NPORT-EX 2 b_073nport103124.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Premier Income Trust
The fund's portfolio
10/31/24 (Unaudited)


MORTGAGE-BACKED SECURITIES (34.8%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (11.7%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 $827,041 $154,749
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 3,644,309 784,550
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 8,879,297 2,011,420
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 4,629,677 934,303
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 308,127 42,306
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 7,394,351 1,504,884
REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 4,165,682 912,350
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 392,134 25,422
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 118,800 3,222
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 1.279%, 9/25/50 7,385,855 934,210
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 1.129%, 7/25/50 6,925,984 780,541
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 1.079%, 1/25/50 4,499,964 516,712
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.976%, 8/15/56 4,550,133 605,883
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,472,205 230,549
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 68,148 11,403
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 2,270,733 337,221
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 193,188 28,621
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 6,554,902 1,483,595
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 268,099 55,788
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 1.429%, 4/25/40 537,768 58,901
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 1.279%, 3/25/48 2,731,001 240,815
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 1.229%, 6/25/48 4,907,829 584,531
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 1.179%, 5/25/47 5,954,021 557,290
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 1.079%, 8/25/49 2,582,286 253,085
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 1.029%, 11/25/49 5,228,211 622,839
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.929%, 10/25/41 1,195,459 111,659
Government National Mortgage Association
Ser. 24-4, Class IG, IO, 5.00%, 12/20/52 3,903,282 682,350
Ser. 16-42, IO, 5.00%, 2/20/46 1,648,974 322,205
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 2,851,054 571,887
Ser. 14-76, IO, 5.00%, 5/20/44 669,057 133,173
Ser. 12-146, IO, 5.00%, 12/20/42 480,266 101,808
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,264,612 471,988
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 402,273 84,556
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,231,567 246,347
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 6,942,562 1,491,012
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 934,498 178,280
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 830,576 157,590
Ser. 21-214, Class AI, IO, 4.00%, 12/20/51 5,185,970 1,005,252
Ser. 20-13, Class AI, IO, 4.00%, 3/20/46 8,745,836 1,208,823
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,598,852 314,932
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,033,559 154,279
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 338,094 6,152
Ser. 21-156, IO, 3.50%, 7/20/51 8,357,071 1,396,197
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 4,905,245 872,835
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,794,764 273,118
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,755,445 285,348
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 763,869 120,142
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 639,131 37,968
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 6,966,560 1,177,224
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 5,483,586 891,623
Ser. 16-H18, Class QI, IO, 2.894%, 6/20/66(WAC) 2,484,876 140,343
Ser. 18-H15, Class KI, IO, 2.141%, 8/20/68(WAC) 4,003,079 165,035
Ser. 17-H19, Class MI, IO, 2.105%, 4/20/67(WAC) 1,996,475 90,315
Ser. 16-H03, Class DI, IO, 2.015%, 12/20/65(WAC) 3,447,338 121,191
Ser. 15-H20, Class CI, IO, 2.004%, 8/20/65(WAC) 4,290,068 214,718
Ser. 17-H16, Class JI, IO, 1.956%, 8/20/67(WAC) 10,720,038 481,072
Ser. 16-H23, Class NI, IO, 1.906%, 10/20/66(WAC) 10,942,258 470,561
Ser. 15-H25, Class EI, IO, 1.881%, 10/20/65(WAC) 2,643,832 82,398
Ser. 16-H22, Class AI, IO, 1.866%, 10/20/66(WAC) 4,284,434 172,341
Ser. 15-H20, Class AI, IO, 1.814%, 8/20/65(WAC) 3,654,388 93,669
Ser. 17-H11, Class DI, IO, 1.787%, 5/20/67(WAC) 3,965,016 196,022
Ser. 15-H23, Class BI, IO, 1.756%, 9/20/65(WAC) 3,961,299 87,101
Ser. 16-H24, Class CI, IO, 1.673%, 10/20/66(WAC) 2,749,407 60,229
Ser. 17-H12, Class QI, IO, 1.648%, 5/20/67(WAC) 3,535,771 127,051
Ser. 13-H08, Class CI, IO, 1.572%, 2/20/63(WAC) 1,794,683 59,928
IFB Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.56%, 2/20/53 13,673,118 916,214
Ser. 14-H21, Class BI, IO, 1.559%, 10/20/64(WAC) 4,003,256 99,141
Ser. 17-H16, Class IG, IO, 1.529%, 7/20/67(WAC) 8,707,330 224,484
Ser. 17-H06, Class BI, IO, 1.439%, 2/20/67(WAC) 4,376,875 142,901
IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.426%, 6/20/51 9,603,094 1,324,087
IFB Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.426%, 5/20/51 6,075,011 780,429
IFB Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.426%, 4/20/51 12,208,099 1,616,935
IFB Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.426%, 4/20/51 4,153,341 532,900
IFB Ser. 20-133, Class CS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.426%, 9/20/50 5,435,138 730,760
Ser. 17-H08, Class NI, IO, 1.401%, 3/20/67(WAC) 5,571,590 188,526
Ser. 16-H06, Class DI, IO, 1.374%, 7/20/65(WAC) 7,066,290 205,806
Ser. 15-H10, Class BI, IO, 1.324%, 4/20/65(WAC) 2,533,532 107,445
IFB Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 1.306%, 4/20/44 3,266,117 357,956
FRB Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 1.30%, 11/20/47 6,601,570 712,474
Ser. 18-H02, Class EI, IO, 1.277%, 1/20/68(WAC) 7,594,719 379,751
IFB Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 1.276%, 7/20/50 3,327,585 412,493
IFB Ser. 19-5, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 1.276%, 1/20/49 2,733,842 319,218
Ser. 16-H09, Class BI, IO, 1.267%, 4/20/66(WAC) 5,248,231 225,175
Ser. 18-H05, Class BI, IO, 1.239%, 2/20/68(WAC) 5,069,194 241,385
IFB Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.226%, 5/20/50 4,053,648 479,963
IFB Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.226%, 4/20/50 5,203,927 657,303
IFB Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.226%, 8/20/49 4,018,446 462,413
IFB Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.226%, 7/20/49 3,563,360 406,583
IFB Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.226%, 7/20/49 4,424,315 446,044
Ser. 17-H09, IO, 1.217%, 4/20/67(WAC) 5,909,936 177,735
IFB Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 1.176%, 12/20/49 2,426,532 279,311
IFB Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 1.176%, 9/20/49 3,977,156 443,513
IFB Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 1.126%, 8/20/43 4,405,355 478,985
Ser. 17-H02, Class BI, IO, 1.055%, 1/20/67(WAC) 2,615,383 97,865
IFB Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.726%, 8/20/44 1,398,718 111,352
Ser. 16-H10, Class AI, IO, 0.489%, 4/20/66(WAC) 7,457,187 176,474
Ser. 16-H03, Class AI, IO, 0.462%, 1/20/66(WAC) 9,970,301 372,141
42,641,674
Commercial mortgage-backed securities (10.8%)
BANK FRB Ser. 24-BNK48, Class XA, IO, 1.353%, 9/15/34(WAC) 9,734,000 864,464
Bank5
FRB Ser. 24-5YR10, Class XA, 1.404%, 10/15/57(WAC) 14,890,000 746,879
FRB Ser. 24-5YR7, Class XA, 1.334%, 6/15/57(WAC) 10,896,202 586,763
BBCMS Mortgage Trust
FRB Ser. 24-5C29, Class XA, IO, 1.60%, 9/15/57(WAC) 16,446,146 1,105,286
FRB Ser. 24-C26, Class XA, IO, 1.014%, 5/15/57(WAC) 5,714,207 440,803
FRB Ser. 22-C14, Class XA, IO, 0.705%, 2/15/55(WAC) 10,525,584 387,692
BDS, Ltd. 144A FRB Ser. 21-FL9, Class A, (CME Term SOFR 1 Month + 1.18%), 5.944%, 11/16/38 (Cayman Islands) 372,798 371,778
Benchmark Mortgage Trust FRB Ser. 24-V10, Class XA, IO, 1.306%, 9/15/57(WAC) 14,080,000 766,779
BMO Mortgage Trust FRB Ser. 24-5C6, Class XA, IO, 1.353%, 9/15/57(WAC) 12,368,438 684,497
CD Commercial Mortgage Trust Ser. 17-CD4, Class B, 3.947%, 5/10/50(WAC) 1,008,000 923,672
CFCRE Commercial Mortgage Trust Ser. 16-C7, Class A3, 3.839%, 12/10/54 908,000 881,906
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) 424,000 368,972
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 4.783%, 4/10/47(WAC) 912,000 856,482
Ser. 13-CR12, Class AM, 4.30%, 10/10/46 382,816 354,663
Ser. 14-UBS5, Class AM, 4.193%, 9/10/47(WAC) 622,470 610,406
Ser. 15-DC1, Class B, 4.035%, 2/10/48(WAC) 906,000 850,064
Ser. 14-UBS3, Class AM, 4.012%, 6/10/47 803,000 757,580
FRB Ser. 15-LC19, Class B, 3.829%, 2/10/48(WAC) 548,000 530,163
COMM Mortgage Trust 144A
FRB Ser. 13-CR13, Class D, 4.944%, 11/10/46(WAC) 1,081,000 664,289
FRB Ser. 14-CR17, Class D, 4.843%, 5/10/47(WAC) 725,000 579,985
FRB Ser. 14-CR19, Class D, 4.539%, 8/10/47(WAC) 254,947 242,907
Ser. 12-CR3, Class F, 4.435%, 10/15/45 (In default)(NON)(WAC) 395,189 23,325
CSAIL Commercial Mortgage Trust
Ser. 15-C2, Class AS, 3.849%, 6/15/57(WAC) 617,000 603,648
Ser. 15-C1, Class AS, 3.791%, 4/15/50(WAC) 870,000 860,246
Ser. 16-C5, Class A5, 3.757%, 11/15/48 468,000 460,868
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.354%, 8/10/44(WAC) 447,663 419,320
Federal Home Loan Mortgage Corporation Multifamily Structured Credit Risk FRB Ser. 21-MN1, Class M2, 8.607%, 1/25/51 555,000 568,565
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 8.857%, 11/25/51 1,746,000 1,787,543
Government National Mortgage Association FRB Ser. 24-32, IO, 0.706%, 6/16/63(WAC) 15,068,102 750,809
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.537%, 2/10/46(WAC) 1,016,000 988,030
GS Mortgage Securities Trust FRB Ser. 19-GC42, Class XA, IO, 0.808%, 9/10/52(WAC) 13,865,583 427,591
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.446%, 9/10/47(WAC) 620,000 301,577
FRB Ser. 13-GC13, Class AS, 3.87%, 7/10/46(WAC) 750,899 723,491
JPMBB Commercial Mortgage Securities Trust
Ser. 15-C31, Class A3, 3.801%, 8/15/48 451,405 445,300
Ser. 16-C1, Class A5, 3.576%, 3/17/49 275,000 270,138
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.536%, 2/15/47(WAC) 513,000 417,993
FRB Ser. 14-C23, Class D, 4.054%, 9/15/47(WAC) 287,000 249,330
FRB Ser. C14, Class D, 4.039%, 8/15/46(WAC) 500,000 384,861
JPMDB Commercial Mortgage Securities Trust
FRB Ser. 18-C8, Class C, 4.757%, 6/15/51(WAC) 402,000 342,890
Ser. 18-C8, Class B, 4.522%, 6/15/51 504,000 450,002
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.373%, 4/15/46(WAC) 574,000 209,554
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) 432,000 399,727
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 (In default)(NON)(WAC) 1,390,000 216,757
LSTAR Commercial Mortgage Trust 144A Ser. 17-5, Class A5, 3.549%, 3/10/50 1,149,000 1,103,830
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 15-C22, Class C, 4.197%, 4/15/48(WAC) 1,263,000 1,083,209
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C12, Class D, 4.804%, 10/15/46(WAC) 416,000 371,540
FRB Ser. 13-C10, Class F, 3.982%, 7/15/46(WAC) 1,988,000 129,159
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 383,723 327,426
FRB Ser. 18-H3, Class C, 4.849%, 7/15/51(WAC) 404,000 376,870
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 8.721%, 3/25/50 1,506,352 1,535,210
FRB Ser. 19-01, Class M10, 8.221%, 10/25/49 1,154,497 1,169,189
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.205%, 6/25/37 323,424 323,834
SG Commercial Mortgage Securities Trust Ser. 16-C5, Class A4, 3.055%, 10/10/48 1,034,000 992,554
Shelter Growth CRE Issuer, Ltd. 144A FRB Ser. 22-FL4, Class A, 7.055%, 6/17/37 (Bermuda) 581,308 583,317
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 1,081,996 81
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.382%, 8/15/50(WAC) 498,000 457,719
Wells Fargo Commercial Mortgage Trust
FRB Ser. 15-SG1, Class B, 4.445%, 9/15/48(WAC) 559,000 527,337
Ser. 15-NXS4, Class A4, 3.718%, 12/15/48 383,000 378,113
Ser. 15-C31, Class A4, 3.695%, 11/15/48 891,000 879,849
Ser. 15-NXS3, Class A4, 3.617%, 9/15/57 866,000 854,092
Ser. 20-C56, Class A2, 2.498%, 6/15/53 49,371 46,541
FRB Ser. 19-C52, Class XA, IO, 1.559%, 8/15/52(WAC) 6,885,271 393,169
FRB Ser. 24-5C1, Class XA, 1.029%, 7/15/57(WAC) 12,876,098 543,702
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C30, Class D, 4.489%, 9/15/58(WAC) 265,000 239,368
FRB Ser. 13-LC12, Class D, 3.95%, 7/15/46(WAC) 356,000 129,852
Ser. 14-LC16, Class D, 3.938%, 8/15/50 656,176 82,561
WF-RBS Commercial Mortgage Trust
Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 365,000 337,121
Ser. 14-C24, Class AS, 3.931%, 11/15/47 731,000 712,710
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 12-C9, Class E, 4.719%, 11/15/45(WAC) 431,958 409,637
FRB Ser. 13-C15, Class D, 4.188%, 8/15/46(WAC) 1,317,000 487,315
39,352,900
Residential mortgage-backed securities (non-agency) (12.3%)
A&D Mortgage Trust 144A Ser. 24-NQM1, Class A1, 6.195%, 2/25/69 1,596,192 1,604,171
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.042%, 5/25/47 602,743 340,688
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.352%, 1/25/36 95,960 89,731
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.032%, 11/25/47 452,648 391,008
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.202%, 3/25/37 1,487,947 1,256,582
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 6.021%, 8/25/46 188,048 166,175
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 6.001%, 6/25/46 287,315 271,181
FRB Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 5.552%, 9/25/35 370,570 329,903
FRB Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 5.534%, 11/20/35 966,313 907,491
FRB Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.232%, 8/25/46 479,163 416,275
FRB Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.232%, 8/25/46 2,436,962 2,043,246
FRB Ser. 07-OH1, Class A1D, (CME Term SOFR 1 Month + 0.32%), 5.062%, 4/25/47 344,991 289,030
FRB Ser. 06-OA7, Class 1A1, 3.361%, 6/25/46(WAC) 799,087 754,818
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.471%, 5/25/28 823,827 861,976
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 14.971%, 7/25/28 2,787,332 3,040,748
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.321%, 4/25/28 1,279,431 1,372,155
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 14.171%, 10/25/27 726,703 753,039
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.221%, 2/25/49 254,000 318,002
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.395%, 10/25/48 1,619,000 2,058,793
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.357%, 10/25/50 491,000 680,579
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 16.221%, 4/25/49 298,000 362,818
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 15.721%, 1/25/49 315,000 392,975
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.471%, 3/25/49 252,000 300,239
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 14.971%, 8/25/50 966,000 1,309,283
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 14.971%, 7/25/50 1,027,000 1,386,517
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 12.721%, 9/25/48 389,000 453,136
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B2, (US 30 Day Average SOFR + 7.71%), 12.571%, 3/25/50 625,000 750,145
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class B2, (US 30 Day Average SOFR + 6.25%), 11.107%, 10/25/33 299,000 357,135
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M2, (US 30 Day Average SOFR + 3.75%), 8.607%, 2/25/42 450,000 471,668
Structured Agency Credit risk Debt FRN Class M1B, (US 30 Day Average SOFR + 3.35%), 8.207%, 6/25/43 700,000 732,588
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 685,000 657,821
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) 879,000 855,778
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 346,000 320,167
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 17.721%, 10/25/28 238,430 274,401
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.221%, 9/25/28 2,295,332 2,614,630
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 16.721%, 10/25/28 1,286,544 1,468,288
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 16.721%, 8/25/28 830,411 929,086
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 15.721%, 1/25/29 267,594 304,442
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (US 30 Day Average SOFR + 10.36%), 15.221%, 1/25/29 266,076 303,231
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.221%, 4/25/29 394,973 441,964
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.357%, 1/25/42 402,000 424,638
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.071%, 9/25/31 483,392 513,042
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (US 30 Day Average SOFR + 3.36%), 8.221%, 1/25/40 459,000 474,850
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.857%, 1/25/42 1,640,000 1,683,531
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.162%, 5/25/37 512,905 285,782
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.394%, 5/19/35 400,674 119,030
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 9.007%, 1/25/34 (Bermuda) 300,000 305,862
JPMorgan Mortgage Trust 144A FRB Ser. 24-9, Class A11, (US 30 Day Average SOFR + 1.35%), 6.207%, 2/25/55 556,681 558,606
LHOME Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28 786,000 795,342
MFA Trust Ser. 24-NPL1, Class A1, stepped-coupon 6.33% (9.33%, 9/25/27), 9/25/54(STP) 702,000 702,820
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 3.41%, 2/26/37 379,849 342,940
Morgan Stanley Residential Mortgage Loan Trust 144A FRB Ser. 24-4, Class AF, (US 30 Day Average SOFR + 1.35%), 6.207%, 9/25/54 371,968 372,182
MortgageIT Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 5.647%, 8/25/35 66,664 63,443
NYMT Loan Trust 144A Ser. 22-BPL1, Class A1, stepped-coupon 3.967% (5.967%, 7/25/25), 11/25/27(STP) 678,234 676,648
Saluda Grade Alternative Mortgage Trust 144A
Ser. 24-RTL5, Class A1, stepped-coupon 7.762% (9.262%, 9/1/26), 4/25/30(STP) 1,400,000 1,405,793
Ser. 24-RTL4, Class A1, stepped-coupon 7.50% (8.50%, 7/1/26), 2/25/30(STP) 928,000 931,281
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.47%), 5.212%, 1/25/37 490,052 422,702
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 1,033,000 926,299
Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 815,000 675,833
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 5.832%, 10/25/45 206,089 197,802
44,510,329
Total mortgage-backed securities (cost $133,263,644) $126,504,903








