Putnam
Master Intermediate
Income Trust

Annual report
9 | 30 | 21

 

Message from the Trustees

November 18, 2021

Dear Fellow Shareholder:

In the final months of the year, markets may be at a crossroads. The Federal Reserve is poised to begin reducing its monthly purchases of Treasury and mortgage-backed bonds, a program that has been in place since early 2020. Congress is considering major legislation to support infrastructure projects, which may include both higher tax rates and borrowing. Also of note, companies continue to respond creatively to the evolving challenges of the Covid-19 pandemic.

The investment landscape could change in the months ahead, as often occurs in a dynamic economy. Be assured that Putnam’s research teams will actively analyze new opportunities and risks that might emerge. They will work to uncover investment potential others may miss as they select securities for your fund.

Thank you for investing with Putnam.

When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative.

In the more than 30 years since then, the fixed-income landscape has undergone a dramatic transformation, but the spirit of ingenuity that helped launch the fund is still with it today.

A veteran portfolio management team

The fund’s managers strive to build a well-diversified portfolio that carefully balances risk and return, targeting opportunities in interest rates, credit, mortgages, and currencies from across the full spectrum of the global bond markets.

 

Allocations are shown as a percentage of the fund’s net assets as of 9/30/21. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.

Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

 

Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 12–13 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.

Lipper peer group average provided by Lipper, a Refinitiv company.

* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/21. See above and pages 12–13 for additional fund performance information. Index descriptions can be found on pages 20–21.

All Bloomberg indices provided by Bloomberg Index Services Limited.

 

Mike, what was the fund’s investment environment like during the reporting period?

Early in the period, the recovery from the Covid-19-induced market upheaval continued. As 2020 came to a close, news of multiple vaccines stirred hopes of returning to more regularity in the economy, markets, and society in 2021. Early in the new year, widespread vaccine distribution bolstered investor optimism about the strength of the economic recovery. A $1.9 trillion aid package signed into law by President Biden in March provided a further boost to market sentiment.

A massive rollout of Covid-19 vaccines during the second quarter of 2021 led to an almost full reopening of the U.S. economy. With things slowly returning to normal, pent-up consumer demand, combined with fiscal and monetary stimulus, fueled a robust economic rebound.

We had to navigate a number of uncertainties during the latter months of the period. These included an uptick in Delta-variant Covid-19 cases alongside concerns that higher inflation —driven, in part, by surging energy prices — would persist longer than initially expected. Investors also began anticipating when the U.S. Federal Reserve would start reducing the vast

 

Credit qualities are shown as a percentage of the fund’s net assets as of 9/30/21. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.

Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

bond-buying program it launched to help support the economy as lockdowns impeded growth last year. Uncertainty in Washington over the coming U.S. House of Representatives vote on a $1 trillion infrastructure bill weighed on investors’ minds as well.

Within this environment, risk-driven assets performed well overall but pulled back late in the period. Convertible securities generated some of the strongest gains, given their hybrid stock/bond structure. High-yield corporate credit also registered a solid advance, driven by a recovery in the energy sector. Conversely, longer-term U.S. Treasuries and other government securities lagged against the backdrop of sharply rising bond yields during the first quarter of 2021 and again in late September.

Which holdings and strategies drove the fund’s performance during the period?

First off, I think it’s important to highlight that the fund continued to invest outside the constraints of traditional fixed-income benchmarks, seeking what we view as the best investment opportunities based on risk rather than asset class. These risks include interest rate, credit, prepayment, and liquidity. During the period, the fund underperformed its Lipper category. This was driven by performance in specific investment strategies discussed below, along with structural differences relative to other funds in the category.

In terms of specific strategies, our corporate credit holdings — primarily high-yield bonds and convertible securities — added the most value this period. Reflecting investors’ willingness to assume risk in exchange for greater potential return, spreads on corporate securities tightened substantially during the period. Meanwhile, convertible securities benefited from stock market strength. By way of explanation, spreads are the yield advantage investors earn on credit-sensitive bonds over comparable-maturity Treasuries. Bond prices

 

rise as yield spreads tighten and decline as spreads widen.

Mortgage credit holdings also meaningfully contributed to fund performance, led by our exposure to commercial mortgage-backed securities [CMBS]. Lower volatility, strong demand from investors, and better overall fundamentals boosted the sector following significant volatility in the first half of 2020.

Positions in agency credit-risk transfer [CRT] securities also aided performance. A variety of factors helped agency CRTs, including housing-related Covid-19 government policy measures, housing market strength, and optimism about the reopening of the economy. During the summer, the sector also received a lift from reduced uncertainty about the effects a government-mandated mortgage-forbearance program would have on CRT cash flows.

Holdings of emerging market debt across a number of countries provided a further notable boost to performance. Investments in the Ivory Coast, Senegal, Argentina, and Mexico were the top contributors to performance during the period. As noted above, the sector rallied in step with healthier risk dynamics and demand for higher-yielding securities.

What about detractors during the period?

Our interest-rate and yield-curve strategy was the primary detractor. The portfolio was positioned to benefit if inflation declined and real interest rates rose. Unfortunately, the opposite occurred during the period. [Real interest rates adjust for the effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] Our interest-rate and yield-curve strategy is intended to provide a degree of protection against underperformance of risk-based assets. Historically, nearly all episodes of risk-asset underperformance occurred during periods of

Top holdings

 

This table shows the fund’s top holdings across three key sectors and the percentage of the fund’s net assets that each represented as of 9/30/21. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.

 

declining inflation or rising real interest rates. However, the Fed’s ongoing bond-buying program has disrupted these typical patterns, in our view. Looking ahead, we believe the tapering of Fed bond purchases may aid the performance of our interest-rate and yield-curve strategy.

Strategies targeting prepayment risk also hampered performance, mostly in the second half of the period. Homeowners have been refinancing mortgages faster than market expectations throughout 2021, placing pressure on our positions in agency interest-only collateralized mortgage obligations [IO CMOs] and inverse interest-only securities [IOs]. Spreads on IO CMOs and inverse IOs widened meaningfully in April and May, as mortgage providers stepped up efforts to attract borrowers who had not refinanced their loans.

How did you use derivatives during the period?

We used credit default swaps to gain exposure to CMBS via CMBX, and also to hedge the fund’s credit and market risks. [CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year.] We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve, and to hedge the risk associated with the fund’s curve positioning. We employed interest-rate swaps to gain exposure to rates in various countries. We also utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our holdings of CMOs, and to help manage overall downside risk. In addition, we used total return swaps as a hedging tool and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we used currency forward contracts to

This chart shows how the fund’s security type weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.

Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

 

hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What is your near-term outlook?

As of period-end, many experts had somewhat moderated their expectations for U.S. economic growth. However, we believe gross domestic product will continue to grow at a rate above the longer-term trend into 2022. We were encouraged that, as of September 30, 2021, U.S. cases of, and hospitalizations from, Covid-19 continued to steadily decline. In our view, the country seems to be moving past a July surge caused by the highly transmissible Delta variant.

We think these factors will support continued solid growth in corporate earnings. Strong cash-flow generation has helped boost companies’ earnings and enabled them to reduce debt, creating an overall positive backdrop for credit fundamentals, in our view.

Near the end of the period, the Fed indicated it was ready to begin reversing its pandemic stimulus programs as early as November and was considering raising its target for short-term interest rates next year. Given the Fed’s shift in tone, we think less bond buying by the central bank is likely to nudge both real and nominal Treasury yields higher in the months ahead. That said, we think the trend toward higher rates will be gradual as bond investors adjust their growth and inflation outlooks, leading to periods of market volatility.

What are your current views on the various sectors in which the fund invests?

Looking first at corporate credit, we have a positive outlook for the fundamentals and overall supply-and-demand backdrop of

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

 

high-yield bonds. Our view on valuation is more neutral, however, given the relative tightness of yield spreads as of period-end. Within the high-yield market, we are continuing to closely monitor issuers’ balance sheets and liquidity metrics, with an eye toward default risk or a credit-rating downgrade.

In the CMBS market, we believe there are attractive risk-adjusted investment opportunities available amid an improving fundamental backdrop. We continue to find value among issues that have been on the market for a few years. At the same time, we are also investing in newer issues backed by relatively long leases and what we consider to be strong underwriting.

Within residential mortgage credit, given low mortgage rates, high demand, and a declining inventory of available homes, we think home prices are likely to continue rising. Even with tighter yield spreads, we are finding value in investment-grade securities backed by non-agency residential loans, along with legacy residential mortgage-backed securities and lower-quality segments of the agency CRT market.

