NPORT-EX 3 b_068nport.htm QUARTERLY PORTFOLIO HOLDINGS

Putnam VT Income Fund
The fund's portfolio
3/31/20 (Unaudited)



U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (79.8%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (9.2%)
Government National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 5/20/48 to 3/20/50 $1,490,272 $1,597,952
4.70%, with due dates from 5/20/67 to 8/20/67 306,535 335,796
4.625%, 6/20/67 101,893 111,023
4.51%, 3/20/67 101,427 109,933
4.50%, TBA, 4/1/50 3,000,000 3,180,469
4.50%, with due dates from 5/20/48 to 5/20/48 254,373 275,768
4.00%, TBA, 4/1/50 4,000,000 4,249,375
4.00%, with due dates from 2/20/48 to 5/20/48 1,740,576 1,897,776
3.50%, TBA, 4/1/50 6,000,000 6,326,719
3.50%, with due dates from 11/15/47 to 11/20/49 3,388,833 3,618,967
3.00%, TBA, 4/1/50 1,000,000 1,057,188
22,760,966
U.S. Government Agency Mortgage Obligations (70.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
4.50%, with due dates from 7/1/44 to 3/1/45 632,714 691,535
4.00%, 9/1/45 928,705 1,011,208
3.50%, with due dates from 8/1/43 to 2/1/47 2,666,197 2,848,927
3.00%, with due dates from 3/1/43 to 6/1/46 1,157,419 1,223,980
Federal National Mortgage Association Pass-Through Certificates
5.00%, 3/1/38 8,239 9,235
4.50%, with due dates from 7/1/44 to 5/1/45 1,125,181 1,225,214
4.00%, with due dates from 9/1/45 to 6/1/46 1,459,892 1,582,669
3.50%, 9/1/57 1,542,684 1,669,400
3.50%, 5/1/47(i) 253,442 270,581
3.50%, 3/1/47(i) 152,910 162,807
3.50%, with due dates from 7/1/43 to 6/1/56 3,669,916 3,956,596
3.00%, with due dates from 9/1/42 to 3/1/47 4,344,994 4,598,099
Uniform Mortgage-Backed Securities
6.00%, TBA, 4/1/50 2,000,000 2,223,438
5.50%, TBA, 4/1/50 2,000,000 2,189,844
4.50%, TBA, 4/1/50 3,000,000 3,225,469
4.00%, TBA, 4/1/50 11,000,000 11,737,343
3.50%, TBA, 4/1/50 15,000,000 15,857,813
3.00%, TBA, 4/1/50 37,000,000 38,780,625
2.50%, TBA, 4/1/50 79,000,000 81,826,715
175,091,498
Total U.S. government and agency mortgage obligations (cost $193,718,155) $197,852,464









U.S. TREASURY OBLIGATIONS (—%)(a)
        Principal amount Value
U.S. Treasury Notes 2.625%, 5/15/21(i) $164,000 $170,130
Total U.S. treasury obligations (cost $170,130) $170,130









