NPORT-EX 2 b_070nport.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam VT Global Asset Allocation Fund
The fund's portfolio
3/31/20 (Unaudited)



COMMON STOCKS (55.2%)(a)
        Shares Value
Basic materials (1.3%)
Anglo American PLC (United Kingdom) 4,826 $84,331
Arkema SA (France) 614 42,461
Ashland Global Holdings, Inc. 559 27,989
Axalta Coating Systems, Ltd.(NON) 3,131 54,072
BHP Group PLC (United Kingdom) 2,946 45,566
Celanese Corp. 616 45,208
Cellnex Telecom, SA 144A (Spain)(NON) 529 24,078
CF Industries Holdings, Inc. 4,249 115,573
Covestro AG (Germany) 2,364 73,434
CRH PLC (Ireland) 1,864 50,811
DuPont de Nemours, Inc. 1,988 67,791
Eastman Chemical Co. 1,843 85,847
Eiffage SA (France) 466 33,003
Fortescue Metals Group, Ltd. (Australia) 5,022 30,673
Glencore PLC (United Kingdom) 667 1,018
Israel Chemicals, Ltd. (Israel) 5,390 17,125
LafargeHolcim, Ltd. (Switzerland) 587 21,459
NewMarket Corp. 118 45,179
Nitto Denko Corp. (Japan) 500 22,320
PPG Industries, Inc. 703 58,771
Reliance Steel & Aluminum Co. 730 63,941
Rio Tinto PLC (United Kingdom) 2,110 96,855
Sherwin-Williams Co. (The) 57 26,193
Shin-Etsu Chemical Co., Ltd. (Japan) 700 69,376
Steel Dynamics, Inc. 3,669 82,699
1,285,773
Capital goods (4.0%)
ACS Actividades de Construccion y Servicios SA (Spain) 1,840 35,946
Allison Transmission Holdings, Inc. 2,165 70,601
Avery Dennison Corp. 803 81,802
Ball Corp. 1,068 69,057
Berry Global Group, Inc.(NON) 2,391 80,601
Caterpillar, Inc. 571 66,259
Crown Holdings, Inc.(NON) 1,305 75,742
Cummins, Inc. 2,209 298,922
Curtiss-Wright Corp. 259 23,934
Daikin Industries, Ltd. (Japan) 700 85,362
Dover Corp. 1,326 111,304
Faurecia SA (France) 1,481 44,329
HD Supply Holdings, Inc.(NON) 3,047 86,626
HEICO Corp. 958 71,476
Hitachi High-Technologies Corp. (Japan) 700 51,959
Hitachi, Ltd. (Japan) 3,000 87,330
Honeywell International, Inc. 3,988 533,555
Ingersoll Rand, Inc.(NON) 2,625 65,103
Johnson Controls International PLC 6,907 186,213
Legrand SA (France) 795 51,086
Lockheed Martin Corp. 1,848 626,380
Northrop Grumman Corp. 1,736 525,227
Obayashi Corp. (Japan) 3,200 27,412
Republic Services, Inc. 1,528 114,692
Sandvik AB (Sweden) 6,737 95,674
Teledyne Technologies, Inc.(NON) 330 98,099
Tervita Corp. (Canada)(NON) 16 39
Toshiba Corp. (Japan) 2,100 46,231
Trane Technologies PLC 2,975 245,705
Waste Management, Inc. 3,157 292,212
4,248,878
Communication services (3.2%)
Altice USA, Inc. Class A(NON) 6,356 141,675
AT&T, Inc. 5,732 167,088
BT Group PLC (United Kingdom) 12,879 18,784
Comcast Corp. Class A 22,508 773,825
Crown Castle International Corp.(R) 2,479 357,968
Deutsche Telekom AG (Germany) 8,266 109,446
Equinix, Inc.(R) 498 311,036
Hikari Tsushin, Inc. (Japan) 100 16,778
KDDI Corp. (Japan) 3,800 112,321
Nippon Telegraph & Telephone Corp. (Japan) 3,000 71,191
NTT DoCoMo, Inc. (Japan) 1,500 47,153
Telstra Corp., Ltd. (Australia) 15,964 30,469
Verizon Communications, Inc. 23,013 1,236,488
3,394,222
Communications equipment (1.0%)
Cisco Systems, Inc. 28,126 1,105,633
1,105,633
Computers (3.1%)
Apple, Inc. 10,566 2,686,828
Aspen Technology, Inc.(NON) 735 69,876
Fortinet, Inc.(NON) 2,429 245,742
Fujitsu, Ltd. (Japan) 300 27,072
Otsuka Corp. (Japan) 1,100 47,063
Synopsys, Inc.(NON) 1,490 191,897
3,268,478
Conglomerates (0.5%)
AMETEK, Inc. 1,911 137,630
Danaher Corp. 2,659 368,032
505,662
Consumer cyclicals (7.3%)
Adecco Group AG (Switzerland) 961 37,917
Amazon.com, Inc.(NON) 1,255 2,446,899
Aristocrat Leisure, Ltd. (Australia) 2,353 30,446
Avalara, Inc.(NON) 997 74,376
Berkeley Group Holdings PLC (The) (United Kingdom) 483 21,591
Booking Holdings, Inc.(NON) 336 452,028
Booz Allen Hamilton Holding Corp. 1,685 115,658
Brambles, Ltd. (Australia) 6,650 43,887
CK Hutchison Holdings, Ltd. (Hong Kong) 5,000 33,532
Clear Channel Outdoor Holdings, Inc.(NON) 502 321
Compass Group PLC (United Kingdom) 4,007 62,608
CoStar Group, Inc.(NON) 122 71,640
D.R. Horton, Inc. 1,606 54,604
Daiwa House Industry Co., Ltd. (Japan) 1,500 37,150
Discovery, Inc. Class A(NON)(S) 3,153 61,294
Euronet Worldwide, Inc.(NON) 439 37,631
Expedia, Inc. 2,551 143,545
Extended Stay America, Inc. (Units) 3,286 24,021
Ferrari NV (Italy) 137 21,293
Fiat Chrysler Automobiles NV (Italy) 4,776 34,417
Hermes International (France) 144 99,455
Hilton Worldwide Holdings, Inc. 3,149 214,888
Hoshizaki Corp. (Japan) 300 22,545
iHeartMedia, Inc. Class A(NON) 214 1,564
Industria de Diseno Textil SA (Inditex) (Spain) 3,869 100,446
Kering SA (France) 203 105,924
Liberty Media Corp.-Liberty Formula One Class C(NON) 1,520 41,390
Liberty Media Corp.-Liberty SiriusXM Class A(NON) 728 23,070
Lowe's Cos., Inc. 3,834 329,916
MGM Resorts International 6,622 78,140
Moody's Corp. 125 26,438
Nielsen Holdings PLC 4,080 51,163
Nintendo Co., Ltd. (Japan) 300 115,708
Norwegian Cruise Line Holdings, Ltd.(NON) 2,953 32,365
PayPal Holdings, Inc.(NON) 10,487 1,004,025
Peugeot SA (France) 4,528 60,369
PulteGroup, Inc. 5,524 123,296
S&P Global, Inc. 1,843 451,627
ServiceMaster Global Holdings, Inc.(NON) 2,132 57,564
Sohgo Security Services Co., Ltd. (Japan) 300 14,616
Sony Corp. (Japan) 2,200 130,775
Target Corp. 2,649 246,278
Taylor Wimpey PLC (United Kingdom) 15,618 22,696
Tempur Sealy International, Inc.(NON) 768 33,569
Toyota Motor Corp. (Japan) 400 24,081
Verisk Analytics, Inc. 889 123,909
Volkswagen AG (Preference) (Germany) 494 58,857
Volvo AB (Sweden) 2,359 28,366
Walmart, Inc. 752 85,442
Wesfarmers, Ltd. (Australia) 3,453 74,357
Wolters Kluwer NV (Netherlands) 1,338 95,132
7,682,829
Consumer staples (5.2%)
a2 Milk Co., Ltd. (New Zealand)(NON) 1,619 16,375
Associated British Foods PLC (United Kingdom) 2,451 55,007
Bright Horizons Family Solutions, Inc.(NON) 360 36,720
British American Tobacco PLC (United Kingdom) 1,667 56,925
Carlsberg A/S Class B (Denmark) 673 76,396
Coca-Cola Co. (The) 19,209 849,998
Coca-Cola HBC AG (Switzerland) 1,401 30,112
Costco Wholesale Corp. 126 35,926
Essity AB Class B (Sweden) 2,920 90,045
Ferguson PLC (United Kingdom) 1,257 78,601
Hershey Co. (The) 1,824 241,680
ITOCHU Corp. (Japan) 4,700 97,516
Just Eat-Takeaway (Netherlands)(NON) 381 28,722
Kao Corp. (Japan) 400 32,752
Koninklijke Ahold Delhaize NV (Netherlands) 3,654 85,516
Kose Corp. (Japan) 200 24,657
L'Oreal SA (France) 434 113,919
Mondelez International, Inc. Class A 9,802 490,884
Monster Beverage Corp.(NON) 1,100 61,886
Nestle SA (Switzerland) 1,830 188,615
PepsiCo, Inc. 5,627 675,803
Procter & Gamble Co. (The) 10,789 1,186,790
Starbucks Corp. 7,115 467,740
Sundrug Co., Ltd. (Japan) 800 25,676
Sysco Corp. 2,800 127,764
Tesco PLC (United Kingdom) 8,621 24,413
Unilever PLC (United Kingdom) 612 30,896
US Foods Holding Corp.(NON) 2,458 43,531
WH Group, Ltd. (Hong Kong) 89,000 82,649
Wilmar International, Ltd. (Singapore) 10,400 23,524
Woolworths Group, Ltd. (Australia) 2,751 60,109
5,441,147
Electronics (1.5%)
Agilent Technologies, Inc. 2,278 163,150
Arrow Electronics, Inc.(NON) 766 39,732
Broadcom, Inc. 1,132 268,397
Garmin, Ltd. 1,250 93,700
Hoya Corp. (Japan) 1,100 93,565
Qualcomm, Inc. 12,897 872,482
SMC Corp. (Japan) 100 42,687
STMicroelectronics NV (France) 2,183 47,510
1,621,223
Energy (1.4%)
Chevron Corp. 11,458 830,247
Lundin Petroleum AB (Sweden) 1,102 21,102
MWO Holdings, LLC (Units)(F) 15 —
Nine Point Energy(F) 107 —
OMV AG (Austria) 952 26,313
Phillips 66 4,087 219,268
Royal Dutch Shell PLC Class B (United Kingdom) 10,091 169,195
Santos, Ltd. (Australia) 8,496 18,417
Williams Cos., Inc. (The) 15,674 221,787
1,506,329
Financials (7.1%)
3i Group PLC (United Kingdom) 5,118 50,088
ABN AMRO Group NV GDR (Netherlands) 4,271 35,059
AGNC Investment Corp.(R) 8,860 93,739
Allianz SE (Germany) 721 124,287
Allstate Corp. (The) 2,266 207,860
Ally Financial, Inc. 5,397 77,879
American Campus Communities, Inc.(R) 853 23,671
American Financial Group, Inc. 537 37,633
Ameriprise Financial, Inc. 1,922 196,967
Amundi SA (France) 246 14,559
Apartment Investment & Management Co. Class A(R) 1,410 49,562
AvalonBay Communities, Inc.(R) 772 113,615
Aviva PLC (United Kingdom) 23,522 78,091
Axis Capital Holdings, Ltd. 601 23,229
Banco Bilbao Vizcaya Argenta (Spain) 22,823 72,960
Bank Leumi Le-Israel BM (Israel) 8,531 47,169
BNP Paribas SA (France) 2,606 78,558
BOC Hong Kong Holdings, Ltd. (Hong Kong) 11,500 31,689
Boston Properties, Inc.(R) 819 75,536
Brixmor Property Group, Inc.(R) 1,603 15,229
Camden Property Trust(R) 785 62,203
Capital One Financial Corp. 3,668 184,941
CBRE Group, Inc. Class A(NON) 2,581 97,330
Cheung Kong Property Holdings, Ltd. (Hong Kong) 12,000 65,283
Citigroup, Inc. 17,275 727,623
Credit Agricole SA (France) 6,259 45,874
DBS Group Holdings, Ltd. (Singapore) 2,400 31,380
Deutsche Boerse AG (Germany) 430 59,068
Discover Financial Services 3,377 120,458
DNB ASA (Norway) 2,695 30,225
Duke Realty Corp.(R) 3,326 107,696
E*Trade Financial Corp. 5,133 176,165
Equity Lifestyle Properties, Inc.(R) 963 55,353
Equity Residential(R) 1,739 107,314
Essex Property Trust, Inc.(R) 621 136,769
Federal Realty Investment Trust(R) 509 37,976
Fifth Third Bancorp 6,853 101,767
Gaming and Leisure Properties, Inc.(R) 1,541 42,701
Gjensidige Forsikring ASA (Norway) 916 15,674
Goldman Sachs Group, Inc. (The) 1,169 180,716
Goodman Group (Australia)(R) 5,319 40,634
Hargreaves Lansdown PLC (United Kingdom) 857 14,684
Hartford Financial Services Group, Inc. (The) 3,901 137,471
Henderson Land Development Co., Ltd. (Hong Kong) 8,900 33,801
HSBC Holdings PLC (United Kingdom) 6,455 36,352
Invitation Homes, Inc.(R) 4,733 101,144
Israel Discount Bank, Ltd. Class A (Israel) 11,433 33,863
Jones Lang LaSalle, Inc. 211 21,307
JPMorgan Chase & Co. 13,982 1,258,799
KBC Groep NV (Belgium) 702 32,395
Legal & General Group PLC (United Kingdom) 33,973 81,275
Lincoln National Corp. 2,803 73,775
LPL Financial Holdings, Inc. 690 37,557
MetLife, Inc. 9,976 304,966
MGIC Investment Corp. 5,260 33,401
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 3,600 17,703
Morgan Stanley 10,113 343,842
New Residential Investment Corp.(R) 4,176 20,922
Nomura Real Estate Holdings, Inc. (Japan) 1,500 24,330
ORIX Corp. (Japan) 5,100 61,329
Outfront Media, Inc.(R) 1,846 24,884
Partners Group Holding AG (Switzerland) 122 84,385
Popular, Inc. (Puerto Rico) 1,032 36,120
Reinsurance Group of America, Inc. 539 45,351
SEI Investments Co. 722 33,457
Singapore Exchange, Ltd. (Singapore) 5,500 35,414
Skandinaviska Enskilda Banken AB (Sweden) 8,681 58,722
STORE Capital Corp.(R) 2,818 51,062
Sumitomo Mitsui Financial Group, Inc. (Japan) 3,800 92,330
Sun Communities, Inc.(R) 586 73,162
Sun Hung Kai Properties, Ltd. (Hong Kong) 3,000 39,390
Swiss Life Holding AG (Switzerland) 51 17,364
Synchrony Financial 8,772 141,141
Two Harbors Investment Corp.(R) 3,554 13,541
VEREIT, Inc.(R) 15,086 73,771
Vornado Realty Trust(R) 1,868 67,640
W.R. Berkley Corp. 984 51,335
Weingarten Realty Investors(R) 1,379 19,899
Zurich Insurance Group AG (Switzerland) 87 30,881
7,533,295
Health care (7.3%)
Abbott Laboratories 6,014 474,565
AbbVie, Inc. 1,967 149,866
Advanz Pharma Corp., Ltd. (Canada)(NON) 52 200
Alfresa Holdings Corp. (Japan) 1,400 26,114
Alkermes PLC(NON) 2,191 31,594
Allergan PLC 1,320 233,772
Amgen, Inc. 3,040 616,299
Asahi Intecc Co., Ltd. (Japan) 800 19,804
Astellas Pharma, Inc. (Japan) 6,000 92,881
AstraZeneca PLC (United Kingdom) 428 38,232
Biogen, Inc.(NON) 1,254 396,741
Bristol-Myers Squibb Co. 5,288 294,753
Cardinal Health, Inc. 766 36,722
Charles River Laboratories International, Inc.(NON) 435 54,901
Chemed Corp. 177 76,676
Dentsply Sirona, Inc. 2,170 84,261
Edwards Lifesciences Corp.(NON) 1,858 350,456
Fisher & Paykel Healthcare Corp., Ltd. (New Zealand) 841 15,245
Galapagos NV (Belgium)(NON) 222 44,050
Gilead Sciences, Inc. 4,212 314,889
GlaxoSmithKline PLC (United Kingdom) 2,914 54,659
Hill-Rom Holdings, Inc. 770 77,462
Hologic, Inc.(NON) 2,816 98,842
Johnson & Johnson 5,859 768,291
Kobayashi Pharmaceutical Co., Ltd. (Japan) 200 18,540
M3, Inc. (Japan) 800 23,641
McKesson Corp. 2,412 326,247
Medtronic PLC 8,242 743,264
Merck & Co., Inc. 8,327 640,679
Mylan NV(NON) 1,561 23,275
Novartis AG (Switzerland) 2,453 202,728
Novo Nordisk A/S Class B (Denmark) 2,580 155,629
Ono Pharmaceutical Co., Ltd. (Japan) 800 18,415
PeptiDream, Inc. (Japan)(NON) 300 10,471
Pfizer, Inc. 8,248 269,215
Roche Holding AG (Switzerland) 729 237,008
Sartorius Stedim Biotech (France) 150 30,123
Shionogi & Co., Ltd. (Japan) 1,700 83,650
Suzuken Co., Ltd. (Japan) 800 29,158
Thermo Fisher Scientific, Inc. 471 133,576
West Pharmaceutical Services, Inc. 659 100,333
Zimmer Biomet Holdings, Inc. 1,825 184,471
Zoetis, Inc. 1,056 124,281
7,705,979
Semiconductor (0.4%)
ASML Holding NV (Netherlands) 143 38,004
KLA Corp. 1,439 206,842
Lam Research Corp. 731 175,440
Tokyo Electron, Ltd. (Japan) 200 37,608
457,894
Software (5.7%)
Activision Blizzard, Inc. 7,967 473,877
Adobe, Inc.(NON) 3,691 1,174,624
Amdocs, Ltd. 659 36,225
Atlassian Corp PLC Class A (Australia)(NON) 1,352 185,576
Autodesk, Inc.(NON) 1,856 289,722
Cadence Design Systems, Inc.(NON) 3,243 214,168
Intuit, Inc. 2,407 553,610
Microsoft Corp. 10,495 1,655,166
Nexon Co., Ltd. (Japan) 2,800 45,799
Oracle Corp. 20,302 981,196
Veeva Systems, Inc. Class A(NON) 2,244 350,894
5,960,857
Technology (—%)
CACI International, Inc. Class A(NON) 163 34,417
34,417
Technology services (2.9%)
Alphabet, Inc. Class A(NON) 1,634 1,898,626
Capgemini SE (France) 211 17,849
eBay, Inc. 11,383 342,173
Facebook, Inc. Class A(NON) 1,406 234,521
Fair Isaac Corp.(NON) 286 87,999
Genpact, Ltd. 1,837 53,640
Itochu Techno-Solutions Corp. (Japan) 1,400 39,935
Leidos Holdings, Inc. 1,911 175,143
Nomura Research Institute, Ltd. (Japan) 1,900 40,146
Roku, Inc.(NON) 505 44,177
Xerox Holdings Corp. 3,741 70,855
3,005,064
Transportation (1.0%)
Aena SME SA (Spain) 367 40,051
Aurizon Holdings, Ltd. (Australia) 18,364 47,573
Copa Holdings SA Class A (Panama) 294 13,315
Delta Air Lines, Inc. 9,032 257,683
Deutsche Post AG (Germany) 3,962 109,313
Japan Airlines Co., Ltd. (Japan) 1,300 23,923
Odakyu Electric Railway Co., Ltd. (Japan) 1,000 21,981
Union Pacific Corp. 2,417 340,894
United Airlines Holdings, Inc.(NON) 3,602 113,643
West Japan Railway Co. (Japan) 600 41,090
Yangzijiang Shipbuilding Holdings, Ltd. (China) 50,200 29,328
1,038,794
Utilities and power (2.3%)
AES Corp. 9,887 134,463
AGL Energy, Ltd. (Australia) 3,444 36,882
American Electric Power Co., Inc. 2,783 222,584
CenterPoint Energy, Inc. 6,774 104,658
CLP Holdings, Ltd. (Hong Kong) 3,000 27,575
Consolidated Edison, Inc. 411 32,058
DTE Energy Co. 1,430 135,807
E.ON SE (Germany) 5,505 57,893
Enel SpA (Italy) 16,760 116,657
Eni SpA (Italy) 4,148 41,938
Entergy Corp. 1,654 155,426
Evergy, Inc. 3,352 184,528
Exelon Corp. 9,816 361,327
IDACORP, Inc. 435 38,189
Kinder Morgan, Inc. 18,136 252,453
Pinnacle West Capital Corp. 1,562 118,384
Public Service Enterprise Group, Inc. 4,004 179,820
Snam SpA (Italy) 8,633 39,873
Southern Co. (The) 766 41,471
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 1,923 2,115
Vistra Energy Corp. 8,087 129,069
2,413,170
Total common stocks (cost $59,221,972) $58,209,644