Despite the challenging environment for prepayment-related strategies so far in 2021, we continue to have conviction in this allocation for both its return potential and diversification benefits. In our view, IO CMOs and other types of prepayment-related securities offer attractive risk-adjusted return potential at current price levels if refinancing activity recedes and mortgage prepayment speeds slow.

In emerging markets, we are seeking opportunities in countries that we think are better positioned to benefit from a global recovery and are less exposed to domestic policy risks.

What were the fund’s distributions during the period?

The fund’s distributions are fixed at a targeted rate. The targeted rate is not expected to vary with each distribution but may change from

HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS

Closed-end funds and open-end funds share many common characteristics but also have some key differences that you should understand as you consider your portfolio strategies.

More assets at work Open-end funds are subject to ongoing sales and redemptions that can generate transaction costs for long-term shareholders. Closed-end funds, however, are typically fixed pools of capital that do not need to hold cash in connection with sales and redemptions, allowing the funds to keep more assets actively invested.

Traded like stocks Closed-end fund shares are traded on stock exchanges and, as a result, their prices fluctuate because of the influence of several factors.

They have a market price Like an open-end fund, a closed-end fund has a per-share net asset value (NAV). However, closed-end funds also have a “market price” for their shares —which is how much you pay when you buy shares of the fund, and how much you receive when you sell them.

When looking at a closed-end fund’s performance, you will usually see that the NAV and the market price differ. The market price can be influenced by several factors that cause it to vary from the NAV, including fund distributions, changes in supply and demand for the fund’s shares, changing market conditions, and investor perceptions of the fund or its investment manager. A fund’s performance at market price typically differs from its results at NAV.

 

time to time. During the last fiscal year, the fund made monthly distributions totaling $0.06 per share from October 2020 to November 2020 and totaling $0.22 per share from December 2020 to September 2021. These distributions were characterized as $0.031 per share of net investment income and $0.249 per share return of capital. Of the fund’s return of capital, $0.092 was the result of the fund’s targeted distribution policy, while $0.157 was due to swap and foreign currency losses during the fiscal year. Distributions of capital decrease the fund’s total assets and total assets per share and, therefore, could have the effect of increasing the fund’s expense ratio. In general, the policy of fixing the fund’s distributions at a targeted rate does not affect the fund’s investment strategy. However, in order to make these distributions, on occasion the fund may have to sell portfolio securities at a less-than-opportune time. [Please see the Distributions to shareholders note on page 117 for more information on fund distributions.]

Thanks for your time and for bringing us up to date, Mike.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. Disclosures provide only a summary of certain changes that have occurred in the past fiscal period, which may not reflect all of the changes that have occurred since an investor purchased the fund. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.

Of special interest

Due to a reduced level of portfolio income, the fund decreased its targeted distribution rate in December 2020. The fund currently expects to make monthly distributions of $0.022 per share, down from $0.030 per share. The fund’s targeted distribution rate may change from time to time or be discontinued, depending on market conditions and other factors.

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended September 30, 2021, the end of its most recent fiscal year. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.

Fund performance Total return for periods ended 9/30/21

 

Performance assumes reinvestment of distributions and does not account for taxes.

Performance includes the deduction of management fees and administrative expenses.

Comparative index returns For periods ended 9/30/21

 

Index and Lipper results should be compared to fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund’s monthly reinvestment net asset value.

All Bloomberg indices provided by Bloomberg Index Services Limited.

Lipper peer group average provided by Lipper, a Refinitiv company.

^* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

^† The JPMorgan Global High Yield Index was introduced on 12/31/93, which post-dates the inception of the fund.

^‡ Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/21, there were 62, 45, 30, 19, and 5 funds, respectively, in this Lipper category.

 

Past performance does not indicate future results.

Fund price and distribution information For the 12-month period ended 9/30/21

 

The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.

^* See page 126.

^† Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.

 

Information about the fund’s goal, investment strategies,
principal risks, and fundamental investment policies

Goal

The goal of the fund is to seek with equal emphasis high current income and relative stability of net asset value by allocating its investments among the U.S. investment grade sector, high-yield sector, and international sector.

The fund’s main investment strategies and related risks

This section contains detail regarding the fund’s main investment strategies and the related risks you face as a fund shareholder. It is important to keep in mind that risk and reward generally go hand in hand; the higher the potential reward, the greater the risk.

We pursue the fund’s goal by investing mainly in bonds, securitized debt instruments (such as residential mortgage-backed securities and commercial mortgage-backed securities, and other obligations of companies and governments worldwide that are either investment-grade or below-investment-grade in quality (sometimes referred to as “junk bonds”), that have intermediate-to long-term maturities (three years or longer), and that are from multiple sectors. The fund currently has significant investment exposure to residential and commercial mortgage-backed investments. We may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. We typically use to a significant extent derivatives, such as futures, options, certain foreign currency transactions and swap contracts, for hedging and non-hedging purposes and to obtain leverage.

The fund currently has significant investment exposure to CMBS, which are subject to risks associated with the commercial real estate markets and the servicing of mortgage loans secured by commercial properties. During periods of difficult economic conditions, delinquencies and losses on CMBS in particular generally increase, including as a result of the effects of those conditions on commercial real estate markets, the ability of commercial tenants to make loan payments, and the ability of a property to attract and retain commercial tenants. The fund achieves exposure to CMBS via cash securities and CMBX, an index that references a basket of CMBS.

• Interest rate risk. The values of bonds and other debt instruments usually rise and fall in response to changes in interest rates. Interest rates can change in response to the supply and demand for credit, government and/or central bank monetary policy and action, inflation rates, and other factors. Declining interest rates generally result in an increase in the value of existing debt instruments, and rising interest rates generally result in a decrease in the value of existing debt instruments. Changes in a debt instrument’s value usually will not affect the amount of interest income paid to the fund, but will affect the value of the fund’s shares. Interest rate risk is generally greater for investments with longer maturities.

Some investments give the issuer the option to call or redeem an investment before its maturity date. If an issuer calls or redeems an investment during a time of declining interest rates, we might have to reinvest the proceeds in an investment offering a lower yield, and, therefore, the fund might not benefit from any increase in value as a result of declining interest rates.

• Credit risk. Investors normally expect to be compensated in proportion to the risk they are assuming. Thus, debt of issuers with poor credit prospects usually offers higher yields than debt of issuers with more secure credit. Higher-rated investments generally have lower credit risk.

Investments rated below BBB or its equivalent are below investment-grade in quality (sometimes referred to as “junk bonds”). This rating reflects a greater possibility that the issuers may be unable to make timely payments of interest and principal and thus default. If a default occurs, or is perceived as likely to occur, the value of the investment will usually be more volatile and could decrease. A default or expected default could also make it difficult for us to sell the investment at a price approximating the value we had previously placed on it. Lower-rated debt usually has a more limited market than higher-rated debt, which may at times make it difficult for us to buy or sell certain debt instruments or to establish their fair values. Credit risk is generally greater for zero-coupon bonds and other investments that are issued at less than their face value and that are required to make interest payments only at maturity rather than at intervals during the life of the investment.

Credit ratings are based largely on the issuer’s historical financial condition and the rating agencies’ investment analysis at the time of rating. The rating assigned to any particular investment does not necessarily reflect the issuer’s current

 

financial condition, and does not reflect an assessment of the investment’s volatility or liquidity. Although we consider credit ratings in making investment decisions, we perform our own investment analysis and do not rely only on ratings assigned by the rating agencies. Our success in achieving the fund’s goal may depend more on our own credit analysis when we buy lower-rated debt than when we buy investment-grade debt.

We may have to participate in legal proceedings involving the issuer. This could increase the fund’s operating expenses and decrease its net asset value.

Although investment-grade investments generally have lower credit risk, they may share some of the risks of lower-rated investments. U.S. government investments generally have the least credit risk, but are not completely free of credit risk. While some investments, such as U.S. Treasury obligations and Ginnie Mae certificates, are backed by the full faith and credit of the U.S. government, others are backed only by the credit of the issuer. Mortgage-backed securities may be subject to the risk that underlying borrowers will be unable to meet their obligations.

Bond investments may be more susceptible to downgrades or defaults during economic downturns or other periods of economic stress, which can significantly strain the financial resources of debt issuers, including the issuers of the bonds in which the fund invests. This may make it less likely that those issuers can meet their financial obligations when due and may adversely impact the value of their bonds, which could negatively impact the performance of the fund. It is difficult to predict the level of financial stress and duration of such stress issuers may experience.

