NPORT-EX 2 b_074nport123121.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Master Intermediate Income Trust
The fund's portfolio
12/31/21 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (58.6%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.6%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $45,939 $50,947
5.00%, with due dates from 5/20/49 to 3/20/50 177,209 194,229
3.50%, with due dates from 9/20/49 to 3/20/50 881,638 936,701
1,181,877
U.S. Government Agency Mortgage Obligations (58.0%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 71,323 77,708
4.50%, 5/1/49 17,681 19,136
Uniform Mortgage-Backed Securities
5.50%, TBA, 1/1/52 3,000,000 3,245,630
4.50%, TBA, 1/1/52 4,000,000 4,287,500
4.00%, TBA, 1/1/52 33,000,000 35,102,463
3.50%, TBA, 2/1/52 13,000,000 13,673,362
3.50%, TBA, 1/1/52 24,000,000 25,275,005
3.00%, TBA, 2/1/52 8,000,000 8,279,063
3.00%, TBA, 1/1/52 22,000,000 22,800,078
2.50%, TBA, 1/1/52 3,000,000 3,063,283
115,823,228
Total U.S. government and agency mortgage obligations (cost $117,032,760) $117,005,105








U.S. TREASURY OBLIGATIONS (0.0%)(a)
        Principal amount Value
U.S. Treasury Notes 1.125%, 8/31/28(i) $54,000 $53,209
Total U.S. treasury obligations (cost $53,209) $53,209








MORTGAGE-BACKED SECURITIES (47.4%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (26.0%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.54%, 4/15/40 $679,202 $39,523
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.148%, 9/25/50 5,204,024 908,883
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.09%, 12/15/47 927,540 137,276
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 7/25/50 4,533,829 795,288
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.99%, 8/15/56 2,801,819 581,602
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.99%, 4/15/47 619,143 115,002
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 1/25/50 3,490,230 497,154
REMICs Ser. 4813, IO, 5.50%, 8/15/48 1,389,970 297,589
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 605,450 95,722
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51 5,436,482 975,603
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 3,683,973 550,155
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50 3,037,329 558,243
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 2,658,795 400,609
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 3,408,146 527,308
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 4,900,104 785,647
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 3,460,917 640,702
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 404,127 55,666
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 221,487 28,872
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 5,008,677 781,349
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 799,485 91,576
REMICs Ser. 4425, IO, 4.00%, 1/15/45 877,129 97,616
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 903,857 147,200
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 596,052 78,209
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 1,193,714 106,503
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 646,915 44,532
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 350,427 21,498
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 296,095 15,500
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 6,514,329 741,265
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 8,396,308 1,149,611
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 1,524,738 120,924
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 631,304 36,931
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 166,374 2,674
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.389%, 7/25/43(WAC) 875,452 12,081
Federal National Mortgage Association
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.298%, 4/25/40 374,104 70,656
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.148%, 3/25/48 1,969,980 335,488
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.098%, 6/25/48 3,773,472 542,418
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.048%, 5/25/47 4,178,420 641,931
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.048%, 10/25/41 114,630 5,063
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,331,722 272,801
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,070,196 211,211
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 12/25/46 1,746,824 292,308
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 5/25/39 5,403,405 951,167
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 3/25/50 2,964,392 518,650
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 8/25/49 1,877,741 251,260
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.898%, 11/25/49 3,888,230 605,786
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.848%, 2/25/43 1,140,216 221,316
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.798%, 10/25/41 937,690 142,553
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 47,073 7,791
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 1,691,554 304,344
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 138,906 21,956
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50 2,208,988 349,977
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51 6,252,740 877,757
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 2,483,092 424,857
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 5,438,744 876,001
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 175,287 31,565
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 319,055 6,317
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 8,205,708 1,295,928
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 351,519 21,539
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 1,595,078 239,780
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 487,572 57,309
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 379,372 41,572
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 300,812 27,163
REMICs Ser. 20-85, Class PI, IO, 3.00%, 12/25/50 6,344,580 936,587
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 314,190 17,046
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 420,819 25,616
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 156,052 2,000
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 7,699,481 807,844
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51 7,194,501 1,002,986
Government National Mortgage Association
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 6/20/51 4,642,866 634,030
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 5/20/51 4,316,242 543,997
IFB Ser. 21-59, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 4/20/51 3,147,353 426,140
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 9/20/50 3,845,900 752,008
FRB Ser. 21-116, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.093%, 11/20/47 3,722,438 988,200
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 6.076%, 4/20/44 2,243,962 442,221
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 7/20/50 2,742,111 457,409
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 1/20/49 2,209,474 346,846
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 9/20/43 241,082 40,871
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 5/20/50 2,839,676 424,809
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 4/20/50 3,759,894 548,018
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 8/20/49 3,001,350 411,035
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 7/20/49 2,739,424 378,479
IFB Ser. 19-89, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 7/20/49 3,419,693 488,316
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 2/20/50 307,506 34,715
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 1/20/50 2,094,555 332,505
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 12/20/49 1,888,548 281,967
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 9/20/49 2,925,423 420,919
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 8/20/49 123,499 16,336
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 6/20/49 158,589 18,926
IFB Ser. 20-63, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.896%, 8/20/43 2,970,624 512,700
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.496%, 8/20/44 1,045,914 173,320
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 455,176 80,493
Ser. 16-42, IO, 5.00%, 2/20/46 1,157,735 197,052
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 1,892,289 245,373
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 2,018,059 374,592
Ser. 14-76, IO, 5.00%, 5/20/44 466,290 84,331
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 337,781 63,537
Ser. 12-146, IO, 5.00%, 12/20/42 304,636 56,178
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 441,091 78,505
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 320,779 56,836
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 1,423,448 264,676
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 736,597 136,270
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 1,471,364 258,177
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 251,495 44,466
Ser. 20-61, IO, 4.50%, 5/20/50 6,885,438 1,175,393
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,462,347 194,759
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 486,408 91,712
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 647,627 114,728
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 678,650 58,669
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 615,466 97,455
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 111,109 6,835
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 542,261 96,364
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 556,627 83,525
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,000,829 166,938
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 522,453 86,898
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 595,420 93,349
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 361,464 60,473
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 382,940 70,947
Ser. 16-29, IO, 4.00%, 2/16/46 511,248 87,871
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 1,445,288 206,633
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,053,787 198,112
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 937,583 126,711
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 875,927 89,441
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 2,364,497 310,495
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 1,061,861 39,343
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 307,431 45,995
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 880,580 51,845
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 269,237 37,225
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 249,480 39,721
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 624,972 95,214
Ser. 21-156, IO, 3.50%, 7/20/51 5,037,143 793,153
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 3,158,644 354,249
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 6,970,051 945,836
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 91,662 1,644
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 562,867 42,487
Ser. 13-76, IO, 3.50%, 5/20/43 693,831 78,382
Ser. 13-28, IO, 3.50%, 2/20/43 188,336 15,169
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 282,675 25,551
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 466,785 42,669
Ser. 13-14, IO, 3.50%, 12/20/42 1,223,187 111,335
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 202,416 19,270
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 845,841 130,658
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,127,261 169,742
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,119,144 159,575
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 550,300 90,234
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 899,502 59,187
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51 4,099,353 318,635
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 4,846,416 436,565
Ser. 21-67, Class PI, IO, 3.00%, 4/20/51 8,352,870 633,330
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 3,913,995 346,389
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 3,453,847 520,134
Ser. 17-H02, Class BI, IO, 2.421%, 1/20/67(WAC) 2,121,208 146,075
Ser. 16-H18, Class QI, IO, 2.389%, 6/20/66(WAC) 2,204,298 161,441
Ser. 18-H05, Class AI, IO, 2.371%, 2/20/68(WAC) 1,665,457 141,564
Ser. 18-H05, Class BI, IO, 2.341%, 2/20/68(WAC) 3,166,590 269,160
Ser. 17-H16, Class FI, IO, 2.341%, 8/20/67(WAC) 2,446,732 167,831
Ser. 18-H02, Class EI, IO, 2.337%, 1/20/68(WAC) 4,596,891 387,863
Ser. 17-H06, Class BI, IO, 2.335%, 2/20/67(WAC) 3,256,659 236,540
Ser. 17-H16, Class JI, IO, 2.305%, 8/20/67(WAC) 6,887,160 580,028
Ser. 18-H15, Class KI, IO, 2.303%, 8/20/68(WAC) 2,767,278 217,923
Ser. 18-H03, Class XI, IO, 2.301%, 2/20/68(WAC) 3,381,896 252,289
Ser. 17-H08, Class NI, IO, 2.242%, 3/20/67(WAC) 4,072,866 263,107
Ser. 17-H12, Class QI, IO, 2.237%, 5/20/67(WAC) 2,676,185 158,890
Ser. 16-H16, Class EI, IO, 2.198%, 6/20/66(WAC) 3,066,720 207,617
Ser. 16-H22, Class AI, IO, 2.148%, 10/20/66(WAC) 2,984,409 203,963
Ser. 16-H23, Class NI, IO, 2.12%, 10/20/66(WAC) 8,129,162 527,583
Ser. 17-H19, Class MI, IO, 2.053%, 4/20/67(WAC) 1,469,048 101,217
Ser. 16-H03, Class DI, IO, 2.04%, 12/20/65(WAC) 3,295,808 185,389
Ser. 16-H17, Class KI, IO, 1.929%, 7/20/66(WAC) 2,051,102 139,090
Ser. 15-H15, Class BI, IO, 1.895%, 6/20/65(WAC) 1,983,841 116,848
Ser. 15-H25, Class EI, IO, 1.857%, 10/20/65(WAC) 2,335,715 135,705
Ser. 17-H11, Class DI, IO, 1.843%, 5/20/67(WAC) 3,045,048 218,863
Ser. 15-H20, Class CI, IO, 1.836%, 8/20/65(WAC) 3,389,555 238,964
Ser. 15-H10, Class BI, IO, 1.832%, 4/20/65(WAC) 2,108,280 127,762
Ser. 15-H20, Class AI, IO, 1.829%, 8/20/65(WAC) 2,998,590 181,115
Ser. 17-H09, IO, 1.819%, 4/20/67(WAC) 4,067,055 227,816
FRB Ser. 15-H08, Class CI, IO, 1.799%, 3/20/65(WAC) 1,666,444 86,155
Ser. 15-H24, Class AI, IO, 1.786%, 9/20/65(WAC) 2,662,797 164,044
Ser. 16-H09, Class BI, IO, 1.771%, 4/20/66(WAC) 3,718,329 252,475
Ser. 16-H03, Class AI, IO, 1.765%, 1/20/66(WAC) 2,762,786 155,838
Ser. 15-H23, Class BI, IO, 1.761%, 9/20/65(WAC) 3,129,263 172,109
Ser. 17-H16, Class IH, IO, 1.758%, 7/20/67(WAC) 4,325,926 236,442
Ser. 16-H24, Class CI, IO, 1.701%, 10/20/66(WAC) 2,075,942 107,949
Ser. 17-H16, Class IG, IO, 1.695%, 7/20/67(WAC) 6,140,319 339,636
Ser. 16-H14, IO, 1.692%, 6/20/66(WAC) 2,870,958 144,360
Ser. 16-H06, Class DI, IO, 1.619%, 7/20/65(WAC) 4,551,066 205,958
Ser. 13-H08, Class CI, IO, 1.598%, 2/20/63(WAC) 2,400,230 71,767
Ser. 16-H02, Class HI, IO, 1.553%, 1/20/66(WAC) 3,716,062 173,169
Ser. 14-H21, Class BI, IO, 1.546%, 10/20/64(WAC) 4,377,509 189,546
Ser. 16-H10, Class AI, IO, 1.512%, 4/20/66(WAC) 7,439,941 332,796
Ser. 16-H06, Class CI, IO, 1.409%, 2/20/66(WAC) 3,966,899 152,817
51,891,658
Commercial mortgage-backed securities (7.5%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 359,000 308,939
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.43%, 1/12/45(WAC) 1,319,000 1,015,630
Ser. 05-PWR7, Class D, 5.223%, 2/11/41(WAC) 441,000 309,141
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 105,873 105,344
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW14, Class XW, IO, 0.517%, 12/11/38(WAC) 57,395 327
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50 514,000 401,822
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 1,019,978
FRB Ser. 11-C2, Class E, 5.186%, 12/15/47(WAC) 409,000 407,635
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.919%, 4/10/47(WAC) 149,000 154,296
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47(WAC) 647,000 478,081
FRB Ser. 14-UBS3, Class D, 4.767%, 6/10/47(WAC) 144,000 140,114
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 56,370
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.761%, 4/15/50(WAC) 527,000 412,403
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.401%, 2/10/46(WAC) 638,000 597,299
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 294,000 291,555
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47(WAC) 1,127,000 780,629
FRB Ser. 13-GC13, Class D, 4.064%, 7/10/46(WAC) 531,000 214,740
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class C, 4.098%, 7/15/45(WAC) 245,000 248,069
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.793%, 2/15/47(WAC) 1,078,000 614,921
FRB Ser. C14, Class D, 4.548%, 8/15/46(WAC) 515,000 329,862
FRB Ser. 14-C18, Class E, 4.293%, 2/15/47(WAC) 407,000 152,914
FRB Ser. 14-C23, Class D, 3.984%, 9/15/47(WAC) 244,000 241,730
FRB Ser. 14-C25, Class D, 3.941%, 11/15/47(WAC) 200,000 155,822
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 459,227
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 422,098
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.164%, 4/15/46(WAC) 581,000 485,049
Ser. 13-LC11, Class B, 3.499%, 4/15/46 221,000 223,377
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.523%, 2/15/46(WAC) 410,000 74,437
FRB Ser. 11-C4, Class C, 5.389%, 7/15/46(WAC) 129,970 134,307
FRB Ser. 12-C6, Class E, 5.122%, 5/15/45(WAC) 263,000 195,724
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 599,302
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39(WAC) 462,989 56
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) 13,487 —
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 31,345 30,903
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.351%, 8/15/46(WAC) 900,000 63,000
FRB Ser. 13-C11, Class F, 4.351%, 8/15/46(WAC) 496,000 4,910
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50(WAC) 131,000 129,002
FRB Ser. 13-C9, Class D, 4.109%, 5/15/46(WAC) 350,000 322,175
FRB Ser. 13-C10, Class D, 4.075%, 7/15/46(WAC) 485,000 278,616
FRB Ser. 13-C10, Class E, 4.075%, 7/15/46(WAC) 1,006,000 336,105
FRB Ser. 13-C10, Class F, 4.075%, 7/15/46(WAC) 975,000 216,938
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 296,263
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 168,221 158,959
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 3.852%, 3/25/50 701,000 711,243
FRB Ser. 19-01, Class M10, 3.352%, 10/15/49 289,000 285,373
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 13,373
Wells Fargo Commercial Mortgage Trust FRB Ser. 16-NXS5, Class D, 4.984%, 1/15/59(WAC) 269,000 277,471
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.306%, 7/15/46(WAC) 188,000 66,476
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 117,401
Ser. 16-C33, Class D, 3.123%, 3/15/59 282,000 264,761
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 336,954
14,941,127
Residential mortgage-backed securities (non-agency) (13.9%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.292%, 5/25/47 423,042 243,145
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.652%, 11/27/36(WAC) 621,800 509,876
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.602%, 1/25/36 65,216 78,128
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.282%, 11/25/47 220,648 189,632
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.452%, 3/25/37 866,688 810,337
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 1,000,000 1,007,465
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.181%, 6/25/46(WAC) 277,510 303,624
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 1.582%, 9/25/35 259,720 250,450
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.042%, 8/25/46 91,027 89,314
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.022%, 6/25/46 274,717 257,410
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 0.802%, 9/25/35 319,590 303,450
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 0.763%, 11/20/35 340,852 334,162
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.482%, 8/25/46 289,992 280,671
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.482%, 8/25/46 1,830,011 1,695,226
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.603%, 5/25/28 266,387 285,814
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.103%, 7/25/28 888,239 982,670
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.453%, 4/25/28 570,574 614,898
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.303%, 10/25/27 395,354 447,328
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, Class B, (1 Month US LIBOR + 8.80%), 8.903%, 3/25/28 385,380 401,780
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.653%, 12/25/27 683,246 718,353
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.403%, 9/25/30 587,759 594,193
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%), 11.55%, 10/25/50 176,000 231,110
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.353%, 4/25/49 106,000 116,238
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.103%, 10/25/48 448,000 521,680
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.853%, 1/25/49 141,000 156,372
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.603%, 3/25/49 118,000 130,373
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.103%, 8/25/50 609,000 749,451
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.103%, 7/25/50 430,000 521,913
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.253%, 7/25/49 135,000 142,580
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.853%, 9/25/48 174,000 187,930
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 5.853%, 7/25/50 174,000 180,608
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 316,074
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 656,035
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.353%, 10/25/48 380,000 395,200
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.003%, 9/25/48 190,000 198,052
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.803%, 12/25/30 260,000 269,462
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.203%, 3/25/50 234,840 237,589
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.753%, 1/25/49 148,965 150,722
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.553%, 3/25/49 121,504 122,833
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.453%, 2/25/49 147,680 149,098
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.403%, 10/25/48 120,000 121,393
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.853%, 10/25/28 89,589 102,012
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.353%, 9/25/28 1,112,058 1,277,503
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.853%, 10/25/28 566,378 650,828
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.853%, 8/25/28 366,892 411,538
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.853%, 1/25/29 119,587 131,347
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.353%, 4/25/29 19,830 21,724
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.803%, 4/25/28 1,000,078 1,053,423
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.653%, 4/25/28 34,764 36,256
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.603%, 9/25/29 477,000 522,913
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.103%, 7/25/25 13,454 13,521
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.953%, 10/25/29 1,170,000 1,268,422
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.603%, 12/25/30 283,000 297,412
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.553%, 2/25/30 60,000 62,775
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.552%, 5/25/30 82,000 85,111
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.103%, 5/25/25 6,829 6,957
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.703%, 1/25/30 182,000 189,546
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 3.653%, 7/25/30 457,000 471,281
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.103%, 10/25/29 439,543 449,817
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.602%, 5/25/30 240,775 244,274
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.353%, 7/25/30 45,777 46,290
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.203%, 3/25/31 66,388 66,926
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.203%, 9/25/31 556,000 570,023
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 3.753%, 2/25/40 504,000 523,172
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.553%, 7/25/31 17,395 17,461
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.462%, 5/25/36 495,260 158,194
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.412%, 5/25/37 247,339 208,248
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.624%, 5/19/35 262,946 112,633
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 4.20%, 1/25/34 (Bermuda) 150,000 144,968
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.502%, 6/25/37 449,450 221,072
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%, 2/26/37 246,849 237,156
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 0.897%, 8/25/35 55,637 54,568
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.802%, 3/25/28 (Bermuda) 794,000 799,350
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 0.532%, 5/25/46 221,843 199,659
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.522%, 8/25/36 283,493 274,988
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.222%, 8/25/36 235,590 226,764
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 216,000 229,894
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.082%, 10/25/45 124,565 124,062
27,794,727
Total mortgage-backed securities (cost $114,605,722) $94,627,512








