser. 20-C56, Class C, 3.871%, 6/15/53(WAC) 281,000 298,251
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.435%, 7/15/46(WAC) 188,000 94,000
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 196,017
Ser. 16-C33, Class D, 3.123%, 3/15/59 282,000 267,425
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 536,602
18,557,914
Residential mortgage-backed securities (non-agency) (13.7%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.282%, 5/25/47 451,166 241,985
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.64%, 11/27/36(WAC) 671,275 537,020
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.592%, 1/25/36 70,866 88,837
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.272%, 11/25/47 264,052 209,793
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.442%, 3/25/37 943,666 876,980
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 1,000,000 1,035,000
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.223%, 6/25/46(WAC) 291,543 317,432
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 1.616%, 9/25/35 280,591 269,305
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.076%, 8/25/46 103,878 100,280
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.056%, 6/25/46 310,872 285,011
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 0.792%, 9/25/35 345,273 323,071
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 0.751%, 11/20/35 388,557 371,940
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.472%, 8/25/46 313,471 289,073
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.472%, 8/25/46 1,952,915 1,767,431
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.592%, 5/25/28 266,399 300,481
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.092%, 7/25/28 888,516 1,008,734
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.442%, 4/25/28 570,722 645,271
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.292%, 10/25/27 395,417 452,668
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, Class B, (1 Month US LIBOR + 8.80%), 8.892%, 3/25/28 385,527 417,676
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.642%, 12/25/27 683,347 744,835
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 3.942%, 3/25/29 250,000 259,288
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.392%, 9/25/30 597,876 605,702
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.518%, 10/25/50 176,000 235,840
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.342%, 4/25/49 106,000 122,867
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.092%, 10/25/48 448,000 532,014
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.842%, 1/25/49 141,000 160,888
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.592%, 3/25/49 118,000 134,300
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.092%, 8/25/50 609,000 749,070
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.092%, 7/25/50 430,000 520,300
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.242%, 7/25/49 135,000 148,802
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.842%, 9/25/48 174,000 186,203
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 5.842%, 7/25/50 298,000 319,581
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 325,268
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 667,328
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.342%, 10/25/48 380,000 396,150
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 3.992%, 9/25/48 190,000 196,776
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.792%, 12/25/30 260,000 268,979
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.192%, 3/25/50 367,000 372,483
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.742%, 1/25/49 148,965 151,098
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.542%, 3/25/49 121,504 123,174
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.442%, 2/25/49 147,680 149,139
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.392%, 10/25/48 120,000 121,343
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.842%, 10/25/28 89,586 105,745
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.342%, 9/25/28 1,112,571 1,384,154
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.842%, 10/25/28 566,379 697,288
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.842%, 8/25/28 367,306 447,820
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.842%, 1/25/29 119,610 141,728
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.342%, 4/25/29 19,864 22,811
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 5.992%, 10/25/28 554,271 584,626
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.792%, 4/25/28 1,018,062 1,078,521
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.642%, 4/25/28 35,566 37,561
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.592%, 9/25/29 477,000 518,636
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.092%, 7/25/25 54,629 55,457
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.942%, 10/25/29 1,170,000 1,253,677
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.592%, 12/25/30 283,000 295,152
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.542%, 5/25/30 82,000 85,208
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.542%, 2/25/30 60,000 62,250
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.092%, 5/25/25 9,259 9,463
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.692%, 1/25/30 182,000 189,776
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 3.642%, 7/25/30 457,000 468,425
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.092%, 10/25/29 472,419 486,927
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.592%, 5/25/30 244,310 247,130
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.342%, 7/25/30 46,563 47,179
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.192%, 3/25/31 67,304 68,089
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.192%, 9/25/31 556,000 571,952
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 3.742%, 2/25/40 504,000 519,838
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.542%, 7/25/31 32,370 32,582
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.452%, 5/25/36 515,015 175,348
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.402%, 5/25/37 270,965 224,857
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.613%, 5/19/35 275,948 132,961
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.292%, 6/25/37 480,374 247,558
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 330,000 330,000
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 285,672 273,686
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 0.887%, 8/25/35 67,585 66,396
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.792%, 3/25/28 (Bermuda) 794,000 802,298
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 0.522%, 5/25/46 241,921 216,519
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.512%, 8/25/36 311,919 301,002
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.212%, 8/25/36 259,221 245,971
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 216,000 234,426
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.072%, 10/25/45 147,451 146,616
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, Class 1A1, 2.621%, 4/25/36(WAC) 153,621 154,369
29,993,418
Total mortgage-backed securities (cost $118,063,072) $103,036,755








CORPORATE BONDS AND NOTES (21.7%)(a)
        Principal amount Value
Basic materials (1.3%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $151,000 $165,345
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 38,000 39,876
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 45,000 44,885
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 115,000 126,644
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 90,000 95,630
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29 120,000 118,800
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 175,000 188,125
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 63,000 65,205
CVR Partners LP/CVR Nitrogen Finance Corp. 144A company guaranty sr. notes 6.125%, 6/15/28 15,000 15,375
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec. bonds 4.375%, 4/1/31 (Australia) 120,000 128,380
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 60,000 65,700
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 60,000 63,375
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 203,000 208,796
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 4.50%, 4/1/26 (Canada) 45,000 45,000
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) 30,000 31,950
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 95,000 94,525
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging Ltd Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) 25,000 26,000
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 160,000 161,000
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 35,000 36,225
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 121,000 124,326
Mercer International, Inc. 144A sr. unsec. notes 5.125%, 2/1/29 (Canada) 70,000 72,030
NOVA Chemicals Corp. 144A sr. unsec. sub. notes 4.25%, 5/15/29 (Canada) 55,000 55,550
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 145,000 150,837
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 80,000 84,000
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 45,000 44,995
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada) 105,000 109,463
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 225,000 230,063
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 90,000 90,898
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 121,000 133,750
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 4.875%, 6/15/27 80,000 84,824
2,901,572
Capital goods (2.2%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 60,000 58,972
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 234,000 243,072
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 121,181
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 35,000 35,875
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 330,000 340,725
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 72,000 76,679
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 183,750
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 20,000 20,650
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 23,000 22,721
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 121,661
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 41,000 42,234
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 260,000 282,100
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 40,000 40,400
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 159,000 169,384
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 125,000 136,275
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 301,000 306,358
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 190,000 193,800
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 120,000 121,800
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 352,000 364,579
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 208,000 223,080
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 60,000 62,550
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 86,000 89,093
TransDigm, Inc. company guaranty sr. unsec. sub.notes 5.50%, 11/15/27 148,000 154,290
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 672,000 708,960
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 120,000 121,140
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 80,000 80,028
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 223,000 230,192
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 115,000 128,093
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 55,000 59,439
4,739,081
Communication services (2.2%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 266,000 275,017
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 970,000 1,060,307
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 60,000 63,450
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 55,000 57,267
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 199,000 208,701
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 82,000 83,743
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 130,044
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 165,000 177,169
DISH DBS Corp. 144A company guaranty sr. unsec. notes 5.125%, 6/1/29 79,000 78,007
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 90,000 96,413
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 105,000 111,643
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Luxembourg) 6,000 6,197
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 272,055
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 61,000 63,313
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 66,000 66,974
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 3.625%, 1/15/29 55,000 53,075
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 42,600
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 260,000 333,450
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 125,000 152,500
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 433,000 491,921
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 190,000 192,808
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 50,000 55,891
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 125,000 138,125
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 80,000 79,400
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 20,229
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 45,804
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 55,000 54,313
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 148,000 158,545
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 56,052
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 78,375
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 3.625%, 6/15/29 (Canada) 25,000 25,493
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 165,105
4,893,986
Consumer cyclicals (4.4%)
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 $60,000 61,483
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 55,000 54,450
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27(PIK) 105,000 107,625
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 55,000 56,925
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 110,000 114,125
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada) 80,000 80,600
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 55,000 54,916
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 110,000 112,613
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 25,000 27,375
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 85,000 87,125
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 80,000 82,018
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 320,000 323,200
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 144,000 93,240
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 92,000 45,184
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 120,000 124,514
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 244,000 253,760
Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 152,000 187,396
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 220,250
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 135,000 137,700
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 20,000 20,300
Hanesbrands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/15/25 45,000 47,644
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 125,000 132,500
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 88,000 91,740
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 130,811 139,150
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 271,721 291,081
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 76,619
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 150,000 167,813
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 194,000 203,031
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 268,000 277,045
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 65,000 67,549
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 31,000 33,015
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 128,000 150,720
L Brands, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 25,000 32,313
L Brands, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 55,000 63,663
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 117,653
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $57,000 56,669
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 46,000 46,736
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 99,000 103,097
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 60,000 66,588
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 110,000 109,725
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 47,686
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 160,000 167,200
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 125,000 127,688
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 170,000 185,300
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 195,000 202,800
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 25,000 25,938
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 97,000 100,880
Meredith Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/1/25 110,000 118,663
Motion Bondco DAC company guaranty sr. notes Ser. REGS, 4.50%, 11/15/27 (Ireland) EUR 110,000 126,958
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 $110,000 113,644
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 90,000 93,938
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 90,000 90,900
Nexstar Broadcasting, Inc. 144A sr. unsec. notes 4.75%, 11/1/28 55,000 56,513
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 160,000 169,600
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 58,000 59,668
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 80,000 84,487
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 40,000 40,112
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. bonds 4.75%, 7/15/31 40,000 40,100
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 295,000 310,759
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 55,000 53,350
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 115,000 122,331
QVC, Inc. company guaranty sr. notes 4.375%, 9/1/28 100,000 102,000
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 25,000 25,350
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 278,000 330,495
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 65,000 67,113
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 168,000 174,338
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 120,000 125,250
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29 110,000 105,600
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 95,000 96,861
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 60,000 58,950
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 125,000 128,750
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 115,000 123,936
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 58,300
Square, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31 75,000 75,656
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 45,000 43,074
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 10,467
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 115,000 116,960
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 105,000 103,688
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 125,000 135,485
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 50,000 56,450
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 65,000 71,663
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 115,000 124,608
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 40,000 40,300
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 10,000 10,800
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 60,000 61,949
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 25,000 25,000
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 103,525
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. notes 6.375%, 5/15/25 70,000 74,471
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 150,000 161,115
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 145,000 153,156
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 35,000 37,713
9,660,688
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 80,000 77,400
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 77,000 78,059
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 101,125
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 35,000 37,328
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 260,000 271,947
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 18,000 18,238
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 227,000 229,320
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 60,000 64,801
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 115,088
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 104,000 110,753
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 85,000 94,031
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 162,299
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 38,287
Loxam SAS notes 3.75%, 7/15/26 (France) EUR 100,000 121,178
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 $130,000 132,275
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 118,000 124,048
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 60,000 62,392
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 60,000 76,635
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 139,500
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 230,000 282,309
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 72,876
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 35,000 41,626
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 66,000 73,013
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 105,000 117,088
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.125%, 1/15/28 95,000 100,012
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 59,000 63,484
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 55,000 54,725
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 59,538
2,919,375
Energy (3.8%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 65,000 72,645
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 15,000 17,063
Antero Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 40,000 40,825
Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 35,000 37,905
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 36,000 38,322
Callon Petroleum Co. company guaranty sr. unsec. notes 6.125%, 10/1/24 110,000 108,437
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 55,000 59,950
ChampionX corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 103,000 107,882
Cheniere Energy Partners LP 144A company guaranty sr. unsec. bonds 4.00%, 3/1/31 90,000 94,050
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 23,000 23,863
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 80,000 81,600
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 117,000 129,431
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 110,000 116,325
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 105,000 109,261
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 127,000 152,083
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 56,000 63,560
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 60,000 83,850
Devon Energy Corp. 144A sr. unsec. notes 5.25%, 10/15/27 64,000 68,985
DT Midstream, Inc. 144A sr. unsec. bonds 4.375%, 6/15/31 30,000 30,654
DT Midstream, Inc. 144A sr. unsec. notes 4.125%, 6/15/29 25,000 25,383
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 238,000 242,760
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 196,000 208,985
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 115,000 123,050
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 156,000 164,797
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 10,000 11,150
Global Partners LP/GLP Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 20,000 21,450
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 102,000 106,973
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 217,000 226,331
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 195,000 199,388
Indigo Natural Resources, LLC 144A sr. unsec. notes 5.375%, 2/1/29 230,000 240,350
ITT Holdings, LLC 144A sr. unsec. notes 6.50%, 8/1/29 90,000 91,688
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 196,000 202,615
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 70,097 73,602
Northriver Midstream Finance LP 144A sr. notes 5.625%, 2/15/26 (Canada) 87,000 90,045
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 40,000 41,709
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 200,000 240,000
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 40,000 53,108
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25 65,000 65,480
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 169,000 194,139
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 879,000 984,480
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 460,636
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 16,459
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 824,000 33,990
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.50%, 1/23/29 (Mexico) 432,000 451,041
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 1,420,000 1,379,530
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 51,000 52,658
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) 20,000 20,600
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 80,000 84,100
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 51,000 52,403
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 49,000 49,858
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 65,000 66,788
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 30,000 33,850
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 130,000 132,275
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 35,000 39,432
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 185,000 200,488
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.50%, 3/1/30 35,000 38,488
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 41,325 41,635
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 88,000 88,440
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 36,460
8,323,305
Financials (2.8%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 105,000 110,636
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 30,000 30,450
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 105,000 126,096
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) $200,000 224,837
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 272,250
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 118,848
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 227,884
Diversified Healthcare Trust company guaranty sr. unsec. notes 9.75%, 6/15/25(R) 230,000 254,699
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 45,000 45,844
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 54,789
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 40,000 40,250
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 35,000 36,101
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 70,000 71,400
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 97,036
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 104,000 110,344
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5.25%, 5/15/27 25,000 25,813
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 4.375%, 2/1/29 64,000 63,680
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 15,862
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 217,633
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 90,000 94,275
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 156,000 164,190
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 122,000 125,508
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 930,000 923,034
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 38,000 38,000
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 125,000 127,188
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 115,000 114,856
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 60,000 62,177
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 93,000 93,756
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30 35,000 34,825
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) 570,000 618,270
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 69,883
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 269,000 303,593
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 120,000 130,529
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 45,000 49,891
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 110,000 115,775
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 105,000 108,528
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 235,000 237,938
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 41,000 46,420
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 150,000 156,000
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 83,000 84,660
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 211,750
6,055,498
Health care (2.0%)
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 150,000 163,125
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 105,000 107,301
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 55,000 56,650
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 80,000 79,124
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 155,000 158,875
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29 50,000 46,625
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 65,000 66,528
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 55,000 56,500
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 250,000 274,375
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 89,000 93,005
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 82,000 85,690
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 60,000 62,250
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 55,000 55,619
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 305,000 328,638
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 10,000 10,675
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 45,000 47,925
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 105,000 103,866
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 130,000 152,135
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) 45,000 44,100
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 55,000 56,581
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 245,000 281,934
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 55,000 58,595
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 207,360
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 110,000 132,764
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) $105,000 106,050
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 60,000 61,650
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 168,175
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 40,000 39,192
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 40,000 40,827
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 240,000 243,528
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 28,000 29,225
Tenet Healthcare Corp. 144A company guaranty sr. notes 7.50%, 4/1/25 30,000 32,404
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 235,000 246,456
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 249,000 258,263
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 95,000 96,188
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 219,000
4,271,198
Technology (0.9%)
Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28 105,000 108,627
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 20,000 21,114
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 105,000 108,019
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 80,000 80,076
Dell International, LLC/EMC Corp. company guaranty sr. notes 6.02%, 6/15/26 260,000 312,137
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 152,000 155,906
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25 54,000 59,873
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 126,000 129,623
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25 119,000 124,934
Plantronics, Inc. 144A company guaranty sr. unsec. notes 4.75%, 3/1/29 155,000 153,873
Qorvo, Inc. 144A company guaranty sr. unsec. bonds 3.375%, 4/1/31 125,000 130,278
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 105,000 103,950
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 65,000 68,819
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 45,000 47,363
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 90,000 90,000
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 65,000 66,706
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 120,000 122,400
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 44,000 48,895
1,932,593
Transportation (0.2%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 120,000 129,750
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 120,000 127,050
Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 170,000 188,999
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 45,000 46,575
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 45,000 46,583
538,957
Utilities and power (0.6%)
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 29,000 29,508
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 45,000 46,139
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 58,000 59,668
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 173,400
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 25,000 24,875
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 10,000 9,831
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 94,000 97,525
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 27,000 27,951
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 170,000 181,022
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 49,000 52,124
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 110,000 112,481
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 30,000 31,041
PG&E Corp. sr. sub. notes 5.00%, 7/1/28 105,000 106,168
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/21(F) 90,000 3
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 50,000 54,346
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 30,000 31,676
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.625%, 2/15/27 68,000 70,550
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 168,000 173,250
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 75,000 76,997
1,358,555
Total corporate bonds and notes (cost $46,113,079) $47,594,808








