NPORT-EX 3 b_074nport.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam Master Intermediate Income Trust
The fund's portfolio
6/30/20 (Unaudited)



U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (65.3%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.7%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $81,110 $91,052
5.00%, with due dates from 5/20/49 to 3/20/50 246,793 277,703
4.00%, TBA, 7/1/50 4,000,000 4,240,938
3.50%, with due dates from 9/20/49 to 3/20/50 1,307,207 1,414,015
6,023,708
U.S. Government Agency Mortgage Obligations (62.6%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 145,609 161,499
4.50%, 5/1/49 56,584 62,415
Uniform Mortgage-Backed Securities
5.50%, TBA, 7/1/50 3,000,000 3,302,809
4.50%, TBA, 7/1/50 4,000,000 4,298,125
4.00%, TBA, 7/1/50 29,000,000 30,733,202
3.50%, TBA, 7/1/50 33,000,000 34,706,720
3.00%, TBA, 7/1/50 15,000,000 15,798,633
2.50%, TBA, 7/1/50 43,000,000 44,834,217
2.00%, TBA, 7/1/50 5,000,000 5,116,797
139,014,417
Total U.S. government and agency mortgage obligations (cost $144,804,430) $145,038,125









U.S. TREASURY OBLIGATIONS (0.5%)(a)
        Principal amount Value
U.S. Treasury Notes
1.75%, 6/30/24(i) $923,000 $978,952
1.75%, 9/30/22(i) 106,000 110,222
Total U.S. treasury obligations (cost $1,089,174) $1,089,174









MORTGAGE-BACKED SECURITIES (42.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (21.2%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 25.05%, 4/15/37 $29,603 $54,662
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 23.119%, 11/15/35 51,273 91,733
REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 21.665%, 12/15/36 28,603 46,197
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.465%, 4/15/40 1,474,566 159,415
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.015%, 12/15/47 2,541,046 333,893
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.915%, 8/15/56 3,892,298 982,805
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.915%, 4/15/47 935,880 167,075
REMICs Ser. 4813, IO, 5.50%, 8/15/48 2,039,560 420,048
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 1,496,396 235,682
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 755,768 102,699
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 409,403 53,499
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,449,271 140,659
REMICs Ser. 4425, IO, 4.00%, 1/15/45 1,880,819 216,294
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,544,913 244,598
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 902,203 104,280
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 1,143,550 23,314
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 3,953,482 296,511
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 2,157,973 158,784
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 1,565,541 39,520
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 574,693 45,215
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 557,398 37,523
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 2,340,450 163,909
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,063,567 67,005
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 428,183 15,761
REMICs Ser. 4510, Class HI, IO, 3.00%, 3/15/40 1,588,147 41,960
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.377%, 7/25/43(WAC) 1,125,120 11,251
REMICs Ser. 3326, Class WF, zero %, 10/15/35(WAC) 994 904
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 38.793%, 7/25/36 44,058 86,006
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 23.524%, 6/25/37 40,388 71,866
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 22.607%, 2/25/38 31,005 43,586
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 19.697%, 8/25/35 27,452 38,833
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 16.914%, 11/25/34 40,389 48,278
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 6.266%, 4/25/42 801,131 157,443
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.216%, 4/25/40 620,548 137,681
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.066%, 3/25/48 3,439,789 645,992
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,936,693 406,757
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,578,970 299,690
REMICs Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 415,586 8,240
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.966%, 5/25/47 7,651,456 1,453,777
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.966%, 10/25/41 498,554 24,850
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.916%, 12/25/46 2,457,505 545,488
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.916%, 5/25/39 7,668,405 1,414,552
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.866%, 8/25/49 4,045,295 625,762
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.766%, 2/25/43 1,687,256 381,688
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.716%, 10/25/41 1,866,906 320,585
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 70,416 11,560
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 2,517,440 494,048
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 207,949 34,781
Interest Strip Ser. 366, Class 22, IO, 4.50%, 10/25/35 560 3
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 327,658 59,333
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 1,571,769 68,686
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,137,416 120,046
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 768,760 30,003
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 1,186,158 82,378
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 2,945,425 390,499
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 777,109 87,215
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 673,311 63,446
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 671,942 62,289
REMICs Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 1,649,570 124,823
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 612,529 23,049
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 743,877 33,266
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 836,994 48,501
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 503,596 14,379
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 2,551,897 48,776
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 3,989 3,640
Government National Mortgage Association
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 5.99%, 4/20/44 3,741,505 804,910
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.96%, 1/20/49 4,588,956 716,316
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.96%, 11/20/43 2,376,800 486,495
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.96%, 9/20/43 401,814 81,870
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.91%, 8/20/49 6,576,128 1,080,984
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.91%, 7/20/49 6,591,157 976,282
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.86%, 1/20/50 3,174,898 574,088
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.86%, 12/20/49 4,216,698 594,437
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.86%, 9/20/49 6,542,694 1,015,520
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.86%, 8/20/49 249,024 33,410
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.86%, 6/20/49 345,672 43,166
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.86%, 12/2/21 762,806 92,141
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.41%, 8/20/44 1,905,081 346,795
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 740,998 129,675
Ser. 16-42, IO, 5.00%, 2/20/46 1,976,117 352,497
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 2,276,998 266,067
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 3,429,365 602,539
Ser. 14-76, IO, 5.00%, 5/20/44 792,187 134,084
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 574,552 110,027
Ser. 12-146, IO, 5.00%, 12/20/42 504,695 101,570
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 765,429 139,642
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 544,187 99,416
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,418,317 441,343
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,251,801 226,100
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,460,907 468,494
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 430,343 79,278
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 3,127,326 413,038
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 962,017 137,753
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 2,079,321 241,721
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 1,505,147 128,073
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 758,924 142,625
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,106,429 191,999
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 1,409,490 163,797
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,076,757 160,014
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 238,151 20,986
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 960,073 163,932
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,032,709 92,795
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,820,433 290,141
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 971,344 156,281
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,055,408 159,660
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 662,019 105,923
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 581,564 110,497
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 932,157 64,965
Ser. 16-29, IO, 4.00%, 2/16/46 955,998 147,530
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 2,741,496 376,956
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,555,711 286,406
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 1,732,712 206,907
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,765,673 198,638
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 4,310,212 552,526
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 3,199,512 204,697
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 574,248 81,968
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 2,250,826 158,579
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 522,210 68,850
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 447,505 65,790
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,111,569 154,639
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 1,075,884 49,094
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 806,298 32,252
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,330,648 192,811
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 2,404,735 219,456
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 2,028,680 150,227
Ser. 13-76, IO, 3.50%, 5/20/43 1,809,651 215,674
Ser. 13-28, IO, 3.50%, 2/20/43 545,914 56,710
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 870,369 85,949
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,332,992 133,299
Ser. 13-14, IO, 3.50%, 12/20/42 2,971,500 222,862
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 571,114 54,970
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,318,455 184,706
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,659,867 257,083
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,872,752 282,972
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 824,701 139,966
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 1,889,090 133,475
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 2,286,062 171,912
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 1,055,400 34,157
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 3,148,731 224,347
Ser. 16-H18, Class QI, IO, 3.324%, 6/20/66(WAC) 2,938,570 326,428
Ser. 16-H23, Class NI, IO, 3.167%, 10/20/66(WAC) 10,757,788 1,105,901
Ser. 16-H22, Class AI, IO, 3.14%, 10/20/66(WAC) 4,101,140 420,527
Ser. 15-H20, Class CI, IO, 3.03%, 8/20/65(WAC) 4,249,539 389,147
Ser. 15-H24, Class AI, IO, 2.985%, 9/20/65(WAC) 3,303,046 287,107
Ser. 17-H12, Class QI, IO, 2.736%, 5/20/67(WAC) 3,803,070 390,853
Ser. 18-H05, Class BI, IO, 2.563%, 2/20/68(WAC) 4,340,003 509,950
Ser. 15-H15, Class BI, IO, 2.56%, 6/20/65(WAC) 2,463,271 215,487
Ser. 18-H05, Class AI, IO, 2.535%, 2/20/68(WAC) 2,107,661 252,919
Ser. 16-H03, Class AI, IO, 2.484%, 1/20/66(WAC) 3,564,232 320,449
Ser. 16-H06, Class DI, IO, 2.469%, 7/20/65 5,468,022 409,517
Ser. 16-H17, Class KI, IO, 2.427%, 7/20/66(WAC) 2,822,421 295,267
Ser. 17-H02, Class BI, IO, 2.425%, 1/20/67(WAC) 2,749,196 289,922
Ser. 18-H02, Class EI, IO, 2.375%, 1/20/68(WAC) 6,173,194 717,634
Ser. 17-H08, Class NI, IO, 2.373%, 3/20/67(WAC) 5,565,234 542,054
Ser. 17-H16, Class FI, IO, 2.371%, 8/20/67(WAC) 3,223,684 346,591
Ser. 17-H06, Class BI, IO, 2.351%, 2/20/67(WAC) 4,278,949 426,639
Ser. 18-H03, Class XI, IO, 2.291%, 2/20/68(WAC) 4,420,695 502,633
Ser. 16-H02, Class HI, IO, 2.254%, 1/20/66(WAC) 4,800,091 378,727
Ser. 18-H15, Class KI, IO, 2.22%, 8/20/68(WAC) 3,706,419 436,317
Ser. 16-H06, Class CI, IO, 2.215%, 2/20/66(WAC) 5,038,592 337,188
Ser. 16-H10, Class AI, IO, 2.202%, 4/20/66(WAC) 9,265,029 659,262
Ser. 17-H09, IO, 2.185%, 4/20/67(WAC) 5,263,286 459,943
Ser. 15-H10, Class BI, IO, 2.162%, 4/20/65(WAC) 2,682,813 231,811
Ser. 16-H09, Class BI, IO, 2.115%, 4/20/66(WAC) 4,691,854 444,717
Ser. 17-H16, Class JI, IO, 2.108%, 8/20/67(WAC) 8,666,092 1,119,486
Ser. 17-H19, Class MI, IO, 2.051%, 4/20/67(WAC) 2,179,365 223,385
Ser. 16-H03, Class DI, IO, 2.021%, 12/20/65(WAC) 3,764,330 269,285
Ser. 17-H11, Class DI, IO, 1.97%, 5/20/67(WAC) 4,002,018 410,343
Ser. 16-H16, Class EI, IO, 1.916%, 6/20/66(WAC) 4,124,248 409,538
Ser. 17-H16, Class IG, IO, 1.825%, 7/20/67(WAC) 7,742,600 669,705
Ser. 15-H25, Class EI, IO, 1.825%, 10/20/65(WAC) 3,003,177 251,366
Ser. 15-H20, Class AI, IO, 1.80%, 8/20/65(WAC) 3,571,949 298,972
FRB Ser. 15-H08, Class CI, IO, 1.766%, 3/20/65(WAC) 2,055,134 147,978
Ser. 17-H16, Class IH, IO, 1.729%, 7/20/67(WAC) 5,787,090 486,116
Ser. 15-H23, Class BI, IO, 1.719%, 9/20/65(WAC) 3,814,907 292,985
Ser. 16-H24, Class CI, IO, 1.667%, 10/20/66(WAC) 2,616,206 182,211
Ser. 16-H14, IO, 1.655%, 6/20/66(WAC) 3,693,789 253,416
Ser. 13-H08, Class CI, IO, 1.61%, 2/20/63(WAC) 3,439,158 155,794
Ser. 14-H21, Class BI, IO, 1.504%, 10/20/64(WAC) 5,418,596 345,165
Ser. 15-H26, Class CI, IO, zero %, 8/20/65(WAC) 6,433,377 95,214
Ser. 06-36, Class OD, PO, zero %, 7/16/36 1,408 1,268
47,162,962
Commercial mortgage-backed securities (7.5%)
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.542%, 1/12/45(WAC) 1,279,000 895,300
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 330,750
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 202,134 200,113
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.802%, 3/11/39(WAC) 457,768 320,438
FRB Ser. 06-PW14, Class XW, IO, 0.496%, 12/11/38(WAC) 451,034 3,281
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.93%, 12/15/47(WAC) 409,000 374,078
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 885,832
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 5.092%, 4/10/47(WAC) 307,000 289,816
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 5.009%, 5/10/47(WAC) 647,000 485,250
FRB Ser. 12-CR3, Class E, 4.909%, 10/15/45(WAC) 297,000 137,363
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 316,415
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 1.092%, 12/15/39(WAC) 948,230 4,108
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.91%, 9/15/39(WAC) 12,160 12,014
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 86,317 87,430
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.912%, 4/15/50(WAC) 527,000 363,630
DBUBS Mortgage Trust 144A
FRB Ser. 11-LC1A, Class C, 5.876%, 11/10/46(WAC) 232,000 233,374
FRB Ser. 11-LC2A, Class D, 5.714%, 7/10/44(WAC) 272,000 256,275
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 160,000 131,993
FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47(WAC) 1,270,000 469,900
FRB Ser. 13-GC13, Class D, 4.22%, 7/10/46(WAC) 531,000 372,933
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class C, 4.236%, 7/15/45(WAC) 266,000 255,948
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.971%, 2/15/47(WAC) 1,183,000 554,840
FRB Ser. C14, Class D, 4.859%, 8/15/46(WAC) 515,000 398,249
FRB Ser. 14-C18, Class E, 4.471%, 2/15/47(WAC) 407,000 142,511
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 957,853
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 408,033
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.306%, 4/15/46(WAC) 581,000 424,098
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.374%, 2/12/51(WAC) 398,000 159,200
FRB Ser. 11-C3, Class F, 5.853%, 2/15/46(WAC) 410,000 129,808
FRB Ser. 11-C4, Class C, 5.526%, 7/15/46(WAC) 234,000 230,108
FRB Ser. 12-C6, Class E, 5.324%, 5/15/45(WAC) 363,000 177,870
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 480,573
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.771%, 9/15/39(WAC) 810,559 4,452
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) 13,487 —
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 451,465 349,544
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.498%, 8/15/46(WAC) 900,000 487,922
FRB Ser. 13-C11, Class F, 4.498%, 8/15/46(WAC) 496,000 148,800
FRB Ser. 13-C10, Class D, 4.218%, 7/15/46(WAC) 485,000 337,305
FRB Ser. 13-C10, Class E, 4.218%, 7/15/46(WAC) 1,316,000 867,480
FRB Ser. 13-C10, Class F, 4.218%, 7/15/46(WAC) 975,000 400,061
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 265,440
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 285,863 57,173
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 486,239 479,301
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 20-01, Class M10, 4.65%, 3/25/50 701,000 634,331
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 558,952 19,868
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 622,000 91,744
Wells Fargo Commercial Mortgage Trust FRB Ser. 20-C56, Class C, 3.751%, 6/15/53(WAC) 281,000 239,665
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.411%, 7/15/46(WAC) 188,000 136,605
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 541,488
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,034,093
16,584,656
Residential mortgage-backed securities (non-agency) (13.5%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.375%, 5/25/47 509,209 258,143
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 3.569%, 11/27/36(WAC) 872,110 684,606
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.685%, 1/25/36 97,401 111,282
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.365%, 11/25/47 332,960 261,508
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.535%, 3/25/37 1,061,666 911,174
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 1,000,000 1,005,900
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 3.004%, 9/25/35 360,159 316,721
FRB Ser. 06-OA7, Class 1A1, 2.73%, 6/25/46(WAC) 318,616 260,437
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 2.464%, 8/25/46 125,173 109,403
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 2.444%, 6/25/46 391,013 342,769
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 0.535%, 9/25/35 443,182 385,394
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 0.52%, 11/20/35 272,725 248,227
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 0.375%, 8/25/46 370,859 304,104
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 0.375%, 8/25/46 2,387,408 2,201,031
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), 0.365%, 6/25/47 450,068 366,208
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.685%, 5/25/28 266,675 284,887
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.168%, 7/25/28 890,699 1,023,360
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.535%, 4/25/28 572,195 668,370
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.735%, 12/25/27 684,659 732,089
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 4.035%, 3/25/29 250,000 256,659
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.485%, 9/25/30 617,156 608,458
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class M2, (1 Month US LIBOR + 1.80%), 1.985%, 7/25/30 224,067 217,205
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.435%, 4/25/49 106,000 102,555
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.185%, 10/25/48 327,000 300,141
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.935%, 1/25/49 141,000 154,582
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.685%, 3/25/49 118,000 122,137
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.335%, 7/25/49 135,000 119,816
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.935%, 9/25/48 174,000 137,487
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 294,759
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 582,936
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.435%, 10/25/48 380,000 355,300
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.085%, 9/25/48 190,000 183,273
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.885%, 12/25/30 650,000 619,213
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.86%, 3/25/50 367,000 351,698
Structured Agency Credit Risk Debt FRN Ser. 19-HQA3, Class B1, (1 Month US LIBOR + 3.00%), 3.185%, 9/25/49 64,000 58,607
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.835%, 1/25/49 148,965 146,591
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.635%, 3/25/49 137,182 134,267
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.518%, 2/25/49 147,680 145,387
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.485%, 10/25/48 120,000 116,606
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class M2, (1 Month US LIBOR + 2.15%), 2.335%, 12/25/30 341,000 333,372
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.935%, 10/25/28 89,434 107,601
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.435%, 9/25/28 1,114,631 1,370,714
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.935%, 10/25/28 567,069 679,248
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.935%, 8/25/28 368,177 441,368
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.935%, 1/25/29 119,656 126,632
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.435%, 4/25/29 19,948 19,948
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.085%, 10/25/28 752,035 781,863
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.885%, 4/25/28 1,234,693 1,297,579
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.735%, 4/25/28 43,841 45,955
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.685%, 9/25/29 477,000 495,448
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.185%, 7/25/25 179,865 183,735
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.035%, 10/25/29 1,170,000 1,229,648
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.635%, 5/25/30 82,000 81,685
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.635%, 2/25/30 60,000 57,600
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.185%, 5/25/25 16,251 16,621
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.785%, 1/25/30 182,000 173,209
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 3.735%, 7/25/30 804,000 774,102
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.685%, 5/25/30 304,369 305,345
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.435%, 7/25/30 61,972 61,099
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.285%, 3/25/31 81,831 79,621
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2B1, (1 Month US LIBOR + 5.25%), 5.435%, 6/25/39 253,000 231,021
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.285%, 9/25/31 251,000 239,345
Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2B1, (1 Month US LIBOR + 3.75%), 3.935%, 9/25/39 152,000 120,080
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 3.65%, 2/25/40 504,000 470,298
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.635%, 7/25/31 57,880 56,469
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.18%), 0.365%, 5/25/36 559,873 202,808
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.495%, 5/25/37 319,049 266,977
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.714%, 5/19/35 305,141 161,025
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.385%, 6/25/37 529,299 244,303
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 330,000 320,100
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 2.929%, 2/26/37 336,299 303,643
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 0.98%, 8/25/35 94,130 89,154
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 3.035%, 7/25/28 (Bermuda) 800,000 754,732
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.885%, 3/25/28 (Bermuda) 620,000 594,489
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 0.40%, 5/25/46 272,393 276,479
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.395%, 8/25/36 370,861 343,046
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.305%, 8/25/36 308,728 273,085
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 216,000 236,053
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR14, Class 1A2, 3.828%, 12/25/35(WAC) 117,729 114,822
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 0.675%, 10/25/45 203,416 193,703
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, Class 1A1, 4.026%, 4/25/36(WAC) 231,133 227,666
29,864,981
Total mortgage-backed securities (cost $101,906,959) $93,612,599









