NPORT-EX 2 b_032nport063022.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Mortgage Securities Fund
The fund's portfolio
6/30/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (92.6%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (14.5%)
Government National Mortgage Association Adjustable Rate Mortgages (1 Yr Monthly Treasury Average CMT Index + 1.50%), 1.625%, 7/20/26 $3,478 $3,445
Government National Mortgage Association Pass-Through Certificates
7.50%, 10/20/30 23,169 25,191
6.00%, 1/15/29 1 1
5.50%, with due dates from 8/15/35 to 5/20/49 124,006 129,819
5.00%, with due dates from 5/20/49 to 3/20/50 390,723 404,361
4.70%, with due dates from 5/20/67 to 8/20/67 333,465 338,810
4.661%, 9/20/65 121,121 121,749
4.645%, 6/20/67 378,694 385,018
4.50%, 3/20/67 387,510 393,849
4.50%, TBA, 7/1/51 2,000,000 2,029,070
4.50%, with due dates from 2/20/34 to 1/20/50 7,003,189 7,236,559
4.33%, 5/20/67 194,131 197,359
4.00%, TBA, 7/1/51 10,000,000 9,951,711
4.00%, with due dates from 9/20/44 to 1/20/50 2,017,981 2,027,619
3.50%, with due dates from 8/20/49 to 3/20/50 1,274,332 1,242,982
3.00%, TBA, 7/1/52 44,000,000 41,457,953
3.00%, with due dates from 3/20/43 to 10/20/44 1,227,838 1,164,109
2.00%, TBA, 7/1/52 11,000,000 9,766,312
76,875,917
U.S. Government Agency Mortgage Obligations (78.1%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
7.50%, 10/1/29 81,766 88,535
4.50%, with due dates from 1/1/37 to 6/1/37 68,312 70,415
Federal National Mortgage Association Pass-Through Certificates
6.00%, 8/1/22 1 1
5.00%, with due dates from 1/1/49 to 8/1/49 179,765 183,879
4.50%, with due dates from 3/1/39 to 5/1/49 331,005 339,582
4.00%, with due dates from 2/1/45 to 6/1/46 424,506 425,696
3.50%, with due dates from 5/1/56 to 6/1/56 5,267,898 5,104,092
3.50%, with due dates from 10/1/44 to 1/1/47 10,545,668 10,323,446
Uniform Mortgage-Backed Securities
6.00%, TBA, 8/1/52 4,400,000 4,589,530
5.50%, TBA, 8/1/52 45,000,000 46,243,238
5.00%, TBA, 8/1/52 94,000,000 95,611,931
5.00%, TBA, 7/1/52 31,000,000 31,624,836
4.50%, TBA, 8/1/52 55,000,000 55,083,798
4.00%, TBA, 8/1/52 4,000,000 3,935,779
4.00%, TBA, 7/1/52 48,000,000 47,317,478
3.50%, TBA, 8/1/52 7,000,000 6,719,997
3.00%, TBA, 8/1/52 4,000,000 3,718,122
2.50%, TBA, 8/1/52 28,000,000 25,132,173
2.00%, TBA, 8/1/52 91,000,000 78,869,982
415,382,510
Total U.S. government and agency mortgage obligations (cost $487,322,856) $492,258,427








U.S. TREASURY OBLIGATIONS (0.9%)(a)
        Principal amount Value
U.S. Treasury Bonds
1.875%, 2/15/51(i) $1,733,000 $1,312,089
1.25%, 5/15/50(i) 1,424,000 908,298
U.S. Treasury Notes
1.50%, 8/15/26(i) 332,000 313,627
0.625%, 11/30/27(i) 2,527,000 2,220,096
Total U.S. treasury obligations (cost $4,754,110) $4,754,110








MORTGAGE-BACKED SECURITIES (81.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (39.0%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 20.465%, 4/15/37 $169,834 $264,941
REMICs IFB Ser. 2976, Class LC, ((-3.667 x ICE LIBOR USD 1 Month) + 24.42%), 19.565%, 5/15/35 658,352 888,775
REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 18.942%, 11/15/35 347,156 527,678
REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 15.888%, 3/15/35 1,527,477 1,939,896
REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 13.562%, 6/15/34 252,459 272,655
REMICs Ser. 5043, IO, 5.00%, 11/25/50 8,928,199 2,091,702
REMICs Ser. 5018, Class QI, IO, 5.00%, 10/25/50 6,756,200 1,327,431
REMICs IFB Ser. 4436, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.826%, 2/15/45 3,552,231 582,314
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.726%, 4/15/44 10,541,498 1,263,489
REMICs Ser. 4980, Class KI, IO, 4.50%, 6/25/50 8,907,441 1,840,938
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,792,625 343,029
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 819,637 94,083
REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 771,166 54,411
REMICs IFB Ser. 5003, Class DS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 8/25/50 8,524,562 1,316,553
REMICs IFB Ser. 4915, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 9/25/49 11,392,556 1,661,498
REMICs IFB Ser. 4949, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.376%, 2/25/50 5,022,900 666,149
REMICs IFB Ser. 4933, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.376%, 12/25/49 6,937,422 1,071,871
REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51 9,842,973 1,878,236
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 8,455,938 1,926,739
REMICs Ser. 4953, Class AI, IO, 4.00%, 2/25/50 5,553,507 1,131,916
REMICs Ser. 4425, IO, 4.00%, 1/15/45 2,285,578 356,139
REMICs Ser. 4425, Class EI, IO, 4.00%, 1/15/45 3,225,106 535,432
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 3,027,423 617,058
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 1,614,370 60,339
REMICs Ser. 4019, Class JI, IO, 4.00%, 5/15/41 1,672,411 121,273
REMICs Ser. 4015, Class GI, IO, 4.00%, 3/15/27 935,110 53,435
Structured Pass-Through Certificates FRB Ser. 59, Class 2A1, 3.526%, 10/25/43(WAC) 6,499 5,834
REMICs Ser. 5077, Class NI, IO, 3.50%, 2/25/51 14,058,949 2,457,051
REMICs Ser. 5065, Class DI, IO, 3.50%, 1/25/51 13,447,386 2,098,093
REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 12,534,533 2,400,820
REMICs Ser. 5080, Class IQ, IO, 3.50%, 4/25/50 26,761,994 5,506,130
REMICs Ser. 4165, Class AI, IO, 3.50%, 2/15/43 1,668,222 256,162
REMICs Ser. 4136, Class IQ, IO, 3.50%, 11/15/42 3,606,972 528,107
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 509,554 22,650
Structured Pass-Through Certificates FRB Ser. 57, Class 2A1, 3.465%, 7/25/43(WAC) 11,801 11,683
REMICs Ser. 5071, Class IV, IO, 3.00%, 12/25/50 20,870,589 3,771,230
REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 3,971,177 521,813
REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 3,496,991 437,692
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 5,262,413 401,680
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 6,025,560 492,523
REMICs Ser. 4171, Class NI, IO, 3.00%, 6/15/42 3,398,886 350,629
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 2,202,662 152,204
REMICs Ser. 4201, Class JI, IO, 3.00%, 12/15/41 2,196,684 98,565
Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.451%, 11/15/28(WAC) 384,040 2,880
Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.281%, 10/25/43(WAC) 2,182,200 23,180
Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33(WAC) 3,435,837 25,817
REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 2,302 1,956
REMICs Ser. 3391, PO, zero %, 4/15/37 30,950 27,236
REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 15,743 14,011
REMICs Ser. 3210, PO, zero %, 5/15/36 1,886 1,792
REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36 13,762 12,111
Strips Ser. 315, PO, zero %, 9/15/43 7,924,155 6,231,679
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 30.159%, 7/25/36 185,153 342,534
REMICs IFB Ser. 05-74, Class NK, ((-5 x ICE LIBOR USD 1 Month) + 27.50%), 19.382%, 5/25/35 480,938 579,827
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 18.614%, 3/25/36 240,219 288,470
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 18.247%, 6/25/37 284,478 449,475
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 23.28%), 17.33%, 2/25/38 767,128 820,231
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 15.09%, 12/25/35 455,226 614,555
REMICs IFB Ser. 11-4, Class CS, ((-2 x ICE LIBOR USD 1 Month) + 12.90%), 9.653%, 5/25/40 504,570 576,989
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37 5,656,786 1,093,966
REMICs Ser. 16-3, Class MI, IO, 5.50%, 2/25/46 3,994,749 684,580
REMICs Ser. 15-86, Class MI, IO, 5.50%, 11/25/45 4,850,508 874,595
REMICs Ser. 10-109, Class IM, IO, 5.50%, 9/25/40 9,270,274 1,327,988
REMICs Ser. 18-51, Class BI, IO, 5.50%, 7/25/38 6,004,040 655,082
REMICs Ser. 17-19, Class IH, IO, 5.00%, 3/25/47 5,543,844 869,275
REMICs Ser. 12-151, Class IM, IO, 5.00%, 4/25/42 3,337,000 477,757
REMICs IFB Ser. 11-123, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 4.976%, 10/25/41 354,431 43,837
REMICs IFB Ser. 18-47, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 7/25/48 4,874,355 594,281
REMICs IFB Ser. 18-36, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 6/25/48 14,151,019 1,609,036
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 4.626%, 3/25/48 5,610,579 718,715
REMICs IFB Ser. 17-104, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 1/25/48 7,001,772 948,455
REMICs IFB Ser. 16-81, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 11/25/46 14,525,149 1,657,638
REMICs Ser. 20-31, IO, 4.50%, 5/25/50 12,331,651 2,094,378
REMICs Ser. 17-66, IO, 4.50%, 9/25/47 4,368,931 748,146
REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 5,620,926 1,048,127
REMICs IFB Ser. 20-41, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 6/25/50 6,343,425 777,323
REMICs IFB Ser. 16-83, Class BS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 11/25/46 16,440,254 2,027,509
REMICs IFB Ser. 16-85, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 11/25/46 21,839,125 2,572,638
REMICs IFB Ser. 16-50, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 8/25/46 10,550,112 1,165,930
REMICs IFB Ser. 19-51, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 9/25/49 9,432,329 1,190,025
REMICs IFB Ser. 19-45, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 8/25/49 5,675,639 711,158
REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.426%, 3/25/46 9,511,174 1,316,917
REMICs IFB Ser. 19-71, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.376%, 11/25/49 2,887,064 498,452
REMICs IFB Ser. 19-83, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 4.326%, 1/25/50 16,894,492 2,692,712
REMICs Ser. 20-60, Class NI, IO, 4.00%, 9/25/50 7,870,123 1,553,849
REMICs Ser. 15-83, IO, 4.00%, 10/25/43 1,292,488 188,766
REMICs Ser. 12-62, Class MI, IO, 4.00%, 3/25/41 742,703 32,530
REMICs Ser. 12-104, Class HI, IO, 4.00%, 9/25/27 2,281,759 127,992
REMICs FRB Ser. 03-W14, Class 2A, 3.737%, 1/25/43(WAC) 8,326 8,125
Trust FRB Ser. 03-W3, Class 1A4, 3.569%, 8/25/42(WAC) 17,644 17,379
REMICs Ser. 21-25, Class IJ, IO, 3.50%, 5/25/51 25,926,039 4,317,204
REMICs Ser. 20-20, Class IK, IO, 3.50%, 3/25/50 12,193,836 1,344,381
REMICs Ser. 20-62, Class MI, IO, 3.50%, 5/25/49 34,940,800 6,344,128
REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 4,494,094 664,632
REMICs Ser. 15-10, Class AI, IO, 3.50%, 8/25/43 1,116,086 34,649
REMICs Ser. 13-22, Class PI, IO, 3.50%, 10/25/42 2,322,485 341,930
REMICs Ser. 12-114, Class NI, IO, 3.50%, 10/25/41 2,770,305 178,030
REMICs Trust FRB Ser. 04-W7, Class A2, 3.472%, 3/25/34(WAC) 2,618 2,795
REMICs FRB Ser. 03-W11, Class A1, 3.447%, 6/25/33(WAC) 256 263
Trust FRB Ser. 04-W2, Class 4A, 3.028%, 2/25/44(WAC) 4,680 4,690
REMICs Ser. 20-96, IO, 3.00%, 1/25/51 9,736,467 1,480,625
