NPORT-EX 2 b_074nport123122.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Master Intermediate Income Trust
The fund's portfolio
12/31/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (60.7%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (7.4%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $33,823 $34,413
5.00%, with due dates from 5/20/49 to 3/20/50 130,080 129,769
4.50%, TBA, 1/1/53 5,000,000 4,851,607
4.00%, TBA, 1/1/53 4,000,000 3,786,688
3.50%, with due dates from 9/20/49 to 3/20/50 754,886 696,842
3.00%, TBA, 1/1/53 4,000,000 3,562,706
13,062,025
U.S. Government Agency Mortgage Obligations (53.3%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 60,407 59,768
4.50%, 5/1/49 8,416 8,233
Uniform Mortgage-Backed Securities
6.00%, TBA, 1/1/53 9,000,000 9,139,223
5.50%, TBA, 1/1/53 32,000,000 32,095,014
5.00%, TBA, 1/1/53 30,000,000 29,582,826
4.50%, TBA, 1/1/53 21,000,000 20,242,030
3.50%, TBA, 1/1/53 4,000,000 3,637,810
94,764,904
Total U.S. government and agency mortgage obligations (cost $108,759,673) $107,826,929








U.S. TREASURY OBLIGATIONS (0.9%)(a)
        Principal amount Value
U.S. Treasury Notes
3.25%, 8/31/24(i) $289,000 $286,275
1.50%, 2/15/30(i) 671,000 575,644
0.375%, 1/31/26(i) 171,000 152,417
1.625%, 5/15/31(i) 183,000 154,284
1.875%, 2/28/27(i) 143,000 132,013
1.75%, 3/15/25(i) 128,000 121,646
2.625%, 5/31/27(i) 118,000 111,501
Total U.S. treasury obligations (cost $1,533,780) $1,533,780








MORTGAGE-BACKED SECURITIES (39.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (14.5%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4813, IO, 5.50%, 8/15/48 $1,116,907 $223,305
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 466,416 91,324
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 2,707,767 478,586
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 2,015,419 431,617
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 3,607,808 765,656
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 2,656,088 563,280
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 326,275 64,447
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 177,722 26,893
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 3,931,008 727,606
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 618,099 112,684
REMICs Ser. 4425, IO, 4.00%, 1/15/45 715,337 112,301
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 777,223 161,739
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 492,937 73,297
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 820,977 107,532
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 472,075 61,389
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 266,039 20,878
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 180,134 7,033
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 1,199,994 95,263
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 476,836 32,949
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 71,422 709
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 2.332%, 4/15/40 381,713 9,096
REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.882%, 12/15/47 688,654 71,970
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 9/25/50 4,094,963 453,476
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.782%, 8/15/56 2,379,424 273,443
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.782%, 4/15/47 473,764 55,602
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 7/25/50 3,727,486 418,703
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 1/25/50 2,628,435 243,548
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.395%, 7/25/43(WAC) 798,868 7,989
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,070,577 189,282
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 841,112 158,248
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 37,874 6,305
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 1,314,992 213,634
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 112,161 17,372
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 3,973,986 731,800
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 141,897 27,690
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 225,969 15,195
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 1,304,588 230,874
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 398,601 53,421
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 300,108 38,291
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 221,828 26,221
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 196,214 7,250
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 27,447 59
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 7,110,924 922,705
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 2.011%, 4/25/40 307,565 32,819
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 3/25/48 1,615,023 149,874
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.811%, 6/25/48 2,721,399 293,018
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 5/25/47 3,380,052 304,745
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 10/25/41 53,713 382
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 12/25/46 1,397,033 104,803
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 5/25/39 4,292,556 341,366
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 3/25/50 2,316,859 237,478
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 8/25/49 1,487,281 114,640
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 11/25/49 2,981,051 314,885
REMICs Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 1.561%, 2/25/43 963,418 101,527
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 1.511%, 10/25/41 688,953 58,858
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 375,224 72,947
Ser. 16-42, IO, 5.00%, 2/20/46 928,002 176,431
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 1,407,366 214,891
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 1,631,888 332,644
Ser. 14-76, IO, 5.00%, 5/20/44 378,680 75,903
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 276,211 58,785
Ser. 12-146, IO, 5.00%, 12/20/42 246,829 48,719
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 360,694 74,824
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 261,862 53,305
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 1,156,001 242,044
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 595,024 123,819
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 1,194,598 237,821
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 203,396 40,155
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,066,173 203,050
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 403,227 76,597
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 499,512 92,228
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 64,570 3,571
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 444,644 87,669
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 462,034 80,266
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 815,440 147,415
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 420,983 79,944
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 488,026 86,952
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 311,015 55,376
Ser. 16-29, IO, 4.00%, 2/16/46 423,644 72,045
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 1,152,045 189,189
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 884,407 160,152
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 744,049 123,859
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 678,857 82,393
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 1,901,783 286,637
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 509,233 22,028
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 249,932 41,837
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 566,574 37,786
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 218,351 34,152
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 204,200 35,007
Ser. 21-156, IO, 3.50%, 7/20/51 4,434,179 759,221
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 2,643,486 480,941
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 32,931 1,099
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 422,917 50,686
Ser. 13-28, IO, 3.50%, 2/20/43 147,305 18,004
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 231,066 25,688
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 364,376 41,874
Ser. 13-14, IO, 3.50%, 12/20/42 908,740 96,272
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 955,839 157,259
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 940,740 148,773
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 457,591 74,851
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 583,314 42,693
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 3,758,293 547,283
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 2,989,503 466,170
Ser. 18-H02, Class EI, IO, 2.678%, 1/20/68(WAC) 3,673,989 186,788
Ser. 17-H02, Class BI, IO, 2.674%, 1/20/67(WAC) 1,760,480 54,054
Ser. 17-H06, Class BI, IO, 2.474%, 2/20/67(WAC) 2,592,874 91,862
Ser. 18-H05, Class BI, IO, 2.473%, 2/20/68(WAC) 2,637,839 139,124
Ser. 18-H03, Class XI, IO, 2.281%, 2/20/68(WAC) 2,833,747 140,446
Ser. 18-H05, Class AI, IO, 2.101%, 2/20/68(WAC) 1,364,193 75,115
Ser. 17-H08, Class NI, IO, 2.097%, 3/20/67(WAC) 3,384,608 139,872
Ser. 17-H19, Class MI, IO, 2.067%, 4/20/67(WAC) 1,180,860 67,663
Ser. 16-H03, Class DI, IO, 2.037%, 12/20/65(WAC) 2,692,600 123,042
IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 6/20/51 3,625,412 422,578
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 5/20/51 3,377,040 403,135
IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 4/20/51 2,341,928 241,458
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 9/20/50 3,187,917 407,110
FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.874%, 11/20/47 3,334,273 457,383
IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 1.827%, 4/20/44 1,804,824 182,529
Ser. 15-H25, Class EI, IO, 1.826%, 10/20/65(WAC) 1,895,150 86,229
IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 7/20/50 2,094,813 272,146
IFB Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 1/20/49 1,731,882 158,390
IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 9/20/43 192,691 17,681
Ser. 15-H20, Class AI, IO, 1.766%, 8/20/65(WAC) 2,540,792 108,492
Ser. 17-H09, IO, 1.762%, 4/20/67(WAC) 3,337,487 99,377
IFB Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 5/20/50 2,258,112 230,932
IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 4/20/50 2,923,530 332,745
IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 8/20/49 2,250,610 218,827
IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 7/20/49 2,039,867 186,933
IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 7/20/49 2,767,359 238,877
FRB Ser. 15-H08, Class CI, IO, 1.74%, 3/20/65(WAC) 1,425,660 59,022
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 2/20/50 193,802 13,534
IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 1/20/50 1,686,436 162,466
IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 12/20/49 1,438,735 130,458
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 9/20/49 2,216,440 222,908
IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 8/20/49 96,485 8,332
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 6/20/49 102,756 7,497
Ser. 15-H23, Class BI, IO, 1.696%, 9/20/65(WAC) 2,517,668 97,434
IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.647%, 8/20/43 2,424,308 220,345
Ser. 16-H16, Class EI, IO, 1.64%, 6/20/66(WAC) 2,669,800 113,467
Ser. 16-H24, Class CI, IO, 1.63%, 10/20/66(WAC) 1,761,847 75,583
Ser. 16-H14, IO, 1.613%, 6/20/66(WAC) 2,290,871 81,241
Ser. 17-H11, Class DI, IO, 1.591%, 5/20/67(WAC) 2,255,370 115,222
Ser. 13-H08, Class CI, IO, 1.534%, 2/20/63(WAC) 1,525,641 47,600
Ser. 14-H21, Class BI, IO, 1.47%, 10/20/64(WAC) 3,486,207 119,577
Ser. 17-H12, Class QI, IO, 1.437%, 5/20/67(WAC) 2,127,043 79,613
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 1.247%, 8/20/44 833,142 65,683
Ser. 16-H22, Class AI, IO, 1.102%, 10/20/66(WAC) 2,421,021 84,346
Ser. 16-H23, Class NI, IO, 1.057%, 10/20/66(WAC) 6,607,521 218,048
Ser. 15-H20, Class CI, IO, 0.799%, 8/20/65(WAC) 2,888,370 152,217
Ser. 17-H16, Class FI, IO, 0.746%, 8/20/67(WAC) 1,927,054 74,227
Ser. 16-H17, Class KI, IO, 0.689%, 7/20/66(WAC) 1,562,840 63,081
Ser. 15-H24, Class AI, IO, 0.623%, 9/20/65(WAC) 2,225,162 63,519
Ser. 15-H15, Class BI, IO, 0.573%, 6/20/65(WAC) 1,638,839 60,965
Ser. 17-H16, Class JI, IO, 0.492%, 8/20/67(WAC) 5,696,159 306,891
Ser. 16-H06, Class DI, IO, 0.362%, 7/20/65(WAC) 3,496,569 72,236
Ser. 18-H15, Class KI, IO, 0.291%, 8/20/68(WAC) 2,251,656 102,755
Ser. 17-H16, Class IG, IO, 0.118%, 7/20/67(WAC) 5,253,755 150,812
Ser. 16-H18, Class QI, IO, 0.078%, 6/20/66(WAC) 1,804,876 84,046
Ser. 16-H09, Class BI, IO, 0.067%, 4/20/66(WAC) 3,194,087 151,400
Ser. 15-H10, Class BI, IO, 0.03%, 4/20/65(WAC) 1,775,252 68,525
Ser. 16-H03, Class AI, IO, 0.021%, 1/20/66(WAC) 2,119,435 69,235
Ser. 16-H02, Class HI, IO, 0.017%, 1/20/66(WAC) 3,046,599 75,556
Ser. 16-H06, Class CI, IO, 0.001%, 2/20/66(WAC) 3,219,039 56,620
Ser. 16-H10, Class AI, IO, zero %, 4/20/66(WAC) 5,965,514 114,228
25,717,789
Commercial mortgage-backed securities (12.9%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 359,000 242,147
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 11,854 11,439
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.036%, 4/10/51(WAC) 414,000 276,913
Ser. 19-B13, Class D, 2.50%, 8/15/57 320,000 224,000
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44(WAC) 590,000 388,976
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 591,000 416,728
Ser. 19-CD8, Class D, 3.00%, 8/15/57 277,000 179,302
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 1,020,798
FRB Ser. 11-C2, Class E, 5.08%, 12/15/47(WAC) 409,000 342,853
Citigroup Commercial Mortgage Trust Ser. 13-GC11, Class C, 4.134%, 4/10/46(WAC) 350,000 343,732
Citigroup Commercial Mortgage Trust 144A Ser. 15-P1, Class D, 3.225%, 9/15/48 671,000 549,156
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.917%, 4/10/47(WAC) 441,000 399,134
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.845%, 5/10/47(WAC) 758,000 519,048
FRB Ser. 14-UBS3, Class D, 4.766%, 6/10/47(WAC) 144,000 129,235
FRB Ser. 13-CR7, Class D, 4.366%, 3/10/46(WAC) 233,000 209,118
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 130,144
FRB Ser. 15-LC19, Class E, 4.215%, 2/10/48(WAC) 385,000 319,272
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 7.479%, 9/9/24 252,000 251,213
CSAIL Commercial Mortgage Trust FRB Ser. 20-C19, Class C, 3.614%, 3/15/53(WAC) 256,000 191,363
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.758%, 4/15/50(WAC) 527,000 353,441
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 7.928%, 11/25/51 701,000 615,249
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.339%, 2/10/46(WAC) 638,000 634,772
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 294,000 269,153
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47(WAC) 1,285,000 837,728
FRB Ser. 13-GC13, Class D, 4.078%, 7/10/46(WAC) 531,000 243,903
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.735%, 2/15/47(WAC) 963,000 672,065
FRB Ser. 14-C19, Class C19, 4.647%, 4/15/47(WAC) 266,000 242,657
FRB Ser. C14, Class D, 4.548%, 8/15/46(WAC) 515,000 280,206
FRB Ser. 14-C18, Class E, 4.235%, 2/15/47(WAC) 407,000 226,377
FRB Ser. 14-C23, Class D, 3.982%, 9/15/47(WAC) 505,000 429,313
FRB Ser. 14-C25, Class D, 3.936%, 11/15/47(WAC) 200,000 135,496
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 165,383
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 474,352
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.384%, 9/15/50(WAC) 268,000 215,485
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.231%, 4/15/46(WAC) 581,000 418,935
Ser. 13-LC11, Class B, 3.499%, 4/15/46 221,000 187,585
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.525%, 2/15/46(WAC) 410,000 73,083
FRB Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) 263,000 202,273
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 520,074
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39(WAC) 462,989 61
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) 13,487 —
Morgan Stanley Bank of America Merrill Lynch Trust
Ser. 12-C6, Class C, 4.536%, 11/15/45(WAC) 330,000 314,015
FRB Ser. 15-C25, Class C, 4.526%, 10/15/48(WAC) 253,000 228,520
FRB Ser. 15-C22, Class C, 4.202%, 4/15/48(WAC) 237,000 212,595
Ser. 14-C19, Class C, 4.00%, 12/15/47 211,000 190,020
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.398%, 8/15/46(WAC) 900,000 62,768
FRB Ser. 13-C11, Class F, 4.398%, 8/15/46(WAC) 496,000 4,960
FRB Ser. 15-C23, Class D, 4.142%, 7/15/50(WAC) 690,000 583,094
FRB Ser. 13-C9, Class D, 4.102%, 5/15/46(WAC) 676,000 593,853
FRB Ser. 13-C10, Class D, 4.07%, 7/15/46(WAC) 485,000 319,887
FRB Ser. 13-C10, Class E, 4.07%, 7/15/46(WAC) 1,006,000 344,454
FRB Ser. 13-C10, Class F, 4.07%, 7/15/46(WAC) 975,000 205,018
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 318,686
Ser. 14-C19, Class D, 3.25%, 12/15/47 602,000 519,943
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 168,221 154,987
FRB Ser. 18-H3, Class C, 4.863%, 7/15/51(WAC) 284,000 247,898
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.164%, 3/15/45(WAC) 184,652 170,803
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 8.139%, 3/25/50 701,000 647,404
FRB Ser. 19-01, Class M10, 7.639%, 10/25/49 567,863 533,158
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.79%, 6/25/37 445,749 442,810
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 7.575%, 1/19/37 504,000 487,620
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 558,952 6
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.391%, 8/15/50(WAC) 319,000 256,029
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 622,000 6
Wells Fargo Commercial Mortgage Trust
FRB Ser. 16-NXS5, Class D, 4.982%, 1/15/59(WAC) 455,000 378,198
FRB Ser. 15-SG1, Class B, 4.453%, 9/15/48(WAC) 225,000 196,924
FRB Ser. 15-C29, Class D, 4.218%, 6/15/48(WAC) 339,000 287,573
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C30, Class D, 4.498%, 9/15/58(WAC) 244,000 204,567
FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46(WAC) 188,000 75,902
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 142,650
Ser. 16-C33, Class D, 3.123%, 3/15/59 745,000 585,866
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 250,000 215,730
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 13-UBS1, Class D, 5.024%, 3/15/46(WAC) 226,000 216,506
FRB Ser. 13-UBS1, Class E, 5.024%, 3/15/46(WAC) 303,000 287,317
Ser. 13-C12, Class E, 3.50%, 3/15/48 196,000 187,670
22,959,599
Residential mortgage-backed securities (non-agency) (11.8%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 380,457 207,378
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 3.991%, 11/27/36(WAC) 538,924 350,301
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 4.889%, 1/25/36 53,395 68,275
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 4.569%, 11/25/47 187,198 153,073
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 4.739%, 3/25/37 736,571 604,854
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 1,000,000 885,445
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 5.089%, 9/25/35 266,823 226,335
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.013%, 11/20/35 279,602 244,260
FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 4.769%, 8/25/46 239,693 201,851
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 4.769%, 8/25/46 1,595,140 1,259,839
FRB Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 3.548%, 9/25/35 216,838 190,140
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 3.008%, 8/25/46 82,360 71,515
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.988%, 6/25/46 224,352 183,158
FRB Ser. 06-OA7, Class 1A1, 2.746%, 6/25/46(WAC) 245,879 220,480
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 14.889%, 5/25/28 266,288 276,401
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/28 886,784 927,409
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 13.739%, 4/25/28 569,651 584,813
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 13.589%, 10/25/27 394,996 409,447
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 13.189%, 3/25/28 384,861 385,050
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 11.939%, 12/25/27 647,588 646,739
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 15.639%, 4/25/49 106,000 111,529
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 15.428%, 10/25/50 176,000 193,600
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 15.389%, 10/25/48 649,000 701,390
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 15.139%, 1/25/49 141,000 152,828
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 14.889%, 3/25/49 118,000 126,403
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 8/25/50 609,000 661,526
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/50 430,000 465,475
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 12.139%, 9/25/48 174,000 172,488
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 10.139%, 7/25/50 172,048 177,178
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 8.639%, 10/25/48 380,000 388,933
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 8.289%, 9/25/48 190,000 193,529
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.089%, 12/25/30 260,000 260,346
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 7.489%, 3/25/50 152,601 154,160
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 307,000 261,861
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 636,000 541,026
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 17.139%, 10/25/28 89,473 96,986
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 16.639%, 9/25/28 1,109,479 1,224,023
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.139%, 10/25/28 565,593 613,131
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.139%, 8/25/28 366,243 396,151
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 15.139%, 1/25/29 119,531 124,796
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 13.639%, 4/25/29 19,823 19,923
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 9.889%, 9/25/29 285,000 309,102
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 9.239%, 10/25/29 1,170,000 1,232,631
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 8.889%, 12/25/30 283,000 293,873
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 5/25/30 82,000 84,391
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 2/25/30 60,000 61,538
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.389%, 5/25/25 4,650 4,781
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 7.989%, 1/25/30 182,000 184,116
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 8.489%, 9/25/31 556,000 564,734
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 8.428%, 1/25/42 180,000 170,100
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 8.039%, 2/25/40 504,000 497,768
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.839%, 7/25/31 6,751 6,734
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (ICE LIBOR USD 1 Month + 0.36%), 4.749%, 5/25/36 478,393 119,454
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 4.699%, 5/25/37 201,499 144,622
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.859%, 5/19/35 244,204 82,245
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.078%, 1/25/34 (Bermuda) 150,000 125,889
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 4.789%, 6/25/37 424,589 178,096
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 2/25/26(WAC) 133,000 126,350
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 2.702%, 2/26/37 206,717 176,256
MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 5.184%, 8/25/35 39,200 36,103
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 7.089%, 3/25/28 (Bermuda) 759,497 757,104
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 4.819%, 5/25/46 205,649 175,830
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 4.809%, 8/25/36 176,498 142,964
FRB Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 4.509%, 8/25/36 146,826 124,684
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 216,000 184,420
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 5.369%, 10/25/45 98,772 89,711
21,007,541
Total mortgage-backed securities (cost $80,823,585) $69,684,929