CORPORATE BONDS AND NOTES (25.1%)(a)
        Principal amount Value
Basic materials (2.1%)
Allegheny Technologies, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 $10,000 $9,250
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 151,000 154,586
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 150,000 151,875
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 38,000 37,169
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 87,000 77,648
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 210,000 200,550
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 263,000 264,973
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 242,000 243,815
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 92,000 94,185
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 318,000 314,725
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 27,000 24,400
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 175,000 183,750
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 63,000 64,260
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 203,000 202,493
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 179,000 182,199
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 66,000 67,404
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 124,000 124,956
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 35,000 36,050
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 55,000 54,020
Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) 19,000 18,905
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 49,000 48,153
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 75,000 70,500
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 145,000 144,819
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 80,000 76,400
PolyOne Corp. 144A sr. unsec. notes 5.75%, 5/15/25 35,000 36,006
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 203,000 204,523
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 70,000 68,425
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 234,000 272,025
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 150,000 153,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 51,375
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 305,000 325,342
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 56,000 56,560
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 33,000 30,525
Tronox, Inc. 144A company guaranty sr. notes 6.50%, 5/1/25 20,000 20,200
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 115,000 113,563
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 97,000 98,127
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.375%, 8/15/25 35,000 35,175
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 145,000 142,825
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 4.875%, 6/15/27 80,000 81,042
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 121,000 127,353
4,663,151
Capital goods (2.4%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 234,000 232,245
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 118,594
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 35,000 34,610
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Luxembourg)(PIK) 200,000 197,875
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 330,000 324,671
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 33,000 33,050
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 192,000 193,200
Berry Global, Inc. 144A company guaranty notes 5.625%, 7/15/27 55,000 56,375
Berry Global, Inc. 144A notes 4.50%, 2/15/26 39,000 38,422
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 80,000 83,200
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 45,000 46,672
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 80,000 82,200
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 265,000 270,043
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 175,500
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 119,025
GFL Environmental, Inc. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 90,000 94,500
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 177,000 181,425
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 150,000 144,375
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 6.625%, 5/13/27 45,000 46,800
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 207,000 213,469
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 110,000 110,545
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 171,000 140,220
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 300,000 301,500
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 260,000 204,295
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 208,000 217,360
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 105,000 106,050
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 86,000 78,344
TransDigm, Inc. company guaranty sr. unsec. sub.notes 5.50%, 11/15/27 148,000 129,160
TransDigm, Inc. 144A company guaranty sr. notes 8.00%, 12/15/25 25,000 26,275
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 672,000 670,333
Trivium Packaging Finance BV 144A company guaranty sr. notes 5.50%, 8/15/26 (Netherlands) 230,000 232,013
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 223,000 212,851
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 115,000 121,613
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 55,000 57,922
5,294,732
Communication services (2.5%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 266,000 275,392
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,045,000 1,102,475
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 55,000 56,100
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 199,000 205,468
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 94,000 90,776
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 126,300
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 360,000 377,100
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 140,000 139,300
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 84,000 91,644
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 40,000 42,096
Front Range BidCo., Inc. 144A sr. notes 4.00%, 3/1/27 25,000 23,789
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 146,000 137,970
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Luxembourg) 6,000 6,085
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 271,260
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 85,000 85,638
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 40,000 39,954
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 41,850
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 260,000 316,550
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 125,000 147,546
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 433,000 487,666
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 190,000 199,187
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 200,000 205,500
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 19,998
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 46,081
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 148,000 156,347
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 55,658
T-Mobile USA, Inc. 144A company guaranty sr. notes 3.875%, 4/15/30 50,000 55,648
T-Mobile USA, Inc. 144A company guaranty sr. notes 3.75%, 4/15/27 125,000 138,521
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 363,000 375,251
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 77,822
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 148,066
5,543,038
Consumer cyclicals (5.1%)
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 $38,000 37,620
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 60,000 58,306
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 60,000 56,082
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes 4.75%, 12/1/27 55,000 47,300
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 55,000 52,597
Carnival Corp. 144A sr. notes 11.50%, 4/1/23 50,000 54,250
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 55,000 57,475
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 63,000
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 190,000 160,550
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 25,000 26,125
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 80,000 76,800
Cornerstone Building Brands, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 109,000 109,818
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 215,000 187,050
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 144,000 104,220
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 92,000 48,990
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 20,000 21,606
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 85,000 86,275
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 244,000 218,990
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 102,000 88,740
Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 152,000 164,494
Gap, Inc. (The) 144A sr. notes 8.625%, 5/15/25 45,000 47,644
Gap, Inc. (The) 144A sr. notes 8.375%, 5/15/23 78,000 84,923
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 165,000 168,968
Gartner, Inc. 144A company guaranty sr. unsec. notes 4.50%, 7/1/28 25,000 25,293
General Motors Co. sr. unsec. notes 6.125%, 10/1/25 85,000 95,513
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 232,000 238,960
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) 85,000 89,888
Hanesbrands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/15/25 45,000 45,506
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 125,000 124,375
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 88,000 85,910
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 153,000 142,382
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 130,811 129,503
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 271,721 248,625
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 76,294
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 265,000 296,800
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 35,000 38,675
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 194,000 193,030
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 268,000 261,970
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 65,000 62,400
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 70,000 67,200
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 31,000 32,356
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 128,000 112,480
L Brands, Inc. 144A company guaranty sr. notes 6.875%, 7/1/25 30,000 30,975
L Brands, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 25,000 25,030
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 83,139
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 $74,000 80,864
Levi Strauss & Co. 144A sr. unsec. unsub. notes 5.00%, 5/1/25 50,000 50,188
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 181,000 171,045
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 115,000 112,125
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 46,000 41,400
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 99,000 90,090
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 60,000 61,800
Macy's, Inc. 144A company guaranty sr. unsec. notes 8.375%, 6/15/25 30,000 29,865
Marriott International, Inc. sr. unsec. bonds 4.625%, 6/15/30 90,000 93,385
Marriott International, Inc. sr. unsec. notes Ser. EE, 5.75%, 5/1/25 40,000 43,454
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 46,013
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 160,000 159,200
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 125,000 120,000
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 170,000 175,100
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 120,000 100,200
Meredith Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/1/25 110,000 108,900
MPH Acquisition Holdings, LLC 144A company guaranty sr. unsec. notes 7.125%, 6/1/24 95,000 88,350
Navistar International Corp. 144A company guaranty sr. notes 9.50%, 5/1/25 52,000 55,721
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 139,000 131,703
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 35,000 35,263
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 160,000 158,810
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 183,000 179,798
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 215,000 214,239
Nordstrom, Inc. 144A sr. notes 8.75%, 5/15/25 95,000 102,234
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 150,000 150,000
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. bonds 4.625%, 3/15/30 36,000 32,580
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 192,000
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 123,690
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 115,000 108,388
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 320,000 348,992
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 98,000 103,880
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. notes 9.125%, 6/15/23 20,000 19,825
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 278,000 292,943
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 85,000 68,000
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 65,000 60,012
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 168,000 172,830
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 95,000 87,875
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 367,000 374,340
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 234,000 209,138
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 115,000 118,881
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 54,313
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 203,000 208,942
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 99,000 101,723
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 10,138
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 115,000 97,319
TRI Pointe Group, Inc. sr. unsec. notes 5.70%, 6/15/28 55,000 55,825
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 65,000 68,900
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 115,000 109,825
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 222,024
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 89,479
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 158,000 156,815
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 124,538
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 97,213
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. notes 6.375%, 5/15/25 70,000 73,325
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 110,000 105,875
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 150,000 129,675
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 145,000 129,594
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 35,000 35,252
11,312,023
Consumer staples (1.4%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 175,000 173,906
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 77,000 75,475
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 96,875
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 35,000 35,810
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 215,000 215,000
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 10,000 10,663
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 70,000 72,377
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 55,000 55,963
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 103,000 58,195
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 227,000 163,156
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 60,000 61,842
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 81,000 80,696
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 133,250
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 132,438
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 112,750
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 3.00%, 6/1/26 171,000 172,347
Kraft Heinz Co. (The) 144A company guaranty sr. unsec. notes 3.875%, 5/15/27 17,000 17,765
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 85,000 90,058
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 162,495
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 38,388
Loxam SAS notes 3.75%, 7/15/26 (France) EUR 100,000 103,083
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 $141,000 146,718
Match Group, Inc. 144A sr. unsec. unsub. notes 4.625%, 6/1/28 60,000 60,525
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 60,000 69,600
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 128,312
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 230,000 261,913
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 65,712
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 35,000 37,538
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 66,000 69,121
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 105,000 110,188
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 55,825
Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 25,000 26,969
3,094,953
Energy (4.3%)
Aker BP ASA 144A sr. unsec. notes 6.00%, 7/1/22 (Norway) 150,000 152,813
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 189,000 191,294
Aker BP ASA 144A sr. unsec. notes 3.75%, 1/15/30 (Norway) 150,000 141,563
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 182,000 168,350
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 72,000 52,020
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 36,000 31,790
Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22 53,000 51,286
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 (In default)(NON) 53,000 1,822
ChampionX corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 155,000 144,037
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 48,000 53,797
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 160,000 175,819
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 66,000 59,813
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 55,000 48,412
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 30,000 29,400
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 132,000 126,350
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 80,000 80,400
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 (In default)(NON) 107,000 40,928
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 60,000 70,418
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 117,000 120,437
Diamondback Energy, Inc. sr. unsec. notes 4.75%, 5/31/25 60,000 64,202
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 226,000 216,960
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 115,000 115,899
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 102,000 98,167
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 267,000 264,194
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 55,000 52,388
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 71,000 66,030
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 13,000 11,148
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 196,000 182,892
MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) 59,000 49,044
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 179,000 72,495
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 1/15/28 140,000 86,100
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 55,000 33,825
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 96,000 96,183
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 56,000 1,120
Occidental Petroleum Corp. sr. unsec. notes 2.90%, 8/15/24 43,000 36,743
Occidental Petroleum Corp. sr. unsec. sub. notes 4.85%, 3/15/21 94,000 93,295
Occidental Petroleum Corp. sr. unsec. unsub. notes 3.50%, 6/15/25 58,000 49,010
Occidental Petroleum Corp. sr. unsec. unsub. notes Ser. 1, 4.10%, 2/1/21 153,000 153,612
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 968,935
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 211,256
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 879,000 979,013
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 222,000 231,713
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 169,000 176,816
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 424,955
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 9,576
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 824,000 19,776
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.50%, 1/23/29 (Mexico) 432,000 375,720
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5.95%, 1/28/31 (Mexico) 1,420,000 1,171,713
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 51,000 32,640
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 90,490
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 197,076
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 136,000 66,640
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 67,000 36,013
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 49,000 24,641
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 96,000 70,080
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 186,000 160,890
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 35,000 36,663
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 185,000 185,463
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 35,000 33,797
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 47,595 41,646
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 88,000 74,800
Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) (In default)(NON) 54,000 4,050
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 34,332
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 27,000 29,970
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 101,000 97,970
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 45,000 39,600
WPX Energy, Inc. sr. unsec. sub. notes 5.875%, 6/15/28 144,000 138,377
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 99,000 92,485
9,541,152
Financials (2.7%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 105,000 97,650
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 85,000 84,713
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 373,000 399,124
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 200,000 218,339
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 84,464
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 94,000 95,763
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 250,722
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 107,173
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 217,000 240,170
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 225,492
Diversified Healthcare Trust company guaranty sr. unsec. notes 9.75%, 6/15/25(R) 230,000 246,963
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 45,000 43,200
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 75,000 80,335
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 51,410
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 115,000 125,051
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 79,000 86,315
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 115,000 111,550
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 95,713
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 104,000 104,073
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4.75%, 9/15/24 65,000 61,113
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 15,525
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 205,000
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 156,000 145,665
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 158,000 142,990
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 55,000 53,350
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 115,000 92,000
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 215,000 217,688
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 100,000 123,910
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 $125,000 132,188
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 100,000 102,625
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 60,000 57,000
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 135,000 126,225
Royal Bank of Scotland Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) 570,000 619,991
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 109,389
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 41,000 43,195
Springleaf Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 45,000 48,107
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 62,099
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 269,000 275,977
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 120,000 112,200
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 150,000 136,500
Stearns Holdings, LLC/Stearns Co-Issuer, Inc. 144A notes 5.00%, 11/5/24 2,447 1,468
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 50,000 51,500
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 83,000 69,305
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 212,750
5,965,980
Health care (2.4%)
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 150,000 160,125
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 100,000 111,107
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $220,000 225,500
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds 5.25%, 1/30/30 45,000 42,694
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 105,000 110,250
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 55,000 56,650
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 80,000 80,400
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 160,000 162,283
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/30/28 45,000 42,367
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 166,000
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 250,000 263,750
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 70,000 70,788
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 45,000 46,809
Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 75,000 77,225
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 60,000 62,200
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 401,000 377,441
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.625%, 1/15/24 95,000 92,899
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 305,000 288,286
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.65%, 8/28/28 130,000 144,144
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 363,000 419,382
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 245,000 266,744
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 55,000 52,974
Jaguar Holding Co. II/PPD Development LP 144A company guaranty sr. unsec. notes 5.00%, 6/15/28 35,000 35,831
Jaguar Holding Co. II/PPD Development LP 144A company guaranty sr. unsec. notes 4.625%, 6/15/25 25,000 25,443
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 166,780
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 45,000 46,913
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 507,338
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 240,000 235,150
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 28,000 27,790
Tenet Healthcare Corp. 144A company guaranty sr. notes 7.50%, 4/1/25 30,000 31,913
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 235,000 231,875
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 339,000 330,101
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 211,376
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 200,000 205,500
5,376,028
Technology (1.0%)
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 20,000 20,500
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 105,000 106,050
Dell International, LLC/EMC Corp. 144A company guaranty sr. notes 5.85%, 7/15/25 40,000 45,968
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 570,000 653,491
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 152,000 157,463
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 55,000 57,973
Microchip Technology, Inc. 144A company guaranty sr. unsec. notes 4.25%, 9/1/25 59,000 59,375
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 97,000 85,885
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 365,000 318,006
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 95,000 98,800
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 203,000 207,060
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 45,000 46,125
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 85,000 86,063
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 279,000 276,735
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 44,000 45,472
2,264,966
Utilities and power (1.2%)
AES Corp. (The) sr. unsec. unsub. notes 6.00%, 5/15/26 90,000 93,488
AES Corp. (The) sr. unsec. unsub. notes 5.50%, 4/15/25 665,000 681,625
AES Corp. (The) sr. unsec. unsub. notes 5.125%, 9/1/27 60,000 62,250
AES Corp. (The) 144A sr. unsec. notes 3.30%, 7/15/25 40,000 41,192
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 29,000 27,327
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 45,000 42,075
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 86,000 86,835
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 165,750
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 94,000 99,170
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 27,000 28,181
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 145,000 152,975
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 145,000 152,185
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 170,000 179,454
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 49,000 51,450
Pacific Gas and Electric Co. bonds 2.50%, 2/1/31 180,000 176,099
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 (In default)(NON) 110,000 118,525
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 45,000 44,534
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 81,315
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 75,000 75,844
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 50,000 52,568
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 30,000 30,962
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 68,000 69,792
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 168,000 171,434
2,685,165
Total corporate bonds and notes (cost $57,174,002) $55,741,188