REMICs Ser. 20-68, Class LI, IO, 3.00%, 10/25/50 9,932,846 1,620,007
REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 2,192,238 277,864
REMICs Ser. 13-6, Class JI, IO, 3.00%, 2/25/43 5,013,942 620,225
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 2,721,766 348,397
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 1,041,890 42,482
REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 1,845,587 80,171
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 436,128 2,992
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 629,750 5,170
REMICs Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 754,836 9,608
REMICs Ser. 14-28, Class AI, IO, 3.00%, 3/25/40 1,282,154 24,017
REMICs FRB Ser. 07-95, Class A3, (ICE LIBOR USD 1 Month + 0.25%), 1.256%, 8/27/36 25,120,382 21,954,694
REMICs FRB Ser. 01-50, Class B1, IO, 0.378%, 10/25/41(WAC) 1,942,336 9,712
REMICs Ser. 01-79, Class BI, IO, 0.259%, 3/25/45(WAC) 942,215 5,842
REMICs Trust Ser. 98-W2, Class X, IO, 0.255%, 6/25/28(WAC) 2,538,275 57,173
REMICs Trust Ser. 98-W5, Class X, IO, 0.049%, 7/25/28(WAC) 802,405 17,034
REMICs Ser. 03-34, PO, zero %, 4/25/43 42,147 38,354
REMICs Ser. 08-53, Class DO, PO, zero %, 7/25/38 104,837 89,091
REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37 4,079 3,671
REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37 667 593
REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36 1,013 892
REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 2,004 1,741
REMICs Ser. 08-36, Class OV, PO, zero %, 1/25/36 11,756 10,478
Government National Mortgage Association
Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 3,794,034 679,672
Ser. 14-137, Class ID, IO, 5.50%, 9/16/44 3,451,668 612,071
IFB Ser. 13-182, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.70%), 5.105%, 12/20/43 3,273,499 425,031
IFB Ser. 11-156, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 5.005%, 4/20/38 4,756,219 696,803
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 67,013 9,826
Ser. 15-89, Class LI, IO, 5.00%, 12/20/44 4,306,904 856,170
Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 2,932,438 553,967
Ser. 14-76, IO, 5.00%, 5/20/44 2,444,615 471,077
Ser. 13-51, Class QI, IO, 5.00%, 2/20/43 3,307,733 451,035
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,384,894 296,090
Ser. 13-6, Class OI, IO, 5.00%, 1/20/43 7,063,320 1,417,043
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 1,180,248 242,852
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 5,742,816 1,216,788
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 3,436,190 689,506
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 5/20/51 12,530,950 1,816,094
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 9/20/50 9,876,160 1,615,108
IFB Ser. 20-112, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 4.705%, 8/20/50 6,055,368 985,874
IFB Ser. 19-35, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.641%, 1/16/44 6,313,278 622,237
IFB Ser. 19-158, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.641%, 9/16/43 6,580,764 826,367
IFB Ser. 18-89, Class LS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.605%, 6/20/48 4,464,454 479,101
IFB Ser. 17-156, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.605%, 10/20/47 5,252,800 755,090
IFB Ser. 13-87, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 4.605%, 6/20/43 8,149,357 1,008,594
IFB Ser. 19-56, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 5/20/49 5,454,821 559,092
IFB Ser. 10-20, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.555%, 2/20/40 515,323 61,277
IFB Ser. 19-100, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 8/20/49 4,540,637 475,282
IFB Ser. 16-80, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.505%, 6/20/46 7,763,884 1,000,214
Ser. 18-1, IO, 4.50%, 1/20/48 4,838,361 818,574
Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 4,133,244 722,726
Ser. 13-39, Class IJ, IO, 4.50%, 3/20/43 5,379,657 974,527
Ser. 12-129, IO, 4.50%, 11/16/42 2,909,383 555,052
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 3,737,849 636,571
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 5,797,602 1,055,569
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,467,791 257,033
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 854,180 161,355
Ser. 09-121, Class CI, IO, 4.50%, 12/16/39 4,041,058 718,935
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 2/20/50 1,079,965 99,184
IFB Ser. 19-125, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 10/20/49 8,811,415 1,611,181
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 9/20/49 7,105,259 714,866
IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 8/20/49 473,572 49,185
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 6/20/49 296,653 28,564
IFB Ser. 19-121, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.405%, 10/20/49 8,805,173 1,569,592
IFB Ser. 20-47, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 4.405%, 5/20/44 13,027,364 1,530,715
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 4.005%, 8/20/44 3,738,436 390,171
Ser. 15-94, IO, 4.00%, 7/20/45 10,158,515 1,992,085
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 3,813,973 751,353
Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 728,039 123,557
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 3,053,761 203,451
Ser. 13-67, Class IP, IO, 4.00%, 4/16/43 5,076,389 807,856
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,254,918 193,034
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 3,416,268 586,437
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 6,573,775 1,152,974
Ser. 14-104, IO, 4.00%, 3/20/42 4,498,128 565,171
Ser. 14-182, Class BI, IO, 4.00%, 1/20/39 6,153,618 673,513
Ser. 16-H24, Class KI, IO, 3.524%, 11/20/66(WAC) 7,578,409 459,801
Ser. 20-175, Class JI, IO, 3.50%, 11/20/50 13,364,621 2,341,175
Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 2,590,340 302,655
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 2,224,520 287,273
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,172,828 133,960
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 629,200 75,800
Ser. 12-136, IO, 3.50%, 11/20/42 6,276,981 929,635
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 4,803,688 322,664
Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 1,007,516 54,220
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,949,673 146,810
Ser. 15-24, Class AI, IO, 3.50%, 12/20/37 1,304,076 17,117
Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 535,962 10,130
Ser. 12-48, Class AI, IO, 3.50%, 2/20/36 106,971 78
Ser. 21-188, Class IW, IO, 3.00%, 10/20/51 9,079,740 1,619,988
Ser. 14-174, Class AI, IO, 3.00%, 11/16/29 2,249,582 141,724
Ser. 17-H14, Class LI, IO, 2.855%, 6/20/67(WAC) 7,103,321 430,816
Ser. 15-H14, Class AI, IO, 2.761%, 6/20/65(WAC) 24,473,436 1,112,203
Ser. 16-H13, Class IK, IO, 2.651%, 6/20/66(WAC) 13,667,888 1,157,952
Ser. 21-8, Class IP, IO, 2.50%, 1/20/51 31,146,014 4,255,234
Ser. 20-138, Class IB, IO, 2.50%, 9/20/50 20,790,142 2,666,612
Ser. 15-H13, Class AI, IO, 2.444%, 6/20/65(WAC) 14,669,801 624,585
Ser. 16-H04, Class HI, IO, 2.381%, 7/20/65(WAC) 11,547,762 416,874
Ser. 16-H27, Class GI, IO, 2.334%, 12/20/66(WAC) 18,567,048 1,213,060
Ser. 17-H04, Class BI, IO, 2.321%, 2/20/67(WAC) 11,514,401 656,666
Ser. 16-H17, Class DI, IO, 2.279%, 7/20/66(WAC) 16,040,398 594,249
Ser. 16-H07, Class PI, IO, 2.278%, 3/20/66(WAC) 21,586,215 1,591,073
Ser. 17-H25, Class CI, IO, 2.228%, 12/20/67(WAC) 15,503,294 1,056,060
Ser. 17-H20, Class AI, IO, 2.212%, 10/20/67(WAC) 21,810,389 1,526,727
Ser. 18-H01, Class XI, IO, 2.183%, 1/20/68(WAC) 12,922,958 968,402
Ser. 17-H14, Class JI, IO, 2.17%, 6/20/67(WAC) 5,799,575 495,296
Ser. 16-H24, IO, 2.137%, 9/20/66(WAC) 13,437,521 1,009,137
Ser. 17-H06, Class MI, IO, 2.097%, 2/20/67(WAC) 17,967,860 911,581
Ser. 15-H24, Class HI, IO, 2.08%, 9/20/65(WAC) 6,765,387 148,054
Ser. 18-H02, Class IM, IO, 2.072%, 2/20/68(WAC) 9,448,345 660,342
Ser. 16-H06, Class HI, IO, 2.063%, 2/20/66(WAC) 11,921,727 574,580
Ser. 17-H08, Class NI, IO, 1.955%, 3/20/67(WAC) 10,936,592 503,083
Ser. 15-H10, Class HI, IO, 1.951%, 4/20/65(WAC) 17,084,108 635,529
Ser. 18-H04, Class JI, IO, 1.936%, 3/20/68(WAC) 13,859,744 727,637
Ser. 15-H23, Class TI, IO, 1.923%, 9/20/65(WAC) 14,363,159 791,410
Ser. 17-H08, Class EI, IO, 1.912%, 2/20/67(WAC) 13,126,517 747,001
Ser. 17-H08, Class GI, IO, 1.904%, 2/20/67(WAC) 9,588,521 825,143
Ser. 17-H25, IO, 1.901%, 11/20/67(WAC) 10,037,976 614,826
Ser. 17-H03, Class KI, IO, 1.893%, 1/20/67(WAC) 17,600,724 1,455,580
Ser. 17-H23, Class BI, IO, 1.881%, 11/20/67(WAC) 8,848,228 514,967
FRB Ser. 15-H16, Class XI, IO, 1.867%, 7/20/65(WAC) 8,985,401 462,748
Ser. 15-H23, Class DI, IO, 1.865%, 9/20/65(WAC) 4,628,070 268,428
FRB Ser. 16-H19, Class AI, IO, 1.833%, 9/20/66(WAC) 25,483,183 1,236,062
Ser. 16-H23, Class NI, IO, 1.809%, 10/20/66(WAC) 24,743,140 999,623
Ser. 17-H09, IO, 1.772%, 4/20/67(WAC) 10,711,058 467,634
Ser. 16-H06, Class DI, IO, 1.768%, 7/20/65(WAC) 16,331,270 426,899
Ser. 14-H25, Class BI, IO, 1.684%, 12/20/64(WAC) 14,083,000 526,986
Ser. 16-H24, Class JI, IO, 1.679%, 11/20/66(WAC) 4,055,141 213,302
Ser. 17-H10, Class MI, IO, 1.623%, 4/20/67(WAC) 12,394,086 521,791
Ser. 15-H20, Class CI, IO, 1.529%, 8/20/65(WAC) 21,059,700 1,267,794
Ser. 16-H03, Class AI, IO, 1.462%, 1/20/66(WAC) 12,208,648 390,562
Ser. 16-H10, Class AI, IO, 1.411%, 4/20/66(WAC) 20,826,796 530,625
Ser. 15-H25, Class BI, IO, 1.379%, 10/20/65(WAC) 11,240,831 485,604
Ser. 15-H22, Class AI, IO, 1.355%, 9/20/65(WAC) 22,103,359 1,010,124
Ser. 16-H04, Class KI, IO, 1.32%, 2/20/66(WAC) 13,307,311 294,424
Ser. 16-H18, Class QI, IO, 1.293%, 6/20/66(WAC) 14,694,652 803,533
FRB Ser. 11-H07, Class FI, IO, 1.245%, 2/20/61(WAC) 15,487,198 404,216
Ser. 15-H04, Class AI, IO, 1.214%, 12/20/64(WAC) 14,878,342 405,644
Ser. 14-H21, Class AI, IO, 1.111%, 10/20/64(WAC) 16,137,493 611,724
GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27(WAC) 320,267 1,217
207,496,426
Commercial mortgage-backed securities (21.5%)
BANK 144A Ser. 18-BN11, Class D, 3.00%, 3/15/61 1,301,000 980,696
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 1,810,000 1,331,651
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 14,452 14,308
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.187%, 4/10/51(WAC) 1,292,000 1,014,567
Ser. 19-B11, Class D, 3.00%, 5/15/52 1,058,000 816,053
Ser. 19-B13, Class D, 2.50%, 8/15/57 1,788,000 1,290,972
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44(WAC) 2,305,000 1,724,099
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 1,686,000 1,275,625
Ser. 19-CD8, Class D, 3.00%, 8/15/57 1,450,000 1,016,160
Citigroup Commercial Mortgage Trust FRB Ser. 15-P1, Class C, 4.514%, 9/15/48(WAC) 1,251,000 1,181,712
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class C, 4.942%, 9/10/45(WAC) 1,523,000 1,517,001
