0000928816-19-001422.txt : 20190827 0000928816-19-001422.hdr.sgml : 20190827 20190827161914 ACCESSION NUMBER: 0000928816-19-001422 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190630 FILED AS OF DATE: 20190827 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: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-05498 FILM NUMBER: 191057507 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 ACCESSION NUMBER: 0000869392-19-000932 NPORT-EX 1 b_074nportex.htm PUTNAM MASTER INTERMEDIATE INCOME TRUST

Putnam Master Intermediate Income Trust
The fund's portfolio
6/30/19 (Unaudited)



U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (68.8%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (5.6%)
Government National Mortgage Association Pass-Through Certificates
5.50%, with due dates from 5/20/49 to 5/20/49 85,901 93,596
5.00%, with due dates from 5/20/49 to 6/20/49 668,778 712,718
4.50%, TBA, 7/1/49 8,000,000 8,339,375
4.50%, with due dates from 5/20/49 to 6/20/49 720,403 763,918
4.00%, TBA, 7/1/49 4,000,000 4,146,875
14,056,482
U.S. Government Agency Mortgage Obligations (63.2%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 5/1/49 to 5/1/49 89,885 96,907
4.50%, 5/1/49 72,909 77,515
Uniform Mortgage Backed Securities
5.50%, TBA, 8/1/49 3,000,000 3,200,391
5.50%, TBA, 7/1/49 3,000,000 3,198,750
4.50%, TBA, 7/1/49 3,000,000 3,134,766
4.00%, TBA, 8/1/49 18,000,000 18,603,281
4.00%, TBA, 7/1/49 29,000,000 29,971,952
3.50%, TBA, 8/1/49 42,000,000 42,930,233
3.50%, TBA, 7/1/49 42,000,000 42,941,720
3.00%, TBA, 7/1/49 6,000,000 6,051,094
2.50%, TBA, 8/1/49 4,000,000 3,966,875
2.50%, TBA, 7/1/49 4,000,000 3,972,500
158,145,984
Total U.S. government and agency mortgage obligations (cost $171,875,077) $172,202,466









U.S. TREASURY OBLIGATIONS (0.4%)(a)
        Principal amount Value
U.S. Treasury Notes 2.00%, 10/31/21(i) $1,001,000 $1,010,399
Total U.S. treasury obligations (cost $1,010,399) $1,010,399









MORTGAGE-BACKED SECURITIES (43.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (20.6%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 16.159%, 4/15/37 $34,822 $55,431
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 15.018%, 11/15/35 61,132 94,389
IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 14.374%, 12/15/36 33,566 47,262
Ser. 4813, IO, 5.50%, 8/15/48 2,422,804 513,920
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 1,907,428 297,666
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 957,096 163,672
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 508,208 79,139
IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.256%, 4/15/40 1,998,957 221,345
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 2,042,799 288,545
Ser. 4425, IO, 4.00%, 1/15/45 2,746,576 420,446
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,932,564 396,500
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,250,405 151,198
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 1,896,387 103,668
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.706%, 4/15/47 1,072,271 222,283
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 5,128,663 700,934
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 3,009,294 338,795
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 2,496,417 241,517
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 814,796 67,331
Ser. 304, Class C37, IO, 3.50%, 12/15/27 773,507 60,594
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 3,496,606 276,742
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,531,160 111,009
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 872,215 39,180
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 2,916,634 152,213
FRB Ser. 57, Class 1AX, IO, 0.374%, 7/25/43(WAC) 1,261,816 12,618
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 994 801
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 25.474%, 7/25/36 52,311 91,081
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 15.384%, 6/25/37 50,331 76,706
IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 14.467%, 2/25/38 37,163 48,500
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 13.037%, 8/25/35 33,113 43,615
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 11.143%, 11/25/34 48,333 56,607
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.404%, 7/25/25 285,917 305,568
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,301,806 501,904
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,957,268 378,296
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 1,082,274 41,556
Ser. 15-30, IO, 5.50%, 5/25/45 3,068,759 640,696
Ser. 374, Class 6, IO, 5.50%, 8/25/36 84,423 15,943
Ser. 378, Class 19, IO, 5.00%, 6/25/35 250,519 45,480
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 381,670 81,004
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 2,228,581 179,737
Ser. 366, Class 22, IO, 4.50%, 10/25/35 5,891 115
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 4.046%, 4/25/42 1,070,298 172,670
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,529,483 229,422
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 1,391,940 140,920
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 1,632,231 181,013
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 3,566,994 639,672
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,023,957 136,319
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 846,294 102,732
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 851,283 104,715
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 3.996%, 4/25/40 752,587 141,110
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.746%, 10/25/41 786,707 55,935
IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.696%, 12/25/46 2,944,088 493,135
IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.696%, 5/25/39 9,181,407 1,600,934
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.546%, 2/25/43 1,963,030 399,967
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 2,354,352 250,103
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 3.496%, 10/25/41 2,485,415 360,385
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 1,125,410 58,154
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,259,452 68,643
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,188,689 87,022
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 940,365 34,859
Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 3,431,501 243,945
Ser. 99-51, Class N, PO, zero %, 9/17/29 5,952 5,431
Federal National Mortgage Association IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 0.00%), 3.846%, 3/25/48 4,174,226 746,769
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 907,575 186,234
Ser. 16-42, IO, 5.00%, 2/20/46 2,429,404 478,843
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 3,381,585 426,249
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 4,218,330 866,529
Ser. 14-76, IO, 5.00%, 5/20/44 971,820 196,313
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 708,076 150,320
Ser. 12-146, IO, 5.00%, 12/20/42 614,043 129,330
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 942,543 195,453
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 669,648 140,413
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,966,687 629,552
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,526,156 316,082
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 3,030,572 616,272
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 536,883 103,511
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 4,009,517 666,029
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,175,239 205,667
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 2,946,469 387,637
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 2,138,083 224,328
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 892,981 188,142
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,368,296 271,949
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 1,824,342 263,928
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,311,708 248,917
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 312,845 38,946
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,189,539 221,428
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,280,144 223,304
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 2,244,361 420,795
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,182,171 219,034
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,325,395 249,987
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 830,065 157,912
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 689,851 153,664
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 1,531,496 153,150
Ser. 16-29, IO, 4.00%, 2/16/46 1,162,408 209,234
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 3,464,687 562,145
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,812,325 355,765
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 2,176,296 356,671
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 2,195,749 313,816
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 5,231,492 815,485
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 4,125,001 433,125
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 716,077 124,070
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 2,963,713 287,141
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 648,736 107,998
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 552,128 100,039
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,374,296 240,349
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.767%, 11/20/43 2,965,242 496,678
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.767%, 9/20/43 496,293 87,159
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 0.00%), 3.639%, 6/20/49 428,000 59,385
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 1,869,695 205,407
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 1,229,621 105,022
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,548,483 159,387
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 3,635,833 415,030
Ser. 15-111, Class IJ, IO, 3.50%, 8/20/45 2,034,085 256,758
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 3,059,450 385,144
Ser. 13-76, IO, 3.50%, 5/20/43 2,335,254 344,940
Ser. 13-28, IO, 3.50%, 2/20/43 713,838 96,782
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,127,026 152,149
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,647,594 217,301
Ser. 13-14, IO, 3.50%, 12/20/42 3,881,303 406,567
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,146,667 147,244
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,568,943 267,434
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,906,521 332,163
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 2,235,698 379,679
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 956,902 166,742
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 2,517,804 247,015
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 2,854,678 304,203
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 1,530,809 112,888
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 4,209,624 350,409
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.217%, 8/20/44 2,405,241 357,780
Ser. 18-H05, Class AI, IO, 2.415%, 2/20/68(WAC) 2,214,470 298,261
Ser. 18-H02, Class EI, IO, 2.411%, 1/20/68(WAC) 6,472,593 861,664
Ser. 18-H03, Class XI, IO, 2.383%, 2/20/68(WAC) 4,716,526 623,996
Ser. 16-H18, Class QI, IO, 2.374%, 6/20/66(WAC) 3,128,278 371,865
Ser. 17-H16, Class JI, IO, 2.367%, 8/20/67(WAC) 9,086,976 1,294,894
Ser. 17-H12, Class QI, IO, 2.363%, 5/20/67(WAC) 4,115,559 472,376
Ser. 18-H05, Class BI, IO, 2.362%, 2/20/68(WAC) 4,645,616 619,899
Ser. 17-H16, Class FI, IO, 2.362%, 8/20/67(WAC) 3,430,191 411,623
Ser. 17-H06, Class BI, IO, 2.361%, 2/20/67(WAC) 4,618,556 531,134
Ser. 17-H02, Class BI, IO, 2.348%, 1/20/67(WAC) 2,890,091 356,071
Ser. 16-H22, Class AI, IO, 2.313%, 10/20/66(WAC) 4,430,307 486,784
Ser. 18-H15, Class KI, IO, 2.288%, 8/20/68(WAC) 3,989,131 548,506
Ser. 16-H23, Class NI, IO, 2.254%, 10/20/66(WAC) 11,496,093 1,295,610
Ser. 16-H16, Class EI, IO, 2.231%, 6/20/66(WAC) 4,446,450 486,442
Ser. 17-H08, Class NI, IO, 2.23%, 3/20/67(WAC) 6,073,807 672,978
Ser. 16-H03, Class AI, IO, 2.115%, 1/20/66(WAC) 3,811,691 357,346
Ser. 15-H10, Class BI, IO, 2.052%, 4/20/65(WAC) 2,863,238 264,910
Ser. 17-H19, Class MI, IO, 2.044%, 4/20/67(WAC) 2,302,498 255,347
Ser. 16-H09, Class BI, IO, 2.019%, 4/20/66(WAC) 5,017,324 511,652
Ser. 16-H03, Class DI, IO, 2.004%, 12/20/65(WAC) 4,115,765 354,985
Ser. 16-H17, Class KI, IO, 1.999%, 7/20/66(WAC) 3,012,148 331,336
Ser. 15-H15, Class BI, IO, 1.998%, 6/20/65(WAC) 2,685,198 261,552
Ser. 15-H20, Class CI, IO, 1.977%, 8/20/65(WAC) 4,442,949 450,035
Ser. 17-H11, Class DI, IO, 1.927%, 5/20/67(WAC) 4,260,118 479,263
Ser. 15-H24, Class AI, IO, 1.889%, 9/20/65(WAC) 3,775,865 352,534
Ser. 16-H02, Class HI, IO, 1.888%, 1/20/66(WAC) 5,179,936 424,755
Ser. 17-H09, IO, 1.862%, 4/20/67(WAC) 5,544,035 535,587
Ser. 15-H25, Class EI, IO, 1.859%, 10/20/65(WAC) 3,275,762 287,612
Ser. 15-H20, Class AI, IO, 1.838%, 8/20/65(WAC) 3,903,308 347,785
Ser. 17-H16, Class IH, IO, 1.793%, 7/20/67(WAC) 6,160,474 574,458
FRB Ser. 15-H08, Class CI, IO, 1.793%, 3/20/65(WAC) 2,218,620 184,571
Ser. 16-H10, Class AI, IO, 1.773%, 4/20/66(WAC) 9,779,417 682,339
Ser. 15-H23, Class BI, IO, 1.738%, 9/20/65(WAC) 4,095,977 337,099
Ser. 17-H16, Class IG, IO, 1.712%, 7/20/67(WAC) 8,141,050 793,752
Ser. 16-H06, Class DI, IO, 1.712%, 7/20/65 5,824,844 454,635
Ser. 16-H24, Class CI, IO, 1.695%, 10/20/66(WAC) 2,814,599 228,695
Ser. 16-H14, IO, 1.684%, 6/20/66(WAC) 4,123,662 289,234
Ser. 13-H08, Class CI, IO, 1.66%, 2/20/63(WAC) 3,969,529 212,767
Ser. 16-H06, Class CI, IO, 1.631%, 2/20/66(WAC) 5,362,345 354,065
Ser. 14-H21, Class BI, IO, 1.545%, 10/20/64(WAC) 5,798,263 404,719
Ser. 15-H26, Class CI, IO, 0.456%, 8/20/65(WAC) 9,283,191 107,685
Ser. 06-36, Class OD, PO, zero %, 7/16/36 1,717 1,472
51,679,176
Commercial mortgage-backed securities (9.1%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 12,887,666 129
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 1,279,000 1,138,310
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 441,763
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 462,475 464,788
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.809%, 3/11/39(WAC) 484,383 343,839
FRB Ser. 06-PW14, Class XW, IO, 0.501%, 12/11/38(WAC) 480,086 2,712
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 1,863,246 19
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.939%, 12/15/47(WAC) 409,000 410,569
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 976,360
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 5.015%, 5/10/47(WAC) 647,000 601,710
FRB Ser. 12-CR3, Class E, 4.911%, 10/15/45(WAC) 233,000 210,488
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 344,033
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 1.089%, 12/15/39(WAC) 980,449 4,685
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.91%, 9/15/39(WAC) 12,160 12,160
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 133,294 135,343
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.936%, 4/15/50(WAC) 635,000 601,109
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.561%, 6/10/48(WAC) 1,456,956 947,021
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 1.098%, 12/10/41(WAC) 3,481,541 12,950
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.59%, 7/10/39(WAC) 402,891 40
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 160,000 163,029
FRB Ser. 14-GC24, Class D, 4.671%, 9/10/47(WAC) 1,259,000 1,135,976
FRB Ser. 13-GC10, Class E, 4.542%, 2/10/46(WAC) 583,000 498,677
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.978%, 2/15/47(WAC) 1,183,000 1,102,767
FRB Ser. C14, Class D, 4.713%, 8/15/46(WAC) 647,000 614,378
FRB Ser. 14-C18, Class E, 4.478%, 2/15/47(WAC) 407,000 337,584
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 1,112,344
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 550,037
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.307%, 4/15/46(WAC) 417,000 370,786
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.389%, 2/12/51(WAC) 398,000 390,040
FRB Ser. 11-C3, Class F, 5.852%, 2/15/46(WAC) 410,000 411,160
FRB Ser. 12-C6, Class E, 5.32%, 5/15/45(WAC) 363,000 342,548
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 708,733
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 2,538,803 25
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.775%, 9/15/39(WAC) 839,992 8,999
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.273%, 4/20/48(WAC) 443,000 418,223
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.219%, 12/15/49(WAC) 243,850 312
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 494,420 395,536
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.499%, 8/15/46(WAC) 900,000 472,500
FRB Ser. 13-C11, Class F, 4.499%, 8/15/46(WAC) 496,000 178,257
FRB Ser. 13-C10, Class D, 4.218%, 7/15/46(WAC) 485,000 478,149
FRB Ser. 13-C10, Class E, 4.218%, 7/15/46(WAC) 1,316,000 1,168,924
FRB Ser. 13-C10, Class F, 4.218%, 7/15/46(WAC) 975,000 813,217
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 343,555
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 329,133 90,400
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 520,565 474,365
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.288%, 1/11/43(WAC) 216,138 220,223
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/20 (Cayman Islands) (In default)(NON)(WAC) 193,000 19
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 558,952 46,615
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 622,000 454,235
Wachovia Bank Commercial Mortgage Trust FRB Ser. 07-C34, IO, 0.123%, 5/15/46(WAC) 2,185,541 22
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.421%, 7/15/46(WAC) 188,000 174,122
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 732,479
WF-RBS Commercial Mortgage Trust 144A
Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,810,614
Ser. 13-C12, Class E, 3.50%, 3/15/48 126,000 105,601
22,772,479
Residential mortgage-backed securities (non-agency) (13.5%)
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 4.301%, 11/27/36(WAC) 1,081,831 908,738
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.584%, 11/25/47 383,947 325,937
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.754%, 3/25/37 1,145,568 999,477
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 4.004%, 9/25/35 322,119 319,559
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 3.464%, 8/25/46 170,497 159,777
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 3.444%, 6/25/46 481,596 440,748
FRB Ser. 06-OA7, Class 1A1, 3.081%, 6/25/46(WAC) 364,920 321,129
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.754%, 9/25/35 543,449 515,565
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.744%, 2/25/37 403,653 209,700
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.713%, 11/20/35 403,007 384,353
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.594%, 8/25/46 426,963 394,940
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.594%, 8/25/46 2,771,940 2,446,157
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), 2.584%, 6/25/47 533,394 431,271
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 4.205%, 9/28/36(WAC) 1,962,643 1,968,290
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.904%, 5/25/28 266,814 354,566
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 12.404%, 7/25/28 894,399 1,193,669
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.754%, 4/25/28 575,155 752,661
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 9.954%, 12/25/27 438,475 534,434
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 6.254%, 3/25/29 250,000 271,644
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.704%, 9/25/30 1,300,000 1,299,663
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Debt FRN Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 6.104%, 12/25/30 650,000 663,979
Structured Agency Credit Risk Trust FRN Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 5.054%, 1/25/49 188,000 191,500
Structured Agency Credit Risk Debt FRN Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 4.854%, 3/25/49 322,000 326,405
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 299,194
Structured Agency Credit Risk Trust FRN Ser. 18-DNA2, Class M2, (1 Month US LIBOR + 2.15%), 4.554%, 12/25/30 359,000 359,935
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 15.154%, 10/25/28 89,620 127,748
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.654%, 9/25/28 1,026,185 1,493,491
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 14.154%, 10/25/28 567,320 810,625
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 14.154%, 8/25/28 369,862 531,707
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 13.154%, 1/25/29 119,696 158,306
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 8.304%, 10/25/28 1,523,048 1,672,850
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 8.104%, 4/25/28 1,293,214 1,430,879
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.954%, 4/25/28 67,204 72,984
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.904%, 9/25/29 477,000 536,775
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 7.404%, 7/25/25 780,679 847,969
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 7.254%, 10/25/29 1,280,000 1,441,325
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.654%, 4/25/29 69,000 74,667
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.404%, 5/25/25 21,542 22,904
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 6.054%, 9/25/29 70,000 74,466
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 6.004%, 1/25/30 140,000 145,641
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 5.954%, 7/25/30 895,000 916,515
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 5.954%, 7/25/29 350,000 369,839
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 4.954%, 12/25/30 250,000 254,233
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 4.654%, 7/25/30 65,000 65,506
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 4.504%, 3/25/31 99,000 98,425
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 6.504%, 9/25/31 251,000 260,414
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.854%, 7/25/31 73,000 73,842
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (1 Month US LIBOR + 2.30%), 4.704%, 8/25/31 112,000 113,092
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.18%), 2.584%, 5/25/36 597,783 258,691
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.714%, 5/25/37 362,230 265,984
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 2.91%, 5/19/35 337,096 213,810
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.604%, 6/25/37 581,832 347,229
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 330,000 321,486
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 3.246%, 2/26/37 398,394 355,685
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 3.199%, 8/25/35 116,015 112,287
Oaktown Re, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 5.254%, 7/25/28 (Bermuda) 800,000 811,974
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 5.104%, 3/25/28 (Bermuda) 620,000 623,294
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 2.619%, 5/25/46 315,599 298,242
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.614%, 8/25/36 427,696 391,342
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 2.524%, 8/25/36 357,804 329,467
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR14, Class 1A2, 4.181%, 12/25/35(WAC) 148,453 148,580
FRB Ser. 05-AR10, Class 1A3, 4.10%, 9/25/35(WAC) 396,407 402,147
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.894%, 10/25/45 261,920 260,536
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.804%, 12/25/45 257,234 251,442
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR5, Class 1A1, 5.208%, 4/25/36(WAC) 316,260 322,586
FRB Ser. 06-AR2, Class 1A1, 4.949%, 3/25/36(WAC) 317,262 318,827
33,701,103
Total mortgage-backed securities (cost $109,361,651) $108,152,758









