0000928816-18-000426.txt : 20180227 0000928816-18-000426.hdr.sgml : 20180227 20180227113311 ACCESSION NUMBER: 0000928816-18-000426 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20171231 FILED AS OF DATE: 20180227 DATE AS OF CHANGE: 20180227 EFFECTIVENESS DATE: 20180227 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM MASTER INTERMEDIATE INCOME TRUST CENTRAL INDEX KEY: 0000830622 IRS NUMBER: 046584465 FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-05498 FILM NUMBER: 18643637 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921562 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQ CITY: BOSTON STATE: MA ZIP: 02109 N-Q 1 a_masterintinc.htm PUTNAM MASTER INTERMEDIATE INCOME TRUST a_masterintinc.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2018
Date of reporting period: December 31, 2017



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
12/31/17 (Unaudited)
MORTGAGE-BACKED SECURITIES (45.1%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.8%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK (-4.024 x 1 Month US LIBOR) + 25.79%, 19.85%, 4/15/37 $44,810 $66,368
IFB Ser. 3072, Class SM (-3.667 x 1 Month US LIBOR) + 23.80%, 18.381%, 11/15/35 76,461 107,029
IFB Ser. 3249, Class PS (-3.3 x 1 Month US LIBOR) + 22.28%, 17.401%, 12/15/36 45,089 61,060
IFB Ser. 3852, Class SC, IO (-1 x 1 Month US LIBOR) + 6.65%, 5.173%, 4/15/40 2,728,251 360,628
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 2,757,063 552,515
IFB Ser. 4678, Class MS, IO (-1 x 1 Month US LIBOR) + 6.10%, 4.623%, 4/15/47 1,191,335 251,705
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,224,898 232,307
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 664,734 117,934
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 2,543,347 410,115
Ser. 4425, IO, 4.00%, 1/15/45 3,492,860 537,766
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,291,483 494,672
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,727,865 262,152
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 2,890,099 244,437
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 6,352,055 964,941
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 3,647,353 547,103
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 3,189,242 435,619
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 1,075,566 110,662
Ser. 304, Class C37, IO, 3.50%, 12/15/27 1,170,157 105,201
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 4,524,276 441,764
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,961,205 175,920
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 1,214,461 79,758
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 3,676,567 307,666
FRB Ser. 57, Class 1AX, IO, 0.364%, 7/25/43(WAC) 1,551,789 16,449
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 1,123 829
Federal National Mortgage Association
IFB Ser. 06-62, Class PS (-6 x 1 Month US LIBOR) + 39.90%, 30.587%, 7/25/36 68,509 119,638
IFB Ser. 07-53, Class SP (-3.667 x 1 Month US LIBOR) + 24.20%, 18.509%, 6/25/37 65,435 93,074
IFB Ser. 08-24, Class SP (-3.667 x 1 Month US LIBOR) + 23.28%, 17.592%, 2/25/38 57,536 75,845
IFB Ser. 05-75, Class GS (-3 x 1 Month US LIBOR) + 20.25%, 15.594%, 8/25/35 45,897 57,798
IFB Ser. 05-83, Class QP (-2.6 x 1 Month US LIBOR) + 17.39%, 13.358%, 11/25/34 74,783 88,521
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 3,024,599 718,506
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 2,760,551 595,534
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 2,357,448 189,633
Ser. 374, Class 6, IO, 5.50%, 8/25/36 109,097 21,061
Ser. 378, Class 19, IO, 5.00%, 6/25/35 327,323 64,222
IFB Ser. 12-36, Class SN, IO (-1 x 1 Month US LIBOR) + 6.45%, 4.898%, 4/25/42 1,364,849 233,129
IFB Ser. 10-35, Class SG, IO (-1 x 1 Month US LIBOR) + 6.40%, 4.848%, 4/25/40 935,716 175,447
IFB Ser. 13-18, Class SB, IO (-1 x 1 Month US LIBOR) + 6.15%, 4.598%, 10/25/41 1,047,867 107,997
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 488,385 114,387
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 3,077,891 374,271
Ser. 366, Class 22, IO, 4.50%, 10/25/35 39,615 1,378
Ser. 13-107, Class SB, IO (-1 x 1 Month US LIBOR) + 5.95%, 4.398%, 2/25/43 2,293,562 447,245
IFB Ser. 11-101, Class SA, IO (-1 x 1 Month US LIBOR) + 5.90%, 4.348%, 10/25/41 3,288,245 452,134
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,910,388 310,438
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 1,930,112 266,336
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 2,073,438 339,116
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,364,673 204,865
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 1,070,884 157,106
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 1,080,270 175,220
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 2,871,913 428,320
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 1,771,684 121,327
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,727,009 130,249
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,554,115 149,938
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 1,480,069 88,863
Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 4,094,487 412,732
Ser. 99-51, Class N, PO, zero %, 9/17/29 8,831 8,058
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 1,173,634 247,566
Ser. 16-42, IO, 5.00%, 2/20/46 3,221,915 638,874
Ser. 16-168, Class AI, IO, 5.00%, 7/20/45 1,573,633 151,462
Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 916,336 186,667
Ser. 14-76, IO, 5.00%, 5/20/44 1,275,767 264,920
Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 2,963,500 275,677
Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 1,983,309 423,635
Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 1,775,629 340,921
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 934,770 199,293
Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 806,525 174,097
Ser. 12-146, IO, 5.00%, 12/20/42 811,320 171,927
Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 584,466 110,137
Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 336,492 19,444
Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 98,509 7,731
Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 233,843 16,228
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 278,197 59,785
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 870,896 182,305
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 3,894,550 837,328
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 2,008,663 427,082
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 705,646 149,358
IFB Ser. 13-129, Class SN, IO (-1 x 1 Month US LIBOR) + 6.15%, 4.649%, 9/20/43 677,396 107,327
IFB Ser. 14-20, Class SQ, IO (-1 x 1 Month US LIBOR) + 6.10%, 4.599%, 7/20/43 2,615,381 364,990
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,516,194 297,553
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 4,306,004 612,271
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,138,695 250,912
Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 1,710,190 254,733
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,822,058 362,134
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 2,499,251 403,579
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,724,991 330,988
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 442,540 66,952
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,568,242 313,882
Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 67,556 5,797
Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 96,811 12,397
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,677,483 329,424
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 2,935,724 593,897
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,554,457 302,186
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,735,534 335,774
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,080,356 210,345
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 842,406 192,009
Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 314,522 27,656
Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 901,628 63,150
IFB Ser. 14-119, Class SA, IO (-1 x 1 Month US LIBOR) + 5.60%, 4.099%, 8/20/44 3,199,288 487,891
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 2,162,343 281,105
Ser. 16-29, IO, 4.00%, 2/16/46 1,492,478 279,840
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 4,608,656 816,976
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,236,526 486,221
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 2,896,495 492,616
Ser. 15-40, IO, 4.00%, 3/20/45 2,421,954 494,321
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 2,885,571 484,805
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 4,979,469 778,042
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 918,220 161,745
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 4,066,426 524,894
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 833,368 143,739
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 713,104 128,575
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 2,448,307 473,747
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,775,687 310,487
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 1,487,377 186,562
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,924,858 338,005
Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 2,522,141 368,863
Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 2,328,671 315,814
Ser. 13-76, IO, 3.50%, 5/20/43 2,963,799 453,372
Ser. 13-28, IO, 3.50%, 2/20/43 922,788 135,258
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,409,087 220,550
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,989,237 299,002
Ser. 13-14, IO, 3.50%, 12/20/42 4,929,434 680,853
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,439,070 214,349
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,942,103 392,249
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,344,772 475,804
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,202,960 255,820
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 3,466,304 435,888
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 3,815,736 488,414
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 2,171,493 209,616
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 2,058,083 237,709
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 6,149,623 630,311
Ser. 16-H22, Class AI, IO, 2.48%, 10/20/66(WAC) 4,853,090 590,480
Ser. 16-H23, Class NI, IO, 2.449%, 10/20/66(WAC) 11,990,087 1,556,313
Ser. 17-H02, Class BI, IO, 2.363%, 1/20/67(WAC) 3,032,373 416,951
Ser. 17-H06, Class BI, IO, 2.331%, 2/20/67(WAC) 4,941,663 664,654
Ser. 16-H18, Class QI, IO, 2.329%, 6/20/66(WAC) 3,367,087 425,337
Ser. 17-H16, Class FI, IO, 2.323%, 8/20/67(WAC) 3,662,329 466,947
Ser. 16-H17, Class KI, IO, 2.272%, 7/20/66(WAC) 3,279,267 389,413
Ser. 17-H16, Class JI, IO, 2.263%, 8/20/67(WAC) 9,218,335 1,359,704
Ser. 15-H15, Class BI, IO, 2.249%, 6/20/65(WAC) 2,909,997 317,225
Ser. 16-H16, Class EI, IO, 2.236%, 6/20/66(WAC) 4,766,298 591,498
Ser. 17-H08, Class NI, IO, 2.23%, 3/20/67(WAC) 6,470,965 837,343
Ser. 15-H20, Class CI, IO, 2.203%, 8/20/65(WAC) 4,819,744 546,646
Ser. 15-H24, Class AI, IO, 2.106%, 9/20/65(WAC) 4,289,067 431,416
Ser. 15-H10, Class BI, IO, 2.104%, 4/20/65(WAC) 3,023,987 309,535
Ser. 17-H12, Class QI, IO, 2.065%, 5/20/67(WAC) 4,330,431 547,808
Ser. 16-H09, Class BI, IO, 2.034%, 4/20/66(WAC) 5,714,936 627,226
Ser. 16-H03, Class DI, IO, 2.016%, 12/20/65(WAC) 4,646,602 458,852
Ser. 17-H19, Class MI, IO, 2.015%, 4/20/67(WAC) 2,353,494 285,243
Ser. 16-H06, Class DI, IO, 1.939%, 7/20/65 6,179,195 542,255
Ser. 16-H03, Class AI, IO, 1.937%, 1/20/66(WAC) 4,239,710 423,971
Ser. 17-H11, Class DI, IO, 1.866%, 5/20/67(WAC) 4,259,704 473,892
Ser. 15-H25, Class EI, IO, 1.842%, 10/20/65(WAC) 3,816,031 368,247
Ser. 15-H20, Class AI, IO, 1.82%, 8/20/65(WAC) 4,144,728 409,085
FRB Ser. 15-H08, Class CI, IO, 1.792%, 3/20/65(WAC) 2,488,663 239,708
Ser. 17-H09, IO, 1.778%, 4/20/67(WAC) 5,858,722 647,225
