NPORT-EX 2 b_073nport103122.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Premier Income Trust
The fund's portfolio
10/31/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (138.1%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (7.3%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $75,662 $76,629
5.00%, with due dates from 5/20/49 to 3/20/50 282,789 276,862
4.50%, TBA, 11/1/52 12,000,000 11,367,370
4.50%, with due dates from 10/20/49 to 1/20/50 151,407 144,849
4.00%, TBA, 11/1/52 8,000,000 7,368,245
4.00%, with due dates from 8/20/49 to 1/20/50 99,795 92,566
3.50%, with due dates from 8/20/49 to 3/20/50 1,016,724 913,981
3.00%, TBA, 11/1/52 9,000,000 7,822,400
28,062,902
U.S. Government Agency Mortgage Obligations (130.8%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 132,875 128,557
4.50%, 5/1/49 30,694 29,168
Uniform Mortgage-Backed Securities
5.50%, TBA, 12/1/52 69,000,000 67,923,434
5.50%, TBA, 11/1/52 69,000,000 68,036,643
5.00%, TBA, 12/1/52 113,000,000 108,789,010
5.00%, TBA, 11/1/52 201,000,000 193,729,508
4.50%, TBA, 11/1/52 55,000,000 51,575,340
3.50%, TBA, 11/1/52 8,000,000 7,034,996
2.50%, TBA, 11/1/52 5,000,000 4,093,350
2.00%, TBA, 11/1/52 5,000,000 3,938,123
505,278,129
Total U.S. government and agency mortgage obligations (cost $541,446,842) $533,341,031








U.S. TREASURY OBLIGATIONS (1.0%)(a)
        Principal amount Value
U.S. Treasury Bonds 3.125%, 5/15/48(i) $116,000 $95,739
U.S. Treasury Notes
2.375%, 2/29/24(i) 9,000 8,775
2.00%, 8/15/25(i) 130,000 122,218
1.625%, 5/15/31(i) 4,278,000 3,567,467
0.25%, 4/15/23(i) 53,000 52,028
Total U.S. treasury obligations (cost $3,846,227) $3,846,227








MORTGAGE-BACKED SECURITIES (45.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (19.5%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4813, IO, 5.50%, 8/15/48 $2,813,467 $569,366
REMICs Ser. 4991, Class IE, IO, 5.00%, 7/25/50 14,604,872 3,182,840
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 1,005,812 199,553
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51 9,574,394 2,115,699
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 6,102,923 1,100,115
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50 5,891,215 1,254,157
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 4,568,115 980,799
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 5,916,598 1,319,953
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 8,177,094 1,742,156
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 5,654,092 1,216,591
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 763,365 149,194
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 440,099 66,419
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 584,783 64,894
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 9,234,376 1,684,119
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,294,061 242,520
REMICs Ser. 4425, IO, 4.00%, 1/15/45 1,400,708 214,266
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,860,933 384,928
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,294,873 183,433
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 1,801,125 248,501
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 1,175,221 150,888
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 639,248 53,268
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 454,414 18,392
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 3.238%, 4/15/40 873,431 18,822
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 11,703,561 1,789,826
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 2,902,958 229,128
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,218,096 83,805
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 193,105 2,564
REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 2.788%, 12/15/47 1,546,639 154,355
REMICs IFB Ser. 4752, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 2.788%, 11/15/47 266,098 27,934
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.688%, 8/15/56 5,199,447 576,827
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.688%, 4/15/47 1,090,371 119,769
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 2.664%, 9/25/50 9,040,214 985,926
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.514%, 7/25/50 8,587,057 889,768
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.464%, 1/25/50 5,701,784 482,120
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.396%, 7/25/43(WAC) 1,527,681 15,277
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,103,415 376,935
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,938,196 376,294
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 92,339 15,507
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 3,228,856 539,187
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 275,960 41,377
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51 10,878,598 2,358,026
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 4,421,125 982,816
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 8,605,634 1,606,749
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 334,782 66,856
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 507,288 36,329
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 3,091,706 558,144
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 974,958 136,455
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 718,507 93,938
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 531,293 64,340
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 492,067 18,518
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 99,404 297
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 2.814%, 4/25/40 712,644 71,837
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 2.664%, 3/25/48 3,480,787 329,979
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 2.614%, 6/25/48 6,066,270 615,914
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 2.564%, 5/25/47 7,391,721 607,526
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 2.564%, 10/25/41 126,328 1,149
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.514%, 12/25/46 3,274,222 231,270
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.514%, 5/25/39 10,458,530 792,997
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 16,226,233 2,069,966
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.464%, 3/25/50 5,009,850 456,347
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.464%, 8/25/49 3,220,667 241,852
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 2.414%, 11/25/49 6,276,230 629,506
REMICs Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 2.364%, 2/25/43 2,464,685 238,558
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 2.314%, 10/25/41 1,505,824 121,502
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 941,532 6,120
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 868,273 173,724
Ser. 16-42, IO, 5.00%, 2/20/46 2,116,186 407,943
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 2,987,318 447,381
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 3,598,807 713,248
Ser. 14-76, IO, 5.00%, 5/20/44 841,493 170,535
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 655,284 140,362
Ser. 12-146, IO, 5.00%, 12/20/42 602,316 120,837
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 852,819 175,115
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 615,804 127,268
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,756,226 589,695
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,412,293 293,051
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,850,528 575,033
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 508,057 101,738
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,512,559 291,986
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 930,103 180,607
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,158,613 207,699
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 137,868 8,111
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,028,686 205,671
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,130,022 205,045
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,815,606 338,084
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 990,847 189,108
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,172,917 197,944
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 736,458 134,116
Ser. 20-78, Class DI, IO, 4.00%, 6/20/50 8,787,025 1,618,872
Ser. 16-29, IO, 4.00%, 2/16/46 966,393 165,290
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 2,313,196 390,352
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,028,404 384,180
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 1,582,203 261,225
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,353,326 165,728
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 4,443,161 683,063
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 1,254,480 59,802
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 535,020 90,634
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 1,322,489 93,904
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 518,182 82,291
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 489,666 84,910
Ser. 21-156, IO, 3.50%, 7/20/51 9,862,877 1,734,316
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 5,783,709 1,068,345
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 13,084,580 2,132,394
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 83,130 2,920
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 1,012,894 124,375
Ser. 13-28, IO, 3.50%, 2/20/43 355,125 39,057
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 548,207 58,954
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 866,616 96,784
Ser. 13-14, IO, 3.50%, 12/20/42 2,080,627 229,431
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,240,324 356,644
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 2,198,175 351,489
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 968,372 159,209
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,213,193 89,898
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 8,559,279 1,228,428
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 6,935,710 1,171,441
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 6,649,558 1,054,193
IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 2.811%, 6/20/51 7,932,556 829,507
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 2.811%, 5/20/51 7,501,690 780,681
IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 2.811%, 4/20/51 5,316,410 511,150
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 2.811%, 9/20/50 6,661,755 797,639
FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 2.788%, 11/20/47 7,829,511 999,667
IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 2.691%, 4/20/44 4,057,786 385,380
IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 2.661%, 7/20/50 4,095,192 501,378
IFB Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 2.661%, 1/20/49 3,782,253 325,017
IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 2.661%, 9/20/43 461,569 29,605
IFB Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.611%, 5/20/50 4,882,916 474,217
IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.611%, 4/20/50 6,322,337 653,939
IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.611%, 8/20/49 5,027,922 416,764
IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.611%, 7/20/49 4,419,338 340,952
IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 2.611%, 7/20/49 5,872,210 479,746
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.561%, 2/20/50 532,980 36,189
IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.561%, 1/20/50 3,700,132 334,158
IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.561%, 12/20/49 3,142,474 269,449
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.561%, 9/20/49 4,968,039 470,569
IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.561%, 8/20/49 404,363 33,396
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.561%, 6/20/49 284,474 20,133
IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 2.511%, 8/20/43 5,549,799 425,836
IFB Ser. 10-90, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 2.461%, 7/20/40 4,457,326 371,955
Ser. 17-H02, Class BI, IO, 2.451%, 1/20/67(WAC) 4,092,615 127,690
Ser. 17-H06, Class BI, IO, 2.386%, 2/20/67(WAC) 6,035,056 319,521
Ser. 18-H03, Class XI, IO, 2.212%, 2/20/68(WAC) 6,412,915 263,571
Ser. 18-H02, Class EI, IO, 2.131%, 1/20/68(WAC) 8,854,342 619,804
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 2.111%, 8/20/44 1,769,116 127,240
Ser. 17-H19, Class MI, IO, 2.068%, 4/20/67(WAC) 2,707,200 161,349
Ser. 17-H08, Class NI, IO, 2.038%, 3/20/67(WAC) 7,887,609 263,446
Ser. 16-H03, Class DI, IO, 2.034%, 12/20/65(WAC) 5,878,467 272,094
Ser. 15-H25, Class EI, IO, 1.886%, 10/20/65(WAC) 4,345,110 194,226
Ser. 15-H20, Class AI, IO, 1.831%, 8/20/65(WAC) 5,419,492 235,206
Ser. 18-H05, Class BI, IO, 1.81%, 2/20/68(WAC) 6,224,728 431,840
FRB Ser. 15-H08, Class CI, IO, 1.805%, 3/20/65 4,234,969 175,328
Ser. 18-H05, Class AI, IO, 1.804%, 2/20/68(WAC) 3,852,345 267,256
Ser. 17-H09, IO, 1.763%, 4/20/67(WAC) 7,649,129 220,517
Ser. 15-H23, Class BI, IO, 1.762%, 9/20/65(WAC) 5,861,358 226,248
Ser. 16-H24, Class CI, IO, 1.698%, 10/20/66(WAC) 4,311,169 186,243
Ser. 16-H14, IO, 1.682%, 6/20/66(WAC) 4,567,026 155,726
Ser. 16-H22, Class AI, IO, 1.645%, 10/20/66(WAC) 6,299,561 222,116
Ser. 16-H16, Class EI, IO, 1.639%, 6/20/66(WAC) 4,595,368 197,141
Ser. 13-H08, Class CI, IO, 1.59%, 2/20/63(WAC) 4,643,520 141,627
Ser. 15-H20, Class CI, IO, 1.573%, 8/20/65(WAC) 6,315,814 326,528
Ser. 17-H11, Class DI, IO, 1.554%, 5/20/67(WAC) 5,245,575 259,223
Ser. 14-H21, Class BI, IO, 1.54%, 10/20/64(WAC) 6,736,412 223,649
Ser. 16-H23, Class NI, IO, 1.506%, 10/20/66(WAC) 16,720,344 531,707
Ser. 16-H17, Class KI, IO, 1.462%, 7/20/66(WAC) 2,750,082 102,412
Ser. 17-H12, Class QI, IO, 1.38%, 5/20/67(WAC) 4,941,650 190,945
Ser. 15-H24, Class AI, IO, 1.362%, 9/20/65(WAC) 5,086,996 131,026
Ser. 15-H15, Class BI, IO, 1.355%, 6/20/65(WAC) 3,406,937 127,419
Ser. 16-H06, Class DI, IO, 0.959%, 7/20/65(WAC) 8,207,328 150,301
Ser. 16-H18, Class QI, IO, 0.879%, 6/20/66(WAC) 4,209,258 173,695
Ser. 17-H16, Class FI, IO, 0.60%, 8/20/67(WAC) 4,596,017 162,902
Ser. 17-H16, Class JI, IO, 0.396%, 8/20/67(WAC) 12,862,594 640,943
Ser. 15-H10, Class BI, IO, 0.379%, 4/20/65 3,988,460 151,163
Ser. 16-H09, Class BI, IO, 0.351%, 4/20/66(WAC) 7,235,031 335,705
Ser. 18-H15, Class KI, IO, 0.04%, 8/20/68(WAC) 5,281,691 220,248
Ser. 16-H03, Class AI, IO, 0.02%, 1/20/66(WAC) 4,762,171 136,777
Ser. 16-H02, Class HI, IO, 0.017%, 1/20/66(WAC) 6,585,613 146,859
Ser. 17-H16, Class IG, IO, 0.006%, 7/20/67(WAC) 12,042,117 320,855
Ser. 16-H06, Class CI, IO, 0.001%, 2/20/66(WAC) 7,166,963 108,286
Ser. 16-H10, Class AI, IO, zero %, 4/20/66(WAC) 11,437,045 210,076
75,123,128
Commercial mortgage-backed securities (13.1%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 802,000 530,432
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 21,175 20,646
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.036%, 4/10/51(WAC) 842,000 599,496
Ser. 19-B13, Class D, 2.50%, 8/15/57 689,000 503,404
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44(WAC) 1,247,000 807,794
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 1,279,000 890,448
Ser. 19-CD8, Class D, 3.00%, 8/15/57 597,000 392,796
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,265,218
FRB Ser. 11-C2, Class E, 5.08%, 12/15/47(WAC) 1,068,000 897,120
Citigroup Commercial Mortgage Trust Ser. 13-GC11, Class C, 4.134%, 4/10/46(WAC) 703,000 725,004
Citigroup Commercial Mortgage Trust 144A Ser. 15-P1, Class D, 3.225%, 9/15/48 863,000 709,862
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 4.917%, 4/10/47(WAC) 912,000 856,625
FRB Ser. 15-CR26, Class D, 3.469%, 10/10/48(WAC) 658,000 538,696
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.845%, 5/10/47(WAC) 919,000 641,903
FRB Ser. 14-UBS3, Class D, 4.767%, 6/10/47(WAC) 481,000 430,513
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 753,108
FRB Ser. 14-CR19, Class D, 4.697%, 8/10/47(WAC) 810,000 728,562
FRB Ser. 15-LC19, Class E, 4.216%, 2/10/48(WAC) 781,000 647,734
FRB Ser. 18-COR3, Class D, 2.81%, 5/10/51(WAC) 672,000 449,059
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 6.519%, 9/9/24 511,000 508,604
CSAIL Commercial Mortgage Trust FRB Ser. 20-C19, Class C, 3.614%, 3/15/53(WAC) 520,000 393,927
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.759%, 4/15/50(WAC) 1,390,000 924,951
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 6.997%, 11/25/51 1,421,000 1,230,908
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.383%, 2/10/46(WAC) 1,423,000 1,392,370
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 700,000 638,122
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47(WAC) 2,444,000 1,720,458
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.788%, 2/15/47(WAC) 2,173,000 1,441,442
FRB Ser. 14-C19, Class C19, 4.648%, 4/15/47(WAC) 581,000 526,919
FRB Ser. 13-C14, Class E, 4.548%, 8/15/46(WAC) 1,277,000 1,025,714
FRB Ser. C14, Class D, 4.548%, 8/15/46(WAC) 1,265,000 758,463
FRB Ser. 14-C18, Class E, 4.288%, 2/15/47(WAC) 914,000 467,472
FRB Ser. 14-C23, Class D, 3.982%, 9/15/47(WAC) 574,000 492,679
FRB Ser. 14-C25, Class D, 3.936%, 11/15/47(WAC) 1,404,000 919,265
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,049,724
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.385%, 9/15/50(WAC) 577,000 456,411
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 680,000 526,241
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.164%, 4/15/46(WAC) 1,312,000 1,024,866
Ser. 13-LC11, Class B, 3.499%, 4/15/46 508,000 496,408
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.525%, 2/15/46(WAC) 1,113,000 202,083
FRB Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) 659,000 497,545
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,807,000 1,343,004
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) 26,213 —
Morgan Stanley Bank of America Merrill Lynch Trust
Ser. 12-C6, Class C, 4.536%, 11/15/45(WAC) 663,000 630,884
FRB Ser. 15-C22, Class C, 4.202%, 4/15/48(WAC) 510,000 455,987
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.35%, 8/15/46(WAC) 1,900,000 133,436
FRB Ser. 15-C23, Class D, 4.143%, 7/15/50(WAC) 1,499,000 1,269,831
FRB Ser. 13-C10, Class E, 4.07%, 7/15/46(WAC) 2,187,000 736,582
FRB Ser. 13-C10, Class F, 4.07%, 7/15/46(WAC) 1,988,000 431,936
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 712,332
Ser. 14-C19, Class D, 3.25%, 12/15/47 1,493,000 1,272,693
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 384,505 357,104
FRB Ser. 18-H3, Class C, 4.863%, 7/15/51(WAC) 576,000 495,628
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 7.336%, 3/25/50 1,558,000 1,444,349
FRB Ser. 19-01, Class M10, 6.836%, 10/25/49 1,219,958 1,123,849
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.065%, 6/25/37 1,034,055 1,023,757
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 6.666%, 1/19/37 1,046,000 1,004,160
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 1,081,996 11
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.392%, 8/15/50(WAC) 629,000 496,637
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 1,476,000 15
FRB Ser. 12-C4, Class D, 4.387%, 12/10/45(WAC) 749,000 735,588
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 43,944 39,593
Wells Fargo Commercial Mortgage Trust
FRB Ser. 15-SG1, Class B, 4.454%, 9/15/48(WAC) 446,000 398,472
FRB Ser. 15-C29, Class D, 4.222%, 6/15/48(WAC) 689,000 585,973
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C30, Class D, 4.498%, 9/15/58(WAC) 534,000 448,912
FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46(WAC) 356,000 142,144
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 334,549
Ser. 16-C33, Class D, 3.123%, 3/15/59 1,087,000 847,503
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 514,000 460,497
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 13-UBS1, Class D, 5.024%, 3/15/46(WAC) 457,000 437,883
FRB Ser. 13-UBS1, Class E, 5.024%, 3/15/46(WAC) 616,000 585,334
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 1,471,488
FRB Ser. 12-C9, Class E, 4.77%, 11/15/45(WAC) 537,000 533,766
FRB Ser. 12-C10, Class D, 4.363%, 12/15/45(WAC) 687,000 496,610
50,533,499
Residential mortgage-backed securities (non-agency) (12.6%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 3.776%, 5/25/47 658,507 367,250
Bear Stearns Alt-A Trust
FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 4.086%, 1/25/36 135,250 173,260
FRB Ser. 05-7, Class 21A1, 3.664%, 9/25/35(WAC) 174,978 141,915
Cascade Funding Mortgage Trust, LLC 144A Ser. 20-HB4, Class M4, 4.948%, 12/26/30(WAC) 595,000 550,435
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 3.766%, 11/25/47 555,607 479,552
