NPORT-EX 3 b_074nport123120.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam Master Intermediate Income Trust
The fund's portfolio
12/31/20 (Unaudited)



U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (66.1%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.5%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 73,462 84,645
5.00%, with due dates from 5/20/49 to 3/20/50 239,674 270,782
4.00%, TBA, 1/1/51 4,000,000 4,264,062
3.50%, with due dates from 9/20/49 to 3/20/50 1,132,008 1,242,625
5,862,114
U.S. Government Agency Mortgage Obligations (63.6%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 120,975 135,479
4.50%, 5/1/49 41,482 45,832
Uniform Mortgage-Backed Securities
5.50%, TBA, 1/1/51 3,000,000 3,352,969
4.50%, TBA, 1/1/51 4,000,000 4,335,000
4.00%, TBA, 1/1/51 29,000,000 30,968,827
3.50%, TBA, 1/1/51 33,000,000 34,892,345
2.50%, TBA, 2/1/51 6,000,000 6,314,297
2.50%, TBA, 1/1/51 12,000,000 12,650,626
2.00%, TBA, 1/1/51 36,000,000 37,406,250
1.50%, TBA, 1/1/51 16,000,000 16,167,501
146,269,126
Total U.S. government and agency mortgage obligations (cost $151,698,173) $152,131,240









U.S. TREASURY OBLIGATIONS (0.5%)(a)
        Principal amount Value
U.S. Treasury Bonds 3.00%, 5/15/47(i) $103,000 $135,364
U.S. Treasury Inflation Index Notes 0.125%, 4/15/21(i) 208,738 209,714
U.S. Treasury Notes
2.875%, 5/15/28(i) 203,000 235,914
2.125%, 3/31/24(i) 419,000 447,454
2.00%, 2/15/25(i) 39,000 42,055
Total U.S. treasury obligations (cost $1,070,501) $1,070,501









MORTGAGE-BACKED SECURITIES (43.1%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (21.5%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 25.155%, 4/15/37 $27,064 $50,068
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 23.215%, 11/15/35 45,590 81,150
REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 21.752%, 12/15/36 25,838 42,116
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.491%, 4/15/40 1,208,191 112,434
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.102%, 9/25/50 6,904,337 1,378,727
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.041%, 12/15/47 1,823,533 218,824
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.941%, 8/15/56 3,545,185 824,823
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.941%, 4/15/47 820,588 150,850
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.902%, 1/25/50 6,081,490 936,151
REMICs Ser. 4813, IO, 5.50%, 8/15/48 1,819,422 375,019
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 1,245,073 186,761
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 5,390,755 844,931
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 622,333 77,500
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 326,228 35,844
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,081,917 98,826
REMICs Ser. 4425, IO, 4.00%, 1/15/45 1,451,355 162,827
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 1,287,573 206,335
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 786,777 98,656
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 615,801 6,439
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 2,516,322 178,785
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 1,422,409 79,353
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 896,748 14,249
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 491,605 36,657
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 458,933 28,923
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 2,032,815 175,979
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 872,106 54,594
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 327,642 10,144
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.38%, 7/25/43(WAC) 1,068,499 10,685
REMICs Ser. 3326, Class WF, zero %, 10/15/35 994 902
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 39.012%, 7/25/36 38,661 74,229
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 23.657%, 6/25/37 35,008 61,613
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 22.741%, 2/25/38 26,364 36,392
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 19.806%, 8/25/35 24,499 34,166
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 17.009%, 11/25/34 28,657 34,388
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 6.302%, 4/25/42 636,118 110,257
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.252%, 4/25/40 529,579 103,501
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.102%, 3/25/48 2,887,057 514,473
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.052%, 6/25/48 6,597,800 970,081
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.002%, 5/25/47 6,334,718 1,077,662
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.002%, 10/25/41 212,802 13,222
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,733,274 367,419
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,406,718 263,530
REMICs Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 99,257 462
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.952%, 12/25/46 2,198,683 444,620
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.952%, 5/25/39 6,883,449 1,290,034
REMICs FRB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.902%, 3/25/50 4,215,107 839,565
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.902%, 8/25/49 3,348,507 506,413
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.852%, 11/25/49 7,218,365 1,010,571
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.802%, 2/25/43 1,518,355 301,660
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.752%, 10/25/41 1,489,689 239,884
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 62,610 10,368
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 2,200,856 417,811
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 184,587 30,401
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 8,280,350 1,322,616
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 273,349 52,447
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 1,100,092 44,004
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 12,315,148 1,757,741
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 857,745 84,173
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 493,139 17,747
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 771,011 59,766
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 2,391,336 343,072
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 634,163 73,201
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 500,116 54,093
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 513,979 41,118
REMICs Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 999,767 39,541
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 493,630 24,118
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 607,390 28,019
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 714,971 42,192
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 368,647 8,781
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 1,492,462 9,900
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 3,189 2,902
Government National Mortgage Association
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.148%, 9/20/50 4,947,997 1,090,652
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 6.028%, 4/20/44 3,043,472 654,811
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.998%, 7/20/50 4,947,582 730,597
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.998%, 1/20/49 3,773,385 574,970
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.998%, 11/20/43 1,934,333 379,584
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.998%, 9/20/43 324,865 66,750
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.948%, 8/20/49 5,592,202 926,852
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.948%, 7/20/49 5,486,693 826,241
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.898%, 2/20/50 646,569 78,102
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.898%, 1/20/50 2,886,781 495,461
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.898%, 12/20/49 3,315,763 488,001
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.898%, 9/20/49 5,422,597 931,618
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.898%, 8/20/49 202,059 28,528
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.898%, 6/20/49 290,584 35,838
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.448%, 8/20/44 1,517,802 271,108
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 622,324 111,215
Ser. 16-42, IO, 5.00%, 2/20/46 1,635,240 285,459
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 1,630,752 203,241
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 2,808,523 503,456
Ser. 14-76, IO, 5.00%, 5/20/44 655,256 109,180
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 465,923 82,701
Ser. 12-146, IO, 5.00%, 12/20/42 416,184 77,855
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 615,317 110,791
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 443,262 79,735
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,000,306 376,938
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,032,951 187,873
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,037,066 377,153
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 350,366 63,111
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 2,611,910 357,160
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 828,620 113,884
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 1,420,479 190,827
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 948,284 80,765
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 652,844 124,145
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 909,928 150,023
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 1,102,619 120,604
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 859,866 129,159
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 195,956 15,769
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 768,340 129,517
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 817,246 72,030
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,480,978 237,253
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 775,233 124,606
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 867,054 131,027
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 534,078 82,141
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 509,056 93,300
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 583,168 37,036
Ser. 16-29, IO, 4.00%, 2/16/46 775,898 121,232
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 2,187,857 312,535
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,323,074 238,153
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 1,407,076 167,021
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,322,287 141,472
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 3,446,080 437,835
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 2,469,067 128,384
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 453,883 64,978
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 1,648,831 112,826
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 406,076 53,497
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 360,680 52,775
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 901,720 124,228
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 620,966 28,506
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 411,078 11,786
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,107,510 143,976
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 1,464,330 103,001
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 1,263,221 83,484
Ser. 13-76, IO, 3.50%, 5/20/43 1,257,909 139,200
Ser. 13-28, IO, 3.50%, 2/20/43 369,370 27,175
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 587,655 57,620
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 910,549 84,900
Ser. 13-14, IO, 3.50%, 12/20/42 1,947,275 160,962
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 374,835 35,156
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,094,401 167,586
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 1,416,788 218,273
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,521,488 226,419
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 702,892 116,120
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 1,396,600 88,520
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,641,728 106,712
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 780,195 19,037
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 2,592,528 168,514
Ser. 16-H03, Class AI, IO, 3.189%, 1/20/66 3,394,617 251,725
Ser. 15-H10, Class BI, IO, 3.038%, 4/20/65 2,469,201 210,756
Ser. 16-H09, Class BI, IO, 2.978%, 4/20/66 4,493,569 394,428
Ser. 16-H18, Class QI, IO, 2.937%, 6/20/66 2,783,664 278,208
Ser. 16-H02, Class HI, IO, 2.92%, 1/20/66 4,469,972 293,677
Ser. 18-H15, Class KI, IO, 2.814%, 8/20/68 3,409,143 352,357
Ser. 17-H16, Class JI, IO, 2.777%, 8/20/67 8,118,468 891,352
Ser. 16-H10, Class AI, IO, 2.776%, 4/20/66 8,776,827 526,513
Ser. 17-H12, Class QI, IO, 2.627%, 5/20/67 3,497,454 325,267
Ser. 17-H16, Class FI, IO, 2.62%, 8/20/67 2,961,327 273,458
Ser. 15-H15, Class BI, IO, 2.597%, 6/20/65 2,355,879 191,535
Ser. 16-H17, Class KI, IO, 2.533%, 7/20/66 2,589,954 227,656
Ser. 16-H16, Class EI, IO, 2.495%, 6/20/66(WAC) 3,941,479 357,492
Ser. 17-H16, Class IH, IO, 2.394%, 7/20/67 5,476,775 410,293
Ser. 16-H23, Class NI, IO, 2.371%, 10/20/66 10,218,256 935,992
Ser. 16-H22, Class AI, IO, 2.324%, 10/20/66 3,831,835 360,058
Ser. 18-H05, Class AI, IO, 2.269%, 2/20/68 2,040,735 231,496
Ser. 17-H08, Class NI, IO, 2.244%, 3/20/67 5,109,330 459,840
Ser. 16-H06, Class CI, IO, 2.219%, 2/20/66 4,708,542 268,693
Ser. 15-H20, Class CI, IO, 2.198%, 8/20/65 4,040,646 375,372
Ser. 16-H06, Class DI, IO, 2.187%, 7/20/65 5,185,498 341,527
Ser. 17-H06, Class BI, IO, 2.186%, 2/20/67 3,953,740 377,783
Ser. 17-H02, Class BI, IO, 2.186%, 1/20/67 2,574,998 254,255
Ser. 17-H09, IO, 2.185%, 4/20/67 4,933,194 394,364
Ser. 15-H24, Class AI, IO, 2.183%, 9/20/65 3,127,564 246,490
Ser. 18-H03, Class XI, IO, 2.18%, 2/20/68 4,172,699 443,975
Ser. 17-H19, Class MI, IO, 2.06%, 4/20/67 1,998,507 189,059
Ser. 17-H16, Class IG, IO, 2.041%, 7/20/67 7,430,204 544,000
Ser. 16-H03, Class DI, IO, 2.028%, 12/20/65 3,648,388 260,785
Ser. 18-H05, Class BI, IO, 1.964%, 2/20/68 4,103,801 460,395
Ser. 17-H11, Class DI, IO, 1.925%, 5/20/67 3,701,547 346,247
Ser. 18-H02, Class EI, IO, 1.884%, 1/20/68 5,753,903 645,516
Ser. 15-H25, Class EI, IO, 1.86%, 10/20/65 2,793,290 217,597
Ser. 15-H20, Class AI, IO, 1.83%, 8/20/65 3,432,958 270,860
FRB Ser. 15-H08, Class CI, IO, 1.796%, 3/20/65 1,908,467 133,379
Ser. 15-H23, Class BI, IO, 1.754%, 9/20/65 3,633,450 262,335
Ser. 16-H24, Class CI, IO, 1.70%, 10/20/66 2,420,550 156,443
Ser. 16-H14, IO, 1.688%, 6/20/66 3,434,521 221,097
Ser. 13-H08, Class CI, IO, 1.632%, 2/20/63 3,093,518 130,237
Ser. 14-H21, Class BI, IO, 1.54%, 10/20/64 5,070,317 303,712
Ser. 15-H26, Class CI, IO, 0.52%, 8/20/65 5,843,641 77,136
Ser. 06-36, Class OD, PO, zero %, 7/16/36 1,014 912
49,409,927
Commercial mortgage-backed securities (8.1%)
Bank 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54 374,000 295,959
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 359,000 281,657
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.432%, 1/12/45(WAC) 1,279,000 1,004,015
Ser. 05-PWR7, Class D, 5.264%, 2/11/41(WAC) 441,000 337,365
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 200,557 200,557
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.518%, 3/11/39 (In default)(NON)(WAC) 101,986 72,920
FRB Ser. 06-PW14, Class XW, IO, 0.557%, 12/11/38(WAC) 235,394 2,325
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.739%, 12/15/47(WAC) 409,000 390,602
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 930,800
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.928%, 4/10/47(WAC) 307,000 324,049
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.847%, 5/10/47(WAC) 647,000 498,190
FRB Ser. 14-UBS3, Class D, 4.768%, 6/10/47(WAC) 344,000 342,989
FRB Ser. 12-CR3, Class E, 4.75%, 10/15/45(WAC) 297,000 171,540
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 245,623
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.902%, 12/15/39(WAC) 914,058 9
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.719%, 9/15/39(WAC) 12,160 12,146
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 64,699 65,314
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.764%, 4/15/50(WAC) 527,000 348,880
DBUBS Mortgage Trust 144A
FRB Ser. 11-LC1A, Class C, 5.565%, 11/10/46(WAC) 232,000 232,572
FRB Ser. 11-LC2A, Class D, 5.487%, 7/10/44(WAC) 272,000 259,969
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.402%, 2/10/46(WAC) 622,000 541,518
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 160,000 130,228
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47(WAC) 1,270,000 482,600
FRB Ser. 13-GC13, Class D, 4.084%, 7/10/46(WAC) 531,000 402,878
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class C, 4.099%, 7/15/45(WAC) 266,000 262,539
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47(WAC) 1,183,000 631,372
FRB Ser. C14, Class D, 4.702%, 8/15/46(WAC) 515,000 322,299
FRB Ser. 14-C18, Class E, 4.294%, 2/15/47(WAC) 407,000 161,872
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 984,507
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 378,476
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.167%, 4/15/46(WAC) 581,000 444,103
Ser. 13-LC11, Class B, 3.499%, 4/15/46 221,000 217,866
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.169%, 2/12/51(WAC) 398,000 119,400
FRB Ser. 11-C3, Class F, 5.696%, 2/15/46(WAC) 410,000 94,393
FRB Ser. 11-C4, Class C, 5.426%, 7/15/46(WAC) 234,000 232,083
FRB Ser. 12-C6, Class E, 5.152%, 5/15/45(WAC) 363,000 177,870
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 522,645
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.689%, 9/15/39(WAC) 785,848 2,601
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) 13,487 —
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 413,265 247,963
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.352%, 8/15/46(WAC) 900,000 81,000
FRB Ser. 13-C11, Class F, 4.352%, 8/15/46(WAC) 496,000 158,720
FRB Ser. 15-C23, Class D, 4.145%, 7/15/50(WAC) 546,000 534,681
FRB Ser. 13-C9, Class D, 4.118%, 5/15/46(WAC) 350,000 315,000
FRB Ser. 13-C10, Class D, 4.082%, 7/15/46(WAC) 485,000 212,254
FRB Ser. 13-C10, Class E, 4.082%, 7/15/46(WAC) 1,316,000 954,988
FRB Ser. 13-C10, Class F, 4.082%, 7/15/46(WAC) 975,000 309,545
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 262,773
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 284,187 63,942
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 434,023 427,475
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 20-01, Class M10, 3.898%, 3/25/50 701,000 681,348
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 558,952 6
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 622,000 130,313
Ser. 13-C6, Class B, 3.875%, 4/10/46(WAC) 297,000 296,465
Wells Fargo Commercial Mortgage Trust FRB Ser. 20-C56, Class C, 3.75%, 6/15/53(WAC) 281,000 304,174
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.275%, 7/15/46(WAC) 188,000 75,200
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 329,786
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,057,995
18,570,359
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%), 0.338%, 5/25/47 479,795 243,431
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.621%, 11/27/36(WAC) 745,853 596,682
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.648%, 1/25/36 81,559 101,628
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.328%, 11/25/47 296,697 234,665
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.498%, 3/25/37 992,901 908,060
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 1,000,000 1,040,000
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.402%, 6/25/46(WAC) 302,291 288,113
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 2.109%, 9/25/35 317,641 275,347
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.569%, 8/25/46 115,294 108,225
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.549%, 6/25/46 358,520 316,630
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 0.848%, 9/25/35 390,863 346,310
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 0.804%, 11/20/35 432,163 393,902
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 0.528%, 8/25/46 340,799 282,863
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 0.528%, 8/25/46 2,190,899 2,115,876
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), 0.328%, 6/25/47 426,003 351,639
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.648%, 5/25/28 266,573 297,719
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.15%, 7/25/28 889,998 943,530
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.498%, 4/25/28 571,274 674,569
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.348%, 10/25/27 395,570 457,978
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.698%, 12/25/27 684,150 751,280
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 3.998%, 3/25/29 250,000 258,663
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.448%, 9/25/30 607,714 604,319
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.582%, 10/25/50 176,000 215,407
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.398%, 4/25/49 106,000 117,177
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.148%, 10/25/48 398,000 446,792
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.898%, 1/25/49 141,000 156,541
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.648%, 3/25/49 118,000 117,111
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.148%, 8/25/50 609,000 731,656
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.148%, 7/25/50 430,000 506,325
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.298%, 7/25/49 135,000 129,840
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.898%, 9/25/48 174,000 167,890
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 318,816
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 656,420
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.398%, 10/25/48 380,000 388,565
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.048%, 9/25/48 190,000 191,989
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.848%, 12/25/30 569,000 572,598
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.248%, 3/25/50 367,000 368,850
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.798%, 1/25/49 148,965 147,738
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.598%, 3/25/49 121,504 120,896
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.498%, 2/25/49 147,680 147,151
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.448%, 10/25/48 120,000 117,928
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.898%, 10/25/28 89,530 109,742
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.398%, 9/25/28 1,113,101 1,350,551
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.898%, 10/25/28 566,382 689,525
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.898%, 8/25/28 367,821 442,870
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.898%, 1/25/29 119,598 143,468
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.398%, 4/25/29 19,905 21,145
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.048%, 10/25/28 568,517 597,595
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.848%, 4/25/28 1,036,177 1,105,568
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.698%, 4/25/28 36,391 38,206
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.648%, 9/25/29 477,000 504,824
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.148%, 7/25/25 104,938 107,118
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.998%, 10/25/29 1,170,000 1,218,814
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.648%, 12/25/30 283,000 289,588
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.598%, 5/25/30 82,000 85,141
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.598%, 2/25/30 60,000 61,500
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.148%, 5/25/25 12,375 12,561
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.748%, 1/25/30 182,000 182,000
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 3.698%, 7/25/30 457,000 461,570
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.148%, 10/25/29 482,089 486,332
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.648%, 5/25/30 248,113 247,542
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.398%, 7/25/30 47,384 47,150
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.248%, 3/25/31 68,321 67,328
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.248%, 9/25/31 251,000 251,786
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 3.798%, 2/25/40 504,000 505,569
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.598%, 7/25/31 45,455 45,427
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.18%), 0.508%, 5/25/36 539,640 193,213
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.458%, 5/25/37 293,274 255,467
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.672%, 5/19/35 292,126 149,570
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.348%, 6/25/37 503,982 240,398
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 330,000 329,340
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.891%, 2/26/37 313,936 284,839
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 0.943%, 8/25/35 80,212 79,167
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 2.998%, 7/25/28 (Bermuda) 800,000 773,475
Pretium Mortgage Credit Partners, LLC 144A FRB Ser. 20-RPL1, Class A1, 3.819%, 5/27/60 241,549 241,944
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.848%, 3/25/28 (Bermuda) 794,000 794,150
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 0.578%, 5/25/46 258,958 229,178
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.358%, 8/25/36 340,662 323,629
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.268%, 8/25/36 283,116 256,131
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 216,000 239,164
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR14, Class 1A2, 2.899%, 12/25/35(WAC) 101,652 99,620
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 1.128%, 10/25/45 176,051 173,790
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, Class 1A1, 3.938%, 4/25/36(WAC) 194,481 191,564
31,138,678
Total mortgage-backed securities (cost $108,663,315) $99,118,964