Ser. 16-H02, Class HI, IO, 1.729%, 1/20/66(WAC) 5,718,283 527,226
Ser. 15-H23, Class BI, IO, 1.729%, 9/20/65(WAC) 4,585,934 420,530
Ser. 16-H10, Class AI, IO, 1.725%, 4/20/66(WAC) 10,900,081 838,685
Ser. 17-H16, Class IH, IO, 1.702%, 7/20/67(WAC) 6,453,005 662,098
Ser. 16-H24, Class CI, IO, 1.696%, 10/20/66(WAC) 3,171,311 292,772
Ser. 17-H16, Class IG, IO, 1.683%, 7/20/67(WAC) 8,671,790 867,179
Ser. 13-H08, Class CI, IO, 1.678%, 2/20/63(WAC) 4,752,347 302,725
Ser. 16-H14, IO, 1.675%, 6/20/66(WAC) 4,675,282 375,626
Ser. 16-H06, Class CI, IO, 1.666%, 2/20/66(WAC) 5,815,327 420,599
Ser. 14-H21, Class BI, IO, 1.545%, 10/20/64(WAC) 6,566,099 495,084
Ser. 15-H26, Class CI, IO, 0.617%, 8/20/65(WAC) 12,994,630 207,914
Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,291 1,919
55,952,155
Commercial mortgage-backed securities (11.6%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.047%, 2/10/51(WAC) 18,054,402 9
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.535%, 1/12/45(WAC) 1,039,000 935,100
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 436,974
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 518,196 518,818
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.279%, 3/11/39(WAC) 510,461 399,037
FRB Ser. 06-PW14, Class XW, IO, 0.335%, 12/11/38(WAC) 824,326 4,122
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 2,552,768 100
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.754%, 12/15/47(WAC) 409,000 401,338
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 920,018
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class E, 4.42%, 4/10/46(WAC) 396,000 302,485
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.839%, 5/15/46(WAC) 701,895 715,620
COMM Mortgage Pass-Through Certificates 144A FRB Ser. 12-CR3, Class E, 4.755%, 10/15/45(WAC) 350,000 297,717
COMM Mortgage Trust 144A
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 312,975
Ser. 13-LC13, Class E, 3.719%, 8/10/46(WAC) 574,000 389,542
Ser. 14-CR18, Class E, 3.60%, 7/15/47 592,000 379,707
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.666%, 12/15/39(WAC) 2,362,332 27,167
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 6.073%, 9/15/39(WAC) 306,401 309,848
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 631,001 637,311
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.798%, 4/15/50(WAC) 1,090,000 955,414
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.413%, 6/10/48(WAC) 2,072,313 2,101,139
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 40,269 40,858
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 0.907%, 12/10/41(WAC) 3,701,359 50,225
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.372%, 7/10/39(WAC) 414,512 1,119
GS Mortgage Securities Trust 144A
FRB Ser. 13-GC16, Class E, 5.327%, 11/10/46(WAC) 662,000 533,215
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 577,000 534,850
FRB Ser. 14-GC18, Class D, 4.944%, 1/10/47(WAC) 417,000 359,037
FRB Ser. 13-GC10, Class E, 4.412%, 2/10/46(WAC) 583,000 458,215
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.814%, 2/15/47(WAC) 990,000 884,667
FRB Ser. 14-C19, Class D, 4.661%, 4/15/47(WAC) 470,000 420,822
FRB Ser. C14, Class D, 4.569%, 8/15/46(WAC) 526,000 466,006
FRB Ser. 14-C18, Class E, 4.314%, 2/15/47(WAC) 407,000 294,491
FRB Ser. 14-C25, Class D, 3.946%, 11/15/47(WAC) 595,000 471,108
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 1,031,719
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 485,358
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class B, 6.277%, 2/12/51(WAC) 46,373 46,373
FRB Ser. 07-CB20, Class C, 6.277%, 2/12/51(WAC) 185,000 189,163
FRB Ser. 07-CB20, Class E, 6.277%, 2/12/51(WAC) 398,000 398,995
FRB Ser. 11-C3, Class F, 5.631%, 2/15/46(WAC) 410,000 408,323
FRB Ser. 12-C6, Class E, 5.136%, 5/15/45(WAC) 363,000 324,604
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 541,000 385,648
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 3,677,988 37
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 69,204 69,598
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON)(WAC) 1,219,000 109,466
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.485%, 9/15/39(WAC) 2,518,212 16,324
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.113%, 4/20/48(WAC) 443,000 391,904
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.448%, 2/12/51(WAC) 184,000 184,644
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.448%, 2/12/51(WAC) 304,000 305,034
Mezz Cap Commercial Mortgage Trust 144A
FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37(WAC) 17,717 89
FRB Ser. 07-C5, Class X, IO, 5.865%, 12/15/49(WAC) 412,485 20,006
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 14-C15, Class D, 4.891%, 4/15/47(WAC) 1,334,000 1,222,561
Ser. 14-C17, Class D, 4.697%, 8/15/47(WAC) 1,323,000 1,124,603
FRB Ser. 13-C11, Class F, 4.369%, 8/15/46(WAC) 496,000 381,920
FRB Ser. 13-C10, Class D, 4.082%, 7/15/46(WAC) 654,000 594,552
FRB Ser. 13-C10, Class E, 4.082%, 7/15/46(WAC) 1,064,000 860,243
Ser. 14-C17, Class E, 3.50%, 8/15/47 723,000 470,363
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 1,102,000 110,200
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 700,000 664,930
Morgan Stanley Capital I Trust 144A
FRB Ser. 08-T29, Class D, 6.313%, 1/11/43(WAC) 600,000 602,100
FRB Ser. 08-T29, Class F, 6.313%, 1/11/43(WAC) 369,000 356,085
FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39(WAC) 368,744 365,750
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18 (Cayman Islands)(WAC) 193,000 2,818
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 551,286 30,677
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.894%, 5/10/63(WAC) 622,000 414,367
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 06-C26, Class AJ, 6.027%, 6/15/45(WAC) 750,817 678,363
FRB Ser. 07-C34, IO, 0.149%, 5/15/46(WAC) 2,991,558 2,094
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.291%, 7/15/46(WAC) 188,000 157,956
Ser. 14-LC16, Class D, 3.938%, 8/15/50 1,096,000 907,807
WF-RBS Commercial Mortgage Trust 144A
Ser. 12-C6, Class E, 5.00%, 4/15/45(WAC) 328,000 292,361
FRB Ser. 14-C19, Class E, 4.971%, 3/15/47(WAC) 946,000 697,964
Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,881,874
Ser. 13-C12, Class E, 3.50%, 3/15/48 510,000 376,989
31,122,916
Residential mortgage-backed securities (non-agency) (12.7%)
BCAP, LLC Trust 144A
FRB Ser. 11-RR3, Class 3A6, 3.266%, 11/27/36(WAC) 1,182,475 981,454
FRB Ser. 12-RR5, Class 4A8, 1 Month US LIBOR + 0.17%, 1.498%, 6/26/35 91,180 89,778
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 1 Month US LIBOR + 2.93%, 4.477%, 4/25/34 266,860 270,942
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, 1 Month US LIBOR + 0.18%, 1.509%, 11/25/47 286,723 229,144
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, 1 Month US LIBOR + 0.35%, 1.902%, 3/25/37 1,299,305 1,090,622
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A1, 1 Month US LIBOR + 1.50%, 2.563%, 9/25/35 393,183 391,724
FRB Ser. 06-OA7, Class 1A1, 2.498%, 6/25/46(WAC) 474,233 423,206
FRB Ser. 06-OA10, Class 1A1, 1 Month US LIBOR + 0.96%, 2.023%, 8/25/46 245,187 212,661
FRB Ser. 06-OA7, Class 1A2, 1 Month US LIBOR + 0.94%, 2.003%, 6/25/46 664,705 584,110
FRB Ser. 05-38, Class A3, 1 Month US LIBOR + 0.35%, 1.902%, 9/25/35 930,189 882,381
FRB Ser. 06-45T1, Class 2A7, 1 Month US LIBOR + 0.34%, 1.892%, 2/25/37 507,812 293,730
FRB Ser. 05-59, Class 1A1, 1 Month US LIBOR + 0.33%, 1.831%, 11/20/35 511,352 490,245
FRB Ser. 06-OA10, Class 3A1, 1 Month US LIBOR + 0.19%, 1.742%, 8/25/46 584,699 488,224
FRB Ser. 06-OA10, Class 4A1, 1 Month US LIBOR + 0.19%, 1.742%, 8/25/46 3,457,830 2,836,803
FRB Ser. 07-OA8, Class 2A1, 1 Month US LIBOR + 0.18%, 1.732%, 6/25/47 668,980 533,460
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 3.686%, 9/28/36(WAC) 2,000,000 1,954,476
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, 1 Month US LIBOR + 10.50%, 12.052%, 5/25/28 267,594 368,946
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 1 Month US LIBOR + 10.00%, 11.552%, 7/25/28 899,216 1,224,916
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 1 Month US LIBOR + 9.35%, 10.902%, 4/25/28 663,179 875,350
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, 1 Month US LIBOR + 7.55%, 9.102%, 12/25/27 440,039 537,719
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, 1 Month US LIBOR + 5.15%, 6.702%, 11/25/28 490,000 574,489
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, 1 Month US LIBOR + 4.25%, 5.802%, 11/25/23 570,000 632,702
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, 1 Month US LIBOR + 3.85%, 5.402%, 3/25/29 250,000 277,049
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 1 Month US LIBOR + 12.25%, 13.802%, 9/25/28 1,029,629 1,508,622
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 1 Month US LIBOR + 11.75%, 13.302%, 10/25/28 570,000 818,909
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 1 Month US LIBOR + 11.75%, 13.302%, 8/25/28 799,783 1,143,766
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, 1 Month US LIBOR + 10.75%, 12.302%, 1/25/29 119,957 166,548
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, 1 Month US LIBOR + 10.25%, 11.802%, 1/25/29 1,019,849 1,402,820
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 1 Month US LIBOR + 5.90%, 7.452%, 10/25/28 1,690,000 1,955,703
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 1 Month US LIBOR + 5.70%, 7.252%, 4/25/28 1,652,411 1,895,138
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 1 Month US LIBOR + 5.55%, 7.102%, 4/25/28 93,440 104,831
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, 1 Month US LIBOR + 5.50%, 7.052%, 9/25/29 335,000 368,482
Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, 1 Month US LIBOR + 5.25%, 6.802%, 10/25/23 350,000 404,650
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 1 Month US LIBOR + 5.00%, 6.552%, 7/25/25 1,010,762 1,139,507
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 1 Month US LIBOR + 5.00%, 6.552%, 7/25/25 640,978 703,877
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, 1 Month US LIBOR + 4.85%, 6.402%, 10/25/29 1,140,000 1,233,032
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 1 Month US LIBOR + 4.55%, 6.102%, 2/25/25 229,982 245,949
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 1 Month US LIBOR + 4.25%, 5.802%, 4/25/29 100,000 113,139
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, 1 Month US LIBOR + 4.25%, 5.802%, 1/25/29 520,000 583,847
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 1 Month US LIBOR + 4.00%, 5.552%, 5/25/25 50,894 55,156
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 1 Month US LIBOR + 4.00%, 5.552%, 5/25/25 117,910 125,255
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, 1 Month US LIBOR + 3.65%, 5.202%, 9/25/29 70,000 75,454
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, 1 Month US LIBOR + 3.60%, 5.152%, 1/25/30 200,000 197,418
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, 1 Month US LIBOR + 2.60%, 4.152%, 5/25/24 20,000 21,214
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 1 Month US LIBOR + 0.18%, 1.732%, 5/25/36 669,285 354,855
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, 1 Month US LIBOR + 0.31%, 1.639%, 5/25/37 437,896 335,955
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, 1 Month US LIBOR + 0.20%, 1.752%, 6/25/37 687,974 423,104
MortgageIT Trust FRB Ser. 05-3, Class M2, 1 Month US LIBOR + 0.80%, 2.347%, 8/25/35 178,009 156,768
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, 1 Month US LIBOR + 0.12%, 1.672%, 8/25/36 441,130 402,945
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 3.296%, 9/25/35(WAC) 609,695 611,491
FRB Ser. 05-AR13, Class A1C3, 1 Month US LIBOR + 0.49%, 2.042%, 10/25/45 1,045,093 1,031,805
FRB Ser. 05-AR19, Class A1C4, 1 Month US LIBOR + 0.40%, 1.952%, 12/25/45 354,879 347,888
34,172,259
Total mortgage-backed securities (cost $121,428,510) $121,247,330