CORPORATE BONDS AND NOTES (21.1%)(a)
        Principal amount Value
Basic materials (1.1%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 $38,000 $39,345
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 92,000 99,475
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 90,000 94,950
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 35,000 36,232
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 120,000 120,304
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29 10,000 9,165
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 113,000 119,648
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 63,000 64,339
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 60,000 64,350
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 60,000 62,925
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 203,000 208,075
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) 25,000 25,688
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 120,000 124,581
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 $160,000 163,189
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 35,000 36,050
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 121,000 122,513
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 90,000 91,923
NOVA Chemicals Corp. 144A sr. unsec. sub. notes 4.25%, 5/15/29 (Canada) 25,000 25,102
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 15,000 14,906
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 80,000 84,100
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 45,000 43,200
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 225,000 229,500
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 90,000 89,888
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 121,000 127,369
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 80,000 82,170
2,178,987
Capital goods (1.6%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 60,000 58,500
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 234,000 243,711
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 119,600
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) 330,000 337,425
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 72,000 75,420
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 180,938
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 20,000 20,200
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 23,000 22,540
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 119,600
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 50,000 51,500
LSF11 A5 HoldCo., LLC 144A sr. unsec. notes 6.625%, 10/15/29 115,000 113,275
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 40,000 40,100
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 125,000 132,500
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 135,000 136,777
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 25,000 25,500
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 120,000 122,250
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 352,000 361,680
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 208,000 221,780
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 60,000 61,650
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 86,000 88,363
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 148,000 152,440
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 120,000 120,516
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 80,000 79,734
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 25,000 25,250
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 223,000 221,885
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 115,000 126,069
3,295,078
Communication services (2.2%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 133,000 137,018
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 885,000 955,034
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 60,000 62,400
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 55,000 56,275
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 199,000 206,960
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 82,000 82,000
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 124,800
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 89,000 91,110
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 30,000 31,650
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 7.375%, 7/1/28 120,000 121,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 79,000 71,890
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 65,000 65,650
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 35,000 35,552
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 90,000 95,175
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 110,000 114,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 269,842
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 61,000 62,220
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 66,000 65,340
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 3.625%, 1/15/29 55,000 52,250
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 260,000 328,900
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 125,000 150,075
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 433,000 476,841
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 50,000 54,688
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 125,000 135,363
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 80,000 79,008
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 19,772
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 45,259
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 55,000 54,175
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 148,000 155,770
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 160,045
4,360,962
Consumer cyclicals (3.8%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 $70,000 68,950
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 60,000 61,394
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 55,000 54,725
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 5,000 5,189
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 15,000 15,281
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 128,000 144,960
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 15,000 18,300
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 55,000 62,288
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31 75,000 76,875
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 55,000 56,100
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada) 80,000 80,056
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 110,000 110,000
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 105,000 105,000
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 110,000 110,688
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 25,000 26,500
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 85,000 82,875
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 80,000 82,781
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 144,000 72,000
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 120,000 117,236
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 244,000 241,365
Ford Motor Co. sr. unsec. unsub. bonds 3.25%, 2/12/32 25,000 25,544
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 217,500
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 200,000 215,160
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 120,000 126,000
Gap, Inc. (The) 144A company guaranty sr. unsec. bonds 3.875%, 10/1/31 115,000 113,419
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 135,000 137,025
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 20,000 20,221
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 60,000 61,725
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 125,000 130,893
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 186,721 196,991
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 75,156
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 65,000 66,699
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 31,000 32,473
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 111,640
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $57,000 58,119
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 46,000 46,460
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 99,000 102,218
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 60,000 65,625
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 47,194
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 35,000 34,606
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 160,000 168,280
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 125,000 127,306
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 170,000 182,743
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 195,000 202,069
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 25,000 25,638
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 95,000 94,050
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 90,000 92,925
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 90,000 90,900
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 58,000 58,925
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 80,000 82,600
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 40,000 39,350
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. bonds 4.75%, 7/15/31 40,000 39,500
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 55,000 53,096
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 115,000 119,888
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 25,000 25,250
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 278,000 314,140
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 65,000 66,918
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 168,000 175,140
Scotts Miracle-Gro Co. (The) 144A company guaranty sr. unsec. bonds 4.375%, 2/1/32 40,000 39,900
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 100,000 103,601
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29 110,000 97,625
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 60,000 56,850
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 111,000 108,830
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 125,000 125,699
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 115,000 122,813
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 57,681
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 45,000 43,348
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 10,325
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 115,000 115,656
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 105,000 104,475
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 125,000 137,500
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 50,000 55,875
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 65,000 69,469
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 115,000 123,913
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 40,000 40,400
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 104,000 107,120
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 155,000 158,100
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 110,000 114,675
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 150,000 153,348
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 145,000 147,175
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 35,000 36,706
7,567,033
Consumer staples (1.4%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 80,000 78,600
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 77,000 78,540
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 101,000
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 35,000 37,790
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 260,000 272,854
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 395,000 395,774
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 18,000 18,161
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 227,000 227,000
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 60,000 63,478
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 113,713
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 104,000 108,779
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 85,000 92,013
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 85,000 86,700
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 33,000 34,320
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 35,000 33,994
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 130,000 131,300
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 60,000 62,424
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 50,000 50,125
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 136,800
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 246,000 295,815
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 71,250
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 19,000 22,159
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 66,000 71,940
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 105,000 114,477
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 59,000 62,245
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 55,000 54,794
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 59,538
2,875,583
Energy (4.8%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 65,000 71,633
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 10,000 11,386
Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 195,000 212,550
Apache Corp. sr. unsec. unsub. notes 4.625%, 11/15/25 25,000 26,844
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 306,000 332,925
Callon Petroleum Co. company guaranty sr. unsec. notes 6.125%, 10/1/24 110,000 108,350
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 55,000 59,400
ChampionX Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 42,000 43,680
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 570,000 604,200
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 90,000 94,406
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32 10,000 10,075
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 23,000 23,719
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 80,000 82,000
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 117,000 126,483
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 105,000 108,199
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 127,000 149,558
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 125,000 122,282
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 56,000 63,560
DT Midstream, Inc. 144A sr. unsec. bonds 4.375%, 6/15/31 30,000 31,200
DT Midstream, Inc. 144A sr. unsec. notes 4.125%, 6/15/29 25,000 25,594
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 248,000 257,610
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 196,000 208,913
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 59,000 62,424
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 51,000 53,040
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 10,000 11,075
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 102,000 106,208
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 30,000 29,775
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 132,000 135,960
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 195,000 194,269
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 70,097 72,200
Northriver Midstream Finance LP 144A sr. notes 5.625%, 2/15/26 (Canada) 12,000 12,420
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 40,000 41,900
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 200,000 247,500
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 550,000 668,250
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 195,000 254,185
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25 70,000 66,588
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 169,000 183,788
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 879,000 930,861
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 439,675
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 15,960
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 1,420,000 1,379,850
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. bonds 6.70%, 2/16/32 (Mexico) 430,000 434,300
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 51,000 52,148
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) 20,000 20,384
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 80,000 83,200
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 46,000 47,380
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 51,000 52,530
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 49,000 50,348
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 197,000 203,895
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 30,000 33,019
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 179,000 188,506
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 337,000 361,089
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 230,000 243,225
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 38,190 37,235
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 88,000 85,030
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 36,138
9,608,922
Financials (2.9%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 105,000 108,938
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 30,000 30,000
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 30,000 30,300
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 105,000 119,464
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) $200,000 220,316
Blackstone Mortgage Trust, Inc. 144A sr. notes 3.75%, 1/15/27(R) 43,000 42,862
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 266,594
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 114,840
Cobra AcquisitionCo., LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 188,000 185,650
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31 35,000 32,200
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28 40,000 37,400
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 220,371
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 53,663
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 40,000 39,100
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 35,000 35,963
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 70,000 71,575
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 95,238
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 104,000 108,290
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 25,000 25,711
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 64,000 62,400
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 15,468
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 214,303
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 90,000 93,150
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 156,000 161,850
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 122,000 124,745
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 930,000 892,776
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 52,000 53,300
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 25,000 25,250
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 115,000 115,144
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 80,000 79,600
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 93,000 94,860
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30 35,000 34,563
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) 570,000 603,201
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 45,000 48,150
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 68,400
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 269,000 299,263
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 137,000 148,959
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 110,000 113,025
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 105,000 108,561
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 235,000 239,113
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 41,000 44,421
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 55,000 57,200
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 68,000 69,360
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 204,750
5,810,287
Health care (1.8%)
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 105,000 103,950
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 80,000 76,019
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 131,000 133,431
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29 50,000 44,125
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 65,000 66,300
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 55,000 55,908
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 250,000 268,750
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 60,000 61,425
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 55,000 55,688
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 305,000 320,631
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 10,000 10,688
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 45,000 47,475
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 105,000 102,900
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 130,000 150,800
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) 45,000 43,931
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 55,000 55,550
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 245,000 275,319
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 55,000 58,128
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 207,088
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 110,000 126,680
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) $105,000 101,325
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 20,000 20,050
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 60,000 61,500
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 166,238
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 40,000 39,263
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 40,000 40,500
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 99,000 100,238
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 28,000 28,980
Tenet Healthcare Corp. 144A company guaranty sr. notes 7.50%, 4/1/25 30,000 31,574
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 235,000 244,694
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 249,000 255,755
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 95,000 96,472
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 213,000
3,664,375
Technology (0.6%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 40,000 39,979
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 35,000 35,219
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 20,000 20,600
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 80,000 79,000
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25 54,000 58,144
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 236,000 242,148
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25 119,000 123,590
Plantronics, Inc. 144A company guaranty sr. unsec. notes 4.75%, 3/1/29 140,000 133,525
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 45,000 46,575
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 90,000 89,325
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 65,000 65,631
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 120,000 121,060
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 44,000 48,111
1,102,907
Transportation (0.3%)
Air Canada 144A sr. notes 3.875%, 8/15/26 (Canada) 10,000 10,238
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 120,000 128,246
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 120,000 124,785
Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 170,000 185,637
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 45,000 46,406
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 45,000 46,923
542,235
Utilities and power (0.6%)
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 29,000 29,557
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 45,000 45,338
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 29,000 29,754
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 176,375
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 25,000 25,000
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 10,000 9,863
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 8,000 8,316
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 170,000 177,585
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 80,000 78,400
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 49,000 52,498
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 110,000 111,837
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 30,000 30,500
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 50,000 53,469
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.625%, 2/15/27 68,000 70,040
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 168,000 173,484
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 75,000 77,837
1,149,853
Total corporate bonds and notes (cost $41,282,640) $42,156,222