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (13.2%)(a)
        Principal amount Value
Angola (Republic of) sr. unsec. notes Ser. REGS, 8.25%, 5/9/28 (Angola) $950,000 $990,380
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) 960,000 1,082,373
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) (In default)(NON) 75,000 32,950
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) (In default)(NON) 2,140,000 960,774
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/22 (Argentina) (In default)(NON) 341,333 167,970
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 5.00%, 6/1/27 (Argentina) 1,477,524 1,009,254
Cordoba (Province of) 144A sr. unsec. unsub. notes 5.00%, 12/10/25 (Argentina) 556,786 426,888
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) 340,000 368,900
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 661,000 767,586
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 180,000 204,570
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 284,000 319,855
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 417,525
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 260,000 265,853
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 796,594
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 1,400,000 1,536,497
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 600,000 639,750
Egypt (Arab Republic of) 144A sr. unsec. bonds 5.875%, 2/16/31 (Egypt) 720,000 699,120
Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, 5/29/24 (Egypt) 520,000 553,436
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana) 1,800,000 1,822,500
Ghana (Republic of) 144A sr. unsec. notes 7.75%, 4/7/29 (Ghana) 550,000 561,688
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 379,000 392,946
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,020,000 1,162,800
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 396,901
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 228,001
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 735,322
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 588,004
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 1,345,000 1,662,136
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) $1,025,000 1,128,761
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,397,500
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) 710,000 778,760
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) 340,000 373,997
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 270,000 288,229
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman) 499,000 530,178
Saudi Arabia (Kingdom of) sr. unsec. notes Ser. REGS, 2.90%, 10/22/25 (Saudi Arabia) 980,000 1,049,139
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 670,000 756,229
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 360,000 386,560
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 760,000 707,750
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 430,000 450,859
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) 1,009,000 1,041,752
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 798,000 81,795
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 371,000 38,028
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,292,000 132,430
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 910,000 1,013,762
Total foreign government and agency bonds and notes (cost $29,655,665) $28,946,302








CONVERTIBLE BONDS AND NOTES (6.2%)(a)
        Principal amount Value
Capital goods (0.1%)
John Bean Technologies Corp. (JBT) 144A cv. sr. unsec. notes 0.25%, 5/15/26 $103,000 $109,283
Middleby Corp. (The) 144A cv. sr. unsec. unsub. notes 1.00%, 9/1/25 83,000 119,479
228,762
Communication services (0.4%)
Cable One, Inc. 144A company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 163,000 165,774
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 363,000 370,442
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 38,000 50,492
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 79,000 90,890
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 188,000 197,024
874,622
Consumer cyclicals (1.1%)
Alarm.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 73,000 66,941
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 161,000 227,654
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 100,000 158,875
DraftKings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 3/15/28 165,000 148,665
Expedia Group, Inc. 144A company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 166,000 179,280
Ford Motor Co. 144A cv. sr. unsec. notes zero %, 3/15/26 218,000 241,026
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 152,000 212,238
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 61,000 107,398
NCL Corp, Ltd. 144A cv. company guaranty notes 5.375%, 8/1/25 37,000 67,285
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A cv. sr. unsec. notes 0.25%, 6/15/26 115,000 115,830
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. notes 2.875%, 11/15/23 219,000 274,568
Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes zero %, 12/15/25 109,000 146,943
Square, Inc. 144A cv. sr. unsec. sub. notes 0.25%, 11/1/27 80,000 92,800
Square, Inc. 144A cv. sr. unsec. sub. notes zero %, 5/1/26 80,000 90,250
Vail Resorts, Inc. 144A cv. sr. unsec. sub. notes zero %, 1/1/26 146,000 151,475
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 83,000 106,396
2,387,624
Consumer staples (0.5%)
Airbnb, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 142,000 133,835
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 103,000 101,391
Chegg, Inc. 144A cv. sr. unsec. notes zero %, 9/1/26 111,000 115,329
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28 205,000 225,910
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 70,000 119,490
Shake Shack, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 84,000 79,549
Uber Technologies, Inc. 144A cv. sr. unsec. notes zero %, 12/15/25 91,000 92,274
Wayfair, Inc. 144A cv. sr. unsec. notes 0.625%, 10/1/25 189,000 201,285
1,069,063
Energy (0.3%)
Enphase Energy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 156,000 151,183
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 156,000 248,898
SolarEdge Technologies, Inc. 144A cv. sr. unsec. notes zero %, 9/15/25 (Israel) 72,000 90,180
Sunrun, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 87,000 77,813
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 96,000 85,522
653,596
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 108,000 110,030
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 109,000 117,993
LendingTree, Inc. 144A cv. sr. unsec. notes 0.50%, 7/15/25 97,000 87,669
Redfin Corp. 144A cv. sr. unsec. notes zero %, 10/15/25 135,000 151,403
467,095
Health care (1.0%)
1Life Healthcare, Inc. cv. sr. unsec. notes 3.00%, 6/15/25 78,000 86,143
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 91,000 91,175
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 141,000 147,257
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 252,000 311,535
Guardant Health, Inc. 144A cv. sr. unsec. sub. notes zero %, 11/15/27 123,000 139,989
Halozyme Therapeutics, Inc. 144A cv. sr. unsec. notes 0.25%, 3/1/27 156,000 144,788
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 73,000 99,234
Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, 8/15/25 114,000 125,845
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 77,000 91,587
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 152,000 166,845
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 115,000 111,694
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 42,000 56,150
Novocure, Ltd. 144A cv. sr. unsec. notes zero %, 11/1/25 (Jersey) 51,000 76,532
Omnicell, Inc. 144A cv. sr. unsec. notes 0.25%, 9/15/25 72,000 116,604
Pacira Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/25 135,000 147,994
Revance Therapeutics, Inc. cv. sr. unsec. notes 1.75%, 2/15/27 73,000 85,166
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 64,000 72,723
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 104,000 116,418
2,187,679
Technology (2.3%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 146,000 168,922
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 93,000 121,551
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 153,000 156,825
Bill.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/25 153,000 204,255
Blackline, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 106,000 101,760
Box, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 110,000 130,493
Ceridian HCM Holding, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/26 122,000 121,924
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 164,000 189,195
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 90,000 97,317
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 126,000 167,816
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25 93,000 92,423
Everbridge, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 120,000 122,550
Five9, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/25 76,000 112,338
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 107,000 125,123
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 71,000 90,482
LivePerson, Inc. 144A cv. sr. unsec. notes zero %, 12/15/26 89,000 95,230
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 138,000 148,874
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 151,000 188,146
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27 109,000 113,425
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 351,000 477,323
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 72,000 85,770
Rapid7, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/27 103,000 114,268
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 122,000 134,734
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 76,000 105,359
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 175,000 187,075
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 284,000 276,723
Twitter, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 329,000 313,784
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 116,000 163,488
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 86,000 125,242
Zscaler, Inc. 144A cv. sr. unsec. notes 0.125%, 7/1/25 100,000 156,506
Zynga, Inc. 144A cv. sr. unsec. unsub. notes zero %, 12/15/26 234,000 249,503
4,938,424
Transportation (0.2%)
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25 93,000 145,778
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 149,000 148,479
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 143,000 216,556
510,813
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 125,000 134,500
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 129,000 149,898
284,398
Total convertible bonds and notes (cost $12,624,573) $13,602,076








SENIOR LOANS (3.9%)(a)(c)
        Principal amount Value
Basic materials (0.5%)
Alpha 3 BV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 3.00%, 3/18/28 $70,000 $69,607
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.186%, 9/6/24 30,271 30,089
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.25%, 2/9/26 29,925 30,075
PQ Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.75%), 3.25%, 6/3/28 20,000 19,983
PQ Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.25%), 2.436%, 2/7/27 8,318 8,282
SCIH Salt Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.75%, 3/16/27 135,000 135,225
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 8.635%, 6/26/26 85,000 84,724
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.135%, 6/26/25 141,760 141,608
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.133%, 10/1/25 207,290 205,606
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.13%, 5/3/26 144,266 143,816
W.R. Grace & Co./CT bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 2.00%), 2.147%, 3/30/28 135,000 134,325
1,003,340
Capital goods (0.7%)
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.604%, 4/1/28 55,000 54,983
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 21,450 21,354
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.354%, 4/3/24 350,400 341,696
Filtration Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 3/29/25 69,475 69,475
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25 196,295 196,322
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.176%, 4/12/26 88,299 85,926
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.167%, 3/28/25 219,617 215,618
TK Elevator US Newco, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.25%), 4.478%, 6/30/27 208,429 208,516
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.75%), 2.836%, 3/2/27 404,890 402,141
1,596,031
Communication services (0.1%)
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 3.75%), 8.00%, 11/27/23 275,000 278,897
278,897
Consumer cyclicals (1.2%)
AppleCaramel Buyer, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 10/19/27 214,237 214,505
Cengage Learning, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.75%), 5.75%, 6/29/26 175,000 175,110
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/7/23 264,109 264,251
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 3.686%, 8/21/26 232,753 227,032
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 4/12/28 153,643 153,412
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24 100,227 100,084
Diamond Sports Group, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.25%), 3.36%, 8/24/26 98,250 58,840
Garda World Security Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.25%), 4.35%, 10/30/26 82,448 82,772
Golden Nugget, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 10/4/23 84,565 83,881
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.75%, 5/1/26 79,200 79,200
iHeartCommunications, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.104%, 5/1/26 49,250 48,789
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.60%, 11/6/24 344,587 344,587
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.75%), 2.60%, 6/19/26 125,098 124,750
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 100,000 86,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 2/28/25 157,852 152,327
Scientific Games International, Inc. bank term loan FRN Ser. B5, (1 Month US LIBOR + 2.75%), 2.854%, 8/14/24 63,684 63,206
Terrier Media Buyer, Inc. bank term loan FRN (1 Month US LIBOR + 3.50%), 3.604%, 12/17/26 123,256 122,570
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 186,106 185,641
2,566,957
Consumer staples (0.4%)
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 7/12/24 268,015 267,736
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24 388,526 381,909
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 12/15/27 39,800 39,775
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25 97,727 97,493
786,913
Energy (—%)
Blackstone CQP Holdco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.25%, 5/27/28 95,000 94,573
94,573
Financials (0.1%)
Forest City Enterprises LP bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 3.604%, 12/7/25 125,000 121,928
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25 44,327 44,296
166,224
Health care (0.4%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 1.75%), 1.85%, 2/4/27 62,946 61,950
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 3.854%, 10/10/25 104,198 88,949
Global Medical Response, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 10/5/25 233,825 234,702
Jazz Financing Lux SARL bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 4.00%, 4/22/28 (Luxembourg) 250,000 250,703
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/7/27 135,000 136,350
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.089%, 6/30/25 26,679 26,650
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 9.25%, 4/29/25 87,648 88,634
887,938
Technology (0.4%)
Arches Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 12/6/27 184,536 183,948
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.75%), 3.854%, 10/2/25 183,942 182,792
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27 94,288 94,142
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.75%, 10/8/27 179,550 179,871
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.604%, 7/2/25 151,476 148,542
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28 90,000 90,214
Rocket Software, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 4.75%, 11/28/25 60,000 58,890
938,399
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 3/24/28 55,000 57,296
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/14/28 114,713 116,114
173,410
Total senior loans (cost $8,503,340) $8,492,682