CORPORATE BONDS AND NOTES (23.1%)(a)
        Principal amount Value
Basic materials (1.6%)
Allegheny Technologies, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 $10,000 $10,525
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 151,000 164,779
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 38,000 39,805
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 87,000 89,066
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 115,000 124,200
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 263,000 270,233
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 90,000 97,425
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 92,000 99,793
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 175,000 189,438
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 63,000 65,520
Core & Main LP 144A sr. unsec. notes 6.125%, 8/15/25 100,000 103,375
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 60,000 65,850
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 60,000 63,750
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 203,000 209,090
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 179,000 189,293
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) 30,000 32,325
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 95,000 95,238
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging Ltd Co-Issuer, LL 144A sr. notes 6.00%, 9/15/28 (Canada) 25,000 25,688
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 64,000 65,600
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 35,000 36,575
Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) 19,000 19,772
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 49,000 49,674
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 121,000 123,193
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 145,000 151,525
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 80,000 86,189
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 234,000 286,943
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 305,000 327,012
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 56,000 58,030
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 107,000 111,013
Tronox, Inc. 144A company guaranty sr. notes 6.50%, 5/1/25 20,000 21,400
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 38,000 38,950
U.S. Concrete, Inc. 144A company guaranty sr. unsec. notes 5.125%, 3/1/29 45,000 46,350
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 121,000 130,529
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 4.875%, 6/15/27 80,000 84,842
3,572,990
Capital goods (2.3%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 60,000 61,388
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 234,000 246,285
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 6.875%, 7/1/28 10,000 10,775
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 122,188
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 35,000 36,663
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Luxembourg)(PIK) 200,000 213,500
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 330,000 344,850
Berry Global, Inc. 144A company guaranty notes 5.625%, 7/15/27 55,000 59,142
Berry Global, Inc. 144A notes 4.50%, 2/15/26 39,000 39,878
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 80,000 86,200
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 45,000 49,163
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 80,000 83,465
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 265,000 274,938
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 182,625
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 45,000 45,338
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 122,331
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 177,000 181,528
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 150,000 163,125
MasTec, Inc. 144A company guaranty sr. unsec. notes 4.50%, 8/15/28 115,000 120,750
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 6.625%, 5/13/27 45,000 48,713
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 177,000 189,833
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 125,000 135,801
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 171,000 176,985
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 190,000 193,563
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 352,000 367,583
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 208,000 224,640
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 105,000 109,331
Tenneco, Inc. 144A company guaranty sr. notes 7.875%, 1/15/29 10,000 11,228
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 86,000 89,010
TransDigm, Inc. company guaranty sr. unsec. sub.notes 5.50%, 11/15/27 148,000 155,592
TransDigm, Inc. 144A company guaranty sr. notes 8.00%, 12/15/25 25,000 27,633
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 672,000 715,680
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 223,000 228,018
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 115,000 130,788
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 55,000 60,491
5,309,021
Communication services (2.1%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 266,000 275,643
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,045,000 1,145,581
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 55,000 58,369
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 199,000 210,443
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 82,000 83,845
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 120,000 129,888
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 245,000 256,891
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 84,000 91,559
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 90,000 97,313
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 105,000 112,350
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Luxembourg) 6,000 6,143
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 272,791
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 85,000 88,777
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 40,000 41,100
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 3.625%, 1/15/29 55,000 54,863
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 43,150
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 260,000 342,805
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 125,000 155,149
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 433,000 501,327
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 190,000 197,695
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 20,495
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 46,406
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 148,000 159,084
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 56,228
T-Mobile USA, Inc. 144A company guaranty sr. notes 3.875%, 4/15/30 50,000 57,910
T-Mobile USA, Inc. 144A company guaranty sr. notes 3.75%, 4/15/27 125,000 142,350
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 79,594
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 164,508
Zayo Group Holdings, Inc. 144A sr. notes 4.00%, 3/1/27 $55,000 55,138
4,947,395
Consumer cyclicals (5.1%)
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 38,000 39,378
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 60,000 62,100
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 60,000 62,250
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 160,000 166,200
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 55,000 58,506
Carnival Corp. 144A sr. notes 11.50%, 4/1/23 50,000 57,836
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 55,000 58,781
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 70,560
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 190,000 180,500
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 25,000 27,000
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 80,000 80,800
Cornerstone Building Brands, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 6,000 6,285
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 215,000 217,150
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 144,000 117,000
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 92,000 55,660
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 244,000 247,965
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 102,000 101,745
Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 152,000 186,354
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 217,460
Gap, Inc. (The) 144A sr. notes 8.625%, 5/15/25 45,000 50,187
Gap, Inc. (The) 144A sr. notes 8.375%, 5/15/23 78,000 88,433
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 45,000 47,419
Gartner, Inc. 144A company guaranty sr. unsec. notes 4.50%, 7/1/28 25,000 26,375
Gray Television, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/15/30 60,000 61,125
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 200,000 219,000
Hanesbrands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/15/25 45,000 47,611
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 125,000 130,938
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 88,000 93,141
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 153,000 157,781
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 130,811 139,968
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 271,721 290,062
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 79,869
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 150,000 172,125
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 194,000 204,726
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 268,000 280,060
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 65,000 68,738
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 70,000 71,436
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 31,000 33,325
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 128,000 141,760
L Brands, Inc. 144A company guaranty sr. notes 6.875%, 7/1/25 30,000 32,573
L Brands, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 25,000 30,750
L Brands, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 55,000 61,188
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 112,304
Levi Strauss & Co. sr. unsec. unsub. notes 5.00%, 5/1/25 $50,000 51,250
LHMC Finco SARL sr. notes Ser. REGS, 6.25%, 12/20/23 (Luxembourg) EUR 100,000 121,405
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 $181,000 183,715
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 115,000 117,875
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 46,000 46,575
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 99,000 101,723
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 60,000 67,111
Macy's, Inc. 144A company guaranty sr. unsec. notes 8.375%, 6/15/25 30,000 33,315
Marriott International, Inc. sr. unsec. notes Ser. EE, 5.75%, 5/1/25 40,000 46,788
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 48,319
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 160,000 169,200
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 125,000 132,500
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 170,000 188,913
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 224,000 219,520
Meredith Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/1/25 110,000 117,150
Motion Bondco DAC company guaranty sr. notes Ser. REGS, 4.50%, 11/15/27 (Ireland) EUR 110,000 129,259
MPH Acquisition Holdings, LLC 144A company guaranty sr. unsec. notes 5.75%, 11/1/28 $60,000 58,968
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 110,000 115,242
Nexstar Broadcasting, Inc. 144A sr. unsec. notes 4.75%, 11/1/28 55,000 57,544
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 160,000 171,400
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 183,000 187,804
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 80,000 86,924
Nordstrom, Inc. 144A sr. notes 8.75%, 5/15/25 115,000 128,806
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 150,000 151,688
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. bonds 4.625%, 3/15/30 36,000 36,797
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 52,000 54,275
Penske Automotive Group, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/25 25,000 25,406
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 170,000 188,275
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 55,000 54,588
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 115,000 123,463
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 320,000 380,773
QVC, Inc. company guaranty sr. notes 4.375%, 9/1/28 100,000 103,615
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 98,000 104,615
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 278,000 330,820
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 65,000 67,073
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/15/26 105,000 113,148
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 168,000 181,020
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 120,000 124,800
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 95,000 98,800
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 60,000 61,394
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 367,000 387,185
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 115,000 124,200
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 59,065
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 95,000 95,475
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 10,525
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 115,000 115,863
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 125,000 140,000
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 50,000 56,625
TRI Pointe Group, Inc. sr. unsec. notes 5.70%, 6/15/28 55,000 62,095
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 65,000 72,313
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 115,000 123,516
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 54,000 54,405
Valvoline, Inc. company guaranty sr. unsec. notes 4.375%, 8/15/25 35,000 36,147
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 145,000 153,700
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 4.875%, 9/15/28 25,000 26,125
WMG Acquisition Corp. 144A company guaranty sr. bonds 3.00%, 2/15/31 95,000 93,100
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 103,020
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. notes 6.375%, 5/15/25 70,000 74,550
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 4.375%, 8/15/28 33,000 34,289
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 150,000 154,613
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 250,000 261,875
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 35,000 37,931
11,712,897
Consumer staples (1.5%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 80,000 81,074
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 77,000 79,310
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 101,750
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 35,000 38,566
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 260,000 276,575
Avient Corp. 144A sr. unsec. notes 5.75%, 5/15/25 35,000 37,188
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 18,000 18,355
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 10,000 11,115
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 55,000 57,888
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 227,000 225,370
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 60,000 65,550
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 81,000 82,721
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 134,875
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 116,161
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 3.00%, 6/1/26 171,000 178,570
Kraft Heinz Co. (The) 144A company guaranty sr. unsec. notes 3.875%, 5/15/27 17,000 18,315
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 85,000 94,881
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 164,112
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 38,573
Loxam SAS notes 3.75%, 7/15/26 (France) EUR 100,000 123,748
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 $130,000 135,200
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 118,000 125,415
Match Group, Inc. 144A sr. unsec. unsub. notes 4.625%, 6/1/28 60,000 62,888
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 60,000 74,100
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 135,324
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 230,000 275,713
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 70,725
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 35,000 40,250
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 66,000 72,620
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 105,000 115,658
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.125%, 1/15/28 95,000 101,294
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 59,000 63,720
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 55,000 55,596
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 60,308
Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 25,000 27,688
3,361,196
Energy (4.1%)
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 189,000 196,548
Aker BP ASA 144A sr. unsec. notes 3.75%, 1/15/30 (Norway) 150,000 156,375
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 72,000 71,820
Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 35,000 37,100
Apache Corp. sr. unsec. unsub. notes 4.625%, 11/15/25 25,000 26,426
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 36,000 37,475
ChampionX corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 129,000 130,290
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 160,000 189,276
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 66,000 67,623
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 105,000 107,646
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 105,000 108,266
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 60,000 66,599
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 56,000 62,020
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 60,000 83,220
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 47,000 48,928
Diamondback Energy, Inc. sr. unsec. notes 4.75%, 5/31/25 60,000 67,547
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp. 144A sr. unsec. notes 7.75%, 12/15/25 220,000 233,284
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 196,000 211,425
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 115,000 123,050
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 10,000 10,543
Global Partners LP/GLP Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 20,000 21,650
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 102,000 106,622
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 217,000 225,680
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 55,000 55,413
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 71,000 72,598
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 196,000 201,890
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 115,875 110,081
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 96,000 99,711
Newfield Exploration Co. sr. unsec. unsub. notes 5.625%, 7/1/24 25,000 26,750
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 19,000 20,390
Northriver Midstream Finance LP 144A sr. notes 5.625%, 2/15/26 (Canada) 62,000 64,015
Occidental Petroleum Corp. sr. unsec. sub. notes 4.85%, 3/15/21 74,000 74,000
Occidental Petroleum Corp. sr. unsec. unsub. notes 3.50%, 6/15/25 58,000 56,026
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 972,184
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 214,500
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 879,000 1,087,801
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 169,000 197,519
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 462,174
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 14,963
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 824,000 30,900
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.50%, 1/23/29 (Mexico) 432,000 447,287
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 1,420,000 1,416,450
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 51,000 44,370
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 80,000 84,500
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 136,000 108,460
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 67,000 57,285
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 49,000 39,445
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 96,000 92,640
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 30,000 32,250
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 130,000 132,763
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 35,000 39,419
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 185,000 200,725
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.50%, 3/1/30 35,000 38,000
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 44,460 41,792
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 88,000 80,080
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 36,575
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 27,000 30,729
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 101,000 106,176
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 45,000 47,700
WPX Energy, Inc. sr. unsec. sub. notes 5.875%, 6/15/28 180,000 196,205
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 99,000 104,902
9,528,081
Financials (2.5%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 105,000 106,181
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 30,000 30,675
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 85,000 90,950
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 105,000 131,320
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) $200,000 230,516
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 4,000 4,365
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 274,670
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 100,000 120,725
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 233,628
Diversified Healthcare Trust company guaranty sr. unsec. notes 9.75%, 6/15/25(R) 230,000 261,202
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 45,000 46,125
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 75,000 83,941
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 55,285
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 115,000 129,384
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 79,000 90,666
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 115,000 119,600
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 96,613
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 104,000 110,126
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4.75%, 9/15/24 65,000 67,519
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 16,162
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 218,816
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 90,000 91,800
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 156,000 157,950
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 122,000 120,475
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 160,000 159,600
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 115,000 112,556
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 215,000 222,400
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 60,000 63,675
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 93,000 97,650
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30 35,000 36,583
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) 570,000 630,586
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 110,000 116,325
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 235,000 240,875
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 112,979
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 41,000 47,245
Springleaf Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 45,000 50,906
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 70,950
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 269,000 312,376
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 120,000 135,000
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 150,000 153,750
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 83,000 81,133
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 214,000
5,747,283
Health care (2.1%)
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 150,000 166,875
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 220,000 227,984
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 105,000 118,032
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 55,000 60,456
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 80,000 86,900
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 160,000 164,906
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29 50,000 51,410
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 164,600
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 55,000 58,295
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 250,000 277,500
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 89,000 94,006
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 82,000 86,486
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.625%, 1/15/24 95,000 99,038
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 305,000 328,638
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 10,000 10,800
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 45,000 48,544
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 9.875%, 6/30/23 30,000 31,538
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 130,000 153,400
Emergent BioSolutions, Inc. 144A company guaranty sr. unsec. notes 3.875%, 8/15/28 35,000 36,243
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 55,000 57,475
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 363,000 429,611
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 245,000 281,603
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 55,000 58,442
Jaguar Holding Co. II/PPD Development LP 144A company guaranty sr. unsec. notes 5.00%, 6/15/28 35,000 37,363
Jaguar Holding Co. II/PPD Development LP 144A company guaranty sr. unsec. notes 4.625%, 6/15/25 25,000 26,365
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 171,663
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 40,000 41,608
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 240,000 246,005
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 28,000 29,680
Tenet Healthcare Corp. 144A company guaranty sr. notes 7.50%, 4/1/25 30,000 32,775
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 235,000 248,806
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 339,000 354,631
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 226,250
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 200,000 212,750
4,720,678
Technology (0.9%)
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 20,000 21,072
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 105,000 108,255
Dell International, LLC/EMC Corp. 144A company guaranty sr. notes 5.85%, 7/15/25 40,000 48,033
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 260,000 317,186
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 152,000 157,643
Diebold Nixdorf, Inc. company guaranty sr. unsec. sub. notes 8.50%, 4/15/24 78,000 78,975
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25 54,000 60,480
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 33,000 35,475
Microchip Technology, Inc. 144A company guaranty sr. unsec. notes 4.25%, 9/1/25 224,000 236,979
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 280,000 280,700
Qorvo, Inc. 144A company guaranty sr. unsec. bonds 3.375%, 4/1/31 55,000 56,788
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 203,000 216,956
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 45,000 47,813
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 85,000 87,852
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 279,000 285,626
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 44,000 48,620
2,088,453
Transportation (0.1%)
Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 170,000 185,557
185,557
Utilities and power (0.8%)
AES Corp. (The) 144A sr. unsec. notes 3.30%, 7/15/25 40,000 43,600
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 29,000 29,377
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 45,000 46,350
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 58,000 60,001
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 176,800
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 25,000 26,125
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 10,000 10,283
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 94,000 99,640
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 27,000 28,513
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 145,000 158,413
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 145,000 168,149
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 170,000 185,156
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 49,000 53,900
Pacific Gas and Electric Co. bonds 2.50%, 2/1/31 180,000 180,657
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 110,000 116,394
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 15,000 15,264
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 30,000 32,134
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/21(F) 90,000 135
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 50,000 56,751
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 30,000 32,488
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.625%, 2/15/27 68,000 72,328
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 168,000 175,090
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 75,000 79,500
1,847,048
Total corporate bonds and notes (cost $50,607,674) $53,020,599