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.7%)(a)
        Principal amount Value
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) $960,000 $1,063,185
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 5.00%, 6/1/27 (Argentina) 452,524 288,258
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) 340,000 357,000
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 325,000 331,094
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 336,000 382,200
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 180,000 200,925
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 284,000 315,950
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 410,400
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 260,000 264,225
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 783,000
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 379,000 394,851
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,020,000 1,139,830
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 387,905
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 223,497
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 724,755
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 577,500
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 1,345,000 1,561,035
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) $1,025,000 1,112,146
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,348,750
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) 710,000 748,918
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) 340,000 359,125
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 270,000 275,395
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 670,000 740,323
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 360,000 378,448
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 760,000 577,600
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 430,000 422,294
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) 1,009,000 1,033,095
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 798,000 47,880
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 910,000 984,554
Total foreign government and agency bonds and notes (cost $17,046,837) $17,434,138








CONVERTIBLE BONDS AND NOTES (6.0%)(a)
        Principal amount Value
Capital goods (0.1%)
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26 $103,000 $113,197
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 83,000 132,644
245,841
Communication services (0.4%)
Cable One, Inc. 144A company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 163,000 161,342
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 333,000 315,202
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 38,000 57,182
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 79,000 113,365
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 188,000 192,982
840,073
Consumer cyclicals (1.1%)
Affirm Holdings, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 30,000 26,970
Alarm.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 63,000 56,700
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 80,000 84,850
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 80,000 82,049
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 84,000 123,354
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 88,000 130,735
DraftKings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 3/15/28 165,000 124,245
Expedia Group, Inc. 144A company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 166,000 190,983
Ford Motor Co. 144A cv. sr. unsec. notes zero %, 3/15/26 218,000 299,886
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 152,000 274,360
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 37,000 61,859
NCL Corp, Ltd. cv. company guaranty sr. unsec. notes 5.375%, 8/1/25 37,000 52,540
NCL Corp, Ltd. 144A cv. sr. unsec. notes 1.125%, 2/15/27 77,000 72,095
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23 219,000 257,982
Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes zero %, 12/15/25 109,000 114,930
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 146,000 155,603
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 74,000 98,709
2,207,850
Consumer staples (0.6%)
Airbnb, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 142,000 138,947
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 82,000 86,847
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 103,000 92,249
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 111,000 91,853
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28 180,000 211,608
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 70,000 93,233
Shake Shack, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 84,000 69,510
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 91,000 89,317
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 189,000 171,843
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 40,000 51,484
1,096,891
Energy (0.4%)
Enphase Energy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 156,000 160,914
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 156,000 277,973
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25, (Israel) 72,000 91,260
Sunrun, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 87,000 67,753
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 96,000 86,041
683,941
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 108,000 110,225
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 109,000 120,241
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 79,000 81,670
312,136
Health care (0.8%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 65,000 67,802
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 141,000 167,349
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 219,000 211,466
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 123,000 124,427
Halozyme Therapeutics, Inc. 144A cv. sr. unsec. notes 0.25%, 3/1/27 150,000 133,594
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 58,000 76,727
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 77,000 87,395
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 152,000 152,095
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 115,000 97,894
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 42,000 52,369
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25 72,000 135,810
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 135,000 149,259
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 53,000 78,573
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 84,000 76,493
1,611,253
Technology (2.1%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 57,000 54,150
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 146,000 170,732
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 93,000 121,718
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26 83,000 76,609
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 153,000 140,760
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27 104,000 106,340
Blackline, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 106,000 98,474
Box, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 110,000 132,143
Ceridian HCM Holding, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/26 94,000 98,192
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 157,000 148,365
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 90,000 113,400
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 33,000 66,132
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 58,000 51,440
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25 93,000 93,291
Everbridge, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 120,000 101,314
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 47,000 57,721
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 107,000 124,259
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 57,000 62,204
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 138,000 171,638
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 194,000 230,860
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27 109,000 158,595
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 86,000 162,918
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 72,000 76,054
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 34,000 32,175
Rapid7, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/27 103,000 132,746
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 122,000 114,614
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 76,000 133,236
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 150,000 145,056
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 284,000 264,830
Twitter, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 264,000 236,438
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 76,000 69,350
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 49,000 69,396
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 86,000 102,607
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 71,000 87,739
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 52,000 113,647
4,119,143
Transportation (0.2%)
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25 93,000 128,433
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 149,000 138,900
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 170,000 226,610
493,943
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 125,000 142,438
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 129,000 153,033
295,471
Total convertible bonds and notes (cost $11,318,738) $11,906,542








SENIOR LOANS (3.4%)(a)(c)
        Principal amount Value
Basic materials (0.3%)
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.25%, 2/4/26 $29,775 $28,910
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.25%, 6/9/28 19,900 19,864
SCIH Salt Holdings, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.00%), 4.75%, 3/16/27 110,620 109,422
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.102%, 10/1/25 167,967 167,233
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.10%, 5/3/26 258,238 256,410
581,839
Capital goods (0.6%)
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.604%, 4/1/28 74,625 74,547
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 21,450 21,373
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.354%, 4/3/24 348,575 343,594
Filtration Group Corp. bank term loan FRN (1 Month US LIBOR + 3.50%), 4.00%, 10/19/28 9,975 9,952
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25 195,309 195,727
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.132%, 4/9/26 87,848 84,734
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.354%, 3/28/25 218,482 214,597
TK Elevator US Newco, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 7/31/27 207,388 207,359
1,151,883
Communication services (0.2%)
Asurion, LLC bank term loan FRN Ser. B9, (BBA LIBOR USD 3 Month + 3.25%), 3.354%, 7/31/27 29,850 29,641
DIRECTV Financing, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.75%, 7/22/27 78,200 78,223
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 3.75%), 8.00%, 11/27/23 275,000 274,197
382,061
Consumer cyclicals (1.0%)
AppleCaramel Buyer, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 10/19/27 213,160 213,184
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26 174,563 174,871
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.629%, 8/21/26 231,569 228,192
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 4/12/28 152,873 152,299
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24 100,227 100,140
Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.353%, 8/24/26 97,750 45,046
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.36%, 10/30/26 82,448 82,173
Golden Nugget, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 10/4/23 84,085 83,492
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 5/1/26 71,328 71,261
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.104%, 5/1/26 44,355 44,030
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.599%, 6/19/26 125,098 124,739
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 100,000 78,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 2/28/25 157,036 147,535
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 2.854%, 8/14/24 63,354 63,087
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 3.604%, 12/17/26 122,636 121,992
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 185,139 185,370
1,915,411
Consumer staples (0.2%)
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24 386,502 377,431
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 12/15/27 39,600 39,563
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25 97,222 96,990
513,984
Energy (0.1%)
CQP Holdco LP bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.25%, 6/4/28 94,525 94,249
Southwestern Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 3.00%, 6/8/27 65,000 65,041
159,290
Financials (0.1%)
Forest City Enterprises LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.601%, 12/7/25 108,571 106,943
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25 44,105 44,063
151,006
Health care (0.3%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 1.849%, 2/4/27 62,621 61,740
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 3.854%, 10/10/25 103,664 83,110
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 5.25%, 10/2/25 233,238 232,013
Jazz Financing Lux Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 5/31/28 130,345 130,761
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/22/27 134,325 134,242
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.081%, 6/30/25 26,679 26,646
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.00%), 8.00%, 4/29/25 87,648 84,909
753,421
Technology (0.5%)
Arches Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 12/6/27 183,609 182,118
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 3.974%, 10/2/25 182,883 181,603
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27 93,813 93,683
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.544%, 12/1/27 178,650 179,172
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.604%, 7/2/25 151,476 147,906
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28 89,775 89,691
Rocket Software, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 4.75%, 11/28/25 59,700 59,536
UKG, Inc. bank term loan FRN (1 Month US LIBOR + 5.25%), 5.75%, 5/3/27 120,000 120,226
1,053,935
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 4/20/28 55,000 56,895
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/21/28 114,138 114,293
171,188
Total senior loans (cost $6,910,986) $6,834,018








PURCHASED SWAP OPTIONS OUTSTANDING (2.4%)(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 $10,110
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 372,214
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 91,318
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 336,326
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 328,720
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 97,257
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 94,658
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 855,716
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 853,542
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 728,916
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 201,622
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 133,959
(1.4075)/3 month USD-LIBOR-BBA/Mar-27 Mar-22/1.4075 2,895,700 20,675
NatWest Markets PLC
(0.52)/Sterling Overnight Index Average/Sep-23 (United Kingdom) Sep-22/0.52 GBP 41,615,900 394,868
Toronto-Dominion Bank
(1.505)/3 month USD-LIBOR-BBA/Jan-32 (Canada) Jan-22/1.505 $2,713,900 34,548
(1.80)/3 month USD-LIBOR-BBA/Jan-32 (Canada) Jan-22/1.80 5,427,800 12,050
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 173,149
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 99,818
Total purchased swap options outstanding (cost $3,038,856) $4,839,466








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%), 3.025%, 7/25/24 $594,000 $594,356
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26(WAC) 133,000 132,508
Total asset-backed securities (cost $726,997) $726,864








COMMON STOCKS (0.1%)(a)
        Shares Value
iHeartMedia, Inc. Class A(NON) 6,510 $136,970
MWO Holdings, LLC (Units)(F) 73 186
Oasis Petroleum, Inc. 378 47,624
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 12,766
Tribune Media Co. Class 1C 40,066 401
Total common stocks (cost $229,781) $197,947








WARRANTS (0.0%)(a)(NON)
    Expiration date Strike Price Warrants Value
Guaranteed Rate, Inc.(F) 3/1/23 $0.01 33 $2
Total warrants (cost $2) $2