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 3.936%, 3/25/37 1,676,938 1,417,144
FRB Ser. 07-AR5, Class 1A1A, 3.059%, 4/25/37(WAC) 186,404 158,562
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 4.286%, 9/25/35 454,942 385,590
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 4.149%, 11/20/35 1,160,138 1,007,725
FRB Ser. 06-OA10, Class 2A1, (ICE LIBOR USD 1 Month + 0.38%), 3.966%, 8/25/46 382,154 306,652
FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 3.966%, 8/25/46 533,417 455,159
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 3.966%, 8/25/46 2,778,947 2,269,551
FRB Ser. 07-OH1, Class A1D, (ICE LIBOR USD 1 Month + 0.21%), 3.796%, 4/25/47 443,931 356,542
FRB Ser. 06-OA7, Class 1A1, 2.562%, 6/25/46(WAC) 941,963 823,746
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 2.331%, 8/25/46 226,711 197,246
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.311%, 6/25/46 384,567 315,344
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (ICE LIBOR USD 1 Month + 11.25%), 14.836%, 12/25/28 483,823 532,280
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 14.086%, 5/25/28 826,584 858,459
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 13.586%, 7/25/28 2,254,670 2,407,017
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 12.936%, 4/25/28 1,285,925 1,325,593
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 12.786%, 10/25/27 728,112 753,596
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 11.136%, 12/25/27 1,275,251 1,286,026
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 9.936%, 9/25/28 102,378 108,153
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (ICE LIBOR USD 1 Month + 4.95%), 8.536%, 7/25/29 570,000 592,012
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 14.836%, 4/25/49 298,000 316,753
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 14.586%, 10/25/48 1,619,000 1,730,154
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 14.497%, 10/25/50 491,000 581,267
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 14.336%, 1/25/49 315,000 338,803
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 14.086%, 3/25/49 252,000 266,542
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 13.586%, 8/25/50 966,000 1,063,772
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 13.586%, 7/25/50 1,027,000 1,134,468
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 11.336%, 9/25/48 389,000 373,486
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 9.336%, 7/25/50 401,000 398,995
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class HQA1, (ICE LIBOR USD 1 Month + 4.40%), 7.986%, 2/25/49 410,000 404,363
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 7.836%, 10/25/48 1,548,000 1,509,300
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 7.486%, 9/25/48 420,000 412,056
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 7.286%, 12/25/30 599,000 590,991
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 685,000 565,377
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 346,000 293,655
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 16.336%, 10/25/28 238,660 258,820
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 15.836%, 9/25/28 2,298,640 2,537,928
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 15.336%, 10/25/28 1,290,754 1,395,274
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 15.336%, 8/25/28 834,430 902,241
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 14.336%, 1/25/29 268,947 284,105
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (ICE LIBOR USD 1 Month + 10.25%), 13.836%, 1/25/29 266,951 277,514
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 12.836%, 4/25/29 396,556 397,069
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 9.286%, 4/25/28 1,637,031 1,724,521
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 9.136%, 4/25/28 199,739 206,162
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 9.086%, 9/25/29 872,000 925,128
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 8.436%, 10/25/29 2,039,000 2,093,352
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 8.086%, 12/25/30 699,000 706,990
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.036%, 5/25/30 180,000 183,801
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.036%, 2/25/30 110,000 112,748
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (ICE LIBOR USD 1 Month + 4.25%), 7.836%, 1/25/31 322,000 321,253
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 7.586%, 5/25/25 15,240 15,385
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 7.186%, 1/25/30 427,000 416,165
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2M2, (ICE LIBOR USD 1 Month + 2.85%), 6.436%, 11/25/29 202,129 204,344
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (ICE LIBOR USD 1 Month + 2.50%), 6.086%, 5/25/30 674,354 677,719
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (ICE LIBOR USD 1 Month + 2.10%), 5.686%, 3/25/31 146,573 143,832
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 7.686%, 9/25/31 578,000 568,120
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 7.497%, 1/25/42 402,000 360,293
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 6.836%, 1/25/40 459,000 425,026
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.036%, 7/25/31 18,933 18,853
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 5.636%, 1/25/40 280,981 276,429
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 3.896%, 5/25/37 575,467 416,636
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.00%, 5/19/35 410,424 140,707
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 7.147%, 1/25/34 (Bermuda) 300,000 261,304
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 3.986%, 6/25/37 666,095 278,717
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 2.248%, 2/26/37 463,238 389,279
MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 4.381%, 8/25/35 96,022 88,456
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (ICE LIBOR USD 1 Month + 2.85%), 6.436%, 7/25/28 (Bermuda) 1,230,000 1,221,034
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 6.286%, 3/25/28 (Bermuda) 620,000 616,612
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 4.006%, 8/25/36 596,036 527,492
FRB Ser. 07-AR1, Class 2A1, (ICE LIBOR USD 1 Month + 0.18%), 3.766%, 1/25/37 593,191 497,013
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 1,033,000 885,441
Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 815,000 583,378
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 4.566%, 10/25/45 287,295 266,733
48,854,665
Total mortgage-backed securities (cost $202,540,927) $174,511,292








CORPORATE BONDS AND NOTES (19.6%)(a)
        Principal amount Value
Basic materials (1.9%)
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 $45,000 $43,032
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 150,000 123,281
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 90,000 82,135
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 200,000 188,091
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 680,000 568,840
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 70,000 64,379
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 165,000 132,033
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 200,000 186,042
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 85,000 80,197
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 1,110,000 886,189
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 130,000 114,929
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 130,000 117,290
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 670,000 550,405
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 1,640,000 1,221,800
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 260,000 161,536
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 $345,000 280,552
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 260,000 204,945
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 164,000 153,644
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 190,000 156,038
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 255,000 197,551
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 175,000 148,670
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 693,000 606,539
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 455,000 420,875
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 185,000 142,874
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 283,000 277,397
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 140,000 122,500
7,231,764
Capital goods (2.1%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 350,000 279,215
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 75,000 69,047
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 260,000 240,500
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 65,000 53,625
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 470,000 404,200
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 158,000 158,081
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 350,758
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 250,000 237,970
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 505,000 399,336
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 603,000 501,925
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 90,000 74,475
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 270,000 236,920
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 700,000 589,540
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 50,000 47,500
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 785,000 681,835
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 541,000 541,703
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 1,100,000 1,003,420
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 265,000 225,318
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 175,000 149,018
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 390,000 384,700
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 753,000 655,020
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 315,000 291,504
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 245,000 248,543
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 298,000 300,891
8,125,044
Communication services (1.6%)
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) 200,000 158,000
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 185,000 146,150
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 295,000 283,938
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,293,000 1,155,140
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 130,000 109,252
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 130,000 105,503
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 98,000 77,420
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 200,000 184,500
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 370,000 283,050
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 197,000 177,418
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 285,000 262,713
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 62,000 49,988
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 80,000 69,500
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 1,275,000 1,172,778
Lumen Technologies, Inc. 144A sr. unsec. unsub. notes 4.50%, 1/15/29 450,000 317,229
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 280,000 292,250
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 579,000 588,497
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 110,000 97,306
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 280,000 258,316
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 175,000 140,879
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 43,000 42,421
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 125,000 103,329
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 266,413
6,341,990
Consumer cyclicals (2.6%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 $150,000 128,627
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 130,000 114,711
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 125,000 102,675
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 719,000 681,450
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 29,000 30,088
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 120,000 107,354
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 165,000 132,825
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 130,000 119,772
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 625,000 610,488
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 35,000 29,138
Carnival Corp. 144A notes 10.50%, 2/1/26 100,000 97,996
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 194,000 175,085
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 50,000 50,139
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 526,000 105,200
Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31 220,000 220,777
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 192,960
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 260,000 234,751
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 425,000 343,732
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 300,000 251,999
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 45,000 38,250
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 270,000 262,575
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 157,000 140,711
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 68,000 63,580
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 142,000 105,915
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 200,000 185,542
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $127,000 101,594
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 100,000 91,546
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 130,000 103,311
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 380,000 368,744
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 195,000 168,276
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 55,000 50,166
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 210,000 184,905
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 20,000 17,850
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 200,000 171,900
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 125,000 108,186
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 155,000 161,472
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 40,000 40,600
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 606,000 586,847
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 368,000 298,281
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 221,000 203,724
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 537,000 429,600
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 275,000 236,411
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 125,000 102,500
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 95,000 71,079
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 1,015,000 918,575
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 21,906
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 250,000 215,375
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 240,000 224,383
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 33,000 27,782
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 45,000 43,538
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 100,000 79,250
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 153,000 133,079
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 270,000 214,776
9,901,996
Consumer staples (1.0%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 225,000 198,000
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 75,000 66,563
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 590,000 488,225
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 40,000 32,700
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 285,000 269,681
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 235,000 224,329
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 185,000 171,970
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 190,000 165,864
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 80,000 71,381
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 70,000 53,358
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 55,000 44,935
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 130,000 115,522
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 5.625%, 2/15/29 430,000 380,992
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 100,000 91,663
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 $95,000 90,156
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 544,000 539,920
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 135,000 128,250
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 143,000 138,061
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 235,000 218,679
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 50,000 44,724
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 125,000 100,313
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 125,000 111,719
3,747,005
Energy (5.4%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 150,000 153,000
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 893,000 723,080
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 83,000 74,172
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 525,000 498,645
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 96,000 94,684
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 877,000 850,690
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 1,270,000 1,121,347
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 200,000 168,617
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 15,000 11,673
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 705,000 688,715
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 175,000 157,924
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 249,000 223,258
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 231,000 230,039
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 212,000 192,211
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 124,000 120,398
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 118,000 113,926
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 624,000 584,619
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 1,133,000 1,101,235
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 109,000 104,471
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 25,000 23,224
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 236,000 217,120
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 65,000 55,585
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 773,000 758,135
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 433,000 391,343
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 435,000 408,105
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 160,671 162,912
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 1,045,000 1,026,681
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 60,000 62,403
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 248,000 238,586
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 1,857,000 1,842,107
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 53,000 53,398
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 430,000 445,716
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 155,000 151,595
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 396,000
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 946,000 859,205
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 300,000 296,250
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 3,655,000 2,764,094
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 510,000 501,029
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 403,000 358,924
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 137,000 134,260
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 263,000 259,055
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 39,000 37,830
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 340,000 330,279
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 397,000 342,690
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 757,000 700,225
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 505,000 470,913
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 72,800 69,888
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 166,250 159,184
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 80,000 75,246
20,804,686
Financials (2.1%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 235,000 218,627
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 60,000 54,007
