NPORT-EX 2 b_074nport063022.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Master Intermediate Income Trust
The fund's portfolio
6/30/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (82.7%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.5%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $41,951 $43,917
5.00%, with due dates from 5/20/49 to 3/20/50 146,216 151,283
3.50%, with due dates from 9/20/49 to 3/20/50 814,164 794,153
989,353
U.S. Government Agency Mortgage Obligations (82.2%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 60,947 62,339
4.50%, 5/1/49 13,748 13,924
Uniform Mortgage-Backed Securities
5.50%, TBA, 9/1/52 1,000,000 1,023,253
5.50%, TBA, 8/1/52 19,000,000 19,524,923
5.00%, TBA, 8/1/52 40,000,000 40,685,928
5.00%, TBA, 7/1/52 12,000,000 12,241,872
4.50%, TBA, 8/1/52 27,000,000 27,041,137
4.50%, TBA, 7/1/52 13,000,000 13,047,736
4.00%, TBA, 8/1/52 11,000,000 10,823,393
4.00%, TBA, 7/1/52 15,000,000 14,786,712
3.50%, TBA, 8/1/52 7,000,000 6,719,997
3.00%, TBA, 8/1/52 6,000,000 5,577,184
151,548,398
Total U.S. government and agency mortgage obligations (cost $151,317,049) $152,537,751








U.S. TREASURY OBLIGATIONS (0.5%)(a)
        Principal amount Value
U.S. Treasury Notes
1.75%, 11/15/29(i) $273,000 $251,122
1.125%, 2/28/27(i) 198,000 182,138
0.875%, 11/15/30(i) 160,000 135,270
0.625%, 11/30/27(i) 449,000 394,469
Total U.S. treasury obligations (cost $962,999) $962,999








MORTGAGE-BACKED SECURITIES (48.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (26.0%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4813, IO, 5.50%, 8/15/48 $1,214,893 $257,222
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 5.326%, 4/15/40 466,035 15,873
REMICs Ser. 4991, Class IE, IO, 5.00%, 7/25/50 7,146,591 1,449,686
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 495,351 95,206
REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.876%, 12/15/47 747,729 107,150
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.776%, 8/15/56 2,516,741 377,712
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.776%, 4/15/47 517,564 84,520
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 9/25/50 4,402,264 670,641
REMICs Ser. 5179, Class BI, IO, 4.50%, 1/25/52 5,332,657 903,143
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51 4,477,760 1,046,766
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 2,961,490 516,183
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50 2,673,813 583,669
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 2,205,478 466,457
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 2,884,902 659,467
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 3,998,031 842,269
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 2,857,359 617,518
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 351,011 67,168
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 195,382 29,137
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 7/25/50 3,991,355 573,687
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 1/25/50 2,907,743 374,111
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 4,290,644 767,300
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 646,320 117,421
REMICs Ser. 4425, IO, 4.00%, 1/15/45 750,427 116,932
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 796,163 162,276
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 531,500 76,472
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 899,448 125,428
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 528,116 65,243
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 290,676 22,083
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 229,506 10,202
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 5,725,761 894,650
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 7,469,189 1,038,612
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 1,318,146 107,744
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 529,415 36,583
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 104,285 1,584
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.398%, 7/25/43(WAC) 834,425 11,515
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,170,505 219,133
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 931,001 183,203
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 41,468 7,024
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 1,474,463 256,365
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 123,343 20,151
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50 1,830,403 375,758
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 4.776%, 4/25/40 331,567 46,174
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 3/25/48 1,723,196 220,741
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.576%, 6/25/48 2,967,273 404,335
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 5/25/47 3,614,272 435,954
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 10/25/41 78,094 1,798
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51 5,265,477 1,054,685
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 2,078,762 468,761
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 4,406,614 804,821
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 156,396 33,325
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 12/25/46 1,555,080 167,879
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 5/25/39 4,705,801 556,856
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 3/25/50 2,535,755 343,417
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 8/25/49 1,586,235 174,735
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.376%, 11/25/49 3,198,350 465,360
REMICs Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 4.326%, 2/25/43 1,035,097 149,600
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 4.276%, 10/25/41 757,651 88,473
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 7,109,484 1,348,029
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 256,944 17,366
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 1,398,353 240,056
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 431,102 62,208
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 330,683 41,798
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 249,507 29,093
REMICs Ser. 20-85, Class PI, IO, 3.00%, 12/25/50 5,754,586 916,706
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 249,153 10,159
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 72,930 500
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 7,355,253 973,468
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51 6,845,010 1,002,943
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 406,947 82,041
Ser. 16-42, IO, 5.00%, 2/20/46 1,013,608 186,254
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 1,574,606 230,884
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 1,765,386 346,722
Ser. 14-76, IO, 5.00%, 5/20/44 407,496 78,524
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 297,084 63,517
Ser. 12-146, IO, 5.00%, 12/20/42 268,267 54,616
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 387,454 79,724
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 280,761 53,932
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 1,243,968 263,572
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 643,422 129,109
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 1,287,096 242,910
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 220,546 41,918
IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 6/20/51 3,946,525 548,804
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 5/20/51 3,662,121 530,746
IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 4/20/51 2,580,613 329,192
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 9/20/50 3,430,407 560,995
FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.691%, 11/20/47 3,488,157 640,013
IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 4.585%, 4/20/44 1,969,091 260,499
IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 7/20/50 2,295,549 368,040
IFB Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 1/20/49 1,891,408 209,525
IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 9/20/43 206,082 23,386
IFB Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 5/20/50 2,425,023 289,969
IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 4/20/50 3,099,614 442,669
IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 8/20/49 2,469,126 287,332
IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 7/20/49 2,227,258 242,660
IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 7/20/49 2,961,492 307,998
Ser. 20-61, IO, 4.50%, 5/20/50 5,566,813 1,040,447
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,176,773 200,054
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 431,069 85,356
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 576,321 98,900
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 540,407 93,637
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 80,415 5,708
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 479,461 88,259
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 497,251 84,684
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 876,563 159,596
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 455,699 79,800
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 523,271 86,788
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 315,113 59,525
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 337,595 63,154
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 2/20/50 231,421 21,254
IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 1/20/50 1,823,653 213,284
IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 12/20/49 1,574,284 186,675
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 9/20/49 2,425,287 244,010
IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 8/20/49 105,673 10,975
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 6/20/49 119,443 11,501
IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.405%, 8/20/43 2,625,392 281,915
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 4.005%, 8/20/44 915,117 95,508
Ser. 20-78, Class DI, IO, 4.00%, 6/20/50 4,274,405 741,905
Ser. 16-29, IO, 4.00%, 2/16/46 440,664 73,918
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 1,251,772 211,775
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 957,181 188,565
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 807,377 127,449
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 747,452 90,337
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 2,046,435 301,277
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 698,522 29,347
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 269,390 44,394
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 674,761 44,955
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 234,981 36,145
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 220,074 37,778
Ser. 21-156, IO, 3.50%, 7/20/51 4,600,572 817,333
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 2,758,371 451,929
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 6,165,146 1,017,989
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 49,964 2,074
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 457,424 55,228
Ser. 13-76, IO, 3.50%, 5/20/43 615,692 84,294
Ser. 13-28, IO, 3.50%, 2/20/43 161,931 17,372
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 247,387 27,415
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 397,080 45,355
Ser. 13-14, IO, 3.50%, 12/20/42 1,006,672 115,455
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 170,489 20,539
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 769,049 123,891
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,022,800 161,096
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,011,836 156,732
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 495,411 81,902
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 700,230 52,727
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51 3,478,102 487,768
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 4,113,775 578,191
Ser. 21-67, Class PI, IO, 3.00%, 4/20/51 7,090,153 1,001,327
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 3,321,601 494,918
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 3,167,149 495,832
Ser. 16-H16, Class EI, IO, 2.718%, 6/20/66(WAC) 2,782,160 137,995
Ser. 17-H16, Class JI, IO, 2.58%, 8/20/67(WAC) 5,998,896 338,413
Ser. 18-H15, Class KI, IO, 2.525%, 8/20/68(WAC) 2,442,973 121,616
Ser. 16-H17, Class KI, IO, 2.471%, 7/20/66(WAC) 1,771,878 82,212
Ser. 17-H16, Class FI, IO, 2.467%, 8/20/67(WAC) 2,167,876 90,478
Ser. 17-H02, Class BI, IO, 2.377%, 1/20/67(WAC) 1,895,219 93,703
Ser. 15-H15, Class BI, IO, 2.374%, 6/20/65(WAC) 1,774,740 79,153
Ser. 15-H10, Class BI, IO, 2.291%, 4/20/65(WAC) 1,863,733 87,968
Ser. 17-H06, Class BI, IO, 2.286%, 2/20/67(WAC) 2,833,600 172,290
Ser. 16-H09, Class BI, IO, 2.238%, 4/20/66(WAC) 3,361,063 187,883
Ser. 18-H03, Class XI, IO, 2.164%, 2/20/68(WAC) 3,058,866 168,544
Ser. 18-H02, Class EI, IO, 2.124%, 1/20/68(WAC) 3,960,814 277,257
Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67(WAC) 1,285,321 79,047
Ser. 16-H03, Class DI, IO, 2.035%, 12/20/65(WAC) 2,905,081 148,378
Ser. 17-H08, Class NI, IO, 1.955%, 3/20/67(WAC) 3,640,354 167,456
Ser. 15-H25, Class EI, IO, 1.868%, 10/20/65(WAC) 2,053,732 102,481
Ser. 17-H16, Class IG, IO, 1.854%, 7/20/67(WAC) 5,593,102 182,340
Ser. 15-H20, Class AI, IO, 1.829%, 8/20/65(WAC) 2,695,455 131,808
Ser. 16-H23, Class NI, IO, 1.809%, 10/20/66(WAC) 7,098,321 286,772
Ser. 16-H22, Class AI, IO, 1.804%, 10/20/66(WAC) 2,591,888 111,814
FRB Ser. 15-H08, Class CI, IO, 1.80%, 3/20/65(WAC) 1,532,877 72,199
Ser. 18-H05, Class AI, IO, 1.796%, 2/20/68(WAC) 1,465,037 101,637
Ser. 18-H05, Class BI, IO, 1.794%, 2/20/68(WAC) 2,759,142 191,415
Ser. 17-H09, IO, 1.772%, 4/20/67(WAC) 3,563,707 155,588
Ser. 16-H06, Class DI, IO, 1.768%, 7/20/65(WAC) 4,062,489 106,193
Ser. 15-H23, Class BI, IO, 1.763%, 9/20/65(WAC) 2,734,242 121,400
Ser. 16-H24, Class CI, IO, 1.701%, 10/20/66(WAC) 1,883,198 90,205
Ser. 16-H14, IO, 1.685%, 6/20/66(WAC) 2,530,125 99,039
Ser. 13-H08, Class CI, IO, 1.591%, 2/20/63(WAC) 1,914,596 60,884
Ser. 17-H11, Class DI, IO, 1.543%, 5/20/67(WAC) 2,573,465 153,501
Ser. 14-H21, Class BI, IO, 1.542%, 10/20/64(WAC) 3,994,664 148,602
Ser. 15-H20, Class CI, IO, 1.529%, 8/20/65(WAC) 3,104,960 186,919
Ser. 15-H24, Class AI, IO, 1.471%, 9/20/65(WAC) 2,439,019 87,258
Ser. 16-H03, Class AI, IO, 1.462%, 1/20/66(WAC) 2,354,836 75,333
Ser. 16-H10, Class AI, IO, 1.411%, 4/20/66(WAC) 6,484,933 165,223
Ser. 17-H12, Class QI, IO, 1.294%, 5/20/67(WAC) 2,338,099 114,455
Ser. 16-H18, Class QI, IO, 1.293%, 6/20/66(WAC) 1,930,550 105,566
Ser. 16-H02, Class HI, IO, 1.271%, 1/20/66(WAC) 3,341,299 85,203
Ser. 16-H06, Class CI, IO, 1.187%, 2/20/66(WAC) 3,455,629 65,595
47,970,120
Commercial mortgage-backed securities (8.9%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 359,000 264,123
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 12,950 12,820
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 309,141
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 105,873 102,697
Benchmark Mortgage Trust 144A Ser. 19-B13, Class D, 2.50%, 8/15/57 320,000 231,046
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44(WAC) 590,000 441,309
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 514,000 388,892
Ser. 19-CD8, Class D, 3.00%, 8/15/57 264,000 185,011
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 1,020,183
FRB Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) 409,000 349,695
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 5.082%, 4/10/47(WAC) 203,000 196,760
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 5.007%, 5/10/47(WAC) 647,000 455,061
FRB Ser. 14-UBS3, Class D, 4.926%, 6/10/47(WAC) 144,000 130,389
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 118,031
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.902%, 4/15/50(WAC) 527,000 380,901
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.543%, 2/10/46(WAC) 638,000 607,329
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 294,000 269,158
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47(WAC) 1,127,000 781,346
FRB Ser. 13-GC13, Class D, 4.207%, 7/10/46(WAC) 531,000 233,508
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.947%, 2/15/47(WAC) 963,000 598,404
FRB Ser. C14, Class D, 4.699%, 8/15/46(WAC) 515,000 291,499
FRB Ser. 14-C18, Class E, 4.447%, 2/15/47(WAC) 407,000 182,908
FRB Ser. 14-C23, Class D, 4.133%, 9/15/47(WAC) 244,000 221,462
FRB Ser. 14-C25, Class D, 4.086%, 11/15/47(WAC) 200,000 152,459
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 168,150
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 439,300
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.531%, 9/15/50(WAC) 268,000 229,734
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.303%, 4/15/46(WAC) 581,000 449,190
Ser. 13-LC11, Class B, 3.499%, 4/15/46 221,000 216,163
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.708%, 2/15/46(WAC) 410,000 60,436
FRB Ser. 11-C4, Class C, 5.604%, 7/15/46(WAC) 4,953 4,936
FRB Ser. 12-C6, Class E, 5.114%, 5/15/45(WAC) 263,000 194,804
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 532,471
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39(WAC) 462,989 61
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) 13,487 —
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 15-C22, Class C, 4.348%, 4/15/48(WAC) 237,000 218,336
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.495%, 8/15/46(WAC) 900,000 63,284
FRB Ser. 13-C11, Class F, 4.495%, 8/15/46(WAC) 496,000 4,583
FRB Ser. 15-C23, Class D, 4.281%, 7/15/50(WAC) 690,000 624,606
FRB Ser. 13-C9, Class D, 4.243%, 5/15/46(WAC) 350,000 317,324
FRB Ser. 13-C10, Class D, 4.209%, 7/15/46(WAC) 485,000 343,883
FRB Ser. 13-C10, Class E, 4.209%, 7/15/46(WAC) 1,006,000 353,207
FRB Ser. 13-C10, Class F, 4.209%, 7/15/46(WAC) 975,000 219,375
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 301,797
Ser. 14-C19, Class D, 3.25%, 12/15/47 602,000 535,366
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 168,221 156,361
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 5.374%, 3/25/50 701,000 629,312
FRB Ser. 19-01, Class M10, 4.874%, 10/15/49 602,000 559,067
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 4.727%, 1/19/37 504,000 498,960
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 62
Wells Fargo Commercial Mortgage Trust FRB Ser. 16-NXS5, Class D, 5.149%, 1/15/59(WAC) 648,000 593,503
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.434%, 7/15/46(WAC) 188,000 110,189
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 129,625
Ser. 16-C33, Class D, 3.123%, 3/15/59 697,000 592,011
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,509,849 25
16,470,259
Residential mortgage-backed securities (non-agency) (13.6%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 1.814%, 5/25/47 391,495 221,453
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.82%, 11/27/36(WAC) 562,938 450,350
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 2.124%, 1/25/36 58,665 78,376
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 1.804%, 11/25/47 194,639 170,224
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 1.974%, 3/25/37 781,994 682,583
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 1,000,000 973,110
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 2.324%, 9/25/35 290,328 257,397
FRB Ser. 06-OA7, Class 1A1, 2.283%, 6/25/46(WAC) 267,349 245,908
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 2.272%, 11/20/35 300,626 269,576
FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 2.004%, 8/25/46 252,736 214,994
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 2.004%, 8/25/46 1,655,426 1,441,470
FRB Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 1.976%, 9/25/35 235,939 215,850
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 1.436%, 8/25/46 85,536 79,856
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 1.416%, 6/25/46 251,501 222,342
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 12.124%, 5/25/28 265,585 267,400
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 7/25/28 887,860 938,881
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 10.974%, 4/25/28 570,264 579,548
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 10.824%, 10/25/27 395,138 406,192
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 10.424%, 3/25/28 385,014 377,466
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 9.174%, 12/25/27 682,840 676,170
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (ICE LIBOR USD 1 Month + 2.30%), 3.924%, 9/25/30 577,428 573,419
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 12.874%, 4/25/49 106,000 113,811
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 12.624%, 10/25/48 649,000 690,725
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 12.426%, 10/25/50 176,000 209,018
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 12.374%, 1/25/49 141,000 150,021
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 12.124%, 3/25/49 118,000 125,385
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 8/25/50 609,000 712,530
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 7/25/50 430,000 492,350
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (ICE LIBOR USD 1 Month + 8.15%), 9.774%, 7/25/49 135,000 134,443
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 9.374%, 9/25/48 174,000 171,228
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 7.374%, 7/25/50 174,000 179,299
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 5.874%, 10/25/48 380,000 375,606
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 5.524%, 9/25/48 190,000 185,144
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 5.324%, 12/25/30 260,000 254,189
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 275,094
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 4.724%, 3/25/50 175,921 174,505
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 571,317
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 14.374%, 10/25/28 89,480 98,558
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 13.874%, 9/25/28 1,111,707 1,255,371
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 13.374%, 10/25/28 566,344 632,277
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 13.374%, 8/25/28 366,665 406,667
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 12.374%, 1/25/29 119,571 127,555
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 10.874%, 4/25/29 19,832 20,644
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 7.324%, 4/25/28 800,200 835,410
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 7.174%, 4/25/28 29,600 30,787
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 7.124%, 9/25/29 477,000 499,694
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 6.474%, 10/25/29 1,170,000 1,220,776
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 6.124%, 12/25/30 283,000 285,860
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 5/25/30 82,000 82,525
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 2/25/30 60,000 60,169
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 5.624%, 5/25/25 5,368 5,462
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 5.224%, 1/25/30 182,000 178,777
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (ICE LIBOR USD 1 Month + 3.55%), 5.174%, 7/25/30 457,000 450,431
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (ICE LIBOR USD 1 Month + 3.00%), 4.624%, 10/25/29 341,874 348,195
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (ICE LIBOR USD 1 Month + 2.50%), 4.124%, 5/25/30 228,168 227,649
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (ICE LIBOR USD 1 Month + 2.25%), 3.874%, 7/25/30 35,671 35,930
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (ICE LIBOR USD 1 Month + 2.10%), 3.724%, 3/25/31 65,306 63,534
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 5.724%, 9/25/31 556,000 548,860
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 5.426%, 1/25/42 180,000 157,725
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 5.274%, 2/25/40 504,000 488,999
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 4.074%, 7/25/31 9,692 9,632
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (ICE LIBOR USD 1 Month + 0.36%), 1.984%, 5/25/36 482,472 139,280
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 1.934%, 5/25/37 209,930 159,778
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 2.132%, 5/19/35 251,078 93,844
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 5.076%, 1/25/34 (Bermuda) 150,000 134,188
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 2.024%, 6/25/37 430,484 195,174
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26(WAC) 133,000 127,308
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 0.648%, 2/26/37 216,180 194,343
MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 2.419%, 8/25/35 46,318 43,820
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 4.324%, 3/25/28 (Bermuda) 794,000 781,972
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 2.054%, 5/25/46 207,884 177,741
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 2.044%, 8/25/36 255,583 231,303
FRB Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 1.744%, 8/25/36 212,387 198,110
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 216,000 208,368
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 2.604%, 10/25/45 111,143 105,819
25,019,765
Total mortgage-backed securities (cost $105,040,473) $89,460,144