SHORT-TERM INVESTMENTS (20.1%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 0.13%(AFF) Shares 15,465,567 $15,465,567
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 220,000 220,000
U.S. Treasury Bills 0.037%, 3/10/22(SEG)(SEGSF) $3,300,000 3,299,743
U.S. Treasury Bills 0.053%, 5/19/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) 2,200,000 2,199,188
U.S. Treasury Bills 0.045%, 2/17/22(SEG)(SEGSF)(SEGTBA) 3,700,000 3,699,861
U.S. Treasury Bills 0.043%, 2/24/22(SEGSF) 3,600,000 3,599,857
U.S. Treasury Bills 0.044%, 3/3/22(SEGSF) 1,500,000 1,499,883
U.S. Treasury Bills 0.043%, 4/21/22(SEGSF)(SEGCCS) 1,900,000 1,899,580
U.S. Treasury Bills 0.048%, 3/24/22(SEGSF)(SEGCCS) 2,600,000 2,599,676
U.S. Treasury Bills 0.053%, 4/7/22(SEGSF)(SEGCCS) 4,416,000 4,415,158
U.S. Treasury Bills 0.042%, 3/17/22(SEGSF)(SEGCCS)(SEGTBA) 1,213,000 1,212,864
Total short-term investments (cost $40,112,092) $40,111,377
TOTAL INVESTMENTS
Total investments (cost $352,358,620) $335,892,402








FORWARD CURRENCY CONTRACTS at 12/31/21 (aggregate face value $257,287,528) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/19/22 $3,275,198 $3,203,862 $71,336
Australian Dollar Sell 1/19/22 3,275,198 3,280,080 4,882
British Pound Buy 3/16/22 784,415 771,917 12,498
Canadian Dollar Buy 1/19/22 253,366 254,023 (657)
Canadian Dollar Sell 1/19/22 253,366 250,283 (3,083)
Euro Buy 3/16/22 1,864,979 1,859,153 5,826
Japanese Yen Buy 2/16/22 3,547,998 3,589,555 (41,557)
New Zealand Dollar Buy 1/19/22 3,004,614 3,044,021 (39,407)
New Zealand Dollar Sell 1/19/22 3,004,614 3,055,226 50,612
Norwegian Krone Sell 3/16/22 2,710 2,662 (48)
Swedish Krona Buy 3/16/22 166 164 2
Swiss Franc Buy 3/16/22 206,486 204,945 1,541
Barclays Bank PLC
Australian Dollar Buy 1/19/22 1,593,908 1,566,423 27,485
Australian Dollar Sell 1/19/22 1,593,908 1,595,686 1,778
British Pound Buy 3/16/22 31,799 37,769 (5,970)
Canadian Dollar Buy 1/19/22 3,832,986 3,802,544 30,442
Canadian Dollar Sell 1/19/22 3,832,986 3,897,477 64,491
Euro Sell 3/16/22 3,239,458 3,228,688 (10,770)
Japanese Yen Buy 2/16/22 1,820,606 1,842,076 (21,470)
New Zealand Dollar Buy 1/19/22 971,521 957,213 14,308
New Zealand Dollar Sell 1/19/22 971,521 987,947 16,426
Swedish Krona Buy 3/16/22 1,838 1,838 —
Swiss Franc Buy 3/16/22 1,187,127 1,178,667 8,460
Citibank, N.A.
Australian Dollar Buy 1/19/22 493,735 486,675 7,060
Australian Dollar Sell 1/19/22 493,735 512,365 18,630
British Pound Sell 3/16/22 983,597 967,938 (15,659)
Canadian Dollar Buy 1/19/22 3,098,817 3,084,060 14,757
Canadian Dollar Sell 1/19/22 3,098,817 3,146,868 48,051
Euro Sell 3/16/22 402,937 401,580 (1,357)
Japanese Yen Buy 2/16/22 1,580,230 1,599,004 (18,774)
New Zealand Dollar Buy 1/19/22 1,331,108 1,316,147 14,961
New Zealand Dollar Sell 1/19/22 1,331,108 1,350,935 19,827
Swedish Krona Sell 3/16/22 168,378 168,541 163
Swiss Franc Sell 3/16/22 495,104 491,389 (3,715)
Credit Suisse International
Australian Dollar Buy 1/19/22 8,731 8,540 191
Australian Dollar Sell 1/19/22 8,731 8,744 13
British Pound Sell 3/16/22 752,886 740,790 (12,096)
Canadian Dollar Buy 1/19/22 1,127,698 1,135,450 (7,752)
Canadian Dollar Sell 1/19/22 1,127,698 1,134,123 6,425
Euro Sell 3/16/22 1,247,462 1,243,297 (4,165)
New Zealand Dollar Buy 1/19/22 857,776 872,160 (14,384)
New Zealand Dollar Sell 1/19/22 857,776 844,980 (12,796)
Goldman Sachs International
Australian Dollar Buy 1/19/22 3,233,072 3,220,625 12,447
Australian Dollar Sell 1/19/22 3,233,072 3,237,887 4,815
British Pound Sell 3/16/22 63,732 56,156 (7,576)
Canadian Dollar Buy 1/19/22 6,645,155 6,683,273 (38,118)
Canadian Dollar Sell 1/19/22 6,645,155 6,620,364 (24,791)
Euro Sell 3/16/22 1,183,499 1,179,811 (3,688)
Japanese Yen Buy 2/16/22 933,627 941,981 (8,354)
New Zealand Dollar Buy 1/19/22 3,993,529 3,947,951 45,578
New Zealand Dollar Sell 1/19/22 3,993,529 4,073,364 79,835
Norwegian Krone Sell 3/16/22 166,495 163,469 (3,026)
Polish Zloty Buy 3/16/22 281,425 279,067 2,358
South African Rand Buy 1/19/22 542,698 582,877 (40,179)
South African Rand Sell 1/19/22 542,698 572,504 29,806
Swedish Krona Sell 3/16/22 261,890 262,213 323
Swiss Franc Buy 3/16/22 1,967,660 1,953,605 14,055
HSBC Bank USA, National Association
Australian Dollar Buy 1/19/22 1,008,134 986,286 21,848
Australian Dollar Sell 1/19/22 1,008,134 1,009,328 1,194
British Pound Sell 3/16/22 2,095,606 2,062,264 (33,342)
Canadian Dollar Buy 1/19/22 600,885 604,381 (3,496)
Canadian Dollar Sell 1/19/22 600,885 593,574 (7,311)
Euro Buy 3/16/22 3,088,726 3,078,429 10,297
Japanese Yen Buy 2/16/22 1,930,022 1,952,177 (22,155)
New Zealand Dollar Buy 1/19/22 1,986,801 2,042,106 (55,305)
New Zealand Dollar Sell 1/19/22 1,986,801 1,957,304 (29,497)
Swedish Krona Buy 3/16/22 3,543 3,548 (5)
Swiss Franc Buy 3/16/22 23,199 23,033 166
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/19/22 3,719,022 3,724,571 (5,549)
Australian Dollar Sell 1/19/22 3,719,022 3,750,890 31,868
British Pound Sell 3/16/22 380,638 374,595 (6,043)
Canadian Dollar Buy 1/19/22 2,105,431 2,153,115 (47,684)
Canadian Dollar Sell 1/19/22 2,105,431 2,088,773 (16,658)
Euro Buy 3/16/22 5,128,266 5,111,729 16,537
Japanese Yen Sell 2/16/22 2,260,277 2,287,073 26,796
New Zealand Dollar Buy 1/19/22 6,400,316 6,507,285 (106,969)
New Zealand Dollar Sell 1/19/22 6,400,316 6,320,380 (79,936)
Norwegian Krone Sell 3/16/22 249 242 (7)
Swedish Krona Sell 3/16/22 532 528 (4)
Swiss Franc Sell 3/16/22 403,186 400,212 (2,974)
Morgan Stanley & Co. International PLC
Australian Dollar Buy 1/19/22 1,164 133,764 (132,600)
British Pound Sell 3/16/22 305,809 294,322 (11,487)
Canadian Dollar Buy 1/19/22 8,538 92,771 (84,233)
Euro Sell 3/16/22 853,875 851,150 (2,725)
Japanese Yen Sell 2/16/22 201,866 203,346 1,480
New Zealand Dollar Sell 1/19/22 1,681,524 1,695,182 13,658
Norwegian Krone Sell 3/16/22 159,125 154,022 (5,103)
Swedish Krona Sell 3/16/22 291,711 290,270 (1,441)
Swiss Franc Sell 3/16/22 1,572,060 1,564,410 (7,650)
NatWest Markets PLC
Australian Dollar Buy 1/19/22 1,790,864 1,791,906 (1,042)
Australian Dollar Sell 1/19/22 1,790,864 1,802,693 11,829
British Pound Buy 3/16/22 393,493 386,047 7,446
Canadian Dollar Buy 1/19/22 287,755 284,257 3,498
Canadian Dollar Sell 1/19/22 287,755 289,416 1,661
Euro Sell 3/16/22 3,964,151 3,953,658 (10,493)
Japanese Yen Sell 2/16/22 427,883 431,726 3,843
New Zealand Dollar Buy 1/19/22 4,754,133 4,724,301 29,832
New Zealand Dollar Sell 1/19/22 4,754,133 4,833,889 79,756
Norwegian Krone Buy 3/16/22 794 769 25
Swiss Franc Buy 3/16/22 529,958 526,180 3,778
State Street Bank and Trust Co.
Australian Dollar Sell 1/19/22 1,986,364 2,175,425 189,061
British Pound Sell 3/16/22 713,104 702,524 (10,580)
Canadian Dollar Sell 1/19/22 1,690,479 1,699,140 8,661
Euro Sell 3/16/22 9,486,916 9,461,345 (25,571)
Japanese Yen Sell 2/16/22 9,873,470 9,993,087 119,617
New Zealand Dollar Buy 1/19/22 6,131,894 6,342,212 (210,318)
New Zealand Dollar Sell 1/19/22 6,132,921 6,088,400 (44,521)
Norwegian Krone Sell 3/16/22 520,024 503,915 (16,109)
Swedish Krona Sell 3/16/22 1,449,781 1,450,449 668
Swiss Franc Buy 3/16/22 3,764,018 3,737,279 26,739
Toronto-Dominion Bank
Australian Dollar Buy 1/19/22 2,924,869 2,940,845 (15,976)
Australian Dollar Sell 1/19/22 2,924,869 2,860,700 (64,169)
British Pound Sell 3/16/22 347,080 334,943 (12,137)
Canadian Dollar Sell 1/19/22 1,536,879 1,641,319 104,440
Euro Sell 3/16/22 1,824,617 1,824,267 (350)
Japanese Yen Buy 2/16/22 1,043,694 1,052,913 (9,219)
New Zealand Dollar Buy 1/19/22 1,268,860 1,250,222 18,638
New Zealand Dollar Sell 1/19/22 1,268,860 1,289,863 21,003
Norwegian Krone Sell 3/16/22 339,387 330,970 (8,417)
UBS AG
Australian Dollar Buy 1/19/22 1,232,592 1,212,996 19,596
Australian Dollar Sell 1/19/22 1,232,592 1,276,841 44,249
British Pound Buy 3/16/22 1,600,492 1,574,697 25,795
Canadian Dollar Buy 1/19/22 3,259,691 3,263,988 (4,297)
Canadian Dollar Sell 1/19/22 3,259,691 3,320,354 60,663
Euro Buy 3/16/22 5,812,255 5,793,485 18,770
Japanese Yen Buy 2/16/22 7,612,164 7,699,879 (87,715)
New Zealand Dollar Buy 1/19/22 3,320,648 3,417,210 (96,562)
New Zealand Dollar Sell 1/19/22 3,320,648 3,378,568 57,920
Norwegian Krone Buy 3/16/22 3,005 2,935 70
Swedish Krona Buy 3/16/22 2,879 2,860 19
Swiss Franc Buy 3/16/22 482,459 479,007 3,452
WestPac Banking Corp.
British Pound Buy 3/16/22 413,384 406,799 6,585
Canadian Dollar Buy 1/19/22 1,103,982 1,110,290 (6,308)
Canadian Dollar Sell 1/19/22 1,103,982 1,090,537 (13,445)
Euro Sell 3/16/22 748,409 746,041 (2,368)
Japanese Yen Sell 2/16/22 185,696 187,849 2,153
New Zealand Dollar Buy 1/19/22 1,672,753 1,705,929 (33,176)
New Zealand Dollar Sell 1/19/22 1,672,753 1,700,591 27,838
Unrealized appreciation 1,650,831
Unrealized (depreciation) (1,674,339)
Total $(23,508)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 607 $132,430,329 $132,430,329 Mar-22 $118,578
U.S. Treasury Note 5 yr (Long) 127 15,364,024 15,364,024 Mar-22 64,542
U.S. Treasury Note Ultra 10 yr (Short) 97 14,204,438 14,204,438 Mar-22 (236,655)
Unrealized appreciation 183,120
Unrealized (depreciation) (236,655)
Total $(53,535)








WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/21 (premiums $6,943,337) (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.
0.985/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.985 $18,054,200 $148,406
Citibank, N.A.
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 216,893
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 241,059
2.395/3 month USD-LIBOR-BBA/Nov-33 Nov-23/2.395 16,650,600 299,045
Goldman Sachs International
1.722/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 115,131
(1.722)/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 262,748
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 $1,653,100 28,235
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 40,667
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 11,760,300 80,558
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 101,596
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 $2,639,000 129,707
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 154,929
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 603,418
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 1,635,975
Morgan Stanley & Co. International PLC
1.6075/3 month USD-LIBOR-BBA/Mar-27 Mar-22/1.6075 5,791,500 20,328
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 31,632
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 32,426
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 62,043
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 123,892
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 192,367
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 196,972
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 673,251
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 803,263
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,150,300 811,895
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23 Sep-22/0.84 GBP 41,615,900 252,355
0.68/Sterling Overnight Index Average/Sep-23 Sep-22/0.68 GBP 41,615,900 319,387
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 $241,000 13,094
1.65/3 month USD-LIBOR-BBA/Jan-32 Jan-22/1.65 8,174,400 47,410
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 482,100 92,206
UBS AG
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 215,894
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 259,399
Total $8,206,181