CORPORATE BONDS AND NOTES (24.5%)(a)
        Principal amount Value
Basic materials (2.7%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $206,000 $220,739
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 50,000 51,375
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 309,000
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 108,000 112,185
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 97,000 96,030
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 55,000 57,200
Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 55,000 56,169
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 226,000 237,424
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 178,000 180,448
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 242,000 246,840
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 150,000 154,601
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 30,000 31,650
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 125,000 125,063
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 490,000 504,700
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 56,000 53,340
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 63,000 65,835
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 144,000 148,949
Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes 5.75%, 3/1/25 12,000 11,940
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 264,000 252,120
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 147,000 154,718
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 320,000 324,800
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 144,000 148,680
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 167,000 161,990
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 66,000 69,795
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 124,000 126,015
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 53,000 54,988
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 94,000 97,290
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 75,000 74,625
Mercer International, Inc. 144A sr. unsec. notes 7.375%, 1/15/25 (Canada) 30,000 31,875
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 131,000 127,398
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 455,000 475,475
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 163,000 165,241
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 259,000 301,088
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 150,000 154,125
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 61,000 63,593
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 22,000 21,890
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 51,813
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 20,350
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 305,000 317,293
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 30,000 30,528
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 160,000 163,600
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 55,000 53,350
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 145,000 150,800
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 119,000 121,231
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 122,000 131,455
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 220,000 232,238
6,741,852
Capital goods (1.7%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 339,000 336,458
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 85,000 88,613
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 105,000 106,181
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 192,000 196,282
Berry Global, Inc. 144A notes 4.50%, 2/15/26 39,000 38,415
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 49,000 53,288
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 156,000 162,240
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 45,000 45,900
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 80,000 81,308
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 150,000 154,125
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 172,500
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 202,000 202,000
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 177,000 187,399
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 105,000 107,494
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 119,000 120,636
Nordex SE sr. unsec. notes Ser. REGS, 6.50%, 2/1/23 (Germany) EUR 100,000 114,144
Novafives SAS sr. notes Ser. REGS, 5.00%, 6/15/25 (France) EUR 100,000 108,228
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $95,000 98,563
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 122,000 126,728
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 110,000 113,300
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 300,000 303,750
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 80,000 83,200
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 260,000 258,469
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 310,000 326,663
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 105,000 108,413
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 165,000 166,238
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 387,000 407,318
4,267,853
Communication services (3.0%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 205,000
Altice France SA 144A sr. bonds 6.25%, 5/15/24 (France) 315,000 324,056
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 100,000 112,906
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $200,000 203,250
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 150,000 154,925
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 366,000 383,037
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 109,000 113,905
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29(FWC) 345,000 356,213
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 49,000 51,389
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 273,000 278,716
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 317,000 297,096
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 20,000 17,400
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 124,650
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 360,000 384,300
CSC Holdings, LLC 144A sr. unsec. unsub. notes 7.50%, 4/1/28 200,000 219,560
CSC Holdings, LLC 144A sr. unsec. unsub. notes 5.125%, 12/15/21 331,000 331,000
Digicel Group Two Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 235,000 133,363
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 140,000 132,475
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 169,000 181,163
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 40,000 42,350
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 83,000 80,510
Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 103,000 91,155
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,255
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 98,000 99,221
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 273,240
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 42,800
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 108,938
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 648,000 703,890
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 308,125
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 200,000 207,700
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 159,510
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 32,000 34,240
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 46,013
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 135,000 138,895
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 56,306
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 288,900 364,927
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $363,000 380,243
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 78,281
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 131,478
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 150,315
7,508,796
Consumer cyclicals (4.3%)
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 $38,000 39,615
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 90,000 93,150
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 155,000 162,944
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 64,000 65,200
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 73,080
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 190,000 192,375
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 127,000 129,381
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 215,000 215,672
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 20,000 21,850
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 85,000 88,825
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 116,000 120,640
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 102,000 107,483
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 235,000 241,580
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 232,000 251,720
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 145,000 150,539
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 200,000 206,690
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 174,000 179,777
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 96,812 102,742
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 186,721 195,594
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 70,931
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 265,000 284,213
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 35,000 36,138
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 34,000 34,043
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 268,000 265,655
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 227,000 233,174
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 100,000 83,750
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 75,000 72,563
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 85,000 83,406
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 74,000 81,123
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 181,000 185,525
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 115,000 120,894
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 141,000 145,054
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 304,000 318,820
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 158,000 164,518
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 112,000 117,600
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 120,000 127,336
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 147,000 158,760
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 238,000 249,305
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 122,000 126,387
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 45,000 46,069
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 81,000 79,583
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 215,000 214,463
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 135,000 139,556
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 150,000 154,320
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 134,412
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 194,640
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 111,548
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 127,410
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 320,000 345,600
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 98,000 100,793
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 233,000 237,078
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 147,000 150,308
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 262,000 274,773
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 65,000 65,650
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 70,000 71,575
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 117,000 120,627
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 367,000 372,964
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 225,000 234,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 270,000 274,219
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 5,000 5,113
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 98,000 104,003
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 244,000 252,540
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 9,925
Tendam Brands SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 100,000 116,836
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 $125,000 127,175
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 215,050
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 90,369
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 190,000 187,625
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 125,460
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 99,738
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 110,000 115,225
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 276,000 277,035
10,773,734
Consumer staples (1.0%)
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) 125,000 125,313
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 125,000 126,406
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 10,000 10,823
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 45,000 46,238
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 55,000 56,925
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 103,000 108,150
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 227,000 233,810
IAA, Inc. 144A sr. unsec. notes 5.50%, 6/15/27 25,000 26,000
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 326,000 333,335
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 136,336
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 134,388
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 82,000
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 163,280
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 38,341
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 186,000 194,816
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 123,750
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 170,000 188,210
Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29 60,000 68,193
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 105,000 104,352
2,476,979
Energy (5.5%)
Aker BP ASA 144A sr. unsec. notes 6.00%, 7/1/22 (Norway) 150,000 154,313
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 184,000 194,350
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A sr. unsec. notes 5.75%, 1/15/28 90,000 89,100
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 68,000 65,634
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 189,600
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 172,000 173,290
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 94,000 99,513
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 68,000 62,050
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 29,000 27,695
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 202,000 152,258
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 99,000 110,261
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 373,000 405,171
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 54,000 47,588
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 113,000 104,808
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 10,000 9,375
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 188,000 135,360
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 127,000 125,095
Denbury Resources, Inc. 144A company guaranty sub. notes 7.75%, 2/15/24 43,000 35,690
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 282,000 296,453
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 224,000 236,600
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.875%, 1/15/24 164,000 182,559
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.50%, 6/1/27 337,000 376,708
Ensco Rowan PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 100,000 74,500
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 245,000 252,044
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 227,000 236,364
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 150,000 134,625
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 22,000 20,900
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 44,000 41,910
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 125,000 125,625
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 140,000 124,075
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 20,000 18,700
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 96,000 102,720
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 55,000 53,625
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 56,000 42,700
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 33,000 32,835
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 191,000 190,523
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 125,000 120,938
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 974,027
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 208,590
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 1,471,000 1,682,824
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 360,000 395,550
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 222,000 237,818
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 475,000 504,094
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 434,051
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 59,850
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 824,000 148,320
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.50%, 1/23/29 (Mexico) 432,000 418,271
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5.375%, 3/13/22 (Mexico) 178,000 178,909
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.875%, 1/24/22 (Mexico) 627,000 625,433
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 1,442,000 1,324,016
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 139,000 134,483
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 90,357
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 105,000 103,505
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 194,616
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 49,000 31,483
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 87,000 60,683
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 72,000 66,060
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 96,000 95,280
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 125,000 126,406
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 69,000 69,173
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 35,000 38,804
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/15/27 60,000 65,475
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 89,775 92,468
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 64,000 67,640
Transocean Sentry Ltd. 144A company guaranty sr. notes 5.375%, 5/15/23 (Cayman Islands) 95,000 95,119
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 5,000 5,325
Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26 45,000 43,397
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 27,000 30,780
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 131,000 136,076
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 145,000 151,163
13,735,603
Financials (2.4%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 336,000 340,368
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 899,000 994,429
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 200,000 204,552
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 82,791
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 94,000 100,463
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 265,293
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 34,000 36,076
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 108,250
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 304,000 327,560
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 231,201
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6.625%, 3/15/26 55,000 57,819
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 100,000 102,375
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 75,000 79,078
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 45,050
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 115,000 123,050
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 79,000 85,435
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 95,000 99,513
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 98,681
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 95,000 97,256
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 215,000 217,150
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 6.25%, 5/15/26 45,000 45,619
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 16,337
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 199,500
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 165,000 169,125
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 55,000 56,306
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 200,000 204,750
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 50,000 49,625
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 100,000 128,651
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 $125,000 126,875
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 100,000 101,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 48,000 48,073
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 135,000 126,900
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 106,125
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 65,738
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 332,000 363,533
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 150,000 151,500
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 93,000 87,885
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 83,000 78,435
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 211,250
6,034,367
Health care (2.0%)
Bausch Health Americas, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 140,000 156,632
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 150,000 164,625
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 100,000 115,102
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $40,000 41,700
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 115,000 128,490
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 105,000 109,200
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 55,000 56,994
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 160,000 163,395
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 170,016
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 125,000 129,531
Bausch Health Cos., Inc. 144A sr. notes 5.75%, 8/15/27 40,000 42,039
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 175,000 183,313
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 132,763
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 60,000 63,075
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 468,000 450,450
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 105,000 70,875
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 55,000 52,921
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 363,000 401,917
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 125,000 136,180
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 60,638
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 165,600
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 105,000 115,631
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 124,800
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 30,000 30,450
Par Pharmaceutical, Inc. 144A company guaranty sr. notes 7.50%, 4/1/27 110,000 108,075
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 163,138
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 45,000 45,956
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 512,318
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 75,000 75,938
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 231,000 237,800
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 55,000 56,925
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 183,875
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 200,000 188,625
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 75,000 78,188
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 45,000 47,700
4,964,875
Technology (0.9%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/20 571,000 —
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 70,000 71,750
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 35,000 35,919
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 400,000 441,273
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 221,000 233,316
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 55,000 58,094
First Data Corp. 144A notes 5.75%, 1/15/24 343,000 352,647
First Data Corp. 144A sr. notes 5.375%, 8/15/23 165,000 167,970
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 91,000 84,965
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 95,000 100,539
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 188,000 195,285
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 373,000 364,704
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 180,000 176,589
2,283,051
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 229,000 232,435
232,435
Utilities and power (1.0%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 665,000 689,938
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 60,000 63,300
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 70,000 71,050
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 60,000 61,650
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 252,000 250,110
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 86,000 87,505
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 35,875
GenOn Energy, Inc./NRG Americas, Inc. company guaranty sub. FRN (BBA LIBOR USD 6 Month + 6.50%), 9.044%, 12/1/23 30,785 30,516
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 94,000 103,518
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 109,000 118,401
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 145,000 155,513
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 80,000 83,239
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 50,000 51,368
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 117,000 124,898
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) 90,000 360
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 78,000 83,850
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 75,000 77,719
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 50,000 50,688
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 30,000 30,176
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 68,000 71,995
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 168,000 177,450
2,419,119
Total corporate bonds and notes (cost $60,530,001) $61,438,664