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (11.1%)(a)
        Principal amount Value
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) $960,000 $1,090,787
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) (In default)(NON) 400,000 162,450
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) (In default)(NON) 75,000 30,497
Buenos Aires (Province of) unsec. FRN 32.807%, 5/31/22 (Argentina) ARS 7,745,000 96,184
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) (In default)(NON) $2,140,000 869,108
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) (In default)(NON) 341,333 155,307
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) (In default)(NON) 1,635,000 670,000
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 1,460,000 845,842
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 547,000 336,410
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 56,667 58,154
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 235,000 263,494
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 661,000 691,571
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 180,000 181,080
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 284,000 285,420
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 383,800
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 260,000 235,170
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 732,250
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 1,400,000 1,422,760
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 600,000 603,006
Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, 5/29/24 (Egypt) 520,000 521,243
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 1/18/27 (El Salvador) 378,000 324,139
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 262,500
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 379,000 386,891
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,020,000 1,148,775
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 390,603
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 225,250
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 721,484
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 581,697
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 1,345,000 1,402,700
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) $1,025,000 1,046,781
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,300,000
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman) 499,000 464,070
Qatar (State of) 144A sr. unsec. notes 3.75%, 4/16/30 (Qatar) 400,000 455,477
Qatar (State of) 144A sr. unsec. notes 3.40%, 4/16/25 (Qatar) 270,000 293,627
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, 7/30/24 (Senegal) 2,670,000 2,796,825
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 670,000 710,200
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 360,000 352,348
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) 1,009,000 999,919
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 798,000 47,880
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 371,000 22,260
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,292,000 77,520
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 910,000 991,884
Total foreign government and agency bonds and notes (cost $29,171,281) $24,637,363









CONVERTIBLE BONDS AND NOTES (5.9%)(a)
        Principal amount Value
Capital goods (0.2%)
Fortive Corp. cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 $218,000 $214,119
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 115,000 136,314
350,433
Communication services (0.3%)
8x8, Inc. cv. sr. unsec. notes 0.50%, 2/1/24 86,000 76,936
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 131,000 120,339
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 134,000 187,329
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 38,000 39,877
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 188,000 175,771
Vonage Holdings Corp. cv. sr. unsec. notes 1.75%, 6/1/24 177,000 165,095
765,347
Consumer cyclicals (0.9%)
Booking Holdings, Inc. 144A cv. sr. unsec. notes 0.75%, 5/1/25 182,000 224,828
Burlington Stores, Inc. 144A cv. sr. unsec. notes 2.25%, 4/15/25 185,000 210,243
Callaway Golf Co. 144A cv. sr. unsec. notes 2.75%, 5/1/26 64,000 78,818
Dick's Sporting Goods, Inc. 144A cv. sr. unsec. notes 3.25%, 4/15/25 87,000 120,422
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 97,000 122,592
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 14,088
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 100,000 108,434
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 192,000 194,760
Marriott Vacations Worldwide Corp. cv. sr. unsec. notes 1.50%, 9/15/22 132,000 121,539
NCL Corp, Ltd. 144A cv. company guaranty sr. unsec. notes 6.00%, 5/15/24 74,000 98,522
Penn National Gaming, Inc. cv. sr. unsec. notes 2.75%, 5/15/26 64,000 95,864
RH 144A cv. sr. unsec. notes zero %, 9/15/24 139,000 183,319
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. notes 4.25%, 6/15/23 67,000 62,310
Square, Inc. 144A cv. sr. unsec. notes 0.125%, 3/1/25 187,000 211,840
Winnebago Industries, Inc. 144A cv. sr. unsec. notes 1.50%, 4/1/25 83,000 101,675
1,949,254
Consumer staples (0.5%)
Bloomin' Brands, Inc. 144A cv. sr. unsec. notes 5.00%, 5/1/25 43,000 49,076
Chegg, Inc. cv. sr. unsec. notes 0.125%, 3/15/25 99,000 140,001
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 10/1/26 149,000 203,167
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 242,000 297,256
Wayfair, Inc. cv. sr. unsec. notes 1.125%, 11/1/24 103,000 183,652
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 70,000 81,390
Zillow Group, Inc. 144A cv. sr. unsec. sub. notes 1.375%, 9/1/26 158,000 227,939
1,182,481
Energy (0.1%)
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 5,383
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 35,000 5,341
Pioneer Natural Resources Co. 144A cv. sr. unsec. notes 0.25%, 5/15/25 93,000 109,720
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 96,000 39,587
160,031
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 108,000 98,753
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 82,000 79,179
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22(R) 96,000 123,420
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 135,000 130,275
Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 69,000 101,534
533,161
Health care (0.7%)
BioMarin Pharmaceutical, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 5/15/27 64,000 74,481
CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 93,000 97,332
DexCom, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 11/15/25 170,000 174,036
Envista Holdings Corp. 144A cv. sr. unsec. notes 2.375%, 6/1/25 54,000 65,729
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 315,000 326,325
Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 111,000 120,542
Insulet Corp. 144A cv. sr. unsec. notes 0.375%, 9/1/26 142,000 155,055
Integra LifeSciences Holdings Corp. 144A cv. sr. unsec. notes 0.50%, 8/15/25 61,000 55,453
Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 1.50%, 6/15/26 77,000 79,571
Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 6/15/24 77,000 79,384
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 152,000 138,978
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 52,000 86,462
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 106,000 115,668
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 64,000 74,552
1,643,568
Technology (2.7%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 193,000 240,343
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.375%, 9/1/27 315,000 342,657
Blackline, Inc. 144A cv. sr. unsec. notes 0.125%, 8/1/24 136,000 173,092
Cloudflare, Inc. 144A cv. sr. unsec. notes 0.75%, 5/15/25 64,000 77,120
Cree, Inc. 144A cv. sr. unsec. unsub. notes 1.75%, 5/1/26 149,000 209,718
CyberArk Software, Ltd. 144A cv. sr. unsec. notes zero %, 11/15/24 (Israel) 90,000 83,697
DocuSign, Inc. cv. sr. unsec. notes 0.50%, 9/15/23 80,000 194,464
Envestnet, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 141,000 173,447
Five9, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/25 86,000 92,074
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 107,000 124,454
HubSpot, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 65,000 69,388
Inphi Corp. 144A cv. sr. unsec. notes 0.75%, 4/15/25 113,000 136,306
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 92,000 78,590
LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 69,000 85,360
Lumentum Holdings, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/26 219,000 230,498
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 53,000 78,177
New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 94,000 90,827
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 203,000 283,034
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 137,000 166,251
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.75%, 7/1/23 72,000 76,966
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 309,000 307,608
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 72,000 73,156
Pluralsight, Inc. cv. sr. unsec. notes 0.375%, 3/1/24 74,000 64,960
Proofpoint, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/24 140,000 137,464
Q2 Holdings, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/1/26 129,000 146,483
RealPage, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 85,000 91,394
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/1/25 168,000 179,876
SailPoint Technologies Holding, Inc. 144A cv. sr. unsec. notes 0.125%, 9/15/24 86,000 96,607
Silicon Laboratories, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 76,000 81,599
Snap, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/26 216,000 270,135
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 6/15/27 435,189 463,631
Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23 33,000 102,391
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 202,000 197,662
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 88,000 86,906
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 99,000 113,816
Wix.com, Ltd. cv. sr. unsec. notes zero %, 7/1/23 (Israel) 85,000 157,728
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 89,000 122,329
Zendesk, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 95,000 101,339
Zynga, Inc. cv. sr. unsec. notes 0.25%, 6/1/24 129,000 166,698
5,968,245
Transportation (0.2%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 78,000 73,449
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 276,000 331,485
404,934
Utilities and power (0.1%)
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 129,000 130,421
130,421
Total convertible bonds and notes (cost $12,054,089) $13,087,875









PURCHASED SWAP OPTIONS OUTSTANDING (5.0%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Barclays Bank PLC
(0.353)/3 month USD-LIBOR-BBA/Aug-25 (United Kingdom) Aug-20/0.353 $89,742,200 $207,304
(0.4525)/3 month USD-LIBOR-BBA/Jul-25 (United Kingdom) Jul-20/0.4525 74,756,000 75
Citibank, N.A.
1.629/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.629 7,362,900 461,801
1.316/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 37,998,200 413,040
1.996/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.996 7,362,900 367,998
0.439/3 month USD-LIBOR-BBA/Aug-25 Aug-20/0.439 9,287,700 56,098
(1.996)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.996 7,362,900 9,425
(0.439)/3 month USD-LIBOR-BBA/Aug-25 Aug-20/0.439 9,287,700 6,780
(1.629)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.629 7,362,900 147
(1.316)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 37,998,200 38
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 597,305
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 58,742
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 5,508,200 30,956
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 552,198
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 542,786
1.101/3 month USD-LIBOR-BBA/Mar-31 Mar-21/1.101 7,275,100 346,731
1.33/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.33 29,451,700 325,736
(1.042)/3 month USD-LIBOR-BBA/Sep-50 Sep-20/1.042 7,158,300 199,931
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 60,243
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 58,500
0.794/3 month USD-LIBOR-BBA/Jul-50 Jul-20/0.794 2,974,000 36,253
(0.67)/3 month USD-LIBOR-BBA/Jul-30 Jul-20/0.67 5,416,200 25,294
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 1,489,084
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 1,477,585
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 1,305,642
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 1,220,010
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 340,185
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 109,493
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 2,360,700 2,455
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 238
Toronto-Dominion Bank
(1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) Mar-25/1.04 588,000 86,354
UBS AG
1.5025/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 39,518,100 503,856
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 181,775
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 105,620
(1.5025)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 $39,518,100 40
Total purchased swap options outstanding (cost $6,221,411) $11,179,718









PURCHASED OPTIONS OUTSTANDING (0.7%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
EUR/USD (Call) Nov-20/$1.16 $7,451,838 EUR 6,632,700 $62,044
EUR/USD (Call) Sep-20/1.17 7,448,861 EUR 6,630,050 20,313
USD/JPY (Put) Nov-20/JPY 105.00 5,375,725 $5,375,725 57,563
Barclays Bank PLC
EUR/USD (Call) Sep-20/$1.17 7,448,861 EUR 6,630,050 20,313
Credit Suisse International
EUR/CHF (Call) Dec-20/CHF 1.10 11,439,477 EUR 10,182,000 45,518
Goldman Sachs International
AUD/USD (Put) Jul-20/$0.62 5,779,864 AUD 8,375,400 23
EUR/USD (Call) Nov-20/1.16 7,451,838 EUR 6,632,700 62,044
USD/JPY (Put) Nov-20/JPY 105.00 5,375,725 $5,375,725 57,563
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Call) Aug-20/$102.09 7,000,000 7,000,000 47,320
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Aug-20/103.56 34,000,000 34,000,000 255,986
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Aug-20/104.03 74,000,000 74,000,000 296,000
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Jul-20/103.31 16,000,000 16,000,000 154,992
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-20/103.60 15,000,000 15,000,000 35,970
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Aug-20/104.81 30,000,000 30,000,000 122,130
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Aug-20/104.88 27,000,000 27,000,000 94,824
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Aug-20/104.84 18,000,000 18,000,000 68,220
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Jul-20/105.00 18,000,000 18,000,000 1,494
UBS AG
EUR/GBP (Call) Aug-20/GBP 0.90 5,499,645 EUR 4,895,100 72,254
Total purchased options outstanding (cost $1,155,605) $1,474,571









