NPORT-EX 3 b_073nportex.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam Premier Income Trust
The fund's portfolio
10/31/19 (Unaudited)



MORTGAGE-BACKED SECURITIES (43.9%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (21.9%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 18.062%, 4/15/37 $64,609 $106,372
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 16.752%, 11/15/35 134,826 215,721
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.729%, 4/15/40 3,861,373 415,136
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 4.279%, 12/15/47 6,842,821 1,042,846
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.179%, 8/15/56 9,030,399 2,099,568
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.179%, 4/15/47 2,344,800 476,004
REMICs Ser. 4813, IO, 5.50%, 8/15/48 5,156,456 1,075,506
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 3,781,764 700,383
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 2,042,321 329,081
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 1,147,158 167,866
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 1,825,855 234,414
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 3,798,947 484,366
REMICs Ser. 4425, IO, 4.00%, 1/15/45 4,720,870 665,171
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 4,331,508 824,004
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 2,917,867 348,181
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 3,241,534 142,773
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 10,315,901 1,315,277
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 6,755,518 770,845
REMICs Ser. 4560, Class PI, IO, 3.50%, 5/15/45 2,447,720 268,099
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 4,423,600 356,861
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 1,680,843 131,397
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 7,574,302 591,318
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 3,595,819 245,594
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 1,860,555 75,632
REMICs Ser. 4510, Class HI, IO, 3.00%, 3/15/40 5,745,251 262,231
REMICs Ser. 3326, Class WF, zero %, 10/15/35(WAC) 1,951 1,629
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 1,618,212 121,099
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.375%, 7/25/43(WAC) 2,270,618 22,706
Federal National Mortgage Association
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 1,550,206 32,864
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 177,705 32,585
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 566,926 101,657
Interest Strip Ser. 366, Class 22, IO, 4.50%, 10/25/35 6,954 121
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 28.964%, 7/25/36 93,478 168,419
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 17.517%, 6/25/37 109,693 172,777
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 16.60%, 2/25/38 83,125 109,775
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 14.782%, 8/25/35 73,444 98,761
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 12.655%, 11/25/34 103,952 121,332
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 4.627%, 4/25/42 2,196,774 403,132
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 4.577%, 4/25/40 1,608,405 311,628
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 4.427%, 3/25/48 8,241,120 1,535,321
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.327%, 5/25/47 19,180,431 3,397,813
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.327%, 10/25/41 1,591,282 80,837
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.277%, 12/25/46 6,239,095 1,154,233
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.277%, 5/25/39 20,502,000 3,963,057
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.227%, 8/25/49 9,103,153 1,536,157
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 4.077%, 10/25/41 4,919,322 737,898
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 4,205,826 912,798
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 4,063,712 826,592
REMICs Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 1,880,907 60,791
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 6,839,282 1,405,541
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 840,055 171,473
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 4,855,818 455,476
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 4.127%, 2/25/43 4,299,315 897,482
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 3,438,092 472,738
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 2,630,328 235,131
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 3,284,619 389,036
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 7,884,463 1,352,665
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 2,228,777 287,044
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 1,877,801 216,248
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 1,864,601 256,756
REMICs Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 4,599,872 486,827
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 2,217,200 99,000
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 2,674,042 141,024
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 2,642,088 190,764
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 2,029,465 65,693
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 10,466 9,550
Government National Mortgage Association
FRB Ser. 15-H08, Class CI, IO, 1.805%, 3/20/65(WAC) 6,156,295 494,455
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 4.334%, 4/20/44 9,286,236 1,706,346
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.304%, 9/20/43 1,078,169 196,723
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.254%, 8/20/49 15,557,250 2,814,929
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.254%, 7/20/49 16,329,954 2,401,646
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.204%, 8/20/49 1,108,748 139,979
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.204%, 6/20/49 1,117,264 166,193
IFB Ser. 10-90, Class ES, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 4.104%, 7/20/40 10,760,064 1,932,884
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.754%, 8/20/44 4,615,857 744,307
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 1,913,644 385,044
Ser. 16-42, IO, 5.00%, 2/20/46 5,045,785 973,041
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 7,544,355 974,882
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 8,077,493 1,649,343
Ser. 14-76, IO, 5.00%, 5/20/44 1,973,341 402,470
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,534,068 311,569
Ser. 12-146, IO, 5.00%, 12/20/42 1,371,715 280,447
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 2,061,637 419,029
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,448,655 298,117
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 6,463,482 1,326,953
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 3,313,123 669,748
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 6,626,607 1,321,976
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 1,219,837 248,185
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 5,138,630 808,845
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 2,576,072 431,492
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 5,791,896 738,467
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 4,070,180 411,699
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,898,911 395,733
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 2,819,416 542,738
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 3,572,108 490,879
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 2,794,361 518,630
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 580,726 67,916
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 2,513,861 485,260
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 2,871,720 370,528
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 4,591,296 840,253
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 2,562,714 460,700
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 2,892,185 535,871
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,765,821 333,387
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,516,642 335,436
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 2,962,554 277,739
Ser. 16-29, IO, 4.00%, 2/16/46 2,471,903 435,673
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 6,312,445 994,968
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 3,826,674 750,411
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 4,206,597 668,999
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 3,995,332 555,591
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 11,266,560 1,726,037
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 8,444,848 802,261
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,398,287 232,501
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 6,038,281 633,937
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,409,001 224,825
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,213,918 212,227
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 3,146,575 527,280
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 3,574,960 351,478
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 2,614,456 181,888
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 3,280,516 540,957
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 6,448,719 719,161
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 6,387,170 771,712
Ser. 13-76, IO, 3.50%, 5/20/43 5,135,428 695,491
Ser. 13-28, IO, 3.50%, 2/20/43 1,569,687 206,445
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 2,451,898 307,542
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 3,686,947 457,108
Ser. 13-14, IO, 3.50%, 12/20/42 7,844,907 740,638
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 2,547,235 306,662
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 3,240,609 564,994
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 4,175,479 724,580
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 4,801,764 804,976
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,889,392 343,477
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 4,804,363 440,115
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 5,206,976 504,556
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 3,398,478 180,017
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 8,206,647 663,343
Ser. 16-H18, Class QI, IO, 2.953%, 6/20/66(WAC) 7,131,153 825,909
Ser. 18-H15, Class KI, IO, 2.798%, 8/20/68(WAC) 8,944,851 1,151,650
Ser. 17-H16, Class JI, IO, 2.728%, 8/20/67(WAC) 20,197,859 2,726,711
Ser. 17-H16, Class FI, IO, 2.695%, 8/20/67(WAC) 7,628,285 867,717
Ser. 18-H05, Class AI, IO, 2.418%, 2/20/68(WAC) 6,185,590 840,854
Ser. 18-H02, Class EI, IO, 2.413%, 1/20/68(WAC) 15,126,752 1,928,661
Ser. 16-H16, Class EI, IO, 2.395%, 6/20/66(WAC) 7,392,190 790,225
Ser. 16-H03, Class AI, IO, 2.378%, 1/20/66(WAC) 8,134,147 721,906
Ser. 18-H03, Class XI, IO, 2.375%, 2/20/68(WAC) 10,286,871 1,346,551
Ser. 18-H05, Class BI, IO, 2.357%, 2/20/68(WAC) 10,675,982 1,374,533
Ser. 17-H12, Class QI, IO, 2.35%, 5/20/67(WAC) 9,088,001 1,015,339
Ser. 17-H06, Class BI, IO, 2.345%, 2/20/67(WAC) 10,233,813 1,159,491
Ser. 17-H02, Class BI, IO, 2.335%, 1/20/67(WAC) 6,510,172 779,704
Ser. 15-H10, Class BI, IO, 2.325%, 4/20/65(WAC) 6,265,938 564,899
Ser. 17-H16, Class IH, IO, 2.305%, 7/20/67(WAC) 13,501,925 1,229,944
Ser. 16-H09, Class BI, IO, 2.286%, 4/20/66(WAC) 10,944,103 1,072,391
Ser. 16-H17, Class KI, IO, 2.229%, 7/20/66(WAC) 5,099,165 554,534
Ser. 15-H15, Class BI, IO, 2.228%, 6/20/65(WAC) 5,429,529 511,999
Ser. 17-H08, Class NI, IO, 2.217%, 3/20/67(WAC) 13,410,719 1,483,226
Ser. 17-H16, Class IG, IO, 2.188%, 7/20/67(WAC) 18,308,166 1,670,620
Ser. 16-H23, Class NI, IO, 2.144%, 10/20/66(WAC) 28,061,528 3,148,503
Ser. 16-H02, Class HI, IO, 2.137%, 1/20/66(WAC) 10,698,500 844,112
Ser. 16-H22, Class AI, IO, 2.046%, 10/20/66(WAC) 10,062,037 1,090,866
Ser. 17-H19, Class MI, IO, 2.045%, 4/20/67(WAC) 5,156,889 552,818
Ser. 16-H10, Class AI, IO, 2.016%, 4/20/66(WAC) 18,128,434 1,205,758
Ser. 16-H03, Class DI, IO, 2.008%, 12/20/65(WAC) 8,648,442 724,307
Ser. 16-H06, Class DI, IO, 1.933%, 7/20/65 12,721,144 964,911
Ser. 17-H11, Class DI, IO, 1.923%, 5/20/67(WAC) 9,574,616 1,041,239
Ser. 15-H24, Class AI, IO, 1.908%, 9/20/65(WAC) 7,924,763 739,705
Ser. 15-H20, Class CI, IO, 1.894%, 8/20/65(WAC) 9,298,148 941,205
Ser. 15-H25, Class EI, IO, 1.863%, 10/20/65(WAC) 7,260,960 621,538
Ser. 17-H09, IO, 1.862%, 4/20/67(WAC) 12,524,121 1,177,731
Ser. 15-H20, Class AI, IO, 1.842%, 8/20/65(WAC) 7,972,788 688,849
Ser. 16-H06, Class CI, IO, 1.791%, 2/20/66(WAC) 11,642,056 742,926
Ser. 15-H23, Class BI, IO, 1.747%, 9/20/65(WAC) 9,287,789 734,664
Ser. 16-H24, Class CI, IO, 1.703%, 10/20/66(WAC) 6,619,787 519,336
Ser. 16-H14, IO, 1.689%, 6/20/66(WAC) 7,659,298 522,050
Ser. 13-H08, Class CI, IO, 1.653%, 2/20/63(WAC) 10,481,032 515,667
Ser. 14-H21, Class BI, IO, 1.548%, 10/20/64(WAC) 10,459,210 691,354
Ser. 15-H26, Class CI, IO, 0.291%, 8/20/65(WAC) 18,156,025 237,844
Ser. 06-36, Class OD, PO, zero %, 7/16/36 3,489 3,024
121,880,036
Commercial mortgage-backed securities (8.3%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 7,608,552 76
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.45%, 1/12/45(WAC) 1,882,000 1,665,570
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 1,026,000 923,400
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 1,064,594 1,065,871
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.775%, 3/11/39(WAC) 1,064,979 532,490
FRB Ser. 06-PW11, Class C, 5.775%, 3/11/39 (In default)(NON)(WAC) 805,492 40,275
FRB Ser. 07-T28, Class D, 5.534%, 9/11/42(WAC) 828,000 467,800
FRB Ser. 06-PW14, Class XW, IO, 0.309%, 12/11/38(WAC) 1,084,600 5,044
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 78,205 1
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.741%, 12/15/47(WAC) 1,068,000 1,078,897
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,197,871
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.85%, 5/10/47(WAC) 682,000 641,080
FRB Ser. 12-CR3, Class E, 4.752%, 10/15/45(WAC) 613,000 562,366
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 1,152,932
FRB Ser. 14-CR19, Class D, 4.747%, 8/10/47(WAC) 1,030,000 1,029,115
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.881%, 12/15/39(WAC) 2,179,825 10,215
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.719%, 9/15/39(WAC) 26,697 26,697
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 208,100 211,087
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.774%, 4/15/50(WAC) 1,390,000 1,344,012
GS Mortgage Securities Corp., II 144A FRB Ser. 05-GG4, Class XC, IO, 1.368%, 7/10/39(WAC) 870,847 87
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.534%, 9/10/47(WAC) 2,754,000 2,315,203
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.812%, 2/15/47(WAC) 2,670,000 2,515,055
FRB Ser. 13-C14, Class E, 4.702%, 8/15/46(WAC) 1,277,000 1,142,598
FRB Ser. C14, Class D, 4.702%, 8/15/46(WAC) 1,066,000 1,054,564
FRB Ser. 14-C18, Class E, 4.312%, 2/15/47(WAC) 914,000 780,311
FRB Ser. 14-C25, Class D, 3.955%, 11/15/47(WAC) 1,854,000 1,679,407
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,289,226
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.168%, 4/15/46(WAC) 1,312,000 1,187,627
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.183%, 2/12/51(WAC) 757,000 726,720
FRB Ser. 11-C3, Class F, 5.664%, 2/15/46(WAC) 1,113,000 1,054,482
FRB Ser. 12-C6, Class E, 5.158%, 5/15/45(WAC) 1,115,000 1,071,265
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,807,000 1,565,619
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 4,973,005 50
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.811%, 12/15/49(WAC) 473,964 680
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 1,100,244 877,268
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.354%, 8/15/46(WAC) 1,900,000 988,000
FRB Ser. 13-C10, Class E, 4.082%, 7/15/46(WAC) 2,860,000 2,595,542
FRB Ser. 13-C10, Class F, 4.082%, 7/15/46(WAC) 1,988,000 1,688,395
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 822,716
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 802,518 200,630
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,111,404 1,012,341
STRIPs III, Ltd. 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/20 (Cayman Islands) (In default)(NON)(WAC) 376,000 38
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 1,081,996 85,023
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 4.89%, 5/10/63(WAC) 1,476,000 839,549
FRB Ser. 12-C4, Class D, 4.48%, 12/10/45(WAC) 706,000 706,136
Wachovia Bank Commercial Mortgage Trust FRB Ser. 07-C34, IO, 0.085%, 5/15/46(WAC) 3,954,885 40
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 1,500,000 1,093,245
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.285%, 7/15/46(WAC) 456,000 426,553
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 1,722,803
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 2,094,147
FRB Ser. 12-C9, Class E, 4.811%, 11/15/45(WAC) 739,000 675,004
FRB Ser. 12-C10, Class D, 4.435%, 12/15/45(WAC) 1,141,000 989,198
46,154,321
Residential mortgage-backed securities (non-agency) (13.7%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 2.013%, 5/25/47 422,744 266,768
Bear Stearns Alt-A Trust FRB Ser. 05-7, Class 21A1, 4.461%, 9/25/35(WAC) 355,191 336,364
Bellemeade Re Ltd. 144A FRB Ser. 19-4A, Class B1, (1 Month US LIBOR + 3.85%), 5.764%, 10/25/29 (Bermuda) 727,000 727,001
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.003%, 11/25/47 1,067,521 920,289
Citigroup Mortgage Loan Trust FRB Ser. 07-AR5, Class 1A1A, 4.714%, 4/25/37(WAC) 352,944 353,978
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.173%, 3/25/37 2,526,432 2,216,003
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 3.35%, 8/25/46 379,972 353,851
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 3.33%, 6/25/46 731,293 678,767
FRB Ser. 06-OA7, Class 1A1, 3.063%, 6/25/46(WAC) 1,286,016 1,133,623
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.18%, 11/20/35 2,143,587 2,035,563
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.173%, 9/25/35 858,796 817,568
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.163%, 2/25/37 783,943 384,289
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 2.033%, 4/25/47 803,108 697,731
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.19%), 2.013%, 8/25/46 686,471 665,877
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.013%, 8/25/46 890,817 855,184
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.013%, 8/25/46 4,518,969 4,083,434
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, Class A2, (1 Month US LIBOR + 0.19%), 2.013%, 12/25/36 890,877 550,029
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.323%, 5/25/28 828,594 1,094,970
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 11.823%, 7/25/28 2,018,583 2,698,246
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.173%, 4/25/28 1,295,173 1,672,190
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 9.373%, 12/25/27 1,039,229 1,257,747
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (1 Month US LIBOR + 6.35%), 8.173%, 9/25/28 250,000 275,033
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 6.773%, 7/25/29 570,000 645,363
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 5.673%, 3/25/29 640,000 672,346
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.123%, 9/25/30 2,462,000 2,479,144
Federal Home Loan Mortgage Corporation 144A
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 685,000 695,842
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 6.073%, 10/25/48 170,000 182,934
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 5.523%, 12/25/30 1,500,000 1,565,168
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 4.273%, 3/25/49 674,000 678,374
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 4.123%, 10/25/48 304,200 307,004
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 12.823%, 10/25/48 327,000 413,747
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 12.573%, 1/25/49 315,000 399,785
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 12.323%, 3/25/49 252,000 318,395
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 9.573%, 9/25/48 389,000 413,416
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 4.473%, 1/25/49 440,000 446,188
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 4.173%, 2/25/49 167,000 168,265
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 14.573%, 10/25/28 238,805 339,938
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.073%, 9/25/28 2,310,960 3,328,593
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 13.573%, 10/25/28 1,296,043 1,851,091
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 13.573%, 8/25/28 841,038 1,193,176
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 12.573%, 1/25/29 269,381 356,961
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (1 Month US LIBOR + 10.25%), 12.073%, 1/25/29 139,521 187,185
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 7.723%, 10/25/28 3,226,921 3,478,749
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.523%, 4/25/28 3,426,077 3,734,273
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.373%, 4/25/28 469,063 499,979
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.323%, 9/25/29 1,459,000 1,701,935
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 6.823%, 7/25/25 3,037,021 3,276,174
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 6.823%, 7/25/25 674,119 716,348
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 6.673%, 10/25/29 2,230,000 2,519,012
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 6.273%, 2/25/30 110,000 120,040
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (1 Month US LIBOR + 4.25%), 6.073%, 1/25/31 630,000 682,854
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 5.823%, 5/25/25 62,784 66,300
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 5.473%, 9/25/29 500,000 524,001
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 5.423%, 1/25/30 314,000 329,689
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 5.373%, 7/25/30 1,772,000 1,836,465
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 4.623%, 2/25/30 310,000 316,015
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 4.373%, 12/25/30 536,000 543,431
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 4.073%, 7/25/30 172,000 173,492
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 3.923%, 3/25/31 251,000 251,474
Connecticut Avenue Securities Trust FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 6.273%, 5/25/30 180,000 195,326
Connecticut Avenue Securities Trust FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 4.323%, 5/25/30 1,357,000 1,375,316
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 5.923%, 9/25/31 578,000 613,479
Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2B1, (1 Month US LIBOR + 3.75%), 5.573%, 9/25/39 300,000 301,743
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.273%, 7/25/31 185,000 186,453
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (1 Month US LIBOR + 2.30%), 4.123%, 8/25/31 293,000 294,813
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.133%, 5/25/37 966,242 706,069
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 2.366%, 5/19/35 552,303 349,531
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.023%, 6/25/37 877,407 497,851
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 730,000 728,540
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 3.109%, 2/26/37 831,934 753,152
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 2.618%, 8/25/35 253,756 247,972
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 4.673%, 7/25/28 (Bermuda) 2,230,000 2,232,788
Oaktown Re, Ltd. 144A FRB Ser. 17-1A, Class B1, (1 Month US LIBOR + 6.00%), 7.573%, 4/25/27 (Bermuda) 550,000 585,028
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 4.523%, 3/25/28 (Bermuda) 620,000 622,790
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.033%, 8/25/36 985,600 951,104
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 2.003%, 1/25/37 1,127,132 1,031,316
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 4.192%, 9/25/35(WAC) 837,300 851,493
FRB Ser. 05-AR14, Class 1A2, 4.104%, 12/25/35(WAC) 329,424 329,810
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.313%, 10/25/45 681,327 680,868
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.223%, 12/25/45 595,235 574,923
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR5, Class 1A1, 5.192%, 4/25/36(WAC) 288,065 298,147
FRB Ser. 06-AR2, Class 1A1, 4.916%, 3/25/36(WAC) 283,435 282,812
76,178,975
Total mortgage-backed securities (cost $247,174,000) $244,213,332