PURCHASED SWAP OPTIONS OUTSTANDING (2.3%)(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.
0.485/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.485 $18,054,200 $16,971
Goldman Sachs International
1.869/3 month USD-LIBOR-BBA/Sep-31 Sep-21/1.869 22,526,900 909,411
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 347,973
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 102,050
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 310,467
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 303,242
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 110,091
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 107,144
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 806,729
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 796,679
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 673,912
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 230,185
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 125,765
Toronto-Dominion Bank
(1.724)/3 month USD-LIBOR-BBA/Aug-26 (Canada) Aug-21/1.724 3,999,400 2,830
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 133,443
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 112,384
Total purchased swap options outstanding (cost $3,383,313) $5,089,276








PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Goldman Sachs International
EUR/USD (Call) Aug-21/$1.29 $12,399,500 EUR 12,399,500 $15
EUR/USD (Put) Aug-21/1.18 12,399,500 EUR 12,399,500 84,717
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Call) Jul-21/100.73 10,000,000 $10,000,000 44,780
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Aug-21/103.28 16,000,000 16,000,000 57,760
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Aug-21/103.41 14,000,000 14,000,000 40,628
Morgan Stanley & Co. International PLC
GBP/USD (Put) Aug-21/1.37 5,300,800 GBP 5,300,800 43,035
Total purchased options outstanding (cost $229,885) $270,935








ASSET-BACKED SECURITIES (0.4%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.047%, 7/25/24 $594,000 $594,000
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26(WAC) 133,000 133,000
RMF Buyout Issuance Trust 144A Ser. 20-2, Class M3, 4.571%, 6/25/30(WAC) 209,000 209,000
Total asset-backed securities (cost $935,997) $936,000








COMMON STOCKS (0.1%)(a)
        Shares Value
iHeartMedia, Inc. Class A(NON) 6,510 $175,314
MWO Holdings, LLC (Units)(F) 73 186
Oasis Petroleum, Inc. 378 38,008
Stearns Holdings, LLC Class B(F) 6,776 15,178
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 11,293
Tribune Media Co. Class 1C 40,066 4,007
Total common stocks (cost $236,625) $243,986








SHORT-TERM INVESTMENTS (14.1%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 0.09%(AFF) Shares 7,775,867 $7,775,867
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 100,000 100,000
U.S. Treasury Bills 0.016%, 10/7/21(SEG)(SEGSF)(SEGCCS) $5,100,000 5,099,306
U.S. Treasury Bills 0.016%, 9/2/21(SEGSF)(SEGCCS) 1,200,000 1,199,890
U.S. Treasury Bills 0.047%, 10/14/21(SEGSF)(SEGCCS)(SEGTBA) 1,000,000 999,861
U.S. Treasury Bills 0.007%, 7/6/21(SEG)(SEGSF) 900,000 899,995
U.S. Treasury Bills 0.023%, 7/20/21(SEGSF) 800,000 799,979
U.S. Treasury Bills 0.018%, 7/27/21(SEGSF)(SEGCCS) 2,600,000 2,599,913
U.S. Treasury Bills 0.022%, 8/3/21(SEG)(SEGSF)(SEGCCS) 3,500,000 3,499,850
U.S. Treasury Cash Management Bills 0.017%, 9/7/21(SEG)(SEGSF)(SEGCCS)(SEGTBA) 4,200,000 4,199,619
U.S. Treasury Cash Management Bills 0.012%, 9/21/21(SEG)(SEGSF)(SEGCCS) 1,100,000 1,099,880
U.S. Treasury Cash Management Bills 0.018%, 9/28/21(SEGSF)(SEGCCS) 1,800,000 1,799,822
U.S. Treasury Cash Management Bills 0.028%, 10/5/21(SEGSF)(SEGCCS) 900,000 899,892
Total short-term investments (cost $30,975,061) $30,973,874
TOTAL INVESTMENTS
Total investments (cost $389,187,874) $377,488,157








FORWARD CURRENCY CONTRACTS at 6/30/21 (aggregate face value $181,029,615) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
British Pound Buy 9/15/21 $442,316 $452,328 $(10,012)
Canadian Dollar Sell 7/21/21 625,839 643,808 17,969
Euro Buy 9/15/21 3,191,673 3,306,847 (115,174)
Hong Kong Dollar Sell 8/18/21 100,906 100,883 (23)
Japanese Yen Buy 8/18/21 1,391,812 1,416,548 (24,736)
New Zealand Dollar Sell 7/21/21 578,961 574,638 (4,323)
Norwegian Krone Buy 9/15/21 385,119 400,781 (15,662)
Barclays Bank PLC
Australian Dollar Buy 7/21/21 1,237,463 1,283,291 (45,828)
British Pound Sell 9/15/21 111,651 100,989 (10,662)
Canadian Dollar Sell 7/21/21 520,807 494,644 (26,163)
Euro Sell 9/15/21 3,222,668 3,313,618 90,950
Japanese Yen Buy 8/18/21 1,105,814 1,129,525 (23,711)
Citibank, N.A.
Australian Dollar Buy 7/21/21 817,150 846,467 (29,317)
British Pound Sell 9/15/21 1,971,116 2,015,294 44,178
Canadian Dollar Buy 7/21/21 202,159 193,654 8,505
Euro Sell 9/15/21 1,187,080 1,221,073 33,993
Hong Kong Dollar Sell 8/18/21 251,584 251,517 (67)
Japanese Yen Buy 8/18/21 574,881 585,133 (10,252)
New Zealand Dollar Sell 7/21/21 536,883 541,464 4,581
Credit Suisse International
Australian Dollar Sell 7/21/21 461,414 461,072 (342)
British Pound Sell 9/15/21 1,296,507 1,324,948 28,441
Canadian Dollar Sell 7/21/21 1,150,761 1,134,339 (16,422)
Euro Sell 9/15/21 1,299,304 1,336,099 36,795
Goldman Sachs International
Australian Dollar Buy 7/21/21 2,439,001 2,502,109 (63,108)
British Pound Buy 9/15/21 7,194,221 7,378,339 (184,118)
Canadian Dollar Sell 7/21/21 197,561 435,631 238,070
Euro Buy 9/15/21 7,714,001 7,828,669 (114,668)
Japanese Yen Sell 8/18/21 4,558,037 4,606,778 48,741
New Zealand Dollar Sell 7/21/21 5,031,572 5,085,306 53,734
Norwegian Krone Buy 9/15/21 4,580,643 4,717,488 (136,845)
Swedish Krona Buy 9/15/21 2,526,179 2,612,019 (85,840)
Swiss Franc Sell 9/15/21 378,044 374,217 (3,827)
HSBC Bank USA, National Association
Australian Dollar Sell 7/21/21 287,559 279,697 (7,862)
British Pound Sell 9/15/21 558,531 567,846 9,315
Canadian Dollar Buy 7/21/21 1,152,295 1,145,547 6,748
Euro Buy 9/15/21 1,149,317 1,209,202 (59,885)
Hong Kong Dollar Sell 8/18/21 984,450 984,212 (238)
Japanese Yen Buy 8/18/21 1,303,011 1,323,714 (20,703)
New Zealand Dollar Buy 7/21/21 561,766 578,225 (16,459)
Norwegian Krone Buy 9/15/21 34,818 31,798 3,020
Swiss Franc Buy 9/15/21 1,099,369 1,120,390 (21,021)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/21/21 1,642,626 1,693,150 (50,524)
British Pound Buy 9/15/21 2,587,756 2,646,305 (58,549)
Canadian Dollar Sell 7/21/21 2,252,310 2,214,102 (38,208)
Euro Buy 9/15/21 1,688,466 1,770,998 (82,532)
Japanese Yen Sell 8/18/21 1,747,352 1,771,519 24,167
New Zealand Dollar Sell 7/21/21 1,426,329 1,438,174 11,845
Norwegian Krone Buy 9/15/21 308,847 314,004 (5,157)
Swedish Krona Sell 9/15/21 1,146,359 1,145,897 (462)
Swiss Franc Buy 9/15/21 552,716 537,524 15,192
Morgan Stanley & Co. International PLC
Australian Dollar Sell 7/21/21 570,768 582,232 11,464
British Pound Buy 9/15/21 7,263,951 7,374,520 (110,569)
Canadian Dollar Sell 7/21/21 38,399 84,697 46,298
Euro Buy 9/15/21 3,365,175 3,494,535 (129,360)
Japanese Yen Buy 8/18/21 1,598,647 1,640,184 (41,537)
New Zealand Dollar Sell 7/21/21 1,275,210 1,313,542 38,332
Norwegian Krone Buy 9/15/21 1,621,613 1,670,646 (49,033)
Swedish Krona Buy 9/15/21 81,020 79,800 1,220
Swiss Franc Sell 9/15/21 521,313 537,005 15,692
NatWest Markets PLC
Australian Dollar Sell 7/21/21 293,559 280,632 (12,927)
British Pound Buy 9/15/21 1,729,552 1,768,673 (39,121)
Canadian Dollar Sell 7/21/21 2,205,766 2,191,485 (14,281)
Euro Sell 9/15/21 6,010,810 6,057,971 47,161
Japanese Yen Sell 8/18/21 790,123 799,879 9,756
New Zealand Dollar Sell 7/21/21 2,233,854 2,236,026 2,172
Swedish Krona Buy 9/15/21 748,988 775,705 (26,717)
State Street Bank and Trust Co.
Australian Dollar Sell 7/21/21 756,024 721,403 (34,621)
British Pound Buy 9/15/21 547,187 625,346 (78,159)
Canadian Dollar Sell 7/21/21 4,222,038 4,269,950 47,912
Euro Sell 9/15/21 5,660,600 5,776,626 116,026
Hong Kong Dollar Sell 8/18/21 4,142,678 4,141,371 (1,307)
Japanese Yen Sell 8/18/21 11,949,502 12,132,353 182,851
New Zealand Dollar Sell 7/21/21 1,160,229 1,136,404 (23,825)
Norwegian Krone Buy 9/15/21 1,375,524 1,385,037 (9,513)
Swedish Krona Buy 9/15/21 637,718 660,365 (22,647)
Swiss Franc Buy 9/15/21 557,265 550,068 7,197
Toronto-Dominion Bank
Australian Dollar Buy 7/21/21 1,829,607 1,879,258 (49,651)
British Pound Sell 9/15/21 664,648 680,556 15,908
Canadian Dollar Sell 7/21/21 390,041 424,847 34,806
Euro Sell 9/15/21 4,374,834 4,498,642 123,808
Hong Kong Dollar Sell 8/18/21 234,581 234,516 (65)
Japanese Yen Buy 8/18/21 1,474,106 1,504,280 (30,174)
Norwegian Krone Buy 9/15/21 1,142,030 1,187,854 (45,824)
Swedish Krona Sell 9/15/21 31,454 32,577 1,123
UBS AG
Australian Dollar Buy 7/21/21 1,336,167 1,378,414 (42,247)
British Pound Buy 9/15/21 1,664,526 1,703,051 (38,525)
Canadian Dollar Sell 7/21/21 1,658,499 1,723,626 65,127
Euro Buy 9/15/21 4,001,110 4,113,660 (112,550)
Hong Kong Dollar Sell 8/18/21 1,404 1,404 —
Japanese Yen Buy 8/18/21 7,055,224 7,190,587 (135,363)
New Zealand Dollar Sell 7/21/21 2,641,426 2,658,625 17,199
Norwegian Krone Buy 9/15/21 276,074 286,145 (10,071)
Swedish Krona Buy 9/15/21 5,354,292 5,547,009 (192,717)
WestPac Banking Corp.
British Pound Buy 9/15/21 422,669 433,548 (10,879)
Canadian Dollar Buy 7/21/21 1,126,560 1,110,568 15,992
Euro Sell 9/15/21 779,511 801,598 22,087
Japanese Yen Sell 8/18/21 192,288 195,745 3,457
New Zealand Dollar Sell 7/21/21 1,707,387 1,714,830 7,443
Unrealized appreciation 1,509,275
Unrealized (depreciation) (2,544,383)
Total $(1,035,108)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 6/30/21 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bund 10 yr (Long) 1 $204,672 $204,672 Sep-21 $1,065
U.S. Treasury Note 2 yr (Short) 792 174,493,687 174,493,687 Sep-21 301,069
U.S. Treasury Note Ultra 10 yr (Short) 186 27,379,781 27,379,781 Sep-21 (403,340)
Unrealized appreciation 302,134
Unrealized (depreciation) (403,340)
Total $(101,206)








WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/21 (premiums $6,998,286) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
1.897/3 month USD-LIBOR-BBA/Sep-31 Sep-21/1.897 $5,111,500 $8,383
1.8775/3 month USD-LIBOR-BBA/Sep-31 Sep-21/1.8775 5,279,600 9,134
1.88/3 month USD-LIBOR-BBA/Aug-31 Aug-21/1.88 9,599,900 14,016
0.985/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.985 18,054,200 105,617
Citibank, N.A.
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 202,453
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 266,252
Goldman Sachs International
2.317/3 month USD-LIBOR-BBA/Dec-31 Dec-21/2.317 22,526,900 52,262
1.722/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 123,105
(1.722)/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 227,384
(1.519)/3 month USD-LIBOR-BBA/Sep-31 Sep-21/1.519 $22,526,900 351,194
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 26,681
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 34,096
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 88,864
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 94,082
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 142,532
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 172,402
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 639,315
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 1,598,460
Morgan Stanley & Co. International PLC
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 36,739
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 37,695
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 84,637
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 135,871
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 178,230
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 182,623
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 613,899
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,150,300 756,828
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 764,672
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 241,000 11,876
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 482,100 105,416
UBS AG
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 235,377
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 246,793
Total $7,546,888








WRITTEN OPTIONS OUTSTANDING at 6/30/21 (premiums $228,065) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Goldman Sachs International
EUR/USD (Call) Aug-21/$1.21 $14,702,707 EUR 12,399,500 $29,111
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Put) Jul-21/100.73 10,000,000 $10,000,000 12,610
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-21/103.28 16,000,000 16,000,000 62,720
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-21/103.41 14,000,000 14,000,000 62,510
Morgan Stanley & Co. International PLC
GBP/USD (Call) Aug-21/1.42 7,332,597 GBP 5,300,800 13,140
Total $180,091








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/21 (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.
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $25,327,500 $(233,646) $542,262
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) 366,411
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) 262,956
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 $4,191,700 (300,126) 234,484
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) Apr-24/2.17 14,629,100 (706,586) 149,071
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) 126,630
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 121,389
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 $2,128,300 (277,211) 110,480
(0.765)/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/0.765 2,347,000 (55,624) 102,728
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) Mar-24/2.29 5,120,200 (251,841) 84,022
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 17,405,100 (112,480) 25,934
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) May-22/0.305 29,403,000 (35,284) 20,582
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,596,200 (36,113) 2,522
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 17,405,100 (112,480) (2,959)
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) May-22/2.2875 5,880,600 (76,448) (41,105)
0.765/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/0.765 2,347,000 (55,624) (55,014)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) (71,276)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 $2,134,700 (155,833) (87,779)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) (97,682)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 $2,128,300 (277,211) (120,483)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) (160,752)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 25,327,500 (233,646) (229,214)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) (300,669)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,596,200 (750,495) (524,416)
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) May-22/1.7875 2,940,300 82,328 33,196
1.67/3 month USD-LIBOR-BBA/Aug-31 (Written) Aug-21/1.67 1,999,700 28,196 21,837
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 17,405,100 73,319 19,494
0.805/3 month USD-LIBOR-BBA/May-23 (Written) May-22/0.805 58,806,000 19,112 (8,821)
(1.67)/3 month USD-LIBOR-BBA/Aug-31 (Written) Aug-21/1.67 1,999,700 28,196 (19,397)
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) Mar-24/1.29 7,314,500 114,106 (33,500)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) Apr-24/1.085 29,258,100 401,567 (55,005)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 17,405,100 73,319 (58,133)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) 86,578
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) (57,562)
Citibank, N.A.
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 $934,000 (120,253) 59,739
1.355/3 month USD-LIBOR-BBA/Aug-31 (Purchased) Aug-21/1.355 36,780,300 (175,414) 51,125
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) 31,627
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) 29,274
1.504/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/1.504 11,773,900 (162,185) 11,892
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) 4,028
1.026/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-21/1.026 31,420,700 (26,708) 63
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) (2,661)
0.98/3 month USD-LIBOR-BBA/Jul-26 (Purchased) Jul-21/0.98 23,010,000 (79,385) (5,522)
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) (8,076)
(0.98)/3 month USD-LIBOR-BBA/Jul-26 (Purchased) Jul-21/0.98 23,010,000 (79,385) (9,434)
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) (11,709)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) (18,745)
(1.504)/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/1.504 11,773,900 (162,185) (19,545)
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) (27,396)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (79,119)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 119,673
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 818,000 62,004 29,194
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 2,331,200 278,812 6,947
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194 10,644,300 80,684 6,919
(1.321)/3 month USD-LIBOR-BBA/Sep-31 (Written) Sep-21/1.321 3,585,300 25,861 (405)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194 10,644,300 80,684 (3,938)
(1.005)/3 month USD-LIBOR-BBA/May-33 (Written) May-23/1.005 16,975,500 164,097 (9,676)
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 2,331,200 278,812 (14,547)
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 (22,162)
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 818,000 62,004 (30,560)
Goldman Sachs International
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 43,178
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (126,794) 2,309
1.473/3 month USD-LIBOR-BBA/Aug-31 (Purchased) Aug-21/1.473 5,802,300 (54,948) 2,147
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) (3,544)
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) (3,722)
(1.473)/3 month USD-LIBOR-BBA/Aug-31 (Purchased) Aug-21/1.473 $5,802,300 (54,948) (11,256)
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (206,714) (19,150)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (53,044)
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 40,115
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 5,139
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 4,608
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 (22,553)
JPMorgan Chase Bank N.A.
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 (516,333) 420,980
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 228,429
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) 69,013
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 $934,000 (144,396) 66,024
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) 52,161
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 $1,556,600 (89,971) 45,966
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) 29,955
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) 20,393
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (24,680)
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) (26,084)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) (39,926)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (46,440)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 $934,000 (100,218) (68,014)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (74,950)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (110,683)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 (516,333) (502,817)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 91,951
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 88,627
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 76,070
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 (82,582)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 (103,607)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 (105,063)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 270,553
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) 52,743
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (92,812)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (118,385)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 216,607
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 (160,273)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 4,379,600 (150,549) 41,168
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) 11,780
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) 6,622
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) (1,699)
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) (7,473)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 4,379,600 (150,549) (51,241)
1.775/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 1,854,000 50,522 25,474
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 756,700 99,506 19,084
(1.775)/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 1,854,000 50,522 (12,311)
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 756,700 99,506 (13,053)
UBS AG
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 2,804,800 (146,695) 79,287
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) 65,028
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 $1,114,500 (62,356) 60,629
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) 51,640
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) 50,466
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 $3,715,100 (58,884) 40,235
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 2,786,300 (59,070) 39,788
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) 34,430
1.6125/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 $3,902,100 (107,035) 18,652
(0.762)/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) 16,221
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $875,900 (79,050) 6,420
(1.175)/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) 5,456
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $875,900 (79,050) (22,949)
1.175/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) (25,003)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) (27,987)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 $3,715,100 (58,884) (29,275)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) (32,048)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 $9,287,700 (62,646) (37,522)
0.762/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) (40,541)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) (40,583)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) (43,940)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 1,114,500 (62,356) (44,279)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 2,804,800 (146,695) (44,865)
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 $3,902,100 (285,341) (55,020)
1.30/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 246,318 236,651
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 2,229,000 59,236 37,826
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 27,048
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 (11,652)
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 $2,229,000 59,236 (54,833)
(1.30)/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 66,286 (62,936)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 6,131,500 (125,542) 48,868
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 4,379,600 (89,891) 36,745
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 3,664,100 (248,060) 27,261
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 2,591,000 (129,226) 25,262
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 3,664,100 (248,060) (5,863)
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 2,591,000 (129,226) (25,962)
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 4,379,600 (89,891) (26,365)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 6,131,500 (125,542) (34,337)
Unrealized appreciation 5,500,066
Unrealized (depreciation) (4,608,584)
Total $891,482








TBA SALE COMMITMENTS OUTSTANDING at 6/30/21 (proceeds receivable $30,218,770) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 7/1/51 $1,000,000 7/21/21 $1,050,343
Uniform Mortgage-Backed Securities, 2.00%, 7/1/51 29,000,000 7/14/21 29,301,757
Total $30,352,100