SENIOR LOANS (2.9%)(a)(c)
        Principal amount Value
Basic materials (0.3%)
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 1/31/24 $128,153 $122,867
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.76%, 9/6/24 $30,585 28,036
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.808%, 3/1/26 106,724 101,495
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 3.941%, 4/12/25 54,444 51,631
PQ Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.25%), 3.627%, 2/7/27 35,839 34,815
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.831%, 6/26/26 85,000 73,171
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.363%, 6/26/25 144,088 137,364
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 4.629%, 10/1/25 115,748 108,369
657,748
Capital goods (0.8%)
Berry Global, Inc. bank term loan FRN Ser. Y, (BBA LIBOR USD 3 Month + 2.00%), 3.899%, 7/1/26 198,000 189,090
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.561%, 4/3/24 354,050 316,344
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 3/31/24 79,529 76,428
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 5/31/25 309,119 299,588
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.463%, 2/5/23 139,572 132,873
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.687%, 4/12/26 178,200 151,990
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.361%, 3/28/25 221,066 201,170
Vertical US Newco, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.25%), 4.428%, 6/30/27 50,000 49,000
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 4.655%, 3/2/27 408,975 384,096
1,800,579
Communication services (0.3%)
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 3.00%), 3.178%, 11/3/24 151,173 145,693
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 4.75%), 8.00%, 11/27/23 275,000 273,625
T-Mobile USA, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.404%, 4/1/27 50,000 49,925
Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 4.668%, 3/9/27 64,838 61,292
530,535
Consumer cyclicals (0.9%)
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.26%, 8/21/26 84,363 76,348
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.75%, 5/5/24 100,227 98,974
Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.43%, 8/24/26 99,250 80,517
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.69%, 10/30/26 82,448 80,799
Golden Nugget, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 2.50%), 4.081%, 10/4/23 85,524 69,959
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD 3 Month + 2.50%), 2.671%, 11/2/25 81,122 78,350
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.66%, 5/1/26 49,750 45,729
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.70%, 11/6/24 348,148 328,565
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.921%, 9/19/26 139,291 132,065
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.428%, 10/1/25 322,095 314,767
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 100,000 54,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 2/28/25 159,483 132,292
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 3.476%, 8/14/24 64,342 56,556
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 8.00%, 11/28/22 100,007 80,006
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 5.99%, 12/17/26 99,500 94,691
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.435%, 12/17/26 25,000 23,792
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 107,626 101,168
1,848,578
Consumer staples (0.3%)
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 7/12/24 270,799 257,936
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.452%, 6/21/24 392,573 358,223
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.41%, 2/5/25 98,737 91,085
707,244
Energy (—%)
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 12/31/22 (In default)(NON) 43,000 14,835
14,835
Financials (—%)
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 4/25/25 44,775 44,066
44,066
Health care (0.2%)
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 4/28/22 48,133 46,178
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 3.404%, 2/4/27 65,000 61,913
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.429%, 6/30/25 216,579 201,554
Sotera Health Holdings, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 5.50%, 12/13/26 95,000 92,714
402,359
Technology (0.1%)
Kronos, Inc./MA bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.179%, 11/1/23 49,730 49,605
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.702%, 7/2/25 166,373 151,192
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 11/3/23 63,094 59,687
260,484
Transportation (—%)
Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.00%), 3.774%, 11/5/26 64,838 62,374
62,374
Total senior loans (cost $6,771,492) $6,328,802









ASSET-BACKED SECURITIES (0.7%)(a)
        Principal amount Value
CarMax Auto Owner Trust Ser. 20-2, Class D, 6.87%, 5/17/27 $909,000 $971,294
Mello Warehouse Securitization Trust 144A
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 1.035%, 11/25/51 136,000 135,830
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 0.985%, 6/25/52 164,000 162,360
RMF Buyout Issuance Trust 144A Ser. 20-2, Class M3, 4.571%, 6/25/30(WAC) 209,000 209,418
Total asset-backed securities (cost $1,417,982) $1,478,902









COMMON STOCKS (0.0%)(a)
        Shares Value
Advanz Pharma Corp., Ltd. (Canada)(NON) 985 $3,004
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 349
Clear Channel Outdoor Holdings, Inc.(NON) 15,306 15,918
iHeartMedia, Inc. Class A(NON) 6,510 54,359
MWO Holdings, LLC (Units)(F) 73 —
Tervita Corp. (Canada)(NON) 191 536
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 6,874
Tribune Media Co. Class 1C 40,066 22,036
Total common stocks (cost $594,035) $103,076









WARRANTS (0.0%)(a)(NON)
    Expiration date Strike Price Warrants Value
Stearns Holdings, LLC Class B(F) 11/5/39 $0.01 6,844 $6,844
Total warrants (cost $6,844) $6,844









SHORT-TERM INVESTMENTS (16.7%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 0.41%(AFF) Shares 17,043,444 $17,043,444
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.12%(P) Shares 2,981,000 2,981,000
U.S. Treasury Bills 0.066%, 9/24/20(SEG)(SEGCCS) $330,000 329,887
U.S. Treasury Bills 0.108%, 8/11/20(SEGSF)(SEGCCS) 5,431,000 5,430,196
U.S. Treasury Bills 0.133%, 8/25/20(SEGSF)(SEGCCS) 346,000 345,926
U.S. Treasury Bills 0.112%, 7/16/20(SEGSF)(SEGCCS)(SEGTBA) 601,000 600,968
U.S. Treasury Bills zero%, 8/13/20(SEG)(SEGSF)(SEGCCS) 1,441,000 1,440,768
U.S. Treasury Bills 0.005%, 9/10/20(SEGSF)(SEGCCS) 1,024,000 1,023,727
U.S. Treasury Bills 0.087%, 7/2/20(SEGSF)(SEGCCS) 1,459,000 1,458,996
U.S. Treasury Bills 0.168%, 7/9/20(SEG)(SEGSF)(SEGCCS) 1,130,000 1,129,971
U.S. Treasury Bills 0.310%, 7/23/20(SEG)(SEGSF)(SEGCCS)(SEGTBA) 1,507,000 1,506,887
U.S. Treasury Bills 0.011%, 8/6/20(SEGSF) 1,249,000 1,248,850
U.S. Treasury Bills zero%, 8/20/20(SEGSF)(SEGCCS) 1,513,000 1,512,727
U.S. Treasury Bills 0.035%, 9/3/20(SEG)(SEGSF)(SEGCCS) 1,063,000 1,062,731
Total short-term investments (cost $37,117,225) $37,116,078
TOTAL INVESTMENTS
Total investments (cost $399,484,529) $390,894,315









FORWARD CURRENCY CONTRACTS at 6/30/20 (aggregate face value $101,302,477) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 7/15/20 $365,781 $337,874 $27,907
Canadian Dollar Sell 7/15/20 1,648,560 1,588,636 (59,924)
Czech Koruna Buy 9/16/20 305,316 304,202 1,114
Euro Buy 9/16/20 234,754 234,162 592
Hong Kong Dollar Sell 8/19/20 1,059,673 1,058,611 (1,062)
Japanese Yen Sell 8/19/20 362,091 364,079 1,988
New Taiwan Dollar Buy 8/19/20 40,424 44,789 (4,365)
New Zealand Dollar Buy 7/15/20 525,948 488,572 37,376
Norwegian Krone Sell 9/16/20 234,553 234,102 (451)
Swedish Krona Buy 9/16/20 465,950 465,982 (32)
Barclays Bank PLC
British Pound Sell 9/16/20 108,965 110,712 1,747
Canadian Dollar Sell 7/15/20 531,841 515,438 (16,403)
Euro Sell 9/16/20 3,906,415 3,898,297 (8,118)
Indonesian Rupiah Buy 8/19/20 920,416 866,666 53,750
Indonesian Rupiah Sell 8/19/20 916,851 922,106 5,255
Japanese Yen Buy 8/19/20 1,366,299 1,374,155 (7,856)
New Zealand Dollar Buy 7/15/20 817,897 759,869 58,028
Norwegian Krone Buy 9/16/20 1,869,661 1,931,509 (61,848)
Polish Zloty Sell 9/16/20 22,274 20,754 (1,520)
Swedish Krona Sell 9/16/20 1,471,322 1,465,730 (5,592)
Swiss Franc Sell 9/16/20 1,587 1,565 (22)
Citibank, N.A.
British Pound Sell 9/16/20 1,502,454 1,504,289 1,835
Canadian Dollar Sell 7/15/20 87,363 84,627 (2,736)
Euro Buy 9/16/20 581,258 579,924 1,334
Hong Kong Dollar Sell 8/19/20 251,948 251,315 (633)
Japanese Yen Buy 8/19/20 1,102,711 1,110,152 (7,441)
New Zealand Dollar Sell 7/15/20 780,532 724,914 (55,618)
Norwegian Krone Sell 9/16/20 234,553 234,203 (350)
Swedish Krona Sell 9/16/20 398,589 396,910 (1,679)
Swiss Franc Buy 9/16/20 899,692 897,297 2,395
Credit Suisse International
Australian Dollar Buy 7/15/20 493,321 438,208 55,113
Australian Dollar Sell 7/15/20 500,913 435,127 (65,786)
British Pound Sell 9/16/20 222,021 225,569 3,548
Canadian Dollar Sell 7/15/20 1,100,734 1,079,927 (20,807)
Euro Sell 9/16/20 1,233,078 1,229,868 (3,210)
New Zealand Dollar Sell 7/15/20 9,357 7,951 (1,406)
Goldman Sachs International
Australian Dollar Sell 7/15/20 184,961 186,728 1,767
British Pound Buy 9/16/20 690,980 701,973 (10,993)
Canadian Dollar Buy 7/15/20 2,371,848 2,299,354 72,494
Euro Sell 9/16/20 720,693 718,650 (2,043)
Japanese Yen Buy 8/19/20 186,113 184,890 1,223
New Zealand Dollar Sell 7/15/20 795,117 743,589 (51,528)
Norwegian Krone Buy 9/16/20 246,463 251,864 (5,401)
Russian Ruble Buy 9/16/20 900,894 875,113 25,781
Russian Ruble Sell 9/16/20 895,053 898,501 3,448
Swedish Krona Buy 9/16/20 1,484,126 1,482,351 1,775
Swiss Franc Buy 9/16/20 903,077 901,714 1,363
HSBC Bank USA, National Association
Australian Dollar Buy 7/15/20 1,446,353 1,341,267 105,086
British Pound Buy 9/16/20 96,941 98,481 (1,540)
Canadian Dollar Buy 7/15/20 32,559 40,005 (7,446)
Euro Buy 9/16/20 240,719 241,554 (835)
Hong Kong Dollar Sell 8/19/20 1,944,484 1,942,356 (2,128)
Indian Rupee Sell 8/19/20 17,447 21,514 4,067
Japanese Yen Buy 8/19/20 919,626 925,515 (5,889)
New Zealand Dollar Sell 7/15/20 151,202 133,528 (17,674)
Norwegian Krone Sell 9/16/20 469,096 468,451 (645)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 7/15/20 379,446 350,705 (28,741)
British Pound Sell 9/16/20 141,939 131,795 (10,144)
Canadian Dollar Sell 7/15/20 1,811,426 1,787,250 (24,176)
Euro Buy 9/16/20 6,305,385 6,285,301 20,084
Japanese Yen Buy 8/19/20 758,556 760,188 (1,632)
New Zealand Dollar Buy 7/15/20 12,197 11,334 863
Norwegian Krone Sell 9/16/20 89,155 91,789 2,634
Singapore Dollar Buy 8/19/20 23,395 56,603 (33,208)
Swedish Krona Buy 9/16/20 45,028 45,816 (788)
Swiss Franc Buy 9/16/20 1,789,862 1,786,269 3,593
NatWest Markets PLC
British Pound Buy 9/16/20 218,054 221,560 (3,506)
Canadian Dollar Buy 7/15/20 152,996 145,446 7,550
Euro Sell 9/16/20 2,057,530 2,052,421 (5,109)
New Zealand Dollar Buy 7/15/20 128,809 119,677 9,132
State Street Bank and Trust Co.
Australian Dollar Buy 7/15/20 302,149 326,403 (24,254)
British Pound Sell 9/16/20 3,027,718 3,051,969 24,251
Canadian Dollar Sell 7/15/20 6,180,475 6,025,019 (155,456)
Euro Sell 9/16/20 10,534,896 10,508,203 (26,693)
Hong Kong Dollar Sell 8/19/20 4,148,682 4,144,453 (4,229)
Japanese Yen Buy 8/19/20 150,354 152,491 (2,137)
New Zealand Dollar Buy 7/15/20 414,305 296,529 117,776
Norwegian Krone Sell 9/16/20 709,885 708,648 (1,237)
Swedish Krona Sell 9/16/20 342,529 338,918 (3,611)
Swiss Franc Buy 9/16/20 1,808,163 1,804,348 3,815
Toronto-Dominion Bank
Australian Dollar Buy 7/15/20 722,245 667,081 55,164
British Pound Buy 9/16/20 116,527 118,378 (1,851)
Canadian Dollar Sell 7/15/20 1,743,068 1,720,598 (22,470)
Euro Sell 9/16/20 1,729,144 1,727,145 (1,999)
Hong Kong Dollar Sell 8/19/20 234,921 234,684 (237)
New Zealand Dollar Buy 7/15/20 232,966 216,463 16,503
Swiss Franc Buy 9/16/20 1,799,595 1,795,904 3,691
UBS AG
Australian Dollar Sell 7/15/20 1,491,767 1,360,622 (131,145)
British Pound Sell 9/16/20 862,052 876,058 14,006
Canadian Dollar Buy 7/15/20 115,797 122,163 (6,366)
Euro Sell 9/16/20 477,723 476,750 (973)
Hong Kong Dollar Sell 8/19/20 718,927 718,203 (724)
Japanese Yen Buy 8/19/20 1,632,136 1,643,642 (11,506)
New Zealand Dollar Buy 7/15/20 2,450,658 2,334,602 116,056
Norwegian Krone Sell 9/16/20 938,317 928,409 (9,908)
Swedish Krona Buy 9/16/20 946,916 942,686 4,230
WestPac Banking Corp.
Australian Dollar Buy 7/15/20 673,867 593,002 80,865
British Pound Sell 9/16/20 737,591 748,973 11,382
Canadian Dollar Sell 7/15/20 881,220 872,389 (8,831)
Euro Sell 9/16/20 788,440 785,539 (2,901)
Japanese Yen Sell 8/19/20 294,405 295,841 1,436
New Zealand Dollar Buy 7/15/20 297,757 274,721 23,036
Unrealized appreciation 985,053
Unrealized (depreciation) (956,813)
Total $28,240
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 6/30/20 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bund 10 yr (Short) 32 $6,346,247 $6,346,245 Sep-20 $(102,247)
U.S. Treasury Bond Ultra 30 yr (Short) 6 1,308,938 1,308,938 Sep-20 11,916
U.S. Treasury Note 2 yr (Short) 855 188,808,048 188,808,048 Sep-20 (26,916)
U.S. Treasury Note 5 yr (Short) 78 9,807,891 9,807,891 Sep-20 (21,496)
Unrealized appreciation 11,916
Unrealized (depreciation) (150,659)
Total $(138,743)









WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/20 (premiums $7,376,888) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Barclays Bank PLC
(0.353)/3 month USD-LIBOR-BBA/Aug-25 Aug-20/0.353 $89,742,200 $290,765
(0.4525)/3 month USD-LIBOR-BBA/Jul-25 Jul-20/0.4525 74,756,000 470,215
Citibank, N.A.
1.805/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.805 7,362,900 3,755
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 168,179
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 417,978
(1.805)/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.805 7,362,900 820,080
Goldman Sachs International
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 22,032,800 6,610
1.722/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 69,587
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 353,927
JPMorgan Chase Bank N.A.
1.333/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 $4,270,500 2,050
0.81/3 month USD-LIBOR-BBA/Jul-30 Jul-20/0.81 5,416,200 6,608
0.74/3 month USD-LIBOR-BBA/Jul-30 Jul-20/0.74 5,416,200 13,161
(1.333)/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 4,270,500 45,566
(0.442)/3 month USD-LIBOR-BBA/Sep-50 Sep-20/0.442 7,158,300 53,186
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 66,619
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 $2,639,000 83,313
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 83,762
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 84,242
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 94,855
0.794/3 month USD-LIBOR-BBA/Jul-50 Jul-20/0.794 2,974,000 140,224
(0.83)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/0.83 29,451,700 178,477
(0.7785)/3 month USD-LIBOR-BBA/Mar-31 Mar-21/0.7785 14,550,100 374,374
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 838,539
Morgan Stanley & Co. International PLC
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 $9,442,600 94
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 17,218
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 17,688
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 57,439
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 309,766
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 315,132
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 315,368
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 1,227,420
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,150,300 1,449,957
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 1,463,881
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 241,000 41,228
1.05/3 month USD-LIBOR-BBA/Mar-27 Mar-25/1.05 7,756,000 58,092
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 482,100 62,914
UBS AG
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 132,058
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 501,652
Total $10,635,979