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 5.082%, 4/10/47(WAC) 877,000 850,041
FRB Ser. 14-UBS3, Class C, 4.896%, 6/10/47(WAC) 956,000 923,202
FRB Ser. 14-UBS4, Class C, 4.806%, 8/10/47(WAC) 1,158,060 1,099,829
FRB Ser. 15-CR26, Class D, 3.621%, 10/10/48(WAC) 1,696,375 1,459,630
COMM Mortgage Trust 144A
FRB Ser. 13-LC13, Class D, 5.425%, 8/10/46(WAC) 2,546,000 2,356,511
FRB Ser. 13-CR13, Class D, 5.041%, 11/10/46(WAC) 1,906,000 1,782,238
FRB Ser. 14-CR17, Class D, 5.007%, 5/10/47(WAC) 3,623,000 3,237,177
FRB Ser. 14-CR19, Class D, 4.854%, 8/10/47(WAC) 2,082,000 1,931,165
Ser. 12-CR4, Class B, 3.703%, 10/15/45 2,419,000 2,297,501
Ser. 13-LC6, Class E, 3.50%, 1/10/46 1,077,000 950,927
Ser. 17-COR2, Class D, 3.00%, 9/10/50 779,000 627,804
CSAIL Commercial Mortgage Trust 144A
FRB Ser. 18-C14, Class D, 5.087%, 11/15/51(WAC) 1,300,000 1,071,303
Ser. 19-C17, Class D, 2.50%, 9/15/52 1,626,000 1,155,511
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.549%, 8/10/44(WAC) 3,237,911 3,089,938
FREMF Mortgage Trust 144A FRB Ser. 19-KF65, Class B, (ICE LIBOR USD 1 Month + 2.40%), 3.52%, 7/25/29 989,302 932,861
FS Rialto Issuer, LLC 144A FRB Ser. 22-FL5, Class D, (CME TERM SOFR 1 Month + 4.82%), 5.718%, 6/19/37 1,333,000 1,299,675
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.543%, 2/10/46(WAC) 2,209,000 2,102,807
GS Mortgage Securities Trust
FRB Ser. 14-GC18, Class C, 5.226%, 1/10/47(WAC) 4,153,000 3,048,953
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47(WAC) 1,431,000 1,386,430
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 6.566%, 8/10/43(WAC) 1,263,000 938,832
FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47(WAC) 4,747,000 3,291,082
Ser. 16-GS2, Class D, 2.753%, 5/10/49 1,149,000 932,034
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.702%, 9/15/47(WAC) 2,294,000 2,121,610
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. C14, Class D, 4.699%, 8/15/46(WAC) 4,088,000 2,313,876
FRB Ser. 13-C12, Class E, 4.232%, 7/15/45(WAC) 1,235,000 1,040,578
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.531%, 9/15/50(WAC) 1,453,000 1,245,535
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 1,858,000 1,573,287
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 2,054,605 1,886,037
FRB Ser. 13-LC11, Class D, 4.303%, 4/15/46(WAC) 2,891,000 2,235,126
Ser. 13-LC11, Class B, 3.499%, 4/15/46 725,000 709,132
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class D, 5.708%, 2/15/46(WAC) 2,164,000 1,578,865
FRB Ser. 11-C3, Class E, 5.708%, 2/15/46(WAC) 1,629,000 563,805
FRB Ser. 11-C4, Class C, 5.604%, 7/15/46(WAC) 24,299 24,218
FRB Ser. 13-C16, Class D, 5.17%, 12/15/46(WAC) 1,295,000 1,258,159
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 13-C9, Class C, 4.155%, 5/15/46(WAC) 946,000 914,886
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C12, Class D, 4.921%, 10/15/46(WAC) 479,000 435,622
FRB Ser. 13-C12, Class E, 4.921%, 10/15/46(WAC) 2,040,618 1,487,501
FRB Ser. 12-C6, Class G, 4.50%, 11/15/45(WAC) 1,288,000 814,686
FRB Ser. 15-C23, Class D, 4.281%, 7/15/50(WAC) 3,439,000 3,113,072
FRB Ser. 13-C9, Class D, 4.243%, 5/15/46(WAC) 1,234,000 1,118,794
FRB Ser. 13-C10, Class F, 4.209%, 7/15/46(WAC) 2,316,000 521,100
Ser. 14-C19, Class D, 3.25%, 12/15/47 2,027,000 1,802,635
Morgan Stanley Capital I Trust 144A
FRB Ser. 12-C4, Class E, 5.336%, 3/15/45(WAC) 2,436,000 1,741,496
FRB Ser. 11-C3, Class E, 5.254%, 7/15/49(WAC) 8,047,130 7,098,603
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M10, 4.874%, 10/15/49 6,245,000 5,799,627
UBS Commercial Mortgage Trust 144A
FRB Ser. 12-C1, Class D, 6.659%, 5/10/45(WAC) 646,014 582,522
FRB Ser. 12-C1, Class E, 5.00%, 5/10/45(WAC) 2,266,000 883,740
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C4, Class D, 4.606%, 12/10/45(WAC) 1,801,000 1,697,207
UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.663%, 1/10/45(WAC) 3,176,000 2,810,760
Wells Fargo Commercial Mortgage Trust
FRB Ser. 18-C46, Class C, 5.155%, 8/15/51(WAC) 823,000 774,769
FRB Ser. 16-NXS5, Class D, 5.149%, 1/15/59(WAC) 3,523,000 3,226,716
Ser. 19-C50, Class C, 4.345%, 5/15/52 935,000 814,588
FRB Ser. 20-C57, Class C, 4.157%, 8/15/53(WAC) 788,000 705,910
Wells Fargo Commercial Mortgage Trust 144A
Ser. 16-C33, Class D, 3.123%, 3/15/59 2,673,000 2,270,366
Ser. 19-C54, Class D, 2.50%, 12/15/52 967,000 782,569
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 1,684,000 1,599,115
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class E, 5.026%, 6/15/44(WAC) 1,659,568 1,225,157
FRB Ser. 12-C9, Class D, 4.981%, 11/15/45(WAC) 5,183,466 5,074,758
FRB Ser. 12-C9, Class E, 4.981%, 11/15/45(WAC) 1,461,000 1,403,165
114,177,887
Residential mortgage-backed securities (non-agency) (21.0%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 1.814%, 5/25/47 5,520,519 3,122,744
Arroyo Mortgage Trust 144A Ser. 19-3, Class M1, 4.204%, 10/25/48(WAC) 750,000 666,398
Bayview Financial Mortgage Pass-Through Trust Ser. 06-C, Class 1A3, 6.528%, 11/28/36 5,159,925 4,973,355
Bear Stearns Alt-A Trust
FRB Ser. 05-8, Class 21A1, 2.593%, 10/25/35(WAC) 440,215 380,336
FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 2.124%, 1/25/36 264,192 352,960
Bellemeade Re, Ltd. 144A
FRB Ser. 17-1, Class B1, (ICE LIBOR USD 1 Month + 4.75%), 6.374%, 10/25/27 (Bermuda) 498,000 497,998
FRB Ser. 17-1, Class M2, (ICE LIBOR USD 1 Month + 3.35%), 4.974%, 10/25/27 (Bermuda) 1,195,190 1,190,873
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 1.864%, 6/25/36 3,710,000 3,571,424
Countrywide Alternative Loan Trust FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 1.792%, 2/20/47 2,152,126 1,662,333
Countrywide Asset-Backed Certificates FRB Ser. 07-10, Class 1A1, (ICE LIBOR USD 1 Month + 0.18%), 1.804%, 6/25/47 4,386,510 4,110,830
Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (ICE LIBOR USD 1 Month + 2.85%), 4.474%, 1/25/30 765,000 695,354
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 10.974%, 4/25/28 329,945 335,317
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 10.424%, 3/25/28 2,714,842 2,661,618
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (ICE LIBOR USD 1 Month + 5.15%), 6.774%, 10/25/29 1,235,000 1,285,550
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 6.624%, 12/25/28 3,170,350 3,305,019
Structured Agency Credit Risk Debt FRN Ser. 17-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.75%), 6.374%, 12/25/29 250,000 254,106
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class M2, (ICE LIBOR USD 1 Month + 3.45%), 5.074%, 10/25/29 1,445,575 1,460,219
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 12.874%, 4/25/49 637,000 683,937
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 12.624%, 10/25/48 2,108,000 2,243,527
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 12.374%, 1/25/49 4,520,000 4,809,179
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 12.124%, 3/25/49 282,000 299,648
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 8/25/50 2,647,000 3,096,990
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 11.624%, 7/25/50 916,000 1,048,820
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (ICE LIBOR USD 1 Month + 8.15%), 9.774%, 7/25/49 393,000 391,379
Structured Agency Credit Risk Trust FRB Ser. 19-DNA4, Class B2, (ICE LIBOR USD 1 Month + 6.25%), 7.874%, 10/25/49 1,070,000 1,022,869
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 7.374%, 7/25/50 1,351,000 1,392,142
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 5.874%, 10/25/48 1,347,000 1,331,426
Structured Agency Credit Risk Trust FRB Ser. 19-FTR3, Class FTR3, (ICE LIBOR USD 1 Month + 4.80%), 5.806%, 9/25/47 371,000 306,075
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 5.324%, 12/25/30 2,018,000 1,972,894
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 1,129,000 1,011,663
Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57(WAC) 876,000 816,868
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 485,000 435,674
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 14.374%, 10/25/28 467,287 514,690
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 13.374%, 10/25/28 2,825,759 3,154,728
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (ICE LIBOR USD 1 Month + 10.25%), 11.874%, 1/25/29 781,585 797,364
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 10.874%, 4/25/29 505,716 526,427
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 7.324%, 4/25/28 360,108 375,954
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 7.124%, 9/25/29 2,538,000 2,658,749
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 6.924%, 10/25/28 540,835 562,311
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 6.124%, 12/25/30 2,530,000 2,555,571
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 5/25/30 2,739,000 2,756,522
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 2/25/30 3,913,000 3,924,007
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 1/25/29 244,243 254,499
Connecticut Avenue Securities FRB Ser. 17-C06, Class 1B1, (ICE LIBOR USD 1 Month + 4.15%), 5.774%, 2/25/30 3,742,000 3,785,774
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.10%), 5.724%, 3/25/31 1,273,000 1,253,086
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (ICE LIBOR USD 1 Month + 4.00%), 5.624%, 5/25/30 3,800,000 3,833,925
Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (ICE LIBOR USD 1 Month + 3.75%), 5.374%, 3/25/31 1,687,000 1,632,785
Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1, (ICE LIBOR USD 1 Month + 3.75%), 5.374%, 10/25/30 1,154,000 1,128,035
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 5.224%, 1/25/30 7,485,000 7,352,437
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (ICE LIBOR USD 1 Month + 3.55%), 5.174%, 7/25/29 1,941,587 1,994,106
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (ICE LIBOR USD 1 Month + 3.00%), 4.624%, 10/25/29 3,037,535 3,093,692
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (ICE LIBOR USD 1 Month + 2.25%), 3.874%, 7/25/30 242,563 244,324
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (ICE LIBOR USD 1 Month + 6.75%), 8.374%, 2/25/40 2,355,000 2,052,875
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2B1, (ICE LIBOR USD 1 Month + 4.35%), 5.974%, 7/25/31 653,000 651,674
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 5.274%, 2/25/40 1,887,000 1,830,834
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 4.874%, 1/25/40 347,000 300,728
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (ICE LIBOR USD 1 Month + 3.00%), 4.624%, 1/25/40 311,000 277,453
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 4.074%, 7/25/31 18,986 18,868
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 3.926%, 1/25/42 2,198,000 2,025,595
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 2.132%, 5/19/35 996,927 372,615