CORPORATE BONDS AND NOTES (18.2%)(a)
        Principal amount Value
Basic materials (1.6%)
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 $20,000 $19,551
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 38,000 35,495
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 92,000 87,651
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 305,000 265,465
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 30,000 28,177
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 75,000 60,805
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 90,000 87,448
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 40,000 39,453
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 60,000 55,884
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 60,000 56,002
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 740,000 597,550
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 120,000 70,120
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 $160,000 138,215
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 115,000 95,003
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 35,000 34,299
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 18,000 17,502
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 121,000 114,610
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 90,000 75,241
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 115,000 93,885
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 80,000 70,925
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 311,000 278,815
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 205,000 194,750
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 85,000 70,656
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 129,000 127,065
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 65,000 57,598
2,772,165
Capital goods (2.0%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 160,000 131,600
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 234,000 216,997
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 115,000 109,096
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 35,000 29,838
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 100,000 100,529
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 72,000 72,166
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 154,427
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 115,000 109,975
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 230,000 178,802
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 273,000 232,050
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 125,000 108,088
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 320,000 276,000
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 25,000 23,693
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 352,000 302,959
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 86,000 83,674
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 403,000 378,437
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 120,000 104,670
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 80,000 70,342
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 180,000 177,514
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 344,000 292,400
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 188,000 166,023
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 115,000 116,492
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 136,000 137,702
3,573,474
Communication services (1.4%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 820,000 741,501
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 89,000 79,625
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 130,000 120,800
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 28,000 22,348
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 35,000 29,482
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 590,000 547,856
Lumen Technologies, Inc. 144A sr. unsec. unsub. notes 4.50%, 1/15/29 250,000 172,553
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 125,000 131,538
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 433,000 439,056
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 80,000 66,106
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 19,000 19,182
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 123,589
2,493,636
Consumer cyclicals (2.7%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 $70,000 59,532
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 328,000 323,802
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 15,000 15,978
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 55,000 51,612
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 75,000 59,844
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 55,000 51,226
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 285,000 278,988
Carnival Corp. 144A notes 10.50%, 2/1/26 43,000 43,205
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 25,000 25,245
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 144,000 16,920
Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31 100,000 102,211
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 192,268
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 200,000 164,168
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 135,000 116,366
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 20,000 17,574
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 125,000 121,066
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 191,000 173,086
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 31,000 28,996
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 65,000 48,924
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 90,791
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $57,000 45,240
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 45,000 41,607
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 60,000 48,536
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 170,000 166,753
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 90,000 79,049
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 25,000 22,985
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 95,000 79,835
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 688,000 648,440
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 9,000 8,190
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 90,000 78,065
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 55,000 47,475
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 20,000 20,552
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 202,000 201,218
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 168,000 136,080
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 100,000 94,479
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 241,000 188,021
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 125,000 108,788
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 55,000 47,598
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 45,000 33,863
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 460,000 424,457
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 8,999
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 115,000 99,979
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 19,000 18,158
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 50,000 39,250
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 70,000 63,173
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 122,000 104,570
4,837,162
Consumer staples (1.0%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 100,000 89,500
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 35,000 31,236
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 141,000 130,971
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 266,000 223,171
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 18,000 15,330
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 110,000 105,600
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 85,000 80,538
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 85,000 75,072
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 33,000 30,360
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 35,000 26,840
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 25,000 20,409
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 60,000 53,488
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 5.625%, 2/15/29 200,000 186,000
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 115,870
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 246,000 249,328
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 60,000 58,200
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 66,000 64,185
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 105,000 98,784
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 55,000 46,118
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 55,000 50,463
1,751,463
Energy (5.2%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 65,000 65,797
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 306,000 275,419
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 244,000 223,260
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 403,000 379,722
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 570,000 512,556
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 90,000 76,622
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 10,000 7,947
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 80,000 68,776
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 117,000 107,202
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 102,000 94,948
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 56,000 55,550
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 283,000 258,659
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 511,000 489,293
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 51,000 48,577
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 10,000 9,388
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 102,000 94,319
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 30,000 25,648
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 357,000 347,748
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 195,000 177,549
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 195,000 182,868
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 70,097 70,972
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 485,000 469,817
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 380,000 392,684
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 550,000 555,054
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 23,000 22,917
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 195,000 207,555
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 142,000 127,270
Permian Resources Operating LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 240,000 218,468
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 293,000 278,555
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 409,000 406,489
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 816,000 617,588
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 1,034,000 811,945
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 231,000 223,493
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 183,000 167,436
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 51,000 49,124
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 134,000 130,094
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 17,000 16,299
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 155,000 148,799
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 179,000 152,972
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 337,000 307,350
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 230,000 213,224
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 31,920 31,282
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 77,000 74,930
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 35,000 33,233
9,229,398
Financials (1.5%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 105,000 96,490
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 30,000 26,869
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 105,000 101,131
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 $100,000 95,270
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 135,000 121,429
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 53,000 48,760
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 35,000 33,576
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 70,000 61,950
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 25,000 22,890
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 64,000 54,122
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 190,000 189,512
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 72,000 71,459
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 122,000 119,551
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 930,000 845,779
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 172,000 138,866
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 25,000 23,489
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 115,000 96,603
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 130,000 101,075
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 93,000 75,833
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 57,053
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 161,000 131,682
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 110,000 99,135
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 41,000 39,070
2,651,594
Health care (1.2%)
Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 21,000 16,377
Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 4,000 2,375
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 55,000 45,086
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 157,000 143,472
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 60,000 52,050
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 55,000 48,400
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 265,000 252,150
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 245,000 242,275
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 55,000 47,436
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 178,230
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 110,000 89,666
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 $60,000 47,838
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 155,000 145,316
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 40,000 32,516
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 40,000 33,689
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 99,000 96,550
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 135,000 125,582
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 127,000 120,097
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 55,000 47,647
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 85,000 80,988
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 195,000
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) 200,000 178,109
2,220,849
Technology (0.8%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 194,000 151,728
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 245,000 206,722
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 373,000 323,620
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 202,000 170,141
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 107,000 91,485
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 65,000 51,568
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 320,000 259,968
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 216,000 181,523
1,436,755
Transportation (0.1%)
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 170,000 159,795
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 45,000 39,181
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 45,000 41,712
240,688
Utilities and power (0.7%)
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 29,000 25,946
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 42,000 36,918
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 29,000 27,623
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 170,000 151,636
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 8,000 7,932
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 170,000 163,733
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 215,000 161,476
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 142,000 125,349
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 56,000 51,324
ReNew Wind Energy AP2/ReNew Power Pvt, Ltd. other 9 Subsidiaries company guaranty sr. notes Ser. REGS, 4.50%, 7/14/28 (India) 200,000 168,232
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 50,000 45,042
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 168,000 161,854
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 75,000 69,607
1,196,672
Total corporate bonds and notes (cost $35,755,616) $32,403,856