WRITTEN OPTIONS OUTSTANDING at 6/30/20 (premiums $776,135) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
EUR/USD (Call) Sep-20/$1.19 $7,448,861 EUR 6,630,050 $7,821
EUR/USD (Call) Nov-20/1.20 7,451,838 EUR 6,632,700 22,288
USD/JPY (Put) Nov-20/JPY 100.00 5,375,725 $5,375,725 22,879
Barclays Bank PLC
EUR/USD (Call) Sep-20/$1.19 7,448,861 EUR 6,630,050 7,821
Credit Suisse International
EUR/CHF (Call) Dec-20/CHF 1.12 11,439,477 EUR 10,182,000 24,721
Goldman Sachs International
EUR/USD (Call) Nov-20/$1.20 7,451,838 EUR 6,632,700 22,288
USD/JPY (Put) Nov-20/JPY 100.00 5,375,725 $5,375,725 22,879
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Put) Aug-20/$102.09 7,000,000 7,000,000 45,920
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-20/104.03 74,000,000 74,000,000 258,261
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-20/103.56 34,000,000 34,000,000 79,390
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-20/103.04 15,000,000 15,000,000 24,960
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-20/102.47 15,000,000 15,000,000 17,820
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Jul-20/103.31 16,000,000 16,000,000 16
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Jul-20/105.00 18,000,000 18,000,000 62,676
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Aug-20/104.81 30,000,000 30,000,000 23,730
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Aug-20/104.88 27,000,000 27,000,000 23,112
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Aug-20/104.84 18,000,000 18,000,000 14,814
UBS AG
EUR/GBP (Call) Aug-20/GBP 0.94 5,499,645 EUR 4,895,100 7,672
Total $689,068









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/20 (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.
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $25,327,500 $(233,646) $750,707
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) 647,273
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 313,980
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 $4,191,700 (300,126) 59,271
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) 52,739
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) 35,351
(0.003)/6 month JPY-LIBOR-BBA/Feb-31 (Purchased) Feb-21/0.003 JPY 119,698,500 (9,424) 2,018
0.30/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-22/0.30 $18,054,200 (88,466) (1,083)
0.003/6 month JPY-LIBOR-BBA/Feb-31 (Purchased) Feb-21/0.003 JPY 119,698,500 (9,424) (5,942)
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 $1,596,200 (36,113) (9,577)
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) (18,857)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) (23,695)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) (27,959)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) (78,743)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) (103,380)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 $1,596,200 (750,495) (145,765)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 25,327,500 (233,646) (230,987)
(0.00)/3 month USD-LIBOR-BBA/Jun-24 (Written) Jun-22/0.00 18,054,200 48,746 1,264
0.60/3 month USD-LIBOR-BBA/Jun-24 (Written) Jun-22/0.60 18,054,200 45,136 (2,347)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) 118,979
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) (57,361)
Citibank, N.A.
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 $934,000 (120,253) 247,575
0.462/3 month USD-LIBOR-BBA/Jun-26 (Purchased) Jun-21/0.462 6,471,000 (62,688) 5,630
0.688/3 month USD-LIBOR-BBA/Nov-30 (Purchased) Nov-20/0.688 1,122,800 (20,547) (1,796)
(0.688)/3 month USD-LIBOR-BBA/Nov-30 (Purchased) Nov-20/0.688 1,122,800 (20,547) (4,390)
(0.462)/3 month USD-LIBOR-BBA/Jun-26 (Purchased) Jun-21/0.462 6,471,000 (62,688) (7,183)
0.675/3 month USD-LIBOR-BBA/Jul-30 (Purchased) Jul-20/0.675 5,788,400 (45,873) (7,699)
(0.675)/3 month USD-LIBOR-BBA/Jul-30 (Purchased) Jul-20/0.675 5,788,400 (45,873) (29,463)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (99,228)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 146,976
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 (177,293)
Goldman Sachs International
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (126,794) 237,700
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 158,962
0.36/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-20/0.36 11,576,800 (30,389) (4,168)
(0.36)/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-20/0.36 11,576,800 (30,389) (22,922)
(2.13)/3 month USD-LIBOR-BBA/Dec-30 (Purchased) Dec-20/2.13 3,771,900 (53,278) (52,882)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (71,771)
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (206,714) (102,707)
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 3,493,100 263,750 37,361
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 3,493,100 263,750 (59,966)
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 (Purchased) Nov-20/3.162 $11,760,300 (1,670,315) 1,887,293
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) 1,381,351
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 387,199
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) 331,522
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (144,396) 263,995
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) 150,632
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) 11,920
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (2,585)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (10,540)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (11,911)
(3.162)/3 month USD-LIBOR-BBA/Nov-33 (Purchased) Nov-20/3.162 $11,760,300 (14,348) (14,348)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (83,602)
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 1,589,500 (183,587) (96,912)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (112,029)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (122,710)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 (516,333) (496,789)
3.229/3 month USD-LIBOR-BBA/Nov-33 (Written) Nov-23/3.229 11,760,300 129,010 89,849
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 11,825
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 3,546
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 2,037
2.975/3 month USD-LIBOR-BBA/Nov-23 (Written) Nov-20/2.975 11,760,300 1,176 1,176
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 (7,998)
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 (8,728)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 (17,893)
(2.975)/3 month USD-LIBOR-BBA/Nov-23 (Written) Nov-20/2.975 11,760,300 453,712 (514,513)
(3.229)/3 month USD-LIBOR-BBA/Nov-33 (Written) Nov-23/3.229 11,760,300 1,334,794 (1,305,979)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 599,768
1.5775/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 18,278,700 (100,716) 397,745
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) 233,154
2.764/3 month USD-LIBOR-BBA/Feb-31 (Purchased) Feb-21/2.764 5,944,600 (1,160,277) 56,652
(2.764)/3 month USD-LIBOR-BBA/Feb-31 (Purchased) Feb-21/2.764 5,944,600 (9,745) (9,511)
(1.5775)/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 18,278,700 (100,716) (100,716)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (117,338)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (124,999)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 339,735
(0.005)/6 month JPY-LIBOR-BBA/Nov-30 (Written) Nov-20/0.005 JPY 118,190,600 6,882 4,105
0.005/6 month JPY-LIBOR-BBA/Nov-30 (Written) Nov-20/0.005 JPY 118,190,600 6,882 (2,507)
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 $8,236,000 433,625 (777,478)
UBS AG
1.6125/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 3,902,100 (107,035) 233,072
1.175/3 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) 94,498
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) 9,891
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 1,114,500 (62,356) 5,740
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 3,715,100 (58,884) 4,941
0.762/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) 2,471
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 $9,287,700 (62,646) 279
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 3,715,100 (58,884) (7,059)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) (7,430)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 1,114,500 (62,356) (8,637)
(0.762)/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) (18,778)
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) (19,950)
(1.175)/3 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) (59,307)
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 $3,902,100 (285,341) (175,712)
1.30/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 246,318 236,319
1.01/6 month EUR-EURIBOR-Reuters/Jan-40 (Written) Jan-30/1.01 EUR 2,378,300 167,582 60,495
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 8,761
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 $2,229,000 59,236 802
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 (1,215)
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 $2,229,000 59,236 (1,672)
(1.01)/6 month EUR-EURIBOR-Reuters/Jan-40 (Written) Jan-30/1.01 EUR 2,378,300 167,582 (133,147)
(1.30)/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 $8,291,900 66,286 (297,182)
Unrealized appreciation 9,626,559
Unrealized (depreciation) (6,016,339)
Total $3,610,220









TBA SALE COMMITMENTS OUTSTANDING at 6/30/20 (proceeds receivable $66,324,258) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 7/1/50 $1,000,000 7/21/20 $1,055,234
Uniform Mortgage-Backed Securities, 3.00%, 7/1/50 15,000,000 7/14/20 15,798,633
Uniform Mortgage-Backed Securities, 2.50%, 7/1/50 43,000,000 7/14/20 44,834,217
Uniform Mortgage-Backed Securities, 2.00%, 7/1/50 5,000,000 7/14/20 5,116,797
Total $66,804,881