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (13.3%)(a)
        Principal amount Value
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) $960,000 $1,138,785
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) (In default)(NON) 400,000 162,000
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) (In default)(NON) 75,000 30,175
Buenos Aires (Province of) unsec. FRN 34.187%, 5/31/22 (Argentina) ARS 7,745,000 82,439
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) (In default)(NON) $2,140,000 866,700
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) (In default)(NON) 341,333 140,800
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) (In default)(NON) 1,635,000 664,219
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 1,460,000 892,790
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 547,000 363,760
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) 340,000 364,650
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 56,667 57,871
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 235,000 297,863
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 661,000 793,200
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 180,000 215,327
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 284,000 330,860
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 427,025
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 260,000 281,778
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 816,531
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 1,400,000 1,608,271
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 600,000 649,494
Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, 5/29/24 (Egypt) 520,000 556,249
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 1/18/27 (El Salvador) 378,000 356,741
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 284,625
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana) 1,800,000 1,905,750
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 379,000 408,899
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,020,000 1,192,135
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 402,306
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 233,754
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 755,609
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 593,604
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 1,345,000 1,757,349
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) $1,025,000 1,169,792
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,374,750
Kenya (Republic of) sr. unsec. bonds Ser. REGS, 8.00%, 5/22/32 (Kenya) 713,000 830,667
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) 710,000 792,532
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) 340,000 372,300
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman) 499,000 515,227
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, 7/30/24 (Senegal) 2,670,000 2,937,000
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 670,000 766,480
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 360,000 389,249
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 430,000 460,866
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) 1,009,000 1,089,488
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 798,000 75,810
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 371,000 35,245
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,292,000 122,740
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 910,000 1,019,226
Total foreign government and agency bonds and notes (cost $33,003,502) $30,582,931









CONVERTIBLE BONDS AND NOTES (8.2%)(a)
        Principal amount Value
Capital goods (0.2%)
Fortive Corp. cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 $191,000 $196,479
Middleby Corp. (The) 144A cv. sr. unsec. unsub. notes 1.00%, 9/1/25 165,000 201,506
397,985
Communication services (0.5%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 363,000 346,023
Liberty Broadband Corp. 144A cv. sr. unsec. bonds 2.75%, 9/30/50 34,000 36,372
Liberty Broadband Corp. 144A cv. sr. unsec. bonds 1.25%, 9/30/50 226,000 228,149
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 38,000 48,032
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 79,000 83,789
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 188,000 193,922
Vonage Holdings Corp. cv. sr. unsec. notes 1.75%, 6/1/24 177,000 191,165
1,127,452
Consumer cyclicals (1.6%)
Booking Holdings, Inc. 144A cv. sr. unsec. notes 0.75%, 5/1/25 257,000 373,372
Burlington Stores, Inc. 144A cv. sr. unsec. notes 2.25%, 4/15/25 185,000 256,274
Callaway Golf Co. 144A cv. sr. unsec. notes 2.75%, 5/1/26 64,000 101,775
Carnival Corp. 144A cv. company guaranty notes 5.75%, 4/1/23 63,000 149,052
Cinemark Holdings, Inc. 144A cv. sr. unsec. notes 4.50%, 8/15/25 108,000 157,624
Dick's Sporting Goods, Inc. 144A cv. sr. unsec. notes 3.25%, 4/15/25 83,000 147,792
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 131,000 163,685
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 18,934
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 100,000 127,425
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 192,000 247,834
National Vision Holdings, Inc. 144A cv. sr. unsec. notes 2.50%, 5/15/25 108,000 174,150
NCL Corp, Ltd. 144A cv. company guaranty notes 5.375%, 8/1/25 153,000 258,902
Penn National Gaming, Inc. cv. sr. unsec. notes 2.75%, 5/15/26 37,000 139,571
RH 144A cv. sr. unsec. notes zero %, 9/15/24 46,000 100,469
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. notes 2.875%, 11/15/23 312,000 372,840
Sabre GLBL, Inc. 144A cv. company guaranty sr. unsec. notes 4.00%, 4/15/25 54,000 96,903
Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes zero %, 12/15/25 109,000 133,011
Square, Inc. 144A cv. sr. unsec. notes 0.125%, 3/1/25 149,000 281,983
Square, Inc. 144A cv. sr. unsec. sub. notes 0.25%, 11/1/27 45,000 49,866
Square, Inc. 144A cv. sr. unsec. sub. notes zero %, 5/1/26 45,000 50,159
Under Armour, Inc. 144A cv. sr. unsec. notes 1.50%, 6/1/24 79,000 130,219
Vail Resorts, Inc. 144A cv. sr. unsec. sub. notes zero %, 1/1/26 146,000 148,661
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 83,000 98,296
3,778,797
Consumer staples (0.7%)
Bloomin' Brands, Inc. 144A cv. sr. unsec. notes 5.00%, 5/1/25 89,000 163,430
Chegg, Inc. 144A cv. sr. unsec. notes zero %, 9/1/26 111,000 124,122
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 9/1/27 107,000 132,365
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 195,000 355,992
Lyft, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/25 137,000 202,961
Uber Technologies, Inc. 144A cv. sr. unsec. notes zero %, 12/15/25 91,000 93,097
Wayfair, Inc. 144A cv. sr. unsec. notes 0.625%, 10/1/25 291,000 274,597
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 104,000 216,192
Zillow Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26 57,000 171,173
1,733,929
Energy (0.2%)
Pioneer Natural Resources Co. 144A cv. sr. unsec. notes 0.25%, 5/15/25 251,000 333,501
SolarEdge Technologies, Inc. 144A cv. sr. unsec. notes zero %, 9/15/25, (Israel) 72,000 98,969
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 96,000 48,078
480,548
Financials (0.3%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75% 3/15/23,(R) 108,000 107,514
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 82,000 88,858
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22(R) 96,000 128,185
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 109,000 116,903
LendingTree, Inc. 144A cv. sr. unsec. notes 0.50%, 7/15/25 97,000 94,345
Redfin Corp. 144A cv. sr. unsec. notes zero %, 10/15/25 135,000 161,345
697,150
Health care (1.1%)
1Life Healthcare, Inc. 144A cv. sr. unsec. notes 3.00%, 6/15/25 122,000 152,979
BioMarin Pharmaceutical, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 5/15/27 157,000 164,065
CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 93,000 130,002
DexCom, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 11/15/25 141,000 141,790
Envista Holdings Corp. 144A cv. sr. unsec. notes 2.375%, 6/1/25 54,000 93,839
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 315,000 435,911
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 118,000 155,553
Integra LifeSciences Holdings Corp. 144A cv. sr. unsec. notes 0.50%, 8/15/25 114,000 125,448
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 77,000 86,311
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 0.75%, 6/15/24 77,000 85,507
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 152,000 161,568
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 42,000 57,950
Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 50,000 89,615
Novocure, Ltd. 144A cv. sr. unsec. notes zero %, 11/1/25, (Jersey) 66,000 84,502
Omnicell, Inc. 144A cv. sr. unsec. notes 0.25%, 9/15/25 72,000 98,097
Pacira Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/25 135,000 151,809
Revance Therapeutics, Inc. 144A cv. sr. unsec. notes 1.75%, 2/15/27 73,000 81,870
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 64,000 75,372
Teladoc Health, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 6/1/27 58,000 69,467
2,441,655
Technology (3.0%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 315,000 350,997
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 111,000 137,379
Blackline, Inc. cv. sr. unsec. notes 0.125%, 8/1/24 85,000 159,602
Cloudflare, Inc. 144A cv. sr. unsec. notes 0.75%, 5/15/25 64,000 136,564
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 57,000 76,652
Cree, Inc. 144A cv. sr. unsec. unsub. notes 1.75%, 5/1/26 149,000 344,993
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 90,000 109,182
DocuSign, Inc. cv. sr. unsec. notes 0.50%, 9/15/23 41,000 127,773
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25 204,000 212,188
Five9, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/25 86,000 124,928
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 107,000 138,286
HubSpot, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 65,000 100,308
Inphi Corp. 144A cv. sr. unsec. notes 0.75%, 4/15/25 101,000 141,706
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 92,000 95,343
LivePerson, Inc. 144A cv. sr. unsec. notes zero %, 12/15/26 127,000 138,725
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 219,000 267,049
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 53,000 107,198
New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 94,000 92,095
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 84,000 191,132
Okta, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 151,000 193,548
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 166,000 278,130
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 584,000 769,029
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 72,000 84,516
Proofpoint, Inc. cv. sr. unsec. notes 0.25%, 8/15/24 140,000 156,750
Q2 Holdings, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/1/26 59,000 90,367
Rapid7, Inc. 144A cv. sr. unsec. notes 2.25%, 5/1/25 62,000 100,621
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/1/25 168,000 214,299
SailPoint Technologies Holding, Inc. cv. sr. unsec. notes 0.125%, 9/15/24 86,000 167,473
Silicon Laboratories, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 76,000 95,453
Snap, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/26 89,000 201,516
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 6/15/27 435,000 452,119
Synaptics, Inc. cv. sr. unsec. notes 0.50%, 6/15/22 64,000 88,248
Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23 28,000 133,502
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 202,000 205,639
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 116,000 148,609
Zendesk, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 199,000 292,710
Zynga, Inc. 144A cv. sr. unsec. unsub. notes zero %, 12/15/26 234,000 245,644
6,970,273
Transportation (0.5%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 78,000 92,579
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25 232,000 290,828
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 495,000 718,988
1,102,395
Utilities and power (0.1%)
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 129,000 146,583
146,583
Total convertible bonds and notes (cost $15,374,837) $18,876,767









PURCHASED SWAP OPTIONS OUTSTANDING (3.5%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
(1.315)/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.315 $4,073,300 $126,354
(1.185)/3 month USD-LIBOR-BBA/Dec-25 Dec-23/1.185 18,054,200 49,469
(1.1213)/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.1213 9,027,100 1,444
Barclays Bank PLC
(0.418)/3 month USD-LIBOR-BBA/Jan-26 (United Kingdom) Jan-21/0.418 89,742,200 144,485
Citibank, N.A.
1.629/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.629 7,362,900 438,534
1.996/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.996 7,362,900 198,136
(1.3175)/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.3175 4,073,300 124,521
(1.232)/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.232 1,810,400 88,619
1.232/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.232 1,810,400 10,102
(1.996)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.996 7,362,900 295
(1.629)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.629 7,362,900 7
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 420,919
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 71,810
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 5,508,200 27,376
(0.43)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/0.43 11,604,600 12,417
0.43/3 month USD-LIBOR-BBA/Jan-26 Jan-21/0.43 11,604,600 11,721
JPMorgan Chase Bank N.A.
(0.792)/3 month USD-LIBOR-BBA/Jan-31 Jan-21/0.792 40,484,000 543,295
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 383,861
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 375,653
1.101/3 month USD-LIBOR-BBA/Mar-31 Mar-21/1.101 7,275,100 144,993
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 76,214
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 73,806
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 1,065,494
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 1,062,954
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 1,042,245
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 890,873
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 205,055
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 147,460
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 2,360,700 755
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 5,944,600 6
Toronto-Dominion Bank
(1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) Mar-25/1.04 588,000 115,466
UBS AG
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 197,149
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 62,486
Total purchased swap options outstanding (cost $5,563,053) $8,113,974