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (44.2%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.7%)
Government National Mortgage Association Pass-Through Certificates
4.50%, TBA, 1/1/48 $8,000,000 $8,393,750
4.00%, TBA, 1/1/48 4,000,000 4,170,625
12,564,375
U.S. Government Agency Mortgage Obligations (39.5%)
Federal National Mortgage Association Pass-Through Certificates
5.50%, TBA, 1/1/48 3,000,000 3,289,688
4.00%, TBA, 2/1/48 7,000,000 7,311,718
4.00%, TBA, 1/1/48 7,000,000 7,321,563
3.50%, TBA, 2/1/48 40,000,000 41,018,752
3.50%, TBA, 1/1/48 44,000,000 45,192,814
3.00%, TBA, 1/1/48 2,000,000 2,000,469
106,135,004
Total U.S. government and agency mortgage obligations (cost $118,490,939) $118,699,379

CORPORATE BONDS AND NOTES (33.6%)(a)
Principal amount Value
Basic materials (4.0%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $75,000 $78,000
AK Steel Corp. company guaranty sr. unsec. notes 6.375%, 10/15/25 75,000 74,250
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 24,000 25,935
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 40,000 40,800
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 200,000 205,250
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 86,000 98,685
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 315,000
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 170,000 170,638
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 228,000 242,535
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 205,000 216,788
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 93,000 109,740
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 278,000 287,730
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 305,000 321,775
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 80,000 83,256
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 160,000 166,400
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 434,000 448,105
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 490,000 515,725
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 78,000 80,730
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 63,000 68,355
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 200,000 211,500
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 339,000 334,763
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (Netherlands) 250,000 254,688
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) 250,000 255,000
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 75,000 74,813
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 298,000 297,628
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 99,000 102,218
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 200,000 217,500
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 238,000 249,495
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 182,000 188,479
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 150,000 163,500
Freeport-McMoRan, Inc. company guaranty sr. unsec. sub. notes 6.75%, 2/1/22 (Indonesia) 93,000 96,255
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 281,000 311,910
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 83,000 92,856
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 95,000 107,350
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 153,000 163,710
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 183,000 188,948
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 53,000 56,180
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 179,000 190,188
Mercer International, Inc. 144A sr. unsec. notes 5.50%, 1/15/26 (Canada) 90,000 91,350
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 116,000 119,770
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 40,000 42,150
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 13,000 14,051
Northwest Acquisitions ULC/Dominion Finco, Inc. 144A notes 7.125%, 11/1/22 60,000 61,950
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 164,000 163,590
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 91,000 90,773
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 18,000 18,360
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 420,000 437,850
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 20,000 22,900
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 168,000 181,020
Platform Specialty Products Corp. 144A company guaranty sr. unsec. notes 5.875%, 12/1/25 270,000 267,975
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 45,000 49,050
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 159,000 191,396
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 236,000 249,570
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 53,125
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 20,600
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 4.125%, 9/15/25 45,000 45,169
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 66,000 68,891
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 59,000 59,148
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 175,000 182,875
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 105,000 108,150
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 55,000 56,513
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 133,000 142,643
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 138,000 144,210
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 172,000 178,287
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 94,000 99,875
Venator Finance SARL/Venator Materials Corp. 144A sr. unsec. notes 5.75%, 7/15/25 (Luxembourg) 105,000 110,775
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 55,000 54,725
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 105,000 113,269
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 220,000 247,500
10,794,188
Capital goods (2.1%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 365,000 373,213
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 30,000 30,188
ARD Finance SA sr. notes 6.625%, 9/15/23 (Luxembourg)(PIK) EUR 100,000 128,094
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) $280,000 304,500
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 112,000 117,367
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 255,000 262,650
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 105,000 108,150
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 67,000 69,680
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 251,000 275,473
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 135,000 137,025
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 235,000 257,913
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 143,000 166,595
FXI Holdings, Inc. 144A sr. notes 7.875%, 11/1/24 154,000 153,661
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 424,000 433,540
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 315,000 329,569
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 231,000 263,051
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 270,000 275,400
Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France) EUR 100,000 122,572
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $95,000 100,819
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 120,000 121,200
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 144,000 154,080
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 115,000 120,894
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 215,000 225,213
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 17,000 17,425
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 192,000 205,920
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 55,000 56,238
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 109,000 110,090
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 175,000 179,375
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 232,000 232,000
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 77,000 77,578
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 178,000 183,340
5,592,813
Communication services (3.9%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 209,500
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 213,000
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 100,000 117,519
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $280,000 275,800
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 150,000 160,125
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 276,000 282,900
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 249,000 259,583
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 49,000 50,899
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/27 103,000 101,455
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 360,000 367,200
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 152,000 148,960
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 40,000 40,300
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 245,000 245,613
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 210,000 210,525
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 261,000 277,313
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 58,000 58,000
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 310,000 305,350
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 120,000 129,000
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 340,000 382,925
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 615,000 604,238
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 132,000 128,535
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 46,000 33,810
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 135,000 102,094
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 27,000 24,570
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,315
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 405,000 388,800
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 49,000 26,093
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 42,500
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 600,000 607,500
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 200,000 200,000
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 111,300
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 99,000 104,207
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 883,000 940,395
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 307,038
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 492,000 512,910
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 345,000 369,150
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 163,332
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 80,000 85,300
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 46,153
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, 8/15/24 (Luxembourg) EUR 295,000 377,189
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 321,000 432,778
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $363,000 382,058
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 78,375
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 140,424
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 157,683
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $290,000 176,900
10,385,614
Consumer cyclicals (5.5%)
ADT Corp. (The) company guaranty sr. unsub. notes 4.125%, 6/15/23 105,000 105,000
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 3,000 2,978
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 57,000 56,145
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 68,000 69,020
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 155,000 153,256
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 164,000 173,020
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 245,000 252,350
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 (In default)(NON) 98,000 27,685
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 150,000 159,000
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 235,000 239,700
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 120,000 125,400
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 85,000 94,482
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 147,000 154,993
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 73,620
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 25,000 25,313
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 84,000 82,110
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 127,000 128,905
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 100,000 126,720
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 $468,000 456,300
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 215,000 216,613
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 339,000 367,781
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 95,000 101,769
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 230,000 245,813
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 155,000 161,975
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 126,000 130,725
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 70,000 75,075
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 115,000 117,875
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 260,000 214,249
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $175,000 188,125
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 145,000 147,900
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 170,000 177,863
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 225,000 230,625
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 288,000 213,840
IHO Verwaltungs GmbH 144A sr. notes 4.75%, 9/15/26 (Germany)(PIK) 200,000 203,000
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 105,000 110,906
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 35,000 35,088
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 419,000 457,758
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 282,000 296,805
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 55,000 58,850
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 100,000 94,375
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 75,000 75,750
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 85,000 85,638
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 225,000 220,500
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 89,000 93,450
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 159,000 168,143
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 75,000 76,875
Masaria Investments SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 100,000 120,509
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 $235,000 245,646
Matalan Finance PLC sub. notes Ser. REGS, 6.875%, 6/1/19 (United Kingdom) GBP 100,000 133,704
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $40,000 42,300
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 105,000 110,381
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 175,000 189,000
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 147,000 161,149
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 248,000 258,758
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 9.5%, 10/15/21(PIK) 177,027 94,674
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 95,000 54,644
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 187,000 193,078
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 85,000 88,188
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 110,000 113,163
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 135,000 142,763
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 75,000 78,281
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 135,056
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 110,000 114,125
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 198,000
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 108,573
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 125,860
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 60,000 35,550
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 180,000 195,750
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 180,000 184,725
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 20,000 20,650
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 263,000 261,028
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 155,000 159,650
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 480,000 526,800
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 241,000 253,954
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 360,000 371,250
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. unsub. notes 5.125%, 2/15/27 103,000 102,099
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 117,000 123,728
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 322,000 322,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 225,000 232,875
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 245,000 248,675
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 105,000 110,513
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 10,000 10,375
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 49,000 52,308
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 244,000 255,053
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 125,000 118,750
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 141,000 150,518
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 125,000 128,438
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 219,450
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 92,506
Werner FinCo LP/Werner FinCo, Inc. 144A company guarany sr. unsec. notes 8.75%, 7/15/25 306,000 315,945
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 127,305
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 100,748
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 99,000 100,600
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 125,000 126,719
14,729,177
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 175,000 176,313
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 125,000 127,656
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 125,000 124,688
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 56,000 57,820
Ashtead Capital, Inc. 144A notes 4.125%, 8/15/25 200,000 202,000
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 370,000 394,975
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 389,000 408,450
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 105,000 98,700
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 482,000 503,690
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 145,000 144,638
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 335,000 402,995
Europcar Groupe SA sr. notes Ser. REGS, 4.125%, 11/15/24 (France) EUR 100,000 120,288
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $120,000 75,150
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 338,000 354,900
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 327,000 332,723
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 55,000 55,206
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 136,825
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 134,063
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 80,000 81,800
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 164,065
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 38,110
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 139,000 141,085
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 120,000 117,600
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 86,000 88,903
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 328,000 200,080
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 58,000 43,790
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 153,000 138,083
4,864,596
Energy (8.0%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 445,000 487,831
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 43,000 44,720
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 196,800
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 84,000 90,090
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 55,000 52,388
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 115,000 113,275
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 93,000 86,025
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 77,000 63,525
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 334,000 361,973
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 125,000 129,300
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 26,000 24,050
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 88,000 94,930
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 54,000 51,840
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 218,000 220,180
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 498,000 492,398
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 84,000 85,680
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 203,000 211,567
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 140,000 140,700
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 27,000 20,385
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 117,000 119,486
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 232,000 238,670
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 65,000 65,244
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 154,000 158,235
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 60,000 61,050
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 310,000 261,950
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 90,000 65,700
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 45,000 46,463
FTS International, Inc. 144A company guaranty sr. sub. FRN BBA LIBOR USD 3 Month + 7.50%, 9.088%, 6/15/20 33,000 33,660
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9.25%, 4/23/19 (Russia) 647,000 697,986
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 100,000 103,250
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 217,000 226,494
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 215,000 216,613
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 22,000 18,563
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 139,000 118,150
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 110,000 108,625
Murray Energy Corp. 144A notes 11.25%, 4/15/21 204,000 104,040
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 221,000 236,470
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 144,000 152,280
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 207,000 178,020
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 33,000 33,743
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 201,000 206,276
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 982,968
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 209,002
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 3,320,000 3,655,320
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 428,000 511,460
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 741,000 787,313
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 180,000 191,025
Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.999%, 1/27/28 (Brazil) 176,000 176,220
Petrobras Global Finance BV 144A company guaranty sr. unsec. notes 5.299%, 1/27/25 (Brazil) 664,000 665,992
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) 727,000 159,213
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,054,000 706,238
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,535,000 1,639,380
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 2,171,000 2,167,092
Precision Drilling Corp. company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 60,000 63,000
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 6,000 5,655
QEP Resources, Inc. sr. unsec. notes 5.625%, 3/1/26 120,000 121,650
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 247,000 256,263
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 90,608
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 84,000 81,900
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 194,509
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 165,000 162,525
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 58,000 59,450
SESI, LLC 144A company guaranty sr. unsec. notes 7.75%, 9/15/24 125,000 132,813
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 105,000 105,656
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
Shelf Drilling Holdings, Ltd. 144A company guaranty notes 9.50%, 11/2/20 120,000 122,250
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 150,000 151,875
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 72,000 69,435
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 28,000 28,455
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 128,000 130,400
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 110,000 111,342
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 95,000 97,494
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.125%, 2/1/25 45,000 46,069
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 388,000 387,030
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 103,000 102,356
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 100,000 106,250
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 33,000 33,330
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/19 27,000 27,689
Whiting Petroleum Corp. 144A sr. unsec. notes 6.625%, 1/15/26 85,000 86,700
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 48,000 54,480
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 134,000 145,055
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 147,000 153,615
21,397,704
Financials (3.7%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 336,000 338,520
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 96,000 100,800
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 489,000 533,010
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 200,000 208,168
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 82,494
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 160,000 170,600
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 130,000 137,800
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 56,000 57,540
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 105,000 101,850
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 294,000 310,170
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 239,167
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 149,000 150,490
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 160,000 161,600
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 259,000 263,856
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 95,000 99,156
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 68,000 68,085
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 205,000 213,456
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 97,613
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 95,000 97,138
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 23,000 23,654
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 215,000 217,688
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 4,000 3,500
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 16,594
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 204,785
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 60,000 62,100
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 55,000 55,344
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 200,000 203,500
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A sr. unsec. bonds 4.50%, 1/15/28(R) 50,000 49,000
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 100,000 136,365
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 $80,000 81,700
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 48,000 48,660
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 77,000 79,556
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 92,000 95,450
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 170,000 178,500
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 106,067
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7.75%, 5/29/18 (Russia) 2,750,000 2,801,871
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, 2/7/22 (Russia) 325,000 354,250
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 60,000 66,000
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 55,000 56,581
Starwood Property Trust, Inc. 144A sr. unsec. notes 4.75%, 3/15/25(R) 150,000 148,500
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 185,000 192,400
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 70,000 64,050
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 140,000 141,400
VICI Properties 1, LLC/VICI FC, Inc. company guaranty notes 8.00%, 10/15/23 14,714 16,440
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, 5/29/18 (Russia) 829,000 841,485
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 216,500
9,893,453
Health care (2.1%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 205,000 196,288
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 142,000 138,273
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 158,000 151,680
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 189,000 171,045
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 175,000 185,063
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 42,000 42,735
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 134,875
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 148,000 133,200
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 406,000 233,450
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 121,000 90,448
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) (In default)(NON) 274,000 23,975
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 400,000 312,000
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 165,000 128,700
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 18,000 18,630
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 113,000 119,780
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 283,000 301,395
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 61,738
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 161,600
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 185,000 207,663
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 143,000 116,903
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 125,100
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 30,000 29,925
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 240,000 241,200
Service Corp International sr. unsec. notes 4.625%, 12/15/27 45,000 45,658
Service Corp. International sr. unsec. notes 5.375%, 1/15/22 249,000 254,914
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 524,768
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 96,000 100,080
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 231,000 244,236
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 81,000 82,418
Unilabs Subholding AB company guaranty sr. unsec. notes Ser. REGS, 5.75%, 5/15/25 (Sweden) EUR 100,000 121,091
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $40,000 40,700
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 115,000 119,853
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 265,000 242,475
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 202,000 187,355
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 35,000 34,213
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 85,000 77,775
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 47,000 47,059
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 171,200
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 55,000 57,750
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 75,000 79,125
5,756,336
Technology (1.4%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 571,000 —
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 901,000 986,473
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 195,000 210,725
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 150,000 158,625
First Data Corp. 144A notes 5.75%, 1/15/24 258,000 267,030
First Data Corp. 144A sr. notes 5.375%, 8/15/23 165,000 171,749
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 288,000 307,440
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 324,000 331,290
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 228,000 235,980
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 57,000 58,568
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 293,000 293,733
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 1/15/24 90,000 93,488
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 308,000 346,494
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 190,000 191,900
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 175,000 179,375
3,832,870
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 221,000 228,735
228,735
Utilities and power (1.0%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 665,000 698,250
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 70,000 71,488
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 163,000 171,150
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 135,000 151,200
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 252,000 238,140
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 86,000 84,281
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 35,963
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 243,000 256,365
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 146,000 156,585
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 78,000 85,215
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 164,000 172,610
Energy Transfer Equity LP sr. sub. notes 5.50%, 6/1/27 62,000 63,240
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 142,000 112,180
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 122,000 132,828
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 176,000 186,120
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/28 55,000 55,481
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 96,000 99,600
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 90,000 675
2,771,371
Total corporate bonds and notes (cost $89,597,146) $90,246,857

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.0%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. notes zero %, 8/15/18 (Argentina) ARS 19,088,000 $875,723
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) 165,000 186,805
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 750,000 819,375
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,125,000 2,135,876
Brazil (Federal Republic of) unsec. notes Ser. NTNF, 10.00%, 1/1/23 (Brazil) (Units) BRL 3,000 960,242
Buenos Aires (Province of) unsec. FRN Argentina Deposit Rates BADLAR + 3.83%, 26.955%, 5/31/22 (Argentina) ARS 7,745,000 429,894
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $2,140,000 2,375,015
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 1,399,000 1,591,363
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 2,291,000 2,680,947
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,067,000 1,152,317
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 105,000 127,313
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 763,063
Dominican (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/25/27 (Dominican Republic) 170,000 183,711
Ecuador (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.95%, 6/20/24 (Ecuador) 200,000 212,500
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 301,500
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 1,054,000 1,311,041
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 446,000 503,774
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece)(STP) EUR 3,716,744 4,308,622
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 2,427,822 2,848,031
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) $200,000 217,000
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 687,946
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 565,600
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 211,709
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 750,000 1,300,313
Ukraine (Government of) 144A unsec. notes 7.75%, 9/1/27 (Ukraine) 168,000 173,419
Total foreign government and agency bonds and notes (cost $25,269,163) $26,923,099

SENIOR LOANS (1.6%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.00%, 5.546%, 7/2/22 $100,505 $78,394
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.943%, 4/28/22 49,367 49,111
Air Methods Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 5.193%, 4/21/24 83,592 83,436
Avaya, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.75%, 6.227%, 11/9/24 255,000 250,644
Brand Industrial Services, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 4.25%, 5.615%, 6/21/24 217,905 218,541
BWAY Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.25%, 4.599%, 4/3/24 64,675 64,897
California Resources Corp. bank term loan FRN BBA LIBOR USD 3 Month + 4.75%, 6.241%, 11/17/22 155,000 155,388
Casella Waste Systems, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 2.50%, 3.991%, 10/17/23 436,700 438,065
CCC Information Services, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 6.75%, 8.319%, 3/30/25 64,000 65,333
Chesapeake Energy Corp. bank term loan FRN BBA LIBOR USD 3 Month + 7.50%, 8.954%, 8/23/21 280,000 297,500
CPG International, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.75%, 5.593%, 5/5/24 36,188 36,346
Forterra Finance, LLC bank term loan FRN BBA LIBOR USD 3 Month + 3.00%, 4.569%, 10/25/23 201,490 187,961
FTS International, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.75%, 6.319%, 4/16/21 305,000 297,566
Gates Global, LLC bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.00%, 4.693%, 3/31/24 81,574 81,943
Getty Images, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.75%, 10/18/19 70,899 64,163
iHeartCommunications, Inc. bank term loan FRN Ser. D, BBA LIBOR USD 3 Month + 6.75%, 8.443%, 1/30/19 323,000 242,519
KCA Deutag US Finance, LLC bank term loan FRN BBA LIBOR USD 3 Month + 5.25%, 7.196%, 5/16/20 107,876 105,179
Kronos, Inc./MA bank term loan FRN BBA LIBOR USD 3 Month + 8.25%, 9.627%, 11/1/24 95,000 98,468
MEG Energy Corp. bank term loan FRN BBA LIBOR USD 3 Month + 3.50%, 5.20%, 12/31/23 40,568 40,580
Navistar, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.90%, 11/6/24 340,000 341,275
Neiman Marcus Group, Ltd., Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.25%, 4.642%, 10/25/20 186,496 151,808
PetSmart, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.00%, 4.57%, 3/10/22 54,719 43,776
Rackspace Hosting, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.00%, 4.385%, 11/3/23 147,340 147,197
Revlon Consumer Products Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 5.069%, 9/7/23 269,468 200,754
Reynolds Group Holdings, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.00%, 4.319%, 2/5/23 143,191 143,817
Robertshaw Holdings Corp. bank term loan FRN BBA LIBOR USD 3 Month + 9.00%, 10.50%, 2/4/25 40,000 39,700
Robertshaw Holdings Corp. bank term loan FRN BBA LIBOR USD 3 Month + 4.50%, 6.125%, 8/10/24 64,838 65,243
Solenis International LP bank term loan FRN BBA LIBOR USD 3 Month + 6.75%, 8.229%, 7/31/22 38,000 36,480
Talbots, Inc. (The) bank term loan FRN BBA LIBOR USD 3 Month + 8.50%, 10.069%, 3/19/21 66,961 64,952
Talbots, Inc. (The) bank term loan FRN BBA LIBOR USD 3 Month + 4.50%, 6.069%, 3/19/20 105,449 101,934
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. B1, BBA LIBOR USD 3 Month + 3.50%, 4.764%, 4/1/22 55,163 55,960
Werner Finco LP bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.00%, 5.00%, 7/24/24 75,000 75,188
Total senior loans (cost $4,479,504) $4,324,118