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 1,216,000 1,247,143
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 230,000 201,576
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity $148,000 142,820
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 225,000 205,649
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) 300,000 271,495
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) 200,000 156,458
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 204,250
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 295,000 252,219
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 120,000 105,570
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 75,000 69,997
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 150,000 128,625
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 237,000 227,639
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 55,000 50,676
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 136,000 113,542
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 425,000 423,776
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 323,000 318,930
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 2,050,000 1,763,410
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 379,000 301,672
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 55,000 50,723
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 250,000 209,965
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 285,000 218,629
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 203,000 164,655
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 448,000 367,360
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 240,000 217,200
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 235,000 195,050
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 88,000 85,800
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 6.50%, perpetual maturity (Netherlands) EUR 252,125 235,147
8,202,610
Health care (1.4%)
1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada) $27,000 26,123
Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 49,000 37,730
Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 9,000 5,153
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 120,000 96,600
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 349,000 315,845
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 125,000 105,625
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 120,000 103,950
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 290,000 250,125
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 585,000 523,353
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 155,000 136,773
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 540,000 525,172
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 125,000 103,550
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 177,500
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 250,000 172,616
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 $50,000 43,179
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 270,000 237,821
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 130,000 100,667
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 350,000 326,011
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 95,000 76,686
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 90,000 74,694
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 272,000 265,200
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 300,000 276,375
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 282,000 266,490
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 120,000 101,100
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 190,000 175,397
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 435,000 409,988
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) 505,000 433,391
5,367,114
Technology (0.7%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 421,000 345,372
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 100,000 95,581
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 542,000 456,862
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 290,000 250,038
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 234,000 202,921
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 232,000 196,040
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 140,000 114,177
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 695,000 573,903
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 478,000 399,395
2,634,289
Transportation (0.1%)
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 375,000 348,857
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 100,000 85,529
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 100,000 91,266
525,652
Utilities and power (0.7%)
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 122,000 91,539
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 67,000 58,772
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 100,000 86,750
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 62,000 58,831
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 380,000 341,503
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 41,000 29,366
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 19,000 19,009
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 385,000 368,595
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 475,000 374,514
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 312,000 283,140
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 122,000 107,959
ReNew Wind Energy AP2/ReNew Power Pvt, Ltd. other 9 Subsidiaries company guaranty sr. notes Ser. REGS, 4.50%, 7/14/28 (India) 279,000 206,342
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 115,000 100,325
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 369,000 354,240
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 165,000 152,213
2,633,098
Total corporate bonds and notes (cost $85,465,059) $75,515,248








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.2%)(a)
        Principal amount Value
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) $5,125,000 $4,003,906
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Cote d'lvoire) 1,291,507 1,141,369
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) 300,000 275,625
Cote d'lvoire (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Cote d'lvoire) EUR 760,000 573,231
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) $690,000 531,678
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 715,000 700,803
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 1,350,000 1,230,197
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 230,000 184,047
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,612,692
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) 810,000 507,262
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 2,480,000 1,785,560
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana) 1,310,000 368,438
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) 3,040,000 1,121,000
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) 1,300,000 394,875
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) 2,670,000 2,467,131
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 740,998
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 640,000 659,206
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,211,249
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,344,840
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 670,000 517,582
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 1,155,000 866,250
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 3,710,000 2,348,949
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) 2,230,000 1,726,334
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 1,720,000 1,655,500
Total foreign government and agency bonds and notes (cost $35,353,567) $27,968,722








CONVERTIBLE BONDS AND NOTES (4.0%)(a)
        Principal amount Value
Capital goods (0.1%)
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 $183,000 $155,276
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 93,000 112,344
267,620
Communication services (0.3%)
Cable One, Inc. company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 153,000 111,843
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 381,000 263,462
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 84,000 107,520
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 175,000 186,650
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 415,000 380,970
1,050,445
Consumer cyclicals (0.7%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 139,000 113,202
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 217,000 161,946
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 95,000 75,763
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 181,000 234,147
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 113,000 114,413
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 182,000 113,841
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 217,000 186,455
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 303,000 304,515
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 212,000 149,566
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 81,000 107,889
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 81,000 96,309
NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 181,000 140,275
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 228,000 296,742
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 204,000 183,983
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 272,000 240,720
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 80,000 89,250
2,609,016
Consumer staples (0.4%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 312,000 260,988
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 144,000 113,616
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 148,000 121,360
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 172,000 133,197
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 400,000 308,600
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 107,000 94,107
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 162,000 110,869
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 206,000 170,138
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 160,000 119,226
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 192,000 125,760
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 100,000 93,700
1,651,561
Energy (0.2%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 204,000 261,630
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 67,000 171,889
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) 115,000 128,283
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 215,000 205,056
766,858
Financials (—%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 129,000 128,197
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 176,000 126,016
254,213
Health care (0.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 144,000 144,057
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 84,000 73,374
Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 190,000 208,905
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 308,000 197,305
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 100,000 70,690
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 331,000 295,831
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 128,000 163,584
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 111,000 114,538
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 252,000 240,975
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 92,000 140,254
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25 94,000 93,765
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 209,000 202,991
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 118,000 110,330
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 155,000 116,061
2,172,660
Technology (1.4%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 128,000 88,960
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 379,000 372,557
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 164,000 175,890
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 201,000 156,378
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 196,000 154,448
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 102,000 82,416
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 138,000 171,396
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 152,000 129,048
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 307,000 242,837
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) 137,000 160,499
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 72,000 81,864
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 131,000 95,802
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 153,000 130,249
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 104,000 92,196
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 167,000 149,298
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 128,000 158,157
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 304,000 297,160
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 80,000 89,920
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 263,000 208,822
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 139,000 182,021
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 122,000 214,659
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 159,000 131,672
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 78,000 58,344
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 139,000 109,549
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 199,000 165,543
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 131,000 147,864
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 215,000 148,028
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 326,000 277,100
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 152,000 120,688
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 143,000 140,855
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 95,000 88,968
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 205,000 149,035
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 109,000 133,144
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28 170,000 155,380
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 157,000 152,055
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 96,000 117,648
5,530,450
Transportation (0.2%)
American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 161,000 180,401
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 163,000 120,702
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 258,000 317,211
618,314
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 234,000 242,541
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 200,000 233,900
476,441
Total convertible bonds and notes (cost $17,785,059) $15,397,578








SENIOR LOANS (1.9%)(a)(c)
        Principal amount Value
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.004%, 4/1/28 $172,813 $166,721
Altice US Finance I Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.25%), 5.662%, 1/15/26 391,771 379,039
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.993%, 4/20/28 120,000 118,672
American Axle and Manufacturing, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 2.25%), 5.84%, 4/6/24 44,161 43,565
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 7.479%, 10/19/27 466,208 440,520
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 7.004%, 7/31/27 69,123 60,828
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 8.493%, 6/21/24 572,980 494,556
BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 6.378%, 4/3/24 385,000 365,750
Cengage Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 7.814%, 6/29/26 371,250 327,164
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.913%, 8/21/26 498,629 455,508
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 7.424%, 5/27/28 207,375 204,447
Diamond Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.35%), 6.458%, 8/24/26 208,586 40,466
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 8.754%, 7/22/27 159,250 151,407
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 4.878%, 2/4/27 133,687 128,653
Envision Healthcare Corp. bank term loan FRN (US SOFR + 4.25%), 6.825%, 3/31/27 61,515 23,991
Envision Healthcare Corp. bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 6.325%, 3/31/27 150,624 37,054
Filtration Group Corp. bank term loan FRN (ICE LIBOR USD 1 Month + 3.50%), 7.254%, 10/19/28 24,750 23,853
Forest City Enterprises LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.254%, 12/7/25 185,143 182,921
GFL Environmental, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.00%), 7.415%, 5/31/25 429,907 427,151
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 7.738%, 10/2/25 510,900 393,393
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 7.754%, 12/1/27 397,913 387,221
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.259%, 2/4/26 49,001 40,916
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 6.254%, 6/19/26 179,503 177,433
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 9.875%, 4/22/27 148,958 110,602
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 7.50%, 1/29/28 119,395 114,670
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 9.32%, 8/31/29 115,000 110,400
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 11.813%, 2/28/26 162,000 99,630
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 8.004%, 11/28/25 133,313 128,813
Southwestern Energy Co. bank term loan FRN Ser. B, (CME Term SOFR 3 Month Plus CSA + 2.50%), 6.203%, 6/8/27 143,913 141,485
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 6.901%, 5/3/26 556,904 537,413
Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 7.254%, 12/17/26 264,838 246,837
TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 8.153%, 3/30/29 288,000 262,080
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.108%, 4/21/28 251,175 244,687
Vision Solutions, Inc. bank term loan FRN (US SOFR + 4.00%), 7.04%, 4/24/28 450,000 385,502
Werner Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 7.674%, 7/24/24 76,830 69,403
Total senior loans (cost $8,210,125) $7,522,751








ASSET-BACKED SECURITIES (0.8%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $1,035,379 $1,032,791
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 6.836%, 11/25/55 1,286,000 1,181,696
FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 5.586%, 11/25/55 936,000 860,573
Total asset-backed securities (cost $3,125,748) $3,075,060








COMMON STOCKS (—%)(a)
        Shares Value
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 $26,342
Total common stocks (cost $21,953) $26,342








SHORT-TERM INVESTMENTS (21.0%)(a)
        Principal amount/
shares		 Value
Australia & New Zealand Banking Group, Ltd. commercial paper 3.582%, 12/29/22 (Australia) $1,350,000 $1,341,358
Lloyds Bank PLC commercial paper 3.927%, 12/21/22 (United Kingdom) 1,700,000 1,690,456
Mitsubishi UFJ Trust & Banking Corp./Singapore commercial paper 3.775%, 12/2/22 (Singapore) 1,169,000 1,165,176
Putnam Short Term Investment Fund Class P 3.21%(AFF) Shares 16,275,116 16,275,116
Skandinaviska Enskilda Banken AB commercial paper 3.521%, 12/5/22 (Sweden) $2,000,000 1,992,819
Societe Generale SA commercial paper 3.148%, 12/9/22 (France) 2,250,000 2,240,893
State Street Institutional U.S. Government Money Market Fund, Premier Class 3.01%(P) Shares 9,504,000 9,504,000
Svenska Handelsbanken AB commercial paper 2.914%, 11/9/22 (Sweden) $3,000,000 2,997,407
TotalEnergies Capital Canada, Ltd. commercial paper 3.771%, 11/28/22 (Canada) 2,000,000 1,994,156
U.S. Treasury Bills 2.703%, 11/1/22(SEGTBA) 12,200,000 12,200,000
U.S. Treasury Bills 2.906%, 11/22/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) 8,700,000 8,683,219
U.S. Treasury Bills 2.799%, 11/15/22(SEGCCS)(SEGTBA) 8,600,000 8,589,967
U.S. Treasury Bills 2.817%, 11/25/22(SEGSF)(SEGCCS)(SEGTBA) 6,100,000 6,086,691
U.S. Treasury Bills 2.770%, 11/8/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) 5,600,000 5,597,094
U.S. Treasury Bills zero%, 4/6/23(i) 607,000 595,649
Total short-term investments (cost $80,963,593) $80,954,001
TOTAL INVESTMENTS
Total investments (cost $978,759,100) $922,158,252








FORWARD CURRENCY CONTRACTS at 10/31/22 (aggregate face value $58,939,092) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/18/23 $16,354 $15,955 $399
New Zealand Dollar Sell 1/18/23 10,710 10,442 (268)
Swedish Krona Sell 12/21/22 350,342 369,216 18,874
Barclays Bank PLC
Canadian Dollar Sell 1/18/23 134,101 133,662 (439)
Swiss Franc Buy 12/21/22 202,537 211,448 (8,911)
Citibank, N.A.