PURCHASED OPTIONS OUTSTANDING (0.8%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Credit Suisse International
EUR/NOK (Put) Mar-21/NOK 10.45 $4,805,688 EUR 3,933,768 $69,418
Goldman Sachs International
AUD/USD (Call) May-21/$0.79 9,706,723 AUD 12,590,600 127,537
USD/MXN (Put) Apr-21/MXN 20.50 5,580,000 $5,580,000 241,899
HSBC Bank USA, National Association
AUD/USD (Call) Mar-21/$0.76 7,855,364 AUD 10,189,200 206,007
EUR/USD (Call) Mar-21/1.24 6,407,554 EUR 5,245,000 55,560
USD/KRW (Put) Jun-21/KRW 1050.00 4,608,033 $4,608,033 33,786
USD/SGD (Put) Mar-21/SGD 1.32 3,571,300 3,571,300 33,235
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Call) Feb-21/$103.31 49,000,000 49,000,000 389,648
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Call) Feb-21/103.34 28,000,000 28,000,000 215,348
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Jan-21/104.50 10,000,000 10,000,000 94,760
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Jan-21/104.53 29,000,000 29,000,000 78,590
USD/MXN (Put) Apr-21/MXN 20.50 3,072,033 3,072,033 132,137
USD/SGD (Put) Apr-21/SGD 1.32 3,571,300 3,571,300 37,263
Morgan Stanley & Co. International PLC
EUR/SEK (Put) Mar-21/SEK 9.90 3,575,281 EUR 2,926,600 21,026
USD/MXN (Put) Jun-21/MXN 19.25 3,072,033 $3,072,033 45,359
UBS AG
Apr-21/NOK 10.45 4,805,685 EUR 3,933,766 80,782
Total purchased options outstanding (cost $990,590) $1,862,355









SENIOR LOANS (3.2%)(a)(c)
        Principal amount Value
Basic materials (0.4%)
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 1/31/24 $127,415 $126,777
CP Atlas Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 5.25%, 11/23/27 $78,750 78,775
CP Atlas Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 5.25%, 11/23/27 26,250 26,258
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.214%, 9/6/24 30,428 29,924
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.754%, 3/1/26 106,184 105,238
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 3.904%, 4/12/25 54,306 54,061
PQ Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.25%), 2.464%, 2/7/27 25,408 25,217
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 8.733%, 6/26/26 85,000 83,229
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.233%, 6/26/25 142,495 142,183
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.153%, 10/1/25 115,146 113,650
785,312
Capital goods (0.8%)
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 27,477 27,021
Berry Global, Inc. bank term loan FRN Ser. Y, (BBA LIBOR USD 3 Month + 2.00%), 2.149%, 7/1/26 197,000 195,867
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.48%, 4/3/24 352,225 339,985
Filtration Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 3/29/25 69,825 69,825
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 3/31/24 64,970 64,726
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25 (Canada) 197,281 197,364
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.75%), 2.897%, 2/5/23 52,847 52,530
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.214%, 4/12/26 88,750 85,837
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.267%, 3/28/25 220,752 214,957
Vertical US Newco, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.25%), 4.428%, 7/31/27 210,000 210,689
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.153%, 3/2/27 407,950 405,036
1,863,837
Communication services (0.2%)
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month + 3.00%), 3.147%, 11/3/24 150,402 149,132
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 4.75%), 8.00%, 11/27/23 275,000 277,521
Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 3.147%, 3/9/27 57,901 57,441
484,094
Consumer cyclicals (0.9%)
AppleCaramel Buyer, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 10/19/27 90,000 89,906
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.714%, 8/21/26 83,938 80,580
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.75%, 5/5/24 100,227 100,164
Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.40%, 8/24/26 98,750 87,394
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 4.99%, 10/30/26 82,448 82,474
Golden Nugget, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 2.50%), 3.25%, 10/4/23 85,044 81,962
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD 3 Month + 2.50%), 2.655%, 11/2/25 81,122 80,446
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.75%, 5/1/26 77,600 77,147
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.147%, 5/1/26 49,500 48,634
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.66%, 11/6/24 346,368 345,610
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.905%, 9/19/26 125,098 124,125
PetSmart, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 3/11/22 90,000 89,798
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.397%, 10/1/25 320,460 319,809
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 100,000 78,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 2/28/25 158,668 147,958
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 2.897%, 8/14/24 64,013 62,428
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.397%, 12/17/26 99,000 98,862
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.397%, 12/17/26 24,875 24,840
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 107,073 106,537
2,126,674
Consumer staples (0.4%)
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 7/12/24 269,407 267,858
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24 390,549 380,406
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 11/19/27 40,000 39,940
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25 98,232 97,275
785,479
Financials (—%)
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 4/25/25 44,550 44,610
44,610
Health care (0.3%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 1.905%, 2/4/27 63,317 62,697
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 3.897%, 10/10/25 105,000 87,500
Global Medical Response, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 10/2/25 235,000 233,238
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.398%, 6/30/25 213,737 210,416
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 9.25%, 4/29/25 36,908 36,262
Sotera Health Holdings, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 5.50%, 12/13/26 79,007 79,224
709,337
Technology (0.2%)
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 7/30/27 94,763 95,236
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.75%, 10/8/27 90,000 90,084
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.646%, 7/2/25 166,373 162,448
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 11/3/23 62,607 62,477
410,245
Transportation (—%)
Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.00%), 2.254%, 11/5/26 64,513 64,303
64,303
Total senior loans (cost $7,297,021) $7,273,891









ASSET-BACKED SECURITIES (0.8%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.107%, 7/25/24 $594,000 $595,485
CarMax Auto Owner Trust Ser. 20-2, Class D, 6.87%, 5/17/27 800,000 847,528
Mello Warehouse Securitization Trust 144A FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 0.948%, 6/25/52 164,000 163,898
RMF Buyout Issuance Trust 144A Ser. 20-2, Class M3, 4.571%, 6/25/30(WAC) 209,000 209,000
Total asset-backed securities (cost $1,766,984) $1,815,911









COMMON STOCKS (0.1%)(a)
        Shares Value
Advanz Pharma Corp., Ltd. (Canada)(NON) 985 $4,344
CHC Group, LLC (Cayman Islands)(NON) 5,182 93
Clear Channel Outdoor Holdings, Inc.(NON) 15,306 25,255
iHeartMedia, Inc. Class A(NON) 6,510 84,500
MWO Holdings, LLC (Units)(F) 73 186
Oasis Petroleum, Inc.(NON) 378 14,009
Tervita Corp. (Canada)(NON) 191 435
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 9,820
Tribune Media Co. Class 1C 40,066 4,007
Total common stocks (cost $658,265) $142,649









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 (12.3%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 0.17%(AFF) Shares 11,842,114 $11,842,114
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 30,000 30,000
U.S. Treasury Bills 0.077%, 3/25/21(SEGSF)(SEGCCS) $1,200,000 1,199,800
U.S. Treasury Bills 0.074%, 3/18/21(SEGSF) 400,000 399,943
U.S. Treasury Bills 0.099%, 4/15/21(SEGSF) 200,000 199,954
U.S. Treasury Bills 0.090%, 1/5/21(SEGSF) 2,200,000 2,200,000
U.S. Treasury Bills 0.097%, 1/12/21(SEGSF)(SEGCCS) 1,600,000 1,599,986
U.S. Treasury Bills 0.084%, 1/19/21(SEG)(SEGSF)(SEGCCS) 2,400,000 2,399,960
U.S. Treasury Bills 0.087%, 1/26/21(SEG)(SEGSF)(SEGCCS) 200,000 199,994
U.S. Treasury Bills 0.089%, 2/2/21(SEG)(SEGSF)(SEGCCS) 1,800,000 1,799,888
U.S. Treasury Bills 0.088%, 2/9/21(SEG)(SEGSF)(SEGCCS) 5,300,000 5,299,762
U.S. Treasury Bills 0.091%, 2/16/21(SEGSF)(SEGCCS) 1,200,000 1,199,900
Total short-term investments (cost $28,370,827) $28,371,301
TOTAL INVESTMENTS
Total investments (cost $405,071,586) $402,387,927









FORWARD CURRENCY CONTRACTS at 12/31/20 (aggregate face value $175,919,379) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Sell 1/20/21 $197,554 $164,188 $(33,366)
Canadian Dollar Sell 1/20/21 1,135,212 1,072,848 (62,364)
Chinese Yuan (Offshore) Sell 2/18/21 484,376 473,528 (10,848)
Euro Buy 3/17/21 2,252,469 2,242,017 10,452
Hong Kong Dollar Sell 2/17/21 1,059,823 1,059,522 (301)
Japanese Yen Buy 2/17/21 1,886,796 1,882,555 4,241
Mexican Peso Sell 1/20/21 15,662 4,033 (11,629)
New Zealand Dollar Sell 1/20/21 425,770 382,842 (42,928)
Norwegian Krone Buy 3/17/21 73,516 72,431 1,085
Swedish Krona Buy 3/17/21 136,866 134,526 2,340
Barclays Bank PLC
British Pound Sell 3/17/21 267,740 265,450 (2,290)
Canadian Dollar Sell 1/20/21 951,130 928,084 (23,046)
Euro Sell 3/17/21 4,247,486 4,227,519 (19,967)
Japanese Yen Buy 2/17/21 1,428,621 1,410,769 17,852
New Zealand Dollar Sell 1/20/21 155,930 201,991 46,061
Swedish Krona Sell 3/17/21 1,672,724 1,642,653 (30,071)
Swiss Franc Sell 3/17/21 1,698 1,695 (3)
Citibank, N.A.
Australian Dollar Sell 1/20/21 655,892 614,093 (41,799)
British Pound Sell 3/17/21 2,273,122 2,243,802 (29,320)
Canadian Dollar Buy 1/20/21 202,074 190,157 11,917
Chilean Peso Sell 1/20/21 3,383 60,706 57,323
Euro Sell 3/17/21 2,212,946 2,200,142 (12,804)
Hong Kong Dollar Sell 2/17/21 251,984 251,927 (57)
Japanese Yen Buy 2/17/21 1,393,900 1,377,024 16,876
New Zealand Dollar Sell 1/20/21 1,508,074 1,415,587 (92,487)
Swedish Krona Sell 3/17/21 573,140 562,765 (10,375)
Swiss Franc Buy 3/17/21 962,722 960,810 1,912
Credit Suisse International
Australian Dollar Buy 1/20/21 936,568 856,488 80,080
British Pound Sell 3/17/21 123,541 121,690 (1,851)
Canadian Dollar Sell 1/20/21 932,194 893,047 (39,147)
Euro Sell 3/17/21 1,230,611 1,224,757 (5,854)
New Zealand Dollar Buy 1/20/21 244,510 225,802 18,708
Swiss Franc Sell 3/17/21 972,457 968,122 (4,335)
Goldman Sachs International
Australian Dollar Buy 1/20/21 3,739,648 3,571,476 168,172
British Pound Buy 3/17/21 915,269 897,514 17,755
Canadian Dollar Buy 1/20/21 3,461,967 3,337,709 124,258
Chinese Yuan (Offshore) Buy 2/18/21 2,685,978 2,652,062 33,916
Euro Sell 3/17/21 491,535 489,170 (2,365)
Japanese Yen Buy 2/17/21 1,364,686 1,351,176 13,510
New Taiwan Dollar Buy 2/17/21 1,018 15,937 (14,919)
New Zealand Dollar Sell 1/20/21 4,540,772 4,389,349 (151,423)
Norwegian Krone Buy 3/17/21 1,492,169 1,470,433 21,736
Swedish Krona Buy 3/17/21 3,479,406 3,416,898 62,508
Swiss Franc Buy 3/17/21 271,554 273,864 (2,310)
HSBC Bank USA, National Association
Australian Dollar Buy 1/20/21 1,033,649 955,742 77,907
British Pound Buy 3/17/21 204,807 194,976 9,831
Canadian Dollar Buy 1/20/21 382,621 366,880 15,741
Chinese Yuan (Offshore) Sell 2/18/21 2,014,890 1,977,961 (36,929)
Euro Buy 3/17/21 2,031,113 2,021,920 9,193
Hong Kong Dollar Sell 2/17/21 1,944,759 1,944,256 (503)
Indian Rupee Buy 2/17/21 927,799 914,149 13,650
Indian Rupee Sell 2/17/21 929,635 905,783 (23,852)
Japanese Yen Buy 2/17/21 1,596,648 1,574,281 22,367
New Zealand Dollar Sell 1/20/21 677,259 649,545 (27,714)
Norwegian Krone Buy 3/17/21 467,074 460,872 6,202
South Korean Won Buy 2/17/21 987,827 925,436 62,391
South Korean Won Sell 2/17/21 956,259 936,727 (19,532)
Swedish Krona Buy 3/17/21 260,315 255,628 4,687
Swiss Franc Sell 3/17/21 1,686,716 1,675,301 (11,415)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/20/21 1,322,348 1,275,637 46,711
British Pound Sell 3/17/21 116,563 114,803 (1,760)
Canadian Dollar Sell 1/20/21 1,288,260 1,217,709 (70,551)
Chinese Yuan (Offshore) Buy 2/18/21 5,811 8,412 (2,601)
Euro Buy 3/17/21 3,287,666 3,278,243 9,423
Indian Rupee Buy 2/17/21 927,797 913,780 14,017
Indian Rupee Sell 2/17/21 929,635 906,505 (23,130)
Japanese Yen Buy 2/17/21 505,662 504,917 745
New Taiwan Dollar Buy 2/17/21 946,538 949,682 (3,144)
New Taiwan Dollar Sell 2/17/21 946,837 943,579 (3,258)
New Zealand Dollar Sell 1/20/21 1,313,502 1,280,707 (32,795)
Norwegian Krone Sell 3/17/21 880,652 874,587 (6,065)
South Korean Won Buy 2/17/21 984,536 918,841 65,695
South Korean Won Sell 2/17/21 956,259 937,319 (18,940)
Swedish Krona Buy 3/17/21 635,953 628,452 7,501
Swiss Franc Buy 3/17/21 1,894,995 1,891,369 3,626
Morgan Stanley & Co. International PLC
Australian Dollar Buy 1/20/21 3,772,343 3,597,730 174,613
British Pound Buy 3/17/21 1,921,654 1,892,526 29,128
Canadian Dollar Buy 1/20/21 1,079,114 1,019,145 59,969
Euro Sell 3/17/21 663,578 662,401 (1,177)
Japanese Yen Buy 2/17/21 4,324,636 4,282,232 42,404
New Zealand Dollar Buy 1/20/21 1,525,056 1,422,015 103,041
Norwegian Krone Sell 3/17/21 131,722 130,168 (1,554)
Swedish Krona Buy 3/17/21 592,505 570,746 21,759
Swiss Franc Sell 3/17/21 1,436,556 1,435,620 (936)
NatWest Markets PLC
Australian Dollar Buy 1/20/21 3,484,725 3,346,811 137,914
British Pound Buy 3/17/21 1,900,995 1,863,396 37,599
Canadian Dollar Buy 1/20/21 721,715 698,177 23,538
Euro Sell 3/17/21 896,436 891,830 (4,606)
Japanese Yen Buy 2/17/21 734,819 726,629 8,190
New Zealand Dollar Sell 1/20/21 3,326,427 3,210,604 (115,823)
Norwegian Krone Buy 3/17/21 387,285 378,093 9,192
Swedish Krona Sell 3/17/21 248,309 232,354 (15,955)
Swiss Franc Sell 3/17/21 541,071 539,930 (1,141)
State Street Bank and Trust Co.
Australian Dollar Buy 1/20/21 326,016 400,237 (74,221)
British Pound Sell 3/17/21 3,650,403 3,603,337 (47,066)
Canadian Dollar Sell 1/20/21 2,724,618 2,668,230 (56,388)
Euro Sell 3/17/21 16,112,718 16,038,025 (74,693)
Hong Kong Dollar Sell 2/17/21 4,149,269 4,148,179 (1,090)
Japanese Yen Sell 2/17/21 693,242 707,581 14,339
New Zealand Dollar Sell 1/20/21 1,483,249 1,382,485 (100,764)
Norwegian Krone Sell 3/17/21 594,377 584,666 (9,711)
Swedish Krona Buy 3/17/21 168,917 166,122 2,795
Swiss Franc Buy 3/17/21 1,461,799 1,460,102 1,697
Toronto-Dominion Bank
Australian Dollar Buy 1/20/21 750,428 698,923 51,505
British Pound Buy 3/17/21 118,616 116,844 1,772
Canadian Dollar Sell 1/20/21 1,665,459 1,590,245 (75,214)
Euro Sell 3/17/21 3,290,113 3,271,629 (18,484)
Hong Kong Dollar Sell 2/17/21 234,954 234,901 (53)
Japanese Yen Buy 2/17/21 1,655,293 1,637,674 17,619
New Zealand Dollar Buy 1/20/21 7,771 7,176 595
Norwegian Krone Buy 3/17/21 775,467 761,798 13,669
Swedish Krona Buy 3/17/21 15,278 15,003 275
Swiss Franc Buy 3/17/21 1,688,980 1,685,741 3,239
UBS AG
Australian Dollar Sell 1/20/21 2,589,101 2,373,952 (215,149)
Australian Dollar Buy 3/15/21 1,278,518 1,187,595 90,923
Australian Dollar Sell 3/15/21 1,278,518 1,196,040 (82,478)
British Pound Sell 3/17/21 947,556 933,528 (14,028)
Canadian Dollar Buy 1/20/21 1,834,220 1,776,800 57,420
Euro Buy 3/17/21 2,096,578 2,085,574 11,004
Hong Kong Dollar Sell 2/17/21 960,162 959,970 (192)
Japanese Yen Buy 2/17/21 3,695,106 3,651,638 43,468
New Zealand Dollar Sell 1/20/21 2,141,224 2,172,541 31,317
Norwegian Krone Sell 3/17/21 1,323,834 1,301,898 (21,936)
Swedish Krona Buy 3/17/21 1,568,299 1,540,483 27,816
Swiss Franc Sell 3/17/21 230,012 228,474 (1,538)
WestPac Banking Corp.
Australian Dollar Buy 1/20/21 303,117 314,490 (11,373)
British Pound Buy 3/17/21 277,590 273,444 4,146
Canadian Dollar Buy 1/20/21 265,477 259,256 6,221
Chinese Yuan (Offshore) Buy 2/18/21 5,827 8,435 (2,608)
Euro Sell 3/17/21 1,386,135 1,381,626 (4,509)
Japanese Yen Sell 2/17/21 307,834 303,989 (3,845)
New Zealand Dollar Sell 1/20/21 1,331,851 1,287,184 (44,667)
Unrealized appreciation 2,107,556
Unrealized (depreciation) (1,929,247)
Total $178,309
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 12/31/20 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bund 10 yr (Long) 1 $217,014 $217,014 Mar-21 $(796)
U.S. Treasury Bond Ultra 30 yr (Long) 9 1,922,063 1,922,063 Mar-21 18,542
U.S. Treasury Note 2 yr (Short) 819 180,979,804 180,979,804 Mar-21 (174,601)
U.S. Treasury Note Ultra 10 yr (Short) 35 5,472,578 5,472,578 Mar-21 25,874
Unrealized appreciation 44,416
Unrealized (depreciation) (175,397)
Total $(130,981)









WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/20 (premiums $8,804,568) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
1.5843/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.5843 $3,430,300 $1,955
(0.00)/3 month USD-LIBOR-BBA/Jun-24 Jun-22/0.00 18,054,200 11,735
1.525/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.525 8,146,600 51,894
2.074/3 month USD-LIBOR-BBA/Dec-53 Dec-23/2.074 1,444,300 75,320
Barclays Bank PLC
(0.418)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/0.418 89,742,200 82,563
Citibank, N.A.
1.805/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.805 7,362,900 7
(1.242)/3 month USD-LIBOR-BBA/Apr-51 Apr-21/1.242 1,267,300 29,059
1.5275/3 month USD-LIBOR-BBA/Jan-51 Jan-21/1.5275 8,146,600 50,672
1.242/3 month USD-LIBOR-BBA/Apr-51 Apr-21/1.242 1,267,300 84,453
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 214,879
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 254,169
(1.805)/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.805 7,362,900 633,504
Goldman Sachs International
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 22,032,800 4,627
1.722/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 78,619
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 2,049,600 336,648
JPMorgan Chase Bank N.A.
1.333/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 $4,270,500 982
(0.792)/3 month USD-LIBOR-BBA/Jan-31 Jan-21/0.792 40,484,000 25,100
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 37,624
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 $1,653,100 42,931
(1.333)/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 4,270,500 43,217
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 11,760,300 47,159
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 47,344
(0.7785)/3 month USD-LIBOR-BBA/Mar-31 Mar-21/0.7785 14,550,100 55,436
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 110,495
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 128,214
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 935,096
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 2,131,437
Morgan Stanley & Co. International PLC
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 9,442,600 9
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 21,823
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 22,487
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 69,067
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 195,027
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 227,533
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 232,300
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 816,652
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,150,300 1,018,904
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 1,044,009
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 241,000 18,552
1.05/3 month USD-LIBOR-BBA/Mar-27 Mar-25/1.05 7,756,000 66,546
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 482,100 84,416
UBS AG
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 177,370
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 315,510
Total $9,825,344









WRITTEN OPTIONS OUTSTANDING at 12/31/20 (premiums $532,215) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Goldman Sachs International
AUD/USD (Call) May-21/$0.83 $9,706,723 AUD 12,590,600 $36,983
USD/MXN (Put) Apr-21/MXN 19.00 11,160,100 $11,160,100 93,176
HSBC Bank USA, National Association
AUD/USD (Call) Mar-21/$0.80 7,855,364 AUD 10,189,200 38,271
EUR/USD (Call) Mar-21/1.27 6,407,554 EUR 5,245,000 20,139
USD/KRW (Put) Jun-21/KRW 1000.00 4,608,033 $4,608,033 5,820
USD/SGD (Put) Mar-21/SGD 1.30 3,571,300 3,571,300 13,207
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Put) Feb-21/$103.31 49,000,000 49,000,000 169,589
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Put) Feb-21/103.34 28,000,000 28,000,000 98,364
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Jan-21/104.50 10,000,000 10,000,000 1,010
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Jan-21/104.53 29,000,000 29,000,000 1,566
USD/MXN (Put) Apr-21/MXN 19.75 3,072,033 3,072,033 65,001
USD/SGD (Put) Apr-21/SGD 1.30 3,571,300 3,571,300 16,371
Morgan Stanley & Co. International PLC
EUR/SEK (Put) Mar-21/SEK 9.65 3,575,281 EUR 2,926,600 4,823
USD/MXN (Put) Jun-21/MXN 18.25 3,072,033 $3,072,033 13,750
Total $578,070









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/20 (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) $734,244
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) 721,818
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 343,139
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 $4,191,700 (300,126) 156,937
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) 86,733
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) 51,547
(0.765)/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/0.765 2,347,000 (55,624) 27,319
(0.003)/6 month JPY-LIBOR-BBA/Feb-31 (Purchased) Feb-21/0.003 JPY 119,698,500 (9,424) (3,605)
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 $1,596,200 (36,113) (6,465)
0.003/6 month JPY-LIBOR-BBA/Feb-31 (Purchased) Feb-21/0.003 JPY 119,698,500 (9,424) (9,459)
0.765/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/0.765 $2,347,000 (55,624) (32,717)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) (80,265)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) (93,411)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) (112,143)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 $4,191,700 (300,126) (143,817)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) (150,867)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $25,327,500 (233,646) (232,506)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,596,200 (750,495) (379,848)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) 110,290
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) (61,448)
Citibank, N.A.
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 123,297
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) 5,113
1.007/3 month USD-LIBOR-BBA/Jun-31 (Purchased) Jun-21/1.007 1,805,400 (29,202) 1,589
(1.007)/3 month USD-LIBOR-BBA/Jun-31 (Purchased) Jun-21/1.007 1,805,400 (29,202) (2,239)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 866,600 (27,536) (4,203)
(0.462)/3 month USD-LIBOR-BBA/Jun-26 (Purchased) Jun-21/0.462 6,471,000 (62,688) (19,995)
0.462/3 month USD-LIBOR-BBA/Jun-26 (Purchased) Jun-21/0.462 6,471,000 (62,688) (35,526)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (93,643)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 156,195
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 818,000 62,004 24,663
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 818,000 62,004 (15,935)
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 17,729,300 162,223 (152,827)
Goldman Sachs International
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 75,809
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (126,794) 65,416
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (66,320)
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,382,700 (206,714) (68,126)
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 45,341
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 (20,142)
JPMorgan Chase Bank N.A.
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) 803,021
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 421,912
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 $934,000 (144,396) 133,160
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 1,589,500 (183,587) 110,423
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) 71,915
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) 29,698
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) 18,662
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (4,952)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (7,006)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) (28,273)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (41,263)
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $1,589,500 (183,587) (71,114)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) (79,857)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (97,630)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (146,872)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $3,698,000 (516,333) (498,823)
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 69,654
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 69,654
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 63,134
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 2,238,000 166,843 (42,746)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 2,822,300 181,333 (44,479)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 2,588,400 166,564 (50,137)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 394,122
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) 111,258
(2.764)/3 month USD-LIBOR-BBA/Feb-31 (Purchased) Feb-21/2.764 5,944,600 (9,745) (9,749)
2.764/3 month USD-LIBOR-BBA/Feb-31 (Purchased) Feb-21/2.764 5,944,600 (1,160,277) (99,156)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) (110,100)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (124,200)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 312,309
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 8,236,000 433,625 (434,861)
UBS AG
1.6125/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 3,902,100 (107,035) 97,982
1.175/3 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) 53,907
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 $1,114,500 (62,356) 29,601
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 3,715,100 (58,884) 24,148
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) 17,554
0.762/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) (14,690)
(0.762)/3 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 848,500 (78,254) (15,177)
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $2,786,300 (59,070) (16,244)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 2,786,300 (59,070) (17,108)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 3,715,100 (58,884) (26,749)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 9,287,700 (62,646) (26,841)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 1,114,500 (62,356) (35,006)
(1.175)/3 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 1,981,900 (180,164) (57,051)
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 $3,902,100 (285,341) (137,668)
1.30/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 246,318 241,543
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 2,229,000 59,236 23,717
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 20,548
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 2,883
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 $2,229,000 59,236 (15,804)
(1.30)/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 8,291,900 66,286 (249,586)
Unrealized appreciation 5,850,255
Unrealized (depreciation) (4,288,649)
Total $1,561,606









TBA SALE COMMITMENTS OUTSTANDING at 12/31/20 (proceeds receivable $62,030,898) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 1/1/51 $1,000,000 1/21/21 $1,059,843
Uniform Mortgage-Backed Securities, 3.00%, 1/1/51 7,000,000 1/14/21 7,334,688
Uniform Mortgage-Backed Securities, 2.50%, 1/1/51 6,000,000 1/14/21 6,325,313
Uniform Mortgage-Backed Securities, 2.00%, 1/1/51 36,000,000 1/14/21 37,406,250
Uniform Mortgage-Backed Securities, 1.50%, 1/1/51 10,000,000 1/14/21 10,104,688
Total $62,230,782











