NPORT-EX 3 b_074nport.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam Master Intermediate Income Trust
The fund's portfolio
12/31/19 (Unaudited)



U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (46.6%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.7%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $85,348 $94,613
5.00%, with due dates from 4/20/49 to 8/20/49 1,723,428 1,894,464
4.50%, TBA, 1/1/50 4,000,000 4,182,500
4.00%, TBA, 1/1/50 4,000,000 4,140,625
3.50%, with due dates from 9/20/49 to 11/20/49 320,234 333,745
3.50%, 8/20/45(i) 1,193,949 1,250,232
11,896,179
U.S. Government Agency Mortgage Obligations (41.9%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 155,905 171,535
4.50%, 5/1/49 67,085 72,951
Uniform Mortgage-Backed Securities
5.50%, TBA, 1/1/50 3,000,000 3,230,625
4.50%, TBA, 1/1/50 1,000,000 1,052,969
4.00%, TBA, 1/1/50 29,000,000 30,166,798
3.50%, TBA, 1/1/50 42,000,000 43,210,780
3.00%, TBA, 2/1/50 4,000,000 4,055,000
3.00%, TBA, 1/1/50 16,000,000 16,230,000
2.50%, TBA, 2/1/50 4,000,000 3,953,750
2.50%, TBA, 1/1/50 4,000,000 3,955,938
106,100,346
Total U.S. government and agency mortgage obligations (cost $117,857,744) $117,996,525









MORTGAGE-BACKED SECURITIES (43.1%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (21.0%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 18.793%, 4/15/37 $32,187 $51,524
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 17.418%, 11/15/35 55,965 87,154
REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 16.534%, 12/15/36 31,489 44,730
REMICs Ser. 4813, IO, 5.50%, 8/15/48 2,221,566 491,401
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 1,711,775 327,120
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.91%, 4/15/40 1,704,288 187,404
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 862,583 146,127
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 456,140 69,496
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 4.46%, 12/15/47 3,022,756 454,320
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.36%, 8/15/56 4,093,144 913,590
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.36%, 4/15/47 1,015,489 202,980
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,728,082 228,971
REMICs Ser. 4425, IO, 4.00%, 1/15/45 2,229,527 329,636
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,727,085 360,945
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,061,941 126,555
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 1,473,930 64,678
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 4,578,448 618,090
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 2,652,046 374,357
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 2,123,951 186,027
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 681,541 52,792
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 660,497 48,173
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 3,028,243 231,933
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,375,779 93,278
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 647,019 24,483
REMICs Ser. 4510, Class HI, IO, 3.00%, 3/15/40 2,451,342 144,171
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.375%, 7/25/43(WAC) 1,186,429 11,864
REMICs Ser. 3326, Class WF, zero %, 10/15/35(WAC) 994 816
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 29.148%, 7/25/36 47,822 84,320
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 17.629%, 6/25/37 45,214 69,322
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 16.713%, 2/25/38 34,460 44,743
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 14.874%, 8/25/35 30,516 40,455
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 12.735%, 11/25/34 43,671 50,418
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,129,739 460,746
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,748,001 357,642
REMICs Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 749,412 27,203
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 74,594 13,797
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 2,801,308 564,408
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 228,439 41,266
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 4.658%, 4/25/42 952,195 178,277
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 4.608%, 4/25/40 683,728 126,490
Interest Strip Ser. 366, Class 22, IO, 4.50%, 10/25/35 2,145 28
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 355,126 73,808
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 1,904,626 184,558
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 4.458%, 3/25/48 3,780,819 653,326
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.358%, 5/25/47 8,625,882 1,496,041
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.358%, 10/25/41 705,020 38,696
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.308%, 12/25/46 2,682,197 469,384
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.308%, 5/25/39 8,387,726 1,483,118
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.258%, 8/25/49 4,213,875 684,755
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 4.158%, 2/25/43 1,829,329 365,866
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 4.108%, 10/25/41 2,171,259 314,833
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,406,495 200,425
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 1,083,312 96,051
REMICs Ser. 19-49, Class IE, IO, 4.00%, 4/25/45 3,393,494 489,386
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 1,397,297 172,638
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 3,286,742 577,697
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 899,318 114,034
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 770,562 87,936
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 762,358 110,923
REMICs Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 2,087,183 268,013
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 762,104 32,255
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,037,741 52,856
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,042,275 77,579
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 663,238 21,397
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 2,979,514 180,290
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 4,941 4,509
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 817,230 165,840
Ser. 16-42, IO, 5.00%, 2/20/46 2,185,964 427,173
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 2,748,935 414,182
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 3,799,120 824,409
Ser. 14-76, IO, 5.00%, 5/20/44 874,411 181,051
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 637,032 130,846
Ser. 12-146, IO, 5.00%, 12/20/42 556,855 116,154
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 853,057 175,816
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 605,032 126,373
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,669,324 553,351
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,379,614 281,207
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,731,704 551,711
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 479,731 98,889
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 3,525,379 580,833
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,050,461 177,265
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 2,491,807 326,751
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 1,816,435 195,103
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 819,578 172,751
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,239,942 240,239
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 1,591,928 232,819
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,191,776 230,693
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 271,448 31,483
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,072,242 201,478
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,149,257 173,686
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 2,015,237 391,641
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,076,278 196,624
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,187,410 226,976
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 744,959 142,213
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 633,762 133,413
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 4.415%, 4/20/44 4,121,772 731,615
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.385%, 11/20/43 2,651,161 457,325
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.385%, 9/20/43 445,641 79,173
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.335%, 8/20/49 7,138,228 1,248,904
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.335%, 7/20/49 7,575,900 1,117,748
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.285%, 8/20/49 265,058 32,801
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.285%, 6/20/49 418,605 65,930
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 1,209,448 119,433
Ser. 16-29, IO, 4.00%, 2/16/46 1,053,687 188,346
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 3,095,433 511,118
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,674,399 328,182
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 1,949,232 328,329
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,983,339 279,373
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 4,771,780 761,815
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 3,647,894 351,110
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 642,225 109,110
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 2,596,546 280,679
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 586,341 95,692
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 498,426 88,894
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,241,376 212,954
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.835%, 8/20/44 2,136,473 328,483
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 1,497,871 204,839
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 1,094,236 83,994
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,434,834 252,531
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 3,031,733 391,943
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 2,551,283 338,849
Ser. 13-76, IO, 3.50%, 5/20/43 2,119,273 329,653
Ser. 13-28, IO, 3.50%, 2/20/43 641,092 95,523
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,023,380 139,753
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,504,821 207,259
Ser. 13-14, IO, 3.50%, 12/20/42 3,411,745 340,253
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 668,153 91,584
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,412,851 248,878
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,775,253 310,573
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 2,043,580 347,820
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 893,189 163,818
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 2,133,663 196,532
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 2,548,133 246,914
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 1,278,355 67,859
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 3,657,926 286,342
Ser. 16-H18, Class QI, IO, 3.107%, 6/20/66(WAC) 3,088,425 338,630
Ser. 18-H15, Class KI, IO, 2.69%, 8/20/68(WAC) 3,846,621 471,211
Ser. 17-H16, Class JI, IO, 2.676%, 8/20/67(WAC) 8,861,587 1,152,006
Ser. 17-H16, Class FI, IO, 2.628%, 8/20/67(WAC) 3,354,959 364,852
Ser. 15-H10, Class BI, IO, 2.558%, 4/20/65(WAC) 2,790,683 241,361
Ser. 16-H03, Class AI, IO, 2.538%, 1/20/66(WAC) 3,660,298 306,550
Ser. 16-H09, Class BI, IO, 2.515%, 4/20/66(WAC) 4,912,397 465,612
Ser. 15-H15, Class BI, IO, 2.461%, 6/20/65(WAC) 2,580,895 232,084
Ser. 16-H17, Class KI, IO, 2.454%, 7/20/66(WAC) 2,938,065 304,824
Ser. 16-H16, Class EI, IO, 2.40%, 6/20/66(WAC) 4,288,079 436,098
Ser. 18-H03, Class XI, IO, 2.339%, 2/20/68(WAC) 4,558,470 571,176
Ser. 17-H12, Class QI, IO, 2.331%, 5/20/67(WAC) 3,979,357 428,143
Ser. 17-H06, Class BI, IO, 2.313%, 2/20/67(WAC) 4,458,115 480,139
Ser. 17-H16, Class IH, IO, 2.293%, 7/20/67(WAC) 5,888,629 512,770
Ser. 16-H02, Class HI, IO, 2.287%, 1/20/66(WAC) 4,909,046 358,851
Ser. 18-H05, Class AI, IO, 2.283%, 2/20/68(WAC) 2,202,327 295,249
Ser. 17-H02, Class BI, IO, 2.258%, 1/20/67(WAC) 2,850,198 327,947
Ser. 16-H23, Class NI, IO, 2.247%, 10/20/66(WAC) 11,196,338 1,176,735
Ser. 16-H10, Class AI, IO, 2.193%, 4/20/66(WAC) 9,566,207 614,418
Ser. 17-H08, Class NI, IO, 2.189%, 3/20/67(WAC) 5,827,482 615,965
Ser. 16-H22, Class AI, IO, 2.174%, 10/20/66(WAC) 4,262,590 439,840
Ser. 18-H02, Class EI, IO, 2.156%, 1/20/68(WAC) 6,313,634 836,557
Ser. 17-H16, Class IG, IO, 2.143%, 7/20/67(WAC) 8,038,302 693,304
Ser. 15-H20, Class CI, IO, 2.118%, 8/20/65(WAC) 4,383,321 424,525
Ser. 15-H24, Class AI, IO, 2.116%, 9/20/65(WAC) 3,472,900 308,633
Ser. 16-H06, Class DI, IO, 2.079%, 7/20/65 5,661,797 405,436
Ser. 18-H05, Class BI, IO, 2.05%, 2/20/68(WAC) 4,524,294 599,469
Ser. 17-H19, Class MI, IO, 2.05%, 4/20/67(WAC) 2,266,452 235,938
Ser. 16-H03, Class DI, IO, 2.012%, 12/20/65(WAC) 3,988,960 329,089
Ser. 17-H11, Class DI, IO, 1.908%, 5/20/67(WAC) 4,136,699 434,353
Ser. 15-H25, Class EI, IO, 1.889%, 10/20/65(WAC) 3,174,019 259,317
Ser. 15-H20, Class AI, IO, 1.862%, 8/20/65(WAC) 3,689,574 303,652
Ser. 17-H09, IO, 1.861%, 4/20/67(WAC) 5,451,548 493,861
FRB Ser. 15-H08, Class CI, IO, 1.832%, 3/20/65(WAC) 2,139,672 162,778
Ser. 16-H06, Class CI, IO, 1.804%, 2/20/66(WAC) 5,225,077 318,061
Ser. 15-H23, Class BI, IO, 1.775%, 9/20/65(WAC) 3,973,589 299,211
Ser. 16-H24, Class CI, IO, 1.73%, 10/20/66(WAC) 2,705,848 202,820
Ser. 16-H14, IO, 1.717%, 6/20/66(WAC) 3,903,585 265,288
Ser. 13-H08, Class CI, IO, 1.677%, 2/20/63(WAC) 3,702,933 172,557
Ser. 14-H21, Class BI, IO, 1.572%, 10/20/64(WAC) 5,613,702 353,663
Ser. 15-H26, Class CI, IO, 0.332%, 8/20/65(WAC) 7,929,224 88,807
Ser. 06-36, Class OD, PO, zero %, 7/16/36 1,541 1,328
53,268,113
Commercial mortgage-backed securities (8.4%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 3,916,081 39
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.45%, 1/12/45(WAC) 1,279,000 1,099,940
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 396,900
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 306,847 308,381
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.775%, 3/11/39(WAC) 457,768 228,884
FRB Ser. 06-PW14, Class XW, IO, 0.308%, 12/11/38(WAC) 465,827 1,979
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 39,913 —
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.741%, 12/15/47(WAC) 409,000 412,129
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 998,984
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.85%, 5/10/47(WAC) 647,000 608,180
FRB Ser. 12-CR3, Class E, 4.752%, 10/15/45(WAC) 397,000 297,750
FRB Ser. 14-CR19, Class D, 4.747%, 8/10/47(WAC) 256,000 254,908
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 357,446
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.884%, 12/15/39(WAC) 948,230 4,387
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.719%, 9/15/39(WAC) 12,160 12,160
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 96,751 98,257
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.772%, 4/15/50(WAC) 527,000 507,511
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.408%, 6/10/48(WAC) 1,454,246 872,548
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 0.838%, 12/10/41(WAC) 567,083 4,108
GS Mortgage Securities Corp., II 144A FRB Ser. 05-GG4, Class XC, IO, 1.368%, 7/10/39(WAC) 280,085 28
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 160,000 162,446
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47(WAC) 1,270,000 1,068,991
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.81%, 2/15/47(WAC) 1,183,000 1,128,167
FRB Ser. C14, Class D, 4.702%, 8/15/46(WAC) 515,000 507,775
FRB Ser. 14-C18, Class E, 4.31%, 2/15/47(WAC) 407,000 352,963
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 1,151,484
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 561,686
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.168%, 4/15/46(WAC) 581,000 526,426
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.183%, 2/12/51(WAC) 398,000 378,100
FRB Ser. 11-C3, Class F, 5.664%, 2/15/46(WAC) 410,000 390,509
FRB Ser. 12-C6, Class E, 5.157%, 5/15/45(WAC) 363,000 352,134
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 740,214
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 2,196,430 22
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.685%, 9/15/39(WAC) 814,515 6,226
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.811%, 12/15/49(WAC) 243,850 368
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 451,465 359,784
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.353%, 8/15/46(WAC) 900,000 468,000
FRB Ser. 13-C11, Class F, 4.353%, 8/15/46(WAC) 496,000 173,600
FRB Ser. 13-C10, Class D, 4.081%, 7/15/46(WAC) 485,000 479,849
FRB Ser. 13-C10, Class E, 4.081%, 7/15/46(WAC) 1,316,000 1,210,559
FRB Ser. 13-C10, Class F, 4.081%, 7/15/46(WAC) 975,000 829,916
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 362,022
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 327,849 81,962
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 486,239 442,773
STRIPs III, Ltd. 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/20 (Cayman Islands) (In default)(NON)(WAC) 193,000 19
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 558,952 20,544
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.89%, 5/10/63(WAC) 622,000 186,787
Wachovia Bank Commercial Mortgage Trust FRB Ser. 07-C34, IO, 0.085%, 5/15/46(WAC) 1,711,038 17
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.284%, 7/15/46(WAC) 188,000 166,487
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 692,025
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,910,562
21,176,936
Residential mortgage-backed securities (non-agency) (13.7%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 1.982%, 5/25/47 529,246 339,448
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 3.90%, 11/27/36(WAC) 959,324 757,866
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class B1, (1 Month US LIBOR + 3.85%), 5.642%, 10/25/29 (Bermuda) 382,000 382,395
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 1.972%, 11/25/47 353,376 305,263
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.142%, 3/25/37 1,103,045 963,843
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 3.739%, 9/25/35 403,294 398,152
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 3.199%, 8/25/46 137,614 127,585
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 3.179%, 6/25/46 419,866 388,238
FRB Ser. 06-OA7, Class 1A1, 2.97%, 6/25/46(WAC) 337,408 297,425
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.142%, 9/25/35 496,261 474,734
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.132%, 2/25/37 377,243 190,973
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.095%, 11/20/35 376,319 358,015
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 1.982%, 8/25/46 390,707 359,450
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 1.982%, 8/25/46 2,547,507 2,288,528
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), 1.972%, 6/25/47 495,003 397,436
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 3.924%, 9/28/36(WAC) 1,466,149 1,470,042
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.292%, 5/25/28 266,906 350,256
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 11.792%, 7/25/28 892,119 1,183,982
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.142%, 4/25/28 573,380 739,470
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 9.342%, 12/25/27 686,386 822,874
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 5.642%, 3/25/29 250,000 266,344
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.092%, 9/25/30 770,000 778,673
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 12.792%, 10/25/48 327,000 426,970
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 12.542%, 1/25/49 141,000 185,168
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 12.292%, 3/25/49 118,000 152,983
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 9.542%, 9/25/48 174,000 189,945
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 6.042%, 10/25/48 90,000 97,365
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 5.692%, 9/25/48 190,000 203,843
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 5.492%, 12/25/30 650,000 688,923
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 316,815
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 632,610
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 4.442%, 1/25/49 168,000 170,843
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 4.242%, 3/25/49 281,391 284,280
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 4.142%, 2/25/49 69,000 69,688
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 4.092%, 10/25/48 120,000 121,727
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class M2, (1 Month US LIBOR + 2.15%), 3.942%, 12/25/30 341,000 344,323
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 14.542%, 10/25/28 89,519 126,413
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.042%, 9/25/28 1,115,549 1,607,971
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 13.542%, 10/25/28 568,265 806,836
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 13.542%, 8/25/28 368,961 519,132
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 12.542%, 1/25/29 119,704 159,606
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 11.042%, 4/25/29 19,951 25,723
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 7.692%, 10/25/28 1,190,488 1,284,487
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.492%, 4/25/28 1,458,539 1,617,329
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.342%, 4/25/28 55,777 59,330
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.292%, 9/25/29 477,000 559,858
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 6.792%, 7/25/25 685,728 742,978
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 6.792%, 7/25/25 233,250 247,337
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 6.642%, 10/25/29 1,280,000 1,445,822
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 6.242%, 5/25/30 82,000 89,434
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 6.242%, 2/25/30 60,000 65,222
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 5.792%, 5/25/25 18,983 20,065
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 5.442%, 9/25/29 70,000 73,514
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 5.392%, 1/25/30 140,000 147,748
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 5.342%, 7/25/30 804,000 849,571
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 4.342%, 12/25/30 206,000 209,617
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 4.292%, 5/25/30 403,390 408,697
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 4.042%, 7/25/30 65,000 65,858
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 3.892%, 3/25/31 99,000 99,524
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 5.892%, 9/25/31 251,000 267,001
Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2B1, (1 Month US LIBOR + 3.75%), 5.542%, 9/25/39 190,000 193,777
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.242%, 7/25/31 73,000 73,910
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (1 Month US LIBOR + 2.30%), 4.092%, 8/25/31 112,000 112,767
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.18%), 1.972%, 5/25/36 579,440 238,864
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.102%, 5/25/37 337,083 244,296
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 2.284%, 5/19/35 322,338 196,110
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 1.992%, 6/25/37 553,143 317,056
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 330,000 329,175
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 3.027%, 2/26/37 363,726 325,352
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 2.587%, 8/25/35 102,694 99,968
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 4.642%, 7/25/28 (Bermuda) 800,000 810,250
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 4.492%, 3/25/28 (Bermuda) 620,000 625,682
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 2.007%, 5/25/46 299,519 275,558
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.002%, 8/25/36 399,992 367,992
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 1.912%, 8/25/36 334,361 308,252
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 4.141%, 9/25/35(WAC) 355,734 356,454
FRB Ser. 05-AR14, Class 1A2, 3.844%, 12/25/35(WAC) 130,284 129,238
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.282%, 10/25/45 229,421 229,274
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.192%, 12/25/45 221,845 214,554
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, Class 1A1, 5.172%, 4/25/36(WAC) 270,618 278,736
34,752,813
Total mortgage-backed securities (cost $109,444,889) $109,197,862