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (41.5%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.4%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $190,949 $212,671
5.00%, with due dates from 4/20/49 to 10/20/49 4,809,656 5,277,348
4.50%, TBA, 11/1/49 8,000,000 8,373,750
4.50%, with due dates from 2/20/49 to 10/20/49 800,000 851,656
4.00%, TBA, 11/1/49 9,000,000 9,355,078
3.50%, with due dates from 8/20/49 to 10/20/49(FWC) 668,375 704,222
24,774,725
U.S. Government Agency Mortgage Obligations (37.1%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 5.00%, 4/1/49 65,591 72,147
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 350,698 385,908
4.50%, 5/1/49 162,994 176,148
3.50%, 6/1/49(FWC) 2,000,000 2,052,812
Uniform Mortgage-Backed Securities
5.50%, TBA, 11/1/49 5,000,000 5,391,992
4.50%, TBA, 11/1/49 8,000,000 8,414,375
4.00%, TBA, 11/1/49 64,000,000 66,409,997
3.50%, TBA, 11/1/49 99,000,000 101,652,893
3.00%, TBA, 12/1/49 3,000,000 3,046,289
3.00%, TBA, 11/1/49 3,000,000 3,048,750
2.50%, TBA, 11/1/49 16,000,000 15,912,499
206,563,810
Total U.S. government and agency mortgage obligations (cost $231,390,659) $231,338,535









U.S. TREASURY OBLIGATIONS (0.6%)(a)
        Principal amount Value
U.S. Treasury Notes
2.125%, 3/31/24(i) $120,000 $123,268
2.00%, 8/15/25(i) 2,867,000 2,927,637
2.00%, 2/15/25(i) 55,000 56,472
Total U.S. treasury obligations (cost $3,107,377) $3,107,377