CORPORATE BONDS AND NOTES (21.0%)(a)
        Principal amount Value
Basic materials (1.6%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 $38,000 $34,258
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 92,000 85,371
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 305,000 266,784
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 30,000 26,775
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 75,000 57,088
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 120,000 104,700
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 113,000 102,265
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 63,000 58,433
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 60,000 55,667
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 60,000 56,038
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 203,000 201,985
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) 200,000 166,160
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) 25,000 20,695
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 120,000 80,874
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 $160,000 126,063
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 115,000 96,888
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 35,000 34,300
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 121,000 116,633
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 90,000 76,827
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 115,000 88,572
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 80,000 66,494
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 311,000 262,880
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 133,000 110,406
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 205,000 189,625
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 225,000 160,898
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 90,000 72,369
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 31,000 30,033
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 280,000 243,667
2,992,748
Capital goods (2.0%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 160,000 128,230
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 234,000 214,035
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 108,100
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 35,000 29,838
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 330,000 279,579
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 72,000 71,312
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 100,000 81,372
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 153,227
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 20,000 16,725
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 23,000 18,975
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 109,974
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 50,000 43,259
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 273,000 226,110
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 40,000 33,038
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 125,000 106,365
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 320,000 271,200
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 352,000 291,762
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 245,000 235,813
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 60,000 51,000
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 86,000 80,410
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 403,000 341,897
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 120,000 97,685
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 80,000 64,402
Vertical US Newco, Inc. 144A company guaranty sr. notes 5.25%, 7/15/27 200,000 178,313
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 120,000 97,430
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 188,000 167,000
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 115,000 113,735
3,610,786
Communication services (2.5%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 133,000 129,769
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 847,000 757,082
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 60,000 51,315
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 55,000 45,665
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 199,000 183,617
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 45,000 36,675
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 112,200
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 225,000 194,625
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 89,000 75,923
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 130,000 101,335
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 130,000 109,525
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 79,000 48,004
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 65,000 48,127
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 35,000 27,434
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 190,000 170,830
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 130,000 106,925
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 740,000 598,475
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 248,820
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 61,000 52,003
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 66,000 52,883
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 260,000 273,395
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 125,000 131,703
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 433,000 446,332
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 50,000 46,663
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 125,000 120,365
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 80,000 66,418
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 18,789
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 55,000 46,298
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 148,000 143,443
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 126,887
4,571,525
Consumer cyclicals (3.5%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 $70,000 56,810
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 60,000 51,391
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 55,000 44,000
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 5,000 4,088
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 15,000 12,394
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 328,000 300,120
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 15,000 15,217
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 55,000 47,506
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31 75,000 59,765
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 55,000 49,775
Caesars Entertainment, Inc. 144A sr. notes 6.25%, 7/1/25 100,000 96,373
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 110,000 85,525
Carnival Corp. 144A sr. unsec. notes 7.625%, 3/1/26 13,000 10,069
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 105,000 75,839
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 46,000 42,090
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 110,000 101,750
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 25,000 25,241
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 85,000 68,310
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 80,000 67,546
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 144,000 36,000
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 120,000 63,900
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 244,000 145,206
Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31 100,000 101,470
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 190,984
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 200,000 162,051
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 120,000 95,913
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 135,000 114,919
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 20,000 17,327
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 60,000 48,074
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 125,000 122,364
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 81,721 64,968
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 31,000 29,760
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 65,000 50,700
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 130,000 102,700
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 80,531
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $57,000 46,598
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 99,000 94,050
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 60,000 59,005
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 40,725
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 60,000 47,758
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 27,000 19,732
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 170,000 166,185
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 195,000 175,226
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 25,000 22,936
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 95,000 81,347
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27 30,000 25,650
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 190,000 159,125
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 9,000 7,970
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 90,000 77,712
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 58,000 56,695
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 80,000 74,296
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 40,000 36,135
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 55,000 45,306
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 115,000 96,208
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 25,000 21,875
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 26,000 19,305
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 278,000 267,867
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 168,000 137,799
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32 40,000 30,409
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 100,000 88,499
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29 110,000 68,761
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 60,000 47,590
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 241,000 191,896
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 125,000 108,125
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 99,000 88,605
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 115,000 116,418
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 47,561
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 45,000 33,193
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 460,000 410,576
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 8,550
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 115,000 97,130
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 105,000 96,575
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 115,000 109,493
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 40,000 33,481
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 19,000 18,573
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 104,000 89,050
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 155,000 116,638
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 110,000 88,000
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 70,000 59,954
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 122,000 96,087
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 35,000 34,064
6,499,409
Consumer staples (1.6%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 80,000 64,200
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 77,000 67,321
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 86,500
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 35,000 30,024
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 260,000 232,263
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 395,000 319,679
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 18,000 15,177
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 390,000 356,031
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 60,000 58,731
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 105,787
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 104,000 97,978
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 85,000 79,994
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 85,000 73,950
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 33,000 30,590
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 35,000 27,563
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 25,000 20,878
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 60,000 54,396
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 50,000 40,353
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 112,926
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 246,000 240,517
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 56,700
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 66,000 65,013
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 105,000 100,014
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 59,000 57,113
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 3.75%, 1/15/32 605,000 496,733
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 25,000 23,065
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 55,000 46,200
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 49,913
3,009,609
Energy (4.6%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 65,000 64,928
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 10,000 10,575
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 306,000 278,460
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 55,000 58,300
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 238,000 218,993
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 90,000 85,467
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 570,000 508,839
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 90,000 76,527
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32 10,000 7,850
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 80,000 68,800
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 117,000 109,980
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 105,000 105,362
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 102,000 98,628
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 31,000 24,209
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 56,000 53,550
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 283,000 267,423
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 511,000 486,804
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 59,000 59,289
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 51,000 46,781
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 10,000 9,681
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 102,000 91,545
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 30,000 25,124
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 357,000 340,043
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 195,000 167,006
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 195,000 185,760
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 70,097 69,747
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 295,000 280,250
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 55,000 50,875
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 200,000 206,000
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 550,000 557,384
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 23,000 22,900
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 195,000 214,370
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 293,000 272,097
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 415,061
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 816,000 596,806
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 1,034,000 788,425
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 51,000 47,685
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) 20,000 17,900
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 80,000 79,966
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 183,000 166,525
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 51,000 47,685
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 134,000 126,411
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 197,000 181,182
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 179,000 152,960
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 337,000 310,040
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 230,000 213,348
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 35,055 32,075
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 82,500 72,600
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 33,453
8,405,669
Financials (2.4%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 105,000 91,633
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 30,000 25,967
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 30,000 24,568
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 105,000 97,205
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) $200,000 192,401
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 96,957
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 188,000 141,000
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28 40,000 25,200
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 204,367
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 45,721
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 40,000 29,646
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 35,000 32,113
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 70,000 58,800
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 104,000 97,361
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 25,000 22,146
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 64,000 51,722
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 15,038
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 190,827
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 190,000 178,056
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 156,000 146,850
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 122,000 112,674
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 930,000 818,154
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 172,000 132,342
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 25,000 22,625
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 115,000 92,575
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 210,000 160,797
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 93,000 74,599
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) 570,000 564,139
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 55,454
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 161,000 130,468
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 110,000 95,838
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 105,000 92,630
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 235,000 211,500
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 41,000 37,566
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) (In default)(NON)(F) 200,000 —
4,368,939
Health care (1.4%)
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 51,000 43,350
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 80,000 42,576
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 65,000 50,865
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 55,000 45,581
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 250,000 231,875
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 60,000 51,300
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 55,000 47,644
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 440,000 400,704
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 10,000 8,200
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 45,000 38,081
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 130,000 123,747
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 245,000 242,938
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 55,000 46,789
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 177,903
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 110,000 80,250
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg) $105,000 79,275
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 20,000 17,150
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 60,000 48,990
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 146,039
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 40,000 32,750
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 40,000 34,150
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 99,000 95,013
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 135,000 121,500
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 127,000 116,840
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 55,000 46,322
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 85,000 78,419
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 186,250
2,634,501
Technology (0.6%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 40,000 32,568
Central Parent, Inc./Central Merger Sub, Inc. 144A sr. notes 7.25%, 6/15/29 50,000 48,125
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 20,000 18,421
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 245,000 211,925
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 131,000 109,602
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 130,000 94,900
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 45,000 42,333
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 90,000 75,150
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 65,000 53,480
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 320,000 269,024
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 216,000 180,931
1,136,459
Transportation (0.2%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 120,000 102,451
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 120,000 110,254
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 170,000 160,578
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 45,000 38,172
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 45,000 39,653
451,108
Utilities and power (0.6%)
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 29,000 25,367
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 45,000 37,896
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 29,000 27,550
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 154,339
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 25,000 20,211
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 10,000 8,323
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 8,000 7,835
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 170,000 166,876
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 215,000 170,771
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 49,000 43,733
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 56,000 50,879
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 30,000 26,856
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 50,000 45,281
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 168,000 158,648
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 75,000 68,183
1,012,748
Total corporate bonds and notes (cost $44,335,316) $38,693,501