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 5.076%, 1/25/34 (Bermuda) 1,000,000 894,584
JPMorgan Alternative Loan Trust FRB Ser. 06-A6, Class 1A1, (ICE LIBOR USD 1 Month + 0.32%), 1.944%, 11/25/36 1,489,993 1,348,211
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26(WAC) 511,000 489,129
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE9, Class M2, (ICE LIBOR USD 1 Month + 0.93%), 2.554%, 11/25/34 386,420 380,551
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (ICE LIBOR USD 1 Month + 2.85%), 4.474%, 7/25/28 (Bermuda) 2,980,000 2,910,800
Oaktown Re III, Ltd. 144A
FRB Ser. 19-1A, Class B1B, (ICE LIBOR USD 1 Month + 4.35%), 5.974%, 7/25/29 (Bermuda) 695,000 685,588
FRB Ser. 19-1A, Class B1A, (ICE LIBOR USD 1 Month + 3.50%), 5.124%, 7/25/29 (Bermuda) 574,000 556,871
Radnor Re, Ltd. 144A Mortgage Insurance-Linked FRN Ser. 20-1, Class B1, (ICE LIBOR USD 1 Month + 3.00%), 4.624%, 1/25/30 430,000 388,171
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 1.744%, 8/25/36 340,127 317,263
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 862,000 831,543
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR8, Class 2AC2, (ICE LIBOR USD 1 Month + 0.92%), 2.544%, 7/25/45 607,198 564,222
Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 07-2, Class A3, (ICE LIBOR USD 1 Month + 0.23%), 1.854%, 4/25/37 782,244 757,887
111,443,973
Total mortgage-backed securities (cost $487,316,963) $433,118,286








ASSET-BACKED SECURITIES (3.5%)(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 $3,503,000 $3,494,243
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-2, Class F, (ICE LIBOR USD 1 Month + 4.75%), 6.374%, 4/25/55 680,000 658,409
FRB Ser. 20-2, Class F, (ICE LIBOR USD 1 Month + 3.25%), 4.874%, 11/25/53 270,000 268,853
FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 3.624%, 11/25/55 1,216,000 1,153,267
FRB Ser. 20-2, Class A, (ICE LIBOR USD 1 Month + 0.80%), 2.424%, 11/25/53 592,200 592,200
FRB Ser. 21-2, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.374%, 4/25/55 1,265,000 1,265,000
FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.70%), 1.368%, 2/25/55 610,000 610,000
MRA Issuance Trust 144A FRB Ser. 20-2, Class A2, (ICE LIBOR USD 1 Month + 1.45%), 2.262%, 8/15/22 2,155,000 2,155,000
Station Place Securitization Trust 144A
FRB Ser. 22-3, Class A1, (CME TERM SOFR 1 Month + 1.25%), 2.755%, 5/29/23 1,667,000 1,667,000
FRB Ser. 22-2, Class A1, (CME TERM SOFR 1 Month + 0.93%), 2.435%, 5/25/23 1,667,000 1,667,000
FRB Ser. 21-10, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.383%, 8/8/22 2,100,000 2,100,000
FRB Ser. 21-14, Class A1, (ICE LIBOR USD 1 Month + 0.70%), 2.333%, 12/8/22 764,000 764,000
FRB Ser. 21-16, Class A1, (ICE LIBOR USD 1 Month + 0.62%), 2.253%, 11/7/22 2,216,000 2,216,000
Total asset-backed securities (cost $18,629,112) $18,610,972








PURCHASED SWAP OPTIONS OUTSTANDING (—%)(a)
  Counterparty Fixed right % to receive or (pay)/Floating rate index/Maturity date Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
0.485/3 month USD-LIBOR-ICE/Jan-25 Jan-24/0.485 $51,153,500 $28,134
Total purchased swap options outstanding (cost $95,913) $28,134








PURCHASED OPTIONS OUTSTANDING (1.0%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Government National Mortgage Association 30 yr 3.50% TBA commitments (Call) Aug-22/$97.19 $28,161,719 $29,000,000 $200,100
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Aug-22/90.00 67,318,320 75,000,000 645,000
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Aug-22/93.19 46,476,530 50,000,000 345,000
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) Aug-22/96.19 14,399,994 15,000,000 102,000
Uniform Mortgage-Backed Securities 30 yr 4.00% TBA commitments (Call) Aug-22/98.56 49,197,240 50,000,000 490,000
Uniform Mortgage-Backed Securities 30 yr 4.50% TBA commitments (Call) Aug-22/100.25 305,464,698 305,000,000 2,623,000
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Call) Aug-22/100.64 81,371,856 80,000,000 1,047,280
Total purchased options outstanding (cost $5,301,485) $5,452,380








SHORT-TERM INVESTMENTS (20.6%)(a)
        Principal amount/
shares		 Value
Putnam Government Money Market Fund Class P 1.04%(AFF) Shares 10,000 $10,000
Putnam Short Term Investment Fund Class P 1.36%(AFF) Shares 24,327,533 24,327,533
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.43%(P) Shares 1,494,000 1,494,000
U.S. Treasury Bills 1.160%, 7/14/22(SEGSF)(SEGCCS) $15,500,000 15,494,038
U.S. Treasury Bills 1.132%, 8/4/22(SEGSF) 8,900,000 8,890,060
U.S. Treasury Bills 0.962%, 7/26/22(SEGSF)(SEGCCS) 15,200,000 15,189,207
U.S. Treasury Bills 1.158%, 7/28/22(SEGSF)(SEGCCS) 600,000 599,515
U.S. Treasury Bills 0.882%, 7/19/22(SEGSF)(SEGCCS) 7,700,000 7,696,063
U.S. Treasury Bills 1.223%, 7/21/22(SEGSF)(SEGCCS) 7,100,000 7,095,996
U.S. Treasury Bills 0.812%, 7/12/22(SEG)(SEGSF)(SEGCCS) 6,600,000 6,598,064
U.S. Treasury Bills 0.859%, 7/5/22(SEG)(SEGSF)(SEGCCS) 8,240,000 8,239,204
U.S. Treasury Bills 0.787%, 7/7/22(SEGSF)(SEGCCS) 14,000,000 13,998,250
Total short-term investments (cost $109,632,957) $109,631,930
TOTAL INVESTMENTS
Total investments (cost $1,113,053,396) $1,063,854,239








FUTURES CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 1,157 $242,988,079 $242,988,079 Sep-22 $1,434,606
Unrealized appreciation 1,434,606
Unrealized (depreciation) —
Total $1,434,606








WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/22 (premiums $35,503,132) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
0.985/3 month USD-LIBOR-ICE/Jan-25 Jan-24/0.985 $51,153,500 $990,332
3.195/3 month USD-LIBOR-ICE/Nov-55 Nov-25/3.195 34,601,700 2,656,719
(3.195)/3 month USD-LIBOR-ICE/Nov-55 Nov-25/3.195 34,601,700 5,139,044
Citibank, N.A.
(1.865)/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 14,564,900 331,934
1.865/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 14,564,900 1,762,062
Goldman Sachs International
(2.9425)/3 month USD-LIBOR-ICE/Feb-34 Feb-24/2.9425 36,043,400 1,368,568
2.9425/3 month USD-LIBOR-ICE/Feb-34 Feb-24/2.9425 36,043,400 1,755,314
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-ICE/Mar-35 Mar-25/0.968 5,302,800 27,575
(1.07)/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 9,579,400 70,121
1.07/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 9,579,400 853,046
0.968/3 month USD-LIBOR-ICE/Mar-35 Mar-25/0.968 5,302,800 942,467
3.229/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 35,660,900 1,270,598
(3.229)/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 35,660,900 1,740,252
Morgan Stanley & Co. International PLC
(1.512)/3 month USD-LIBOR-ICE/Aug-32 Aug-22/1.512 17,746,600 355
(2.97)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 18,291,600 868,668
(3.01)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 18,291,600 897,386
3.01/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 18,291,600 1,121,824
2.97/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 18,291,600 1,146,517
2.7875/3 month USD-LIBOR-ICE/Apr-59 Apr-29/2.7875 21,626,000 2,392,701
1.512/3 month USD-LIBOR-ICE/Aug-32 Aug-22/1.512 17,746,600 2,433,059
(2.7875)/3 month USD-LIBOR-ICE/Apr-59 Apr-29/2.7875 21,626,000 2,823,274
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 794,600 11,800
1.17/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 1,589,200 519,096
UBS AG
(1.9875)/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 16,895,300 361,897
1.9875/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 16,895,300 1,922,852
Total $33,407,461








WRITTEN OPTIONS OUTSTANDING at 6/30/22 (premiums $4,872,188) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Government National Mortgage Association 30 yr 3.50% TBA commitments (Put) Aug-22/$97.19 $28,161,719 $29,000,000 $255,200
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Aug-22/90.00 67,318,320 75,000,000 570,000
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Aug-22/93.19 46,476,530 50,000,000 330,000
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) Aug-22/96.19 14,399,994 15,000,000 90,000
Uniform Mortgage-Backed Securities 30 yr 4.00% TBA commitments (Put) Aug-22/98.56 49,197,240 50,000,000 545,000
Uniform Mortgage-Backed Securities 30 yr 4.50% TBA commitments (Put) Aug-22/100.25 305,464,698 305,000,000 2,470,500
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Put) Aug-22/100.64 81,371,856 80,000,000 180,000
Total $4,440,700








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/22 (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 $176,037,200 $(2,024,428) $3,013,757
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 12,942,000 (1,685,696) 1,610,373
(2.485)/3 month USD-LIBOR-ICE/Oct-54 (Purchased) Oct-24/2.485 20,805,700 (1,255,624) 1,588,515
(1.76)/3 month USD-LIBOR-ICE/Jan-29 (Purchased) Jan-28/1.76 49,314,500 (318,695) 435,447
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,526,100 (387,441) 256,551
3.035/US SOFR/Nov-38 (Purchased) Nov-28/3.035 73,288,200 (5,423,327) 101,871
1.76/3 month USD-LIBOR-ICE/Jan-29 (Purchased) Jan-28/1.76 49,314,500 (318,695) (88,273)
(2.94)/US SOFR/Apr-25 (Purchased) Apr-23/2.94 85,627,700 (916,216) (107,035)
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,526,100 (387,441) (188,573)
(3.035)/US SOFR/Nov-38 (Purchased) Nov-28/3.035 73,288,200 (5,423,327) (259,440)
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 20,251,300 (996,075) (572,099)
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 176,037,200 (2,024,428) (978,767)
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 12,942,000 (1,685,696) (1,024,359)
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 57,860,800 (2,794,677) (1,682,592)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 115,721,600 1,588,279 1,042,652
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 53,614,900 3,900,484 470,739
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 28,930,400 451,314 285,543
3.69/US SOFR/Apr-25 (Written) Apr-23/3.69 171,255,500 959,031 166,118
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 21,231,500 1,658,180 157,538
(1.115)/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 49,314,500 207,737 105,533
2.46/US SOFR/Jun-59 (Written) Jun-29/2.46 5,015,800 708,733 9,630
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 21,231,500 1,658,180 (31,210)
(2.46)/US SOFR/Jun-59 (Written) Jun-29/2.46 5,015,800 708,733 (57,732)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 53,614,900 3,900,484 (107,230)
1.115/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 49,314,500 207,737 (683,006)
2.415/3 month USD-LIBOR-ICE/Oct-33 (Written) Oct-23/2.415 64,497,800 1,362,516 (3,349,371)
Barclays Bank PLC
(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 12,539,500 (1,519,160) 510,985
2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 12,539,500 (1,519,160) (452,676)
Citibank, N.A.