U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (28.6%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (10.7%)
Government National Mortgage Association Pass-Through Certificates
5.50%, TBA, 11/1/54 $11,000,000 $10,940,249
5.50%, 5/20/49 38,049 38,491
5.00%, TBA, 11/1/54 8,000,000 7,814,939
5.00%, 5/20/49 115,158 113,555
4.50%, TBA, 11/1/54 12,000,000 11,455,008
4.50%, with due dates from 10/20/49 to 1/20/50 112,969 107,474
4.00%, TBA, 11/1/54 8,000,000 7,448,125
3.50%, TBA, 11/1/54 1,000,000 903,791
3.50%, with due dates from 8/20/49 to 3/20/50 329,431 294,483
39,116,115
U.S. Government Agency Mortgage Obligations (17.9%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 115,500 114,101
Uniform Mortgage-Backed Securities
6.50%, TBA, 11/1/54 33,000,000 33,685,175
6.00%, TBA, 11/1/54 23,000,000 23,150,213
5.00%, TBA, 11/1/54 4,000,000 3,887,148
3.00%, TBA, 11/1/54 2,000,000 1,722,042
2.50%, TBA, 11/1/54 3,000,000 2,482,258
65,040,937
Total U.S. government and agency mortgage obligations (cost $105,876,673) $104,157,052