CORPORATE BONDS AND NOTES (25.0%)(a)
        Principal amount Value
Basic materials (2.6%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $459,000 $499,823
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 107,000 110,210
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 720,000 743,400
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 105,000 107,100
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 212,000 208,301
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 498,000 511,695
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 587,000 610,480
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 547,000 568,880
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 233,000 242,320
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 195,000 211,575
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 122,000 125,508
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 485,000 497,028
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) 200,000 205,750
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 122,000 108,408
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 136,000 131,240
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 586,000 572,083
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) 295,000 288,731
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 65,000 60,450
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 693,000 710,325
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 441,000 474,075
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 458,000 462,723
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 400,000 419,000
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 141,000 149,284
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 79,000 80,383
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 283,000 291,490
Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) 65,000 67,438
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 214,000 220,420
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 160,000 155,093
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 325,000 341,283
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 1,145,000 1,200,819
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 455,000 470,925
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 403,000 491,660
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 180,000 180,675
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 132,000 140,606
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 47,000 48,062
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 110,000 113,331
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 45,000 45,900
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 575,000 609,765
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 4.892%, 4/24/25 (Switzerland) 325,000 344,282
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 63,000 64,004
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 354,000 371,700
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 125,000 117,813
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 324,000 337,258
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 271,000 275,404
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 270,000 291,600
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 195,000 205,667
14,483,967
Capital goods (2.1%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 757,000 775,925
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 260,000 274,950
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 470,000 475,147
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 8/15/27 (Ireland) 265,000 271,625
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 125,000 131,563
Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 300,000 315,375
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 240,000 243,300
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 429,000 439,725
Berry Global, Inc. 144A notes 4.50%, 2/15/26 85,000 85,531
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 110,000 116,050
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 369,000 365,310
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 100,000 106,500
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 175,000 182,427
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 570,000 598,101
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 416,400
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 343,000 342,143
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 408,000 432,480
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 215,000 222,525
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 458,000 484,198
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 250,000 251,875
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 675,000 696,094
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 585,000 608,517
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 695,000 747,125
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 230,000 238,625
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 361,000 377,696
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 1,432,000 1,534,030
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 11/15/27(FWC) 255,000 254,156
Trivium Packaging Finance BV 144A company guaranty sr. notes 5.50%, 8/15/26 (Netherlands) 200,000 209,500
Trivium Packaging Finance BV 144A company guaranty sr. unsec. notes 8.50%, 8/15/27 (Netherlands) 200,000 213,250
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 195,000 161,363
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 48,000 49,560
11,621,066
Communication services (2.1%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 400,000 411,000
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) 200,000 203,750
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 850,000 895,688
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 2,321,000 2,477,668
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 444,000 464,380
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 213,000 189,506
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 270,000 290,925
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 220,000 231,275
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 314,000 314,785
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 372,000 403,620
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 85,000 90,287
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 112,000 112,280
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 15,000 15,408
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 146,000 147,460
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 598,000 624,163
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 125,000 127,188
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 94,820
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 214,169
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 278,000 302,931
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 238,000 245,140
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 404,000 445,915
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 465,000 496,183
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 145,000 145,906
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 505,000 524,044
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 291,000 296,820
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 43,000 46,225
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 100,000 103,221
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 326,000 343,523
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 125,000 128,906
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 662,000 696,755
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 170,000 180,625
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 347,763
Ziggo BV 144A company guaranty sr. notes 5.50%, 1/15/27 (Netherlands) $150,000 158,250
11,770,579
Consumer cyclicals (4.6%)
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 85,000 89,276
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 130,000 129,675
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 198,000 204,188
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 135,000 142,763
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 120,000 122,400
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 94,000 95,293
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 165,000 166,444
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 420,000 426,300
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 180,000 187,367
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 200,000 192,423
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 $465,000 476,044
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 526,000 549,670
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 553,000 569,590
eG Global Finance PLC 144A company guaranty sr. notes 6.75%, 2/7/25 (United Kingdom) 200,000 200,000
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 50,000 54,813
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 163,000 170,131
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 600,000 627,000
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 228,000 237,690
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 530,000 555,811
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 519,000 567,656
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 320,000 336,384
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 615,000 650,350
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 388,000 403,035
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 210,372 225,624
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 419,739 450,170
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 145,000 161,675
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 600,000 660,000
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 75,000 79,125
Installed Building Products, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/28 50,000 52,524
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 428,000 449,400
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 591,000 608,730
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 505,000 515,731
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds 7.40%, 4/1/37 235,000 82,250
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 170,000 166,600
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 195,000 193,050
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 180,000 200,700
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 404,000 380,770
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 255,000 243,047
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/15/27 80,000 83,408
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 284,000 302,460
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 100,000 105,750
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 353,000 365,796
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 257,000 271,778
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 265,000 273,143
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 337,000 364,381
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 534,000 544,680
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 297,000 291,803
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 272,000 283,799
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 100,000 105,470
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 405,000 402,975
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 476,000 478,390
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 315,000 325,238
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 296,000 312,571
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 439,000 444,488
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 241,000 251,845
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 290,000 297,975
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 264,000 332,640
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 400,000 448,100
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 224,000 243,320
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 339,000 347,899
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 580,000 596,675
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 150,000 154,500
Scotts Miracle-Gro, Co. (The) 144A sr. unsec. notes 4.50%, 10/15/29 208,000 209,040
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 158,000 162,740
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 195,000 210,785
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 819,000 860,974
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 665,000 696,588
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 451,000 465,658
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 12,000 12,120
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 125,000 127,969
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 583,000 612,150
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 410,000 421,808
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 25,938
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 495,000 495,000
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 420,000 421,050
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 52,000 53,300
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 231,863
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 250,000 263,750
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 612,000 638,010
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 515,000 538,175
25,699,701
Consumer staples (1.2%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 385,000 397,513
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 225,000 226,125
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 138,000 141,623
Ashtead Capital, Inc. 144A bonds 4.25%, 11/1/29 200,000 202,000
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 25,000 27,688
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 100,000 106,630
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 125,000 132,500
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 229,000 241,023
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 505,000 520,201
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 737,000 762,795
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 311,963
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 295,000 306,063
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 235,000 245,211
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 350,000 367,938
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 85,000 89,356
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 781,000 815,169
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 265,000 273,822
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 135,000 151,538
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 510,000 561,638
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 135,000 142,088
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 75,000 75,825
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 235,000 245,610
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 180,000 181,350
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 125,000 131,094
6,656,763
Energy (4.7%)
Aker BP ASA 144A sr. unsec. notes 6.00%, 7/1/22 (Norway) 300,000 309,375
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 500,000 528,750
Aker BP ASA 144A sr. unsec. notes 4.75%, 6/15/24 (Norway) 150,000 156,000
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A sr. unsec. notes 5.75%, 1/15/28 195,000 147,225
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 133,000 93,266
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 324,000 289,170
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 38,000 28,453
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 328,000 320,620
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 268,000 253,608
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 96,000 73,440
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 119,000 36,890
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 214,000 264,271
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 293,000 324,890
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 1,191,000 1,283,303
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 57,000 35,625
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 253,000 166,980
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 23,000 16,790
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 368,000 272,320
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 235,000 205,625
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 343,000 358,435
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 499,000 523,950
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.875%, 1/15/24 356,000 395,267
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 870,000 829,763
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 543,000 568,114
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 510,000 531,038
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 159,000 144,690
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 50,000 46,875
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 97,000 91,665
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 528,000 549,120
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 315,000 234,770
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 40,000 33,800
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 130,000 97,500
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 124,000 74,400
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 122,000 107,055
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 84,000 57,120
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 284,684
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 421,180
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 3,117,000 3,774,687
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 3,254,000 3,493,983
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 378,000 426,006
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 2,906,000 3,154,463
Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.093%, 1/15/30 (Brazil) 682,000 722,750
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 689,000 41,340
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 972,000 60,167
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 2,345,000 140,700
Petroleos Mexicanos 144A company guaranty sr. unsec. bonds 7.69%, 1/23/50 (Mexico) 931,000 1,011,662
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 116,000 100,340
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 195,000 207,136
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 233,000 235,568
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 188,000 142,410
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 45,000 5
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 44,000 38,940
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 211,000 200,978
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 225,000 211,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 155,000 153,450
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 80,000 86,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/15/27 410,000 438,708
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 244,750 244,138
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 137,000 138,133
Transocean Sentry Ltd. 144A company guaranty sr. notes 5.375%, 5/15/23 (Cayman Islands) 395,000 391,050
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 10,000 10,188
Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 127,000 66,675
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 80,000 80,800
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 60,000 66,900
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 183,000 183,915
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 225,000 218,813
26,197,932
Financials (3.5%)
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 1,438,000 2,000,618
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 369,000 410,974
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 163,000 218,420
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 148,000 163,540
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 185,000 209,766
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 175,000 196,875
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 195,000 210,113
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 578,000 636,523
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 82,000 87,172
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 225,000 248,146
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 678,000 742,410
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6.625%, 3/15/26 125,000 132,813
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 500,000 667,500
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 267,000
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 220,000 226,875
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 170,000 185,148
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 120,000 112,500
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 250,000 274,492
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 185,000 203,435
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 214,000 222,293
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 210,000 218,925
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 237,000 251,220
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 205,000 209,869
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 9/15/24 150,000 151,500
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 21,876
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 200,000 210,500
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 322,000 332,063
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 125,000 127,969
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 670,000 990,642
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 510,000 529,125
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 115,000 120,463
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 175,000 232,353
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 $305,000 333,594
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 220,000 232,925
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 236,000 236,885
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 300,000 291,660
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) 200,000 228,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 306,000 435,668
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 410,000 417,688
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 235,000 245,023
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 745,000 843,713
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 330,000 342,684
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 125,000 138,438
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 178,000 160,200
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 200,000 217,004
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 4,200,000 4,524,013
19,461,363
Health care (2.3%)
Bausch Health Americas, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 305,000 345,037
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 611,000 686,611
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 270,000 304,558
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $185,000 193,327
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 255,000 286,289
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 235,000 258,794
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 115,000 124,056
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 370,000 384,106
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 355,000 371,392
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 270,000 277,763
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 395,000 410,678
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 305,000 311,481
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 135,000 142,898
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 1,051,000 1,024,068
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 235,000 181,538
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 665,000 650,038
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 256,000 286,471
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 155,000 164,208
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 270,000 294,249
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 201,000 219,090
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 128,000 142,080
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 370,000 382,950
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 233,000 244,347
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 270,000 284,850
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 70,000 71,138
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 350,000 372,750
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 100,000 104,500
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 1,075,000 1,108,594
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 660,000 679,800
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 125,000 132,449
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 525,000 546,000
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 755,000 781,425
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 385,000 345,390
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 250,000 234,688
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 165,000 172,683
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 110,000 117,013
12,637,309
Technology (0.9%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/20 1,318,000 —
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 160,000 164,400
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 230,000 233,105
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 1,275,000 1,455,256
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 483,000 512,101
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 125,000 136,678
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 204,000 195,442
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 213,000 216,461
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 210,000 224,171
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 584,000 622,690
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 821,000 829,210
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 400,000 408,760
4,998,274
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 502,000 510,785
510,785
Utilities and power (0.9%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 965,000 1,003,600
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 135,000 145,122
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 138,000 140,070
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 135,000 138,038
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 188,000 195,520
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 85,000 86,594
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 727,444
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 206,000 225,570
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 247,000 267,686
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 320,000 346,400
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 325,000 344,697
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 110,000 114,107
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 260,000 278,850
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) 205,000 308
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 169,000 181,253
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 165,000 170,363
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 115,000 119,529
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 65,000 66,569
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 152,000 161,120
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 369,000 389,930
5,102,770
Total corporate bonds and notes (cost $135,936,158) $139,140,509









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (11.7%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $385,000 $163,244
Argentina (Republic of) sr. unsec. unsub. notes 4.625%, 1/11/23 (Argentina) 650,000 260,000
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) 2,375,000 1,508,125
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,255,000 2,409,195
Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 1,370,000 1,447,063
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 900,000 306,675
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 700,000 240,481
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 61.097%, 5/31/22 (Argentina) ARS 17,110,000 117,757
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $1,990,000 678,093
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 66,667 33,000
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 2,618,000 916,807
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 2,664,000 1,743,207
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,011,000 753,195
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 116,667 121,771
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 445,000 534,000
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 1,150,000 1,303,813
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,753,125
Ecuador (Republic of) 144A sr. unsec. notes 9.50%, 3/27/30 (Ecuador) 1,400,000 1,338,749
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 6.125%, 1/31/22 (Egypt) 635,000 656,431
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 880,000 909,700
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 700,000 722,750
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 2,332,000 2,892,932
Hellenic (Republic of) sr. unsec. notes 3.45%, 4/2/24 (Greece) EUR 1,411,000 1,782,674
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.00%, 2/24/20), 2/24/40 (Greece)(STP) EUR 61,000 87,399
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 468,000 655,608
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)(STP) EUR 141,000 196,798
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)(STP) EUR 178,000 249,230
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)(STP) EUR 468,000 647,434
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)(STP) EUR 3,840,211 5,272,399
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 137,295 186,753
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 4,094,435 5,517,272
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)(STP) EUR 398,000 529,338
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 1,556,500 2,057,048
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 114,000 147,480
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 1,269,807 1,572,466
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) $2,370,000 2,618,803
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 809,389
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 331,495
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 1,555,000 2,093,310
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,380,390
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,390,570
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 840,000 823,200
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) 630,000 649,688
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 300,000 311,250
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) 1,385,000 1,359,581
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Ivory Coast) EUR 760,000 839,991
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $5,014,000 6,108,040
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 265,000 278,782
Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) 200,000 216,746
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 625,000 638,281
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 805,000 816,515
United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 1,040,000 1,102,166
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 3,080,000 3,296,311
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 66,625
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 1,652,000 173,460
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 439,000 46,095
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 2,674,000 280,770
Total foreign government and agency bonds and notes (cost $65,586,880) $65,343,470









PURCHASED SWAP OPTIONS OUTSTANDING (5.4%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
2.785/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785% $8,145,400 $1,468,208
2.3075/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 3,515,900 556,532
(2.785)/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 8,145,400 356,035
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 3,515,900 154,243
Citibank, N.A.
(1.30)/3 month USD-LIBOR-BBA/Dec-24 Dec-19/1.30 88,376,100 859,016
(1.316)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 84,856,600 258,813
1.316/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 84,856,600 173,956
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 7,048,900 797,090
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 7,048,900 200,400
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 12,300,800 164,093
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 26,351,000 4,568,208
3.096/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 21,080,800 2,950,047
1.288/6 month EUR-EURIBOR-Reuters/Feb-50 Feb-20/1.288 EUR 10,069,900 2,802,461
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 $6,980,300 709,338
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 694,261
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 216,250
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 209,688
(3.162)/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 26,351,000 23,716
(1.288)/6 month EUR-EURIBOR-Reuters/Feb-50 Feb-20/1.288 EUR 10,069,900 3,594
(3.095)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.095 $52,701,900 53
(3.096)/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 21,080,800 21
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 6,990,700 1,826,460
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 1,825,901
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 1,825,621
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 6,990,700 1,555,920
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 13,275,300 1,423,510
2.764/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 13,275,300 1,414,616
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 8,725,000 511,983
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 8,725,000 358,161
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 5,271,800 38,853
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 13,275,300 34,118
(2.764)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 13,275,300 33,188
(3.0975)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.0975 52,701,900 53
Toronto-Dominion Bank
(1.715)/3 month USD-LIBOR-BBA/Jan-22 Jan-20/1.715 67,885,300 44,804
UBS AG
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.6125 8,725,000 512,158
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 13,220,400 365,964
1.6125/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.6125 $8,725,000 357,987
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 13,220,400 267,469
1.5025/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 $88,250,900 255,045
(1.5025)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 88,250,900 181,797
Total purchased swap options outstanding (cost $18,844,769) $29,999,631









CONVERTIBLE BONDS AND NOTES (3.8%)(a)
        Principal amount Value
Capital goods (0.1%)
Fortive Corp. 144A cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 $425,000 $419,295
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 309,000 311,291
730,586
Communication services (0.3%)
8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24 191,000 194,477
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 622,000 581,608
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 404,000 543,198
Intelsat SA cv. company guaranty sr. unsec. notes 4.50%, 6/15/25 (Luxembourg) 105,000 168,131
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23 92,000 185,955
Vonage Holdings Corp. 144A cv. sr. unsec. notes 1.75%, 6/1/24 200,000 193,407
1,866,776
Consumer cyclicals (0.6%)
Euronet Worldwide, Inc. 144A cv. sr. unsec. bonds 0.75%, 3/15/49 205,000 233,134
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 216,000 269,711
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 47,000 37,480
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 386,000 487,070
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 237,000 300,017
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 425,000 519,940
Marriott Vacations Worldwide Corp. cv. sr. unsec. notes 1.50%, 9/15/22 261,000 265,806
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 497,000 584,118
RH cv. sr. unsec. unsub. notes zero %, 6/15/23 208,000 234,782
Square, Inc. cv. sr. unsec. notes 0.50%, 5/15/23 230,000 253,686
3,185,744
Consumer staples (0.3%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 328,000 306,942
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 10/1/26 270,000 245,700
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 490,000 527,106
Wayfair, Inc. 144A cv. sr. unsec. notes 1.125%, 11/1/24 231,000 235,864
Zillow Group, Inc. 144A cv. sr. unsec. sub. notes 1.375%, 9/1/26 269,000 267,407
1,583,019
Energy (0.1%)
CHC Group, LLC/CHC Finance, Ltd. cv. notes Ser. AI, zero %, 10/1/20, (acquired 2/2/17, cost $58,386)(RES) 84,334 21,084
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 160,000 88,300
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 215,000 176,336
285,720
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 222,000 233,785
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 183,000 183,058
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22,(R) 194,000 266,501
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 272,000 276,298
Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 112,000 103,740
1,063,382
Health care (0.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 220,000 220,039
CONMED Corp. 144A cv. sr. unsec. notes 2.625%, 2/1/24 181,000 248,382
DexCom, Inc. 144A cv. sr. unsec. notes 0.75%, 12/1/23 347,000 414,679
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 292,000 312,930
Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 90,000 97,286
Insulet Corp. 144A cv. sr. unsec. notes 0.375%, 9/1/26 156,000 149,078
Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 6/15/24 116,000 115,678
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 460,000 440,389
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 150,000 218,914
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 158,000 159,667
Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23 192,000 176,753
Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes 1.75%, 2/15/26 157,000 162,593
Teladoc Health, Inc. cv. sr. unsec. notes 1.375%, 5/15/25 217,000 351,670
Wright Medical Group, Inc. cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 203,000 193,903
3,261,961
Technology (1.5%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 431,000 482,720
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.375%, 9/1/27 222,000 221,536
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 114,000 111,148
Cree, Inc. cv. sr. unsec. notes 0.875%, 9/1/23 185,000 199,515
DocuSign, Inc. cv. sr. unsec. notes 0.50%, 9/15/23 271,000 318,241
Envestnet, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 227,000 256,145
Five9, Inc. cv. sr. unsec. notes 0.125%, 5/1/23 114,000 168,578
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 145,000 172,940
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 263,000 362,945
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 100,000 147,263
LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 107,000 135,355
Lumentum Holdings, Inc. cv. sr. unsec. unsub. notes 0.25%, 3/15/24 185,000 233,449
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 228,000 298,471
New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 162,000 155,698
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 335,000 352,169
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 385,000 479,499
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.75%, 7/1/23 496,000 545,582
Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 397,000 348,340
Proofpoint, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/24 235,000 243,225
Q2 Holdings, Inc. 144A cv. sr. unsec. unsub. notes 0.75%, 6/1/26 185,000 195,318
Rapid7, Inc. cv. sr. unsec. notes 1.25%, 8/1/23 118,000 163,203
SailPoint Technologies Holding, Inc. 144A cv. sr. unsec. notes 0.125%, 9/15/24 133,000 128,284
Silicon Laboratories, Inc. cv. sr. unsec. notes 1.375%, 3/1/22 105,000 132,685
Snap, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/26 223,000 225,393
Splunk, Inc. cv. sr. unsec. notes 1.125%, 9/15/25 585,000 647,589
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 472,000 456,786
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 195,000 198,656
Viavi Solutions, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 216,000 280,271
Wix.com, Ltd. cv. sr. unsec. notes zero %, 7/1/23, (Israel) 200,000 228,100
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 221,000 281,067
Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 265,000 344,403
Zynga, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/24 197,000 201,405
8,715,979
Transportation (—%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 173,000 158,377
158,377
Utilities and power (0.1%)
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 281,000 318,803
318,803
Total convertible bonds and notes (cost $20,994,137) $21,170,347









