0000928816-19-000912.txt : 20190529 0000928816-19-000912.hdr.sgml : 20190529 20190529104345 ACCESSION NUMBER: 0000928816-19-000912 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190529 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM VARIABLE TRUST CENTRAL INDEX KEY: 0000822671 IRS NUMBER: 046649095 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-05346 FILM NUMBER: 19860268 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002551581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM CAPITAL MANAGER TRUST /MA/ DATE OF NAME CHANGE: 19920703 0000822671 S000003876 Putnam VT Income Fund C000010847 Class IA Shares C000010848 Class IB Shares ACCESSION NUMBER: 0000869392-19-000411 NPORT-EX 1 b_068nportex.htm PUTNAM VARIABLE TRUST

Putnam VT Income Fund
The fund's portfolio
3/31/19 (Unaudited)



MORTGAGE-BACKED SECURITIES (37.3%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (16.0%)
Bellemeade Re, Ltd. 144A
FRB Ser. 17-1, Class M1, (1 Month US LIBOR + 1.70%), 4.186%, 10/25/27 (Bermuda) $380,603 $388,976
FRB Ser. 18-2A, Class M1B, (1 Month US LIBOR + 1.35%), 3.836%, 8/25/28 (Bermuda) 452,000 452,678
Eagle RE, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.70%), 4.186%, 11/25/28 630,000 635,709
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 15.799%, 4/15/37 179,450 267,254
IFB Ser. 2976, Class LC, ((-3.667 x 1 Month US LIBOR) + 24.42%), 15.313%, 5/15/35 28,879 39,631
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 14.69%, 11/15/35 131,877 191,512
IFB Ser. 3065, Class DC, ((-3 x 1 Month US LIBOR) + 19.86%), 12.409%, 3/15/35 227,440 289,804
IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 10.597%, 6/15/34 125,286 143,389
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 7.636%, 11/25/28 586,000 682,528
Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class M3, (1 Month US LIBOR + 4.15%), 6.636%, 1/25/25 1,614,227 1,722,924
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%), 5.336%, 4/25/28 1,924,845 1,971,403
Ser. 4601, Class PI, IO, 4.50%, 12/15/45 1,353,630 229,278
Ser. 4132, Class IP, IO, 4.50%, 11/15/42 1,005,672 133,855
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 461,084 84,948
Ser. 4018, Class DI, IO, 4.50%, 7/15/41 451,447 54,446
Ser. 3707, Class PI, IO, 4.50%, 7/15/25 175,548 7,276
IFB Ser. 4074, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.70%), 4.216%, 2/15/41 1,202,621 166,864
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,627,742 264,508
Ser. 4500, Class GI, IO, 4.00%, 8/15/45 1,065,442 195,605
IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), 3.516%, 5/15/41 309,057 300,740
Ser. 4165, Class AI, IO, 3.50%, 2/15/43 1,489,836 255,790
Ser. 4663, Class KI, IO, 3.50%, 11/15/42 2,663,292 226,167
Ser. 4182, Class GI, IO, 3.00%, 1/15/43 2,112,307 118,206
Ser. 4141, Class PI, IO, 3.00%, 12/15/42 1,209,179 122,611
Ser. 4158, Class TI, IO, 3.00%, 12/15/42 2,884,627 261,636
Ser. 4176, Class DI, IO, 3.00%, 12/15/42 2,602,050 234,315
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,095,302 84,338
Ser. 4206, Class IP, IO, 3.00%, 12/15/41 1,119,995 91,236
Ser. 315, PO, zero %, 9/15/43 2,004,741 1,647,444
Ser. 3835, Class FO, PO, zero %, 4/15/41 936,074 803,882