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.1%)(a)
        Principal amount Value
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d'lvoire) EUR 1,345,000 $1,099,757
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Cote d'lvoire) $1,025,000 910,969
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) 1,300,000 1,210,625
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) 340,000 327,675
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 325,000 247,406
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 336,000 341,880
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 180,000 166,950
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 284,000 270,865
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 376,200
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 260,000 208,148
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 717,750
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) 360,000 232,655
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 1,130,000 824,903
Germany (Federal Republic of) unsec. bonds, Ser. 179, zero %, 4/5/24 (Germany) EUR 310,000 321,830
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) $1,510,000 1,068,325
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) 1,000,000 567,500
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 379,000 337,785
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,020,000 1,031,475
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 359,099
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 202,252
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 649,181
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 560,002
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 270,000 242,662
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 2,240,000 1,727,600
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 1,670,000 923,121
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) 1,009,000 887,893
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 910,000 904,493
Total foreign government and agency bonds and notes (cost $19,399,264) $16,719,001








CONVERTIBLE BONDS AND NOTES (3.8%)(a)
        Principal amount Value
Capital goods (0.1%)
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 $83,000 $76,443
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 42,000 47,439
123,882
Communication services (0.3%)
Cable One, Inc. company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 69,000 57,822
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 173,000 116,862
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 38,000 44,479
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 79,000 88,401
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 188,000 174,840
482,404
Consumer cyclicals (0.6%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 63,000 51,440
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 97,000 71,110
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 43,000 34,013
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 82,000 98,302
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 51,000 50,267
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 82,000 50,266
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 98,000 88,445
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 137,000 124,944
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 95,000 63,577
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 37,000 41,488
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 37,000 35,568
NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 73,000 50,188
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23 129,000 116,665
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 92,000 73,738
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 123,000 107,010
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 36,000 36,855
1,093,876
Consumer staples (0.4%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 142,000 118,002
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 65,000 52,195
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 67,000 51,088
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 96,000 70,896
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 180,000 131,850
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 49,000 41,479
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 73,000 49,312
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 93,000 74,188
Upwork, Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26 72,000 54,900
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 87,000 57,464
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 40,000 37,680
739,054
Energy (0.2%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 92,000 91,310
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 59,000 127,558
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25, (Israel) 57,000 68,514
Sunrun, Inc. cv. sr. unsec. notes zero %, 2/1/26 62,000 44,640
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 96,000 91,500
423,522
Financials (—%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 58,000 57,495
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 79,000 51,587
109,082
Health care (0.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 65,000 64,597
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 48,000 44,784
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 86,000 78,690
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 132,000 90,684
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 46,000 28,405
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 150,000 132,327
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 58,000 66,120
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 50,000 54,000
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 114,000 112,789
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 89,000 55,206
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 42,000 55,335
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25 43,000 54,718
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 95,000 98,135
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 53,000 49,078
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 70,000 51,275
1,036,143
Technology (1.4%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 57,000 39,501
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 170,000 168,895
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 74,000 80,993
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26 83,000 64,367
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 91,000 70,525
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27 89,000 68,352
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 46,000 36,432
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 63,000 71,537
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 69,000 54,407
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 139,000 104,250
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 62,000 65,447
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 33,000 41,729
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 58,000 43,320
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 69,000 55,580
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 47,000 45,849
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 75,000 68,723
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 57,000 47,358
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 138,000 141,367
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 33,000 46,151
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 119,000 99,008
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 63,000 72,513
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 65,000 111,410
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 72,000 57,708
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 34,000 27,525
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 63,000 56,763
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 90,000 73,575
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 59,000 76,258
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 91,000 63,018
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 147,000 121,275
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 68,000 53,652
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 65,000 57,529
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 92,000 67,620
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 49,000 55,248
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28 60,000 49,800
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 67,000 64,890
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 71,000 68,409
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 57,000 68,999
2,559,983
Transportation (0.1%)
American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 73,000 76,700
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 74,000 54,427
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 116,000 136,590
267,717
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 106,000 109,551
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 90,000 96,615
206,166
Total convertible bonds and notes (cost $8,378,566) $7,041,829








SENIOR LOANS (2.8%)(a)(c)
        Principal amount Value
Basic materials (0.2%)
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26 $29,625 $24,959
PQ Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.50%), 3.739%, 6/9/28 19,800 18,884
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 5.25%, 10/1/25 166,843 157,510
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 4.565%, 5/3/26 256,917 239,897
441,250
Capital goods (0.5%)
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 4/1/28 74,250 68,929
American Axle and Manufacturing, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 2.25%), 3.88%, 4/6/24 20,188 19,532
BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 3.326%, 4/3/24 346,750 325,439
Filtration Group Corp. bank term loan FRN (ICE LIBOR USD 1 Month + 3.50%), 5.166%, 10/19/28 9,925 9,255
GFL Environmental, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.00%), 4.239%, 5/31/25 194,322 189,060
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 5.877%, 3/28/25 217,347 198,827
TK Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 4.019%, 7/31/27 206,352 192,812
1,003,854
Communication services (0.1%)
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 7/31/27 29,699 26,804
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 6.666%, 7/22/27 74,600 68,477
95,281
Consumer cyclicals (0.8%)
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 5.275%, 10/19/27 212,090 194,858
Cengage Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26 173,688 156,237
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 4.739%, 8/21/26 230,384 197,266
Cornerstone Building Brands, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.574%, 4/12/28 152,102 125,485
Diamond Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 3.79%, 8/24/26 97,261 22,694
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 4.00%), 5.525%, 1/12/29 83,874 77,133
Garda World Security Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.25%), 5.90%, 10/30/26 82,448 76,196
iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 5/1/26 71,328 66,246
iHeartCommunications, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 4.666%, 5/1/26 44,355 41,102
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 3.562%, 9/19/26 81,337 80,004
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 1/29/28 55,000 51,618
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 9.688%, 2/28/26 100,000 65,000
Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 5.166%, 12/17/26 122,017 112,154
Werner Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 7/24/24 184,172 172,661
1,438,654
Consumer staples (0.2%)
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 5.406%, 6/21/24 384,479 331,294
IRB Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.15%), 4.238%, 12/15/27 39,400 36,905
IRB Holding Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 4.416%, 2/5/25 96,717 91,519
459,718
Energy (0.1%)
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 6.00%, 6/4/28 94,050 88,172
Southwestern Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 4.704%, 6/8/27 64,675 62,735
150,907
Financials (0.1%)
Forest City Enterprises LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 5.166%, 12/7/25 91,429 87,029
HUB International, Ltd. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.348%, 4/25/25 43,882 41,533
128,562
Health care (0.2%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 3.463%, 2/4/27 61,232 57,711
Enterprise Merger Sub, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 5.416%, 10/10/25 103,018 33,893
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 10/2/25 231,475 214,839
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 6.25%, 4/22/27 66,819 53,121
Quorum Health Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 6.50%), 7.50%, 4/29/25 87,648 58,432
417,996
Technology (0.5%)
Arches Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 12/6/27 181,754 165,396
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 5.416%, 10/2/25 181,825 168,946
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 12/1/27 177,750 169,485
Plantronics, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.50%), 4.166%, 7/2/25 151,476 148,852
Polaris Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 6/3/28 89,325 82,307
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 6.75%, 8/31/29 42,000 40,110
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 5.916%, 11/28/25 59,400 55,044
830,140
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 5.813%, 4/20/28 55,000 52,368
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 5.392%, 4/21/28 113,563 105,259
157,627
Total senior loans (cost $5,695,993) $5,123,989








PURCHASED SWAP OPTIONS OUTSTANDING (2.1%)(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-ICE/Jan-25 Jan-24/0.485 $18,054,200 $9,930
Goldman Sachs International
(2.988)/3 month USD-LIBOR-ICE/Feb-39 Feb-29/2.988 3,156,500 220,008
2.988/3 month USD-LIBOR-ICE/Feb-39 Feb-29/2.988 3,156,500 160,224
JPMorgan Chase Bank N.A.
(2.7575)/3 month USD-LIBOR-ICE/Dec-37 Dec-27/2.7575 3,169,000 245,914
(2.795)/3 month USD-LIBOR-ICE/Dec-37 Dec-27/2.795 3,169,000 240,876
2.795/3 month USD-LIBOR-ICE/Dec-37 Dec-27/2.795 3,169,000 139,056
2.7575/3 month USD-LIBOR-ICE/Dec-37 Dec-27/2.7575 3,169,000 135,253
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-ICE/Feb-73 Feb-48/3.00 3,150,300 344,737
3.00/3 month USD-LIBOR-ICE/Apr-72 Apr-47/3.00 3,150,300 331,475
2.75/3 month USD-LIBOR-ICE/May-73 May-48/2.75 3,150,300 293,513
NatWest Markets PLC
(0.52)/Sterling Overnight Index Average/Sep-23 (United Kingdom) Sep-22/0.52 GBP 41,615,900 1,127,670
UBS AG
(0.153)/6 month EUR-EURIBOR/Sep-29 Sep-24/0.153 EUR 5,920,000 615,920
0.153/6 month EUR-EURIBOR/Sep-29 Sep-24/0.153 EUR 5,920,000 16,502
Total purchased swap options outstanding (cost $2,577,733) $3,881,078








PURCHASED OPTIONS OUTSTANDING (0.3%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 4.50% TBA commitments (Call) Aug-22/$100.25 $25,038,090 $25,000,000 $215,000
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Call) Aug-22/100.64 25,428,705 25,000,000 327,275
Total purchased options outstanding (cost $387,012) $542,275








ASSET-BACKED SECURITIES (0.5%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $594,000 $592,515
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 3.624%, 11/25/55 425,000 403,074
Total asset-backed securities (cost $998,281) $995,589








COMMON STOCKS (0.0%)(a)
        Shares Value
Oasis Petroleum, Inc. 378 $45,984
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 12,275
Total common stocks (cost $38,699) $58,259








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








SHORT-TERM INVESTMENTS (19.2%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 1.36%(AFF) Shares 16,772,142 $16,772,142
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.43%(P) Shares 1,382,000 1,382,000
U.S. Treasury Bills 1.153%, 7/14/22(SEGSF)(SEGCCS) $1,000,000 999,615
U.S. Treasury Bills 1.228%, 7/21/22(SEGSF) 200,000 199,887
U.S. Treasury Bills 1.114%, 7/28/22(SEG)(SEGSF)(SEGCCS) 800,000 799,353
U.S. Treasury Bills 0.859%, 7/5/22(SEG)(SEGSF) 1,117,000 1,116,892
U.S. Treasury Bills 0.814%, 7/12/22(SEG)(SEGSF)(SEGCCS) 2,500,000 2,499,267
U.S. Treasury Bills 0.859%, 7/19/22(SEG)(SEGSF)(SEGCCS) 2,700,000 2,698,620
U.S. Treasury Bills 0.957%, 7/26/22(SEGSF)(SEGCCS)(SEGTBA) 4,300,000 4,296,947
U.S. Treasury Bills 1.098%, 8/2/22(SEG)(SEGSF)(SEGCCS) 4,600,000 4,595,308
Total short-term investments (cost $35,360,840) $35,360,031
TOTAL INVESTMENTS
Total investments (cost $374,492,227) $351,376,447