Australian Dollar Sell 1/18/23 19,753 19,960 207
Goldman Sachs International
Euro Buy 12/21/22 249,760 247,133 2,627
Polish Zloty Buy 12/21/22 527,580 541,036 (13,456)
Swiss Franc Buy 12/21/22 3,930,488 4,101,997 (171,509)
HSBC Bank USA, National Association
Australian Dollar Sell 1/18/23 129,099 130,447 1,348
British Pound Sell 12/21/22 4,830,649 4,749,198 (81,451)
Canadian Dollar Sell 1/18/23 46,146 45,933 (213)
Euro Buy 12/21/22 124,731 127,494 (2,763)
New Zealand Dollar Sell 1/18/23 23,051 22,472 (579)
Norwegian Krone Buy 12/21/22 61,657 63,245 (1,588)
Polish Zloty Sell 12/21/22 527,580 541,221 13,641
Swedish Krona Buy 12/21/22 33,514 34,582 (1,068)
Swedish Krona Sell 12/21/22 35,178 34,567 (611)
Swiss Franc Sell 12/21/22 35,464 35,845 381
JPMorgan Chase Bank N.A.
British Pound Sell 12/21/22 306,374 308,989 2,615
Canadian Dollar Sell 1/18/23 316,920 316,453 (467)
Euro Sell 12/21/22 108,060 110,971 2,911
Japanese Yen Sell 11/16/22 546,354 565,774 19,420
Norwegian Krone Buy 12/21/22 7,834 7,875 (41)
Swedish Krona Buy 12/21/22 12,923 12,842 81
Swiss Franc Buy 12/21/22 21,098 21,932 (834)
Morgan Stanley & Co. International PLC
Australian Dollar Buy 1/18/23 26,743 26,596 147
British Pound Buy 12/21/22 336,242 276,519 59,723
Canadian Dollar Sell 1/18/23 193,327 192,742 (585)
Euro Sell 12/21/22 2,813,934 2,876,999 63,065
Japanese Yen Sell 11/16/22 3,299,274 3,733,166 433,892
New Zealand Dollar Sell 1/18/23 3,076,803 3,000,032 (76,771)
Swiss Franc Sell 12/21/22 5,023 5,149 126
NatWest Markets PLC
British Pound Buy 12/21/22 2,671,325 2,531,333 139,992
Euro Sell 12/21/22 13,594 13,701 107
State Street Bank and Trust Co.
Australian Dollar Sell 1/18/23 2,605,398 2,639,467 34,069
British Pound Sell 12/21/22 2,215,153 2,231,440 16,287
Canadian Dollar Sell 1/18/23 386,874 385,758 (1,116)
Euro Sell 12/21/22 3,398,987 3,375,795 (23,192)
New Zealand Dollar Sell 1/18/23 140,982 137,500 (3,482)
Norwegian Krone Sell 12/21/22 920,961 972,637 51,676
Swedish Krona Sell 12/21/22 1,768,191 1,860,854 92,663
Swiss Franc Buy 12/21/22 2,599,729 2,716,383 (116,654)
Toronto-Dominion Bank
British Pound Sell 12/21/22 66,973 67,430 457
Canadian Dollar Sell 1/18/23 4,659,095 4,645,315 (13,780)
Euro Sell 12/21/22 2,685,234 2,738,871 53,637
Japanese Yen Buy 11/16/22 9,206 10,540 (1,334)
Norwegian Krone Sell 12/21/22 468,598 501,101 32,503
Swiss Franc Sell 12/21/22 243,828 254,636 10,808
UBS AG
Canadian Dollar Sell 1/18/23 57,976 57,792 (184)
Japanese Yen Buy 11/16/22 5,438,145 6,227,856 (789,711)
New Zealand Dollar Sell 1/18/23 29,104 29,055 (49)
Norwegian Krone Buy 12/21/22 704 715 (11)
Swedish Krona Sell 12/21/22 11,914 12,543 629
Swiss Franc Sell 12/21/22 1,104 1,034 (70)
WestPac Banking Corp.
Australian Dollar Sell 1/18/23 335,351 338,889 3,538
British Pound Buy 12/21/22 2,555,071 2,564,067 (8,996)
Euro Buy 12/21/22 1,558,390 1,592,151 (33,761)
New Zealand Dollar Sell 1/18/23 129,456 126,196 (3,260)
Swiss Franc Buy 12/21/22 13,563 14,141 (578)
Unrealized appreciation 1,055,823
Unrealized (depreciation) (1,357,732)
Total $(301,909)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 10/31/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation
U.S. Treasury Note 2 yr (Short) 912 $186,397,125 $186,397,125 Dec-22 $3,801,643
U.S. Treasury Note Ultra 10 yr (Short) 31 3,595,516 3,595,516 Dec-22 317,157
Unrealized appreciation 4,118,800
Unrealized (depreciation) —
Total $4,118,800








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/22 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/Contract amount Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $95,706,500 $(1,100,625) $2,967,859
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 95,706,500 (1,100,625) (770,437)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 65,015,900 892,343 717,776
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 32,507,900 (1,570,132) (1,231,399)
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 16,254,000 253,562 205,125
(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 14,707,300 (1,911,949) 1,563,533
2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 14,707,300 (1,911,949) (1,043,777)
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 11,377,800 (559,625) (439,411)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 10,783,700 784,514 194,214
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 10,783,700 784,514 (219,987)
(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 9,326,800 (667,799) 1,319,835
0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 9,326,800 (667,799) (425,395)
(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 4,749,700 (346,728) 687,187
0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 4,749,700 (346,728) (223,711)
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 4,687,800 (610,586) 773,534
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 4,687,800 (610,586) (379,196)
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 4,270,400 333,518 66,405
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 4,270,400 333,518 (80,497)
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,121,700 (325,416) 330,518
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,121,700 (325,416) (183,951)
Citibank, N.A.
4.108/US SOFR/Jan-28 (Purchased) Jan-23/4.108 42,878,800 (615,311) 56,600
(4.108)/US SOFR/Jan-28 (Purchased) Jan-23/4.108 42,878,800 (615,311) (171,515)
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 35,403,600 (1,154,157) 2,132,005
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 35,403,600 (1,154,157) (682,581)
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 23,865,100 (318,122) 589,945
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 23,865,100 (318,122) (168,726)
2.394/US SOFR/Sep-33 (Purchased) Sep-23/2.394 21,969,300 (265,829) (88,317)
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 14,768,300 (1,090,639) 1,066,714
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 14,768,300 (1,090,639) (467,564)
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 8,954,300 (670,229) 1,996,272
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 8,954,300 (670,229) (654,828)
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 7,816,900 (589,785) 1,774,358
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 7,816,900 (589,785) (576,653)
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 7,654,400 (565,852) 1,733,569
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 7,654,400 (565,852) (552,724)
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 4,617,700 (336,399) 276,231
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 4,617,700 (336,399) (130,358)
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 4,450,300 (656,419) 217,575
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 4,450,300 (656,419) (139,116)
(1.102)/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 2,359,100 (74,960) 502,984
1.102/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 2,359,100 (74,960) (76,152)
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) 125,016
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) (172,901)
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) Mar-24/0.055 EUR 219,158,200 703,152 591,272
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) Mar-24/0.555 EUR 109,579,100 (691,234) (580,443)
Goldman Sachs International
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 $12,168,600 (1,569,749) 849,368
2.40/US SOFR/May-57 (Purchased) May-27/2.40 12,168,600 (1,569,749) (498,426)
(2.544)/US SOFR/Nov-32 (Purchased) Nov-22/2.544 9,044,400 (185,410) 754,755
2.544/US SOFR/Nov-32 (Purchased) Nov-22/2.544 9,044,400 (185,410) (185,229)
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) 71,599
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (97,176)
JPMorgan Chase Bank N.A.
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 22,135,000 472,306 380,501
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 22,135,000 472,306 (1,520,233)
(2.317)/US SOFR/Apr-42 (Written) Apr-32/2.317 4,718,700 399,674 146,988
2.317/US SOFR/Apr-42 (Written) Apr-32/2.317 4,718,700 399,674 (200,498)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 3,636,400 214,911 125,383
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 3,636,400 214,911 (339,312)
(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 9,928,600 (834,904) 172,997
3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 9,928,600 (834,904) (171,663)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) 557,989
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) (197,562)
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) 415,231
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) (111,306)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) 371,383
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) (80,915)
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) 378,361
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) (99,356)
Morgan Stanley & Co. International PLC
(2.5375)/US SOFR/Nov-32 (Purchased) Nov-22/2.5375 $29,433,000 (622,508) 2,452,358
2.5375/US SOFR/Nov-32 (Purchased) Nov-22/2.5375 29,433,000 (622,508) (621,625)
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) (3,807)
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) (166,732)
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (316,205) 123,076
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (222,086) (146,111)
(2.3825)/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 953,100 (120,805) 70,148
2.3825/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 953,100 (120,805) (47,560)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 3,867,400 (202,265) 414,972
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 3,867,400 (202,265) (133,387)
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 1,584,500 (110,519) 100,869
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 1,584,500 (110,519) (42,655)
UBS AG
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) 172,149
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) (72,121)
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) 37,665
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) (26,523)
3.292/6 month EUR-EURIBOR/Oct-24 (Purchased) Oct-23/3.292 EUR 57,428,200 (331,216) 22,701
(3.292)/6 month EUR-EURIBOR/Oct-24 (Purchased) Oct-23/3.292 EUR 57,428,200 (331,216) (105,561)
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) 635,223
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) (162,879)
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 3,146,000 (436,172) 310,406
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 3,146,000 (436,172) (147,990)
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) 281,944
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) (99,637)
Wells Fargo Bank, N.A.