U.S. TREASURY OBLIGATIONS (—%)(a)
        Principal amount Value
U.S. Treasury Notes 1.375%, 1/31/25(i) $111,000 $110,515
Total U.S. treasury obligations (cost $110,515) $110,515








CORPORATE BONDS AND NOTES (26.7%)(a)
        Principal amount Value
Basic materials (2.2%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) $515,000 $562,532
Arcosa, Inc. 144A company guaranty sr. unsec. notes 6.875%, 8/15/32 115,000 118,140
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 1,080,000 1,024,052
Avient Corp. 144A sr. unsec. notes 6.25%, 11/1/31 100,000 100,359
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 475,000 451,044
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 530,000 533,513
Cleveland-Cliffs, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/1/33 225,000 226,870
Cleveland-Cliffs, Inc. 144A company guaranty sr. unsec. notes 7.00%, 3/15/32 220,000 220,524
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 595,000 547,933
Constellium SE company guaranty sr. unsec. unsub. notes Ser. REGS, 3.125%, 7/15/29 (France) EUR 650,000 665,729
Constellium SE 144A company guaranty sr. unsec. unsub. notes 6.375%, 8/15/32 (France) $385,000 379,360
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 480,000 461,353
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 1,100,000 1,029,904
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. LLC Co-Issuer 144A sr. notes 6.00%, 9/15/28 (Canada) 460,000 454,610
Miter Brands Acquisition Holdco, Inc./MIWD Borrower, LLC 144A company guaranty sr. notes 6.75%, 4/1/32 455,000 463,133
Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 965,000 1,014,548
8,253,604
Capital goods (1.4%)
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) 955,000 988,275
Boeing Co. (The) sr. unsec. notes 2.95%, 2/1/30 31,000 27,457
Boeing Co. (The) sr. unsec. notes 2.70%, 2/1/27 303,000 286,088
Boeing Co. (The) 144A sr. unsec. notes 6.298%, 5/1/29 89,000 92,221
Bombardier, Inc. 144A sr. unsec. notes 7.00%, 6/1/32 (Canada) 1,020,000 1,045,551
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 466,000 446,583
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27 580,000 554,466
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 607,000 640,288
Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 206,000 222,431
Terex Corp. 144A sr. unsec. notes 6.25%, 10/15/32 135,000 134,481
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 420,000 430,905
TransDigm, Inc. 144A sr. notes 6.625%, 3/1/32 145,000 147,636
5,016,382
Communication services (1.5%)
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 910,000 872,710
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 910,000 894,243
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 541,000 468,250
T-Mobile USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29 1,820,000 1,710,301
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.05%, 2/15/28 500,000 459,550
Vmed O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom) EUR 610,000 619,803
Zegona Finance PLC 144A sr. notes 8.625%, 7/15/29 (United Kingdom) $435,000 460,556
5,485,413
Consumer cyclicals (5.3%)
Allied Universal Holdco, LLC/Allied Universal Finance Corp. 144A sr. notes 7.875%, 2/15/31 450,000 458,342
Banijay Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France) 795,000 825,094
Bath & Body Works, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35 985,000 1,001,093
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 490,000 457,684
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 509,000 522,151
Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) 193,000 207,309
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 595,000 584,460
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 7.875%, 4/1/30 445,000 454,099
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31 640,000 561,380
Dufry One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands) EUR 560,000 601,003
FirstCash, Inc. 144A sr. unsec. notes 6.875%, 3/1/32 (Mexico) $814,000 824,293
Hyundai Capital America 144A sr. unsec. notes 4.55%, 9/26/29 (South Korea) 470,000 458,679
Levi Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 EUR 668,000 726,788
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 $995,000 1,018,031
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 585,000 550,963
McGraw-Hill Education, Inc. 144A sr. notes 7.375%, 9/1/31 339,000 347,507
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 260,000 255,095
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 265,000 247,837
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 590,000 549,570
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. notes 7.375%, 2/15/31 168,000 177,568
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 565,000 556,957
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty notes 6.25%, 1/15/28 455,000 454,972
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32 50,000 51,007
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.00%, 2/1/33 425,000 427,875
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.625%, 9/30/31 175,000 174,394
RR Donnelley & Sons Co. 144A sr. notes 9.50%, 8/1/29 440,000 443,467
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 610,000 625,803
Standard Building Solutions, Inc. 144A sr. unsec. notes 6.50%, 8/15/32 185,000 186,322
Standard Industries, Inc./NY sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 EUR 560,000 589,810
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 $625,000 568,419
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 1,056,000 1,022,262
Toll Brothers Finance Corp. company guaranty sr. unsec. notes 3.80%, 11/1/29 485,000 460,842
Verisure Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden) EUR 1,310,000 1,424,397
Viking Ocean Cruises Ship VII, Ltd. 144A sr. notes 5.625%, 2/15/29 (Bermuda) $767,000 757,017
Volkswagen Group of America Finance, LLC 144A company guaranty sr. unsec. notes 1.625%, 11/24/27 510,000 459,872
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 155,000 163,174
19,195,536
Consumer staples (1.4%)
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 459,000 451,155
Ashtead Capital, Inc. 144A notes 4.00%, 5/1/28 475,000 457,905
Avis Budget Finance PLC company guaranty sr. unsec. notes Ser. REGS, 7.25%, 7/31/30 EUR 410,000 449,030
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 EUR 245,000 268,323
EquipmentShare.com, Inc. 144A notes 9.00%, 5/15/28 $435,000 450,349
Haleon US Capital, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/29 485,000 458,528
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 6.625%, 6/15/29 140,000 143,369
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/30 (Luxembourg) 460,000 459,344
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 (Luxembourg) 244,000 224,347
Philip Morris International, Inc. sr. unsec. unsub. notes 5.125%, 2/15/30 900,000 911,418
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 7/15/30 196,000 181,184
VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 560,000 542,073
4,997,025
Energy (3.8%)
6297782 LLC 144A company guaranty sr. unsec. notes 5.026%, 10/1/29 460,000 452,751
Aker BP ASA 144A sr. unsec. notes 5.60%, 6/13/28 (Norway) 450,000 458,253
Antero Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 555,000 539,386
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 6.75%, 4/15/29 454,000 459,301
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 925,000 969,964
Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) 1,570,000 1,613,982
Expand Energy Corp. company guaranty sr. unsec. notes 5.375%, 2/1/29 560,000 552,066
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 590,000 551,372
KazMunayGas National Co. JSC sr. unsec. unsub. bonds Ser. REGS, 6.375%, 10/24/48 (Kazakhstan) 1,000,000 948,877
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 1,005,000 998,122
Matador Resources Co. 144A company guaranty sr. unsec. unsub. notes 6.875%, 4/15/28 731,000 744,780
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) 683,000 696,630
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 300,000 299,349
Petroleos Mexicanos company guaranty sr. unsec. notes Ser. REGS, 10.00%, 2/7/33 (Mexico) 330,000 350,017
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 790,000 681,440
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 425,000 378,242
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) 600,000 591,806
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 476,000 449,790
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 436,000 435,151
Targa Resources Corp. company guaranty sr. unsec. unsub. notes 6.15%, 3/1/29 440,000 459,585
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 270,000 270,050
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 985,000 1,023,853
13,924,767
Financials (5.3%)
Acrisure, LLC/Acrisure Finance, Inc. 144A sr. notes 7.50%, 11/6/30 435,000 442,663
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. sub. notes 4.625%, 9/10/29 (Ireland) 670,000 657,932
AIB Group PLC 144A sr. unsec. notes 6.608%, 9/13/29 (Ireland) 435,000 457,494
Air Lease Corp. sr. unsec. sub. notes 5.85%, 12/15/27 1,000,000 1,029,730
Aircastle, Ltd. 144A sr. unsec. notes 5.25%, 8/11/25 455,000 454,762
Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 905,000 935,486
Athene Global Funding 144A notes 5.583%, 1/9/29 450,000 456,769
Aviation Capital Group, LLC 144A sr. unsec. notes 5.375%, 7/15/29 455,000 457,926
Bank of America Corp. sr. unsec. notes 6.204%, 11/10/28 955,000 993,228
Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 470,000 461,689
Bank of Nova Scotia (The) sr. unsec. unsub. notes 5.35%, 12/7/26 (Canada) 570,000 579,176
CaixaBank SA 144A sr. unsec. notes 6.208%, 1/18/29 (Spain) 445,000 458,497
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 222,449
F&G Annuities & Life, Inc. company guaranty sr. unsec. notes 7.40%, 1/13/28 440,000 457,642
Ford Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27 200,000 201,816
Ford Motor Co. sr. unsec. unsub. notes 4.125%, 8/17/27 290,000 280,336
GA Global Funding Trust 144A notes 4.40%, 9/23/27 500,000 492,835
Jefferson Capital Holdings, LLC 144A sr. unsec. notes 9.50%, 2/15/29 995,000 1,059,179
Jones Deslauriers Insurance Management, Inc. 144A sr. notes 8.50%, 3/15/30 (Canada) 420,000 445,211
JPMorgan Chase & Co. sr. unsec. unsub. notes 6.07%, 10/22/27 1,810,000 1,856,864
Morgan Stanley sr. unsec. notes 5.123%, 2/1/29 1,350,000 1,361,132
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 1,100,000 1,053,169
New York Life Global Funding 144A sr. notes 4.90%, 6/13/28 455,000 458,998
Protective Life Global Funding 144A 5.467%, 12/8/28 585,000 599,339
RHP Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 6.50%, 4/1/32 455,000 460,723
Toronto-Dominion Bank (The) sr. unsec. notes 5.264%, 12/11/26 (Canada) 325,000 329,315
UBS Group AG 144A sr. unsec. notes 5.428%, 2/8/30 (Switzerland) 375,000 380,479
USB AG/Stamford, CT sr. unsec. unsub. notes 7.50%, 2/15/28 265,000 285,691
VICI Properties LP sr. unsec. unsub. notes 4.95%, 2/15/30 935,000 918,759
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 5.574%, 7/25/29 895,000 914,198
19,163,487
Health care (1.7%)
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 603,000 539,358
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 120,000 110,111
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 525,000 538,972
GE HealthCare Technologies, Inc. sr. unsec. notes 4.80%, 8/14/29 460,000 459,356
Illumina, Inc. sr. unsec. sub. notes 4.65%, 9/9/26 258,000 257,466
Kedrion SpA 144A company guaranty sr. notes 6.50%, 9/1/29 (Italy) 1,120,000 1,057,994
Pharmacia, LLC company guaranty sr. unsec. notes 6.60%, 12/1/28 955,000 1,022,095
Tenet Healthcare Corp. company guaranty sr. notes 6.75%, 5/15/31 1,005,000 1,028,113
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) 989,000 1,107,360
6,120,825
Technology (0.8%)
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 455,000 447,604
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 990,000 924,862
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 598,000 578,651
Motorola Solutions, Inc. sr. unsec. unsub. notes 5.00%, 4/15/29 455,000 458,558
Seagate HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands) 339,000 386,658
2,796,333
Transportation (0.2%)
Air France-KLM sr. unsec. notes 8.125%, 5/31/28 (France) EUR 500,000 610,447
610,447
Utilities and power (3.1%)
Aegea Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil) $500,000 533,428
Ameren Corp. sr. unsec. unsub. notes 5.00%, 1/15/29 325,000 326,802
Buffalo Energy Mexico Holdings/Buffalo Energy Infrastructure/Buffalo Energy 144A company guaranty sr. bonds 7.875%, 2/15/39 (Mexico) 530,000 546,775
Constellation Energy Generation, LLC sr. unsec. notes 5.60%, 3/1/28 445,000 457,214
Diamond II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) 1,220,000 1,236,344
Duke Energy Carolinas, LLC company guaranty sr. unsec. unsub. notes Ser. A, 6.00%, 12/1/28 435,000 457,379
Electricite De France SA 144A jr. unsec. sub. FRB 9.125%, perpetual maturity (France) 535,000 607,297
Energo-Pro a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic) 700,000 753,804
Energy Transfer LP company guaranty sr. unsec. notes 5.25%, 4/15/29 905,000 913,496
Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 450,000 459,139
Georgia Power Co. sr. unsec. unsub. notes 5.004%, 2/23/27 325,000 328,671
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/1/29 555,000 555,788
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.25%, 11/1/34 250,000 249,893
Pacific Gas and Electric Co. sr. notes 6.10%, 1/15/29 440,000 457,126
PG&E Corp. sr. sub. notes 5.25%, 7/1/30 1,045,000 1,019,251
Southern Co. (The) sr. unsec. notes 5.50%, 3/15/29 570,000 586,528
Virginia Electric and Power Co. sr. unsec. unsub. notes Ser. A, 2.875%, 7/15/29 1,000,000 924,451
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 6.875%, 4/15/32 465,000 481,184
Vistra Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29 590,000 562,091
11,456,661
Total corporate bonds and notes (cost $95,278,336) $97,020,480