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/20 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$1,976,000 $1,235,929 $(67) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually $1,243,698
9,408,200 2,183,540 (207,693) 12/3/29 3 month USD-LIBOR-BBA — Quarterly 3.096% — Semiannually 1,996,035
1,011,100 46,847 (E) (6) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 46,842
2,617,100 118,929 (E) (15) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (118,943)
1,693,500 305,684 (22) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (322,095)
5,478,300 379,498 (E) (1,109) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 378,390
1,893,900 87,655 (E) (324) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 87,332
527,084 110,316 (7) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 114,949
1,418,100 275,986 (20) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (286,765)
1,105,300 512,339 (E) (38) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (512,376)
3,412,200 140,013 (E) (19) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 139,994
5,008,800 206,568 (E) (28) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 206,540
1,338,000 642,985 (E) (46) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (643,031)
902,800 117,053 (E) (20) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 117,032
3,186,100 475,701 (E) (45) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (475,746)
2,087,500 142,418 (E) (23) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 142,394
174,600 63,371 (E) (6) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (63,377)
3,880,300 546,723 (55) 6/22/30 2.0625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (548,481)
1,011,300 133,013 (E) (14) 7/6/30 1.9665% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (133,028)
831,700 288,580 (E) (28) 7/5/52 2.25% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (288,608)
6,347,600 187,337 (E) (35) 2/7/24 1.733% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (187,372)
911,300 121,613 (E) (13) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (121,626)
3,107,800 1,092,522 (E) (106) 7/22/52 2.2685% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,092,628)
1,368,300 350,898 (E) (47) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (350,944)
5,436,500 264,170 (51) 9/18/24 1.43125% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (285,880)
5,436,500 262,741 (51) 9/18/24 1.425% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (284,353)
1,417,500 250,318 (E) (48) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (250,366)
2,266,500 136,017 29,330 3/18/25 1.58% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (116,681)
1,187,700 126,514 2,652 3/18/30 3 month USD-LIBOR-BBA — Quarterly 1.73% — Semiannually 134,913
1,131,600 134,614 (E) (16) 12/21/30 3 month USD-LIBOR-BBA — Quarterly 1.88% — Semiannually 134,598
7,072,300 722,577 (15,181) 1/28/30 3 month USD-LIBOR-BBA — Quarterly 1.698% — Semiannually 747,279
174,200 47,081 (E) (6) 1/16/55 2.032% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (47,087)
2,861,000 311,692 (953) 1/16/30 1.771% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (328,764)
5,267,900 565,040 (70) 1/31/30 1.7505% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (596,637)
4,139,100 442,983 (55) 1/31/30 1.748% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (467,766)
9,407,000 953,240 (15,176) 1/31/30 3 month USD-LIBOR-BBA — Quarterly 1.688% — Semiannually 991,911
75,001,990 6,297,917 (3,414,944) 3/18/27 3 month USD-LIBOR-BBA — Quarterly 1.70% — Semiannually 3,144,755
83,000 21,208 (E) (3) 1/24/55 3 month USD-LIBOR-BBA — Quarterly 1.977% — Semiannually 21,205
5,186,500 423,716 (35,207) 2/18/30 1.4765% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (484,771)
582,800 48,365 (E) (20) 3/4/52 1.265% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (48,385)
970,000 39,202 (E) (14) 3/4/31 3 month USD-LIBOR-BBA — Quarterly 1.101% — Semiannually 39,188
35,681,600 157,641 (E) (135) 9/8/21 0.68% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (157,776)
77,168,200 265,922 (E) (291) 10/15/21 0.571% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (266,213)
3,705,700 123,863 (E) (126) 1/27/47 3 month USD-LIBOR-BBA — Quarterly 1.27% — Semiannually 123,737
313,000 10,781 (E) (11) 3/7/50 1.275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (10,792)
697,700 16,470 (E) (24) 3/10/52 0.8725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 16,446
762,900 50,202 (E) (26) 3/11/52 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 50,176
1,138,200 26,755 (E) (16) 3/17/32 3 month USD-LIBOR-BBA — Quarterly 1.03% — Semiannually 26,738
62,693,000 220,052 74,526 6/17/22 0.40% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (147,989)
80,530,000 1,310,706 722,876 6/17/25 0.65% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (598,823)
12,697,000 61,834 (95,591) 6/17/50 3 month USD-LIBOR-BBA — Quarterly 0.90% — Semiannually (154,458)
27,369,000 583,890 (381,537) 6/17/30 3 month USD-LIBOR-BBA — Quarterly 0.85% — Semiannually 208,218
475,000 121 (E) (6) 3/24/32 3 month USD-LIBOR-BBA — Quarterly 1.07% — Semiannually (127)
2,843,000 72,818 48,859 4/22/30 0.895% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (22,768)
7,050,000 65,981 70,407 4/22/30 0.7275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 9,642
268,600 1,687 (E) (4) 3/24/35 3 month USD-LIBOR-BBA — Quarterly 0.968% — Semiannually (1,691)
7,045,000 34,584 (93) 4/20/30 0.6814% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (28,149)
3,051,700 17,901 (40) 4/22/30 3 month USD-LIBOR-BBA — Quarterly 0.6915% — Semiannually 15,392
2,367,000 8,299 (31) 4/24/30 3 month USD-LIBOR-BBA — Quarterly 0.66726% — Semiannually 6,645
2,367,000 7,548 (31) 4/24/30 3 month USD-LIBOR-BBA — Quarterly 0.664% — Semiannually 5,881
3,299,000 15,004 (44) 4/24/30 0.678% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (12,853)
3,299,000 14,423 (44) 4/24/30 0.67619% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (12,261)
1,504,600 1,211 (E) (21) 4/25/32 0.7925% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,190
26,505,000 64,831 (100) 4/28/22 0.383% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (40,895)
6,043,100 229,952 (16,173) 4/28/50 0.78% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 215,061
4,766,000 4,861 (63) 5/1/30 0.6205% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 5,414
29,697,000 43,773 (112) 5/4/22 0.3175% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (32,206)
4,855,000 18,944 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.399% — Semiannually 18,517
4,855,000 19,415 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.401% — Semiannually 19,001
4,855,000 20,007 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.4035% — Semiannually 19,610
4,855,000 19,561 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.4016% — Semiannually 19,151
4,855,000 19,134 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.3998% — Semiannually 18,711
4,855,000 18,323 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.39637% — Semiannually 17,877
4,855,000 18,090 (39) 5/11/25 3 month USD-LIBOR-BBA — Quarterly 0.39537% — Semiannually 17,638
5,345,000 20,557 (71) 5/12/30 0.591% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 19,413
4,592,000 94,632 (157) 5/12/50 0.84292% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 91,979
3,107,000 12,956 (41) 5/14/30 0.6732% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (13,972)
14,031,000 16,753 (114) 5/14/25 3 month USD-LIBOR-BBA — Quarterly 0.34312% — Semiannually 14,993
2,417,000 3,613 (32) 5/15/30 0.615% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,920
2,417,000 2,552 (32) 5/15/30 0.6195% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,845
89,742,200 85,794 (E) (847) 8/17/25 3 month USD-LIBOR-BBA — Quarterly 0.353% — Semiannually 84,946
33,833,000 19,319 (128) 5/18/22 3 month USD-LIBOR-BBA — Quarterly 0.2595% — Semiannually 13,732
4,822,300 5,092 24 5/19/30 0.62% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 3,820
42,986,700 138,976 (6,861) 5/21/25 0.385% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (145,909)
12,180,500 39,903 (99) 5/21/25 0.38588% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (40,034)
7,865,000 14,503 (104) 5/26/30 3 month USD-LIBOR-BBA — Quarterly 0.6505% — Semiannually 16,545
9,440,400 16,946 1,814 5/26/30 0.65% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (17,704)
5,708,000 26,314 (76) 6/1/30 0.6795% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (27,957)
6,249,200 30,159 (E) (59) 8/10/25 3 month USD-LIBOR-BBA — Quarterly 0.429% — Semiannually 30,100
18,325,000 133,149 (148) 6/9/25 0.468% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (135,035)
6,434,000 56,722 (20,916) 6/15/25 3 month USD-LIBOR-BBA — Quarterly 0.50% — Semiannually 36,340
1,218,000 94,218 41,794 6/15/50 1.20% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (52,904)
6,052,000 156,813 (80) 6/10/30 0.8963% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (158,964)
10,000 245 (E) 247 9/16/30 0.90% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2
9,647,000 62,349 (78) 6/11/25 3 month USD-LIBOR-BBA — Quarterly 0.452% — Semiannually 63,007
2,266,100 23,642 (E) (32) 8/12/30 0.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (23,674)
2,971,000 9,896 (39) 6/15/30 3 month USD-LIBOR-BBA — Quarterly 0.6675% — Semiannually 10,325
2,971,000 10,140 (39) 6/15/30 3 month USD-LIBOR-BBA — Quarterly 0.66833% — Semiannually 10,569
2,971,000 10,191 (39) 6/15/30 3 month USD-LIBOR-BBA — Quarterly 0.6685% — Semiannually 10,620
2,407,000 12,887 (32) 6/16/30 3 month USD-LIBOR-BBA — Quarterly 0.6882% — Semiannually 13,224
1,204,000 7,548 (16) 6/16/30 3 month USD-LIBOR-BBA — Quarterly 0.6975% — Semiannually 7,721
5,907,000 69,726 (78) 6/18/30 0.7535% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (70,755)
298,100 3,174 (E) (6) 6/21/37 3 month USD-LIBOR-BBA — Quarterly 1.232% — Semiannually 3,168
6,707,000 23,085 (89) 6/22/30 0.6693% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (23,783)
238,500 1,342 (E) (5) 6/20/40 3 month USD-LIBOR-BBA — Quarterly 1.204% — Semiannually 1,337
1,421,600 3,476 (E) (13) 8/25/25 0.3845% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,489)
245,900 1,127 (E) (5) 6/28/37 3 month USD-LIBOR-BBA — Quarterly 1.168% — Semiannually 1,122
24,613,900 33,992 (199) 6/30/25 3 month USD-LIBOR-BBA — Quarterly 0.352% — Semiannually 33,823
24,677,600 17,521 (200) 7/1/25 3 month USD-LIBOR-BBA — Quarterly 0.338% — Semiannually 17,321
AUD 11,541,000 68,200 (30) 10/30/21 0.80% — Quarterly 3 month AUD-BBR-BBSW — Quarterly (76,780)
AUD 2,393,000 75,352 (22) 10/30/29 6 month AUD-BBR-BBSW — Semiannually 1.305% — Semiannually 78,273
AUD 11,572,000 69,437 (30) 10/30/21 0.81% — Quarterly 3 month AUD-BBR-BBSW — Quarterly (78,172)
AUD 2,393,000 78,376 (22) 10/30/29 6 month AUD-BBR-BBSW — Semiannually 1.325% — Semiannually 81,352
AUD 79,300 1,461 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (1,462)
AUD 266,900 960 (E) (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (962)
AUD 99,100 102 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 101
AUD 155,200 471 (E) (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 470
AUD 579,100 11,518 (E) (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 11,511
AUD 10,401,000 52,074 (E) (76) 4/29/30 6 month AUD-BBR-BBSW — Semiannually 1.4275% — Semiannually 51,999
AUD 9,204,000 33,912 (51) 6/5/25 6 month AUD-BBR-BBSW — Semiannually 0.525% — Semiannually 35,242
AUD 4,780,000 37,315 (E) (25,361) 9/16/30 6 month AUD-BBR-BBSW — Semiannually 1.00% — Semiannually 11,955
CAD 21,605,000 190,492 (61) 8/15/21 3 month CAD-BA-CDOR — Semiannually 1.61 % — Semiannually 197,840
CAD 7,222,500 205,647 (51) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.638% — Semiannually 210,070
CAD 7,222,500 203,870 (51) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.63 % — Semiannually 208,174
CAD 10,617,000 137,553 (30) 2/24/22 3 month CAD-BA-CDOR — Semiannually 1.621% — Semiannually 139,647
CAD 2,237,000 92,296 (22) 2/24/30 1.60% — Semiannually 3 month CAD-BA-CDOR — Semiannually (92,672)
CAD 2,075,000 93,158 (51) 3/11/50 3 month CAD-BA-CDOR — Semiannually 1.134% — Semiannually (91,847)
CAD 4,108,000 32,114 (E) (38,798) 9/16/30 3 month CAD-BA-CDOR — Semiannually 1.150% — Semiannually (6,683)
CAD 2,237,000 9,570 (22) 6/10/30 1.0775% — Semiannually 3 month CAD-BA-CDOR — Semiannually (9,763)
CHF 3,196,000 38,287 (26) 8/9/24 0.8475% plus 6 month CHF-LIBOR-BBA — Semiannually — (54,871)
CHF 1,553,000 12,962 (13) 9/13/24 0.765% plus 6 month CHF-LIBOR-BBA — Semiannually — (18,807)
CHF 1,062,000 10,205 (E) (655) 9/16/30 — 0.20% plus 6 month CHF-LIBOR-BBA — Semiannually (10,860)
CZK 96,784,000 451,135 (56) 3/19/29 1.948% — Annually 6 month CZK-PRIBOR — Semiannually (452,528)
CZK 92,437,000 127,594 (32) 8/9/24 6 month CZK-PRIBOR — Semiannually 1.28 % — Annually 139,592
CZK 99,022,000 9,463 (32) 5/6/25 6 month CZK-PRIBOR — Semiannually 0.555% — Annually 7,562
EUR 512,400 257,445 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (257,465)
EUR 696,900 314,882 (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 319,664
EUR 770,000 326,000 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (330,419)
EUR 778,400 315,000 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (319,327)
EUR 898,100 333,565 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (337,319)
EUR 802,800 364,277 (E) (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 364,247
EUR 929,000 324,131 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (329,440)
EUR 741,300 257,861 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (257,889)
EUR 676,400 202,106 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (205,570)
EUR 395,500 104,270 (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (106,103)
EUR 1,468,500 225,151 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (225,207)
EUR 906,000 50,695 (E) (34) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually 50,661
EUR 1,215,200 86,314 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (89,247)
EUR 4,794,000 8,542 (42) 10/11/24 — 0.4047 plus 6 month EUR-EURIBOR-REUTERS — Semiannually 21,721
EUR 4,960,100 962,256 (187) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually 981,100
EUR 5,613,000 130,217 (E) (70) 1/27/30 6 month EUR-EURIBOR-REUTERS — Semiannually 0.352% — Annually 130,147
EUR 574,000 17,846 (E) (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (17,867)
EUR 260,400 24,349 (E) (10) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 24,339
EUR 5,746,000 46,681 (E) (70) 4/30/30 0.11475% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (46,750)
EUR 1,696,600 6,931 (E) (36) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually (6,967)
EUR 2,806,000 24,820 (E) (44) 6/3/32 6 month EUR-EURIBOR-REUTERS — Semiannually 0.024% — Annually 24,776
EUR 948,000 21,658 (E) (36) 6/3/52 0.10% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (21,694)
EUR 779,000 12,693 (E) (12) 8/15/29 0.05644% plus 6 month EUR-EURIBOR-REUTERS — Semiannually — 12,681
EUR 7,334,000 102,783 (E) 52,511 9/16/30 — 0.05% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (50,271)
EUR 1,558,000 19,955 (E) (23) 8/15/29 0.09037% plus 6 month EUR-EURIBOR-REUTERS — Semiannually — 19,931
EUR 1,548,000 12,693 (E) (23) 8/15/29 0.13523% plus 6 month EUR-EURIBOR-REUTERS — Semiannually — 12,669
EUR 833,300 374 (E) (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (392)
EUR 1,561,000 27,692 (E) (23) 8/15/29 0.04236% plus 6 month EUR-EURIBOR-REUTERS — Semiannually — 27,669
GBP 6,527,000 107,234 (E) (47) 1/10/24 6 month GBP-LIBOR-BBA — Semiannually 0.855% — Semiannually 107,186
GBP 6,590,000 102,928 (E) (60) 1/10/26 0.965% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (102,988)
GBP 12,297,000 183,974 (E) (89) 1/13/24 6 month GBP-LIBOR-BBA — Semiannually 0.795% — Semiannually 183,885
GBP 12,486,000 182,207 (E) (113) 1/15/26 0.926% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (182,320)
GBP 1,197,000 13,119 (E) (4,965) 9/16/30 0.20% — Annually Sterling Overnight Index Average — Annually (18,083)
JPY 49,618,300 39,509 (E) (14) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (39,524)
JPY 63,267,700 14,126 (E) (19) 8/29/43 0.194% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually 14,107
NOK 60,138,000 282,157 (57) 7/1/24 1.735% — Annually 6 month NOK-NIBOR-NIBR — Semiannually (332,454)
NOK 31,542,000 271,834 (49) 7/1/29 6 month NOK-NIBOR-NIBR — Semiannually 1.82% — Annually 301,009
NOK 20,650,000 17,015 (E) 13,487 9/16/30 1.00% — Annually 6 month NOK-NIBOR-NIBR — Semiannually (3,529)
NOK 30,901,000 5,544 (26) 6/29/25 0.6925% — Annually 6 month NOK-NIBOR-NIBR — Semiannually (5,486)
NZD 3,167,000 12,342 (16) 5/15/25 0.215% — Semiannually 3 month NZD-BBR-FRA — Quarterly 12,468
NZD 1,599,000 13,104 (13) 5/15/30 3 month NZD-BBR-FRA — Quarterly 0.595% — Semiannually (12,695)
NZD 1,564,000 3,171 (13) 6/5/30 3 month NZD-BBR-FRA — Quarterly 0.76125% — Semiannually 3,486
NZD 3,081,000 1,698 (16) 6/5/25 0.36% — Semiannually 3 month NZD-BBR-FRA — Quarterly (1,792)
NZD 2,183,000 19,650 (E) 2,689 9/16/30 0.90% — Semiannually 3 month NZD-BBR-FRA — Quarterly (16,960)
SEK 15,483,000 741 (21) 3/3/30 0.286% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (2,028)
SEK 76,985,000 8,245 (30) 3/3/22 3 month SEK-STIBOR-SIDE — Quarterly 0.06% — Annually 8,636
SEK 24,444,000 50,212 (E) 23,467 9/16/30 0.50% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (26,742)
Total $(3,204,405) $286,316
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/20 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Term-
ination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$404,418 $402,786 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $(884)
68,144 67,870 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (149)
45,396 45,213 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (99)
307,972 306,618 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly (721)
4,916,084 4,903,838 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (1,235)
601,062 599,561 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (151)
78,761 78,562 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (20)
184,319 184,811 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (973)
3,181,300 3,196,805 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (24,153)
14,314 14,149 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (29)
26,168 26,250 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 447
81,863 83,002 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,313)
164,090 166,372 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,637)
99,280 98,451 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (717)
38,480 37,970 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 25
29,380 28,991 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 19
23,177 22,870 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 15
34,007 33,985 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 419
63,718 63,303 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 407
9,140 9,080 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 58
4,253 4,225 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 27
Citibank, N.A.
654,622 652,992 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (164)
305,447 304,686 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (77)
61,142 60,989 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (15)
Credit Suisse International
261,849 261,197 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (66)
67,374 66,481 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 43
50,537 49,957 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 101
45,102 44,471 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 43
30,910 30,556 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 62
19,021 18,781 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 16
16,904 16,710 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 34
180,452 178,981 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,350
46,642 46,262 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 349
22,219 22,528 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 628
22,219 22,528 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (628)
61,916 61,399 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (447)
68,635 68,062 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (496)
64,749 63,891 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 41
Deutsche Bank AG
215,264 216,313 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,634)
Goldman Sachs International
9,633 9,680 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (73)
25,670 25,795 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (195)
55,565 55,836 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (422)
104,403 104,912 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (793)
125,257 125,867 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (951)
147,913 148,634 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,123)
202,617 203,604 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,538)
92,876 91,292 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 358
135,857 134,141 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 115
107,351 105,996 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 91
49,663 49,036 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 42
63,006 62,283 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (126)
244,851 242,855 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,832
151,553 152,026 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,589
132,018 132,430 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,255
64,959 65,162 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,110
64,959 65,162 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,110
46,287 45,910 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 346
39,390 38,853 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 17
244,072 247,465 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,897)
58,061 57,538 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly 355
98,655 97,831 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (712)
46,941 46,911 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 579
45,394 45,365 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 560
22,697 22,682 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 280
21,592 21,578 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 266
2,533 2,531 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 31
21,024 20,887 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 134
1,579 1,568 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 10
JPMorgan Chase Bank N.A.
192,319 194,993 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,434
168,474 170,817 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,761
109,985 111,514 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,108
19,247 19,514 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 544
98,655 97,831 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (712)
JPMorgan Securities LLC
145,384 143,456 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (93)
21,031 20,790 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (42)
311,892 307,953 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (264)
134,538 133,289 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 613
439,658 441,031 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,508)
Upfront premium received — Unrealized appreciation 30,624
Upfront premium (paid) — Unrealized (depreciation) (61,057)
Total $— Total $(30,433)