3.0575/US SOFR/Jan-33 (Purchased) Jan-23/3.0575 USD 25,089,300 (189,424) (97,096)
Unrealized appreciation 28,734,593
Unrealized (depreciation) (14,834,999)
Total $13,899,594








TBA SALE COMMITMENTS OUTSTANDING at 10/31/22 (proceeds receivable $246,385,254) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 11/1/52 $1,000,000 11/21/22 $894,703
Uniform Mortgage-Backed Securities, 5.50%, 11/1/52 69,000,000 11/14/22 68,036,643
Uniform Mortgage-Backed Securities, 5.00%, 11/1/52 135,000,000 11/14/22 130,116,834
Uniform Mortgage-Backed Securities, 4.00%, 11/1/52 4,000,000 11/14/22 3,638,123
Uniform Mortgage-Backed Securities, 3.00%, 11/1/52 13,000,000 11/14/22 11,036,789
Uniform Mortgage-Backed Securities, 2.50%, 11/1/52 19,000,000 11/14/22 15,554,730
Uniform Mortgage-Backed Securities, 2.00%, 11/1/52 18,000,000 11/14/22 14,177,242
Total $243,455,064










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$8,725,000 $1,818,814 $365,462 9/1/32 3 month USD-LIBOR-ICE — Quarterly 1.512% — Semiannually $(1,476,931)
26,548,000 1,199,970 1,283 12/23/23 0.695% — Annually US SOFR — Annually 1,302,861
17,960,000 2,046,003 1,544 12/23/26 1.085% — Annually US SOFR — Annually 2,048,326
8,583,000 1,659,094 1,037 12/23/31 1.285% — Annually US SOFR — Annually 1,645,578
4,489,000 1,610,474 (7,993) 12/23/51 US SOFR — Annually 1.437% — Annually (1,604,918)
39,725,000 1,794,776 (4,042) 12/24/23 0.697% — Annually US SOFR — Annually 1,929,262
6,991,000 793,898 (936) 12/24/26 1.096% — Annually US SOFR — Annually 785,490
9,943,000 1,922,380 (4,439) 12/24/31 1.285% — Annually US SOFR — Annually 1,906,643
17,998,000 6,463,262 (9,727) 12/24/51 1.435% — Annually US SOFR — Annually 6,394,260
8,125,000 2,786,875 (1,324) 12/31/51 1.525% — Annually US SOFR — Annually 2,751,252
3,304,000 371,568 (438) 12/31/26 US SOFR — Annually 1.135% — Annually (368,510)
867,000 163,247 15,612 12/31/31 US SOFR — Annually 1.355% — Annually (145,536)
2,215,200 153,314 (E) (49) 1/15/47 1.724% — Annually US SOFR — Annually 153,265
5,869,000 1,852,491 (200) 1/21/52 1.679% — Annually US SOFR — Annually 1,821,793
3,669,000 1,192,865 (125) 1/19/52 US SOFR — Annually 1.626% — Annually (1,182,060)
2,384,000 763,118 (81) 2/1/52 1.6545% — Annually US SOFR — Annually 751,576
8,865,400 2,512,100 (302) 2/24/52 US SOFR — Annually 1.86% — Annually (2,466,366)
4,600,000 1,379,954 (157) 2/29/52 1.7674% — Annually US SOFR — Annually 1,362,560
4,617,000 739,920 (61) 2/29/32 US SOFR — Annually 1.75% — Annually (720,251)
30,452,000 2,877,714 (246) 2/28/27 1.675% — Annually US SOFR — Annually 2,829,907
48,806,000 2,037,651 (185) 2/29/24 US SOFR — Annually 1.47709% — Annually (2,026,451)
4,119,800 682,568 (55) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (690,321)
17,853,500 3,150,072 (237) 3/9/32 1.5475% — Annually US SOFR — Annually 3,116,499
18,511,500 3,274,684 (245) 3/9/32 1.5415% — Annually US SOFR — Annually 3,242,882
9,759,000 1,578,811 (129) 3/11/32 1.737% — Annually US SOFR — Annually 1,547,464
3,014,000 94,670 (11) 4/7/24 US SOFR — Annually 2.4485% — Annually (75,699)
605,000 38,968 (5) 4/7/27 2.469% — Annually US SOFR — Annually 35,264
682,000 79,323 (9) 4/7/23 2.3305% — Annually US SOFR — Annually 75,738
272,000 65,345 (9) 4/7/52 US SOFR — Annually 2.1005% — Annually (64,250)
12,716,000 1,314,707 (169) 4/14/32 2.4975% — Annually US SOFR — Annually 1,218,196
11,082,000 2,185,370 (378) 4/14/52 US SOFR — Annually 2.3395% — Annually (2,113,532)
3,170,000 202,943 (26) 4/14/27 2.483% — Annually US SOFR — Annually 183,197
3,773,000 122,245 (14) 4/14/24 US SOFR — Annually 2.403% — Annually (100,184)
32,580,000 1,832,951 (308) 5/2/27 US SOFR — Annually 2.685% — Annually (1,700,068)
56,004,900 1,769,755 (211) 5/25/24 2.5945% — Annually US SOFR — Annually 1,633,829
2,330,000 391,393 (79) 5/25/52 US SOFR — Annually 2.501% — Annually (382,893)
1,622,500 182,904 (E) (55) 5/28/57 2.40% — Annually US SOFR — Annually 182,849
4,472,000 375,693 (59) 6/7/32 US SOFR — Annually 2.7565% — Annually (355,168)
3,899,000 569,605 (133) 6/7/52 US SOFR — Annually 2.622% — Annually (557,075)
71,172,900 5,593,478 (944) 6/8/32 US SOFR — Annually 2.825% — Annually (5,361,826)
3,515,900 890,683 (441,293) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 434,544
63,314,000 1,323,896 (239) 6/15/24 US SOFR — Annually 3.3385% — Annually (1,055,837)
41,483,500 1,504,607 (336) 6/15/27 3.185% — Annually US SOFR — Annually 1,353,068
5,242,900 315,046 (74) 9/8/32 US SOFR — Annually 3.07% — Annually (312,322)
8,218,600 633,408 (E) (116) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 633,291
18,195,300 1,850,462 (E) (258) 1/31/33 2.545% — Annually US SOFR — Annually 1,850,204
18,195,300 1,843,184 (E) (258) 1/31/33 2.55% — Annually US SOFR — Annually 1,842,926
17,137,500 1,812,291 (E) (243) 2/1/33 2.495% — Annually US SOFR — Annually 1,812,048
17,649,000 1,967,158 (234) 8/2/32 US SOFR — Annually 2.4275% — Annually (1,969,388)
16,756,600 1,891,485 (E) (237) 2/1/33 2.4075% — Annually US SOFR — Annually 1,891,248
1,683,100 92,688 (E) (33) 4/1/42 US SOFR — Annually 2.63% — Annually (92,721)
2,286,900 207,879 (E) (34) 3/24/35 US SOFR — Annually 2.39% — Annually (207,914)
4,997,900 731,892 (147) 8/10/42 2.645% — Annually US SOFR — Annually 731,673
8,470,900 1,287,407 (18,886) 8/10/42 US SOFR — Annually 2.605% — Annually (1,305,819)
3,473,200 534,352 (102) 8/10/42 2.5915% — Annually US SOFR — Annually 533,941
14,087,000 777,462 (E) (132) 2/6/29 2.40% — Annually US SOFR — Annually 777,329
28,629,000 2,771,001 (378) 8/16/32 US SOFR — Annually 2.613% — Annually (2,769,103)
3,284,000 101,640 (E) (73) 1/15/47 2.49% — Annually US SOFR — Annually 101,567
495,000 38,833 (7) 8/25/32 US SOFR — Annually 2.8415% — Annually (38,626)
2,067,000 126,728 (E) (31) 2/21/35 2.785% — Annually US SOFR — Annually 126,697
33,327,700 702,881 (125) 9/6/24 US SOFR — Annually 3.413% — Annually (666,985)
16,345,300 251,554 (E) (91) 1/15/27 US SOFR — Annually 2.73% — Annually (251,645)
15,813,300 985,801 (209) 9/13/32 3.043% — Annually US SOFR — Annually 978,105
3,026,200 104,313 (E) (59) 1/15/41 3.0500% — Annually US SOFR — Annually 104,254
1,671,800 59,015 (E) (33) 1/15/42 2.9825% — Annually US SOFR — Annually 58,982
12,806,000 564,360 (E) (36,118) 12/21/32 US SOFR — Annually 3.265% — Annually (600,478)
130,620,000 2,983,361 (E) 2,553,352 12/21/29 US SOFR — Annually 3.50% — Annually (430,009)
5,676,000 533,998 (193) 9/26/52 2.905% — Annually US SOFR — Annually 533,067
29,514,000 727,520 (277) 9/26/27 US SOFR — Annually 3.465% — Annually (707,433)
1,852,000 85,859 (24) 9/19/32 3.24% — Annually US SOFR — Annually 84,861
222,288,000 1,529,341 (E) (227,472) 12/21/24 4.20% — Annually US SOFR — Annually 1,301,869
123,248,000 1,130,184 (E) 236,174 12/21/27 3.80% — Annually US SOFR — Annually 1,366,358
81,032,000 2,675,677 (E) (380,673) 12/21/32 3.40% — Annually US SOFR — Annually 2,295,004
3,572,000 267,078 (E) (29,806) 12/21/52 US SOFR — Annually 3.00% — Annually (296,884)
10,427,000 306,032 (138) 9/26/32 US SOFR — Annually 3.449% — Annually (299,142)
3,057,500 202,743 (104) 9/29/52 3.0575% — Annually US SOFR — Annually 201,285
3,057,500 201,061 (104) 9/29/52 3.0605% — Annually US SOFR — Annually 199,595
526,000 2,588 (2) 9/29/24 4.321% — Annually US SOFR — Annually 1,744
5,298,000 59,655 (70) 9/29/32 3.67061% — Annually US SOFR — Annually 54,261
8,492,000 126,361 (68) 9/30/27 US SOFR — Annually 3.6865% — Annually (117,937)
8,492,000 127,125 (68) 9/30/27 US SOFR — Annually 3.6845% — Annually (118,716)
16,876,000 142,940 (63) 9/30/24 4.1255% — Annually US SOFR — Annually 126,416
12,201,000 324,791 (161) 9/30/32 3.4825% — Annually US SOFR — Annually 319,702
2,862,000 201,141 (97) 10/3/52 US SOFR — Annually 3.0355% — Annually (200,521)
1,052,000 8,227 (4) 10/3/24 US SOFR — Annually 4.16% — Annually (7,014)
7,963,000 198,040 (105) 10/3/32 US SOFR — Annually 3.504% — Annually (193,142)
5,684,000 71,675 (46) 10/4/27 3.7375% — Annually US SOFR — Annually 67,108
4,393,900 103,872 (E) (62) 10/3/33 3.394% — Annually US SOFR — Annually 103,810
13,636,000 110,315 (51) 10/4/24 US SOFR — Annually 4.145% — Annually (95,197)
8,477,000 208,110 (112) 10/4/32 US SOFR — Annually 3.508% — Annually (202,992)
12,162,000 146,674 (98) 10/4/27 3.75% — Annually US SOFR — Annually 136,783
6,421,000 55,863 (52) 10/4/27 3.826% — Annually US SOFR — Annually 50,261
29,664,000 829,999 (392) 10/5/32 US SOFR — Annually 3.466% — Annually (815,913)
6,599,000 523,301 (224) 10/6/52 US SOFR — Annually 2.9857% — Annually (520,438)
3,631,000 128,537 (E) (54) 10/21/36 US SOFR — Annually 3.116% — Annually (128,592)
1,447,000 54,132 (E) (20) 1/11/33 US SOFR — Annually 3.34% — Annually (54,153)
5,078,000 188,648 (E) (72) 1/31/33 US SOFR — Annually 3.337% — Annually (188,719)
5,078,000 190,323 (E) (72) 1/31/33 US SOFR — Annually 3.333% — Annually (190,395)
11,079,000 416,460 (E) (156) 8/23/33 US SOFR — Annually 3.237% — Annually (416,616)
4,739,000 180,414 (E) (67) 2/1/33 US SOFR — Annually 3.3255% — Annually (180,481)
10,652,000 407,119 (E) (150) 9/1/33 US SOFR — Annually 3.225% — Annually (407,270)
392,000 14,810 (E) (6) 11/14/32 3.347% — Annually US SOFR — Annually 14,804
1,504,000 128,968 (E) (51) 2/3/53 2.9275% — Annually US SOFR — Annually 128,917
3,978,000 157,091 (E) (56) 2/1/33 US SOFR — Annually 3.308% — Annually (157,147)
85,713,000 629,991 (321) 10/7/24 US SOFR — Annually 4.1845% — Annually (562,243)
17,625,000 443,621 (233) 10/7/32 3.5005% — Annually US SOFR — Annually 428,813
171,426,000 1,242,838 39,251 10/7/24 4.19% — Annually US SOFR — Annually 1,145,250
79,885,000 1,032,913 (18,886) 10/7/27 US SOFR — Annually 3.73% — Annually (1,013,550)
142,776,000 3,599,383 (56,132) 10/7/32 3.50% — Annually US SOFR — Annually 3,497,695
35,250,000 859,748 (33,755) 10/7/32 US SOFR — Annually 3.51% — Annually (882,010)
41,362,000 2,796,071 27,701 10/7/52 US SOFR — Annually 3.05% — Annually (2,768,098)
4,696,000 112,422 (62) 10/11/32 3.5155% — Annually US SOFR — Annually 111,053
21,832,000 129,682 (E) (46,606) 12/21/24 4.25% — Annually US SOFR — Annually 83,077
5,053,000 99,494 (67) 10/11/32 3.5675% — Annually US SOFR — Annually 97,867