CORPORATE BONDS AND NOTES (24.7%)(a)
        Principal amount Value
Basic materials (2.6%)
Allegheny Technologies, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 $10,000 $10,500
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 206,000 230,891
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 310,500
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 45,000 46,350
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 97,000 97,485
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 226,000 238,430
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 263,000 273,520
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 242,000 251,680
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 104,000 108,160
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 85,000 93,181
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 55,000 56,656
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 318,000 326,907
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 38,000 33,630
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 63,000 63,473
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 175,000 185,938
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 63,000 63,000
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 265,000 278,250
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 199,000 214,920
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 207,000 210,105
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 210,000
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 66,000 69,630
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 36,000 37,080
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 124,000 128,185
Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) 30,000 32,294
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 94,000 97,525
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 75,000 76,313
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 145,000 154,295
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 515,000 540,106
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 203,000 213,658
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 80,000 80,600
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 259,000 318,246
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 150,000 158,250
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 61,000 64,875
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 22,000 22,609
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 51,505
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 20,390
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 305,000 328,741
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 30,000 30,542
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 160,000 167,200
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 100,000 101,872
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 145,000 151,344
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 200,000 208,756
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 122,000 134,810
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 88,000 92,510
6,584,912
Capital goods (2.2%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 339,000 351,713
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 121,900
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 115,000 115,831
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 330,000 338,250
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 55,000 58,988
Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 135,000 142,385
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 105,000 106,181
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 192,000 197,040
Berry Global, Inc. 144A notes 4.50%, 2/15/26 39,000 40,061
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 49,000 53,716
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 45,000 48,267
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 80,000 84,200
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 265,000 279,906
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 178,125
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 120,909
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 177,000 187,178
Moog, Inc. 144A company guaranty sr. unsec. notes 4.25%, 12/15/27 45,000 45,792
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 95,000 97,969
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 207,000 223,043
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 110,000 116,875
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 145,000 147,618
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 300,000 309,750
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 260,000 269,750
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 310,000 338,675
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 105,000 109,725
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 113,000 119,849
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 637,000 689,623
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 175,000 176,965
Trivium Packaging Finance BV 144A company guaranty sr. notes 5.50%, 8/15/26 (Netherlands) 230,000 242,363
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 85,000 88,188
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 131,000 136,568
5,537,403
Communication services (2.3%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 203,500
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 366,000 385,673
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,045,000 1,118,150
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 199,000 208,815
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 94,000 94,106
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 129,300
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 360,000 386,100
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 140,000 143,063
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 169,000 183,539
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 40,000 42,450
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 51,000 51,638
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,158
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 66,000 66,198
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 274,560
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 55,000 56,309
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 43,450
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 107,363
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 648,000 714,958
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 306,675
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 200,000 206,666
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 158,808
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 20,235
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 46,069
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 148,000 155,076
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 56,375
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 363,000 382,965
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 80,250
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 161,193
5,789,642
Consumer cyclicals (4.7%)
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 $38,000 40,375
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 60,000 60,900
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 60,000 64,350
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes 4.75%, 12/1/27 55,000 57,131
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 55,000 58,025
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 64,000 65,040
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 55,000 58,575
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 72,792
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 190,000 193,088
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 80,000 83,304
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 100,000 103,685
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 $215,000 222,525
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 144,000 145,663
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 247,000 240,208
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 20,000 22,025
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 85,000 88,400
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 281,000 300,670
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 102,000 107,355
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 235,000 244,694
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 232,000 257,810
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 145,000 152,914
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 275,000 292,188
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 174,000 181,395
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 96,811 105,040
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 271,721 300,252
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 72,313
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 265,000 288,188
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 35,000 36,838
Installed Building Products, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/28 25,000 26,719
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 194,000 201,760
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 268,000 276,040
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 19,000 19,380
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 100,000 85,750
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 75,000 76,688
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 85,000 87,508
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 74,000 82,510
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 181,000 181,905
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 115,000 120,177
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 141,000 145,935
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/15/27 35,000 36,225
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 129,000 137,385
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 47,531
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 112,000 119,840
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 170,000 176,800
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 100,000 105,375
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 120,000 124,764
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 238,000 242,463
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 131,000 136,731
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 85,000 88,613
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 160,000 168,608
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 183,000 188,490
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 215,000 215,806
Outfront Media Capital, LLC/ Outfront Media Capital Corp. 144A sr. unsec. bonds 4.625%, 3/15/30 36,000 36,630
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 150,000 153,750
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 136,666
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 194,640
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 112,083
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 127,565
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 320,000 357,600
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 98,000 106,943
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 147,000 150,602
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 150,000 156,938
Scotts Miracle-Gro, Co. (The) 144A sr. unsec. notes 4.50%, 10/15/29 253,000 258,617
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 115,000 117,588
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 135,000 145,967
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 367,000 387,185
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 299,000 318,809
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 203,000 210,359
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 56,788
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 203,000 213,404
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 244,000 250,710
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 10,250
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 219,450
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 93,931
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 190,000 190,238
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 125,768
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 102,515
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 110,000 116,050
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 276,000 293,250
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 145,000 155,513
11,808,555
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 175,000 181,563
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 77,000 77,193
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 100,500
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 215,000 214,742
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 10,000 11,176
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 45,000 47,925
Europcar Mobility Group notes Ser. REGS, 4.125%, 11/15/24 (France) EUR 100,000 111,273
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 $55,000 57,888
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 103,000 110,146
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 227,000 234,945
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 326,000 337,818
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 137,150
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 134,713
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 115,775
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 166,420
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 39,266
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 351,000 365,918
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 124,644
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 60,000 68,325
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 230,000 254,969
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 63,899
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 35,000 35,547
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 105,000 109,489
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.125%, 1/15/28 25,000 26,188
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 57,613
3,185,085
Energy (4.7%)
Aker BP ASA 144A sr. unsec. notes 6.00%, 7/1/22 (Norway) 150,000 154,125
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 189,000 200,813
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A sr. unsec. notes 5.75%, 1/15/28 115,000 100,050
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 182,820
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 82,000 73,185
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 145,000 152,975
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 118,000 117,366
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 43,000 34,293
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 53,000 22,790
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 48,000 53,974
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 440,000 486,279
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 168,000 144,480
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 252,000 243,810
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 152,000 159,588
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 249,000 261,450
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.875%, 1/15/24 164,000 181,571
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 245,000 255,017
Hess Midstream Operations LP 144A sr. unsec. notes 5.125%, 6/15/28 57,000 57,713
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 227,000 236,931
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 71,000 66,740
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 22,000 22,138
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 44,000 44,110
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 235,000 244,424
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 140,000 126,000
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 20,000 19,200
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 96,000 102,000
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 55,000 44,550
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 56,000 29,092
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 55,000 52,938
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 38,000 31,825
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 974,043
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 210,795
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 1,471,000 1,794,620
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 222,000 237,540
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 169,000 192,871
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 445,299
Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.093%, 1/15/30 (Brazil) 306,000 327,882
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 30,923
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 824,000 63,860
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.50%, 1/23/29 (Mexico) 432,000 453,299
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 582,000 579,556
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) 836,000 889,504
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 51,000 48,450
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 90,170
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 195,247
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 87,000 74,202
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 23,000 22,606
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 67,000 63,818
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 47,000 46,060
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 96,000 96,960
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 212,000 207,760
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 44,000 44,880
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 35,000 38,850
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/15/27 185,000 202,575
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 35,000 35,963
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 111,250 114,309
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 64,000 67,840
Transocean Sentry, Ltd. 144A company guaranty sr. notes 5.375%, 5/15/23 (Cayman Islands) 175,000 178,063
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 5,000 5,281
Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 54,000 30,507
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 36,400
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 27,000 31,050
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 81,000 86,468
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 99,000 104,445
11,924,345
Financials (2.6%)
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 85,000 91,031
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 899,000 1,005,756
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 200,000 215,717
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 84,411
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 94,000 101,285
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 266,200
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 34,000 36,040
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 111,625
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 304,000 336,680
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 231,779
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6.625%, 3/15/26 55,000 59,469
Credit Acceptance Corp. 144A sr. unsec. notes 5.125%, 12/31/24 55,000 57,115
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 100,000 103,375
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 75,000 81,723
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 52,074
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 115,000 125,432
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 79,000 87,327
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 115,000 117,108
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 98,563
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 104,000 110,760
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5.25%, 5/15/27 70,000 71,584
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 9/15/24 65,000 66,788
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 16,347
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 208,750
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 156,000 161,655
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 158,000 159,732
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 55,000 56,444
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 230,000 240,638
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 50,000 52,125
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 100,000 137,018
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 $125,000 138,438
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 100,000 105,625
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 40,000 40,100
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 135,000 132,300
Royal Bank of Scotland Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) 570,000 605,598
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 108,350
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 69,372
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 269,000 305,988
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 120,000 125,256
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 150,000 158,250
Stearns Holdings, LLC 144A sr. unsec. notes 9.375%, 8/15/20 93,000 11,160
Stearns Holdings, LLC/Stearns Co-Issuer, Inc. 144A notes 5.00%, 11/5/24 2,415 1,932
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 55,000 59,950
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 83,000 75,115
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 216,660
6,698,645
Health care (2.3%)
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 150,000 171,000
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 100,000 113,577
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $220,000 229,900
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds 5.25%, 1/30/30 45,000 46,665
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 105,000 119,963
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 55,000 60,709
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 160,000 165,317
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/30/28 45,000 46,188
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 166,400
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 125,000 127,813
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 132,600
Centene Corp. 144A sr. unsec. bonds 4.625%, 12/15/29 250,000 262,838
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 60,000 63,675
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 468,000 475,020
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 105,000 85,050
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 305,000 314,150
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 363,000 406,681
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 125,000 136,646
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 120,000 133,650
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 60,775
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 165,150
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 105,000 108,019
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 127,558
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 30,000 30,825
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 164,688
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 45,000 46,913
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 512,940
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 240,000 245,700
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 55,000 59,194
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 235,000 248,219
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 339,000 355,069
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 203,042
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 200,000 202,400
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 75,000 78,000
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 45,000 47,925
5,914,259
Technology (1.0%)
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 70,000 74,463
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 105,000 109,463
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 570,000 656,184
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 221,000 233,155
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 55,000 60,706
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 91,000 90,514
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 365,000 356,788
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 95,000 101,175
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 263,000 280,753
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 85,000 87,763
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 279,000 288,416
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 180,000 187,650
2,527,030
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 229,000 232,435
232,435
Utilities and power (0.9%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 665,000 686,613
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 60,000 64,050
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 60,000 61,050
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 60,000 61,500
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 86,000 89,548
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 171,508
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 35,744
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 94,000 102,695
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 27,000 29,295
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 145,000 157,325
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 145,000 151,902
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 132,000 136,495
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 117,000 126,506
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) 90,000 135
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 78,000 83,460
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 75,000 78,374
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 50,000 51,009
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 30,000 30,391
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 68,000 71,655
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 168,000 178,080
2,367,335
Total corporate bonds and notes (cost $60,533,076) $62,569,646