SENIOR LOANS (3.5%)(a)(c)
        Principal amount Value
Basic materials (0.2%)
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.00%), 5.104%, 1/31/24 $283,381 $277,359
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.927%, 9/6/24 71,580 66,659
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.604%, 3/1/26 237,967 235,736
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 5.664%, 4/12/25 109,722 106,019
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.427%, 2/8/25 85,000 84,894
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.19%, 10/1/25 413,136 402,549
1,173,216
Capital goods (0.7%)
Berry Global Group, Inc. bank term loan FRN Ser. U, (BBA LIBOR USD 3 Month + 2.50%), 4.439%, 7/1/26 433,913 435,323
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.234%, 4/3/24 793,072 770,767
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.536%, 3/31/24 170,979 167,163
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.786%, 5/31/25 862,100 858,867
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.536%, 2/5/23 315,272 315,154
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.781%, 4/12/26 389,025 383,051
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.786%, 3/28/25 472,368 446,151
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 11/15/23 455,000 427,700
3,804,176
Communication services (0.6%)
Altice US Finance I Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 4.171%, 1/15/26 403,982 401,155
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 3.00%), 4.786%, 11/3/24 343,501 343,672
CenturyLink, Inc. bank term loan FRN Ser. B, 4.536%, 1/31/25 379,036 375,482
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 3.75%), 5.682%, 11/27/23 615,000 613,206
Sprint Communications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.813%, 2/3/24 1,754,178 1,743,946
WideOpenWest Finance, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.054%, 8/19/23 195,000 186,794
3,664,255
Consumer cyclicals (1.1%)
Cineworld Finance US, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 4.036%, 2/28/25 264,950 261,439
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.286%, 8/21/26 190,000 190,396
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.933%, 5/5/24 381,975 375,887
Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.08%, 8/24/26 215,000 215,717
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.69%, 10/17/26 (Canada) 265,000 263,178
Golden Nugget, Inc./NV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.687%, 10/4/23 198,922 198,424
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD 3 Month + 2.50%), 4.281%, 11/2/25 209,472 209,846
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 5.781%, 5/1/26 294,489 295,348
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.073%, 5/21/24 434,761 152,166
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.934%, 10/16/23 168,476 128,042
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.42%, 11/6/24 979,375 965,908
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.554%, 9/19/26 320,000 321,280
PetSmart, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.93%, 3/11/22 225,000 218,742
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 5.536%, 10/1/25 941,883 946,592
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.813%, 2/28/26 220,000 180,400
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.063%, 2/28/25 520,359 465,722
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 4.536%, 8/14/24 139,646 137,900
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 8.786%, 11/28/22 258,583 255,350
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 5.00%), 7.104%, 5/30/26 265,000 246,450
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.786%, 7/24/24 241,523 230,051
6,258,838
Consumer staples (0.5%)
Albertson's, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 2.75%), 4.536%, 11/17/25 188,722 189,613
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.786%, 7/12/24 610,509 605,675
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.236%, 6/21/24 884,119 858,332
CEC Entertainment, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.50%), 8.286%, 8/30/26 610,000 581,025
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.216%, 2/5/25 223,864 221,945
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.624%, 9/7/23 206,847 162,116
2,618,706
Energy (0.2%)
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 10.38%), 12.175%, 12/31/21 195,000 139,425
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.55%, 12/31/22 94,000 80,997
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.536%, 4/16/21 12,488 11,863
HFOTCO, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.54%, 6/26/25 439,438 437,240
Lower Cadence Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.804%, 5/22/26 213,465 197,722
867,247
Financials (—%)
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 4/25/25 100,000 99,800
99,800
Health care (0.1%)
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.604%, 4/21/24 180,838 143,088
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.306%, 6/1/25 259,646 247,070
390,158
Technology (0.1%)
Kronos, Inc./MA bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.909%, 11/1/23 115,000 114,689
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.286%, 7/2/25 371,893 369,413
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.287%, 11/3/23 139,293 123,700
607,802
Total senior loans (cost $20,235,527) $19,484,198









ASSET-BACKED SECURITIES (1.6%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 2.868%, 11/25/51 $303,333 $303,333
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 2.623%, 6/25/52 366,000 366,000
RMF Buyout Issuance Trust 144A Ser. 19-1, Class M5, 6.00%, 7/25/29(WAC) 544,000 538,547
Station Place Securitization Trust 144A
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), 2.746%, 9/24/20 2,722,000 2,722,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 2.746%, 6/24/20 2,770,000 2,770,000
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), 2.572%, 10/24/20 1,177,000 1,177,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), 2.473%, 8/25/52 770,000 770,000
Total asset-backed securities (cost $8,640,078) $8,646,880









PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
  Counterparty Expiration date/
strike price		 Notional amount   Contract amount Value
Bank of America N.A.
EUR/USD (Put) Jan-20/$1.08 $28,451,191 EUR 25,509,900 $13,543
GBP/USD (Call) Jan-20/1.33 28,061,815 GBP 21,663,500 245,850
Citibank, N.A.
AUD/JPY (Put) Feb-20/JPY 70.00 19,018,477 AUD 27,589,000 95,606
EUR/SEK (Put) Nov-19/SEK 10.50 18,626,625 EUR 16,701,000 1,807
Goldman Sachs International
AUD/JPY (Put) Feb-20/JPY 70.00 19,018,477 AUD 27,589,000 95,606
EUR/NOK (Put) Jan-20/NOK 9.85 13,970,025 EUR 12,525,800 10,980
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Nov-19/$101.63 158,000,000 $158,000,000 234,472
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Nov-19/101.24 37,000,000 37,000,000 10,360
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Nov-19/99.74 37,000,000 37,000,000 37
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) Nov-19/102.72 20,000,000 20,000,000 21,180
UBS AG
AUD/USD (Put) Jan-20/0.66 4,735,007 AUD 6,868,800 4,602
Total purchased options outstanding (cost $2,238,284) $734,043









COMMON STOCKS (0.1%)(a)
        Shares Value
Advanz Pharma Corp. (Canada)(NON) 1,070 $11,075
CHC Group, LLC (Units) (acquired 3/23/17, cost $23,780)(NON)(RES) 1,640 410
Clear Channel Outdoor Holdings, Inc.(NON) 35,498 82,710
GenOn Energy, Inc. 892 200,700
iHeartMedia, Inc. Class A(NON) 15,096 216,477
MWO Holdings, LLC (Units)(F) 169 5,717
Nine Point Energy(F) 1,515 3,030
Tervita Corp. (Canada)(NON) 449 2,386
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 17,912
Tribune Media Co. Class 1C 92,963 51,130
Total common stocks (cost $1,181,333) $591,547









PREFERRED STOCKS (0.1%)(a)
        Shares Value
GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 16,265 $429,559
Total preferred stocks (cost $412,195) $429,559









CONVERTIBLE PREFERRED STOCKS (—%)(a)
        Shares Value
Nine Point Energy 6.75% cv. pfd.(F) 32 $6,400
Total convertible preferred stocks (cost $32,000) $6,400









SHORT-TERM INVESTMENTS (10.8%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 1.98%(AFF) Shares 29,193,433 $29,193,433
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.75%(P) Shares 4,378,000 4,378,000
U.S. Treasury Bills 1.873%, 3/12/20(SEG)(SEGSF)(SEGCCS)(SEGTBA) $6,643,000 6,605,671
U.S. Treasury Bills 1.651%, 4/2/20(SEGSF)(SEGCCS) 5,665,000 5,628,464
U.S. Treasury Bills 1.862%, 11/21/19(SEG)(SEGSF)(SEGCCS) 3,033,000 3,030,435
U.S. Treasury Bills 2.038%, 12/12/19(SEGSF)(SEGCCS) 2,947,000 2,942,057
U.S. Treasury Bills 1.966%, 11/14/19(SEG)(SEGSF)(SEGCCS) 2,782,000 2,780,504
U.S. Treasury Bills 1.994%, 11/7/19(SEGSF)(SEGCCS)(SEGTBA) 2,259,000 2,258,401
U.S. Treasury Bills 1.635%, 4/9/20(SEGSF) 1,493,000 1,482,906
U.S. Treasury Bills 2.058%, 12/5/19(SEGCCS) 1,351,000 1,349,095
U.S. Treasury Bills 1.655%, 2/20/20(SEGSF) 246,000 244,858
U.S. Treasury Bills 1.908%, 1/2/20(SEG)(SEGCCS)(SEGTBA) 206,000 205,451
U.S. Treasury Bills 1.620%, 4/16/20(SEGSF)(SEGCCS)(SEGTBA) 205,000 203,550
Total short-term investments (cost $60,289,195) $60,302,825
TOTAL INVESTMENTS
Total investments (cost $816,062,592) $824,508,653