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 86,001,300 (2,803,642) 3,271,489
(1.648)/US SOFR/Sep-32 (Purchased) Sep-22/1.648 31,239,500 (763,806) 2,484,790
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 9,762,800 (736,603) 1,182,080
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 8,812,200 (651,442) 1,063,456
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 71,961,800 (959,251) 1,034,091
(2.194)/3 month USD-LIBOR-ICE/Sep-52 (Purchased) Sep-22/2.194 7,953,300 (195,075) 1,006,808
(1.99)/US SOFR/Feb-42 (Purchased) Feb-32/1.99 23,191,700 (1,826,346) 850,440
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 17,079,100 (1,261,292) 820,309
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 5,918,800 (443,022) 693,151
(1.102)/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 2,455,400 (78,020) 345,131
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 14,080,100 (2,076,815) 337,359
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 6,879,800 (501,193) 230,680
(2.285)/3 month USD-LIBOR-ICE/Mar-51 (Purchased) Mar-41/2.285 8,587,600 (741,539) 41,392
2.285/3 month USD-LIBOR-ICE/Mar-51 (Purchased) Mar-41/2.285 8,587,600 (741,539) (12,710)
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 4,579,000 (589,546) (40,249)
1.102/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 2,455,400 (78,020) (76,903)
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 6,879,800 (501,193) (153,144)
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 4,579,000 (589,546) (242,138)
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 14,080,100 (2,076,815) (296,245)
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 71,961,800 (959,251) (327,426)
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 5,918,800 (443,022) (373,713)
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 17,079,100 (1,261,292) (487,438)
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 8,812,200 (651,442) (550,498)
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 9,762,800 (736,603) (627,650)
1.99/US SOFR/Feb-42 (Purchased) Feb-32/1.99 23,191,700 (1,826,346) (669,081)
1.648/US SOFR/Sep-32 (Purchased) Sep-22/1.648 31,239,500 (763,806) (755,996)
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 86,001,300 (2,803,642) (1,351,080)
(1.918)/3 month USD-LIBOR-ICE/Jan-51 (Written) Jan-31/1.918 16,948,300 2,027,017 828,602
(1.245)/3 month USD-LIBOR-ICE/Aug-24 (Written) Aug-22/1.245 67,957,000 621,807 617,050
(1.194)/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 71,961,800 545,470 454,079
1.918/3 month USD-LIBOR-ICE/Jan-51 (Written) Jan-31/1.918 16,948,300 2,027,017 (1,161,636)
1.194/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 71,961,800 545,470 (2,079,696)
1.245/3 month USD-LIBOR-ICE/Aug-24 (Written) Aug-22/1.245 67,957,000 621,807 (2,110,744)
1.7075/3 month USD-LIBOR-ICE/Sep-27 (Written) Sep-22/1.7075 38,175,600 202,331 (2,255,414)
Deutsche Bank AG
(1.68)/US SOFR/Feb-57 (Purchased) Feb-37/1.68 46,383,400 (6,839,232) 878,038
(1.724)/US SOFR/Jan-47 (Purchased) Jan-37/1.724 21,348,900 (1,762,352) 589,016
2.235/US SOFR/Jul-32 (Purchased) Jul-22/2.235 26,062,000 (147,250) (139,432)
1.724/US SOFR/Jan-47 (Purchased) Jan-37/1.724 21,348,900 (1,762,352) (431,461)
1.68/US SOFR/Feb-57 (Purchased) Feb-37/1.68 46,383,400 (6,839,232) (1,449,481)
(2.135)/US SOFR/Mar-42 (Written) Mar-32/2.135 40,583,000 3,411,001 1,164,326
3.235/US SOFR/Jul-32 (Written) Jul-22/3.235 26,062,000 185,692 142,559
2.135/US SOFR/Mar-42 (Written) Mar-32/2.135 40,583,000 3,411,001 (1,005,241)
Goldman Sachs International
(1.727)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 5,474,400 (818,423) 538,790
2.995/US SOFR/Aug-32 (Purchased) Aug-22/2.995 22,530,900 (491,850) 48,216
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 4,497,500 (567,809) (26,445)
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 4,497,500 (567,809) (152,960)
(2.995)/US SOFR/Aug-32 (Purchased) Aug-22/2.995 22,530,900 (491,850) (308,448)
1.727/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 5,474,400 (502,002) (308,866)
2.41/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.41 23,512,000 343,275 (1,355,702)
2.07/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.07 25,975,700 537,697 (1,919,344)
JPMorgan Chase Bank N.A.
(1.805)/3 month USD-LIBOR-ICE/Dec-36 (Purchased) Dec-26/1.805 17,726,900 (1,051,205) 1,283,782
(2.031)/3 month USD-LIBOR-ICE/Feb-41 (Purchased) Feb-31/2.031 10,707,100 (732,366) 596,493
(2.032)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 6,092,600 (703,695) 518,297
(1.905)/US SOFR/Jan-42 (Purchased) Jan-32/1.905 10,924,600 (797,496) 492,153
(1.985)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.985 7,647,900 (524,646) 441,896
(1.544)/US SOFR/Jan-62 (Purchased) Jan-32/1.544 4,096,700 (688,246) 237,240
(2.50)/3 month USD-LIBOR-ICE/Nov-39 (Purchased) Nov-29/2.50 7,631,600 (793,686) 39,226
(2.902)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.902 4,579,000 (491,327) (35,304)
2.50/3 month USD-LIBOR-ICE/Nov-39 (Purchased) Nov-29/2.50 7,631,600 (441,106) (82,650)
1.985/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.985 7,647,900 (524,646) (219,571)
1.544/US SOFR/Jan-62 (Purchased) Jan-32/1.544 4,096,700 (688,246) (234,618)
2.902/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.902 4,579,000 (707,913) (276,297)
1.905/US SOFR/Jan-42 (Purchased) Jan-32/1.905 10,924,600 (797,496) (288,300)
2.031/3 month USD-LIBOR-ICE/Feb-41 (Purchased) Feb-31/2.031 10,707,100 (732,366) (296,801)
2.032/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 6,092,600 (703,695) (401,746)
1.805/3 month USD-LIBOR-ICE/Dec-36 (Purchased) Dec-26/1.805 17,726,900 (1,051,205) (600,587)
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 27,464,600 586,026 306,780
(1.168)/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 6,477,800 416,846 291,371
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 4,234,200 250,241 120,167
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 4,234,200 250,241 (247,785)
1.168/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 6,477,800 416,846 (705,044)
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 27,464,600 586,026 (920,613)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 219,200 (25,011) 3,674
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 219,200 (25,011) (13,310)
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 4,579,000 (701,503) (59,390)
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 4,579,000 (492,700) (207,383)
(3.40)/US SOFR/Sep-24 (Purchased) Sep-22/3.40 290,000,000 (1,287,539) (321,900)
(3.40)/US SOFR/Sep-24 (Written) Sep-22/3.40 290,000,000 2,301,780 (562,600)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 5,742,300 (300,322) 386,916
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 2,820,300 (196,716) 104,746
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 2,820,300 (196,716) (58,860)
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 5,742,300 (300,322) (163,368)
(2.095)/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 2,480,200 326,146 155,013
2.095/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 2,480,200 326,146 (165,727)
UBS AG
(0.8925)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 7,871,400 (166,874) 605,862
(1.715)/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 2,871,200 (259,126) 442,567
(0.902)/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 3,148,600 (176,164) 412,183
(0.87)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 26,238,100 (176,976) 375,467
(0.983)/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 10,495,200 (166,349) 265,529
(1.87)/3 month USD-LIBOR-ICE/Jul-46 (Purchased) Jul-41/1.87 7,937,900 (369,112) 93,826
(2.6525)/US SOFR/Aug-32 (Purchased) Aug-22/2.6525 25,142,200 (514,158) 88,249
1.87/3 month USD-LIBOR-ICE/Jul-46 (Purchased) Jul-41/1.87 7,937,900 (369,112) (48,739)
0.983/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 10,495,200 (166,349) (94,142)
0.87/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 26,238,100 (176,976) (106,527)
0.902/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 3,148,600 (176,164) (147,229)
0.8925/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 7,871,400 (166,874) (159,002)
1.715/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 2,871,200 (259,126) (242,904)
(0.958)/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 6,297,100 167,345 124,242
2.8375/US SOFR/Aug-32 (Written) Aug-22/2.8375 37,713,300 512,901 (60,341)
0.958/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 6,297,100 167,345 (422,221)
Wells Fargo Bank, N.A.