The value of a debt instrument may also be affected by changes in, or perceptions of, the financial condition of the issuer, borrower, counterparty, or other entity, or underlying collateral or assets, or changes in, or perceptions of, specific or general market, economic, industry, political, regulatory, geopolitical, environmental, public health, and other conditions.

• Prepayment risk. Traditional debt investments typically pay a fixed rate of interest until maturity, when the entire principal amount is due. In contrast, payments on securitized debt instruments, including mortgage-backed and asset-backed investments, typically include both interest and partial payment of principal. Principal may also be prepaid voluntarily or as a result of refinancing or foreclosure. We may have to invest the proceeds from prepaid investments in other investments with less attractive terms and yields.

Compared to debt that cannot be prepaid, mortgage-backed investments are less likely to increase in value during periods of declining interest rates and have a higher risk of decline in value during periods of rising interest rates. These investments may increase the volatility of the fund. Some mortgage-backed investments receive only the interest portion or the principal portion of payments on the underlying mortgages. The yields and values of these investments are extremely sensitive to changes in interest rates and in the rate of principal payments on the underlying mortgages. The market for these investments may be volatile and limited, which may make them difficult to buy or sell. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property and receivables from credit card agreements. Asset-backed securities are subject to risks similar to those of mortgage-backed securities.

• Foreign investments. We consider any securities issued by a foreign government or a supranational organization (such as the World Bank) or denominated in a foreign currency to be securities of a foreign issuer. In addition, we consider an issuer to be a foreign issuer if we determine that (i) the issuer is headquartered or organized outside the United States, (ii) the issuer’s securities trade in a market outside the United States, (iii) the issuer derives a majority of its revenues or profits outside the United States, or (iv) the issuer is significantly exposed to the economic fortunes and risks of regions outside the United States. Foreign investments involve certain special risks, including: — Unfavorable changes in currency exchange rates: Foreign investments are typically issued and traded in foreign currencies. As a result, their values may be affected by changes in exchange rates between foreign currencies and the U.S. dollar.

— Political and economic developments: Foreign investments may be subject to the risks of seizure by a foreign government, direct or indirect impact of sovereign debt default, imposition of economic sanctions or restrictions on the exchange or export of foreign currency, and tax increases.

— Unreliable or untimely information: There may be less information publicly available about a foreign company than about most publicly traded U.S. companies, and foreign companies are usually not subject to accounting, auditing and financial

 

reporting standards and practices as stringent as those in the United States. Foreign securities may trade on markets that are closed when U.S. markets are open. As a result, accurate pricing information based on foreign market prices may not always be available.

— Limited legal recourse: Legal remedies for investors may be more limited than the remedies available in the United States.

— Limited markets: Certain foreign investments may be less liquid (harder to buy and sell) and more volatile than most U.S. investments, which means we may at times be unable to sell these foreign investments at desirable prices. In addition, there may be limited or no markets for bonds of issuers that become distressed. For the same reason, we may at times find it difficult to value the fund’s foreign investments.

— Trading practices: Brokerage commissions and other fees are generally higher for foreign investments than for U.S. investments. The procedures and rules governing foreign transactions and custody may also involve delays in payment, delivery or recovery of money or investments.

— Sovereign issuers: The willingness and ability of sovereign issuers to pay principal and interest on government securities depends on various economic factors, including the issuer’s balance of payments, overall debt level, and cash flow from tax or other revenues. In addition, there may be no legal recourse for investors in the event of default by a sovereign government.

The risks of foreign investments are typically increased in countries with less developed markets, which are sometimes referred to as emerging markets. Emerging markets may have less developed economies and legal and regulatory systems, and may be susceptible to greater political and economic instability than developed foreign markets. Countries with emerging markets are also more likely to experience high levels of inflation, or currency devaluation, and investments in emerging markets may be more volatile and less liquid than investments in developed markets. For these and other reasons, investments in emerging markets are often considered speculative.

Certain risks related to foreign investments may also apply to some extent to U.S.- traded investments that are denominated in foreign currencies, investments in U.S. companies that are traded in foreign markets, or investments in U.S. companies that have significant foreign operations.

• Derivatives. We may engage in a variety of transactions involving derivatives, such as futures, options, certain foreign currency transactions and swap contracts. Derivatives are financial instruments whose value depends upon, or is derived from, the value of something else, such as one or more underlying investments, pools of investments, indexes or currencies. We may make use of “short” derivatives positions, the values of which typically move in the opposite direction from the price of the underlying investment, pool of investments, index or currency. We may use derivatives for hedging and non-hedging purposes and to obtain leverage. For example, we may use derivatives to increase or decrease the fund’s exposure to long- or short-term interest rates (in the United States or abroad) or as a substitute for a direct investment in the securities of one or more issuers. However, we may also choose not to use derivatives based on our evaluation of market conditions or the availability of suitable derivatives. Investments in derivatives may be applied toward meeting a requirement to invest in a particular kind of investment if the derivatives have economic characteristics similar to that investment.

Derivatives involve special risks and may result in losses. The successful use of derivatives depends on our ability to manage these sophisticated instruments. Some derivatives are “leveraged,” which means they provide the fund with investment exposure greater than the value of the fund’s investment in the derivatives. As a result, these derivatives may magnify or otherwise increase investment losses to the fund. The risk of loss from certain short derivatives positions is theoretically unlimited. The value of derivatives may move in unexpected ways due to the use of leverage or other factors, especially in unusual market conditions, and may result in increased volatility.

Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the fund’s derivatives positions. In fact, many over-the-counter instruments (investments not traded on an exchange) will not be liquid. Over-the-counter instruments also involve the risk that the other party to the derivatives transaction will not meet its obligations.

• Floating rate loans. Floating rate loans are debt obligations with interest rates that adjust or “float” periodically (normally on a monthly or quarterly basis) based on a generally recognized base rate, such as the London Inter-Bank Offered Rate or the prime rate offered by one or more major U.S. banks. While most floating rate loans are below-investment-grade in quality, many also are senior in rank in the event of bankruptcy to most other securities of the borrower, such as common stock or public

 

bonds. Floating rate loans are also normally secured by specific collateral or assets of the borrower so that the holders of the loans will have a priority claim on those assets in the event of default or bankruptcy of the issuer.

Floating rate loans generally are less sensitive to interest rate changes than obligations with fixed interest rates but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate instruments will not generally increase in value if interest rates decline. Changes in interest rates will also affect the amount of interest income the fund earns on its floating rate investments. Most floating rate loans allow for prepayment of principal without penalty. If a borrower prepays a loan, we might have to reinvest the proceeds in an investment that may have lower yields than the yield on the prepaid loan or might not be able to take advantage of potential gains from increases in the credit quality of the issuer.

The value of collateral, if any, securing a floating rate loan can decline, and may be insufficient to meet the borrower’s obligations or difficult to liquidate. In addition, the fund’s access to collateral may be limited by bankruptcy or other insolvency proceedings. Floating rate loans may not be fully collateralized and may decline in value. Loans may not be considered “securities,” and it is possible that the fund may not be entitled to rely on anti-fraud and other protections under the federal securities laws when it purchases loans.

Although the market for the types of floating rate loans in which the fund invests has become increasingly liquid over time, this market is still developing, and there can be no assurance that adverse developments with respect to this market or particular borrowers will not prevent the fund from selling these loans at their market values when we consider such a sale desirable. In addition, the settlement period (the period between the execution of the trade and the delivery of cash to the purchaser) for floating rate loan transactions may be significantly longer than the settlement period for other investments, and in some cases longer than seven days. Requirements to obtain consent of borrower and/or agent can delay or impede the fund’s ability to sell the floating rate loans and can adversely affect the price that can be obtained. It is possible that sale proceeds from floating rate loan transactions will not be available to meet redemption obligations.

• Liquidity and illiquid investments. We may invest the fund’s assets in illiquid investments, which may be considered speculative and which may be difficult to sell. The sale of many of these investments is prohibited or limited by law or contract. Some investments may be difficult to value for purposes of determining the fund’s net asset value. Certain other investments may not have an active trading market due to adverse market, economic, industry, political, regulatory, geopolitical, environmental, public health, and other conditions, including investors trying to sell large quantities of a particular investment or type of investment, or lack of market makers or other buyers for a particular investment or type of investment. Commercial mortgage-backed securities may be less liquid and exhibit greater price volatility than other types of mortgage- or asset-backed securities. We may not be able to sell the fund’s illiquid investments when we consider it desirable to do so, or we may be able to sell them only at less than their value.