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (12.8%)(a)
        Principal amount Value
Angola (Republic of) 144A sr. unsec. notes 8.00%, 11/26/29 (Angola) $1,070,000 $1,140,036
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,125,000 2,283,268
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 400,000 169,350
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 75,000 31,160
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 45.979%, 5/31/22 (Argentina) ARS 7,745,000 80,203
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $2,140,000 906,023
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 682,667 423,253
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 1,635,000 719,656
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 1,460,000 1,042,683
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 547,000 404,780
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 113,333 117,725
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 235,000 285,231
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 661,000 754,366
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 330,000 366,716
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 134,000 147,903
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 408,500
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 779,375
Ecuador (Republic of) 144A sr. unsec. notes 9.50%, 3/27/30 (Ecuador) 646,000 603,095
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 600,000 638,496
Egypt (Arab Republic of) 144A sr. unsec. notes 4.55%, 11/20/23 (Egypt) 960,000 980,100
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 315,750
Hellenic (Republic of) sr. unsec. notes 3.45%, 4/2/24 (Greece) EUR 637,000 802,388
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 446,000 577,121
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece)(STP) EUR 3,716,744 4,727,310
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 2,427,822 3,010,949
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) $1,020,000 1,133,434
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 385,637
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 222,243
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 710,117
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 577,484
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 920,000 1,049,012
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) $375,000 395,141
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,365,000
Russia (Federation of) sr. unsec. unsub. notes Ser. REGS, 4.50%, 4/4/22 (Russia) 1,400,000 1,468,180
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 209,860
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, 7/30/24 (Senegal) EUR 1,290,000 1,425,450
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) $360,000 372,397
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 1,115,000 1,192,457
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 798,000 91,770
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 371,000 42,665
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,292,000 148,580
Total foreign government and agency bonds and notes (cost $34,487,171) $32,504,864









CONVERTIBLE BONDS AND NOTES (3.7%)(a)
        Principal amount Value
Capital goods (0.1%)
Fortive Corp. 144A cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 $189,000 $191,122
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 139,000 141,606
332,728
Communication services (0.3%)
8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24 86,000 85,621
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 279,000 268,370
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 181,000 249,147
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23 35,000 73,406
Vonage Holdings Corp. 144A cv. sr. unsec. notes 1.75%, 6/1/24 90,000 80,361
756,905
Consumer cyclicals (0.6%)
Euronet Worldwide, Inc. 144A cv. sr. unsec. bonds 0.75%, 3/15/49 62,000 73,953
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 97,000 121,357
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 16,697
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 114,000 153,398
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 88,000 117,058
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 74,000 77,515
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 190,000 231,686
Marriott Vacations Worldwide Corp. cv. sr. unsec. notes 1.50%, 9/15/22 116,000 123,701
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 223,000 256,980
RH 144A cv. sr. unsec. notes zero %, 9/15/24 123,000 145,846
Square, Inc. cv. sr. unsec. notes 0.50%, 5/15/23 103,000 114,971
1,433,162
Consumer staples (0.3%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 146,000 150,162
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 10/1/26 121,000 108,833
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 219,000 245,565
Wayfair, Inc. cv. sr. unsec. notes 1.125%, 11/1/24 103,000 106,754
Zillow Group, Inc. 144A cv. sr. unsec. sub. notes 1.375%, 9/1/26 120,000 146,001
757,315
Energy (—%)
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 (acquired 2/2/17, cost $24,845) (Cayman Islands)(RES) 35,887 7,177
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 96,000 95,760
102,937
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 99,000 105,883
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 82,000 84,656
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22(R) 87,000 117,042
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 122,000 131,490
Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 50,000 49,418
488,489
Health care (0.5%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 99,000 104,593
CONMED Corp. 144A cv. sr. unsec. notes 2.625%, 2/1/24 63,000 86,943
DexCom, Inc. cv. sr. unsec. unsub. notes 0.75%, 12/1/23 122,000 180,706
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 139,000 157,157
Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 40,000 44,080
Insulet Corp. 144A cv. sr. unsec. notes 0.375%, 9/1/26 69,000 71,552
Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 6/15/24 52,000 61,438
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 98,000 98,674
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 67,000 102,596
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 70,000 72,766
Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23 87,000 78,750
Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes 1.75%, 2/15/26 70,000 69,956
Teladoc Health, Inc. cv. sr. unsec. notes 1.375%, 5/15/25 57,000 98,857
1,228,068
Technology (1.6%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 193,000 213,216
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.375%, 9/1/27 111,000 109,592
Blackline, Inc. 144A cv. sr. unsec. notes 0.125%, 8/1/24 50,000 49,781
Cree, Inc. cv. sr. unsec. notes 0.875%, 9/1/23 99,000 104,828
CyberArk Software, Ltd. 144A cv. sr. unsec. notes zero %, 11/15/24 (Israel) 75,000 77,450
DocuSign, Inc. cv. sr. unsec. notes 0.50%, 9/15/23 101,000 125,410
Envestnet, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 102,000 122,058
Five9, Inc. cv. sr. unsec. notes 0.125%, 5/1/23 34,000 57,341
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 64,000 75,208
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 118,000 166,776
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 75,000 76,087
LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 48,000 57,501
Lumentum Holdings, Inc. cv. sr. unsec. unsub. notes 0.25%, 3/15/24 83,000 120,973
Lumentum Holdings, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/26 75,000 81,375
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 103,000 146,775
New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 72,000 69,968
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 150,000 166,620
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 191,000 263,341
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.75%, 7/1/23 223,000 245,967
Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 102,000 88,528
Proofpoint, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/24 123,000 126,678
Q2 Holdings, Inc. 144A cv. sr. unsec. unsub. notes 0.75%, 6/1/26 83,000 95,391
Rapid7, Inc. cv. sr. unsec. notes 1.25%, 8/1/23 33,000 49,171
SailPoint Technologies Holding, Inc. 144A cv. sr. unsec. notes 0.125%, 9/15/24 59,000 63,469
Silicon Laboratories, Inc. cv. sr. unsec. notes 1.375%, 3/1/22 47,000 62,408
Snap, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/26 100,000 104,039
Splunk, Inc. cv. sr. unsec. notes 1.125%, 9/15/25 262,000 323,079
Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23 (acquired 12/20/19, cost $51,661)(RES) 33,000 50,372
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 151,000 146,848
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 88,000 94,691
Viavi Solutions, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 97,000 121,730
Wix.com, Ltd. cv. sr. unsec. notes zero %, 7/1/23, (Israel) 90,000 102,375
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 77,000 98,362
Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 118,000 160,941
Zynga, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/24 96,000 97,800
4,116,149
Transportation (—%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 78,000 75,895
75,895
Utilities and power (0.1%)
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 125,000 141,719
141,719
Total convertible bonds and notes (cost $8,992,625) $9,433,367









SENIOR LOANS (3.1%)(a)(c)
        Principal amount Value
Basic materials (0.2%)
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.00%), 4.945%, 1/31/24 $128,892 $129,107
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.927%, 9/6/24 30,742 30,089
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.445%, 3/1/26 107,265 107,779
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 5.486%, 4/12/25 54,722 54,471
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.427%, 2/8/25 35,839 35,992
Solenis International LP bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 5.909%, 6/26/25 69,861 68,929
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.96%, 10/1/25 116,349 116,349
542,716
Capital goods (0.7%)
Berry Global Group, Inc. bank term loan FRN Ser. U, (BBA LIBOR USD 3 Month + 2.50%), 4.215%, 7/1/26 199,000 199,470
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.234%, 4/3/24 355,875 354,207
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.549%, 3/31/24 79,938 79,951
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.799%, 5/31/25 387,705 387,774
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.549%, 2/5/23 140,298 140,649
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.691%, 4/12/26 179,100 175,630
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.799%, 3/28/25 223,053 218,982
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 11/15/23 205,000 204,317
1,760,980
Communication services (0.4%)
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 3.00%), 4.799%, 11/3/24 151,944 152,672
CenturyLink, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%) 4.452%, 1/31/25 174,112 174,668
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 3.75%), 5.682%, 11/27/23 275,000 275,069
Sprint Communications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.813%, 2/3/24 382,442 381,008
WideOpenWest Finance, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.03%, 8/19/23 84,783 84,006
1,067,423
Consumer cyclicals (1.1%)
Cineworld Finance US, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 4.049%, 2/28/25 121,262 120,992
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.299%, 8/21/26 84,788 85,185
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.933%, 5/5/24 173,976 174,410
Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.03%, 8/24/26 99,750 99,418
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.69%, 10/23/26 120,000 120,550
Golden Nugget, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.692%, 10/4/23 86,004 86,229
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD 3 Month + 2.50%), 4.197%, 11/2/25 81,122 81,446
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 5.691%, 5/1/26 103,954 104,826
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.042%, 5/21/24 196,985 67,960
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.934%, 10/16/23 77,017 52,901
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.24%, 11/6/24 440,844 439,191
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.452%, 9/19/26 145,000 145,644
PetSmart, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.74%, 3/11/22 100,000 98,889
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.049%, 10/1/25 323,730 326,293
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.799%, 2/28/26 100,000 80,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.063%, 2/28/25 229,475 207,675
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 4.549%, 8/14/24 64,671 64,775
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 8.799%, 11/28/22 102,789 101,504
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 5.99%, 12/12/26 100,000 100,917
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 5.00%), 6.945%, 5/30/26 72,818 67,647
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.799%, 7/24/24 108,179 107,638
2,734,090
Consumer staples (0.5%)
Albertson's, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 2.75%), 4.549%, 11/17/25 43,449 43,807
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.799%, 7/12/24 272,191 273,552
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.235%, 6/21/24 394,596 393,046
CEC Entertainment, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.50%), 8.299%, 8/30/26 274,313 262,791
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.216%, 2/5/25 99,242 99,656
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.409%, 9/7/23 92,330 70,459
1,143,311
Energy (0.1%)
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.555%, 12/31/22 43,000 38,007
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.549%, 4/16/21 5,106 4,383
Lower Cadence Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.799%, 5/22/26 95,520 94,266
136,656
Financials (—%)
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 4/25/25 45,000 45,384
45,384
Health care (—%)
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.035%, 4/28/22 48,380 47,200
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.445%, 4/21/24 82,875 72,170
119,370
Technology (0.1%)
Kronos, Inc./MA bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.909%, 11/1/23 49,984 50,203
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.299%, 7/2/25 166,373 162,214
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.902%, 11/3/23 63,256 61,675
274,092
Transportation (—%)
Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.00%), 3.774%, 11/5/26 65,000 65,569
65,569
Total senior loans (cost $8,107,882) $7,889,591