Ser. 3369, Class BO, PO, zero %, 9/15/37 5,052 4,274
Ser. 3391, PO, zero %, 4/15/37 29,819 25,519
Ser. 3300, PO, zero %, 2/15/37 41,640 35,606
Ser. 3175, Class MO, PO, zero %, 6/15/36 8,198 6,996
Ser. 3210, PO, zero %, 5/15/36 11,795 10,910
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 5,589 4,189
FRB Ser. 3117, Class AF, (1 Month US LIBOR + 0.00%), zero %, 2/15/36 6,868 5,289
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 24.987%, 7/25/36 109,229 180,937
IFB Ser. 06-8, Class HP, ((-3.667 x 1 Month US LIBOR) + 24.57%), 15.453%, 3/25/36 154,633 235,587
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 15.086%, 6/25/37 108,098 154,915
IFB Ser. 05-122, Class SE, ((-3.5 x 1 Month US LIBOR) + 23.10%), 14.401%, 11/25/35 178,966 229,954
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 12.794%, 8/25/35 96,439 122,054
IFB Ser. 05-106, Class JC, ((-3.101 x 1 Month US LIBOR) + 20.12%), 12.417%, 12/25/35 112,610 142,362
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 10.932%, 11/25/34 27,811 31,691
IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 7.929%, 5/25/40 158,060 180,868
Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 2,144,590 363,915
Ser. 15-3, Class BI, IO, 4.00%, 3/25/44 1,000,310 117,543
Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 3,052,640 526,541
Ser. 12-118, Class PI, IO, 4.00%, 6/25/42 1,059,036 170,535
Ser. 12-62, Class EI, IO, 4.00%, 4/25/41 1,508,943 180,715
Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 1,097,989 129,944
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 3.915%, 4/25/40 732,050 128,109
IFB Ser. 19-3, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.615%, 2/25/49 5,660,956 863,069
IFB Ser. 18-94, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.615%, 1/25/49 3,260,076 522,633
Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 936,430 115,421
Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 962,393 91,191
Ser. 12-144, Class KI, IO, 3.00%, 11/25/42 3,154,575 264,593
Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 1,359,990 89,392
Ser. 13-67, Class IP, IO, 3.00%, 2/25/42 1,651,695 95,541
Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 801,583 37,618
Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 918,517 42,461
Ser. 14-28, Class AI, IO, 3.00%, 3/25/40 2,295,368 173,702
Ser. 07-64, Class LO, PO, zero %, 7/25/37 9,973 9,070
Ser. 372, Class 1, PO, zero %, 8/25/36 20,266 17,974
Government National Mortgage Association
Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 974,211 181,369
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 836,508 178,636
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 92,396 12,045
Ser. 15-35, Class AI, IO, 5.00%, 3/16/45 1,241,354 263,400
Ser. 14-180, IO, 5.00%, 12/20/44 2,545,711 540,964
Ser. 14-76, IO, 5.00%, 5/20/44 730,063 149,958
Ser. 14-25, Class QI, IO, 5.00%, 1/20/44 1,053,107 204,398
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 602,766 130,077
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 26,820 1,771
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 390,077 81,964
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 3,093,129 665,332