• Market risk. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions; investor sentiment and market perceptions (including perceptions about monetary policy, interest rates or the risk of default); government actions (including protectionist measures, intervention in the financial markets or other regulation, and changes in fiscal, monetary or tax policies); geopolitical events or changes (including natural disasters, epidemics or pandemics, terrorism and war); and factors related to a specific issuer, asset class, geography, industry or sector. Foreign financial markets have their own market risks, and they may be more or less volatile than U.S. markets and may move in different directions. During a general downturn in financial markets, multiple asset classes may decline in value simultaneously. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. These risks may be exacerbated during economic downturns or other periods of economic stress.

The novel coronavirus (Covid-19) pandemic and efforts to contain its spread have negatively affected, and are likely to continue to negatively affect, the global economy, the economies of the United States and other individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. The Covid-19 pandemic has resulted in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and economic downturns and recessions, and these effects may continue for an extended period of time and may increase in severity over time. In addition, actions taken by government and quasi-governmental authorities and regulators

 

throughout the world in response to the Covid-19 pandemic, including significant fiscal and monetary policy changes, may affect the value, volatility, and liquidity of some securities and other assets. Given the significant uncertainty surrounding the magnitude, duration, reach, costs and effects of the Covid-19 pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, it is difficult to predict its potential impacts on the fund’s investments. The effects of the Covid-19 pandemic also are likely to exacerbate other risks that apply to the fund, which could negatively impact the fund’s performance and lead to losses on your investment in the fund.

• Focused investment risk. Focusing investments in sectors and industries with high positive correlations to one another creates additional risk. The fund currently has significant investment exposure to private issuers of residential and commercial mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, which makes the fund’s net asset value more susceptible to economic, market, political and other developments affecting the residential and commercial real estate markets and the servicing of mortgage loans secured by real estate properties. Factors affecting the residential and commercial real estate markets include the supply and demand of real property in particular markets, changes in the availability, terms and costs of mortgages, changes in tenants’ ability to make loan payments, changes in zoning laws and eminent domain practices, the impact of environmental laws, delays in completion of construction, changes in real estate values, changes in property taxes, levels of occupancy, adequacy of rent to cover operating expenses, changes in government regulations, and local and regional market conditions. Some of these factors may vary greatly by geographic location. The value of these investments also may be affected by changes in interest rates and social and economic trends.

Mortgage-backed securities are subject to the risk of fluctuations in income from underlying real estate assets, prepayments, extensions, and defaults by borrowers.

Because the fund currently has significant investment exposure to commercial mortgage-backed securities, the fund may be particularly susceptible to adverse developments affecting those securities. Commercial mortgage-backed securities include securities that reflect an interest in, or are secured by, mortgage loans on commercial real property, such as industrial and warehouse properties, office buildings, retail space and shopping malls, cooperative apartments, hotels and motels, nursing homes, hospitals and senior living centers. Many of the risks of investing in commercial mortgage-backed securities reflect the risks of investing in the real estate securing the underlying mortgage loans. During periods of difficult economic conditions (including periods of significant disruptions to business operations, supply chains, and customer activity and lower consumer demand for goods and services), delinquencies and losses on commercial real estate generally increase, including as a result of the effects of those conditions on commercial real estate markets, the ability of commercial tenants to make loan payments, and the ability of a property to attract and retain commercial tenants. The risk of defaults on residential mortgage-backed securities is generally higher in the case of mortgage-backed investments that include non-qualified mortgages. Litigation with respect to the representations and warranties given in connection with the issuance of mortgage-backed securities can be an important consideration in investing in such securities, and the outcome of any such litigation could significantly impact the value of the fund’s mortgage-backed investments.

• Management and operational risk. The fund is actively managed and its performance will reflect, in part, our ability to make investment decisions that seek to achieve the fund’s investment objective. There is no guarantee that the investment techniques, analyses, or judgments that we apply in making investment decisions for the fund will produce the intended outcome or that the investments we select for the fund will perform as well as other securities that were not selected for the fund. As a result, the fund may underperform its benchmark or other funds with a similar investment goal and may realize losses. In addition, we, or the fund’s other service providers, may experience disruptions or operating errors that could negatively impact the fund. Although service providers may have operational risk management policies and procedures and take appropriate precautions to avoid and mitigate risks that could lead to disruptions and operating errors, it may not be possible to identify all of the operational risks that may affect the fund or to develop processes and controls to completely eliminate or mitigate their occurrence and effects.

• Other investments. In addition to the main investment strategies described above, the fund may make other types of investments, such as investments in asset-backed, hybrid and structured bonds and notes, preferred securities that would be characterized as debt securities under applicable accounting standards and tax laws,

 

and assignments of and participations in fixed and floating rate loans. The fund may also loan portfolio securities to earn income.

• Temporary defensive strategies. In response to adverse market, economic, political or other conditions, we may take temporary defensive positions, such as investing some or all of the fund’s assets in cash and cash equivalents, that differ from the fund’s usual investment strategies. However, we may choose not to use these temporary defensive strategies for a variety of reasons, even in very volatile market conditions. These strategies may cause the fund to miss out on investment opportunities, and may prevent the fund from achieving its goal. Additionally, while temporary defensive strategies are mainly designed to limit losses, such strategies may not work as intended.

• Changes in policies. The Trustees may change the fund’s goal, investment strategies and other policies without shareholder approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in the fund’s prospectus, statement of additional information or shareholder report and is otherwise still in effect.

The fund’s fundamental investment policies

The fund has adopted the following investment restrictions which may not be changed without the affirmative vote of a “majority of the outstanding voting securities” of the fund (which is defined in the Investment Company Act of 1940, as amended, (the “1940 Act”) to mean the affirmative vote of the lesser of (1) more than 50% of the outstanding shares of the fund, or (2) 67% or more of the shares present at a meeting if more than 50% of the outstanding shares of the fund are represented at the meeting in person or by proxy). The fund may not:

1. Borrow money or issue senior securities (as defined in the 1940 Act), except as permitted by (i) the 1940 Act, (ii) the rules or regulations promulgated by the Securities and Exchange Commission under the 1940 Act or (iii) any applicable exemption from the provisions of the 1940 Act.

2. Underwrite securities issued by other persons except to the extent that, in connection with the disposition of its portfolio investments, it may be deemed to be an underwriter under the federal securities laws.

3. Purchase or sell real estate, although it may purchase securities of issuers which deal in real estate, securities which are secured by interests in real estate, and securities which represent interests in real estate, and it may acquire and dispose of real estate or interests in real estate acquired through the exercise of its rights as a holder of debt obligations secured by real estate or interests therein.

4. Purchase or sell commodities or commodity contracts, except that the fund may purchase and sell financial futures contracts and options and may enter into foreign exchange contracts and other financial transactions not involving physical commodities.

5. Make loans, except by purchase of debt obligations in which the fund may invest consistent with its investment policies (including without limitation debt obligations issued by other Putnam funds), by entering into repurchase agreements, or by lending its portfolio securities.

6. With respect to 75% of its total assets, invest in the securities of any issuer if, immediately after such investment, more than 5% of the total assets of the fund (taken at current value) would be invested in the securities of such issuer; provided that this limitation does not apply to obligations issued or guaranteed as to interest or principal by the U.S. government or its agencies or instrumentalities.

7. With respect to 75% of its total assets, acquire more than 10% of the outstanding voting securities of any issuer.

8. Invest more than 25% of the value of its total assets in any one industry. (Securities of the U.S. Government, its agencies or instrumentalities, or of any foreign government, its agencies or instrumentalities, securities of supranational entities, and securities backed by the credit of a governmental entity are not considered to represent industries).

9. Invest in the securities of registered open-end investment companies, except as they may be acquired as part of a reorganization or consolidation or acquisition of assets or by purchases in the open market involving only customary brokers’ commissions.

 

Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Net asset value (NAV) is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.

Market price is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.

Fixed-income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

• Agency credit-risk transfer security (CRT) is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.

• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

_° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Bloomberg Government/Credit Bond Index is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.

 

Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

CMBX Index tracks the performance of a basket of CMBS issued in a particular year.

ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.

FTSE^® Non-U.S. World Government Bond Index is an unmanaged index generally considered to be representative of the world bond market, excluding the United States.

JPMorgan Global High Yield Index is an unmanaged index that is designed to mirror the investable universe of the U.S. dollar global high-yield corporate debt market, including domestic (U.S.) and international (non-U.S.) issues. International issues comprise both developed and emerging markets.

S&P 500^® Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

BLOOMBERG^® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

FTSE^® Russell is the source and owner of the trademarks, service marks, and copyrights related to the FTSE Indexes. FTSE^® is a trademark of FTSE Russell.

Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

 

Other information for shareholders

Important notice regarding share repurchase program

In September 2021, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 365 days beginning October 1, 2021, up to 10% of the fund’s common shares outstanding as of September 30, 2021.

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semian-nual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2021, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2021, Putnam employees had approximately $562,000,000 and the Trustees had approximately $79,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

 

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

 

Summary of Putnam closed-end funds’ amended and restated
dividend reinvestment plans

Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you.

Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholder will be deemed to have elected to participate in that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.

If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.

To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.

How you acquire additional shares through a Plan If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.

If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.

How to withdraw from a Plan Participants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.

Plan administration The Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant will

 

be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.

About brokerage fees Each participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.

About taxes and Plan amendments Reinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the prior consent of a Fund and without prior notice to Plan participants.

If your shares are held in a broker or nominee name If your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.

In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.

 

Trustee approval of management contract

General conclusions

The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2021, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2021, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2021 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2021. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.) The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds and the costs incurred by Putnam Management in providing services to the fund; and

• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years.

 

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee rates as the fund’s assets under management increase. The Trustees noted, however, that because your fund is a closed-end management investment company, it has relatively stable levels of assets under management and is not expected to be affected significantly by breakpoints in its management fee schedule. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.) In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee schedule for your fund would be appropriate at this time.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses, which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the first quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses as of December 31, 2020. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2020 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place for the Putnam funds, including the fee schedule for your fund, represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the Putnam funds at that time.

The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding services provided and fees charged by Putnam Management and its affiliates to other clients, including defined benefit pension and profit-sharing plans, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, model-only separately managed accounts and Putnam Management’s newly launched exchange-traded funds. This information included, in cases where a product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across

 

different asset classes are higher on average for mutual funds than for other clients, and the Trustees also considered the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of Putnam Management’s investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that, in the aggregate, The Putnam Funds generally performed well in 2020, which Putnam Management characterized as a challenging year with significant volatility and varied market dynamics. On an asset-weighted basis, the Putnam funds ranked in the second quartile of their peers as determined by Lipper Inc. (“Lipper”) for the year ended December 31, 2020 and, on an asset-weighted-basis, delivered a gross return that was 2.3% ahead of their benchmarks in 2020. In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes. In this regard, the Trustees observed that The Putnam Funds’ relative performance, as reported in the Barron’s/Lipper Fund Families survey, continued to be exceptionally strong over the long term, with The Putnam Funds ranking as the 3rd best performing mutual fund complex out of 44 complexes for the ten-year period, with 2020 marking the fourth consecutive year that The Putnam Funds have ranked in the top ten fund complexes for the ten-year period. The Trustees noted that The Putnam Funds’ performance was solid over the one- and five-year periods, with The Putnam Funds ranking 22nd out of 53 complexes and 14th out of 50 complexes, respectively. In addition to the Barron’s/Lipper Fund Families Survey, the Trustees also considered the funds’ ratings assigned by Morningstar Inc., noting that 26 of the funds were four- or five-star rated at the end of 2020 (representing an increase of four funds year-over-year) and that this included seven funds that had achieved a five-star rating (representing an increase of two funds year-over-year). They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2020 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds and evaluate whether additional actions to address areas of underperformance may be warranted.

For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its common share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper General Bond Funds (closed-end)) for the one-year, three-year and five-year periods ended December 31, 2020 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

 

Over the one-year, three-year and five-year periods ended December 31, 2020, there were 52,

 

35 and 29 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.) The Trustees expressed concern about your fund’s fourth quartile performance over the one-year, three-year and five-year periods ended December 31, 2020 and considered the circumstances that may have contributed to this disappointing performance. The Trustees considered Putnam Management’s observation that the fund’s underperformance was driven by significant underperformance in the securitized sector in 2020, which resulted from the outsized impact of the Covid-19 pandemic on the commercial mortgage space. The Trustees also noted Putnam Management’s view that the commercial real estate sector was not supported by monetary and fiscal policies to the same extent as other sectors and did not recover as strongly from the downturn in March 2020. The Trustees considered Putnam Management’s observation that several of the fund’s other sector exposures and strategies had performed well in 2020, including the fund’s prepayment strategy and corporate credit exposure. The Trustees noted Putnam Management’s view that the fund’s underperformance relative to its Lipper peer group over the three-year and five-year periods was also affected by the small size and heterogeneity of the peer group, resulting in less precise performance comparisons between the fund and the peer group.

In addition, the Trustees noted that Putnam Management remained confident in the fund’s portfolio managers. The Trustees also considered Putnam Management’s continued efforts to support fund performance through certain initiatives, including structuring compensation for portfolio managers to enhance accountability for fund performance, emphasizing accountability in the portfolio management process and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires and internal promotions in 2020 to strengthen its investment team.

As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance concerns that may arise from time to time. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on Putnam Management’s willingness to take appropriate measures to address fund performance issues and Putnam Management’s responsiveness to Trustee concerns about investment performance, the Trustees concluded that it continued to be advisable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund, with all the attendant risks and disruptions, would not likely provide any greater assurance of improved investment performance.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV, which is an affiliate of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV for

 

such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds and the costs incurred by PSERV in providing such services. Furthermore, the Trustees were of the view that the investor services provided by PSERV were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.

 

Audited financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of
Putnam Master Intermediate Income Trust:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam Master Intermediate Income Trust (the “Fund”) as of September 30, 2021, the related statement of operations for the year ended September 30, 2021, the statement of changes in net assets for each of the two years in the period ended September 30, 2021, including the related notes, and the financial highlights for each of the two years in the period ended September 30, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2021 and the financial highlights for each of the two years in the period ended September 30, 2021 in conformity with accounting principles generally accepted in the United States of America.

The financial statements of the Fund as of and for the year ended September 30, 2019 and the financial highlights for each of the periods ended on or prior to September 30, 2019 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated November 12, 2019 expressed an unqualified opinion on those financial statements and financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
November 18, 2021

We have served as the auditor of one or more investment companies in the Putnam Investments family of funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.

 

The fund’s portfolio 9/30/21

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (52.4%)*	Principal amount	Value
U.S. Government Guaranteed Mortgage Obligations (0.6%)
Government National Mortgage Association Pass-Through Certificates
5.50%, with due dates from 5/20/49 to 5/20/49	$64,939	$74,299
5.00%, with due dates from 5/20/49 to 3/20/50	190,966	211,655
3.50%, with due dates from 9/20/49 to 3/20/50	958,731	1,032,259
		1,318,213
U.S. Government Agency Mortgage Obligations (51.8%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49	74,742	82,966
4.50%, 5/1/49	17,756	19,397
Uniform Mortgage-Backed Securities
5.50%, TBA, 10/1/51	3,000,000	3,355,409
4.50%, TBA, 10/1/51	4,000,000	4,325,781
4.00%, TBA, 10/1/51	33,000,000	35,360,272
3.50%, TBA, 10/1/51	24,000,000	25,397,803
3.00%, TBA, 11/1/51	4,000,000	4,181,090
3.00%, TBA, 10/1/51	22,000,000	23,023,497
2.50%, TBA, 11/1/51	3,000,000	3,087,305
2.50%, TBA, 10/1/51	9,000,000	9,280,196
		108,113,716
Total U.S. government and agency mortgage obligations (cost $109,431,025)		$109,431,929

U.S. TREASURY OBLIGATIONS (0.2%)*	Principal amount	Value
U.S. Treasury Inflation Index Notes 0.25%, 7/15/29 i	$148,305	$176,249
U.S. Treasury Notes
1.125%, 2/28/27 i	71,000	71,321
0.75%, 4/30/26 i	133,000	132,404
U.S. Treasury Strip, zero %, 11/15/24 i	134,000	131,927
Total U.S. treasury obligations (cost $511,901)		$511,901

MORTGAGE-BACKED SECURITIES (49.5%)*		Principal amount	Value
Agency collateralized mortgage obligations (27.9%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.566%, 4/15/40		$791,176	$79,268
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.164%, 9/25/50		5,787,894	1,096,111
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.116%, 12/15/47		1,067,142	155,483
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.016%, 8/15/56		2,967,642	686,505
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.016%, 4/15/47		649,921	132,148
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.014%, 7/25/50		5,040,237	964,747
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.964%, 1/25/50		3,970,200	683,753