PURCHASED SWAP OPTIONS OUTSTANDING (2.6%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
2.785/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 $3,698,000 $498,823
(2.785)/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 3,698,000 185,196
2.3075/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 1,596,200 161,950
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 1,596,200 95,086
Citibank, N.A.
(1.316)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 37,998,200 137,933
(2.18775)/3 month USD-LIBOR-BBA/Mar-25 Mar-20/2.18775 18,859,400 65,819
1.316/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 37,998,200 29,639
1.621/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.621 23,256,300 233
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 279,445
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 100,061
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 5,508,200 96,889
1.71875/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.71875 18,814,000 8,466
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 248,830
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 242,904
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 112,816
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 109,299
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 633,084
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 630,438
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 629,871
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 528,463
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 471,466
2.764/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 5,944,600 467,721
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 280,327
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 106,449
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 2,360,700 26,109
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 22,887
(2.764)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 5,944,600 22,292
1.598/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.598 14,112,000 14
Toronto-Dominion Bank
(1.715)/3 month USD-LIBOR-BBA/Jan-22 (Canada) Jan-20/1.715 30,398,500 8,208
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 202,003
(1.5025)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 $39,518,100 92,077
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 88,385
1.5025/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 $39,518,100 51,769
1.695/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.695 18,814,000 10,724
Total purchased swap options outstanding (cost $6,141,679) $6,645,676









PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Citibank, N.A.
AUD/JPY (Put) Feb-20/JPY 70.00 8,691,560 AUD 12,385,550 $3,850
Goldman Sachs International
AUD/JPY (Put) Feb-20/JPY 70.00 8,691,560 AUD 12,385,550 3,850
EUR/NOK (Put) Jan-20/NOK 9.85 6,294,307 EUR 5,611,400 33,259
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Jan-20/$101.34 74,000,000 $74,000,000 126,984
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) Jan-20/102.63 9,000,000 9,000,000 6,390
Total purchased options outstanding (cost $667,114) $174,333









ASSET-BACKED SECURITIES (1.4%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 2.642%, 11/25/51 $136,000 $136,000
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 2.592%, 6/25/52 164,000 164,000
Station Place Securitization Trust 144A
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), 2.53%, 10/24/20 518,000 518,000
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), 2.48%, 9/24/20 1,222,000 1,222,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 2.48%, 6/24/20 1,244,000 1,244,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), 2.442%, 8/25/52 346,000 346,000
Total asset-backed securities (cost $3,630,000) $3,630,000









COMMON STOCKS (0.1%)(a)
        Shares Value
Advanz Pharma Corp., Ltd. (Canada)(NON) 985 $2,868
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 174
Clear Channel Outdoor Holdings, Inc.(NON) 15,306 43,775
iHeartMedia, Inc. Class A(NON) 6,510 110,019
MWO Holdings, LLC (Units)(F) 73 2,470
Nine Point Energy(F) 648 1,296
Tervita Corp. (Canada)(NON) 191 1,090
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 9,820
Tribune Media Co. Class 1C 40,066 22,036
Total common stocks (cost $602,627) $193,548









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









SHORT-TERM INVESTMENTS (10.8%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 1.72%(AFF) Shares 6,551,825 $6,551,825
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.53%(P) Shares 678,000 678,000
National Grid Electricity Transmission PLC commercial paper 2.004%, 1/7/20 $10,000,000 9,996,461
U.S. Treasury Bills 1.651%, 4/2/20(SEGSF)(SEGCCS) 4,155,000 4,138,983
U.S. Treasury Bills 1.564%, 5/7/20(SEGSF)(SEGCCS) 993,000 987,704
U.S. Treasury Bills 1.628%, 4/9/20(SEGSF)(SEGCCS) 888,000 884,313
U.S. Treasury Bills 1.581%, 6/18/20(SEGCCS) 581,000 576,824
U.S. Treasury Bills 1.562%, 6/4/20(SEGSF)(SEGCCS) 544,000 540,424
U.S. Treasury Bills 1.560%, 6/11/20(SEGCCS) 206,000 204,585
U.S. Treasury Bills 1.871%, 3/12/20(SEG)(SEGSF)(SEGCCS) 2,717,000 2,709,062
U.S. Treasury Bills 1.625%, 4/16/20(SEG)(SEGSF) 71,000 70,686
Total short-term investments (cost $27,335,850) $27,338,867
TOTAL INVESTMENTS
Total investments (cost $377,813,657) $377,576,879









FORWARD CURRENCY CONTRACTS at 12/31/19 (aggregate face value $80,958,344) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/15/20 $681,049 $654,407 $26,642
Australian Dollar Sell 1/15/20 681,049 679,010 (2,039)
Brazilian Real Sell 2/4/20 119,040 87,610 (31,430)
British Pound Buy 3/18/20 518,589 501,052 17,537
Canadian Dollar Buy 1/15/20 274,636 271,746 2,890
Canadian Dollar Sell 1/15/20 274,636 271,196 (3,440)
Czech Koruna Buy 3/18/20 352,769 347,675 5,094
Euro Sell 3/18/20 264,612 258,773 (5,839)
Japanese Yen Sell 2/19/20 532,096 528,466 (3,630)
Mexican Peso Buy 1/15/20 1,071,418 1,012,328 59,090
Mexican Peso Sell 1/15/20 1,071,418 1,035,771 (35,647)
Norwegian Krone Buy 3/18/20 2,309,906 2,210,073 99,833
Swedish Krona Sell 3/18/20 833,758 821,040 (12,718)
Barclays Bank PLC
Canadian Dollar Buy 1/15/20 1,214,220 1,194,483 19,737
Canadian Dollar Sell 1/15/20 1,214,220 1,201,223 (12,997)
Euro Sell 3/18/20 902,363 893,252 (9,111)
New Zealand Dollar Buy 1/15/20 1,057,857 1,057,685 172
New Zealand Dollar Sell 1/15/20 1,057,857 981,545 (76,312)
Norwegian Krone Sell 3/18/20 802,557 791,261 (11,296)
Swedish Krona Sell 3/18/20 265,733 264,448 (1,285)
Citibank, N.A.
Brazilian Real Sell 2/4/20 53,124 51,307 (1,817)
Canadian Dollar Buy 1/15/20 1,138,668 1,125,552 13,116
Canadian Dollar Sell 1/15/20 1,138,668 1,119,677 (18,991)
Euro Sell 3/18/20 467,917 463,232 (4,685)
New Zealand Dollar Buy 1/15/20 630,931 630,805 126
New Zealand Dollar Sell 1/15/20 630,931 585,494 (45,437)
Credit Suisse International
Euro Sell 3/18/20 446,731 442,203 (4,528)
Goldman Sachs International
Australian Dollar Buy 1/15/20 898,799 896,144 2,655
Australian Dollar Sell 1/15/20 898,799 869,299 (29,500)
Brazilian Real Buy 2/4/20 23,097 8,493 14,604
British Pound Sell 3/18/20 878,694 859,219 (19,475)
Chilean Peso Buy 1/15/20 997,589 1,052,471 (54,882)
Chilean Peso Sell 1/15/20 997,589 1,049,435 51,846
Euro Sell 3/18/20 16,116 16,003 (113)
New Zealand Dollar Buy 1/15/20 1,783,855 1,758,046 25,809
New Zealand Dollar Sell 1/15/20 1,783,855 1,669,622 (114,233)
Norwegian Krone Buy 3/18/20 3,385,473 3,240,786 144,687
Swedish Krona Sell 3/18/20 1,478,470 1,449,063 (29,407)
HSBC Bank USA, National Association
Australian Dollar Buy 1/15/20 1,082,083 1,051,026 31,057
Australian Dollar Sell 1/15/20 1,082,083 1,075,633 (6,450)
British Pound Sell 3/18/20 896,878 877,245 (19,633)
Canadian Dollar Buy 1/15/20 3,158 3,097 61
Canadian Dollar Sell 1/15/20 3,158 3,119 (39)
Euro Sell 3/18/20 28,399 28,051 (348)
Japanese Yen Sell 2/19/20 666,758 667,799 1,041
New Zealand Dollar Buy 1/15/20 267,629 263,501 4,128
New Zealand Dollar Sell 1/15/20 267,629 267,163 (466)
Norwegian Krone Sell 3/18/20 410,364 403,872 (6,492)
Swedish Krona Sell 3/18/20 918,353 893,032 (25,321)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/15/20 3,299 3,289 10
Australian Dollar Sell 1/15/20 3,299 3,231 (68)
Canadian Dollar Buy 1/15/20 2,025,498 2,003,904 21,594
Canadian Dollar Sell 1/15/20 2,025,498 1,983,982 (41,516)
Euro Sell 3/18/20 1,133,054 1,113,027 (20,027)
Japanese Yen Sell 2/19/20 266,032 263,797 (2,235)
New Zealand Dollar Buy 1/15/20 2,510,459 2,436,567 73,892
New Zealand Dollar Sell 1/15/20 2,510,459 2,329,479 (180,980)
Swedish Krona Sell 3/18/20 103,807 102,549 (1,258)
Swiss Franc Sell 3/18/20 7,581 8,162 581
NatWest Markets PLC
Australian Dollar Buy 1/15/20 2,539,718 2,424,548 115,170
Australian Dollar Sell 1/15/20 2,539,718 2,532,021 (7,697)
British Pound Buy 3/18/20 534,384 521,790 12,594
Euro Buy 3/18/20 265,401 263,893 1,508
New Zealand Dollar Buy 1/15/20 270,524 261,881 8,643
New Zealand Dollar Sell 1/15/20 270,524 270,452 (72)
Norwegian Krone Buy 3/18/20 1,202,394 1,151,415 50,979
Swedish Krona Sell 3/18/20 405,082 398,821 (6,261)
State Street Bank and Trust Co.
Australian Dollar Sell 1/15/20 1,480,940 1,393,560 (87,380)
British Pound Sell 3/18/20 1,119,206 1,108,877 (10,329)
Canadian Dollar Buy 1/15/20 3,162,010 3,130,077 31,933
Canadian Dollar Sell 1/15/20 3,162,010 3,120,696 (41,314)
Euro Sell 3/18/20 2,644,994 2,614,888 (30,106)
Japanese Yen Sell 2/19/20 3,009,866 3,004,251 (5,615)
New Zealand Dollar Buy 1/15/20 264,330 214,180 50,150
Norwegian Krone Buy 3/18/20 1,098,922 1,036,607 62,315
Swedish Krona Sell 3/18/20 3,450,389 3,405,963 (44,426)
Toronto-Dominion Bank
Canadian Dollar Sell 1/15/20 428,974 405,617 (23,357)
Euro Buy 3/18/20 266,979 264,393 2,586
Swedish Krona Sell 3/18/20 536,469 527,759 (8,710)
UBS AG
Australian Dollar Sell 1/15/20 890,657 911,522 20,865
British Pound Sell 3/18/20 536,906 529,044 (7,862)
Japanese Yen Sell 2/19/20 529,193 528,588 (605)
New Zealand Dollar Buy 1/15/20 1,010,323 950,612 59,711
Swedish Krona Sell 3/18/20 533,951 525,771 (8,180)
WestPac Banking Corp.
Australian Dollar Buy 1/15/20 271,240 270,448 792
Australian Dollar Sell 1/15/20 271,240 263,563 (7,677)
British Pound Sell 3/18/20 269,050 265,220 (3,830)
Euro Buy 3/18/20 267,655 264,821 2,834
Euro Sell 3/18/20 265,965 265,646 (319)
Unrealized appreciation 1,036,282
Unrealized (depreciation) (1,127,385)
Total $(91,103)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 12/31/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Schatz 2 yr (Short) 38 $4,769,906 $4,769,906 Mar-20 $1,841
U.S. Treasury Bond Ultra 30 yr (Long) 9 1,634,906 1,634,906 Mar-20 (55,145)
U.S. Treasury Note 2 yr (Long) 41 8,835,500 8,835,500 Mar-20 (6,178)
U.S. Treasury Note 5 yr (Short) 84 9,963,188 9,963,188 Mar-20 35,905
Unrealized appreciation 37,746
Unrealized (depreciation) (61,323)
Total $(23,577)









WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/19 (premiums $6,599,116) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Citibank, N.A.
(1.706)/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.706 $11,628,200 $698
1.999/3 month USD-LIBOR-BBA/Mar-25 Mar-20/1.999 9,429,700 70,817
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 163,695
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 278,259
Goldman Sachs International
(1.81875)/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.81875 9,407,000 17,779
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 22,032,800 91,877
1.722/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 118,614
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 233,454
JPMorgan Chase Bank N.A.
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 118,154
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 530,530
Morgan Stanley & Co. International PLC
(1.668)/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.668 $7,056,000 7
2.7225/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 4,323,400 86
2.715/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 4,323,400 216
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 9,442,600 20,207
1.868/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.868 9,408,000 23,050
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 38,165
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 39,511
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 72,423
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 143,193
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 146,874
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 252,349
(2.715)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 4,323,400 330,092
(2.7225)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 4,323,400 333,291
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 469,237
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 579,655
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 579,718
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,150,300 582,051
Toronto-Dominion Bank
1.8055/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.8055 6,079,700 54,657
UBS AG
(1.80)/3 month USD-LIBOR-BBA/Jan-30 Jan-20/1.80 9,407,000 19,002
(0.385)/6 month EUR-EURIBOR-Reuters/Sep-34 Sep-24/0.385 EUR 2,960,000 98,478
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 $4,407,800 190,064
0.385/6 month EUR-EURIBOR-Reuters/Sep-34 Sep-24/0.385 EUR 2,960,000 214,255
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 $4,407,800 270,903
Total $6,081,361









WRITTEN OPTIONS OUTSTANDING at 12/31/19 (premiums $271,250) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Jan-20/$101.34 $74,000,000 $74,000,000 $46,028
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) Jan-20/102.63 9,000,000 9,000,000 30,942
Total $76,970









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/19 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 $(347,036) $170,374
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $25,327,500 (233,646) 105,109
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 85,426
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) (29,445)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) (37,928)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 25,327,500 $(233,646) $(133,982)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) 88,862
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) (51,347)
Citibank, N.A.
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 23,686
1.81/3 month USD-LIBOR-BBA/Jan-30 (Purchased) Jan-20/1.81 14,144,600 (28,289) 3,678
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (65,128)
1.765/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 23,744,500 (318,176) (92,841)
(1.765)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 23,744,500 (318,176) (141,992)
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 82,087
1.99/3 month USD-LIBOR-BBA/Jan-30 (Written) Jan-20/1.99 9,429,700 11,316 (1,697)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 (88,647)
Goldman Sachs International
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 18,875
1.8115/3 month USD-LIBOR-BBA/Jan-30 (Purchased) Jan-20/1.8115 14,144,600 (31,118) 5,234
(2.13)/3 month USD-LIBOR-BBA/Dec-30 (Purchased) Dec-20/2.13 3,771,900 (53,278) 2,414
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (47,039)
1.755/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 23,744,500 (319,364) (99,015)
(1.755)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 23,744,500 (319,364) (136,768)
1.9915/3 month USD-LIBOR-BBA/Jan-30 (Written) Jan-20/1.9915 9,429,700 17,256 2,452
JPMorgan Chase Bank N.A.
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 181,837
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 $(516,333) $166,928
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (144,396) 26,694
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) 26,649
(3.162)/3 month USD-LIBOR-BBA/Nov-33 (Purchased) Nov-20/3.162 11,760,300 (14,348) 823
3.162/3 month USD-LIBOR-BBA/Nov-33 (Purchased) Nov-20/3.162 11,760,300 (1,670,315) (53,039)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (57,506)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (63,027)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (92,182)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 $(516,333) $(424,900)
(3.229)/3 month USD-LIBOR-BBA/Nov-33 (Written) Nov-23/3.229 11,760,300 1,334,794 50,687
2.975/3 month USD-LIBOR-BBA/Nov-23 (Written) Nov-20/2.975 11,760,300 1,176 588
(2.975)/3 month USD-LIBOR-BBA/Nov-23 (Written) Nov-20/2.975 11,760,300 453,712 (1,646)
3.229/3 month USD-LIBOR-BBA/Nov-33 (Written) Nov-23/3.229 11,760,300 129,010 (2,705)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 184,198
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) 22,080
(1.5775)/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 18,278,700 (100,716) (26,687)
1.5775/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 18,278,700 (100,716) (41,127)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (74,832)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (106,017)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 123,787
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 (58,887)
UBS AG
(0.762)/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) 15,184
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 3,902,100 $(285,341) $1,990
1.6125/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 3,902,100 (107,035) 1,951
0.762/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) (30,762)
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 27,818
(1.30)/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 $66,286 $7,048
1.30/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 246,318 (11,609)
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 (22,152)
Unrealized appreciation 1,426,459
Unrealized (depreciation) (1,992,907)
Total $(566,448)









TBA SALE COMMITMENTS OUTSTANDING at 12/31/19 (proceeds receivable $8,011,875) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 3.00%, 1/1/50 $4,000,000 $4,057,500
Uniform Mortgage-Backed Securities, 2.50%, 1/1/50 4,000,000 3,955,938
Total $8,013,438











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$5,436,500 $73,186 (51) 9/18/24 1.425% — Semiannually 3 month USD-LIBOR-BBA — Quarterly $54,984
2,617,100 40,945 (E) (15) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (40,959)
1,418,100 97,229 (E) (20) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (97,249)
1,105,300 131,978 (E) (38) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (132,016)
1,338,000 182,927 (E) (46) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (182,973)
3,186,100 71,209 (E) (45) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (71,254)
174,600 6,652 (E) (6) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (6,658)
3,880,300 52,834 (E) (55) 6/22/30 2.0625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (52,889)
1,011,300 4,700 (E) (14) 7/6/30 1.9665% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (4,714)
831,700 21,009 (E) (28) 7/5/52 2.25% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (21,037)
6,347,600 2,990 (E) (35) 2/7/24 1.733% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,025)
911,300 7,460 (E) (13) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (7,473)
3,107,800 90,530 (E) (106) 7/22/52 2.2685% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (90,636)
1,368,300 65,607 (E) (47) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 65,561
1,417,500 159,198 (E) (48) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 159,150
2,841,200 59,640 (E) (40) 1/6/30 1.668% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 59,599
252,158,200 242,828 (E) (214,992) 3/18/22 1.60% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 27,836
658,500 4,705 (E) (9) 1/13/30 1.81875% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 4,696
733,700 6,515 (E) (10) 1/15/30 1.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 6,505
25,549,000 237,299 (E) 28,558 3/18/30 1.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 265,857
1,710,800 44,705 (E) 15,666 3/18/50 1.98% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 60,371
116,243,700 582,613 (E) (333,940) 3/18/25 1.625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 248,674
11,760,300 1,191,671 (167) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,308,959)
1,693,500 117,473 (22) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (130,496)
5,436,500 71,642 (51) 9/18/24 1.43125% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 53,342
23,744,500 245,399 (192) 9/30/24 1.50% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 157,762
23,744,500 210,186 (192) 10/1/24 1.53% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 246,517
9,407,000 129,224 (39,164) 12/27/29 1.746% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 90,779
4,704,000 101,517 (62) 11/29/29 1.655% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 102,787
2,521,300 52,889 (36) 12/31/29 1.6675% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 52,990
2,069,500 23,853 (29) 12/27/29 1.77% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 23,976
4,569,000 18,674 (37) 12/13/24 1.6445% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 19,431
5,651,000 35,206 (75) 12/17/29 1.8252% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 35,593
4,569,000 21,616 (37) 12/17/24 1.632% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 22,296
4,569,000 10,847 (37) 12/18/24 1.6815% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 11,409
3,206,400 5,903 (43) 12/31/29 1.875% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 6,034
1,508,900 2,568 (20) 12/31/29 1.8765% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,630
1,011,100 16,675 (E) (6) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 16,669
5,478,300 138,365 (E) (1,109) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 137,257
1,893,900 31,145 (E) (324) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 30,822
527,084 43,896 (E) (7) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 43,889
3,412,200 39,046 (E) (19) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 39,027
5,008,800 58,312 (E) (28) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 58,285
902,800 19,183 (E) (20) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 19,163
2,087,500 18,176 (E) (23) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 18,152
6,898,500 148,559 (E) 70,153 3/18/50 3 month USD-LIBOR-BBA — Quarterly 2.00% — Semiannually (78,406)
55,057,300 764,250 (E) 413,538 3/18/30 3 month USD-LIBOR-BBA — Quarterly 1.75% — Semiannually (350,712)
6,265,000 8,903 (E) (24,685) 3/18/25 3 month USD-LIBOR-BBA — Quarterly 1.70% — Semiannually (33,588)
37,732,700 270,393 (E) 100,088 3/18/25 3 month USD-LIBOR-BBA — Quarterly 1.58% — Semiannually (170,304)
1,187,700 18,668 (E) 2,652 3/18/30 3 month USD-LIBOR-BBA — Quarterly 1.73% — Semiannually (16,016)
1,131,600 6,155 (E) (16) 12/21/30 3 month USD-LIBOR-BBA — Quarterly 1.88% — Semiannually (6,171)
1,976,000 540,076 $(67) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually 544,000
6,491,700 670,865 (92) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 726,014
9,408,200 1,037,038 (207,693) 12/3/29 3 month USD-LIBOR-BBA — Quarterly 3.096% — Semiannually 837,558
35,280,800 18,346 (17,726) 1/22/20 3 month USD-LIBOR-BBA — Quarterly 2.86% — Semiannually 310,365
18,958,000 608,078 30,341 12/18/26 3 month USD-LIBOR-BBA — Quarterly 1.30 % — Semiannually (582,833)
96,819,000 152,296 47,890 12/18/21 3 month USD-LIBOR-BBA — Quarterly 1.60 % — Semiannually (119,948)
6,236,000 56,492 (83) 12/18/29 3 month USD-LIBOR-BBA — Quarterly 1.7945% — Semiannually (57,138)
20,060,000 8,425 (49) 11/29/20 Federal funds effective rate US — Quarterly Secured overnight funding rate — Quarterly (9,473)
18,180,000 7,090 (44) 12/5/20 Federal funds effective rate US — Quarterly Secured overnight funding rate — Quarterly (7,890)
AUD 11,541,000 11,752 (30) 10/30/21 0.80% — Quarterly 3 month AUD-BBR-BBSW — Quarterly 13,880
AUD 2,393,000 32,724 (22) 10/30/29 6 month AUD-BBR-BBSW — Semiannually 1.305% — Semiannually (32,070)
AUD 11,572,000 10,305 (30) 10/30/21 0.81% — Quarterly 3 month AUD-BBR-BBSW — Quarterly 12,302
AUD 2,393,000 29,586 (22) 10/30/29 6 month AUD-BBR-BBSW — Semiannually 1.325% — Semiannually (28,874)
AUD 8,000 79 (E) (30) 3/18/30 6 month AUD-BBR-BBSW — Semiannually 1.40% — Semiannually (109)
AUD 85,000 602 (E) (25) 3/18/25 1.00% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 577
CAD 21,605,000 102,272 (61) 8/15/21 3 month CAD-BA-CDOR — Semiannually 1.61 % — Semiannually (124,630)
CAD 2,269,000 102,235 (23) 8/15/29 1.4925% — Semiannually 3 month CAD-BA-CDOR — Semiannually 105,327
CAD 7,222,500 103,414 (51) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.638% — Semiannually (108,808)
CAD 7,222,500 105,422 (51) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.63 % — Semiannually (110,941)
CAD 1,119,000 36,555 (11) 10/9/29 1.6875% — Semiannually 3 month CAD-BA-CDOR — Semiannually 37,092
CAD 2,357,000 12,653 (E) 12,626 3/18/30 2.10% — Semiannually 3 month CAD-BA-CDOR — Semiannually 25,279
CAD 36,546,000 81,842 (E) (40,376) 3/18/25 3 month CAD-BA-CDOR — Semiannually 2.00% — Semiannually (122,219)
CHF 3,196,000 59,396 (26) 8/9/24 0.8475% plus 6 month CHF-LIBOR-BBA — Semiannually — (60,142)
CHF 1,553,000 23,245 (13) 9/13/24 0.765% plus 6 month CHF-LIBOR-BBA — Semiannually — (22,952)
CHF 8,902,000 5,537 (E) (38,241) 3/18/25 0.40% plus 6 month CHF-LIBOR-BBA — Semiannually — (32,703)
CHF 1,227,000 1,532 (E) (9,177) 3/18/30 0.10% plus 6 month CHF-LIBOR-BBA — Semiannually — (10,708)
CZK 96,784,000 72,330 (56) 3/19/29 1.948% — Annually 6 month CZK-PRIBOR — Semiannually (111,814)
CZK 228,143,000 98,000 (37) 8/9/21 6 month CZK-PRIBOR — Semiannually 1.6625% — Annually (118,935)
CZK 92,437,000 147,149 (32) 8/9/24 6 month CZK-PRIBOR — Semiannually 1.28 % — Annually (161,779)
EUR 512,400 117,758 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (117,777)
EUR 696,900 157,954 (E) (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 157,927
EUR 770,000 152,726 (E) (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (152,756)
EUR 778,400 140,661 (E) (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (140,690)
EUR 898,100 133,799 (E) (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (133,834)
EUR 802,800 150,361 (E) (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 150,331
EUR 929,000 120,983 (E) (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (121,019)
EUR 741,300 74,153 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (74,181)
EUR 676,400 56,338 (E) (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (56,364)
EUR 395,500 19,887 (E) (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (19,903)
EUR 1,468,500 110,569 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 110,514
EUR 906,000 147,527 (E) (34) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (147,562)
EUR 1,215,200 158,075 (E) (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 158,029
EUR 4,794,000 71,299 (42) 10/11/24 — 0.4047 plus 6 month EUR-EURIBOR-REUTERS — Semiannually 71,387
EUR 16,503,000 65,604 (E) 151,284 3/18/30 0.20% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 216,888
EUR 5,584,000 4,222 (E) 22,534 3/18/25 — 0.10% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 26,756
EUR 4,960,100 73,820 (E) (187) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually (74,007)
GBP 6,474,000 12,340 (30) 9/18/21 6 month GBP-LIBOR-BBA — Semiannually 0.712% — Semiannually (15,288)
GBP 1,314,000 64,307 (23) 9/18/29 0.616% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually 65,342
GBP 17,167,000 7,754 (E) (17,550) 3/18/25 6 month GBP-LIBOR-BBA — Semiannually 0.90% — Semiannually (9,796)
GBP 18,000 169 (E) (254) 3/18/30 6 month GBP-LIBOR-BBA — Semiannually 1.10% — Semiannually (85)
JPY 511,900,000 9,206 (30) 2/19/20 6 month JPY-LIBOR-BBA — Semiannually 1.3975% — Semiannually 34,645
JPY 49,618,300 25,201 (E) (14) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (25,216)
NOK 60,138,000 77,227 (57) 7/1/24 1.735% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 77,578
NOK 31,542,000 74,104 (49) 7/1/29 6 month NOK-NIBOR-NIBR — Semiannually 1.82% — Annually (72,829)
NOK 28,231,000 8,380 (E) (1,532) 3/18/25 1.95% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 6,848
NOK 56,151,000 39,948 (E) 2,467 3/18/30 2.00% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 42,415
NZD 14,933,000 12,898 (37) 8/7/21 3 month NZD-BBR-FRA — Quarterly 1.15 % — Semiannually 13,875
NZD 5,250,000 12,713 (28) 12/13/24 3 month NZD-BBR-FRA — Quarterly 1.3625% — Semiannually (12,537)
NZD 5,250,000 8,313 (28) 12/17/24 3 month NZD-BBR-FRA — Quarterly 1.39% — Semiannually (8,183)
NZD 13,897,000 30,611 (E) (26,674) 3/18/25 1.40% — Semiannually 3 month NZD-BBR-FRA — Quarterly 3,937
NZD 8,994,000 31,866 (E) (25,420) 3/18/30 1.75% — Semiannually 3 month NZD-BBR-FRA — Quarterly 6,446
NZD 5,250,000 13,533 (28) 12/18/24 3 month NZD-BBR-FRA — Quarterly 1.36% — Semiannually (13,461)
SEK 101,737,000 33,759 (E) (4,055) 3/18/25 0.35% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 29,701
SEK 67,414,000 44,128 (E) 13,820 3/18/30 0.65% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 57,949
Total $(94,859) $160,016
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$443,388 $443,912 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $982
74,711 74,799 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 166
49,770 49,829 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 110
337,555 337,703 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 570
5,350,346 5,340,418 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (2,189)
652,866 654,450 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,528
85,227 85,289 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 188
193,935 195,066 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (1,489)
3,342,114 3,344,341 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (8,783)
20,454 20,290 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (32)
35,625 34,922 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (324)
112,836 111,454 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 157
226,174 223,403 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 315
131,085 130,878 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (1,413)
46,836 46,765 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 484
35,760 35,706 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 369
28,210 28,167 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 291
39,530 38,282 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (800)
71,448 71,407 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 795
10,249 10,243 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 114
4,768 4,766 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 53
Citibank, N.A.
712,448 711,127 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (292)
332,428 331,812 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (136)
66,543 66,419 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (27)
Credit Suisse International
284,979 284,451 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (117)
82,004 81,879 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 847
226,145 226,296 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (594)
72,215 71,636 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 112
71,339 70,600 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (14)
44,170 43,816 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 68
26,681 26,199 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (223)
24,155 23,962 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 37
276,674 274,007 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 342
71,513 70,824 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 88
30,626 30,251 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (43)
148,002 146,189 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 206
81,751 81,622 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (881)
90,622 90,479 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (977)
78,809 78,689 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 814
Deutsche Bank AG
226,145 226,296 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (594)
Goldman Sachs International
10,120 10,127 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (27)
26,968 26,986 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (71)
58,374 58,413 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (153)
109,680 109,753 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (288)
131,588 131,676 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (346)
155,390 155,494 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (408)
212,859 213,001 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (559)
133,419 130,232 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 1,970
190,569 187,123 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,593)
150,584 147,861 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,259)
69,663 68,404 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (582)
90,033 89,312 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (139)
375,413 371,794 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 464
206,318 202,251 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,877)
179,723 176,181 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,635)
88,433 86,690 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (804)
88,433 86,690 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (804)
70,969 70,284 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 88
52,482 51,647 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (259)
336,416 332,295 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 468
79,062 76,973 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (1,173)
130,260 130,054 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (1,404)
54,564 52,842 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (1,104)
52,767 51,101 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (1,068)
26,383 25,550 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (534)
25,098 24,306 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (508)
2,944 2,851 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (60)
23,574 23,561 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 262
1,770 1,769 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 20
JPMorgan Chase Bank N.A.
265,083 261,836 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (369)
232,216 229,372 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (323)
151,598 149,741 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (211)
143,905 142,142 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (200)
130,260 130,054 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (1,401)
JPMorgan Securities LLC
176,953 176,685 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,827)
30,053 29,812 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (47)
437,498 429,587 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 3,657
181,740 179,696 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (95)
598,530 586,734 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,444
Upfront premium received — Unrealized appreciation 22,009
Upfront premium (paid) — Unrealized (depreciation) (40,056)
Total $— Total $(18,047)