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/21 (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.
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 $6,660,800 $(865,904) $525,071
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 25,327,500 (233,646) 293,799
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) 287,097
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) Apr-24/2.17 $14,629,100 (706,586) 201,150
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) 199,441
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 135,917
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) May-22/0.305 $29,403,000 (35,284) 124,963
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) 108,528
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) Mar-24/2.29 5,120,200 (251,841) 101,790
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) 74,980
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 17,405,100 (112,480) 15,316
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 17,405,100 (112,480) 12,706
(1.405)/3 month USD-LIBOR-BBA/Dec-58 (Purchased) Dec-28/1.405 927,600 (142,271) 1,122
1.405/3 month USD-LIBOR-BBA/Dec-58 (Purchased) Dec-28/1.405 927,600 (142,271) (10,408)
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,596,200 (36,113) (19,170)
1.39/3 month USD-LIBOR-BBA/Dec-26 (Purchased) Dec-24/1.39 42,445,300 (488,121) (33,107)
(1.39)/3 month USD-LIBOR-BBA/Dec-26 (Purchased) Dec-24/1.39 42,445,300 (488,121) (34,381)
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) May-22/2.2875 5,880,600 (76,448) (60,511)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) (60,687)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) (80,697)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 $2,134,700 (155,833) (85,068)
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased) Oct-24/2.485 7,702,700 (464,858) (108,916)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) (111,033)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) (154,841)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 25,327,500 (233,646) (225,921)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) (382,530)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,596,200 (750,495) (517,488)
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written) Oct-23/2.415 23,878,400 504,431 106,498
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) May-22/1.7875 2,940,300 82,328 48,486
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 17,405,100 73,319 20,016
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) Mar-24/1.29 7,314,500 114,106 (36,792)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) Apr-24/1.085 29,258,100 401,567 (64,660)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 17,405,100 73,319 (67,184)
0.805/3 month USD-LIBOR-BBA/May-23 (Written) May-22/0.805 58,806,000 19,112 (79,388)
Citibank, N.A.
(1.529)/3 month USD-LIBOR-BBA/Sep-32 (Purchased) Sep-22/1.529 23,488,000 (624,316) 119,554
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 78,419
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) 41,218
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) 27,931
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) 17,043
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) 16,818
(1.752)/3 month USD-LIBOR-BBA/Dec-31 (Purchased) Dec-26/1.752 15,721,800 (512,531) 314
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased) Sep-22/2.194 2,947,300 (72,290) (4,686)
(1.37)/3 month USD-LIBOR-BBA/Mar-32 (Purchased) Mar-22/1.37 12,257,500 (182,637) (6,251)
1.37/3 month USD-LIBOR-BBA/Mar-32 (Purchased) Mar-22/1.37 12,257,500 (182,637) (13,361)
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) (20,224)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) (21,067)
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) (21,284)
1.752/3 month USD-LIBOR-BBA/Dec-31 (Purchased) Dec-26/1.752 15,721,800 (512,531) (36,160)
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) (36,782)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (84,910)
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 95,029
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 57,620
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194 10,644,300 80,684 40,555
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 818,000 62,004 27,640
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 2,331,200 278,812 16,202
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 2,331,200 278,812 (12,775)
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 818,000 62,004 (24,499)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194 10,644,300 80,684 (45,877)
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written) Sep-22/1.7075 14,147,000 74,979 (59,700)
1.849/3 month USD-LIBOR-BBA/Sep-32 (Written) Sep-22/1.849 46,976,000 706,491 (113,682)
Goldman Sachs International
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) 88,820
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 $739,600 (93,375) 56,335
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (126,794) 19,565
(1.557)/3 month USD-LIBOR-BBA/Feb-32 (Purchased) Feb-22/1.557 6,088,300 (84,627) (15,099)
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) (26,714)
1.557/3 month USD-LIBOR-BBA/Feb-32 (Purchased) Feb-22/1.557 $6,088,300 (84,627) (35,434)
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (206,714) (46,417)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (57,341)
(1.7355)/3 month USD-LIBOR-BBA/Feb-32 (Purchased) Feb-22/1.7355 9,645,500 (148,214) (88,160)
1.9555/3 month USD-LIBOR-BBA/Feb-32 (Written) Feb-22/1.9555 19,291,000 145,840 103,400
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 33,843
2.41/3 month USD-LIBOR-BBA/Aug-33 (Written) Aug-23/2.41 $6,792,100 99,165 (7,879)
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 (12,762)
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 (18,870)
2.07/3 month USD-LIBOR-BBA/Aug-33 (Written) Aug-23/2.07 $5,740,400 118,826 (19,517)
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 (49,515)
JPMorgan Chase Bank N.A.
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 (516,333) 471,939
(0.5825)/3 month USD-LIBOR-BBA/Oct-23 (Purchased) Oct-22/0.5825 103,641,900 (176,191) 471,571
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 234,838
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 $934,000 (144,396) 88,114
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) 55,757
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) 54,696
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) 47,987
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) 46,592
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) 45,785
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) 32,149
(1.805)/3 month USD-LIBOR-BBA/Dec-36 (Purchased) Dec-26/1.805 $4,305,400 (255,310) 4,435
(1.6875)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-22/1.6875 23,165,900 (40,540) (6,255)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) (20,160)
1.805/3 month USD-LIBOR-BBA/Dec-36 (Purchased) Dec-26/1.805 $4,305,400 (255,310) (23,292)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (23,832)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) (37,009)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (41,538)
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) (51,150)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (72,282)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (81,457)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (104,506)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 (516,333) (516,204)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 83,681
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 81,612
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 71,616
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,473,400 53,182 18,073
1.8875/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-22/1.8875 $23,165,900 22,008 3,012
2.0875/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-22/2.0875 23,165,900 11,583 1,158
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,473,400 53,182 (30,187)
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 $2,238,000 166,843 (66,066)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 (77,670)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 (80,732)
1.0325/3 month USD-LIBOR-BBA/Oct-23 (Written) Oct-22/1.0325 103,641,900 62,185 (262,214)
0.8075/3 month USD-LIBOR-BBA/Oct-23 (Written) Oct-22/0.8075 103,641,900 98,460 (368,965)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 299,807
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) 70,779
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (99,583)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (121,889)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 242,880
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 (198,241)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 4,379,600 (150,549) 27,591
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) 15,161
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) 8,146
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) (5,098)
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) (10,768)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 4,379,600 (150,549) (65,869)
1.775/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 1,854,000 50,522 38,934
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 756,700 99,506 30,722
(1.775)/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 1,854,000 50,522 9,530
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 756,700 99,506 (28,308)
UBS AG
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 2,804,800 (146,695) 88,070
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) 55,635
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) 50,906
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 1,114,500 (62,356) 49,283
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) 43,281
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) 43,090
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 $3,715,100 (58,884) 33,250
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) 25,834
1.175/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) 12,635
(0.762)/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) 10,715
1.87/3 month USD-LIBOR-BBA/Jul-46 (Purchased) Jul-41/1.87 $3,893,200 (181,034) 8,215
(1.175)/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) (161)
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) (1,573)
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) (1,814)
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $875,900 (79,050) (10,721)
(1.87)/3 month USD-LIBOR-BBA/Jul-46 (Purchased) Jul-41/1.87 3,893,200 (181,034) (11,096)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) (19,982)
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $875,900 (79,050) (21,652)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 3,715,100 (58,884) (25,671)
0.762/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) (25,738)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) (25,962)
0.32/6 month EUR-EURIBOR-Reuters/Sep-52 (Purchased) Sep-22/0.32 EUR 4,156,500 (252,651) (26,642)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 $9,287,700 (62,646) (31,950)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) (33,002)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 2,804,800 (146,695) (42,598)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 $1,114,500 (62,356) (42,696)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 2,786,300 (59,070) (48,482)
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 2,229,000 59,236 33,457
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 24,227
(0.16)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) Sep-22/0.16 EUR 4,156,500 166,270 11,405
(0.00)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) Sep-22/0.00 EUR 4,156,500 107,780 2,508
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 (10,280)
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 $2,229,000 59,236 (46,542)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 6,131,500 (125,542) 48,313
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 2,591,000 (129,226) 40,005
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 4,379,600 (89,891) 36,351
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 3,664,100 (248,060) 6,962
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 3,664,100 (248,060) 6,082
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 4,379,600 (89,891) (26,584)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 6,131,500 (125,542) (34,766)
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 2,591,000 (129,226) (39,020)
Unrealized appreciation 6,283,975
Unrealized (depreciation) (5,931,955)
Total $352,020








TBA SALE COMMITMENTS OUTSTANDING at 12/31/21 (proceeds receivable $46,392,578) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 1/1/52 $1,000,000 1/20/22 $1,041,432
Uniform Mortgage-Backed Securities, 5.50%, 1/1/52 2,000,000 1/13/22 2,163,753
Uniform Mortgage-Backed Securities, 3.50%, 1/1/52 13,000,000 1/13/22 13,690,628
Uniform Mortgage-Backed Securities, 3.00%, 1/1/52 8,000,000 1/13/22 8,290,938
Uniform Mortgage-Backed Securities, 2.50%, 1/1/52 11,000,000 1/13/22 11,232,036
Uniform Mortgage-Backed Securities, 2.00%, 1/1/52 10,000,000 1/13/22 9,975,938
Total $46,394,725










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$6,270,000 $22,697 (E) $(11,994) 3/16/32 Secured Overnight Financing Rate — Annually 1.385% — Annually $10,705
80,878,000 49,336 (E) (43,317) 3/16/24 Secured Overnight Financing Rate — Annually 0.90% — Annually 6,019
136,134,000 536,368 (E) 612,000 3/16/27 1.25% — Annually Secured Overnight Financing Rate — Annually 75,632
11,807,000 59,507 (E) (66,923) 3/16/32 Secured Overnight Financing Rate — Annually 1.40% — Annually (7,415)
6,762,000 227,000 (E) (247,793) 3/16/52 Secured Overnight Financing Rate — Annually 1.60% — Annually (20,792)
10,525,000 7,578 509 12/23/23 0.695% — Annually Secured Overnight Financing Rate — Annually 6,375
9,137,000 11,878 785 12/23/26 1.085% — Annually Secured Overnight Financing Rate — Annually 10,287
3,751,000 9,678 453 12/23/31 1.285% — Annually Secured Overnight Financing Rate — Annually 8,967
1,989,000 7,538 (3,542) 12/23/51 Secured Overnight Financing Rate — Annually 1.437% — Annually (10,387)
17,549,000 11,933 (1,786) 12/24/23 0.697% — Annually Secured Overnight Financing Rate — Annually 7,615
2,253,000 1,735 (302) 12/24/26 1.096% — Annually Secured Overnight Financing Rate — Annually 908
4,722,000 12,230 (2,108) 12/24/31 1.285% — Annually Secured Overnight Financing Rate — Annually 8,823
8,061,000 34,501 (4,356) 12/24/51 1.435% — Annually Secured Overnight Financing Rate — Annually 27,659
20,500,000 12,505 (E) (77) 1/6/24 0.7777% — Annually Secured Overnight Financing Rate — Annually (12,582)
5,823,000 23,700 (77) 12/30/31 1.27% — Annually Secured Overnight Financing Rate — Annually 23,220
3,487,000 6,033 (46) 12/31/31 1.331% — Annually Secured Overnight Financing Rate — Annually (6,208)
12,236,400 19,823 (E) (162) 1/7/32 Secured Overnight Financing Rate — Annually 1.333% — Annually 19,661
3,679,000 65,523 (600) 12/31/51 1.525% — Annually Secured Overnight Financing Rate — Annually (66,273)
1,496,000 1,631 (198) 12/31/26 Secured Overnight Financing Rate — Annually 1.135% — Annually 1,479
1,340,000 5,373 1,038 12/31/31 Secured Overnight Financing Rate — Annually 1.355% — Annually 6,462
2,973,000 2,884 (24) 1/3/27 1.135% — Annually Secured Overnight Financing Rate — Annually (2,908)
AUD 79,300 3,227 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 3,226
AUD 266,900 14,641 (E) (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 14,639
AUD 99,100 5,866 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 5,865
AUD 155,200 8,289 (E) (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 8,287
AUD 579,100 40,131 (E) (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 40,124
AUD 37,200 3,518 (E) (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 3,518
AUD 1,800,000 9,102 (20) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (3,557)
AUD 338,000 133 (E) (363) 3/16/32 6 month AUD-BBR-BBSW — Semiannually 2.04% — Semiannually (230)
CAD 2,970,000 15,848 (E) 8,055 3/16/32 3 month CAD-BA-CDOR — Semiannually 2.08% — Semiannually 23,904
CHF 3,521,000 72,105 (E) 6,101 3/16/32 0.070% plus Swiss Average Rate Overnight — Annually — (66,004)
EUR 512,400 159,662 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (158,735)
EUR 696,900 183,153 (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 194,358
EUR 770,000 182,290 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (192,979)
EUR 778,400 171,083 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (181,448)
EUR 898,100 170,571 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (181,034)
EUR 802,800 214,403 (E) (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 214,373
EUR 929,000 157,920 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (170,052)
EUR 741,300 128,402 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (128,430)
EUR 676,400 84,424 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (92,238)
EUR 395,500 36,828 (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (40,923)
EUR 1,468,500 12,489 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 12,433
EUR 906,000 90,203 (E) (34) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (90,237)
EUR 1,215,200 97,925 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 92,213
EUR 4,960,100 150,325 (187) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually 191,612
EUR 574,000 70,545 (E) (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 70,524
EUR 260,400 62,356 (E) (10) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 62,346
EUR 1,696,600 102,490 (E) (36) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually (102,526)
EUR 833,300 46,705 (E) (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 46,687
EUR 1,129,700 63,524 (E) (26) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 63,497
EUR 388,100 21,708 (E) (9) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 21,699
EUR 1,055,800 10,926 (43) 5/21/51 6 month EUR-EURIBOR-REUTERS — Semiannually 0.516% — Annually 15,486
EUR 1,088,000 12,176 (19) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 10,638
EUR 924,200 21,276 (16) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 18,329
EUR 311,700 12,335 (E) (13) 9/14/52 6 month EUR-EURIBOR-REUTERS — Semiannually 0.374% — Annually (12,348)
EUR 3,943,000 82,330 (E) 3,764 3/16/32 6 month EUR-EURIBOR-REUTERS — Semiannually 0.15% — Annually (78,566)
GBP 703,500 16,778 (14) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (12,592)
GBP 16,646,400 28,615 (E) (86) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 28,530
GBP 1,158,000 16,693 (E) 10,200 3/16/32 0.85% — Annually Sterling Overnight Index Average — Annually 26,892
JPY 49,618,300 34,461 (E) (14) 8/29/43 0.8084% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually (34,475)
JPY 63,267,700 15,780 (E) (18) 8/29/43 0.2529% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually 15,762
JPY 119,698,500 385 (14) 2/25/31 0.0619% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually (444)
JPY 119,698,500 52 (2) 2/25/22 6 month JPY-LIBOR-BBA — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually 86
JPY 122,290,000 11,854 (E) (35) 8/29/43 Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually 0.343% — Annually (11,888)
NOK 26,942,000 62,777 (E) (6,983) 3/16/32 1.695% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 55,794
NZD 4,181,000 23,109 (E) (10,657) 3/16/32 2.590% — Semiannually 3 month NZD-BBR-FRA — Quarterly 12,447
SEK 9,790,000 15,634 (E) 768 3/16/32 0.850% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 16,402
Total $241,338 $(201,788)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/21 (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)
Morgan Stanley & Co. International PLC
$1,075,356 $1,036,790 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually $(27,390)
1,032,736 1,005,464 — 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 (27,079)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (54,469)
Total $— Total $(54,469)








CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/21 (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)
$16,818,000 $654,220 $(306) 1/15/32 2.78% — At maturity USA Non-revised Consumer Price Index- Urban (CPI-U) — At maturity $(654,526)
Total $(306) $(654,526)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/21 (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 B+/P $4,375 $63,942 $17,891 5/11/63 300 bp — Monthly $(13,479)
CMBX NA BBB-.6 Index B+/P 8,497 140,873 39,416 5/11/63 300 bp — Monthly (30,837)
CMBX NA BBB-.6 Index B+/P 17,409 281,746 78,832 5/11/63 300 bp — Monthly (61,259)
CMBX NA BBB-.6 Index B+/P 16,587 290,738 81,348 5/11/63 300 bp — Monthly (64,592)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index BBB+/P 5,372 45,000 4,406 5/11/63 200 bp — Monthly 984
CMBX NA A.6 Index BBB+/P 5,963 47,000 4,601 5/11/63 200 bp — Monthly 1,380
CMBX NA A.6 Index BBB+/P 7,354 53,000 5,189 5/11/63 200 bp — Monthly 2,186
CMBX NA A.6 Index BBB+/P 10,961 71,000 6,951 5/11/63 200 bp — Monthly 4,037
CMBX NA A.6 Index BBB+/P 12,898 77,000 7,538 5/11/63 200 bp — Monthly 5,389
CMBX NA A.6 Index BBB+/P 11,798 78,000 7,636 5/11/63 200 bp — Monthly 4,192
CMBX NA A.6 Index BBB+/P 28,477 161,000 15,762 5/11/63 200 bp — Monthly 12,778
CMBX NA A.6 Index BBB+/P 20,798 177,000 17,328 5/11/63 200 bp — Monthly 3,538
CMBX NA A.6 Index BBB+/P 48,213 290,000 28,391 5/11/63 200 bp — Monthly 19,934
CMBX NA BB.11 Index BB-/P 77,970 138,000 12,627 11/18/54 500 bp — Monthly 65,477
CMBX NA BB.13 Index BB-/P 6,698 67,000 6,827 12/16/72 500 bp — Monthly (64)
CMBX NA BB.13 Index BB-/P 16,037 176,000 17,934 12/16/72 500 bp — Monthly (1,726)
CMBX NA BB.13 Index BB-/P 26,330 279,000 28,430 12/16/72 500 bp — Monthly (1,829)
CMBX NA BB.13 Index BB-/P 48,322 530,000 54,007 12/16/72 500 bp — Monthly (5,170)
CMBX NA BB.6 Index B-/P 119,351 798,720 351,996 5/11/63 500 bp — Monthly (231,866)
CMBX NA BB.7 Index B/P 64,660 1,267,000 427,106 1/17/47 500 bp — Monthly (361,214)
CMBX NA BB.9 Index B/P 3,258 16,000 3,694 9/17/58 500 bp — Monthly (421)
CMBX NA BB.9 Index B/P 32,267 158,000 36,482 9/17/58 500 bp — Monthly (4,061)
CMBX NA BBB-.10 Index BB+/P 20,182 185,000 16,539 11/17/59 300 bp — Monthly 3,751
CMBX NA BBB-.11 Index BBB-/P 3,883 62,000 2,926 11/18/54 300 bp — Monthly 993
CMBX NA BBB-.12 Index BBB-/P 2,419 58,000 2,993 8/17/61 300 bp — Monthly (540)
CMBX NA BBB-.12 Index BBB-/P 8,250 140,000 7,224 8/17/61 300 bp — Monthly 1,108
CMBX NA BBB-.12 Index BBB-/P 43,751 276,000 14,242 8/17/61 300 bp — Monthly 29,671
CMBX NA BBB-.14 Index BBB-/P 976 22,000 1,032 12/16/72 300 bp — Monthly (43)
CMBX NA BBB-.14 Index BBB-/P 1,028 33,000 1,548 12/16/72 300 bp — Monthly (500)
CMBX NA BBB-.14 Index BBB-/P 1,626 50,000 2,345 12/16/72 300 bp — Monthly (690)
CMBX NA BBB-.14 Index BBB-/P 2,199 52,000 2,439 12/16/72 300 bp — Monthly (209)
CMBX NA BBB-.14 Index BBB-/P 6,901 138,000 6,472 12/16/72 300 bp — Monthly 509
CMBX NA BBB-.14 Index BBB-/P 5,893 192,000 9,005 12/16/72 300 bp — Monthly (3,000)
CMBX NA BBB-.14 Index BBB-/P 10,394 228,000 10,693 12/16/72 300 bp — Monthly (166)
CMBX NA BBB-.14 Index BBB-/P 12,318 377,000 17,681 12/16/72 300 bp — Monthly (5,143)
CMBX NA BBB-.6 Index B+/P 1,199 14,986 4,193 5/11/63 300 bp — Monthly (2,985)
CMBX NA BBB-.6 Index B+/P 36,513 126,885 35,503 5/11/63 300 bp — Monthly 1,084
CMBX NA BBB-.6 Index B+/P 36,513 126,885 35,503 5/11/63 300 bp — Monthly 1,084
CMBX NA BBB-.6 Index B+/P 74,771 253,771 71,005 5/11/63 300 bp — Monthly 3,914
CMBX NA BBB-.6 Index B+/P 17,107 259,765 72,682 5/11/63 300 bp — Monthly (55,424)
CMBX NA BBB-.6 Index B+/P 21,761 329,702 92,251 5/11/63 300 bp — Monthly (70,297)
CMBX NA BBB-.6 Index B+/P 23,964 351,682 98,401 5/11/63 300 bp — Monthly (74,232)
CMBX NA BBB-.6 Index B+/P 133,025 2,087,116 583,975 5/11/63 300 bp — Monthly (449,731)
Credit Suisse International
CMBX NA BB.7 Index B/P 30,497 228,000 76,859 1/17/47 500 bp — Monthly (46,140)
CMBX NA BBB-.6 Index B+/P 52,816 477,569 133,624 5/11/63 300 bp — Monthly (80,529)
CMBX NA BBB-.6 Index B+/P 129,498 1,170,943 327,630 5/11/63 300 bp — Monthly (197,448)
CMBX NA BBB-.6 Index B+/P 1,093,065 11,622,507 3,251,977 5/11/63 300 bp — Monthly (2,152,126)
CMBX NA BBB-.7 Index BB-/P 51,226 780,000 156,624 1/17/47 300 bp — Monthly (104,943)
Goldman Sachs International
CMBX NA BB.9 Index B/P 4,448 11,000 2,540 9/17/58 500 bp — Monthly 1,919
CMBX NA BBB-.13 Index BBB-/P 1,900 12,000 620 12/16/72 300 bp — Monthly 1,286
CMBX NA BBB-.13 Index BBB-/P 1,906 32,000 1,654 12/16/72 300 bp — Monthly 270
CMBX NA BBB-.13 Index BBB-/P 2,443 38,000 1,965 12/16/72 300 bp — Monthly 500
CMBX NA BBB-.13 Index BBB-/P 2,484 42,000 2,171 12/16/72 300 bp — Monthly 337
CMBX NA BBB-.13 Index BBB-/P 7,522 48,000 2,482 12/16/72 300 bp — Monthly 5,068
CMBX NA BBB-.13 Index BBB-/P 4,148 66,000 3,412 12/16/72 300 bp — Monthly 774
CMBX NA BBB-.13 Index BBB-/P 5,981 130,000 6,721 12/16/72 300 bp — Monthly (664)
CMBX NA BBB-.14 Index BBB-/P 800 18,000 844 12/16/72 300 bp — Monthly (34)
CMBX NA BBB-.14 Index BBB-/P 864 30,000 1,407 12/16/72 300 bp — Monthly (525)
CMBX NA BBB-.14 Index BBB-/P 1,654 36,000 1,688 12/16/72 300 bp — Monthly (14)
CMBX NA BBB-.6 Index B+/P 682 8,992 2,516 5/11/63 300 bp — Monthly (1,829)
CMBX NA BBB-.6 Index B+/P 806 10,990 3,075 5/11/63 300 bp — Monthly (2,263)
CMBX NA BBB-.6 Index B+/P 811 10,990 3,075 5/11/63 300 bp — Monthly (2,258)
CMBX NA BBB-.6 Index B+/P 1,042 12,988 3,634 5/11/63 300 bp — Monthly (2,584)
CMBX NA BBB-.6 Index B+/P 1,771 25,977 7,268 5/11/63 300 bp — Monthly (5,482)
CMBX NA BBB-.6 Index B+/P 2,354 27,975 7,827 5/11/63 300 bp — Monthly (5,457)
CMBX NA BBB-.6 Index B+/P 2,430 31,971 8,946 5/11/63 300 bp — Monthly (6,497)
CMBX NA BBB-.6 Index B+/P 3,086 38,965 10,902 5/11/63 300 bp — Monthly (7,794)
CMBX NA BBB-.6 Index B+/P 4,415 43,960 12,300 5/11/63 300 bp — Monthly (7,860)
CMBX NA BBB-.6 Index B+/P 6,450 45,959 12,859 5/11/63 300 bp — Monthly (6,383)
CMBX NA BBB-.6 Index B+/P 15,221 53,951 15,096 5/11/63 300 bp — Monthly 157
CMBX NA BBB-.6 Index B+/P 15,221 53,951 15,096 5/11/63 300 bp — Monthly 157
CMBX NA BBB-.6 Index B+/P 8,034 59,946 16,773 5/11/63 300 bp — Monthly (8,704)
CMBX NA BBB-.6 Index B+/P 7,985 59,946 16,773 5/11/63 300 bp — Monthly (8,753)
CMBX NA BBB-.6 Index B+/P 5,664 63,942 17,891 5/11/63 300 bp — Monthly (12,190)
CMBX NA BBB-.6 Index B+/P 6,945 65,940 18,450 5/11/63 300 bp — Monthly (11,467)
CMBX NA BBB-.6 Index B+/P 6,758 77,930 21,805 5/11/63 300 bp — Monthly (15,001)
CMBX NA BBB-.6 Index B+/P 8,625 77,930 21,805 5/11/63 300 bp — Monthly (13,134)
CMBX NA BBB-.6 Index B+/P 7,858 90,918 25,439 5/11/63 300 bp — Monthly (17,528)
CMBX NA BBB-.6 Index B+/P 16,293 97,912 27,396 5/11/63 300 bp — Monthly (11,046)
CMBX NA BBB-.6 Index B+/P 5,285 101,908 28,514 5/11/63 300 bp — Monthly (23,169)
CMBX NA BBB-.6 Index B+/P 14,022 102,907 28,793 5/11/63 300 bp — Monthly (14,711)
CMBX NA BBB-.6 Index B+/P 12,297 109,901 30,750 5/11/63 300 bp — Monthly (18,389)
CMBX NA BBB-.6 Index B+/P 12,871 114,896 32,148 5/11/63 300 bp — Monthly (19,210)
CMBX NA BBB-.6 Index B+/P 10,295 121,890 34,105 5/11/63 300 bp — Monthly (23,738)
CMBX NA BBB-.6 Index B+/P 10,295 121,890 34,105 5/11/63 300 bp — Monthly (23,738)
CMBX NA BBB-.6 Index B+/P 6,818 134,878 37,739 5/11/63 300 bp — Monthly (30,842)
CMBX NA BBB-.6 Index B+/P 7,018 136,876 38,298 5/11/63 300 bp — Monthly (31,200)
CMBX NA BBB-.6 Index B+/P 23,502 156,858 43,889 5/11/63 300 bp — Monthly (20,295)
CMBX NA BBB-.6 Index B+/P 23,233 157,857 44,169 5/11/63 300 bp — Monthly (20,844)
CMBX NA BBB-.6 Index B+/P 18,496 165,850 46,405 5/11/63 300 bp — Monthly (27,812)
CMBX NA BBB-.6 Index B+/P 18,286 168,848 47,244 5/11/63 300 bp — Monthly (28,859)
CMBX NA BBB-.6 Index B+/P 18,357 168,848 47,244 5/11/63 300 bp — Monthly (28,788)
CMBX NA BBB-.6 Index B+/P 8,581 172,844 48,362 5/11/63 300 bp — Monthly (39,680)
CMBX NA BBB-.6 Index B+/P 20,534 174,842 48,921 5/11/63 300 bp — Monthly (28,284)
CMBX NA BBB-.6 Index B+/P 15,166 182,835 51,157 5/11/63 300 bp — Monthly (35,884)
CMBX NA BBB-.6 Index B+/P 51,191 186,831 52,275 5/11/63 300 bp — Monthly (975)
CMBX NA BBB-.6 Index B+/P 10,015 191,827 53,673 5/11/63 300 bp — Monthly (43,546)
CMBX NA BBB-.6 Index B+/P 9,848 201,818 56,469 5/11/63 300 bp — Monthly (46,503)
CMBX NA BBB-.6 Index B+/P 24,103 215,805 60,382 5/11/63 300 bp — Monthly (36,154)
CMBX NA BBB-.6 Index B+/P 24,103 215,805 60,382 5/11/63 300 bp — Monthly (36,154)
CMBX NA BBB-.6 Index B+/P 21,986 218,802 61,221 5/11/63 300 bp — Monthly (39,108)
CMBX NA BBB-.6 Index B+/P 59,234 222,799 62,339 5/11/63 300 bp — Monthly (2,975)