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/20 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$1,011,100 $46,563 (E) $(6) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually $46,558
2,617,100 118,199 (E) (15) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (118,373)
5,478,300 369,703 (1,109) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 378,747
1,893,900 87,123 (E) (324) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 86,800
3,412,200 139,088 (E) (19) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 139,069
5,008,800 205,160 (E) (28) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 205,133
1,338,000 416,899 (E) (46) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (416,945)
902,800 62,935 (E) (20) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 62,915
3,186,100 392,314 (45) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (396,499)
2,087,500 107,343 (E) (23) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 107,320
174,600 36,778 (E) (6) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (36,784)
831,700 162,598 (E) (28) 7/5/52 2.25% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (162,627)
6,347,600 185,699 (E) (35) 2/7/24 1.733% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (185,734)
911,300 98,388 (E) (13) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (98,401)
1,368,300 150,873 (E) (47) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (150,920)
5,436,500 228,567 (51) 9/18/24 1.43125% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (250,381)
5,436,500 227,311 (51) 9/18/24 1.425% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (249,028)
1,417,500 49,729 (E) (48) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (49,777)
37,998,200 337,728 (106,487) 10/15/21 3 month USD-LIBOR-BBA — Quarterly 1.316% — Semiannually 317,306
39,518,100 418,773 (105,427) 10/21/21 3 month USD-LIBOR-BBA — Quarterly 1.5025% — Semiannually 412,311
174,200 19,473 (E) (6) 1/16/55 2.032% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (19,479)
83,000 8,143 (E) (3) 1/24/55 3 month USD-LIBOR-BBA — Quarterly 1.977% — Semiannually 8,140
29,451,700 159,069 16,127 11/3/21 0.83% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (171,911)
29,451,700 282,560 (54,704) 11/3/21 3 month USD-LIBOR-BBA — Quarterly 1.331% — Semiannually 280,550
582,800 29,148 (E) (20) 3/4/52 1.265% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 29,128
970,000 14,684 (E) (14) 3/4/31 3 month USD-LIBOR-BBA — Quarterly 1.101% — Semiannually 14,670
35,681,600 120,069 (135) 9/8/21 0.68% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (191,002)
77,168,200 232,508 (291) 10/15/21 0.571% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (286,215)
3,705,700 254,293 (E) (126) 1/27/47 3 month USD-LIBOR-BBA — Quarterly 1.27% — Semiannually (254,419)
313,000 21,662 (E) (11) 3/7/50 1.275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 21,651
697,700 104,670 (E) (24) 3/10/52 0.8725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 104,647
762,900 144,629 (E) (26) 3/11/52 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 144,603
1,138,200 8,600 (E) (16) 3/17/32 3 month USD-LIBOR-BBA — Quarterly 1.03% — Semiannually (8,616)
475,000 11,327 (E) (6) 3/24/32 3 month USD-LIBOR-BBA — Quarterly 1.07% — Semiannually (11,333)
268,600 14,100 (E) (4) 3/24/35 3 month USD-LIBOR-BBA — Quarterly 0.968% — Semiannually (14,104)
1,504,600 48,441 (E) (21) 4/25/32 0.7925% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 48,419
298,100 12,294 (E) (6) 6/21/37 3 month USD-LIBOR-BBA — Quarterly 1.232% — Semiannually (12,300)
238,500 11,497 (E) (5) 6/20/40 3 month USD-LIBOR-BBA — Quarterly 1.204% — Semiannually (11,502)
245,900 11,585 (E) (5) 6/28/37 3 month USD-LIBOR-BBA — Quarterly 1.168% — Semiannually (11,589)
66,900 3,382 (E) (1) 7/3/40 3 month USD-LIBOR-BBA — Quarterly 1.177% — Semiannually (3,383)
12,039,900 41,815 (97) 7/14/25 3 month USD-LIBOR-BBA — Quarterly 0.30% — Semiannually (31,204)
5,556,900 125,964 (74) 7/15/30 3 month USD-LIBOR-BBA — Quarterly 0.645% — Semiannually (112,362)
5,481,300 20,369 (52) 8/31/25 0.3084% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 15,634
8,543,200 16,890 (E) (48) 7/5/24 0.2429% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 16,842
8,566,800 42,251 (69) 8/12/25 3 month USD-LIBOR-BBA — Quarterly 0.277% — Semiannually (35,700)
2,570,000 193,513 (E) 202,186 9/2/52 3 month USD-LIBOR-BBA — Quarterly 1.188% — Semiannually 8,673
10,951,700 30,511 (103) 10/13/25 0.344% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 27,700
18,839,700 8,497 (71) 9/16/22 3 month USD-LIBOR-BBA — Quarterly 0.214% — Semiannually 18,349
11,576,800 4,202 (94) 10/13/25 0.41% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (8,814)
16,067,000 25,225 8,250 10/16/25 3 month USD-LIBOR-BBA — Quarterly 0.37% — Semiannually (12,499)
12,206,000 182,590 (8,312) 10/16/30 0.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 161,213
8,169,000 510,334 (22,012) 10/16/50 1.16% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 472,601
3,504,400 5,211 — 12/7/30 3 month USD-LIBOR-BBA — Quarterly 0.932% — Semiannually 6,840
2,873,600 12,759 — 12/7/30 0.871% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 11,540
11,576,800 33,121 (94) 11/16/25 0.471% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (36,762)
1,010,900 25,783 (34) 12/17/50 1.305% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 25,332
9,929,800 13,475 (E) (55) 7/5/24 3 month USD-LIBOR-BBA — Quarterly 0.41% — Semiannually 13,419
306,800 11,361 (213) 12/1/50 3 month USD-LIBOR-BBA — Quarterly 1.26% — Semiannually (11,312)
12,410,300 26,831 (78) 12/2/23 0.300% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (27,554)
13,474,000 142,582 (257) 12/2/33 3 month USD-LIBOR-BBA — Quarterly 1.02% — Semiannually (134,324)
140,957,000 157,590 (E) (133,288) 3/17/23 3 month USD-LIBOR-BBA — Quarterly 0.25% — Semiannually 24,302
74,007,000 33,821 (E) (118,791) 3/17/26 0.45% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (84,969)
12,666,000 63,064 (E) (95,677) 3/17/31 0.90% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (32,613)
15,146,000 639,298 (E) 730,767 3/17/51 3 month USD-LIBOR-BBA — Quarterly 1.25% — Semiannually 91,470
33,370,000 17,986 (E) 60,399 3/17/28 3 month USD-LIBOR-BBA — Quarterly 0.70% — Semiannually 78,386
11,836,700 4,427 (96) 12/16/25 3 month USD-LIBOR-BBA — Quarterly 0.428% — Semiannually 5,289
8,236,000 27,475 (E) (1,520) 3/17/31 0.700% — Annually Secured Overnight Financing Rate — Annually 25,956
1,657,300 1,709 (E) (23) 6/22/31 3 month USD-LIBOR-BBA — Quarterly 1.0025% — Semiannually 1,685
2,289,000 2,854 (19) 12/31/25 3 month USD-LIBOR-BBA — Quarterly 0.4515% — Semiannually 2,820
226,000 1,915 (8) 1/4/51 3 month USD-LIBOR-BBA — Quarterly 1.4375% — Semiannually 1,907
AUD 79,300 188 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 187
AUD 266,900 5,100 (E) (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 5,097
AUD 99,100 2,422 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 2,422
AUD 155,200 6,018 (E) (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 6,016
AUD 579,100 32,948 (E) (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 32,941
AUD 37,200 1,976 (E) (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 1,975
AUD 2,036,000 18,527 (E) 12,755 3/17/31 6 month AUD-BBR-BBSW — Semiannually 0.90% — Semiannually (5,771)
CAD 7,222,500 202,484 (51) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.638% — Semiannually 220,497
CAD 7,222,500 200,805 (51) 9/18/24 3 month CAD-BA-CDOR — Semiannually 1.63 % — Semiannually 218,690
CAD 14,000 37 (E) (55) 3/17/31 1.20% — Semiannually 3 month CAD-BA-CDOR — Semiannually (18)
CHF 838,000 6,709 (E) (2,448) 3/17/31 — 0.33% plus 6 month CHF-LIBOR-BBA — Semiannually 4,261
EUR 512,400 289,873 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (289,892)
EUR 696,900 350,800 (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 361,494
EUR 770,000 363,811 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (374,195)
EUR 778,400 352,003 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (362,021)
EUR 898,100 374,192 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (384,361)
EUR 802,800 411,008 (E) (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 410,977
EUR 929,000 364,344 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (375,875)
EUR 741,300 295,007 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (295,035)
EUR 676,400 228,668 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (236,071)
EUR 395,500 118,688 (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (122,596)
EUR 1,468,500 269,686 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (269,741)
EUR 906,000 69,332 (E) (34) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually 69,298
EUR 1,215,200 111,839 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (117,043)
EUR 4,960,100 1,115,355 (187) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually 1,154,065
EUR 5,613,000 181,439 (E) (70) 1/27/30 6 month EUR-EURIBOR-REUTERS — Semiannually 0.352% — Annually 181,370
EUR 574,000 28,311 (E) (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (28,332)
EUR 260,400 22,884 (E) (10) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 22,874
EUR 1,696,600 1,242 (E) (36) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually 1,206
EUR 833,300 4,636 (E) (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (4,654)
EUR 1,129,700 6,848 (E) (26) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (6,874)
EUR 388,100 2,366 (E) (9) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (2,375)
EUR 437,000 2,864 (E) 388 3/17/31 0.30% plus 6 month EUR-EURIBOR-REUTERS — Semiannually — (2,475)
GBP 1,803,000 10,780 (E) 2,757 3/17/31 Sterling Overnight Index Average — Annually 0.12% — Annually (8,023)
JPY 49,618,300 36,664 (E) (14) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (36,678)
JPY 63,267,700 20,274 (E) (19) 8/29/43 0.194% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually 20,255
NOK 10,560,000 12,729 (E) (642) 3/17/31 6 month NOK-NIBOR-NIBR — Semiannually 1.20% — Annually (13,370)
NZD 1,291,000 10,197 (E) 1,222 3/17/31 3 month NZD-BBR-FRA — Quarterly 0.90% — Semiannually (8,975)
SEK 27,938,000 35,923 (E) (10,437) 3/17/31 0.300% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 25,483
Total $369,994 $(426,777)
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/20 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$327,980 $328,595 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $1,225
55,265 55,368 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 206
36,816 36,885 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 137
4,207,085 4,207,085 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 9,336
515,928 515,362 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 585
166,925 167,035 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (542)
2,893,226 2,895,063 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (9,656)
11,475 11,289 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 30
20,332 19,780 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (256)
63,185 61,502 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 741
126,650 123,276 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,485
82,458 80,981 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 171
32,150 31,632 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (83)
24,547 24,152 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (64)
19,365 19,053 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (50)
30,428 30,153 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 120
58,904 57,136 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (1,026)
8,449 8,196 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (147)
3,931 3,813 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (68)
Citibank, N.A.
560,213 560,213 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,243
261,395 261,395 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 580
52,324 52,324 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 116
Credit Suisse International
224,085 224,085 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 497
56,291 55,385 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (146)
40,514 39,859 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (105)
24,780 24,380 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (64)
13,552 13,333 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (35)
140,662 135,727 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,725)
36,358 35,082 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (704)
17,150 16,693 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (201)
17,150 16,693 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 201
51,425 50,504 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 107
57,005 55,984 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 118
54,098 53,227 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (140)
Deutsche Bank AG
195,771 195,895 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (653)
Goldman Sachs International
8,761 8,766 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (29)
23,346 23,361 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (78)
50,533 50,565 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (169)
94,949 95,009 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (317)
113,914 113,987 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (380)
134,519 134,605 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (449)
184,269 184,386 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (615)
70,098 68,903 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 192
50,511 49,694 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 131
190,862 184,165 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,697)
117,754 114,555 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,481)
102,576 99,788 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,290)
50,472 49,101 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (635)
50,472 49,101 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (635)
36,081 34,815 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (699)
188,382 183,364 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,209
46,911 45,996 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (187)
81,939 80,472 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 170
42,001 41,621 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 166
40,617 40,250 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 161
20,308 20,125 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 80
19,319 19,145 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 76
2,266 2,246 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 9
19,435 18,852 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (339)
1,459 1,416 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (25)
JPMorgan Chase Bank N.A.
148,438 144,484 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,741)
130,034 126,570 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,525)
84,890 82,629 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (996)
14,855 14,460 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (174)
81,939 80,472 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 170
JPMorgan Securities LLC
121,469 119,513 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 315
16,860 16,588 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 44
103,004 99,883 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,624)
341,608 332,325 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,295
Morgan Stanley & Co. International PLC
1,035,244 1,032,736 (2,508) 7/17/24 3.825% (3 month USD-LIBOR-BBA minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly (8,125)
Upfront premium received — Unrealized appreciation 24,916
Upfront premium (paid) (2,508) Unrealized (depreciation) (41,875)
Total $(2,508) Total $(16,959)