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/21 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$5,944,600 $750,981 $(179,227) 3/2/31 3 month USD-LIBOR-BBA — Quarterly 2.7725% — Semiannually $625,605
5,478,300 280,708 (1,109) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 290,211
1,338,000 284,004 (E) (46) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (284,050)
902,800 36,184 (E) (20) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 36,164
3,186,100 227,806 (45) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (232,213)
2,087,500 47,908 (E) (23) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 47,885
174,600 20,388 (E) (6) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (20,394)
831,700 85,091 (E) (28) 7/5/52 2.25% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (85,120)
911,300 52,828 (13) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (60,706)
1,368,300 28,953 (E) (47) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (29,000)
1,417,500 71,414 (E) (48) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 71,365
37,998,200 129,574 (106,487) 10/15/21 3 month USD-LIBOR-BBA — Quarterly 1.316% — Semiannually 113,720
39,518,100 165,186 (105,427) 10/21/21 3 month USD-LIBOR-BBA — Quarterly 1.5025% — Semiannually 160,716
174,200 4,846 (E) (6) 1/16/55 2.032% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (4,852)
83,000 1,249 (E) (3) 1/24/55 3 month USD-LIBOR-BBA — Quarterly 1.977% — Semiannually 1,246
582,800 75,898 (E) (20) 3/4/52 1.265% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 75,878
35,681,600 36,752 (135) 9/8/21 0.68% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (110,066)
77,168,200 95,689 (291) 10/15/21 0.571% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (158,673)
3,705,700 433,345 (E) (126) 1/27/47 3 month USD-LIBOR-BBA — Quarterly 1.27% — Semiannually (433,471)
313,000 34,054 (E) (11) 3/7/50 1.275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 34,044
697,700 157,227 (E) (24) 3/10/52 0.8725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 157,203
762,900 200,612 (E) (26) 3/11/52 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 200,586
1,138,200 57,502 (E) (16) 3/17/32 3 month USD-LIBOR-BBA — Quarterly 1.03% — Semiannually (57,518)
5,944,600 743,967 (792,726) 2/18/31 3 month USD-LIBOR-BBA — Quarterly 2.764% — Semiannually 10,573
475,000 19,565 (E) (6) 3/24/32 3 month USD-LIBOR-BBA — Quarterly 1.07% — Semiannually (19,571)
268,600 23,704 (E) (4) 3/24/35 3 month USD-LIBOR-BBA — Quarterly 0.968% — Semiannually (23,708)
1,504,600 112,589 (E) (21) 4/25/32 0.7925% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 112,568
298,100 20,757 (E) (6) 6/21/37 3 month USD-LIBOR-BBA — Quarterly 1.232% — Semiannually (20,763)
238,500 17,019 (E) (5) 6/20/40 3 month USD-LIBOR-BBA — Quarterly 1.204% — Semiannually (17,024)
245,900 18,492 (E) (5) 6/28/37 3 month USD-LIBOR-BBA — Quarterly 1.168% — Semiannually (18,496)
66,900 4,920 (E) (1) 7/3/40 3 month USD-LIBOR-BBA — Quarterly 1.177% — Semiannually (4,921)
12,039,900 236,464 (97) 7/14/25 3 month USD-LIBOR-BBA — Quarterly 0.30% — Semiannually (224,651)
5,556,900 348,973 (74) 7/15/30 3 month USD-LIBOR-BBA — Quarterly 0.645% — Semiannually (334,704)
5,481,300 113,901 (52) 8/31/25 0.3084% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 108,726
8,566,800 184,615 (69) 8/12/25 3 month USD-LIBOR-BBA — Quarterly 0.277% — Semiannually (177,514)
2,570,000 398,684 (E) 202,186 9/2/52 3 month USD-LIBOR-BBA — Quarterly 1.188% — Semiannually (196,498)
10,951,700 229,219 (103) 10/13/25 0.344% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 225,459
18,839,700 5,087 (71) 9/16/22 3 month USD-LIBOR-BBA — Quarterly 0.214% — Semiannually 15,849
11,576,800 209,772 (94) 10/13/25 0.41% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 204,157
10,644,000 211,709 (160,247) 10/16/25 0.37% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 50,305
5,697,000 322,279 (20,217) 10/16/30 0.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 295,631
7,485,000 1,078,364 (20,169) 10/16/50 1.16% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,043,008
3,504,400 146,309 — 12/7/30 3 month USD-LIBOR-BBA — Quarterly 0.932% — Semiannually (144,437)
2,873,600 135,806 — 12/7/30 0.871% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 134,388
11,576,800 191,480 (94) 11/16/25 0.471% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 186,978
1,010,900 110,926 (34) 12/17/50 1.305% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 110,428
12,410,300 36,114 (78) 12/2/23 0.300% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 34,350
13,474,000 822,453 (257) 12/2/33 3 month USD-LIBOR-BBA — Quarterly 1.02% — Semiannually (813,065)
11,836,700 228,567 (96) 12/16/25 3 month USD-LIBOR-BBA — Quarterly 0.428% — Semiannually (227,134)
1,657,300 66,773 (23) 6/22/31 3 month USD-LIBOR-BBA — Quarterly 1.0025% — Semiannually (66,437)
204,000 12,387 (7) 1/8/51 3 month USD-LIBOR-BBA — Quarterly 1.509% — Semiannually (11,008)
204,000 10,565 (7) 1/8/51 3 month USD-LIBOR-BBA — Quarterly 1.546% — Semiannually (9,150)
11,140,400 159,308 (90) 1/13/26 0.5615% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 134,610
1,175,000 33,065 (40) 1/14/51 3 month USD-LIBOR-BBA — Quarterly 1.644% — Semiannually (24,617)
2,158,500 50,444 (31) 4/15/31 1.165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 45,953
2,088,800 53,703 (E) (30) 7/15/31 1.165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 53,673
5,802,300 27,271 17,330 4/15/31 3 month USD-LIBOR-BBA — Quarterly 1.465% — Semiannually 60,266
1,700,000 50,983 (23) 1/27/31 1.075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 43,700
12,637,900 73,300 (E) (70) 1/31/25 0.735% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 73,229
946,000 21,805 (13) 2/4/31 1.153% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 17,608
903,000 27,433 (31) 2/4/51 3 month USD-LIBOR-BBA — Quarterly 1.635% — Semiannually (21,692)
5,838,000 93,291 (77) 2/9/31 3 month USD-LIBOR-BBA — Quarterly 1.231% — Semiannually (66,388)
11,604,600 163,161 (26,494) 3/9/26 0.5996% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 115,892
2,344,100 33,005 (19) 2/10/26 0.584% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 28,173
1,917,100 34,259 (25) 2/16/31 1.212% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 25,893
3,465,000 9,252 (46) 2/18/31 3 month USD-LIBOR-BBA — Quarterly 1.377% — Semiannually 7,673
3,598,000 13,636 (48) 2/22/31 1.3659% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,451)
3,110,000 5,287 (41) 2/24/31 1.4255% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (20,475)
1,089,000 11,249 (14) 3/2/31 1.51882% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (16,616)
6,800,000 78,676 (90) 3/5/31 3 month USD-LIBOR-BBA — Quarterly 1.5324% — Semiannually 111,570
5,802,300 62,375 (77) 3/15/31 1.525% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (88,199)
1,228,800 47,346 (E) (19) 3/20/34 2.29% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (47,364)
5,959,500 8,165 (56) 4/1/26 0.94375% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (19,244)
11,604,600 68,235 (110) 4/15/26 1.045% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (89,385)
4,092,300 122,196 (54) 4/15/31 3 month USD-LIBOR-BBA — Quarterly 1.734% — Semiannually 135,514
1,534,600 136,856 (52) 4/15/51 2.127% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (141,864)
5,802,300 155,676 (77) 4/21/31 1.702% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (172,827)
5,730,300 93,232 (76) 5/5/31 3 month USD-LIBOR-BBA — Quarterly 1.591% — Semiannually 105,738
5,802,300 83,959 (77) 5/17/31 3 month USD-LIBOR-BBA — Quarterly 1.573% — Semiannually 93,907
270,000 3,275 (4) 5/10/31 1.5475% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,807)
5,802,300 122,719 (77) 5/21/31 3 month USD-LIBOR-BBA — Quarterly 1.644% — Semiannually 132,254
3,453,700 62,408 (46) 5/27/31 1.612% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (67,247)
11,460,600 47,103 (108) 6/4/23 3 month USD-LIBOR-BBA — Quarterly 0.857% — Semiannually (40,997)
1,996,800 32,368 (E) (28) 9/1/31 1.63% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (32,396)
82,110,000 146,977 (E) 155,620 9/15/23 3 month USD-LIBOR-BBA — Quarterly 0.30% — Semiannually 8,643
85,115,000 293,647 (E) (333,475) 9/15/26 0.95% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (39,828)
40,627,000 706,097 (E) 619,884 9/15/31 1.65% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (86,213)
4,154,000 229,301 (E) (216,587) 9/15/51 3 month USD-LIBOR-BBA — Quarterly 2.00% — Semiannually 12,714
1,161,500 18,177 (E) (16) 9/7/31 1.6275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (18,194)
1,124,500 19,690 (E) (16) 9/7/31 1.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (19,706)
5,802,300 73,863 (77) 6/16/31 3 month USD-LIBOR-BBA — Quarterly 1.558% — Semiannually 77,268
2,504,000 4,357 (9) 6/10/23 3 month USD-LIBOR-BBA — Quarterly 0.2215% — Semiannually (4,230)
3,947,100 15,354 (52) 6/14/31 3 month USD-LIBOR-BBA — Quarterly 1.465% — Semiannually 17,811
3,110,000 11,072 (41) 6/11/31 1.461% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (13,422)
3,402,000 76,919 (E) 67,368 9/15/31 1.45% — Annually Secured Overnight Financing Rate — Annually (9,551)
3,610,000 6,318 (48) 6/15/31 1.4425% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (8,489)
5,802,300 13,461 (77) 6/23/31 3 month USD-LIBOR-BBA — Quarterly 1.45% — Semiannually 15,076
1,401,000 12,609 (19) 6/21/31 1.52% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (13,167)
5,937,600 24,700 (79) 6/29/31 3 month USD-LIBOR-BBA — Quarterly 1.47% — Semiannually 25,058
6,000,000 12,780 (80) 6/23/31 1.448% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (14,606)
6,471,000 6,212 (61) 6/28/26 0.933% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 5,727
851,400 2,673 (11) 7/6/31 3 month USD-LIBOR-BBA — Quarterly 1.463% — Semiannually 2,662
10,469,600 2,617 (99) 7/6/26 0.963% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (2,716)
3,992,000 9,661 (E) (53) 7/9/31 3 month USD-LIBOR-BBA — Quarterly 1.457% — Semiannually 9,608
2,314,000 8,516 (31) 7/1/31 3 month USD-LIBOR-BBA — Quarterly 1.466% — Semiannually 8,485
4,652,000 11,258 (E) (62) 7/15/31 3 month USD-LIBOR-BBA — Quarterly 1.46% — Semiannually 11,196
AUD 79,300 3,197 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 3,196
AUD 266,900 14,900 (E) (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 14,897
AUD 99,100 6,021 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 6,020
AUD 155,200 9,841 (E) (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 9,839
AUD 579,100 46,313 (E) (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 46,306
AUD 37,200 3,864 (E) (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 3,863
AUD 1,800,000 38,661 (20) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually 44,468
AUD 5,520,000 32,248 (E) 28,555 9/15/31 6 month AUD-BBR-BBSW — Semiannually 1.55% — Semiannually (3,694)
CAD 879,900 525 (E) (7) 8/16/26 3 month CAD-BA-CDOR — Semiannually 1.474% — Semiannually (532)
CAD 3,999,400 46,944 (21,532) 6/15/31 3 month CAD-BA-CDOR — Semiannually 1.99% — Semiannually 26,966
CAD 1,599,800 10,841 (17) 6/15/31 1.924% — Semiannually 3 month CAD-BA-CDOR — Semiannually (11,706)
CAD 1,199,800 5,420 (13) 6/15/31 1.894% — Semiannually 3 month CAD-BA-CDOR — Semiannually (6,056)
CAD 799,900 1,807 (9) 6/15/31 1.864% — Semiannually 3 month CAD-BA-CDOR — Semiannually (2,222)
CAD 6,136,000 18,760 (E) 21,834 9/15/31 3 month CAD-BA-CDOR — Semiannually 1.84% — Semiannually 3,074
CAD 399,900 448 (4) 6/15/31 1.819% — Semiannually 3 month CAD-BA-CDOR — Semiannually 247
CHF 292,000 2,825 (E) 2,834 9/15/31 0.05% plus 6 month CHF-LIBOR-BBA — Semiannually — 10
EUR 512,400 154,325 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (154,345)
EUR 696,900 198,696 (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 204,430
EUR 770,000 197,999 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (203,103)
EUR 778,400 186,019 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (190,980)
EUR 898,100 185,829 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (190,540)
EUR 802,800 204,282 (E) (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 204,252
EUR 929,000 172,527 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (179,001)
EUR 741,300 126,004 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (126,033)
EUR 676,400 92,884 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (97,159)
EUR 395,500 40,880 (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (43,140)
EUR 1,468,500 32,127 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 32,071
EUR 906,000 105,678 (E) (34) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (105,712)
EUR 1,215,200 100,432 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 96,347
EUR 4,960,100 179,149 (187) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually 203,369
EUR 574,000 80,279 (E) (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 80,258
EUR 260,400 68,346 (E) (10) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 68,336
EUR 1,696,600 115,011 (E) (36) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually (115,047)
EUR 833,300 52,853 (E) (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 52,835
EUR 1,129,700 70,902 (E) (26) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 70,876
EUR 388,100 24,381 (E) (9) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 24,372
EUR 1,055,800 13,533 (43) 5/21/51 6 month EUR-EURIBOR-REUTERS — Semiannually 0.516% — Annually 14,970
EUR 1,088,000 9,289 (19) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (9,731)
EUR 924,200 4,449 (E) (16) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 4,433
EUR 1,777,000 16,983 (E) (8,940) 9/15/31 0.05% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 8,043
GBP 703,500 4,574 (14) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually 5,382
GBP 2,117,000 69,316 (E) 47,894 9/15/31 0.975% — Annually Sterling Overnight Index Average — Annually (21,422)
JPY 49,618,300 27,977 (E) (14) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (27,991)
JPY 119,698,500 7,618 (9,439) 2/25/31 0.003% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (2,008)
JPY 63,267,700 26,373 (E) (19) 8/29/43 0.194% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually 26,354
NOK 20,298,000 684 (E) 5,986 9/15/31 6 month NOK-NIBOR-NIBR — Semiannually 1.70% — Annually 5,303
NZD 2,880,000 15,843 (E) 3,220 9/15/31 3 month NZD-BBR-FRA — Quarterly 1.83% — Semiannually (12,623)
SEK 16,711,000 2,734 (E) 108 9/15/31 0.77% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 2,842
Total $(834,703) $615,423
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/21 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$263,918 $263,159 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $(256)
44,470 44,342 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (43)
29,625 29,540 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (29)
3,459,807 3,447,508 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (4,443)
429,687 427,904 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (796)
146,687 146,318 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (19)
2,583,363 2,572,908 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 3,381
10,893 10,914 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (145)
18,990 18,990 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 237
59,559 59,503 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (691)
119,382 119,271 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,385)
74,793 73,384 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 330
29,409 29,145 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 106
22,454 22,253 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 81
17,713 17,555 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 64
28,700 27,610 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (741)
55,194 53,229 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (1,303)
7,917 7,635 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (187)
3,684 3,552 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (87)
Citibank, N.A.
460,706 459,068 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (592)
214,965 214,201 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (276)
43,030 42,877 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (55)
Credit Suisse International
184,282 183,627 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (237)
51,491 51,030 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 186
38,460 38,534 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 511
23,524 23,569 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 312
12,864 12,889 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 171
132,899 124,048 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,123)
34,351 32,063 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,841)
16,165 16,150 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 188
16,165 16,150 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (188)
46,645 45,766 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 206
51,706 50,732 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 228
49,485 49,042 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 179
Deutsche Bank AG
174,804 174,097 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 229
Goldman Sachs International
7,822 7,791 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 10
20,845 20,761 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 27
45,121 44,939 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 59
84,780 84,437 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 111
101,714 101,302 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 133
120,112 119,626 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 157
164,534 163,868 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 215
72,004 72,323 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly (1,122)
47,949 48,042 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (637)
180,328 168,318 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (9,665)
109,982 109,982 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,374
95,805 95,805 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,197
47,141 47,141 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 589
47,141 47,141 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 589
34,089 31,819 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,827)
177,571 177,406 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,060)
43,678 43,717 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly 634
74,322 72,922 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 328
39,616 38,111 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (1,023)
38,311 36,855 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (989)
19,155 18,428 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (494)
18,222 17,530 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (470)
2,138 2,056 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (55)
18,211 17,563 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (430)
1,367 1,319 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (32)
JPMorgan Chase Bank N.A.
139,919 139,789 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,623
122,571 122,457 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,422
80,018 79,944 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 928
14,003 13,990 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 162
74,322 72,922 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 328
JPMorgan Securities LLC
111,111 110,116 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (401)
16,005 16,036 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (213)
98,420 98,154 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 931
319,058 319,058 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,987)
Morgan Stanley & Co. International PLC
1,032,736 1,029,026 — 7/17/24 3.825% (3 month USD-LIBOR-BBA minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly (3,110)
Upfront premium received — Unrealized appreciation 17,226
Upfront premium (paid) — Unrealized (depreciation) (46,952)
Total $— Total $(29,726)








CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/21 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 7,000,000 $740,797 $(129) 5/15/30 (.655%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $740,668
EUR 7,000,000 734,074 (129) 5/15/30 (.6625%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 733,945
EUR 3,497,000 645,621 (125) 5/15/40 (.961%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 645,496
EUR 1,979,000 113,716 — 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 113,716
EUR 1,979,000 14,291 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (14,291)
EUR 4,289,000 63,571 (50) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (63,621)
EUR 4,289,000 64,588 (50) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (64,638)
EUR 4,289,000 64,944 (51) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (64,995)
EUR 4,289,000 65,300 (51) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (65,351)
EUR 3,497,000 927,131 (165) 5/15/50 1.13% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (927,296)
EUR 7,000,000 1,340,905 (248) 5/15/40 0.935% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (1,341,154)
EUR 7,000,000 1,350,202 (248) 5/15/40 0.93% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (1,350,450)
GBP 4,004,000 242,043 (86) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 241,957
GBP 4,253,000 67,774 (56) 11/15/24 3.385% — At maturity GBP Non-revised UK Retail Price Index — At maturity 67,719
GBP 3,123,000 61,561 (72) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity 61,488
GBP 4,484,000 38,085 (106) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 37,979
GBP 2,402,000 31,333 (56) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 31,276
GBP 1,121,000 19,073 (26) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity 19,047
$11,341,000 152,423 (191) 5/12/31 2.67% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 152,233
11,193,000 135,211 (188) 4/1/31 2.686% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 135,024
33,591,500 18,811 (420) 4/15/26 2.79% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (19,232)
Total $(2,447) $(930,480)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BB-/P $4,375 $64,000 $16,928 5/11/63 300 bp — Monthly $(12,521)
CMBX NA BBB-.6 Index BB-/P 8,497 141,000 37,295 5/11/63 300 bp — Monthly (28,727)
CMBX NA BBB-.6 Index BB-/P 17,409 282,000 74,589 5/11/63 300 bp — Monthly (57,039)
CMBX NA BBB-.6 Index BB-/P 16,587 291,000 76,970 5/11/63 300 bp — Monthly (60,237)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A-/P 5,963 47,000 3,981 5/11/63 200 bp — Monthly 1,998
CMBX NA A.6 Index A-/P 6,566 55,000 4,659 5/11/63 200 bp — Monthly 1,925
CMBX NA A.6 Index A-/P 11,798 78,000 6,607 5/11/63 200 bp — Monthly 5,217
CMBX NA A.6 Index A-/P 19,430 116,000 9,825 5/11/63 200 bp — Monthly 9,643
CMBX NA A.6 Index A-/P 18,176 131,000 11,096 5/11/63 200 bp — Monthly 7,124
CMBX NA A.6 Index A-/P 26,553 172,000 14,568 5/11/63 200 bp — Monthly 12,041
CMBX NA A.6 Index A-/P 20,798 177,000 14,992 5/11/63 200 bp — Monthly 5,865
CMBX NA A.6 Index A-/P 33,606 190,000 16,093 5/11/63 200 bp — Monthly 17,577
CMBX NA A.6 Index A-/P 53,533 322,000 27,273 5/11/63 200 bp — Monthly 26,366
CMBX NA BB.11 Index BB-/P 77,970 138,000 12,296 11/18/54 500 bp — Monthly 65,789
CMBX NA BB.13 Index BB-/P 15,196 152,000 12,768 12/16/72 500 bp — Monthly 2,555
CMBX NA BB.13 Index BB-/P 16,037 176,000 14,784 12/16/72 500 bp — Monthly 1,400
CMBX NA BB.13 Index BB-/P 26,330 279,000 23,436 12/16/72 500 bp — Monthly 3,127
CMBX NA BB.13 Index BB-/P 48,322 530,000 44,520 12/16/72 500 bp — Monthly 4,243
CMBX NA BB.6 Index B-/P 119,351 807,221 359,940 5/11/63 500 bp — Monthly (239,916)
CMBX NA BB.7 Index B/P 64,660 1,267,000 439,396 1/17/47 500 bp — Monthly (373,680)
CMBX NA BBB-.12 Index BBB-/P 43,751 276,000 10,019 8/17/61 300 bp — Monthly 33,871
CMBX NA BBB-.13 Index BBB-/P 1,052 12,000 431 12/16/72 300 bp — Monthly 628
CMBX NA BBB-.14 Index BBB-/P 1,028 33,000 564 12/16/72 300 bp — Monthly 480
CMBX NA BBB-.14 Index BBB-/P 10,128 330,000 5,643 12/16/72 300 bp — Monthly 4,650
CMBX NA BBB-.14 Index BBB-/P 12,318 377,000 6,447 12/16/72 300 bp — Monthly 6,060
CMBX NA BBB-.6 Index BB-/P 32,585 133,000 35,179 5/11/63 300 bp — Monthly (2,527)
CMBX NA BBB-.10 Index BBB-/P 20,182 185,000 16,354 11/17/59 300 bp — Monthly 3,921
CMBX NA BBB-.11 Index BBB-/P 3,883 62,000 2,145 11/18/54 300 bp — Monthly 1,769
CMBX NA BBB-.12 Index BBB-/P 2,419 58,000 2,105 8/17/61 300 bp — Monthly 343
CMBX NA BBB-.12 Index BBB-/P 8,250 140,000 5,082 8/17/61 300 bp — Monthly 3,238
CMBX NA BBB-.13 Index BBB-/P 9,807 193,000 6,929 12/16/72 300 bp — Monthly 2,975
CMBX NA BBB-.14 Index BBB-/P 2,199 52,000 889 12/16/72 300 bp — Monthly 1,336
CMBX NA BBB-.14 Index BBB-/P 6,901 138,000 2,360 12/16/72 300 bp — Monthly 4,610
CMBX NA BBB-.14 Index BBB-/P 10,394 228,000 3,899 12/16/72 300 bp — Monthly 6,610
CMBX NA BBB-.6 Index BB-/P 1,199 15,000 3,968 5/11/63 300 bp — Monthly (2,761)
CMBX NA BBB-.6 Index BB-/P 17,107 260,000 68,770 5/11/63 300 bp — Monthly (51,533)
CMBX NA BBB-.6 Index BB-/P 21,761 330,000 87,285 5/11/63 300 bp — Monthly (65,359)
CMBX NA BBB-.6 Index BB-/P 23,964 352,000 93,104 5/11/63 300 bp — Monthly (68,964)
CMBX NA BBB-.6 Index BB-/P 178,492 2,803,000 741,394 5/11/63 300 bp — Monthly (561,500)
Credit Suisse International
CMBX NA BB.7 Index B/P 30,497 228,000 79,070 1/17/47 500 bp — Monthly (48,383)
CMBX NA BBB-.6 Index BB-/P 52,816 478,000 126,431 5/11/63 300 bp — Monthly (73,376)
CMBX NA BBB-.6 Index BB-/P 129,498 1,172,000 309,994 5/11/63 300 bp — Monthly (179,910)
CMBX NA BBB-.6 Index BB-/P 1,121,536 11,936,000 3,157,072 5/11/63 300 bp — Monthly (2,029,568)
CMBX NA BBB-.7 Index BB/P 51,226 780,000 138,684 1/17/47 300 bp — Monthly (87,068)
Goldman Sachs International
CMBX NA A.6 Index A-/P 19,238 162,000 13,721 5/11/63 200 bp — Monthly 5,570
CMBX NA BB.13 Index BB-/P 11,732 122,000 10,248 12/16/72 500 bp — Monthly 1,586
CMBX NA BB.6 Index B-/P 70,315 159,116 70,950 5/11/63 500 bp — Monthly (502)
CMBX NA BB.9 Index B+/P 4,448 11,000 2,433 9/17/58 500 bp — Monthly 2,024
CMBX NA BBB-.13 Index BBB-/P 736 7,000 251 12/16/72 300 bp — Monthly 488
CMBX NA BBB-.13 Index BBB-/P 1,906 32,000 1,149 12/16/72 300 bp — Monthly 773
CMBX NA BBB-.13 Index BBB-/P 1,895 32,000 1,149 12/16/72 300 bp — Monthly 762
CMBX NA BBB-.13 Index BBB-/P 7,110 42,000 1,508 12/16/72 300 bp — Monthly 5,623
CMBX NA BBB-.13 Index BBB-/P 3,946 54,000 1,939 12/16/72 300 bp — Monthly 2,035
CMBX NA BBB-.13 Index BBB-/P 14,089 89,000 3,195 12/16/72 300 bp — Monthly 10,938
CMBX NA BBB-.13 Index BBB-/P 5,678 96,000 3,446 12/16/72 300 bp — Monthly 2,280
CMBX NA BBB-.13 Index BBB-/P 15,671 100,000 3,590 12/16/72 300 bp — Monthly 12,131
CMBX NA BBB-.13 Index BBB-/P 6,947 151,000 5,421 12/16/72 300 bp — Monthly 1,602
CMBX NA BBB-.13 Index BBB-/P 11,377 177,000 6,354 12/16/72 300 bp — Monthly 5,111
CMBX NA BBB-.13 Index BBB-/P 12,570 200,000 7,180 12/16/72 300 bp — Monthly 5,490
CMBX NA BBB-.14 Index BBB-/P 1,440 50,000 855 12/16/72 300 bp — Monthly 610
CMBX NA BBB-.14 Index BBB-/P 3,689 83,000 1,419 12/16/72 300 bp — Monthly 2,311
CMBX NA BBB-.14 Index BBB-/P 6,655 148,000 2,531 12/16/72 300 bp — Monthly 4,198
CMBX NA BBB-.14 Index BBB-/P 7,625 166,000 2,839 12/16/72 300 bp — Monthly 4,869
CMBX NA BBB-.14 Index BBB-/P 5,559 193,000 3,300 12/16/72 300 bp — Monthly 2,355
CMBX NA BBB-.6 Index BB-/P 682 9,000 2,381 5/11/63 300 bp — Monthly (1,694)
CMBX NA BBB-.6 Index BB-/P 811 11,000 2,910 5/11/63 300 bp — Monthly (2,093)
CMBX NA BBB-.6 Index BB-/P 806 11,000 2,910 5/11/63 300 bp — Monthly (2,098)
CMBX NA BBB-.6 Index BB-/P 1,042 13,000 3,439 5/11/63 300 bp — Monthly (2,390)
CMBX NA BBB-.6 Index BB-/P 1,771 26,000 6,877 5/11/63 300 bp — Monthly (5,093)
CMBX NA BBB-.6 Index BB-/P 2,354 28,000 7,406 5/11/63 300 bp — Monthly (5,038)
CMBX NA BBB-.6 Index BB-/P 2,430 32,000 8,464 5/11/63 300 bp — Monthly (6,018)
CMBX NA BBB-.6 Index BB-/P 3,086 39,000 10,316 5/11/63 300 bp — Monthly (7,210)
CMBX NA BBB-.6 Index BB-/P 4,415 44,000 11,638 5/11/63 300 bp — Monthly (7,201)
CMBX NA BBB-.6 Index BB-/P 6,450 46,000 12,167 5/11/63 300 bp — Monthly (5,694)
CMBX NA BBB-.6 Index BB-/P 8,034 60,000 15,870 5/11/63 300 bp — Monthly (7,806)
CMBX NA BBB-.6 Index BB-/P 7,985 60,000 15,870 5/11/63 300 bp — Monthly (7,855)
CMBX NA BBB-.6 Index BB-/P 5,664 64,000 16,928 5/11/63 300 bp — Monthly (11,232)
CMBX NA BBB-.6 Index BB-/P 6,945 66,000 17,457 5/11/63 300 bp — Monthly (10,479)
CMBX NA BBB-.6 Index BB-/P 8,625 78,000 20,631 5/11/63 300 bp — Monthly (11,967)
CMBX NA BBB-.6 Index BB-/P 6,758 78,000 20,631 5/11/63 300 bp — Monthly (13,834)
CMBX NA BBB-.6 Index BB-/P 7,858 91,000 24,070 5/11/63 300 bp — Monthly (16,166)
CMBX NA BBB-.6 Index BB-/P 5,285 102,000 26,979 5/11/63 300 bp — Monthly (21,643)
CMBX NA BBB-.6 Index BB-/P 14,022 103,000 27,244 5/11/63 300 bp — Monthly (13,170)
CMBX NA BBB-.6 Index BB-/P 12,297 110,000 29,095 5/11/63 300 bp — Monthly (16,743)
CMBX NA BBB-.6 Index BB-/P 12,871 115,000 30,418 5/11/63 300 bp — Monthly (17,489)
CMBX NA BBB-.6 Index BB-/P 10,295 122,000 32,269 5/11/63 300 bp — Monthly (21,913)
CMBX NA BBB-.6 Index BB-/P 10,295 122,000 32,269 5/11/63 300 bp — Monthly (21,913)
CMBX NA BBB-.6 Index BB-/P 6,818 135,000 35,708 5/11/63 300 bp — Monthly (28,822)
CMBX NA BBB-.6 Index BB-/P 7,018 137,000 36,237 5/11/63 300 bp — Monthly (29,150)
CMBX NA BBB-.6 Index BB-/P 22,777 137,000 36,237 5/11/63 300 bp — Monthly (13,392)
CMBX NA BBB-.6 Index BB-/P 23,502 157,000 41,527 5/11/63 300 bp — Monthly (17,946)
CMBX NA BBB-.6 Index BB-/P 23,233 158,000 41,791 5/11/63 300 bp — Monthly (18,479)