CORPORATE BONDS AND NOTES (15.6%)(a)
        Principal amount Value
Basic materials (0.9%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $10,000 $9,647
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) 10,000 10,167
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 5,000 4,614
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 10,000 9,025
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 20,000 18,200
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 20,000 19,300
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 25,000 23,688
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 9,000 8,820
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 20,000 15,900
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) 7,000 6,627
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 15,000 14,246
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 38,000 39,948
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 5,000 3,824
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 5,000 4,163
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 15,000 13,541
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 5,000 4,700
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 7,000 6,793
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 25,000 23,250
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 19,000 17,376
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 43,000 41,666
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 10,000 9,591
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 10,000 8,700
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 15,000 14,025
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 27,000 31,618
International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 30,000 30,828
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 10,000 9,300
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 5,000 4,425
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 10,000 8,625
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 15,000 13,800
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 10,000 8,500
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 5,000 3,799
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 5,000 4,856
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 25,000 24,534
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 5,000 4,450
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 20,000 21,988
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) 25,000 24,150
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 20,000 20,868
Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23 45,000 48,999
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 15,000 13,500
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 10,000 8,725
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 35,000 35,870
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 15,000 17,925
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 20,000 19,442
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 15,000 13,500
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 15,000 13,800
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 10,000 8,925
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 5,000 4,500
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 13,000 11,733
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 20,000 18,200
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 5,000 4,687
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 30,000 42,552
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 10,000 13,602
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 34,000 40,079
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 10,000 9,847
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 6,000 5,820
871,258
Capital goods (0.8%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 20,000 18,400
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 10,000 9,729
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 10,000 8,925
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 10,000 9,875
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 5,000 5,166
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 10,000 9,850
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 10,000 10,022
Berry Global, Inc. 144A notes 4.50%, 2/15/26 5,000 4,825
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) 10,000 6,674
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 5,000 3,375
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 5,000 4,650
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 10,000 9,789
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 5,000 5,124
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 10,000 10,250
General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 11/15/22 30,000 29,463
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 10,000 9,750
GFL Environmental, Inc. 144A sr. unsec. notes 8.50%, 5/1/27 (Canada) 6,000 6,028
GFL Environmental, Inc. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 18,000 17,550
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 20,000 19,575
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 55,000 60,466
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 15,000 11,017
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 65,000 66,715
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 14,000 15,087
L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 4.40%, 6/15/28 21,000 22,354
L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 3.85%, 12/15/26 24,000 24,749
Moog, Inc. 144A company guaranty sr. unsec. notes 4.25%, 12/15/27 5,000 4,513
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 60,000 62,347
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 19,000 18,387
Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 2,000 1,936
Otis Worldwide Corp. 144A company guaranty sr. unsec. notes 2.565%, 2/15/30 15,000 14,578
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 5,000 4,725
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 10,000 8,724
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 15,000 11,856
Raytheon Co. sr. unsec. notes 4.875%, 10/15/40 20,000 23,779
Raytheon Co. sr. unsec. unsub. notes 2.50%, 12/15/22 50,000 51,174
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 20,000 18,700
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 25,000 22,094
Staples, Inc. 144A sr. unsec. notes 10.75%, 4/15/27 20,000 15,346
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 25,000 24,698
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 10,000 9,625
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 5,000 4,700
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 15,000 14,363
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 8,000 7,537
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 25,000 24,906
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 15,000 13,463
United Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 5,000 5,489
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 30,000 30,353
Waste Management, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 6/30/20 12,000 12,077
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 20,000 18,556
823,334
Communication services (1.8%)
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27(R) 11,000 10,737
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 100,000 96,481
AT&T, Inc. sr. unsec. bonds 4.30%, 2/15/30 17,000 18,256
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 160,000 167,883
AT&T, Inc. sr. unsec. sub. notes 2.95%, 7/15/26 41,000 40,929
AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 13,000 14,026
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 77,000 85,156
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 15,000 15,225
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 40,000 41,104
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 5/1/32 10,000 9,752
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 5,000 4,900
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 10,000 10,127
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 5,000 6,032
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 10,000 10,406
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 4,000 4,246
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47 31,000 33,458
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 7,000 8,257
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47 92,000 105,983
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 17,000 24,778
Comcast Corp. sr. unsec. bonds 3.45%, 2/1/50 19,000 20,816
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 10,000 9,152
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 25,000 24,405
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) 25,000 25,557
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 34,000 34,434
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 7,000 7,155
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 35,000 36,023
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 63,000 63,157
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 43,000 44,290
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 73,000 98,547
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 35,000 34,038
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 5,000 4,945
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) 21,000 19,528
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 5,000 5,102
Front Range BidCo., Inc. 144A sr. unsec. notes 6.125%, 3/1/28 5,000 4,750
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 (In default)(NON) 20,000 5,200
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 10,000 9,175
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Luxembourg) 25,000 15,625
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 10,000 9,950
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 10,000 9,939
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 3,000 3,030
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 85,000 95,382
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 25,000 28,555
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 10,000 11,318
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 38,000 41,708
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 17,000 17,522
Sprint Corp. 144A company guaranty sr. unsec. notes 7.25%, 2/1/28 10,000 10,050
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 10,000 10,213
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 5,000 5,028
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 15,000 15,450
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 5,000 5,013
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 25,000 26,045
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 5,000 5,113
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 65,000 89,571
Verizon Communications, Inc. sr. unsec. unsub. bonds 5.25%, 3/16/37 30,000 38,104
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 65,000 75,877
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 140,000 159,225
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 20,000 20,000
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 25,000 25,000
Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 17,000 17,954
1,889,682
Consumer cyclicals (2.1%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 25,000 24,781
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) 14,000 12,999
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 90,000 98,455
Amazon.com, Inc. sr. unsec. unsub. notes 3.30%, 12/5/21 75,000 77,589
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 10,000 4,200
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 5,000 4,763
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 5,000 4,550
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 35,000 35,584
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21 10,000 9,983
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 2.00%, 4/11/21 40,000 39,206
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 5,000 4,300
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 10,000 8,650
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes 4.75%, 12/1/27 5,000 4,125
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 10,000 8,674
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 (Canada) 5,000 3,799
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 15,000 14,700
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 19,000 14,203
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 10,000 9,463
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. notes 9.25%, 2/15/24 8,000 6,860
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 15,000 9,000
Cornerstone Building Brands, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 10,000 8,663
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 20,000 14,444
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 15,000 12,188
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 25,000 16,719
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 65,000 66,104
Ecolab, Inc. sr. unsec. notes 4.35%, 12/8/21 40,000 39,672
Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 70,000 65,740
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 5,000 4,488
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 10,000 8,675
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 15,000 12,525
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 10,000 9,775
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 76,000 64,578
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 22,000 19,483
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 10,000 8,886
Global Payments, Inc. sr. unsec. unsub. notes 4.00%, 6/1/23 55,000 56,963
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 20,000 19,900
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) 18,000 16,090
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 10,000 9,900
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 27,000 25,650
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 15,000 14,513
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 47,000 46,452
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 6,208 5,874
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 17,189 14,965
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 5,000 5,175
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 89,000 91,670
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 5,000 4,825
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 80,000 81,618
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 5,000 4,939
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 20,000 19,400
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 10,000 8,825
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 10,000 8,800
L Brands, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity 5,000 3,600
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 15,000 11,834
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 5,000 5,058
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 10,000 8,550
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 10,000 8,800
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 5,000 4,552
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 10,000 9,300
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 5,000 4,914
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 15,000 13,950
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 10,000 8,600
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 15,000 15,417
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 20,000 17,546
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 25,000 20,813
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 15,000 14,119
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 15,000 14,663
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 15,000 13,913
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 20,000 18,436
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 65,000 64,864
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 10,000 7,300
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 14,000 12,950
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 15,000 13,683
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 10,000 8,237
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 10,000 8,625
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 20,000 22,000
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 25,000 24,587
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 9.375%, 4/1/27 5,000 4,214
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 10,000 10,325
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 30,000 29,326
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 2.95%, 1/22/27 22,000 22,005
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 15,000 9,375
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/15/26 15,000 9,602
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 5,000 3,075
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 15,000 14,288
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 10,000 8,275
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 5,000 5,100
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 70,000 70,526
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 15,000 12,638
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 10,000 9,550
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 5,000 4,250
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 25,000 24,125
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 35,000 31,850
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 10,000 8,100
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 10,000 8,197
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27 20,000 16,900
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 5,000 4,800
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 10,000 9,290
TWDC Enterprises 18 Corp. sr. unsec. notes 2.75%, 8/16/21 30,000 30,462
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 15,000 12,788
ViacomCBS, Inc. company guaranty sr. unsec. bonds 4.20%, 6/1/29 35,000 33,631
ViacomCBS, Inc. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 22,000 20,062
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 24,000 20,366
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 12,000 11,782
ViacomCBS, Inc. sr. unsec. unsub. notes 4.50%, 3/1/21 70,000 69,181
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 40,000 64,258
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 10,000 9,400
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 20,000 17,600
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 10,000 9,925
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 5,000 4,888
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 10,000 9,540
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 10,000 8,700
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 15,000 13,575
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 15,000 13,650
2,205,313
Consumer staples (0.6%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 15,000 14,475
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 5,000 4,620
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 10,000 9,500
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 5,000 4,988
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 15,000 14,925
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertson's, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 10,000 10,778
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 35,000 36,697
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49 13,000 15,280
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29 15,000 16,558
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.15%, 1/23/25 13,000 13,956
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 2.50%, 7/15/22 16,000 16,053
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 15,000 14,550
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 5,000 4,850
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 20,000 15,704
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 2,768 2,975
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 5,000 5,050
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 50,000 63,572
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 60,000 65,271
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 10,000 4,650
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 5,000 5,046
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 15,000 7,650
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 20,000 12,598
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 20,000 19,000
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28 32,000 35,004
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 28,000 29,838
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.057%, 5/25/23 8,000 8,322
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 15,000 14,979
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 15,000 14,700
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 10,000 9,400
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 5.00%, 7/15/35 15,000 14,913
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 3.00%, 6/1/26 15,000 14,574
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 37,000 37,643
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 5,000 4,925
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 30,000 28,650
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 10,000 10,300
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 5,000 5,449
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 20,000 21,370
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 5,000 5,188
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 5,000 5,076
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 10,000 9,818
Party City Holdings, Inc. 144A company guaranty sr. unsec. notes 6.125%, 8/15/23 5,000 1,150
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25 5,000 4,750
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 10,000 8,600
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 5,000 4,700
668,095
Energy (1.3%)
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 11,000 8,003
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 6,000 3,120
Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22 18,000 13,514
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 15,000 11,550
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 11,000 6,435
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 5,000 1,850
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 70,000 70,469