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/20 (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 1,979,000 $374,880 $— 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $374,880
EUR 3,497,000 153,120 (125) 5/15/40 (.961%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 152,995
EUR 7,000,000 127,900 (129) 5/15/30 (.655%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 127,771
EUR 7,000,000 121,436 (129) 5/15/30 (.6625%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 121,307
EUR 1,979,000 149,891 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (149,891)
EUR 3,497,000 284,749 (165) 5/15/50 1.13% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (284,914)
EUR 6,434,000 351,411 (75) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (351,486)
EUR 6,434,000 352,879 (75) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (352,954)
EUR 6,434,000 353,363 (76) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (353,439)
EUR 6,434,000 353,847 (76) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (353,923)
EUR 7,000,000 355,963 (248) 5/15/40 0.935% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (356,211)
EUR 7,000,000 365,448 (248) 5/15/40 0.93% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (365,696)
GBP 4,004,000 369,606 (86) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 369,521
GBP 4,484,000 193,564 (106) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 193,458
GBP 3,123,000 167,268 (72) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity 167,196
GBP 4,253,000 164,373 (56) 11/15/24 3.385% — At maturity GBP Non-revised UK Retail Price Index — At maturity 164,318
GBP 2,402,000 112,243 (56) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 112,186
GBP 2,127,000 81,602 (28) 11/15/24 3.381% — At maturity GBP Non-revised UK Retail Price Index — At maturity 81,575
GBP 2,127,000 77,096 — 12/15/24 3.42% — At maturity GBP Non-revised UK Retail Price Index — At maturity 77,096
GBP 1,121,000 57,239 (26) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity 57,213
GBP 1,204,000 491,449 (63) 7/15/49 (3.4425%) — At maturity GBP Non-revised UK Retail Price Index — At maturity (491,513)
$12,337,000 212,801 (125) 3/11/25 (0.77%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 212,676
3,084,000 109,041 (31) 3/18/25 (0.41%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 109,010
3,813,000 52,238 (39) 4/30/25 (0.835%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 52,200
3,813,000 48,875 (39) 5/1/25 (0.8525%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 48,837
3,066,000 16,682 (31) 6/15/25 (1.2125%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 16,651
429,000 9,753 — 6/9/50 1.77% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 9,753
3,096,000 6,053 — 6/9/25 (1.24%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 6,053
404,000 5,237 (17) 6/15/50 1.6875% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (5,254)
10,132,500 22,109 (170) 6/30/30 1.586% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (22,279)
3,813,000 39,834 (64) 5/1/30 1.3475% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (39,898)
3,813,000 40,757 (64) 4/30/30 1.345% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (40,821)
3,060,000 83,636 (31) 11/29/24 (1.703%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (83,667)
3,060,000 95,634 (31) 12/10/24 (1.7625%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (95,665)
3,084,000 161,651 (52) 3/18/30 0.95% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (161,703)
6,119,000 169,955 (62) 11/21/24 (1.71%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (170,017)
12,337,000 368,519 (207) 3/11/30 1.165% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (368,729)
Total $(2,802) $(1,593,364)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/20 (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 BB+/P $4,375 $64,000 $20,026 5/11/63 300 bp — Monthly $(15,619)
CMBX NA BBB-.6 Index BB+/P 8,497 141,000 44,119 5/11/63 300 bp — Monthly (35,551)
CMBX NA BBB-.6 Index BB+/P 17,409 282,000 88,238 5/11/63 300 bp — Monthly (70,688)
CMBX NA BBB-.6 Index BB+/P 16,587 291,000 91,054 5/11/63 300 bp — Monthly (74,321)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A/P 980 7,000 897 5/11/63 200 bp — Monthly 85
CMBX NA A.6 Index A/P 27,638 165,000 21,153 5/11/63 200 bp — Monthly 6,540
CMBX NA A.6 Index A/P 26,553 172,000 22,050 5/11/63 200 bp — Monthly 4,559
CMBX NA A.6 Index A/P 41,919 237,000 30,383 5/11/63 200 bp — Monthly 11,615
CMBX NA A.6 Index A/P 34,965 252,000 32,306 5/11/63 200 bp — Monthly 2,743
CMBX NA A.6 Index A/P 39,023 258,000 33,076 5/11/63 200 bp — Monthly 6,033
CMBX NA A.6 Index A/P 137,156 825,000 105,765 5/11/63 200 bp — Monthly 31,666
CMBX NA BB.11 Index BB-/P 77,970 138,000 47,168 11/18/54 500 bp — Monthly 30,917
CMBX NA BB.6 Index BB-/P 139,721 974,000 491,480 5/11/63 500 bp — Monthly (350,947)
CMBX NA BB.7 Index BB-/P 64,660 1,267,000 543,290 1/17/47 500 bp — Monthly (477,574)
CMBX NA BBB-.6 Index BB+/P 1,199 15,000 4,694 5/11/63 300 bp — Monthly (3,487)
CMBX NA BBB-.6 Index BB+/P 17,107 260,000 81,354 5/11/63 300 bp — Monthly (64,117)
CMBX NA BBB-.6 Index BB+/P 21,761 330,000 103,257 5/11/63 300 bp — Monthly (81,331)
CMBX NA BBB-.6 Index BB+/P 23,964 352,000 110,141 5/11/63 300 bp — Monthly (86,001)
CMBX NA BBB-.6 Index BB+/P 362,524 5,693,000 1,781,340 5/11/63 300 bp — Monthly (1,415,969)
Credit Suisse International
CMBX NA BB.7 Index BB-/P 30,497 228,000 97,766 1/17/47 500 bp — Monthly (67,079)
CMBX NA BBB-.6 Index BB+/P 52,816 478,000 149,566 5/11/63 300 bp — Monthly (96,512)
CMBX NA BBB-.6 Index BB+/P 129,498 1,172,000 366,719 5/11/63 300 bp — Monthly (236,635)
CMBX NA BBB-.6 Index BB+/P 1,151,228 12,252,000 3,833,651 5/11/63 300 bp — Monthly (2,676,297)
CMBX NA BBB-.7 Index BBB-/P 51,226 780,000 166,998 1/17/47 300 bp — Monthly (115,382)
CMBX NA BBB-.7 Index BBB-/P 121,146 1,639,000 350,910 1/17/47 300 bp — Monthly (228,944)
Goldman Sachs International
CMBX NA A.6 Index A/P 734 5,000 641 5/11/63 200 bp — Monthly 95
CMBX NA A.6 Index A/P 1,595 11,000 1,410 5/11/63 200 bp — Monthly 188
CMBX NA A.6 Index A/P 32,775 276,000 35,383 5/11/63 200 bp — Monthly (2,516)
CMBX NA BB.6 Index BB-/P 5,506 46,000 23,212 5/11/63 500 bp — Monthly (17,668)
CMBX NA BB.6 Index BB-/P 17,531 150,000 75,690 5/11/63 500 bp — Monthly (58,034)
CMBX NA BB.6 Index BB-/P 34,572 299,000 150,875 5/11/63 500 bp — Monthly (116,054)
CMBX NA BBB-.6 Index BB+/P 682 9,000 2,816 5/11/63 300 bp — Monthly (2,129)
CMBX NA BBB-.6 Index BB+/P 806 11,000 3,442 5/11/63 300 bp — Monthly (2,630)
CMBX NA BBB-.6 Index BB+/P 811 11,000 3,442 5/11/63 300 bp — Monthly (2,626)
CMBX NA BBB-.6 Index BB+/P 1,042 13,000 4,068 5/11/63 300 bp — Monthly (3,019)
CMBX NA BBB-.6 Index BB+/P 1,771 26,000 8,135 5/11/63 300 bp — Monthly (6,351)
CMBX NA BBB-.6 Index BB+/P 2,354 28,000 8,761 5/11/63 300 bp — Monthly (6,394)
CMBX NA BBB-.6 Index BB+/P 2,430 32,000 10,013 5/11/63 300 bp — Monthly (7,567)
CMBX NA BBB-.6 Index BB+/P 3,086 39,000 12,203 5/11/63 300 bp — Monthly (9,098)
CMBX NA BBB-.6 Index BB+/P 4,415 44,000 13,768 5/11/63 300 bp — Monthly (9,331)
CMBX NA BBB-.6 Index BB+/P 6,450 46,000 14,393 5/11/63 300 bp — Monthly (7,921)
CMBX NA BBB-.6 Index BB+/P 7,985 60,000 18,774 5/11/63 300 bp — Monthly (10,759)
CMBX NA BBB-.6 Index BB+/P 8,034 60,000 18,774 5/11/63 300 bp — Monthly (10,710)
CMBX NA BBB-.6 Index BB+/P 5,664 64,000 20,026 5/11/63 300 bp — Monthly (14,330)
CMBX NA BBB-.6 Index BB+/P 6,945 66,000 20,651 5/11/63 300 bp — Monthly (13,673)
CMBX NA BBB-.6 Index BB+/P 6,758 78,000 24,406 5/11/63 300 bp — Monthly (17,609)
CMBX NA BBB-.6 Index BB+/P 8,625 78,000 24,406 5/11/63 300 bp — Monthly (15,742)
CMBX NA BBB-.6 Index BB+/P 7,858 91,000 28,474 5/11/63 300 bp — Monthly (20,570)
CMBX NA BBB-.6 Index BB+/P 5,285 102,000 31,916 5/11/63 300 bp — Monthly (26,580)
CMBX NA BBB-.6 Index BB+/P 14,022 103,000 32,229 5/11/63 300 bp — Monthly (18,155)
CMBX NA BBB-.6 Index BB+/P 12,871 115,000 35,984 5/11/63 300 bp — Monthly (23,055)
CMBX NA BBB-.6 Index BB+/P 10,295 122,000 38,174 5/11/63 300 bp — Monthly (27,818)
CMBX NA BBB-.6 Index BB+/P 14,645 131,000 40,990 5/11/63 300 bp — Monthly (26,279)
CMBX NA BBB-.6 Index BB+/P 6,818 135,000 42,242 5/11/63 300 bp — Monthly (35,356)
CMBX NA BBB-.6 Index BB+/P 22,777 137,000 42,867 5/11/63 300 bp — Monthly (20,022)
CMBX NA BBB-.6 Index BB+/P 7,018 137,000 42,867 5/11/63 300 bp — Monthly (35,780)
CMBX NA BBB-.6 Index BB+/P 23,502 157,000 49,125 5/11/63 300 bp — Monthly (25,544)
CMBX NA BBB-.6 Index BB+/P 23,233 158,000 49,438 5/11/63 300 bp — Monthly (26,126)
CMBX NA BBB-.6 Index BB+/P 18,496 166,000 51,941 5/11/63 300 bp — Monthly (33,362)
CMBX NA BBB-.6 Index BB+/P 18,286 169,000 52,880 5/11/63 300 bp — Monthly (34,510)
CMBX NA BBB-.6 Index BB+/P 18,357 169,000 52,880 5/11/63 300 bp — Monthly (34,439)
CMBX NA BBB-.6 Index BB+/P 20,534 175,000 54,758 5/11/63 300 bp — Monthly (34,136)
CMBX NA BBB-.6 Index BB+/P 15,274 181,000 56,635 5/11/63 300 bp — Monthly (41,270)
CMBX NA BBB-.6 Index BB+/P 15,166 183,000 57,261 5/11/63 300 bp — Monthly (42,003)
CMBX NA BBB-.6 Index BB+/P 10,015 192,000 60,077 5/11/63 300 bp — Monthly (49,966)
CMBX NA BBB-.6 Index BB+/P 24,103 216,000 67,586 5/11/63 300 bp — Monthly (43,376)
CMBX NA BBB-.6 Index BB+/P 24,103 216,000 67,586 5/11/63 300 bp — Monthly (43,376)
CMBX NA BBB-.6 Index BB+/P 11,095 226,000 70,715 5/11/63 300 bp — Monthly (59,507)
CMBX NA BBB-.6 Index BB+/P 12,285 252,000 78,851 5/11/63 300 bp — Monthly (66,440)
CMBX NA BBB-.6 Index BB+/P 40,089 266,000 83,231 5/11/63 300 bp — Monthly (43,010)
CMBX NA BBB-.6 Index BB+/P 13,442 271,000 84,796 5/11/63 300 bp — Monthly (71,218)
CMBX NA BBB-.6 Index BB+/P 36,039 296,000 92,618 5/11/63 300 bp — Monthly (56,431)
CMBX NA BBB-.6 Index BB+/P 33,021 305,000 95,435 5/11/63 300 bp — Monthly (62,261)
CMBX NA BBB-.6 Index BB+/P 32,527 324,000 101,380 5/11/63 300 bp — Monthly (68,691)
CMBX NA BBB-.6 Index BB+/P 47,211 452,000 141,431 5/11/63 300 bp — Monthly (93,994)
CMBX NA BBB-.6 Index BB+/P 50,821 461,000 144,247 5/11/63 300 bp — Monthly (93,196)
CMBX NA BBB-.6 Index BB+/P 71,741 605,000 189,305 5/11/63 300 bp — Monthly (117,261)
CMBX NA BBB-.6 Index BB+/P 71,494 605,000 189,305 5/11/63 300 bp — Monthly (117,508)
CMBX NA BBB-.6 Index BB+/P 37,011 765,000 239,369 5/11/63 300 bp — Monthly (201,975)
CMBX NA BBB-.6 Index BB+/P 155,865 1,042,000 326,042 5/11/63 300 bp — Monthly (169,656)
CMBX NA BBB-.7 Index BBB-/P 9,270 133,000 28,475 1/17/47 300 bp — Monthly (19,139)
CMBX NA BBB-.7 Index BBB-/P 51,111 600,000 128,460 1/17/47 300 bp — Monthly (77,049)
CMBX NA BBB-.7 Index BBB-/P 61,571 833,000 178,345 1/17/47 300 bp — Monthly (116,358)
CMBX NA BBB-.7 Index BBB-/P 90,359 1,040,000 222,664 1/17/47 300 bp — Monthly (131,785)
JPMorgan Securities LLC
CMBX NA A.6 Index A/P 10,347 77,000 9,871 5/11/63 200 bp — Monthly 501
CMBX NA A.6 Index A/P 14,560 104,000 13,333 5/11/63 200 bp — Monthly 1,262
CMBX NA BB.10 Index BB-/P 23,991 299,000 127,852 5/11/63 500 bp — Monthly (103,612)
CMBX NA BBB-.6 Index BB+/P 5,524,457 17,280,000 5,406,912 5/11/63 300 bp — Monthly 126,185
Merrill Lynch International
CMBX NA BB.6 Index BB-/P 24,488 219,000 110,507 5/11/63 500 bp — Monthly (85,837)
CMBX NA BBB-.6 Index BB+/P 718 10,000 3,129 5/11/63 300 bp — Monthly (2,406)
CMBX NA BBB-.6 Index BB+/P 885 12,000 3,755 5/11/63 300 bp — Monthly (2,864)
CMBX NA BBB-.6 Index BB+/P 4,231 58,000 18,148 5/11/63 300 bp — Monthly (13,889)
CMBX NA BBB-.6 Index BB+/P 5,636 64,000 20,026 5/11/63 300 bp — Monthly (14,358)
CMBX NA BBB-.6 Index BB+/P 10,285 160,000 50,064 5/11/63 300 bp — Monthly (39,699)
CMBX NA BBB-.6 Index BB+/P 16,195 179,000 56,009 5/11/63 300 bp — Monthly (39,725)
CMBX NA BBB-.6 Index BB+/P 16,247 213,000 66,648 5/11/63 300 bp — Monthly (50,295)
CMBX NA BBB-.6 Index BB+/P 132,865 1,488,000 465,595 5/11/63 300 bp — Monthly (331,987)
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index A/P (31) 4,000 513 5/11/63 200 bp — Monthly (542)
CMBX NA A.6 Index A/P 25,469 163,000 20,897 5/11/63 200 bp — Monthly 4,626
CMBX NA BB.6 Index BB-/P 4,741 39,000 19,679 5/11/63 500 bp — Monthly (14,906)
CMBX NA BB.6 Index BB-/P 8,676 48,000 24,221 5/11/63 500 bp — Monthly (15,505)
CMBX NA BB.6 Index BB-/P 48,378 197,000 99,406 5/11/63 500 bp — Monthly (50,864)
CMBX NA BB.6 Index BB-/P 97,086 394,000 198,812 5/11/63 500 bp — Monthly (101,398)
CMBX NA BBB-.6 Index BB+/P 752 9,000 2,816 5/11/63 300 bp — Monthly (2,060)
CMBX NA BBB-.6 Index BB+/P 1,541 21,000 6,571 5/11/63 300 bp — Monthly (5,019)
CMBX NA BBB-.6 Index BB+/P 3,126 39,000 12,203 5/11/63 300 bp — Monthly (9,057)
CMBX NA BBB-.6 Index BB+/P 3,446 46,000 14,393 5/11/63 300 bp — Monthly (10,924)
CMBX NA BBB-.6 Index BB+/P 9,375 142,000 44,432 5/11/63 300 bp — Monthly (34,986)