FORWARD CURRENCY CONTRACTS at 6/30/22 (aggregate face value $34,209,834) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Euro Sell 9/21/22 $31,087 $31,874 $787
Japanese Yen Sell 8/17/22 438,689 440,412 1,723
Barclays Bank PLC
Canadian Dollar Sell 7/20/22 64,249 65,952 1,703
Euro Buy 9/21/22 144,157 145,832 (1,675)
Japanese Yen Sell 8/17/22 506,952 514,223 7,271
Swiss Franc Buy 9/21/22 84,478 95,000 (10,522)
Citibank, N.A.
British Pound Sell 9/21/22 377,684 389,491 11,807
Chilean Peso Buy 7/20/22 44,830 50,743 (5,913)
Chilean Peso Sell 7/20/22 44,830 49,665 4,835
Goldman Sachs International
Brazilian Real Buy 7/5/22 53,292 54,821 (1,529)
Brazilian Real Sell 7/5/22 53,292 57,821 4,529
Polish Zloty Buy 9/21/22 251,646 262,937 (11,291)
Swedish Krona Sell 9/21/22 200,131 209,509 9,378
Swiss Franc Buy 9/21/22 1,644,479 1,638,625 5,854
HSBC Bank USA, National Association
Australian Dollar Sell 7/20/22 23,056 24,307 1,251
British Pound Sell 9/21/22 1,871,717 1,929,432 57,715
Euro Buy 9/21/22 1,003,201 1,008,122 (4,921)
New Zealand Dollar Sell 7/20/22 10,866 13,935 3,069
Norwegian Krone Sell 9/21/22 264 271 7
Polish Zloty Sell 9/21/22 251,646 262,702 11,056
Swedish Krona Buy 9/21/22 356,511 368,928 (12,417)
Swiss Franc Sell 9/21/22 5,688 5,591 (97)
JPMorgan Chase Bank N.A.
British Pound Sell 9/21/22 120,571 123,917 3,346
Canadian Dollar Sell 7/20/22 29,755 29,720 (35)
Euro Sell 9/21/22 141,207 144,875 3,668
New Zealand Dollar Buy 7/20/22 9,992 10,219 (227)
New Zealand Dollar Sell 7/20/22 9,992 9,948 (44)
Norwegian Krone Sell 9/21/22 834 850 16
Morgan Stanley & Co. International PLC
Australian Dollar Buy 7/20/22 383,882 397,129 (13,247)
Australian Dollar Sell 7/20/22 383,882 388,768 4,886
British Pound Buy 9/21/22 473,629 481,727 (8,098)
Canadian Dollar Buy 7/20/22 532,481 538,698 (6,217)
Canadian Dollar Sell 7/20/22 532,481 532,715 234
Euro Sell 9/21/22 151,850 151,287 (563)
Japanese Yen Buy 8/17/22 8,736 8,801 (65)
New Zealand Dollar Sell 7/20/22 1,238,114 1,411,544 173,430
Swiss Franc Sell 9/21/22 289,985 283,265 (6,720)
NatWest Markets PLC
Australian Dollar Buy 7/20/22 19,122 19,990 (868)
Australian Dollar Sell 7/20/22 19,122 19,052 (70)
New Zealand Dollar Buy 7/20/22 687 693 (6)
New Zealand Dollar Sell 7/20/22 687 684 (3)
State Street Bank and Trust Co.
Australian Dollar Sell 7/20/22 1,356,875 1,540,548 183,673
Canadian Dollar Sell 7/20/22 1,409,822 1,465,232 55,410
Euro Sell 9/21/22 5,836,794 5,981,231 144,437
Japanese Yen Sell 8/17/22 751,914 784,692 32,778
Mexican Peso Buy 7/20/22 144,772 143,104 1,668
Mexican Peso Sell 7/20/22 144,772 143,645 (1,127)
New Zealand Dollar Buy 7/20/22 99,232 102,196 (2,964)
New Zealand Dollar Sell 7/20/22 99,232 98,795 (437)
Norwegian Krone Sell 9/21/22 537,126 560,104 22,978
Swedish Krona Sell 9/21/22 1,141,479 1,194,654 53,175
Swiss Franc Buy 9/21/22 2,532,552 2,523,537 9,015
Toronto-Dominion Bank
Canadian Dollar Sell 7/20/22 1,263,767 1,302,751 38,984
Japanese Yen Buy 8/17/22 4,524 4,576 (52)
New Zealand Dollar Buy 7/20/22 9,118 9,413 (295)
New Zealand Dollar Sell 7/20/22 9,118 9,078 (40)
Norwegian Krone Sell 9/21/22 256,298 267,327 11,029
Swiss Franc Sell 9/21/22 898,712 897,319 (1,393)
UBS AG
Canadian Dollar Sell 7/20/22 28,046 28,601 555
Czech Koruna Sell 9/21/22 57,365 56,885 (480)
Japanese Yen Buy 8/17/22 4,473,938 4,681,353 (207,415)
Swiss Franc Sell 9/21/22 10,112 9,643 (469)
WestPac Banking Corp.
Australian Dollar Sell 7/20/22 163,604 166,162 2,558
New Zealand Dollar Sell 7/20/22 60,762 61,846 1,084
Swedish Krona Buy 9/21/22 3,021 3,067 (46)
Unrealized appreciation 863,909
Unrealized (depreciation) (299,246)
Total $564,663
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 44 $9,240,688 $9,240,688 Sep-22 $54,557
U.S. Treasury Note 5 yr (Long) 127 14,255,750 14,255,750 Sep-22 (143,160)
U.S. Treasury Note Ultra 10 yr (Long) 73 9,298,375 9,298,375 Sep-22 (155,891)
Unrealized appreciation 54,557
Unrealized (depreciation) (299,051)
Total $(244,494)








WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/22 (premiums $6,909,962) (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-ICE/Jan-25 Jan-24/0.985 $18,054,200 $349,529
Citibank, N.A.
(1.865)/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 3,799,800 86,597
1.865/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 3,799,800 459,700
2.395/3 month USD-LIBOR-ICE/Nov-33 Nov-23/2.395 16,650,600 1,240,470
Goldman Sachs International
(1.448)/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 2,049,600 102,444
1.448/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 2,049,600 244,358
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-ICE/Mar-35 Mar-25/0.968 $1,653,100 8,596
(1.07)/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 2,639,000 19,317
(1.667)/6 month EUR-EURIBOR/Feb-36 Feb-26/1.667 EUR 4,509,200 118,844
1.07/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 $2,639,000 235,003
0.968/3 month USD-LIBOR-ICE/Mar-35 Mar-25/0.968 1,653,100 293,805
3.229/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 11,760,300 419,019
1.667/6 month EUR-EURIBOR/Feb-36 Feb-26/1.667 EUR 4,509,200 501,934
(3.229)/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 $11,760,300 573,903
Morgan Stanley & Co. International PLC
(1.512)/3 month USD-LIBOR-ICE/Aug-32 Aug-22/1.512 3,902,100 78
(2.97)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 1,621,300 76,996
(3.01)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 1,621,300 79,541
3.01/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 1,621,300 99,434
2.97/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 1,621,300 101,623
(3.00)/3 month USD-LIBOR-ICE/Apr-48 Apr-23/3.00 3,150,300 184,419
(2.75)/3 month USD-LIBOR-ICE/May-49 May-25/2.75 3,150,300 233,091
(3.00)/3 month USD-LIBOR-ICE/Jan-49 Jan-24/3.00 3,150,300 253,253
1.512/3 month USD-LIBOR-ICE/Aug-32 Aug-22/1.512 3,902,100 534,978
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23 Sep-22/0.84 GBP 41,615,900 971,134
0.68/Sterling Overnight Index Average/Sep-23 Sep-22/0.68 GBP 41,615,900 1,049,148
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 $241,000 3,579
1.17/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 482,100 157,473
UBS AG
(1.9875)/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 4,407,800 94,415
1.9875/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 4,407,800 501,652
Total $8,994,333








WRITTEN OPTIONS OUTSTANDING at 6/30/22 (premiums $343,750) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 4.50% TBA commitments (Put) Aug-22/$100.25 $25,038,090 $25,000,000 $202,500
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Put) Aug-22/100.64 25,428,705 25,000,000 56,250
Total $258,750








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $42,445,300 $(488,121) $726,664
(2.485)/3 month USD-LIBOR-ICE/Oct-54 (Purchased) Oct-24/2.485 7,702,700 (464,858) 588,101
(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) 485,441
(1.304)/6 month EUR-EURIBOR/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) 294,827
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 $2,128,300 (277,211) 264,824
(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) 254,499
(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) 253,244
(1.053)/6 month EUR-EURIBOR/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 170,880
(1.76)/3 month USD-LIBOR-ICE/Jan-29 (Purchased) Jan-28/1.76 $17,405,100 (112,480) 153,687
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 927,600 (142,271) 94,207
1.76/3 month USD-LIBOR-ICE/Jan-29 (Purchased) Jan-28/1.76 17,405,100 (112,480) (31,155)
(2.94)/US SOFR/Apr-25 (Purchased) Apr-23/2.94 37,044,200 (396,373) (46,305)
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 927,600 (142,271) (69,245)
1.053/6 month EUR-EURIBOR/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) (72,297)
0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 $2,134,700 (155,833) (103,042)
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 5,120,200 (251,841) (144,646)
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) (168,455)
0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) (194,998)
1.304/6 month EUR-EURIBOR/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) (201,833)
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $42,445,300 (488,121) (235,996)
2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) (289,612)
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 14,629,100 (706,586) (425,414)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 29,258,100 401,567 263,615
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 7,314,500 114,106 72,194
3.69/US SOFR/Apr-25 (Written) Apr-23/3.69 74,088,400 414,895 71,866
(2.272)/US SOFR/Apr-42 (Written) Apr-32/2.272 2,849,800 237,388 70,561
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 4,995,700 363,437 43,862
(1.115)/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 17,405,100 73,319 37,247
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 1,978,300 154,505 14,679
2.46/US SOFR/Jun-59 (Written) Jun-29/2.46 1,965,300 277,697 3,773
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 1,978,300 154,505 (2,908)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 4,995,700 363,437 (9,991)
(2.46)/US SOFR/Jun-59 (Written) Jun-29/2.46 1,965,300 277,697 (22,621)
2.272/US SOFR/Apr-42 (Written) Apr-32/2.272 2,849,800 237,388 (55,942)
1.115/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 17,405,100 73,319 (241,061)
2.415/3 month USD-LIBOR-ICE/Oct-33 (Written) Oct-23/2.415 23,878,400 504,431 (1,240,005)
Citibank, N.A.
(1.648)/US SOFR/Sep-32 (Purchased) Sep-22/1.648 7,636,200 (186,705) 607,383
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 15,721,800 (512,531) 598,057
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 4,059,800 (303,876) 475,443
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 3,532,900 (266,557) 427,764
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 3,458,300 (255,655) 417,348
(2.194)/3 month USD-LIBOR-ICE/Sep-52 (Purchased) Sep-22/2.194 2,947,300 (72,290) 373,099
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 6,632,800 (489,832) 318,573
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) 152,959
(1.102)/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) 121,809
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) 68,861
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) 46,403
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (8,210)
1.102/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) (27,142)
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) (40,748)
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) (45,715)
(2.725)/US SOFR/Jul-32 (Purchased) Jul-22/2.725 7,812,600 (159,377) (47,579)
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) (48,432)
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (49,390)
2.725/US SOFR/Jul-32 (Purchased) Jul-22/2.725 7,812,600 (159,377) (103,673)
1.648/US SOFR/Sep-32 (Purchased) Sep-22/1.648 7,636,200 (186,705) (184,796)
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 6,632,800 (489,832) (189,300)
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 3,458,300 (255,655) (216,040)
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 3,532,900 (266,557) (227,130)
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) Mar-24/0.555 EUR 49,535,200 (312,472) (236,711)
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 $15,721,800 (512,531) (246,989)
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 4,059,800 (303,876) (256,336)
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) Mar-24/0.055 EUR 99,070,400 317,859 243,979
(1.245)/3 month USD-LIBOR-ICE/Aug-24 (Written) Aug-22/1.245 $17,729,300 162,223 160,982
(1.918)/3 month USD-LIBOR-ICE/Jan-51 (Written) Jan-31/1.918 2,331,200 278,812 113,972
(1.194)/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 10,644,300 80,684 67,166
(1.177)/3 month USD-LIBOR-ICE/Jul-40 (Written) Jul-30/1.177 818,000 62,004 38,356
1.177/3 month USD-LIBOR-ICE/Jul-40 (Written) Jul-30/1.177 818,000 62,004 (79,346)
1.918/3 month USD-LIBOR-ICE/Jan-51 (Written) Jan-31/1.918 2,331,200 278,812 (159,780)
1.194/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 10,644,300 80,684 (307,620)
1.245/3 month USD-LIBOR-ICE/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 (550,672)
1.7075/3 month USD-LIBOR-ICE/Sep-27 (Written) Sep-22/1.7075 14,147,000 74,979 (835,805)
Deutsche Bank AG
(1.724)/US SOFR/Jan-47 (Purchased) Jan-37/1.724 8,291,000 (684,422) 228,749
2.235/US SOFR/Jul-32 (Purchased) Jul-22/2.235 11,322,000 (63,969) (60,573)
1.724/US SOFR/Jan-47 (Purchased) Jan-37/1.724 8,291,000 (684,422) (167,561)
(2.135)/US SOFR/Mar-42 (Written) Mar-32/2.135 7,500,200 630,392 215,181
3.235/US SOFR/Jul-32 (Written) Jul-22/3.235 11,322,000 80,669 61,931
2.135/US SOFR/Mar-42 (Written) Mar-32/2.135 7,500,200 630,392 (185,780)
Goldman Sachs International
(-0.197)/6 month EUR-EURIBOR/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) 595,157
(1.727)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 $1,382,700 (206,714) 136,085
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 6,009,600 (775,238) 62,740
2.995/US SOFR/Aug-32 (Purchased) Aug-22/2.995 6,237,500 (136,165) 13,348
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (4,349)
2.40/US SOFR/May-57 (Purchased) May-27/2.40 6,009,600 (775,238) (13,221)
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (25,154)
-0.197/6 month EUR-EURIBOR/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) (53,251)
1.727/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 $1,382,700 (126,794) (78,012)
(2.995)/US SOFR/Aug-32 (Purchased) Aug-22/2.995 6,237,500 (136,165) (85,391)
(0.26)/6 month EUR-EURIBOR/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 103,996
(0.555)/6 month EUR-EURIBOR/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 87,031
0.555/6 month EUR-EURIBOR/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 (207,281)
2.41/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.41 $6,792,100 99,165 (391,632)
2.07/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.07 5,740,400 118,826 (424,158)
0.26/6 month EUR-EURIBOR/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 (495,077)
JPMorgan Chase Bank N.A.
(1.805)/3 month USD-LIBOR-ICE/Dec-36 (Purchased) Dec-26/1.805 $4,305,400 (255,310) 311,797
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) 192,154
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) 163,231
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) 152,984
(1.905)/US SOFR/Jan-42 (Purchased) Jan-32/1.905 $3,368,100 (245,871) 151,733
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) 149,231
(2.032)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) 135,219
(1.544)/US SOFR/Jan-62 (Purchased) Jan-32/1.544 1,263,000 (212,184) 73,140
(1.921)/6 month EUR-EURIBOR/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 32,813
3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 4,466,700 (375,608) 19,177
(2.50)/3 month USD-LIBOR-ICE/Nov-39 (Purchased) Nov-29/2.50 $1,556,600 (161,886) 8,001
(2.902)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (7,201)
1.921/6 month EUR-EURIBOR/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (12,098)
2.50/3 month USD-LIBOR-ICE/Nov-39 (Purchased) Nov-29/2.50 $1,556,600 (89,971) (16,858)
(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 4,466,700 (375,608) (22,846)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (38,143)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) (46,918)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (51,638)
2.902/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.902 $934,000 (144,396) (56,358)
1.544/US SOFR/Jan-62 (Purchased) Jan-32/1.544 1,263,000 (212,184) (72,332)
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) (80,789)
1.905/US SOFR/Jan-42 (Purchased) Jan-32/1.905 $3,368,100 (245,871) (88,884)
2.032/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 1,589,500 (183,587) (104,812)
1.805/3 month USD-LIBOR-ICE/Dec-36 (Purchased) Dec-26/1.805 4,305,400 (255,310) (145,867)
(1.232)/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 124,971
(1.168)/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 116,426
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 9,935,900 212,007 110,984
(1.204)/3 month USD-LIBOR-ICE/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 102,232
(2.317)/US SOFR/Apr-42 (Written) Apr-32/2.317 2,137,300 181,029 52,749
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,473,400 53,182 49,763
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 $1,633,300 96,528 46,353
2.317/US SOFR/Apr-42 (Written) Apr-32/2.317 2,137,300 181,029 (35,800)
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 1,633,300 96,528 (95,581)
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,473,400 53,182 (170,452)
1.204/3 month USD-LIBOR-ICE/Jun-40 (Written) Jun-30/1.204 $2,238,000 166,843 (215,967)
1.168/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 (281,721)
1.232/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 (295,721)
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 9,935,900 212,007 (333,051)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 19,971
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (12,114)
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) (42,301)
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (72,354)
(2.39)/3 month USD-LIBOR-ICE/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 225,337
(2.02)/US SOFR/Mar-56 (Written) Mar-26/2.02 2,194,400 288,015 105,595
3.20/US SOFR/Aug-32 (Written) Aug-22/3.20 5,087,000 45,020 12,056
2.02/US SOFR/Mar-56 (Written) Mar-26/2.02 2,194,400 288,015 (94,601)
2.39/3 month USD-LIBOR-ICE/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 (241,232)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) 118,043
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) 26,485
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) (14,882)
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) (49,842)
(2.095)/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 756,700 99,506 47,294
2.095/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 756,700 99,506 (50,563)
UBS AG
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) 263,478
(0.8925)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) 214,462
(0.45)/6 month EUR-EURIBOR/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) 209,586
(0.90)/Sterling Overnight Index Average/Jan-40 (Purchased) Jan-30/0.90 GBP 1,981,900 (187,075) 161,787
(0.902)/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 $1,114,500 (62,356) 145,899
(1.125)/6 month EUR-EURIBOR/Apr-48 (Purchased) Apr-28/1.125 EUR 1,424,700 (187,852) 140,269
(1.715)/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 $875,900 (79,050) 135,011
(0.87)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) 132,907
(1.25)/6 month EUR-EURIBOR/Apr-48 (Purchased) Apr-28/1.25 EUR 1,424,900 (185,485) 121,593
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) 118,850
(0.983)/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 $3,715,100 (58,884) 93,992
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 1,424,900 (197,553) 93,461
(0.4879)/Sterling Overnight Index Average/Aug-39 (Purchased) Aug-29/0.4879 GBP 848,500 (87,456) 87,753
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) 63,407
(0.70)/6 month EUR-EURIBOR/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (163,238) 50,960
(0.70)/6 month EUR-EURIBOR/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (165,624) 49,145
(1.87)/3 month USD-LIBOR-ICE/Jul-46 (Purchased) Jul-41/1.87 $3,893,200 (181,034) 46,018
(2.6525)/US SOFR/Aug-32 (Purchased) Aug-22/2.6525 10,884,500 (222,588) 38,205
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 997,300 (60,554) 9,631
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 997,300 (60,554) (8,880)
(2.577)/6 month EUR-EURIBOR/Aug-32 (Purchased) Aug-22/2.577 EUR 4,873,100 (55,513) (16,086)
1.87/3 month USD-LIBOR-ICE/Jul-46 (Purchased) Jul-41/1.87 $3,893,200 (181,034) (23,904)
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) (30,398)
0.983/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 $3,715,100 (58,884) (33,324)
0.87/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) (37,708)
0.4879/Sterling Overnight Index Average/Aug-39 (Purchased) Aug-29/0.4879 GBP 848,500 (87,456) (46,552)
0.902/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 $1,114,500 (62,356) (52,114)
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) (54,825)
0.8925/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) (56,283)
0.70/6 month EUR-EURIBOR/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (163,238) (58,703)
0.70/6 month EUR-EURIBOR/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (165,624) (60,517)
0.45/6 month EUR-EURIBOR/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) (73,612)
0.90/Sterling Overnight Index Average/Jan-40 (Purchased) Jan-30/0.90 GBP 1,981,900 (187,075) (73,945)
1.715/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 $875,900 (79,050) (74,101)
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 1,424,900 (197,553) (79,544)
1.25/6 month EUR-EURIBOR/Apr-48 (Purchased) Apr-28/1.25 EUR 1,424,900 (185,485) (84,233)
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) (91,860)
1.125/6 month EUR-EURIBOR/Apr-48 (Purchased) Apr-28/1.125 EUR 1,424,700 (187,852) (93,045)
0.32/6 month EUR-EURIBOR/Sep-52 (Purchased) Sep-22/0.32 EUR 4,156,500 (252,651) (222,451)
(0.16)/6 month EUR-EURIBOR/Sep-52 (Written) Sep-22/0.16 EUR 4,156,500 166,270 146,399
(0.00)/6 month EUR-EURIBOR/Sep-52 (Written) Sep-22/0.00 EUR 4,156,500 107,780 94,869
(0.958)/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 $2,229,000 59,236 43,978
(0.43)/6 month EUR-EURIBOR/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 43,831
2.8375/US SOFR/Aug-32 (Written) Aug-22/2.8375 $16,326,750 222,044 (26,123)
0.43/6 month EUR-EURIBOR/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 (101,259)
0.958/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 $2,229,000 59,236 (149,454)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.405 6,131,500 (125,542) 330,672
(1.3875)/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.3875 4,379,600 (89,891) 238,907
(1.96)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.96 3,664,100 (248,060) 219,333
(2.16)/3 month USD-LIBOR-ICE/Feb-35 (Purchased) Feb-25/2.16 2,591,000 (129,226) 131,234
(1.8225)/US SOFR/Jan-42 (Purchased) Jan-32/1.8225 2,487,300 (183,563) 119,962
1.3875/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.3875 4,379,600 (89,891) (65,475)
2.16/3 month USD-LIBOR-ICE/Feb-35 (Purchased) Feb-25/2.16 2,591,000 (129,226) (67,340)
1.8225/US SOFR/Jan-42 (Purchased) Jan-32/1.8225 2,487,300 (183,563) (71,062)
1.405/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.405 6,131,500 (125,542) (90,685)
1.96/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.96 3,664,100 (248,060) (104,647)
(1.62)/US SOFR/Jan-27 (Written) Jan-25/1.62 19,069,300 209,762 73,035
1.62/US SOFR/Jan-27 (Written) Jan-25/1.62 19,069,300 209,762 (282,418)
Unrealized appreciation 15,766,916
Unrealized (depreciation) (14,589,854)
Total $1,177,062