FORWARD CURRENCY CONTRACTS at 10/31/19 (aggregate face value $199,176,907) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Brazilian Real Sell 2/4/20 $268,146 $198,212 $(69,934)
British Pound Buy 12/18/19 849,197 803,552 45,645
Czech Koruna Buy 12/18/19 778,874 760,260 18,614
Euro Sell 12/18/19 539,999 520,707 (19,292)
Mexican Peso Sell 1/15/20 78,206 131,986 53,780
Norwegian Krone Buy 12/18/19 918,285 932,724 (14,439)
Russian Ruble Sell 12/18/19 71,960 154,915 82,955
Swedish Krona Sell 12/18/19 2,283,433 2,265,411 (18,022)
Barclays Bank PLC
Canadian Dollar Sell 1/15/20 2,035,260 2,009,854 (25,406)
Euro Buy 12/18/19 380,024 385,280 (5,256)
Japanese Yen Buy 11/20/19 2,272,433 2,324,861 (52,428)
Japanese Yen Sell 11/20/19 2,272,433 2,255,510 (16,923)
New Zealand Dollar Sell 1/15/20 1,940,575 1,888,374 (52,201)
Norwegian Krone Buy 12/18/19 5,166,452 5,247,267 (80,815)
Swiss Franc Buy 12/18/19 703,612 698,339 5,273
Citibank, N.A.
Brazilian Real Sell 2/4/20 120,442 116,455 (3,987)
Canadian Dollar Buy 1/15/20 2,317,060 2,322,041 (4,981)
Euro Sell 12/18/19 2,238,528 2,226,923 (11,605)
Japanese Yen Buy 11/20/19 6,885,124 7,019,486 (134,362)
Japanese Yen Sell 11/20/19 6,885,124 6,834,234 (50,890)
New Zealand Dollar Sell 1/15/20 419,919 408,677 (11,242)
Swedish Krona Sell 12/18/19 1,075,596 1,066,893 (8,703)
Credit Suisse International
Euro Buy 12/18/19 265,357 271,885 (6,528)
Goldman Sachs International
Brazilian Real Buy 2/4/20 53,486 20,888 32,598
Chilean Peso Buy 1/15/20 20,592 27,026 (6,434)
Euro Sell 12/18/19 1,691,146 1,670,652 (20,494)
Indian Rupee Buy 11/20/19 4,639,183 4,619,906 19,277
Indian Rupee Sell 11/20/19 4,639,183 4,593,924 (45,259)
Indonesian Rupiah Buy 11/20/19 2,355,479 2,256,689 98,790
Indonesian Rupiah Sell 11/20/19 2,355,479 2,330,049 (25,430)
Japanese Yen Buy 11/20/19 4,661,744 4,627,232 34,512
Japanese Yen Sell 11/20/19 4,661,744 4,688,300 26,556
New Taiwan Dollar Buy 11/20/19 4,729,658 4,700,594 29,064
New Taiwan Dollar Sell 11/20/19 4,729,658 4,592,292 (137,366)
New Zealand Dollar Sell 1/15/20 3,572,616 3,475,521 (97,095)
Norwegian Krone Buy 12/18/19 2,329,841 2,366,658 (36,817)
Russian Ruble Sell 12/18/19 71,964 154,076 82,112
South Korean Won Buy 11/20/19 4,783,600 4,704,205 79,395
South Korean Won Sell 11/20/19 4,783,600 4,821,317 37,717
Swedish Krona Buy 12/18/19 736,138 757,042 (20,904)
HSBC Bank USA, National Association
Australian Dollar Buy 1/15/20 2,374,847 2,344,574 30,273
British Pound Sell 12/18/19 278,526 324,783 46,257
Euro Sell 12/18/19 770,228 760,896 (9,332)
Indonesian Rupiah Buy 11/20/19 2,355,479 2,299,574 55,905
Indonesian Rupiah Sell 11/20/19 2,355,479 2,279,837 (75,642)
Japanese Yen Sell 11/20/19 1,105,488 1,129,604 24,116
New Zealand Dollar Sell 1/15/20 390,516 380,298 (10,218)
Norwegian Krone Buy 12/18/19 137,915 139,912 (1,997)
South Korean Won Buy 11/20/19 2,380,132 2,341,231 38,901
South Korean Won Sell 11/20/19 2,380,132 2,407,103 26,971
Swedish Krona Sell 12/18/19 2,315,642 2,297,441 (18,201)
Swiss Franc Buy 12/18/19 709,715 709,980 (265)
JPMorgan Chase Bank N.A.
Euro Sell 12/18/19 6,138,447 6,028,165 (110,282)
Japanese Yen Buy 11/20/19 2,282,733 2,265,829 16,904
Japanese Yen Sell 11/20/19 2,282,733 2,327,409 44,676
New Zealand Dollar Sell 1/15/20 2,841,787 2,741,977 (99,810)
Swedish Krona Sell 12/18/19 48,344 48,286 (58)
Swiss Franc Sell 12/18/19 712,055 717,273 5,218
NatWest Markets PLC
Australian Dollar Buy 1/15/20 6,617,968 6,421,636 196,332
Euro Sell 12/18/19 904,697 893,832 (10,865)
Indian Rupee Buy 11/20/19 2,353,243 2,367,335 (14,092)
Indian Rupee Sell 11/20/19 2,353,243 2,304,627 (48,616)
Japanese Yen Buy 11/20/19 4,581,554 4,716,325 (134,771)
Japanese Yen Sell 11/20/19 4,581,554 4,547,270 (34,284)
New Taiwan Dollar Buy 11/20/19 4,774,073 4,718,312 55,761
New Taiwan Dollar Sell 11/20/19 4,774,073 4,608,605 (165,468)
Norwegian Krone Buy 12/18/19 2,319,170 2,322,548 (3,378)
Swedish Krona Sell 12/18/19 2,249,500 2,231,230 (18,270)
State Street Bank and Trust Co.
British Pound Buy 12/18/19 2,423,572 2,311,492 112,080
Canadian Dollar Buy 1/15/20 4,640,803 4,662,402 (21,599)
Euro Sell 12/18/19 10,477,232 10,354,884 (122,348)
Japanese Yen Sell 11/20/19 1,439,468 1,353,083 (86,385)
Norwegian Krone Sell 12/18/19 2,320,965 2,339,571 18,606
Swedish Krona Sell 12/18/19 1,873,307 1,838,040 (35,267)
UBS AG
Australian Dollar Buy 1/15/20 2,360,827 2,258,249 102,578
Euro Sell 12/18/19 2,287,976 2,258,587 (29,389)
Japanese Yen Buy 11/20/19 4,651,985 4,617,762 34,223
Japanese Yen Sell 11/20/19 4,651,985 4,632,945 (19,040)
New Zealand Dollar Buy 1/15/20 2,236,721 2,213,136 23,585
Norwegian Krone Buy 12/18/19 465,326 477,827 (12,501)
Swedish Krona Buy 12/18/19 1,150,585 1,158,740 (8,155)
Swiss Franc Sell 12/18/19 133,663 132,679 (984)
WestPac Banking Corp.
Euro Buy 12/18/19 651,982 641,401 10,581
Unrealized appreciation 1,489,255
Unrealized (depreciation) (2,068,030)
Total $(578,775)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 10/31/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bund 10 yr (Short) 260 $49,806,621 $49,806,607 Dec-19 $654,983
Euro-Dollar 90 day (Long) 534 534,000,000 131,350,650 Mar-20 (73,048)
Euro-Dollar 90 day (Short) 534 534,000,000 131,657,700 Mar-21 (390,115)
Euro-Schatz 2 yr (Short) 99 12,374,175 12,374,172 Dec-19 64,946
U.S. Treasury Bond Ultra 30 yr (Long) 19 3,605,250 3,605,250 Dec-19 (116,957)
U.S. Treasury Note 2 yr (Long) 103 22,206,961 22,206,961 Dec-19 (43,950)
U.S. Treasury Note 5 yr (Short) 199 23,721,422 23,721,422 Dec-19 127,037
Unrealized appreciation 846,966
Unrealized (depreciation) (624,070)
Total $222,896









WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/19 (premiums $19,036,338) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Citibank, N.A.
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 $8,485,700 $498,280
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 8,485,700 552,249
1.475/3 month USD-LIBOR-BBA/Dec-24 Dec-19/1.475 176,752,100 714,078
Goldman Sachs International
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 49,203,000 141,213
1.722/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 4,577,200 239,831
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 4,577,200 616,565
JPMorgan Chase Bank N.A.
3.415/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.415 $105,403,900 105
2.975/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 26,351,000 2,372
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 10,069,900 207,885
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $26,351,000 231,098
(2.975)/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 26,351,000 1,197,389
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 10,069,900 1,391,628
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $26,351,000 3,595,330
Morgan Stanley & Co. International PLC
3.3975/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.3975 105,403,900 105
2.7225/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 9,654,800 676
2.715/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 9,654,800 869
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 21,087,000 31,631
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 3,620,600 71,760
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 3,620,600 74,114
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 8,725,000 273,093
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 3,620,600 411,083
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 3,620,600 420,279
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 8,725,000 431,015
(2.715)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 9,654,800 1,006,803
(2.7225)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 9,654,800 1,013,271
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 6,990,700 1,420,580
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 6,990,700 1,729,990
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 6,990,700 1,731,946
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 6,990,700 1,732,295
Toronto-Dominion Bank
1.8055/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.8055 13,577,100 56,073
UBS AG
(1.30)/3 month USD-LIBOR-BBA/Aug-26 Aug-21/1.30 18,540,700 241,771
(0.385)/6 month EUR-EURIBOR-Reuters/Sep-34 Sep-24/0.385 EUR 6,610,200 288,628
0.385/6 month EUR-EURIBOR-Reuters/Sep-34 Sep-24/0.385 EUR 6,610,200 392,504
1.30/3 month USD-LIBOR-BBA/Aug-26 Aug-21/1.30 $18,540,700 408,266
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 9,843,400 514,515
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 9,843,400 588,832
Total $22,228,122









WRITTEN OPTIONS OUTSTANDING at 10/31/19 (premiums $1,477,062) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
EUR/USD (Call) Jan-20/$1.13 $28,451,191 EUR 25,509,900 $144,959
GBP/USD (Call) Jan-20/1.36 42,092,787 GBP 32,495,300 161,847
Goldman Sachs International
AUD/JPY (Put) Feb-20/JPY 66.00 28,527,750 AUD 41,383,550 42,620
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Nov-19/$101.63 158,000,000 $158,000,000 209,824
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Nov-19/100.74 37,000,000 37,000,000 777
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Nov-19/100.24 37,000,000 37,000,000 37
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) Nov-19/102.72 20,000,000 20,000,000 16,500
Uniform Mortgage-Backed Securities 30 yr 4.00% TBA commitments (Call) Nov-19/104.00 25,000,000 25,000,000 2,075
Uniform Mortgage-Backed Securities 30 yr 4.00% TBA commitments (Call) Nov-19/104.19 25,000,000 25,000,000 75
Uniform Mortgage-Backed Securities 30 yr 4.00% TBA commitments (Call) Nov-19/104.09 24,000,000 24,000,000 24
UBS AG
AUD/USD (Call) Jan-20/0.69 4,735,007 AUD 6,868,800 57,246
Total $635,984









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/19 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304% EUR 4,782,000 $(774,972) $663,791
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $56,560,700 (521,772) 503,956
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 2,528,950 (576,785) 321,287
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 2,528,950 (576,785) (114,598)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 4,782,000 (387,486) (153,121)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $56,560,700 (521,772) (359,726)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) 282,172
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) (124,472)
Citibank, N.A.
1.765/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 $53,025,600 (710,543) 329,819
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) 164,294
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) (164,315)
(1.765)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 53,025,600 (710,543) (472,458)
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 39,592,500 362,271 81,956
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 39,592,500 362,271 (62,556)
Goldman Sachs International
1.755/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 53,025,600 (713,194) 310,200
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) 112,669
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (116,937)
(1.755)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 53,025,600 (713,194) (466,095)
JPMorgan Chase Bank N.A.
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301) 958,143
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) 540,192
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 $2,064,000 (319,094) 179,485
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (198,809) 125,305
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (221,467) (141,983)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (357,718) (165,651)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) (244,257)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $8,145,400 (1,137,301) (982,580)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) 638,364
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (222,086) 152,695
1.5775/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 40,819,600 (224,916) 44,902
(1.5775)/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 40,819,600 (224,916) (87,354)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (316,205) (191,230)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) (253,274)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 18,392,400 968,360 418,611
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 18,392,400 968,360 (521,424)
UBS AG
(0.762)/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 1,894,900 (174,759) 13,377
0.762/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 1,894,900 (174,759) (41,924)
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 1,762,700 141,313 45,236
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 1,762,700 141,313 (24,358)
Unrealized appreciation 5,886,454
Unrealized (depreciation) (4,688,313)
Total $1,198,141









TBA SALE COMMITMENTS OUTSTANDING at 10/31/19 (proceeds receivable $11,459,766) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 4.50%, 11/1/49 $8,000,000 11/13/19 $8,414,375
Uniform Mortgage-Backed Securities, 3.00%, 11/1/49 3,000,000 11/13/19 3,048,750
Total $11,463,125