PURCHASED SWAP OPTIONS OUTSTANDING (1.6%)(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.
    (1.9325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 $61,632,500 $262,554
    (2.2625)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 27,734,600 140,060
    2.2625/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 27,734,600 112,602
    1.9325/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 61,632,500 25,886
       
Citibank, N.A.
    (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 2,711,800 171,901
    2.363/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.363 39,842,200 99,207
    2.298/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.298 39,817,000 75,254
    2.28/3 month USD-LIBOR-BBA/Feb-28 Feb-18/2.28 24,653,000 73,219
    (2.526)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.526 39,817,000 61,716
    (2.493)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.493 39,842,200 44,623
    (2.478)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.478 39,842,200 39,045
    2.318/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.318 39,842,200 38,647
    1.9175/3 month USD-LIBOR-BBA/Mar-19 Mar-18/1.9175 36,979,000 2,589
    (1.091)/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.091 EUR 4,225,300 2,281
    2.205/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.205 $26,688,200 801
       
Credit Suisse International
    2.33875/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.33875 24,653,000 64,591
       
Goldman Sachs International
    1.673/3 month GBP-LIBOR-BBA/Oct-48 Oct-18/1.673 GBP 3,042,000 331,735
    1.522/3 month GBP-LIBOR-BBA/Oct-28 Oct-18/1.522 GBP 7,817,000 300,054
    2.695/3 month USD-LIBOR-BBA/Oct-23 Oct-18/2.695 $5,177,100 60,831
    (-0.154)/6 month EUR-EURIBOR-Reuters/Feb-20 Feb-18/-0.154 EUR 42,253,000 46,641
    2.485/3 month USD-LIBOR-BBA/Mar-48 Mar-18/2.485 $2,465,300 44,129
    2.27/3 month USD-LIBOR-BBA/Mar-28 Mar-18/2.27 5,916,700 25,087
    2.2875/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.2875 20,016,000 13,411
    1.9175/3 month USD-LIBOR-BBA/Oct-19 Oct-18/1.9175 22,434,200 9,871
    -0.154/6 month EUR-EURIBOR-Reuters/Feb-20 Feb-18/-0.154 EUR 42,253,000 7,098
    2.218/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.218 $20,016,000 4,003
    2.10125/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.10125 20,029,000 3,004
       
JPMorgan Chase Bank N.A.
    1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 3,085,000 303,489
    1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 7,733,000 297,096
    (1.919)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 $61,632,500 268,718
    2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 191,313
    2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 186,844
    (2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 172,615
    (2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 168,464
    (2.25)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 27,734,600 141,724
    2.25/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 27,734,600 111,216
    (1.964)/3 month USD-LIBOR-BBA/Jan-21 Jan-18/1.964 12,327,000 73,222
    0.882/3 month GBP-LIBOR-BBA/Nov-19 Nov-18/0.882 GBP 21,126,500 44,497
    1.919/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 $61,632,500 24,653
    1.964/3 month USD-LIBOR-BBA/Jan-21 Jan-18/1.964 12,327,000 12
       
Morgan Stanley & Co. International PLC
    (0.303)/6 month EUR-EURIBOR-Reuters/Mar-23 Mar-18/0.303 EUR 16,901,200 94,702
    (-0.152)/6 month EUR-EURIBOR-Reuters/Feb-20 Feb-18/-0.152 EUR 42,253,000 45,121
    -0.152/6 month EUR-EURIBOR-Reuters/Feb-20 Feb-18/-0.152 EUR 42,253,000 7,605
    1.85125/3 month USD-LIBOR-BBA/Apr-19 Apr-18/1.85125 $36,979,500 5,917
Total purchased swap options outstanding (cost $4,934,956) $4,198,048


 

PURCHASED OPTIONS OUTSTANDING (0.3%)(a)
Counterparty Expiration date/
strike price		 Notional amount Contract amount Value
Barclays Bank PLC
USD/MXN (Call) May-18/MXN 21.50 $16,063,100 $16,063,100 $265,796
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Jan-18/$96.60 15,000,000 15,000,000 27,495
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jan-18/100.03 61,000,000 61,000,000 101,321
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/99.81 14,000,000 14,000,000 60,998
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/99.88 14,000,000 14,000,000 56,238
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.00 14,000,000 14,000,000 47,446
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.03 14,000,000 14,000,000 45,402
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/99.34 14,000,000 14,000,000 45,962
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/99.21 14,000,000 14,000,000 40,404
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/99.09 14,000,000 14,000,000 35,462
USD/JPY (Put) Jan-18/JPY 107.00 27,019,700 27,019,700 27
Total purchased options outstanding (cost $1,184,374) $726,551

CONVERTIBLE BONDS AND NOTES (1.0%)(a)
Principal amount Value
Basic materials (—%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20 (Mexico) $24,000 $24,990
24,990
Capital goods (0.1%)
Aerojet Rocketdyne Holdings, Inc. cv. sr. unsec. sub. notes 2.25%, 12/15/23 27,000 37,176
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 34,000 44,328
Greenbrier Cos., Inc. (The) 144A cv. sr. unsec. notes 2.875%, 2/1/24 27,000 32,164
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 19,714
II-VI, Inc. 144A cv. sr. unsec. notes 0.25%, 9/1/22 13,000 15,633
Kaman Corp. 144A cv. sr. unsec. notes 3.25%, 5/1/24 31,000 34,468
183,483
Communication services (—%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 79,000 85,962
85,962
Consumer cyclicals (0.2%)
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 34,000 41,820
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 52,000 60,028
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 56,000 64,439
Liberty Media Corp. cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 26,000 27,073
Live Nation Entertainment, Inc. cv. sr. unsec. bonds 2.50%, 5/15/19 27,000 34,847
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 28,000 26,740
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 16,000 17,320
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 17,000 19,879
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1.00%, 3/15/18 35,000 64,181
Square, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/22 23,000 37,504
Tesla, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 20,000 21,625
415,456
Consumer staples (—%)
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 32,000 33,800
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 46,000 46,000
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 27,000 31,101
Wayfair, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 9/1/22 20,000 20,875
131,776
Energy (0.1%)
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 (acquired 2/2/17, cost $24,845) (Cayman Islands)(RES) 35,887 47,371
Chesapeake Energy Corp. 144A cv. sr. unsec. bonds 5.50%, 9/15/26 31,000 28,229
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 18,000 19,350
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 44,000 40,480
135,430
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5.25%, 12/1/18(R) 39,000 45,776
Colony Starwood Homes 144A cv. sr. unsec. notes 3.50%, 1/15/22(R) 41,000 47,611
Encore Capital Group, Inc. cv. company guaranty sr. unsec. bonds 3.00%, 7/1/20 21,000 23,258
Hercules Capital, Inc. 144A cv. sr. unsec. notes 4.375%, 2/1/22 18,000 18,506
Heritage Insurance Holdings, Inc. 144A cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 15,000 20,006
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 38,000 41,824
196,981
Health care (0.1%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.50%, 10/15/20 24,000 28,425
Clovis Oncology, Inc. cv. sr. unsec. notes 2.50%, 9/15/21 22,000 29,604
Impax Laboratories, Inc. cv. sr. unsec. notes 2.00%, 6/15/22 35,000 33,950
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland) 72,000 72,135
Medicines Co. (The) cv. sr. unsec. unsub. notes 2.75%, 7/15/23 41,000 37,489
Neurocrine Biosciences, Inc. 144A cv. sr. unsec. notes 2.25%, 5/15/24 10,000 12,769
Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 17,000 17,754
Pacira Pharmaceuticals, Inc. (Delaware) 144A cv. sr. unsec. sub. notes 2.375%, 4/1/22 34,000 35,530
Sucampo Pharmaceuticals, Inc. cv. sr. unsec. notes 3.25%, 12/15/21 28,000 34,003
Teladoc, Inc. 144A cv. sr. unsec. notes 3.00%, 12/15/22 19,000 21,363
Wright Medical Group, Inc. cv. sr. unsec. notes 2.00%, 2/15/20 27,000 27,692
350,714
Technology (0.4%)
Carbonite, Inc. 144A cv. sr. unsec. unsub. notes 2.50%, 4/1/22 14,000 17,115
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 13,000 16,811
Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 27,000 35,438
Electronics For Imaging, Inc. cv. sr. unsec. unsub. bonds 0.75%, 9/1/19 34,000 32,789
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 22,000 24,324
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 31,000 28,830
HubSpot, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/22 25,000 28,766
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 28,000 27,808
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 34,000 37,931
J2 Cloud Services, LLC cv. sr. unsec. notes 3.25%, 6/15/29 32,000 39,620
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 6,000 20,606
Microchip Technology, Inc. 144A cv. sr. unsec. sub. notes 1.625%, 2/15/27 107,000 125,391
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 45,000 64,884
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1.625%, 2/15/33 11,000 41,271
Nice Systems, Inc. 144A cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 29,000 35,724
NXP Semiconductors NV cv. sr. unsec. bonds 1.00%, 12/1/19 23,000 28,362
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 41,000 52,326
OSI Systems, Inc. 144A cv. sr. unsec. unsub. notes 1.25%, 9/1/22 37,000 33,300
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 29,000 36,286
RealPage, Inc. 144A cv. sr. unsec. notes 1.50%, 11/15/22 39,000 48,263
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 23,000 37,835
salesforce.com, Inc. cv. sr. unsec. unsub. notes 0.25%, 4/1/18 31,000 47,469
ServiceNow, Inc. cv. sr. unsec. unsub. bonds zero %, 11/1/18 21,000 37,026
Teradyne, Inc. cv. sr. unsec. notes 1.25%, 12/15/23 31,000 44,233
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 15,000 25,678
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 33,000 30,752
Workday, Inc. 144A cv. sr. unsec. notes 0.25%, 10/1/22 16,000 15,820
1,014,658
Transportation (—%)
Air Transport Services Group, Inc. 144A cv. sr. unsec. notes 1.125%, 10/15/24 33,000 34,073
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 19,000 17,076
51,149
Total convertible bonds and notes (cost $2,456,118) $2,590,599

COMMON STOCKS (0.2%)(a)
Shares Value
Avaya Holdings Corp.(NON) 20,352 $357,178
Caesars Entertainment Corp.(NON) 3,910 49,462
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 5,576
Halcon Resources Corp.(NON) 11,307 85,594
Milagro Oil & Gas, Inc. (Units)(F) 73 5,913
Nine Point Energy 537 7,389
SandRidge Energy, Inc.(NON) 3,589 75,620
Tervita Corp. Class A (Canada) 191 1,482
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 7,856
Tribune Media Co. Class 1C(F) 40,066 10,017
Total common stocks (cost $636,662) $606,087

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
Nine Point Energy 6.75% cv. pfd. 13 $13,456
Total convertible preferred stocks (cost $13,000) $13,456

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 3,071 $2,180
Total warrants (cost $—) $2,180

SHORT-TERM INVESTMENTS (10.9%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 1.45%(AFF) Shares 11,493,996 $11,493,996
U.S. Treasury Bills 1.026%, 1/18/18(SEGSF)(SEGCCS) $452,000 451,702
U.S. Treasury Bills 1.060%, 1/11/18(SEG)(SEGSF)(SEGCCS) 1,537,000 1,536,364
U.S. Treasury Bills 1.065%, 2/1/18(SEGSF)(SEGCCS) 5,435,000 5,428,676
U.S. Treasury Bills 1.070%, 1/25/18(SEGSF)(SEGCCS) 2,198,000 2,196,025
U.S. Treasury Bills 1.116%, 2/8/18(SEGSF)(SEGCCS) 3,215,000 3,210,442
U.S. Treasury Bills 1.149%, 1/4/18(SEGSF) 59,000 58,988
U.S. Treasury Bills 1.170%, 2/15/18(SEGSF)(SEGCCS) 712,000 710,790
U.S. Treasury Bills 1.308%, 3/8/18(SEGSF)(SEGCCS) 755,000 753,102
U.S. Treasury Bills 1.317%, 3/1/18(SEGCCS) 84,000 83,811
U.S. Treasury Bills 1.320%, 3/15/18(SEG)(SEGSF)(SEGCCS) 2,959,000 2,950,744
U.S. Treasury Bills 1.330%, 3/22/18(SEGSF)(SEGCCS) 392,000 390,792
Total short-term investments (cost $29,269,268) $29,265,432

TOTAL INVESTMENTS
Total investments (cost $397,759,640) $398,843,136













FORWARD CURRENCY CONTRACTS at 12/31/17 (aggregate face value $124,629,824) (Unaudited)


Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/17/18 $208,795 $236,253 $(27,458)
Euro Buy 3/21/18 262,057 262,025 32
Norwegian Krone Buy 3/21/18 954,863 953,020 1,843
Russian Ruble Sell 3/21/18 1,360,696 1,330,237 (30,459)
Swedish Krona Buy 3/21/18 1,324,705 1,293,404 31,301
Barclays Bank PLC
Australian Dollar Buy 1/17/18 2,860,079 2,892,790 (32,711)
British Pound Sell 3/21/18 3,033,416 3,036,709 3,293
Canadian Dollar Buy 1/17/18 1,374,209 1,345,090 29,119
Euro Buy 3/21/18 62,079 63,681 (1,602)
Japanese Yen Buy 2/22/18 1,327,937 1,344,654 (16,717)
Japanese Yen Sell 2/22/18 1,353,176 1,338,816 (14,360)
Norwegian Krone Sell 3/21/18 1,361,953 1,346,235 (15,718)
Swedish Krona Sell 3/21/18 1,091,459 1,072,627 (18,832)
Swiss Franc Buy 3/21/18 83,376 76,758 6,618
Citibank, N.A.
Australian Dollar Buy 1/17/18 1,366,839 1,337,149 29,690
Australian Dollar Sell 1/17/18 1,366,839 1,352,359 (14,480)
Brazilian Real Buy 1/3/18 2,923,005 3,033,843 (110,838)
Brazilian Real Sell 1/3/18 2,923,005 3,020,170 97,165
Brazilian Real Buy 4/3/18 137,703 171,915 (34,212)
British Pound Sell 3/21/18 20,981 20,749 (232)
Canadian Dollar Buy 1/17/18 201,568 200,301 1,267
Canadian Dollar Sell 1/17/18 201,568 200,663 (905)
Japanese Yen Buy 2/22/18 4,723 6,733 (2,010)
New Zealand Dollar Buy 1/17/18 2,742,295 2,729,419 12,876
New Zealand Dollar Sell 1/17/18 2,742,295 2,670,695 (71,600)
Norwegian Krone Buy 3/21/18 2,428,899 2,413,300 15,599
Credit Suisse International
Australian Dollar Buy 1/17/18 4,211,625 4,158,458 53,167
Australian Dollar Sell 1/17/18 4,211,625 4,142,912 (68,713)
Canadian Dollar Buy 1/17/18 45,757 45,465 292
Canadian Dollar Sell 1/17/18 45,757 45,117 (640)
Japanese Yen Sell 2/22/18 1,306,526 1,276,149 (30,377)
New Zealand Dollar Buy 1/17/18 1,385,284 1,368,901 16,383
New Zealand Dollar Sell 1/17/18 1,385,284 1,380,564 (4,720)
Norwegian Krone Sell 3/21/18 1,356,375 1,343,115 (13,260)
Swedish Krona Buy 3/21/18 60,529 52,556 7,973
Goldman Sachs International
Australian Dollar Buy 1/17/18 46,659 28,169 18,490
Brazilian Real Buy 1/3/18 1,981,821 2,030,991 (49,170)
Brazilian Real Sell 1/3/18 1,981,821 1,986,434 4,613
Brazilian Real Sell 4/3/18 689,741 666,363 (23,378)
British Pound Sell 3/21/18 1,229,609 1,230,646 1,037
Canadian Dollar Buy 1/17/18 15,120 26,939 (11,819)
Euro Buy 3/21/18 1,272,073 1,265,880 6,193
Japanese Yen Sell 2/22/18 168,611 151,877 (16,734)
New Zealand Dollar Sell 1/17/18 2,620,418 2,528,774 (91,644)
Norwegian Krone Buy 3/21/18 1,253,446 1,259,802 (6,356)
South African Rand Buy 1/17/18 191,764 250,765 (59,001)
Swedish Krona Sell 3/21/18 2,002,875 1,967,749 (35,126)
HSBC Bank USA, National Association
Australian Dollar Buy 1/17/18 1,394,382 1,360,298 34,084
Australian Dollar Sell 1/17/18 1,394,382 1,388,435 (5,947)
Canadian Dollar Buy 1/17/18 1,377,392 1,364,292 13,100
Canadian Dollar Sell 1/17/18 1,377,392 1,350,497 (26,895)
Euro Sell 3/21/18 5,304 3,721 (1,583)
Japanese Yen Sell 2/22/18 1,296,192 1,282,569 (13,623)
Mexican Peso Buy 1/17/18 313,467 301,493 11,974
New Zealand Dollar Sell 1/17/18 8,078 32,685 24,607
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/17/18 134,593 123,051 11,542
Canadian Dollar Buy 1/17/18 2,062,786 2,021,394 41,392
Euro Buy 3/21/18 266,759 277,610 (10,851)
Japanese Yen Sell 2/22/18 1,330,671 1,316,637 (14,034)
New Zealand Dollar Sell 1/17/18 434,433 369,036 (65,397)
Norwegian Krone Buy 3/21/18 1,204,258 1,195,128 9,130
Swedish Krona Sell 3/21/18 2,541,496 2,498,529 (42,967)
Swiss Franc Sell 3/21/18 5,365 10,086 4,721
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/17/18 2,192,888 2,180,737 12,151
Canadian Dollar Buy 1/17/18 1,572,037 1,577,541 (5,504)
Japanese Yen Buy 2/22/18 27,351 47,932 (20,581)
New Zealand Dollar Sell 1/17/18 1,370,474 1,323,284 (47,190)
Norwegian Krone Buy 3/21/18 473,037 469,211 3,826
Swedish Krona Sell 3/21/18 2,638,510 2,588,880 (49,630)
State Street Bank and Trust Co.
Australian Dollar Buy 1/17/18 4,190,558 4,144,832 45,726
Australian Dollar Sell 1/17/18 4,190,558 4,077,668 (112,890)
British Pound Sell 3/21/18 1,361,856 1,363,155 1,299
Canadian Dollar Buy 1/17/18 2,043,369 2,022,977 20,392
Euro Buy 3/21/18 1,304,741 1,286,156 18,585
Japanese Yen Sell 2/22/18 14,125 7,762 (6,363)
New Zealand Dollar Sell 1/17/18 1,419,083 1,260,713 (158,370)
Norwegian Krone Buy 3/21/18 1,856,900 1,842,115 14,785
Swedish Krona Sell 3/21/18 1,041,733 1,022,863 (18,870)
UBS AG
Australian Dollar Buy 1/17/18 2,678,046 2,635,458 42,588
British Pound Sell 3/21/18 3,078,355 3,081,132 2,777
Euro Buy 3/21/18 1,850,069 1,836,587 13,482
Japanese Yen Sell 2/22/18 1,326,385 1,273,626 (52,759)
New Zealand Dollar Sell 1/17/18 2,777,653 2,688,430 (89,223)
Norwegian Krone Buy 3/21/18 2,457,814 2,440,097 17,717
Swedish Krona Sell 3/21/18 1,353,843 1,331,799 (22,044)
WestPac Banking Corp.
Australian Dollar Buy 1/17/18 2,715,030 2,689,654 25,376
Australian Dollar Sell 1/17/18 2,715,030 2,699,976 (15,054)
Canadian Dollar Buy 1/17/18 42,653 42,120 533
Canadian Dollar Sell 1/17/18 42,653 42,025 (628)
Japanese Yen Buy 2/22/18 60,396 80,603 (20,207)
New Zealand Dollar Buy 1/17/18 1,382,591 1,379,639 2,952
New Zealand Dollar Sell 1/17/18 1,382,591 1,340,170 (42,421)
Unrealized appreciation 709,690
Unrealized (depreciation) (1,646,103)
Total $(936,413)
   
 * The exchange currency for all contracts listed is the United States Dollar. 
  FUTURES CONTRACTS OUTSTANDING at 12/31/17 (Unaudited)
   
    Number of contracts Notional amount Value Expiration date Unrealized appreciation/
(depreciation)
             
  Euro-OAT 10 yr (Short) 14  $2,606,698  $2,606,697 Mar-18 $33,557
  Unrealized appreciation         33,557
  Unrealized (depreciation)         —
  Total         $33,557












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/17 (premiums $6,021,212) (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.
(2.2625)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 $27,734,600 $37,442
2.2625/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 27,734,600 64,899
(1.9325)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 61,632,500 65,330
1.9325/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 61,632,500 301,999
      
Citibank, N.A.
1.291/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.291 EUR 6,718,000 2,015
2.505/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.505 $26,688,200 6,939
(2.05)/3 month USD-LIBOR-BBA/Mar-19 Mar-18/2.05 36,979,000 7,026
2.675/3 month USD-LIBOR-BBA/Feb-28 Feb-18/2.675 24,653,000 25,639
2.428/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.428 19,921,100 54,385
(2.398)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.398 19,921,100 66,337
2.398/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.398 19,921,100 67,134
2.412/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.412 19,908,500 95,561
(2.428)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.428 19,921,100 106,179
(2.412)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.412 19,908,500 112,483
2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208 12,326,500 213,988
      
Credit Suisse International
2.63625/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.63625 24,653,000 8,629
      
Goldman Sachs International
(0.185)/6 month EUR-EURIBOR-Reuters/Feb-23 Feb-18/0.185 EUR 16,901,200 1,825
2.68675/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.68675 $20,029,000 3,605
(2.357)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.357 20,016,000 40,432
0.321/6 month EUR-EURIBOR-Reuters/Feb-23 Feb-18/0.321 EUR 16,901,200 59,823
(2.3025)/3 month USD-LIBOR-BBA/Oct-19 Oct-18/2.3025 $49,306,000 66,563
(2.46)/3 month USD-LIBOR-BBA/Mar-38 Mar-18/2.46 6,656,300 76,215
(2.01)/6 month EUR-EURIBOR-Reuters/Dec-37 Dec-27/2.01 EUR 4,225,300 348,696
2.01/6 month EUR-EURIBOR-Reuters/Dec-37 Dec-27/2.01 EUR 4,225,300 366,997
(1.6975)/3 month GBP-LIBOR-BBA/Oct-38 Oct-18/1.6975 GBP 8,451,000 638,967
      
JPMorgan Chase Bank N.A.
(2.3205)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.3205 $3,969,000 2,223
2.4115/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.4115 3,969,000 8,136
(2.25)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 27,734,600 36,055
(1.919)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 61,632,500 63,481
2.25/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 27,734,600 66,563
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 Floor 6,568,000 73,443
(1.106)/3 month GBP-LIBOR-BBA/Nov-27 Nov-22/1.106 GBP 4,647,800 126,634
1.919/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 $61,632,500 307,546
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 8,451,000 601,097
      
Morgan Stanley & Co. International PLC
(0.189)/6 month EUR-EURIBOR-Reuters/Feb-23 Feb-18/0.189 EUR 16,901,200 1,825
(2.01)/3 month USD-LIBOR-BBA/Apr-19 Apr-18/2.01 $36,979,500 10,724
2.3675/3 month USD-LIBOR-BBA/Mar-23 Mar-18/2.3675 21,126,500 52,816
0.325/6 month EUR-EURIBOR-Reuters/Feb-23 Feb-18/0.325 EUR 16,901,200 57,592
Total $4,247,243










  WRITTEN OPTIONS OUTSTANDING at 12/31/17  (premiums $1,071,010) (Unaudited)
   
  Counterparty Expiration date/
strike price		 Notional amount   Contract amount Value
             
  Barclays Bank PLC          
  USD/MXN (Call) May-18/MXN 22.00  $16,063,100    $16,063,100  $199,873
             
  JPMorgan Chase Bank N.A.          
  Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-18/96.60  15,000,000    15,000,000  28,470
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.21  14,000,000    14,000,000  34,594
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.29  14,000,000    14,000,000  30,814
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.40  14,000,000    14,000,000  25,648
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.45  14,000,000    14,000,000  23,870
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.62  14,000,000    14,000,000  17,724
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.70  14,000,000    14,000,000  15,190
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.80  14,000,000    14,000,000  12,586
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Feb-18/100.86  14,000,000    14,000,000  11,354
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Jan-18/100.03  61,000,000    61,000,000  101,321
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/98.84  14,000,000    14,000,000  27,202
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/98.71  14,000,000    14,000,000  23,786
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/98.59  14,000,000    14,000,000  20,790
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/98.34  14,000,000    14,000,000  15,834
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/98.21  14,000,000    14,000,000  13,790
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Mar-18/98.09  14,000,000    14,000,000  11,984
  USD/JPY (Put) Jan-18/JPY 103.00  27,019,700    27,019,700  27
             
  Total          $614,857













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/17 (Unaudited)
  
Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike Notional/
Contract amount		       Premium
receivable/
(payable)		 Unrealized appreciation/
(depreciation)

Bank of America N.A.
    (2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 $6,163,300 $(123,266) $(10,786)
    2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (22,225)
    2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) (34,021)
    (2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) (39,568)
    2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 3,698,000 (130,355) (39,901)
    2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 6,163,300 (123,266) (62,927)
    (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 3,698,000 (130,355) (80,986)
    (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (94,040)
    2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 3,698,000 334,114 199,433
    (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 6,163,300 236,979 96,394
    (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 3,698,000 334,114 86,385
    2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 6,163,300 236,979 49,738

Barclays Bank PLC
    (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 6,163,300 (123,266) (11,156)
    2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 3,698,000 (51,587) (20,117)
    (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 3,698,000 (51,587) (30,472)
    2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 6,163,300 (123,266) (62,742)

Citibank, N.A.
    (2.34)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.34 934,000 (17,326) (822)
    2.34/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.34 934,000 (17,326) (3,689)
    2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (5,744)
    (2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (16,532)
    2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) (33,097)
    (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) (40,431)
    (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 6,163,300 237,287 94,976
    2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 6,163,300 236,054 50,909
    2.615/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.615 934,000 74,720 13,169
    (2.615)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.615 934,000 74,720 4,969

Goldman Sachs International
    2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (1,760)
    3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,556,600 (141,651) (3,720)
    (2.47)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.47 1,556,600 (55,259) (3,783)
    2.7725/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.7725 1,556,600 (74,717) (5,993)
    (2.7725)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.7725 1,556,600 (39,693) (6,366)
    2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,556,600 (124,761) (7,114)
    2.47/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.47 1,556,600 (55,259) (10,242)
    (2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,556,600 (124,761) (11,752)
    (3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,556,600 (107,872) (12,282)
    (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (19,318)
    2.875/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.875 1,556,600 65,689 12,873
    (2.584)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.584 1,556,600 93,163 11,830
    2.584/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.584 1,556,600 93,163 10,211
    (2.875)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.875 1,556,600 127,797 4,032

JPMorgan Chase Bank N.A.
    2.2525/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.2525 1,556,600 (18,679) 12,640
    2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) 8,250
    (2.553)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.553 934,000 (12,422) (383)
    2.553/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.553 934,000 (22,883) (4,259)
    2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (144,396) (8,658)
    (2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (13,973)
    2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (22,743)
    (2.2525)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.2525 1,556,600 (96,509) (26,789)
    (2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (28,112)
    (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (203,131)
    2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 3,698,000 351,125 226,096
    2.36/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.36 1,556,600 169,669 53,625
    (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 3,698,000 351,125 47,260
    2.826/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.826 934,000 52,397 9,032
    (2.826)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.826 934,000 102,833 7,911
    (2.36)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.36 1,556,600 25,684 (29,560)