TBA SALE COMMITMENTS OUTSTANDING at 6/30/22 (proceeds receivable $113,217,695) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 7/1/52 $1,000,000 7/21/22 $971,247
Uniform Mortgage-Backed Securities, 5.00%, 8/1/52 25,000,000 8/11/22 25,428,704
Uniform Mortgage-Backed Securities, 5.00%, 7/1/52 12,000,000 7/14/22 12,241,872
Uniform Mortgage-Backed Securities, 4.50%, 8/1/52 21,000,000 8/11/22 21,031,996
Uniform Mortgage-Backed Securities, 4.50%, 7/1/52 13,000,000 7/14/22 13,047,736
Uniform Mortgage-Backed Securities, 4.00%, 8/1/52 5,000,000 8/11/22 4,919,724
Uniform Mortgage-Backed Securities, 4.00%, 7/1/52 15,000,000 7/14/22 14,786,712
Uniform Mortgage-Backed Securities, 3.00%, 8/1/52 2,000,000 8/11/22 1,859,061
Uniform Mortgage-Backed Securities, 2.50%, 8/1/52 16,000,000 8/11/22 14,361,242
Uniform Mortgage-Backed Securities, 2.00%, 8/1/52 7,000,000 8/11/22 6,066,922
Total $114,715,216