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) 35,000 35,198
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 11,000 165
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 10,000 4,791
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 10,000 8,376
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 35,000 31,084
Comstock Escrow Corp. company guaranty sr. unsec. sub. notes 9.75%, 8/15/26 5,000 3,562
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 10,000 6,500
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 44,000 37,316
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 15,000 8,100
Denbury Resources, Inc. 144A company guaranty notes 9.25%, 3/31/22 5,000 1,200
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 17,000 4,973
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 15,000 10,583
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 10,000 7,373
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 20,000 13,600
Energy Transfer Operating LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 101,000 49,995
Energy Transfer Operating LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 30,000 23,118
Energy Transfer Operating LP company guaranty sr. unsec. notes 5.875%, 1/15/24 23,000 21,719
Energy Transfer Operating LP company guaranty sr. unsec. notes 2.90%, 5/15/25 10,000 8,362
Energy Transfer Operating LP sr. unsec. unsub. bonds 6.125%, 12/15/45 8,000 7,143
Energy Transfer Operating LP sr. unsec. unsub. notes 5.20%, 2/1/22 25,000 23,500
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 50,000 48,597
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 40,000 47,559
Equinor ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 30,000 30,096
Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 115,000 115,748
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 20,000 14,121
Hess Midstream Operations LP 144A sr. unsec. notes 5.125%, 6/15/28 10,000 7,028
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 5,000 4,188
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 10,000 6,600
Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41 25,000 23,181
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 17,000 10,753
MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) 5,000 2,471
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 15,000 3,300
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 1/15/28 5,000 1,600
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 5,000 1,700
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 25,000 17,021
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 5,000 1,251
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 5,000 450
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 5,000 1,200
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 9,000 1,778
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 5,000 800
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 39,000 39,966
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 80,000 78,100
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 9,000 8,910
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 8,000 7,620
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 2,000 1,880
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 40,000 2,400
Petroleos Mexicanos 144A company guaranty sr. unsec. bonds 7.69%, 1/23/50 (Mexico) 37,000 25,530
Petroleos Mexicanos 144A company guaranty sr. unsec. bonds 6.84%, 1/23/30 (Mexico) 54,000 39,070
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 15,000 4,950
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 9,000 8,092
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 12,000 10,196
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 70,000 72,124
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.125%, 5/11/20 (Netherlands) 110,000 109,882
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 10,000 3,300
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 10,000 3,000
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 4,000 1,693
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 38,000 34,990
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 15,000 7,800
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 5,000 4,025
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 5,000 4,263
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 30,000 24,182
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 5,000 3,862
Total Capital International SA company guaranty sr. unsec. unsub. notes 2.75%, 6/19/21 (France) 115,000 115,951
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 15,000 11,183
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 4,175 3,382
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 10,000 8,100
Transocean, Inc. company guaranty sr. unsec. unsub. bonds 7.50%, 4/15/31 5,000 1,274
Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 5,000 463
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 5,000 4,200
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 10,000 7,350
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 5,000 2,715
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 10,000 5,500
1,416,994
Financials (3.8%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 10,000 8,400
AIG Global Funding 144A sr. notes 2.15%, 7/2/20 30,000 29,869
Air Lease Corp. sr. unsec. notes 2.50%, 3/1/21 50,000 45,987
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 29,000 23,548
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 12,000 9,612
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 5,000 4,682
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 29,000 33,602
Ally Financial, Inc. sr. unsec. notes 3.875%, 5/21/24 8,000 7,200
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 15,000 14,673
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 48,000 56,160
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 46,000 46,230
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 5,000 5,275
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 5,000 4,835
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 195,000 245,700
Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, 4/13/21 (Canada) 30,000 30,300
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 3,000 2,914
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 29,000 34,846
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. notes 4.25%, 1/15/21 94,000 96,003
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23(R) 65,000 68,551
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 20,000 20,598
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 5,000 5,383
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 10,000 9,550
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 26,000 25,350
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 2,000 1,940
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 204,000 211,049
Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 58,000 58,102
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 50,000 51,426
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 10,000 10,988
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 46,000 48,025
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 10,000 9,703
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 10,000 10,406
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 75,000 76,574
Commonwealth Bank of Australia 144A unsec. notes 2.20%, 11/9/20 (Australia) 147,000 146,736
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.625%, 3/15/26 5,000 4,749
Credit Acceptance Corp. 144A sr. unsec. notes 5.125%, 12/31/24 5,000 4,550
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) 21,000 22,864
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 10,000 8,400
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 40,000 43,358
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 30,000 33,251
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 16,000 12,960
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 135,000 142,058
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 15,000 11,775
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 5,000 4,028
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 10,000 9,250
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 20,000 17,728
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 10,000 9,322
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 87,000 92,589
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 20,000 18,774
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 12/27/20 163,000 163,000
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 24,000 31,539
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 20,000 19,800
Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23 40,000 41,365
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 10,000 9,650
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 10,000 9,450
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 5,000 4,619
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4.75%, 9/15/24 5,000 4,599
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 14,000 12,600
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 15,000 12,600
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 15,000 12,336
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 5,000 4,613
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 21,000 21,399
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity 101,000 88,395
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (BBA LIBOR USD 3 Month + 1.00%), 2.692%, 5/15/47 13,000 8,840
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 300,000 347,112
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 30,000 30,664
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 10,000 7,900
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 20,000 19,200
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 40,000 39,896
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 22,000 24,224
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 5,000 4,250
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 40,000 48,796
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 185,000 197,934
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 5,000 4,538
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 10,000 9,775
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 10,000 8,500
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 30,000 31,509
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) 10,000 9,138
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) 4,000 3,803
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 15,000 12,600
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 25,000 23,500
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 54,000 47,723
Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 45,000 44,516
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 45,000 47,050
Service Properties Trust sr. unsec. notes 4.375%, 2/15/30(R) 21,000 15,904
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 5,000 4,950
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 5,000 4,725
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 10,000 10,071
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 15,000 13,725
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 15,000 13,200
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 90,000 113,306
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 5,000 4,465
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 10,000 7,525
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 58,000 57,631
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 12/31/99 10,000 8,600
UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. notes 3.491%, 5/23/23 (Switzerland) 200,000 201,000
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 20,000 18,600
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.80%, 11/22/25 (Russia) 100,000 106,375
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 8,000 8,130
Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 80,000 80,015
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) 5,000 4,912
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 55,000 56,357
4,026,797
Health care (1.4%)
AbbVie, Inc. 144A sr. unsec. notes 3.20%, 11/21/29 165,000 165,678
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 10,000 7,650
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 26,000 26,997
Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 15,000 15,358
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 15,000 8,817
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 15,000 15,675
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 10,000 10,103
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds 5.25%, 1/30/30 5,000 4,728
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 10,000 10,378
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 5,000 5,132
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 40,000 39,400
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/30/28 5,000 4,734
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 15,000 15,281
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 5,000 5,050
Bristol-Myers Squibb Co. 144A sr. unsec. bonds 3.40%, 7/26/29 19,000 20,970
Bristol-Myers Squibb Co. 144A sr. unsec. notes 2.90%, 7/26/24 81,000 85,840
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 20,000 20,100
Centene Corp. 144A sr. unsec. bonds 4.625%, 12/15/29 25,000 25,125
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 5,000 5,100
Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 5,000 5,025
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 5,000 5,151
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 40,000 37,975
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 5,000 4,750
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 13,000 9,007
CHS/Community Health Systems, Inc. 144A sr. notes 6.625%, 2/15/25 15,000 13,875
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 50,000 51,406
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 99,000 109,468
CVS Health Corp. sr. unsec. unsub. notes 3.70%, 3/9/23 40,000 41,547
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 40,720 46,238
DH Europe Finance II Sarl company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) 15,000 14,706
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.65%, 8/28/28 10,000 10,544
Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 8.75%, 10/15/26 10,000 2,450
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 15,000 15,732
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 10,000 10,017
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 15,000 16,300
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 25,000 25,750
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 5,000 4,536
Hologic, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/15/25 5,000 4,951
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) 4,000 2,880
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24 1,000 1,044
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 50,000 59,135
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25 8,000 8,328
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 10,000 9,750
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 5,000 4,875
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 80,000 101,541
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 7.25%, 2/1/28 5,000 4,300
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 40,000 42,928
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 15,000 15,300
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 15,000 15,000
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 33,000 33,578
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 46,000 47,027
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 40,000 40,291
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 5,000 4,775
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 15,000 14,288
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 5,000 4,875
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 20,000 19,050
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 35,000 33,338
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23 90,000 92,197
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 35,000 36,373
1,512,417
Technology (1.5%)
Alphabet, Inc. sr. unsec. notes 3.625%, 5/19/21 120,000 123,509
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 35,000 36,952
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 40,000 43,160
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 25,000 26,565
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 80,000 101,705
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 27,000 32,083
Apple, Inc. sr. unsec. unsub. notes 2.00%, 5/6/20 30,000 30,006
Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 15,000 13,200
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 35,000 33,438
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 90,000 83,324
Cisco Systems, Inc. sr. unsec. unsub. bonds 5.90%, 2/15/39 5,000 7,183
Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 35,000 36,483
Cisco Systems, Inc. sr. unsec. unsub. notes 2.20%, 2/28/21 75,000 75,335
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 5,000 4,993
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 5,000 5,060
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 83,000 85,663
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 15,000 15,488
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 10,000 11,873
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 5,000 5,200
Fidelity National Information Services, Inc. sr. unsec. notes 3.75%, 5/21/29 36,000 39,140
Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 11,000 11,090
Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 18,000 19,879
Fiserv, Inc. sr. unsec. bonds 3.50%, 7/1/29 15,000 15,603
Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 55,000 59,510
IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22 140,000 141,222
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 4,000 3,590
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 10,000 9,825
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 44,000 43,866
Microsoft Corp. sr. unsec. unsub. notes 5.30%, 2/8/41 25,000 35,463
Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 80,000 80,556
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 35,000 38,391
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 35,000 46,750
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 10,000 10,206
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22 80,000 82,058
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 25,000 18,188
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 10,000 10,453
Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 100,000 110,704
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 15,000 14,700
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 5,000 5,213
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 30,000 27,452
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 20,000 16,800
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 15,000 14,780
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 5,000 5,075
1,631,734
Transportation (0.1%)
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 70,000 72,699
FedEx Corp. company guaranty sr. unsec. unsub. notes 2.625%, 8/1/22 12,000 11,726
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 16,000 16,914
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 20,000 19,952
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 24,000 23,400
144,691
Utilities and power (1.3%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 35,000 34,125
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 25,000 25,062
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 6,000 5,790
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 5,000 4,900
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 55,000 58,557
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 50,000 56,450
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 5,000 4,099
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 5,000 4,100
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 10,000 9,500
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 15,000 14,539
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 8,000 8,966
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36 28,000 33,101
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 45,000 47,144
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 70,000 70,424
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 55,000 54,126
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 15,000 13,854
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 30,000 26,861
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 4,000 3,595
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 85,000 78,900
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 33,000 37,164
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 10,000 10,364
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 10,000 9,800
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 3.50%, 3/1/21 80,000 80,989
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 25,000 24,595
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 105,000 102,431
Kinder Morgan, Inc./DE company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 17,000 19,692
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 10,000 10,475
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 5,000 5,200
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 5,000 5,100
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 36,000 36,422
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 30,000 29,652
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 10,000 10,300
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada) 75,000 74,696
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 75,000 79,526
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22 60,000 60,082
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 25,000 32,485
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) 13,000 20
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 10,000 10,388
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 5,000 5,075
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 27,000 23,938
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 28,000 26,315
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 10,000 10,313
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 15,000 15,450
1,274,565
Total corporate bonds and notes (cost $16,615,024) $16,464,880