MORTGAGE-BACKED SECURITIES (34.1%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (12.3%)
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 $154,336 $280,743
REMICs IFB Ser. 2976, Class LC, ((-3.667 x 1 Month US LIBOR) + 24.42%), 21.836%, 5/15/35 24,604 40,394
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 21.213%, 11/15/35 110,599 194,045
REMICs IFB Ser. 3065, Class DC, ((-3 x 1 Month US LIBOR) + 19.86%), 17.746%, 3/15/35 197,218 280,031
REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 15.145%, 6/15/34 90,272 110,576
REMICs IFB Ser. 4074, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.70%), 5.995%, 2/15/41 907,000 99,188
REMICs IFB Ser. 4738, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.495%, 12/15/47 2,153,859 358,081
REMICs IFB Ser. 4912, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.345%, 9/25/49 2,165,253 244,232
REMICs IFB Ser. 4839, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.345%, 6/15/42 1,934,281 222,193
REMICs IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), 5.295%, 5/15/41 256,943 281,732
REMICs Ser. 4601, Class PI, IO, 4.50%, 12/15/45 1,138,923 135,743
REMICs Ser. 4132, Class IP, IO, 4.50%, 11/15/42 791,036 74,959
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 375,452 52,160
REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 337,105 27,341
REMICs Ser. 3707, Class PI, IO, 4.50%, 7/15/25 70,959 1,249
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,222,921 108,176
REMICs Ser. 4500, Class GI, IO, 4.00%, 8/15/45 797,407 83,233
REMICs Ser. 4165, Class AI, IO, 3.50%, 2/15/43 1,173,932 120,146
REMICs Ser. 4663, Class KI, IO, 3.50%, 11/15/42 1,804,091 45,391
REMICs Ser. 4182, Class GI, IO, 3.00%, 1/15/43 1,468,720 67,322
REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 959,017 88,479
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 2,149,233 152,467
REMICs Ser. 4176, Class DI, IO, 3.00%, 12/15/42 1,995,951 185,628
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 884,445 51,032
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 832,544 44,758
REMICs Ser. 3835, Class FO, PO, zero %, 4/15/41 714,316 679,259
REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 4,119 3,758
REMICs Ser. 3391, PO, zero %, 4/15/37 24,975 23,250
REMICs Ser. 3300, PO, zero %, 2/15/37 29,927 27,704
REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 5,720 5,293
REMICs Ser. 3210, PO, zero %, 5/15/36 9,947 9,590
REMICs Ser. 3326, Class WF, zero %, 10/15/35(WAC) 5,589 5,030
REMICs FRB Ser. 3117, Class AF, (1 Month US LIBOR + 0.00%), zero %, 2/15/36 6,860 6,037
Strips Ser. 315, PO, zero %, 9/15/43 1,778,464 1,628,960
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 34.22%, 7/25/36 92,429 178,718
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x 1 Month US LIBOR) + 24.57%), 21.096%, 3/25/36 129,181 222,741
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 20.729%, 6/25/37 89,087 154,785
REMICs IFB Ser. 05-122, Class SE, ((-3.5 x 1 Month US LIBOR) + 23.10%), 19.787%, 11/25/35 137,093 198,640
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 17.41%, 8/25/35 80,641 115,946
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x 1 Month US LIBOR) + 20.12%), 17.189%, 12/25/35 98,653 144,834
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 14.933%, 11/25/34 22,342 26,907
REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 11.007%, 5/25/40 131,796 163,560
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 5.453%, 4/25/40 616,234 121,007
REMICs IFB Ser. 17-108, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.203%, 1/25/48 2,556,680 503,556
REMICs IFB Ser. 19-3, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.153%, 2/25/49 4,680,183 924,336
REMICs IFB Ser. 18-94, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.153%, 1/25/49 2,771,867 379,399
REMICs IFB Ser. 16-91, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.153%, 12/25/46 2,378,319 456,352
REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.103%, 3/25/46 4,993,889 829,308
REMICs Ser. 15-33, Class AI, IO, 5.00%, 6/25/45 1,859,754 310,508
REMICs Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 1,691,835 152,265
REMICs Ser. 15-3, Class BI, IO, 4.00%, 3/25/44 696,619 37,926
REMICs Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 2,532,473 328,550
REMICs Ser. 12-118, Class PI, IO, 4.00%, 6/25/42 869,491 79,337
REMICs Ser. 12-62, Class EI, IO, 4.00%, 4/25/41 1,162,355 71,658
REMICs Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 841,980 55,759
REMICs Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 706,619 62,436
REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 732,069 56,964
REMICs Ser. 12-144, Class KI, IO, 3.00%, 11/25/42 2,424,546 144,774
REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 909,049 40,855
REMICs Ser. 13-67, Class IP, IO, 3.00%, 2/25/42 1,201,686 34,277
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 455,396 15,237
REMICs Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 447,398 12,482
REMICs Ser. 14-28, Class AI, IO, 3.00%, 3/25/40 1,881,257 87,919
Interest Strip Ser. 372, Class 1, PO, zero %, 8/25/36 16,848 16,052
REMICs Ser. 07-64, Class LO, PO, zero %, 7/25/37 8,070 7,888
Government National Mortgage Association
Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 807,051 132,405
IFB Ser. 14-131, Class BS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.495%, 9/16/44 1,028,154 305,995
IFB Ser. 12-149, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.427%, 12/20/42 2,650,868 506,979
IFB Ser. 20-32, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.395%, 3/20/50 2,763,000 471,070
IFB Ser. 19-123, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.377%, 10/20/49 3,286,478 456,711
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.377%, 9/20/43 369,802 70,725
IFB Ser. 20-11, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.327%, 1/20/50 2,477,258 374,685
IFB Ser. 19-83, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.327%, 7/20/49 3,033,213 441,697
IFB Ser. 19-83, Class SW, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.327%, 7/20/49 2,992,072 460,031
IFB Ser. 18-155, Class SE, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.327%, 11/20/48 2,581,739 329,773
IFB Ser. 19-44, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.277%, 4/20/49 2,368,749 332,641
IFB Ser. 19-21, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.277%, 2/20/49 2,183,746 290,438
IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.277%, 2/20/41 1,531,089 278,736
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.277%, 12/2/21 193,995 24,789
IFB Ser. 19-121, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.227%, 10/20/49 211,410 58,639
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 690,138 119,912
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 63,354 7,803
Ser. 15-35, Class AI, IO, 5.00%, 3/16/45 1,011,436 200,550
Ser. 14-180, IO, 5.00%, 12/20/44 2,063,119 361,046
Ser. 14-76, IO, 5.00%, 5/20/44 601,006 110,680
Ser. 14-25, Class QI, IO, 5.00%, 1/20/44 855,941 136,531
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 498,746 92,251
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 9,937 629
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 325,069 59,574
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,546,340 469,528
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,343,853 240,214
Ser. 17-132, Class IA, IO, 4.50%, 9/20/47 984,404 150,186
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 290,877 25,236
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 251,542 22,344
Ser. 12-129, IO, 4.50%, 11/16/42 615,321 108,260
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 516,764 81,011
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 505,443 82,688
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 608,841 114,158
Ser. 13-34, Class PI, IO, 4.50%, 8/20/39 663,804 37,419
Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 1,370,823 172,052
Ser. 15-94, IO, 4.00%, 7/20/45 263,742 41,332
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 274,252 17,203
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,400,876 251,184
Ser. 17-45, Class IM, IO, 4.00%, 10/20/44 1,261,648 95,757
Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 1,557,999 245,367
Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 616,910 62,742
Ser. 15-52, Class IE, IO, 4.00%, 1/16/43 685,274 70,465
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,059,989 158,283
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 3,495,117 563,588
Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 647,295 72,230
Ser. 14-4, Class IK, IO, 4.00%, 7/20/39 603,945 21,119
Ser. 14-162, Class DI, IO, 4.00%, 11/20/38 156,525 935
Ser. 19-158, Class PI, IO, 3.50%, 12/20/49 3,015,254 392,918
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 701,463 57,843
Ser. 15-69, Class XI, IO, 3.50%, 5/20/45 996,035 77,450
Ser. 16-136, Class YI, IO, 3.50%, 3/20/45 1,298,760 55,346
Ser. 17-6, Class DI, IO, 3.50%, 1/20/44 956,421 16,363
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 650,616 61,405
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 483,521 44,726
Ser. 12-136, IO, 3.50%, 11/20/42 1,270,010 152,144
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 939,174 157,929
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 1,787,490 116,187
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,260,903 96,564
Ser. 15-26, Class AI, IO, 3.50%, 5/20/39 1,568,895 78,647
Ser. 14-100, Class JI, IO, 3.50%, 7/16/29 1,454,954 107,762
Ser. 13-23, Class IK, IO, 3.00%, 9/20/37 560,022 32,995
Ser. 14-46, Class KI, IO, 3.00%, 6/20/36 442,564 18,458
FRB Ser. 15-H16, Class XI, IO, 2.674%, 7/20/65(WAC) 1,485,044 132,317
Ser. 15-H13, Class AI, IO, 2.57%, 6/20/65(WAC) 3,978,171 351,543
Ser. 16-H27, Class BI, IO, 2.555%, 12/20/66(WAC) 1,610,112 159,259
Ser. 17-H18, Class CI, IO, 2.551%, 9/20/67(WAC) 2,592,251 352,696
Ser. 19-H02, Class DI, IO, 2.521%, 11/20/68(WAC) 4,132,673 478,592
Ser. 16-H23, Class NI, IO, 2.51%, 10/20/66(WAC) 6,653,399 570,862
Ser. 16-H24, Class JI, IO, 2.302%, 11/20/66(WAC) 1,346,190 156,788
Ser. 17-H12, Class QI, IO, 2.169%, 5/20/67(WAC) 3,124,676 326,654
Ser. 16-H11, Class HI, IO, 2.102%, 1/20/66(WAC) 3,207,657 234,878
Ser. 15-H15, Class JI, IO, 2.039%, 6/20/65(WAC) 1,741,314 136,867
Ser. 17-H09, Class DI, IO, 1.973%, 3/20/67(WAC) 3,342,644 278,479
Ser. 15-H25, Class CI, IO, 1.953%, 10/20/65(WAC) 2,186,241 170,527
Ser. 15-H12, Class AI, IO, 1.923%, 5/20/65(WAC) 2,785,882 205,977
Ser. 15-H20, Class AI, IO, 1.893%, 8/20/65(WAC) 1,379,161 95,024
Ser. 15-H10, Class CI, IO, 1.872%, 4/20/65(WAC) 1,627,221 127,110
Ser. 15-H12, Class GI, IO, 1.87%, 5/20/65(WAC) 2,945,473 197,052
Ser. 15-H12, Class EI, IO, 1.765%, 4/20/65(WAC) 3,388,452 211,101
Ser. 15-H09, Class BI, IO, 1.755%, 3/20/65(WAC) 1,975,682 143,142
Ser. 16-H14, IO, 1.745%, 6/20/66(WAC) 3,867,637 259,754
Ser. 17-H10, Class MI, IO, 1.715%, 4/20/67(WAC) 3,566,436 259,637
Ser. 17-H08, Class NI, IO, 1.715%, 3/20/67(WAC) 3,654,248 297,090
Ser. 15-H01, Class CI, IO, 1.689%, 12/20/64(WAC) 2,244,903 95,346
Ser. 15-H22, Class EI, IO, 1.676%, 8/20/65(WAC) 1,226,575 50,044
Ser. 15-H25, Class AI, IO, 1.675%, 9/20/65(WAC) 2,787,158 168,066
Ser. 16-H06, Class AI, IO, 1.665%, 2/20/66 3,413,014 306,284
Ser. 15-H17, Class CI, IO, 1.655%, 6/20/65(WAC) 2,462,877 104,581
Ser. 15-H04, Class AI, IO, 1.632%, 12/20/64(WAC) 3,170,113 255,689
Ser. 15-H28, Class DI, IO, 1.617%, 8/20/65(WAC) 2,761,253 182,878
Ser. 16-H04, Class KI, IO, 1.581%, 2/20/66(WAC) 2,961,051 217,018
Ser. 16-H02, Class HI, IO, 1.573%, 1/20/66(WAC) 6,921,201 478,947
Ser. 14-H08, Class CI, IO, 1.547%, 3/20/64(WAC) 3,178,007 151,340
Ser. 14-H11, Class GI, IO, 1.536%, 6/20/64(WAC) 5,793,345 387,650
Ser. 14-H07, Class BI, IO, 1.53%, 5/20/64(WAC) 5,347,784 383,436
Ser. 10-H19, Class GI, IO, 1.483%, 8/20/60(WAC) 3,276,992 166,219
Ser. 17-H14, Class EI, IO, 1.474%, 6/20/67(WAC) 4,855,252 391,756
Ser. 10-151, Class KO, PO, zero %, 6/16/37 84,940 79,108
Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,331 2,083
30,433,278
Commercial mortgage-backed securities (12.3%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.229%, 1/15/49(WAC) 164,758 247
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class B, 5.482%, 11/10/42(WAC) 399,820 359,838
Bank FRB Ser. 18-BN13, Class XA, IO, 0.513%, 8/15/61(WAC) 8,318,345 262,403
Barclays Commercial Mortgage Trust FRB Ser. 19-C4, Class XA, IO, 1.601%, 8/15/52(WAC) 6,169,744 667,916
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.437%, 1/12/45(WAC) 534,000 373,800
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.749%, 3/11/39(WAC) 1,043,311 521,655
FRB Ser. 06-PW14, Class X1, IO, 0.283%, 12/11/38(WAC) 201,465 2,075
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD4, Class XW, IO, 1.30%, 12/11/49(WAC) 12,465 480
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class D, 5.744%, 12/15/47(WAC) 131,000 127,869
FRB Ser. 11-C2, Class E, 5.744%, 12/15/47(WAC) 597,000 543,006
Citigroup Commercial Mortgage Trust
FRB Ser. 14-GC19, Class XA, IO, 1.15%, 3/10/47(WAC) 9,865,398 365,987
FRB Ser. 13-GC17, Class XA, IO, 1.035%, 11/10/46(WAC) 3,724,339 115,252
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class XA, IO, 1.767%, 9/10/45(WAC) 3,101,640 98,207
COMM Mortgage Trust
FRB Ser. 14-CR17, Class C, 4.784%, 5/10/47(WAC) 795,000 709,940
FRB Ser. 14-UBS6, Class C, 4.447%, 12/10/47(WAC) 70,000 60,750
FRB Ser. 14-LC15, Class XA, IO, 1.095%, 4/10/47(WAC) 5,668,776 200,686
FRB Ser. 14-CR19, Class XA, IO, 1.008%, 8/10/47(WAC) 5,102,922 186,332
FRB Ser. 13-CR11, Class XA, IO, 0.932%, 8/10/50(WAC) 8,168,027 225,413
FRB Ser. 15-CR23, Class XA, IO, 0.919%, 5/10/48(WAC) 5,034,511 184,083
FRB Ser. 14-UBS6, Class XA, IO, 0.892%, 12/10/47(WAC) 8,566,842 283,948
COMM Mortgage Trust 144A
FRB Ser. 12-CR1, Class D, 5.32%, 5/15/45(WAC) 115,000 107,685
FRB Ser. 13-CR13, Class E, 4.889%, 11/10/46(WAC) 123,000 100,425
FRB Ser. 14-CR17, Class D, 4.848%, 5/10/47(WAC) 198,000 171,087
FRB Ser. 14-CR19, Class D, 4.731%, 8/10/47(WAC) 178,000 152,244
FRB Ser. 13-CR6, Class D, 4.108%, 3/10/46(WAC) 205,000 190,304
Ser. 13-LC6, Class E, 3.50%, 1/10/46 261,000 184,898
FRB Ser. 12-LC4, Class XA, IO, 2.101%, 12/10/44(WAC) 3,984,218 110,777
Credit Suisse Commercial Mortgage Trust 144A
FRB Ser. 07-C4, Class C, 5.719%, 9/15/39(WAC) 12,006 11,862
FRB Ser. 07-C2, Class AX, IO, 0.009%, 1/15/49(WAC) 3,337,729 33
CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C, 4.271%, 4/15/50(WAC) 191,000 175,906
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.771%, 4/15/50(WAC) 502,000 418,543
CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.775%, 12/15/49(WAC) 7,543,372 276,232
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.335%, 8/10/44(WAC) 386,000 351,158
Federal Home Loan Mortgage Corporation
Multiclass Certificates Ser. 20-RR02, Class DX, IO, 1.816%, 1/1/50(WAC) 3,008,000 384,234
Multifamily Structured Pass-Through Certificates FRB Ser. K105, Class X1, IO, 1.645%, 1/25/30(WAC) 4,620,000 536,096
Multifamily Structured Pass-Through Certificates FRB Ser. KG02, Class X1, IO, 1.144%, 8/25/29(WAC) 5,451,000 410,474
Multifamily Structured Pass-Through Certificates FRB Ser. K104, Class X1, IO, 1.127%, 2/25/52(WAC) 3,099,606 300,700
Federal National Mortgage Association 144A
Multifamily Connecticut Avenue Securities Trust FRB Ser. 20-01, Class M10, 4.65%, 3/25/50 403,000 283,431
Multifamily Connecticut Avenue Securities Trust FRB Ser. 19-01, Class M10, 4.197%, 10/15/49 550,000 577,844
GE Commercial Mortgage Corp. Trust 144A FRB Ser. 07-C1, Class XC, IO, 0.003%, 12/10/49(WAC) 4,912,163 49
GS Mortgage Securities Corp., II FRB Ser. 13-GC10, Class XA, IO, 1.499%, 2/10/46(WAC) 5,876,550 202,025
GS Mortgage Securities Trust
FRB Ser. 14-GC18, Class C, 4.989%, 1/10/47(WAC) 584,000 530,492
FRB Ser. 13-GC12, Class XA, IO, 1.417%, 6/10/46(WAC) 3,739,702 131,544
FRB Ser. 14-GC18, Class XA, IO, 1.013%, 1/10/47(WAC) 5,442,251 164,966
FRB Ser. 14-GC22, Class XA, IO, 0.985%, 6/10/47(WAC) 16,247,253 433,899
FRB Ser. 13-GC13, Class XA, IO, 0.078%, 7/10/46(WAC) 113,218,210 294,050
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 5.981%, 8/10/43(WAC) 730,000 720,709
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47(WAC) 575,000 395,325
FRB Ser. 11-GC5, Class XA, IO, 1.328%, 8/10/44(WAC) 5,622,230 61,164
JPMBB Commercial Mortgage Securities Trust
Ser. 13-C17, Class AS, 4.458%, 1/15/47 318,000 320,796
FRB Ser. 14-C25, Class XA, IO, 0.852%, 11/15/47(WAC) 3,313,740 105,331
FRB Ser. 14-C22, Class XA, IO, 0.835%, 9/15/47(WAC) 10,456,717 316,616
FRB Ser. 13-C17, Class XA, IO, 0.76%, 1/15/47(WAC) 2,609,907 60,705
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 13-C14, Class E, 4.702%, 8/15/46(WAC) 441,000 305,749
FRB Ser. C14, Class D, 4.702%, 8/15/46(WAC) 715,000 620,636
FRB Ser. 14-C19, Class C19, 4.679%, 4/15/47(WAC) 192,000 182,016
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 517,000 247,578
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 355,970 341,947
FRB Ser. 16-JP2, Class XA, IO, 1.821%, 8/15/49(WAC) 2,478,345 219,586
FRB Ser. 12-LC9, Class XA, IO, 1.502%, 12/15/47(WAC) 3,383,774 106,049
FRB Ser. 13-LC11, Class XA, IO, 1.257%, 4/15/46(WAC) 3,514,953 110,057
FRB Ser. 13-C16, Class XA, IO, 0.933%, 12/15/46(WAC) 5,015,118 137,853
FRB Ser. 06-LDP8, Class X, IO, 0.29%, 5/15/45(WAC) 210,983 33
FRB Ser. 07-LDPX, Class X, IO, 0.03%, 1/15/49(WAC) 1,175,760 12
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.059%, 2/12/51(WAC) 350,000 175,000
FRB Ser. 11-C3, Class D, 5.664%, 2/15/46(WAC) 248,000 239,508
FRB Ser. 11-C3, Class F, 5.664%, 2/15/46(WAC) 635,000 576,108
FRB Ser. 12-C6, Class E, 5.157%, 5/15/45(WAC) 588,000 471,164
FRB Ser. 11-C3, Class B, 5.013%, 2/15/46(WAC) 381,000 380,518
FRB Ser. 12-C8, Class D, 4.675%, 10/15/45(WAC) 413,000 336,296
FRB Ser. 12-LC9, Class D, 4.418%, 12/15/47(WAC) 127,000 105,413
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 498,000 328,544
FRB Ser. 05-CB12, Class X1, IO, 0.32%, 9/12/37(WAC) 278,199 164
LB-UBS Commercial Mortgage Trust FRB Ser. 07-C2, Class XW, IO, 0.142%, 2/15/40(WAC) 62,653 6
LB-UBS Commercial Mortgage Trust 144A
FRB Ser. 05-C7, Class XCL, IO, 0.313%, 11/15/40(WAC) 403,849 56
FRB Ser. 07-C2, Class XCL, IO, 0.142%, 2/15/40(WAC) 1,357,471 137
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 06-C4, Class X, IO, 6.401%, 7/15/45(WAC) 34,730 3
ML-CFC Commercial Mortgage Trust 144A FRB Ser. 06-4, Class XC, IO, 0.375%, 12/12/49(WAC) 883,896 3,462
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 13-C7, Class XA, IO, 1.34%, 2/15/46(WAC) 7,917,574 231,296
FRB Ser. 14-C17, Class XA, IO, 1.108%, 8/15/47(WAC) 3,630,525 123,805
FRB Ser. 15-C25, Class XA, IO, 1.091%, 10/15/48(WAC) 4,533,941 193,465
FRB Ser. 15-C26, Class XA, IO, 1.026%, 10/15/48(WAC) 4,709,185 206,175
FRB Ser. 13-C12, Class XA, IO, 0.603%, 10/15/46(WAC) 10,843,200 182,629
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.353%, 8/15/46(WAC) 319,000 165,677
FRB Ser. 13-C10, Class E, 4.083%, 7/15/46(WAC) 893,000 632,483
FRB Ser. 13-C10, Class F, 4.083%, 7/15/46(WAC) 273,000 193,156
Ser. 14-C17, Class E, 3.50%, 8/15/47 290,000 161,787
FRB Ser. 13-C13, Class XB, IO, 0.152%, 11/15/46(WAC) 55,988,000 263,368
Morgan Stanley Capital I Trust
FRB Ser. 16-BNK2, Class XA, IO, 1.068%, 11/15/49(WAC) 3,941,856 189,251
FRB Ser. 16-UB12, Class XA, IO, 0.77%, 12/15/49(WAC) 10,251,073 359,155
Morgan Stanley Capital I Trust 144A
FRB Ser. 11-C3, Class E, 5.245%, 7/15/49(WAC) 252,000 229,943
FRB Ser. 12-C4, Class XA, IO, 2.07%, 3/15/45(WAC) 1,831,255 53,536
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 859,373 20,797
UBS Commercial Mortgage Trust
FRB Ser. 19-C17, Class XA, IO, 1.636%, 10/15/52(WAC) 4,401,021 447,639
FRB Ser. 17-C7, Class XA, IO, 1.055%, 12/15/50(WAC) 5,294,387 306,457
UBS Commercial Mortgage Trust 144A
FRB Ser. 12-C1, Class C, 5.572%, 5/10/45(WAC) 354,000 338,815
FRB Ser. 12-C1, Class D, 5.572%, 5/10/45(WAC) 352,000 264,000
FRB Ser. 12-C1, Class XA, IO, 2.074%, 5/10/45(WAC) 3,523,667 107,844
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 4.888%, 5/10/63(WAC) 629,000 112,488
FRB Ser. 12-C2, Class E, 4.888%, 5/10/63(WAC) 816,000 765,800
Ser. 13-C6, Class E, 3.50%, 4/10/46 175,000 119,057
FRB Ser. 12-C2, Class XA, IO, 1.303%, 5/10/63(WAC) 10,086,296 242,097
FRB Ser. 13-C6, Class XA, IO, 1.117%, 4/10/46(WAC) 5,445,868 148,103
UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.051%, 1/10/45(WAC) 336,000 319,793
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.117%, 11/15/48(WAC) 716,686 22
Wells Fargo Commercial Mortgage Trust
FRB Ser. 19-C50, Class XA, IO, 1.424%, 5/15/52(WAC) 5,014,054 518,643
FRB Ser. 14-LC16, Class XA, IO, 1.112%, 8/15/50(WAC) 8,205,220 287,551
FRB Ser. 15-LC20, Class XB, IO, 0.487%, 4/15/50(WAC) 13,766,000 318,545
Wells Fargo Commercial Mortgage Trust 144A Ser. 14-LC16, Class D, 3.938%, 8/15/50 247,000 152,038
WF-RBS Commercial Mortgage Trust
FRB Ser. 14-C24, Class XA, IO, 0.837%, 11/15/47(WAC) 6,400,489 183,050
FRB Ser. 14-C22, Class XA, IO, 0.808%, 9/15/57(WAC) 16,215,388 462,593
FRB Ser. 13-C14, Class XA, IO, 0.731%, 6/15/46(WAC) 17,809,166 316,529
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class E, 5.221%, 6/15/44(WAC) 55,000 52,145
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 402,000 301,781
FRB Ser. 12-C7, Class D, 4.813%, 6/15/45(WAC) 231,000 230,210
Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 645,000 415,543
FRB Ser. 13-C15, Class D, 4.494%, 8/15/46(WAC) 919,000 579,938
FRB Ser. 12-C10, Class D, 4.429%, 12/15/45(WAC) 1,274,000 1,011,723
FRB Ser. 12-C9, Class XA, IO, 1.892%, 11/15/45(WAC) 3,752,123 141,759
FRB Ser. 11-C5, Class XA, IO, 1.686%, 11/15/44(WAC) 3,779,016 66,745
FRB Ser. 12-C10, Class XA, IO, 1.536%, 12/15/45(WAC) 6,272,632 210,121
FRB Ser. 13-C11, Class XA, IO, 1.185%, 3/15/45(WAC) 5,857,558 160,932
FRB Ser. 12-C9, Class XB, IO, 0.715%, 11/15/45(WAC) 8,807,000 146,989
30,594,859
Residential mortgage-backed securities (non-agency) (9.5%)
Arroyo Mortgage Trust 144A Ser. 19-3, Class M1, 4.204%, 10/25/48(WAC) 330,000 257,365
BCAP, LLC Trust 144A FRB Ser. 15-RR5, Class 2A2, 3.123%, 1/26/46(WAC) 810,811 830,313
Bellemeade Re, Ltd. 144A
FRB Ser. 17-1, Class M2, (1 Month US LIBOR + 3.35%), 4.297%, 10/25/27 (Bermuda) 1,530,000 1,209,407
FRB Ser. 17-1, Class M1, (1 Month US LIBOR + 1.70%), 2.647%, 10/25/27 (Bermuda) 53,235 51,743
FRB Ser. 18-2A, Class M1B, (1 Month US LIBOR + 1.35%), 2.297%, 8/25/28 (Bermuda) 380,784 353,790
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (1 Month US LIBOR + 0.24%), 1.187%, 6/25/36 210,000 173,488
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 04-3A, Class A2, (1 Month US LIBOR + 0.30%), 1.247%, 8/25/35 121,724 115,017
Countrywide Alternative Loan Trust FRB Ser. 07-OA6, Class A1A, (1 Month US LIBOR + 0.14%), 1.087%, 6/25/37 200,407 157,680
Eagle Re, Ltd. 144A
FRB Ser. 19-1, Class M2, (1 Month US LIBOR + 3.30%), 4.247%, 4/25/29 (Bermuda) 191,000 125,176
FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.70%), 2.647%, 11/25/28 324,121 299,279
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (1 Month US LIBOR + 6.35%), 7.297%, 9/25/28 1,211,375 1,156,743
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 6.097%, 11/25/28 586,000 562,373
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (1 Month US LIBOR + 5.00%), 5.947%, 12/25/28 705,382 670,150
Structured Agency Credit Risk Debt FRN Ser. 14-DN4, Class M3, (1 Month US LIBOR + 4.55%), 5.497%, 10/25/24 356,821 333,628
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, (1 Month US LIBOR + 4.25%), 5.197%, 11/25/23 242,285 232,648
Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class M3, (1 Month US LIBOR + 4.15%), 5.097%, 1/25/25 1,069,556 1,043,339
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58(WAC) 370,000 318,761
Structured Agency Credit Risk Debt FRN Ser. 14-HQ2, Class M3, (1 Month US LIBOR + 3.75%), 4.697%, 9/25/24 250,000 230,313
Structured Agency Credit Risk Debt FRN Ser. 14-DN2, Class M3, (1 Month US LIBOR + 3.60%), 4.547%, 4/25/24 310,000 294,229
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%), 3.797%, 4/25/28 736,009 712,484
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 3.247%, 9/25/30 198,618 168,446
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class M2, (1 Month US LIBOR + 1.80%), 2.747%, 7/25/30 245,000 203,350
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B1, (1 Month US LIBOR + 4.65%), 5.597%, 1/25/49 400,000 192,261
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B1, (1 Month US LIBOR + 4.35%), 5.297%, 3/25/49 90,000 42,605
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.847%, 9/25/48 70,000 33,322
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 235,000 181,859
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 4.647%, 12/25/30 310,000 148,848
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.86%, 3/25/50 277,000 178,378
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (1 Month US LIBOR + 1.90%), 3.735%, 1/25/50 1,238,000 775,820
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.597%, 1/25/49 450,000 395,996
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 3.397%, 3/25/49 1,128,446 863,749
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 3.297%, 2/25/49 206,487 172,831
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 3.247%, 10/25/48 122,800 100,943
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class M2, (1 Month US LIBOR + 2.15%), 3.097%, 12/25/30 254,000 209,291
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 6.947%, 9/25/28 727,272 709,486
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.847%, 10/25/28 885,352 868,139
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.647%, 4/25/28 84,952 83,870
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.497%, 4/25/28 115,360 104,253
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (1 Month US LIBOR + 5.30%), 6.247%, 10/25/28 1,420,749 1,383,164
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.947%, 7/25/25 266,698 241,747
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 5.197%, 1/25/29 46,390 44,530
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (1 Month US LIBOR + 4.00%), 4.947%, 5/25/30 250,000 129,722
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 4.497%, 7/25/29 434,320 387,754
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 3.747%, 2/25/30 94,106 75,598
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 3.497%, 12/25/30 557,780 457,340
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1M2, (1 Month US LIBOR + 2.35%), 3.297%, 1/25/31 395,000 331,800
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (1 Month US LIBOR + 1.25%), 2.197%, 7/25/29 210,000 157,487
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1EB2, (1 Month US LIBOR + 1.00%), 1.947%, 5/25/30 532,000 365,303
Federal National Mortgage Association 144A
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1, (1 Month US LIBOR + 5.75%), 6.697%, 7/25/29 208,000 118,637
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1B1, (1 Month US LIBOR + 4.15%), 5.097%, 8/25/31 59,000 28,735
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (1 Month US LIBOR + 2.00%), 3.661%, 1/25/40 465,000 288,300
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 3.397%, 7/25/31 164,053 126,526
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 2.15%), 3.097%, 11/25/39 289,146 237,303
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2M2, (1 Month US LIBOR + 2.10%), 3.047%, 6/25/39 65,000 52,863
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (1 Month US LIBOR + 2.05%), 2.997%, 1/25/40 517,000 332,953
Connecticut Avenue Securities Trust FRB Ser. 19-R05, Class 1M2, (1 Month US LIBOR + 2.00%), 2.947%, 7/25/39 140,000 119,518
FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) 77,731 8
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.60%), 2.547%, 10/25/28 (Bermuda) 119,863 112,661
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 250,000 195,000
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 2.451%, 8/26/47(WAC) 180,000 167,398
NovaStar Mortgage Funding Trust FRB Ser. 04-2, Class M4, (1 Month US LIBOR + 1.80%), 2.747%, 9/25/34 242,687 227,746
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 3.797%, 7/25/28 (Bermuda) 380,000 283,703
Radnor Re, Ltd. 144A
FRB Ser. 19-1, Class M2, (1 Month US LIBOR + 3.20%), 4.147%, 2/25/29 (Bermuda) 150,000 124,827
FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 3.647%, 3/25/28 (Bermuda) 200,000 155,321
Structured Asset Investment Loan Trust FRB Ser. 04-10, Class A10, (1 Month US LIBOR + 0.90%), 1.847%, 11/25/34 317,959 312,204
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR1, Class A2B, (1 Month US LIBOR + 0.80%), 1.747%, 1/25/45 119,869 104,771
FRB Ser. 05-AR13, Class A1C4, (1 Month US LIBOR + 0.43%), 1.377%, 10/25/45 1,660,710 1,502,380
FRB Ser. 05-AR17, Class A1B2, (1 Month US LIBOR + 0.41%), 1.357%, 12/25/45 964,472 824,912
23,451,584
Total mortgage-backed securities (cost $97,437,089) $84,479,721