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (12.7%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) $750,000 $594,375
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,125,000 2,226,437
Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 1,280,000 1,347,200
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 400,000 293,500
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 75,000 62,156
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 45.784%, 5/31/22 (Argentina) ARS 7,745,000 158,622
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $2,140,000 1,578,250
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 682,667 647,680
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 2,576,000 2,146,323
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 1,460,000 1,133,325
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 547,000 475,890
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 113,333 119,283
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 105,000 125,738
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 550,000 620,813
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 768,500
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%, 2/21/23 (Egypt) 315,000 320,116
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 890,000 905,557
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 299,625
Hellenic (Republic of) sr. unsec. notes 3.45%, 4/2/24 (Greece) EUR 637,000 795,404
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 446,000 551,953
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 4,646,490
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 2,917,207
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) $1,020,000 1,109,260
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 378,448
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 217,245
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 693,051
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 568,410
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) 375,000 370,789
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,311,375
Russia (Federation of) sr. unsec. unsub. notes Ser. REGS, 4.50%, 4/4/22 (Russia) 1,400,000 1,457,422
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 208,250
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, 7/30/24 (Senegal) EUR 400,000 428,500
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) $360,000 369,067
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 1,115,000 1,166,798
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 798,000 214,463
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 371,000 97,388
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,292,000 345,610
Total foreign government and agency bonds and notes (cost $32,082,002) $31,670,520









PURCHASED SWAP OPTIONS OUTSTANDING (5.0%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
2.785/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 $3,698,000 $439,729
(2.785)/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 3,698,000 228,388
2.3075/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 1,596,200 137,960
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 1,596,200 126,595
(2.401)/3 month USD-LIBOR-BBA/Sep-29 Sep-19/2.401 23,172,500 32,905
Barclays Bank PLC
1.965/3 month USD-LIBOR-BBA/Jul-29 Jul-19/1.965 18,804,400 105,681
Citibank, N.A.
(2.193)/3 month USD-LIBOR-BBA/Jul-29 Jul-19/2.193 23,172,500 22,014
(2.463)/3 month USD-LIBOR-BBA/Jul-29 Jul-19/2.463 23,172,500 927
Goldman Sachs International
0.025/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.025 EUR 33,740,500 318,440
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 $3,156,500 253,404
-0.065/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/-0.065 EUR 33,740,500 248,997
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 $5,508,200 154,119
(2.011)/3 month USD-LIBOR-BBA/Aug-29 Aug-19/2.011 23,172,500 137,413
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 122,630
2.3025/3 month USD-LIBOR-BBA/Jul-49 Jul-19/2.3025 2,350,500 58,480
(2.281)/3 month USD-LIBOR-BBA/Aug-29 Aug-19/2.281 23,172,500 17,148
(2.3025)/3 month USD-LIBOR-BBA/Jul-49 Jul-19/2.3025 2,350,500 9,543
(2.658)/3 month USD-LIBOR-BBA/Jul-20 Jul-19/2.658 62,950,700 63
(2.458)/3 month USD-LIBOR-BBA/Jul-20 Jul-19/2.458 31,475,400 31
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 11,760,300 1,432,052
1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 7,733,000 1,017,636
3.096/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 $9,408,200 976,383
1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 3,085,000 968,020
1.288/6 month EUR-EURIBOR-Reuters/Feb-50 Feb-20/1.288 EUR 4,509,200 792,903
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 $3,169,000 222,971
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 217,584
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 137,091
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 133,256
(3.162)/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 11,760,300 40,455
(1.288)/6 month EUR-EURIBOR-Reuters/Feb-50 Feb-20/1.288 EUR 4,509,200 12,767
(3.096)/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 $9,408,200 941
(3.095)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.095 23,520,500 24
Morgan Stanley & Co. International PLC
3.02/3 month USD-LIBOR-BBA/Aug-20 Aug-19/3.02 79,389,400 889,161
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 569,007
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 566,550
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 566,518
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 474,813
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 429,438
2.764/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 5,944,600 426,168
(2.265)/3 month USD-LIBOR-BBA/Oct-29 Oct-19/2.265 23,172,500 73,457
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 2,360,700 46,907
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 45,892
(2.764)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 5,944,600 45,298
(3.0975)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.0975 23,520,500 24
Total purchased swap options outstanding (cost $8,489,036) $12,499,783









PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
HSBC Bank USA, National Association
AUD/JPY (Put) Sep-19/JPY 73.00 8,522,606 AUD $12,139,600 $59,590
JPMorgan Chase Bank N.A.
Uniform Mortgage Backed Securities 30 yr 3.00% TBA commitments (Call) Aug-19/$100.81 19,000,000 19,000,000 84,911
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Aug-19/102.07 9,000,000 9,000,000 22,140
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/101.29 12,000,000 12,000,000 144
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/101.10 12,000,000 12,000,000 36
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/99.79 12,000,000 12,000,000 12
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/99.60 12,000,000 12,000,000 12
Total purchased options outstanding (cost $307,895) $166,845









CONVERTIBLE BONDS AND NOTES (3.9%)(a)
        Principal amount Value
Capital goods (0.2%)
Fortive Corp. 144A cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 $235,000 $242,999
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 12,793
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 139,000 146,384
402,176
Communication services (0.3%)
8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24 97,000 110,155
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 224,000 217,769
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 181,000 211,577
Intelsat SA 144A cv. company guaranty sr. unsec. notes 4.50%, 6/15/25, (Luxembourg) 47,000 65,021
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23 78,000 116,920
Vonage Holdings Corp. 144A cv. sr. unsec. notes 1.75%, 6/1/24 73,000 73,487
794,929
Consumer cyclicals (0.6%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 87,584 149,915
Euronet Worldwide, Inc. 144A cv. sr. unsec. bonds 0.75%, 3/15/49 137,000 166,273
FTI Consulting, Inc. 144A cv. sr. unsec. notes 2.00%, 8/15/23 97,000 103,789
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 173,000 194,183
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 106,000 124,790
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 190,000 224,895
Marriott Vacations Worldwide Corp. cv. sr. unsec. notes 1.50%, 9/15/22 155,000 149,662
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 223,000 255,089
Quotient Technology, Inc. cv. sr. unsec. notes 1.75%, 12/1/22 65,000 62,588
Square, Inc. cv. sr. unsec. notes 0.50%, 5/15/23 120,000 143,202
1,574,386
Consumer staples (0.3%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 211,000 211,762
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 219,000 220,011
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 112,000 111,807
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 27,000 27,825
Wayfair, Inc. 144A cv. sr. unsec. notes 1.125%, 11/1/24 103,000 149,621
Zillow Group, Inc. cv. sr. unsec. notes 1.50%, 7/1/23 135,000 132,531
853,557
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 10,048
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 122,000 97,378
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 104,000 95,146
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 96,000 94,970
297,542
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 99,000 103,106
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 82,000 82,451
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22,(R) 87,000 106,078
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 122,000 123,293
Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 50,000 46,369
461,297
Health care (0.7%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 122,000 126,651
CONMED Corp. 144A cv. sr. unsec. notes 2.625%, 2/1/24 81,000 93,319
DexCom, Inc. 144A cv. sr. unsec. notes 0.75%, 12/1/23 195,000 228,716
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 92,000 116,044
Illumina, Inc. 144A cv. sr. unsec. notes zero %, 8/15/23 59,000 68,083
Insulet Corp. cv. sr. unsec. notes 1.375%, 11/15/24 84,000 119,230
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 68,000 72,496
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 206,000 202,932
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 67,000 87,904
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 101,000 103,410
Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23 100,000 97,585
Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes 1.75%, 2/15/26 70,000 70,079
Teladoc Health, Inc. cv. sr. unsec. notes 1.375%, 5/15/25 109,000 161,641
Wright Medical Group, Inc. cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 91,000 99,816
1,647,906
Technology (1.4%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 246,000 262,802
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 51,000 61,350
DocuSign, Inc. 144A cv. sr. unsec. notes 0.50%, 9/15/23 141,000 145,318
Envestnet, Inc. cv. sr. unsec. sub. notes 1.75%, 12/15/19 95,000 107,399
Five9, Inc. cv. sr. unsec. notes 0.125%, 5/1/23 51,000 70,702
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 107,000 120,015
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 118,000 130,830
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 65,000 90,592
LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 48,000 49,280
Lumentum Holdings, Inc. cv. sr. unsec. unsub. notes 0.25%, 3/15/24 83,000 97,458
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 103,000 121,344
New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 121,000 129,095
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 150,000 146,986
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 173,000 210,767
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.75%, 7/1/23 223,000 234,947
Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 186,000 198,859
Rapid7, Inc. 144A cv. sr. unsec. notes 1.25%, 8/1/23 53,000 80,891
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 9/15/25 262,000 293,220
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 212,000 202,904
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 88,000 94,299
Viavi Solutions, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 97,000 112,113
Vocera Communications, Inc. cv. sr .unsec. unsub. notes 1.50%, 5/15/23 43,000 51,285
Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23, (Israel) 90,000 109,800
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 131,000 196,179
Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 103,000 157,610
3,476,045
Transportation (—%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 78,000 79,440
79,440
Utilities and power (0.1%)
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 176,000 187,982
187,982
Total convertible bonds and notes (cost $9,664,449) $9,775,260