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (14.9%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.2%)
Government National Mortgage Association Pass-Through Certificates
6.50%, with due dates from 5/20/37 to 11/20/39 $218,189 $254,703
3.50%, TBA, 4/1/50 4,000,000 4,217,812
4,472,515
U.S. Government Agency Mortgage Obligations (10.7%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3.00%, 1/1/48 2,445,811 2,567,463
Federal National Mortgage Association Pass-Through Certificates
4.00%, 1/1/57 68,041 74,905
4.00%, 1/1/49 621,237 662,740
3.00%, with due dates from 4/1/46 to 11/1/48 1,449,326 1,523,967
Uniform Mortgage-Backed Securities
6.00%, TBA, 4/1/50 1,000,000 1,111,719
4.50%, TBA, 4/1/50 1,000,000 1,075,156
4.00%, TBA, 4/1/50 2,000,000 2,134,062
3.00%, TBA, 4/1/35 1,000,000 1,046,563
2.50%, TBA, 4/1/50 1,000,000 1,035,781
11,232,356
Total U.S. government and agency mortgage obligations (cost $15,312,829) $15,704,871









MORTGAGE-BACKED SECURITIES (1.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (0.3%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 22.958%, 4/15/37 $8,013 $14,577
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 21.213%, 11/15/35 11,051 19,389
REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 19.95%, 12/15/36 8,125 12,950
REMICs IFB Ser. 3065, Class DC, ((-3 x 1 Month US LIBOR) + 19.86%), 17.746%, 3/15/35 22,133 31,427
REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 15.145%, 6/15/34 10,263 12,571
REMICs IFB Ser. 3829, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 6.245%, 3/15/41 51,993 10,043
Federal National Mortgage Association
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x 1 Month US LIBOR) + 24.57%), 21.096%, 3/25/36 14,413 24,852
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 20.729%, 6/25/37 12,992 22,573
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 17.41%, 8/25/35 5,119 7,360
REMICs IFB Ser. 18-86, Class DS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.153%, 12/25/48 190,896 23,577
REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 4,357 4,021
Government National Mortgage Association
IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.277%, 6/20/43 78,837 15,647
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 48,912 9,019
Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 97,715 8,420
Ser. 13-14, IO, 3.50%, 12/20/42 210,491 15,787
Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 198,576 10,014
Ser. 16-H16, Class EI, IO, 2.403%, 6/20/66(WAC) 179,714 14,790
Ser. 15-H26, Class DI, IO, 1.946%, 10/20/65(WAC) 239,742 21,769
278,786
Commercial mortgage-backed securities (0.6%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.229%, 1/15/49(WAC) 43,008 65
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW14, Class X1, IO, 0.283%, 12/11/38(WAC) 33,440 344
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD4, Class XW, IO, 1.30%, 12/11/49(WAC) 865 33
Citigroup Commercial Mortgage Trust FRB Ser. 13-GC17, Class C, 5.11%, 11/10/46(WAC) 11,000 10,062
Citigroup Commercial Mortgage Trust 144A FRB Ser. 06-C5, Class XC, IO, 0.503%, 10/15/49(WAC) 412,705 4
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.537%, 12/10/44(WAC) 61,000 54,026
FRB Ser. 14-CR17, Class C, 4.784%, 5/10/47(WAC) 26,000 23,218
Ser. 13-CR11, Class AM, 4.715%, 8/10/50(WAC) 20,000 22,229
Ser. 13-CR13, Class AM, 4.449%, 11/10/46(WAC) 85,000 90,926
FRB Ser. 14-UBS6, Class C, 4.447%, 12/10/47(WAC) 16,000 13,886
FRB Ser. 14-CR20, Class XA, IO, 1.027%, 11/10/47(WAC) 283,032 10,699
FRB Ser. 14-CR18, Class XA, IO, 0.997%, 7/15/47(WAC) 90,396 3,239
FRB Ser. 14-CR17, Class XA, IO, 0.973%, 5/10/47(WAC) 565,295 18,548
FRB Ser. 14-UBS6, Class XA, IO, 0.892%, 12/10/47(WAC) 863,404 28,618
FRB Ser. 14-LC17, Class XA, IO, 0.766%, 10/10/47(WAC) 530,604 14,281
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.009%, 1/15/49(WAC) 510,173 5
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.359%, 12/15/49(WAC) 70,000 45,607
GE Commercial Mortgage Corp. Trust 144A FRB Ser. 07-C1, Class XC, IO, 0.003%, 12/10/49(WAC) 743,804 7
GS Mortgage Securities Trust FRB Ser. 15-GC30, Class XA, IO, 0.789%, 5/10/50(WAC) 394,061 12,182
GS Mortgage Securities Trust 144A FRB Ser. 06-GG8, Class X, IO, 0.978%, 11/10/39(WAC) 783,966 5,503
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 13-C15, Class C, 5.198%, 11/15/45(WAC) 43,000 35,584
FRB Ser. 14-C22, Class C, 4.554%, 9/15/47(WAC) 23,000 16,427
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 9,931 9,539
Ser. 12-C6, Class AS, 4.117%, 5/15/45 16,000 16,198
FRB Ser. 06-LDP8, Class X, IO, 0.29%, 5/15/45(WAC) 79,615 12
FRB Ser. 07-LDPX, Class X, IO, 0.03%, 1/15/49(WAC) 218,441 2
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 05-CB12, Class X1, IO, 0.32%, 9/12/37(WAC) 42,174 25
LB-UBS Commercial Mortgage Trust 144A
FRB Ser. 06-C6, Class XCL, IO, 0.685%, 9/15/39(WAC) 379,835 2,499
FRB Ser. 05-C7, Class XCL, IO, 0.313%, 11/15/40(WAC) 23,725 3
FRB Ser. 05-C5, Class XCL, IO, 0.174%, 9/15/40(WAC) 45,566 1
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 06-C4, Class X, IO, 6.401%, 7/15/45(WAC) 5,476 1
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 14-C14, Class C, 4.954%, 2/15/47(WAC) 10,000 9,080
FRB Ser. 14-C17, Class XA, IO, 1.108%, 8/15/47(WAC) 213,602 7,284
FRB Ser. 13-C12, Class XA, IO, 0.603%, 10/15/46(WAC) 444,655 7,489
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C5, Class E, 4.677%, 8/15/45(WAC) 15,000 13,522
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C4, Class XA, IO, 1.62%, 12/10/45(WAC) 196,380 6,249
Wells Fargo Commercial Mortgage Trust
FRB Ser. 13-LC12, Class AS, 4.283%, 7/15/46(WAC) 19,000 19,361
FRB Ser. 13-LC12, Class C, 4.283%, 7/15/46(WAC) 24,000 18,638
WF-RBS Commercial Mortgage Trust
Ser. 13-C12, Class AS, 3.56%, 3/15/48 33,000 35,013
Ser. 13-C11, Class AS, 3.311%, 3/15/45 12,000 11,969
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C3, Class D, 5.681%, 3/15/44(WAC) 32,000 25,434
FRB Ser. 11-C2, Class D, 5.663%, 2/15/44(WAC) 25,000 23,612
FRB Ser. 13-C15, Class D, 4.494%, 8/15/46(WAC) 43,000 27,135
FRB Ser. 11-C5, Class XA, IO, 1.686%, 11/15/44(WAC) 255,576 4,514
FRB Ser. 12-C10, Class XA, IO, 1.536%, 12/15/45(WAC) 298,732 10,007
653,080
Residential mortgage-backed securities (non-agency) (0.6%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.298%, 5/25/35(WAC) 19,779 18,781
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 2.906%, 6/25/46 84,835 69,419
FRB Ser. 05-27, Class 1A1, 2.339%, 8/25/35(WAC) 26,415 19,839
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 1.137%, 8/25/46 104,299 85,247
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (1 Month US LIBOR + 6.95%), 7.897%, 8/25/28 12,533 12,174
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 7.697%, 8/25/28 44,434 41,768
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 6.947%, 9/25/28 45,455 44,343
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.497%, 4/25/28 55,656 50,298
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.947%, 7/25/25 13,795 12,504
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 5.847%, 11/25/24 6,381 6,063
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 5.247%, 2/25/25 14,218 13,785
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 5.197%, 1/25/29 37,112 35,624
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.947%, 5/25/25 5,569 5,384
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 4.497%, 7/25/29 19,877 17,746
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 3.847%, 7/25/24 12,004 11,123
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 3.547%, 5/25/24 14,147 12,999
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (1 Month US LIBOR + 0.80%), 1.747%, 2/25/34 26,157 23,141
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 3.732%, 2/25/35(WAC) 7,484 6,969
New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, (1 Month US LIBOR + 1.13%), 2.072%, 10/25/33 52,305 50,333
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (1 Month US LIBOR + 1.05%), 1.997%, 10/25/34 30,000 27,729
Structured Asset Investment Loan Trust FRB Ser. 04-10, Class A10, (1 Month US LIBOR + 0.90%), 1.847%, 11/25/34 33,386 32,781
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR12, Class 1A8, 3.863%, 10/25/35(WAC) 28,774 25,347
FRB Ser. 05-AR9, Class A1C3, (1 Month US LIBOR + 0.96%), 1.907%, 7/25/45 35,022 30,568
653,965
Total mortgage-backed securities (cost $1,719,095) $1,585,831