CORPORATE BONDS AND NOTES (25.5%)(a)
        Principal amount Value
Basic materials (0.8%)
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.875%, 6/15/21 (Germany) $50,000 $49,481
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) 119,000 112,663
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 50,000 52,559
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 383,000 402,634
Georgia-Pacific, LLC 144A company guaranty sr. unsec. notes 5.40%, 11/1/20 110,000 111,051
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) 3,000 2,751
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 3,000 2,744
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 127,000 123,060
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 164,000 192,051
International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 95,000 97,623
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 46,000 50,573
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 241,000 251,456
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 173,000 177,302
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 3,000 2,994
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 105,000 148,933
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 39,000 53,048
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 116,000 136,740
1,967,663
Capital goods (0.8%)
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 135,000 145,481
L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 4.40%, 6/15/28 111,000 118,159
L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 3.85%, 12/15/26 162,000 167,053
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 300,000 311,736
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 164,000 158,705
Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 75,000 72,604
Otis Worldwide Corp. 144A company guaranty sr. unsec. notes 2.565%, 2/15/30 385,000 374,180
United Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 370,000 406,169
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 275,000 278,237
2,032,324
Communication services (4.1%)
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) 798,000 769,072
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 235,000 226,730
American Tower Corp. sr. unsec. unsub. bonds 3.375%, 10/15/26(R) 25,000 24,769
AT&T, Inc. sr. unsec. bonds 4.30%, 2/15/30 362,000 388,745
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 412,000 432,299
AT&T, Inc. sr. unsec. sub. notes 3.80%, 2/15/27 335,000 349,577
AT&T, Inc. sr. unsec. sub. notes 2.95%, 7/15/26 85,000 84,852
AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 73,000 78,759
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 335,000 370,483
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23 36,000 35,887
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 304,000 366,721
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 287,000 298,645
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 83,000 88,112
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47 99,000 106,851
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 296,000 349,139
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.40%, 7/15/46 360,000 388,979
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 10,000 14,575
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 380,000 398,220
Comcast Corp. sr. unsec. bonds 3.45%, 2/1/50 1,227,000 1,344,307
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 110,000 107,382
Cox Communications, Inc. 144A sr. unsec. notes 3.35%, 9/15/26 236,000 238,179
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) 108,000 110,404
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 140,000 141,787
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 43,000 43,951
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R) 34,000 35,727
Crown Castle International Corp. sr. unsec. notes 3.15%, 7/15/23(R) 50,000 50,186
Crown Castle International Corp. sr. unsec. sub. bonds 3.30%, 7/1/30(R) 70,000 69,425
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) 403,000 374,750
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 95,000 106,603
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 180,000 179,100
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) 208,000 230,422
Verizon Communications, Inc. sr. unsec. unsub. bonds 5.25%, 3/16/37 125,000 158,765
Verizon Communications, Inc. sr. unsec. unsub. bonds 4.672%, 3/15/55 312,000 390,172
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 85,000 99,224
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 856,000 973,547
Verizon Communications, Inc. sr. unsec. unsub. notes 2.625%, 8/15/26 300,000 309,734
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 136,000 136,000
Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 291,000 307,335
10,179,415
Consumer cyclicals (2.5%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 406,000 402,448
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) 707,000 656,434
Amazon.com, Inc. sr. unsec. notes 4.05%, 8/22/47 235,000 306,188
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 153,000 167,375
Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 30,000 28,817
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 278,000 282,640
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21 40,000 39,933
D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23 120,000 121,580
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 135,000 137,292
Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 180,000 169,045
Fox Corp. sr. unsec. notes Ser. WI, 4.03%, 1/25/24 80,000 83,105
Fox Corp. sr. unsec. unsub. notes 3.05%, 4/7/25 125,000 124,805
General Motors Co. sr. unsec. notes 4.875%, 10/2/23 130,000 115,831
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 107,000 90,918
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 37,000 32,767
Global Payments, Inc. sr. unsec. unsub. notes 4.00%, 6/1/23 210,000 217,497
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 50,000 46,750
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 83,000 78,850
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 115,000 119,025
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 204,000 210,120
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 106,000 102,290
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 316,000 322,391
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 130,000 129,729
Omnicom Group, Inc. sr. unsec. sub. notes 2.45%, 4/30/30 870,000 789,929
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 97,000 83,905
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 70,000 68,428
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 145,000 160,876
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 310,000 312,326
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 115,000 104,650
ViacomCBS, Inc. company guaranty sr. unsec. bonds 4.20%, 6/1/29 242,000 232,532
ViacomCBS, Inc. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 67,000 61,098
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 142,000 120,497
ViacomCBS, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 25,000 24,546
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 57,000 91,568
Walt Disney Co. (The) company guaranty sr. unsec. notes 7.75%, 1/20/24 61,000 72,907
6,109,092
Consumer staples (0.8%)
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 100,000 104,848
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49 341,000 400,810
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.95%, 1/15/42 9,000 9,699
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29 210,000 231,809
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 335,000 309,875
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 22,146 23,797
CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32 143,801 186,853
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 40,000 36,579
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 85,000 108,073
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 105,000 114,223
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 6,000 6,077
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28 101,000 110,479
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 99,000 105,498
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.057%, 5/25/23 37,000 38,488
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 129,000 131,242
1,918,350
Energy (1.4%)
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 370,000 372,480
BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 286,000 305,487
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 412,000 365,901
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 188,000 159,443
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 90,000 63,501
Energy Transfer Operating LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 239,000 118,305
Energy Transfer Operating LP company guaranty sr. unsec. notes 5.875%, 1/15/24 85,000 80,267
Energy Transfer Operating LP company guaranty sr. unsec. notes 2.90%, 5/15/25 317,000 265,070
Energy Transfer Operating LP sr. unsec. unsub. bonds 6.125%, 12/15/45 175,000 156,243
Energy Transfer Operating LP sr. unsec. unsub. notes 6.50%, 2/1/42 71,000 64,648
EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 367,000 375,640
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 7,000 8,323
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 23,000 19,735
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 103,000 87,519
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 230,000 236,979
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 145,000 133,514
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 86,000 69,322
Total Capital International SA company guaranty sr. unsec. unsub. notes 2.829%, 1/10/30 (France) 335,000 338,823
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 229,000 170,720
3,391,920
Financials (8.7%)
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 100,000 81,198
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 283,000 226,695
Ally Financial, Inc. sr. unsec. notes 3.875%, 5/21/24 123,000 110,700
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 336,000 393,120
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 182,000 184,070
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) 200,000 196,500
AXA SA 144A jr. unsec. sub. FRN 6.379%, perpetual maturity (France) 179,000 211,659
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) 200,000 204,549
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) 200,000 203,547
Bank of America Corp. jr. unsec. sub. bonds Ser. JJ, 5.125%, perpetual maturity 395,000 375,250
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 245,000 246,225
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 40,000 42,200
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 1,960,000 1,895,179
Bank of America Corp. unsec. sub. FRN (BBA LIBOR USD 3 Month + 0.76%), 1.501%, 9/15/26 100,000 89,429
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 300,000 378,000
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 115,000 111,700
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 220,000 264,349
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 45,000 45,444
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 317,000 314,539
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 74,000 76,212
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 225,000 222,415
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 22,000 23,686
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 163,000 169,815
CIT Bank NA sr. unsec. FRN Ser. BKNT, 2.969%, 9/27/25 385,000 324,644
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 100,000 95,500
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 377,000 367,575
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 149,000 154,149
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 16,000 17,580
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 1,023,000 1,068,037
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 70,000 72,844
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4.625%, 12/1/23 (Netherlands) 250,000 256,581
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France) 400,000 399,000
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) 225,000 211,781
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) 397,000 432,241
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 462,000 500,780
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 25,000 27,709
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 70,000 56,700
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 235,000 247,287
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 324,000 344,814
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 405,000 417,587
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 303,000 284,428
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 327,000 429,725
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40 13,000 17,748
HSBC Holdings PLC jr. unsec. sub. FRB 6.375%, perpetual maturity (United Kingdom) 500,000 467,500
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 520,000 551,159
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 87,000 88,653
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity 858,000 750,922
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (BBA LIBOR USD 3 Month + 1.00%), 2.692%, 5/15/47 156,000 106,080
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 828,000 958,030
KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 217,000 216,317
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 302,000 332,529
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 159,000 150,255
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 459,000 532,440
MetLife, Inc. jr. unsec. sub. notes 6.40%, 12/15/36 85,000 88,706
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) 200,000 203,977
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 760,000 927,128
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 75,000 78,772
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) 270,000 246,719
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) 23,000 21,869
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 66,000 62,040
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 217,000 191,774
Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 12,000 16,240
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 140,000 146,378
Royal Bank of Scotland Group PLC sr. unsec. unsub. FRB 4.892%, 5/18/29 (United Kingdom) 400,000 422,558
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 200,000 205,268
Service Properties Trust sr. unsec. notes 4.375%, 2/15/30(R) 39,000 29,535
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan) 205,000 213,245
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 191,000 265,133
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 180,000 178,853
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 12/31/99 335,000 288,100
U.S. Bancorp unsec. sub. notes 3.00%, 7/30/29 455,000 452,150
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 247,000 234,025
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 115,000 116,869
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 610,000 833,368
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) 355,000 348,736
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 145,000 148,579
21,667,098
Health care (2.3%)
AbbVie, Inc. 144A sr. unsec. notes 3.20%, 11/21/29 1,025,000 1,029,210
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 37,000 38,419
Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 130,000 133,100
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 219,000 275,386
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 100,000 102,664
Bristol-Myers Squibb Co. 144A sr. unsec. bonds 3.40%, 7/26/29 693,000 764,845
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 177,000 181,979
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 372,000 411,336
CVS Health Corp. sr. unsec. unsub. notes 3.70%, 3/9/23 80,000 83,093
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 109,943 124,842
DH Europe Finance II Sarl company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) 332,000 325,487
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 48,000 50,341
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 215,000 215,371
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 64,000 69,547
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 95,000 98,362
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 160,000 189,231
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 265,000 336,354
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 125,000 134,152
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 40,000 40,000
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 175,000 178,908
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 90,000 90,654
UnitedHealth Group, Inc. sr. unsec. notes 2.95%, 10/15/27 160,000 167,145
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 313,000 348,759
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 386,000 401,142
5,790,327
Technology (2.2%)
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 210,000 221,711
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 200,000 215,800
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 349,000 443,689
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 328,000 313,361
Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 120,000 125,084
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 143,000 147,588
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 47,000 55,801
Fidelity National Information Services, Inc. sr. unsec. notes 3.75%, 5/21/29 246,000 267,457
Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 16,000 16,130
Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 168,000 185,534
Fiserv, Inc. sr. unsec. bonds 3.50%, 7/1/29 277,000 288,133
Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 374,000 404,665
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 208,000 207,364
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 545,000 578,565
Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 432,000 518,589
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 85,000 93,236
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 635,000 648,076
Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 548,000 606,662
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 102,000 100,504
5,437,949
Transportation (0.1%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 158,000 167,030
167,030
Utilities and power (1.8%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 63,000 63,156
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 310,000 330,046
Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35 13,000 16,358
Berkshire Hathaway Energy Co. sr. unsec. bonds 6.50%, 9/15/37 15,000 18,949
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 13,000 16,468
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 91,000 95,335
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 65,000 65,394
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 180,000 177,141
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 290,000 310,845
Duke Energy Ohio, Inc. sr. notes 3.80%, 9/1/23 72,000 76,064
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 234,000 280,903
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 90,000 83,125
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 95,000 85,060
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 568,000 510,458
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 344,000 319,313
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 19,000 19,301
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 40,000 43,724
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 337,000 379,518
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 71,000 73,583
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 86,000 84,280
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 85,000 82,920
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 293,000 296,438
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 182,000 179,886
Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29 161,000 196,324
PacifiCorp sr. mtge. bonds 6.25%, 10/15/37 11,000 14,279
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 3.40%, 6/1/23 10,000 10,270
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 194,000 172,002
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 181,000 170,110
WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (BBA LIBOR USD 3 Month + 2.11%), 3.804%, 5/15/67 381,000 306,239
4,477,489
Total corporate bonds and notes (cost $62,078,570) $63,138,657