(1.96)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.96 27,375,600 (1,853,328) 1,638,703
(1.405)/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.405 20,098,200 (411,511) 1,083,896
(1.3875)/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.3875 14,355,800 (294,653) 783,109
(2.16)/3 month USD-LIBOR-ICE/Feb-35 (Purchased) Feb-25/2.16 8,493,000 (423,588) 430,170
(1.8225)/US SOFR/Jan-42 (Purchased) Jan-32/1.8225 6,404,700 (472,667) 308,899
1.8225/US SOFR/Jan-42 (Purchased) Jan-32/1.8225 6,404,700 (472,667) (182,982)
1.3875/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.3875 14,355,800 (294,653) (214,619)
2.16/3 month USD-LIBOR-ICE/Feb-35 (Purchased) Feb-25/2.16 8,493,000 (423,588) (220,733)
1.405/3 month USD-LIBOR-ICE/Feb-29 (Purchased) Feb-24/1.405 20,098,200 (411,511) (297,252)
1.96/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.96 27,375,600 (1,853,328) (781,847)
(1.62)/US SOFR/Jan-27 (Written) Jan-25/1.62 49,102,500 540,128 188,063
1.62/US SOFR/Jan-27 (Written) Jan-25/1.62 49,102,500 540,128 (727,212)
Unrealized appreciation 40,195,623
Unrealized (depreciation) (39,819,108)
Total $376,515








TBA SALE COMMITMENTS OUTSTANDING at 6/30/22 (proceeds receivable $221,111,719) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 5.00%, 8/1/52 $80,000,000 8/11/22 $81,371,856
Uniform Mortgage-Backed Securities, 5.00%, 7/1/52 31,000,000 7/14/22 31,624,836
Uniform Mortgage-Backed Securities, 4.50%, 8/1/52 61,000,000 8/11/22 61,092,940
Uniform Mortgage-Backed Securities, 4.00%, 7/1/52 48,000,000 7/14/22 47,317,478
Uniform Mortgage-Backed Securities, 3.00%, 8/1/52 1,000,000 8/11/22 929,531
Total $222,336,641










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$30,378,000 $1,040,447 $1,468 12/23/23 0.695% — Annually Secured Overnight Financing Rate — Annually $987,556
28,248,000 2,027,924 2,428 12/23/26 1.085% — Annually Secured Overnight Financing Rate — Annually 1,921,095
44,700,000 5,583,030 (11,629) 12/23/31 Secured Overnight Financing Rate — Annually 1.285% — Annually (5,374,587)
16,940,000 4,151,486 (30,163) 12/23/51 Secured Overnight Financing Rate — Annually 1.437% — Annually (4,084,658)
77,601,000 2,655,506 (7,896) 12/24/23 0.697% — Annually Secured Overnight Financing Rate — Annually 2,507,167
8,211,000 586,019 523 12/24/26 Secured Overnight Financing Rate — Annually 1.096% — Annually (548,237)
75,507,000 9,433,090 (33,708) 12/24/31 1.285% — Annually Secured Overnight Financing Rate — Annually 9,029,638
10,717,000 2,630,702 (5,792) 12/24/51 1.435% — Annually Secured Overnight Financing Rate — Annually 2,563,887
2,051,000 466,315 (334) 12/31/51 1.525% — Annually Secured Overnight Financing Rate — Annually 453,410
4,905,000 343,252 (651) 12/31/26 Secured Overnight Financing Rate — Annually 1.135% — Annually (322,340)
2,561,900 117,771 (E) (57) 1/15/47 1.724% — Annually Secured Overnight Financing Rate — Annually 117,714
9,386,000 1,843,692 (320) 1/21/52 1.679% — Annually Secured Overnight Financing Rate — Annually 1,784,618
9,856,000 2,041,178 (336) 1/19/52 Secured Overnight Financing Rate — Annually 1.626% — Annually (1,984,981)
18,503,000 3,726,134 (631) 2/1/52 1.6545% — Annually Secured Overnight Financing Rate — Annually 3,615,853
10,668,100 545,567 (E) (364) 2/13/57 1.68% — Annually Secured Overnight Financing Rate — Annually 545,203
24,475,300 3,913,845 (835) 2/24/52 Secured Overnight Financing Rate — Annually 1.86% — Annually (3,775,737)
1,881,000 335,947 (64) 2/29/52 1.7674% — Annually Secured Overnight Financing Rate — Annually 326,893
5,733,000 503,701 (76) 2/29/32 Secured Overnight Financing Rate — Annually 1.75% — Annually (475,187)
13,299,000 646,198 (108) 2/28/27 1.675% — Annually Secured Overnight Financing Rate — Annually 583,339
11,772,000 298,067 (45) 2/29/24 Secured Overnight Financing Rate — Annually 1.47709% — Annually (249,075)
7,332,800 683,124 (97) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (645,715)
20,619,900 2,172,100 (273) 3/9/32 1.5475% — Annually Secured Overnight Financing Rate — Annually 2,087,174
21,379,100 2,262,978 (283) 3/9/32 1.5415% — Annually Secured Overnight Financing Rate — Annually 2,177,940
11,271,000 1,006,500 (149) 3/11/32 1.737% — Annually Secured Overnight Financing Rate — Annually 958,913
14,228,000 140,999 (54) 4/7/24 2.45% — Annually Secured Overnight Financing Rate — Annually 73,089
12,816,000 181,603 (104) 4/7/27 2.469% — Annually Secured Overnight Financing Rate — Annually 119,766
11,968,000 469,744 (159) 4/7/23 2.3305% — Annually Secured Overnight Financing Rate — Annually 416,011
2,606,000 289,110 (89) 4/7/52 2.1015% — Annually Secured Overnight Financing Rate — Annually 278,553
8,956,000 561,541 (305) 4/14/52 Secured Overnight Financing Rate — Annually 2.3395% — Annually (525,263)
2,050,000 51,496 (27) 4/14/32 Secured Overnight Financing Rate — Annually 2.4965% — Annually (42,235)
9,554,000 129,743 (77) 4/14/27 2.483% — Annually Secured Overnight Financing Rate — Annually 87,839
5,859,000 63,043 (22) 4/14/24 2.405% — Annually Secured Overnight Financing Rate — Annually 37,777
51,844,600 235,893 (489) 5/2/27 Secured Overnight Financing Rate — Annually 2.685% — Annually (46,259)
96,127,500 733,453 (362) 5/25/24 2.5945% — Annually Secured Overnight Financing Rate — Annually 555,668
10,207,000 301,515 (348) 5/25/52 Secured Overnight Financing Rate — Annually 2.501% — Annually (283,971)
25,683,000 79,104 (341) 6/7/32 Secured Overnight Financing Rate — Annually 2.7565% — Annually (48,475)
6,150,000 29,705 (210) 6/7/52 Secured Overnight Financing Rate — Annually 2.622% — Annually (22,494)
82,198,300 235,087 (1,090) 6/8/32 Secured Overnight Financing Rate — Annually 2.825% — Annually 339,646
9,706,600 1,220,605 (1,218,311) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 1,996
23,054,000 72,851 (87) 6/10/24 Secured Overnight Financing Rate — Annually 2.833% — Annually (46,067)
19,230,000 15,576 (156) 6/10/27 2.8025% — Annually Secured Overnight Financing Rate — Annually (37,803)
124,460,000 808,990 (469) 6/15/24 Secured Overnight Financing Rate — Annually 3.3385% — Annually 949,451
64,279,000 1,189,162 (520) 6/15/27 3.185% — Annually Secured Overnight Financing Rate — Annually (1,258,082)
99,591,000 633,399 (E) 368,024 9/21/24 3.40% — Annually Secured Overnight Financing Rate — Annually (265,375)
214,077,000 4,735,383 (E) 2,423,586 9/21/27 3.30% — Annually Secured Overnight Financing Rate — Annually (2,314,630)
44,646,000 1,477,783 (E) 702,370 9/21/32 3.20% — Annually Secured Overnight Financing Rate — Annually (775,413)
12,865,000 1,180,106 (E) (770,911) 9/21/52 Secured Overnight Financing Rate — Annually 3.10% — Annually 409,196
12,203,100 30,142 (E) (173) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly (30,314)
32,128,000 114,376 (121) 7/1/24 3.1765% — Annually Secured Overnight Financing Rate — Annually (114,497)
8,733,000 21,632 (298) 7/5/52 Secured Overnight Financing Rate — Annually 2.657% — Annually 21,334
Total $1,409,865 $9,679,331
(E) Extended effective date.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.11 Index BB-/P $42,375 $75,000 $14,693 11/18/54 500 bp — Monthly $27,745
CMBX NA BB.13 Index BB-/P 75,581 756,000 177,282 12/16/72 500 bp — Monthly (101,071)
CMBX NA BB.13 Index BB-/P 78,819 865,000 202,843 12/16/72 500 bp — Monthly (123,303)
CMBX NA BB.13 Index BB-/P 82,147 901,000 211,285 12/16/72 500 bp — Monthly (128,387)
CMBX NA BB.13 Index BB-/P 129,386 1,371,000 321,500 12/16/72 500 bp — Monthly (190,971)
CMBX NA BB.14 Index BB/P 169,285 1,544,000 331,188 12/16/72 500 bp — Monthly (160,617)
CMBX NA BB.6 Index CCC+/P 617,410 1,417,374 550,650 5/11/63 500 bp — Monthly 67,942
CMBX NA BB.9 Index B/P 36,851 181,000 52,979 9/17/58 500 bp — Monthly (15,977)
CMBX NA BB.9 Index B/P 287,137 1,406,000 411,536 9/17/58 500 bp — Monthly (123,228)
CMBX NA BB.9 Index B/P 1,102,022 1,964,000 574,863 9/17/58 500 bp — Monthly 528,796
CMBX NA BBB-.10 Index BB+/P 89,090 718,000 125,147 11/17/59 300 bp — Monthly (35,698)
CMBX NA BBB-.10 Index BB+/P 96,874 888,000 154,778 11/17/59 300 bp — Monthly (57,460)
CMBX NA BBB-.11 Index BBB-/P 59,693 953,000 153,528 11/18/54 300 bp — Monthly (93,359)
CMBX NA BBB-.12 Index BBB-/P 83,270 1,413,000 254,340 8/17/61 300 bp — Monthly (170,364)
CMBX NA BBB-.13 Index BBB-/P 17,539 200,000 39,880 12/16/72 300 bp — Monthly (22,241)
CMBX NA BBB-.13 Index BBB-/P 90,654 493,000 98,304 12/16/72 300 bp — Monthly (7,527)
CMBX NA BBB-.14 Index BBB-/P 10,885 220,000 45,892 12/16/72 300 bp — Monthly (34,897)
CMBX NA BBB-.14 Index BBB-/P 13,829 369,000 76,973 12/16/72 300 bp — Monthly (62,960)
CMBX NA BBB-.15 Index BBB-/P 45,229 433,000 94,654 11/18/64 300 bp — Monthly (49,208)
CMBX NA BBB-.15Index BBB-/P 40,101 236,000 51,590 11/18/64 300 bp — Monthly (11,371)
CMBX NA BBB-.6 Index B+/P 9,913 111,375 25,527 5/11/63 300 bp — Monthly (15,559)
CMBX NA BBB-.6 Index B+/P 61,388 838,004 192,070 5/11/63 300 bp — Monthly (130,263)
CMBX NA BBB-.6 Index B+/P 282,900 883,811 202,569 5/11/63 300 bp — Monthly 80,773
CMBX NA BBB-.6 Index B+/P 282,900 883,811 202,569 5/11/63 300 bp — Monthly 80,773
CMBX NA BBB-.6 Index B+/P 71,943 979,916 224,597 5/11/63 300 bp — Monthly (152,163)
CMBX NA BBB-.6 Index B+/P 113,078 1,491,880 341,939 5/11/63 300 bp — Monthly (228,114)
CMBX NA BBB-.6 Index B+/P 579,330 1,767,622 405,139 5/11/63 300 bp — Monthly 175,076
CMBX NA BBB-.6 Index B+/P 1,320,567 4,322,949 990,820 5/11/63 300 bp — Monthly 331,910
CMBX NA BBB-.6 Index B+/P 1,356,107 19,127,678 4,384,064 5/11/63 300 bp — Monthly (3,018,386)
Credit Suisse International
CMBX NA BB.7 Index B/P 36,784 275,000 86,763 1/17/47 500 bp — Monthly (49,749)
CMBX NA BBB-.6 Index B+/P 1,486,956 14,213,726 3,257,786 5/11/63 300 bp — Monthly (1,763,718)
Deutsche Bank AG