Morgan Stanley & Co. International PLC
    2.3388/3 month USD-LIBOR-BBA/Feb-28 (Purchased) Feb-18/2.3388 39,760,000 (117,498) 6,362
    (2.155)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.155 934,000 (23,350) (2,092)
    2.155/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.155 934,000 (12,235) (2,111)
    2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) (2,391)
    (2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (21,762)
    (2.5012)/3 month USD-LIBOR-BBA/Feb-28 (Purchased) Feb-18/2.5012 39,760,000 (114,618) (23,859)
    2.42/3 month USD-LIBOR-BBA/Feb-28 (Written) Feb-18/2.42 19,880,000 116,949 21,073
    2.43/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.43 934,000 102,366 20,557
    (2.43)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.43 934,000 51,930 159
    (2.42)/3 month USD-LIBOR-BBA/Feb-28 (Written) Feb-18/2.42 19,880,000 115,167 (9,542)
Unrealized appreciation 1,047,884
Unrealized (depreciation) (1,090,951)
Total $(43,067)












TBA SALE COMMITMENTS OUTSTANDING at 12/31/17 (proceeds receivable $74,327,539) (Unaudited)
  


Agency Principal amount       Settlement date Value
Federal National Mortgage Association, 4.50%, 1/1/48 $3,000,000       1/11/18 $3,191,719
Federal National Mortgage Association, 4.00%, 1/1/48 7,000,000       1/11/18 7,321,563
Federal National Mortgage Association, 3.50%, 1/1/48 40,000,000       1/11/18 41,084,375
Federal National Mortgage Association, 3.00%, 1/1/48 23,000,000       1/11/18 23,005,391
Total $74,603,048










  OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/17 (Unaudited)
   
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination date Payments made by fund   Payments received by fund Unrealized appreciation/
(depreciation)
                       
  JPMorgan Chase Bank N.A.
  MYR  3,705,000  $4,202   $—    12/12/22 3.925% — Quarterly   3 month MYR-KLIBOR-BNM — Quarterly $(4,448)
   Upfront premium received    —          Unrealized appreciation — 
   Upfront premium (paid)    —        Unrealized (depreciation) (4,448)
      Total   $—          Total $(4,448)





  CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/17 (Unaudited)
   
  Notional amount Value   Upfront premium received (paid)   Termination date Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
                       
     $4,771,000 $38,731  (E) $(35)   10/27/27 3 month USD-LIBOR-BBA — Quarterly   2.74875% — Semiannually $38,696 
     4,477,000 8,385  (E) 20,215    3/21/28 3 month USD-LIBOR-BBA — Quarterly   2.40% — Semiannually 11,830 
     165,738,600 167,893  (E) (154,230)   3/21/20 2.10% — Semiannually   3 month USD-LIBOR-BBA — Quarterly 13,663 
     42,682,600 49,683  (E) (25,029)   3/21/23 2.30% — Semiannually   3 month USD-LIBOR-BBA — Quarterly (74,712)
     105,712,400 276,438  (E) (260,462)   3/21/28 2.45% — Semiannually   3 month USD-LIBOR-BBA — Quarterly (536,900)
     8,948,300 635  (E) 134,822    3/21/48 3 month USD-LIBOR-BBA — Quarterly   2.55% — Semiannually 135,457 
     1,239,000 4,184    (9)   12/20/27 2.3575% — Semiannually   3 month USD-LIBOR-BBA — Quarterly 3,954 
     46,403,000 55,591  (E) (9,627)   3/21/23 2.25% — Semiannually   3 month USD-LIBOR-BBA — Quarterly 45,964 
     9,121,600 67,436  (E) (74)   1/30/28 2.48875% — Semiannually   3 month USD-LIBOR-BBA — Quarterly (67,510)
     3,389,000 21,903    (25)   12/27/27 3 month USD-LIBOR-BBA — Quarterly   2.4685% — Semiannually 22,020 
     8,629,000 51,377  (E) (70)   2/26/28 2.48% — Semiannually   3 month USD-LIBOR-BBA — Quarterly (51,447)
  AUD  5,347,000 10,910    (17)   11/3/22 2.427% — Semiannually   6 month AUD-BBR-BBSW — Semiannually 7,612 
  AUD  5,347,000 6,462    (17)   11/15/22 2.4525% — Semiannually   6 month AUD-BBR-BBSW — Semiannually 3,755 
  AUD  23,654,000 127,236  (E) (61,927)   3/21/23 2.40% — Semiannually   6 month AUD-BBR-BBSW — Semiannually 65,309 
  AUD  5,551,000 30,946  (E) (14,864)   3/21/28 6 month AUD-BBR-BBSW — Semiannually   2.75% — Semiannually (45,810)
  BRL  9,366,135 7,449    (26)   1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity 6,171 
  BRL  4,239,850 153,614    (11)   1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity (153,625)
  BRL  4,676,372 69,588    (12)   1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity 69,030 
  BRL  17,962,784 139,512    (22)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity (137,435)
  BRL  4,758,157 11,616    (19)   1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity (11,106)
  BRL  7,880,666 10,183    (24)   1/4/21 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity (10,207)
  BRL  20,842,443 23,167    (1)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity (21,141)
  BRL  6,464,275 21,078    (22)   1/4/21 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity 21,056 
  BRL  18,204,760 20,273    (22)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity (18,714)
  CAD  5,244,000 41,869    (17)   11/2/22 3 month CAD-BA-CDOR — Semiannually   2.02% — Semiannually (34,297)
  CAD  5,244,000 35,886    (17)   11/14/22 3 month CAD-BA-CDOR — Semiannually   2.0525% — Semiannually (29,660)
  CAD  25,167,000 177,270  (E) (1,314)   3/21/23 3 month CAD-BA-CDOR — Semiannually   2.10% — Semiannually (178,584)
  CAD  114,000 1,026  (E) (549)   3/21/28 3 month CAD-BA-CDOR — Semiannually   2.30% — Semiannually (1,575)
  CHF  9,535,000 705    (22)   9/29/19 —    0.528% plus 6 month CHF-LIBOR-BBA — Semiannually (2,661)
  CHF  9,535,000 528    (22)   10/2/19 —    0.526% plus 6 month CHF-LIBOR-BBA — Semiannually (2,786)
  CHF  19,865,000 3,384    (46)   10/6/19 —    0.53% plus 6 month CHF-LIBOR-BBA — Semiannually (3,032)
  CHF  19,974,000 51,921  (E) (21,475)   3/21/23 —    0.15% 6 month CHF-LIBOR-BBA — Semiannually 30,446 
  CHF  1,020,000 5,872  (E) (106)   3/21/28 6 month CHF-LIBOR-BBA — Semiannually   0.25% — Annually (5,978)
  EUR  3,849,000 531  (E) (15)   2/18/20 —    0.124% plus 1 Day Euribor rate — Annually (546)
  EUR  3,849,000 1,473  (E) (15)   2/18/20 —    0.104% plus 1 Day Euribor rate — Annually (1,488)
  EUR  12,446,000 2,524    (109)   4/26/22 0.21% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually (25,676)
  EUR  12,463,000 4,486    (110)   5/4/22 0.21% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually (21,950)
  EUR  3,590,000 35,028  (E) (31)   10/27/27 1.61375% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually (35,059)
  EUR  931,000 5,760  (E) (20)   12/20/47 1.85% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually 5,740 
  EUR  1,275,000 7,479  (E) (27)   12/20/67 6 month EUR-EURIBOR-REUTERS — Semiannually   1.41% — Annually (7,506)
  EUR  12,201,000 85,172  (E) 9,928    3/21/23 6 month EUR-EURIBOR-REUTERS — Semiannually   0.25% — Annually (75,244)
  EUR  42,110,000 387,583  (E) (20,014)   3/21/28 6 month EUR-EURIBOR-REUTERS — Semiannually   0.85% — Annually (407,600)
  GBP  1,747,000 72,094  (E) (32)   1/19/32 1.912% — Semiannually   6 month GBP-LIBOR-BBA — Semiannually (72,127)
  GBP  7,946,000 4,645    (24)   9/15/19 6 month GBP-LIBOR-BBA — Semiannually   0.766% — Semiannually 13,844 
  GBP  1,589,000 50,329  (E) (19)   9/22/32 1.863% — Semiannually   6 month GBP-LIBOR-BBA — Semiannually (50,348)
  GBP  7,946,000 14,236    9,866    12/20/19 6 month GBP-LIBOR-BBA — Semiannually   0.85% — Semiannually 25,074 
  GBP  13,569,000 27,554  (E) 26,083    3/21/23 1.10% — Semiannually   6 month GBP-LIBOR-BBA — Semiannually (1,471)
  GBP  3,233,000 21,520  (E) 31,904    3/21/28 1.35% — Semiannually   6 month GBP-LIBOR-BBA — Semiannually 10,384 
  INR  62,700,000 1,863    —    12/22/22 6.715% — Semiannually   INR-FBIL-MIBOR-OIS-Compound — Semiannually (2,853)
  JPY  511,900,000 131,234    (30)   2/19/20 6 month JPY-LIBOR-BBA — Semiannually   1.3975% — Semiannually 154,522 
  JPY  351,000,000 5,296    (13)   12/19/22 6 month JPY-LIBOR-BBA — Semiannually   0.09% — Semiannually (5,230)
  JPY  176,000,000 5,256    (12)   12/19/27 0.29% — Semiannually   6 month JPY-LIBOR-BBA — Semiannually 5,094 
  KRW  501,470,000 993    (6)   12/13/27 2.1725% — Quarterly   3 month KRW-CD-KSDA-BLOOMBERG — Quarterly 863 
  MXN  37,435,000 205,847    —    1/1/26 1 month MXN-TIIE-BANXICO — 28 Days   6.16% — 28 Days (207,089)
  MXN  40,660,000 133,938    —    10/6/21 1 month MXN-TIIE-BANXICO — 28 Days   5.93% — 28 Days (136,156)
  MXN  9,710,000 4,835    (6)   12/24/26 8.12% — 28 Days   1 month MXN-TIIE-BANXICO — 28 Days (5,095)
  MXN  11,645,000 8,878    (7)   1/7/27 8.20% — 28 Days   1 month MXN-TIIE-BANXICO — 28 Days (8,992)
  NOK  147,232,000 163,396  (E) (91,227)   3/21/23 1.40% — Annually   6 month NOK-NIBOR-NIBR — Semiannually 72,169 
  NOK  52,072,000 44,185  (E) (9,047)   3/21/28 6 month NOK-NIBOR-NIBR — Semiannually   1.90% — Annually (53,231)
  NZD  13,447,000 17,049  (E) (61,739)   3/21/28 3 month NZD-BBR-FRA — Quarterly   3.20% — Semiannually (44,689)
  NZD  4,301,000 6,203  (E) 207    3/21/23 2.70% — Semiannually   3 month NZD-BBR-FRA — Quarterly 6,410 
  SEK  80,438,000 9,629    (21)   11/10/19 —    0.245% 3 month SEK-STIBOR-SIDE — Quarterly 5,632 
  SEK  16,480,000 11,283    (14)   11/10/27 3 month SEK-STIBOR-SIDE — Quarterly   1.125% — Annually (6,667)
  SEK  80,438,000 9,816    (21)   11/10/19 —    0.246% 3 month SEK-STIBOR-SIDE — Quarterly 5,832 
  SEK  16,480,000 10,332    (14)   11/10/27 3 month SEK-STIBOR-SIDE — Quarterly   1.13% — Annually (5,703)
  SEK  80,438,000 5,442    (22)   11/13/19 —    0.2225% 3 month SEK-STIBOR-SIDE — Quarterly 1,383 
  SEK  16,480,000 4,878    (14)   11/13/27 3 month SEK-STIBOR-SIDE — Quarterly   1.16% — Annually (442)
  SEK  16,480,000 5,352    (14)   11/13/27 3 month SEK-STIBOR-SIDE — Quarterly   1.1575% — Annually (923)
  SEK  80,438,000 6,825    (22)   11/13/19 —    0.23% 3 month SEK-STIBOR-SIDE — Quarterly 2,862 
  SEK  25,673,000 27,989  (E) 22,609    3/21/23 3 month SEK-STIBOR-SIDE — Quarterly   0.40% — Annually (5,380)
  SEK  80,910,000 107,787  (E) 34,469    3/21/28 3 month SEK-STIBOR-SIDE — Quarterly   1.15% — Annually (73,317)
  ZAR  41,435,000 38,845    (7)   10/31/20 3 month ZAR-JIBAR-SAFEX — Quarterly   7.48% — Quarterly 41,067 
  ZAR  15,940,000 40,633    (8)   10/31/27 8.365% — Quarterly   3 month ZAR-JIBAR-SAFEX — Quarterly (43,263)
  Total       $(442,670)           $(1,859,386)
                       
(E)  Extended effective date.






  OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/17 (Unaudited)
   
  Swap counterparty/
notional amount		 Value Upfront premium received (paid)   Termination date Payments received (paid) by fund   Total return received by or paid by fund Unrealized appreciation/
(depreciation)
                     
  Barclays Bank PLC
    $59,295  $58,429  $—    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly $(356)
    101,839  101,764  —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 47 
    56,193  54,874  —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (642)
    67,843  67,792  —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 31 
    7,104  6,956  —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (63)
    126,624  126,154  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (266)
    604,388  603,940  —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 279 
    474,668  473,011  —    1/12/40 4.50% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly (989)
    289,826  288,866  —    1/12/39 (6.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly 382 
    77,605  75,630  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,160)
    46,744  45,554  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (698)
    59,253  57,745  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (885)
    106,439  104,228  —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (948)
    15,268  14,951  —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (136)
    220,851  216,050  —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,444 
    184,169  180,833  —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,681 
    369,157  362,469  —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,370 
    31,519  31,138  —    1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 125 
    939,197  935,558  —    1/12/40 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (2,117)
    7,729,517  7,701,808  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (15,191)
    4,910,043  4,898,757  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 650 
                     
  Citibank, N.A.
    480,251  478,530  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (944)
    1,029,257  1,025,568  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (2,023)
    96,133  95,788  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (189)
                     
  Credit Suisse International
    411,703  410,227  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (809)
    332,239  331,476  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 44 
    130,584  127,260  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,951)
    137,733  134,739  —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,524 
    152,680  149,361  —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,690 
    135,878  132,420  —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (2,030)
    49,987  49,082  —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (456)
    42,417  41,683  —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (391)
    111,282  109,937  —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (441)
    37,223  36,773  —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (147)
    68,065  67,242  —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (270)
    475,845  466,880  —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,688)
    122,994  120,676  —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,212)
    120,223  118,023  —    1/12/45 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,213)
    241,566  237,190  —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,205 
                     
  Deutsche Bank AG
    332,239  331,476  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 44 
                     
  Goldman Sachs International
    77,565  75,744  —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (886)
    35,120  34,390  —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (313)
    147,191  145,043  —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (884)
    147,191  145,043  —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (884)
    228,290  227,765  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 30 
    85,759  85,562  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 11 
    131,845  129,479  —    1/12/41 4.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (1,088)
    4,185  4,087  —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (48)
    35,678  34,840  —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (407)
    87,132  85,670  —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (673)
    37,505  36,624  —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (428)
    75,010  73,249  —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (857)
    2,637  2,582  —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (23)
    161,136  160,766  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 21 
    312,720  312,002  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 41 
    193,322  192,877  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 26 
    14,868  14,834  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 2 
    39,620  39,528  —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly 5 
    343,402  338,391  —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,063)
    299,137  294,772  —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,797)
    219,461  214,690  —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,429 
    302,962  297,722  —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,789)
    239,394  235,254  —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,204)
    110,749  108,834  —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,020)
    122,057  119,757  —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,203)
    138,740  137,062  —    1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 549 
    645,664  633,499  —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,361)
    204,449  198,228  —    1/12/44 (3.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 4,681 
    549,092  539,145  —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,012 
                     
  JPMorgan Chase Bank N.A.
    432,663  424,825  —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,949)
    247,435  242,953  —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,259)
    379,019  372,153  —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,460)
    234,878  230,623  —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,144)
    219,461  214,690  —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,429 
                     
  JPMorgan Securities LLC
    310,620  304,941  —    1/12/44 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,977)
    46,311  45,751  —    1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 183 
    996,216  981,677  —    1/12/42 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,984 
    293,206  285,744  —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 4,381 
    695,522  683,494  —    1/12/44 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 6,404 
  Upfront premium received —      Unrealized appreciation 46,704 
  Upfront premium (paid) —      Unrealized (depreciation) (78,932)
      Total $—          Total $(32,228)





  CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/17 (Unaudited)
   
  Notional amount   Value   Upfront premium received (paid)   Termination date Payments received (paid) by fund   Total return received by or paid by fund Unrealized appreciation/
(depreciation)
                       
  EUR 7,997,000  $138,555    $—    7/15/27 (1.40%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity $138,555 
  EUR 7,997,000  251,749    —    7/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (251,750)
  EUR 2,999,000  53,392    (39)   8/15/27 (1.42%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 53,353 
  EUR 2,999,000  104,773    (72)   8/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (104,846)
  EUR 4,998,000  84,202    (64)   8/15/27 (1.4275%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 84,137 
  EUR 4,998,000  169,819    (123)   8/15/37 1.7138% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (169,939)
  EUR 3,999,000  60,405    (51)   9/15/27 (1.4475%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 60,353 
  EUR 3,999,000  118,957    (97)   9/15/37 1.735% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (119,054)
  EUR 7,997,000  63,616    (57)   10/15/22 (1.3013%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 63,559 
  EUR 3,999,000  30,891    (28)   10/15/22 (1.305%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 30,863 
    $3,232,000  31,935    —    7/3/22 (1.9225%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 31,935 
    3,232,000  43,422    —    7/3/27 2.085% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (43,422)
    3,719,000  43,018    —    7/5/22 (1.89%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 43,018 
    3,599,000  5,830    (22)   12/21/22 (2.068%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 5,808 
    3,599,000  10,869    (39)   12/21/27 2.1939% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (10,908)
    3,719,000  63,186    —    7/5/27 2.05% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (63,186)
    3,599,000  8,404    (22)   12/6/22 (2.05%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 8,382 
    3,599,000  11,038    (39)   12/6/27 2.19% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (11,077)
  Total       $(653)           $(254,219)
                       
                       
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.
                       
  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/17 (Unaudited)
   
  Swap counterparty/referenced debt* Rating*** Upfront premium received (paid)**   Notional amount Value   Termination date   Payments received by fund Unrealized appreciation/
(depreciation)
                       
  Bank of America N.A.
  CMBX NA BBB-.6 Index BBB-/P $4,375    $64,000  $9,363    5/11/63   300 bp — Monthly $(4,951)
  CMBX NA BBB-.6 Index BBB-/P 8,497    141,000  20,628    5/11/63   300 bp — Monthly (12,049)
  CMBX NA BBB-.6 Index BBB-/P 17,409    282,000  41,257    5/11/63   300 bp — Monthly (23,683)
  CMBX NA BBB-.6 Index BBB-/P 16,587    291,000  42,573    5/11/63   300 bp — Monthly (25,817)
                       
  Citigroup Global Markets, Inc.
  CMBX NA BBB-.6 Index BBB-/P 28,646    169,000  24,725    5/11/63   300 bp — Monthly 4,019 
  CMBX NA BBB-.6 Index BBB-/P 29,486    217,000  31,747    5/11/63   300 bp — Monthly (2,134)
                       
  Credit Suisse International
  CMBX NA BBB-.6 Index BBB-/P 20,776    134,000  19,604    5/11/63   300 bp — Monthly 1,250 
  CMBX NA BBB-.6 Index BBB-/P 38,364    263,000  38,477    5/11/63   300 bp — Monthly 41 
  CMBX NA BBB-.6 Index BBB-/P 76,729    526,000  76,954    5/11/63   300 bp — Monthly 82 
  CMBX NA BBB-.6 Index BBB-/P 21,326    126,000  18,434    5/11/63   300 bp — Monthly 2,965 
  CMBX NA BBB-.6 Index BBB-/P 36,978    292,000  42,720    5/11/63   300 bp — Monthly (5,571)
  CMBX NA BBB-.6 Index BBB-/P 41,680    359,000  52,522    5/11/63   300 bp — Monthly (10,633)
  CMBX NA BBB-.6 Index BBB-/P 55,222    366,000  53,546    5/11/63   300 bp — Monthly 1,889 
  CMBX NA BBB-.6 Index BBB-/P 51,002    445,000  65,104    5/11/63   300 bp — Monthly (13,842)
  CMBX NA BBB-.6 Index BBB-/P 53,345    465,000  68,030    5/11/63   300 bp — Monthly (14,413)
  CMBX NA BBB-.6 Index BBB-/P 82,454    780,000  114,114    5/11/63   300 bp — Monthly (31,205)
  CMBX NA BBB-.6 Index BBB-/P 137,903    914,000  133,718    5/11/63   300 bp — Monthly 4,718 
  CMBX NA BBB-.6 Index BBB-/P 106,372    983,000  143,813    5/11/63   300 bp — Monthly (36,868)
  CMBX NA BBB-.6 Index BBB-/P 599,291    5,605,000  820,012    5/11/63   300 bp — Monthly (217,451)
  CMBX NA BBB-.7 Index BBB-/P 51,226    780,000  91,104    1/17/47   300 bp — Monthly (39,423)
  CMBX NA BBB-.7 Index BBB-/P 623,842    8,440,000  985,792    1/17/47   300 bp — Monthly (357,029)
                       
  Goldman Sachs International
  CMBX NA BBB-.6 Index BBB-/P 13,013    84,000  12,289    5/11/63   300 bp — Monthly 773 
  CMBX NA BBB-.6 Index BBB-/P 6,450    46,000  6,730    5/11/63   300 bp — Monthly (253)
  CMBX NA BBB-.6 Index BBB-/P 6,758    78,000  11,411    5/11/63   300 bp — Monthly (4,608)
  CMBX NA BBB-.6 Index BBB-/P 7,858    91,000  13,313    5/11/63   300 bp — Monthly (5,402)
  CMBX NA BBB-.6 Index BBB-/P 12,871    115,000  16,825    5/11/63   300 bp — Monthly (3,886)
  CMBX NA BBB-.6 Index BBB-/P 10,295    122,000  17,849    5/11/63   300 bp — Monthly (7,482)
  CMBX NA BBB-.6 Index BBB-/P 9,733    123,000  17,995    5/11/63   300 bp — Monthly (8,190)
  CMBX NA BBB-.6 Index BBB-/P 23,502    157,000  22,969    5/11/63   300 bp — Monthly 625 
  CMBX NA BBB-.6 Index BBB-/P 23,233    158,000  23,115    5/11/63   300 bp — Monthly 210 
  CMBX NA BBB-.6 Index BBB-/P 18,496    166,000  24,286    5/11/63   300 bp — Monthly (5,693)
  CMBX NA BBB-.6 Index BBB-/P 18,286    169,000  24,725    5/11/63   300 bp — Monthly (6,340)
  CMBX NA BBB-.6 Index BBB-/P 18,357    169,000  24,725    5/11/63   300 bp — Monthly (6,269)
  CMBX NA BBB-.6 Index BBB-/P 20,534    175,000  25,603    5/11/63   300 bp — Monthly (4,966)
  CMBX NA BBB-.6 Index BBB-/P 29,593    178,000  26,041    5/11/63   300 bp — Monthly 3,655 
  CMBX NA BBB-.6 Index BBB-/P 15,274    181,000  26,480    5/11/63   300 bp — Monthly (11,101)
  CMBX NA BBB-.6 Index BBB-/P 15,166    183,000  26,773    5/11/63   300 bp — Monthly (11,500)
  CMBX NA BBB-.6 Index BBB-/P 24,103    216,000  31,601    5/11/63   300 bp — Monthly (7,372)
  CMBX NA BBB-.6 Index BBB-/P 24,103    216,000  31,601    5/11/63   300 bp — Monthly (7,372)
  CMBX NA BBB-.6 Index BBB-/P 11,095    226,000  33,064    5/11/63   300 bp — Monthly (21,837)
  CMBX NA BBB-.6 Index BBB-/P 16,691    245,000  35,844    5/11/63   300 bp — Monthly (19,010)
  CMBX NA BBB-.6 Index BBB-/P 40,089    266,000  38,916    5/11/63   300 bp — Monthly 1,328 
  CMBX NA BBB-.6 Index BBB-/P 13,442    271,000  39,647    5/11/63   300 bp — Monthly (26,047)
  CMBX NA BBB-.6 Index BBB-/P 13,211    271,000  39,647    5/11/63   300 bp — Monthly (26,278)
  CMBX NA BBB-.6 Index BBB-/P 14,449    277,000  40,525    5/11/63   300 bp — Monthly (25,915)
  CMBX NA BBB-.6 Index BBB-/P 36,039    296,000  43,305    5/11/63   300 bp — Monthly (7,093)
  CMBX NA BBB-.6 Index BBB-/P 33,021    305,000  44,622    5/11/63   300 bp — Monthly (11,423)
  CMBX NA BBB-.6 Index BBB-/P 47,211    452,000  66,128    5/11/63   300 bp — Monthly (18,653)
  CMBX NA BBB-.6 Index BBB-/P 62,391    569,000  83,245    5/11/63   300 bp — Monthly (20,521)
  CMBX NA BBB-.6 Index BBB-/P 71,494    605,000  88,512    5/11/63   300 bp — Monthly (16,664)
  CMBX NA BBB-.6 Index BBB-/P 71,741    605,000  88,512    5/11/63   300 bp — Monthly (16,417)
  CMBX NA BBB-.6 Index BBB-/P 67,357    611,000  89,389    5/11/63   300 bp — Monthly (21,676)
  CMBX NA BBB-.6 Index BBB-/P 37,011    765,000  111,920    5/11/63   300 bp — Monthly (74,462)
  CMBX NA BBB-.7 Index BBB-/P 34,850    500,000  58,400    1/17/47   300 bp — Monthly (23,258)
  CMBX NA BBB-.7 Index BBB-/P 51,111    600,000  70,080    1/17/47   300 bp — Monthly (18,619)
  CMBX NA BBB-.7 Index BBB-/P 90,359    1,040,000  121,472    1/17/47   300 bp — Monthly (30,506)
  CMBX NA BBB-.7 Index BBB-/P 112,277    1,519,000  177,419    1/17/47   300 bp — Monthly (64,256)
                       