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received by fund Unrealized
appreciation/
(depreciation)
$10,525,000 $360,481 $509 12/23/23 0.695% — Annually Secured Overnight Financing Rate — Annually $342,156
9,137,000 655,945 785 12/23/26 1.085% — Annually Secured Overnight Financing Rate — Annually 621,391
3,751,000 468,500 453 12/23/31 1.285% — Annually Secured Overnight Financing Rate — Annually 450,486
1,989,000 487,444 (3,542) 12/23/51 Secured Overnight Financing Rate — Annually 1.437% — Annually (479,598)
17,549,000 600,527 (1,786) 12/24/23 0.697% — Annually Secured Overnight Financing Rate — Annually 566,981
2,253,000 160,797 (302) 12/24/26 1.096% — Annually Secured Overnight Financing Rate — Annually 150,272
4,722,000 589,919 (2,108) 12/24/31 1.285% — Annually Secured Overnight Financing Rate — Annually 564,689
8,061,000 1,978,734 (4,356) 12/24/51 1.435% — Annually Secured Overnight Financing Rate — Annually 1,928,478
3,679,000 836,457 (600) 12/31/51 1.525% — Annually Secured Overnight Financing Rate — Annually 813,309
1,496,000 104,690 (198) 12/31/26 Secured Overnight Financing Rate — Annually 1.135% — Annually (98,312)
392,000 46,777 7,059 12/31/31 Secured Overnight Financing Rate — Annually 1.355% — Annually (37,730)
23,160,000 1,397,938 389,017 1/12/27 Secured Overnight Financing Rate — Annually 1.372% — Annually (922,526)
994,900 45,736 (E) (22) 1/15/47 1.724% — Annually Secured Overnight Financing Rate — Annually 45,713
2,639,000 518,379 (90) 1/21/52 1.679% — Annually Secured Overnight Financing Rate — Annually 501,770
1,659,000 343,579 (57) 1/19/52 Secured Overnight Financing Rate — Annually 1.626% — Annually (334,120)
1,097,000 220,914 (37) 2/1/52 1.6545% — Annually Secured Overnight Financing Rate — Annually 214,376
11,495,000 758,325 (2,796) 2/15/29 Secured Overnight Financing Rate — Annually 1.681% — Annually (699,192)
4,024,900 643,622 (137) 2/24/52 Secured Overnight Financing Rate — Annually 1.86% — Annually (620,910)
2,096,000 374,346 (72) 2/29/52 1.7674% — Annually Secured Overnight Financing Rate — Annually 364,257
1,764,000 154,985 (23) 2/29/32 Secured Overnight Financing Rate — Annually 1.75% — Annually (146,211)
11,852,000 575,889 (96) 2/28/27 1.675% — Annually Secured Overnight Financing Rate — Annually 519,869
19,510,000 493,993 (74) 2/29/24 Secured Overnight Financing Rate — Annually 1.47709% — Annually (412,798)
7,250,000 456,678 (83) 3/1/29 Secured Overnight Financing Rate — Annually 1.7355% — Annually (422,539)
1,854,000 172,719 (25) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (163,260)
8,064,200 849,483 (107) 3/9/32 1.5475% — Annually Secured Overnight Financing Rate — Annually 816,269
8,361,800 885,097 (111) 3/9/32 1.5415% — Annually Secured Overnight Financing Rate — Annually 851,836
4,408,000 393,634 (58) 3/11/32 1.737% — Annually Secured Overnight Financing Rate — Annually 375,023
29,410,000 1,414,327 846,255 3/21/29 Secured Overnight Financing Rate — Annually 1.986% — Annually (475,412)
1,342,000 13,339 (5) 4/7/24 Secured Overnight Financing Rate — Annually 2.4485% — Annually (6,931)
276,000 3,911 (2) 4/7/27 2.469% — Annually Secured Overnight Financing Rate — Annually 2,579
296,000 11,618 (4) 4/7/23 2.3305% — Annually Secured Overnight Financing Rate — Annually 10,289
118,000 13,115 (4) 4/7/52 Secured Overnight Financing Rate — Annually 2.1005% — Annually (12,652)
5,761,000 144,255 (76) 4/14/32 2.4975% — Annually Secured Overnight Financing Rate — Annually 118,189
4,987,000 312,685 (170) 4/14/52 Secured Overnight Financing Rate — Annually 2.3395% — Annually (292,484)
1,381,000 18,754 (11) 4/14/27 2.483% — Annually Secured Overnight Financing Rate — Annually 12,697
1,765,000 19,044 (7) 4/14/24 Secured Overnight Financing Rate — Annually 2.403% — Annually (11,510)
14,654,000 66,676 (138) 5/2/27 Secured Overnight Financing Rate — Annually 2.685% — Annually (13,075)
25,078,600 191,350 (95) 5/25/24 2.5945% — Annually Secured Overnight Financing Rate — Annually 144,968
1,040,000 30,722 (35) 5/25/52 Secured Overnight Financing Rate — Annually 2.501% — Annually (28,934)
801,300 10,553 (E) (27) 5/28/57 2.40% — Annually Secured Overnight Financing Rate — Annually 10,526
2,133,000 6,570 (28) 6/7/32 Secured Overnight Financing Rate — Annually 2.7565% — Annually (4,026)
1,727,000 8,341 (59) 6/7/52 Secured Overnight Financing Rate — Annually 2.622% — Annually (6,317)
32,149,300 91,947 (426) 6/8/32 Secured Overnight Financing Rate — Annually 2.825% — Annually 132,842
1,596,200 200,722 (200,345) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 328
5,256,000 7,621 (E) 19,312 9/21/32 Secured Overnight Financing Rate — Annually 2.835% — Annually 26,933
26,508,000 172,302 (100) 6/15/24 Secured Overnight Financing Rate — Annually 3.3385% — Annually 202,218
17,825,000 329,763 (144) 6/15/27 3.185% — Annually Secured Overnight Financing Rate — Annually (348,875)
198,186,000 1,260,463 (E) 411,647 9/21/24 3.40% — Annually Secured Overnight Financing Rate — Annually (848,815)
31,598,000 698,948 (E) 357,724 9/21/27 3.30% — Annually Secured Overnight Financing Rate — Annually (341,224)
49,756,000 1,646,924 (E) 782,760 9/21/32 3.20% — Annually Secured Overnight Financing Rate — Annually (864,163)
8,776,000 805,022 (E) (525,885) 9/21/52 Secured Overnight Financing Rate — Annually 3.10% — Annually 279,137
2,377,100 52,581 (E) (34) 9/8/32 Secured Overnight Financing Rate — Annually 3.07% — Annually 52,548
3,722,900 9,196 (E) (53) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly (9,248)
5,409,000 19,256 (20) 7/1/24 3.1765% — Annually Secured Overnight Financing Rate — Annually (19,276)
AUD 79,300 10,720 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 10,719
AUD 266,900 39,104 (E) (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 39,102
AUD 99,100 14,857 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 14,856
AUD 155,200 18,054 (E) (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 18,052
AUD 579,100 74,221 (E) (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 74,214
AUD 37,200 8,263 (E) (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 8,262
AUD 1,800,000 198,767 (20) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (195,805)
AUD 4,723,000 20,864 (E) 2,934 9/21/32 4.07% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 23,799
CAD 4,993,000 6,129 (E) (12,855) 9/21/32 3.72% — Semiannually 3 month CAD-BA-CDOR — Semiannually (18,984)
CHF 2,516,000 17,315 (E) 19,087 9/21/32 Swiss Average Rate Overnight — Annually 1.64% — Annually 1,771
EUR 512,400 38,286 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR — Semiannually 38,266
EUR 696,900 106,422 (27) 2/19/50 6 month EUR-EURIBOR — Semiannually 1.354% — Annually (101,477)
EUR 770,000 132,174 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR — Semiannually 127,860
EUR 778,400 143,127 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR — Semiannually 139,016
EUR 898,100 184,543 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR — Semiannually 180,749
EUR 802,800 83,440 (E) (30) 11/29/58 6 month EUR-EURIBOR — Semiannually 1.343% — Annually (83,470)
EUR 929,000 203,860 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR — Semiannually 198,294
EUR 741,300 158,049 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR — Semiannually 158,021
EUR 676,400 170,404 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR — Semiannually 166,739
EUR 395,500 108,648 (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR — Semiannually 106,664
EUR 1,468,500 497,208 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR — Semiannually 497,152
EUR 906,000 366,466 (E) (34) 6/6/54 6 month EUR-EURIBOR — Semiannually 0.207% — Annually (366,500)
EUR 1,215,200 485,586 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR — Semiannually 482,177
EUR 4,960,100 1,586,566 (187) 2/19/50 6 month EUR-EURIBOR — Semiannually 0.595% — Annually (1,566,292)
EUR 574,000 243,593 (E) (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR — Semiannually 243,571
EUR 260,400 131,774 (E) (10) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR — Semiannually 131,764
EUR 1,696,600 315,729 (E) (36) 5/13/40 6 month EUR-EURIBOR — Semiannually 0.276% — Annually (315,765)
EUR 833,300 151,528 (E) (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 151,509
EUR 1,129,700 210,196 (E) (26) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 210,170
EUR 388,100 71,430 (E) (9) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR — Semiannually 71,421
EUR 1,055,800 359,976 (43) 5/21/51 6 month EUR-EURIBOR — Semiannually 0.516% — Annually (359,292)
EUR 1,088,000 181,424 (19) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR — Semiannually 181,358
EUR 924,200 164,357 (16) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR — Semiannually 161,201
EUR 311,700 118,657 (E) (13) 9/14/52 6 month EUR-EURIBOR — Semiannually 0.374% — Annually (118,670)
EUR 2,980,000 427,055 (48) 3/7/32 6 month EUR-EURIBOR — Semiannually 0.60% — Annually (416,033)
EUR 310,000 2,456 (3,463) 4/27/24 0.841% — Annually 6 month EUR-EURIBOR — Semiannually (1,277)
EUR 1,771,000 16,982 (E) (43,050) 9/21/32 2.14% — Annually 6 month EUR-EURIBOR — Semiannually (26,069)
EUR 1,979,000 43,220 (E) (31) 2/2/36 2.875% — Annually 6 month EUR-EURIBOR — Semiannually (43,251)
EUR 3,328,000 122,484 (E) (50) 9/8/32 2.615% — Annually 6 month EUR-EURIBOR — Semiannually (122,533)
GBP 703,500 107,235 (14) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (106,911)
GBP 16,646,400 343,469 (E) (86) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 343,383
GBP 1,630,000 10,953 (E) (1,464) 9/21/32 Sterling Overnight Index Average — Annually 2.41% — Annually 9,489
JPY 122,290,000 101,902 (E) (35) 8/29/43 Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually 0.343% — Annually (101,937)
JPY 119,698,500 31,354 (26,610) 2/25/31 0.003% — Annually Tokyo Overnight Average Rate — Annually 4,730
JPY 49,618,300 11,275 (E) (8,096) 8/29/43 0.7495% — Annually Tokyo Overnight Average Rate — Annually 3,178
JPY 63,267,700 62,629 (E) (61,034) 8/29/43 0.194% — Annually Tokyo Overnight Average Rate — Annually 1,594
NOK 9,653,000 5,939 (E) (5,662) 9/21/32 3.235% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 276
NZD 2,157,000 94 (E) 2,738 9/21/32 3 month NZD-BBR-FRA — Quarterly 4.15% — Semiannually 2,831
SEK 31,456,000 4,459 (E) (17,612) 9/21/32 2.81% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (13,152)
Total $1,914,978 $2,344,761
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/22 (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 $998,344 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually $(45,918)
1,032,736 997,695 — 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 (35,179)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (81,097)
Total $— Total $(81,097)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/22 (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 $57,484 $12,790 5/11/63 300 bp — Monthly $(8,386)
CMBX NA BBB-.6 Index B+/P 8,497 126,644 28,177 5/11/63 300 bp — Monthly (19,617)
CMBX NA BBB-.6 Index B+/P 17,409 253,287 56,355 5/11/63 300 bp — Monthly (38,819)
CMBX NA BBB-.6 Index B+/P 16,587 261,371 58,153 5/11/63 300 bp — Monthly (41,435)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index BBB+/P 5,372 36,000 3,542 5/11/63 200 bp — Monthly 1,842
CMBX NA A.6 Index BBB+/P 5,963 37,600 3,700 5/11/63 200 bp — Monthly 2,277
CMBX NA A.6 Index BBB+/P 7,354 42,400 4,172 5/11/63 200 bp — Monthly 3,197
CMBX NA A.6 Index BBB+/P 10,961 56,800 5,589 5/11/63 200 bp — Monthly 5,392
CMBX NA A.6 Index BBB+/P 12,898 61,600 6,061 5/11/63 200 bp — Monthly 6,858
CMBX NA A.6 Index BBB+/P 11,798 62,400 6,140 5/11/63 200 bp — Monthly 5,679
CMBX NA A.6 Index BBB+/P 28,477 128,800 12,674 5/11/63 200 bp — Monthly 15,848
CMBX NA A.6 Index BBB+/P 20,798 141,600 13,933 5/11/63 200 bp — Monthly 6,914
CMBX NA A.6 Index BBB+/P 48,213 232,000 22,829 5/11/63 200 bp — Monthly 25,466
CMBX NA BB.11 Index BB-/P 77,970 138,000 27,034 11/18/54 500 bp — Monthly 51,051
CMBX NA BB.13 Index BB-/P 6,698 67,000 15,712 12/16/72 500 bp — Monthly (8,957)
CMBX NA BB.13 Index BB-/P 16,037 176,000 41,272 12/16/72 500 bp — Monthly (25,088)