SENIOR LOANS (2.1%)(a)(c)
        Principal amount Value
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.723%, 4/28/22 $48,627 $45,648
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.83%, 4/21/24 83,300 67,421
Albertson's, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 3.00%), 5.402%, 11/16/25 114,712 114,077
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.00%), 5.33%, 1/31/24 129,832 126,830
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.402%, 7/12/24 164,000 161,028
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 3.00%), 5.402%, 11/3/24 112,715 112,434
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.723%, 12/15/24 251,175 239,998
Berry Global Group, Inc. bank term loan FRN Ser. U, (BBA LIBOR USD 3 Month + 2.50%), 3.50%, 5/17/26 115,000 114,190
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.787%, 6/21/24 214,620 207,806
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.854%, 4/3/24 63,700 61,431
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 7.152%, 12/31/22 80,000 76,133
Cineworld Finance US, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 4.689%, 2/28/25 87,004 85,492
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.933%, 5/5/24 124,870 122,529
Diamond (BC) BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.583%, 9/6/24 39,671 34,811
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.00%, 4/16/21 5,730 5,714
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.152%, 3/31/24 80,347 79,800
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.402%, 5/31/25 129,673 127,371
Golden Nugget, Inc./NV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.149%, 10/4/23 88,760 87,956
HFOTCO, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.25%, 6/26/25 198,000 197,010
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 6.579%, 5/1/26 161,049 161,217
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 3.75%), 6.229%, 11/27/23 65,000 64,208
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.682%, 2/5/25 100,000 98,771
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.727%, 5/21/24 196,985 172,362
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.592%, 10/16/23 77,429 68,138
Lower Cadence Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.436%, 5/9/26 96,000 95,640
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.989%, 3/1/26 78,000 76,806
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.89%, 11/6/24 307,961 307,191
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.576%, 11/3/23 63,581 58,494
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.152%, 10/1/25 427,850 414,556
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.047%, 9/7/23 92,807 77,455
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.217%, 2/5/23 141,022 139,852
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 10.438%, 2/28/26 100,000 85,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 6.00%, 2/28/25 230,643 212,192
Sprint Communications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.771%, 2/3/24 250,000 247,396
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 9.33%, 11/28/22 115,777 114,330
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.402%, 3/28/25 182,001 173,401
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 5.00%), 7.541%, 3/18/26 357,000 335,223
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.439%, 11/15/23 135,000 127,997
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.33%, 7/24/24 128,733 123,261
Total senior loans (cost $5,434,629) $5,221,169









ASSET-BACKED SECURITIES (0.6%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 3.254%, 11/25/51 $204,000 $204,000
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 3.204%, 6/25/52 164,000 164,000
Station Place Securitization Trust 144A FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 3.13%, 6/24/20 1,244,000 1,244,000
Total asset-backed securities (cost $1,612,000) $1,612,000









COMMON STOCKS (0.1%)(a)
        Shares Value
Advanz Pharma Corp. (Canada)(NON) 985 $16,134
Avaya Holdings Corp.(NON) 6,298 75,009
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 70
Clear Channel Outdoor Holdings, Inc.(NON) 15,306 72,243
GenOn Energy, Inc. 385 70,455
iHeartMedia, Inc. Class A(NON) 6,509 97,963
MWO Holdings, LLC (Units)(F) 73 2,470
Nine Point Energy(F) 648 1,296
Tervita Corp. (Canada)(NON) 191 992
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 7,463
Tribune Media Co. Class 1C 40,066 22,036
Total common stocks (cost $763,057) $366,131









CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
        Shares Value
Nine Point Energy 6.75% cv. pfd.(F) 13 $2,600
Total convertible preferred stocks (cost $13,000) $2,600









SHORT-TERM INVESTMENTS (14.3%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 2.46%(AFF) Shares 25,751,226 $25,751,226
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.31%(P) Shares 1,280,000 1,280,000
U.S. Treasury Bills 2.463%, 7/18/19(SEGSF)(SEGCCS) $375,000 374,637
U.S. Treasury Bills 2.473%, 7/25/19(SEGSF)(SEGCCS) 279,000 278,637
U.S. Treasury Bills 2.427%, 8/8/19(SEG)(SEGSF)(SEGCCS) 2,026,000 2,021,592
U.S. Treasury Bills 2.463%, 8/1/19(SEGSF)(SEGCCS) 610,000 608,944
U.S. Treasury Bills 2.303%, 7/16/19(SEGSF)(SEGCCS) 1,101,000 1,100,060
U.S. Treasury Bills 2.245%, 8/6/19(SEG)(SEGSF)(SEGCCS) 4,158,000 4,149,320
U.S. Treasury Bills 2.115%, 8/13/19(SEGSF)(SEGCCS) 266,000 265,346
Total short-term investments (cost $35,828,159) $35,829,762
TOTAL INVESTMENTS
Total investments (cost $436,971,355) $439,948,357









FORWARD CURRENCY CONTRACTS at 6/30/19 (aggregate face value $110,651,892) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 7/17/19 $2,280,898 $2,333,786 $(52,888)
British Pound Buy 9/18/19 1,061,155 1,048,601 12,554
Canadian Dollar Buy 7/17/19 2,134,711 2,081,525 53,186
Canadian Dollar Sell 7/17/19 2,134,711 2,120,835 (13,876)
Czech Koruna Buy 9/18/19 9,684 9,646 38
Euro Sell 9/18/19 1,191,301 1,175,614 (15,687)
Japanese Yen Buy 8/21/19 813,822 812,465 1,357
Mexican Peso Buy 10/16/19 1,021,497 1,020,054 1,443
Norwegian Krone Buy 9/18/19 3,656,514 3,580,477 76,037
Barclays Bank PLC
Australian Dollar Buy 7/17/19 147,016 149,387 (2,371)
Australian Dollar Sell 7/17/19 147,016 146,232 (784)
Canadian Dollar Sell 7/17/19 1,795,922 1,760,328 (35,594)
Euro Sell 9/18/19 3,357,563 3,322,691 (34,872)
New Zealand Dollar Sell 7/17/19 1,055,899 1,044,196 (11,703)
Norwegian Krone Buy 9/18/19 1,066,833 1,039,671 27,162
Citibank, N.A.
Australian Dollar Sell 7/17/19 522,460 465,247 (57,213)
Brazilian Real Buy 10/2/19 1,025,001 1,027,293 (2,292)
Canadian Dollar Buy 7/17/19 3,135,874 3,097,639 38,235
Canadian Dollar Sell 7/17/19 3,135,874 3,098,006 (37,868)
Euro Buy 9/18/19 201,582 209,555 (7,973)
Japanese Yen Buy 8/21/19 10,288 75,112 (64,824)
New Zealand Dollar Sell 7/17/19 634,736 603,584 (31,152)
Credit Suisse International
Australian Dollar Buy 7/17/19 2,041,373 2,075,346 (33,973)
Australian Dollar Sell 7/17/19 2,041,373 2,027,122 (14,251)
Euro Buy 9/18/19 424,328 429,438 (5,110)
Goldman Sachs International
Australian Dollar Sell 7/17/19 522,389 504,714 (17,675)
Euro Buy 9/18/19 1,088,680 1,084,770 3,910
Indian Rupee Buy 11/20/19 1,025,657 1,019,851 5,806
Japanese Yen Sell 8/21/19 2,112,860 2,047,588 (65,272)
New Taiwan Dollar Sell 8/21/19 1,043,330 1,044,424 1,094
New Zealand Dollar Sell 7/17/19 1,234,256 1,191,543 (42,713)
Norwegian Krone Buy 9/18/19 2,880,496 2,813,473 67,023
Russian Ruble Buy 9/18/19 1,021,896 1,023,507 (1,611)
South Korean Won Sell 11/20/19 1,045,524 1,045,463 (61)
Swedish Krona Sell 9/18/19 2,419,682 2,385,322 (34,360)
HSBC Bank USA, National Association
Australian Dollar Buy 7/17/19 954,800 1,020,691 (65,891)
British Pound Buy 9/18/19 299,601 297,075 2,526
Canadian Dollar Buy 7/17/19 1,277,083 1,249,308 27,775
Canadian Dollar Sell 7/17/19 1,277,083 1,255,643 (21,440)
Euro Sell 9/18/19 528,209 521,212 (6,997)
Indonesian Rupiah Buy 11/20/19 1,023,757 1,019,948 3,809
Japanese Yen Sell 8/21/19 1,078,889 1,053,966 (24,923)
South Korean Won Sell 11/20/19 1,045,524 1,045,554 30
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/17/19 3,103,712 3,092,403 11,309
Australian Dollar Sell 7/17/19 3,103,712 3,116,513 12,801
Canadian Dollar Sell 7/17/19 2,526,131 2,463,202 (62,929)
Euro Sell 9/18/19 1,046,007 1,045,851 (156)
Japanese Yen Buy 8/21/19 2,066,952 2,046,365 20,587
New Zealand Dollar Sell 7/17/19 2,107,295 2,053,588 (53,707)
Norwegian Krone Buy 9/18/19 491,647 481,562 10,085
Swedish Krona Sell 9/18/19 1,602,734 1,579,702 (23,032)
Swiss Franc Buy 9/18/19 352,378 343,734 8,644
NatWest Markets PLC
Australian Dollar Buy 7/17/19 3,591,263 3,692,979 (101,716)
Canadian Dollar Buy 7/17/19 2,128,752 2,086,583 42,169
Canadian Dollar Sell 7/17/19 2,128,752 2,092,970 (35,782)
Euro Sell 9/18/19 1,408,557 1,402,958 (5,599)
Indian Rupee Buy 11/20/19 1,025,657 1,020,646 5,011
Japanese Yen Sell 8/21/19 628,326 608,878 (19,448)
New Taiwan Dollar Sell 8/21/19 1,043,330 1,045,032 1,702
Norwegian Krone Buy 9/18/19 1,055,719 1,041,500 14,219
Swedish Krona Sell 9/18/19 1,053,565 1,051,809 (1,756)
State Street Bank and Trust Co.
Australian Dollar Buy 7/17/19 1,044,428 1,042,253 2,175
Australian Dollar Sell 7/17/19 1,044,428 1,035,639 (8,789)
British Pound Sell 9/18/19 329,293 328,296 (997)
Canadian Dollar Buy 7/17/19 2,166,336 2,136,345 29,991
Canadian Dollar Sell 7/17/19 2,166,336 2,135,601 (30,735)
Euro Sell 9/18/19 4,523,467 4,463,550 (59,917)
Israeli Shekel Sell 7/17/19 5,048 5,019 (29)
Japanese Yen Sell 8/21/19 1,948,329 1,864,433 (83,896)
New Zealand Dollar Sell 7/17/19 312,764 313,337 573
Norwegian Krone Buy 9/18/19 1,145,755 1,122,146 23,609
Swedish Krona Sell 9/18/19 1,596,616 1,568,941 (27,675)
UBS AG
Australian Dollar Buy 7/17/19 42,215 105,284 (63,069)
Canadian Dollar Buy 7/17/19 1,047,379 1,041,096 6,283
Canadian Dollar Sell 7/17/19 1,047,379 1,029,884 (17,495)
Euro Sell 9/18/19 960,088 947,398 (12,690)
Japanese Yen Sell 8/21/19 1,585,626 1,526,539 (59,087)
Swedish Krona Sell 9/18/19 1,073,478 1,054,951 (18,527)
WestPac Banking Corp.
Australian Dollar Buy 7/17/19 1,235,697 1,226,898 8,799
Canadian Dollar Buy 7/17/19 536,027 532,929 3,098
Canadian Dollar Sell 7/17/19 536,027 527,176 (8,851)
Unrealized appreciation 523,040
Unrealized (depreciation) (1,399,256)
Total $(876,216)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 6/30/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Dollar 90 day (Long) 240 $240,000,000 $58,797,000 Sep-19 $77,893
Euro-Dollar 90 day (Short) 240 240,000,000 59,082,000 Mar-21 (85,333)
Euro-Schatz 2 yr (Short) 49 6,256,284 6,256,285 Sep-19 (12,358)
U.S. Treasury Bond Ultra 30 yr (Long) 18 3,196,125 3,196,125 Sep-19 129,897
U.S. Treasury Note 2 yr (Long) 53 11,404,523 11,404,523 Sep-19 72,576
U.S. Treasury Note 5 yr (Short) 95 11,224,844 11,224,844 Sep-19 (162,753)
Unrealized appreciation 280,366
Unrealized (depreciation) (260,444)
Total $19,922









WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/19 (premiums $6,458,497) (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.
2.401/3 month USD-LIBOR-BBA/Jul-29 Jul-19/2.401 $23,172,500 $2,086
Barclays Bank PLC
(2.065)/3 month USD-LIBOR-BBA/Jul-29 Jul-19/2.065 9,402,200 110,006
Citibank, N.A.
2.373/3 month USD-LIBOR-BBA/Jul-29 Jul-19/2.373 23,172,500 3,012
2.283/3 month USD-LIBOR-BBA/Jul-29 Jul-19/2.283 23,172,500 8,574
Goldman Sachs International
2.558/3 month USD-LIBOR-BBA/Jul-20 Jul-19/2.558 94,426,100 94
2.191/3 month USD-LIBOR-BBA/Aug-29 Aug-19/2.191 23,172,500 36,844
2.101/3 month USD-LIBOR-BBA/Aug-29 Aug-19/2.101 23,172,500 74,384
1.722/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 126,318
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 $22,032,800 146,298
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 195,529
(0.115)/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.115 EUR 33,740,500 387,884
JPMorgan Chase Bank N.A.
3.415/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.415 $47,041,100 47
2.975/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 11,760,300 6,586
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 142,747
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 187,577
(2.975)/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 11,760,300 450,184
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 478,490
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 1,139,808
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 8,451,000 1,908,858
Morgan Stanley & Co. International PLC
3.3975/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.3975 $47,041,100 47
2.7225/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 4,323,400 7,004
2.715/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 4,323,400 7,825
2.265/3 month USD-LIBOR-BBA/Aug-29 Aug-19/2.265 23,172,500 14,830
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 9,442,600 41,925
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 48,947
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 50,471
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 127,677
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 131,066
(2.715)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 4,323,400 300,520
(2.7225)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 4,323,400 303,070
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 410,358
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 3,150,300 494,251
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 3,150,300 494,408
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-25/3.00 3,150,300 498,220
(2.58)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.58 79,389,400 546,993
(2.80)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.80 79,389,400 717,680
Total $9,600,618









WRITTEN OPTIONS OUTSTANDING at 6/30/19 (premiums $207,848) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
HSBC Bank USA, National Association
AUD/JPY (Put) Sep-19/JPY 69.00 12,783,909 AUD 18,209,400 $20,659
JPMorgan Chase Bank N.A.
Uniform Mortgage Backed Securities 30 yr 3.00% TBA commitments (Put) Aug-19/100.81 $19,000,000 $19,000,000 90,098
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Call) Aug-19/102.07 9,000,000 9,000,000 36,873
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/100.79 12,000,000 12,000,000 12
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/100.10 12,000,000 12,000,000 12
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/100.60 12,000,000 12,000,000 12
Uniform Mortgage Backed Securities 30 yr 3.50% TBA commitments (Put) Jul-19/100.29 12,000,000 12,000,000 12
Total $147,678









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/19 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $25,327,500 $(233,646) $128,918
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 2,264,900 (258,281) 73,296
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) 70,858
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) (25,105)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 2,264,900 (258,281) (41,541)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $25,327,500 $(233,646) (94,725)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) 99,650
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) (51,106)
Citibank, N.A.
1.765/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 $23,744,500 (318,176) 8,785
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 7,304
(1.765)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 23,744,500 (318,176) (16,621)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (50,623)
1.746/3 month USD-LIBOR-BBA/Sep-24 (Written) Sep-19/1.746 23,744,500 172,148 13,297
(1.746)/3 month USD-LIBOR-BBA/Sep-24 (Written) Sep-19/1.746 23,744,500 172,148 (8,311)
Goldman Sachs International
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 7,995
1.755/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 23,744,500 (319,364) 2,374
(1.755)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 23,744,500 (319,364) (11,397)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (37,402)
1.736/3 month USD-LIBOR-BBA/Sep-24 (Written) Sep-19/1.736 23,744,500 172,148 6,411
(1.736)/3 month USD-LIBOR-BBA/Sep-24 (Written) Sep-19/1.736 23,744,500 172,148 (3,799)
JPMorgan Chase Bank N.A.
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 141,088
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 $(516,333) 76,475
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) 18,274
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (144,396) 8,023
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (44,683)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (48,457)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (91,460)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 $(516,333) (376,160)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 147,472
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) 7,762
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (58,739)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (92,814)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 50,487
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 (9,966)
Unrealized appreciation 868,469
Unrealized (depreciation) (1,062,909)
Total $(194,440)









TBA SALE COMMITMENTS OUTSTANDING at 6/30/19 (proceeds receivable $86,978,438) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage Backed Securities, 5.50%, 7/1/49 $3,000,000 $3,198,750
Uniform Mortgage Backed Securities, 4.50%, 8/1/49 3,000,000 3,135,000
Uniform Mortgage Backed Securities, 4.50%, 7/1/49 3,000,000 3,134,766
Uniform Mortgage Backed Securities, 4.00%, 7/1/49 18,000,000 18,603,280
Uniform Mortgage Backed Securities, 3.50%, 7/1/49 42,000,000 42,941,720
Uniform Mortgage Backed Securities, 3.00%, 8/1/49 6,000,000 6,046,172
Uniform Mortgage Backed Securities, 3.00%, 7/1/49 6,000,000 6,051,094
Uniform Mortgage Backed Securities, 2.50%, 7/1/49 4,000,000 3,972,500
Total $87,083,282











OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Goldman Sachs International
ILS 2,847,000 $11,336 $— 3/19/24 3 month ILS-TELBOR03 — Quarterly 1.035% — Annually $13,603
ILS 25,682,000 97,149 — 3/20/24 3 month ILS-TELBOR03 — Quarterly 1.02% — Annually 116,848
Upfront premium received — Unrealized appreciation 130,451
Upfront premium (paid) — Unrealized (depreciation) —
Total $— Total $130,451









CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$4,078,000 $198,313 (E) $(46) 2/27/28 3 month USD-LIBOR-BBA — Quarterly 3.11% — Semiannually $198,267
4,849,000 221,900 (E) (55) 3/7/28 3 month USD-LIBOR-BBA — Quarterly 3.05125% — Semiannually 221,845
1,976,000 488,279 (67) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually 490,260
11,760,300 1,166,187 (167) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,269,115)
6,491,700 653,442 (92) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 706,000
35,280,800 130,856 (17,726) 1/22/20 3 month USD-LIBOR-BBA — Quarterly 2.86% — Semiannually 383,545
35,280,800 373,412 (E) 16,802 1/22/21 2.77% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (356,610)
1,011,100 16,020 (E) (6) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 16,014
2,617,100 39,267 (E) (15) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (39,282)
1,693,500 110,445 (22) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (122,012)
39,217,000 1,981,517 (232,053) 6/19/26 3 month USD-LIBOR-BBA — Quarterly 2.60% — Semiannually 1,751,838
5,478,300 136,788 (E) (1,109) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 135,679
1,893,900 29,918 (E) (324) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 29,594
527,084 40,008 (E) (7) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 40,001
1,418,100 86,921 (E) (20) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (86,941)
21,476,000 597,119 (E) (19,956) 3/21/29 3 month USD-LIBOR-BBA — Quarterly 2.776% — Semiannually 577,163
1,105,300 96,193 (E) (38) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (96,231)
3,412,200 36,998 (E) (19) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 36,979
5,008,800 55,262 (E) (28) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 55,234
1,338,000 137,402 (E) (46) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (137,448)
5,959,700 591,739 (71,720) 6/12/49 3 month USD-LIBOR-BBA — Quarterly 2.647% — Semiannually 520,683
1,320,200 118,731 (45) 6/12/49 2.6059% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (118,894)
749,000 60,387 (26) 6/12/49 2.565% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (60,463)
1,076,800 79,829 (37) 6/12/49 2.5365% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (79,923)
1,053,400 85,888 (36) 6/12/49 3 month USD-LIBOR-BBA — Quarterly 2.569% — Semiannually 85,926
1,287,400 95,588 (44) 6/12/49 2.537% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (95,701)
1,193,800 87,687 (41) 6/12/49 2.5335% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (87,789)
983,100 62,028 (34) 6/12/49 2.488% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (62,088)
4,701,100 180,005 64,480 7/2/49 2.38% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (115,525)
9,402,200 167,641 (66,136) 7/2/49 3 month USD-LIBOR-BBA — Quarterly 2.29% — Semiannually 101,505
402,600 8,079 (14) 6/12/49 2.299% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (8,064)
902,800 7,615 (E) (20) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 7,595
3,186,100 44,707 (E) (45) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (44,752)
458,300 5,580 (E) (16) 7/17/49 2.263% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (5,596)
634,600 1,521 (E) (22) 7/17/49 2.199% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,499
9,218,000 38,651 (E) 10,492 9/18/29 2.00% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (28,159)
19,745,000 16,665 (E) 48,418 9/18/24 3 month USD-LIBOR-BBA — Quarterly 1.75% — Semiannually 65,084
564,100 5,456 (E) (19) 7/17/49 3 month USD-LIBOR-BBA — Quarterly 2.252% — Semiannually 5,437
2,087,500 4,960 (E) (23) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 4,936
174,600 1,310 (E) (6) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,316)
3,880,300 25,346 (E) (55) 6/22/30 2.0625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (25,401)
775,700 2,741 (E) (26) 7/17/49 2.194% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,715
597,000 4,279 (E) (20) 7/17/49 3 month USD-LIBOR-BBA — Quarterly 2.241% — Semiannually 4,258
241,697,000 17,886 (E) 286,341 9/18/21 1.70% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 304,226
92,987,000 300,627 (E) 555,736 9/18/24 1.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 255,109
1,144,500 10,821 (E) (19,838) 9/18/49 3 month USD-LIBOR-BBA — Quarterly 2.25% — Semiannually (9,017)
78,636,300 689,955 (E) (979,307) 9/18/29 3 month USD-LIBOR-BBA — Quarterly 2.05% — Semiannually (289,354)
3,741,500 3,427 (50) 6/26/29 1.9451% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 3,579
3,741,500 3,532 (50) 6/26/29 1.9448% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 3,684
752,200 4,371 (E) (26) 7/17/49 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 4,345
470,100 2,085 (E) (16) 7/17/49 3 month USD-LIBOR-BBA — Quarterly 2.229% — Semiannually 2,069
AUD 2,421,000 97,620 (23) 3/20/29 6 month AUD-BBR-BBSW — Semiannually 2.1825% — Semiannually 98,807
AUD 22,552,000 100,917 (59) 5/6/21 1.365% — Quarterly 3 month AUD-BBR-BBSW — Quarterly (95,356)
AUD 4,778,000 148,492 (44) 5/6/29 6 month AUD-BBR-BBSW — Semiannually 2.04% — Semiannually 150,492
AUD 46,206,000 58,033 (E) 53,950 9/18/24 1.25% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (4,084)
AUD 35,000 39 (E) (38) 9/18/29 6 month AUD-BBR-BBSW — Semiannually 1.60% — Semiannually —
CAD 2,357,000 60,952 (23) 3/19/29 2.208% — Semiannually 3 month CAD-BA-CDOR — Semiannually (61,890)
CAD 31,089,000 59,256 (E) (25,588) 9/18/24 1.65% — Semiannually 3 month CAD-BA-CDOR — Semiannually 33,667
CAD 7,847,000 25,982 (E) (30,520) 9/18/29 1.80% — Semiannually 3 month CAD-BA-CDOR — Semiannually (4,538)
CHF 10,680,000 84,865 (E) (42) 9/21/21 — 0.046% plus 6 month CHF-LIBOR-BBA — Semiannually (84,906)
CHF 6,662,000 30,737 (E) (17,147) 9/18/24 — 0.70% plus 6 month CHF-LIBOR-BBA — Semiannually 13,590
CHF 11,543,000 129,607 (E) 111,542 9/18/29 0.30% plus 6 month CHF-LIBOR-BBA — Semiannually — (18,065)
CZK 96,784,000 138,847 (56) 3/19/29 1.948% — Annually 6 month CZK-PRIBOR — Semiannually (137,277)
CZK 115,528,000 3,043 (19) 3/27/21 6 month CZK-PRIBOR — Semiannually 2.03% — Annually 2,603
EUR 3,590,000 274,797 (E) (31) 10/27/27 1.61375% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (274,827)
EUR 3,262,000 275,873 (E) (45) 2/27/28 1.815% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (275,918)
EUR 9,587,000 82,861 (E) (42) 9/21/21 6 month EUR-EURIBOR-REUTERS — Semiannually 0.354% — Annually 82,819
EUR 512,400 87,904 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (87,923)
EUR 696,900 135,566 (E) (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 135,539
EUR 770,000 127,754 (E) (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (127,783)
EUR 778,400 115,350 (E) (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (115,380)
EUR 11,752,000 382,709 (E) (149) 3/21/29 1.104% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (382,858)
EUR 898,100 104,387 (E) (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (104,422)
EUR 802,800 103,926 (E) (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 103,895
EUR 929,000 90,840 (E) (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (90,875)
EUR 741,300 37,875 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (37,903)
EUR 676,400 34,285 (E) (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (34,311)
EUR 32,000 70 (E) (67) 9/18/24 — 0.25% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 3
EUR 29,684,000 9,755 (E) 64,795 9/18/29 6 month EUR-EURIBOR-REUTERS — Semiannually 0.20% — Annually 55,041
EUR 395,500 6,945 (E) (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (6,960)
GBP 3,085,000 11,781 (E) 9,182 9/18/24 6 month GBP-LIBOR-BBA — Semiannually 0.85% — Semiannually (2,599)
GBP 8,937,000 65,067 (E) 19,649 9/18/29 6 month GBP-LIBOR-BBA — Semiannually 1.00% — Semiannually (45,418)
JPY 511,900,000 44,066 (30) 2/19/20 6 month JPY-LIBOR-BBA — Semiannually 1.3975% — Semiannually 67,506
JPY 351,000,000 32,308 (26) 2/16/23 6 month JPY-LIBOR-BBA — Semiannually 0.148% — Semiannually 33,961
JPY 176,000,000 55,729 (22) 2/16/28 0.366% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (57,861)
JPY 49,618,300 28,171 (E) (14) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (28,186)
NOK 103,577,000 143,482 (E) 27,297 9/18/24 1.50% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 170,779
NOK 36,609,000 59,374 (E) 28,692 9/18/29 6 month NOK-NIBOR-NIBR — Semiannually 1.70% — Annually (30,681)
NOK 60,138,000 4,371 (57) 7/1/24 1.735% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 4,314
NOK 31,542,000 7,924 (49) 7/1/29 6 month NOK-NIBOR-NIBR — Semiannually 1.82% — Annually (7,973)
NZD 7,127,000 82,721 (E) (54) 3/28/29 2.524% — Semiannually 3 month NZD-BBR-FRA — Quarterly (82,775)
NZD 10,550,000 879 (E) (64) 9/18/24 1.45% — Semiannually 3 month NZD-BBR-FRA — Quarterly (943)
NZD 6,583,000 3,803 (E) 5,990 9/18/29 3 month NZD-BBR-FRA — Quarterly 1.80% — Semiannually 2,187
SEK 16,480,000 105,871 (14) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.125% — Annually 118,735
SEK 16,480,000 106,607 (14) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.13% — Annually 119,528
SEK 16,480,000 111,005 (14) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.16% — Annually 124,190
SEK 16,480,000 110,637 (14) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.1575% — Annually 123,796
SEK 55,953,000 7,942 (E) (3,000) 9/18/24 0.10% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 4,941
SEK 73,146,000 19,346 (E) (19,582) 9/18/29 3 month SEK-STIBOR-SIDE — Quarterly 0.60% — Annually (237)
Total $(203,224) $2,119,832
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$480,699 $481,925 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $1,587
80,998 81,204 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 267
53,959 54,096 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 178
369,137 370,063 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 1,283
5,843,369 5,856,092 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 19,606
709,832 711,484 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,491
94,062 94,035 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 84
211,125 212,451 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (1,655)
3,611,754 3,643,376 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (37,703)
22,968 22,691 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 72
41,938 40,632 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (907)
130,374 126,466 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,607
261,327 253,494 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,226
152,370 148,351 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,274
53,664 52,404 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (663)
40,974 40,012 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (506)
32,323 31,564 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (400)
41,887 41,756 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 348
77,144 77,640 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 1,385
11,066 11,137 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 199
5,149 5,182 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 92
Citibank, N.A.
778,099 779,793 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,611
363,061 363,852 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,218
72,674 72,833 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 244
Credit Suisse International
311,240 311,917 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,044
93,960 91,754 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,161)
244,390 246,530 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,551)
81,091 80,114 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (255)
81,381 78,233 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,365)
49,599 49,001 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (156)
31,090 30,407 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (412)
27,124 26,797 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (85)
329,068 317,665 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (8,154)
85,056 82,108 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,108)
35,386 34,326 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (708)
171,005 165,879 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,420
95,025 92,519 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,418
105,337 102,559 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,572
90,299 88,179 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,116)
Deutsche Bank AG
244,390 246,530 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,551)
Goldman Sachs International
10,936 11,032 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (114)
29,144 29,399 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (304)
63,083 63,636 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (659)
118,529 119,567 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,237)
142,205 143,450 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,484)
167,927 169,397 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,753)
230,032 232,046 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,401)
151,757 148,195 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 2,312
222,057 217,181 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,942)
175,465 171,612 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,325)
81,174 79,391 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,075)
101,100 99,882 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 318
446,506 431,033 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (11,067)
242,880 235,321 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,250)
211,573 204,987 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,573)
104,104 100,864 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,250)
104,104 100,864 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,250)
84,408 81,483 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,092)
60,422 58,024 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,786)
388,704 377,052 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 7,774
92,336 89,311 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (2,048)
151,411 147,417 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,259
57,818 57,637 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 480
55,913 55,738 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 464
27,957 27,869 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 232
26,595 26,512 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 221
3,120 3,110 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 26
25,454 25,617 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 457
1,911 1,924 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 34
JPMorgan Chase Bank N.A.
306,283 297,103 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,125)
268,309 260,266 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,366)
175,160 169,910 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,503)
166,271 161,287 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,325)
151,411 147,417 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,259
JPMorgan Securities LLC
202,753 197,993 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 2,506
33,747 33,340 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 106
509,785 498,590 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 6,754
216,339 209,884 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,374)
704,600 682,669 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 15,231
Upfront premium received — Unrealized appreciation 90,659
Upfront premium (paid) — Unrealized (depreciation) (131,759)
Total $— Total $(41,100)
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 7,997,000 $999,682 $— 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $999,682
EUR 4,998,000 614,135 (121) 8/15/37 1.7138% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 614,014
EUR 6,434,000 195,581 (75) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (195,657)
EUR 6,434,000 197,067 (75) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (197,142)
EUR 6,434,000 197,557 (76) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (197,633)
EUR 6,434,000 198,054 (76) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (198,130)
EUR 4,998,000 207,358 (64) 8/15/27 (1.4275%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (207,423)
EUR 7,997,000 324,398 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (324,398)
GBP 4,004,000 88,813 (86) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 88,727
GBP 1,121,000 20,782 (26) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity (20,808)
GBP 3,123,000 50,393 (72) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity (50,465)
GBP 2,402,000 51,226 (56) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (51,282)
GBP 4,484,000 117,146 (106) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (117,251)
$3,599,000 106,394 (39) 12/6/27 2.19% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 106,355
3,599,000 106,145 (39) 12/21/27 2.1939% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 106,106
3,719,000 49,169 — 7/5/27 2.05% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 49,169
3,719,000 941 — 7/5/22 (1.89%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 941
3,599,000 38,362 (22) 12/6/22 (2.05%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (38,384)
3,599,000 40,384 (22) 12/21/22 (2.068%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (40,406)
Total $(955) $326,015