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,614,444 345,088
Ser. 17-132, Class IA, IO, 4.50%, 9/20/47 1,196,465 230,319
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 396,082 45,177
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 328,689 44,143
Ser. 12-129, IO, 4.50%, 11/16/42 734,757 160,846
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 619,058 121,304
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 615,902 119,547
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 707,644 158,335
Ser. 13-34, Class PI, IO, 4.50%, 8/20/39 959,753 74,947
Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 1,676,109 278,653
Ser. 15-94, IO, 4.00%, 7/20/45 301,662 60,302
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 402,586 53,055
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,624,308 323,562
Ser. 17-45, Class IM, IO, 4.00%, 10/20/44 1,543,164 189,038
Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 1,864,930 341,208
Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 792,790 104,847
Ser. 15-52, Class IE, IO, 4.00%, 1/16/43 840,218 124,225
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,282,170 237,066
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 4,198,494 814,760
Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 797,899 115,914
Ser. 14-4, Class IK, IO, 4.00%, 7/20/39 860,011 61,080
Ser. 14-162, Class DI, IO, 4.00%, 11/20/38 519,748 16,073
IFB Ser. 12-149, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 3.712%, 12/20/42 3,189,720 513,960
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.662%, 9/20/43 457,149 73,286
IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 3.562%, 2/20/41 1,862,424 283,103
Ser. 16-111, Class IP, IO, 3.50%, 8/20/46 2,669,071 223,134
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 966,628 133,791
Ser. 15-69, Class XI, IO, 3.50%, 5/20/45 1,255,128 126,893
Ser. 16-136, Class YI, IO, 3.50%, 3/20/45 1,882,082 192,913
Ser. 17-6, Class DI, IO, 3.50%, 1/20/44 1,522,642 108,160
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 768,954 116,904
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 911,382 136,170
Ser. 12-136, IO, 3.50%, 11/20/42 1,459,584 254,867
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,084,640 192,696
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 2,426,329 211,503
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,562,642 170,015
Ser. 15-26, Class AI, IO, 3.50%, 5/20/39 2,072,741 151,517
Ser. 14-100, Class JI, IO, 3.50%, 7/16/29 1,891,432 172,636
Ser. 13-23, Class IK, IO, 3.00%, 9/20/37 720,805 54,997
Ser. 14-46, Class KI, IO, 3.00%, 6/20/36 622,431 34,234
Ser. 17-H08, Class NI, IO, 2.633%, 3/20/67(WAC) 3,905,211 430,354
Ser. 16-H27, Class BI, IO, 2.267%, 12/20/66(WAC) 1,723,727 193,488
Ser. 16-H23, Class NI, IO, 2.233%, 10/20/66(WAC) 6,951,418 773,693
Ser. 17-H18, Class CI, IO, 2.212%, 9/20/67(WAC) 2,748,929 412,339
Ser. 19-H02, Class DI, IO, 2.204%, 11/20/68(WAC) 4,430,457 564,883
Ser. 16-H24, Class JI, IO, 2.175%, 11/20/66(WAC) 1,410,052 170,969
Ser. 17-H12, Class QI, IO, 2.151%, 5/20/67(WAC) 3,386,964 374,730
Ser. 16-H11, Class HI, IO, 2.09%, 1/20/66(WAC) 3,329,663 299,670
Ser. 15-H15, Class JI, IO, 1.978%, 6/20/65(WAC) 1,820,806 173,887