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.5%)(a)
        Principal amount Value
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) EUR 470,000 $427,181
Benin (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin) EUR 690,000 671,564
Benin (Republic of) 144A sr. unsec. notes 7.96%, 2/13/38 (Benin) $850,000 838,313
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.125%, 3/15/34 (Brazil) 2,360,000 2,337,964
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 10/20/33 (Brazil) 430,000 427,409
Bulgaria (Republic of) sr. unsec. bonds Ser. 30Y, 1.375%, 9/23/50 (Bulgaria) EUR 632,000 414,159
Chile (Republic of) sr. unsec. unsub. bonds 4.85%, 1/22/29 (Chile) $1,280,000 1,284,133
Colombia (Republic of) sr. unsec. unsub. notes 8.00%, 11/14/35 (Colombia) 1,240,000 1,257,131
Costa Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica) 710,000 724,733
Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d'lvoire) EUR 2,060,000 1,965,657
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) $715,000 725,368
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 1,350,000 1,358,649
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 930,000 894,253
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) 810,000 647,922
Guatemala (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.60%, 6/13/36 (Guatemala) 1,480,000 1,507,195
Indonesia (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.35%, 1/8/27 (Indonesia) 530,000 528,095
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,260,452
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 670,000 661,124
Panama (Republic of) sr. unsec. unsub. bonds 7.50%, 3/1/31 (Panama) 1,610,000 1,695,312
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 3.849%, 6/28/33 (Paraguay) 970,000 861,118
Romania (Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania) 910,000 965,568
Romania (Government of) 144A sr. unsec. notes 6.375%, 1/30/34 (Romania) 1,170,000 1,173,206
Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) 950,000 980,265
Serbia (Republic of) sr. unsec. notes Ser. REGS, 6.50%, 9/26/33 (Serbia) 830,000 869,148
South Africa (Republic of) sr. unsec. bonds 5.00%, 10/12/46 (South Africa) 600,000 437,787
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa) 1,340,000 1,312,416
Turkey (Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey) 660,000 737,992
United Mexican States sr. unsec. unsub. bonds 2.659%, 5/24/31 (Mexico) 2,670,000 2,220,656
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 1,720,000 1,718,460
Total foreign government and agency bonds and notes (cost $30,436,206) $30,903,230








SENIOR LOANS (6.0%)(a)(c)
        Principal amount Value
Basic materials (0.3%)
Nouryon Finance BV bank term loan FRN Ser. B, (EURIBOR 3 Month ACT/360 + 3.50%), 6.719%, 4/3/28 (Netherlands) EUR 440,000 $479,670
Quikrete Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.25%), 6.935%, 3/26/29 $456,535 457,083
Treasure Holdco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 8.786%, 10/10/31 200,000 198,438
1,135,191
Capital goods (0.8%)
Chart Industries, Inc. bank term loan FRN (CME Term SOFR 1 Month + 2.50%), 7.092%, 3/18/30 953,044 956,027
CPM Holdings, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.50%), 9.172%, 9/28/28 368,456 361,745
Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 7.889%, 6/15/28 441,577 441,939
TK Elevator US Newco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.588%, 4/15/30 293,061 294,170
TransDigm, Inc. bank term loan FRN Ser. J, (CME Term SOFR 1 Month + 2.50%), 7.104%, 2/28/31 266,662 267,214
WEC US Holdings, Ltd. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 7.422%, 1/20/31 443,888 444,709
2,765,804
Communication services (0.4%)
CSC Holdings, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.50%), 7.174%, 4/15/27 461,367 430,271
DIRECTV Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.097%, 8/2/29 970,771 946,196
1,376,467
Consumer cyclicals (1.5%)
APi Group DE, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.00%), 6.685%, 1/3/29 200,000 200,132
Banijay Group US Holding, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.196%, 3/1/28 193,526 194,180
Caesars Entertainment, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 7.435%, 1/24/31 492,525 493,564
Carnival Corp. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.75%), 7.435%, 10/18/28 802,768 805,778
EMRLD Borrower LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.50%), 7.557%, 6/18/31 45,000 45,020
Flutter Financing BV bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.00%), 6.604%, 11/18/30 238,200 238,438
Gray Television, Inc. bank term loan FRN Ser. D, (CME Term SOFR 1 Month + 3.00%), 7.786%, 10/27/28 521,929 492,497
Hunter Douglas, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 8.571%, 2/25/29 441,612 440,896
Neptune Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 9.758%, 4/11/29 349,340 323,721
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.535%, 1/29/28 449,460 447,493
PG Investment Co. 59 SARL bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.604%, 3/26/31 199,500 200,123
Robertshaw US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.313%, 2/28/27 (In default)(NON) 162,000 2,430
Scientific Games Holdings LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.00%), 7.59%, 4/4/29 458,835 457,493
Station Casinos, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.25%), 6.935%, 3/7/31 104,475 104,426
White Cap Buyer, LLC bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.25%), 7.935%, 10/19/29 1,037,347 1,036,419
5,482,610
Consumer staples (0.2%)
IRB Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 7.535%, 12/15/27 588,337 588,937
588,937
Energy (0.4%)
CQP Holdco LP bank term loan FRN (CME Term SOFR 1 Month + 2.25%), 6.854%, 12/31/30 1,521,791 1,522,948
1,522,948
Financials (0.1%)
Alliant Holdings Intermediate, LLC bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.00%), 7.759%, 9/12/31 437,794 436,304
436,304
Health care (0.9%)
Bausch + Lomb Corp. bank term loan FRN (CME Term SOFR 1 Month + 4.00%), 8.685%, 9/29/28 274,917 275,948
Bausch + Lomb Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.095%, 5/5/27 740,754 741,217
DaVita, Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 2.00%), 6.685%, 5/6/31 260,000 260,163
Medline Borrower LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 7.435%, 10/23/28 402,289 403,116
Pacific Dental Services, Inc. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 7.536%, 3/10/31 393,025 393,548
Phoenix Guarantor, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 7.935%, 2/13/31 457,700 458,311
Phoenix Newco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.685%, 11/15/28 541,024 541,354
Waystar Technologies, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 7.435%, 10/22/29 206,837 207,893
3,281,550
Technology (1.0%)
Ahead DB Holdings, LLC bank term loan FRN Class B3, (CME Term SOFR 1 Month + 3.50%), 8.104%, 2/3/31 203,164 204,052
Cloud Software Group, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.00%), 8.604%, 3/29/29 1,010,659 1,011,578
Dun & Bradstreet Corp. (The) bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 7.468%, 1/18/29 437,800 439,013
Idera, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 8.071%, 3/2/28 438,900 432,270
McAfee Corp. bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.25%), 8.10%, 3/1/29 483,788 483,821
Proofpoint, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.00%), 7.685%, 8/31/28 523,335 524,274
UKG, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 7.617%, 1/31/31 458,850 459,889
3,554,897
Transportation (0.4%)
American Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 9.629%, 4/20/28 832,222 857,235
Genesee & Wyoming, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.00%), 6.604%, 4/5/31 300,000 299,552
WestJet Loyalty LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.354%, 2/14/31 373,125 373,563
1,530,350
Total senior loans (cost $21,849,986) $21,675,058