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.9%)(a)
        Principal amount Value
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d'lvoire) EUR 1,345,000 $1,208,400
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) $1,300,000 1,254,500
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) 340,000 302,707
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 325,000 269,774
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 336,000 339,051
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 180,000 173,235
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 284,000 277,826
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 380,000 376,645
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 260,000 221,343
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 718,599
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) 360,000 255,143
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 1,130,000 918,106
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)(NON) 1,510,000 605,888
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)(NON) 1,000,000 375,000
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 379,000 339,212
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) 1,220,000 1,195,555
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 354,603
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 637,814
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 556,692
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 270,000 232,202
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 530,000 437,250
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 1,670,000 1,146,830
United Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico) 1,250,000 1,000,336
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 910,000 895,440
Total foreign government and agency bonds and notes (cost $16,371,683) $14,092,151








CONVERTIBLE BONDS AND NOTES (3.8%)(a)
        Principal amount Value
Capital goods (0.1%)
Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 $48,000 $47,568
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 83,000 71,256
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 42,000 49,371
168,195
Communication services (0.2%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 173,000 108,385
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 38,000 46,797
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 79,000 78,783
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 188,000 171,362
405,327
Consumer cyclicals (0.6%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 63,000 51,150
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 97,000 73,114
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 43,000 34,809
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 82,000 109,216
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 51,000 58,650
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 82,000 50,717
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 98,000 85,351
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 137,000 129,260
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 95,000 68,115
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 37,000 50,767
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 37,000 37,315
NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 82,000 58,835
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 99,000 124,344
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 75,000 74,297
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 123,000 114,083
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 36,000 37,755
1,157,778
Consumer staples (0.4%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 142,000 116,866
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 65,000 49,140
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 67,000 54,898
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 78,000 61,183
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 180,000 153,684
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 49,000 43,143
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 73,000 48,043
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 93,000 78,330
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 72,000 53,990
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 87,000 56,246
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 45,000 42,795
758,318
Energy (0.2%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 92,000 107,585
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 27,000 62,964
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) 53,000 65,800
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 96,000 92,280
328,629
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 58,000 56,876
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 79,000 54,076
110,952
Health care (0.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 65,000 69,846
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 38,000 34,618
Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 86,000 93,525
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 140,000 109,732
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 46,000 28,607
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 150,000 145,219
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 69,000 97,428
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 50,000 54,531
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 114,000 112,219
Lantheus Holdings, Inc. 144A cv. company guaranty sr. unsec. unsub. notes 2.625%, 12/15/27 54,000 54,373
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 42,000 66,213
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 95,000 85,559
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 70,000 53,774
1,005,644
Technology (1.3%)
3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 57,000 38,874
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 170,000 163,710
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 74,000 77,700
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 91,000 74,074
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 89,000 70,355
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 46,000 39,186
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 63,000 82,625
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 69,000 60,479
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) 53,000 56,083
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 61,000 66,566
DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 58,000 43,355
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 69,000 58,567
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 47,000 43,052
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 75,000 69,413
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 57,000 68,400
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 138,000 118,335
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 46,000 53,935
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 119,000 99,960
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 56,000 74,200
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 51,000 75,302
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 72,000 61,695
Perficient, Inc. cv. sr. unsec. notes 0.125%, 11/15/26 34,000 26,265
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 63,000 49,203
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 90,000 77,288
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 59,000 73,715
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 98,000 68,453
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 147,000 124,039
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 68,000 54,740
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 43,000 39,947
Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 81,000 60,629
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 49,000 49,196
Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 66,000 59,433
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 71,000 70,787
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 43,000 45,150
2,294,711
Transportation (0.2%)
American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 73,000 76,942
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 74,000 53,952
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 116,000 139,316
270,210
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 106,000 105,364
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 90,000 88,965
194,329
Total convertible bonds and notes (cost $7,735,091) $6,694,093








SENIOR LOANS (2.2%)(a)(c)
        Principal amount Value
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.634%, 4/1/28 $73,875 $72,974
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.993%, 4/20/28 55,000 54,699
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 8.073%, 10/19/27 211,027 203,717
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 7.634%, 7/31/27 29,549 25,800
Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.506%, 12/7/29 240,000 240,000
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 8.496%, 6/21/24 382,455 341,341
BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.37%, 4/3/24 156,496 152,606
Cengage Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 7.814%, 6/29/26 172,813 155,046
Chart Industries, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.033%, 12/8/29 472,000 466,397
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.915%, 8/21/26 229,200 208,326
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 8.48%, 5/27/28 93,575 93,016
Diamond Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 7.567%, 8/24/26 96,772 11,613
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 9.384%, 7/22/27 256,302 248,987
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 5.87%, 2/4/27 59,006 56,563
Envision Healthcare Corp. bank term loan FRN (US SOFR + 4.25%), 8.83%, 3/31/27 27,954 9,504
Envision Healthcare Corp. bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 8.33%, 3/31/27 68,443 17,111
Forest City Enterprises LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.884%, 12/7/25 85,714 82,312
GFL Environmental, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.00%), 7.415%, 5/31/25 193,336 193,282
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 8.422%, 10/2/25 72,702 50,665
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 8.384%, 12/1/27 176,850 169,445
iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 7.634%, 5/1/26 71,328 65,555
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 9.875%, 4/22/27 66,481 54,293
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.13%, 1/29/28 54,723 53,440
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 10.985%, 8/31/29 55,000 52,617
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 12.75%, 2/28/26 74,000 38,110
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 7.57%, 5/3/26 255,596 246,331
Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 8.23%, 12/17/26 121,398 113,399
TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.18%, 3/30/29 130,000 115,863
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.108%, 4/21/28 112,988 111,356
Vision Solutions, Inc. bank term loan FRN (US SOFR + 4.00%), 8.358%, 4/24/28 204,482 168,902
Werner Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 8.73%, 7/24/24 33,993 30,480
Total senior loans (cost $4,188,675) $3,903,750








ASSET-BACKED SECURITIES (0.6%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $215,995 $213,295
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 7.639%, 11/25/55 585,000 530,174
FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.389%, 11/25/55 425,000 385,390
Total asset-backed securities (cost $1,166,154) $1,128,859








PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Call) Feb-23/$99.01 $39,468,750 $40,000,000 $281,360
Total purchased options outstanding (cost $275,000) $281,360








COMMON STOCKS (0.0%)(a)
        Shares Value
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 $11,293
Total common stocks (cost $10,349) $11,293








WARRANTS (—%)(a)(NON)
    Expiration date Strike Price Warrants Value
Guaranteed Rate, Inc.(F) 3/1/23 $0.01 33 $—
Total warrants (cost $2) $—








SHORT-TERM INVESTMENTS (27.2%)(a)
        Principal amount/shares Value
Putnam Short Term Investment Fund Class P 4.53%(AFF) Shares 20,068,209 $20,068,209
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.12%(P) Shares 2,978,000 2,978,000
Interest in $498,700,000 joint tri-party repurchase agreement dated 12/30/2022 with Royal Bank of Canada due 1/3/2023 - maturity value of $11,450,468 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 0.250% to 6.000% and due dates ranging from 7/31/2025 to 9/1/2052, valued at $508,917,110) $11,445,000 11,445,000
Australia & New Zealand Banking Group, Ltd. commercial paper 4.444%, 2/21/23 (Australia) 1,000,000 993,565
Mitsubishi UFJ Trust & Banking Corp./NY commercial paper 4.469%, 2/6/23 750,000 746,569
Mizuho Bank, Ltd./New York, NY commercial paper 4.374%, 2/6/23 1,000,000 995,435
NRW.Bank commercial paper 4.444%, 2/21/23 (Germany) 1,000,000 993,535
Societe Generale SA commercial paper 4.246%, 1/31/23 (France) 1,000,000 996,171
Sumitomo Mitsui Trust Bank, Ltd./Singapore commercial paper 4.431%, 2/2/23 (Singapore) 1,000,000 995,918
Toronto-Dominion Bank (The) commercial paper 4.334%, 1/27/23 (Canada) 1,000,000 996,652
U.S. Treasury Bills 3.693%, 1/24/23(SEG)(SEGSF)(SEGCCS)(SEGTBA) 4,500,000 4,489,918
U.S. Treasury Bills 3.818%, 1/17/23(SEG)(SEGSF)(SEGCCS) 700,000 698,999
U.S. Treasury Bills 3.652%, 1/12/23(SEGSF)(SEGCCS) 1,100,000 1,099,045
U.S. Treasury Bills 4.001%, 1/10/23(SEGSF) 600,000 599,578
U.S. Treasury Bills zero%, 2/23/23(i) 182,000 180,926
Total short-term investments (cost $48,278,012) $48,277,520
TOTAL INVESTMENTS
Total investments (cost $304,897,620) $285,838,520








FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/18/23 $7,902 $7,258 $644
Canadian Dollar Sell 1/18/23 6,795 6,918 123
New Zealand Dollar Sell 1/18/23 5,334 4,767 (567)
Swedish Krona Sell 3/15/23 1,135 1,136 1
Barclays Bank PLC
Canadian Dollar Sell 1/18/23 61,083 60,569 (514)
Swiss Franc Buy 3/15/23 87,398 85,649 1,749
Citibank, N.A.
Australian Dollar Sell 1/18/23 9,537 9,073 (464)
British Pound Sell 3/15/23 375,184 378,653 3,469
Norwegian Krone Sell 3/15/23 6,552 6,452 (100)
Swedish Krona Sell 3/15/23 3,868 3,870 2
Goldman Sachs International
Swedish Krona Sell 3/15/23 196,337 196,891 554
Swiss Franc Buy 3/15/23 1,080,817 1,059,185 21,632
HSBC Bank USA, National Association
Australian Dollar Sell 1/18/23 72,075 68,967 (3,108)
British Pound Sell 3/15/23 205,031 206,933 1,902
Canadian Dollar Sell 1/18/23 32,425 32,327 (98)
New Zealand Dollar Sell 1/18/23 11,049 9,874 (1,175)
Norwegian Krone Buy 3/15/23 23,701 24,181 (480)
Swedish Krona Sell 3/15/23 92,915 95,186 2,271
Swiss Franc Sell 3/15/23 30,404 30,130 (274)
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 1/18/23 144,619 143,663 (956)
Euro Sell 3/15/23 6,884 6,763 (121)
Norwegian Krone Sell 3/15/23 11,692 11,427 (265)
Swiss Franc Buy 3/15/23 10,353 10,148 205
Morgan Stanley & Co. International PLC
Australian Dollar Buy 1/18/23 134,271 125,317 8,954
Canadian Dollar Buy 1/18/23 89,002 86,175 2,827
Euro Sell 3/15/23 831,104 816,624 (14,480)
Japanese Yen Buy 2/15/23 690,296 668,749 21,547
New Zealand Dollar Sell 1/18/23 1,294,860 1,157,609 (137,251)
State Street Bank and Trust Co.
Australian Dollar Sell 1/18/23 1,231,128 1,174,192 (56,936)
British Pound Sell 3/15/23 123,770 125,997 2,227
Canadian Dollar Sell 1/18/23 1,344,263 1,333,483 (10,780)
Euro Sell 3/15/23 3,271,173 3,212,169 (59,004)
New Zealand Dollar Buy 1/18/23 46,039 42,745 3,294
Norwegian Krone Sell 3/15/23 419,130 412,572 (6,558)
Swedish Krona Sell 3/15/23 676,221 676,267 46
Swiss Franc Buy 3/15/23 89,687 90,078 (391)
Toronto-Dominion Bank
British Pound Sell 3/15/23 32,214 32,517 303
Canadian Dollar Sell 1/18/23 1,198,683 1,188,926 (9,757)
Japanese Yen Buy 2/15/23 4,689 4,217 472
Norwegian Krone Sell 3/15/23 221,810 218,395 (3,415)
UBS AG
British Pound Buy 3/15/23 484 488 (4)
Canadian Dollar Sell 1/18/23 26,664 26,442 (222)
Euro Buy 3/15/23 538 535 3
Japanese Yen Buy 2/15/23 892,640 802,872 89,768
New Zealand Dollar Sell 1/18/23 28,195 27,199 (996)
Swedish Krona Sell 3/15/23 5,734 5,739 5
WestPac Banking Corp.
Australian Dollar Sell 1/18/23 161,453 153,599 (7,854)
Euro Sell 3/15/23 10,003 9,979 (24)
Japanese Yen Sell 2/15/23 26,666 24,239 (2,427)
New Zealand Dollar Sell 1/18/23 64,264 57,424 (6,840)
Swiss Franc Sell 3/15/23 4,904 4,933 29
Unrealized appreciation 162,027
Unrealized (depreciation) (325,061)
Total $(163,034)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 35 $7,177,734 $7,177,734 Mar-23 $(7,766)
U.S. Treasury Note 5 yr (Long) 123 13,275,352 13,275,352 Mar-23 (30,512)
U.S. Treasury Note Ultra 10 yr (Long) 72 8,516,250 8,516,250 Mar-23 (60,021)
Unrealized appreciation —
Unrealized (depreciation) (98,299)
Total $(98,299)








WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $275,000) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Put) Feb-23/$99.01 $39,468,750 $40,000,000 $446,240
Total $446,240








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $42,445,300 $(488,121) $1,087,449
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 42,445,300 (488,121) (299,664)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 29,258,100 401,567 321,254
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 14,629,100 (706,586) (540,253)
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 7,314,500 114,106 91,943
(3.343)/US SOFR/Dec-35 (Purchased) Dec-25/3.343 6,717,000 (435,597) 605
3.343/US SOFR/Dec-35 (Purchased) Dec-25/3.343 6,717,000 (435,597) (269)
(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) 579,689
2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 6,660,800 (865,904) (443,809)
(2.558)/US SOFR/Dec-57 (Purchased) Dec-27/2.558 6,426,700 (949,866) 146,336
2.558/US SOFR/Dec-57 (Purchased) Dec-27/2.558 6,426,700 (949,866) (217,030)
(2.47)/US SOFR/Dec-57 (Purchased) Dec-27/2.47 5,245,600 (778,972) 159,414
2.47/US SOFR/Dec-57 (Purchased) Dec-27/2.47 5,245,600 (778,972) (212,237)
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 5,120,200 (251,841) (192,724)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 4,995,700 363,437 57,251
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 4,995,700 363,437 (55,252)
(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) 559,969
0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 4,191,700 (300,126) (191,728)
(3.17)/US SOFR/Dec-35 (Purchased) Dec-25/3.17 2,865,000 (148,980) 50,080
2.67/US SOFR/Dec-35 (Purchased) Dec-25/2.67 2,865,000 (146,115) (32,145)
(3.18)/US SOFR/Dec-35 (Purchased) Dec-25/3.18 2,779,100 (140,345) 51,219
2.68/US SOFR/Dec-35 (Purchased) Dec-25/2.68 2,779,100 (140,345) (29,153)
(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) 292,091
0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 2,134,700 (155,833) (101,057)
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) 332,462
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 2,128,300 (277,211) (172,861)
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 1,978,300 154,505 18,616
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 1,978,300 154,505 (21,643)
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 927,600 (142,271) 132,081
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 927,600 (142,271) (79,866)
Barclays Bank PLC
(3.09)/US SOFR/Dec-42 (Purchased) Dec-32/3.09 7,760,400 (631,309) 73,181
3.09/US SOFR/Dec-42 (Purchased) Dec-32/3.09 7,760,400 (631,309) (35,698)
Citibank, N.A.
4.108/US SOFR/Jan-28 (Purchased) Jan-23/4.108 15,743,100 (225,913) 58,092
(4.108)/US SOFR/Jan-28 (Purchased) Jan-23/4.108 15,743,100 (225,913) (208,124)
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 15,721,800 (512,531) 846,147
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 15,721,800 (512,531) (281,263)
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) 226,724
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 10,644,300 (141,889) (62,908)
2.394/US SOFR/Sep-33 (Purchased) Sep-23/2.394 9,948,700 (120,379) (33,527)
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 6,632,800 (489,832) 429,938
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 6,632,800 (489,832) (198,188)
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 4,059,800 (303,876) 793,366
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 4,059,800 (303,876) (301,115)
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 3,532,900 (266,557) 705,414
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 3,532,900 (266,557) (264,190)
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 3,458,300 (255,655) 688,444
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 3,458,300 (255,655) (253,286)
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) 106,957
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 2,053,700 (149,612) (52,534)
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) 88,430
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 1,936,700 (285,663) (61,955)
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 35,361
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (73,198)
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) Mar-24/0.055 EUR 99,070,400 317,859 296,940
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) Mar-24/0.555 EUR 49,535,200 (312,472) (291,107)
Goldman Sachs International
3.92/US SOFR/Feb-33 (Purchased) Feb-23/3.92 $6,237,500 (136,289) 85,267
(3.92)/US SOFR/Feb-33 (Purchased) Feb-23/3.92 6,237,500 (136,289) (109,281)
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 6,009,600 (775,238) 318,749
2.40/US SOFR/May-57 (Purchased) May-27/2.40 6,009,600 (775,238) (205,769)
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 21,870
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (39,835)
JPMorgan Chase Bank N.A.
(3.0175)/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 12,853,300 (1,082,891) 123,135
3.0175/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 12,853,300 (1,082,891) (111,824)
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 9,935,900 212,007 165,333
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 9,935,900 212,007 (566,244)
(2.317)/US SOFR/Apr-42 (Written) Apr-32/2.317 2,137,300 181,029 60,421
2.317/US SOFR/Apr-42 (Written) Apr-32/2.317 2,137,300 181,029 (75,190)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 1,633,300 96,528 52,543
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 1,633,300 96,528 (133,686)
(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 4,466,700 (375,608) 75,299
3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 4,466,700 (375,608) (72,015)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) 264,129
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) (93,361)
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) 198,440
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (52,943)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) 174,914
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (38,285)
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) 179,660
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) (47,450)
Morgan Stanley & Co. International PLC
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 $1,191,600 (135,962) (31,637)
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (61,475)
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) 34,091
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) (62,139)
(2.3825)/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 392,600 (49,762) 21,691
2.3825/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 392,600 (49,762) (16,882)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) 164,906
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,751,900 (91,624) (56,937)
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) 39,791
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 713,100 (49,739) (17,300)
UBS AG
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) 82,000
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) (34,781)
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 997,300 (60,554) 17,885
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 997,300 (60,554) (12,915)
(3.292)/6 month EUR-EURIBOR/Oct-24 (Purchased) Oct-23/3.292 EUR 26,166,500 (150,915) (16,246)
3.292/6 month EUR-EURIBOR/Oct-24 (Purchased) Oct-23/3.292 EUR 26,166,500 (150,915) (88,231)
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) 279,899
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) (80,006)
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 1,424,900 (197,553) 128,032
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 1,424,900 (197,553) (82,213)
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) 126,213
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) (50,801)
Wells Fargo Bank, N.A.
3.0575/US SOFR/Jan-33 (Purchased) Jan-23/3.0575 USD 11,429,300 (86,291) (83,548)
Unrealized appreciation 10,843,721
Unrealized (depreciation) (6,947,778)
Total $3,895,943








TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $32,151,406) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 1/1/53 $1,000,000 1/23/2023 $918,780
Uniform Mortgage-Backed Securities, 5.00%, 1/1/53 7,000,000 1/12/2023 6,902,658
Uniform Mortgage-Backed Securities, 4.50%, 1/1/53 6,000,000 1/12/2023 5,783,437
Uniform Mortgage-Backed Securities, 4.00%, 1/1/53 2,000,000 1/12/2023 1,877,499
Uniform Mortgage-Backed Securities, 3.00%, 1/1/53 6,000,000 1/12/2023 5,271,094
Uniform Mortgage-Backed Securities, 2.50%, 1/1/53 7,000,000 1/12/2023 5,934,688
Uniform Mortgage-Backed Securities, 2.00%, 1/1/53 6,000,000 1/12/2023 4,897,313
Total $31,585,469