CMBX NA BB.13 Index BB-/P 26,330 279,000 65,426 12/16/72 500 bp — Monthly (38,863)
CMBX NA BB.13 Index BB-/P 48,322 530,000 124,285 12/16/72 500 bp — Monthly (75,522)
CMBX NA BB.14 Index BB/P 13,266 121,000 25,955 12/16/72 500 bp — Monthly (12,587)
CMBX NA BB.6 Index CCC+/P 114,187 262,136 101,840 5/11/63 500 bp — Monthly 12,566
CMBX NA BB.6 Index CCC+/P 119,351 765,253 297,301 5/11/63 500 bp — Monthly (177,312)
CMBX NA BB.7 Index B/P 64,660 1,267,000 399,739 1/17/47 500 bp — Monthly (334,023)
CMBX NA BB.9 Index B/P 3,258 16,000 4,683 9/17/58 500 bp — Monthly (1,412)
CMBX NA BB.9 Index B/P 32,267 158,000 46,247 9/17/58 500 bp — Monthly (13,848)
CMBX NA BBB-.10 Index BB+/P 12,532 101,000 17,604 11/17/59 300 bp — Monthly (5,022)
CMBX NA BBB-.10 Index BB+/P 20,182 185,000 32,246 11/17/59 300 bp — Monthly (11,971)
CMBX NA BBB-.11 Index BBB-/P 3,883 62,000 9,988 11/18/54 300 bp — Monthly (6,074)
CMBX NA BBB-.12 Index BBB-/P 2,419 58,000 10,440 8/17/61 300 bp — Monthly (7,992)
CMBX NA BBB-.12 Index BBB-/P 8,250 140,000 25,200 8/17/61 300 bp — Monthly (16,880)
CMBX NA BBB-.12 Index BBB-/P 43,751 276,000 49,680 8/17/61 300 bp — Monthly (5,791)
CMBX NA BBB-.14 Index BBB-/P 976 22,000 4,589 12/16/72 300 bp — Monthly (3,602)
CMBX NA BBB-.14 Index BBB-/P 1,336 27,000 5,632 12/16/72 300 bp — Monthly (4,283)
CMBX NA BBB-.14 Index BBB-/P 935 30,000 6,258 12/16/72 300 bp — Monthly (5,308)
CMBX NA BBB-.14 Index BBB-/P 1,209 37,000 7,718 12/16/72 300 bp — Monthly (6,491)
CMBX NA BBB-.14 Index BBB-/P 1,626 50,000 10,430 12/16/72 300 bp — Monthly (8,779)
CMBX NA BBB-.14 Index BBB-/P 4,250 85,000 17,731 12/16/72 300 bp — Monthly (13,438)
CMBX NA BBB-.15 Index BBB-/P 5,223 50,000 10,930 11/18/64 300 bp — Monthly (5,682)
CMBX NA BBB-.15Index BBB-/P 2,039 12,000 2,623 11/18/64 300 bp — Monthly (578)
CMBX NA BBB-.6 Index B+/P 1,199 13,473 2,998 5/11/63 300 bp — Monthly (1,792)
CMBX NA BBB-.6 Index B+/P 1,908 26,047 5,795 5/11/63 300 bp — Monthly (3,874)
CMBX NA BBB-.6 Index B+/P 3,891 52,993 11,790 5/11/63 300 bp — Monthly (7,873)
CMBX NA BBB-.6 Index B+/P 8,237 108,680 24,180 5/11/63 300 bp — Monthly (15,889)
CMBX NA BBB-.6 Index B+/P 36,513 114,069 25,380 5/11/63 300 bp — Monthly 11,190
CMBX NA BBB-.6 Index B+/P 36,513 114,069 25,380 5/11/63 300 bp — Monthly 11,190
CMBX NA BBB-.6 Index B+/P 74,771 228,138 50,759 5/11/63 300 bp — Monthly 24,126
Credit Suisse International
CMBX NA BB.7 Index B/P 30,497 228,000 71,934 1/17/47 500 bp — Monthly (41,247)
CMBX NA BBB-.6 Index B+/P 52,816 429,331 95,523 5/11/63 300 bp — Monthly (42,492)
CMBX NA BBB-.6 Index B+/P 129,498 1,052,669 234,211 5/11/63 300 bp — Monthly (104,187)
CMBX NA BBB-.6 Index B+/P 1,034,620 9,889,879 2,200,425 5/11/63 300 bp — Monthly (1,160,856)
CMBX NA BBB-.7 Index BB-/P 51,226 780,000 145,782 1/17/47 300 bp — Monthly (94,166)
Goldman Sachs International
CMBX NA BB.9 Index B/P 4,448 11,000 3,220 9/17/58 500 bp — Monthly 1,238
CMBX NA BBB-.13 Index BBB-/P 1,900 12,000 2,393 12/16/72 300 bp — Monthly (487)
CMBX NA BBB-.13 Index BBB-/P 1,906 32,000 6,381 12/16/72 300 bp — Monthly (4,459)
CMBX NA BBB-.13 Index BBB-/P 2,443 38,000 7,577 12/16/72 300 bp — Monthly (5,116)
CMBX NA BBB-.13 Index BBB-/P 2,484 42,000 8,375 12/16/72 300 bp — Monthly (5,870)
CMBX NA BBB-.13 Index BBB-/P 7,522 48,000 9,571 12/16/72 300 bp — Monthly (2,025)
CMBX NA BBB-.13 Index BBB-/P 4,148 66,000 13,160 12/16/72 300 bp — Monthly (8,979)
CMBX NA BBB-.13 Index BBB-/P 5,981 130,000 25,922 12/16/72 300 bp — Monthly (19,876)
CMBX NA BBB-.15 Index BBB-/P 3,479 56,000 12,242 11/18/64 300 bp — Monthly (8,735)
CMBX NA BBB-.15 Index BBB-/P 8,411 91,000 19,893 11/18/64 300 bp — Monthly (11,436)
CMBX NA BBB-.15 Index BBB-/P 8,103 91,000 19,893 11/18/64 300 bp — Monthly (11,745)
CMBX NA BBB-.6 Index B+/P 205 3,593 799 5/11/63 300 bp — Monthly (593)
CMBX NA BBB-.6 Index B+/P 682 8,084 1,799 5/11/63 300 bp — Monthly (1,112)
CMBX NA BBB-.6 Index B+/P 811 9,880 2,198 5/11/63 300 bp — Monthly (1,382)
CMBX NA BBB-.6 Index B+/P 806 9,880 2,198 5/11/63 300 bp — Monthly (1,387)
CMBX NA BBB-.6 Index B+/P 1,042 11,676 2,598 5/11/63 300 bp — Monthly (1,550)
CMBX NA BBB-.6 Index B+/P 2,354 25,149 5,595 5/11/63 300 bp — Monthly (3,229)
CMBX NA BBB-.6 Index B+/P 2,430 28,742 6,395 5/11/63 300 bp — Monthly (3,951)
CMBX NA BBB-.6 Index B+/P 3,086 35,029 7,794 5/11/63 300 bp — Monthly (4,690)
CMBX NA BBB-.6 Index B+/P 4,415 39,520 8,793 5/11/63 300 bp — Monthly (4,359)
CMBX NA BBB-.6 Index B+/P 6,450 41,316 9,193 5/11/63 300 bp — Monthly (2,722)
CMBX NA BBB-.6 Index B+/P 15,221 48,502 10,791 5/11/63 300 bp — Monthly 4,454
CMBX NA BBB-.6 Index B+/P 15,221 48,502 10,791 5/11/63 300 bp — Monthly 4,454
CMBX NA BBB-.6 Index B+/P 8,034 53,891 11,990 5/11/63 300 bp — Monthly (3,930)
CMBX NA BBB-.6 Index B+/P 7,985 53,891 11,990 5/11/63 300 bp — Monthly (3,979)
CMBX NA BBB-.6 Index B+/P 5,664 57,484 12,790 5/11/63 300 bp — Monthly (7,097)
CMBX NA BBB-.6 Index B+/P 6,945 59,280 13,189 5/11/63 300 bp — Monthly (6,215)
CMBX NA BBB-.6 Index B+/P 8,625 70,058 15,587 5/11/63 300 bp — Monthly (6,927)
CMBX NA BBB-.6 Index B+/P 6,758 70,058 15,587 5/11/63 300 bp — Monthly (8,794)
CMBX NA BBB-.6 Index B+/P 7,858 81,735 18,185 5/11/63 300 bp — Monthly (10,286)
CMBX NA BBB-.6 Index B+/P 16,293 88,022 19,584 5/11/63 300 bp — Monthly (3,247)
CMBX NA BBB-.6 Index B+/P 5,285 91,615 20,384 5/11/63 300 bp — Monthly (15,053)
CMBX NA BBB-.6 Index B+/P 14,022 92,513 20,583 5/11/63 300 bp — Monthly (6,515)
CMBX NA BBB-.6 Index B+/P 12,297 98,800 21,982 5/11/63 300 bp — Monthly (9,635)
CMBX NA BBB-.6 Index B+/P 12,871 103,291 22,981 5/11/63 300 bp — Monthly (10,059)
CMBX NA BBB-.6 Index B+/P 10,295 109,578 24,380 5/11/63 300 bp — Monthly (14,030)
CMBX NA BBB-.6 Index B+/P 10,295 109,578 24,380 5/11/63 300 bp — Monthly (14,030)
CMBX NA BBB-.6 Index B+/P 6,818 121,255 26,978 5/11/63 300 bp — Monthly (20,099)
CMBX NA BBB-.6 Index B+/P 23,502 141,015 31,375 5/11/63 300 bp — Monthly (7,802)
CMBX NA BBB-.6 Index B+/P 23,233 141,913 31,575 5/11/63 300 bp — Monthly (8,271)
CMBX NA BBB-.6 Index B+/P 18,496 149,098 33,173 5/11/63 300 bp — Monthly (14,602)
CMBX NA BBB-.6 Index B+/P 18,357 151,793 33,773 5/11/63 300 bp — Monthly (15,340)
CMBX NA BBB-.6 Index B+/P 18,286 151,793 33,773 5/11/63 300 bp — Monthly (15,411)
CMBX NA BBB-.6 Index B+/P 8,581 155,385 34,572 5/11/63 300 bp — Monthly (25,913)
CMBX NA BBB-.6 Index B+/P 20,534 157,182 34,972 5/11/63 300 bp — Monthly (14,359)
CMBX NA BBB-.6 Index B+/P 15,166 164,367 36,571 5/11/63 300 bp — Monthly (21,322)
CMBX NA BBB-.6 Index B+/P 51,191 167,960 37,370 5/11/63 300 bp — Monthly 13,905
CMBX NA BBB-.6 Index B+/P 10,015 172,451 38,369 5/11/63 300 bp — Monthly (28,268)
CMBX NA BBB-.6 Index B+/P 9,848 181,433 40,367 5/11/63 300 bp — Monthly (30,429)
CMBX NA BBB-.6 Index B+/P 24,103 194,007 43,165 5/11/63 300 bp — Monthly (18,965)
CMBX NA BBB-.6 Index B+/P 24,103 194,007 43,165 5/11/63 300 bp — Monthly (18,965)
CMBX NA BBB-.6 Index B+/P 21,986 196,702 43,765 5/11/63 300 bp — Monthly (21,681)
CMBX NA BBB-.6 Index B+/P 59,234 200,295 44,564 5/11/63 300 bp — Monthly 14,771
CMBX NA BBB-.6 Index B+/P 11,095 202,989 45,164 5/11/63 300 bp — Monthly (33,967)
CMBX NA BBB-.6 Index B+/P 40,089 238,916 53,157 5/11/63 300 bp — Monthly (12,949)
CMBX NA BBB-.6 Index B+/P 36,039 265,862 59,152 5/11/63 300 bp — Monthly (22,980)
CMBX NA BBB-.6 Index B+/P 17,562 326,040 72,541 5/11/63 300 bp — Monthly (54,816)
CMBX NA BBB-.6 Index B+/P 47,211 405,978 90,327 5/11/63 300 bp — Monthly (42,913)
CMBX NA BBB-.6 Index B+/P 50,821 414,062 92,126 5/11/63 300 bp — Monthly (41,098)
CMBX NA BBB-.6 Index B+/P 71,741 543,400 120,902 5/11/63 300 bp — Monthly (48,889)
CMBX NA BBB-.6 Index B+/P 71,494 543,400 120,902 5/11/63 300 bp — Monthly (49,136)
CMBX NA BBB-.6 Index B+/P 155,865 935,905 208,232 5/11/63 300 bp — Monthly (51,899)
CMBX NA BBB-.7 Index BB-/P 26,578 312,000 58,313 1/17/47 300 bp — Monthly (31,579)
CMBX NA BBB-.7 Index BB-/P 90,359 1,040,000 194,376 1/17/47 300 bp — Monthly (103,497)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 9,629 120,000 39,036 5/11/63 500 bp — Monthly (29,307)
CMBX NA BBB-.12 Index BBB-/P 2,042 17,000 3,060 8/17/61 300 bp — Monthly (1,009)
CMBX NA BBB-.13 Index BBB-/P 16,787 127,000 25,324 12/16/72 300 bp — Monthly (8,474)
CMBX NA BBB-.6 Index B+/P 1,424,797 5,738,483 1,276,770 5/11/63 300 bp — Monthly 150,898
Merrill Lynch International
CMBX NA BB.6 Index CCC+/P 13,977 114,972 44,667 5/11/63 500 bp — Monthly (30,594)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 182 2,000 469 12/16/72 500 bp — Monthly (285)
CMBX NA BB.13 Index BB-/P 4,929 53,000 12,429 12/16/72 500 bp — Monthly (7,455)
CMBX NA BB.13 Index BB-/P 6,326 66,000 15,477 12/16/72 500 bp — Monthly (9,096)
CMBX NA BB.13 Index BB-/P 7,574 82,000 19,229 12/16/72 500 bp — Monthly (11,586)
CMBX NA BB.13 Index BB-/P 25,708 280,000 65,660 12/16/72 500 bp — Monthly (39,719)
CMBX NA BB.6 Index CCC+/P 4,741 35,871 13,936 5/11/63 500 bp — Monthly (9,165)
CMBX NA BB.6 Index CCC+/P 8,676 44,149 17,152 5/11/63 500 bp — Monthly (8,439)
CMBX NA BB.6 Index CCC+/P 63,000 137,966 53,600 5/11/63 500 bp — Monthly 9,515
CMBX NA BB.6 Index CCC+/P 116,279 252,019 97,909 5/11/63 500 bp — Monthly 18,580
CMBX NA BBB-.12 Index BBB-/P 3,418 58,000 10,440 8/17/61 300 bp — Monthly (6,993)
CMBX NA BBB-.12 Index BBB-/P 9,660 225,000 40,500 8/17/61 300 bp — Monthly (30,727)
CMBX NA BBB-.15 Index BBB-/P 2,846 31,000 6,777 11/18/64 300 bp — Monthly (3,916)
CMBX NA BBB-.15 Index BBB-/P 3,046 54,000 11,804 11/18/64 300 bp — Monthly (8,732)
CMBX NA BBB-.6 Index B+/P 66 898 200 5/11/63 300 bp — Monthly (134)
CMBX NA BBB-.6 Index B+/P 752 8,084 1,799 5/11/63 300 bp — Monthly (1,043)
CMBX NA BBB-.6 Index B+/P 1,541 18,862 4,197 5/11/63 300 bp — Monthly (2,646)
CMBX NA BBB-.6 Index B+/P 3,126 35,029 7,794 5/11/63 300 bp — Monthly (4,650)
CMBX NA BBB-.6 Index B+/P 3,446 41,316 9,193 5/11/63 300 bp — Monthly (5,726)
CMBX NA BBB-.6 Index B+/P 9,375 127,542 28,377 5/11/63 300 bp — Monthly (18,938)
CMBX NA BBB-.6 Index B+/P 48,941 167,062 37,170 5/11/63 300 bp — Monthly 11,855
CMBX NA BBB-.6 Index B+/P 56,378 191,313 42,566 5/11/63 300 bp — Monthly 13,909
CMBX NA BBB-.6 Index B+/P 183,195 476,934 106,114 5/11/63 300 bp — Monthly 77,319
CMBX NA BBB-.6 Index B+/P 120,606 1,635,140 363,807 5/11/63 300 bp — Monthly (242,381)
CMBX NA BBB-.9 Index BB+/P 874 9,000 1,543 9/17/58 300 bp — Monthly (664)
Upfront premium received 5,652,347 Unrealized appreciation 504,494
Upfront premium (paid) — Unrealized (depreciation) (3,830,465)
Total $5,652,347 Total $(3,325,971)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 6/30/22 (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 $129,144 11/17/59 (500 bp) — Monthly $33,096
CMBX NA BB.10 Index (65,025) 255,000 82,952 11/17/59 (500 bp) — Monthly 17,714
CMBX NA BB.10 Index (14,611) 140,000 45,542 11/17/59 (500 bp) — Monthly 30,815
CMBX NA BB.10 Index (12,500) 114,000 37,084 11/17/59 (500 bp) — Monthly 24,489
CMBX NA BB.11 Index (13,993) 108,000 21,157 11/18/54 (500 bp) — Monthly 7,075
CMBX NA BB.11 Index (1,556) 30,000 5,877 11/18/54 (500 bp) — Monthly 4,296
CMBX NA BB.8 Index (36,522) 102,429 38,032 10/17/57 (500 bp) — Monthly 1,424
CMBX NA BB.8 Index (8,940) 69,575 25,833 10/17/57 (500 bp) — Monthly 16,835
CMBX NA BBB-.10 Index (47,799) 278,000 48,455 11/17/59 (300 bp) — Monthly 518
CMBX NA BBB-.10 Index (55,015) 237,000 41,309 11/17/59 (300 bp) — Monthly (13,824)
CMBX NA BBB-.10 Index (28,062) 221,000 38,520 11/17/59 (300 bp) — Monthly 10,348
CMBX NA BBB-.10 Index (38,410) 161,000 28,062 11/17/59 (300 bp) — Monthly (10,429)
CMBX NA BBB-.10 Index (24,448) 112,000 19,522 11/17/59 (300 bp) — Monthly (4,983)
CMBX NA BBB-.10 Index (23,069) 106,000 18,476 11/17/59 (300 bp) — Monthly (4,646)
CMBX NA BBB-.10 Index (6,246) 49,000 8,541 11/17/59 (300 bp) — Monthly 2,270
CMBX NA BBB-.10 Index (4,717) 37,000 6,449 11/17/59 (300 bp) — Monthly 1,714
CMBX NA BBB-.10 Index (3,793) 31,000 5,403 11/17/59 (300 bp) — Monthly 1,595
CMBX NA BBB-.12 Index (68,500) 205,000 36,900 8/17/61 (300 bp) — Monthly (32,940)
CMBX NA BBB-.12 Index (67,433) 194,000 34,920 8/17/61 (300 bp) — Monthly (32,610)
CMBX NA BBB-.12 Index (13,080) 190,000 34,200 8/17/61 (300 bp) — Monthly 21,025