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation
REMICs Ser. 4813, IO, 5.50%, 8/15/48		$1,479,146	$322,423
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42		733,921	115,005
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51		5,943,000	1,020,215
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51		4,250,064	634,542
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50		3,308,993	627,584
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50		2,995,941	443,101
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50		3,804,073	583,523
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50		5,440,091	898,809
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50		3,872,162	705,612
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42		447,579	61,982
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42		238,952	31,594
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51		5,542,290	831,948
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45		839,854	109,390
REMICs Ser. 4425, IO, 4.00%, 1/15/45		979,045	119,091
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44		958,648	158,543
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43		639,224	85,075
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46		1,426,638	132,963
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45		755,725	50,184
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41		382,866	24,616
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27		332,565	18,955
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51		6,882,473	798,711
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50		9,184,899	1,209,546
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42		1,639,718	128,582
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42		686,627	41,335
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41		202,297	5,231
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.384%, 7/25/43 W		941,649	12,995
Federal National Mortgage Association
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.314%, 4/25/40		403,381	81,515
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.164%, 3/25/48		2,137,339	385,576
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.114%, 6/25/48		4,280,676	654,211
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.064%, 5/25/47		4,565,383	754,886
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.064%, 10/25/41		136,275	6,848
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.014%, 12/25/46		1,841,918	331,268
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.014%, 5/25/39		5,770,821	1,019,462
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46		1,422,600	303,159
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40		1,146,802	231,911
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.964%, 3/25/50		3,260,461	592,882
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.964%, 8/25/49		2,127,126	331,210

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.914%, 11/25/49		$4,631,333	$727,582
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.864%, 2/25/43		1,217,688	246,482
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.814%, 10/25/41		1,048,639	180,406
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36		51,301	8,565
REMICs Ser. 15-30, IO, 5.50%, 5/25/45		1,783,733	328,671
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35		149,157	23,924
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50		2,488,643	400,657
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51		2,738,768	468,329
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50		6,117,773	1,006,829
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42		201,616	36,985
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40		451,598	10,793
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50		9,059,428	1,369,876
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44		447,251	26,369
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43		1,774,230	266,258
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43		521,860	60,625
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43		407,048	46,521
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42		344,882	31,419
REMICs Ser. 20-85, Class PI, IO, 3.00%, 12/25/50		6,708,620	1,010,251
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42		352,840	19,994
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41		525,384	32,645
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41		202,943	3,203
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51		7,835,171	858,818
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51		7,442,477	1,076,044
Government National Mortgage Association
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.213%, 6/20/51		5,299,175	734,413
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.213%, 5/20/51		5,013,337	683,149
IFB Ser. 21-59, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.213%, 4/20/51		3,654,844	580,156
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.213%, 9/20/50		4,143,467	824,090
FRB Ser. 21-116, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.115%, 11/20/47		3,844,647	1,058,674
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 6.093%, 4/20/44		2,405,326	515,275
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.063%, 7/20/50		3,093,596	530,224
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.063%, 1/20/49		2,527,168	405,421
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.063%, 11/20/43		1,500,916	294,736
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.063%, 9/20/43		260,379	48,964
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.013%, 5/20/50		3,270,647	551,286

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.013%, 4/20/50		$4,358,455	$780,870
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.013%, 8/20/49		3,650,825	530,209
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.013%, 7/20/49		3,222,745	479,641
IFB Ser. 19-89, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 6.013%, 7/20/49		3,819,318	571,330
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.963%, 2/20/50		348,726	42,564
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.963%, 1/20/50		2,299,298	378,216
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.963%, 12/20/49		2,153,924	333,139
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.963%, 9/20/49		3,460,594	565,437
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.963%, 8/20/49		140,947	20,510
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.963%, 6/20/49		175,293	22,308
IFB Ser. 20-63, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.913%, 8/20/43		3,195,597	634,230
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.513%, 8/20/44		1,157,681	206,916
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47		490,039	86,139
Ser. 16-42, IO, 5.00%, 2/20/46		1,252,742	219,450
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45		2,098,101	307,351
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44		2,183,691	428,244
Ser. 14-76, IO, 5.00%, 5/20/44		504,023	88,708
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43		365,072	69,035
Ser. 12-146, IO, 5.00%, 12/20/42		328,777	62,083
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40		475,317	87,036
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40		344,771	63,196
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40		1,538,636	292,341
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39		796,834	148,689
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39		1,591,049	281,145
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39		271,920	49,174
Ser. 20-61, IO, 4.50%, 5/20/50		7,466,614	1,269,162
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48		1,698,026	250,604
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45		518,464	52,832
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45		521,207	103,652
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43		698,717	127,959
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43		749,735	68,563
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43		662,201	107,004
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42		130,825	9,096
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41		586,050	104,230
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40		605,587	53,535
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40		1,096,991	180,576
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40		570,814	94,668

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40		$650,760	$104,140
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40		391,256	64,909
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39		410,693	77,276
Ser. 16-29, IO, 4.00%, 2/16/46		559,698	96,452
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45		1,587,708	232,822
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45		1,116,698	212,173
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45		1,032,549	140,661
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44		978,807	103,616
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44		2,584,712	338,706
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44		1,261,993	65,359
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44		335,376	49,907
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43		1,035,851	65,886
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43		295,134	41,103
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42		271,610	43,128
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42		679,277	103,849
Ser. 21-156, IO, 3.50%, 7/20/51		5,168,000	856,038
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50		3,669,077	468,363
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50		7,570,102	859,516
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46		131,554	2,318
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45		653,713	50,755
Ser. 13-76, IO, 3.50%, 5/20/43		772,981	97,767
Ser. 13-28, IO, 3.50%, 2/20/43		211,847	20,979
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43		336,379	33,900
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43		547,320	57,321
Ser. 13-14, IO, 3.50%, 12/20/42		1,413,436	133,612
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42		230,668	23,210
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42		902,342	140,972
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42		1,193,928	182,253
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42		1,206,533	173,650
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42		582,985	96,912
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40		1,057,952	69,507
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51		4,761,420	378,697
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51		5,620,387	483,016
Ser. 21-67, Class PI, IO, 3.00%, 4/20/51		9,718,688	801,050
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51		4,554,758	370,302
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50		3,580,185	552,413
Ser. 17-H02, Class BI, IO, 2.436%, 1/20/67 W		2,233,819	163,522
Ser. 18-H05, Class BI, IO, 2.395%, 2/20/68 W		3,438,088	298,684
Ser. 18-H05, Class AI, IO, 2.389%, 2/20/68 W		1,792,238	155,701
Ser. 18-H02, Class EI, IO, 2.375%, 1/20/68 W		4,880,024	420,902
Ser. 16-H18, Class QI, IO, 2.371%, 6/20/66 W		2,327,747	178,592
Ser. 17-H16, Class FI, IO, 2.364%, 8/20/67 W		2,598,718	188,001
Ser. 17-H06, Class BI, IO, 2.344%, 2/20/67 W		3,455,602	259,913
Ser. 16-H22, Class AI, IO, 2.329%, 10/20/66 W		3,197,843	239,148
Ser. 17-H16, Class JI, IO, 2.315%, 8/20/67 W		7,426,059	641,658
Ser. 18-H03, Class XI, IO, 2.308%, 2/20/68 W		3,621,604	284,296
Ser. 17-H08, Class NI, IO, 2.245%, 3/20/67 W		4,389,843	298,509
Ser. 17-H12, Class QI, IO, 2.24%, 5/20/67 W		2,962,451	197,210