PURCHASED SWAP OPTIONS OUTSTANDING (3.4%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
(1.465)/3 month USD-LIBOR-BBA/Apr-50 Apr-20/1.465 $3,424,300 $240
Citibank, N.A.
1.629/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.629 3,638,400 201,276
1.996/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.996 3,638,400 192,035
1.316/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 18,776,700 188,330
(1.996)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.996 3,638,400 10,515
(1.629)/3 month USD-LIBOR-BBA/Jan-26 Jan-21/1.629 3,638,400 2,329
(1.316)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.316 18,776,700 19
Goldman Sachs International
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 2,721,900 17,611
JPMorgan Chase Bank N.A.
1.101/3 month USD-LIBOR-BBA/Mar-31 Mar-21/1.101 9,618,100 471,768
(1.042)/3 month USD-LIBOR-BBA/Sep-50 Sep-20/1.042 4,257,200 219,203
1.33/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.33 14,553,500 148,446
Morgan Stanley & Co. International PLC
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 8,508,000 1,687,647
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,110,300 1,497,672
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,110,300 1,490,300
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,110,300 1,328,845
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 5,165,700 471,525
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 5,165,700 147,171
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 8,508,000 3,914
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 1,166,500 2,753
Toronto-Dominion Bank
(1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) Mar-25/1.04 357,000 47,788
(1.12625)/3 month USD-LIBOR-BBA/Apr-30 (Canada) Apr-20/1.12625 9,043,000 8,772
UBS AG
1.5025/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 19,527,800 232,381
(0.895)/3 month USD-LIBOR-BBA/Apr-30 Apr-20/0.895 1,708,000 5,141
(1.5025)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/1.5025 19,527,800 20
Total purchased swap options outstanding (cost $3,527,345) $8,375,701









PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) May-20/$102.81 $79,000,000 $79,000,000 $568,089
Total purchased options outstanding (cost $370,313) $568,089









ASSET-BACKED SECURITIES (2.1%)(a)
        Principal amount Value
LHOME Mortgage Trust 144A Ser. 19-RTL2, Class A1, 3.844%, 3/25/24 $660,000 $665,082
Mello Warehouse Securitization Trust 144A
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 1.797%, 11/25/51 106,000 106,000
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 1.747%, 6/25/52 125,000 125,000
MRA Issuance Trust 144A FRB Ser. 20-2, Class A, (1 Month US LIBOR + 1.15%), 2.731%, 10/22/20 885,000 885,065
Station Place Securitization Trust 144A
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), 1.755%, 3/26/21 461,000 461,000
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), 1.679%, 10/24/20 210,000 210,000
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), 1.629%, 9/24/20 973,000 973,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 1.629%, 6/24/20 939,000 939,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), 1.597%, 8/25/52 264,667 264,667
Toorak Mortgage Corp., Ltd. 144A Ser. 20-1, Class A1, 3.25%, 3/25/23 580,000 581,031
Total asset-backed securities (cost $5,203,665) $5,209,845









SHORT-TERM INVESTMENTS (30.3%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 0.92%(AFF) Shares 53,572,253 $53,572,253
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.32%(P) Shares 5,440,000 5,440,000
U.S. Treasury Bills 1.650%, 4/2/20(SEG)(SEGSF) $1,801,000 1,801,000
U.S. Treasury Bills 1.590%, 5/14/20 13,000 12,999
U.S. Treasury Bills 0.595%, 4/7/20(SEG)(SEGSF) 835,000 834,991
U.S. Treasury Bills 1.572%, 5/21/20(SEGSF) 267,000 266,976
U.S. Treasury Bills 0.878%, 4/16/20(SEG) 169,000 168,995
U.S. Treasury Bills 1.649%, 4/9/20(SEG) 25,000 25,000
U.S. Treasury Bills 1.548%, 7/16/20(SEGSF)(SEGCCS) 657,000 656,848
U.S. Treasury Bills 0.795%, 6/18/20(SEG)(SEGSF)(SEGCCS) 1,237,000 1,236,751
U.S. Treasury Bills 0.203%, 7/9/20(SEG)(SEGSF)(SEGCCS) 685,000 684,856
U.S. Treasury Bills 1.529%, 4/23/20(SEG)(SEGSF) 279,000 278,995
U.S. Treasury Bills 1.031%, 4/21/20(SEG)(SEGSF) 831,000 830,974
U.S. Treasury Bills 0.005%, 6/11/20(SEGSF) 455,000 454,918
U.S. Treasury Bills 0.502%, 5/5/20(SEG)(SEGSF) 1,553,000 1,552,906
U.S. Treasury Bills 0.407%, 4/14/20(SEG)(SEGSF) 365,000 364,989
U.S. Treasury Bills 0.467%, 4/28/20(SEGSF) 797,000 796,979
U.S. Treasury Bills 0.310%, 7/23/20(SEG)(SEGCCS)(SEGTBA) 496,000 495,874
U.S. Treasury Bills 0.164%, 6/25/20(SEG)(SEGSF)(SEGCCS) 635,000 634,900
U.S. Treasury Bills 0.010%, 9/10/20(SEGSF)(SEGTBA) 1,340,000 1,339,313
U.S. Treasury Bills 0.015%, 9/3/20(SEGSF)(SEGCCS) 876,000 875,636
U.S. Treasury Bills 0.012%, 8/6/20(SEG)(SEGSF)(SEGCCS) 1,349,000 1,348,594
U.S. Treasury Bills zero%, 8/20/20(SEGSF)(SEGCCS) 931,000 930,681
U.S. Treasury Bills zero%, 8/13/20(SEGSF) 603,000 602,825
Total short-term investments (cost $75,202,376) $75,208,253
TOTAL INVESTMENTS
Total investments (cost $437,707,643) $435,002,860









FUTURES CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Bond 30 yr (Long) 44 $7,878,750 $7,878,750 Jun-20 $549,901
U.S. Treasury Bond Ultra 30 yr (Long) 62 13,756,250 13,756,250 Jun-20 1,181,798
U.S. Treasury Note 2 yr (Long) 48 10,578,375 10,578,375 Jun-20 153,642
U.S. Treasury Note 2 yr (Short) 284 62,588,719 62,588,719 Jun-20 14,892
U.S. Treasury Note 5 yr (Long) 97 12,159,859 12,159,859 Jun-20 365,805
U.S. Treasury Note 10 yr (Long) 102 14,146,125 14,146,125 Jun-20 578,302
U.S. Treasury Note 10 yr (Short) 75 10,401,563 10,401,563 Jun-20 (430,247)
U.S. Treasury Note Ultra 10 yr (Long) 26 4,056,813 4,056,813 Jun-20 214,442
Unrealized appreciation 3,058,782
Unrealized (depreciation) (430,247)
Total $2,628,535









WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/20 (premiums $6,431,198) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
1.17/3 month USD-LIBOR-BBA/Apr-25 Apr-20/1.17 $17,676,100 $18
Citibank, N.A.
1.805/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.805 3,638,400 10,369
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 1,877,700 72,573
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 1,877,700 216,311
(1.805)/3 month USD-LIBOR-BBA/Jan-31 Jan-21/1.805 3,638,400 389,127
Goldman Sachs International
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 10,887,400 8,928
2.9425/3 month USD-LIBOR-BBA/Feb-34 Feb-24/2.9425 14,962,300 88,278
(2.9425)/3 month USD-LIBOR-BBA/Feb-34 Feb-24/2.9425 14,962,300 2,968,970
JPMorgan Chase Bank N.A.
1.333/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 2,110,300 2,321
(1.333)/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 2,110,300 19,225
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,030,300 56,069
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,030,300 56,759
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,064,700 62,168
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,064,700 68,775
(0.83)/3 month USD-LIBOR-BBA/Oct-21 Oct-20/0.83 14,553,500 76,842
(0.442)/3 month USD-LIBOR-BBA/Sep-50 Sep-20/0.442 4,257,200 107,281
(0.7785)/3 month USD-LIBOR-BBA/Mar-31 Mar-21/0.7785 19,236,300 566,701
Morgan Stanley & Co. International PLC
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 4,666,000 653
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 2,320,400 24,132
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 2,320,400 24,782
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 5,165,700 96,340
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 5,165,700 424,001
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 2,320,400 457,096
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 2,320,400 464,846
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,110,300 1,251,429
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,110,300 1,467,066
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,110,300 1,476,646
Toronto-Dominion Bank
0.92/3 month USD-LIBOR-BBA/Apr-22 Apr-20/0.92 43,406,500 43
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 161,600 28,414
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 323,100 38,313
1.05/3 month USD-LIBOR-BBA/Mar-27 Mar-25/1.05 4,709,000 42,711
UBS AG
(0.895)/3 month USD-LIBOR-BBA/Apr-30 Apr-20/0.895 1,708,000 35,629
(0.7275)/3 month USD-LIBOR-BBA/Apr-30 Apr-20/0.7275 4,234,000 42,044
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 2,178,100 60,486
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 2,178,100 260,261
Total $10,965,607









WRITTEN OPTIONS OUTSTANDING at 3/31/20 (premiums $370,313) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) May-20/$102.81 $79,000,000 $79,000,000 $99,935
Total $99,935









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
3.312/3 month USD-LIBOR-BBA/Nov-38 (Purchased) Nov-28/3.312 $30,423,400 $(3,422,137) $3,394,643
2.027/3 month USD-LIBOR-BBA/Jul-30 (Purchased) Jul-20/2.027 14,890,000 (342,470) 1,585,041
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 12,515,500 (115,455) 320,772
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,259,800 (294,339) 62,935
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,694,800 (38,344) (9,338)
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 2,259,800 (294,339) (47,546)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 12,515,500 (115,455) (110,887)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 1,694,800 (796,854) (134,838)
(3.312)/3 month USD-LIBOR-BBA/Nov-38 (Purchased) Nov-28/3.312 30,423,400 (695,457) (300,279)
(2.027)/3 month USD-LIBOR-BBA/Jul-30 (Purchased) Jul-20/2.027 14,890,000 (342,470) (338,896)
3.195/3 month USD-LIBOR-BBA/Nov-55 (Written) Nov-25/3.195 14,363,800 470,099 219,623
(3.195)/3 month USD-LIBOR-BBA/Nov-55 (Written) Nov-25/3.195 14,363,800 3,836,007 (4,905,383)
Citibank, N.A.
1.765/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 11,733,300 (157,226) 587,956
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 875,000 (112,656) 243,373
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 875,000 (112,656) (94,159)
(1.765)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.765 11,733,300 (157,226) (157,226)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 8,760,900 80,162 60,625
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 8,760,900 80,162 (62,465)
Goldman Sachs International
1.755/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 11,733,300 (157,813) 581,502
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,105,300 (101,356) 200,524
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 785,300 (99,144) 179,480
(2.13)/3 month USD-LIBOR-BBA/Dec-30 (Purchased) Dec-20/2.13 4,986,900 (70,440) (65,079)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 785,300 (99,144) (77,839)
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 1,105,300 (165,242) (89,463)
(1.755)/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-20/1.755 11,733,300 (157,813) (157,696)
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 (Purchased) Nov-20/3.162 14,803,400 (2,102,527) 2,305,926
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,926,500 (548,238) 1,510,682
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 875,000 (135,275) 259,359
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 785,400 (90,714) 172,804
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,458,100 (84,278) 152,036
(3.162)/3 month USD-LIBOR-BBA/Nov-33 (Purchased) Nov-20/3.162 14,803,400 (18,060) (16,876)
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 785,400 (90,714) (52,009)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 875,000 (93,888) (79,196)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,458,100 (151,642) (109,008)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,926,500 (548,238) (521,204)
3.229/3 month USD-LIBOR-BBA/Nov-33 (Written) Nov-23/3.229 14,803,400 162,393 104,660
2.975/3 month USD-LIBOR-BBA/Nov-23 (Written) Nov-20/2.975 14,803,400 1,480 1,480
(2.975)/3 month USD-LIBOR-BBA/Nov-23 (Written) Nov-20/2.975 14,803,400 571,115 (574,964)
(3.229)/3 month USD-LIBOR-BBA/Nov-33 (Written) Nov-23/3.229 14,803,400 1,680,186 (1,653,688)
Morgan Stanley & Co. International PLC
2.8025/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.8025 9,974,900 (2,054,740) 3,071,571
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 875,000 (94,150) 229,276
1.5775/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 9,032,400 (49,769) 174,867
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 126,800 (14,468) 65,552
2.764/3 month USD-LIBOR-BBA/Feb-31 (Purchased) Feb-21/2.764 8,508,000 (1,660,606) 22,461
(2.764)/3 month USD-LIBOR-BBA/Feb-31 (Purchased) Feb-21/2.764 8,508,000 (13,947) (10,380)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 126,800 (14,468) (13,323)
(1.5775)/3 month USD-LIBOR-BBA/Sep-22 (Purchased) Sep-20/1.5775 9,032,400 (49,769) (49,769)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 875,000 (134,050) (111,431)
(2.8025)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.8025 9,974,900 (552,021) (277,701)
2.7875/3 month USD-LIBOR-BBA/Apr-59 (Written) Apr-29/2.7875 8,977,400 619,391 253,432
(2.7875)/3 month USD-LIBOR-BBA/Apr-59 (Written) Apr-29/2.7875 8,977,400 1,904,007 (2,767,732)
UBS AG
1.6125/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 5,165,700 (141,695) 329,830
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 5,165,700 (377,742) (230,080)
1.30/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 10,977,200 326,087 281,346
(1.30)/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 10,977,200 87,753 (340,513)
Wells Fargo Bank, N.A.
2.2775/3 month USD-LIBOR-BBA/Jul-52 (Purchased) Jul-22/2.2775 3,722,500 (314,551) 1,109,007
(2.2775)/3 month USD-LIBOR-BBA/Jul-52 (Purchased) Jul-22/2.2775 3,722,500 (314,551) (245,462)
Unrealized appreciation 17,480,763
Unrealized (depreciation) (13,604,430)
Total $3,876,333