CONVERTIBLE BONDS AND NOTES (2.9%)(a)
        Principal amount Value
Capital goods (0.2%)
Axon Enterprise, Inc. company guaranty cv. sr. unsec. notes 0.50%, 12/15/27 $130,000 $246,220
Fluor Corp. cv. sr. unsec. notes 1.125%, 8/15/29 51,000 66,836
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 72,000 79,178
Tetra Tech, Inc. cv. sr. unsec. notes 2.25%, 8/15/28 178,000 240,478
632,712
Consumer cyclicals (0.6%)
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 100,000 86,545
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 90,000 224,044
Carnival Corp. company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27 140,000 256,253
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 127,000 107,506
Global Payments, Inc. 144A cv. sr. unsec. notes 1.50%, 3/1/31 177,000 169,655
Liberty Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27 213,000 236,659
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 237,000 302,332
Meritage Homes Corp. 144A company guaranty cv. sr. unsec. notes 1.75%, 5/15/28 144,000 153,576
Patrick Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28 83,000 115,194
Rivian Automotive, Inc. cv. sr. unsec. sub. notes 4.625%, 3/15/29 122,000 106,384
Shift4 Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27 158,000 162,345
Spectrum Brands, Inc. 144A company guaranty cv. sr. unsec. notes 3.375%, 6/1/29 72,000 73,103
1,993,596
Consumer staples (0.3%)
Chefs' Warehouse, Inc. (The) cv. sr. unsec. unsub. notes 2.375%, 12/15/28 88,000 99,517
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 243,000 199,089
JD.com, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/29 (China) 100,000 114,550
Lyft, Inc. 144A cv. sr. unsec. sub. notes 0.625%, 3/1/29 75,000 72,975
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 137,000 135,141
Uber Technologies, Inc. 144A cv. sr. unsec. notes 0.875%, 12/1/28 198,000 239,085
Wayfair, Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27 176,000 185,504
Zillow Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26 76,000 105,070
1,150,931
Energy (0.1%)
Nabors Industries, Inc. company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 138,000 104,834
Northern Oil and Gas, Inc. cv. sr.unsec. notes 3.625%, 4/15/29 157,000 182,002
286,836
Financials (0.1%)
Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 3.125%, 7/15/29 109,000 130,800
Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28(R) 187,000 269,467
400,267
Health care (0.4%)
Alnylam Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27 139,000 158,808
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 109,000 102,378
BridgeBio Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27 54,000 54,043
Dexcom, Inc. cv. sr. unsec. unsub. notes 0.375%, 5/15/28 248,000 219,976
Exact Sciences Corp. 144A cv. sr. unsec. notes 1.75%, 4/15/31 226,000 226,376
Haemonetics Corp. 144A cv. sr. unsec. sub. notes 2.50%, 6/1/29 107,000 102,292
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 1.00%, 8/15/28 143,000 158,015
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 130,000 153,433
Integer Holdings Corp. cv. sr. unsec. unsub. notes 2.125%, 2/15/28 88,000 134,024
Lantheus Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27 100,000 154,725
Repligen Corp. 144A cv. sr. unsec. notes 1.00%, 12/15/28 95,000 95,439
Sarepta Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27 45,000 50,873
1,610,382
Technology (1.1%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 224,000 231,112
Alibaba Group Holding, Ltd. 144A cv. sr. unsec. notes 0.50%, 6/1/31 (China) 59,000 68,101
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 161,000 146,430
Box, Inc. 144A cv. sr. unsec. notes 1.50%, 9/15/29 111,000 109,391
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 42,000 58,380
Evolent Health, Inc. 144A cv. sr. unsec. notes 3.50%, 12/1/29 36,000 36,540
Guidewire Software, Inc. 144A cv. sr. unsec. notes 1.25%, 11/1/29 216,000 220,212
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 16,000 31,456
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 53,000 94,536
Lumentum Holdings, Inc. cv. sr. unsec. notes 1.50%, 12/15/29 201,000 232,959
Microchip Technology, Inc. 144A cv. sr. unsec. notes 0.75%, 6/1/30 105,000 101,456
MicroStrategy, Inc. 144A cv. sr. unsec. notes 0.875%, 3/15/31 70,000 94,185
MicroStrategy, Inc. 144A cv. sr. unsec. sub. notes 0.625%, 3/15/30 55,000 99,894
MKS Instruments, Inc. 144A cv. sr. unsec. notes 1.25%, 6/1/30 144,000 139,176
Nutanix, Inc. cv. sr. unsec. notes 0.25%, 10/1/27 147,000 180,884
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 240,000 222,198
ON Semiconductor Corp. company guaranty cv. sr. unsec. notes 0.50%, 3/1/29 194,000 194,398
OSI Systems,Inc. 144A cv. sr. unsec. notes 2.25%, 8/1/29 109,000 106,417
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 9,000 32,652
Parsons Corp. 144A cv. sr. unsec. notes 2.625%, 3/1/29 137,000 177,552
Progress Software Corp. 144A cv. sr. unsec. sub. notes 3.50%, 3/1/30 124,000 146,096
Seagate HDD Cayman company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands) 223,000 299,378
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 170,000 146,469
Snowflake, Inc. 144A cv. sr. unsec. notes zero %, 10/1/27 109,000 112,325
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 199,000 251,835
Vertex, Inc. 144A cv. sr. unsec. sub. notes 0.75%, 5/1/29 112,000 147,728
Wolfspeed, Inc. cv. sr. unsec. notes 1.875%, 12/1/29 182,000 91,546
Workiva, Inc. cv. sr. unsec. sub. notes 1.25%, 8/15/28 145,000 137,525
3,910,831
Utilities and power (0.1%)
CMS Energy Corp. cv. sr. unsec. notes 3.375%, 5/1/28 112,000 119,448
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 71,000 156,342
PG&E Corp. 144A cv. sr. notes 4.25%, 12/1/27 107,000 116,817
Southern Co. (The) cv. sr. unsec. unsub. notes 3.875%, 12/15/25 130,000 145,243
537,850
Total convertible bonds and notes (cost $10,013,962) $10,523,405








SHORT-TERM INVESTMENTS (20.1%)(a)
        Principal amount/
shares		 Value
BPCE SA commercial paper 4.749%, 12/20/24 (France) $1,500,000 $1,490,240
GTA Funding, LLC asset-backed commercial paper 5.196%, 11/7/24 1,272,000 1,270,804
Putnam Government Money Market Fund Class P 4.62%(AFF) Shares 34,333,860 34,333,860
Putnam Short Term Investment Fund Class P 4.95%(AFF) Shares 30,004,939 30,004,939
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.82%(P) Shares 2,740,000 2,740,000
U.S. Treasury Bills 4.623%, 1/16/25(SEG)(SEGSF)(SEGTBA) $1,600,000 1,584,962
U.S. Treasury Bills 5.234%, 11/19/24(SEGSF)(SEGTBA) 600,000 598,615
U.S. Treasury Bills 4.664%, 12/17/24(SEGSF)(SEGTBA) 970,000 964,338
Total short-term investments (cost $72,987,691) $72,987,758
TOTAL INVESTMENTS
Total investments (cost $469,817,013) $463,882,401