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 16-H23, Class NI, IO, 2.225%, 10/20/66 W		$8,700,695	$614,269
Ser. 16-H16, Class EI, IO, 2.194%, 6/20/66 W		3,281,877	230,716
Ser. 18-H15, Class KI, IO, 2.137%, 8/20/68 W		2,945,659	238,414
Ser. 17-H19, Class MI, IO, 2.06%, 4/20/67 W		1,586,768	110,280
Ser. 16-H03, Class DI, IO, 2.04%, 12/20/65 W		3,519,092	213,895
Ser. 16-H17, Class KI, IO, 1.893%, 7/20/66 W		2,197,971	155,919
Ser. 15-H15, Class BI, IO, 1.868%, 6/20/65 W		2,081,996	135,330
Ser. 17-H11, Class DI, IO, 1.847%, 5/20/67 W		3,213,459	237,997
Ser. 15-H25, Class EI, IO, 1.841%, 10/20/65 W		2,436,114	149,334
Ser. 17-H09, IO, 1.821%, 4/20/67 W		4,307,379	252,611
Ser. 15-H20, Class CI, IO, 1.817%, 8/20/65 W		3,633,988	270,369
Ser. 15-H20, Class AI, IO, 1.812%, 8/20/65 W		3,094,293	190,608
Ser. 15-H10, Class BI, IO, 1.803%, 4/20/65 W		2,279,167	146,778
FRB Ser. 15-H08, Class CI, IO, 1.784%, 3/20/65 W		1,734,775	97,668
Ser. 15-H24, Class AI, IO, 1.773%, 9/20/65 W		2,770,799	181,784
Ser. 17-H16, Class IH, IO, 1.766%, 7/20/67 W		4,717,077	265,595
Ser. 16-H03, Class AI, IO, 1.761%, 1/20/66 W		2,966,676	181,709
Ser. 15-H23, Class BI, IO, 1.743%, 9/20/65 W		3,267,912	182,349
Ser. 16-H09, Class BI, IO, 1.738%, 4/20/66 W		4,025,356	291,838
Ser. 17-H16, Class IG, IO, 1.71%, 7/20/67 W		6,560,532	373,130
Ser. 16-H24, Class CI, IO, 1.685%, 10/20/66 W		2,157,245	121,453
Ser. 16-H14, IO, 1.673%, 6/20/66 W		2,976,044	153,722
Ser. 13-H08, Class CI, IO, 1.611%, 2/20/63 W		2,617,071	94,215
Ser. 16-H06, Class DI, IO, 1.603%, 7/20/65 W		4,695,583	230,938
Ser. 16-H02, Class HI, IO, 1.542%, 1/20/66 W		3,945,217	208,702
Ser. 14-H21, Class BI, IO, 1.527%, 10/20/64 W		4,590,189	219,411
Ser. 16-H10, Class AI, IO, 1.496%, 4/20/66 W		7,774,417	388,052
Ser. 16-H06, Class CI, IO, 1.45%, 2/20/66 W		4,094,808	173,960
			58,329,694
Commercial mortgage-backed securities (7.6%)
BANK 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54		198,000	180,320
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52		359,000	308,659
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.54%, 1/12/45 W		1,319,000	1,055,200
Ser. 05-PWR7, Class D, 5.304%, 2/11/41 W		441,000	309,141
Ser. 05-PWR7, Class B, 5.214%, 2/11/41 W		198,119	197,129
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW14, Class XW, IO, 0.763%, 12/11/38 W		205,443	1,214
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50		378,000	314,118
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.887%, 12/15/47 W		409,000	406,338
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W		1,025,000	1,002,730
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 5.083%, 4/10/47 W		149,000	157,136
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 5.009%, 5/10/47 W		647,000	485,897
FRB Ser. 14-UBS3, Class D, 4.927%, 6/10/47 W		144,000	145,110
Ser. 12-LC4, Class E, 4.25%, 12/10/44		392,000	56,370

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.904%, 4/15/50 W		$527,000	$391,009
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.548%, 2/10/46 W		638,000	590,193
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W		294,000	291,357
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.669%, 9/10/47 W		1,127,000	768,367
FRB Ser. 13-GC13, Class D, 4.218%, 7/10/46 W		531,000	317,444
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class C, 4.235%, 7/15/45 W		245,000	250,730
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.956%, 2/15/47 W		1,078,000	583,463
FRB Ser. C14, Class D, 4.699%, 8/15/46 W		515,000	339,328
FRB Ser. 14-C18, Class E, 4.456%, 2/15/47 W		407,000	197,139
FRB Ser. 14-C23, Class D, 4.133%, 9/15/47 W		244,000	245,492
FRB Ser. 14-C25, Class D, 4.089%, 11/15/47 W		200,000	154,438
Ser. 13-C14, Class F, 3.598%, 8/15/46 W		1,500,000	433,956
Ser. 14-C25, Class E, 3.332%, 11/15/47 W		788,000	426,882
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.305%, 4/15/46 W		581,000	481,604
Ser. 13-LC11, Class B, 3.499%, 4/15/46		221,000	224,733
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.707%, 2/15/46 W		410,000	78,127
FRB Ser. 11-C4, Class C, 5.575%, 7/15/46 W		134,029	139,422
FRB Ser. 12-C6, Class E, 5.31%, 5/15/45 W		263,000	199,725
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W		841,000	567,252
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.775%, 9/15/39 W		462,989	61
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49 W		13,487	—
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49 W		31,629	31,556
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.497%, 8/15/46 W		900,000	63,000
FRB Ser. 13-C11, Class F, 4.497%, 8/15/46 W		496,000	5,456
FRB Ser. 15-C23, Class D, 4.282%, 7/15/50 W		131,000	132,104
FRB Ser. 13-C9, Class D, 4.247%, 5/15/46 W		350,000	322,350
FRB Ser. 13-C10, Class D, 4.216%, 7/15/46 W		485,000	280,668
FRB Ser. 13-C10, Class E, 4.216%, 7/15/46 W		1,006,000	336,105
FRB Ser. 13-C10, Class F, 4.216%, 7/15/46 W		975,000	214,500
Ser. 14-C17, Class E, 3.50%, 8/15/47		443,000	288,348
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W		168,221	165,745
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 3.836%, 3/25/50		701,000	727,185
FRB Ser. 19-01, Class M10, 3.336%, 10/15/49		289,000	291,668
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) †		558,952	6

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63 W		$622,000	$17,043
Wells Fargo Commercial Mortgage Trust
FRB Ser. 16-NXS5, Class D, 5.151%, 1/15/59 W		269,000	289,205
FRB Ser. 20-C56, Class C, 3.871%, 6/15/53 W		281,000	295,834
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.443%, 7/15/46 W		188,000	86,506
Ser. 14-LC16, Class D, 3.938%, 8/15/50		889,000	117,443
Ser. 16-C33, Class D, 3.123%, 3/15/59		282,000	266,942
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45 W		2,524,000	536,602
			15,768,350
Residential mortgage-backed securities (non-agency) (14.0%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.276%, 5/25/47		435,674	254,815
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.67%, 11/27/36 W		634,233	520,071
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.586%, 1/25/36		67,206	81,836
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.266%, 11/25/47		239,849	201,514
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.436%, 3/25/37		907,059	850,015
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W		1,000,000	1,030,800
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.197%, 6/25/46 W		276,757	302,108
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 1.592%, 9/25/35		271,313	260,645
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.052%, 8/25/46		97,598	95,494
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.032%, 6/25/46		291,870	268,501
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 0.786%, 9/25/35		333,856	315,127
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 0.744%, 11/20/35		366,636	351,040
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.466%, 8/25/46		302,276	290,422
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.466%, 8/25/46		1,900,827	1,722,213
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.586%, 5/25/28		266,386	288,728
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.084%, 7/25/28		888,483	993,675
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.436%, 4/25/28		570,581	643,994
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.286%, 10/25/27		395,411	452,378

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, Class B, (1 Month US LIBOR + 8.80%), 8.886%, 3/25/28		$385,476	$413,480
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.636%, 12/25/27		683,255	738,037
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.386%, 9/25/30		592,738	600,427
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.55%, 10/25/50		176,000	230,120
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.336%, 4/25/49		106,000	118,580
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.086%, 10/25/48		448,000	528,837
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.836%, 1/25/49		141,000	163,016
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.586%, 3/25/49		118,000	132,865
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.086%, 8/25/50		609,000	762,011
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.086%, 7/25/50		430,000	536,425
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.236%, 7/25/49		135,000	146,612
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.836%, 9/25/48		174,000	189,938
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 5.836%, 7/25/50		174,000	184,693
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W		307,000	324,387
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59 W		636,000	662,040
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.336%, 10/25/48		380,000	396,625
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 3.986%, 9/25/48		190,000	198,569
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.786%, 12/25/30		260,000	269,762
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.186%, 3/25/50		301,330	305,963
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.736%, 1/25/49		148,965	150,953
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.536%, 3/25/49		121,504	123,174
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.436%, 2/25/49		147,680	148,739
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.386%, 10/25/48		120,000	121,568
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.836%, 10/25/28		89,606	102,645
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.336%, 9/25/28		1,112,059	1,290,834

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.836%, 10/25/28		$566,378	$656,291
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.836%, 8/25/28		367,163	414,071
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.836%, 1/25/29		119,525	131,826
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.336%, 4/25/29		19,833	21,802
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 5.986%, 10/25/28		547,230	574,055
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.786%, 4/25/28		1,008,935	1,064,691
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.636%, 4/25/28		35,154	36,857
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.586%, 9/25/29		477,000	520,005
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.086%, 7/25/25		31,244	31,503
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.936%, 10/25/29		1,170,000	1,268,104
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.586%, 12/25/30		283,000	299,008
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.536%, 5/25/30		82,000	85,095
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.536%, 2/25/30		60,000	63,113
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.086%, 5/25/25		7,919	8,058
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.686%, 1/25/30		182,000	189,686
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 3.636%, 7/25/30		457,000	472,852
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.086%, 10/25/29		467,610	480,255
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.586%, 5/25/30		242,461	246,078
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.336%, 7/25/30		46,157	46,723
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.186%, 3/25/31		66,822	67,516
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.186%, 9/25/31		556,000	571,587
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 3.736%, 2/25/40		504,000	525,160
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.536%, 7/25/31		23,784	23,917
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.446%, 5/25/36		507,026	169,133
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.396%, 5/25/37		261,734	219,742