17,014,000 13,271 (E) (117) 4/8/28 3.44% — Annually US SOFR — Annually 13,154
45,937,000 45,937 (E) (172) 1/31/25 US SOFR — Annually 4.035% — Annually (46,109)
2,628,000 115,474 (89) 10/13/52 3.1795% — Annually US SOFR — Annually 114,075
1,931,000 81,681 (66) 10/14/52 3.1885% — Annually US SOFR — Annually 80,652
5,017,900 56,953 (E) (71) 1/17/33 3.6575% — Annually US SOFR — Annually 56,882
1,529,000 66,817 (E) (52) 1/16/55 2.97% — Annually US SOFR — Annually 66,765
11,056,000 53,622 (41) 10/14/24 US SOFR — Annually 4.316% — Annually (41,913)
8,937,000 137,809 (118) 10/14/32 US SOFR — Annually 3.6195% — Annually (131,541)
4,762,000 32,572 (38) 10/18/27 US SOFR — Annually 3.865% — Annually (29,863)
34,655,000 18,021 (E) (192) 1/16/26 US SOFR — Annually 3.605% — Annually (18,213)
5,012,000 50,521 (66) 10/20/32 3.6845% — Annually US SOFR — Annually 47,247
5,908,000 175,645 (201) 10/20/52 US SOFR — Annually 3.2571% — Annually (172,906)
14,354,600 316,088 (E) (488) 10/9/54 3.115% — Annually US SOFR — Annually 315,600
58,375,300 438,982 (E) (823) 10/10/33 US SOFR — Annually 3.594% — Annually (439,805)
440,000 6,640 (15) 10/20/52 US SOFR — Annually 3.3375% — Annually (6,424)
1,730,900 26,864 (E) (59) 1/24/55 3.135% — Annually US SOFR — Annually 26,805
6,648,400 11,369 (E) (62) 4/13/28 3.965% — Annually US SOFR — Annually (11,431)
2,198,600 6,112 (E) (33) 4/4/35 3.5575% — Annually US SOFR — Annually 6,079
4,397,400 4,573 (E) (49) 5/8/30 US SOFR — Annually 3.52% — Annually (4,623)
6,020,200 5,358 (E) (52) 4/4/32 3.515% — Annually US SOFR — Annually 5,306
29,278,300 82,565 (E) (413) 11/24/33 US SOFR — Annually 3.708% — Annually 82,152
11,005,200 20,690 (E) (155) 6/6/34 US SOFR — Annually 3.645% — Annually 20,535
7,210,000 21,053 (58) 10/21/27 4.0835% — Annually US SOFR — Annually (26,476)
1,839,000 16,110 (63) 10/24/52 3.372% — Annually US SOFR — Annually 15,441
66,229,000 119,874 (248) 10/24/24 US SOFR — Annually 4.6655% — Annually 160,508
33,535,000 161,303 (270) 10/24/27 4.1245% — Annually US SOFR — Annually (169,742)
839,900 739 (E) (13) 2/19/36 US SOFR — Annually 3.6145% — Annually 727
622,500 498 (E) (9) 3/3/36 US SOFR — Annually 3.614% — Annually 489
20,127,900 129,422 (266) 10/31/32 3.885% — Annually US SOFR — Annually (131,860)
7,089,000 52,246 (241) 10/24/52 US SOFR — Annually 3.4605% — Annually 54,483
2,029,000 22,339 (69) 10/24/52 3.4805% — Annually US SOFR — Annually (23,126)
3,321,000 90,464 (113) 10/25/52 3.5695% — Annually US SOFR — Annually (90,926)
21,728,800 13,037 (E) (81) 6/26/25 US SOFR — Annually 4.31% — Annually 12,956
4,279,000 76,295 (145) 10/27/32 3.5176% — Annually US SOFR — Annually (78,531)
9,838,700 78,611 (E) (139) 12/4/33 US SOFR — Annually 3.77% — Annually 78,472
3,219,500 12,138 (E) (36) 3/24/32 US SOFR — Annually 3.64% — Annually 12,101
7,996,800 43,583 (E) (120) 6/28/37 US SOFR — Annually 3.70% — Annually 43,463
1,817,500 14,395 (E) (35) 6/20/40 US SOFR — Annually 3.75% — Annually 14,359
4,220,000 7,891 (143) 10/28/52 US SOFR — Annually 3.43% — Annually 9,356
10,609,000 14,959 (40) 10/28/24 4.4905% — Annually US SOFR — Annually 9,626
7,322,000 19,843 (97) 10/28/32 3.774% — Annually US SOFR — Annually 16,676
1,844,000 29,744 (63) 10/31/52 US SOFR — Annually 3.331% — Annually (29,636)
21,332,000 91,514 (172) 11/1/27 3.9195% — Annually US SOFR — Annually 91,343
6,981,000 18,849 (92) 11/2/32 3.84% — Annually US SOFR — Annually (18,941)
48,000 20 — 11/2/24 US SOFR — Annually 4.585% — Annually 20
AUD 177,000 25,849 (E) (2) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 25,847
AUD 596,700 93,298 (E) (6) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 93,292
AUD 221,500 35,324 (E) (2) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 35,322
AUD 345,400 44,295 (E) (4) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 44,291
AUD 1,289,300 178,803 (E) (15) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 178,788
AUD 82,700 19,689 (E) (2) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 19,687
AUD 4,100,000 493,226 (45) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (496,088)
AUD 249,000 5,181 (E) 4,558 12/21/32 6 month AUD-BBR-BBSW — Semiannually 4.21% — Semiannually (623)
AUD 14,093,000 57,874 (E) (44,169) 12/21/24 3.78% — Quarterly 6 month AUD-BBR-BBSW — Quarterly 13,705
AUD 3,287,400 587,918 (E) 571,992 11/24/42 6 month AUD-BBR-BBSW — Semiannually 2.50% — Semiannually (15,925)
CAD 213,000 1,154 (E) 790 12/21/32 3.69% — Semiannually 3 month CAD-BA-CDOR — Semiannually 1,944
CAD 20,983,000 19,561 (E) (17,591) 12/21/24 4.425% — Semiannually 3 month CAD-BA-CDOR — Semiannually (37,152)
CHF 2,889,000 2,395 (E) 8 12/21/32 Swiss Average Rate Overnight — Annually 2.01% — Annually 2,403
EUR 1,144,400 123,726 (E) (44) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR — Semiannually 123,682
EUR 1,556,300 355,312 (60) 2/19/50 6 month EUR-EURIBOR — Semiannually 1.354% — Annually (343,001)
EUR 1,719,000 422,764 (66) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR — Semiannually 411,861
EUR 1,739,200 445,985 (66) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR — Semiannually 435,754
EUR 2,008,000 554,602 (77) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR — Semiannually 544,683
EUR 1,798,800 239,202 (E) (68) 11/29/58 6 month EUR-EURIBOR — Semiannually 1.343% — Annually (239,271)
EUR 2,077,000 593,097 (79) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR — Semiannually 580,914
EUR 1,655,300 434,236 (E) (63) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR — Semiannually 434,173
EUR 1,510,500 473,441 (58) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR — Semiannually 466,140
EUR 904,900 301,484 (35) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR — Semiannually 297,839
EUR 3,288,600 1,212,332 (E) (125) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR — Semiannually 1,212,207
EUR 2,023,200 864,952 (E) (76) 6/6/54 6 month EUR-EURIBOR — Semiannually 0.207% — Annually (865,029)
EUR 2,735,100 1,203,791 (102) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR — Semiannually 1,203,416
EUR 11,076,900 4,117,509 (418) 2/19/50 6 month EUR-EURIBOR — Semiannually 0.595% — Annually (4,088,744)
EUR 1,285,600 575,699 (E) (48) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR — Semiannually 575,651
EUR 585,600 303,382 (E) (23) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR — Semiannually 303,359
EUR 3,783,300 710,867 (E) (80) 5/13/40 6 month EUR-EURIBOR — Semiannually 0.276% — Annually (710,947)
EUR 1,853,200 340,682 (E) (40) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 340,641
EUR 2,522,800 476,517 (E) (58) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 476,459
EUR 863,600 161,064 (E) (20) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR — Semiannually 161,044
EUR 2,373,100 933,044 (97) 5/21/51 6 month EUR-EURIBOR — Semiannually 0.516% — Annually (926,717)
EUR 2,436,000 515,564 (42) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR — Semiannually 514,722
EUR 2,079,900 457,916 (36) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR — Semiannually 459,749
EUR 694,000 295,071 (28) 9/14/52 6 month EUR-EURIBOR — Semiannually 0.374% — Annually (296,126)
EUR 6,666,000 1,289,998 (107) 3/7/32 6 month EUR-EURIBOR — Semiannually 0.60% — Annually (1,276,944)
EUR 4,368,900 94,512 (E) (69) 2/2/36 2.875% — Annually 6 month EUR-EURIBOR — Semiannually 94,442
EUR 7,340,100 246,994 (109) 9/8/32 2.615% — Annually 6 month EUR-EURIBOR — Semiannually 233,538
EUR 27,208,300 692,650 (E) (103) 6/28/25 1.718% — Annually 6 month EUR-EURIBOR — Semiannually 692,548
EUR 2,398,000 405,524 (83) 8/29/52 6 month EUR-EURIBOR — Semiannually 1.636% — Annually (403,079)
EUR 8,996,400 508,370 (E) (102) 9/12/29 1.71% — Annually 6 month EUR-EURIBOR — Semiannually 508,267
EUR 29,124,000 1,951,406 (279) 9/2/27 6 month EUR-EURIBOR — Semiannually 1.372% — Annually (1,944,694)
EUR 1,052,700 81,031 (E) (36) 6/6/54 2.005% — Annually 6 month EUR-EURIBOR — Semiannually 80,995
EUR 1,555,000 101,455 (E) (53) 6/7/54 2.065% — Annually 6 month EUR-EURIBOR — Semiannually 101,402
EUR 1,339,000 50,919 (E) 83,281 12/21/32 6 month EUR-EURIBOR — Semiannually 2.624% — Annually 32,362
EUR 26,942,000 46,062 (E) (134,554) 12/21/24 2.91% — Annually 6 month EUR-EURIBOR — Semiannually (88,492)
EUR 4,115,000 42,171 (E) (61) 2/18/36 6 month EUR-EURIBOR — Semiannually 3.285% — Annually 42,110
EUR 1,052,700 5,129 (E) (20) 8/22/39 6 month EUR-EURIBOR — Semiannually 3.14% — Annually 5,109
EUR 24,170,900 100,803 (E) (164) 6/26/28 6 month EUR-EURIBOR — Semiannually 3.26% — Annually 100,638
EUR 1,925,300 9,000 (E) (37) 3/28/40 6 month EUR-EURIBOR — Semiannually 3.09% — Annually 8,963
GBP 1,571,100 400,256 (31) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (399,245)
GBP 92,703,900 3,027,789 76,790 9/15/23 Sterling Overnight Index Average — Annually 0.84% — Annually (3,109,413)
GBP 92,703,900 3,170,249 115,314 9/15/23 Sterling Overnight Index Average — Annually 0.68% — Annually (3,234,838)
GBP 92,703,900 3,312,708 (180,041) 9/15/23 0.52% — Annually Sterling Overnight Index Average — Annually 3,334,063
GBP 37,081,600 1,131,170 (191) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 1,157,183
GBP 456,000 19,966 (E) (1,776) 12/21/32 Sterling Overnight Index Average — Annually 3.34% — Annually (21,742)
GBP 16,305,000 430,441 (246) 9/21/32 3.522% — Annually Sterling Overnight Index Average — Annually 400,638
GBP 1,676,000 17,125 (E) (36) 1/14/40 3.306% — Annually Sterling Overnight Index Average — Annually (17,161)
GBP 863,000 8,007 (E) (18) 8/20/39 3.299% — Annually Sterling Overnight Index Average — Annually (8,025)
GBP 4,937,000 69,583 (E) (31,023) 12/21/24 5.34% — Annually Sterling Overnight Index Average — Annually (100,606)
GBP 54,289,000 1,077,697 (E) (228) 11/7/24 5.495% — Annually Sterling Overnight Index Average — Annually (1,077,925)
GBP 21,663,000 1,096,327 (E) (343) 11/9/32 Sterling Overnight Index Average — Annually 4.35% — Annually 1,095,984
GBP 1,234,500 55,284 (E) (28) 2/26/39 Sterling Overnight Index Average — Annually 3.778% — Annually 55,257