FORWARD CURRENCY CONTRACTS at 10/31/24 (aggregate face value $30,513,676) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Canadian Dollar Sell 1/22/25 $432 $446 $14
Euro Sell 12/18/24 956,830 977,501 20,671
Japanese Yen Buy 11/20/24 972,800 1,034,388 (61,588)
New Zealand Dollar Sell 1/22/25 26,022 27,280 1,258
Norwegian Krone Sell 12/18/24 90,973 94,397 3,424
Swedish Krona Sell 12/18/24 424,940 442,292 17,352
Swiss Franc Buy 12/18/24 91,234 93,432 (2,198)
Barclays Bank PLC
Australian Dollar Sell 1/22/25 56,105 57,282 1,177
Canadian Dollar Sell 1/22/25 131,448 135,771 4,323
Euro Sell 12/18/24 647,331 662,789 15,458
Japanese Yen Sell 11/20/24 464,809 505,046 40,237
Norwegian Krone Sell 12/18/24 25,205 26,163 958
Swiss Franc Buy 12/18/24 203,298 207,714 (4,416)
Citibank, N.A.
Australian Dollar Sell 1/22/25 717,452 750,878 33,426
Euro Sell 12/18/24 1,225,461 1,251,803 26,342
Norwegian Krone Sell 12/18/24 213,062 221,001 7,939
Swedish Krona Sell 12/18/24 693,361 721,680 28,319
Goldman Sachs International
Canadian Dollar Sell 1/22/25 14,261 14,729 468
Japanese Yen Buy 11/20/24 2,141,115 2,290,357 (149,242)
Swiss Franc Buy 12/18/24 600,818 613,957 (13,139)
HSBC Bank USA, National Association
British Pound Sell 12/18/24 433,993 443,359 9,366
Euro Sell 12/18/24 1,324,087 1,352,961 28,874
Norwegian Krone Sell 12/18/24 35,380 36,710 1,330
Swedish Krona Sell 12/18/24 110,715 115,167 4,452
Swiss Franc Buy 12/18/24 57,138 58,380 (1,242)
JPMorgan Chase Bank N.A.
British Pound Sell 12/18/24 799,908 817,169 17,261
Canadian Dollar Sell 1/22/25 310,649 320,834 10,185
Euro Sell 12/18/24 98,843 100,966 2,123
Norwegian Krone Sell 12/18/24 20,459 21,207 748
Morgan Stanley & Co. International PLC
Australian Dollar Sell 1/22/25 1,350,680 1,413,667 62,987
British Pound Buy 12/18/24 210,550 215,368 (4,818)
Euro Sell 12/18/24 1,526,132 1,559,382 33,250
New Zealand Dollar Sell 1/22/25 993,146 1,041,478 48,332
NatWest Markets PLC
Australian Dollar Sell 1/22/25 19,887 20,072 185
British Pound Sell 12/18/24 176,511 180,297 3,786
Canadian Dollar Sell 1/22/25 235,166 242,861 7,695
Euro Buy 12/18/24 131,210 134,599 (3,389)
Swiss Franc Buy 12/18/24 91,234 93,219 (1,985)
State Street Bank and Trust Co.
Australian Dollar Sell 1/22/25 32,531 34,040 1,509
Euro Sell 12/18/24 2,955,492 3,011,599 56,107
Norwegian Krone Sell 12/18/24 433,335 449,729 16,394
Swedish Krona Sell 12/18/24 238,627 248,200 9,573
Toronto-Dominion Bank
British Pound Sell 12/18/24 110,239 112,601 2,362
Canadian Dollar Sell 1/22/25 788,184 814,011 25,827
Euro Sell 12/18/24 2,958,434 3,021,993 63,559
Japanese Yen Buy 11/20/24 9,013 9,584 (571)
Norwegian Krone Sell 12/18/24 442,209 458,894 16,685
UBS AG
Australian Dollar Sell 1/22/25 31,740 33,214 1,474
Canadian Dollar Sell 1/22/25 847,029 874,633 27,604
Euro Sell 12/18/24 609,952 623,092 13,140
Japanese Yen Buy 11/20/24 1,732,630 1,843,835 (111,205)
New Zealand Dollar Sell 1/22/25 99,662 104,507 4,845
Swedish Krona Sell 12/18/24 12,324 12,832 508
Swiss Franc Sell 12/18/24 302,445 311,405 8,960
WestPac Banking Corp.
Euro Sell 12/18/24 104,619 106,864 2,245
Swedish Krona Buy 12/18/24 140,048 146,041 (5,993)
Unrealized appreciation 682,732
Unrealized (depreciation) (359,786)
Total $322,946
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 10/31/24 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation
Euro-Bobl 5 yr (Short) 62 $7,968,095 $7,968,094 Dec-24 $57,946
U.S. Treasury Note 2 yr (Short) 343 70,639,242 70,639,242 Dec-24 623,845
U.S. Treasury Note Ultra 10 yr (Short) 29 3,298,750 3,298,750 Dec-24 131,717
Unrealized appreciation 813,508
Unrealized (depreciation) —
Total $813,508








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/24 (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.
(3.987)/US SOFR/Mar-40 (Purchased) Mar-30/3.987 $19,387,300 $(1,400,732) $(73,071)
3.987/US SOFR/Mar-40 (Purchased) Mar-30/3.987 19,387,300 (1,400,732) 108,743
(4.225)/US SOFR/Nov-36 (Purchased) Nov-26/4.225 4,605,400 (658,857) (73,967)
3.725/US SOFR/Nov-36 (Purchased) Nov-26/3.725 4,605,400 (629,260) (6,392)
(3.61)/US SOFR/Oct-34 (Purchased) Oct-29/3.61 1,989,900 (78,104) 5,970
3.61/US SOFR/Oct-34 (Purchased) Oct-29/3.61 1,989,900 (78,104) (5,534)
Barclays Bank PLC
3.00/US SOFR/Dec-48 (Purchased) Dec-38/3.00 39,734,000 (2,634,364) 78,316
3.10/US SOFR/Dec-42 (Purchased) Dec-32/3.10 32,618,500 (1,380,089) 204,518
Citibank, N.A.
2.585/6 month EUR-EURIBOR/Jul-30 (Purchased) Jul-25/2.585 EUR 12,170,100 (207,204) 64,919
2.588/6 month EUR-EURIBOR/Jul-32 (Written) Jul-27/2.588 EUR 12,170,100 364,096 86,709
(2.588)/6 month EUR-EURIBOR/Jul-32 (Written) Jul-27/2.588 EUR 12,170,100 364,096 (19,685)
(2.585)/6 month EUR-EURIBOR/Jul-30 (Purchased) Jul-25/2.585 EUR 12,170,100 (207,204) (104,157)
Deutsche Bank AG
(4.8525)/6 month AUD-BBR-BBSW/May-39 (Purchased) May-29/4.8525 AUD 17,654,000 (805,245) (28,151)
4.8525/6 month AUD-BBR-BBSW/May-39 (Purchased) May-29/4.8525 AUD 17,654,000 (805,245) (114,531)
4.448/6 month AUD-BBR-BBSW/Aug-34 (Written) Aug-29/4.448 AUD 16,733,600 365,510 (70,006)
(4.448)/6 month AUD-BBR-BBSW/Aug-34 (Written) Aug-29/4.448 AUD 16,733,600 365,510 99,222
(4.495)/6 month AUD-BBR-BBSW/Jul-35 (Purchased) Jul-25/4.495 AUD 16,226,800 (357,441) (33,329)
4.495/6 month AUD-BBR-BBSW/Jul-35 (Purchased) Jul-25/4.495 AUD 16,226,800 (357,441) (115,834)
4.381/6 month AUD-BBR-BBSW/Aug-34 (Written) Aug-29/4.381 AUD 10,966,100 242,377 (60,693)
(4.381)/6 month AUD-BBR-BBSW/Aug-34 (Written) Aug-29/4.381 AUD 10,966,100 242,377 68,754
2.239/6 month EUR-EURIBOR/May-58 (Written) May-28/2.239 EUR 1,599,700 224,505 53,916
(2.239)/6 month EUR-EURIBOR/May-58 (Written) May-28/2.239 EUR 1,599,700 224,505 (4,975)
2.25/6 month EUR-EURIBOR/Apr-54 (Written) Apr-34/2.25 EUR 1,049,200 147,524 19,213
(2.25)/6 month EUR-EURIBOR/Apr-54 (Written) Apr-34/2.25 EUR 1,049,200 147,524 (12,462)
Goldman Sachs International
2.85/3 month EUR-EURIBOR/Mar-29 (Purchased) Mar-28/2.85 EUR 40,603,400 (381,932) 7,950
(2.85)/3 month EUR-EURIBOR/Mar-29 (Purchased) Mar-28/2.85 EUR 40,603,400 (381,932) (205,815)
JPMorgan Chase Bank N.A.
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) 670,165
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) (269,333)
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) 493,497
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) (136,511)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) 373,525
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) (93,197)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) (113,619)
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) 450,337
2.602/6 month EUR-EURIBOR/Jul-31 (Purchased) Jul-26/2.602 EUR 63,284,500 (1,540,092) 241,965
(2.602)/6 month EUR-EURIBOR/Jul-31 (Purchased) Jul-26/2.602 EUR 63,284,500 (1,540,092) (505,544)
2.64/6 month EUR-EURIBOR/Jul-30 (Written) Jul-25/2.64 EUR 36,510,300 608,139 335,266
(2.64)/6 month EUR-EURIBOR/Jul-30 (Written) Jul-25/2.64 EUR 36,510,300 608,139 (273,153)
2.622/6 month EUR-EURIBOR/Jul-32 (Written) Jul-27/2.622 EUR 24,340,200 722,659 188,536
(2.622)/6 month EUR-EURIBOR/Jul-32 (Written) Jul-27/2.622 EUR 24,340,200 722,659 (63,993)
(4.201)/6 month EUR-EURIBOR/Apr-39 (Purchased) Apr-29/4.201 EUR 12,962,000 (324,787) (110,483)
1.201/6 month EUR-EURIBOR/Apr-39 (Purchased) Apr-29/1.201 EUR 12,962,000 (257,878) (34,727)
2.665/6 month EUR-EURIBOR/Apr-43 (Written) Apr-33/2.665 EUR 4,930,500 410,719 65,822
(2.665)/6 month EUR-EURIBOR/Apr-43 (Written) Apr-33/2.665 EUR 4,930,500 410,719 (20,428)
(3.515)/US SOFR/Dec-40 (Written) Dec-30/3.515 $24,864,400 1,755,427 197,771
3.515/US SOFR/Dec-40 (Written) Dec-30/3.515 24,864,400 1,864,830 (279,725)
(3.475)/US SOFR/Dec-38 (Written) Dec-28/3.475 16,341,800 1,096,535 230,027
3.475/US SOFR/Dec-38 (Written) Dec-28/3.475 16,341,800 1,096,535 (166,098)
3.0925/US SOFR/Mar-43 (Written) Mar-33/3.0925 2,852,600 239,618 (65,561)
(3.0925)/US SOFR/Mar-43 (Written) Mar-33/3.0925 2,852,600 239,618 68,268
Mizuho Capital Markets LLC
(3.5825)/US SOFR/Aug-44 (Written) Aug-34/3.5825 7,500,000 647,625 58,140
3.5825/US SOFR/Aug-44 (Written) Aug-34/3.5825 7,500,000 647,625 (56,535)
(4.0475)/US SOFR/Aug-36 (Purchased) Aug-26/4.0475 2,111,100 (554,039) (31,713)
3.5475/US SOFR/Aug-36 (Purchased) Aug-26/3.5475 2,111,100 (533,263) (24,856)
Morgan Stanley & Co. International PLC
(2.492)/6 month EUR-EURIBOR/Jun-51 (Written) Jun-31/2.492 EUR 19,189,200 2,447,368 (334,072)
2.492/6 month EUR-EURIBOR/Jun-51 (Written) Jun-31/2.492 EUR 19,189,200 2,447,368 537,461
(2.634)/6 month EUR-EURIBOR/Jun-47 (Purchased) Jun-27/2.634 EUR 15,351,400 (1,398,888) (487,562)
2.634/6 month EUR-EURIBOR/Jun-47 (Purchased) Jun-27/2.634 EUR 15,351,400 (1,398,888) 266,675
(2.952)/6 month EUR-EURIBOR/Jun-49 (Purchased) Jun-29/2.952 EUR 15,175,100 (1,204,758) (304,549)
2.352/6 month EUR-EURIBOR/Aug-49 (Purchased) Aug-29/2.352 EUR 6,587,700 (821,451) (14,840)
(2.352)/6 month EUR-EURIBOR/Aug-49 (Purchased) Aug-29/2.352 EUR 6,587,700 (821,451) (104,728)
UBS AG
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) 287,106
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) (110,227)
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) (51,481)
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) 84,955
Unrealized appreciation 5,347,746
Unrealized (depreciation) (4,581,537)
Total $766,209