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/20 (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 3,497,000 $360,083 $(125) 5/15/40 (.961%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $359,958
EUR 1,979,000 318,452 — 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 318,452
EUR 7,000,000 314,936 (129) 5/15/30 (.655%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 314,807
EUR 7,000,000 307,856 (129) 5/15/30 (.6625%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 307,727
EUR 1,979,000 122,978 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (122,978)
EUR 6,434,000 297,072 (75) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (297,148)
EUR 6,434,000 298,660 (75) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (298,735)
EUR 6,434,000 299,187 (76) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (299,263)
EUR 6,434,000 299,713 (76) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (299,789)
EUR 3,497,000 588,252 (165) 5/15/50 1.13% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (588,417)
EUR 7,000,000 775,352 (248) 5/15/40 0.935% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (775,600)
EUR 7,000,000 785,810 (248) 5/15/40 0.93% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (786,059)
GBP 4,004,000 441,361 (86) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 441,276
GBP 4,484,000 247,691 (106) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 247,585
GBP 3,123,000 208,316 (72) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity 208,244
GBP 4,253,000 190,171 (56) 11/15/24 3.385% — At maturity GBP Non-revised UK Retail Price Index — At maturity 190,115
GBP 2,402,000 141,487 (56) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 141,430
GBP 2,127,000 94,442 (28) 11/15/24 3.381% — At maturity GBP Non-revised UK Retail Price Index — At maturity 94,414
GBP 2,127,000 89,898 — 12/15/24 3.42% — At maturity GBP Non-revised UK Retail Price Index — At maturity 89,898
GBP 1,121,000 71,685 (26) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity 71,659
GBP 1,204,000 450,122 (63) 7/15/49 (3.4425%) — At maturity GBP Non-revised UK Retail Price Index — At maturity (450,185)
$3,060,000 37,194 (31) 11/29/24 (1.703%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 37,163
3,060,000 25,618 (31) 12/10/24 (1.7625%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 25,587
10,820,000 727,288 32,177 7/10/30 1.6625% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (695,111)
10,132,500 752,409 (171) 6/30/30 1.586% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (752,579)
Total $30,105 $(2,517,549)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/20 (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 $17,088 5/11/63 300 bp — Monthly $(12,676)
CMBX NA BBB-.6 Index BB/P 8,497 141,000 37,647 5/11/63 300 bp — Monthly (29,068)
CMBX NA BBB-.6 Index BB/P 17,409 282,000 75,294 5/11/63 300 bp — Monthly (57,720)
CMBX NA BBB-.6 Index BB/P 16,587 291,000 77,697 5/11/63 300 bp — Monthly (60,940)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A/P 980 7,000 527 5/11/63 200 bp — Monthly 456
CMBX NA A.6 Index A/P 5,963 47,000 3,539 5/11/63 200 bp — Monthly 2,442
CMBX NA A.6 Index A/P 15,519 130,000 9,789 5/11/63 200 bp — Monthly 5,780
CMBX NA A.6 Index A/P 22,536 149,000 11,220 5/11/63 200 bp — Monthly 11,374
CMBX NA A.6 Index A/P 27,638 165,000 12,425 5/11/63 200 bp — Monthly 15,277
CMBX NA A.6 Index A/P 26,553 172,000 12,952 5/11/63 200 bp — Monthly 13,668
CMBX NA A.6 Index A/P 20,798 177,000 13,328 5/11/63 200 bp — Monthly 7,538
CMBX NA A.6 Index A/P 41,919 237,000 17,846 5/11/63 200 bp — Monthly 24,165
CMBX NA A.6 Index A/P 34,965 252,000 18,976 5/11/63 200 bp — Monthly 16,087
CMBX NA A.6 Index A/P 79,634 479,000 36,069 5/11/63 200 bp — Monthly 43,751
CMBX NA BB.11 Index BB-/P 77,970 138,000 32,375 11/18/54 500 bp — Monthly 45,729
CMBX NA BB.6 Index B/P 119,351 832,000 353,018 5/11/63 500 bp — Monthly (232,857)
CMBX NA BB.7 Index B+/P 64,660 1,267,000 492,863 1/17/47 500 bp — Monthly (426,972)
CMBX NA BBB-.12 Index BBB-/P 48,983 309,000 24,411 8/17/61 300 bp — Monthly 24,752
CMBX NA BBB-.13 Index BBB-/P 10,436 119,000 7,354 12/16/72 300 bp — Monthly 3,151
CMBX NA BBB-.13 Index BBB-/P 103,524 1,100,000 67,980 12/16/72 300 bp — Monthly 36,186
CMBX NA BBB-.6 Index BB/P 1,199 15,000 4,005 5/11/63 300 bp — Monthly (2,797)
CMBX NA BBB-.6 Index BB/P 17,107 260,000 69,420 5/11/63 300 bp — Monthly (52,161)
CMBX NA BBB-.6 Index BB/P 21,761 330,000 88,110 5/11/63 300 bp — Monthly (66,157)
CMBX NA BBB-.6 Index BB/P 23,964 352,000 93,984 5/11/63 300 bp — Monthly (69,815)
CMBX NA BBB-.6 Index BB/P 275,984 4,334,000 1,157,178 5/11/63 300 bp — Monthly (878,665)
Credit Suisse International
CMBX NA BB.7 Index B+/P 30,497 228,000 88,692 1/17/47 500 bp — Monthly (57,973)
CMBX NA BBB-.6 Index BB/P 52,816 478,000 127,626 5/11/63 300 bp — Monthly (74,532)
CMBX NA BBB-.6 Index BB/P 129,498 1,172,000 312,924 5/11/63 300 bp — Monthly (182,743)
CMBX NA BBB-.6 Index BB/P 1,151,228 12,252,000 3,271,284 5/11/63 300 bp — Monthly (2,112,909)
CMBX NA BBB-.7 Index BB+/P 51,226 780,000 155,064 1/17/47 300 bp — Monthly (103,383)
Goldman Sachs International
CMBX NA A.6 Index A/P 23,394 197,000 14,834 5/11/63 200 bp — Monthly 8,636
CMBX NA BB.6 Index B/P 70,315 164,000 69,585 5/11/63 500 bp — Monthly 798
CMBX NA BB.9 Index B+/P 4,448 11,000 3,718 9/17/58 500 bp — Monthly 741
CMBX NA BBB-.13 Index BBB-/P 736 7,000 433 12/16/72 300 bp — Monthly 307
CMBX NA BBB-.13 Index BBB-/P 1,906 32,000 1,978 12/16/72 300 bp — Monthly (53)
CMBX NA BBB-.13 Index BBB-/P 1,895 32,000 1,978 12/16/72 300 bp — Monthly (64)
CMBX NA BBB-.13 Index BBB-/P 3,946 54,000 3,337 12/16/72 300 bp — Monthly 641
CMBX NA BBB-.13 Index BBB-/P 14,558 86,000 5,315 12/16/72 300 bp — Monthly 9,293
CMBX NA BBB-.13 Index BBB-/P 14,721 86,000 5,315 12/16/72 300 bp — Monthly 9,457
CMBX NA BBB-.13 Index BBB-/P 14,089 89,000 5,500 12/16/72 300 bp — Monthly 8,640
CMBX NA BBB-.13 Index BBB-/P 5,678 96,000 5,933 12/16/72 300 bp — Monthly (199)
CMBX NA BBB-.13 Index BBB-/P 15,671 100,000 6,180 12/16/72 300 bp — Monthly 9,549
CMBX NA BBB-.6 Index BB/P 682 9,000 2,403 5/11/63 300 bp — Monthly (1,716)
CMBX NA BBB-.6 Index BB/P 806 11,000 2,937 5/11/63 300 bp — Monthly (2,125)
CMBX NA BBB-.6 Index BB/P 811 11,000 2,937 5/11/63 300 bp — Monthly (2,120)
CMBX NA BBB-.6 Index BB/P 1,042 13,000 3,471 5/11/63 300 bp — Monthly (2,421)
CMBX NA BBB-.6 Index BB/P 1,771 26,000 6,942 5/11/63 300 bp — Monthly (5,156)
CMBX NA BBB-.6 Index BB/P 2,354 28,000 7,476 5/11/63 300 bp — Monthly (5,106)
CMBX NA BBB-.6 Index BB/P 2,430 32,000 8,544 5/11/63 300 bp — Monthly (6,096)
CMBX NA BBB-.6 Index BB/P 3,086 39,000 10,413 5/11/63 300 bp — Monthly (7,304)
CMBX NA BBB-.6 Index BB/P 4,415 44,000 11,748 5/11/63 300 bp — Monthly (7,308)
CMBX NA BBB-.6 Index BB/P 6,450 46,000 12,282 5/11/63 300 bp — Monthly (5,806)
CMBX NA BBB-.6 Index BB/P 7,985 60,000 16,020 5/11/63 300 bp — Monthly (8,000)
CMBX NA BBB-.6 Index BB/P 8,034 60,000 16,020 5/11/63 300 bp — Monthly (7,951)
CMBX NA BBB-.6 Index BB/P 5,664 64,000 17,088 5/11/63 300 bp — Monthly (11,387)
CMBX NA BBB-.6 Index BB/P 6,945 66,000 17,622 5/11/63 300 bp — Monthly (10,638)
CMBX NA BBB-.6 Index BB/P 8,625 78,000 20,826 5/11/63 300 bp — Monthly (12,156)
CMBX NA BBB-.6 Index BB/P 6,758 78,000 20,826 5/11/63 300 bp — Monthly (14,022)
CMBX NA BBB-.6 Index BB/P 7,858 91,000 24,297 5/11/63 300 bp — Monthly (16,386)
CMBX NA BBB-.6 Index BB/P 5,285 102,000 27,234 5/11/63 300 bp — Monthly (21,889)
CMBX NA BBB-.6 Index BB/P 14,022 103,000 27,501 5/11/63 300 bp — Monthly (13,419)
CMBX NA BBB-.6 Index BB/P 12,297 110,000 29,370 5/11/63 300 bp — Monthly (17,008)
CMBX NA BBB-.6 Index BB/P 12,871 115,000 30,705 5/11/63 300 bp — Monthly (17,767)
CMBX NA BBB-.6 Index BB/P 10,295 122,000 32,574 5/11/63 300 bp — Monthly (22,208)
CMBX NA BBB-.6 Index BB/P 10,295 122,000 32,574 5/11/63 300 bp — Monthly (22,208)
CMBX NA BBB-.6 Index BB/P 6,818 135,000 36,045 5/11/63 300 bp — Monthly (29,148)
CMBX NA BBB-.6 Index BB/P 7,018 137,000 36,579 5/11/63 300 bp — Monthly (29,481)
CMBX NA BBB-.6 Index BB/P 22,777 137,000 36,579 5/11/63 300 bp — Monthly (13,723)
CMBX NA BBB-.6 Index BB/P 23,502 157,000 41,919 5/11/63 300 bp — Monthly (18,325)
CMBX NA BBB-.6 Index BB/P 23,233 158,000 42,186 5/11/63 300 bp — Monthly (18,861)
CMBX NA BBB-.6 Index BB/P 18,496 166,000 44,322 5/11/63 300 bp — Monthly (25,729)
CMBX NA BBB-.6 Index BB/P 18,286 169,000 45,123 5/11/63 300 bp — Monthly (26,738)
CMBX NA BBB-.6 Index BB/P 18,357 169,000 45,123 5/11/63 300 bp — Monthly (26,668)
CMBX NA BBB-.6 Index BB/P 20,534 175,000 46,725 5/11/63 300 bp — Monthly (26,088)
CMBX NA BBB-.6 Index BB/P 15,166 183,000 48,861 5/11/63 300 bp — Monthly (33,588)
CMBX NA BBB-.6 Index BB/P 10,015 192,000 51,264 5/11/63 300 bp — Monthly (41,137)
CMBX NA BBB-.6 Index BB/P 24,103 216,000 57,672 5/11/63 300 bp — Monthly (33,443)
CMBX NA BBB-.6 Index BB/P 24,103 216,000 57,672 5/11/63 300 bp — Monthly (33,443)
CMBX NA BBB-.6 Index BB/P 11,095 226,000 60,342 5/11/63 300 bp — Monthly (49,115)
CMBX NA BBB-.6 Index BB/P 12,285 252,000 67,284 5/11/63 300 bp — Monthly (54,852)
CMBX NA BBB-.6 Index BB/P 40,089 266,000 71,022 5/11/63 300 bp — Monthly (30,778)
CMBX NA BBB-.6 Index BB/P 13,442 271,000 72,357 5/11/63 300 bp — Monthly (58,757)
CMBX NA BBB-.6 Index BB/P 36,039 296,000 79,032 5/11/63 300 bp — Monthly (42,820)
CMBX NA BBB-.6 Index BB/P 33,021 305,000 81,435 5/11/63 300 bp — Monthly (48,236)
CMBX NA BBB-.6 Index BB/P 32,527 324,000 86,508 5/11/63 300 bp — Monthly (53,793)
CMBX NA BBB-.6 Index BB/P 47,211 452,000 120,684 5/11/63 300 bp — Monthly (73,210)
CMBX NA BBB-.6 Index BB/P 50,821 461,000 123,087 5/11/63 300 bp — Monthly (71,997)
CMBX NA BBB-.6 Index BB/P 71,494 605,000 161,535 5/11/63 300 bp — Monthly (89,688)
CMBX NA BBB-.6 Index BB/P 71,741 605,000 161,535 5/11/63 300 bp — Monthly (89,441)
CMBX NA BBB-.6 Index BB/P 37,011 765,000 204,255 5/11/63 300 bp — Monthly (166,798)
CMBX NA BBB-.6 Index BB/P 155,865 1,042,000 278,214 5/11/63 300 bp — Monthly (121,741)
CMBX NA BBB-.7 Index BB+/P 26,578 312,000 62,026 1/17/47 300 bp — Monthly (35,266)
CMBX NA BBB-.7 Index BB+/P 90,359 1,040,000 206,752 1/17/47 300 bp — Monthly (115,786)
JPMorgan Securities LLC
CMBX NA A.6 Index A/P 4,031 30,000 2,259 5/11/63 200 bp — Monthly 1,784
CMBX NA BB.10 Index BB-/P 23,991 299,000 103,783 5/11/63 500 bp — Monthly (79,501)
CMBX NA BBB-.13 Index BBB-/P 5,046 55,000 3,399 12/16/72 300 bp — Monthly 1,679
CMBX NA BBB-.13 Index BBB-/P 11,879 59,000 3,646 12/16/72 300 bp — Monthly 8,267
CMBX NA BBB-.13 Index BBB-/P 3,548 60,000 3,708 12/16/72 300 bp — Monthly (125)
CMBX NA BBB-.13 Index BBB-/P 13,532 86,000 5,315 12/16/72 300 bp — Monthly 8,268
CMBX NA BBB-.13 Index BBB-/P 19,852 109,000 6,736 12/16/72 300 bp — Monthly 13,179
CMBX NA BBB-.13 Index BBB-/P 24,217 121,000 7,478 12/16/72 300 bp — Monthly 16,810
CMBX NA BBB-.13 Index BBB-/P 11,072 187,000 11,557 12/16/72 300 bp — Monthly (376)
CMBX NA BBB-.13 Index BBB-/P 35,551 367,000 22,681 12/16/72 300 bp — Monthly 13,084
CMBX NA BBB-.13 Index BBB-/P 48,740 516,000 31,889 12/16/72 300 bp — Monthly 17,152
CMBX NA BBB-.6 Index BB/P 5,416,717 16,943,000 4,523,781 5/11/63 300 bp — Monthly 902,819
Merrill Lynch International
CMBX NA BB.6 Index B/P 13,977 125,000 53,038 5/11/63 500 bp — Monthly (38,939)
CMBX NA BBB-.6 Index BB/P 718 10,000 2,670 5/11/63 300 bp — Monthly (1,946)
CMBX NA BBB-.6 Index BB/P 885 12,000 3,204 5/11/63 300 bp — Monthly (2,312)
CMBX NA BBB-.6 Index BB/P 4,231 58,000 15,486 5/11/63 300 bp — Monthly (11,221)
CMBX NA BBB-.6 Index BB/P 5,636 64,000 17,088 5/11/63 300 bp — Monthly (11,415)
CMBX NA BBB-.6 Index BB/P 10,285 160,000 42,720 5/11/63 300 bp — Monthly (32,342)
CMBX NA BBB-.6 Index BB/P 16,195 179,000 47,793 5/11/63 300 bp — Monthly (31,494)
CMBX NA BBB-.6 Index BB/P 16,247 213,000 56,871 5/11/63 300 bp — Monthly (40,500)
CMBX NA BBB-.6 Index BB/P 132,865 1,488,000 397,296 5/11/63 300 bp — Monthly (263,563)
Morgan Stanley & Co. International PLC
CMBX NA BB.6 Index B/P 4,741 39,000 16,548 5/11/63 500 bp — Monthly (11,769)
CMBX NA BB.6 Index B/P 8,676 48,000 20,366 5/11/63 500 bp — Monthly (11,644)
CMBX NA BB.6 Index B/P 48,378 197,000 83,587 5/11/63 500 bp — Monthly (35,018)
CMBX NA BB.6 Index B/P 97,086 394,000 167,174 5/11/63 500 bp — Monthly (69,705)
CMBX NA BBB-.13 Index BBB-/P 273 4,000 247 12/16/72 300 bp — Monthly 28
CMBX NA BBB-.13 Index BBB-/P 5,890 29,000 1,792 12/16/72 300 bp — Monthly 4,115
CMBX NA BBB-.13 Index BBB-/P 1,951 33,000 2,039 12/16/72 300 bp — Monthly (69)
CMBX NA BBB-.13 Index BBB-/P 3,456 37,000 2,287 12/16/72 300 bp — Monthly 1,191
CMBX NA BBB-.13 Index BBB-/P 5,420 59,000 3,646 12/16/72 300 bp — Monthly 1,808
CMBX NA BBB-.13 Index BBB-/P 11,844 63,000 3,893 12/16/72 300 bp — Monthly 7,988
CMBX NA BBB-.13 Index BBB-/P 13,244 81,000 5,006 12/16/72 300 bp — Monthly 8,285
CMBX NA BBB-.13 Index BBB-/P 5,112 92,000 5,686 12/16/72 300 bp — Monthly (520)
CMBX NA BBB-.13 Index BBB-/P 15,735 100,000 6,180 12/16/72 300 bp — Monthly 9,614
CMBX NA BBB-.13 Index BBB-/P 26,928 171,000 10,568 12/16/72 300 bp — Monthly 16,460
CMBX NA BBB-.13 Index BBB-/P 27,786 304,000 18,787 12/16/72 300 bp — Monthly 9,176
CMBX NA BBB-.13 Index BBB-/P 70,525 358,000 22,124 12/16/72 300 bp — Monthly 48,609
CMBX NA BBB-.6 Index BB/P 752 9,000 2,403 5/11/63 300 bp — Monthly (1,646)
CMBX NA BBB-.6 Index BB/P 1,541 21,000 5,607 5/11/63 300 bp — Monthly (4,054)
CMBX NA BBB-.6 Index BB/P 3,126 39,000 10,413 5/11/63 300 bp — Monthly (7,264)
CMBX NA BBB-.6 Index BB/P 3,446 46,000 12,282 5/11/63 300 bp — Monthly (8,809)
CMBX NA BBB-.6 Index BB/P 9,375 142,000 37,914 5/11/63 300 bp — Monthly (28,456)
CMBX NA BBB-.6 Index BB/P 9,454 144,000 38,448 5/11/63 300 bp — Monthly (28,910)
CMBX NA BBB-.6 Index BB/P 183,195 531,000 141,777 5/11/63 300 bp — Monthly 41,728
CMBX NA BBB-.6 Index BB/P 562,325 8,488,000 2,266,296 5/11/63 300 bp — Monthly (1,699,011)
Upfront premium received 10,717,175 Unrealized appreciation 1,430,462
Upfront premium (paid) — Unrealized (depreciation) (8,541,140)
Total $10,717,175 Total $(7,110,678)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 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 12/31/20 (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 BB.10 Index $(14,611) $140,000 $48,594 11/17/59 (500 bp) — Monthly $33,847
CMBX NA BB.10 Index (12,500) 114,000 39,569 11/17/59 (500 bp) — Monthly 26,959
CMBX NA BB.11 Index (54,156) 418,000 98,063 11/18/54 (500 bp) — Monthly 43,500
CMBX NA BB.11 Index (13,574) 144,000 33,782 11/18/54 (500 bp) — Monthly 20,069
CMBX NA BB.11 Index (3,877) 76,000 17,830 11/18/54 (500 bp) — Monthly 13,879
CMBX NA BB.11 Index (2,231) 43,000 10,088 11/18/54 (500 bp) — Monthly 7,815
CMBX NA BB.12 Index (13,050) 40,000 8,432 8/17/61 (500 bp) — Monthly (4,657)
CMBX NA BB.12 Index (3,675) 7,000 1,476 8/17/61 (500 bp) — Monthly (2,206)
CMBX NA BB.8 Index (8,940) 72,000 28,613 10/17/57 (500 bp) — Monthly 19,603
CMBX NA BB.9 Index (85,260) 826,000 279,188 9/17/58 (500 bp) — Monthly 193,125
CMBX NA BB.9 Index (19,033) 295,000 99,710 9/17/58 (500 bp) — Monthly 80,390
CMBX NA BB.9 Index (8,581) 133,000 44,954 9/17/58 (500 bp) — Monthly 36,244
CMBX NA BB.9 Index (3,140) 80,000 27,040 9/17/58 (500 bp) — Monthly 23,822
CMBX NA BB.9 Index (2,755) 76,000 25,688 9/17/58 (500 bp) — Monthly 22,859
CMBX NA BB.9 Index (1,854) 46,000 15,548 9/17/58 (500 bp) — Monthly 13,649
CMBX NA BBB-.10 Index (189,131) 1,100,000 135,960 11/17/59 (300 bp) — Monthly (53,812)
CMBX NA BBB-.10 Index (55,015) 237,000 29,293 11/17/59 (300 bp) — Monthly (25,860)
CMBX NA BBB-.10 Index (38,410) 161,000 19,900 11/17/59 (300 bp) — Monthly (18,605)
CMBX NA BBB-.10 Index (24,448) 112,000 13,843 11/17/59 (300 bp) — Monthly (10,671)
CMBX NA BBB-.10 Index (23,069) 106,000 13,102 11/17/59 (300 bp) — Monthly (10,029)
CMBX NA BBB-.10 Index (17,963) 73,000 9,023 11/17/59 (300 bp) — Monthly (8,983)
CMBX NA BBB-.12 Index (10,806) 53,000 4,187 8/17/61 (300 bp) — Monthly (6,650)
CMBX NA BBB-.12 Index (4,282) 21,000 1,659 8/17/61 (300 bp) — Monthly (2,635)
CMBX NA BBB-.10 Index (47,966) 161,000 19,900 11/17/59 (300 bp) — Monthly (28,160)
CMBX NA BBB-.11 Index (62,094) 194,000 14,783 11/18/54 (300 bp) — Monthly (47,424)
CMBX NA BBB-.11 Index (28,427) 87,000 6,629 11/18/54 (300 bp) — Monthly (21,848)
CMBX NA BBB-.11 Index (18,042) 55,000 4,191 11/18/54 (300 bp) — Monthly (13,883)
CMBX NA BBB-.11 Index (654) 2,000 152 11/18/54 (300 bp) — Monthly (503)
CMBX NA BBB-.12 Index (83,202) 249,000 19,671 8/17/61 (300 bp) — Monthly (63,677)
CMBX NA BBB-.12 Index (71,356) 203,000 16,037 8/17/61 (300 bp) — Monthly (55,437)
CMBX NA BBB-.12 Index (67,433) 194,000 15,326 8/17/61 (300 bp) — Monthly (52,220)
CMBX NA BBB-.12 Index (63,787) 181,000 14,299 8/17/61 (300 bp) — Monthly (49,594)
CMBX NA BBB-.12 Index (54,779) 164,000 12,956 8/17/61 (300 bp) — Monthly (41,918)
CMBX NA BBB-.12 Index (33,821) 99,000 7,821 8/17/61 (300 bp) — Monthly (26,058)
CMBX NA BBB-.12 Index (24,917) 79,000 6,241 8/17/61 (300 bp) — Monthly (18,722)
CMBX NA BBB-.9 Index (27,445) 116,000 13,792 9/17/58 (300 bp) — Monthly (13,720)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 100,659 11/17/59 (500 bp) — Monthly 61,684
CMBX NA BB.10 Index (34,367) 289,000 100,312 11/17/59 (500 bp) — Monthly 65,664
CMBX NA BB.10 Index (18,893) 152,000 52,759 11/17/59 (500 bp) — Monthly 33,718
CMBX NA BB.7 Index (61,796) 335,000 130,315 1/17/47 (500 bp) — Monthly 68,193
CMBX NA BB.7 Index (4,770) 29,000 11,281 1/17/47 (500 bp) — Monthly 6,483
CMBX NA BB.9 Index (112,678) 1,124,000 379,912 9/17/58 (500 bp) — Monthly 266,142
Goldman Sachs International
CMBX NA BB.6 Index (12,481) 122,000 51,765 5/11/63 (500 bp) — Monthly 39,165
CMBX NA BB.7 Index (32,233) 213,000 82,857 1/17/47 (500 bp) — Monthly 50,417
CMBX NA BB.12 Index (19,406) 53,000 11,172 8/17/61 (500 bp) — Monthly (8,285)
CMBX NA BB.7 Index (38,667) 236,000 91,804 1/17/47 (500 bp) — Monthly 52,907
CMBX NA BB.7 Index (25,361) 150,000 58,350 1/17/47 (500 bp) — Monthly 32,844
CMBX NA BB.7 Index (25,381) 125,000 48,625 1/17/47 (500 bp) — Monthly 23,122
CMBX NA BB.7 Index (18,621) 102,000 39,678 1/17/47 (500 bp) — Monthly 20,958
CMBX NA BB.8 Index (2,606) 23,000 9,140 10/17/57 (500 bp) — Monthly 6,512
CMBX NA BB.9 Index (2,524) 65,000 21,970 9/17/58 (500 bp) — Monthly 19,382
CMBX NA BB.9 Index (4,617) 29,000 9,802 9/17/58 (500 bp) — Monthly 5,157
CMBX NA BB.9 Index (2,212) 14,000 4,732 9/17/58 (500 bp) — Monthly 2,507
CMBX NA BB.9 Index (2,236) 14,000 4,732 9/17/58 (500 bp) — Monthly 2,482
CMBX NA BBB-.10 Index (10,061) 46,000 5,686 11/17/59 (300 bp) — Monthly (4,402)
CMBX NA BBB-.12 Index (8,968) 46,000 3,634 8/17/61 (300 bp) — Monthly (5,361)
CMBX NA BBB-.12 Index (48,631) 144,000 11,376 8/17/61 (300 bp) — Monthly (37,339)
JPMorgan Securities LLC
CMBX NA BB.11 Index (326,686) 599,000 140,525 11/18/54 (500 bp) — Monthly (186,743)
CMBX NA BB.12 Index (160,920) 293,000 61,764 8/17/61 (500 bp) — Monthly (99,441)
CMBX NA BB.17 Index (495,531) 1,012,000 393,668 1/17/47 (500 bp) — Monthly (102,847)
CMBX NA BB.8 Index (52,536) 106,000 42,124 10/17/57 (500 bp) — Monthly (10,515)
CMBX NA BB.9 Index (48,926) 99,000 33,462 9/17/58 (500 bp) — Monthly (15,560)
CMBX NA BBB-.10 Index (10,885) 66,000 8,158 11/17/59 (300 bp) — Monthly (2,766)
CMBX NA BBB-.10 Index (29,298) 104,000 12,854 11/17/59 (300 bp) — Monthly (16,504)
CMBX NA BBB-.10 Index (15,790) 53,000 6,551 11/17/59 (300 bp) — Monthly (9,270)
CMBX NA BBB-.11 Index (31,430) 100,000 7,620 11/18/54 (300 bp) — Monthly (23,869)
CMBX NA BBB-.11 Index (30,627) 95,000 7,239 11/18/54 (300 bp) — Monthly (23,443)
CMBX NA BBB-.11 Index (26,401) 84,000 6,401 11/18/54 (300 bp) — Monthly (20,050)
CMBX NA BBB-.11 Index (5,650) 18,000 1,372 11/18/54 (300 bp) — Monthly (4,288)
CMBX NA BBB-.7 Index (214,338) 913,000 181,504 1/17/47 (300 bp) — Monthly (33,367)
Merrill Lynch International
CMBX NA BB.10 Index (15,875) 279,000 96,841 11/17/59 (500 bp) — Monthly 80,695
CMBX NA BB.11 Index (101,812) 206,000 48,328 11/18/54 (500 bp) — Monthly (53,685)
CMBX NA BB.9 Index (36,425) 935,000 316,030 9/17/58 (500 bp) — Monthly 278,696
CMBX NA BBB-.10 Index (20,367) 94,000 11,618 11/17/59 (300 bp) — Monthly (8,803)
CMBX NA BBB-.7 Index (32,451) 396,000 78,725 1/17/47 (300 bp) — Monthly 46,043
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 34,790 1/17/47 (300 bp) — Monthly 16,857
CMBX NA BB.10 Index (14,683) 140,000 48,594 11/17/59 (500 bp) — Monthly 33,775
CMBX NA BB.11 Index (3,049) 32,000 7,507 11/18/54 (500 bp) — Monthly 4,427
CMBX NA BB.12 Index (10,868) 152,000 32,042 8/17/61 (500 bp) — Monthly 21,026
CMBX NA BB.12 Index (7,605) 144,000 30,355 8/17/61 (500 bp) — Monthly 22,610
CMBX NA BB.12 Index (7,667) 105,000 22,134 8/17/61 (500 bp) — Monthly 14,365
CMBX NA BB.12 Index (40,800) 68,000 14,334 8/17/61 (500 bp) — Monthly (26,532)
CMBX NA BB.12 Index (3,668) 52,000 10,962 8/17/61 (500 bp) — Monthly 7,243
CMBX NA BB.12 Index (2,777) 34,000 7,167 9/17/58 (500 bp) — Monthly 4,357
CMBX NA BB.7 Index (39,014) 194,000 75,466 1/17/47 (500 bp) — Monthly 36,263
CMBX NA BB.7 Index (17,547) 91,000 35,399 1/17/47 (500 bp) — Monthly 17,763
CMBX NA BB.7 Index (11,040) 59,000 22,951 1/17/47 (500 bp) — Monthly 11,854
CMBX NA BB.7 Index (6,055) 30,000 11,670 1/17/47 (500 bp) — Monthly 5,586
CMBX NA BB.8 Index (30,651) 62,000 24,639 10/17/57 (500 bp) — Monthly (6,073)
CMBX NA BB.9 Index (5,010) 142,000 47,996 9/17/58 (500 bp) — Monthly 42,848
CMBX NA BB.9 Index (5,782) 94,000 31,772 9/17/58 (500 bp) — Monthly 25,899
CMBX NA BB.9 Index (8,785) 66,000 22,308 9/17/58 (500 bp) — Monthly 13,459
CMBX NA BB.9 Index (3,952) 65,000 21,970 9/17/58 (500 bp) — Monthly 17,955
CMBX NA BB.9 Index (8,830) 65,000 21,970 9/17/58 (500 bp) — Monthly 13,077
CMBX NA BB.9 Index (8,614) 63,000 21,294 9/17/58 (500 bp) — Monthly 12,619
CMBX NA BB.9 Index (9,506) 63,000 21,294 9/17/58 (500 bp) — Monthly 11,727
CMBX NA BB.9 Index (1,876) 48,000 16,224 9/17/58 (500 bp) — Monthly 14,301
CMBX NA BB.9 Index (1,685) 34,000 11,492 9/17/58 (500 bp) — Monthly 9,774
CMBX NA BB.9 Index (4,541) 30,000 10,140 9/17/58 (500 bp) — Monthly 5,570
CMBX NA BB.9 Index (4,541) 30,000 10,140 9/17/58 (500 bp) — Monthly 5,570
CMBX NA BB.9 Index (352) 4,000 1,352 9/17/58 (500 bp) — Monthly 996
CMBX NA BBB-.10 Index (51,248) 304,000 37,574 11/17/59 (300 bp) — Monthly (13,851)
CMBX NA BBB-.10 Index (27,435) 116,000 14,338 11/17/59 (300 bp) — Monthly (13,165)
CMBX NA BBB-.10 Index (24,867) 102,000 12,607 11/17/59 (300 bp) — Monthly (12,319)
CMBX NA BBB-.10 Index (13,546) 59,000 7,292 11/17/59 (300 bp) — Monthly (6,288)
CMBX NA BBB-.10 Index (12,006) 55,000 6,798 11/17/59 (300 bp) — Monthly (5,240)
CMBX NA BBB-.10 Index (4,987) 23,000 2,843 11/17/59 (300 bp) — Monthly (2,158)
CMBX NA BBB-.10 Index (4,325) 20,000 2,472 11/17/59 (300 bp) — Monthly (1,865)
CMBX NA BBB-.11 Index (26,216) 84,000 6,401 11/18/54 (300 bp) — Monthly (19,865)
CMBX NA BBB-.11 Index (5,352) 34,000 2,591 11/18/54 (300 bp) — Monthly (2,779)
CMBX NA BBB-.11 Index (5,697) 18,000 1,372 11/18/54 (300 bp) — Monthly (4,336)
CMBX NA BBB-.7 Index (14,539) 229,000 45,525 1/17/47 (300 bp) — Monthly 30,852
Upfront premium received — Unrealized appreciation 2,099,305
Upfront premium (paid) (3,842,381) Unrealized (depreciation) (1,358,281)
Total $(3,842,381) Total $741,024











Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
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, 2020 through December 31, 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 $229,983,799.
(NON) This security is non-income-producing.
(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
9/30/20		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/20
Short-term investments
Putnam Short Term Investment Fund* $12,804,784 $16,572,648 $17,535,318 $4,779 $11,842,114
Total Short-term investments $12,804,784 $16,572,648 $17,535,318 $4,779 $11,842,114
* 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 $347,992.
(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 $13,162,997.
(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 $2,426,822.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $180,697,087 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
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 for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
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 $13,042,003 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $13,162,997 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 $435 $— $—
Consumer cyclicals 109,755 4,007 —
Energy 14,009 93 186
Health care 4,344 — —
Utilities and power — 9,820 —
Total common stocks 128,543 13,920 186
Asset-backed securities — 1,815,911 —
Convertible bonds and notes — 18,876,767 —
Corporate bonds and notes — 53,020,464 135
Foreign government and agency bonds and notes — 30,582,931 —
Mortgage-backed securities — 99,118,964 —
Purchased options outstanding — 1,862,355 —
Purchased swap options outstanding — 8,113,974 —
Senior loans — 7,273,891 —
U.S. government and agency mortgage obligations — 152,131,240 —
U.S. treasury obligations — 1,070,501 —
Warrants — — 6,844
Short-term investments 11,872,114 16,499,187 —
Totals by level $12,000,657 $390,380,105 $7,165
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $178,309 $—
Futures contracts (130,981) — —
Written options outstanding — (578,070) —
Written swap options outstanding — (9,825,344) —
Forward premium swap option contracts — 1,561,606 —
TBA sale commitments — (62,230,782) —
Interest rate swap contracts — (796,771) —
Total return swap contracts — (2,562,105) —
Credit default contracts — (13,244,448) —
Totals by level $(130,981) $(87,497,605) $—
* 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) $138,200,000
Purchased currency option contracts (contract amount) $73,500,000
Purchased swap option contracts (contract amount) $556,300,000
Written TBA commitment option contracts (contract amount) $133,300,000
Written currency option contracts (contract amount) $74,300,000
Written swap option contracts (contract amount) $457,100,000
Futures contracts (number of contracts) 900
Forward currency contracts (contract amount) $247,600,000
Centrally cleared interest rate swap contracts (notional) $829,700,000
OTC total return swap contracts (notional) $14,600,000
Centrally cleared total return swap contracts (notional) $151,900,000
OTC credit default contracts (notional) $89,300,000
Warrants (number of warrants) 7,000
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