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$4,357,000 $1,563,191 $(149) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually $1,609,890
26,351,000 3,379,173 (373) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,600,610)
14,545,700 1,904,323 (206) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 1,924,910
79,052,900 154,390 (39,718) 1/22/20 3 month USD-LIBOR-BBA — Quarterly 2.86% — Semiannually 693,532
2,258,100 49,710 (E) (13) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 49,697
5,844,400 123,679 (E) (33) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (123,712)
3,794,500 363,836 (50) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (367,562)
12,234,100 397,853 (E) (2,476) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 395,377
4,229,500 92,905 (E) (723) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 92,183
1,191,046 133,709 (E) (17) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 133,692
3,175,800 309,444 (E) (45) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (309,489)
2,450,500 488,858 (E) (84) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (488,941)
7,620,100 129,084 (E) (42) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 129,042
11,185,500 191,977 (E) (62) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 191,914
2,997,900 650,277 (E) (102) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (650,380)
1,995,000 97,055 (E) (44) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 97,010
7,072,400 363,415 (E) (100) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (363,515)
4,598,100 111,743 (E) (52) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 111,691
384,600 43,869 (E) (13) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (43,882)
8,603,800 363,218 (E) (122) 6/22/30 2.0625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (363,340)
2,293,600 76,072 (E) (32) 7/6/30 1.9665% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (76,104)
1,815,900 182,594 (E) (62) 7/5/52 2.25% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (182,656)
14,103,100 83,631 (E) (79) 2/7/24 1.733% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (83,710)
2,173,400 80,557 (E) (31) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (80,588)
6,866,200 718,150 (E) (234) 7/22/52 2.2685% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (718,384)
3,015,900 71,091 (E) (103) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (71,194)
12,114,500 35,338 (114) 9/18/24 1.43125% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 46,275
12,114,500 38,912 (114) 9/18/24 1.425% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 49,940
42,305,000 597,177 (E) 67,707 12/18/26 3 month USD-LIBOR-BBA — Quarterly 1.30 % — Semiannually (529,470)
12,726,200 109,636 (E) (120) 12/9/24 1.30% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 109,516
3,082,800 136,155 (E) (105) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 136,050
22,000 131 (E) 36 12/18/24 1.60% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (95)
66,800,000 620,104 (E) 142,892 12/18/29 1.70% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (477,212)
144,035,000 225,271 (E) 32,999 12/18/21 3 month USD-LIBOR-BBA — Quarterly 1.60 % — Semiannually 258,270
394,605,300 461,688 (E) 240,224 12/18/21 1.58 % — Semiannually 3 month USD-LIBOR-BBA — Quarterly (221,464)
260,510,400 333,193 (E) (318,242) 12/18/24 1.45 % — Semiannually 3 month USD-LIBOR-BBA — Quarterly 14,951
1,655,700 53,653 (E) 23,561 12/18/49 3 month USD-LIBOR-BBA — Quarterly 1.65 % — Semiannually (30,092)
111,243,100 784,264 (E) 327,995 12/18/29 3 month USD-LIBOR-BBA — Quarterly 1.525% — Semiannually (456,269)
53,025,600 16,756 (429) 9/30/24 1.50% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 13,511
53,025,600 92,371 (429) 10/1/24 1.53% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (64,582)
5,115,000 60,950 (174) 10/2/49 3 month USD-LIBOR-BBA — Quarterly 1.737% — Semiannually (62,855)
11,312,200 34,152 (E) (107) 12/9/24 1.416% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 34,045
240,291,000 293,155 (15,354) 10/4/21 1.512% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 389,634
94,376,000 432,808 (6,148) 10/4/24 3 month USD-LIBOR-BBA — Quarterly 1.396% — Semiannually (491,090)
37,831,000 382,698 (4,689) 10/4/29 3 month USD-LIBOR-BBA — Quarterly 1.4925% — Semiannually (405,548)
10,977,000 294,184 (8,892) 10/4/49 1.675% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 289,058
11,242,000 27,543 (149) 10/15/29 1.62779% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (25,203)
10,322,200 25,599 (E) (97) 12/9/24 1.53% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (25,697)
13,309,000 64,163 (108) 10/17/24 1.5915% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (61,405)
9,873,000 111,772 (131) 10/23/29 1.722% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (110,908)
9,686,100 46,212 (E) (91) 12/9/24 1.5775% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (46,304)
7,070,100 16,509 (E) (67) 12/9/24 3 month USD-LIBOR-BBA — Quarterly 1.527% — Semiannually 16,442
12,726,300 77,605 (E) (120) 12/9/24 1.605% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (77,725)
13,978,000 58,288 (E) (185) 11/4/29 3 month USD-LIBOR-BBA — Quarterly 1.6428% — Semiannually 58,103
AUD 12,628,000 11,360 (E) (46,962) 12/18/24 6 month AUD-BBR-BBSW — Semiannually 1.00% — Semiannually (58,323)
AUD 11,388,000 5,095 (E) 57 12/18/29 6 month AUD-BBR-BBSW — Semiannually 1.30 % — Semiannually (5,037)
AUD 25,693,000 11,105 (66) 10/30/21 0.80% — Quarterly 3 month AUD-BBR-BBSW — Quarterly 11,194
AUD 5,327,000 3,364 (48) 10/30/29 6 month AUD-BBR-BBSW — Semiannually 1.305% — Semiannually 3,363
AUD 25,762,000 7,619 (66) 10/30/21 0.81% — Quarterly 3 month AUD-BBR-BBSW — Quarterly 7,698
AUD 5,327,000 10,407 (48) 10/30/29 6 month AUD-BBR-BBSW — Semiannually 1.325% — Semiannually 10,410
CAD 48,165,000 131,758 (136) 8/15/21 3 month CAD-BA-CDOR — Semiannually 1.61 % — Semiannually (159,305)
CAD 5,059,000 120,412 (50) 8/15/29 1.4925% — Semiannually 3 month CAD-BA-CDOR — Semiannually 124,212
CAD 16,094,000 72,925 (114) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.638% — Semiannually (77,912)
CAD 16,094,000 77,519 (114) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.63 % — Semiannually (82,624)
CAD 52,462,000 80,221 (E) 65,515 12/18/24 3 month CAD-BA-CDOR — Semiannually 1.80 % — Semiannually 145,735
CAD 21,213,000 6,732 (E) 119,447 12/18/29 1.85% — Semiannually 3 month CAD-BA-CDOR — Semiannually 112,715
CAD 2,494,000 26,934 (25) 10/9/29 1.6875% — Semiannually 3 month CAD-BA-CDOR — Semiannually 25,965
CHF 7,125,000 98,659 (59) 8/9/24 0.8475% plus 6 month CHF-LIBOR-BBA — Semiannually — (99,606)
CHF 3,463,000 34,704 (28) 9/13/24 0.765% plus 6 month CHF-LIBOR-BBA — Semiannually — (34,421)
CHF 13,960,000 195,313 (E) 11,876 12/18/29 0.35% plus 6 month CHF-LIBOR-BBA — Semiannually — (183,437)
CHF 19,867,000 116,604 (E) (20,528) 12/18/24 0.65% plus 6 month CHF-LIBOR-BBA — Semiannually — (137,132)
CZK 215,585,000 451,764 (125) 3/19/29 1.948% — Annually 6 month CZK-PRIBOR — Semiannually (543,079)
CZK 508,186,000 168,181 (83) 8/9/21 6 month CZK-PRIBOR — Semiannually 1.6625% — Annually (195,086)
CZK 205,903,000 194,052 (72) 8/9/24 6 month CZK-PRIBOR — Semiannually 1.28 % — Annually (212,852)
EUR 1,144,400 341,296 (E) (44) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (341,340)
EUR 1,556,300 460,208 (E) (60) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 460,147
EUR 1,719,000 458,727 (E) (66) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (458,792)
EUR 1,739,200 432,761 (E) (66) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (432,828)
EUR 2,008,000 434,640 (E) (77) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (434,718)
EUR 1,798,800 456,932 (E) (68) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 456,864
EUR 2,077,000 409,393 (E) (79) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (409,473)
EUR 1,655,300 275,661 (E) (63) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (275,724)
EUR 1,510,500 225,232 (E) (58) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (225,291)
EUR 904,900 104,391 (E) (35) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (104,426)
EUR 3,288,600 47,861 (E) (125) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 47,736
EUR 2,023,200 211,355 (E) (76) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (211,431)
EUR 2,735,100 188,918 (E) (102) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 188,816
EUR 12,443,000 69,416 (E) (52,899) 12/18/24 — 0.35% plus 6 month EUR-EURIBOR-REUTERS — Annually (122,315)
EUR 18,867,000 22,789 (E) (193,465) 12/18/29 6 month EUR-EURIBOR-REUTERS — Semiannually 0.05 % — Annually (170,676)
EUR 10,688,000 82,381 (94) — 0.4047 plus 6 month EUR-EURIBOR-REUTERS — Semiannually 82,296
GBP 14,413,000 16,037 (66) 9/18/21 6 month GBP-LIBOR-BBA — Semiannually 0.712% — Semiannually (18,774)
GBP 2,924,000 73,245 (50) 9/18/29 0.616% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually 74,162
GBP 33,998,000 4,756 (E) (4,374) 12/18/24 6 month GBP-LIBOR-BBA — Semiannually 0.75 % — Semiannually 381
GBP 6,290,000 17,852 (E) 22,180 12/18/29 6 month GBP-LIBOR-BBA — Semiannually 0.80 % — Semiannually 4,329
JPY 110,098,700 91,658 (E) (32) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (91,690)
NOK 133,879,000 64,959 (127) 7/1/24 1.735% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 65,633
NOK 70,225,000 12,195 (109) 7/1/29 6 month NOK-NIBOR-NIBR — Semiannually 1.82% — Annually (10,394)
NOK 162,818,000 33,020 — 9/18/21 1.8125% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 33,393
NOK 75,120,000 31,988 (E) 47,742 12/18/24 1.75% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 79,731
NOK 25,378,000 11,527 (E) (17,752) 12/18/29 1.80% — Annually 6 month NOK-NIBOR-NIBR — Semiannually (6,224)
NZD 32,992,000 43,723 (81) 8/7/21 3 month NZD-BBR-FRA — Quarterly 1.15 % — Semiannually 29,306
NZD 31,080,000 111,133 (E) (65,602) 12/18/24 1.00 % — Semiannually 3 month NZD-BBR-FRA — Quarterly 45,532
NZD 7,207,000 56,387 (E) (70,598) 12/18/29 1.30 % — Semiannually 3 month NZD-BBR-FRA — Quarterly (14,210)
SEK 36,591,000 240,490 (31) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.13% — Annually 283,390
SEK 36,591,000 249,832 (31) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.16% — Annually 293,776
SEK 36,591,000 249,074 (31) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.1575% — Annually 292,924
SEK 57,506,000 45,454 (E) 979 12/18/24 0.05% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 46,433
SEK 50,741,000 23,711 (E) (21,088) 12/18/29 3 month SEK-STIBOR-SIDE — Quarterly 0.40 % — Annually (44,798)
Total $206,507 $(6,001,030)
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$1,030,603 $1,031,213 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $1,574
174,744 174,848 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 267
123,443 123,516 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 188
808,054 807,700 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 576
13,239,502 13,220,596 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (1,108)
1,569,566 1,567,109 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (360)
206,046 206,106 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 345
465,594 464,698 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly 96
7,980,169 7,969,602 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (4,116)
135,705 133,999 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (410)
89,265 85,423 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,919)
450,073 445,680 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (522)
320,051 309,907 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 6,203
120,627 119,636 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 402
92,089 91,332 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 307
72,615 72,019 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 242
88,577 87,067 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (512)
175,820 174,080 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 319
25,230 24,980 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 46
11,877 11,760 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 22
Citibank, N.A.
1,773,049 1,770,517 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (148)
779,255 778,142 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (65)
270,833 270,446 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (23)
Credit Suisse International
591,016 590,172 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (49)
205,593 203,904 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 685
586,952 586,175 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (303)
220,122 217,414 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (480)
159,732 157,724 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (483)
82,648 79,313 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,547)
44,017 43,464 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (133)
25,180 24,864 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (76)
9,419 9,039 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (290)
624,646 600,246 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (17,741)
223,994 215,244 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,362)
115,663 114,534 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 134
9,270 9,179 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 11
402,881 398,948 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (468)
195,945 189,734 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 3,797
215,063 208,246 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 4,168
192,520 190,938 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 641
Deutsche Bank AG
586,952 586,175 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (303)
Goldman Sachs International
24,094 24,062 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (12)
64,271 64,186 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (33)
139,665 139,480 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (72)
262,074 261,727 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (135)
314,459 314,043 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (162)
371,775 371,283 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (192)
509,328 508,653 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (263)
315,451 306,048 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 6,666
399,416 383,296 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (12,311)
316,388 303,619 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (9,752)
166,968 160,229 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (5,146)
273,459 270,023 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 826
778,626 748,211 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (22,114)
504,128 482,432 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (16,487)
436,279 417,502 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (14,268)
222,273 213,591 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,313)
221,482 211,950 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,243)
221,482 211,950 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,243)
127,618 126,010 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (192)
710,564 703,628 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (825)
306,764 297,041 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 5,945
129,269 127,065 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (747)
124,869 122,740 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (721)
62,438 61,373 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (361)
62,059 61,001 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (359)
9,334 9,175 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (54)
55,313 54,766 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 101
3,979 3,940 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 7
JPMorgan Chase Bank N.A.
622,319 616,245 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 722
361,076 357,551 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 419
335,162 331,891 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 389
120,027 118,856 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 139
306,764 297,041 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 5,945
JPMorgan Securities LLC
445,253 441,595 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,483)
91,174 90,029 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 276
974,838 935,495 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 30,048
375,468 358,056 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (13,535)
1,472,636 1,409,256 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 48,158
Upfront premium received — Unrealized appreciation 119,664
Upfront premium (paid) — Unrealized (depreciation) (159,441)
Total $— Total $(39,777)