TBA SALE COMMITMENTS OUTSTANDING at 10/31/24 (proceeds receivable $66,869,141) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 4.00%, 11/1/54 $1,000,000 11/20/24 $931,016
Government National Mortgage Association, 3.50%, 11/1/54 1,000,000 11/20/24 903,791
Uniform Mortgage-Backed Securities, 6.50%, 11/1/54 17,000,000 11/14/24 17,352,969
Uniform Mortgage-Backed Securities, 6.00%, 11/1/54 23,000,000 11/14/24 23,150,213
Uniform Mortgage-Backed Securities, 5.50%, 11/1/54 5,000,000 11/14/24 4,953,276
Uniform Mortgage-Backed Securities, 4.50%, 11/1/54 12,000,000 11/14/24 11,393,536
Uniform Mortgage-Backed Securities, 4.00%, 11/1/54 8,000,000 11/14/24 7,391,902
Total $66,076,703










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/24 (Unaudited)
  Notional amount Value   Upfront premium received (paid)  

Termi-

nation
date

 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$11,976,200 $30,060 (E) $(407) 12/13/57 US SOFR — Annually 3.524% — Annually $(30,467)
20,456,400 37,763 (E) (399) 11/27/39 3.869% — Annually US SOFR — Annually (38,161)
4,305,900 4,732 (E) (65) 3/18/36 3.757% — Annually US SOFR — Annually (4,797)
4,575,000 14,690 (E) (156) 2/20/59 3.485% — Annually US SOFR — Annually 14,535
64,167,800 281,953 (241) 3/18/26 US SOFR — Annually 4.413% — Annually (61,447)
3,176,900 1,932 (E) (48) 3/21/39 3.815% — Annually US SOFR — Annually 1,884
1,771,800 17,578 (E) (27) 3/31/38 US SOFR — Annually 3.93% — Annually 17,551
3,772,600 35,632 (E) (57) 3/21/39 US SOFR — Annually 3.958% — Annually 35,576
5,995,200 60,947 (E) (204) 3/14/59 US SOFR — Annually 3.57% — Annually 60,743
352,800 7,413 (E) (12) 2/20/59 US SOFR — Annually 3.642% — Annually 7,401
1,004,200 8,748 (E) (34) 12/18/58 3.455% — Annually US SOFR — Annually 8,713
125,806,000 1,320,208 902,588 9/18/26 4.55% — Annually US SOFR — Annually (401,113)
72,886,000 1,813,549 (2,415,776) 9/18/29 US SOFR — Annually 4.35% — Annually (629,606)
12,800 393 813 9/18/34 4.15% — Annually US SOFR — Annually 427
25,602,000 1,387,987 1,918,447 9/18/54 3.95% — Annually US SOFR — Annually 552,594
217,977,000 304,732 (E) 2,787,420 12/18/26 3.80% — Annually US SOFR — Annually 3,092,151
18,789,000 130,490 (E) 342,226 12/18/29 3.60% — Annually US SOFR — Annually 472,715
83,794,000 2,496,894 (E) 1,692,180 12/18/34 3.40% — Annually US SOFR — Annually 4,189,073
3,196,000 248,441 (E) (48,643) 12/18/54 US SOFR — Annually 3.20% — Annually (297,084)
6,278,000 2,806 (E) (14,491) 12/18/26 US SOFR — Annually 3.85% — Annually (17,298)
290,263,000 1,361,914 (E) (7,642,313) 12/18/29 US SOFR — Annually 3.65% — Annually (9,004,227)
1,488,000 38,200 (E) (25,361) 12/18/34 3.45% — Annually US SOFR — Annually 12,840
1,161,000 79,869 (E) (44,445) 12/18/54 3.25% — Annually US SOFR — Annually 35,424
AUD 1,368,400 7,366 (E) (18) 1/27/43 4.91% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 7,349
AUD 22,394,000 15,253 (118) 2/15/29 6 month AUD-BBR-BBSW — Semiannually 4.226% — Semiannually (24,372)
AUD 3,068,800 767 (E) (38) 4/7/40 5.092% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 729
AUD 42,471,000 244,368 (E) 71,601 12/18/26 3.61% — Quarterly 3 month AUD-BBR-BBSW — Quarterly 315,969
AUD 32,670,200 1,113,885 (E) 64,448 12/18/34 6 month AUD-BBR-BBSW — Semiannually 3.92% — Semiannually (1,049,438)
AUD 10,457,000 181,314 (E) 104,401 12/18/29 6 month AUD-BBR-BBSW — Semiannually 3.701% — Semiannually (76,912)
AUD 59,453,000 1,137,080 (E) 118,459 12/18/29 3.64% — Semiannually 3 month AUD-BBR-BBSW — Semiannually 1,255,540
AUD 81,134,000 63,272 (131) 10/15/25 3 month AUD-BBR-BBSW — Quarterly 4.14% — Quarterly (71,266)
CAD 9,962,000 5,845 (E) (15,464) 12/18/26 Canadian Overnight Repo Rate — Semiannually 2.93% — Semiannually (9,618)
CAD 3,412,000 54,519 (E) 4,209 12/18/34 2.79% — Semiannually Canadian Overnight Repo Rate — Semiannually 58,729
CHF 2,445,000 50,350 (E) (1,805) 12/18/34 Swiss Average Rate Overnight — Annually 0.71% — Annually 48,545
EUR 28,513,100 1,018,785 (624,054) 3/13/29 6 month EUR-EURIBOR — Semiannually 3.18% — Annually 879,021
EUR 1,685,500 67,777 (E) (58) 11/24/48 6 month EUR-EURIBOR — Semiannually 2.545% — Annually 67,719
EUR 2,747,500 61,442 (E) (58) 2/23/44 6 month EUR-EURIBOR — Semiannually 2.69% — Annually 61,385
EUR 4,624,400 112,747 (161) 10/8/44 6 month EUR-EURIBOR — Semiannually 2.54% — Annually 110,452
EUR 7,747,500 401,462 (270) 10/8/44 2.70% — Annually 6 month EUR-EURIBOR — Semiannually (399,019)
EUR 529,700 28,306 (E) (19) 6/2/46 2.675% — Annually 6 month EUR-EURIBOR — Semiannually (28,325)
EUR 4,662,000 132,168 (E) (160) 6/20/49 6 month EUR-EURIBOR — Semiannually 2.452% — Annually 132,007
EUR 1,314,100 42,131 (E) (45) 6/2/46 6 month EUR-EURIBOR — Semiannually 2.456% — Annually 42,085
EUR 2,053,200 100,761 (E) (71) 6/30/47 2.634% — Annually 6 month EUR-EURIBOR — Semiannually (100,832)
EUR 3,607,600 163,088 (E) (131) 7/2/51 6 month EUR-EURIBOR — Semiannually 2.492% — Annually 162,957
EUR 1,103,500 15,015 (E) (39) 8/8/49 2.352% — Annually 6 month EUR-EURIBOR — Semiannually (15,054)
EUR 11,748,000 26,056 (E) 47,367 12/18/26 2.43% — Annually 6 month EUR-EURIBOR — Semiannually 21,311
EUR 1,822,100 5,456 (E) (3,782) 12/18/34 2.38% — Annually 6 month EUR-EURIBOR — Semiannually 1,674
EUR 3,444,000 9,736 (E) (2,477) 12/18/29 6 month EUR-EURIBOR — Semiannually 2.28% — Annually (12,214)
EUR 523,000 12,054 (E) 4,644 12/18/54 2.265% — Annually 6 month EUR-EURIBOR — Semiannually (7,410)
GBP 8,254,000 70,926 (E) 3,213 12/18/26 Sterling Overnight Index Average — Annually 3.855% — Annually (67,712)
GBP 11,000 598 (E) (406) 12/18/34 3.48% — Annually Sterling Overnight Index Average — Annually 192
NOK 37,043,000 163,279 (E) 6,433 12/18/34 3.37% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 169,713
NZD 2,222,000 31,554 (E) (8,387) 12/18/34 3 month NZD-BBR-FRA — Quarterly 3.87% — Semiannually (39,940)
SEK 56,959,000 109,951 (E) (7,117) 12/18/34 2.18% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 102,833
Total $(2,789,039) $(446,475)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/24 (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 depreciation
Morgan Stanley & Co. International PLC
$2,391,316 $2,295,012 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually $(86,215)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (86,215)
Total $— Total $(86,215)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 10/31/24 (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 CCC/P $1,539 $11,913 $1,640 5/11/63 300 bp — Monthly $(95)
CMBX NA BBB-.6 Index CCC/P 9,980 64,420 8,871 5/11/63 300 bp — Monthly 1,146
CMBX NA BBB-.6 Index CCC/P 16,545 118,251 16,283 5/11/63 300 bp — Monthly 331
CMBX NA BBB-.6 Index CCC/P 19,586 143,402 19,746 5/11/63 300 bp — Monthly (77)
Citigroup Global Markets, Inc.
CMBX NA BB.13 Index B+/P 1,082,145 2,531,000 873,701 12/16/72 500 bp — Monthly 210,908
CMBX NA BB.6 Index CCC-/P 241,859 715,128 187,936 5/11/63 500 bp — Monthly 54,618
CMBX NA BBB-.16 Index BBB-/P 14,321 63,000 10,244 4/17/65 300 bp — Monthly 4,114
Goldman Sachs International
CMBX NA BB.6 Index CCC-/P 38,887 115,161 30,264 5/11/63 500 bp — Monthly 8,734
CMBX NA BBB-.16 Index BBB-/P 6,777 33,000 5,366 4/17/65 300 bp — Monthly 1,430
JPMorgan Securities LLC
CMBX NA BB.10 Index CCC+/P 17,251 215,000 87,441 5/11/63 500 bp — Monthly (69,980)
CMBX NA BB.6 Index CCC-/P 10,811 10,796 2,837 5/11/63 500 bp — Monthly 7,984
Merrill Lynch International
CMBX NA A.13 Index A-/P 52,396 402,000 32,240 12/16/72 200 bp — Monthly 20,311
CMBX NA A.13 Index A-/P 53,512 402,000 32,240 12/16/72 200 bp — Monthly 21,428
CMBX NA BB.6 Index CCC-/P 28,625 131,612 34,588 5/11/63 500 bp — Monthly (5,834)
Morgan Stanley & Co. International PLC
CMBX NA BB.6 Index CCC-/P 163,951 473,496 124,435 5/11/63 500 bp — Monthly 39,976
CMBX NA BBB-.16 Index BBB-/P 7,729 34,000 5,528 4/17/65 300 bp — Monthly 2,220
Upfront premium received 1,765,914 Unrealized appreciation 373,200
Upfront premium (paid) — Unrealized (depreciation) (75,986)
Total $1,765,914 Total $297,214
* 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, 2024. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 10/31/24 (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 $(774,528) $1,669,000 $678,782 11/17/59 (500 bp) — Monthly $(97,367)
CMBX NA BB.10 Index (244,221) 606,000 246,460 11/17/59 (500 bp) — Monthly 1,650
CMBX NA BB.10 Index (243,818) 605,000 246,054 11/17/59 (500 bp) — Monthly 1,647
CMBX NA BB.10 Index (128,559) 319,000 129,737 11/17/59 (500 bp) — Monthly 868
CMBX NA BB.6 Index (30,905) 120,302 31,615 5/11/63 (500 bp) — Monthly 593
CMBX NA BB.8 Index (155,013) 334,378 128,635 10/17/57 (500 bp) — Monthly (26,703)
CMBX NA BBB-.10 Index (339,336) 1,129,000 203,107 11/17/59 (300 bp) — Monthly (136,888)
CMBX NA BBB-.6 Index (143,487) 337,987 46,541 5/11/63 (300 bp) — Monthly (97,144)
Goldman Sachs International
CMBX NA BB.8 Index (54,713) 125,158 48,148 10/17/57 (500 bp) — Monthly (6,687)
Merrill Lynch International
CMBX NA BB.10 Index (33,229) 584,000 237,513 11/17/59 (500 bp) — Monthly 201,050
Morgan Stanley & Co. International PLC
CMBX NA BB.8 Index (10,981) 23,350 8,983 10/17/57 (500 bp) — Monthly (2,020)
CMBX NA BBB-.10 Index (340,501) 1,053,000 189,435 11/17/59 (300 bp) — Monthly (151,680)
Upfront premium received — Unrealized appreciation 205,808
Upfront premium (paid) (2,499,291) Unrealized (depreciation) (518,489)
Total $(2,499,291) Total $(312,681)
* 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 10/31/24 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional amount Value  