CMBX NA BBB-.12 Index (51,320) 146,000 26,280 8/17/61 (300 bp) — Monthly (25,113)
CMBX NA BBB-.12 Index (240) 4,000 720 8/17/61 (300 bp) — Monthly 478
CMBX NA BBB-.13 Index (6,199) 106,000 21,136 12/16/72 (300 bp) — Monthly 14,884
CMBX NA BBB-.13 Index (2,546) 50,000 9,970 12/16/72 (300 bp) — Monthly 7,399
CMBX NA BBB-.13 Index (1,971) 36,000 7,178 12/16/72 (300 bp) — Monthly 5,189
CMBX NA BBB-.13 Index (202) 4,000 798 12/16/72 (300 bp) — Monthly 594
CMBX NA BBB-.8 Index (28,028) 202,000 34,885 10/17/57 (300 bp) — Monthly 6,757
CMBX NA BBB-.8 Index (31,297) 198,000 34,195 10/17/57 (300 bp) — Monthly 2,799
CMBX NA BBB-.8 Index (31,421) 198,000 34,195 10/17/57 (300 bp) — Monthly 2,675
CMBX NA BBB-.8 Index (23,031) 173,000 29,877 10/17/57 (300 bp) — Monthly 6,760
CMBX NA BBB-.8 Index (21,875) 140,000 24,178 10/17/57 (300 bp) — Monthly 2,233
CMBX NA BBB-.8 Index (14,014) 101,000 17,443 10/17/57 (300 bp) — Monthly 3,378
CMBX NA BBB-.8 Index (12,452) 87,000 15,025 10/17/57 (300 bp) — Monthly 2,530
CMBX NA BBB-.8 Index (9,703) 62,000 10,707 10/17/57 (300 bp) — Monthly 973
CMBX NA BBB-.9 Index (4,495) 19,000 3,257 9/17/58 (300 bp) — Monthly (1,248)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 94,337 11/17/59 (500 bp) — Monthly 55,402
CMBX NA BB.10 Index (34,367) 289,000 94,012 11/17/59 (500 bp) — Monthly 59,404
CMBX NA BB.10 Index (18,893) 152,000 49,446 11/17/59 (500 bp) — Monthly 30,425
CMBX NA BB.7 Index (61,796) 335,000 105,693 1/17/47 (500 bp) — Monthly 43,617
CMBX NA BB.7 Index (4,770) 29,000 9,150 1/17/47 (500 bp) — Monthly 4,355
Goldman Sachs International
CMBX NA A.6 Index (13,345) 108,800 10,706 5/11/63 (200 bp) — Monthly (2,678)
CMBX NA A.6 Index (7,995) 65,600 6,455 5/11/63 (200 bp) — Monthly (1,563)
CMBX NA A.6 Index (7,359) 60,000 5,904 5/11/63 (200 bp) — Monthly (1,477)
CMBX NA A.6 Index (4,240) 51,200 5,038 5/11/63 (200 bp) — Monthly 780
CMBX NA A.6 Index (5,333) 42,400 4,172 5/11/63 (200 bp) — Monthly (1,176)
CMBX NA A.6 Index (4,747) 39,200 3,857 5/11/63 (200 bp) — Monthly (903)
CMBX NA A.6 Index (4,263) 35,200 3,464 5/11/63 (200 bp) — Monthly (811)
CMBX NA A.6 Index (4,263) 35,200 3,464 5/11/63 (200 bp) — Monthly (811)
CMBX NA A.6 Index (4,246) 34,400 3,385 5/11/63 (200 bp) — Monthly (873)
CMBX NA A.6 Index (4,246) 34,400 3,385 5/11/63 (200 bp) — Monthly (873)
CMBX NA A.6 Index (3,758) 29,600 2,913 5/11/63 (200 bp) — Monthly (856)
CMBX NA A.6 Index (2,934) 24,000 2,362 5/11/63 (200 bp) — Monthly (581)
CMBX NA A.6 Index (2,934) 24,000 2,362 5/11/63 (200 bp) — Monthly (581)
CMBX NA A.6 Index (1,789) 14,400 1,417 5/11/63 (200 bp) — Monthly (377)
CMBX NA A.6 Index (174) 1,600 157 5/11/63 (200 bp) — Monthly (17)
CMBX NA A.6 Index (163) 1,600 157 5/11/63 (200 bp) — Monthly (6)
CMBX NA A.6 Index (79) 800 79 5/11/63 (200 bp) — Monthly —
CMBX NA A.6 Index (96) 800 79 5/11/63 (200 bp) — Monthly (18)
CMBX NA A.6 Index (86) 800 79 5/11/63 (200 bp) — Monthly (8)
CMBX NA BB.6 Index (1,023) 9,198 3,573 5/11/63 (500 bp) — Monthly 2,543
CMBX NA BB.7 Index (26,215) 160,000 50,480 1/17/47 (500 bp) — Monthly 24,132
CMBX NA BB.7 Index (18,621) 102,000 32,181 1/17/47 (500 bp) — Monthly 13,475
CMBX NA BB.7 Index (19,493) 96,000 30,288 1/17/47 (500 bp) — Monthly 10,715
CMBX NA BB.7 Index (10,442) 69,000 21,770 1/17/47 (500 bp) — Monthly 11,270
CMBX NA BB.8 Index (69,403) 191,330 71,041 10/17/57 (500 bp) — Monthly 1,478
CMBX NA BB.8 Index (69,523) 191,330 71,041 10/17/57 (500 bp) — Monthly 1,359
CMBX NA BB.8 Index (65,945) 172,970 64,224 10/17/57 (500 bp) — Monthly (1,865)
CMBX NA BB.8 Index (51,833) 139,149 51,666 10/17/57 (500 bp) — Monthly (283)
CMBX NA BB.8 Index (46,277) 131,419 48,796 10/17/57 (500 bp) — Monthly 2,410
CMBX NA BB.8 Index (2,606) 22,225 8,252 10/17/57 (500 bp) — Monthly 5,628
CMBX NA BBB-.10 Index (10,061) 46,000 8,018 11/17/59 (300 bp) — Monthly (2,066)
CMBX NA BBB-.12 Index (8,968) 46,000 8,280 8/17/61 (300 bp) — Monthly (711)
CMBX NA BBB-.12 Index (5,404) 16,000 2,880 8/17/61 (300 bp) — Monthly (2,532)
CMBX NA BBB-.13 Index (9,245) 122,000 24,327 12/16/72 (300 bp) — Monthly 15,021
CMBX NA BBB-.6 Index (60,768) 200,295 44,564 5/11/63 (300 bp) — Monthly (16,304)
JPMorgan Securities LLC
CMBX NA A.6 Index (11,019) 112,800 11,100 5/11/63 (200 bp) — Monthly 41
CMBX NA BB.17 Index (320,235) 654,000 206,337 1/17/47 (500 bp) — Monthly (114,443)
CMBX NA BB.8 Index (52,536) 102,429 38,032 10/17/57 (500 bp) — Monthly (14,590)
CMBX NA BBB-.10 Index (28,119) 223,000 38,869 11/17/59 (300 bp) — Monthly 10,639
CMBX NA BBB-.11 Index (7,049) 64,000 10,310 11/18/54 (300 bp) — Monthly 3,229
CMBX NA BBB-.14 Index (4,389) 72,000 15,019 12/16/72 (300 bp) — Monthly 10,595
CMBX NA BBB-.14 Index (2,535) 15,000 3,129 12/16/72 (300 bp) — Monthly 586
CMBX NA BBB-.7 Index (214,338) 913,000 170,640 1/17/47 (300 bp) — Monthly (44,155)
CMBX NA BBB-.8 Index (19,286) 139,000 24,005 10/17/57 (300 bp) — Monthly 4,650
Merrill Lynch International
CMBX NA BB.10 Index (15,875) 279,000 90,759 11/17/59 (500 bp) — Monthly 74,651
CMBX NA BBB-.10 Index (20,367) 94,000 16,384 11/17/59 (300 bp) — Monthly (4,030)
CMBX NA BBB-.7 Index (32,451) 396,000 74,012 1/17/47 (300 bp) — Monthly 41,363
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 32,708 1/17/47 (300 bp) — Monthly 14,789
CMBX NA A.6 Index (7,508) 61,600 6,061 5/11/63 (200 bp) — Monthly (1,468)
CMBX NA A.6 Index (1,458) 12,000 1,181 5/11/63 (200 bp) — Monthly (281)
CMBX NA A.6 Index (388) 3,200 315 5/11/63 (200 bp) — Monthly (74)
CMBX NA A.6 Index (195) 1,600 157 5/11/63 (200 bp) — Monthly (38)
CMBX NA A.6 Index (193) 1,600 157 5/11/63 (200 bp) — Monthly (36)
CMBX NA A.6 Index (86) 800 79 5/11/63 (200 bp) — Monthly (7)
CMBX NA A.6 Index (91) 800 79 5/11/63 (200 bp) — Monthly (12)
CMBX NA A.6 Index (96) 800 79 5/11/63 (200 bp) — Monthly (17)
CMBX NA BB.10 Index (33,114) 141,000 45,867 11/17/59 (500 bp) — Monthly 12,636
CMBX NA BB.10 Index (14,683) 140,000 45,542 11/17/59 (500 bp) — Monthly 30,743
CMBX NA BB.10 Index (40,703) 134,000 43,590 11/17/59 (500 bp) — Monthly 2,776
CMBX NA BB.7 Index (23,127) 115,000 36,283 1/17/47 (500 bp) — Monthly 13,060
CMBX NA BB.7 Index (17,547) 91,000 28,711 1/17/47 (500 bp) — Monthly 11,087
CMBX NA BB.7 Index (11,040) 59,000 18,615 1/17/47 (500 bp) — Monthly 7,525
CMBX NA BB.7 Index (6,055) 30,000 9,465 1/17/47 (500 bp) — Monthly 3,385
CMBX NA BB.8 Index (32,587) 90,833 33,726 10/17/57 (500 bp) — Monthly 1,064
CMBX NA BB.8 Index (13,755) 37,686 13,993 10/17/57 (500 bp) — Monthly 206
CMBX NA BB.8 Index (8,778) 24,158 8,970 10/17/57 (500 bp) — Monthly 172
CMBX NA BB.8 Index (7,760) 21,259 7,893 10/17/57 (500 bp) — Monthly 116
CMBX NA BB.9 Index (3,952) 65,000 19,026 9/17/58 (500 bp) — Monthly 15,020
CMBX NA BB.9 Index (7,997) 53,000 15,513 9/17/58 (500 bp) — Monthly 7,472
CMBX NA BB.9 Index (4,238) 31,000 9,074 9/17/58 (500 bp) — Monthly 4,809
CMBX NA BB.9 Index (743) 19,000 5,561 9/17/58 (500 bp) — Monthly 4,803
CMBX NA BB.9 Index (1,968) 13,000 3,805 9/17/58 (500 bp) — Monthly 1,827
CMBX NA BB.9 Index (246) 4,000 1,171 9/17/58 (500 bp) — Monthly 921
CMBX NA BBB-.10 Index (51,248) 304,000 52,987 11/17/59 (300 bp) — Monthly 1,587
CMBX NA BBB-.10 Index (19,485) 225,000 39,218 11/17/59 (300 bp) — Monthly 19,620
CMBX NA BBB-.10 Index (19,495) 158,000 27,539 11/17/59 (300 bp) — Monthly 7,966
CMBX NA BBB-.10 Index (17,456) 136,000 23,705 11/17/59 (300 bp) — Monthly 6,181
CMBX NA BBB-.10 Index (27,435) 116,000 20,219 11/17/59 (300 bp) — Monthly (7,275)
CMBX NA BBB-.10 Index (24,867) 102,000 17,779 11/17/59 (300 bp) — Monthly (7,139)
CMBX NA BBB-.10 Index (10,907) 86,000 14,990 11/17/59 (300 bp) — Monthly 4,040
CMBX NA BBB-.10 Index (8,751) 69,000 12,027 11/17/59 (300 bp) — Monthly 3,241
CMBX NA BBB-.10 Index (7,908) 66,000 11,504 11/17/59 (300 bp) — Monthly 3,563
CMBX NA BBB-.10 Index (13,546) 59,000 10,284 11/17/59 (300 bp) — Monthly (3,292)
CMBX NA BBB-.10 Index (12,006) 55,000 9,587 11/17/59 (300 bp) — Monthly (2,447)
CMBX NA BBB-.10 Index (4,987) 23,000 4,009 11/17/59 (300 bp) — Monthly (990)
CMBX NA BBB-.10 Index (4,325) 20,000 3,486 11/17/59 (300 bp) — Monthly (849)
CMBX NA BBB-.11 Index (4,681) 15,000 2,417 11/18/54 (300 bp) — Monthly (2,272)
CMBX NA BBB-.12 Index (277) 5,000 900 8/17/61 (300 bp) — Monthly 621
CMBX NA BBB-.13 Index (8,074) 131,000 26,121 12/16/72 (300 bp) — Monthly 17,982
CMBX NA BBB-.14 Index (19,719) 123,000 25,658 12/16/72 (300 bp) — Monthly 5,878
CMBX NA BBB-.14 Index (6,330) 40,000 8,344 12/16/72 (300 bp) — Monthly 1,994
CMBX NA BBB-.7 Index (14,539) 229,000 42,800 1/17/47 (300 bp) — Monthly 28,146
CMBX NA BBB-.8 Index (22,003) 173,000 29,877 10/17/57 (300 bp) — Monthly 7,787
CMBX NA BBB-.8 Index (19,123) 141,000 24,351 10/17/57 (300 bp) — Monthly 5,157
CMBX NA BBB-.8 Index (19,211) 141,000 24,351 10/17/57 (300 bp) — Monthly 5,069
CMBX NA BBB-.8 Index (16,621) 131,000 22,624 10/17/57 (300 bp) — Monthly 5,938
CMBX NA BBB-.8 Index (15,426) 99,000 17,097 10/17/57 (300 bp) — Monthly 1,616
CMBX NA BBB-.8 Index (8,987) 58,000 10,017 10/17/57 (300 bp) — Monthly 1,001
CMBX NA BBB-.8 Index (8,468) 54,000 9,326 10/17/57 (300 bp) — Monthly 831
Upfront premium received — Unrealized appreciation 918,260
Upfront premium (paid) (2,944,839) Unrealized (depreciation) (366,578)
Total $(2,944,839) Total $551,682
* 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
LIBOR London Interbank Offered Rate
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.
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2021 through June 30, 2022 (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 $184,418,079.
(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
6/30/22
Short-term investments
Putnam Short Term Investment Fund* $11,362,599 $67,884,139 $61,028,834 $31,376 $16,772,142
Total Short-term investments $11,362,599 $67,884,139 $61,028,834 $31,376 $16,772,142
* 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 $387,776.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $11,514,446.
(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 $116,906.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,437,223.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $127,383,693 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 $10,653,449 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $11,514,446 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*:
Energy $45,984 $— $—
Utilities and power — 12,275 —
Total common stocks 45,984 12,275 —
Asset-backed securities — 995,589 —
Convertible bonds and notes — 7,041,829 —
Corporate bonds and notes — 38,693,501 —
Foreign government and agency bonds and notes — 16,719,001 —
Mortgage-backed securities — 89,460,144 —
Purchased options outstanding — 542,275 —
Purchased swap options outstanding — 3,881,078 —
Senior loans — 5,123,989 —
U.S. government and agency mortgage obligations — 152,537,751 —
U.S. treasury obligations — 962,999 —
Warrants — — 1
Short-term investments 1,382,000 33,978,031 —
Totals by level $1,427,984 $349,948,462 $1
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $564,663 $—
Futures contracts (244,494) — —
Written options outstanding — (258,750) —
Written swap options outstanding — (8,994,333) —
Forward premium swap option contracts — 1,177,062 —
TBA sale commitments — (114,715,216) —
Interest rate swap contracts — 429,783 —
Total return swap contracts — (81,097) —
Credit default contracts — (5,481,797) —
Totals by level $(244,494) $(127,359,685) $—
* 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 TBA commitment option contracts (contract amount) $22,500,000
Purchased currency option contracts (contract amount) $5,200,000
Purchased swap option contracts (contract amount) $833,800,000
Written TBA commitment option contracts (contract amount) $22,500,000
Written currency option contracts (contract amount) $5,200,000
Written swap option contracts (contract amount) $837,500,000
Futures contracts (number of contracts) 500
Forward currency contracts (contract amount) $176,900,000
Centrally cleared interest rate swap contracts (notional) $608,400,000
OTC total return swap contracts (notional) $2,100,000
Centrally cleared total return swap contracts (notional) $18,300,000
OTC credit default contracts (notional) $68,200,000
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