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$3,902,100 $733,009 $163,446 9/1/32 3 month USD-LIBOR-ICE — Quarterly 1.512% — Semiannually $(565,893)
10,525,000 423,210 509 12/23/23 0.695% — Annually US SOFR — Annually 433,208
9,137,000 928,228 785 12/23/26 1.085% — Annually US SOFR — Annually 936,360
3,751,000 651,099 453 12/23/31 1.285% — Annually US SOFR — Annually 654,380
1,989,000 656,748 (3,542) 12/23/51 US SOFR — Annually 1.437% — Annually (661,714)
17,549,000 705,294 (1,786) 12/24/23 0.697% — Annually US SOFR — Annually 710,535
2,253,000 228,071 (302) 12/24/26 1.096% — Annually US SOFR — Annually 228,572
4,722,000 819,786 (2,108) 12/24/31 1.285% — Annually US SOFR — Annually 819,261
8,061,000 2,664,564 (4,356) 12/24/51 1.435% — Annually US SOFR — Annually 2,662,774
3,679,000 1,155,280 (600) 12/31/51 1.525% — Annually US SOFR — Annually 1,155,247
1,496,000 149,794 (198) 12/31/26 US SOFR — Annually 1.135% — Annually (150,256)
392,000 66,072 7,059 12/31/31 US SOFR — Annually 1.355% — Annually (59,077)
994,900 65,624 (E) (22) 1/15/47 1.724% — Annually US SOFR — Annually 65,601
2,639,000 754,648 (90) 1/21/52 1.679% — Annually US SOFR — Annually 750,478
1,659,000 490,533 (57) 1/19/52 US SOFR — Annually 1.626% — Annually (491,847)
1,097,000 318,700 (37) 2/1/52 1.6545% — Annually US SOFR — Annually 317,437
4,024,900 1,017,696 (137) 2/24/52 US SOFR — Annually 1.86% — Annually (1,010,382)
2,096,000 565,689 (72) 2/29/52 1.7674% — Annually US SOFR — Annually 565,104
1,764,000 247,754 (23) 2/29/32 US SOFR — Annually 1.75% — Annually (246,461)
11,852,000 977,434 (96) 2/28/27 1.675% — Annually US SOFR — Annually 1,002,310
19,510,000 742,356 (74) 2/29/24 US SOFR — Annually 1.47709% — Annually (815,996)
1,854,000 270,239 (25) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (264,853)
8,064,200 1,262,289 (107) 3/9/32 1.5475% — Annually US SOFR — Annually 1,278,372
8,361,800 1,312,803 (111) 3/9/32 1.5415% — Annually US SOFR — Annually 1,330,928
4,408,000 625,583 (58) 3/11/32 1.737% — Annually US SOFR — Annually 627,084
1,342,000 39,200 (5) 4/7/24 US SOFR — Annually 2.4485% — Annually (33,900)
276,000 14,647 (2) 4/7/27 2.469% — Annually US SOFR — Annually 13,596
296,000 28,567 (4) 4/7/23 2.3305% — Annually US SOFR — Annually 27,765
118,000 24,617 (4) 4/7/52 US SOFR — Annually 2.1005% — Annually (24,488)
5,761,000 481,677 (76) 4/14/32 2.4975% — Annually US SOFR — Annually 450,929
4,987,000 820,312 (170) 4/14/52 US SOFR — Annually 2.3395% — Annually (800,557)
1,381,000 72,710 (11) 4/14/27 2.483% — Annually US SOFR — Annually 67,263
1,765,000 53,144 (7) 4/14/24 US SOFR — Annually 2.403% — Annually (47,096)
14,654,000 659,577 (138) 5/2/27 US SOFR — Annually 2.685% — Annually (628,461)
25,078,600 740,320 (95) 5/25/24 2.5945% — Annually US SOFR — Annually 732,263
1,040,000 139,901 (35) 5/25/52 US SOFR — Annually 2.501% — Annually (138,450)
801,300 72,013 (E) (27) 5/28/57 2.40% — Annually US SOFR — Annually 71,986
2,133,000 136,747 (28) 6/7/32 US SOFR — Annually 2.7565% — Annually (130,829)
1,727,000 193,545 (59) 6/7/52 US SOFR — Annually 2.622% — Annually (191,533)
32,149,300 1,887,164 (426) 6/8/32 US SOFR — Annually 2.825% — Annually (1,837,476)
1,596,200 353,766 (200,345) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 154,595
26,508,000 527,774 (100) 6/15/24 US SOFR — Annually 3.3385% — Annually (437,868)
17,825,000 451,686 (144) 6/15/27 3.185% — Annually US SOFR — Annually 406,219
2,377,100 94,965 (34) 9/8/32 US SOFR — Annually 3.07% — Annually (96,743)
3,722,900 214,439 (E) (53) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 214,386
8,267,900 688,716 (E) (117) 1/31/33 2.545% — Annually US SOFR — Annually 688,599
8,267,900 685,326 (E) (117) 1/31/33 2.55% — Annually US SOFR — Annually 685,209
7,787,200 680,757 (E) (110) 2/1/33 2.495% — Annually US SOFR — Annually 680,647
7,842,000 715,975 (104) 8/2/32 US SOFR — Annually 2.4275% — Annually (733,908)
7,614,200 720,989 (E) (108) 2/1/33 2.4075% — Annually US SOFR — Annually 720,881
754,900 33,978 (E) (15) 4/1/42 US SOFR — Annually 2.63% — Annually (33,993)
1,043,000 75,294 (E) (16) 3/24/35 US SOFR — Annually 2.39% — Annually (75,310)
2,268,200 264,336 (67) 8/10/42 2.645% — Annually US SOFR — Annually 268,777
3,844,400 469,670 (8,571) 8/10/42 US SOFR — Annually 2.605% — Annually (485,751)
1,576,300 195,572 (47) 8/10/42 2.5915% — Annually US SOFR — Annually 198,680
6,381,000 269,725 (E) (60) 2/6/29 2.40% — Annually US SOFR — Annually 269,665
12,988,000 995,141 (171) 8/16/32 US SOFR — Annually 2.613% — Annually (1,020,921)
1,474,900 38,052 (E) (33) 1/15/47 2.49% — Annually US SOFR — Annually 38,020
223,000 13,003 (3) 8/25/32 US SOFR — Annually 2.8415% — Annually (13,280)
936,000 38,994 (E) (14) 2/21/35 2.785% — Annually US SOFR — Annually 38,980
14,923,900 294,449 (56) 9/6/24 US SOFR — Annually 3.413% — Annually (288,633)
7,341,100 63,647 (E) (41) 1/15/27 US SOFR — Annually 2.73% — Annually (63,688)
7,141,200 301,144 (94) 9/13/32 3.043% — Annually US SOFR — Annually 307,029
1,315,800 29,342 (E) (26) 1/15/41 3.0500% — Annually US SOFR — Annually 29,317
750,900 18,157 (E) (15) 1/15/42 2.9825% — Annually US SOFR — Annually 18,142
2,549,000 149,575 (87) 9/26/52 2.905% — Annually US SOFR — Annually 153,080
13,256,000 177,630 (125) 9/26/27 US SOFR — Annually 3.465% — Annually (176,428)
834,000 21,859 (11) 9/19/32 3.24% — Annually US SOFR — Annually 22,223
4,964,000 45,718 (66) 9/26/32 US SOFR — Annually 3.449% — Annually (45,501)
1,989,700 5,591 (E) (28) 10/3/33 3.394% — Annually US SOFR — Annually 5,563
5,427,000 5,915 (44) 10/4/27 3.75% — Annually US SOFR — Annually 2,060
13,638,000 106,513 (180) 10/5/32 US SOFR — Annually 3.466% — Annually (108,001)
1,626,000 30,309 (E) (24) 10/21/36 US SOFR — Annually 3.116% — Annually (30,333)
657,000 11,708 (E) (9) 1/11/33 US SOFR — Annually 3.34% — Annually (11,717)
2,307,000 40,465 (E) (33) 1/31/33 US SOFR — Annually 3.337% — Annually (40,497)
2,307,000 41,226 (E) (33) 1/31/33 US SOFR — Annually 3.333% — Annually (41,259)
4,832,000 83,545 (E) (68) 8/23/33 US SOFR — Annually 3.237% — Annually (83,613)
2,154,000 39,763 (E) (30) 2/1/33 US SOFR — Annually 3.3255% — Annually (39,793)
4,646,000 83,070 (E) (66) 9/1/33 US SOFR — Annually 3.225% — Annually (83,136)
145,000 2,546 (2) 11/14/32 3.347% — Annually US SOFR — Annually 2,610
681,000 35,276 (E) (23) 2/3/53 2.9275% — Annually US SOFR — Annually 35,253
1,807,000 35,995 (E) (25) 2/1/33 US SOFR — Annually 3.308% — Annually (36,021)
39,127,000 271,150 (147) 10/7/24 US SOFR — Annually 4.1845% — Annually (215,437)
7,956,000 39,780 (105) 10/7/32 3.5005% — Annually US SOFR — Annually 37,250
78,254,000 535,257 17,918 10/7/24 4.19% — Annually US SOFR — Annually 440,406
37,412,000 71,831 (8,845) 10/7/27 US SOFR — Annually 3.73% — Annually (67,875)
65,239,000 328,805 (25,648) 10/7/32 3.50% — Annually US SOFR — Annually 316,679
15,912,000 67,308 (15,237) 10/7/32 US SOFR — Annually 3.51% — Annually (85,462)
18,659,000 588,132 12,495 10/7/52 US SOFR — Annually 3.05% — Annually (599,561)
6,207,000 10,490 (E) (43) 4/8/28 3.44% — Annually US SOFR — Annually (10,533)
16,875,000 21,094 (E) (63) 1/31/25 US SOFR — Annually 4.035% — Annually 21,030
2,285,900 19,979 (E) (32) 1/17/33 3.6575% — Annually US SOFR — Annually (20,011)
685,000 6,994 (E) (23) 1/16/55 2.97% — Annually US SOFR — Annually 6,971
12,730,000 41,245 (E) (71) 1/16/26 US SOFR — Annually 3.605% — Annually 41,175
2,662,000 19,459 (91) 10/20/52 US SOFR — Annually 3.2571% — Annually 18,222
6,427,800 85,490 (E) (219) 10/9/54 3.115% — Annually US SOFR — Annually (85,708)
26,139,900 357,855 (E) (369) 10/10/33 US SOFR — Annually 3.594% — Annually 357,487
199,000 4,444 (7) 10/20/52 US SOFR — Annually 3.3375% — Annually 4,384
784,600 14,892 (E) (27) 1/24/55 3.135% — Annually US SOFR — Annually (14,918)
2,425,600 32,697 (E) (23) 4/13/28 3.965% — Annually US SOFR — Annually (32,720)
802,200 14,464 (E) (12) 4/4/35 3.5575% — Annually US SOFR — Annually (14,476)
1,604,300 18,417 (E) (18) 5/8/30 US SOFR — Annually 3.52% — Annually 18,399
2,196,500 5,381 (E) (19) 4/4/32 3.515% — Annually US SOFR — Annually (5,401)
13,161,200 322,976 (E) (186) 11/24/33 US SOFR — Annually 3.708% — Annually 322,790
4,928,000 119,701 (E) (69) 6/6/34 US SOFR — Annually 3.645% — Annually 119,632
376,100 7,481 (E) (6) 2/19/36 US SOFR — Annually 3.6145% — Annually 7,475
278,800 5,504 (E) (4) 3/3/36 US SOFR — Annually 3.614% — Annually 5,499
3,276,000 148,567 (111) 10/24/52 US SOFR — Annually 3.4605% — Annually 147,692
9,691,400 38,475 (E) (36) 6/26/25 US SOFR — Annually 4.31% — Annually 38,439
1,928,000 108,122 (66) 10/27/32 3.5176% — Annually US SOFR — Annually (108,199)
4,390,900 131,244 (E) (62) 12/4/33 US SOFR — Annually 3.77% — Annually 131,182
1,468,300 19,558 (E) (16) 3/24/32 US SOFR — Annually 3.64% — Annually 19,541
3,580,900 80,284 (E) (54) 6/28/37 US SOFR — Annually 3.70% — Annually 80,230
813,900 18,117 (E) (16) 6/20/40 US SOFR — Annually 3.75% — Annually 18,102
9,533,000 63,680 (77) 11/1/27 3.9195% — Annually US SOFR — Annually (68,076)
17,241,000 68,619 (65) 11/9/24 US SOFR — Annually 4.7655% — Annually 101,097
12,462,000 328,498 (165) 11/14/32 3.88% — Annually US SOFR — Annually (331,853)
6,000,000 53,640 (79) 11/21/32 3.4515% — Annually US SOFR — Annually 56,940
749,200 5,117 (10) 11/25/32 3.477% — Annually US SOFR — Annually 5,082
24,017,000 67,248 (90) 12/5/24 4.3515% — Annually US SOFR — Annually 53,400
2,000,000 69,440 (26) 12/9/32 3.14% — Annually US SOFR — Annually 69,513
1,398,800 102,924 (E) (48) 12/10/57 2.47% — Annually US SOFR — Annually 102,876
1,606,700 95,229 (E) (55) 12/13/57 2.558% — Annually US SOFR — Annually 95,174
5,841,000 149,997 (E) (26,483) 3/15/33 US SOFR — Annually 3.22% — Annually (176,480)
7,247,000 20,437 (E) 25,675 3/15/25 4.19% — Annually US SOFR — Annually 46,112
73,790,000 380,019 (E) (511,944) 3/15/30 US SOFR — Annually 3.50% — Annually (891,963)
178,571,000 807,141 (E) (579,031) 3/15/25 4.10% — Annually US SOFR — Annually 228,110
30,857,000 13,269 (E) 123,860 3/15/28 3.70% — Annually US SOFR — Annually 110,591
85,969,000 1,638,569 (E) (1,203,397) 3/15/33 3.30% — Annually US SOFR — Annually 435,173
12,097,000 660,254 (E) 591,305 3/15/53 US SOFR — Annually 2.90% — Annually (68,949)
2,012,000 15,050 (27) 12/29/32 3.468% — Annually US SOFR — Annually 15,163
1,658,000 6,334 (56) 12/29/52 US SOFR — Annually 3.1925% — Annually (6,543)
1,376,000 13,760 (47) 12/30/52 3.1595% — Annually US SOFR — Annually 13,800
18,272,000 13,887 (241) 1/3/33 US SOFR — Annually 3.5475% — Annually (14,128)
25,828,000 24,537 (208) 1/3/28 3.7245% — Annually US SOFR — Annually 24,329
1,658,000 4,294 (22) 1/3/33 US SOFR — Annually 3.5255% — Annually (4,316)
AUD 79,300 12,188 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 12,187