ASSET-BACKED SECURITIES (0.3%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 1.747%, 6/25/52 $55,000 $55,000
Station Place Securitization Trust 144A
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), 1.755%, 3/26/21 38,000 38,000
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), 1.679%, 10/24/20 46,000 46,000
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), 1.629%, 9/24/20 50,000 50,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 1.629%, 6/24/20 56,000 56,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), 1.597%, 8/25/52 19,333 19,333
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.227%, 1/25/46 58,561 56,540
Total asset-backed securities (cost $322,659) $320,873









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.2%)(a)
        Principal amount Value
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) $200,000 $216,998
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) 23,000 25,961
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, 3/21/36 (Uruguay) 10,000 13,813
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 23,000 2,300
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 36,000 3,600
Total foreign government and agency bonds and notes (cost $268,268) $262,672









SENIOR LOANS (0.1%)(a)(c)
        Principal amount Value
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.085%, 6/21/24 $4,962 $3,969
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.363%, 12/31/22 5,000 1,350
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.719%, 5/5/24 4,567 3,768
Front Range BidCo, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 4.668%, 3/9/27 5,000 4,625
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 3/31/24 13,628 12,061
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 10.25%, 5/21/24 14,923 1,865
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.28%, 11/6/24 34,300 29,498
Neiman Marcus Group, Ltd., LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.00%), 7.50%, 10/25/23 14,837 5,638
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.763%, 11/3/23 4,899 4,385
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.113%, 9/7/23 9,379 3,564
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 10,000 5,500
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 2/28/25 9,800 5,880
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 5.612%, 6/26/25 9,987 7,840
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.831%, 6/26/26 5,000 3,300
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.45%, 3/28/25 19,551 16,325
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 4.655%, 3/2/27 30,000 26,850
Total senior loans (cost $192,990) $136,418









PURCHASED OPTIONS OUTSTANDING (—%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
USD/JPY (Put) Jun-20/JPY 108.00 $410,200 $410,200 $9,978
USD/JPY (Put) Apr-20/JPY 106.00 410,200 410,200 3,029
Barclays Bank PLC
GBP/USD (Call) Apr-20/$1.34 471,004 GBP 379,200 —
Citibank, N.A.
USD/CHF (Put) Jun-20/CHF 0.91 472,050 $472,050 1,469
USD/JPY (Put) Jun-20/JPY 108.00 410,200 410,200 9,978
Goldman Sachs International
EUR/NOK (Put) Apr-20/NOK 9.60 745,119 EUR 675,600 1
USD/CHF (Put) Jun-20/CHF0.94 472,050 $472,050 3,421
USD/JPY (Put) Jun-20/JPY 108.00 410,200 410,200 9,978
UBS AG
GBP/USD (Call) Apr-20/$1.34 471,004 GBP 379,200 20
Total purchased options outstanding (cost $54,234) $37,874









PREFERRED STOCKS (—%)(a)
        Shares Value
GMAC Capital Trust I Ser. 2, $1.91 cum. ARP $680 $13,947
Total preferred stocks (cost $17,000) $13,947









CONVERTIBLE BONDS AND NOTES (—%)(a)
        Principal amount Value
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $10,000 $8,119
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 4,000 603
Total convertible bonds and notes (cost $12,700) $8,722









CONVERTIBLE PREFERRED STOCKS (—%)(a)
        Shares Value
Nine Point Energy 6.75% cv. pfd.(F) 1 $—
Total convertible preferred stocks (cost $1,000) $—









SHORT-TERM INVESTMENTS (22.2%)(a)
        Principal amount/
shares		 Value
Putnam Cash Collateral Pool, LLC 0.54%(AFF) Shares 57,708 $57,708
Putnam Short Term Investment Fund 0.92%(AFF) Shares 21,415,654 21,415,654
U.S. Treasury Bills 1.647%, 4/2/20(SEG) $34,000 34,000
U.S. Treasury Bills 0.595%, 4/7/20(SEG)(SEGSF) 20,999 20,999
U.S. Treasury Bills 1.564%, 5/7/20(SEG)(SEGCCS) 188,001 187,988
U.S. Treasury Bills 1.573%, 5/21/20(SEG)(SEGCCS) 145,000 144,986
U.S. Treasury Bills 1.286%, 4/16/20(SEG) 32,000 31,999
U.S. Treasury Bills 1.541%, 7/16/20(SEG)(SEGCCS) 11,000 10,997
U.S. Treasury Bills 0.140%, 7/9/20(SEG)(SEGSF)(SEGCCS) 203,002 202,959
U.S. Treasury Bills 1.541%, 4/23/20(SEG)(SEGCCS) 18,000 18,000
U.S. Treasury Bills 0.005%, 6/11/20(SEGCCS) 48,001 47,992
U.S. Treasury Bills 0.502%, 5/5/20(SEG) 31,001 30,997
U.S. Treasury Bills 0.407%, 4/14/20(SEG)(SEGSF) 134,000 133,996
U.S. Treasury Bills 0.417%, 4/28/20(SEG)(SEGCCS) 96,000 95,999
U.S. Treasury Bills 0.310%, 7/23/20(SEG)(SEGCCS) 60,000 59,984
U.S. Treasury Bills 0.164%, 6/25/20(SEG)(SEGCCS) 261,001 260,959
U.S. Treasury Bills 0.011%, 9/10/20(SEGSF)(SEGCCS) 151,000 150,923
U.S. Treasury Bills 0.015%, 9/3/20(SEG)(SEGSF)(SEGCCS) 119,002 118,950
U.S. Treasury Bills 0.011%, 8/6/20(SEG)(SEGCCS) 66,000 65,980
U.S. Treasury Bills zero%, 8/20/20(SEG)(SEGCCS) 79,000 78,973
U.S. Treasury Bills zero%, 8/13/20(SEG)(SEGSF) 286,000 285,917
Total short-term investments (cost $23,455,364) $23,455,960
TOTAL INVESTMENTS
Total investments (cost $117,193,135) $116,201,692