JPY 271,350,600 256,578 (E) (77) 8/29/43 Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually 0.343% — Annually (256,655)
JPY 267,307,900 69,786 (59,425) 2/25/31 0.003% — Annually Tokyo Overnight Average Rate — Annually 10,131
JPY 110,098,700 45,396 (E) (17,965) 8/29/43 0.7495% — Annually Tokyo Overnight Average Rate — Annually 27,431
JPY 140,532,700 154,638 (E) (135,572) 8/29/43 0.194% — Annually Tokyo Overnight Average Rate — Annually 19,066
NOK 8,591,000 15,784 (E) 987 12/21/32 3.48% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 16,770
NZD 3,764,000 87,733 (E) (5,015) 12/21/32 3 month NZD-BBR-FRA — Quarterly 4.175% — Semiannually (92,748)
SEK 53,882,000 82,717 (E) (10,331) 12/21/32 2.925% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 72,387
Total $2,117,124 $17,759,552
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/22 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC
$2,391,316 $2,093,905 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually $(287,373)
2,285,366 2,200,365 — 7/17/24 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly (78,342)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (365,715)
Total $— Total $(365,715)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 10/31/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index B+/P $1,539 $18,900 $4,290 5/11/63 300 bp — Monthly $(2,740)
CMBX NA BBB-.6 Index B+/P 9,980 102,202 23,200 5/11/63 300 bp — Monthly (13,161)
CMBX NA BBB-.6 Index B+/P 16,545 187,603 42,586 5/11/63 300 bp — Monthly (25,932)
CMBX NA BBB-.6 Index B+/P 19,586 227,504 51,643 5/11/63 300 bp — Monthly (31,925)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A-/P 14,591 66,851 7,354 5/11/63 200 bp — Monthly 7,263
CMBX NA A.6 Index A-/P 17,760 74,408 8,185 5/11/63 200 bp — Monthly 9,604
CMBX NA A.6 Index A-/P 27,135 94,173 10,359 5/11/63 200 bp — Monthly 16,813
CMBX NA A.6 Index A-/P 28,714 108,124 11,894 5/11/63 200 bp — Monthly 16,862
CMBX NA A.6 Index A-/P 34,485 132,539 14,579 5/11/63 200 bp — Monthly 19,957
CMBX NA A.6 Index A-/P 63,321 208,110 22,892 5/11/63 200 bp — Monthly 40,510
CMBX NA A.6 Index A-/P 46,648 230,781 25,386 5/11/63 200 bp — Monthly 21,351
CMBX NA A.6 Index A-/P 71,820 251,127 27,624 5/11/63 200 bp — Monthly 44,294
CMBX NA BB.11 Index BB-/P 167,805 297,000 63,914 11/18/54 500 bp — Monthly 104,179
CMBX NA BB.12 Index BB-/P 11,025 21,000 5,120 8/17/61 500 bp — Monthly 5,926
CMBX NA BB.13 Index BB-/P 11,397 114,000 29,834 12/16/72 500 bp — Monthly (18,326)
CMBX NA BB.13 Index BB-/P 35,081 385,000 100,755 12/16/72 500 bp — Monthly (65,299)
CMBX NA BB.13 Index BB-/P 54,265 575,000 150,478 12/16/72 500 bp — Monthly (95,654)
CMBX NA BB.13 Index BB-/P 102,570 1,125,000 294,413 12/16/72 500 bp — Monthly (190,749)
CMBX NA BB.14 Index BB/P 28,945 264,000 61,670 12/16/72 500 bp — Monthly (32,469)
CMBX NA BB.6 Index B-/P 244,400 439,200 167,730 5/11/63 500 bp — Monthly 77,097
CMBX NA BB.6 Index B-/P 385,740 1,936,080 739,389 5/11/63 500 bp — Monthly (351,766)
CMBX NA BB.7 Index B-/P 136,056 2,666,000 886,445 1/17/47 500 bp — Monthly (747,797)
CMBX NA BB.9 Index B/P 8,348 41,000 12,968 9/17/58 500 bp — Monthly (4,581)
CMBX NA BB.9 Index B/P 65,555 321,000 101,532 9/17/58 500 bp — Monthly (35,665)
CMBX NA BBB-.10 Index BB+/P 26,678 215,000 38,098 11/17/59 300 bp — Monthly (11,295)
CMBX NA BBB-.10 Index BB+/P 42,328 388,000 68,754 11/17/59 300 bp — Monthly (26,199)
CMBX NA BBB-.11 Index BBB-/P 7,704 123,000 19,139 11/18/54 300 bp — Monthly (11,363)
CMBX NA BBB-.14 Index BBB-/P 2,029 41,000 7,565 12/16/72 300 bp — Monthly (5,512)
CMBX NA BBB-.14 Index BBB-/P 1,683 54,000 9,963 12/16/72 300 bp — Monthly (8,249)
CMBX NA BBB-.14 Index BBB-/P 3,419 75,000 13,838 12/16/72 300 bp — Monthly (10,375)
CMBX NA BBB-.14 Index BBB-/P 3,155 97,000 17,897 12/16/72 300 bp — Monthly (14,685)
CMBX NA BBB-.14 Index BBB-/P 9,801 196,000 36,162 12/16/72 300 bp — Monthly (26,247)
CMBX NA BBB-.14 Index BBB-/P 6,992 214,000 39,483 12/16/72 300 bp — Monthly (32,366)
CMBX NA BBB-.15 Index BBB-/P 11,072 106,000 19,896 11/18/64 300 bp — Monthly (8,762)
CMBX NA BBB-.15Index BBB-/P 4,248 25,000 4,693 11/18/64 300 bp — Monthly (430)
Credit Suisse International
CMBX NA BB.7 Index B-/P 63,938 478,000 158,935 1/17/47 500 bp — Monthly (94,533)
CMBX NA BBB-.7 Index BB-/P 27,745 351,000 73,043 1/17/47 300 bp — Monthly (45,094)
CMBX NA BBB-.7 Index BB-/P 138,664 1,876,000 390,396 1/17/47 300 bp — Monthly (250,637)
CMBX NA BBB-.7 Index BB-/P 143,170 2,180,000 453,658 1/17/47 300 bp — Monthly (309,216)
Goldman Sachs International
CMBX NA BB.6 Index B-/P 204,708 432,000 164,981 5/11/63 500 bp — Monthly 40,147
CMBX NA BB.6 Index B-/P 249,681 545,760 208,426 5/11/63 500 bp — Monthly 41,786
CMBX NA BB.9 Index B/P 10,109 25,000 7,908 9/17/58 500 bp — Monthly 2,226
CMBX NA BBB-.13 Index BBB-/P 11,283 72,000 14,011 12/16/72 300 bp — Monthly (2,686)
CMBX NA BBB-.13 Index BBB-/P 4,765 80,000 15,568 12/16/72 300 bp — Monthly (10,756)
CMBX NA BBB-.13 Index BBB-/P 7,097 120,000 23,352 12/16/72 300 bp — Monthly (16,185)
CMBX NA BBB-.13 Index BBB-/P 7,542 120,000 23,352 12/16/72 300 bp — Monthly (15,740)
CMBX NA BBB-.13 Index BBB-/P 14,269 222,000 43,201 12/16/72 300 bp — Monthly (28,802)
CMBX NA BBB-.13 Index BBB-/P 14,538 316,000 61,494 12/16/72 300 bp — Monthly (46,771)
CMBX NA BBB-.14 Index BBB-/P 51,702 302,000 55,719 12/16/72 300 bp — Monthly (3,841)
CMBX NA BBB-.14 Index BBB-/P 112,425 740,000 136,530 12/16/72 300 bp — Monthly (23,673)
CMBX NA BBB-.15 Index BBB-/P 1,305 21,000 3,942 11/18/64 300 bp — Monthly (2,625)
CMBX NA BBB-.15 Index BBB-/P 17,747 192,000 36,038 11/18/64 300 bp — Monthly (18,179)
CMBX NA BBB-.15 Index BBB-/P 17,096 192,000 36,038 11/18/64 300 bp — Monthly (18,831)
CMBX NA BBB-.7 Index BB-/P 54,254 734,000 152,745 1/17/47 300 bp — Monthly (98,064)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 17,251 215,000 69,918 5/11/63 500 bp — Monthly (52,458)
CMBX NA BB.6 Index B-/P 10,811 15,120 5,774 5/11/63 500 bp — Monthly 5,051
CMBX NA BBB-.13 Index BBB-/P 34,234 259,000 50,401 12/16/72 300 bp — Monthly (16,016)
CMBX NA BBB-.8 Index BB/P 37,581 241,000 40,512 10/17/57 300 bp — Monthly (2,791)
Merrill Lynch International
CMBX NA BB.6 Index B-/P 28,625 184,320 70,392 5/11/63 500 bp — Monthly (41,587)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 4,192 46,000 12,038 12/16/72 500 bp — Monthly (7,802)
CMBX NA BB.13 Index BB-/P 10,544 110,000 28,787 12/16/72 500 bp — Monthly (18,136)
CMBX NA BB.13 Index BB-/P 12,184 131,000 34,283 12/16/72 500 bp — Monthly (21,971)
CMBX NA BB.13 Index BB-/P 18,751 203,000 53,125 12/16/72 500 bp — Monthly (34,177)
CMBX NA BB.13 Index BB-/P 41,316 450,000 117,765 12/16/72 500 bp — Monthly (76,011)
CMBX NA BB.6 Index B-/P 120,960 207,360 79,191 5/11/63 500 bp — Monthly 41,971
CMBX NA BB.6 Index B-/P 261,412 443,520 169,380 5/11/63 500 bp — Monthly 92,468
CMBX NA BB.6 Index B-/P 224,148 476,640 182,029 5/11/63 500 bp — Monthly 42,583
CMBX NA BBB-.13 Index BBB-/P 118 2,000 389 12/16/72 300 bp — Monthly (270)
CMBX NA BBB-.13 Index BBB-/P 2,205 24,000 4,670 12/16/72 300 bp — Monthly (2,452)
CMBX NA BBB-.13 Index BBB-/P 3,083 33,000 6,422 12/16/72 300 bp — Monthly (3,320)
CMBX NA BBB-.13 Index BBB-/P 4,295 63,000 12,260 12/16/72 300 bp — Monthly (7,928)
CMBX NA BBB-.14 Index BBB-/P 7,733 47,000 8,672 12/16/72 300 bp — Monthly (911)
CMBX NA BBB-.14 Index BBB-/P 122,192 736,000 135,792 12/16/72 300 bp — Monthly (13,171)
CMBX NA BBB-.15 Index BBB-/P 71,737 455,000 85,404 11/18/64 300 bp — Monthly (13,401)
CMBX NA BBB-.9 Index BB+/P 2,330 24,000 4,853 9/17/58 300 bp — Monthly (2,509)
Upfront premium received 3,910,160 Unrealized appreciation 630,088
Upfront premium (paid) — Unrealized (depreciation) (3,072,091)
Total $3,910,160 Total $(2,442,003)
* 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, 2022. 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 10/31/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(201,802) $837,000 $272,192 11/17/59 (500 bp) — Monthly $69,577
CMBX NA BB.10 Index (136,680) 536,000 174,307 11/17/59 (500 bp) — Monthly 37,106
CMBX NA BB.10 Index (30,474) 292,000 94,958 11/17/59 (500 bp) — Monthly 64,200
CMBX NA BB.10 Index (26,425) 241,000 78,373 11/17/59 (500 bp) — Monthly 51,714
CMBX NA BB.11 Index (25,912) 200,000 43,040 11/18/54 (500 bp) — Monthly 16,934
CMBX NA BB.11 Index (3,683) 71,000 15,279 11/18/54 (500 bp) — Monthly 11,527
CMBX NA BB.11 Index (2,451) 26,000 5,595 11/18/54 (500 bp) — Monthly 3,119
CMBX NA BB.8 Index (84,415) 236,747 87,123 10/17/57 (500 bp) — Monthly 2,478
CMBX NA BB.8 Index (17,507) 136,250 50,140 10/17/57 (500 bp) — Monthly 32,501
CMBX NA BBB-.10 Index (117,433) 683,000 121,028 11/17/59 (300 bp) — Monthly 3,196
CMBX NA BBB-.10 Index (112,583) 485,000 85,942 11/17/59 (300 bp) — Monthly (26,924)
CMBX NA BBB-.10 Index (44,315) 349,000 61,843 11/17/59 (300 bp) — Monthly 17,324
CMBX NA BBB-.10 Index (82,547) 346,000 61,311 11/17/59 (300 bp) — Monthly (21,437)
CMBX NA BBB-.10 Index (53,699) 246,000 43,591 11/17/59 (300 bp) — Monthly (10,252)
CMBX NA BBB-.10 Index (46,791) 215,000 38,098 11/17/59 (300 bp) — Monthly (8,819)
CMBX NA BBB-.10 Index (12,748) 100,000 17,720 11/17/59 (300 bp) — Monthly 4,914
CMBX NA BBB-.10 Index (9,561) 75,000 13,290 11/17/59 (300 bp) — Monthly 3,686
CMBX NA BBB-.10 Index (8,564) 70,000 12,404 11/17/59 (300 bp) — Monthly 3,799
CMBX NA BBB-.12 Index (32,563) 473,000 82,964 8/17/61 (300 bp) — Monthly 50,125
CMBX NA BBB-.12 Index (139,005) 416,000 72,966 8/17/61 (300 bp) — Monthly (66,281)
CMBX NA BBB-.12 Index (143,904) 414,000 72,616 8/17/61 (300 bp) — Monthly (71,529)
CMBX NA BBB-.12 Index (49,915) 284,000 49,814 8/17/61 (300 bp) — Monthly (220)
CMBX NA BBB-.12 Index (97,719) 278,000 48,761 8/17/61 (300 bp) — Monthly (49,120)
CMBX NA BBB-.13 Index (12,165) 208,000 40,477 12/16/72 (300 bp) — Monthly 28,191
CMBX NA BBB-.13 Index (4,939) 97,000 18,876 12/16/72 (300 bp) — Monthly 13,880
CMBX NA BBB-.13 Index (3,833) 70,000 13,622 12/16/72 (300 bp) — Monthly 9,748
CMBX NA BBB-.13 Index (2,622) 52,000 10,119 12/16/72 (300 bp) — Monthly 7,467
CMBX NA BBB-.6 Index (143,487) 536,209 121,720 5/11/63 300 bp — Monthly (22,080)