AUD 266,900 43,974 (E) (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 43,972
AUD 99,100 16,659 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 16,658
AUD 155,200 21,234 (E) (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 21,232
AUD 579,100 85,736 (E) (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 85,729
AUD 37,200 9,408 (E) (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 9,408
AUD 1,800,000 222,667 (20) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (226,980)
AUD 1,473,400 275,288 256,365 11/24/42 6 month AUD-BBR-BBSW — Semiannually 2.50% — Semiannually (20,093)
AUD 2,539,000 73,866 (E) 5,524 3/15/33 6 month AUD-BBR-BBSW — Semiannually 4.05% — Semiannually (68,343)
AUD 6,421,000 31,345 (E) (4,171) 3/15/25 3.72% — Quarterly 3 month AUD-BBR-BBSW — Quarterly 27,175
CAD 4,477,000 16,070 (E) 18,490 3/15/25 4.15% — Semiannually 3 month CAD-BA-CDOR — Semiannually 34,560
CAD 845,000 24,982 (E) (13,892) 3/15/33 3.24% — Semiannually 3 month CAD-BA-CDOR — Semiannually 11,090
CHF 1,508,000 83,355 (E) 2,498 3/15/33 Swiss Average Rate Overnight — Annually 1.55% — Annually (80,857)
EUR 512,400 58,865 (E) (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR — Semiannually 58,845
EUR 696,900 176,548 (27) 2/19/50 6 month EUR-EURIBOR — Semiannually 1.354% — Annually (170,325)
EUR 770,000 208,914 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR — Semiannually 204,177
EUR 778,400 219,908 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR — Semiannually 215,552
EUR 898,100 271,962 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR — Semiannually 268,583
EUR 802,800 113,684 (E) (30) 11/29/58 6 month EUR-EURIBOR — Semiannually 1.343% — Annually (113,715)
EUR 929,000 292,059 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR — Semiannually 286,151
EUR 741,300 210,379 (E) (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR — Semiannually 210,351
EUR 676,400 232,747 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR — Semiannually 229,316
EUR 395,500 144,367 (15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR — Semiannually 142,801
EUR 1,468,500 583,604 (E) (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR — Semiannually 583,548
EUR 906,000 417,986 (E) (34) 6/6/54 6 month EUR-EURIBOR — Semiannually 0.207% — Annually (418,020)
EUR 1,215,200 582,308 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR — Semiannually 583,262
EUR 4,960,100 2,015,076 (187) 2/19/50 6 month EUR-EURIBOR — Semiannually 0.595% — Annually (2,003,663)
EUR 574,000 278,070 (E) (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR — Semiannually 278,049
EUR 260,400 145,778 (E) (10) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR — Semiannually 145,768
EUR 1,696,600 329,046 (E) (36) 5/13/40 6 month EUR-EURIBOR — Semiannually 0.276% — Annually (329,082)
EUR 833,300 157,992 (E) (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 157,974
EUR 1,129,700 220,332 (E) (26) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 220,306
EUR 388,100 74,692 (E) (9) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR — Semiannually 74,683
EUR 1,055,800 451,801 (43) 5/21/51 6 month EUR-EURIBOR — Semiannually 0.516% — Annually (451,403)
EUR 1,088,000 258,319 (19) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR — Semiannually 258,729
EUR 924,200 228,402 (16) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR — Semiannually 229,700
EUR 311,700 144,314 (13) 9/14/52 6 month EUR-EURIBOR — Semiannually 0.374% — Annually (145,407)
EUR 2,980,000 649,759 (48) 3/7/32 6 month EUR-EURIBOR — Semiannually 0.60% — Annually (647,640)
EUR 1,979,000 41,394 (E) (31) 2/2/36 2.875% — Annually 6 month EUR-EURIBOR — Semiannually 41,363
EUR 3,328,000 165,405 (50) 9/8/32 2.615% — Annually 6 month EUR-EURIBOR — Semiannually 152,070
EUR 12,135,300 434,653 (E) (46) 6/28/25 1.718% — Annually 6 month EUR-EURIBOR — Semiannually 434,607
EUR 1,086,000 206,950 (37) 8/29/52 6 month EUR-EURIBOR — Semiannually 1.636% — Annually (204,648)
EUR 4,028,500 262,878 (E) (46) 9/12/29 1.71% — Annually 6 month EUR-EURIBOR — Semiannually 262,832
EUR 13,022,000 1,093,546 (125) 9/2/27 6 month EUR-EURIBOR — Semiannually 1.372% — Annually (1,087,198)
EUR 471,400 39,874 (E) (16) 6/6/54 2.005% — Annually 6 month EUR-EURIBOR — Semiannually 39,858
EUR 696,000 50,089 (E) (24) 6/7/54 2.065% — Annually 6 month EUR-EURIBOR — Semiannually 50,065
EUR 1,842,600 24,655 (E) (27) 2/18/36 6 month EUR-EURIBOR — Semiannually 3.285% — Annually 24,628
EUR 471,400 6,131 (E) (9) 8/22/39 6 month EUR-EURIBOR — Semiannually 3.14% — Annually 6,122
EUR 10,780,600 27,581 (E) (73) 6/26/28 6 month EUR-EURIBOR — Semiannually 3.26% — Annually 27,508
EUR 865,300 11,263 (E) (17) 3/28/40 6 month EUR-EURIBOR — Semiannually 3.09% — Annually 11,247
EUR 704,000 37,853 (E) 699 3/15/33 2.625% — Annually 6 month EUR-EURIBOR — Semiannually 38,552
EUR 8,416,000 102,702 (E) 78 3/15/25 2.90% — Annually 6 month EUR-EURIBOR — Semiannually 102,779
GBP 703,500 182,066 (14) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (187,901)
GBP 41,615,900 1,193,390 34,472 9/15/23 Sterling Overnight Index Average — Annually 0.84% — Annually (1,377,105)
GBP 41,615,900 1,248,229 51,766 9/15/23 Sterling Overnight Index Average — Annually 0.68% — Annually (1,442,793)
GBP 41,615,900 1,303,069 (80,821) 9/15/23 0.52% — Annually Sterling Overnight Index Average — Annually 1,491,550
GBP 16,646,400 446,566 (86) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 520,587
GBP 7,382,000 167,691 (111) 9/21/32 3.522% — Annually Sterling Overnight Index Average — Annually 145,605
GBP 751,000 4,912 (E) (16) 1/14/40 3.306% — Annually Sterling Overnight Index Average — Annually 4,896
GBP 387,000 2,686 (E) (8) 8/20/39 3.299% — Annually Sterling Overnight Index Average — Annually 2,677
GBP 24,583,000 523,362 (103) 11/7/24 5.495% — Annually Sterling Overnight Index Average — Annually (641,074)
GBP 9,834,000 570,544 (156) 11/9/32 Sterling Overnight Index Average — Annually 4.35% — Annually 594,770
GBP 552,800 17,389 (E) (12) 2/26/39 Sterling Overnight Index Average — Annually 3.778% — Annually 17,377
GBP 2,250,000 11,370 (E) 244 3/15/25 4.29% — Annually Sterling Overnight Index Average — Annually 11,614
GBP 595,000 17,062 (E) (19) 3/15/33 Sterling Overnight Index Average — Annually 3.45% — Annually (17,082)
NOK 8,900,000 24,756 (E) (2,080) 3/15/33 6 month NOK-NIBOR-NIBR — Semiannually 2.965% — Annually (26,835)
NZD 1,397,000 31,593 (E) (1,467) 3/15/33 3 month NZD-BBR-FRA — Quarterly 4.36% — Semiannually (33,060)
SEK 25,823,000 130,020 (E) 3,778 3/15/33 2.52% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 133,790
Total $(1,386,829) $7,314,140
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC
$1,075,356 $952,979 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually $(111,201)
1,032,736 984,262 — 7/17/24 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly (48,309)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (159,510)
Total $— Total $(159,510)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BB-/P $4,375 $40,550 $9,943 5/11/63 300 bp — Monthly $(5,543)
CMBX NA BBB-.6 Index BB-/P 3,933 43,718 10,720 5/11/63 300 bp — Monthly (6,760)
CMBX NA BBB-.6 Index BB-/P 5,424 57,023 13,982 5/11/63 300 bp — Monthly (8,523)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A/P 5,372 20,641 2,778 5/11/63 200 bp — Monthly 2,602
CMBX NA A.6 Index A/P 5,963 21,559 2,902 5/11/63 200 bp — Monthly 3,071
CMBX NA A.6 Index A/P 7,354 24,311 3,272 5/11/63 200 bp — Monthly 4,092
CMBX NA A.6 Index A/P 10,961 32,567 4,384 5/11/63 200 bp — Monthly 6,591
CMBX NA A.6 Index A/P 12,898 35,319 4,754 5/11/63 200 bp — Monthly 8,159
CMBX NA A.6 Index A/P 11,798 35,778 4,816 5/11/63 200 bp — Monthly 6,997
CMBX NA A.6 Index A/P 28,477 73,849 9,940 5/11/63 200 bp — Monthly 18,568
CMBX NA A.6 Index A/P 20,798 81,188 10,928 5/11/63 200 bp — Monthly 9,904
CMBX NA A.6 Index A/P 48,213 133,021 17,905 5/11/63 200 bp — Monthly 30,365
CMBX NA BB.11 Index BB-/P 77,970 138,000 29,546 11/18/54 500 bp — Monthly 48,558
CMBX NA BB.13 Index BB-/P 6,698 67,000 17,668 12/16/72 500 bp — Monthly (10,904)
CMBX NA BB.13 Index BB-/P 16,037 176,000 46,411 12/16/72 500 bp — Monthly (30,203)
CMBX NA BB.13 Index BB-/P 26,330 279,000 73,572 12/16/72 500 bp — Monthly (46,971)
CMBX NA BB.13 Index BB-/P 48,322 530,000 139,761 12/16/72 500 bp — Monthly (90,924)
CMBX NA BB.14 Index BB/P 13,266 121,000 28,895 12/16/72 500 bp — Monthly (15,511)
CMBX NA BB.6 Index B/P 114,187 194,855 74,552 5/11/63 500 bp — Monthly 39,825
CMBX NA BB.6 Index B/P 119,351 568,840 217,638 5/11/63 500 bp — Monthly (97,734)
CMBX NA BB.7 Index B-/P 64,660 1,267,000 422,671 1/17/47 500 bp — Monthly (356,783)
CMBX NA BB.9 Index B/P 3,258 16,000 4,979 9/17/58 500 bp — Monthly (1,706)
CMBX NA BB.9 Index B/P 32,267 158,000 49,170 9/17/58 500 bp — Monthly (16,749)
CMBX NA BBB-.10 Index BB+/P 12,532 101,000 17,503 11/17/59 300 bp — Monthly (4,912)
CMBX NA BBB-.10 Index BB+/P 20,182 185,000 32,061 11/17/59 300 bp — Monthly (11,770)
CMBX NA BBB-.11 Index BBB-/P 3,883 62,000 9,412 11/18/54 300 bp — Monthly (5,492)
CMBX NA BBB-.14 Index BBB-/P 976 22,000 4,092 12/16/72 300 bp — Monthly (3,103)
CMBX NA BBB-.14 Index BBB-/P 1,336 27,000 5,022 12/16/72 300 bp — Monthly (3,670)
CMBX NA BBB-.14 Index BBB-/P 935 30,000 5,580 12/16/72 300 bp — Monthly (4,628)
CMBX NA BBB-.14 Index BBB-/P 1,209 37,000 6,882 12/16/72 300 bp — Monthly (5,651)
CMBX NA BBB-.14 Index BBB-/P 1,626 50,000 9,300 12/16/72 300 bp — Monthly (7,645)
CMBX NA BBB-.14 Index BBB-/P 4,250 85,000 15,810 12/16/72 300 bp — Monthly (11,510)
CMBX NA BBB-.15 Index BBB-/P 5,223 50,000 9,585 11/18/64 300 bp — Monthly (4,333)
CMBX NA BBB-.15Index BBB-/P 2,039 12,000 2,300 11/18/64 300 bp — Monthly (254)
Credit Suisse International
CMBX NA BB.7 Index B-/P 30,497 228,000 76,061 1/17/47 500 bp — Monthly (45,342)
CMBX NA BBB-.7 Index BB-/P 51,226 780,000 166,998 1/17/47 300 bp — Monthly (115,317)
Goldman Sachs International
CMBX NA BB.6 Index B/P 106,107 212,631 81,353 5/11/63 500 bp — Monthly 24,961
CMBX NA BB.6 Index B/P 121,547 252,286 96,525 5/11/63 500 bp — Monthly 25,267
CMBX NA BB.9 Index B/P 4,448 11,000 3,423 9/17/58 500 bp — Monthly 1,036
CMBX NA BBB-.13 Index BBB-/P 1,900 12,000 2,436 12/16/72 300 bp — Monthly (529)
CMBX NA BBB-.13 Index BBB-/P 1,906 32,000 6,496 12/16/72 300 bp — Monthly (4,571)
CMBX NA BBB-.13 Index BBB-/P 2,443 38,000 7,714 12/16/72 300 bp — Monthly (5,249)
CMBX NA BBB-.13 Index BBB-/P 2,484 42,000 8,526 12/16/72 300 bp — Monthly (6,017)
CMBX NA BBB-.13 Index BBB-/P 7,522 48,000 9,744 12/16/72 300 bp — Monthly (2,194)
CMBX NA BBB-.13 Index BBB-/P 4,148 66,000 13,398 12/16/72 300 bp — Monthly (9,211)
CMBX NA BBB-.13 Index BBB-/P 5,981 130,000 26,390 12/16/72 300 bp — Monthly (20,333)