FORWARD CURRENCY CONTRACTS at 3/31/20 (aggregate face value $12,924,490) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 4/15/20 $153,970 $173,034 $(19,064)
Canadian Dollar Sell 4/15/20 60,907 64,955 4,048
Chinese Yuan (Offshore) Buy 5/20/20 8,342 7,948 394
Euro Buy 6/17/20 498,964 504,136 (5,172)
Hong Kong Dollar Sell 5/20/20 125,933 125,623 (310)
Japanese Yen Sell 5/20/20 96,236 94,912 (1,324)
Mexican Peso Buy 4/15/20 100,877 125,462 (24,585)
Mexican Peso Sell 4/15/20 100,877 124,343 23,466
New Taiwan Dollar Sell 5/20/20 8,849 7,050 (1,799)
New Zealand Dollar Buy 4/15/20 58,111 62,798 (4,687)
Norwegian Krone Sell 6/17/20 23,775 21,190 (2,585)
Swedish Krona Buy 6/17/20 64,054 61,490 2,564
Barclays Bank PLC
Australian Dollar Sell 4/15/20 8,920 8,947 27
British Pound Buy 6/17/20 56,093 52,613 3,480
Euro Sell 6/17/20 301,193 302,158 965
Hong Kong Dollar Sell 5/20/20 195,806 195,287 (519)
Japanese Yen Buy 5/20/20 159,818 172,221 (12,403)
New Zealand Dollar Buy 4/15/20 89,970 94,399 (4,429)
Norwegian Krone Buy 6/17/20 121,307 111,202 10,105
Swedish Krona Sell 6/17/20 108,444 110,195 1,751
Citibank, N.A.
Australian Dollar Buy 4/15/20 21,284 16,783 4,501
Canadian Dollar Buy 4/15/20 27,646 28,451 (805)
Danish Krone Buy 6/17/20 131,077 132,130 (1,053)
Euro Sell 6/17/20 37,055 34,011 (3,044)
Japanese Yen Buy 5/20/20 442,418 436,435 5,983
Mexican Peso Buy 4/15/20 50,436 62,681 (12,245)
Mexican Peso Sell 4/15/20 50,436 62,108 11,672
New Zealand Dollar Sell 4/15/20 88,419 96,869 8,450
Norwegian Krone Sell 6/17/20 34,012 30,025 (3,987)
Swedish Krona Buy 6/17/20 98,785 95,312 3,473
Swiss Franc Sell 6/17/20 105,524 104,322 (1,202)
Credit Suisse International
Australian Dollar Buy 4/15/20 28,173 31,690 (3,517)
Australian Dollar Sell 4/15/20 28,235 30,212 1,977
Australian Dollar Buy 7/15/20 52,417 52,232 185
British Pound Buy 6/17/20 26,368 24,406 1,962
Canadian Dollar Sell 7/15/20 52,276 52,099 (177)
Euro Buy 6/17/20 27,321 28,130 (809)
New Zealand Dollar Buy 4/15/20 51,786 50,363 1,423
Norwegian Krone Sell 6/17/20 114,764 103,441 (11,323)
Swedish Krona Buy 6/17/20 48,329 46,402 1,927
Goldman Sachs International
Australian Dollar Buy 4/15/20 113,186 104,366 8,820
British Pound Buy 6/17/20 55,969 52,518 3,451
Canadian Dollar Buy 4/15/20 120,321 119,473 848
Chinese Yuan (Offshore) Buy 5/20/20 8,342 7,998 344
Euro Sell 6/17/20 55,969 54,264 (1,705)
Hong Kong Dollar Buy 5/20/20 47,097 46,988 109
Japanese Yen Sell 5/20/20 142,881 139,908 (2,973)
New Taiwan Dollar Buy 5/20/20 4 1,960 (1,956)
New Zealand Dollar Sell 4/15/20 55,485 65,513 10,028
Norwegian Krone Buy 6/17/20 400,493 465,816 (65,323)
Russian Ruble Buy 6/17/20 102,857 127,068 (24,211)
Russian Ruble Sell 6/17/20 102,857 123,413 20,556
Swedish Krona Buy 6/17/20 332,704 333,367 (663)
Swiss Franc Buy 6/17/20 107,401 109,899 (2,498)
HSBC Bank USA, National Association
Australian Dollar Sell 4/15/20 253,684 272,501 18,817
Australian Dollar Buy 7/15/20 52,417 52,232 185
British Pound Buy 6/17/20 31,592 30,695 897
Canadian Dollar Buy 4/15/20 32,550 25,092 7,458
Canadian Dollar Sell 7/15/20 52,347 52,181 (166)
Euro Buy 6/17/20 164,367 168,403 (4,036)
Hong Kong Dollar Buy 5/20/20 79,287 79,533 (246)
Japanese Yen Buy 5/20/20 63,579 65,340 (1,761)
New Zealand Dollar Buy 4/15/20 54,889 52,764 2,125
New Zealand Dollar Sell 7/15/20 103,439 104,023 584
Norwegian Krone Sell 6/17/20 47,510 40,047 (7,463)
Swedish Krona Sell 6/17/20 338,132 352,213 14,081
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/15/20 3,999 10,545 (6,546)
British Pound Buy 6/17/20 422,504 433,352 (10,848)
Canadian Dollar Sell 4/15/20 57,140 60,889 3,749
Euro Buy 6/17/20 378,620 388,165 (9,545)
Japanese Yen Sell 5/20/20 42,219 41,156 (1,063)
New Zealand Dollar Sell 4/15/20 10,262 14,141 3,879
Norwegian Krone Sell 6/17/20 326,274 324,387 (1,887)
Singapore Dollar Buy 5/20/20 59,777 57,712 2,065
Swedish Krona Sell 6/17/20 25,173 30,633 5,460
Swiss Franc Buy 6/17/20 276,220 280,958 (4,738)
NatWest Markets PLC
Australian Dollar Buy 4/15/20 62,006 64,314 (2,308)
Canadian Dollar Buy 4/15/20 42,713 39,083 3,630
Euro Sell 6/17/20 83,290 81,761 (1,529)
Hong Kong Dollar Buy 5/20/20 48,439 48,200 239
New Zealand Dollar Buy 4/15/20 69,208 73,680 (4,472)
Norwegian Krone Sell 6/17/20 41,729 36,897 (4,832)
Swedish Krona Sell 6/17/20 81,581 88,954 7,373
State Street Bank and Trust Co.
Australian Dollar Sell 4/15/20 247,472 252,376 4,904
British Pound Sell 6/17/20 77,113 83,435 6,322
Canadian Dollar Sell 4/15/20 594,783 639,123 44,340
Euro Buy 6/17/20 184,720 190,158 (5,438)
Hong Kong Dollar Sell 5/20/20 251,853 251,202 (651)
Japanese Yen Sell 5/20/20 452,324 447,324 (5,000)
New Zealand Dollar Buy 4/15/20 118,309 132,398 (14,089)
Norwegian Krone Buy 6/17/20 86,940 94,724 (7,784)
Swedish Krona Sell 6/17/20 410,428 433,825 23,397
Toronto-Dominion Bank
Australian Dollar Buy 4/15/20 26,205 24,899 1,306
British Pound Buy 6/17/20 39,925 37,763 2,162
Canadian Dollar Sell 4/15/20 65,313 73,393 8,080
Euro Sell 6/17/20 55,969 54,272 (1,697)
Hong Kong Dollar Sell 5/20/20 62,973 62,799 (174)
New Zealand Dollar Buy 4/15/20 26,490 26,742 (252)
Norwegian Krone Sell 6/17/20 26,555 24,899 (1,656)
Swedish Krona Buy 6/17/20 19,927 14,762 5,165
UBS AG
Australian Dollar Sell 4/15/20 110,172 127,879 17,707
British Pound Sell 6/17/20 30,099 31,281 1,182
Canadian Dollar Sell 4/15/20 7,818 11,539 3,721
Euro Buy 6/17/20 116,251 119,960 (3,709)
Hong Kong Dollar Sell 5/20/20 125,933 125,622 (311)
Japanese Yen Sell 5/20/20 15,433 15,247 (186)
Mexican Peso Buy 4/15/20 50,436 62,876 (12,440)
Mexican Peso Sell 4/15/20 50,436 62,072 11,636
New Zealand Dollar Buy 4/15/20 152,018 158,313 (6,295)
Norwegian Krone Buy 6/17/20 25,699 27,764 (2,065)
Swedish Krona Sell 6/17/20 101,994 104,501 2,507
WestPac Banking Corp.
Australian Dollar Buy 4/15/20 26,020 24,350 1,670
Canadian Dollar Sell 4/15/20 6,041 4,179 (1,862)
Euro Buy 6/17/20 48,448 48,335 113
Japanese Yen Sell 5/20/20 33,878 32,776 (1,102)
New Zealand Dollar Buy 4/15/20 58,361 63,235 (4,874)
Unrealized appreciation 337,263
Unrealized (depreciation) (345,393)
Total $(8,130)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Russell 2000 Index E-Mini (Long) 62 $3,574,620 $3,557,560 Jun-20 $(144,278)
S&P 500 Index E-Mini (Short) 40 5,169,180 5,139,400 Jun-20 226,163
U.S. Treasury Bond 30 yr (Long) 6 1,074,375 1,074,375 Jun-20 74,987
U.S. Treasury Bond Ultra 30 yr (Long) 14 3,106,250 3,106,250 Jun-20 266,844
U.S. Treasury Note 2 yr (Long) 27 5,950,336 5,950,336 Jun-20 85,744
U.S. Treasury Note 2 yr (Short) 10 2,203,828 2,203,828 Jun-20 524
U.S. Treasury Note 5 yr (Long) 46 5,766,531 5,766,531 Jun-20 172,975
U.S. Treasury Note 10 yr (Long) 16 2,219,000 2,219,000 Jun-20 90,495
Unrealized appreciation 917,732
Unrealized (depreciation) (144,278)
Total $773,454









WRITTEN OPTIONS OUTSTANDING at 3/31/20 (premiums $25,932) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
USD/JPY (Put) Apr-20/JPY 103.00 $410,200 $410,200 $1,186
USD/JPY (Put) Jun-20/JPY 105.00 410,200 410,200 6,000
Citibank, N.A.
USD/JPY (Put) Jun-20/JPY 105.00 410,200 410,200 6,000
Goldman Sachs International
USD/CHF (Put) Jun-20/CHF 0.91 944,100 944,100 2,940
USD/JPY (Put) Jun-20/JPY 105.00 410,200 410,200 6,000
Total $22,126









TBA SALE COMMITMENTS OUTSTANDING at 3/31/20 (proceeds receivable $1,028,438) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 3.00%, 4/1/50 $1,000,000 4/15/20 $1,048,125
Total $1,048,125











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$308,000 $7,231 $259 3/18/22 3 month USD-LIBOR-BBA — Quarterly 1.60% — Semiannually $7,562
3,701,200 86,893 (3,700) 3/18/22 1.60% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (91,451)
370,200 111,813 (21,358) 3/18/50 3 month USD-LIBOR-BBA — Quarterly 2.00% — Semiannually 90,595
36,400 10,994 (131) 3/18/50 2.00% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (11,139)
391,500 39,823 2,941 3/18/30 3 month USD-LIBOR-BBA — Quarterly 1.75% — Semiannually 42,875
404,200 41,114 (3,037) 3/18/30 1.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (44,267)
1,436,400 80,005 4,116 3/18/25 3 month USD-LIBOR-BBA — Quarterly 1.625% — Semiannually 84,467
1,350,400 75,215 (3,879) 3/18/25 1.625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (79,419)
1,903,000 2,147 (E) (2,687) 6/17/22 3 month USD-LIBOR-BBA — Quarterly 0.40% — Semiannually (541)
396,000 1,888 (3) 3/26/25 0.609% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,843)
Total $(27,479) $(3,161)
(E) Extended effective date.










OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$16,280 $16,240 $— 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly $(12)
113,547 112,446 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (882)
30,443 30,147 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (237)
18,754 18,980 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (271)
1,864 1,542 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (302)
12,245 10,454 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,644)
9,919 8,468 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,332)
1,103 950 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (141)
4,068 3,516 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 498
Citibank, N.A.
3,825,457 3,057,384 — 11/25/20 (3 month USD-LIBOR-BBA plus 0.34%) — Quarterly A basket (CGPUTQL2) of common stocks — Quarterly* (763,146)
322,235 347,116 — 11/25/20 3 month USD-LIBOR-BBA minus 0.75% — Quarterly Russell 1000 Total Return Index — Quarterly (24,844)
3,303,509 2,719,074 — 11/25/20 3 month USD-LIBOR-BBA plus 0.09% — Quarterly Russell 1000 Total Return Index — Quarterly 590,012
4,124 4,084 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (32)
Credit Suisse International
4,252 3,288 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (915)
17,512 14,951 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,352
Goldman Sachs International
5,397,201 5,770,674 — 12/15/25 (1 month USD-LIBOR-BBA plus 0.50%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* 395,145
4,924,308 5,351,764 — 12/15/25 1 month USD-LIBOR-BBA minus 015% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* (446,584)
2,724 2,345 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (347)
2,724 2,345 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (347)
JPMorgan Securities LLC
4,652 3,972 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 625
6,552 5,640 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 835
Upfront premium received — Unrealized appreciation 989,467
Upfront premium (paid) — Unrealized (depreciation) (1,241,036)
Total $— Total $(251,569)
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.









A BASKET (CGPUTQL2) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Microsoft Corp. Technology 620 $97,713 3.20%
Apple, Inc. Technology 379 96,398 3.15%
Alphabet, Inc. Class A Technology 72 83,768 2.74%
Verizon Communications, Inc. Communication services 1,478 79,408 2.60%
JPMorgan Chase & Co. Financials 750 67,513 2.21%
Medtronic PLC Health care 698 62,987 2.06%
Mondelez International, Inc. Class A Consumer staples 1,229 61,540 2.01%
Fidelity National Information Services, Inc. Technology 504 61,306 2.01%
Lockheed Martin Corp. Capital goods 180 60,922 1.99%
Honeywell International, Inc. Capital goods 424 56,789 1.86%
Texas Instruments, Inc. Technology 550 54,996 1.80%
Automatic Data Processing, Inc. Consumer cyclicals 399 54,581 1.79%
TJX Cos., Inc. (The) Consumer cyclicals 1,120 53,567 1.75%
Starbucks Corp. Consumer staples 810 53,251 1.74%
Johnson & Johnson Health care 398 52,189 1.71%
Intuit, Inc. Technology 226 52,008 1.70%
Amazon.com, Inc. Consumer cyclicals 25 48,727 1.59%
Leidos Holdings, Inc. Technology 516 47,292 1.55%
Allstate Corp. (The) Financials 498 45,637 1.49%
Intercontinental Exchange, Inc. Financials 542 43,729 1.43%
Exelon Corp. Utilities and power 1,170 43,086 1.41%
Waste Management, Inc. Capital goods 451 41,779 1.37%
Kinder Morgan, Inc. Utilities and power 2,977 41,442 1.36%
Walt Disney Co. (The) Consumer cyclicals 429 41,422 1.35%
U.S. Bancorp Financials 1,140 39,278 1.28%
Baxter International, Inc. Health care 473 38,389 1.26%
Cisco Systems, Inc. Technology 939 36,901 1.21%
DTE Energy Co. Utilities and power 389 36,898 1.21%
Hershey Co. (The) Consumer staples 278 36,844 1.21%
Take-Two Interactive Software, Inc. Technology 290 34,399 1.13%
Cognizant Technology Solutions Corp. Class A Technology 726 33,732 1.10%
Sysco Corp. Consumer staples 725 33,074 1.08%
Merck & Co., Inc. Health care 429 33,022 1.08%
Pfizer, Inc. Health care 980 31,988 1.05%
Omnicom Group, Inc. Consumer cyclicals 581 31,883 1.04%
Procter & Gamble Co. (The) Consumer staples 286 31,418 1.03%
eBay, Inc. Technology 1,032 31,021 1.01%
Ross Stores, Inc. Consumer cyclicals 351 30,516 1.00%
Charter Communications, Inc. Class A Communication services 70 30,455 1.00%
Garmin, Ltd. Technology 389 29,146 0.95%
Bristol-Myers Squibb Co. Health care 522 29,075 0.95%
Annaly Capital Management, Inc. Financials 5,637 28,577 0.93%
QIAGEN NV (Netherlands) Health care 685 28,500 0.93%
Eli Lilly & Co. Health care 190 26,386 0.86%
PepsiCo, Inc. Consumer staples 218 26,215 0.86%
Amgen, Inc. Health care 128 25,993 0.85%
Synopsys, Inc. Technology 199 25,642 0.84%
Exxon Mobil Corp. Energy 672 25,507 0.83%
VICI Properties, Inc. Financials 1,510 25,131 0.82%
American Electric Power Co., Inc. Utilities and power 309 24,699 0.81%