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 11,045,000 $1,396,522 $(264) 8/15/37 1.7138% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $1,396,259
EUR 8,807,000 1,134,296 — 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 1,134,296
EUR 8,807,000 375,974 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (375,974)
EUR 14,401,000 438,445 (169) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (438,614)
EUR 14,401,000 441,689 (169) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (441,858)
EUR 14,401,000 442,766 (170) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (442,936)
EUR 14,401,000 443,858 (170) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (444,028)
EUR 11,045,000 480,606 (142) 8/15/27 (1.4275%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (480,748)
GBP 8,846,000 368,247 (189) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 368,058
GBP 6,900,000 1,117 (160) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity (1,277)
GBP 2,477,000 6,613 (58) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity (6,671)
GBP 5,308,000 37,074 (124) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (37,198)
GBP 9,908,000 104,933 (234) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (105,167)
GBP 2,661,000 714,848 (140) 7/15/49 (3.4425%) — At maturity GBP Non-revised UK Retail Price Index — At maturity (714,988)
$7,952,000 358,230 (86) 12/6/27 2.19% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 358,144
7,952,000 133,363 (49) 12/6/22 (2.05%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (133,412)
Total $(2,124) $(366,114)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 10/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $9,980 $146,000 $12,512 5/11/63 300 bp — Monthly $(2,447)
CMBX NA BBB-.6 Index BBB-/P 19,586 325,000 27,853 5/11/63 300 bp — Monthly (8,077)
CMBX NA BBB-.6 Index BBB-/P 40,127 650,000 55,705 5/11/63 300 bp — Monthly (15,198)
CMBX NA BBB-.6 Index BBB-/P 38,247 671,000 57,505 5/11/63 300 bp — Monthly (18,866)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index BB/P 1,470 7,000 1,084 5/11/63 500 bp — Monthly 393
CMBX NA BB.6 Index BB/P 50,350 265,000 41,022 5/11/63 500 bp — Monthly 9,586
CMBX NA BB.6 Index BB/P 82,680 416,000 64,397 5/11/63 500 bp — Monthly 18,688
CMBX NA BB.6 Index BB/P 149,573 924,000 143,035 5/11/63 500 bp — Monthly 7,436
CMBX NA BB.6 Index BB/P 175,851 928,000 143,654 5/11/63 500 bp — Monthly 33,098
CMBX NA BB.6 Index BB/P 317,017 1,288,000 199,382 5/11/63 500 bp — Monthly 118,887
CMBX NA BB.7 Index BB/P 11,367 125,000 7,888 1/17/47 500 bp — Monthly 3,601
CMBX NA BB.7 Index BB/P 41,933 302,000 19,056 1/17/47 500 bp — Monthly 23,171
CMBX NA BB.7 Index BB/P 81,233 632,000 39,879 1/17/47 500 bp — Monthly 41,968
CMBX NA BB.7 Index BB/P 105,809 876,000 55,276 1/17/47 500 bp — Monthly 51,385
CMBX NA BBB-.6 Index BBB-/P 3,617 40,000 3,428 5/11/63 300 bp — Monthly 213
CMBX NA BBB-.6 Index BBB-/P 4,274 50,000 4,285 5/11/63 300 bp — Monthly 18
CMBX NA BBB-.6 Index BBB-/P 5,411 60,000 5,142 5/11/63 300 bp — Monthly 304
CMBX NA BBB-.6 Index BBB-/P 5,419 61,000 5,228 5/11/63 300 bp — Monthly 227
CMBX NA BBB-.6 Index BBB-/P 7,904 89,000 7,627 5/11/63 300 bp — Monthly 328
CMBX NA BBB-.6 Index BBB-/P 18,584 191,000 16,369 5/11/63 300 bp — Monthly 2,326
CMBX NA BBB-.6 Index BBB-/P 17,399 203,000 17,397 5/11/63 300 bp — Monthly 120
CMBX NA BBB-.6 Index BBB-/P 19,078 210,000 17,997 5/11/63 300 bp — Monthly 1,204
CMBX NA BBB-.6 Index BBB-/P 29,875 292,000 25,024 5/11/63 300 bp — Monthly 5,021
CMBX NA BBB-.6 Index BBB-/P 27,693 304,000 26,053 5/11/63 300 bp — Monthly 1,818
CMBX NA BBB-.6 Index BBB-/P 27,597 323,000 27,681 5/11/63 300 bp — Monthly 105
CMBX NA BBB-.6 Index BBB-/P 36,939 363,000 31,109 5/11/63 300 bp — Monthly 6,042
CMBX NA BBB-.6 Index BBB-/P 72,785 798,000 68,389 5/11/63 300 bp — Monthly 4,862
CMBX NA BBB-.6 Index BBB-/P 74,081 810,000 69,417 5/11/63 300 bp — Monthly 5,137
CMBX NA BBB-.6 Index BBB-/P 118,399 1,266,000 108,496 5/11/63 300 bp — Monthly 10,642
CMBX NA BBB-.6 Index BBB-/P 116,159 1,283,000 109,953 5/11/63 300 bp — Monthly 6,955
CMBX NA BBB-.6 Index BBB-/P 399,658 4,221,000 361,740 5/11/63 300 bp — Monthly 40,380
Credit Suisse International
CMBX NA BB.7 Index BB/P 63,938 478,000 30,162 1/17/47 500 bp — Monthly 34,241
CMBX NA BBB-.6 Index BBB-/P 108,504 982,000 84,157 5/11/63 300 bp — Monthly 24,920
CMBX NA BBB-.6 Index BBB-/P 251,482 2,276,000 195,053 5/11/63 300 bp — Monthly 57,757
CMBX NA BBB-.6 Index BBB-/P 2,374,619 25,272,000 2,165,810 5/11/63 300 bp — Monthly 223,551
CMBX NA BBB-.7 Index BBB-/P 27,745 351,000 1,685 1/17/47 300 bp — Monthly 26,264
CMBX NA BBB-.7 Index BBB-/P 143,170 2,180,000 10,464 1/17/47 300 bp — Monthly 133,978
CMBX NA BBB-.7 Index BBB-/P 551,479 7,461,000 35,813 1/17/47 300 bp — Monthly 520,018
Goldman Sachs International
CMBX NA BBB-.6 Index BBB-/P 14,630 88,000 7,542 5/11/63 300 bp — Monthly 7,140
CMBX NA BBB-.6 Index BBB-/P 20,235 183,000 15,683 5/11/63 300 bp — Monthly 4,659
CMBX NA BBB-.6 Index BBB-/P 25,594 188,000 16,112 5/11/63 300 bp — Monthly 9,592
CMBX NA BBB-.6 Index BBB-/P 9,360 192,000 16,454 5/11/63 300 bp — Monthly (6,982)
CMBX NA BBB-.6 Index BBB-/P 21,361 203,000 17,397 5/11/63 300 bp — Monthly 4,083
CMBX NA BBB-.6 Index BBB-/P 17,848 206,000 17,654 5/11/63 300 bp — Monthly 314
CMBX NA BBB-.6 Index BBB-/P 24,541 223,000 19,111 5/11/63 300 bp — Monthly 5,560
CMBX NA BBB-.6 Index BBB-/P 17,962 227,000 19,454 5/11/63 300 bp — Monthly (1,359)
CMBX NA BBB-.6 Index BBB-/P 27,421 245,000 20,997 5/11/63 300 bp — Monthly 6,567
CMBX NA BBB-.6 Index BBB-/P 29,178 261,000 22,368 5/11/63 300 bp — Monthly 6,963
CMBX NA BBB-.6 Index BBB-/P 24,979 296,000 25,367 5/11/63 300 bp — Monthly (216)
CMBX NA BBB-.6 Index BBB-/P 37,886 326,000 27,938 5/11/63 300 bp — Monthly 10,138
CMBX NA BBB-.6 Index BBB-/P 39,813 327,000 28,024 5/11/63 300 bp — Monthly 11,980
CMBX NA BBB-.6 Index BBB-/P 34,213 341,000 29,224 5/11/63 300 bp — Monthly 5,188
CMBX NA BBB-.6 Index BBB-/P 58,232 389,000 33,337 5/11/63 300 bp — Monthly 25,122
CMBX NA BBB-.6 Index BBB-/P 57,641 392,000 33,594 5/11/63 300 bp — Monthly 24,275
CMBX NA BBB-.6 Index BBB-/P 44,904 403,000 34,537 5/11/63 300 bp — Monthly 10,602
CMBX NA BBB-.6 Index BBB-/P 34,559 417,000 35,737 5/11/63 300 bp — Monthly (934)
CMBX NA BBB-.6 Index BBB-/P 45,403 418,000 35,823 5/11/63 300 bp — Monthly 9,825
CMBX NA BBB-.6 Index BBB-/P 45,228 418,000 35,823 5/11/63 300 bp — Monthly 9,649
CMBX NA BBB-.6 Index BBB-/P 37,046 439,000 37,622 5/11/63 300 bp — Monthly (320)
CMBX NA BBB-.6 Index BBB-/P 51,553 462,000 39,593 5/11/63 300 bp — Monthly 12,229
CMBX NA BBB-.6 Index BBB-/P 51,553 462,000 39,593 5/11/63 300 bp — Monthly 12,229
CMBX NA BBB-.6 Index BBB-/P 73,722 531,000 45,507 5/11/63 300 bp — Monthly 28,525
CMBX NA BBB-.6 Index BBB-/P 48,875 566,000 48,506 5/11/63 300 bp — Monthly 699
CMBX NA BBB-.6 Index BBB-/P 86,808 576,000 49,363 5/11/63 300 bp — Monthly 37,781
CMBX NA BBB-.6 Index BBB-/P 59,933 597,000 51,163 5/11/63 300 bp — Monthly 9,118
CMBX NA BBB-.6 Index BBB-/P 31,646 638,000 54,677 5/11/63 300 bp — Monthly (22,658)
CMBX NA BBB-.6 Index BBB-/P 34,009 652,000 55,876 5/11/63 300 bp — Monthly (21,487)
CMBX NA BBB-.6 Index BBB-/P 76,544 707,000 60,590 5/11/63 300 bp — Monthly 16,366
CMBX NA BBB-.6 Index BBB-/P 69,759 928,000 79,530 5/11/63 300 bp — Monthly (9,229)
CMBX NA BBB-.6 Index BBB-/P 134,739 961,000 82,358 5/11/63 300 bp — Monthly 52,942
CMBX NA BBB-.6 Index BBB-/P 124,607 1,193,000 102,240 5/11/63 300 bp — Monthly 23,063
CMBX NA BBB-.6 Index BBB-/P 155,880 1,414,000 121,180 5/11/63 300 bp — Monthly 35,525
CMBX NA BBB-.6 Index BBB-/P 184,707 1,551,000 132,921 5/11/63 300 bp — Monthly 52,691
CMBX NA BBB-.6 Index BBB-/P 93,617 1,935,000 165,830 5/11/63 300 bp — Monthly (71,084)
CMBX NA BBB-.6 Index BBB-/P 320,704 2,144,000 183,741 5/11/63 300 bp — Monthly 138,214
CMBX NA BBB-.7 Index BBB-/P 46,909 673,000 3,230 1/17/47 300 bp — Monthly 44,071
CMBX NA BBB-.7 Index BBB-/P 107,990 1,461,000 7,013 1/17/47 300 bp — Monthly 101,829
JPMorgan Securities LLC
CMBX NA BB.6 Index BB/P 79,440 375,000 58,050 5/11/63 500 bp — Monthly 21,754
CMBX NA BB.6 Index BB/P 86,142 407,000 63,004 5/11/63 500 bp — Monthly 23,534
CMBX NA BB.10 Index BB-/P 50,149 625,000 44,500 5/11/63 500 bp — Monthly 6,257
CMBX NA BB.6 Index BB/P 109,255 519,000 80,341 5/11/63 500 bp — Monthly 29,418
CMBX NA BBB-.6 Index BBB-/P 3,292 37,000 3,171 5/11/63 300 bp — Monthly 142
CMBX NA BBB-.6 Index BBB-/P 4,225 42,000 3,599 5/11/63 300 bp — Monthly 650
CMBX NA BBB-.6 Index BBB-/P 6,613 67,000 5,742 5/11/63 300 bp — Monthly 910
CMBX NA BBB-.6 Index BBB-/P 16,167 162,000 13,883 5/11/63 300 bp — Monthly 2,378
CMBX NA BBB-.6 Index BBB-/P 22,052 221,000 18,940 5/11/63 300 bp — Monthly 3,241
CMBX NA BBB-.6 Index BBB-/P 27,693 304,000 26,053 5/11/63 300 bp — Monthly 1,818
CMBX NA BBB-.6 Index BBB-/P 30,010 312,000 26,738 5/11/63 300 bp — Monthly 3,453
CMBX NA BBB-.6 Index BBB-/P 5,517,466 41,706,000 3,574,204 5/11/63 300 bp — Monthly 1,967,591
Merrill Lynch International
CMBX NA BB.6 Index BB/P 108,990 672,000 104,026 5/11/63 500 bp — Monthly 5,618
CMBX NA BBB-.6 Index BBB-/P 35,738 395,000 33,852 5/11/63 300 bp — Monthly 2,117
CMBX NA BBB-.6 Index BBB-/P 329,304 3,688,000 316,062 5/11/63 300 bp — Monthly 15,394
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 32,411 230,000 19,711 5/11/63 300 bp — Monthly 12,834
CMBX NA BBB-.6 Index BBB-/P 86,313 584,000 50,049 5/11/63 300 bp — Monthly 36,605
CMBX NA BBB-.6 Index BBB-/P 86,440 584,000 50,049 5/11/63 300 bp — Monthly 36,732
CMBX NA BBB-.6 Index BBB-/P 85,231 585,000 50,135 5/11/63 300 bp — Monthly 35,438
CMBX NA BBB-.6 Index BBB-/P 172,880 1,168,000 100,098 5/11/63 300 bp — Monthly 73,464
CMBX NA BBB-.6 Index BBB-/P 173,042 1,168,000 100,098 5/11/63 300 bp — Monthly 73,626
CMBX NA BBB-.6 Index BBB-/P 171,233 1,171,000 100,355 5/11/63 300 bp — Monthly 71,562
CMBX NA BBB-.6 Index BBB-/P 208,733 1,509,000 129,321 5/11/63 300 bp — Monthly 80,292
CMBX NA BBB-.6 Index BBB-/P 258,148 1,753,000 150,232 5/11/63 300 bp — Monthly 108,938
CMBX NA BBB-.6 Index BBB-/P 255,855 1,756,000 150,489 5/11/63 300 bp — Monthly 106,390
CMBX NA BBB-.6 Index BBB-/P 344,982 2,337,000 200,281 5/11/63 300 bp — Monthly 146,064
CMBX NA A.6 Index A/P 61 6,000 23 5/11/63 200 bp — Monthly 86
CMBX NA BB.6 Index BB/P 8,315 46,000 7,121 5/11/63 500 bp — Monthly 1,238
CMBX NA BB.6 Index BB/P 101,667 414,000 64,087 5/11/63 500 bp — Monthly 37,982
CMBX NA BB.6 Index BB/P 204,028 828,000 128,174 5/11/63 500 bp — Monthly 76,659
CMBX NA BBB-.6 Index BBB-/P 620 5,000 429 5/11/63 300 bp — Monthly 194
CMBX NA BBB-.6 Index BBB-/P 1,175 11,000 943 5/11/63 300 bp — Monthly 239
CMBX NA BBB-.6 Index BBB-/P 2,117 20,000 1,714 5/11/63 300 bp — Monthly 414
CMBX NA BBB-.6 Index BBB-/P 3,029 25,000 2,143 5/11/63 300 bp — Monthly 901
CMBX NA BBB-.6 Index BBB-/P 4,605 38,000 3,257 5/11/63 300 bp — Monthly 1,370
CMBX NA BBB-.6 Index BBB-/P 5,923 50,000 4,285 5/11/63 300 bp — Monthly 1,667
CMBX NA BBB-.6 Index BBB-/P 12,211 94,000 8,056 5/11/63 300 bp — Monthly 4,210
CMBX NA BBB-.6 Index BBB-/P 9,936 104,000 8,913 5/11/63 300 bp — Monthly 1,084
CMBX NA BBB-.6 Index BBB-/P 13,353 109,000 9,341 5/11/63 300 bp — Monthly 4,076
CMBX NA BBB-.6 Index BBB-/P 17,740 118,000 10,113 5/11/63 300 bp — Monthly 7,696
CMBX NA BBB-.6 Index BBB-/P 18,054 141,000 12,084 5/11/63 300 bp — Monthly 6,052
CMBX NA BBB-.6 Index BBB-/P 18,684 164,000 14,055 5/11/63 300 bp — Monthly 4,725
CMBX NA BBB-.6 Index BBB-/P 19,950 170,000 14,569 5/11/63 300 bp — Monthly 5,481
CMBX NA BBB-.6 Index BBB-/P 19,918 204,000 17,483 5/11/63 300 bp — Monthly 2,554
CMBX NA BBB-.6 Index BBB-/P 24,251 206,000 17,654 5/11/63 300 bp — Monthly 6,717
CMBX NA BBB-.6 Index BBB-/P 25,446 215,000 18,426 5/11/63 300 bp — Monthly 7,146
CMBX NA BBB-.6 Index BBB-/P 24,997 218,000 18,683 5/11/63 300 bp — Monthly 6,441
CMBX NA BBB-.6 Index BBB-/P 24,104 270,000 23,139 5/11/63 300 bp — Monthly 1,122
CMBX NA BBB-.6 Index BBB-/P 49,325 291,000 24,939 5/11/63 300 bp — Monthly 24,556
CMBX NA BBB-.6 Index BBB-/P 27,490 323,000 27,681 5/11/63 300 bp — Monthly (3)
CMBX NA BBB-.6 Index BBB-/P 48,789 348,000 29,824 5/11/63 300 bp — Monthly 19,168
CMBX NA BBB-.6 Index BBB-/P 64,507 433,000 37,108 5/11/63 300 bp — Monthly 27,651
CMBX NA BBB-.6 Index BBB-/P 41,997 449,000 38,479 5/11/63 300 bp — Monthly 3,779
CMBX NA BBB-.6 Index BBB-/P 61,333 542,000 46,449 5/11/63 300 bp — Monthly 15,200
CMBX NA BBB-.6 Index BBB-/P 76,220 629,000 53,905 5/11/63 300 bp — Monthly 22,681
CMBX NA BBB-.6 Index BBB-/P 131,387 1,239,000 106,182 5/11/63 300 bp — Monthly 25,928
Upfront premium received 17,415,657 Unrealized appreciation 5,314,820
Upfront premium (paid) — Unrealized (depreciation) (178,860)
Total $17,415,657 Total $5,135,960
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at October 31, 2019. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 10/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(56) $6,000 $23 5/11/63 (200 bp) — Monthly $(81)
CMBX NA BB.10 Index (30,474) 292,000 20,790 11/17/59 (500 bp) — Monthly (9,968)
CMBX NA BB.10 Index (26,425) 241,000 17,159 11/17/59 (500 bp) — Monthly (9,500)
CMBX NA BB.11 Index (113,495) 876,000 58,079 11/18/54 (500 bp) — Monthly (56,268)
CMBX NA BB.11 Index (28,279) 300,000 19,890 11/18/54 (500 bp) — Monthly (8,680)
CMBX NA BB.11 Index (20,651) 286,000 18,962 11/18/54 (500 bp) — Monthly (1,968)
CMBX NA BB.8 Index (17,507) 141,000 14,988 10/17/57 (500 bp) — Monthly (2,656)
CMBX NA BB.9 Index (451,690) 4,376,000 210,048 9/17/58 (500 bp) — Monthly (245,894)
CMBX NA BB.9 Index (39,744) 616,000 29,568 9/17/58 (500 bp) — Monthly (10,775)
CMBX NA BB.9 Index (16,453) 255,000 12,240 9/17/58 (500 bp) — Monthly (4,460)
Credit Suisse International
CMBX NA BB.10 Index (80,855) 606,000 43,147 11/17/59 (500 bp) — Monthly (38,297)
CMBX NA BB.10 Index (71,945) 605,000 43,076 11/17/59 (500 bp) — Monthly (29,457)
CMBX NA BB.10 Index (39,651) 319,000 22,713 11/17/59 (500 bp) — Monthly (17,249)
CMBX NA BB.7 Index (21,534) 1,220,000 188,856 5/11/63 (500 bp) — Monthly 166,136
CMBX NA BB.7 Index (54,048) 293,000 18,488 1/17/47 (500 bp) — Monthly (35,845)
CMBX NA BB.9 Index (286,506) 2,858,000 137,184 9/17/58 (500 bp) — Monthly (152,100)
Goldman Sachs International
CMBX NA BB.6 Index (13,197) 129,000 19,969 5/11/63 (500 bp) — Monthly 6,647
CMBX NA BB.7 Index (71,729) 474,000 29,909 1/17/47 (500 bp) — Monthly (42,281)
CMBX NA BB.7 Index (84,052) 513,000 32,370 1/17/47 (500 bp) — Monthly (52,180)
CMBX NA BB.7 Index (57,666) 284,000 17,920 1/17/47 (500 bp) — Monthly (40,022)
CMBX NA BB.7 Index (31,785) 188,000 11,863 1/17/47 (500 bp) — Monthly (20,105)
CMBX NA BB.7 Index (31,765) 174,000 10,979 1/17/47 (500 bp) — Monthly (20,955)
CMBX NA BB.9 Index (18,626) 117,000 5,616 9/17/58 (500 bp) — Monthly (13,124)
CMBX NA BB.9 Index (8,847) 56,000 2,688 9/17/58 (500 bp) — Monthly (6,214)
CMBX NA BB.9 Index (8,945) 56,000 2,688 9/17/58 (500 bp) — Monthly (6,311)
JPMorgan Securities LLC
CMBX NA BB.12 Index (56,992) 625,000 48,500 8/17/61 (500 bp) — Monthly (9,100)
CMBX NA BB.6 Index (84,642) 602,000 93,190 5/11/63 (500 bp) — Monthly 7,962
CMBX NA BB.6 Index (62,055) 428,000 66,254 5/11/63 (500 bp) — Monthly 3,783
CMBX NA BB.6 Index (26,464) 184,000 28,483 5/11/63 (500 bp) — Monthly 1,840
CMBX NA BB.6 Index (133) 1,000 155 5/11/63 (500 bp) — Monthly 21
CMBX NA BB.7 Index (532,897) 4,211,000 265,714 1/17/47 (500 bp) — Monthly (271,279)
CMBX NA BB.9 Index (20,526) 356,000 17,088 9/17/58 (500 bp) — Monthly (3,784)
CMBX NA BB.9 Index (39,347) 278,000 13,344 9/17/58 (500 bp) — Monthly (26,273)
CMBX NA BB.9 Index (26,674) 169,000 8,112 9/17/58 (500 bp) — Monthly (18,726)
CMBX NA BB.9 Index (19,207) 136,000 6,528 9/17/58 (500 bp) — Monthly (12,811)
CMBX NA BB.9 Index (13,261) 85,000 4,080 9/17/58 (500 bp) — Monthly (9,264)
CMBX NA BB.9 Index (1,840) 12,000 576 9/17/58 (500 bp) — Monthly (1,276)
CMBX NA BBB-.7 Index (138,115) 3,640,000 17,472 1/17/47 (300 bp) — Monthly (122,766)
CMBX NA BBB-.7 Index (35,762) 756,000 3,629 1/17/47 (300 bp) — Monthly (32,574)
CMBX NA BBB-.7 Index (11,036) 304,000 1,459 1/17/47 (300 bp) — Monthly (9,754)
Merrill Lynch International
CMBX NA BB.10 Index (34,710) 292,000 20,790 11/17/59 (500 bp) — Monthly (14,204)
CMBX NA BB.10 Index (30,774) 292,000 20,790 11/17/59 (500 bp) — Monthly (10,267)
CMBX NA BB.9 Index (5,546) 2,592,000 124,416 9/17/58 (500 bp) — Monthly 116,350
CMBX NA BBB-.7 Index (75,310) 919,000 4,411 1/17/47 (300 bp) — Monthly (71,435)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (34,235) 336,000 1,613 1/17/47 (300 bp) — Monthly (32,818)
CMBX NA BB.10 Index (30,624) 292,000 20,790 11/17/59 (500 bp) — Monthly (10,117)
CMBX NA BB.11 Index (9,815) 103,000 6,829 11/18/54 (500 bp) — Monthly (3,086)
CMBX NA BB.12 Index (5,718) 70,000 5,432 9/17/58 (500 bp) — Monthly (354)
CMBX NA BB.7 Index (142,886) 741,000 46,757 1/17/47 (500 bp) — Monthly (96,850)
CMBX NA BB.7 Index (75,213) 374,000 23,599 1/17/47 (500 bp) — Monthly (51,978)
CMBX NA BB.7 Index (71,041) 352,000 22,211 1/17/47 (500 bp) — Monthly (49,172)
CMBX NA BB.7 Index (57,259) 306,000 19,309 1/17/47 (500 bp) — Monthly (38,248)
CMBX NA BB.9 Index (17,813) 293,000 14,064 9/17/58 (500 bp) — Monthly (4,034)
CMBX NA BB.9 Index (18,021) 293,000 14,064 9/17/58 (500 bp) — Monthly (4,242)
CMBX NA BB.9 Index (16,927) 275,000 13,200 9/17/58 (500 bp) — Monthly (3,994)
CMBX NA BB.9 Index (19,384) 258,000 12,384 9/17/58 (500 bp) — Monthly (7,250)
CMBX NA BB.9 Index (29,533) 205,000 9,840 9/17/58 (500 bp) — Monthly (19,892)
CMBX NA BB.9 Index (22,495) 169,000 8,112 9/17/58 (500 bp) — Monthly (14,548)
CMBX NA BB.9 Index (22,550) 166,000 7,968 9/17/58 (500 bp) — Monthly (14,743)
CMBX NA BB.9 Index (24,292) 161,000 7,728 9/17/58 (500 bp) — Monthly (16,721)
CMBX NA BB.9 Index (22,012) 161,000 7,728 9/17/58 (500 bp) — Monthly (14,441)
CMBX NA BB.9 Index (17,446) 116,000 5,568 9/17/58 (500 bp) — Monthly (11,990)
CMBX NA BB.9 Index (9,056) 103,000 4,944 9/17/58 (500 bp) — Monthly (4,212)
CMBX NA BB.9 Index (15,719) 101,000 4,848 9/17/58 (500 bp) — Monthly (10,969)
CMBX NA BB.9 Index (8,125) 95,000 4,560 9/17/58 (500 bp) — Monthly (3,657)
CMBX NA BB.9 Index (11,806) 78,000 3,744 9/17/58 (500 bp) — Monthly (8,138)
CMBX NA BB.9 Index (11,806) 78,000 3,744 9/17/58 (500 bp) — Monthly (8,138)
CMBX NA BBB-.7 Index (30,222) 476,000 2,285 1/17/47 (300 bp) — Monthly (28,215)
Upfront premium received — Unrealized appreciation 302,739
Upfront premium (paid) (3,565,214) Unrealized (depreciation) (1,895,710)
Total $(3,565,214) Total $(1,592,971)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 10/31/19 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized depreciation
NA HY Series 33 Index $1,407,436 $21,160,000 $1,515,416 12/20/24 (500 bp) — Quarterly $(207,902)
Total $1,407,436 $(207,902)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.











Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
CZK Czech Koruna
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
VRDN Variable Rate Demand Notes, which are floating-rate securities with long-term maturities that carry coupons that reset and are payable upon demand either daily, weekly or monthly. The rate shown is the current interest rate at the close of the reporting period. Rates are set by remarketing agents and may take into consideration market supply and demand, credit quality and the current SIFMA Municipal Swap Index rate, which was 1.12% as  of the close of the reporting period.
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2019 through October 31, 2019 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $556,911,700.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $21,494, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
7/31/19		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
10/31/19
Short-term investments
Putnam Short Term Investment Fund* $42,110,406 $38,373,882 $51,290,855 $201,965 $29,193,433
Total Short-term investments $42,110,406 $38,373,882 $51,290,855 $201,965 $29,193,433
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,011,419.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $11,568,814.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $314,757.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $12,293,090.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $464,519,495 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 87.1%
Greece 2.7
Brazil 1.9
Mexico 1.5
Indonesia 1.1
Argentina 0.8
Canada 0.6
Russia 0.6
Bermuda 0.5
Ivory Coast 0.5
Dominican Republic 0.5
Other 2.2
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $10,973,102 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $11,568,814 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Capital goods $2,386 $— $—
Consumer cyclicals 299,187 51,130 —
Energy — 410 8,747
Health care 11,075 — —
Utilities and power — 218,612 —
Total common stocks 312,648 270,152 8,747
Asset-backed securities — 8,646,880 —
Convertible bonds and notes — 21,170,347 —
Convertible preferred stocks — — 6,400
Corporate bonds and notes — 139,140,196 313
Foreign government and agency bonds and notes — 65,343,470 —
Mortgage-backed securities — 244,213,332 —
Preferred stocks — 429,559 —
Purchased options outstanding — 734,043 —
Purchased swap options outstanding — 29,999,631 —
Senior loans — 19,484,198 —
U.S. government and agency mortgage obligations — 231,338,535 —
U.S. treasury obligations — 3,107,377 —
Short-term investments 33,571,433 26,731,392 —
Totals by level $33,884,081 $790,609,112 $15,460
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(578,775) $—
Futures contracts 222,896 — —
Written options outstanding — (635,984) —
Written swap options outstanding — (22,228,122) —
Forward premium swap option contracts — 1,198,141 —
TBA sale commitments — (11,463,125) —
Interest rate swap contracts — (6,207,537) —
Total return swap contracts — (403,767) —
Credit default contracts — (11,922,792) —
Totals by level $222,896 $(52,241,961) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $225,500,000
Purchased currency option contracts (contract amount) $103,500,000
Purchased swap option contracts (contract amount) $1,435,200,000
Written TBA commitment option contracts (contract amount) $300,500,000
Written currency option contracts (contract amount) $84,800,000
Written swap option contracts (contract amount) $950,500,000
Futures contracts (number of contracts) 2,000
Forward currency contracts (contract amount) $307,800,000
Centrally cleared interest rate swap contracts (notional) $2,367,300,000
OTC total return swap contracts (notional) $47,400,000
Centrally cleared total return swap contracts (notional) $183,300,000
OTC credit default contracts (notional) $186,200,000
Centrally cleared credit default contracts (notional) $21,100,000

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