  JPMorgan Securities LLC
  CMBX NA BBB-.6 Index BBB-/P 38,320    263,000  38,477    5/11/63   300 bp — Monthly (4)
  CMBX NA BBB-.6 Index BBB-/P 77,894    525,000  76,808    5/11/63   300 bp — Monthly 1,393 
  CMBX NA BBB-.6 Index BBB-/P 7,754    49,000  7,169    5/11/63   300 bp — Monthly 614 
  CMBX NA BBB-.6 Index BBB-/P 7,789    49,000  7,169    5/11/63   300 bp — Monthly 649 
  CMBX NA BBB-.6 Index BBB-/P 9,265    62,000  9,071    5/11/63   300 bp — Monthly 231 
  CMBX NA BBB-.6 Index BBB-/P 7,862    69,000  10,095    5/11/63   300 bp — Monthly (2,192)
  CMBX NA BBB-.6 Index BBB-/P 15,421    98,000  14,337    5/11/63   300 bp — Monthly 1,141 
  CMBX NA BBB-.6 Index BBB-/P 14,055    126,000  18,434    5/11/63   300 bp — Monthly (4,305)
  CMBX NA BBB-.6 Index BBB-/P 17,625    141,000  20,628    5/11/63   300 bp — Monthly (2,921)
  CMBX NA BBB-.6 Index BBB-/P 25,483    164,000  23,993    5/11/63   300 bp — Monthly 1,585 
  CMBX NA BBB-.6 Index BBB-/P 19,054    174,000  25,456    5/11/63   300 bp — Monthly (6,301)
  CMBX NA BBB-.6 Index BBB-/P 24,925    190,000  27,797    5/11/63   300 bp — Monthly (2,761)
  CMBX NA BBB-.6 Index BBB-/P 27,466    211,000  30,869    5/11/63   300 bp — Monthly (3,280)
  CMBX NA BBB-.6 Index BBB-/P 27,649    214,000  31,308    5/11/63   300 bp — Monthly (3,534)
  CMBX NA BBB-.6 Index BBB-/P 26,741    240,000  35,112    5/11/63   300 bp — Monthly (8,231)
  CMBX NA BBB-.6 Index BBB-/P 36,750    249,000  36,429    5/11/63   300 bp — Monthly 466 
  CMBX NA BBB-.6 Index BBB-/P 27,894    251,000  36,721    5/11/63   300 bp — Monthly (8,681)
  CMBX NA BBB-.6 Index BBB-/P 47,108    277,000  40,525    5/11/63   300 bp — Monthly 6,744 
  CMBX NA BBB-.6 Index BBB-/P 47,498    277,000  40,525    5/11/63   300 bp — Monthly 7,134 
  CMBX NA BBB-.6 Index BBB-/P 32,798    289,000  42,281    5/11/63   300 bp — Monthly (9,314)
  CMBX NA BBB-.6 Index BBB-/P 34,097    304,000  44,475    5/11/63   300 bp — Monthly (10,201)
  CMBX NA BBB-.6 Index BBB-/P 33,500    305,000  44,622    5/11/63   300 bp — Monthly (10,944)
  CMBX NA BBB-.6 Index BBB-/P 44,125    313,000  45,792    5/11/63   300 bp — Monthly (1,484)
  CMBX NA BBB-.6 Index BBB-/P 50,619    318,000  46,523    5/11/63   300 bp — Monthly 4,281 
  CMBX NA BBB-.6 Index BBB-/P 38,852    350,000  51,205    5/11/63   300 bp — Monthly (12,148)
  CMBX NA BBB-.6 Index BBB-/P 55,500    366,000  53,546    5/11/63   300 bp — Monthly 2,168 
  CMBX NA BBB-.6 Index BBB-/P 41,549    395,000  57,789    5/11/63   300 bp — Monthly (16,010)
  CMBX NA BBB-.6 Index BBB-/P 49,635    420,000  61,446    5/11/63   300 bp — Monthly (11,566)
  CMBX NA BBB-.6 Index BBB-/P 55,426    422,000  61,739    5/11/63   300 bp — Monthly (6,066)
  CMBX NA BBB-.6 Index BBB-/P 47,402    452,000  66,128    5/11/63   300 bp — Monthly (18,462)
  CMBX NA BBB-.6 Index BBB-/P 50,405    458,000  67,005    5/11/63   300 bp — Monthly (16,333)
  CMBX NA BBB-.6 Index BBB-/P 52,876    480,000  70,224    5/11/63   300 bp — Monthly (17,068)
  CMBX NA BBB-.6 Index BBB-/P 70,597    671,000  98,167    5/11/63   300 bp — Monthly (27,179)
  CMBX NA BBB-.6 Index BBB-/P 112,851    746,000  109,140    5/11/63   300 bp — Monthly 4,146 
  CMBX NA BBB-.6 Index BBB-/P 84,214    763,000  111,627    5/11/63   300 bp — Monthly (26,967)
  CMBX NA BBB-.6 Index BBB-/P 122,768    886,000  129,622    5/11/63   300 bp — Monthly (6,337)
  CMBX NA BBB-.6 Index BBB-/P 210,952    2,013,000  294,502    5/11/63   300 bp — Monthly (82,376)
  CMBX NA BBB-.6 Index BBB-/P 261,664    2,495,000  365,019    5/11/63   300 bp — Monthly (101,899)
  CMBX NA BBB-.6 Index BBB-/P 549,429    3,123,000  456,895    5/11/63   300 bp — Monthly 94,355 
  CMBX NA BBB-.6 Index BBB-/P 485,375    4,053,000  592,954    5/11/63   300 bp — Monthly (105,214)
                       
  Morgan Stanley & Co. International PLC
  CMBX NA BBB-.6 Index BBB-/P 38,870    263,000  38,477    5/11/63   300 bp — Monthly 547 
  CMBX NA BBB-.6 Index BBB-/P 38,928    263,000  38,477    5/11/63   300 bp — Monthly 604 
  CMBX NA BBB-.6 Index BBB-/P 38,318    263,000  38,477    5/11/63   300 bp — Monthly (6)
  CMBX NA BBB-.6 Index BBB-/P 77,707    525,000  76,808    5/11/63   300 bp — Monthly 1,206 
  CMBX NA BBB-.6 Index BBB-/P 77,780    525,000  76,808    5/11/63   300 bp — Monthly 1,279 
  CMBX NA BBB-.6 Index BBB-/P 76,916    526,000  76,954    5/11/63   300 bp — Monthly 269 
  CMBX NA BBB-.6 Index BBB-/P 116,041    788,000  115,284    5/11/63   300 bp — Monthly 1,217 
  CMBX NA BBB-.6 Index BBB-/P 115,105    790,000  115,577    5/11/63   300 bp — Monthly (11)
  CMBX NA BBB-.6 Index BBB-/P 155,146    1,051,000  153,761    5/11/63   300 bp — Monthly 1,998 
  CMBX NA BBB-.6 Index BBB-/P 28,646    169,000  24,725    5/11/63   300 bp — Monthly 4,019 
  Upfront premium received 6,977,618          Unrealized appreciation 157,601 
  Upfront premium (paid) —          Unrealized (depreciation) (1,849,933)
  Total $6,977,618              Total $(1,692,332)
                       
* Payments related to the referenced debt are made upon a credit default event.
                       
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
                       
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2017.  Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.
  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/17 (Unaudited)
   
  Swap counterparty/referenced debt* Upfront premium received (paid)**   Notional amount Value   Termination date   Payments (paid) by fund Unrealized appreciation/
(depreciation)
                     
  Citigroup Global Markets, Inc.
  CMBX NA BB.7 Index $(19,268)   $118,000  $22,125    1/17/47   (500 bp) — Monthly $2,742 
  CMBX NA BB.7 Index (18,533)   118,000  22,125    1/17/47   (500 bp) — Monthly 3,478 
                     
  Credit Suisse International
  CMBX NA BB.7 Index (23,775)   1,347,000  320,317    5/11/63   (500 bp) — Monthly 295,232 
  CMBX NA BB.7 Index (262,850)   1,598,000  299,625    1/17/47   (500 bp) — Monthly 35,221 
  CMBX NA BB.7 Index (61,796)   335,000  62,813    1/17/47   (500 bp) — Monthly 691 
                     
  Goldman Sachs International
  CMBX NA BB.6 Index (101,276)   990,000  235,422    5/11/63   (500 bp) — Monthly 133,183 
  CMBX NA BB.7 Index (32,233)   213,000  39,938    1/17/47   (500 bp) — Monthly 7,498 
  CMBX NA BB.6 Index (8,913)   61,000  14,506    5/11/63   (500 bp) — Monthly 5,534 
  CMBX NA BB.7 Index (75,236)   445,000  83,438    1/17/47   (500 bp) — Monthly 7,768 
  CMBX NA BB.7 Index (38,667)   236,000  44,250    1/17/47   (500 bp) — Monthly 5,353 
  CMBX NA BB.7 Index (25,381)   125,000  23,438    1/17/47   (500 bp) — Monthly (2,065)
  CMBX NA BB.7 Index (18,621)   102,000  19,125    1/17/47   (500 bp) — Monthly 405 
                     
  JPMorgan Securities LLC
  CMBX NA BB.6 Index (38,525)   274,000  65,157    5/11/63   (500 bp) — Monthly 26,366 
  CMBX NA BB.6 Index (37,251)   259,000  61,590    5/11/63   (500 bp) — Monthly 24,088 
  CMBX NA BB.6 Index (27,983)   193,000  45,895    5/11/63   (500 bp) — Monthly 17,725 
  CMBX NA BB.6 Index (15,954)   120,000  28,536    5/11/63   (500 bp) — Monthly 12,465 
  CMBX NA BB.7 Index (89,046)   570,000  106,875    1/17/47   (500 bp) — Monthly 17,274 
  CMBX NA BB.7 Index (63,627)   387,000  72,563    1/17/47   (500 bp) — Monthly 8,559 
  CMBX NA BB.7 Index (59,921)   375,000  70,313    1/17/47   (500 bp) — Monthly 10,027 
  CMBX NA BB.7 Index (52,295)   322,000  60,375    1/17/47   (500 bp) — Monthly 7,767 
  CMBX NA BB.7 Index (37,255)   238,000  44,625    1/17/47   (500 bp) — Monthly 7,138 
  CMBX NA BB.7 Index (18,533)   118,000  22,125    1/17/47   (500 bp) — Monthly 3,478 
  CMBX NA BB.7 Index (18,822)   102,000  19,125    1/17/47   (500 bp) — Monthly 204 
  CMBX NA BB.7 Index (14,429)   95,000  17,813    1/17/47   (500 bp) — Monthly 3,291 
  CMBX NA BBB-.7 Index (42,678)   513,000  59,918    1/17/47   (300 bp) — Monthly 16,941 
  CMBX NA BBB-.7 Index (44,394)   482,000  56,298    1/17/47   (300 bp) — Monthly 11,623 
  CMBX NA BBB-.7 Index (34,928)   313,000  36,558    1/17/47   (300 bp) — Monthly 1,448 
  CMBX NA BBB-.7 Index (18,115)   229,000  26,747    1/17/47   (300 bp) — Monthly 8,499 
  CMBX NA BBB-.7 Index (17,180)   164,000  19,155    1/17/47   (300 bp) — Monthly 1,879 
  CMBX NA BBB-.7 Index (8,285)   154,000  17,987    1/17/47   (300 bp) — Monthly 9,613 
                     
  Morgan Stanley & Co. International PLC
  CMBX NA BB.7 Index (33,495)   179,000  33,563    1/17/47   (500 bp) — Monthly (106)
                     
  Upfront premium received —          Unrealized appreciation 685,490 
  Upfront premium (paid) (1,359,265)         Unrealized (depreciation) (2,171)
  Total $(1,359,265)             Total $683,319 
                     
* Payments related to the referenced debt are made upon a credit default event.
                     
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.






  CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/17 (Unaudited)
   
  Referenced debt* Upfront premium received (paid)** Notional amount Value   Termination date   Payments (paid) by fund Unrealized appreciation/
(depreciation)
                   
  NA HY Series 29 Index $563,680  $7,566,000  $624,573    12/20/22   (500 bp) — Quarterly $(73,502)
  Total $563,680              $(73,502)
                   
* Payments related to the referenced debt are made upon a credit default event.
                   
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.








Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
JSC Joint Stock Company
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2017 through December 31, 2017 (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 Disclosuresand references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $268,607,713.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $52,947, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam 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 9/30/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 12/31/17
Short-term investments
Putnam Short Term Investment Fund* 11,607,286 22,737,331 22,850,621 33,022 11,493,996
Total Short-term investments $11,607,286 $22,737,331 $22,850,621 $33,022 $11,493,996
* 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.
*** Management fees incurred through investment in Putnam Government Money Market Fund have been waived by the fund. 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 $51,859.
(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 $8,335,531.
(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 $9,278,680.
(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.
(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 $95,187,185 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 85.4 %
Argentina 2.5
Brazil 2.3
Greece 2.2
Russia 1.6
Canada 1.1
Mexico 1.1
Indonesia 0.7
Luxembourg 0.5
Other 2.6
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees.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 to hedge 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 for hedging currency exposures and to gain 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, tohedge 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 and 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 to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $638,246 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $49,462 $— $10,017
    Energy 161,214 8,871 5,913
    Technology 357,178 — —
    Transportation — 5,576 —
    Utilities and power — 7,856 —
Total common stocks 567,854 22,303 15,930
Convertible bonds and notes — 2,590,599 —
Convertible preferred stocks — 13,456 —
Corporate bonds and notes — 90,246,855 2
Foreign government and agency bonds and notes 26,923,099
Mortgage-backed securities — 121,247,330 —
Purchased options outstanding — 726,551 —
Purchased swap options outstanding — 4,198,048 —
Senior loans — 4,324,118 —
U.S. government and agency mortgage obligations — 118,699,379 —
Warrants 2,180 — —
Short-term investments 11,493,996 17,771,436 —
Totals by level $12,064,030 $386,763,174 $15,932



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(936,413) $—
Futures contracts 33,557 — —
Written options outstanding — (614,857) —
Written swap options outstanding — (4,247,243) —
Forward premium swap option contracts — (43,067) —
TBA sale commitments — (74,603,048) —
Interest rate swap contracts — (1,421,164) —
Total return swap contracts — (285,794) —
Credit default contracts — (7,264,548) —
Totals by level $33,557 $(89,416,134) $—

During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $2,042,584 $9,307,132
Foreign exchange contracts 975,513 1,846,003
Equity contracts 2,180 —
Interest rate contracts 7,321,781 9,041,673
Total $10,342,058 $20,194,808

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)$51,400,000
Purchased currency option contracts (contract amount)$11,000,000
Purchased swap option contracts (contract amount)$461,000,000
Written TBA commitment option contracts (contract amount)$79,400,000
Written currency option contracts (contract amount)$11,000,000
Written swap option contracts (contract amount)$142,200,000
Futures contracts (number of contracts)4
Forward currency contracts (contract amount)$79,300,000
OTC interest rate swap contracts (notional)$210,000
Centrally cleared interest rate swap contracts (notional)$246,300,000
OTC total return swap contracts (notional)$9,300,000
Centrally cleared total return swap contracts (notional)$25,600,000
OTC credit default contracts (notional)$21,600,000
Centrally cleared credit default contracts (notional)$2,300,000
Warrants (number of warrants)900

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



Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 27, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: February 27, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: February 27, 2018

EX-99.CERT 2 b_074certifications.htm CERTIFICATIONS b_074certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

/s/ Jonathan S. Horwitz
_____________________________

Date: February 26, 2018
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

/s/ Janet C. Smith
_______________________________

Date: February 26, 2018
Janet C. Smith
Principal Financial Officer














Attachment A

NQ

Period (s) ended December 31, 2017
               Putnam Master Intermediate Income Trust
               Putnam California Tax Exempt Income Fund
               Putnam American Government Income Fund
               Putnam Tax Exempt Income Fund
               Putnam International Growth Fund
               Putnam U.S. Government Income Trust
               Putnam Government Money Market Fund
               Putnam Money Market Fund
               Putnam Diversified Income Trust
               Putnam Dynamic Asset Allocation Balanced Fund
               Putnam Dynamic Asset Allocation Growth Fund
               Putnam Dynamic Asset Allocation Conservative Fund