A BASKET (GSGLPWDL) OF COMMON STOCKS
Common stocks Sector Shares Value Percentage value
Citrix Systems, Inc. Technology 310 $43,893 0.76%
NortonLifeLock, Inc. Technology 1,750 32,735 0.57%
Givaudan SA (Switzerland) Basic materials 10 32,109 0.56%
Swisscom AG (Switzerland) Communication services 59 31,980 0.55%
Koninklijke Ahold Delhaize NV (Netherlands) Consumer staples 1,353 31,764 0.55%
Expeditors International of Washington, Inc. Transportation 467 31,126 0.54%
Merck & Co., Inc. Health care 402 30,952 0.54%
Roche Holding AG (Switzerland) Health care 95 30,948 0.54%
Air Liquide SA (France) Basic materials 236 30,416 0.53%
Red Electrica Corporacion SA (Spain) Utilities and power 1,678 30,291 0.52%
KDDI Corp. (Japan) Communication services 1,019 30,229 0.52%
ITOCHU Corp. (Japan) Consumer staples 1,440 30,022 0.52%
Nomura Holdings, Inc. (Japan) Financials 6,969 29,673 0.51%
Procter & Gamble Co. (The) Consumer staples 269 29,579 0.51%
WEC Energy Group, Inc. Utilities and power 335 29,511 0.51%
Xcel Energy, Inc. Utilities and power 488 29,402 0.51%
Roper Technologies, Inc. Technology 92 28,783 0.50%
Fortescue Metals Group, Ltd. (Australia) Basic materials 4,677 28,767 0.50%
Hershey Co. (The) Consumer staples 214 28,383 0.49%
Sandvik AB (Sweden) Capital goods 1,987 28,367 0.49%
Cummins, Inc. Capital goods 210 28,365 0.49%
Qorvo, Inc. Technology 350 28,258 0.49%
McKesson Corp. Health care 209 28,236 0.49%
Leidos Holdings, Inc. Technology 307 28,138 0.49%
Medtronic PLC Health care 310 27,923 0.48%
Carlsberg A/S Class B (Denmark) Consumer staples 245 27,863 0.48%
Mitsui & Co., Ltd. (Japan) Conglomerates 1,986 27,770 0.48%
eBay, Inc. Technology 920 27,651 0.48%
Huntington Ingalls Industries, Inc. Capital goods 152 27,613 0.48%
Fujitsu, Ltd. (Japan) Technology 303 27,490 0.48%
Automatic Data Processing, Inc. Consumer cyclicals 201 27,438 0.48%
Mizuho Financial Group, Inc. (Japan) Financials 23,561 27,083 0.47%
Endesa SA (Spain) Utilities and power 1,261 27,077 0.47%
Steel Dynamics, Inc. Basic materials 1,196 26,962 0.47%
Hormel Foods Corp. Consumer staples 574 26,760 0.46%
Comcast Corp. Class A Communication services 778 26,758 0.46%
Atmos Energy Corp. Utilities and power 269 26,647 0.46%
AMETEK, Inc. Conglomerates 366 26,380 0.46%
Eni SpA (Italy) Utilities and power 2,589 26,327 0.46%
CMS Energy Corp. Utilities and power 448 26,311 0.46%
Royal Bank of Canada (Canada) Financials 421 26,064 0.45%
Evergy, Inc. Utilities and power 473 26,042 0.45%
Toronto-Dominion Bank (Canada) Financials 609 25,882 0.45%
Mitsubishi Heavy Industries, Ltd. (Japan) Capital goods 1,017 25,843 0.45%
Legrand SA (France) Capital goods 399 25,766 0.45%
Sumitomo Mitsui Trust Holdings, Inc. (Japan) Financials 882 25,639 0.44%
Rio Tinto PLC (United Kingdom) Basic materials 551 25,467 0.44%
Dover Corp. Capital goods 303 25,461 0.44%
State Street Corp. Financials 477 25,427 0.44%
Partners Group Holding AG (Switzerland) Financials 36 25,361 0.44%









A BASKET (GSGLPWDS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Aeon Co., Ltd. (Japan) Consumer cyclicals 1,564 $34,901 0.65%
United Parcel Service, Inc. Class B Transportation 343 32,002 0.60%
Equinix, Inc. Communication services 50 31,199 0.58%
SBA Communications Corp. Communication services 111 29,898 0.56%
Progressive Corp. (The) Financials 401 29,588 0.55%
Tyler Technologies, Inc. Technology 100 29,551 0.55%
AIA Group, Ltd. (Hong Kong) Financials 3,218 29,121 0.54%
Delivery Hero Holding GmbH (Germany) Consumer staples 385 28,866 0.54%
Cognex Corp. Technology 680 28,711 0.54%
American Tower Corp. Communication services 131 28,491 0.53%
Sprint Corp. Communication services 3,293 28,389 0.53%
Canon, Inc. (Japan) Capital goods 1,293 28,357 0.53%
Crown Castle International Corp. Communication services 196 28,346 0.53%
Fortis, Inc. (Canada) Utilities and power 735 28,341 0.53%
IPG Photonics Corp. Technology 255 28,102 0.53%
Prologis, Inc. Financials 348 27,951 0.52%
NiSource, Inc. Utilities and power 1,117 27,886 0.52%
ANA Holdings, Inc. (Japan) Transportation 1,132 27,794 0.52%
Zurich Insurance Group AG (Switzerland) Financials 77 27,473 0.51%
Abbott Laboratories Health care 343 27,068 0.51%
Alexandria Real Estate Equities, Inc. Financials 196 26,856 0.50%
Autodesk, Inc. Technology 171 26,771 0.50%
Fidelity National Information Services, Inc. Technology 220 26,751 0.50%
FedEx Corp. Transportation 220 26,715 0.50%
CME Group, Inc. Financials 154 26,614 0.50%
Alliant Energy Corp. Utilities and power 551 26,593 0.50%
FirstEnergy Corp. Utilities and power 653 26,175 0.49%
Becton Dickinson and Co. Health care 112 25,732 0.48%
BioMarin Pharmaceutical, Inc. Health care 302 25,558 0.48%
Lonza Group AG (Switzerland) Health care 61 25,534 0.48%
Twilio, Inc. Class A Technology 285 25,463 0.48%
AstraZeneca PLC (United Kingdom) Health care 284 25,439 0.48%
Svenska Handelsbanken AB (Sweden) Financials 3,004 25,244 0.47%
Walmart, Inc. Consumer cyclicals 221 25,145 0.47%
IBM Corp. Technology 226 25,085 0.47%
ABB, Ltd. (Switzerland) Capital goods 1,411 24,934 0.47%
MS&AD Insurance Group Holdings (Japan) Financials 883 24,845 0.46%
Xylem, Inc. Capital goods 379 24,711 0.46%
Equifax, Inc. Consumer cyclicals 206 24,604 0.46%
Elanco Animal Health, Inc. Health care 1,098 24,576 0.46%
Waste Connections, Inc. Capital goods 316 24,500 0.46%
Arthur J. Gallagher & Co. Financials 300 24,428 0.46%
Monotaro Co., Ltd. (Japan) Consumer staples 907 24,200 0.45%
Southern Co. (The) Utilities and power 447 24,181 0.45%
Agnico-Eagle Mines, Ltd. (Canada) Basic materials 606 24,179 0.45%
Nidec Corp. (Japan) Technology 463 24,158 0.45%
Roku, Inc. Technology 276 24,134 0.45%
Intuitive Surgical, Inc. Health care 49 24,047 0.45%
Nippon Steel Corp. (Japan) Basic materials 2,771 23,850 0.45%
Entergy Corp. Utilities and power 254 23,837 0.45%