CMBX NA BBB-.6 Index B+/P 935,424 7,880,646 1,806,244 5/11/63 300 bp — Monthly (866,877)
Goldman Sachs International
CMBX NA A.14 Index A-/P (1,527) 90,000 5,760 12/16/72 200 bp — Monthly (7,257)
CMBX NA A.14 Index A-/P 113,733 1,977,000 126,528 12/16/72 200 bp — Monthly (12,465)
CMBX NA A.7 Index BBB+/P (1,645) 1,128,000 59,784 1/17/47 200 bp — Monthly (61,053)
CMBX NA BB.14 Index BB/P 244,888 1,573,000 337,409 12/16/72 500 bp — Monthly (91,209)
CMBX NA BB.7 Index B/P 59,391 175,000 55,213 1/17/47 500 bp — Monthly 4,324
CMBX NA BB.7 Index B/P 77,674 231,000 72,881 1/17/47 500 bp — Monthly 4,986
CMBX NA BB.7 Index B/P 131,040 416,000 131,248 1/17/47 500 bp — Monthly 139
CMBX NA BBB-.11 Index BBB-/P 64 1,000 161 11/18/54 300 bp — Monthly (97)
CMBX NA BBB-.13 Index BBB-/P 13,523 79,000 15,753 12/16/72 300 bp — Monthly (2,190)
CMBX NA BBB-.15 Index BBB-/P 26,714 430,000 93,998 11/18/64 300 bp — Monthly (67,069)
CMBX NA BBB-.15 Index BBB-/P 55,090 596,000 130,286 11/18/64 300 bp — Monthly (74,898)
CMBX NA BBB-.15 Index BBB-/P 53,068 596,000 130,286 11/18/64 300 bp — Monthly (76,920)
CMBX NA BBB-.6 Index B+/P 6,561 79,938 18,322 5/11/63 300 bp — Monthly (11,721)
CMBX NA BBB-.6 Index B+/P 6,521 79,938 18,322 5/11/63 300 bp — Monthly (11,760)
CMBX NA BBB-.6 Index B+/P 8,337 93,411 21,410 5/11/63 300 bp — Monthly (13,026)
CMBX NA BBB-.6 Index B+/P 11,011 117,662 26,968 5/11/63 300 bp — Monthly (15,898)
CMBX NA BBB-.6 Index B+/P 10,536 124,847 28,615 5/11/63 300 bp — Monthly (18,017)
CMBX NA BBB-.6 Index B+/P 25,618 215,564 49,407 5/11/63 300 bp — Monthly (23,682)
CMBX NA BBB-.6 Index B+/P 22,036 223,647 51,260 5/11/63 300 bp — Monthly (29,112)
CMBX NA BBB-.6 Index B+/P 28,418 230,833 52,907 5/11/63 300 bp — Monthly (24,373)
CMBX NA BBB-.6 Index B+/P 20,349 240,713 55,171 5/11/63 300 bp — Monthly (34,702)
CMBX NA BBB-.6 Index B+/P 31,378 242,509 55,583 5/11/63 300 bp — Monthly (24,083)
CMBX NA BBB-.6 Index B+/P 83,768 274,844 62,994 5/11/63 300 bp — Monthly 20,911
CMBX NA BBB-.6 Index B+/P 164,897 552,382 126,606 5/11/63 300 bp — Monthly 38,567
CMBX NA BBB-.6 Index B+/P 89,294 602,680 138,134 5/11/63 300 bp — Monthly (48,539)
CMBX NA BBB-.6 Index B+/P 193,084 615,254 141,016 5/11/63 300 bp — Monthly 52,376
CMBX NA BBB-.6 Index B+/P 193,084 615,254 141,016 5/11/63 300 bp — Monthly 52,376
CMBX NA BBB-.6 Index B+/P 65,841 668,247 153,162 5/11/63 300 bp — Monthly (86,987)
CMBX NA BBB-.6 Index B+/P 42,125 730,222 167,367 5/11/63 300 bp — Monthly (124,876)
CMBX NA BBB-.6 Index B+/P 42,268 748,185 171,484 5/11/63 300 bp — Monthly (128,841)
CMBX NA BBB-.6 Index B+/P 539,219 1,823,309 417,902 5/11/63 300 bp — Monthly 122,229
CMBX NA BBB-.6 Index B+/P 416,605 3,237,945 742,137 5/11/63 300 bp — Monthly (323,912)
JPMorgan Securities LLC
CMBX NA A.14 Index A-/P (2,765) 470,000 30,080 12/16/72 200 bp — Monthly (32,688)
CMBX NA BB.10 Index B+/P 28,886 360,000 117,108 5/11/63 500 bp — Monthly (87,922)
CMBX NA BB.7 Index B/P 16,440 48,000 15,144 1/17/47 500 bp — Monthly 1,336
CMBX NA BB.7 Index B/P 158,648 324,000 102,222 1/17/47 500 bp — Monthly 56,696
CMBX NA BBB-.12 Index BBB-/P 69,925 582,000 104,760 8/17/61 300 bp — Monthly (34,544)
CMBX NA BBB-.13 Index BBB-/P 81,687 618,000 123,229 12/16/72 300 bp — Monthly (41,233)
Merrill Lynch International
CMBX NA BB.6 Index CCC+/P 186,736 1,536,025 596,746 5/11/63 500 bp — Monthly (408,729)
CMBX NA BB.7 Index B/P 20,331 168,000 53,004 1/17/47 500 bp — Monthly (32,533)
CMBX NA BBB-.6 Index B+/P 288,138 930,516 213,274 5/11/63 300 bp — Monthly 75,329
CMBX NA BBB-.6 Index B+/P 4,188,299 13,961,337 3,199,938 5/11/63 300 bp — Monthly 995,347
Morgan Stanley & Co. International PLC
CMBX NA A.14 Index A-/P (784) 49,000 3,136 12/16/72 200 bp — Monthly (3,904)
CMBX NA A.14 Index A-/P (2,643) 210,000 13,440 12/16/72 200 bp — Monthly (16,013)
CMBX NA A.14 Index A-/P (3,557) 267,000 17,088 12/16/72 200 bp — Monthly (20,556)
CMBX NA A.14 Index A-/P (3,984) 358,000 22,912 12/16/72 200 bp — Monthly (26,777)
CMBX NA A.14 Index A-/P (2,423) 412,000 26,368 12/16/72 200 bp — Monthly (28,654)
CMBX NA A.14 Index A-/P (8,390) 667,000 42,688 12/16/72 200 bp — Monthly (50,856)
CMBX NA A.14 Index A-/P 9,383 734,000 46,976 12/16/72 200 bp — Monthly (37,348)
CMBX NA A.14 Index A-/P (13,795) 930,000 59,520 12/16/72 200 bp — Monthly (73,005)
CMBX NA A.14 Index A-/P (14,491) 930,000 59,520 12/16/72 200 bp — Monthly (73,701)
CMBX NA A.14 Index A-/P (14,491) 930,000 59,520 12/16/72 200 bp — Monthly (73,701)
CMBX NA A.14 Index A-/P (19,650) 1,395,000 89,280 12/16/72 200 bp — Monthly (108,465)
CMBX NA A.15 Index A-/P 4,034 197,000 13,179 11/18/64 200 bp — Monthly (9,080)
CMBX NA A.6 Index BBB+/P (2,510) 261,600 25,741 5/11/63 200 bp — Monthly (28,159)
CMBX NA BB.13 Index BB-/P 575 6,000 1,407 12/16/72 500 bp — Monthly (827)
CMBX NA BB.13 Index BB-/P 14,044 151,000 35,410 12/16/72 500 bp — Monthly (21,239)
CMBX NA BB.13 Index BB-/P 14,439 153,000 35,879 12/16/72 500 bp — Monthly (21,312)
CMBX NA BB.13 Index BB-/P 26,993 294,000 68,943 12/16/72 500 bp — Monthly (41,705)
CMBX NA BB.13 Index BB-/P 55,818 301,000 70,585 12/16/72 500 bp — Monthly (14,516)
CMBX NA BB.13 Index BB-/P 33,293 363,000 85,124 12/16/72 500 bp — Monthly (51,528)
CMBX NA BB.13 Index BB-/P 61,324 673,000 157,819 12/16/72 500 bp — Monthly (95,934)
CMBX NA BB.13 Index BB-/P 80,638 873,000 204,719 12/16/72 500 bp — Monthly (123,353)
CMBX NA BB.6 Index CCC+/P 8,315 42,310 16,437 5/11/63 500 bp — Monthly (8,088)
CMBX NA BB.6 Index CCC+/P 24,114 105,774 41,093 5/11/63 500 bp — Monthly (16,891)
CMBX NA BB.6 Index CCC+/P 67,200 147,164 57,173 5/11/63 500 bp — Monthly 10,149
CMBX NA BB.7 Index B/P 146,668 437,000 137,874 1/17/47 500 bp — Monthly 9,159
CMBX NA BBB-.12 Index BBB-/P 34,298 582,000 104,760 8/17/61 300 bp — Monthly (70,171)
CMBX NA BBB-.13 Index BBB-/P 223 3,000 598 12/16/72 300 bp — Monthly (374)
CMBX NA BBB-.13 Index BBB-/P 1,016 5,000 997 12/16/72 300 bp — Monthly 21
CMBX NA BBB-.15 Index BBB-/P 23,408 415,000 90,719 11/18/64 300 bp — Monthly (67,104)
CMBX NA BBB-.15 Index BBB-/P 58,932 642,000 140,341 11/18/64 300 bp — Monthly (81,089)
CMBX NA BBB-.6 Index B+/P 11,527 123,949 28,409 5/11/63 300 bp — Monthly (16,820)
CMBX NA BBB-.6 Index B+/P 15,551 174,247 39,937 5/11/63 300 bp — Monthly (24,299)
CMBX NA BBB-.6 Index B+/P 51,990 623,338 142,869 5/11/63 300 bp — Monthly (90,568)
CMBX NA BBB-.6 Index B+/P 338,271 1,147,876 263,093 5/11/63 300 bp — Monthly 75,752
CMBX NA BBB-.6 Index B+/P 386,451 1,231,407 282,239 5/11/63 300 bp — Monthly 104,828
CMBX NA BBB-.6 Index B+/P 715,963 2,443,952 560,154 5/11/63 300 bp — Monthly 157,032
CMBX NA BBB-.6 Index B+/P 7,011,142 95,053,673 21,786,302 5/11/63 300 bp — Monthly (14,727,600)
CMBX NA BBB-.7 Index BB-/P 9,392 138,000 25,792 1/17/47 300 bp — Monthly (16,332)
CMBX NA BBB-.9 Index BB+/P 47,282 487,000 83,472 9/17/58 300 bp — Monthly (35,946)
Upfront premium received 26,772,976 Unrealized appreciation 3,074,571
Upfront premium (paid) (92,655) Unrealized (depreciation) (25,639,718)
Total $26,680,321 Total $(22,565,147)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 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 6/30/22 (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 A.6 Index $(20,929) $201,600 $19,837 5/11/63 (200 bp) — Monthly $(1,162)
CMBX NA A.6 Index (2,545) 24,800 2,440 5/11/63 (200 bp) — Monthly (113)
CMBX NA A.6 Index (1,459) 14,400 1,417 5/11/63 (200 bp) — Monthly (47)
CMBX NA A.6 Index (821) 8,000 787 5/11/63 (200 bp) — Monthly (37)
CMBX NA A.6 Index (821) 8,000 787 5/11/63 (200 bp) — Monthly (37)
CMBX NA A.6 Index (483) 4,800 472 5/11/63 (200 bp) — Monthly (12)
CMBX NA BB.10 Index (15,241) 139,000 45,217 11/17/59 (500 bp) — Monthly 29,860
CMBX NA BB.10 Index (11,793) 113,000 36,759 11/17/59 (500 bp) — Monthly 24,872
CMBX NA BB.11 Index (4,242) 45,000 8,816 11/18/54 (500 bp) — Monthly 4,536
CMBX NA BB.11 Index (3,887) 30,000 5,877 11/18/54 (500 bp) — Monthly 1,965
CMBX NA BB.6 Index (11,333) 72,662 28,229 5/11/63 (500 bp) — Monthly 16,836
CMBX NA BB.7 Index (105,844) 2,074,000 654,347 1/17/47 (500 bp) — Monthly 546,775
CMBX NA BB.8 Index (209,142) 586,552 217,787 10/17/57 (500 bp) — Monthly 8,156
CMBX NA BBB-.10 Index (486,410) 2,829,000 493,095 11/17/59 (300 bp) — Monthly 5,270
CMBX NA BBB-.10 Index (326,142) 1,405,000 244,892 11/17/59 (300 bp) — Monthly (81,953)
CMBX NA BBB-.10 Index (297,626) 999,000 174,126 11/17/59 (300 bp) — Monthly (124,000)
CMBX NA BBB-.10 Index (234,757) 984,000 171,511 11/17/59 (300 bp) — Monthly (63,738)
CMBX NA BBB-.10 Index (143,198) 656,000 114,341 11/17/59 (300 bp) — Monthly (29,186)
CMBX NA BBB-.10 Index (136,239) 626,000 109,112 11/17/59 (300 bp) — Monthly (27,440)
CMBX NA BBB-.10 Index (62,719) 492,000 85,756 11/17/59 (300 bp) — Monthly 22,791
CMBX NA BBB-.10 Index (115,406) 469,000 81,747 11/17/59 (300 bp) — Monthly (33,893)
CMBX NA BBB-.10 Index (12,748) 100,000 17,430 11/17/59 (300 bp) — Monthly 4,632
CMBX NA BBB-.10 Index (2,569) 21,000 3,660 11/17/59 (300 bp) — Monthly 1,081
CMBX NA BBB-.11 Index (159,306) 497,000 80,067 11/18/54 (300 bp) — Monthly (79,488)
CMBX NA BBB-.11 Index (48,685) 149,000 24,004 11/18/54 (300 bp) — Monthly (24,755)
CMBX NA BBB-.11 Index (21,489) 146,000 23,521 11/18/54 (300 bp) — Monthly 1,959
CMBX NA BBB-.12 Index (540,439) 1,618,000 291,240 8/17/61 (300 bp) — Monthly (250,008)
CMBX NA BBB-.12 Index (529,327) 1,502,000 270,360 8/17/61 (300 bp) — Monthly (259,718)
CMBX NA BBB-.12 Index (206,461) 915,000 164,700 8/17/61 (300 bp) — Monthly (42,219)
CMBX NA BBB-.12 Index (53,286) 888,000 159,840 8/17/61 (300 bp) — Monthly 106,110
CMBX NA BBB-.12 Index (74,871) 213,000 38,340 8/17/61 (300 bp) — Monthly (36,638)
CMBX NA BBB-.8 Index (338,892) 2,144,000 370,269 10/17/57 (300 bp) — Monthly 30,304