TBA SALE COMMITMENTS OUTSTANDING at 3/31/20 (proceeds receivable $99,764,375) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 3.00%, 4/1/50 $18,000,000 4/15/20 $18,866,250
Uniform Mortgage-Backed Securities, 2.50%, 4/1/50 79,000,000 4/15/20 81,826,715
Total $100,692,965











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)
$1,747,000 $1,107,968 $(60) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually $1,126,600
14,803,400 3,050,981 (210) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,092,259)
8,171,500 1,721,008 (116) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 1,731,757
11,842,800 2,684,384 (261,440) 12/3/29 3 month USD-LIBOR-BBA — Quarterly 3.096% — Semiannually 2,529,171
499,700 20,993 (E) (3) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 20,991
1,293,200 53,184 (E) (7) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (53,191)
2,131,700 371,349 (28) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (374,137)
6,187,600 1,201,155 125,990 2/20/30 2.7225% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,082,409)
6,187,600 1,201,446 126,377 3/2/30 2.715% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,080,453)
2,707,100 174,018 (E) (548) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 173,470
935,900 39,272 (E) (160) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 39,112
3,012,582 613,256 (43) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 616,350
5,693,900 1,080,947 (81) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,085,434)
913,500 429,329 (E) (31) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (429,360)
5,984,900 1,010,754 (3,077) 3/26/30 2.44% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,014,630)
1,686,100 61,937 (E) (9) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 61,928
2,475,100 91,368 (E) (14) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 91,355
8,079,300 1,087,070 (114) 3/4/30 2.098% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,092,019)
845,700 118,992 (E) (19) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 118,973
4,004,800 564,497 (E) (57) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (564,553)
4,070,000 576,890 (E) — 12/14/30 2.1935% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (576,890)
1,715,500 682,755 (E) — 6/14/52 2.4105% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (682,755)
2,216,500 146,067 (E) (25) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 146,042
185,400 68,608 (E) (6) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (68,615)
1,934,600 255,849 (E) (27) 6/22/30 2.0625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (255,876)
1,922,200 236,104 (E) (27) 7/6/30 1.9665% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (236,131)
5,041,700 632,063 (E) (71) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (632,134)
547,900 196,610 (E) (19) 7/22/52 2.2685% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (196,628)
2,745,300 724,770 (E) (94) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (724,864)
4,897,500 376,740 (E) (69) 8/28/30 1.5095% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (376,810)
1,942,200 358,301 (E) (66) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (358,367)
11,733,300 526,731 (95) 9/30/24 1.50% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (526,419)
11,733,300 541,081 (95) 10/1/24 1.53% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (574,927)
108,052,600 2,536,751 (92,126) 3/18/22 1.60% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (2,653,936)
7,405,100 2,236,592 (9,542) 3/18/50 3 month USD-LIBOR-BBA — Quarterly 2.00% — Semiannually 2,229,836
53,561,600 5,448,179 (3,399) 3/18/30 3 month USD-LIBOR-BBA — Quarterly 1.75% — Semiannually 5,460,103
4,092,000 439,288 (54) 12/17/29 1.8252% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (459,482)
487,300 26,058 894 3/18/25 3 month USD-LIBOR-BBA — Quarterly 1.58% — Semiannually 27,061
1,391,200 412,562 83,149 3/18/50 1.98% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (329,927)
6,718,200 670,201 150,955 3/18/30 1.73% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (521,119)
14,186,000 790,132 (40,753) 3/18/25 1.625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (834,303)
1,496,100 165,903 (E) (21) 12/21/30 3 month USD-LIBOR-BBA — Quarterly 1.88% — Semiannually 165,881
1,280,400 126,192 (17) 1/8/30 1.744% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (125,764)
9,350,400 881,715 (20,072) 1/28/30 3 month USD-LIBOR-BBA — Quarterly 1.698% — Semiannually 859,583
86,100 24,522 (E) (3) 1/16/55 2.032% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (24,525)
3,783,000 382,927 (1,260) 1/16/30 1.771% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (383,428)
6,964,800 692,322 (92) 1/31/30 1.7505% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (691,761)
5,472,300 542,639 (73) 1/31/30 1.748% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (542,175)
12,437,100 1,161,128 (20,064) 1/31/30 3 month USD-LIBOR-BBA — Quarterly 1.688% — Semiannually 1,138,602
66,300 17,908 (E) (2) 1/24/55 3 month USD-LIBOR-BBA — Quarterly 1.977% — Semiannually 17,906
6,856,800 500,786 (46,546) 2/18/30 1.4765% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (545,569)
31,819,900 2,613,018 (422) 2/18/30 3 month USD-LIBOR-BBA — Quarterly 1.57% — Semiannually 2,607,969
760,300 68,392 (E) (26) 3/4/52 1.265% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (68,418)
1,282,400 42,541 (E) (18) 3/4/31 3 month USD-LIBOR-BBA — Quarterly 1.101% — Semiannually 42,523
17,631,900 63,528 (E) (66) 9/8/21 0.68% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (63,594)
38,133,100 98,231 (E) (144) 10/15/21 0.571% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (98,375)
3,934,700 192,194 (E) (134) 1/27/47 3 month USD-LIBOR-BBA — Quarterly 1.27% — Semiannually 192,060
332,300 15,969 (E) (11) 3/7/50 1.275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (15,980)
323,200 5,311 (E) (11) 3/10/52 0.8725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 5,300
4,346,000 578 (58) 3/11/30 0.70792% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 759
4,346,000 3,064 (58) 3/11/30 0.7165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (2,904)
226,500 13,263 (E) (8) 3/11/52 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 13,255
1,204,000 74,156 (41) 3/16/50 0.6725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 74,173
803,000 43,959 (E) (27) 4/16/50 0.7025% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 43,931
2,882,000 35,276 (23) 3/17/25 0.744% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (35,120)
2,882,000 37,766 (23) 3/17/25 0.7615% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (37,630)
1,442,000 17,721 (12) 3/17/25 0.745% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (17,644)
3,012,000 49,276 (40) 3/17/30 0.8775% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (49,286)
3,012,000 48,834 (40) 3/17/30 0.876% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (48,841)
2,515,900 46,984 (E) (36) 3/17/32 3 month USD-LIBOR-BBA — Quarterly 1.03% — Semiannually 46,949
2,882,000 36,057 (23) 3/17/25 0.7495% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (35,908)
2,882,000 37,694 (23) 3/17/25 0.761% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (37,557)
2,882,000 39,544 (23) 3/17/25 0.774% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (39,422)
62,935,000 70,991 (E) (88,875) 6/17/22 3 month USD-LIBOR-BBA — Quarterly 0.40% — Semiannually (17,884)
2,882,000 15,165 (23) 3/18/25 0.6045% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (14,821)
5,580,000 66,781 (45) 3/19/25 0.747% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (66,096)
2,372,000 24,607 (19) 3/20/25 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (24,264)
1,898,000 20,627 (15) 3/20/25 0.727% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (20,359)
4,051,300 158,118 (54) 3/27/30 3 month USD-LIBOR-BBA — Quarterly 1.1175% — Semiannually 157,855
4,051,300 147,184 (54) 3/27/30 1.09% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (147,015)
120,600 4,088 (2) 4/2/30 3 month USD-LIBOR-BBA — Quarterly 1.07% — Semiannually 4,086
1,680,000 49,720 (22) 3/23/30 1.02% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (49,621)
1,680,000 46,423 (22) 3/23/30 1.00% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (46,317)
1,680,000 43,127 (22) 3/23/30 0.98% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (43,013)
4,995,000 59,720 (40) 3/23/25 0.7525% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (59,103)
4,994,000 57,106 (40) 3/23/25 0.742% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (56,478)
371,700 909 (E) (5) 3/24/32 3 month USD-LIBOR-BBA — Quarterly 1.07% — Semiannually 905
167,400 76 (E) (3) 3/24/35 3 month USD-LIBOR-BBA — Quarterly 0.968% — Semiannually (79)
1,513,000 6,861 (20) 3/25/30 0.6725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 7,029
1,936,000 3,256 (26) 3/27/30 3 month USD-LIBOR-BBA — Quarterly 0.73705% — Semiannually 3,049
968,000 525 (13) 3/27/30 3 month USD-LIBOR-BBA — Quarterly 0.71439% — Semiannually (631)
968,000 200 (13) 3/27/30 3 month USD-LIBOR-BBA — Quarterly 0.7178% — Semiannually (302)
746,000 12,986 (25) 3/30/50 3 month USD-LIBOR-BBA — Quarterly 0.8385% — Semiannually (13,051)
1,962,000 13,424 (26) 3/31/30 3 month USD-LIBOR-BBA — Quarterly 0.655% — Semiannually (13,529)
1,699,000 71,650 (E) (58) 5/1/50 3 month USD-LIBOR-BBA — Quarterly 0.7475% — Semiannually (71,708)
5,989,000 4,090 (23) 4/1/22 3 month USD-LIBOR-BBA — Quarterly 0.495% — Semiannually 4,068
5,776,000 3,616 (22) 4/1/22 3 month USD-LIBOR-BBA — Quarterly 0.4921% — Semiannually 3,594
5,027,000 10,255 (41) 4/1/25 3 month USD-LIBOR-BBA — Quarterly 0.4825% — Semiannually (10,296)
1,922,000 1,999 (25) 4/2/30 0.71% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,973
1,877,000 3,022 (25) 4/2/30 0.70418% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,997
1,967,000 2,734 (26) 4/2/30 0.7065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,708
Total $(104,121) $(3,626,192)
(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)
Bank of America N.A.
$22,913 $19,562 $— 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly $(3,077)
35,247 29,766 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (5,032)
Barclays Bank PLC
431,073 432,833 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 2,415
65,266 65,532 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 366
273,991 273,324 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly (194)
169,718 169,305 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly (120)
6,688,826 6,623,987 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (51,984)
708,431 701,552 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (5,515)
61,734 61,681 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 69
458,858 459,730 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (1,927)
7,471,234 7,561,084 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (107,927)
37,401 30,931 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (6,067)
18,192 15,045 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,951)
14,285 12,348 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,749
31,700 28,303 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (3,015)
62,400 57,738 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (3,921)
6,132 5,674 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (385)
Citibank, N.A.
927,346 918,357 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (7,207)
529,794 524,659 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (4,117)
Credit Suisse International
395,220 354,375 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (36,060)
30,111 23,283 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (6,478)
3,390 2,803 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 550
137,797 108,801 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (27,293)
42,805 36,544 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,749)
30,262 23,894 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,994)
95,770 81,761 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 12,861
55,629 48,812 — 1/12/39 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 6,131
73,196 63,271 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 8,960
Goldman Sachs International
24,345 24,638 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (352)
64,938 65,719 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (938)
180,081 182,247 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,601)
258,459 261,567 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (3,734)
310,150 313,880 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (4,480)
479,353 485,118 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (6,924)
656,681 664,578 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (9,486)
90,125 71,227 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 17,977
39,152 32,379 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 6,351
30,050 23,727 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,952)
1,845 1,575 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (248)
17,222 14,543 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (2,459)
103,298 89,291 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 12,645
184,569 164,793 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (17,555)
128,568 114,793 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (12,229)
77,805 69,469 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (7,400)
8,559 7,642 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (814)
85,398 79,017 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (5,366)
77,920 72,098 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (4,896)
75,504 69,863 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (4,744)
60,112 55,621 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (3,777)
40,222 37,217 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (2,527)
JPMorgan Chase Bank N.A.
28,207 24,081 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,788)
103,298 89,291 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 12,645
JPMorgan Securities LLC
257,473 230,865 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 23,492
13,051 10,793 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,117
64,402 55,495 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (8,145)
Upfront premium received — Unrealized appreciation 108,328
Upfront premium (paid) — Unrealized (depreciation) (393,428)
Total $— Total $(285,100)