Termi-
nation
date

   Payments received by fund Unrealized
appreciation
CDX NA HY Series 43 Index B+/P $(1,333,542) $18,289,000 $1,254,058 12/20/29 500 bp — Quarterly $6,881
Total $(1,333,542) $6,881
* 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, 2024. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
bp Basis Points
CME Chicago Mercantile Exchange
CMT U.S. Constant Maturity Treasury
DAC Designated Activity Company
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
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.
REMICs Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
STIBOR Stockholm Interbank Offered 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, 2024 through October 31, 2024 (the reporting period). Within the following notes to the portfolio, references to "Franklin Advisers" represent Franklin Advisers, Inc., the fund's investment manager, a direct wholly-owned subsidiary of Franklin Resources, Inc., 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 $363,642,434.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(AFF) Affiliated company. For investments in Putnam Government Money Market Fund and 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
7/31/24		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
10/31/24
Short-term investments
Putnam Government Money Market Fund Class P† $40,929,849 $34,034,106 $40,630,095 $396,782 $34,333,860
Putnam Short Term Investment Fund Class P‡ 32,198,833 2,226,106 4,420,000 409,674 30,004,939
Total Short-term investments $73,128,682 $36,260,212 $45,050,095 $806,456 $64,338,799
† Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with respect to assets invested by the fund in Putnam Government Money Market Fund. There were no realized or unrealized gains or losses during the period.
‡ Management fees charged to Putnam Short Term Investment Fund have been waived by Franklin Advisers. 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 $836,804.
(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 $1,158,436.
(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 $1,016,722.
(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 86.3%
Mexico 1.2
France 1.1
Brazil 0.9
Canada 0.7
Colombia 0.6
Romania 0.5
Dominican Republic 0.5
Other 8.2
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees (Trustees). The Trustees have formed a Pricing Committee to oversee the implementation of these procedures. Under compliance policies and procedures approved by the Trustees, the Trustees have designated the fund’s investment manager as the valuation designee and has responsibility for oversight of valuation. The investment manager is assisted by the fund’s administrator in performing this responsibility, including leading the cross-functional Valuation Committee (VC). The VC is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Trustees.
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 the fund’s investment manager. 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that the fund’s investment manager does not believe accurately reflects the security's fair value, the security will be valued at fair value by the fund’s investment manager, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, 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 for hedging duration and convexity, for isolating prepayment risk and for managing 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. OTC traded options are valued using quotations from an independent pricing service.
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 for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
At the close of the reporting period, the fund has deposited cash valued at $3,562,472 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts.
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, for hedging 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 for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
At the close of the reporting period, the fund has deposited cash valued at $1,504,178 in a segregated account to cover margin requirements on open centrally cleared credit default contracts.
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, Franklin Advisers will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $136,658 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $1,126,342 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,158,436 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
Convertible bonds and notes $— $10,523,405 $—
Corporate bonds and notes — 97,020,480 —
Foreign government and agency bonds and notes — 30,903,230 —
Mortgage-backed securities — 126,504,903 —
Senior loans — 21,675,058 —
U.S. government and agency mortgage obligations — 104,157,052 —
U.S. treasury obligations — 110,515 —
Short-term investments 37,073,860 35,913,898 —
Totals by level $37,073,860 $426,808,541 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $322,946 $—
Futures contracts 813,508 — —
Forward premium swap option contracts — 766,209 —
TBA sale commitments — (66,076,703) —
Interest rate swap contracts — 2,342,564 —
Total return swap contracts — (86,215) —
Credit default contracts — 2,058,333 —
Totals by level $813,508 $(60,672,866) $—
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) $583,400,000
Written swap option contracts (contract amount) $363,100,000
Futures contracts (number of contracts) 400
Forward currency contracts (contract amount) $30,200,000
Centrally cleared interest rate swap contracts (notional) $1,227,900,000
OTC total return swap contracts (notional) $2,400,000
OTC credit default contracts (notional) $15,100,000
Centrally cleared credit default contracts (notional) $19,600,000
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.putnam.com