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $273 $4,000 $885 5/11/63 300 bp — Monthly $(609)
CMBX NA BBB-.6 Index BBB-/P 482 8,000 1,770 5/11/63 300 bp — Monthly (1,284)
CMBX NA BBB-.6 Index BBB-/P 926 15,000 3,320 5/11/63 300 bp — Monthly (2,385)
CMBX NA BBB-.6 Index BBB-/P 912 16,000 3,541 5/11/63 300 bp — Monthly (2,619)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index BB-/P 2,008 14,000 5,468 5/11/63 500 bp — Monthly (3,446)
CMBX NA BB.7 Index BB/P 970 19,000 6,376 1/17/47 500 bp — Monthly (5,388)
Credit Suisse International
CMBX NA A.6 Index A/P (4) 4,000 422 5/11/63 200 bp — Monthly (424)
CMBX NA A.7 Index A/P 37 1,000 76 1/17/47 200 bp — Monthly (39)
CMBX NA A.7 Index A/P 291 7,000 532 1/17/47 200 bp — Monthly (238)
CMBX NA BB.7 Index BB/P 401 3,000 1,007 1/17/47 500 bp — Monthly (603)
CMBX NA BBB-.6 Index BBB-/P 15,222 162,000 35,851 5/11/63 300 bp — Monthly (20,534)
CMBX NA BBB-.7 Index BBB-/P 632 8,000 1,446 1/17/47 300 bp — Monthly (809)
CMBX NA BBB-.7 Index BBB-/P 1,379 21,000 3,797 1/17/47 300 bp — Monthly (2,405)
Goldman Sachs International
CMBX NA A.6 Index A/P 61 2,000 211 5/11/63 200 bp — Monthly (149)
CMBX NA A.6 Index A/P 263 4,000 422 5/11/63 200 bp — Monthly (157)
CMBX NA A.6 Index A/P 354 7,000 738 5/11/63 200 bp — Monthly (381)
CMBX NA A.6 Index A/P 468 9,000 949 5/11/63 200 bp — Monthly (477)
CMBX NA A.6 Index A/P 456 9,000 949 5/11/63 200 bp — Monthly (490)
CMBX NA A.6 Index A/P 560 11,000 1,159 5/11/63 200 bp — Monthly (595)
CMBX NA A.6 Index A/P 433 14,000 1,476 5/11/63 200 bp — Monthly (1,037)
CMBX NA A.6 Index A/P 753 24,000 2,530 5/11/63 200 bp — Monthly (1,767)
CMBX NA A.6 Index A/P 602 26,000 2,740 5/11/63 200 bp — Monthly (2,128)
CMBX NA A.6 Index A/P 1,868 31,000 3,267 5/11/63 200 bp — Monthly (1,387)
CMBX NA A.6 Index A/P 3,382 55,000 5,797 5/11/63 200 bp — Monthly (2,394)
CMBX NA BBB-.6 Index BBB-/P 79 1,000 221 5/11/63 300 bp — Monthly (142)
CMBX NA BBB-.6 Index BBB-/P 68 1,000 221 5/11/63 300 bp — Monthly (153)
CMBX NA BBB-.6 Index BBB-/P 173 2,000 443 5/11/63 300 bp — Monthly (269)
CMBX NA BBB-.6 Index BBB-/P 156 3,000 664 5/11/63 300 bp — Monthly (506)
CMBX NA BBB-.6 Index BBB-/P 325 3,000 664 5/11/63 300 bp — Monthly (337)
CMBX NA BBB-.6 Index BBB-/P 248 5,000 1,107 5/11/63 300 bp — Monthly (856)
CMBX NA BBB-.6 Index BBB-/P 772 7,000 1,549 5/11/63 300 bp — Monthly (773)
CMBX NA BBB-.6 Index BBB-/P 1,339 11,000 2,434 5/11/63 300 bp — Monthly (1,089)
CMBX NA BBB-.6 Index BBB-/P 774 16,000 3,541 5/11/63 300 bp — Monthly (2,757)
CMBX NA BBB-.6 Index BBB-/P 3,157 42,000 9,295 5/11/63 300 bp — Monthly (6,113)
CMBX NA BBB-.6 Index BBB-/P 4,033 43,000 9,516 5/11/63 300 bp — Monthly (5,458)
CMBX NA BBB-.7 Index BBB-/P 887 12,000 2,170 1/17/47 300 bp — Monthly (1,276)
JPMorgan Securities LLC
CMBX NA A.6 Index A/P 6 2,000 211 5/11/63 200 bp — Monthly (204)
CMBX NA A.6 Index A/P (52) 7,000 738 5/11/63 200 bp — Monthly (787)
CMBX NA A.6 Index A/P 2,968 129,000 13,597 5/11/63 200 bp — Monthly (10,579)
CMBX NA BB.10 Index BB-/P 321 4,000 1,845 5/11/63 500 bp — Monthly (1,520)
CMBX NA BB.6 Index BB-/P 856 6,000 2,344 5/11/63 500 bp — Monthly (1,482)
CMBX NA BB.7 Index BB/P 1,244 4,000 1,342 1/17/47 500 bp — Monthly (95)
CMBX NA BB.7 Index BB/P 208 4,000 1,342 1/17/47 500 bp — Monthly (1,131)
CMBX NA BBB-.7 Index BBB-/P 1,692 14,000 2,531 1/17/47 300 bp — Monthly (831)
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index A/P (92) 12,000 1,265 5/11/63 200 bp — Monthly (1,352)
CMBX NA BB.6 Index BB-/P 737 3,000 1,172 5/11/63 500 bp — Monthly (432)
CMBX NA BB.6 Index BB-/P 1,478 6,000 2,344 5/11/63 500 bp — Monthly (859)
CMBX NA BBB-.6 Index BBB-/P 928 14,000 3,098 5/11/63 300 bp — Monthly (2,166)
Upfront premium received 55,182 Unrealized appreciation —
Upfront premium (paid) (148) Unrealized (depreciation) (92,912)
Total $55,034 Total $(92,912)
* 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 March 31, 2020. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/20 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(219) $2,000 $922 11/17/59 (500 bp) — Monthly $701
CMBX NA BB.10 Index (209) 2,000 922 11/17/59 (500 bp) — Monthly 712
CMBX NA BB.11 Index (777) 6,000 2,881 11/18/54 (500 bp) — Monthly 2,098
CMBX NA BB.11 Index (189) 2,000 960 11/18/54 (500 bp) — Monthly 770
CMBX NA BB.11 Index (69) 1,000 480 11/18/54 (500 bp) — Monthly 410
CMBX NA BB.8 Index (248) 2,000 952 10/17/57 (500 bp) — Monthly 701
CMBX NA BB.9 Index (2,890) 28,000 11,155 9/17/58 (500 bp) — Monthly 8,238
CMBX NA BB.9 Index (202) 5,000 1,992 9/17/58 (500 bp) — Monthly 1,786
CMBX NA BB.9 Index (258) 4,000 1,594 9/17/58 (500 bp) — Monthly 1,332
CMBX NA BB.9 Index (258) 4,000 1,594 9/17/58 (500 bp) — Monthly 1,332
CMBX NA BBB-.6 Index (700) 11,000 2,434 5/11/63 (300 bp) — Monthly 1,727
Credit Suisse International
CMBX NA BB.10 Index (534) 4,000 1,845 11/17/59 (500 bp) — Monthly 1,307
CMBX NA BB.10 Index (476) 4,000 1,845 11/17/59 (500 bp) — Monthly 1,365
CMBX NA BB.10 Index (249) 2,000 922 11/17/59 (500 bp) — Monthly 672
CMBX NA BB.7 Index (512) 29,000 11,327 5/11/63 (500 bp) — Monthly 10,787
CMBX NA BB.7 Index (1,291) 7,000 2,349 1/17/47 (500 bp) — Monthly 1,051
CMBX NA BB.7 Index (1,151) 7,000 2,349 1/17/47 (500 bp) — Monthly 1,191
CMBX NA BB.9 Index (1,403) 14,000 5,578 9/17/58 (500 bp) — Monthly 4,161
Goldman Sachs International
CMBX NA BB.7 Index (303) 2,000 671 1/17/47 (500 bp) — Monthly 367
CMBX NA BB.7 Index (2,234) 11,000 3,692 1/17/47 (500 bp) — Monthly 1,447
CMBX NA BB.7 Index (983) 6,000 2,014 1/17/47 (500 bp) — Monthly 1,025
CMBX NA BB.8 Index (113) 1,000 476 10/17/57 (500 bp) — Monthly 362
CMBX NA BB.9 Index (108) 1,000 398 9/17/58 (500 bp) — Monthly 290
CMBX NA BBB-.6 Index (400) 8,000 1,770 5/11/63 (300 bp) — Monthly 1,366
JPMorgan Securities LLC
CMBX NA A.7 Index (169) 8,000 608 1/17/47 (200 bp) — Monthly 436
CMBX NA BB.11 Index (432) 4,000 1,921 11/18/54 (500 bp) — Monthly 1,485
CMBX NA BB.11 Index (199) 2,000 960 11/18/54 (500 bp) — Monthly 759
CMBX NA BB.11 Index (205) 2,000 960 11/18/54 (500 bp) — Monthly 753
CMBX NA BB.11 Index (136) 2,000 960 11/18/54 (500 bp) — Monthly 822
CMBX NA BB.11 Index (68) 1,000 480 11/18/54 (500 bp) — Monthly 411
CMBX NA BB.12 Index (365) 4,000 1,966 8/17/61 (500 bp) — Monthly 1,598
CMBX NA BB.7 Index (1,265) 10,000 3,356 1/17/47 (500 bp) — Monthly 2,081
CMBX NA BB.9 Index (115) 2,000 797 9/17/58 (500 bp) — Monthly 680
CMBX NA BB.9 Index (42) 1,000 398 9/17/58 (500 bp) — Monthly 355
CMBX NA BBB-.6 Index (2,979) 48,000 10,622 5/11/63 (300 bp) — Monthly 7,616
CMBX NA BBB-.7 Index (1,328) 35,000 6,328 1/17/47 (300 bp) — Monthly 4,980
CMBX NA BBB-.7 Index (145) 4,000 723 1/17/47 (300 bp) — Monthly 576
CMBX NA BBB-.7 Index (142) 3,000 542 1/17/47 (300 bp) — Monthly 399
Merrill Lynch International
CMBX NA BB.10 Index (228) 4,000 1,845 11/17/59 (500 bp) — Monthly 1,613
CMBX NA BB.11 Index (214) 4,000 1,921 11/18/54 (500 bp) — Monthly 1,702
CMBX NA BB.9 Index (390) 10,000 3,984 9/17/58 (500 bp) — Monthly 3,585
CMBX NA BBB-.7 Index (328) 4,000 723 1/17/47 (300 bp) — Monthly 393
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (408) 4,000 723 1/17/47 (300 bp) — Monthly 313
CMBX NA BB.10 Index (210) 2,000 922 11/17/59 (500 bp) — Monthly 711
CMBX NA BB.11 Index (196) 2,000 960 11/18/54 (500 bp) — Monthly 762
CMBX NA BB.11 Index (95) 1,000 480 11/18/54 (500 bp) — Monthly 384
CMBX NA BB.7 Index (1,207) 6,000 2,014 1/17/47 (500 bp) — Monthly 801
CMBX NA BB.7 Index (193) 1,000 336 1/17/47 (500 bp) — Monthly 142
CMBX NA BB.9 Index (225) 3,000 1,195 9/17/58 (500 bp) — Monthly 967
CMBX NA BB.9 Index (123) 2,000 797 9/17/58 (500 bp) — Monthly 672
CMBX NA BB.9 Index (122) 2,000 797 9/17/58 (500 bp) — Monthly 673
CMBX NA BB.9 Index (80) 2,000 797 9/17/58 (500 bp) — Monthly 714
CMBX NA BB.9 Index (86) 1,000 398 9/17/58 (500 bp) — Monthly 312
CMBX NA BB.9 Index (88) 1,000 398 9/17/58 (500 bp) — Monthly 310
CMBX NA BB.9 Index (62) 1,000 398 9/17/58 (500 bp) — Monthly 336
CMBX NA BB.9 Index (50) 1,000 398 9/17/58 (500 bp) — Monthly 348
CMBX NA BB.9 Index (54) 1,000 398 9/17/58 (500 bp) — Monthly 343
Upfront premium received — Unrealized appreciation 83,230
Upfront premium (paid) (27,725) Unrealized (depreciation) —
Total $(27,725) Total $83,230
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
NA HY Series 34 Index B+/P $22,077 $586,000 $37,621 6/20/25 500 bp — Quarterly $(15,218)
NA IG Series 34 Index BBB+/P (3,043) 1,700,000 11,315 6/20/25 100 bp — Quarterly (14,075)
Total $19,034 $(29,293)
* 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 March 31, 2020. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.











Key to holding's currency abbreviations
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
USD / $ United States Dollar
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
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
PO Principal Only
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 January 1, 2020 through March 31, 2020 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $105,421,573.
(NON) This security is non-income-producing.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC 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
12/31/19		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
3/31/20
Short-term investments
Putnam Cash Collateral Pool, LLC*# $419,428 $995,916 $1,357,636 $1,373 $57,708
Putnam Short Term Investment Fund** 22,059,848 6,974,456 7,618,650 86,689 21,415,654
Total Short-term investments $22,479,276 $7,970,372 $8,976,286 $88,062 $21,473,362
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $57,708, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $54,724.
** 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 $1,073,890.
(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 $464,874.
(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 $232,965.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, 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 $15,777,084 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source.The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities 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 manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
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 $415,842 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $464,874 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Basic materials $673,263 $612,510 $—
Capital goods 3,723,549 525,329 —
Communication services 2,988,080 406,142 —
Conglomerates 505,662 — —
Consumer cyclicals 6,406,661 1,276,168 —
Consumer staples 4,218,722 1,222,425 —
Energy 1,271,302 235,027 —
Financials 6,018,479 1,514,816 —
Health care 6,605,631 1,100,348 —
Technology 14,976,328 477,238 —
Transportation 725,535 313,259 —
Utilities and power 2,090,237 322,933 —
Total common stocks 50,203,449 8,006,195 —
Asset-backed securities — 320,873 —
Convertible bonds and notes — 8,722 —
Convertible preferred stocks — — —
Corporate bonds and notes — 16,464,860 20
Foreign government and agency bonds and notes — 262,672 —
Mortgage-backed securities — 1,585,831 —
Preferred stocks — 13,947 —
Purchased options outstanding — 37,874 —
Senior loans — 136,418 —
U.S. government and agency mortgage obligations — 15,704,871 —
Short-term investments 21,415,654 2,040,306 —
Totals by level $71,619,103 $44,582,569 $20
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(8,130) $—
Futures contracts 773,454 — —
Written options outstanding — (22,126) —
TBA sale commitments — (1,048,125) —
Interest rate swap contracts — 24,318 —
Total return swap contracts — (251,569) —
Credit default contracts — (85,318) —
Totals by level $773,454 $(1,390,950) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased currency option contracts (contract amount) $3,900,000
Written currency option contracts (contract amount) $1,900,000
Futures contracts (number of contracts) 200
Forward currency contracts (contract amount) $21,200,000
Centrally cleared interest rate swap contracts (notional) $10,100,000
OTC total return swap contracts (notional) $19,100,000
OTC credit default contracts (notional) $1,200,000
Centrally cleared credit default contracts (notional) $3,000,000

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