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $4,375 $64,000 $6,426 5/11/63 300 bp — Monthly $(2,019)
CMBX NA BBB-.6 Index BBB-/P 8,497 141,000 14,156 5/11/63 300 bp — Monthly (5,589)
CMBX NA BBB-.6 Index BBB-/P 17,409 282,000 28,313 5/11/63 300 bp — Monthly (10,763)
CMBX NA BBB-.6 Index BBB-/P 16,587 291,000 29,216 5/11/63 300 bp — Monthly (12,484)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index BB/P 210 1,000 207 5/11/63 500 bp — Monthly 4
CMBX NA BB.6 Index BB/P 28,424 150,000 31,095 5/11/63 500 bp — Monthly (2,546)
CMBX NA BB.6 Index BB/P 150,632 612,000 126,868 5/11/63 500 bp — Monthly 24,275
CMBX NA BB.7 Index BB/P 19,995 144,000 15,034 1/17/47 500 bp — Monthly 5,081
CMBX NA BB.7 Index BB/P 38,946 303,000 31,633 1/17/47 500 bp — Monthly 7,565
CMBX NA BB.7 Index BB/P 50,489 418,000 43,639 1/17/47 500 bp — Monthly 7,198
CMBX NA BBB-.6 Index BBB-/P 1,286 12,000 1,205 5/11/63 300 bp — Monthly 88
CMBX NA BBB-.6 Index BBB-/P 1,274 12,000 1,205 5/11/63 300 bp — Monthly 75
CMBX NA BBB-.6 Index BBB-/P 3,696 32,000 3,213 5/11/63 300 bp — Monthly 499
CMBX NA BBB-.6 Index BBB-/P 4,200 44,000 4,418 5/11/63 300 bp — Monthly (195)
CMBX NA BBB-.6 Index BBB-/P 5,770 54,000 5,422 5/11/2063 300 bp — Monthly 375
CMBX NA BBB-.6 Index BBB-/P 7,551 66,000 6,626 5/11/63 300 bp — Monthly 957
CMBX NA BBB-.6 Index BBB-/P 9,240 84,000 8,434 5/11/63 300 bp — Monthly 849
CMBX NA BBB-.6 Index BBB-/P 13,861 126,000 12,650 5/11/63 300 bp — Monthly 1,273
CMBX NA BBB-.6 Index BBB-/P 14,147 137,000 13,755 5/11/63 300 bp — Monthly 460
CMBX NA BBB-.6 Index BBB-/P 17,688 158,000 15,863 5/11/63 300 bp — Monthly 1,904
CMBX NA BBB-.6 Index BBB-/P 32,324 293,000 29,417 5/11/63 300 bp — Monthly 3,053
CMBX NA BBB-.6 Index BBB-/P 137,311 935,000 93,874 5/11/63 300 bp — Monthly 43,904
Credit Suisse International
CMBX NA BBB-.6 Index BBB-/P 20,776 134,000 13,454 5/11/63 300 bp — Monthly 7,390
CMBX NA BBB-.6 Index BBB-/P 34,516 247,000 24,799 5/11/63 300 bp — Monthly 9,841
CMBX NA BBB-.6 Index BBB-/P 38,364 263,000 26,405 5/11/63 300 bp — Monthly 12,091
CMBX NA BBB-.6 Index BBB-/P 76,729 526,000 52,810 5/11/63 300 bp — Monthly 24,181
CMBX NA BB.7 Index BB/P 30,497 228,000 23,803 1/17/47 500 bp — Monthly 6,884
CMBX NA BBB-.6 Index BBB-/P 2,871 22,000 2,209 5/11/63 300 bp — Monthly 673
CMBX NA BBB-.6 Index BBB-/P 2,822 29,000 2,912 5/11/63 300 bp — Monthly (75)
CMBX NA BBB-.6 Index BBB-/P 3,356 30,000 3,012 5/11/63 300 bp — Monthly 359
CMBX NA BBB-.6 Index BBB-/P 3,502 35,000 3,514 5/11/63 300 bp — Monthly 5
CMBX NA BBB-.6 Index BBB-/P 5,453 54,000 5,422 5/11/63 300 bp — Monthly 58
CMBX NA BBB-.6 Index BBB-/P 9,884 72,000 7,229 5/11/63 300 bp — Monthly 2,691
CMBX NA BBB-.6 Index BBB-/P 8,536 90,000 9,036 5/11/63 300 bp — Monthly (455)
CMBX NA BBB-.6 Index BBB-/P 11,795 99,000 9,940 5/11/63 300 bp — Monthly 1,904
CMBX NA BBB-.6 Index BBB-/P 10,100 103,000 10,341 5/11/63 300 bp — Monthly (190)
CMBX NA BBB-.6 Index BBB-/P 10,819 114,000 11,446 5/11/63 300 bp — Monthly (570)
CMBX NA BBB-.6 Index BBB-/P 21,326 126,000 12,650 5/11/63 300 bp — Monthly 8,738
CMBX NA BBB-.6 Index BBB-/P 13,603 142,000 14,257 5/11/63 300 bp — Monthly (583)
CMBX NA BBB-.6 Index BBB-/P 18,678 166,000 16,666 5/11/63 300 bp — Monthly 2,094
CMBX NA BBB-.6 Index BBB-/P 22,319 203,000 20,381 5/11/63 300 bp — Monthly 2,039
CMBX NA BBB-.6 Index BBB-/P 36,978 292,000 29,317 5/11/63 300 bp — Monthly 7,808
CMBX NA BBB-.6 Index BBB-/P 41,680 359,000 36,044 5/11/63 300 bp — Monthly 5,816
CMBX NA BBB-.6 Index BBB-/P 55,222 366,000 36,746 5/11/63 300 bp — Monthly 18,658
CMBX NA BBB-.6 Index BBB-/P 51,002 445,000 44,678 5/11/63 300 bp — Monthly 6,547
CMBX NA BBB-.6 Index BBB-/P 53,116 463,000 46,485 5/11/63 300 bp — Monthly 6,862
CMBX NA BBB-.6 Index BBB-/P 52,816 478,000 47,991 5/11/63 300 bp — Monthly 5,063
CMBX NA BBB-.6 Index BBB-/P 82,454 780,000 78,312 5/11/63 300 bp — Monthly 4,532
CMBX NA BBB-.6 Index BBB-/P 137,903 914,000 91,766 5/11/63 300 bp — Monthly 46,594
CMBX NA BBB-.6 Index BBB-/P 106,372 983,000 98,693 5/11/63 300 bp — Monthly 8,170
CMBX NA BBB-.6 Index BBB-/P 129,498 1,172,000 117,669 5/11/63 300 bp — Monthly 12,415
CMBX NA BBB-.6 Index BBB-/P 178,053 1,637,000 164,355 5/11/63 300 bp — Monthly 14,516
CMBX NA BBB-.6 Index BBB-/P 399,884 3,740,000 375,496 5/11/63 300 bp — Monthly 26,258
CMBX NA BBB-.7 Index BBB-/P 51,226 780,000 21,294 1/17/47 300 bp — Monthly 30,322
CMBX NA BBB-.7 Index BBB-/P 178,726 2,418,000 66,011 1/17/47 300 bp — Monthly 113,924
Goldman Sachs International
CMBX NA BBB-.6 Index BBB-/P 1,771 26,000 2,610 5/11/63 300 bp — Monthly (826)
CMBX NA BBB-.6 Index BBB-/P 6,450 46,000 4,618 5/11/63 300 bp — Monthly 1,854
CMBX NA BBB-.6 Index BBB-/P 6,945 66,000 6,626 5/11/63 300 bp — Monthly 352
CMBX NA BBB-.6 Index BBB-/P 6,758 78,000 7,831 5/11/63 300 bp — Monthly (1,034)
CMBX NA BBB-.6 Index BBB-/P 8,625 78,000 7,831 5/11/63 300 bp — Monthly 833
CMBX NA BBB-.6 Index BBB-/P 7,858 91,000 9,136 5/11/63 300 bp — Monthly (1,233)
CMBX NA BBB-.6 Index BBB-/P 14,022 103,000 10,341 5/11/63 300 bp — Monthly 3,732
CMBX NA BBB-.6 Index BBB-/P 12,871 115,000 11,546 5/11/63 300 bp — Monthly 1,382
CMBX NA BBB-.6 Index BBB-/P 10,295 122,000 12,249 5/11/63 300 bp — Monthly (1,893)
CMBX NA BBB-.6 Index BBB-/P 9,733 123,000 12,349 5/11/63 300 bp — Monthly (2,555)
CMBX NA BBB-.6 Index BBB-/P 14,645 131,000 13,152 5/11/63 300 bp — Monthly 1,558
CMBX NA BBB-.6 Index BBB-/P 15,457 133,000 13,353 5/11/63 300 bp — Monthly 2,170
CMBX NA BBB-.6 Index BBB-/P 22,777 137,000 13,755 5/11/63 300 bp — Monthly 9,090
CMBX NA BBB-.6 Index BBB-/P 23,502 157,000 15,763 5/11/63 300 bp — Monthly 7,818
CMBX NA BBB-.6 Index BBB-/P 23,233 158,000 15,863 5/11/63 300 bp — Monthly 7,449
CMBX NA BBB-.6 Index BBB-/P 18,496 166,000 16,666 5/11/63 300 bp — Monthly 1,913
CMBX NA BBB-.6 Index BBB-/P 18,286 169,000 16,968 5/11/63 300 bp — Monthly 1,403
CMBX NA BBB-.6 Index BBB-/P 18,357 169,000 16,968 5/11/63 300 bp — Monthly 1,474
CMBX NA BBB-.6 Index BBB-/P 20,534 175,000 17,570 5/11/63 300 bp — Monthly 3,052
CMBX NA BBB-.6 Index BBB-/P 15,274 181,000 18,172 5/11/63 300 bp — Monthly (2,808)
CMBX NA BBB-.6 Index BBB-/P 15,166 183,000 18,373 5/11/63 300 bp — Monthly (3,115)
CMBX NA BBB-.6 Index BBB-/P 24,103 216,000 21,686 5/11/63 300 bp — Monthly 2,524
CMBX NA BBB-.6 Index BBB-/P 24,103 216,000 21,686 5/11/63 300 bp — Monthly 2,524
CMBX NA BBB-.6 Index BBB-/P 11,095 226,000 22,690 5/11/63 300 bp — Monthly (11,482)
CMBX NA BBB-.6 Index BBB-/P 12,285 252,000 25,301 5/11/63 300 bp — Monthly (12,890)
CMBX NA BBB-.6 Index BBB-/P 40,089 266,000 26,706 5/11/63 300 bp — Monthly 13,515
CMBX NA BBB-.6 Index BBB-/P 13,442 271,000 27,208 5/11/63 300 bp — Monthly (13,631)
CMBX NA BBB-.6 Index BBB-/P 14,449 277,000 27,811 5/11/63 300 bp — Monthly (13,224)
CMBX NA BBB-.6 Index BBB-/P 36,039 296,000 29,718 5/11/63 300 bp — Monthly 6,469
CMBX NA BBB-.6 Index BBB-/P 33,021 305,000 30,622 5/11/63 300 bp — Monthly 2,551
CMBX NA BBB-.6 Index BBB-/P 32,527 324,000 32,530 5/11/63 300 bp — Monthly 159
CMBX NA BBB-.6 Index BBB-/P 47,211 452,000 45,381 5/11/63 300 bp — Monthly 2,056
CMBX NA BBB-.6 Index BBB-/P 71,741 605,000 60,742 5/11/63 300 bp — Monthly 11,302
CMBX NA BBB-.6 Index BBB-/P 71,494 605,000 60,742 5/11/63 300 bp — Monthly 11,055
CMBX NA BBB-.6 Index BBB-/P 67,357 611,000 61,344 5/11/63 300 bp — Monthly 6,318
CMBX NA BBB-.6 Index BBB-/P 37,011 765,000 76,806 5/11/63 300 bp — Monthly (39,412)
CMBX NA BBB-.6 Index BBB-/P 155,865 1,042,000 104,617 5/11/63 300 bp — Monthly 51,769
CMBX NA BBB-.7 Index BBB-/P 9,270 133,000 3,631 1/17/47 300 bp — Monthly 5,706
CMBX NA BBB-.7 Index BBB-/P 51,111 600,000 16,380 1/17/47 300 bp — Monthly 35,031
CMBX NA BBB-.7 Index BBB-/P 61,571 833,000 22,741 1/17/47 300 bp — Monthly 39,247
CMBX NA BBB-.7 Index BBB-/P 90,359 1,040,000 28,392 1/17/47 300 bp — Monthly 62,487
JPMorgan Securities LLC
CMBX NA BB.6 Index BB/P 38,131 180,000 37,314 5/11/63 500 bp — Monthly 967
CMBX NA BB.6 Index BB/P 41,272 195,000 40,424 5/11/63 500 bp — Monthly 1,011
CMBX NA BB.6 Index BB/P 32,840 156,000 32,339 5/11/63 500 bp — Monthly 631
CMBX NA BBB-.6 Index BBB-/P 2,662,689 20,127,000 2,020,751 5/11/63 300 bp — Monthly 652,010
Merrill Lynch International
CMBX NA BBB-.6 Index BBB-/P 3,308 25,000 2,510 5/11/63 300 bp — Monthly 811
CMBX NA BBB-.6 Index BBB-/P 8,248 73,000 7,329 5/11/63 300 bp — Monthly 955
CMBX NA BBB-.6 Index BBB-/P 15,743 134,000 13,454 5/11/63 300 bp — Monthly 2,356
CMBX NA BBB-.6 Index BBB-/P 24,006 203,000 20,381 5/11/63 300 bp — Monthly 3,726
CMBX NA BBB-.6 Index BBB-/P 112,148 1,001,000 100,500 5/11/63 300 bp — Monthly 12,148
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 10,005 71,000 7,128 5/11/63 300 bp — Monthly 2,912
CMBX NA BBB-.6 Index BBB-/P 38,928 263,000 26,405 5/11/63 300 bp — Monthly 12,654
CMBX NA BBB-.6 Index BBB-/P 38,318 263,000 26,405 5/11/63 300 bp — Monthly 12,044
CMBX NA BBB-.6 Index BBB-/P 38,870 263,000 26,405 5/11/63 300 bp — Monthly 12,597
CMBX NA BBB-.6 Index BBB-/P 77,780 525,000 52,710 5/11/63 300 bp — Monthly 25,332
CMBX NA BBB-.6 Index BBB-/P 77,707 525,000 52,710 5/11/63 300 bp — Monthly 25,260
CMBX NA BBB-.6 Index BBB-/P 76,916 526,000 52,810 5/11/63 300 bp — Monthly 24,369
CMBX NA BBB-.6 Index BBB-/P 116,034 788,000 79,115 5/11/63 300 bp — Monthly 37,320
CMBX NA BBB-.6 Index BBB-/P 115,105 790,000 79,316 5/11/63 300 bp — Monthly 36,184
CMBX NA BBB-.6 Index BBB-/P 155,146 1,051,000 105,520 5/11/63 300 bp — Monthly 50,151
CMBX NA A.6 Index A/P 41 4,000 5 5/11/63 200 bp — Monthly 47
CMBX NA BB.6 Index BB/P 48,378 197,000 40,838 5/11/63 500 bp — Monthly 7,704
CMBX NA BB.6 Index BB/P 97,086 394,000 81,676 5/11/63 500 bp — Monthly 15,738
CMBX NA BBB-.6 Index BBB-/P 496 4,000 402 5/11/63 300 bp — Monthly 96
CMBX NA BBB-.6 Index BBB-/P 641 6,000 602 5/11/63 300 bp — Monthly 42
CMBX NA BBB-.6 Index BBB-/P 1,164 11,000 1,104 5/11/63 300 bp — Monthly 65
CMBX NA BBB-.6 Index BBB-/P 1,696 14,000 1,406 5/11/63 300 bp — Monthly 298
CMBX NA BBB-.6 Index BBB-/P 2,666 22,000 2,209 5/11/63 300 bp — Monthly 468
CMBX NA BBB-.6 Index BBB-/P 3,325 26,000 2,610 5/11/63 300 bp — Monthly 728
CMBX NA BBB-.6 Index BBB-/P 2,962 31,000 3,112 5/11/63 300 bp — Monthly (135)
CMBX NA BBB-.6 Index BBB-/P 4,655 38,000 3,815 5/11/63 300 bp — Monthly 859
CMBX NA BBB-.6 Index BBB-/P 5,586 43,000 4,317 5/11/63 300 bp — Monthly 1,290
CMBX NA BBB-.6 Index BBB-/P 5,565 57,000 5,723 5/11/63 300 bp — Monthly (129)
CMBX NA BBB-.6 Index BBB-/P 7,298 57,000 5,723 5/11/63 300 bp — Monthly 1,604
CMBX NA BBB-.6 Index BBB-/P 7,405 65,000 6,526 5/11/63 300 bp — Monthly 912
CMBX NA BBB-.6 Index BBB-/P 8,241 70,000 7,028 5/11/63 300 bp — Monthly 1,248
CMBX NA BBB-.6 Index BBB-/P 10,227 77,000 7,731 5/11/63 300 bp — Monthly 2,535
CMBX NA BBB-.6 Index BBB-/P 9,154 78,000 7,831 5/11/63 300 bp — Monthly 1,361
CMBX NA BBB-.6 Index BBB-/P 10,205 89,000 8,936 5/11/63 300 bp — Monthly 1,314
CMBX NA BBB-.6 Index BBB-/P 28,646 169,000 16,968 5/11/63 300 bp — Monthly 11,762
CMBX NA BBB-.6 Index BBB-/P 16,836 180,000 18,072 5/11/63 300 bp — Monthly (1,146)
CMBX NA BBB-.6 Index BBB-/P 24,103 213,000 21,385 5/11/63 300 bp — Monthly 2,825
CMBX NA BBB-.6 Index BBB-/P 28,113 232,000 23,293 5/11/63 300 bp — Monthly 4,936
CMBX NA BBB-.6 Index BBB-/P 37,244 250,000 25,100 5/11/63 300 bp — Monthly 12,269
CMBX NA BBB-.6 Index BBB-/P 43,147 287,000 28,815 5/11/63 300 bp — Monthly 14,475
CMBX NA BBB-.6 Index BBB-/P 72,062 514,000 51,606 5/11/63 300 bp — Monthly 20,713
CMBX NA BBB-.6 Index BBB-/P 59,278 559,000 56,124 5/11/63 300 bp — Monthly 3,434
Upfront premium received 7,899,400 Unrealized appreciation 1,800,947
Upfront premium (paid) — Unrealized (depreciation) (140,982)
Total $7,899,400 Total $1,659,965
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2019. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 6/30/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(37) $4,000 $5 5/11/63 (200 bp) — Monthly $(44)
CMBX NA BB.10 Index (30,592) 279,000 24,134 11/17/59 (500 bp) — Monthly (6,691)
CMBX NA BB.10 Index (14,611) 140,000 12,110 11/17/59 (500 bp) — Monthly (2,618)
CMBX NA BB.11 Index (54,156) 418,000 41,257 11/18/54 (500 bp) — Monthly (13,248)
CMBX NA BB.9 Index (58,771) 418,000 43,430 9/17/58 (500 bp) — Monthly (15,689)
CMBX NA BB.9 Index (47,350) 306,000 31,793 9/17/58 (500 bp) — Monthly (15,812)
CMBX NA BB.9 Index (47,138) 306,000 31,793 9/17/58 (500 bp) — Monthly (15,599)
CMBX NA BB.9 Index (46,653) 303,000 31,482 9/17/58 (500 bp) — Monthly (15,424)
CMBX NA BB.9 Index (36,268) 279,000 28,988 9/17/58 (500 bp) — Monthly (7,512)
CMBX NA BB.9 Index (37,504) 279,000 28,988 9/17/58 (500 bp) — Monthly (8,749)
CMBX NA BB.9 Index (23,796) 152,000 15,793 9/17/58 (500 bp) — Monthly (8,130)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 25,085 11/17/59 (500 bp) — Monthly (13,850)
CMBX NA BB.10 Index (34,367) 289,000 24,999 11/17/59 (500 bp) — Monthly (9,609)
CMBX NA BB.10 Index (18,893) 152,000 13,148 11/17/59 (500 bp) — Monthly (5,872)
CMBX NA BB.7 Index (12,673) 718,000 148,841 5/11/63 (500 bp) — Monthly 135,570
CMBX NA BB.7 Index (61,796) 335,000 34,974 1/17/47 (500 bp) — Monthly (27,101)
CMBX NA BB.7 Index (42,109) 256,000 26,726 1/17/47 (500 bp) — Monthly (15,596)
CMBX NA BB.9 Index (75,024) 470,000 48,833 9/17/58 (500 bp) — Monthly (26,583)
CMBX NA BB.9 Index (23,331) 152,000 15,793 9/17/58 (500 bp) — Monthly (7,665)
CMBX NA BB.9 Index (22,791) 148,000 15,377 9/17/58 (500 bp) — Monthly (7,537)
CMBX NA BB.9 Index (21,972) 145,000 15,066 9/17/58 (500 bp) — Monthly (7,028)
CMBX NA BB.9 Index (15,892) 111,000 11,533 9/17/58 (500 bp) — Monthly (4,451)
CMBX NA BB.9 Index (13,764) 88,000 9,143 9/17/58 (500 bp) — Monthly (4,694)
CMBX NA BB.9 Index (6,083) 39,000 4,052 9/17/58 (500 bp) — Monthly (2,064)
CMBX NA BB.9 Index (6,083) 39,000 4,052 9/17/58 (500 bp) — Monthly (2,064)
Goldman Sachs International
CMBX NA BB.6 Index (50,331) 492,000 101,992 5/11/63 (500 bp) — Monthly 51,250
CMBX NA BB.7 Index (32,233) 213,000 22,237 1/17/47 (500 bp) — Monthly (10,173)
CMBX NA BB.6 Index (3,360) 23,000 4,768 5/11/63 (500 bp) — Monthly 1,388
CMBX NA BB.7 Index (75,236) 445,000 46,458 1/17/47 (500 bp) — Monthly (29,149)
CMBX NA BB.7 Index (38,667) 236,000 24,638 1/17/47 (500 bp) — Monthly (14,225)
CMBX NA BB.7 Index (25,381) 125,000 13,050 1/17/47 (500 bp) — Monthly (12,435)
CMBX NA BB.7 Index (18,621) 102,000 10,649 1/17/47 (500 bp) — Monthly (8,057)
CMBX NA BB.9 Index (4,617) 29,000 3,013 9/17/58 (500 bp) — Monthly (1,628)
CMBX NA BB.9 Index (2,212) 14,000 1,455 9/17/58 (500 bp) — Monthly (769)
CMBX NA BB.9 Index (2,236) 14,000 1,455 9/17/58 (500 bp) — Monthly (793)
JPMorgan Securities LLC
CMBX NA BB.6 Index (38,525) 274,000 56,800 5/11/63 (500 bp) — Monthly 18,047
CMBX NA BB.6 Index (26,243) 181,000 37,521 5/11/63 (500 bp) — Monthly 11,128
CMBX NA BB.6 Index (11,075) 77,000 15,962 5/11/63 (500 bp) — Monthly 4,823
CMBX NA BB.7 Index (249,555) 1,972,000 205,877 1/17/47 (500 bp) — Monthly (45,322)
CMBX NA BB.9 Index (13,587) 96,000 9,974 9/17/58 (500 bp) — Monthly (3,693)
CMBX NA BB.9 Index (7,626) 54,000 5,611 9/17/58 (500 bp) — Monthly (2,061)
CMBX NA BB.9 Index (6,945) 44,000 4,572 9/17/58 (500 bp) — Monthly (2,410)
CMBX NA BB.9 Index (3,432) 22,000 2,286 9/17/58 (500 bp) — Monthly (1,165)
CMBX NA BB.9 Index (460) 3,000 312 9/17/58 (500 bp) — Monthly (151)
CMBX NA BBB-.7 Index (52,324) 1,379,000 37,647 1/17/47 (300 bp) — Monthly (15,367)
CMBX NA BBB-.7 Index (16,083) 340,000 9,282 1/17/47 (300 bp) — Monthly (6,971)
CMBX NA BBB-.7 Index (4,864) 134,000 3,658 1/17/47 (300 bp) — Monthly (1,273)
Merrill Lynch International
CMBX NA BB.10 Index (14,755) 140,000 12,110 11/17/59 (500 bp) — Monthly (2,761)
CMBX NA BB.10 Index (16,523) 139,000 12,024 11/17/59 (500 bp) — Monthly (4,615)
CMBX NA BB.7 Index (17,001) 98,000 10,231 1/17/47 (500 bp) — Monthly (6,852)
CMBX NA BB.9 Index (50,363) 322,000 33,456 9/17/58 (500 bp) — Monthly (17,176)
CMBX NA BB.9 Index (18,196) 139,000 14,442 9/17/58 (500 bp) — Monthly (3,870)
CMBX NA BB.9 Index (14,789) 101,000 10,494 9/17/58 (500 bp) — Monthly (4,380)
CMBX NA BB.9 Index (15,301) 100,000 10,390 9/17/58 (500 bp) — Monthly (4,994)
CMBX NA BB.9 Index (15,222) 97,000 10,078 9/17/58 (500 bp) — Monthly (5,225)
CMBX NA BB.9 Index (14,144) 96,000 9,974 9/17/58 (500 bp) — Monthly (4,250)
CMBX NA BBB-.7 Index (32,451) 396,000 10,811 1/17/47 (300 bp) — Monthly (21,839)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 4,778 1/17/47 (300 bp) — Monthly (13,141)
CMBX NA BB.10 Index (14,683) 140,000 12,110 11/17/59 (500 bp) — Monthly (2,689)
CMBX NA BB.7 Index (79,236) 394,000 41,134 1/17/47 (500 bp) — Monthly (38,430)
CMBX NA BB.7 Index (68,647) 356,000 37,166 1/17/47 (500 bp) — Monthly (31,777)
CMBX NA BB.7 Index (65,793) 326,000 34,034 1/17/47 (500 bp) — Monthly (32,031)
CMBX NA BB.7 Index (33,495) 179,000 18,688 1/17/47 (500 bp) — Monthly (14,956)
CMBX NA BB.9 Index (10,229) 71,000 7,377 9/17/58 (500 bp) — Monthly (2,911)
CMBX NA BB.9 Index (8,785) 66,000 6,857 9/17/58 (500 bp) — Monthly (1,983)
CMBX NA BB.9 Index (8,830) 65,000 6,754 9/17/58 (500 bp) — Monthly (2,130)
CMBX NA BB.9 Index (9,506) 63,000 6,546 9/17/58 (500 bp) — Monthly (3,012)
CMBX NA BB.9 Index (8,614) 63,000 6,546 9/17/58 (500 bp) — Monthly (2,120)
CMBX NA BB.9 Index (5,715) 38,000 3,948 9/17/58 (500 bp) — Monthly (1,798)
CMBX NA BB.9 Index (4,541) 30,000 3,117 9/17/58 (500 bp) — Monthly (1,449)
CMBX NA BB.9 Index (4,541) 30,000 3,117 9/17/58 (500 bp) — Monthly (1,449)
CMBX NA BB.9 Index (3,579) 23,000 2,390 9/17/58 (500 bp) — Monthly (1,209)
CMBX NA BBB-.7 Index (14,539) 229,000 6,252 1/17/47 (300 bp) — Monthly (8,402)
Upfront premium received — Unrealized appreciation 222,206
Upfront premium (paid) (2,041,269) Unrealized (depreciation) (634,721)
Total $(2,041,269) Total $(412,515)
* 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 6/30/19 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
NA HY Series 32 Index $569,934 $9,550,000 $725,132 6/20/24 (500 bp) — Quarterly $(169,788)
Total $569,934 $(169,788)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.











Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
CZK Czech Koruna
EUR Euro
GBP British Pound
ILS Israeli Shekel
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
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
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, 2018 through June 30, 2019 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $250,307,303.
(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 $168,740, or less than 0.1% of net assets.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/18		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
6/30/19
Short-term investments
Putnam Short Term Investment Fund** $21,637,856 $82,291,781 $78,178,411 $226,004 $25,751,226
Total Short-term investments $21,637,856 $82,291,781 $78,178,411 $226,004 $25,751,226
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $157,628.
(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 $4,933,259.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $3,390,212.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $123,076,133 to cover certain derivative contracts, securities sold short, and the settlement of certain securities.
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 88.7%
Greece 2.0
Argentina 1.6
Brazil 1.6
Indonesia 1.0
Mexico 1.0
Canada 0.5
Other 3.6
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. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts 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 to , 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, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $4,933,259 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $4,944,691 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Capital goods $992 $— $—
Consumer cyclicals 170,206 22,036 —
Energy — 70 3,766
Health care 16,134 — —
Technology 75,009 — —
Utilities and power — 77,918 —
Total common stocks 262,341 100,024 3,766
Asset-backed securities — 1,612,000 —
Convertible bonds and notes — 9,775,260 —
Convertible preferred stocks — — 2,600
Corporate bonds and notes — 61,438,302 362
Foreign government and agency bonds and notes 31,670,520
Mortgage-backed securities — 108,152,758 —
Purchased options outstanding — 166,845 —
Purchased swap options outstanding — 12,499,783 —
Senior loans — 5,221,169 —
U.S. government and agency mortgage obligations — 172,202,466 —
U.S. treasury obligations — 1,010,399 —
Short-term investments 27,031,226 8,798,536 —
Totals by level $27,293,567 $412,648,062 $6,728
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(876,216) $—
Futures contracts 19,922 — —
Written options outstanding — (147,678) —
Written swap options outstanding — (9,600,618) —
Forward premium swap option contracts — (194,440) —
TBA sale commitments — (87,083,282) —
Interest rate swap contracts — 2,453,507 —
Total return swap contracts — 285,870 —
Credit default contracts — (5,350,403) —
Totals by level $19,922 $(100,513,260) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Fair Value of Derivative Instruments as  of
the close of the reporting period
  Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments
under ASC 815		 Fair value Fair value
Credit contracts $1,628,767 $6,979,170
Foreign exchange contracts 582,630 1,419,915
Equity contracts — —
Interest rate contracts 23,931,278 18,487,018
Total $26,142,675 $26,886,103
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) $120,100,000
Purchased currency option contracts (contract amount) $19,000,000
Purchased swap option contracts (contract amount) $693,600,000
Written TBA commitment option contracts (contract amount) $150,000,000
Written currency option contracts (contract amount) $24,700,000
Written swap option contracts (contract amount) $806,300,000
Futures contracts (number of contracts) 400
Forward currency contracts (contract amount) $227,900,000
OTC interest rate swap contracts (notional) $4,800,000
Centrally cleared interest rate swap contracts (notional) $1,145,900,000
OTC total return swap contracts (notional) $23,500,000
Centrally cleared total return swap contracts (notional) $116,700,000
OTC credit default contracts (notional) $82,100,000
Centrally cleared credit default contracts (notional) $6,500,000
Warrants (number of warrants) 1,000

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com