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 4,998,000 $469,586 $(121) 8/15/37 1.7138% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $469,465
EUR 1,979,000 190,971 — 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 190,971
EUR 1,979,000 55,762 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (55,762)
EUR 6,434,000 142,745 (75) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (142,821)
EUR 4,998,000 143,885 (64) 8/15/27 (1.4275%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (143,949)
EUR 6,434,000 144,196 (75) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (144,271)
EUR 6,434,000 144,687 (76) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (144,763)
EUR 6,434,000 145,170 (76) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (145,246)
GBP 4,004,000 239,648 (86) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 239,562
GBP 3,123,000 57,157 (72) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity 57,085
GBP 4,253,000 36,669 (56) 11/15/24 3.385% — At maturity GBP Non-revised UK Retail Price Index — At maturity 36,613
GBP 4,484,000 34,990 (106) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 34,884
GBP 2,402,000 26,812 (56) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 26,756
GBP 2,127,000 17,716 (28) 11/15/24 3.381% — At maturity GBP Non-revised UK Retail Price Index — At maturity 17,688
GBP 1,121,000 17,686 (26) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity 17,660
GBP 2,127,000 13,081 — 12/15/24 3.42% — At maturity GBP Non-revised UK Retail Price Index — At maturity 13,081
GBP 1,204,000 275,306 (63) 7/15/49 (3.4425%) — At maturity GBP Non-revised UK Retail Price Index — At maturity (275,369)
$6,119,000 51,546 (62) 11/21/24 (1.71%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 51,485
3,060,000 27,274 (31) 11/29/24 (1.703%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 27,243
3,060,000 16,279 (31) 12/10/24 (1.7625%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 16,248
Total $(1,104) $146,560