Ser. 16-H06, Class AI, IO, 1.97%, 2/20/66 3,497,946 305,689
FRB Ser. 15-H16, Class XI, IO, 1.934%, 7/20/65(WAC) 1,639,424 164,926
Ser. 15-H25, Class CI, IO, 1.933%, 10/20/65(WAC) 2,397,052 212,379
Ser. 17-H09, Class DI, IO, 1.912%, 3/20/67(WAC) 3,734,548 338,798
Ser. 15-H12, Class AI, IO, 1.869%, 5/20/65(WAC) 2,932,802 242,446
Ser. 16-H02, Class HI, IO, 1.866%, 1/20/66(WAC) 7,545,778 608,190
Ser. 15-H20, Class AI, IO, 1.848%, 8/20/65(WAC) 1,474,507 129,904
Ser. 15-H04, Class AI, IO, 1.833%, 12/20/64(WAC) 3,542,990 287,868
Ser. 15-H10, Class CI, IO, 1.827%, 4/20/65(WAC) 1,742,328 150,900
Ser. 15-H12, Class GI, IO, 1.812%, 5/20/65(WAC) 3,392,413 291,069
Ser. 17-H10, Class MI, IO, 1.801%, 4/20/67(WAC) 3,811,814 363,266
Ser. 15-H13, Class AI, IO, 1.774%, 6/20/65(WAC) 4,314,189 404,455
Ser. 16-H04, Class KI, IO, 1.761%, 2/20/66(WAC) 3,183,527 238,765
Ser. 15-H12, Class EI, IO, 1.715%, 4/20/65(WAC) 3,665,238 292,486
Ser. 15-H09, Class BI, IO, 1.711%, 3/20/65(WAC) 2,162,657 164,005
Ser. 16-H14, IO, 1.693%, 6/20/66(WAC) 4,262,652 277,942
Ser. 15-H01, Class CI, IO, 1.647%, 12/20/64(WAC) 2,616,465 122,461
Ser. 15-H22, Class EI, IO, 1.628%, 8/20/65(WAC) 1,392,760 70,474
Ser. 15-H25, Class AI, IO, 1.627%, 9/20/65(WAC) 3,006,661 231,212
Ser. 15-H17, Class CI, IO, 1.616%, 6/20/65(WAC) 2,741,485 122,813
Ser. 15-H28, Class DI, IO, 1.567%, 8/20/65(WAC) 2,930,619 190,619
Ser. 14-H08, Class CI, IO, 1.506%, 3/20/64(WAC) 3,523,789 161,989
Ser. 17-H14, Class EI, IO, 1.493%, 6/20/67(WAC) 5,016,541 438,947
Ser. 14-H11, Class GI, IO, 1.483%, 6/20/64(WAC) 6,265,018 425,357
Ser. 14-H07, Class BI, IO, 1.48%, 5/20/64(WAC) 5,808,817 442,922
Ser. 10-H19, Class GI, IO, 1.439%, 8/20/60(WAC) 3,965,904 215,674
Ser. 10-151, Class KO, PO, zero %, 6/16/37 102,498 86,727
Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,646 2,213
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.60%), 4.086%, 10/25/28 (Bermuda) 247,000 249,084
37,587,846
Commercial mortgage-backed securities (12.7%)
Banc of America Commercial Mortgage Trust
FRB Ser. 05-1, Class B, 5.507%, 11/10/42(WAC) 430,149 389,018
FRB Ser. 07-1, Class XW, IO, zero %, 1/15/49(WAC) 828,739 695
Banc of America Commercial Mortgage Trust 144A
FRB Ser. 04-4, Class XC, IO, 0.328%, 7/10/42(WAC) 35,438 1
FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 1,570,067 16
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
FRB Ser. 04-5, Class XC, IO, 0.445%, 11/10/41(WAC) 641,759 931
FRB Ser. 05-1, Class XW, IO, zero %, 11/10/42(WAC) 8,021,945 80
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.46%, 1/12/45(WAC) 534,000 475,260
FRB Ser. 04-PR3I, Class X1, IO, zero %, 2/11/41(WAC) 9,843 —
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.251%, 3/11/39(WAC) 1,126,719 799,802
FRB Ser. 06-PW14, Class X1, IO, 0.269%, 12/11/38(WAC) 214,120 2,197
CD Commercial Mortgage Trust FRB Ser. 16-CD1, Class XA, IO, 1.422%, 8/10/49(WAC) 2,995,477 249,553
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD4, Class XW, IO, 0.614%, 12/11/49(WAC) 59,735 6
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class D, 5.757%, 12/15/47(WAC) 131,000 136,202
FRB Ser. 11-C2, Class E, 5.757%, 12/15/47(WAC) 597,000 590,792