CMBX NA BBB-.14 Index BBB-/P 25,508 149,000 27,714 12/16/72 300 bp — Monthly (2,119)
CMBX NA BBB-.14 Index BBB-/P 62,290 410,000 76,260 12/16/72 300 bp — Monthly (13,731)
CMBX NA BBB-.15 Index BBB-/P 808 13,000 2,492 11/18/64 300 bp — Monthly (1,677)
CMBX NA BBB-.15 Index BBB-/P 8,411 91,000 17,445 11/18/64 300 bp — Monthly (8,980)
CMBX NA BBB-.15 Index BBB-/P 8,103 91,000 17,445 11/18/64 300 bp — Monthly (9,289)
CMBX NA BBB-.7 Index BB-/P 26,578 312,000 66,799 1/17/47 300 bp — Monthly (40,040)
CMBX NA BBB-.7 Index BB-/P 90,359 1,040,000 222,664 1/17/47 300 bp — Monthly (131,698)
JPMorgan Securities LLC
CMBX NA BB.10 Index B/P 9,629 120,000 38,256 5/11/63 500 bp — Monthly (28,511)
CMBX NA BBB-.13 Index BBB-/P 16,787 127,000 25,781 12/16/72 300 bp — Monthly (8,920)
CMBX NA BBB-.8 Index BB/P 17,933 115,000 18,285 10/17/57 300 bp — Monthly (285)
Merrill Lynch International
CMBX NA BB.6 Index B/P 13,977 85,463 32,698 5/11/63 500 bp — Monthly (18,638)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 182 2,000 527 12/16/72 500 bp — Monthly (343)
CMBX NA BB.13 Index BB-/P 4,929 53,000 13,976 12/16/72 500 bp — Monthly (8,995)
CMBX NA BB.13 Index BB-/P 6,326 66,000 17,404 12/16/72 500 bp — Monthly (11,014)
CMBX NA BB.13 Index BB-/P 7,574 82,000 21,623 12/16/72 500 bp — Monthly (13,969)
CMBX NA BB.13 Index BB-/P 25,708 280,000 73,836 12/16/72 500 bp — Monthly (47,856)
CMBX NA BB.6 Index B/P 4,741 26,664 10,202 5/11/63 500 bp — Monthly (5,435)
CMBX NA BB.6 Index B/P 8,676 32,818 12,556 5/11/63 500 bp — Monthly (3,848)
CMBX NA BB.6 Index B/P 63,000 102,555 39,238 5/11/63 500 bp — Monthly 23,862
CMBX NA BB.6 Index B/P 116,279 187,334 71,674 5/11/63 500 bp — Monthly 44,787
CMBX NA BB.6 Index B/P 102,255 206,478 78,998 5/11/63 500 bp — Monthly 23,457
CMBX NA BBB-.14 Index BBB-/P 18,593 113,000 21,018 12/16/72 300 bp — Monthly (2,359)
CMBX NA BBB-.14 Index BBB-/P 62,590 377,000 70,122 12/16/72 300 bp — Monthly (7,312)
CMBX NA BBB-.15 Index BBB-/P 35,159 223,000 42,749 11/18/64 300 bp — Monthly (7,460)
CMBX NA BBB-.9 Index BB+/P 874 9,000 1,697 9/17/58 300 bp — Monthly (818)
Upfront premium received 1,819,581 Unrealized appreciation 322,102
Upfront premium (paid) — Unrealized (depreciation) (1,333,339)
Total $1,819,581 Total $(1,011,237)
* 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, 2022. 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 12/31/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(95,717) $397,000 $126,564 11/17/59 (500 bp) — Monthly $30,460
CMBX NA BB.10 Index (65,025) 255,000 81,294 11/17/59 (500 bp) — Monthly 16,021
CMBX NA BB.10 Index (14,611) 140,000 44,632 11/17/59 (500 bp) — Monthly 29,885
CMBX NA BB.10 Index (12,500) 114,000 36,343 11/17/59 (500 bp) — Monthly 23,732
CMBX NA BB.11 Index (13,993) 108,000 23,123 11/18/54 (500 bp) — Monthly 9,025
CMBX NA BB.11 Index (1,556) 30,000 6,423 11/18/54 (500 bp) — Monthly 4,838
CMBX NA BB.8 Index (36,522) 102,429 36,977 10/17/57 (500 bp) — Monthly 355
CMBX NA BB.8 Index (8,940) 69,575 25,116 10/17/57 (500 bp) — Monthly 16,109
CMBX NA BBB-.10 Index (47,799) 278,000 48,177 11/17/59 (300 bp) — Monthly 217
CMBX NA BBB-.10 Index (55,015) 237,000 41,072 11/17/59 (300 bp) — Monthly (14,081)
CMBX NA BBB-.10 Index (28,062) 221,000 38,299 11/17/59 (300 bp) — Monthly 10,108
CMBX NA BBB-.10 Index (24,448) 112,000 19,410 11/17/59 (300 bp) — Monthly (5,104)
CMBX NA BBB-.10 Index (23,069) 106,000 18,370 11/17/59 (300 bp) — Monthly (4,761)
CMBX NA BBB-.10 Index (14,314) 60,000 10,398 11/17/59 (300 bp) — Monthly (3,951)
CMBX NA BBB-.10 Index (6,246) 49,000 8,492 11/17/59 (300 bp) — Monthly 2,217
CMBX NA BBB-.10 Index (4,717) 37,000 6,412 11/17/59 (300 bp) — Monthly 1,674
CMBX NA BBB-.10 Index (3,793) 31,000 5,372 11/17/59 (300 bp) — Monthly 1,562
CMBX NA BBB-.12 Index (68,500) 205,000 37,064 8/17/61 (300 bp) — Monthly (31,556)
CMBX NA BBB-.12 Index (67,433) 194,000 35,075 8/17/61 (300 bp) — Monthly (32,471)
CMBX NA BBB-.12 Index (13,080) 190,000 34,352 8/17/61 (300 bp) — Monthly 21,161
CMBX NA BBB-.12 Index (51,320) 146,000 26,397 8/17/61 (300 bp) — Monthly (25,008)
CMBX NA BBB-.12 Index (21,794) 124,000 22,419 8/17/61 (300 bp) — Monthly 553
CMBX NA BBB-.12 Index (17,158) 101,000 18,261 8/17/61 (300 bp) — Monthly 1,044
CMBX NA BBB-.12 Index (240) 4,000 723 8/17/61 (300 bp) — Monthly 481
CMBX NA BBB-.13 Index (6,199) 106,000 21,518 12/16/72 (300 bp) — Monthly 15,257
CMBX NA BBB-.13 Index (2,546) 50,000 10,150 12/16/72 (300 bp) — Monthly 7,575
CMBX NA BBB-.13 Index (1,971) 36,000 7,308 12/16/72 (300 bp) — Monthly 5,316
CMBX NA BBB-.13 Index (202) 4,000 812 12/16/72 (300 bp) — Monthly 608
CMBX NA BBB-.6 Index (41,772) 141,291 34,645 5/11/63 300 bp — Monthly (7,214)
CMBX NA BBB-.8 Index (28,200) 188,000 29,892 10/17/57 (300 bp) — Monthly 1,582
CMBX NA BBB-.8 Index (7,631) 55,000 8,745 10/17/57 (300 bp) — Monthly 1,082
CMBX NA BBB-.8 Index (7,354) 53,000 8,427 10/17/57 (300 bp) — Monthly 1,042
CMBX NA BBB-.8 Index (4,268) 27,000 4,293 10/17/57 (300 bp) — Monthly 9
CMBX NA BBB-.9 Index (4,495) 19,000 3,583 9/17/58 (300 bp) — Monthly (923)
Credit Suisse International
CMBX NA BB.10 Index (38,693) 290,000 92,452 11/17/59 (500 bp) — Monthly 53,477
CMBX NA BB.10 Index (34,367) 289,000 92,133 11/17/59 (500 bp) — Monthly 57,485
CMBX NA BB.10 Index (18,893) 152,000 48,458 11/17/59 (500 bp) — Monthly 29,416
CMBX NA BB.7 Index (61,796) 335,000 111,756 1/17/47 (500 bp) — Monthly 49,634
CMBX NA BB.7 Index (4,770) 29,000 9,674 1/17/47 (500 bp) — Monthly 4,876
Goldman Sachs International
CMBX NA A.6 Index (13,345) 62,382 8,397 5/11/63 (200 bp) — Monthly (4,975)
CMBX NA A.6 Index (7,995) 37,613 5,063 5/11/63 (200 bp) — Monthly (2,948)
CMBX NA A.6 Index (7,359) 34,402 4,630 5/11/63 (200 bp) — Monthly (2,744)
CMBX NA A.6 Index (4,240) 29,356 3,951 5/11/63 (200 bp) — Monthly (301)
CMBX NA A.6 Index (5,333) 24,311 3,272 5/11/63 (200 bp) — Monthly (2,071)
CMBX NA A.6 Index (4,747) 22,476 3,025 5/11/63 (200 bp) — Monthly (1,731)
CMBX NA A.6 Index (4,263) 20,182 2,717 5/11/63 (200 bp) — Monthly (1,555)
CMBX NA A.6 Index (4,263) 20,182 2,717 5/11/63 (200 bp) — Monthly (1,555)
CMBX NA A.6 Index (4,246) 19,724 2,655 5/11/63 (200 bp) — Monthly (1,600)
CMBX NA A.6 Index (4,246) 19,724 2,655 5/11/63 (200 bp) — Monthly (1,600)
CMBX NA A.6 Index (3,758) 16,972 2,284 5/11/63 (200 bp) — Monthly (1,481)
CMBX NA A.6 Index (2,934) 13,761 1,852 5/11/63 (200 bp) — Monthly (1,088)
CMBX NA A.6 Index (2,934) 13,761 1,852 5/11/63 (200 bp) — Monthly (1,088)
CMBX NA A.6 Index (1,789) 8,256 1,111 5/11/63 (200 bp) — Monthly (681)
CMBX NA A.6 Index (163) 917 123 5/11/63 (200 bp) — Monthly (40)
CMBX NA A.6 Index (174) 917 123 5/11/63 (200 bp) — Monthly (51)
CMBX NA A.6 Index (79) 459 62 5/11/63 (200 bp) — Monthly (17)
CMBX NA A.6 Index (86) 459 62 5/11/63 (200 bp) — Monthly (24)
CMBX NA A.6 Index (96) 459 62 5/11/63 (200 bp) — Monthly (35)
CMBX NA BB.6 Index (1,023) 6,837 2,616 5/11/63 (500 bp) — Monthly 1,586
CMBX NA BB.7 Index (25,560) 156,000 52,042 1/17/47 (500 bp) — Monthly 26,330
CMBX NA BB.7 Index (18,621) 102,000 34,027 1/17/47 (500 bp) — Monthly 15,307
CMBX NA BB.7 Index (10,442) 69,000 23,018 1/17/47 (500 bp) — Monthly 12,510
CMBX NA BB.8 Index (10,866) 29,956 10,814 10/17/57 (500 bp) — Monthly (81)
CMBX NA BB.8 Index (3,959) 10,629 3,837 10/17/57 (500 bp) — Monthly (133)
CMBX NA BBB-.12 Index (8,968) 46,000 8,317 8/17/61 (300 bp) — Monthly (678)
CMBX NA BBB-.12 Index (5,404) 16,000 2,893 8/17/61 (300 bp) — Monthly (2,520)
CMBX NA BBB-.13 Index (9,245) 122,000 24,766 12/16/72 (300 bp) — Monthly 15,450
JPMorgan Securities LLC
CMBX NA A.6 Index (11,019) 64,675 8,705 5/11/63 (200 bp) — Monthly (2,341)
CMBX NA BB.7 Index (320,235) 654,000 218,174 1/17/47 (500 bp) — Monthly (102,696)
CMBX NA BBB-.11 Index (7,049) 64,000 9,715 11/18/54 (300 bp) — Monthly 2,629
CMBX NA BBB-.7 Index (214,338) 913,000 195,473 1/17/47 (300 bp) — Monthly (19,398)
Merrill Lynch International
CMBX NA BB.10 Index (15,875) 279,000 88,945 11/17/59 (500 bp) — Monthly 72,799
CMBX NA BBB-.7 Index (32,451) 396,000 84,784 1/17/47 (300 bp) — Monthly 52,101
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (7,508) 35,319 4,754 5/11/63 (200 bp) — Monthly (2,769)
CMBX NA A.6 Index (1,458) 6,880 926 5/11/63 (200 bp) — Monthly (535)
CMBX NA A.6 Index (388) 1,835 247 5/11/63 (200 bp) — Monthly (141)
CMBX NA A.6 Index (195) 917 123 5/11/63 (200 bp) — Monthly (72)
CMBX NA A.6 Index (193) 917 123 5/11/63 (200 bp) — Monthly (70)
CMBX NA A.6 Index (96) 459 62 5/11/63 (200 bp) — Monthly (34)
CMBX NA A.6 Index (86) 459 62 5/11/63 (200 bp) — Monthly (24)
CMBX NA A.6 Index (91) 459 62 5/11/63 (200 bp) — Monthly (29)
CMBX NA BB.10 Index (33,114) 141,000 44,951 11/17/59 (500 bp) — Monthly 11,700
CMBX NA BB.10 Index (14,683) 140,000 44,632 11/17/59 (500 bp) — Monthly 29,813
CMBX NA BB.10 Index (40,703) 134,000 42,719 11/17/59 (500 bp) — Monthly 1,886
CMBX NA BB.7 Index (23,127) 115,000 38,364 1/17/47 (500 bp) — Monthly 15,125
CMBX NA BB.7 Index (17,547) 91,000 30,358 1/17/47 (500 bp) — Monthly 12,722
CMBX NA BB.7 Index (11,040) 59,000 19,682 1/17/47 (500 bp) — Monthly 8,585
CMBX NA BB.7 Index (6,055) 30,000 10,008 1/17/47 (500 bp) — Monthly 3,924
CMBX NA BB.9 Index (3,952) 65,000 20,228 9/17/58 (500 bp) — Monthly 16,213
CMBX NA BB.9 Index (7,997) 53,000 16,494 9/17/58 (500 bp) — Monthly 8,445
CMBX NA BB.9 Index (4,238) 31,000 9,647 9/17/58 (500 bp) — Monthly 5,379
CMBX NA BB.9 Index (743) 19,000 5,913 9/17/58 (500 bp) — Monthly 5,152
CMBX NA BB.9 Index (1,968) 13,000 4,046 9/17/58 (500 bp) — Monthly 2,065
CMBX NA BB.9 Index (246) 4,000 1,245 9/17/58 (500 bp) — Monthly 995
CMBX NA BBB-.10 Index (19,495) 158,000 27,381 11/17/59 (300 bp) — Monthly 7,794
CMBX NA BBB-.10 Index (17,456) 136,000 23,569 11/17/59 (300 bp) — Monthly 6,033
CMBX NA BBB-.10 Index (11,085) 128,000 22,182 11/17/59 (300 bp) — Monthly 11,023
CMBX NA BBB-.10 Index (8,751) 69,000 11,958 11/17/59 (300 bp) — Monthly 3,166
CMBX NA BBB-.10 Index (7,908) 66,000 11,438 11/17/59 (300 bp) — Monthly 3,491
CMBX NA BBB-.10 Index (4,987) 23,000 3,986 11/17/59 (300 bp) — Monthly (1,014)
CMBX NA BBB-.10 Index (3,929) 18,000 3,119 11/17/59 (300 bp) — Monthly (820)
CMBX NA BBB-.11 Index (3,121) 10,000 1,518 11/18/54 (300 bp) — Monthly (1,609)
CMBX NA BBB-.12 Index (277) 5,000 904 8/17/61 (300 bp) — Monthly 624
CMBX NA BBB-.13 Index (8,074) 131,000 26,593 12/16/72 (300 bp) — Monthly 18,443
CMBX NA BBB-.7 Index (14,539) 229,000 49,029 1/17/47 (300 bp) — Monthly 34,358
CMBX NA BBB-.7 Index (17,831) 175,000 37,468 1/17/47 (300 bp) — Monthly 19,535
Upfront premium received — Unrealized appreciation 821,984
Upfront premium (paid) (2,018,995) Unrealized (depreciation) (285,618)
Total $(2,018,995) Total $536,366
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.








CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
CDX NA HY Series 38 Index B+/P $23,518 $5,599,440 $117,644 6/20/27 500 bp — Quarterly $150,496
Total $23,518 $150,496
* 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, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
CME Chicago Mercantile Exchange
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.
ICE Intercontinental Exchange
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
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.
REMIC Real Estate Mortgage Investment Conduit
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $177,642,726.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/22		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/22
Short-term investments
Putnam Short Term Investment Fund* $22,638,559 $17,304,982 $19,875,332 $174,090 $20,068,209
Total Short-term investments $22,638,559 $17,304,982 $19,875,332 $174,090 $20,068,209
* 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 $424,099.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $1,114,547.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $329,208.
(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 $4,226,926.
(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.
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.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $11,679,479 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
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 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 $1,435,251 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,114,547 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Utilities and power $— $11,293 $—
Total common stocks — 11,293 —
Asset-backed securities — 1,128,859 —
Convertible bonds and notes — 6,694,093 —
Corporate bonds and notes — 32,403,856 —
Foreign government and agency bonds and notes — 14,092,151 —
Mortgage-backed securities — 69,684,929 —
Purchased options outstanding — 281,360 —
Senior loans — 3,903,750 —
U.S. government and agency mortgage obligations — 107,826,929 —
U.S. treasury obligations — 1,533,780 —
Warrants — — —
Short-term investments 2,978,000 45,299,520 —
Totals by level $2,978,000 $282,860,520 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(163,034) $—
Futures contracts (98,299) — —
Written options outstanding — (446,240) —
Forward premium swap option contracts — 3,895,943 —
TBA sale commitments — (31,585,469) —
Interest rate swap contracts — 8,700,969 —
Total return swap contracts — (159,510) —
Credit default contracts — (148,479) —
Totals by level $(98,299) $(19,905,820) $—
* 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) $36,300,000
Purchased swap option contracts (contract amount) $576,400,000
Written TBA commitment option contracts (contract amount) $36,300,000
Written swap option contracts (contract amount) $273,700,000
Futures contracts (number of contracts) 200
Forward currency contracts (contract amount) $18,400,000
Centrally cleared interest rate swap contracts (notional) $1,548,500,000
OTC total return swap contracts (notional) $2,100,000
OTC credit default contracts (notional) $23,400,000
Centrally cleared credit default contracts (notional) $5,200,000
Warrants (number of warrants) 30
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