CMBX NA BBB-.8 Index (340,232) 2,144,000 370,269 10/17/57 (300 bp) — Monthly 28,964
CMBX NA BBB-.8 Index (199,245) 1,436,000 247,997 10/17/57 (300 bp) — Monthly 48,034
CMBX NA BBB-.8 Index (220,781) 1,413,000 244,025 10/17/57 (300 bp) — Monthly 22,537
CMBX NA BBB-.8 Index (145,639) 1,094,000 188,934 10/17/57 (300 bp) — Monthly 42,748
CMBX NA BBB-.8 Index (149,147) 953,000 164,583 10/17/57 (300 bp) — Monthly 14,959
CMBX NA BBB-.8 Index (99,623) 718,000 123,999 10/17/57 (300 bp) — Monthly 24,017
CMBX NA BBB-.9 Index (251,259) 1,062,000 182,027 9/17/58 (300 bp) — Monthly (69,764)
Credit Suisse International
CMBX NA BB.10 Index (46,565) 349,000 113,530 11/17/59 (500 bp) — Monthly 66,674
CMBX NA BB.10 Index (41,383) 348,000 113,204 11/17/59 (500 bp) — Monthly 71,531
CMBX NA BB.10 Index (22,747) 183,000 59,530 11/17/59 (500 bp) — Monthly 36,631
Goldman Sachs International
CMBX NA BB.8 Index (270,854) 769,185 285,598 10/17/57 (500 bp) — Monthly 14,103
CMBX NA BB.8 Index (85,102) 223,218 82,881 10/17/57 (500 bp) — Monthly (2,407)
CMBX NA BB.8 Index (62,992) 169,105 62,789 10/17/57 (500 bp) — Monthly (344)
CMBX NA BB.9 Index (301,266) 1,891,000 553,496 9/17/58 (500 bp) — Monthly 250,654
CMBX NA BB.9 Index (208,068) 1,317,000 385,486 9/17/58 (500 bp) — Monthly 176,320
CMBX NA BB.9 Index (54,798) 342,000 100,103 9/17/58 (500 bp) — Monthly 45,021
CMBX NA BB.9 Index (22,287) 140,000 40,978 9/17/58 (500 bp) — Monthly 18,574
CMBX NA BBB-.10 Index (60,367) 276,000 48,107 11/17/59 (300 bp) — Monthly (12,399)
JPMorgan Securities LLC
CMBX NA BB.11 Index (111,197) 198,672 77,184 5/11/63 (500 bp) — Monthly (34,178)
CMBX NA BB.8 Index (311,253) 606,845 225,321 10/17/57 (500 bp) — Monthly (86,437)
CMBX NA BBB-.10 Index (594,783) 4,717,000 822,173 11/17/59 (300 bp) — Monthly 225,031
CMBX NA BBB-.8 Index (107,393) 774,000 133,670 10/17/57 (300 bp) — Monthly 25,890
Merrill Lynch International
CMBX NA BB.10 Index (19,118) 336,000 109,301 11/17/59 (500 bp) — Monthly 89,903
CMBX NA BBB-.10 Index (163,586) 755,000 131,597 11/17/59 (300 bp) — Monthly (32,367)
Morgan Stanley & Co. International PLC
CMBX NA BB.10 Index (196,526) 647,000 210,469 11/17/59 (500 bp) — Monthly 13,404
CMBX NA BB.10 Index (16,780) 160,000 52,048 11/17/59 (500 bp) — Monthly 35,134
CMBX NA BB.8 Index (504,626) 1,325,782 492,263 10/17/57 (500 bp) — Monthly (13,468)
CMBX NA BB.8 Index (397,971) 1,109,328 411,893 10/17/57 (500 bp) — Monthly 12,998
CMBX NA BB.8 Index (234,901) 643,565 238,956 10/17/57 (500 bp) — Monthly 3,518
CMBX NA BB.8 Index (160,466) 422,279 156,792 10/17/57 (500 bp) — Monthly (4,026)
CMBX NA BB.8 Index (117,451) 321,782 119,478 10/17/57 (500 bp) — Monthly 1,759
CMBX NA BB.8 Index (12,320) 32,855 12,199 10/17/57 (500 bp) — Monthly (149)
CMBX NA BB.9 Index (3,804) 28,000 8,196 9/17/58 (500 bp) — Monthly 4,369
CMBX NA BBB-.10 Index (196,183) 1,590,000 277,137 11/17/59 (300 bp) — Monthly 80,159
CMBX NA BBB-.10 Index (109,578) 864,000 150,595 11/17/59 (300 bp) — Monthly 40,586
CMBX NA BBB-.10 Index (86,435) 824,000 143,623 11/17/59 (300 bp) — Monthly 56,776
CMBX NA BBB-.10 Index (168,160) 711,000 123,927 11/17/59 (300 bp) — Monthly (44,588)
CMBX NA BBB-.10 Index (151,882) 623,000 108,589 11/17/59 (300 bp) — Monthly (43,605)
CMBX NA BBB-.10 Index (103,001) 611,000 106,497 11/17/59 (300 bp) — Monthly 3,191
CMBX NA BBB-.10 Index (79,899) 348,000 60,656 11/17/59 (300 bp) — Monthly (19,417)
CMBX NA BBB-.10 Index (70,508) 323,000 56,299 11/17/59 (300 bp) — Monthly (14,370)
CMBX NA BBB-.10 Index (26,327) 304,000 52,987 11/17/59 (300 bp) — Monthly 26,508
CMBX NA BBB-.10 Index (49,002) 226,000 39,392 11/17/59 (300 bp) — Monthly (9,723)
CMBX NA BBB-.10 Index (43,032) 199,000 34,686 11/17/59 (300 bp) — Monthly (8,446)
CMBX NA BBB-.10 Index (23,716) 187,000 32,594 11/17/59 (300 bp) — Monthly 8,784
CMBX NA BBB-.11 Index (25,498) 162,000 26,098 11/18/54 (300 bp) — Monthly 519
CMBX NA BBB-.12 Index (68,165) 300,000 54,000 8/17/61 (300 bp) — Monthly (14,315)
CMBX NA BBB-.12 Index (54,047) 259,000 46,620 8/17/61 (300 bp) — Monthly (7,556)
CMBX NA BBB-.12 Index (50,930) 246,000 44,280 8/17/61 (300 bp) — Monthly (6,773)
CMBX NA BBB-.12 Index (72,026) 233,000 41,940 8/17/61 (300 bp) — Monthly (30,203)
CMBX NA BBB-.14 Index (93,215) 589,000 122,865 12/16/72 (300 bp) — Monthly 29,356
CMBX NA BBB-.8 Index (162,334) 1,186,000 204,822 10/17/57 (300 bp) — Monthly 41,895
CMBX NA BBB-.8 Index (120,571) 889,000 153,530 10/17/57 (300 bp) — Monthly 32,515
CMBX NA BBB-.8 Index (121,126) 889,000 153,530 10/17/57 (300 bp) — Monthly 31,960
CMBX NA BBB-.8 Index (112,284) 885,000 152,840 10/17/57 (300 bp) — Monthly 40,113
CMBX NA BBB-.8 Index (112,561) 885,000 152,840 10/17/57 (300 bp) — Monthly 39,836
CMBX NA BBB-.8 Index (115,360) 824,000 142,305 10/17/57 (300 bp) — Monthly 26,533
CMBX NA BBB-.8 Index (128,906) 822,000 141,959 10/17/57 (300 bp) — Monthly 12,649
CMBX NA BBB-.8 Index (93,274) 602,000 103,965 10/17/57 (300 bp) — Monthly 10,390
CMBX NA BBB-.8 Index (43,788) 310,000 53,537 10/17/57 (300 bp) — Monthly 9,595
CMBX NA BBB-.8 Index (30,000) 192,000 33,158 10/17/57 (300 bp) — Monthly 3,062
Upfront premium received — Unrealized appreciation 2,572,347
Upfront premium (paid) (12,225,448) Unrealized (depreciation) (1,508,979)
Total $(12,225,448) Total $1,063,368
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's abbreviations
bp Basis Points
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
OTC Over-the-counter
PO Principal Only
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 October 1, 2021 through June 30, 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 $531,731,819.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Government Money Market Fund and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/21		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
6/30/22
Short-term investments
Putnam Government Money Market Fund* $10,000 $— $— $9 $10,000
Putnam Short Term Investment Fund** 50,544,303 226,095,374 252,312,144 46,617 24,327,533
Total Short-term investments $50,554,303 $226,095,374 $252,312,144 $46,626 $24,337,533
* Management fees incurred through investment in Putnam Government Money Market Fund have been waived by the fund. There were no realized or unrealized gains or losses during the period.
** Management fees charged to Putnam Short Term Investment Fund have been waived by 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 $1,606,621.
(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 $68,101,575.
(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 $10,283,644.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $482,162,674 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
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, including mortgage backed securities and short-term investments with remaining maturities of 60 days or less, are valued on the basis of valuations provided by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such service providers use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2.
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.
Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge 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 to hedge 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.
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, to hedge term structure risk and for yield curve positioning.
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.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain 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 $70,778,044 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $68,101,575 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
Asset-backed securities $— $18,610,972 $—
Mortgage-backed securities — 433,118,286 —
Purchased options outstanding — 5,452,380 —
Purchased swap options outstanding — 28,134 —
U.S. government and agency mortgage obligations — 492,258,427 —
U.S. treasury obligations — 4,754,110 —
Short-term investments 1,504,000 108,127,930 —
Totals by level $1,504,000 $1,062,350,239 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $1,434,606 $— $—
Written options outstanding — (4,440,700) —
Written swap options outstanding — (33,407,461) —
Forward premium swap option contracts — 376,515 —
TBA sale commitments — (222,336,641) —
Interest rate swap contracts — 8,269,466 —
Credit default contracts — (35,956,652) —
Totals by level $1,434,606 $(287,495,473) $—


The following is a reconciliation of Level 3 assets as of the close of the reporting period:
  Investments in securities: Balance as of 9/30/21 Accrued discounts/
premiums		 Realized gain/
(loss)		 Change in net unrealized appreciation/
(depreciation)#		 Cost of purchases Proceeds from sales Total transfers into Level 3† Total transfers out of Level 3† Balance as of June 30, 2022
Asset-backed securities $7,917,554 $— $— $(13,311) $— $(2,255,000) $— $(5,649,243) $—
Totals $7,917,554 $— $— $(13,311) $— $(2,255,000) $— $(5,649,243) $—
† Transfers during the reporting period are accounted for using the end of period market value and transfers out include valuations where a secondary pricing source was obtained for certain securities.
# Includes $(13,311) related to Level 3 securities still held at period end.


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) $605,100,000
Purchased swap option contracts (contract amount) $2,482,000,000
Written TBA commitment option contracts (contract amount) $605,100,000
Written swap option contracts (contract amount) $2,101,600,000
Futures contracts (number of contracts) 3,000
Centrally cleared interest rate swap contracts (notional) $1,679,500,000
OTC credit default contracts (notional) $348,400,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com