CMBX NA BBB-.6 Index BB-/P 18,496 166,000 43,907 5/11/63 300 bp — Monthly (25,328)
CMBX NA BBB-.6 Index BB-/P 18,357 169,000 44,701 5/11/63 300 bp — Monthly (26,259)
CMBX NA BBB-.6 Index BB-/P 18,286 169,000 44,701 5/11/63 300 bp — Monthly (26,330)
CMBX NA BBB-.6 Index BB-/P 20,534 175,000 46,288 5/11/63 300 bp — Monthly (25,666)
CMBX NA BBB-.6 Index BB-/P 15,166 183,000 48,404 5/11/63 300 bp — Monthly (33,146)
CMBX NA BBB-.6 Index BB-/P 10,015 192,000 50,784 5/11/63 300 bp — Monthly (40,673)
CMBX NA BBB-.6 Index BB-/P 24,103 216,000 57,132 5/11/63 300 bp — Monthly (32,921)
CMBX NA BBB-.6 Index BB-/P 24,103 216,000 57,132 5/11/63 300 bp — Monthly (32,921)
CMBX NA BBB-.6 Index BB-/P 11,095 226,000 59,777 5/11/63 300 bp — Monthly (48,569)
CMBX NA BBB-.6 Index BB-/P 12,285 252,000 66,654 5/11/63 300 bp — Monthly (54,243)
CMBX NA BBB-.6 Index BB-/P 40,089 266,000 70,357 5/11/63 300 bp — Monthly (30,135)
CMBX NA BBB-.6 Index BB-/P 13,442 271,000 71,680 5/11/63 300 bp — Monthly (58,102)
CMBX NA BBB-.6 Index BB-/P 36,039 296,000 78,292 5/11/63 300 bp — Monthly (42,105)
CMBX NA BBB-.6 Index BB-/P 33,021 305,000 80,673 5/11/63 300 bp — Monthly (47,499)
CMBX NA BBB-.6 Index BB-/P 32,527 324,000 85,698 5/11/63 300 bp — Monthly (53,010)
CMBX NA BBB-.6 Index BB-/P 47,211 452,000 119,554 5/11/63 300 bp — Monthly (72,117)
CMBX NA BBB-.6 Index BB-/P 50,821 461,000 121,935 5/11/63 300 bp — Monthly (70,883)
CMBX NA BBB-.6 Index BB-/P 71,741 605,000 160,023 5/11/63 300 bp — Monthly (87,979)
CMBX NA BBB-.6 Index BB-/P 71,494 605,000 160,023 5/11/63 300 bp — Monthly (88,226)
CMBX NA BBB-.6 Index BB-/P 37,011 765,000 202,343 5/11/63 300 bp — Monthly (164,949)
CMBX NA BBB-.6 Index BB-/P 155,865 1,042,000 275,609 5/11/63 300 bp — Monthly (119,223)
CMBX NA BBB-.7 Index BB/P 26,578 312,000 55,474 1/17/47 300 bp — Monthly (28,740)
CMBX NA BBB-.7 Index BB/P 90,359 1,040,000 184,912 1/17/47 300 bp — Monthly (94,033)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 9,629 120,000 29,256 5/11/63 500 bp — Monthly (19,527)
CMBX NA BBB-.13 Index BBB-/P 2,247 38,000 1,364 12/16/72 300 bp — Monthly 902
CMBX NA BBB-.13 Index BBB-/P 5,046 55,000 1,975 12/16/72 300 bp — Monthly 3,099
CMBX NA BBB-.13 Index BBB-/P 10,381 57,000 2,046 12/16/72 300 bp — Monthly 8,363
CMBX NA BBB-.13 Index BBB-/P 10,071 64,000 2,298 12/16/72 300 bp — Monthly 7,805
CMBX NA BBB-.12 Index BBB-/P 3,102 49,000 1,779 8/17/61 300 bp — Monthly 1,347
CMBX NA BBB-.6 Index BB-/P 5,175,342 16,188,000 4,281,726 5/11/63 300 bp — Monthly 901,710
Merrill Lynch International
CMBX NA BB.6 Index B-/P 13,977 121,277 54,078 5/11/63 500 bp — Monthly (39,999)
CMBX NA BBB-.6 Index BB-/P 517,879 1,922,000 508,369 5/11/63 300 bp — Monthly 10,471
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 6,326 66,000 5,544 12/16/72 500 bp — Monthly 837
CMBX NA BB.13 Index BB-/P 8,078 84,000 7,056 12/16/72 500 bp — Monthly 1,092
CMBX NA BB.13 Index BB-/P 10,045 108,000 9,072 12/16/72 500 bp — Monthly 1,063
CMBX NA BB.13 Index BB-/P 16,417 179,000 15,036 12/16/72 500 bp — Monthly 1,531
CMBX NA BB.13 Index BB-/P 18,969 201,000 16,884 12/16/72 500 bp — Monthly 2,253
CMBX NA BB.13 Index BB-/P 27,518 286,000 24,024 12/16/72 500 bp — Monthly 3,732
CMBX NA BB.13 Index BB-/P 27,791 305,000 25,620 12/16/72 500 bp — Monthly 2,426
CMBX NA BB.13 Index BB-/P 33,160 359,000 30,156 12/16/72 500 bp — Monthly 3,303
CMBX NA BB.13 Index BB-/P 39,480 430,000 36,120 12/16/72 500 bp — Monthly 3,718
CMBX NA BB.6 Index B-/P 4,741 37,839 16,872 5/11/63 500 bp — Monthly (12,100)
CMBX NA BB.6 Index B-/P 8,676 46,570 20,766 5/11/63 500 bp — Monthly (12,051)
CMBX NA BB.6 Index B-/P 48,378 191,133 85,226 5/11/63 500 bp — Monthly (36,689)
CMBX NA BB.6 Index B-/P 135,240 312,410 139,304 5/11/63 500 bp — Monthly (3,803)
CMBX NA BB.6 Index B-/P 142,166 325,023 144,928 5/11/63 500 bp — Monthly (2,491)
CMBX NA BB.6 Index B-/P 97,086 382,266 170,452 5/11/63 500 bp — Monthly (73,048)
CMBX NA BBB-.13 Index BBB-/P 273 4,000 144 12/16/72 300 bp — Monthly 131
CMBX NA BBB-.13 Index BBB-/P 459 5,000 180 12/16/72 300 bp — Monthly 282
CMBX NA BBB-.13 Index BBB-/P 532 9,000 323 12/16/72 300 bp — Monthly 214
CMBX NA BBB-.13 Index BBB-/P 5,890 29,000 1,041 12/16/72 300 bp — Monthly 4,864
CMBX NA BBB-.13 Index BBB-/P 3,456 37,000 1,328 12/16/72 300 bp — Monthly 2,147
CMBX NA BBB-.14 Index BBB-/P 608 20,000 342 12/16/72 300 bp — Monthly 276
CMBX NA BBB-.14 Index BBB-/P 3,241 115,000 1,967 12/16/72 300 bp — Monthly 1,332
CMBX NA BBB-.12 Index BBB-/P 3,418 58,000 2,105 8/17/61 300 bp — Monthly 1,342
CMBX NA BBB-.12 Index BBB-/P 9,660 225,000 8,168 8/17/61 300 bp — Monthly 1,605
CMBX NA BBB-.6 Index BB-/P 752 9,000 2,381 5/11/63 300 bp — Monthly (1,624)
CMBX NA BBB-.6 Index BB-/P 1,541 21,000 5,555 5/11/63 300 bp — Monthly (4,003)
CMBX NA BBB-.6 Index BB-/P 3,126 39,000 10,316 5/11/63 300 bp — Monthly (7,170)
CMBX NA BBB-.6 Index BB-/P 3,446 46,000 12,167 5/11/63 300 bp — Monthly (8,698)
CMBX NA BBB-.6 Index BB-/P 9,375 142,000 37,559 5/11/63 300 bp — Monthly (28,113)
CMBX NA BBB-.6 Index BB-/P 9,454 144,000 38,088 5/11/63 300 bp — Monthly (28,562)
CMBX NA BBB-.6 Index BB-/P 183,195 531,000 140,450 5/11/63 300 bp — Monthly 43,011
CMBX NA BBB-.6 Index BB-/P 451,392 6,813,500 1,802,171 5/11/63 300 bp — Monthly (1,347,372)
Upfront premium received 10,781,106 Unrealized appreciation 1,314,973
Upfront premium (paid) — Unrealized (depreciation) (7,216,406)
Total $10,781,106 Total $(5,901,433)
* 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 June 30, 2021. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 6/30/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(65,025) $255,000 $62,169 11/17/59 (500 bp) — Monthly $(3,069)
CMBX NA BB.10 Index (14,611) 140,000 34,132 11/17/59 (500 bp) — Monthly 19,405
CMBX NA BB.10 Index (12,500) 114,000 27,793 11/17/59 (500 bp) — Monthly 15,198
CMBX NA BB.11 Index (42,884) 331,000 29,492 11/18/54 (500 bp) — Monthly (13,668)
CMBX NA BB.11 Index (13,574) 144,000 12,830 11/18/54 (500 bp) — Monthly (863)
CMBX NA BB.11 Index (3,877) 76,000 6,772 11/18/54 (500 bp) — Monthly 2,832
CMBX NA BB.11 Index (2,231) 43,000 3,831 11/18/54 (500 bp) — Monthly 1,565
CMBX NA BB.12 Index (3,675) 7,000 662 8/17/61 (500 bp) — Monthly (3,019)
CMBX NA BB.8 Index (8,940) 69,501 24,958 10/17/57 (500 bp) — Monthly 15,960
CMBX NA BB.9 Index (46,139) 447,000 98,876 9/17/58 (500 bp) — Monthly 52,365
CMBX NA BB.9 Index (6,258) 97,000 21,456 9/17/58 (500 bp) — Monthly 15,117
CMBX NA BB.9 Index (3,140) 80,000 17,696 9/17/58 (500 bp) — Monthly 14,489
CMBX NA BB.9 Index (2,755) 76,000 16,811 9/17/58 (500 bp) — Monthly 13,993
CMBX NA BB.9 Index (1,854) 46,000 10,175 9/17/58 (500 bp) — Monthly 8,282
CMBX NA BBB-.10 Index (163,512) 951,000 84,068 11/17/59 (300 bp) — Monthly (79,919)
CMBX NA BBB-.10 Index (55,015) 237,000 20,951 11/17/59 (300 bp) — Monthly (34,182)
CMBX NA BBB-.10 Index (28,062) 221,000 19,536 11/17/59 (300 bp) — Monthly (8,636)
CMBX NA BBB-.10 Index (38,410) 161,000 14,232 11/17/59 (300 bp) — Monthly (24,259)
CMBX NA BBB-.10 Index (24,448) 112,000 9,901 11/17/59 (300 bp) — Monthly (14,604)
CMBX NA BBB-.10 Index (23,069) 106,000 9,370 11/17/59 (300 bp) — Monthly (13,752)
CMBX NA BBB-.12 Index (13,080) 190,000 6,897 8/17/61 (300 bp) — Monthly (6,278)
CMBX NA BBB-.10 Index (21,532) 176,000 15,558 11/17/59 (300 bp) — Monthly (6,061)
CMBX NA BBB-.10 Index (6,246) 49,000 4,332 11/17/59 (300 bp) — Monthly (1,939)
CMBX NA BBB-.10 Index (4,717) 37,000 3,271 11/17/59 (300 bp) — Monthly (1,464)
CMBX NA BBB-.11 Index (32,967) 103,000 3,564 11/18/54 (300 bp) — Monthly (29,455)
CMBX NA BBB-.11 Index (15,684) 48,000 1,661 11/18/54 (300 bp) — Monthly (14,047)
CMBX NA BBB-.11 Index (1,312) 4,000 138 11/18/54 (300 bp) — Monthly (1,176)
CMBX NA BBB-.12 Index (70,171) 210,000 7,623 8/17/61 (300 bp) — Monthly (62,653)
CMBX NA BBB-.12 Index (67,433) 194,000 7,042 8/17/61 (300 bp) — Monthly (60,488)
CMBX NA BBB-.12 Index (51,320) 146,000 5,300 8/17/61 (300 bp) — Monthly (46,093)
CMBX NA BBB-.12 Index (240) 4,000 145 8/17/61 (300 bp) — Monthly (97)
CMBX NA BBB-.8 Index (31,297) 198,000 27,403 10/17/57 (300 bp) — Monthly (3,993)
CMBX NA BBB-.8 Index (31,421) 198,000 27,403 10/17/57 (300 bp) — Monthly (4,117)
CMBX NA BBB-.8 Index (21,875) 140,000 19,376 10/17/57 (300 bp) — Monthly (2,569)
CMBX NA BBB-.8 Index (12,452) 87,000 12,041 10/17/57 (300 bp) — Monthly (455)
CMBX NA BBB-.8 Index (9,703) 62,000 8,581 10/17/57 (300 bp) — Monthly (1,153)
CMBX NA BBB-.9 Index (4,495) 19,000 1,478 9/17/58 (300 bp) — Monthly (3,027)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 70,702 11/17/59 (500 bp) — Monthly 31,767
CMBX NA BB.10 Index (34,367) 289,000 70,458 11/17/59 (500 bp) — Monthly 35,850
CMBX NA BB.10 Index (18,893) 152,000 37,058 11/17/59 (500 bp) — Monthly 18,037
CMBX NA BB.7 Index (61,796) 335,000 116,178 1/17/47 (500 bp) — Monthly 54,103
CMBX NA BB.7 Index (4,770) 29,000 10,057 1/17/47 (500 bp) — Monthly 5,263
CMBX NA BB.9 Index (103,355) 1,031,000 228,057 9/17/58 (500 bp) — Monthly 123,843
Goldman Sachs International
CMBX NA BB.6 Index (12,481) 118,367 52,780 5/11/63 (500 bp) — Monthly 40,201
CMBX NA BB.7 Index (32,233) 213,000 73,868 1/17/47 (500 bp) — Monthly 41,458
CMBX NA A .6 Index (4,240) 64,000 5,421 5/11/63 (200 bp) — Monthly 1,159
CMBX NA BB.7 Index (38,667) 236,000 81,845 1/17/47 (500 bp) — Monthly 42,981
CMBX NA BB.7 Index (25,361) 150,000 52,020 1/17/47 (500 bp) — Monthly 26,534
CMBX NA BB.7 Index (25,381) 125,000 43,350 1/17/47 (500 bp) — Monthly 17,865
CMBX NA BB.7 Index (18,621) 102,000 35,374 1/17/47 (500 bp) — Monthly 16,668