CMBX NA BBB-.8 Index (59,400) 396,000 66,568 10/17/57 (300 bp) — Monthly 6,937
CMBX NA BBB-.8 Index (60,065) 380,000 63,878 10/17/57 (300 bp) — Monthly 3,591
CMBX NA BBB-.8 Index (29,831) 215,000 36,142 10/17/57 (300 bp) — Monthly 6,185
CMBX NA BBB-.8 Index (27,337) 191,000 32,107 10/17/57 (300 bp) — Monthly 4,659
CMBX NA BBB-.8 Index (19,250) 123,000 20,676 10/17/57 (300 bp) — Monthly 1,355
CMBX NA BBB-.8 Index (13,043) 94,000 15,801 10/17/57 (300 bp) — Monthly 2,704
CMBX NA BBB-.8 Index (5,625) 36,000 6,052 10/17/57 (300 bp) — Monthly 406
CMBX NA BBB-.9 Index (12,539) 53,000 10,717 9/17/58 (300 bp) — Monthly (1,854)
Credit Suisse International
CMBX NA BB.10 Index (80,855) 606,000 197,071 11/17/59 (500 bp) — Monthly 112,637
CMBX NA BB.10 Index (71,945) 605,000 196,746 11/17/59 (500 bp) — Monthly 124,213
CMBX NA BB.10 Index (39,651) 319,000 103,739 11/17/59 (500 bp) — Monthly 63,777
CMBX NA BB.7 Index (54,048) 293,000 97,423 1/17/47 (500 bp) — Monthly 43,089
CMBX NA BB.7 Index (4,130) 168,480 64,343 5/11/63 (500 bp) — Monthly 60,048
Goldman Sachs International
CMBX NA A.6 Index (23,158) 137,190 15,091 5/11/63 (200 bp) — Monthly (8,120)
CMBX NA A.6 Index (23,473) 133,120 14,643 5/11/63 (200 bp) — Monthly (8,881)
CMBX NA A.6 Index (9,474) 83,128 9,144 5/11/63 (200 bp) — Monthly (362)
CMBX NA A.6 Index (13,845) 82,546 9,080 5/11/63 (200 bp) — Monthly (4,797)
CMBX NA A.6 Index (12,756) 75,571 8,313 5/11/63 (200 bp) — Monthly (4,473)
CMBX NA A.6 Index (11,781) 67,432 7,418 5/11/63 (200 bp) — Monthly (4,390)
CMBX NA A.6 Index (9,258) 53,481 5,883 5/11/63 (200 bp) — Monthly (3,395)
CMBX NA A.6 Index (8,331) 49,993 5,499 5/11/63 (200 bp) — Monthly (2,851)
CMBX NA A.6 Index (7,459) 44,761 4,924 5/11/63 (200 bp) — Monthly (2,553)
CMBX NA A.6 Index (7,459) 44,761 4,924 5/11/63 (200 bp) — Monthly (2,553)
CMBX NA A.6 Index (7,308) 43,017 4,732 5/11/63 (200 bp) — Monthly (2,592)
CMBX NA A.6 Index (7,308) 43,017 4,732 5/11/63 (200 bp) — Monthly (2,592)
CMBX NA A.6 Index (3,913) 23,252 2,558 5/11/63 (200 bp) — Monthly (1,364)
CMBX NA A.6 Index (3,913) 23,252 2,558 5/11/63 (200 bp) — Monthly (1,364)
CMBX NA A.6 Index (2,484) 14,533 1,599 5/11/63 (200 bp) — Monthly (891)
CMBX NA A.6 Index (244) 1,744 192 5/11/63 (200 bp) — Monthly (53)
CMBX NA A.6 Index (174) 1,163 128 5/11/63 (200 bp) — Monthly (47)
CMBX NA A.6 Index (79) 581 64 5/11/63 (200 bp) — Monthly (15)
CMBX NA A.6 Index (96) 581 64 5/11/63 (200 bp) — Monthly (33)
CMBX NA A.6 Index (86) 581 64 5/11/63 (200 bp) — Monthly (22)
CMBX NA BB.6 Index (11,756) 68,400 26,122 5/11/63 (500 bp) — Monthly 14,299
CMBX NA BB.7 Index (35,063) 214,000 71,155 1/17/47 (500 bp) — Monthly 35,884
CMBX NA BB.7 Index (31,765) 174,000 57,855 1/17/47 (500 bp) — Monthly 25,921
CMBX NA BB.7 Index (26,028) 172,000 57,190 1/17/47 (500 bp) — Monthly 30,994
CMBX NA BB.8 Index (79,919) 220,319 81,078 10/17/57 (500 bp) — Monthly 944
CMBX NA BB.8 Index (68,734) 195,195 71,832 10/17/57 (500 bp) — Monthly 2,908
CMBX NA BB.8 Index (25,917) 69,575 25,603 10/17/57 (500 bp) — Monthly (381)
CMBX NA BBB-.12 Index (19,885) 102,000 17,891 8/17/61 (300 bp) — Monthly (2,054)
CMBX NA BBB-.12 Index (2,702) 8,000 1,403 8/17/61 (300 bp) — Monthly (1,303)
CMBX NA BBB-.13 Index (20,233) 267,000 51,958 12/16/72 (300 bp) — Monthly 31,570
JPMorgan Securities LLC
CMBX NA A.6 Index (19,224) 143,003 15,730 5/11/63 (200 bp) — Monthly (3,550)
CMBX NA BB.7 Index (1,004,768) 2,052,000 682,290 1/17/47 (500 bp) — Monthly (324,478)
CMBX NA BBB-.11 Index (18,504) 168,000 26,141 11/18/54 (300 bp) — Monthly 7,539
CMBX NA BBB-.7 Index (577,517) 2,460,000 511,926 1/17/47 (300 bp) — Monthly (67,026)
Merrill Lynch International
CMBX NA BB.10 Index (33,229) 584,000 189,917 11/17/59 (500 bp) — Monthly 156,120
CMBX NA BB.9 Index (78) 2,000 633 9/17/58 (500 bp) — Monthly 553
CMBX NA BBB-.7 Index (75,310) 919,000 191,244 1/17/47 (300 bp) — Monthly 115,398
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (13,065) 77,896 8,569 5/11/63 (200 bp) — Monthly (4,527)
CMBX NA A.6 Index (1,944) 11,626 1,279 5/11/63 (200 bp) — Monthly (669)
CMBX NA A.6 Index (581) 3,488 384 5/11/63 (200 bp) — Monthly (199)
CMBX NA A.6 Index (293) 1,744 192 5/11/63 (200 bp) — Monthly (101)
CMBX NA A.6 Index (193) 1,163 128 5/11/63 (200 bp) — Monthly (66)
CMBX NA A.6 Index (171) 1,163 128 5/11/63 (200 bp) — Monthly (44)
CMBX NA A.6 Index (191) 1,163 128 5/11/63 (200 bp) — Monthly (64)
CMBX NA A.6 Index (91) 581 64 5/11/63 (200 bp) — Monthly (27)
CMBX NA A.6 Index (84) 581 64 5/11/63 (200 bp) — Monthly (20)
CMBX NA BB.10 Index (108,971) 464,000 150,893 11/17/59 (500 bp) — Monthly 41,471
CMBX NA BB.10 Index (93,555) 308,000 100,162 11/17/59 (500 bp) — Monthly 6,307
CMBX NA BB.10 Index (30,624) 292,000 94,958 11/17/59 (500 bp) — Monthly 64,051
CMBX NA BB.12 Index (1,533) 21,000 5,120 8/17/61 (500 bp) — Monthly 3,566
CMBX NA BB.7 Index (53,896) 268,000 89,110 1/17/47 (500 bp) — Monthly 34,953
CMBX NA BB.7 Index (36,252) 188,000 62,510 1/17/47 (500 bp) — Monthly 26,075
CMBX NA BB.7 Index (10,105) 54,000 17,955 1/17/47 (500 bp) — Monthly 7,798
CMBX NA BB.7 Index (8,476) 42,000 13,965 1/17/47 (500 bp) — Monthly 5,448
CMBX NA BB.8 Index (9,059) 24,158 8,890 10/17/57 (500 bp) — Monthly (193)
CMBX NA BB.9 Index (24,292) 161,000 50,924 9/17/58 (500 bp) — Monthly 26,475
CMBX NA BB.9 Index (5,715) 94,000 29,732 9/17/58 (500 bp) — Monthly 23,926
CMBX NA BB.9 Index (11,806) 78,000 24,671 9/17/58 (500 bp) — Monthly 12,789
CMBX NA BB.9 Index (5,724) 43,000 13,601 9/17/58 (500 bp) — Monthly 7,835
CMBX NA BB.9 Index (1,231) 9,000 2,847 9/17/58 (500 bp) — Monthly 1,607
CMBX NA BBB-.10 Index (40,010) 462,000 81,866 11/17/59 (300 bp) — Monthly 41,587
CMBX NA BBB-.10 Index (39,854) 323,000 57,236 11/17/59 (300 bp) — Monthly 17,194
CMBX NA BBB-.10 Index (27,596) 215,000 38,098 11/17/59 (300 bp) — Monthly 10,377
CMBX NA BBB-.10 Index (22,321) 176,000 31,187 11/17/59 (300 bp) — Monthly 8,763
CMBX NA BBB-.10 Index (19,291) 161,000 28,529 11/17/59 (300 bp) — Monthly 9,145
CMBX NA BBB-.10 Index (17,629) 139,000 24,631 11/17/59 (300 bp) — Monthly 6,921
CMBX NA BBB-.10 Index (26,413) 121,000 21,441 11/17/59 (300 bp) — Monthly (5,042)
CMBX NA BBB-.10 Index (27,781) 121,000 21,441 11/17/59 (300 bp) — Monthly (6,410)
CMBX NA BBB-.10 Index (11,275) 52,000 9,214 11/17/59 (300 bp) — Monthly (2,091)
CMBX NA BBB-.10 Index (4,730) 20,000 3,544 11/17/59 (300 bp) — Monthly (1,198)
CMBX NA BBB-.12 Index (1,052) 19,000 3,333 8/17/61 (300 bp) — Monthly 2,269
CMBX NA BBB-.13 Index (35,253) 572,000 111,311 12/16/72 (300 bp) — Monthly 75,725
CMBX NA BBB-.7 Index (30,222) 476,000 99,056 1/17/47 (300 bp) — Monthly 68,556
CMBX NA BBB-.7 Index (34,235) 336,000 69,922 1/17/47 (300 bp) — Monthly 35,491
CMBX NA BBB-.8 Index (2,316) 17,000 2,858 10/17/57 (300 bp) — Monthly 532
Upfront premium received — Unrealized appreciation 1,822,078
Upfront premium (paid) (5,086,522) Unrealized (depreciation) (749,307)
Total $(5,086,522) Total $1,072,771
* 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 SOLD at 10/31/22 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation
CDX NA HY Series 38 Index B+/P $52,868 $12,838,320 $98,470 6/20/27 500 bp — Quarterly $218,626
Total $52,868 $218,626
* 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, 2022. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
bp Basis Points
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
OTC Over-the-counter
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2022 through October 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $386,102,058.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
7/31/22		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
10/31/22
Short-term investments
Putnam Short Term Investment Fund* $42,452,304 $29,549,798 $55,726,986 $226,390 $16,275,116
Total Short-term investments $42,452,304 $29,549,798 $55,726,986 $226,390 $16,275,116
* 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 $1,578,710.
(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 $1,711,003.
(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 $4,113,602.
(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 $6,238,252.
(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.
(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.
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 93.7%
Indonesia 0.8
Cote d'lvoire 0.7
Sweden 0.5
Mexico 0.5
Dominican Republic 0.5
Other 3.3
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, 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, 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 $1,744,401 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,711,003 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*:
Utilities and power $— $26,342 $—
Total common stocks — 26,342 —
Asset-backed securities — 3,075,060 —
Convertible bonds and notes — 15,397,578 —
Corporate bonds and notes — 75,515,248 —
Foreign government and agency bonds and notes — 27,968,722 —
Mortgage-backed securities — 174,511,292 —
Senior loans — 7,522,751 —
U.S. government and agency mortgage obligations — 533,341,031 —
U.S. treasury obligations — 3,846,227 —
Short-term investments 9,504,000 71,450,001 —
Totals by level $9,504,000 $912,654,252 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(301,909) $—
Futures contracts 4,118,800 — —
Forward premium swap option contracts — 13,899,594 —
TBA sale commitments — (243,455,064) —
Interest rate swap contracts — 15,642,428 —
Total return swap contracts — (365,715) —
Credit default contracts — (27,112) —
Totals by level $4,118,800 $(214,607,778) $—
* 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 swap option contracts (contract amount) $1,334,000,000
Written swap option contracts (contract amount) $792,600,000
Futures contracts (number of contracts) 1,000
Forward currency contracts (contract amount) $68,800,000
Centrally cleared interest rate swap contracts (notional) $3,081,000,000
OTC total return swap contracts (notional) $4,700,000
OTC credit default contracts (notional) $66,600,000
Centrally cleared credit default contracts (notional) $9,600,000
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