CMBX NA BBB-.6 Index BB+/P 9,454 144,000 45,058 5/11/63 300 bp — Monthly (35,531)
CMBX NA BBB-.6 Index BB+/P 183,195 531,000 166,150 5/11/63 300 bp — Monthly 17,311
CMBX NA BBB-.6 Index BB+/P 562,323 8,488,000 2,655,895 5/11/63 300 bp — Monthly (2,089,324)
Upfront premium received 10,641,067 Unrealized appreciation 244,326
Upfront premium (paid) (31) Unrealized (depreciation) (11,692,605)
Total $10,641,036 Total $(11,448,279)
* 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 June 30, 2020. 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 6/30/20 (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 $34 $4,000 $513 5/11/63 (200 bp) — Monthly $546
CMBX NA BB.10 Index (14,611) 140,000 59,864 11/17/59 (500 bp) — Monthly 45,137
CMBX NA BB.10 Index (12,500) 114,000 48,746 11/17/59 (500 bp) — Monthly 36,151
CMBX NA BB.11 Index (54,156) 418,000 142,872 11/18/54 (500 bp) — Monthly 88,368
CMBX NA BB.11 Index (10,687) 148,000 50,586 11/18/54 (500 bp) — Monthly 39,776
CMBX NA BB.11 Index (13,574) 144,000 49,219 11/18/54 (500 bp) — Monthly 35,525
CMBX NA BB.11 Index (3,942) 76,000 25,977 11/18/54 (500 bp) — Monthly 21,971
CMBX NA BB.11 Index (3,877) 76,000 25,977 11/18/54 (500 bp) — Monthly 22,037
CMBX NA BB.11 Index (5,018) 73,000 24,951 11/18/54 (500 bp) — Monthly 19,872
CMBX NA BB.12 Index (3,675) 7,000 2,317 8/17/61 (500 bp) — Monthly (1,364)
CMBX NA BB.8 Index (8,940) 72,000 33,876 10/17/57 (500 bp) — Monthly 24,876
CMBX NA BB.9 Index (103,220) 1,000,000 413,000 9/17/58 (500 bp) — Monthly 308,947
CMBX NA BB.9 Index (19,033) 295,000 121,835 9/17/58 (500 bp) — Monthly 102,556
CMBX NA BB.9 Index (8,581) 133,000 54,929 9/17/58 (500 bp) — Monthly 46,237
CMBX NA BB.9 Index (3,140) 80,000 33,040 9/17/58 (500 bp) — Monthly 29,833
CMBX NA BB.9 Index (2,755) 76,000 31,388 9/17/58 (500 bp) — Monthly 28,570
CMBX NA BB.9 Index (1,854) 46,000 18,998 9/17/58 (500 bp) — Monthly 17,105
CMBX NA BBB-.10 Index (47,966) 161,000 32,200 11/17/59 (300 bp) — Monthly (15,846)
CMBX NA BBB-.11 Index (62,094) 194,000 39,654 11/18/54 (300 bp) — Monthly (22,537)
CMBX NA BBB-.11 Index (57,078) 174,000 35,566 11/18/54 (300 bp) — Monthly (21,600)
CMBX NA BBB-.11 Index (52,568) 164,000 33,522 11/18/54 (300 bp) — Monthly (19,128)
CMBX NA BBB-.11 Index (28,427) 87,000 17,783 11/18/54 (300 bp) — Monthly (10,687)
CMBX NA BBB-.11 Index (17,659) 54,000 11,038 11/18/54 (300 bp) — Monthly (6,649)
CMBX NA BBB-.12 Index (173,165) 492,000 99,778 8/17/61 (300 bp) — Monthly (73,633)
CMBX NA BBB-.12 Index (98,239) 294,000 59,623 8/17/61 (300 bp) — Monthly (38,763)
CMBX NA BBB-.12 Index (89,848) 263,000 53,336 8/17/61 (300 bp) — Monthly (36,643)
CMBX NA BBB-.12 Index (67,433) 194,000 39,343 8/17/61 (300 bp) — Monthly (28,187)
CMBX NA BBB-.12 Index (54,779) 164,000 33,259 8/17/61 (300 bp) — Monthly (21,602)
CMBX NA BBB-.12 Index (24,917) 79,000 16,021 8/17/61 (300 bp) — Monthly (8,935)
CMBX NA BBB-.9 Index (37,618) 159,000 30,910 9/17/58 (300 bp) — Monthly (6,788)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 124,004 11/17/59 (500 bp) — Monthly 85,069
CMBX NA BB.10 Index (34,367) 289,000 123,576 11/17/59 (500 bp) — Monthly 88,968
CMBX NA BB.10 Index (18,893) 152,000 64,995 11/17/59 (500 bp) — Monthly 45,975
CMBX NA BB.7 Index (5,383) 305,000 153,903 5/11/63 (500 bp) — Monthly 148,265
CMBX NA BB.7 Index (61,796) 335,000 143,648 1/17/47 (500 bp) — Monthly 81,573
CMBX NA BB.7 Index (4,770) 29,000 12,435 1/17/47 (500 bp) — Monthly 7,641
CMBX NA BB.9 Index (119,494) 1,192,000 492,296 9/17/58 (500 bp) — Monthly 371,808
Goldman Sachs International
CMBX NA BB.6 Index (12,481) 122,000 61,561 5/11/63 (500 bp) — Monthly 48,979
CMBX NA BB.7 Index (32,233) 213,000 91,334 1/17/47 (500 bp) — Monthly 58,924
CMBX NA BB.12 Index (19,406) 53,000 17,543 8/17/61 (500 bp) — Monthly (1,907)
CMBX NA BB.6 Index (11,509) 93,000 46,928 5/11/63 (500 bp) — Monthly 35,342
CMBX NA BB.7 Index (38,667) 236,000 101,197 1/17/47 (500 bp) — Monthly 62,333
CMBX NA BB.7 Index (25,361) 150,000 64,320 1/17/47 (500 bp) — Monthly 38,834
CMBX NA BB.7 Index (25,381) 125,000 53,600 1/17/47 (500 bp) — Monthly 28,115
CMBX NA BB.7 Index (18,621) 102,000 43,738 1/17/47 (500 bp) — Monthly 25,032
CMBX NA BB.8 Index (2,606) 23,000 10,822 10/17/57 (500 bp) — Monthly 8,197
CMBX NA BB.9 Index (2,524) 65,000 26,845 9/17/58 (500 bp) — Monthly 24,266
CMBX NA BB.9 Index (4,617) 29,000 11,977 9/17/58 (500 bp) — Monthly 7,336
CMBX NA BB.9 Index (2,212) 14,000 5,782 9/17/58 (500 bp) — Monthly 3,559
CMBX NA BB.9 Index (2,236) 14,000 5,782 9/17/58 (500 bp) — Monthly 3,534
CMBX NA BBB-.12 Index (48,631) 144,000 29,203 8/17/61 (300 bp) — Monthly (19,500)
JPMorgan Securities LLC
CMBX NA BB.11 Index (326,686) 599,000 204,738 11/18/54 (500 bp) — Monthly (122,447)
CMBX NA BB.11 Index (22,651) 44,000 22,202 5/11/63 (500 bp) — Monthly (485)
CMBX NA BB.12 Index (160,920) 293,000 96,983 8/17/61 (500 bp) — Monthly (64,182)
CMBX NA BB.17 Index (495,531) 1,012,000 433,946 1/17/47 (500 bp) — Monthly (62,429)
CMBX NA BB.9 Index (246,608) 499,000 206,087 9/17/58 (500 bp) — Monthly (40,937)
CMBX NA BBB-.10 Index (29,298) 104,000 20,800 11/17/59 (300 bp) — Monthly (8,550)
CMBX NA BBB-.10 Index (15,790) 53,000 10,600 11/17/59 (300 bp) — Monthly (5,216)
CMBX NA BBB-.11 Index (53,117) 169,000 34,544 11/18/54 (300 bp) — Monthly (18,658)
CMBX NA BBB-.11 Index (54,483) 169,000 34,544 11/18/54 (300 bp) — Monthly (20,024)
CMBX NA BBB-.11 Index (26,401) 84,000 17,170 11/18/54 (300 bp) — Monthly (9,274)
CMBX NA BBB-.11 Index (26,364) 84,000 17,170 11/18/54 (300 bp) — Monthly (9,237)
CMBX NA BBB-.12 Index (33,526) 96,000 19,469 8/17/61 (300 bp) — Monthly (14,106)
CMBX NA BBB-.12 Index (19,245) 58,000 11,762 8/17/61 (300 bp) — Monthly (7,511)
CMBX NA BBB-.7 Index (435,016) 1,853,000 396,727 1/17/47 (300 bp) — Monthly (39,215)
Merrill Lynch International
CMBX NA BB.10 Index (15,875) 279,000 119,300 11/17/59 (500 bp) — Monthly 103,193
CMBX NA BB.11 Index (130,972) 265,000 90,577 11/18/54 (500 bp) — Monthly (40,616)
CMBX NA BB.9 Index (40,788) 1,047,000 432,411 9/17/58 (500 bp) — Monthly 390,750
CMBX NA BBB-.7 Index (32,451) 396,000 84,784 1/17/47 (300 bp) — Monthly 52,134
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 37,468 1/17/47 (300 bp) — Monthly 19,549
CMBX NA BB.10 Index (14,683) 140,000 59,864 11/17/59 (500 bp) — Monthly 45,065
CMBX NA BB.11 Index (3,049) 32,000 10,938 11/18/54 (500 bp) — Monthly 7,862
CMBX NA BB.12 Index (10,868) 152,000 50,312 8/17/61 (500 bp) — Monthly 39,318
CMBX NA BB.12 Index (7,605) 144,000 47,664 8/17/61 (500 bp) — Monthly 39,939
CMBX NA BB.12 Index (7,667) 105,000 34,755 8/17/61 (500 bp) — Monthly 27,001
CMBX NA BB.12 Index (40,800) 68,000 22,508 8/17/61 (500 bp) — Monthly (18,349)
CMBX NA BB.12 Index (3,668) 52,000 17,212 8/17/61 (500 bp) — Monthly 13,500
CMBX NA BB.12 Index (2,777) 34,000 11,254 9/17/58 (500 bp) — Monthly 8,449
CMBX NA BB.7 Index (39,014) 194,000 83,187 1/17/47 (500 bp) — Monthly 44,011
CMBX NA BB.7 Index (33,495) 179,000 76,755 1/17/47 (500 bp) — Monthly 43,111
CMBX NA BB.7 Index (17,547) 91,000 39,021 1/17/47 (500 bp) — Monthly 21,398
CMBX NA BB.7 Index (6,055) 30,000 12,864 1/17/47 (500 bp) — Monthly 6,784
CMBX NA BB.9 Index (9,059) 149,000 61,537 9/17/58 (500 bp) — Monthly 52,354
CMBX NA BB.9 Index (9,164) 149,000 61,537 9/17/58 (500 bp) — Monthly 52,248
CMBX NA BB.9 Index (5,010) 142,000 58,646 9/17/58 (500 bp) — Monthly 53,518
CMBX NA BB.9 Index (8,310) 135,000 55,755 9/17/58 (500 bp) — Monthly 47,333
CMBX NA BB.9 Index (5,353) 108,000 44,604 9/17/58 (500 bp) — Monthly 39,161
CMBX NA BB.9 Index (5,238) 97,000 40,061 9/17/58 (500 bp) — Monthly 34,742
CMBX NA BB.9 Index (5,259) 70,000 28,910 9/17/58 (500 bp) — Monthly 23,593
CMBX NA BB.9 Index (8,785) 66,000 27,258 9/17/58 (500 bp) — Monthly 18,418
CMBX NA BB.9 Index (8,830) 65,000 26,845 9/17/58 (500 bp) — Monthly 17,961
CMBX NA BB.9 Index (8,614) 63,000 26,019 9/17/58 (500 bp) — Monthly 17,353
CMBX NA BB.9 Index (9,506) 63,000 26,019 9/17/58 (500 bp) — Monthly 16,461
CMBX NA BB.9 Index (4,572) 52,000 21,476 9/17/58 (500 bp) — Monthly 16,861
CMBX NA BB.9 Index (1,876) 48,000 19,824 9/17/58 (500 bp) — Monthly 17,908
CMBX NA BB.9 Index (4,105) 48,000 19,824 9/17/58 (500 bp) — Monthly 15,679
CMBX NA BB.9 Index (5,715) 38,000 15,694 9/17/58 (500 bp) — Monthly 9,947
CMBX NA BB.9 Index (4,541) 30,000 12,390 9/17/58 (500 bp) — Monthly 7,824
CMBX NA BB.9 Index (4,541) 30,000 12,390 9/17/58 (500 bp) — Monthly 7,824
CMBX NA BB.9 Index (3,579) 23,000 9,499 9/17/58 (500 bp) — Monthly 5,900
CMBX NA BBB-.11 Index (59,853) 187,000 38,223 11/18/54 (300 bp) — Monthly (21,724)
CMBX NA BBB-.11 Index (59,853) 187,000 38,223 11/18/54 (300 bp) — Monthly (21,724)
CMBX NA BBB-.11 Index (53,488) 169,000 34,544 11/18/54 (300 bp) — Monthly (19,029)
CMBX NA BBB-.11 Index (53,382) 169,000 34,544 11/18/54 (300 bp) — Monthly (18,923)
CMBX NA BBB-.11 Index (26,216) 84,000 17,170 11/18/54 (300 bp) — Monthly (9,089)
CMBX NA BBB-.12 Index (27,916) 84,000 17,035 8/17/61 (300 bp) — Monthly (10,923)
CMBX NA BBB-.12 Index (10,510) 34,000 6,895 8/17/61 (300 bp) — Monthly (3,632)
CMBX NA BBB-.7 Index (14,540) 229,000 49,029 1/17/47 (300 bp) — Monthly 34,378
Upfront premium received 34 Unrealized appreciation 3,392,784
Upfront premium (paid) (4,399,831) Unrealized (depreciation) (920,049)
Total $(4,399,797) Total $2,472,735
* 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
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 June 30, 2020 (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 $222,053,083.
(NON) This security is non-income-producing.
(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 $5,383, 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
6/30/20
Short-term investments
Putnam Short Term Investment Fund* $11,984,818 $82,866,728 $77,808,102 $131,061 $17,043,444
Total Short-term investments $11,984,818 $82,866,728 $77,808,102 $131,061 $17,043,444
* 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 $734,876.
(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 $12,655,981.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $214,979.
(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 $3,447,465.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $156,546,262 to cover certain derivative contracts, delayed delivery securities and the settlement of certain 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 89.9%
Indonesia 1,2
Ivory Coast 1
Argentina 0.8
Mexico 0.7
Dominican Republic 0.7
Senegal 0.7
Egypt 0.7
Canada 0.6
United Kingdom 0.5
Brazil 0.5
Other 2.7
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 $13,916,234 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $12,655,981 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 $536 $— $—
Consumer cyclicals 70,277 22,036 —
Energy — 349 —
Health care 3,004 — —
Utilities and power — 6,874 —
Total common stocks 73,817 29,259 —
Asset-backed securities — 1,478,902 —
Convertible bonds and notes — 13,087,875 —
Corporate bonds and notes — 55,741,053 135
Foreign government and agency bonds and notes 24,637,363
Mortgage-backed securities — 93,612,599 —
Purchased options outstanding — 1,474,571 —
Purchased swap options outstanding — 11,179,718 —
Senior loans — 6,328,802 —
U.S. government and agency mortgage obligations — 145,038,125 —
U.S. treasury obligations — 1,089,174 —
Warrants — — 6,844
Short-term investments 20,024,444 17,091,634 —
Totals by level $20,098,261 $370,789,075 $6,979
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $28,240 $—
Futures contracts (138,743) — —
Written options outstanding — (689,068) —
Written swap options outstanding — (10,635,979) —
Forward premium swap option contracts — 3,610,220 —
TBA sale commitments — (66,804,881) —
Interest rate swap contracts — 3,490,721 —
Total return swap contracts — (1,620,995) —
Credit default contracts — (15,216,783) —
Totals by level $(138,743) $(87,838,525) $—
* 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) $172,500,000
Purchased currency option contracts (contract amount) $40,300,000
Purchased swap option contracts (contract amount) $674,100,000
Written TBA commitment option contracts (contract amount) $183,700,000
Written currency option contracts (contract amount) $19,800,000
Written swap option contracts (contract amount) $345,600,000
Futures contracts (number of contracts) 600
Forward currency contracts (contract amount) $162,600,000
Centrally cleared interest rate swap contracts (notional) $1,259,300,000
OTC total return swap contracts (notional) $18,500,000
Centrally cleared total return swap contracts (notional) $125,000,000
OTC credit default contracts (notional) $87,600,000
Centrally cleared credit default contracts (notional) $960,000
Warrants (number of warrants) 4,000
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