CMBX NA BBB-.6 Index B+/P 11,095 225,796 63,178 5/11/63 300 bp — Monthly (51,951)
CMBX NA BBB-.6 Index B+/P 40,089 265,760 74,360 5/11/63 300 bp — Monthly (34,116)
CMBX NA BBB-.6 Index B+/P 36,039 295,733 82,746 5/11/63 300 bp — Monthly (46,534)
CMBX NA BBB-.6 Index B+/P 17,562 362,673 101,476 5/11/63 300 bp — Monthly (83,702)
CMBX NA BBB-.6 Index B+/P 47,211 451,592 126,356 5/11/63 300 bp — Monthly (78,881)
CMBX NA BBB-.6 Index B+/P 50,821 460,584 128,871 5/11/63 300 bp — Monthly (77,782)
CMBX NA BBB-.6 Index B+/P 71,494 604,454 169,126 5/11/63 300 bp — Monthly (97,279)
CMBX NA BBB-.6 Index B+/P 71,741 604,454 169,126 5/11/63 300 bp — Monthly (97,032)
CMBX NA BBB-.6 Index B+/P 155,865 1,041,060 291,289 5/11/63 300 bp — Monthly (134,816)
CMBX NA BBB-.7 Index BB-/P 26,578 312,000 62,650 1/17/47 300 bp — Monthly (35,890)
CMBX NA BBB-.7 Index BB-/P 90,359 1,040,000 208,832 1/17/47 300 bp — Monthly (117,866)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 9,629 120,000 33,060 5/11/63 500 bp — Monthly (23,315)
CMBX NA BBB-.12 Index BBB-/P 3,102 49,000 2,528 8/17/61 300 bp — Monthly 602
CMBX NA BBB-.13 Index BBB-/P 887 15,000 776 12/16/72 300 bp — Monthly 120
CMBX NA BBB-.13 Index BBB-/P 5,046 55,000 2,844 12/16/72 300 bp — Monthly 2,235
CMBX NA BBB-.13 Index BBB-/P 10,381 57,000 2,947 12/16/72 300 bp — Monthly 7,468
CMBX NA BBB-.6 Index B+/P 5,003,022 15,634,884 4,374,641 5/11/63 300 bp — Monthly 637,510
Merrill Lynch International
CMBX NA BB.6 Index B-/P 13,977 120,000 52,884 5/11/63 500 bp — Monthly (38,790)
CMBX NA BBB-.6 Index B+/P 1,391 4,995 1,398 5/11/63 300 bp — Monthly (4)
CMBX NA BBB-.6 Index B+/P 420,339 1,558,593 436,094 5/11/63 300 bp — Monthly (14,845)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 182 2,000 204 12/16/72 500 bp — Monthly (20)
CMBX NA BB.13 Index BB-/P 4,929 53,000 5,401 12/16/72 500 bp — Monthly (420)
CMBX NA BB.13 Index BB-/P 6,326 66,000 6,725 12/16/72 500 bp — Monthly (335)
CMBX NA BB.13 Index BB-/P 7,574 82,000 8,356 12/16/72 500 bp — Monthly (702)
CMBX NA BB.13 Index BB-/P 25,708 280,000 28,532 12/16/72 500 bp — Monthly (2,552)
CMBX NA BB.6 Index B-/P 4,741 37,440 16,500 5/11/63 500 bp — Monthly (11,722)
CMBX NA BB.6 Index B-/P 8,676 46,080 20,307 5/11/63 500 bp — Monthly (11,587)
CMBX NA BB.6 Index B-/P 35,483 138,240 60,922 5/11/63 500 bp — Monthly (25,305)
CMBX NA BB.6 Index B-/P 116,279 263,040 115,922 5/11/63 500 bp — Monthly 613
CMBX NA BB.6 Index B-/P 135,240 309,120 136,229 5/11/63 500 bp — Monthly (688)
CMBX NA BBB-.12 Index BBB-/P 3,418 58,000 2,993 8/17/61 300 bp — Monthly 459
CMBX NA BBB-.12 Index BBB-/P 9,660 225,000 11,610 8/17/61 300 bp — Monthly (1,818)
CMBX NA BBB-.6 Index B+/P 752 8,992 2,516 5/11/63 300 bp — Monthly (1,759)
CMBX NA BBB-.6 Index B+/P 1,541 20,981 5,871 5/11/63 300 bp — Monthly (4,317)
CMBX NA BBB-.6 Index B+/P 3,126 38,965 10,902 5/11/63 300 bp — Monthly (7,753)
CMBX NA BBB-.6 Index B+/P 3,446 45,959 12,859 5/11/63 300 bp — Monthly (9,386)
CMBX NA BBB-.6 Index B+/P 9,375 141,872 39,696 5/11/63 300 bp — Monthly (30,238)
CMBX NA BBB-.6 Index B+/P 9,454 143,870 40,255 5/11/63 300 bp — Monthly (30,717)
CMBX NA BBB-.6 Index B+/P 48,941 185,832 51,996 5/11/63 300 bp — Monthly (2,946)
CMBX NA BBB-.6 Index B+/P 56,378 212,808 59,544 5/11/63 300 bp — Monthly (3,041)
CMBX NA BBB-.6 Index B+/P 183,195 530,521 148,440 5/11/63 300 bp — Monthly 35,065
CMBX NA BBB-.6 Index B+/P 302,198 4,557,385 1,275,156 5/11/63 300 bp — Monthly (970,297)
Upfront premium received 10,060,757 Unrealized appreciation 856,549
Upfront premium (paid) — Unrealized (depreciation) (6,837,395)
Total $10,060,757 Total $(5,980,846)
* 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 December 31, 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 12/31/21 (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 $(95,717) $397,000 $109,374 11/17/59 (500 bp) — Monthly $13,270
CMBX NA BB.10 Index (65,025) 255,000 70,253 11/17/59 (500 bp) — Monthly 4,980
CMBX NA BB.10 Index (14,611) 140,000 38,570 11/17/59 (500 bp) — Monthly 23,823
CMBX NA BB.10 Index (12,500) 114,000 31,407 11/17/59 (500 bp) — Monthly 18,796
CMBX NA BB.11 Index (13,993) 108,000 9,882 11/18/54 (500 bp) — Monthly (4,216)
CMBX NA BB.11 Index (1,556) 30,000 2,745 11/18/54 (500 bp) — Monthly 1,160
CMBX NA BB.8 Index (36,522) 102,429 38,769 10/17/57 (500 bp) — Monthly 2,147
CMBX NA BB.8 Index (8,940) 69,575 26,334 10/17/57 (500 bp) — Monthly 17,327
CMBX NA BBB-.10 Index (82,530) 480,000 42,912 11/17/59 (300 bp) — Monthly (39,898)
CMBX NA BBB-.10 Index (55,015) 237,000 21,188 11/17/59 (300 bp) — Monthly (33,965)
CMBX NA BBB-.10 Index (28,062) 221,000 19,757 11/17/59 (300 bp) — Monthly (8,434)
CMBX NA BBB-.10 Index (21,532) 176,000 15,734 11/17/59 (300 bp) — Monthly (5,900)
CMBX NA BBB-.10 Index (38,410) 161,000 14,393 11/17/59 (300 bp) — Monthly (24,111)
CMBX NA BBB-.10 Index (24,448) 112,000 10,013 11/17/59 (300 bp) — Monthly (14,501)
CMBX NA BBB-.10 Index (23,069) 106,000 9,476 11/17/59 (300 bp) — Monthly (13,655)
CMBX NA BBB-.10 Index (6,246) 49,000 4,381 11/17/59 (300 bp) — Monthly (1,894)
CMBX NA BBB-.10 Index (4,717) 37,000 3,308 11/17/59 (300 bp) — Monthly (1,430)
CMBX NA BBB-.12 Index (70,171) 210,000 10,836 8/17/61 (300 bp) — Monthly (59,457)
CMBX NA BBB-.12 Index (67,433) 194,000 10,010 8/17/61 (300 bp) — Monthly (57,536)
CMBX NA BBB-.12 Index (13,080) 190,000 9,804 8/17/61 (300 bp) — Monthly (3,387)
CMBX NA BBB-.12 Index (51,320) 146,000 7,534 8/17/61 (300 bp) — Monthly (43,872)
CMBX NA BBB-.12 Index (240) 4,000 206 8/17/61 (300 bp) — Monthly (36)
CMBX NA BBB-.13 Index (6,199) 106,000 5,480 12/16/72 (300 bp) — Monthly (781)
CMBX NA BBB-.13 Index (2,521) 50,000 2,585 12/16/72 (300 bp) — Monthly 35
CMBX NA BBB-.13 Index (2,546) 50,000 2,585 12/16/72 (300 bp) — Monthly 10
CMBX NA BBB-.13 Index (1,971) 36,000 1,861 12/16/72 (300 bp) — Monthly (131)
CMBX NA BBB-.8 Index (31,421) 198,000 26,948 10/17/57 (300 bp) — Monthly (4,588)
CMBX NA BBB-.8 Index (31,297) 198,000 26,948 10/17/57 (300 bp) — Monthly (4,465)
CMBX NA BBB-.8 Index (23,031) 173,000 23,545 10/17/57 (300 bp) — Monthly 414
CMBX NA BBB-.8 Index (21,875) 140,000 19,054 10/17/57 (300 bp) — Monthly (2,903)
CMBX NA BBB-.8 Index (12,452) 87,000 11,841 10/17/57 (300 bp) — Monthly (662)
CMBX NA BBB-.8 Index (9,703) 62,000 8,438 10/17/57 (300 bp) — Monthly (1,301)
CMBX NA BBB-.9 Index (4,495) 19,000 1,786 9/17/58 (300 bp) — Monthly (2,720)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 79,895 11/17/59 (500 bp) — Monthly 40,920
CMBX NA BB.10 Index (34,367) 289,000 79,620 11/17/59 (500 bp) — Monthly 44,971
CMBX NA BB.10 Index (18,893) 152,000 41,876 11/17/59 (500 bp) — Monthly 22,835
CMBX NA BB.7 Index (61,796) 335,000 112,929 1/17/47 (500 bp) — Monthly 50,807
CMBX NA BB.7 Index (4,770) 29,000 9,776 1/17/47 (500 bp) — Monthly 4,978
Goldman Sachs International
CMBX NA A.6 Index (13,345) 136,000 13,314 5/11/63 (200 bp) — Monthly (83)
CMBX NA A.6 Index (7,995) 82,000 8,028 5/11/63 (200 bp) — Monthly 1
CMBX NA A.6 Index (7,359) 75,000 7,343 5/11/63 (200 bp) — Monthly (46)
CMBX NA A.6 Index (4,240) 64,000 6,266 5/11/63 (200 bp) — Monthly 2,001
CMBX NA A.6 Index (5,333) 53,000 5,189 5/11/63 (200 bp) — Monthly (165)
CMBX NA A.6 Index (4,747) 49,000 4,797 5/11/63 (200 bp) — Monthly 31
CMBX NA A.6 Index (4,263) 44,000 4,308 5/11/63 (200 bp) — Monthly 28
CMBX NA A.6 Index (4,263) 44,000 4,308 5/11/63 (200 bp) — Monthly 28
CMBX NA A.6 Index (4,246) 43,000 4,210 5/11/63 (200 bp) — Monthly (53)
CMBX NA A.6 Index (4,246) 43,000 4,210 5/11/63 (200 bp) — Monthly (53)
CMBX NA A.6 Index (3,758) 37,000 3,622 5/11/63 (200 bp) — Monthly (150)
CMBX NA A.6 Index (2,934) 30,000 2,937 5/11/63 (200 bp) — Monthly (9)
CMBX NA A.6 Index (2,934) 30,000 2,937 5/11/63 (200 bp) — Monthly (9)
CMBX NA A.6 Index (1,789) 18,000 1,762 5/11/63 (200 bp) — Monthly (34)
CMBX NA A.6 Index (96) 1,000 98 5/11/63 (200 bp) — Monthly 1
CMBX NA BB.6 Index (12,481) 117,120 51,615 5/11/63 (500 bp) — Monthly 39,020
CMBX NA BB.7 Index (38,667) 236,000 79,556 1/17/47 (500 bp) — Monthly 40,659
CMBX NA BB.7 Index (25,361) 150,000 50,565 1/17/47 (500 bp) — Monthly 25,059
CMBX NA BB.7 Index (25,381) 125,000 42,138 1/17/47 (500 bp) — Monthly 16,635
CMBX NA BB.7 Index (18,621) 102,000 34,384 1/17/47 (500 bp) — Monthly 15,664
CMBX NA BB.7 Index (10,442) 69,000 23,260 1/17/47 (500 bp) — Monthly 12,751
CMBX NA BB.8 Index (69,403) 191,330 72,418 10/17/57 (500 bp) — Monthly 2,829
CMBX NA BB.8 Index (69,523) 191,330 72,418 10/17/57 (500 bp) — Monthly 2,710
CMBX NA BB.8 Index (51,833) 139,149 52,668 10/17/57 (500 bp) — Monthly 700
CMBX NA BB.8 Index (46,277) 131,419 49,742 10/17/57 (500 bp) — Monthly 3,338