MORTGAGE-BACKED SECURITIES (49.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.607%, 5/19/35		$271,800	$124,187
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 4.20%, 1/25/34 (Bermuda)		150,000	150,045
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.486%, 6/25/37		462,750	234,546
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59		330,000	330,000
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37		263,901	254,220
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 0.881%, 8/25/35		59,951	59,286
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.786%, 3/25/28 (Bermuda)		794,000	803,462
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 0.516%, 5/25/46		234,937	211,443
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.506%, 8/25/36		294,148	285,324
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.206%, 8/25/36		244,492	233,918
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58 W		216,000	232,337
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.066%, 10/25/45		134,405	133,670
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, Class 1A1, 2.614%, 4/25/36 W		137,205	136,768
			29,140,010
Total mortgage-backed securities (cost $118,396,385)			$103,238,054

CORPORATE BONDS AND NOTES (21.7%)*		Principal amount	Value
Basic materials (1.2%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23		$151,000	$169,875
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26		38,000	39,520
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29		45,000	44,719
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29		92,000	99,475
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30		90,000	96,075
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32		35,000	35,788
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29		10,000	9,601
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27		175,000	185,719
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24		63,000	65,678

CORPORATE BONDS AND NOTES (21.7%)* cont.		Principal amount	Value
Basic materials cont.
CVR Partners LP/CVR Nitrogen Finance Corp. 144A company guaranty sr. notes 6.125%, 6/15/28		$15,000	$15,731
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)		60,000	64,875
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)		60,000	62,775
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26		203,000	207,568
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 4.50%, 4/1/26 (Canada)		45,000	44,606
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada)		30,000	31,420
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28		95,000	94,763
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)		25,000	26,206
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29		160,000	161,000
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24		35,000	36,225
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)		121,000	123,571
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)		90,000	91,913
NOVA Chemicals Corp. 144A sr. unsec. sub. notes 4.25%, 5/15/29 (Canada)		55,000	55,000
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31		15,000	14,836
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30		80,000	84,216
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26		15,000	15,213
Pactiv Evergreen Group Issuer, LLC/Pactiv Evergreen Group Issuer, Inc. 144A sr. notes 4.375%, 10/15/28		15,000	15,056
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28		45,000	45,225
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada)		105,000	106,444
TopBuild Corp. 144A company guaranty sr. unsec. bonds 4.125%, 2/15/32 ##		20,000	20,200
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)		225,000	226,688
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29		90,000	89,550
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24		121,000	132,495
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27		80,000	82,300
			2,594,326
Capital goods (2.2%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31		60,000	58,350
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27		234,000	243,360

CORPORATE BONDS AND NOTES (21.7%)* cont.		Principal amount	Value
Capital goods cont.
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27		$115,000	$120,005
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30		35,000	35,963
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland)		330,000	342,540
Bombardier, Inc. 144A sr. unsec. notes 6.00%, 2/15/28 (Canada)		30,000	30,338
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25		72,000	75,960
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26		150,000	185,250
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)		20,000	20,500
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)		23,000	22,828
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)		115,000	120,763
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29		50,000	51,750
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada) ‡‡		260,000	276,250
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28		40,000	40,000
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29		105,000	105,788
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29		110,000	106,311
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27		125,000	132,969
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27		191,000	190,761
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25		190,000	194,632
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29		25,000	25,625
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29		120,000	121,800
Staples, Inc. 144A sr. notes 7.50%, 4/15/26		352,000	357,007
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26		208,000	224,380
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29		60,000	62,175
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26		86,000	88,723
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29		120,000	120,223
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29		80,000	79,860
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27		148,000	152,070
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26		672,000	700,560
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26		223,000	225,230
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28		115,000	127,363
			4,639,334

CORPORATE BONDS AND NOTES (21.7%)* cont.		Principal amount	Value
Communication services (2.0%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26		$133,000	$137,160
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29		970,000	1,047,600
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30		60,000	62,729
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30		55,000	56,745
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28		199,000	207,736
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25		82,000	83,025
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24		120,000	128,542
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24		60,000	64,517
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29		79,000	77,403
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27		90,000	95,625
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26		264,000	272,448
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27		61,000	62,757
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28		66,000	66,510
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 3.625%, 1/15/29		55,000	53,281
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada)		40,000	42,300
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28		260,000	332,800
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26		125,000	151,466
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23		433,000	483,813
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30		50,000	55,208
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27		125,000	137,711
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31		80,000	80,680
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27		19,000	19,960
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22		45,000	45,525
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29		55,000	55,581
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28		148,000	157,250
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada)		75,000	77,625
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 3.625%, 6/15/29 (Canada)		25,000	25,344
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom)	GBP	115,000	160,522
			4,241,863

CORPORATE BONDS AND NOTES (21.7%)* cont.		Principal amount	Value
Consumer cyclicals (4.4%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29		$70,000	$69,572
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28		60,000	61,275
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29		55,000	54,588
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27 ‡‡		105,000	104,213
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27		55,000	56,688
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada)		80,000	81,804
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29		110,000	111,375
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27		105,000	108,544
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29		55,000	55,061
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24		110,000	112,567
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25		25,000	26,813
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28		85,000	83,725
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27		80,000	82,785
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26		144,000	95,040
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27		92,000	40,250
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27		173,000	180,569
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29		120,000	120,950
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27		244,000	249,573
Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25		152,000	182,785
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25		200,000	217,250
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30		135,000	139,050
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29		20,000	20,152
Hanesbrands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/15/25		45,000	47,110
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24		125,000	131,785
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27		88,000	90,972
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26		130,811	138,025
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27		271,721	290,062
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom)		65,000	76,213

CORPORATE BONDS AND NOTES (21.7%)* cont.		Principal amount	Value
Consumer cyclicals cont.
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28 R		$194,000	$202,730
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27		65,000	67,733
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25		31,000	32,744
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity		128,000	145,440
L Brands, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25		15,000	19,031
L Brands, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30		55,000	62,425
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France)	EUR	100,000	113,692
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31		$57,000	57,570
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24		46,000	46,514
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26		99,000	102,465
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27		60,000	66,000
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28		45,000	47,385
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30		35,000	34,738
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada)		160,000	167,200
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada)		125,000	127,732
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27		170,000	184,238
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29		195,000	203,288
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26		25,000	25,778
Mav Acquisition Corp. 144A sr. notes 5.75%, 8/1/28		80,000	78,600
Meredith Corp. company guaranty sr. notes 6.50%, 7/1/25		110,000	117,700
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26		62,000	64,093
Motion Bondco DAC company guaranty sr. notes Ser. REGS, 4.50%, 11/15/27 (Ireland)	EUR	110,000	121,529
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29		$90,000	93,348
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29		90,000	92,475
Nexstar Broadcasting, Inc. 144A sr. unsec. notes 4.75%, 11/1/28		55,000	57,055
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27		160,000	169,276
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg)		58,000	59,378
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28		80,000	83,000
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29		40,000	39,112
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. bonds 4.75%, 7/15/31		40,000	38,910
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28		295,000	311,408

CORPORATE BONDS AND NOTES (21.7%)* cont.		Principal amount	Value
Consumer cyclicals cont.
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27		$55,000	$52,766
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28		115,000	118,885
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26		25,000	25,531
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25		278,000	321,310
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25		65,000	66,869
Scotts Miracle-Gro Co. (The) 144A company guaranty sr. unsec. bonds 4.375%, 2/1/32		40,000	40,325
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29		168,000	175,560
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26		120,000	125,250
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29		110,000	105,050
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30		95,000	94,231
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30		60,000	58,650
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31		75,000	73,266
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28		125,000	127,109
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25		115,000	122,475
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29		55,000	59,125
Square, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31		75,000	76,930
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31		45,000	42,827
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28		10,000	10,375
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28		115,000	116,823
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25		105,000	105,000
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30		125,000	134,534
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28		50,000	55,700
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25		65,000	70,525
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27		115,000	124,919
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29		40,000	40,650
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28		10,000	10,722
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30		60,000	62,208
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29		155,000	156,938
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28		110,000	116,050
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/15/29		57,000	57,570