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 $3,281 $48,000 $10,622 5/11/63 300 bp — Monthly $(7,313)
CMBX NA BBB-.6 Index BBB-/P 6,388 106,000 23,458 5/11/63 300 bp — Monthly (17,008)
CMBX NA BBB-.6 Index BBB-/P 13,088 212,000 46,916 5/11/63 300 bp — Monthly (33,704)
CMBX NA BBB-.6 Index BBB-/P 12,483 219,000 48,465 5/11/63 300 bp — Monthly (35,854)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index BB-/P 20,083 140,000 54,684 5/11/63 500 bp — Monthly (34,465)
CMBX NA BB.7 Index BB/P 35,060 687,000 230,557 1/17/47 500 bp — Monthly (194,829)
CMBX NA BBB-.6 Index BBB-/P 455,814 7,158,000 1,584,065 5/11/63 300 bp — Monthly (1,124,076)
Credit Suisse International
CMBX NA A.6 Index A/P (4,854) 4,396,000 463,338 5/11/63 200 bp — Monthly (466,483)
CMBX NA A.7 Index A/P 275 7,000 532 1/17/47 200 bp — Monthly (254)
CMBX NA BB.7 Index BB/P 16,586 124,000 41,614 1/17/47 500 bp — Monthly (24,908)
CMBX NA BBB-.6 Index BBB-/P 221 2,000 443 5/11/63 300 bp — Monthly (220)
CMBX NA BBB-.6 Index BBB-/P 3,315 30,000 6,639 5/11/63 300 bp — Monthly (3,307)
CMBX NA BBB-.6 Index BBB-/P 568,856 6,054,000 1,339,750 5/11/63 300 bp — Monthly (767,373)
CMBX NA BBB-.7 Index BBB-/P 4,347 55,000 9,944 1/17/47 300 bp — Monthly (5,564)
CMBX NA BBB-.7 Index BBB-/P 32,079 434,000 78,467 1/17/47 300 bp — Monthly (46,135)
Goldman Sachs International
CMBX NA A.6 Index A/P 3,294 59,000 6,219 5/11/63 200 bp — Monthly (2,901)
CMBX NA A.6 Index A/P 2,956 60,000 6,324 5/11/63 200 bp — Monthly (3,345)
CMBX NA A.6 Index A/P 5,821 115,000 12,121 5/11/63 200 bp — Monthly (6,255)
CMBX NA A.6 Index A/P 9,260 141,000 14,861 5/11/63 200 bp — Monthly (5,547)
CMBX NA A.6 Index A/P 4,580 146,000 15,388 5/11/63 200 bp — Monthly (10,751)
CMBX NA A.6 Index A/P 6,398 210,000 22,134 5/11/63 200 bp — Monthly (15,654)
CMBX NA A.6 Index A/P 10,621 215,000 22,661 5/11/63 200 bp — Monthly (11,956)
CMBX NA A.6 Index A/P (2,127) 224,000 23,610 5/11/63 200 bp — Monthly (25,650)
CMBX NA A.6 Index A/P 15,762 306,000 32,252 5/11/63 200 bp — Monthly (16,371)
CMBX NA A.6 Index A/P 12,866 416,000 43,846 5/11/63 200 bp — Monthly (30,818)
CMBX NA A.6 Index A/P 31,436 621,000 65,453 5/11/63 200 bp — Monthly (33,776)
CMBX NA A.6 Index A/P 37,833 727,000 76,626 5/11/63 200 bp — Monthly (38,510)
CMBX NA BBB-.6 Index BBB-/P 105 1,000 221 5/11/63 300 bp — Monthly (115)
CMBX NA BBB-.6 Index BBB-/P 571 9,000 1,992 5/11/63 300 bp — Monthly (1,415)
CMBX NA BBB-.6 Index BBB-/P 5,861 53,000 11,729 5/11/63 300 bp — Monthly (5,837)
CMBX NA BBB-.6 Index BBB-/P 3,993 55,000 12,172 5/11/63 300 bp — Monthly (8,146)
CMBX NA BBB-.6 Index BBB-/P 3,993 55,000 12,172 5/11/63 300 bp — Monthly (8,146)
CMBX NA BBB-.6 Index BBB-/P 7,595 90,000 19,917 5/11/63 300 bp — Monthly (12,270)
CMBX NA BBB-.6 Index BBB-/P 7,675 97,000 21,466 5/11/63 300 bp — Monthly (13,734)
CMBX NA BBB-.6 Index BBB-/P 6,881 101,000 22,351 5/11/63 300 bp — Monthly (15,412)
CMBX NA BBB-.6 Index BBB-/P 14,813 104,000 23,015 5/11/63 300 bp — Monthly (8,141)
CMBX NA BBB-.6 Index BBB-/P 5,208 105,000 23,237 5/11/63 300 bp — Monthly (17,967)
CMBX NA BBB-.6 Index BBB-/P 5,119 105,000 23,237 5/11/63 300 bp — Monthly (18,056)
CMBX NA BBB-.6 Index BBB-/P 5,379 106,000 23,458 5/11/63 300 bp — Monthly (18,017)
CMBX NA BBB-.6 Index BBB-/P 11,693 108,000 23,900 5/11/63 300 bp — Monthly (12,145)
CMBX NA BBB-.6 Index BBB-/P 11,308 134,000 29,654 5/11/63 300 bp — Monthly (18,268)
CMBX NA BBB-.6 Index BBB-/P 22,647 193,000 42,711 5/11/63 300 bp — Monthly (19,952)
CMBX NA BBB-.6 Index BBB-/P 10,113 206,000 45,588 5/11/63 300 bp — Monthly (35,355)
CMBX NA BBB-.6 Index BBB-/P 18,393 213,000 47,137 5/11/63 300 bp — Monthly (28,620)
CMBX NA BBB-.6 Index BBB-/P 23,812 216,000 47,801 5/11/63 300 bp — Monthly (23,863)
CMBX NA BBB-.6 Index BBB-/P 33,182 239,000 52,891 5/11/63 300 bp — Monthly (19,569)
CMBX NA BBB-.6 Index BBB-/P 20,522 273,000 60,415 5/11/63 300 bp — Monthly (39,734)
CMBX NA BBB-.6 Index BBB-/P 25,932 536,000 118,617 5/11/63 300 bp — Monthly (92,372)
CMBX NA BBB-.7 Index BBB-/P 418 6,000 1,085 1/17/47 300 bp — Monthly (663)
CMBX NA BBB-.7 Index BBB-/P 7,955 101,000 18,261 1/17/47 300 bp — Monthly (10,247)
CMBX NA BBB-.7 Index BBB-/P 11,309 153,000 27,662 1/17/47 300 bp — Monthly (16,264)
CMBX NA BBB-.7 Index BBB-/P 13,902 171,000 30,917 1/17/47 300 bp — Monthly (16,915)
JPMorgan Securities LLC
CMBX NA A.6 Index A/P (89) 10,000 1,054 5/11/63 200 bp — Monthly (1,140)
CMBX NA A.6 Index A/P 627 62,000 6,535 5/11/63 200 bp — Monthly (5,884)
CMBX NA A.6 Index A/P 1,890 187,000 19,710 5/11/63 200 bp — Monthly (17,747)
CMBX NA A.6 Index A/P 338 466,000 49,116 5/11/63 200 bp — Monthly (48,597)
CMBX NA A.6 Index A/P 142,193 6,181,000 651,477 5/11/63 200 bp — Monthly (506,880)
CMBX NA BB.10 Index BB-/P 12,999 162,000 74,714 5/11/63 500 bp — Monthly (61,558)
CMBX NA BB.7 Index BB/P 7,896 152,000 51,011 1/17/47 500 bp — Monthly (42,968)
CMBX NA BB.7 Index BB/P 55,352 178,000 59,737 1/17/47 500 bp — Monthly (4,211)
CMBX NA BBB-.6 Index BBB-/P 6,349 100,000 22,130 5/11/63 300 bp — Monthly (15,722)
CMBX NA BBB-.6 Index BBB-/P 561,773 9,053,000 2,003,429 5/11/63 300 bp — Monthly (1,436,375)
CMBX NA BBB-.7 Index BBB-/P 7,774 79,000 14,283 1/17/47 300 bp — Monthly (6,463)
CMBX NA BBB-.7 Index BBB-/P 6,329 120,000 21,696 1/17/47 300 bp — Monthly (15,297)
CMBX NA BBB-.7 Index BBB-/P 17,188 130,000 23,504 1/17/47 300 bp — Monthly (6,240)
CMBX NA BBB-.7 Index BBB-/P 6,065 232,000 41,946 1/17/47 300 bp — Monthly (35,745)
Merrill Lynch International
CMBX NA A.6 Index A/P (782) 47,000 4,954 5/11/63 200 bp — Monthly (5,717)
CMBX NA BB.6 Index BB-/P 5,518 27,000 10,546 5/11/63 500 bp — Monthly (5,002)
CMBX NA BBB-.6 Index BBB-/P 8,238 108,000 23,900 5/11/63 300 bp — Monthly (15,600)
CMBX NA BBB-.6 Index BBB-/P 8,935 139,000 30,761 5/11/63 300 bp — Monthly (21,745)
CMBX NA BBB-.6 Index BBB-/P 12,757 141,000 31,203 5/11/63 300 bp — Monthly (18,364)
CMBX NA BBB-.6 Index BBB-/P 88,844 995,000 220,194 5/11/63 300 bp — Monthly (130,769)
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index A/P (2,916) 380,000 40,052 5/11/63 200 bp — Monthly (42,820)
CMBX NA A.7 Index A/P (13) 13,000 988 1/17/47 200 bp — Monthly (996)
CMBX NA BBB-.6 Index BBB-/P 199,677 3,014,000 666,998 5/11/63 300 bp — Monthly (465,563)
Upfront premium received 2,741,824 Unrealized appreciation —
Upfront premium (paid) (10,781) Unrealized (depreciation) (6,335,653)
Total $2,731,043 Total $(6,335,653)
* 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 A.7 Index $(148) $20,000 $1,520 1/17/47 (200 bp) — Monthly $1,364
CMBX NA BB.10 Index (7,932) 76,000 35,051 11/17/59 (500 bp) — Monthly 27,046
CMBX NA BB.10 Index (6,798) 62,000 28,594 11/17/59 (500 bp) — Monthly 21,736
CMBX NA BB.11 Index (17,980) 249,000 119,570 11/18/54 (500 bp) — Monthly 101,348
CMBX NA BB.11 Index (29,281) 226,000 108,525 11/18/54 (500 bp) — Monthly 79,025
CMBX NA BB.11 Index (7,352) 78,000 37,456 11/18/54 (500 bp) — Monthly 30,027
CMBX NA BB.11 Index (2,819) 41,000 19,688 11/18/54 (500 bp) — Monthly 16,830
CMBX NA BB.11 Index (918) 18,000 8,644 11/18/54 (500 bp) — Monthly 7,708
CMBX NA BB.11 Index (934) 18,000 8,644 11/18/54 (500 bp) — Monthly 7,692
CMBX NA BB.12 Index (3,519) 41,000 20,156 8/17/61 (500 bp) — Monthly 16,597
CMBX NA BB.12 Index (3,519) 41,000 20,156 8/17/61 (500 bp) — Monthly 16,597
CMBX NA BB.8 Index (14,155) 114,000 54,241 10/17/57 (500 bp) — Monthly 39,976
CMBX NA BB.9 Index (112,200) 1,087,000 433,061 9/17/58 (500 bp) — Monthly 319,804
CMBX NA BB.9 Index (14,323) 222,000 88,445 9/17/58 (500 bp) — Monthly 73,906
CMBX NA BB.9 Index (7,176) 178,000 70,915 9/17/58 (500 bp) — Monthly 63,566
CMBX NA BB.9 Index (11,291) 175,000 69,720 9/17/58 (500 bp) — Monthly 58,259
CMBX NA BB.9 Index (1,196) 33,000 13,147 9/17/58 (500 bp) — Monthly 11,919
CMBX NA BB.9 Index (1,217) 31,000 12,350 9/17/58 (500 bp) — Monthly 11,103
Credit Suisse International
CMBX NA BB.10 Index (20,948) 157,000 72,408 11/17/59 (500 bp) — Monthly 51,308
CMBX NA BB.10 Index (18,670) 157,000 72,408 11/17/59 (500 bp) — Monthly 53,586
CMBX NA BB.10 Index (10,317) 83,000 38,280 11/17/59 (500 bp) — Monthly 27,882
CMBX NA BB.7 Index (76,651) 466,000 156,390 1/17/47 (500 bp) — Monthly 79,286
CMBX NA BB.7 Index (68,990) 374,000 125,514 1/17/47 (500 bp) — Monthly 56,161
CMBX NA BB.9 Index (48,820) 487,000 194,021 9/17/58 (500 bp) — Monthly 144,727
Goldman Sachs International
CMBX NA BB.7 Index (20,581) 136,000 45,642 1/17/47 (500 bp) — Monthly 24,929
CMBX NA BB.12 Index (16,843) 46,000 22,614 8/17/61 (500 bp) — Monthly 5,726
CMBX NA BB.7 Index (108,429) 534,000 179,210 1/17/47 (500 bp) — Monthly 70,263
CMBX NA BB.7 Index (26,051) 159,000 53,360 1/17/47 (500 bp) — Monthly 27,155
CMBX NA BB.7 Index (5,072) 30,000 10,068 1/17/47 (500 bp) — Monthly 4,967
CMBX NA BB.8 Index (4,192) 37,000 17,605 10/17/57 (500 bp) — Monthly 13,377
CMBX NA BB.9 Index (9,161) 85,000 33,864 9/17/58 (500 bp) — Monthly 24,621
CMBX NA BB.9 Index (3,611) 30,000 11,952 9/17/58 (500 bp) — Monthly 8,312
CMBX NA BB.9 Index (3,570) 30,000 11,952 9/17/58 (500 bp) — Monthly 8,353
CMBX NA BB.9 Index (893) 23,000 9,163 9/17/58 (500 bp) — Monthly 8,248
CMBX NA BB.9 Index (2,296) 22,000 8,765 9/17/58 (500 bp) — Monthly 6,448
CMBX NA BB.9 Index (799) 5,000 1,992 9/17/58 (500 bp) — Monthly 1,188
CMBX NA BBB-.6 Index (13,558) 271,000 59,972 5/11/63 (300 bp) — Monthly 46,256
JPMorgan Securities LLC
CMBX NA BB.11 Index (23,348) 216,000 103,723 11/18/54 (500 bp) — Monthly 80,165
CMBX NA BB.11 Index (13,625) 137,000 65,787 11/18/54 (500 bp) — Monthly 52,029
CMBX NA BB.11 Index (12,646) 127,000 60,985 11/18/54 (500 bp) — Monthly 48,216
CMBX NA BB.11 Index (7,908) 116,000 55,703 11/18/54 (500 bp) — Monthly 47,682
CMBX NA BB.11 Index (10,681) 104,000 49,941 11/18/54 (500 bp) — Monthly 39,159
CMBX NA BB.11 Index (5,969) 81,000 38,896 11/18/54 (500 bp) — Monthly 32,849
CMBX NA BB.11 Index (5,249) 77,000 36,975 11/18/54 (500 bp) — Monthly 31,651
CMBX NA BB.11 Index (2,317) 41,000 19,688 11/18/54 (500 bp) — Monthly 17,331
CMBX NA BB.11 Index (861) 17,000 8,163 11/18/54 (500 bp) — Monthly 7,286
CMBX NA BB.12 Index (14,772) 162,000 79,639 8/17/61 (500 bp) — Monthly 64,709
CMBX NA BB.12 Index (2,131) 23,000 11,307 8/17/61 (500 bp) — Monthly 9,154
CMBX NA BB.6 Index (23,820) 167,000 65,230 5/11/63 (500 bp) — Monthly 41,248
CMBX NA BB.7 Index (10,504) 83,000 27,855 1/17/47 (500 bp) — Monthly 17,271
CMBX NA BB.9 Index (6,054) 105,000 41,832 9/17/58 (500 bp) — Monthly 35,676
CMBX NA BB.9 Index (3,727) 88,000 35,059 9/17/58 (500 bp) — Monthly 31,246
CMBX NA BB.9 Index (1,848) 41,000 16,334 9/17/58 (500 bp) — Monthly 14,446
CMBX NA BB.9 Index (307) 2,000 797 9/17/58 (500 bp) — Monthly 488
CMBX NA BBB-.7 Index (28,002) 738,000 133,430 1/17/47 (300 bp) — Monthly 104,997
CMBX NA BBB-.7 Index (3,412) 94,000 16,995 1/17/47 (300 bp) — Monthly 13,528
CMBX NA BBB-.7 Index (3,642) 77,000 13,922 1/17/47 (300 bp) — Monthly 10,234
Merrill Lynch International
CMBX NA BB.10 Index (8,592) 151,000 69,641 11/17/59 (500 bp) — Monthly 60,903
CMBX NA BB.11 Index (8,952) 167,000 80,193 11/18/54 (500 bp) — Monthly 71,079
CMBX NA BB.11 Index (13,736) 137,000 65,787 11/18/54 (500 bp) — Monthly 51,918
CMBX NA BB.7 Index (20,471) 118,000 39,601 1/17/47 (500 bp) — Monthly 19,015
CMBX NA BB.9 Index (24,894) 639,000 254,578 9/17/58 (500 bp) — Monthly 229,063
CMBX NA BBB-.7 Index (11,964) 146,000 26,397 1/17/47 (300 bp) — Monthly 14,347
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (22,314) 219,000 39,595 1/17/47 (300 bp) — Monthly 17,154
CMBX NA BB.10 Index (7,971) 76,000 35,051 11/17/59 (500 bp) — Monthly 27,007
CMBX NA BB.11 Index (16,204) 165,000 79,233 11/18/54 (500 bp) — Monthly 62,868
CMBX NA BB.11 Index (3,240) 34,000 16,327 11/18/54 (500 bp) — Monthly 13,054
CMBX NA BB.12 Index (5,505) 77,000 37,853 8/17/61 (500 bp) — Monthly 32,273
CMBX NA BB.12 Index (3,359) 46,000 22,614 8/17/61 (500 bp) — Monthly 19,210
CMBX NA BB.12 Index (2,399) 34,000 16,714 8/17/61 (500 bp) — Monthly 14,283
CMBX NA BB.12 Index (2,124) 26,000 12,782 9/17/58 (500 bp) — Monthly 10,633
CMBX NA BB.9 Index (12,321) 164,000 65,338 9/17/58 (500 bp) — Monthly 52,857
CMBX NA BB.9 Index (7,904) 130,000 51,792 9/17/58 (500 bp) — Monthly 43,762
CMBX NA BB.9 Index (7,996) 130,000 51,792 9/17/58 (500 bp) — Monthly 43,670
CMBX NA BB.9 Index (6,278) 102,000 40,637 9/17/58 (500 bp) — Monthly 34,259
CMBX NA BB.9 Index (3,537) 88,000 35,059 9/17/58 (500 bp) — Monthly 31,436
CMBX NA BB.9 Index (6,418) 73,000 29,083 9/17/58 (500 bp) — Monthly 22,594
CMBX NA BB.9 Index (6,158) 72,000 28,685 9/17/58 (500 bp) — Monthly 22,457
CMBX NA BB.9 Index (7,275) 60,000 23,904 9/17/58 (500 bp) — Monthly 16,571
CMBX NA BB.9 Index (2,825) 57,000 22,709 9/17/58 (500 bp) — Monthly 19,828
CMBX NA BB.9 Index (2,970) 55,000 21,912 9/17/58 (500 bp) — Monthly 18,889
CMBX NA BB.9 Index (3,638) 30,000 11,952 9/17/58 (500 bp) — Monthly 8,285
CMBX NA BB.9 Index (977) 25,000 9,960 9/17/58 (500 bp) — Monthly 8,958
CMBX NA BB.9 Index (3,158) 21,000 8,366 9/17/58 (500 bp) — Monthly 5,188
Upfront premium received — Unrealized appreciation 3,238,222
Upfront premium (paid) (1,106,213) Unrealized (depreciation) —
Total $(1,106,213) Total $3,238,222
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.











Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
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.
GMTN Global Medium Term Notes
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
MTN Medium Term Notes
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from 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 $247,924,831.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
12/31/19		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
3/31/20
Short-term investments
Putnam Short Term Investment Fund* $60,131,306 $14,916,061 $21,475,114 $233,251 $53,572,253
Total Short-term investments $60,131,306 $14,916,061 $21,475,114 $233,251 $53,572,253
* 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 $1,474,954.
(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 $8,573,632.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $220,942.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,006,658.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $136,364,612 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.
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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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.
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 and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
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 and for gaining exposure to specific sectors
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, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $8,087,084 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $8,573,632 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $5,209,845 $—
Corporate bonds and notes — 63,138,657 —
Mortgage-backed securities — 84,479,721 —
Purchased options outstanding — 568,089 —
Purchased swap options outstanding — 8,375,701 —
U.S. government and agency mortgage obligations — 197,852,464 —
U.S. treasury obligations — 170,130 —
Short-term investments 59,012,253 16,196,000 —
Totals by level $59,012,253 $375,990,607 $—
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $2,628,535 $— $—
Written options outstanding — (99,935) —
Written swap options outstanding — (10,965,607) —
Forward premium swap option contracts — 3,876,333 —
TBA sale commitments — (100,692,965) —
Interest rate swap contracts — (3,522,071) —
Total return swap contracts — (285,100) —
Credit default contracts — (4,722,261) —
Totals by level $2,628,535 $(116,411,606) $—
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $59,300,000
Purchased swap option contracts (contract amount) $514,800,000
Written TBA commitment option contracts (contract amount) $59,300,000
Written swap option contracts (contract amount) $354,000,000
Futures contracts (number of contracts) 700
Centrally cleared interest rate swap contracts (notional) $597,900,000
OTC total return swap contracts (notional) $22,500,000
OTC credit default contracts (notional) $59,200,000

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