CMBX NA BB.8 Index (2,606) 22,225 8,412 10/17/57 (500 bp) — Monthly 5,785
CMBX NA BBB-.10 Index (10,061) 46,000 4,112 11/17/59 (300 bp) — Monthly (5,976)
CMBX NA BBB-.12 Index (8,968) 46,000 2,374 8/17/61 (300 bp) — Monthly (6,621)
CMBX NA BBB-.12 Index (5,404) 16,000 826 8/17/61 (300 bp) — Monthly (4,587)
CMBX NA BBB-.13 Index (9,245) 122,000 6,307 12/16/72 (300 bp) — Monthly (3,009)
CMBX NA BBB-.6 Index (60,768) 222,799 62,339 5/11/63 (300 bp) — Monthly 1,442
CMBX NA BBB-.8 Index (12,938) 100,000 13,610 10/17/57 (300 bp) — Monthly 614
CMBX NA BBB-.8 Index (8,938) 57,000 7,758 10/17/57 (300 bp) — Monthly (1,214)
JPMorgan Securities LLC
CMBX NA A.6 Index (8,256) 84,000 8,224 5/11/63 (200 bp) — Monthly (65)
CMBX NA A.6 Index (5,789) 57,000 5,580 5/11/63 (200 bp) — Monthly (231)
CMBX NA BB.17 Index (485,738) 992,000 334,403 1/17/47 (500 bp) — Monthly (152,299)
CMBX NA BB.8 Index (52,536) 102,429 38,769 10/17/57 (500 bp) — Monthly (13,866)
CMBX NA BBB-.10 Index (29,298) 104,000 9,298 11/17/59 (300 bp) — Monthly (20,061)
CMBX NA BBB-.10 Index (10,885) 66,000 5,900 11/17/59 (300 bp) — Monthly (5,023)
CMBX NA BBB-.10 Index (15,790) 53,000 4,738 11/17/59 (300 bp) — Monthly (11,083)
CMBX NA BBB-.11 Index (17,601) 56,000 2,643 11/18/54 (300 bp) — Monthly (14,990)
CMBX NA BBB-.11 Index (4,080) 13,000 614 11/18/54 (300 bp) — Monthly (3,474)
CMBX NA BBB-.12 Index (1,641) 42,000 2,167 8/17/61 (300 bp) — Monthly 502
CMBX NA BBB-.14 Index (4,815) 79,000 3,705 12/16/72 (300 bp) — Monthly (1,156)
CMBX NA BBB-.7 Index (214,338) 913,000 183,330 1/17/47 (300 bp) — Monthly (31,541)
Merrill Lynch International
CMBX NA BB.10 Index (15,875) 279,000 76,865 11/17/59 (500 bp) — Monthly 60,718
CMBX NA BBB-.10 Index (20,367) 94,000 8,404 11/17/59 (300 bp) — Monthly (12,018)
CMBX NA BBB-.7 Index (32,451) 396,000 79,517 1/17/47 (300 bp) — Monthly 46,835
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 35,140 1/17/47 (300 bp) — Monthly 17,207
CMBX NA A.6 Index (7,508) 77,000 7,538 5/11/63 (200 bp) — Monthly 1
CMBX NA A.6 Index (1,458) 15,000 1,469 5/11/63 (200 bp) — Monthly 5
CMBX NA A.6 Index (193) 2,000 196 5/11/63 (200 bp) — Monthly 2
CMBX NA BB.10 Index (33,114) 141,000 38,846 11/17/59 (500 bp) — Monthly 5,594
CMBX NA BB.10 Index (14,683) 140,000 38,570 11/17/59 (500 bp) — Monthly 23,751
CMBX NA BB.7 Index (39,014) 194,000 65,397 1/17/47 (500 bp) — Monthly 26,194
CMBX NA BB.7 Index (17,547) 91,000 30,676 1/17/47 (500 bp) — Monthly 13,040
CMBX NA BB.7 Index (11,040) 59,000 19,889 1/17/47 (500 bp) — Monthly 8,791
CMBX NA BB.7 Index (6,055) 30,000 10,113 1/17/47 (500 bp) — Monthly 4,029
CMBX NA BB.8 Index (34,059) 93,732 35,478 10/17/57 (500 bp) — Monthly 1,328
CMBX NA BB.8 Index (32,587) 90,833 34,380 10/17/57 (500 bp) — Monthly 1,706
CMBX NA BB.8 Index (30,651) 59,911 22,676 10/17/57 (500 bp) — Monthly (8,033)
CMBX NA BB.8 Index (15,519) 42,518 16,093 10/17/57 (500 bp) — Monthly 533
CMBX NA BB.8 Index (7,760) 21,259 8,046 10/17/57 (500 bp) — Monthly 266
CMBX NA BB.9 Index (3,952) 65,000 15,009 9/17/58 (500 bp) — Monthly 10,994
CMBX NA BB.9 Index (7,997) 53,000 12,238 9/17/58 (500 bp) — Monthly 4,189
CMBX NA BB.9 Index (4,238) 31,000 7,158 9/17/58 (500 bp) — Monthly 2,889
CMBX NA BB.9 Index (743) 19,000 4,387 9/17/58 (500 bp) — Monthly 3,626
CMBX NA BB.9 Index (1,968) 13,000 3,002 9/17/58 (500 bp) — Monthly 1,021
CMBX NA BB.9 Index (246) 4,000 924 9/17/58 (500 bp) — Monthly 674
CMBX NA BBB-.10 Index (51,248) 304,000 27,178 11/17/59 (300 bp) — Monthly (25,479)
CMBX NA BBB-.10 Index (19,485) 225,000 20,115 11/17/59 (300 bp) — Monthly 498
CMBX NA BBB-.10 Index (19,495) 158,000 14,125 11/17/59 (300 bp) — Monthly (5,462)
CMBX NA BBB-.10 Index (17,456) 136,000 12,158 11/17/59 (300 bp) — Monthly (5,377)
CMBX NA BBB-.10 Index (27,435) 116,000 10,370 11/17/59 (300 bp) — Monthly (17,133)
CMBX NA BBB-.10 Index (24,867) 102,000 9,119 11/17/59 (300 bp) — Monthly (15,807)
CMBX NA BBB-.10 Index (10,907) 86,000 7,688 11/17/59 (300 bp) — Monthly (3,269)
CMBX NA BBB-.10 Index (8,751) 69,000 6,169 11/17/59 (300 bp) — Monthly (2,623)
CMBX NA BBB-.10 Index (7,908) 66,000 5,900 11/17/59 (300 bp) — Monthly (2,046)
CMBX NA BBB-.10 Index (13,546) 59,000 5,275 11/17/59 (300 bp) — Monthly (8,306)
CMBX NA BBB-.10 Index (12,006) 55,000 4,917 11/17/59 (300 bp) — Monthly (7,121)
CMBX NA BBB-.10 Index (4,987) 23,000 2,056 11/17/59 (300 bp) — Monthly (2,944)
CMBX NA BBB-.10 Index (4,325) 20,000 1,788 11/17/59 (300 bp) — Monthly (2,549)
CMBX NA BBB-.11 Index (4,681) 15,000 708 11/18/54 (300 bp) — Monthly (3,982)
CMBX NA BBB-.12 Index (277) 5,000 258 8/17/61 (300 bp) — Monthly (22)
CMBX NA BBB-.13 Index (8,074) 131,000 6,773 12/16/72 (300 bp) — Monthly (1,377)
CMBX NA BBB-.14 Index (3,987) 64,000 3,002 12/16/72 (300 bp) — Monthly (1,023)
CMBX NA BBB-.7 Index (14,539) 229,000 45,983 1/17/47 (300 bp) — Monthly 31,310
CMBX NA BBB-.8 Index (21,949) 173,000 23,545 10/17/57 (300 bp) — Monthly 1,495
CMBX NA BBB-.8 Index (22,003) 173,000 23,545 10/17/57 (300 bp) — Monthly 1,441
CMBX NA BBB-.8 Index (21,469) 150,000 20,415 10/17/57 (300 bp) — Monthly (1,141)
CMBX NA BBB-.8 Index (16,646) 107,000 14,563 10/17/57 (300 bp) — Monthly (2,145)
CMBX NA BBB-.8 Index (15,432) 99,000 13,474 10/17/57 (300 bp) — Monthly (2,016)
CMBX NA BBB-.8 Index (9,063) 58,000 7,894 10/17/57 (300 bp) — Monthly (1,203)
CMBX NA BBB-.8 Index (8,987) 58,000 7,894 10/17/57 (300 bp) — Monthly (1,127)
CMBX NA BBB-.8 Index (8,466) 54,000 7,349 10/17/57 (300 bp) — Monthly (1,150)
Upfront premium received — Unreamlized appreciation 684,408
Upfront premium (paid) (3,185,244) Unrealized (depreciation) (738,994)
Total $(3,185,244) Total $(54,586)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
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
MTN Medium Term Notes
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 of the fund's portfolio
Unless noted otherwise, the notes of the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2021 through December 31, 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 $199,498,391.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/21		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/21
Short-term investments
Putnam Short Term Investment Fund* $9,916,837 $18,022,123 $12,473,393 $3,057 $15,465,567
Total Short-term investments $9,916,837 $18,022,123 $12,473,393 $3,057 $15,465,567
* 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 $577,902.
(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 $16,676,880.
(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 $112,995.
(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 $3,595,961.
(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.
At the close of the reporting period, the fund maintained liquid assets totaling $167,445,050 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 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 $16,203,787 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $16,676,880 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 $136,970 $401 $—
Energy 47,624 — 186
Utilities and power — 12,766 —
Total common stocks 184,594 13,167 186
Asset-backed securities — 132,508 594,356
Convertible bonds and notes — 11,906,542 —
Corporate bonds and notes — 42,156,222 —
Foreign government and agency bonds and notes — 17,434,138 —
Mortgage-backed securities — 94,627,512 —
Purchased swap options outstanding — 4,839,466 —
Senior loans — 6,834,018 —
U.S. government and agency mortgage obligations — 117,005,105 —
U.S. treasury obligations — 53,209 —
Warrants — — 2
Short-term investments 220,000 39,891,377 —
Totals by level $404,594 $334,893,264 $594,544
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(23,508) $—
Futures contracts (53,535) — —
Written swap options outstanding — (8,206,181) —
Forward premium swap option contracts — 352,020 —
TBA sale commitments — (46,394,725) —
Interest rate swap contracts — (443,126) —
Total return swap contracts — (708,689) —
Credit default contracts — (12,910,945) —
Totals by level $(53,535) $(68,335,154) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased swap option contracts (contract amount) $813,400,000
Written swap option contracts (contract amount) $844,000,000
Futures contracts (number of contracts) 900
Forward currency contracts (contract amount) $383,700,000
Centrally cleared interest rate swap contracts (notional) $564,100,000
OTC total return swap contracts (notional) $2,100,000
Centrally cleared total return swap contracts (notional) $45,700,000
OTC credit default contracts (notional) $78,400,000
Warrants (number of warrants) 30
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