CMBX NA BB.8 Index (69,403) 191,128 68,634 10/17/57 (500 bp) — Monthly (929)
CMBX NA BB.8 Index (69,523) 191,128 68,634 10/17/57 (500 bp) — Monthly (1,048)
CMBX NA BB.8 Index (2,606) 22,202 7,973 10/17/57 (500 bp) — Monthly 5,348
CMBX NA BB.9 Index (4,617) 29,000 6,415 9/17/58 (500 bp) — Monthly 1,774
CMBX NA BB.9 Index (2,212) 14,000 3,097 9/17/58 (500 bp) — Monthly 873
CMBX NA BBB-.10 Index (10,061) 46,000 4,066 11/17/59 (300 bp) — Monthly (6,018)
CMBX NA BBB-.12 Index (8,968) 46,000 1,670 8/17/61 (300 bp) — Monthly (7,321)
CMBX NA BBB-.12 Index (5,404) 16,000 581 8/17/61 (300 bp) — Monthly (4,831)
CMBX NA BBB-.13 Index (9,245) 122,000 4,380 12/16/72 (300 bp) — Monthly (4,926)
CMBX NA BBB-.6 Index (110,363) 405,000 107,123 5/11/63 (300 bp) — Monthly (3,443)
CMBX NA BBB-.8 Index (8,938) 57,000 7,889 10/17/57 (300 bp) — Monthly (1,078)
JPMorgan Securities LLC
CMBX NA BB.11 Index (110,168) 202,000 17,998 11/18/54 (500 bp) — Monthly (92,338)
CMBX NA BB.17 Index (495,531) 1,012,000 350,962 1/17/47 (500 bp) — Monthly (145,413)
CMBX NA BB.8 Index (52,536) 102,321 36,744 10/17/57 (500 bp) — Monthly (15,878)
CMBX NA BB.9 Index (48,926) 99,000 21,899 9/17/58 (500 bp) — Monthly (27,110)
CMBX NA BBB-.10 Index (10,885) 66,000 5,834 11/17/59 (300 bp) — Monthly (5,083)
CMBX NA BBB-.10 Index (29,298) 104,000 9,194 11/17/59 (300 bp) — Monthly (20,156)
CMBX NA BBB-.10 Index (15,790) 53,000 4,685 11/17/59 (300 bp) — Monthly (11,131)
CMBX NA BBB-.11 Index (20,115) 64,000 2,214 11/18/54 (300 bp) — Monthly (17,933)
CMBX NA BBB-.11 Index (13,201) 42,000 1,453 11/18/54 (300 bp) — Monthly (11,768)
CMBX NA BBB-.11 Index (5,650) 18,000 623 11/18/54 (300 bp) — Monthly (5,036)
CMBX NA BBB-.12 Index (1,641) 42,000 1,525 8/17/61 (300 bp) — Monthly (137)
CMBX NA BBB-.7 Index (214,338) 913,000 162,331 1/17/47 (300 bp) — Monthly (52,464)
Merrill Lynch International
CMBX NA BB.10 Index (15,875) 279,000 68,020 11/17/59 (500 bp) — Monthly 51,913
CMBX NA BB.11 Index (10,379) 21,000 1,871 11/18/54 (500 bp) — Monthly (8,525)
CMBX NA BB.9 Index (36,425) 935,000 206,822 9/17/58 (500 bp) — Monthly 169,618
CMBX NA BBB-.10 Index (20,367) 94,000 8,310 11/17/59 (300 bp) — Monthly (12,104)
CMBX NA BBB-.7 Index (32,451) 396,000 70,409 1/17/47 (300 bp) — Monthly 37,760
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 31,115 1/17/47 (300 bp) — Monthly 13,197
CMBX NA BB.10 Index (14,683) 140,000 34,132 11/17/59 (500 bp) — Monthly 19,333
CMBX NA BB.12 Index (876) 12,000 1,134 8/17/61 (500 bp) — Monthly 248
CMBX NA BB.7 Index (39,014) 194,000 67,279 1/17/47 (500 bp) — Monthly 28,103
CMBX NA BB.7 Index (17,547) 91,000 31,559 1/17/47 (500 bp) — Monthly 13,936
CMBX NA BB.7 Index (11,040) 59,000 20,461 1/17/47 (500 bp) — Monthly 9,372
CMBX NA BB.7 Index (6,055) 30,000 10,404 1/17/47 (500 bp) — Monthly 4,324
CMBX NA BB.8 Index (34,059) 93,633 33,624 10/17/57 (500 bp) — Monthly (513)
CMBX NA BB.8 Index (30,651) 59,848 21,491 10/17/57 (500 bp) — Monthly (9,210)
CMBX NA BB.9 Index (5,010) 142,000 31,410 9/17/58 (500 bp) — Monthly 26,283
CMBX NA BB.9 Index (5,782) 94,000 20,793 9/17/58 (500 bp) — Monthly 14,933
CMBX NA BB.9 Index (8,785) 66,000 14,599 9/17/58 (500 bp) — Monthly 5,759
CMBX NA BB.9 Index (3,952) 65,000 14,378 9/17/58 (500 bp) — Monthly 10,372
CMBX NA BB.9 Index (8,830) 65,000 14,378 9/17/58 (500 bp) — Monthly 5,494
CMBX NA BB.9 Index (9,506) 63,000 13,936 9/17/58 (500 bp) — Monthly 4,377
CMBX NA BB.9 Index (8,614) 63,000 13,936 9/17/58 (500 bp) — Monthly 5,270
CMBX NA BB.9 Index (1,876) 48,000 10,618 9/17/58 (500 bp) — Monthly 8,701
CMBX NA BB.9 Index (1,685) 34,000 7,521 9/17/58 (500 bp) — Monthly 5,807
CMBX NA BB.9 Index (4,541) 30,000 6,636 9/17/58 (500 bp) — Monthly 2,070
CMBX NA BB.9 Index (4,541) 30,000 6,636 9/17/58 (500 bp) — Monthly 2,070
CMBX NA BB.9 Index (352) 4,000 885 9/17/58 (500 bp) — Monthly 530
CMBX NA BBB-.8 Index (16,646) 107,000 14,809 10/17/57 (300 bp) — Monthly (1,890)
CMBX NA BBB-.8 Index (8,468) 54,000 7,474 10/17/57 (300 bp) — Monthly (1,021)
CMBX NA BBB-.10 Index (51,248) 304,000 26,874 11/17/59 (300 bp) — Monthly (24,526)
CMBX NA BBB-.10 Index (17,456) 136,000 12,022 11/17/59 (300 bp) — Monthly (5,502)
CMBX NA BBB-.10 Index (27,435) 116,000 10,254 11/17/59 (300 bp) — Monthly (17,239)
CMBX NA BBB-.10 Index (24,867) 102,000 9,017 11/17/59 (300 bp) — Monthly (15,901)
CMBX NA BBB-.10 Index (7,908) 66,000 5,834 11/17/59 (300 bp) — Monthly (2,107)
CMBX NA BBB-.10 Index (13,546) 59,000 5,216 11/17/59 (300 bp) — Monthly (8,360)
CMBX NA BBB-.10 Index (12,006) 55,000 4,862 11/17/59 (300 bp) — Monthly (7,171)
CMBX NA BBB-.10 Index (4,987) 23,000 2,033 11/17/59 (300 bp) — Monthly (2,965)
CMBX NA BBB-.10 Index (4,325) 20,000 1,768 11/17/59 (300 bp) — Monthly (2,567)
CMBX NA BBB-.10 Index (19,495) 158,000 13,967 11/17/59 (300 bp) — Monthly (5,607)
CMBX NA BBB-.10 Index (10,907) 86,000 7,602 11/17/59 (300 bp) — Monthly (3,348)
CMBX NA BBB-.10 Index (8,751) 69,000 6,100 11/17/59 (300 bp) — Monthly (2,686)
CMBX NA BBB-.11 Index (3,007) 53,000 1,834 11/18/54 (300 bp) — Monthly (1,200)
CMBX NA BBB-.11 Index (9,675) 31,000 1,073 11/18/54 (300 bp) — Monthly (8,618)
CMBX NA BBB-.11 Index (5,697) 18,000 623 11/18/54 (300 bp) — Monthly (5,083)
CMBX NA BBB-.13 Index (8,074) 131,000 4,703 12/16/72 (300 bp) — Monthly (3,436)
CMBX NA BBB-.7 Index (14,539) 229,000 40,716 1/17/47 (300 bp) — Monthly 26,062
CMBX NA BBB-.8 Index (21,469) 150,000 20,760 10/17/57 (300 bp) — Monthly (784)
CMBX NA BBB-.8 Index (15,432) 99,000 13,702 10/17/57 (300 bp) — Monthly (1,780)
CMBX NA BBB-.8 Index (9,063) 58,000 8,027 10/17/57 (300 bp) — Monthly (1,064)
CMBX NA BBB-.8 Index (8,983) 58,000 8,027 10/17/57 (300 bp) — Monthly (988)
Upfront premium received — Unrealized appreciation 1,088,462
Upfront premium (paid) (3,368,912) Unrealized (depreciation) (1,029,272)
Total $(3,368,912) Total $59,190
* 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
EUR Euro
GBP British Pound
CVR Contingent Value Rights
DAC Designated Activity Company
EMTN Euro Medium Term Notes
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
JSC Joint Stock Company
OJSC Open Joint Stock Company
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 October 1, 2020 through June 30, 2021 (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 $219,062,053.
(NON) This security is non-income-producing.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC, Putnam Short Term Investment Fund and Putnam Government Money Market 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
9/30/20		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
6/30/21
Short-term investments
Putnam Short Term& Investment Fund* $12,804,784 $57,465,165 $62,494,082 $9,697 $7,775,867
Total Short-term investments $12,804,784 $57,465,165 $62,494,082 $9,697 $7,775,867
* 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 $979,936.
(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 $16,474,852.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $127,977.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,250,636.
(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. 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 $185,064,478 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.
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, for hedging market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $16,070,085 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $16,474,852 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*:
Consumer cyclicals $175,314 $4,007 $—
Energy 38,008 — 186
Financials — — 15,178
Utilities and power — 11,293 —
Total common stocks 213,322 15,300 15,364
Asset-backed securities — 342,000 594,000
Convertible bonds and notes — 13,602,076 —
Corporate bonds and notes — 47,594,805 3
Foreign government and agency bonds and notes — 28,946,302 —
Mortgage-backed securities — 103,036,755 —
Purchased options outstanding — 270,935 —
Purchased swap options outstanding — 5,089,276 —
Senior loans — 8,492,682 —
U.S. government and agency mortgage obligations — 138,187,230 —
U.S. treasury obligations — 114,233 —
Short-term investments 100,000 30,873,874 —
Totals by level $313,322 $376,565,468 $609,367
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(1,035,108) $—
Futures contracts (101,206) — —
Written options outstanding — (180,091) —
Written swap options outstanding — (7,546,888) —
Forward premium swap option contracts — 891,482 —
TBA sale commitments — (30,352,100) —
Interest rate swap contracts — 1,450,126 —
Total return swap contracts — (957,759) —
Credit default contracts — (13,254,437) —
Totals by level $(101,206) $(50,984,775) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount) $—*
Purchased TBA commitment option contracts (contract amount) $90,400,000
Purchased currency option contracts (contract amount) $40,400,000
Purchased swap option contracts (contract amount) $615,400,000
Written equity option contracts (contract amount) $—*
Written TBA commitment option contracts (contract amount) $88,400,000
Written currency option contracts (contract amount) $36,300,000
Written swap option contracts (contract amount) $490,900,000
Futures contracts (number of contracts) 1,000
Forward currency contracts (contract amount) $271,800,000
Centrally cleared interest rate swap contracts (notional) $840,100,000
OTC total return swap contracts (notional) $13,700,000
Centrally cleared total return swap contracts (notional) $163,900,000
OTC credit default contracts (notional) $89,100,000
Warrants (number of warrants) 3,000
* For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.
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