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $4,375 $64,000 $3,270 5/11/63 300 bp — Monthly $1,142
CMBX NA BBB-.6 Index BBB-/P 8,497 141,000 7,205 5/11/63 300 bp — Monthly 1,374
CMBX NA BBB-.6 Index BBB-/P 17,409 282,000 14,410 5/11/63 300 bp — Monthly 3,163
CMBX NA BBB-.6 Index BBB-/P 16,587 291,000 14,870 5/11/63 300 bp — Monthly 1,887
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index BB-/P 210 1,000 113 5/11/63 500 bp — Monthly 98
CMBX NA BB.6 Index BB-/P 19,190 101,000 11,433 5/11/63 500 bp — Monthly 7,855
CMBX NA BB.6 Index BB-/P 28,424 150,000 16,980 5/11/63 500 bp — Monthly 11,590
CMBX NA BB.6 Index BB-/P 33,986 171,000 19,357 5/11/63 500 bp — Monthly 14,795
CMBX NA BB.6 Index BB-/P 86,146 350,000 39,620 5/11/63 500 bp — Monthly 46,866
CMBX NA BB.6 Index BB-/P 61,513 380,000 43,016 5/11/63 500 bp — Monthly 18,866
CMBX NA BB.7 Index BB/P 4,365 48,000 1,843 1/17/47 500 bp — Monthly 2,568
CMBX NA BB.7 Index BB/P 19,995 144,000 5,530 1/17/47 500 bp — Monthly 14,605
CMBX NA BB.7 Index BB/P 38,946 303,000 11,635 1/17/47 500 bp — Monthly 27,605
CMBX NA BB.7 Index BB/P 50,489 418,000 16,051 1/17/47 500 bp — Monthly 34,844
CMBX NA BBB-.6 Index BBB-/P 2,052 24,000 1,226 5/11/63 300 bp — Monthly 839
CMBX NA BBB-.6 Index BBB-/P 2,576 29,000 1,482 5/11/63 300 bp — Monthly 1,111
CMBX NA BBB-.6 Index BBB-/P 3,641 41,000 2,095 5/11/63 300 bp — Monthly 1,570
CMBX NA BBB-.6 Index BBB-/P 3,540 46,000 2,351 5/11/63 300 bp — Monthly 1,216
CMBX NA BBB-.6 Index BBB-/P 3,081 51,000 2,606 5/11/63 300 bp — Monthly 504
CMBX NA BBB-.6 Index BBB-/P 5,178 57,000 2,913 5/11/63 300 bp — Monthly 2,299
CMBX NA BBB-.6 Index BBB-/P 7,686 79,000 4,037 5/11/63 300 bp — Monthly 3,696
CMBX NA BBB-.6 Index BBB-/P 7,542 88,000 4,497 5/11/63 300 bp — Monthly 3,097
CMBX NA BBB-.6 Index BBB-/P 8,100 102,000 5,212 5/11/63 300 bp — Monthly 2,947
CMBX NA BBB-.6 Index BBB-/P 10,476 115,000 5,877 5/11/63 300 bp — Monthly 4,667
CMBX NA BBB-.6 Index BBB-/P 13,158 154,000 7,869 5/11/63 300 bp — Monthly 5,378
CMBX NA BBB-.6 Index BBB-/P 19,644 192,000 9,811 5/11/63 300 bp — Monthly 9,945
CMBX NA BBB-.6 Index BBB-/P 24,626 242,000 12,366 5/11/63 300 bp — Monthly 12,401
CMBX NA BBB-.6 Index BBB-/P 30,464 334,000 17,067 5/11/63 300 bp — Monthly 13,592
CMBX NA BBB-.6 Index BBB-/P 31,004 339,000 17,323 5/11/63 300 bp — Monthly 13,879
CMBX NA BBB-.6 Index BBB-/P 47,804 528,000 26,981 5/11/63 300 bp — Monthly 21,131
CMBX NA BBB-.6 Index BBB-/P 53,588 573,000 29,280 5/11/63 300 bp — Monthly 24,642
CMBX NA BBB-.6 Index BBB-/P 182,170 1,924,000 98,316 5/11/63 300 bp — Monthly 84,976
Credit Suisse International
CMBX NA BB.7 Index BB/P 30,497 228,000 8,755 1/17/47 500 bp — Monthly 21,964
CMBX NA BBB-.6 Index BBB-/P 52,816 478,000 24,426 5/11/63 300 bp — Monthly 28,669
CMBX NA BBB-.6 Index BBB-/P 129,498 1,172,000 59,889 5/11/63 300 bp — Monthly 70,292
CMBX NA BBB-.6 Index BBB-/P 1,151,228 12,252,000 626,077 5/11/63 300 bp — Monthly 532,298
CMBX NA BBB-.7 Index BBB-/P 136,373 1,845,000 8,487 1/17/47 300 bp — Monthly 145,936
CMBX NA BBB-.7 Index BBB-/P 51,226 780,000 3,588 1/17/47 300 bp — Monthly 55,269
Goldman Sachs International
CMBX NA BB.6 Index BB-/P 5,506 46,000 5,207 5/11/63 500 bp — Monthly 343
CMBX NA BB.6 Index BB-/P 17,531 150,000 16,980 5/11/63 500 bp — Monthly 697
CMBX NA BB.6 Index BB-/P 34,572 299,000 33,847 5/11/63 500 bp — Monthly 1,016
CMBX NA BBB-.6 Index BBB-/P 1,771 26,000 1,329 5/11/63 300 bp — Monthly 458
CMBX NA BBB-.6 Index BBB-/P 4,415 44,000 2,248 5/11/63 300 bp — Monthly 2,192
CMBX NA BBB-.6 Index BBB-/P 6,450 46,000 2,351 5/11/63 300 bp — Monthly 4,126
CMBX NA BBB-.6 Index BBB-/P 6,945 66,000 3,373 5/11/63 300 bp — Monthly 3,611
CMBX NA BBB-.6 Index BBB-/P 8,625 78,000 3,986 5/11/63 300 bp — Monthly 4,685
CMBX NA BBB-.6 Index BBB-/P 6,758 78,000 3,986 5/11/63 300 bp — Monthly 2,818
CMBX NA BBB-.6 Index BBB-/P 7,858 91,000 4,650 5/11/63 300 bp — Monthly 3,261
CMBX NA BBB-.6 Index BBB-/P 5,285 102,000 5,212 5/11/63 300 bp — Monthly 73
CMBX NA BBB-.6 Index BBB-/P 14,022 103,000 5,263 5/11/63 300 bp — Monthly 8,819
CMBX NA BBB-.6 Index BBB-/P 12,871 115,000 5,877 5/11/63 300 bp — Monthly 7,062
CMBX NA BBB-.6 Index BBB-/P 10,295 122,000 6,234 5/11/63 300 bp — Monthly 4,132
CMBX NA BBB-.6 Index BBB-/P 9,733 123,000 6,285 5/11/63 300 bp — Monthly 3,519
CMBX NA BBB-.6 Index BBB-/P 14,645 131,000 6,694 5/11/63 300 bp — Monthly 8,027
CMBX NA BBB-.6 Index BBB-/P 22,777 137,000 7,001 5/11/63 300 bp — Monthly 15,856
CMBX NA BBB-.6 Index BBB-/P 23,502 157,000 8,023 5/11/63 300 bp — Monthly 15,571
CMBX NA BBB-.6 Index BBB-/P 23,233 158,000 8,074 5/11/63 300 bp — Monthly 15,251
CMBX NA BBB-.6 Index BBB-/P 18,496 166,000 8,483 5/11/63 300 bp — Monthly 10,111
CMBX NA BBB-.6 Index BBB-/P 18,357 169,000 8,636 5/11/63 300 bp — Monthly 9,820
CMBX NA BBB-.6 Index BBB-/P 18,286 169,000 8,636 5/11/63 300 bp — Monthly 9,749
CMBX NA BBB-.6 Index BBB-/P 20,534 175,000 8,943 5/11/63 300 bp — Monthly 11,694
CMBX NA BBB-.6 Index BBB-/P 15,274 181,000 9,249 5/11/63 300 bp — Monthly 6,131
CMBX NA BBB-.6 Index BBB-/P 15,166 183,000 9,351 5/11/63 300 bp — Monthly 5,922
CMBX NA BBB-.6 Index BBB-/P 10,015 192,000 9,811 5/11/63 300 bp — Monthly 316
CMBX NA BBB-.6 Index BBB-/P 24,103 216,000 11,038 5/11/63 300 bp — Monthly 13,191
CMBX NA BBB-.6 Index BBB-/P 24,103 216,000 11,038 5/11/63 300 bp — Monthly 13,191
CMBX NA BBB-.6 Index BBB-/P 11,095 226,000 11,549 5/11/63 300 bp — Monthly (322)
CMBX NA BBB-.6 Index BBB-/P 12,285 252,000 12,877 5/11/63 300 bp — Monthly (445)
CMBX NA BBB-.6 Index BBB-/P 40,089 266,000 13,593 5/11/63 300 bp — Monthly 26,651
CMBX NA BBB-.6 Index BBB-/P 13,442 271,000 13,848 5/11/63 300 bp — Monthly (248)
CMBX NA BBB-.6 Index BBB-/P 36,039 296,000 15,126 5/11/63 300 bp — Monthly 21,086
CMBX NA BBB-.6 Index BBB-/P 33,021 305,000 15,586 5/11/63 300 bp — Monthly 17,613
CMBX NA BBB-.6 Index BBB-/P 32,527 324,000 16,556 5/11/63 300 bp — Monthly 16,159
CMBX NA BBB-.6 Index BBB-/P 47,211 452,000 23,097 5/11/63 300 bp — Monthly 24,377
CMBX NA BBB-.6 Index BBB-/P 50,821 461,000 23,557 5/11/63 300 bp — Monthly 27,533
CMBX NA BBB-.6 Index BBB-/P 71,741 605,000 30,916 5/11/63 300 bp — Monthly 41,179
CMBX NA BBB-.6 Index BBB-/P 71,494 605,000 30,916 5/11/63 300 bp — Monthly 40,932
CMBX NA BBB-.6 Index BBB-/P 37,011 765,000 39,092 5/11/63 300 bp — Monthly (1,634)
CMBX NA BBB-.6 Index BBB-/P 155,865 1,042,000 53,246 5/11/63 300 bp — Monthly 103,226
CMBX NA BBB-.7 Index BBB-/P 90,359 1,040,000 4,784 1/17/47 300 bp — Monthly 95,750
CMBX NA BBB-.7 Index BBB-/P 61,571 833,000 3,832 1/17/47 300 bp — Monthly 65,889
CMBX NA BBB-.7 Index BBB-/P 51,111 600,000 2,760 1/17/47 300 bp — Monthly 54,221
CMBX NA BBB-.7 Index BBB-/P 9,270 133,000 612 1/17/47 300 bp — Monthly 9,960
JPMorgan Securities LLC
CMBX NA BB.6 Index BB-/P 38,131 180,000 20,376 5/11/63 500 bp — Monthly 17,930
CMBX NA BB.6 Index BB-/P 41,272 195,000 22,074 5/11/63 500 bp — Monthly 19,387
CMBX NA BB.10 Index BB-/P 23,991 299,000 17,521 5/11/63 500 bp — Monthly 6,761
CMBX NA BB.6 Index BB-/P 32,840 156,000 17,659 5/11/63 500 bp — Monthly 15,332
CMBX NA BB.6 Index BB-/P 23,651 158,000 17,886 5/11/63 500 bp — Monthly 5,919
CMBX NA BBB-.6 Index BBB-/P 1,068 12,000 613 5/11/63 300 bp — Monthly 461
CMBX NA BBB-.6 Index BBB-/P 4,325 43,000 2,197 5/11/63 300 bp — Monthly 2,153
CMBX NA BBB-.6 Index BBB-/P 7,385 74,000 3,781 5/11/63 300 bp — Monthly 3,647
CMBX NA BBB-.6 Index BBB-/P 7,699 78,000 3,986 5/11/63 300 bp — Monthly 3,758
CMBX NA BBB-.6 Index BBB-/P 8,681 87,000 4,446 5/11/63 300 bp — Monthly 4,286
CMBX NA BBB-.6 Index BBB-/P 10,476 115,000 5,877 5/11/63 300 bp — Monthly 4,667
CMBX NA BBB-.6 Index BBB-/P 15,005 156,000 7,972 5/11/63 300 bp — Monthly 7,124
CMBX NA BBB-.6 Index BBB-/P 2,274,934 17,196,000 878,716 5/11/63 300 bp — Monthly 1,406,250
Merrill Lynch International
CMBX NA BB.6 Index BB-/P 48,332 298,000 33,734 5/11/63 500 bp — Monthly 14,888
CMBX NA BBB-.6 Index BBB-/P 16,195 179,000 9,147 5/11/63 300 bp — Monthly 7,153
CMBX NA BBB-.6 Index BBB-/P 16,247 213,000 10,884 5/11/63 300 bp — Monthly 5,487
CMBX NA BBB-.6 Index BBB-/P 132,865 1,488,000 76,037 5/11/63 300 bp — Monthly 57,696
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 10,005 71,000 3,628 5/11/63 300 bp — Monthly 6,418
CMBX NA BBB-.6 Index BBB-/P 38,928 263,000 13,439 5/11/63 300 bp — Monthly 25,642
CMBX NA BBB-.6 Index BBB-/P 38,318 263,000 13,439 5/11/63 300 bp — Monthly 25,032
CMBX NA BBB-.6 Index BBB-/P 38,870 263,000 13,439 5/11/63 300 bp — Monthly 25,584
CMBX NA BBB-.6 Index BBB-/P 77,707 525,000 26,828 5/11/63 300 bp — Monthly 51,186
CMBX NA BBB-.6 Index BBB-/P 77,780 525,000 26,828 5/11/63 300 bp — Monthly 51,259
CMBX NA BBB-.6 Index BBB-/P 76,916 526,000 26,879 5/11/63 300 bp — Monthly 50,344
CMBX NA BBB-.6 Index BBB-/P 116,041 788,000 40,267 5/11/63 300 bp — Monthly 76,234
CMBX NA BBB-.6 Index BBB-/P 115,105 790,000 40,369 5/11/63 300 bp — Monthly 75,197
CMBX NA BBB-.6 Index BBB-/P 155,146 1,051,000 53,706 5/11/63 300 bp — Monthly 102,049
CMBX NA A.6 Index A/P 41 4,000 62 5/11/63 200 bp — Monthly 104
CMBX NA BB.6 Index BB-/P 4,741 39,000 4,415 5/11/63 500 bp — Monthly 364
CMBX NA BB.6 Index BB-/P 8,676 48,000 5,434 5/11/63 500 bp — Monthly 3,289
CMBX NA BB.6 Index BB-/P 48,378 197,000 22,300 5/11/63 500 bp — Monthly 26,269
CMBX NA BB.6 Index BB-/P 97,086 394,000 44,601 5/11/63 500 bp — Monthly 52,868
CMBX NA BBB-.6 Index BBB-/P 496 4,000 204 5/11/63 300 bp — Monthly 294
CMBX NA BBB-.6 Index BBB-/P 641 6,000 307 5/11/63 300 bp — Monthly 338
CMBX NA BBB-.6 Index BBB-/P 1,164 11,000 562 5/11/63 300 bp — Monthly 609
CMBX NA BBB-.6 Index BBB-/P 1,696 14,000 715 5/11/63 300 bp — Monthly 989
CMBX NA BBB-.6 Index BBB-/P 2,666 22,000 1,124 5/11/63 300 bp — Monthly 1,555
CMBX NA BBB-.6 Index BBB-/P 2,962 31,000 1,584 5/11/63 300 bp — Monthly 1,396
CMBX NA BBB-.6 Index BBB-/P 2,174 37,000 1,891 5/11/63 300 bp — Monthly 305
CMBX NA BBB-.6 Index BBB-/P 4,655 38,000 1,942 5/11/63 300 bp — Monthly 2,736
CMBX NA BBB-.6 Index BBB-/P 5,586 43,000 2,197 5/11/63 300 bp — Monthly 3,414
CMBX NA BBB-.6 Index BBB-/P 7,298 57,000 2,913 5/11/63 300 bp — Monthly 4,419
CMBX NA BBB-.6 Index BBB-/P 5,565 57,000 2,913 5/11/63 300 bp — Monthly 2,686
CMBX NA BBB-.6 Index BBB-/P 7,405 65,000 3,322 5/11/63 300 bp — Monthly 4,122
CMBX NA BBB-.6 Index BBB-/P 8,241 70,000 3,577 5/11/63 300 bp — Monthly 4,704
CMBX NA BBB-.6 Index BBB-/P 10,227 77,000 3,935 5/11/63 300 bp — Monthly 6,337
CMBX NA BBB-.6 Index BBB-/P 9,154 78,000 3,986 5/11/63 300 bp — Monthly 5,213
CMBX NA BBB-.6 Index BBB-/P 10,205 89,000 4,548 5/11/63 300 bp — Monthly 5,709
CMBX NA BBB-.6 Index BBB-/P 10,891 122,000 6,234 5/11/63 300 bp — Monthly 4,728
CMBX NA BBB-.6 Index BBB-/P 12,170 143,000 7,307 5/11/63 300 bp — Monthly 4,947
CMBX NA BBB-.6 Index BBB-/P 11,631 152,000 7,767 5/11/63 300 bp — Monthly 3,952
CMBX NA BBB-.6 Index BBB-/P 28,646 169,000 8,636 5/11/63 300 bp — Monthly 20,108
CMBX NA BBB-.6 Index BBB-/P 16,836 180,000 9,198 5/11/63 300 bp — Monthly 7,743
CMBX NA BBB-.6 Index BBB-/P 30,067 200,000 10,220 5/11/63 300 bp — Monthly 19,964
CMBX NA BBB-.6 Index BBB-/P 24,103 213,000 10,884 5/11/63 300 bp — Monthly 13,343
CMBX NA BBB-.6 Index BBB-/P 28,113 232,000 11,855 5/11/63 300 bp — Monthly 16,393
CMBX NA BBB-.6 Index BBB-/P 37,244 250,000 12,775 5/11/63 300 bp — Monthly 24,615
CMBX NA BBB-.6 Index BBB-/P 72,062 514,000 26,265 5/11/63 300 bp — Monthly 46,096
CMBX NA BBB-.6 Index BBB-/P 59,276 559,000 28,565 5/11/63 300 bp — Monthly 31,039
Upfront premium received 7,642,189 Unrealized appreciation 4,368,286
Upfront premium (paid) — Unrealized (depreciation) (2,649)
Total $7,642,189 Total $4,365,637
* 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 December 31, 2019. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(37) $4,000 $62 5/11/63 (200 bp) — Monthly $(101)
CMBX NA BB.10 Index (14,611) 140,000 8,204 11/17/59 (500 bp) — Monthly (6,543)
CMBX NA BB.10 Index (12,500) 114,000 6,680 11/17/59 (500 bp) — Monthly (5,930)
CMBX NA BB.11 Index (54,156) 418,000 22,488 11/18/54 (500 bp) — Monthly (32,074)
CMBX NA BB.11 Index (10,687) 148,000 7,962 11/18/54 (500 bp) — Monthly (2,868)
CMBX NA BB.11 Index (13,574) 144,000 7,747 11/18/54 (500 bp) — Monthly (5,967)
CMBX NA BB.11 Index (5,018) 73,000 3,927 11/18/54 (500 bp) — Monthly (1,162)
CMBX NA BB.6 Index (10,465) 91,000 10,301 5/11/63 (500 bp) — Monthly (252)
CMBX NA BB.8 Index (8,940) 72,000 8,222 10/17/57 (500 bp) — Monthly (787)
CMBX NA BB.9 Index (210,878) 2,043,000 84,989 9/17/58 (500 bp) — Monthly (127,875)
CMBX NA BB.9 Index (19,033) 295,000 12,272 9/17/58 (500 bp) — Monthly (7,048)
CMBX NA BB.9 Index (8,581) 133,000 5,533 9/17/58 (500 bp) — Monthly (3,178)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 16,994 11/17/59 (500 bp) — Monthly (21,981)
CMBX NA BB.10 Index (34,367) 289,000 16,935 11/17/59 (500 bp) — Monthly (17,713)
CMBX NA BB.10 Index (18,893) 152,000 8,907 11/17/59 (500 bp) — Monthly (10,134)
CMBX NA BB.7 Index (5,383) 305,000 34,526 5/11/63 (500 bp) — Monthly 28,846
CMBX NA BB.7 Index (61,796) 335,000 12,864 1/17/47 (500 bp) — Monthly (49,258)
CMBX NA BB.7 Index (4,770) 29,000 1,114 1/17/47 (500 bp) — Monthly (3,685)
CMBX NA BB.9 Index (119,494) 1,192,000 49,587 9/17/58 (500 bp) — Monthly (71,066)
Goldman Sachs International
CMBX NA BB.6 Index (12,481) 122,000 13,810 5/11/63 (500 bp) — Monthly 1,211
CMBX NA BB.7 Index (32,233) 213,000 8,179 1/17/47 (500 bp) — Monthly (24,261)
CMBX NA BB.6 Index (11,509) 93,000 10,528 5/11/63 (500 bp) — Monthly (1,072)
CMBX NA BB.7 Index (38,667) 236,000 9,062 1/17/47 (500 bp) — Monthly (29,834)
CMBX NA BB.7 Index (25,361) 150,000 5,760 1/17/47 (500 bp) — Monthly (19,746)
CMBX NA BB.7 Index (25,381) 125,000 4,800 1/17/47 (500 bp) — Monthly (20,703)
CMBX NA BB.7 Index (18,621) 102,000 3,917 1/17/47 (500 bp) — Monthly (14,803)
CMBX NA BB.9 Index (4,617) 29,000 1,206 9/17/58 (500 bp) — Monthly (3,438)
CMBX NA BB.9 Index (2,212) 14,000 582 9/17/58 (500 bp) — Monthly (1,643)
CMBX NA BB.9 Index (2,236) 14,000 582 9/17/58 (500 bp) — Monthly (1,667)
JPMorgan Securities LLC
CMBX NA BB.11 Index (13,907) 204,000 10,975 11/18/54 (500 bp) — Monthly (3,130)
CMBX NA BB.11 Index (9,271) 136,000 7,317 11/18/54 (500 bp) — Monthly (2,087)
CMBX NA BB.12 Index (27,265) 299,000 17,312 8/17/61 (500 bp) — Monthly (10,244)
CMBX NA BB.6 Index (38,525) 274,000 31,017 5/11/63 (500 bp) — Monthly (7,774)
CMBX NA BB.6 Index (11,075) 77,000 8,716 5/11/63 (500 bp) — Monthly (2,433)
CMBX NA BB.6 Index (9,279) 64,000 7,245 5/11/63 (500 bp) — Monthly (2,097)
CMBX NA BB.7 Index (211,844) 1,674,000 64,282 1/17/47 (500 bp) — Monthly (149,189)
CMBX NA BB.9 Index (8,513) 201,000 8,362 9/17/58 (500 bp) — Monthly (347)
CMBX NA BB.9 Index (9,802) 170,000 7,072 9/17/58 (500 bp) — Monthly (2,895)
CMBX NA BB.9 Index (13,587) 96,000 3,994 9/17/58 (500 bp) — Monthly (9,687)
CMBX NA BB.9 Index (7,626) 54,000 2,246 9/17/58 (500 bp) — Monthly (5,433)
CMBX NA BB.9 Index (6,945) 44,000 1,830 9/17/58 (500 bp) — Monthly (5,157)
CMBX NA BB.9 Index (3,432) 22,000 915 9/17/58 (500 bp) — Monthly (2,538)
CMBX NA BB.9 Index (460) 3,000 125 9/17/58 (500 bp) — Monthly (338)
CMBX NA BBB-.7 Index (4,864) 134,000 616 1/17/47 (300 bp) — Monthly (5,559)
CMBX NA BBB-.7 Index (16,083) 340,000 1,564 1/17/47 (300 bp) — Monthly (17,846)
CMBX NA BBB-.7 Index (52,324) 1,379,000 6,343 1/17/47 (300 bp) — Monthly (59,472)
Merrill Lynch International
CMBX NA BB.10 Index (14,755) 140,000 8,204 11/17/59 (500 bp) — Monthly (6,687)
CMBX NA BB.10 Index (16,523) 139,000 8,145 11/17/59 (500 bp) — Monthly (8,513)
CMBX NA BB.9 Index (2,242) 1,048,000 43,597 9/17/58 (500 bp) — Monthly 40,336
CMBX NA BB.9 Index (9,070) 213,000 8,861 9/17/58 (500 bp) — Monthly (416)
CMBX NA BB.9 Index (5,759) 116,000 4,826 9/17/58 (500 bp) — Monthly (1,046)
CMBX NA BBB-.7 Index (32,451) 396,000 1,822 1/17/47 (300 bp) — Monthly (34,504)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 805 1/17/47 (300 bp) — Monthly (18,738)
CMBX NA BB.10 Index (14,683) 140,000 8,204 11/17/59 (500 bp) — Monthly (6,615)
CMBX NA BB.11 Index (3,049) 32,000 1,722 11/18/54 (500 bp) — Monthly (1,359)
CMBX NA BB.12 Index (10,868) 152,000 8,801 8/17/61 (500 bp) — Monthly (2,214)
CMBX NA BB.12 Index (7,667) 105,000 6,080 8/17/61 (500 bp) — Monthly (1,689)
CMBX NA BB.12 Index (2,777) 34,000 1,969 9/17/58 (500 bp) — Monthly (842)
CMBX NA BB.7 Index (68,647) 356,000 13,670 1/17/47 (500 bp) — Monthly (55,323)
CMBX NA BB.7 Index (39,014) 194,000 7,450 1/17/47 (500 bp) — Monthly (31,753)
CMBX NA BB.7 Index (36,933) 183,000 7,027 1/17/47 (500 bp) — Monthly (30,084)
CMBX NA BB.7 Index (33,495) 179,000 6,874 1/17/47 (500 bp) — Monthly (26,795)
CMBX NA BB.7 Index (6,560) 126,000 4,838 1/17/47 (500 bp) — Monthly (1,844)
CMBX NA BB.9 Index (9,059) 149,000 6,198 9/17/58 (500 bp) — Monthly (3,005)
CMBX NA BB.9 Index (9,164) 149,000 6,198 9/17/58 (500 bp) — Monthly (3,111)
CMBX NA BB.9 Index (10,218) 136,000 5,658 9/17/58 (500 bp) — Monthly (4,692)
CMBX NA BB.9 Index (8,310) 135,000 5,616 9/17/58 (500 bp) — Monthly (2,825)
CMBX NA BB.9 Index (5,353) 108,000 4,493 9/17/58 (500 bp) — Monthly (965)
CMBX NA BB.9 Index (5,238) 97,000 4,035 9/17/58 (500 bp) — Monthly (1,297)
CMBX NA BB.9 Index (10,229) 71,000 2,954 9/17/58 (500 bp) — Monthly (7,344)
CMBX NA BB.9 Index (8,785) 66,000 2,746 9/17/58 (500 bp) — Monthly (6,104)
CMBX NA BB.9 Index (8,830) 65,000 2,704 9/17/58 (500 bp) — Monthly (6,189)
CMBX NA BB.9 Index (9,506) 63,000 2,621 9/17/58 (500 bp) — Monthly (6,946)
CMBX NA BB.9 Index (8,614) 63,000 2,621 9/17/58 (500 bp) — Monthly (6,054)
CMBX NA BB.9 Index (4,572) 52,000 2,163 9/17/58 (500 bp) — Monthly (2,459)
CMBX NA BB.9 Index (4,105) 48,000 1,997 9/17/58 (500 bp) — Monthly (2,155)
CMBX NA BB.9 Index (5,715) 38,000 1,581 9/17/58 (500 bp) — Monthly (4,171)
CMBX NA BB.9 Index (4,541) 30,000 1,248 9/17/58 (500 bp) — Monthly (3,322)
CMBX NA BB.9 Index (4,541) 30,000 1,248 9/17/58 (500 bp) — Monthly (3,322)
CMBX NA BB.9 Index (3,579) 23,000 957 9/17/58 (500 bp) — Monthly (2,645)
CMBX NA BBB-.7 Index (14,538) 229,000 1,053 1/17/47 (300 bp) — Monthly (15,727)
Upfront premium received — Unrealized appreciation 70,393
Upfront premium (paid) (1,727,217) Unrealized (depreciation) (1,081,770)
Total $(1,727,217) Total $(1,011,377)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.











Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
CZK Czech Koruna
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2019 through December 31, 2019 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $253,259,253.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $57,723, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/19		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/19
Short-term investments
Putnam Short Term Investment Fund* $11,984,818 $17,056,318 $22,489,311 $54,579 $6,551,825
Total Short-term investments $11,984,818 $17,056,318 $22,489,311 $54,579 $6,551,825
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $65,753.
(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 $3,585,157.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $5,734,109.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $168,622,641 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 84.2%
United Kingdom 3.1
Greece 2.4
Brazil 1.4
Indonesia 1.1
Argentina 1.0
Mexico 0.9
Dominican Republic 0.8
Ivory Coast 0.7
Canada 0.6
Russia 0.5
Bermuda 0.5
Other 2.8
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and to 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, to yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, 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.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,927,146 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,585,157 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Capital goods $1,090 $— $—
Consumer cyclicals 153,794 22,036 —
Energy — 174 3,766
Health care 2,868 — —
Utilities and power — 9,820 —
Total common stocks 157,752 32,030 3,766
Asset-backed securities — 3,630,000 —
Convertible bonds and notes — 9,433,367 —
Convertible preferred stocks — — 2,600
Corporate bonds and notes — 62,569,509 137
Foreign government and agency bonds and notes 32,504,864
Mortgage-backed securities — 109,197,862 —
Purchased options outstanding — 174,333 —
Purchased swap options outstanding — 6,645,676 —
Senior loans — 7,889,591 —
U.S. government and agency mortgage obligations — 117,996,525 —
Short-term investments 7,229,825 20,109,042 —
Totals by level $7,387,577 $370,182,799 $6,503
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(91,103) $—
Futures contracts (23,577) — —
Written options outstanding — (76,970) —
Written swap options outstanding — (6,081,361) —
Forward premium swap option contracts — (566,448) —
TBA sale commitments — (8,013,438) —
Interest rate swap contracts — 254,875 —
Total return swap contracts — 129,617 —
Credit default contracts — (2,560,712) —
Totals by level $(23,577) $(17,005,540) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $99,800,000
Purchased currency option contracts (contract amount) $25,000,000
Purchased swap option contracts (contract amount) $625,100,000
Written TBA commitment option contracts (contract amount) $116,500,000
Written currency option contracts (contract amount) $6,300,000
Written swap option contracts (contract amount) $336,900,000
Futures contracts (number of contracts) 300
Forward currency contracts (contract amount) $131,400,000
Centrally cleared interest rate swap contracts (notional) $1,100,400,000
OTC total return swap contracts (notional) $19,900,000
Centrally cleared total return swap contracts (notional) $90,000,000
OTC credit default contracts (notional) $83,700,000
Centrally cleared credit default contracts (notional) $2,400,000

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