Citigroup Commercial Mortgage Trust
FRB Ser. 14-GC19, Class XA, IO, 1.164%, 3/10/47(WAC) 10,110,891 482,734
FRB Ser. 13-GC17, Class XA, IO, 1.047%, 11/10/46(WAC) 3,818,633 155,827
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class XA, IO, 1.789%, 9/10/45(WAC) 3,414,451 158,806
COMM Mortgage Trust
FRB Ser. 14-CR17, Class C, 4.762%, 5/10/47(WAC) 795,000 821,461
FRB Ser. 14-UBS6, Class C, 4.459%, 12/10/47(WAC) 154,000 153,570
FRB Ser. 14-LC15, Class XA, IO, 1.234%, 4/10/47(WAC) 5,835,242 263,169
FRB Ser. 14-CR19, Class XA, IO, 1.165%, 8/10/47(WAC) 8,965,186 329,781
FRB Ser. 13-CR11, Class XA, IO, 0.953%, 8/10/50(WAC) 8,305,850 304,094
FRB Ser. 15-CR23, Class XA, IO, 0.95%, 5/10/48(WAC) 5,765,367 211,759
FRB Ser. 14-UBS6, Class XA, IO, 0.944%, 12/10/47(WAC) 9,199,978 351,310
COMM Mortgage Trust 144A
FRB Ser. 12-CR1, Class D, 5.321%, 5/15/45(WAC) 215,000 214,630
FRB Ser. 12-LC4, Class XA, IO, 2.107%, 12/10/44(WAC) 4,084,446 195,482
FRB Ser. 06-C8, Class XS, IO, 0.452%, 12/10/46(WAC) 1,330,631 51
Credit Suisse Commercial Mortgage Trust 144A
FRB Ser. 07-C4, Class C, 5.806%, 9/15/39(WAC) 41,460 41,460
FRB Ser. 07-C2, Class AX, IO, 0.014%, 1/15/49(WAC) 3,434,585 9
CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C, 4.296%, 4/15/50(WAC) 223,000 225,701
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.796%, 4/15/50(WAC) 439,000 396,404
CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.795%, 12/15/49(WAC) 7,628,720 315,294
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.339%, 8/10/44(WAC) 386,000 399,592
GE Commercial Mortgage Corp. Trust 144A FRB Ser. 07-C1, Class XC, IO, 0.004%, 12/10/49(WAC) 10,325,200 7,359
GS Mortgage Securities Trust
FRB Ser. 14-GC18, Class C, 4.996%, 1/10/47(WAC) 295,000 300,399
FRB Ser. 13-GC10, Class XA, IO, 1.516%, 2/10/46(WAC) 6,430,251 365,110
FRB Ser. 13-GC12, Class XA, IO, 1.429%, 6/10/46(WAC) 3,863,534 184,584
FRB Ser. 14-GC18, Class XA, IO, 1.029%, 1/10/47(WAC) 5,599,487 226,779
FRB Ser. 14-GC22, Class XA, IO, 0.989%, 6/10/47(WAC) 16,737,688 600,883
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 6.052%, 8/10/43(WAC) 511,000 516,114
FRB Ser. 12-GC6, Class D, 5.652%, 1/10/45(WAC) 27,000 27,570
FRB Ser. 14-GC24, Class D, 4.53%, 9/10/47(WAC) 575,000 515,651
FRB Ser. 13-GC10, Class E, 4.398%, 2/10/46(WAC) 538,000 443,676
FRB Ser. 11-GC5, Class XA, IO, 1.337%, 8/10/44(WAC) 5,767,719 139,019
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 14-C25, Class XA, IO, 0.936%, 11/15/47(WAC) 3,853,828 137,023
FRB Ser. 14-C22, Class XA, IO, 0.864%, 9/15/47(WAC) 11,235,965 415,012
FRB Ser. 13-C17, Class XA, IO, 0.772%, 1/15/47(WAC) 5,433,679 168,444
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 13-C14, Class E, 4.564%, 8/15/46(WAC) 441,000 373,680
FRB Ser. C14, Class D, 4.564%, 8/15/46(WAC) 915,000 848,004
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 517,000 342,683
JPMorgan Chase Commercial Mortgage Securities Corp. FRB Ser. 12-LC9, Class XA, IO, 1.519%, 12/15/47(WAC) 4,519,285 225,422
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 16-JP2, Class XA, IO, 1.84%, 8/15/49(WAC) 2,509,894 264,317
FRB Ser. 13-LC11, Class XA, IO, 1.269%, 4/15/46(WAC) 4,302,625 193,618
FRB Ser. 13-C16, Class XA, IO, 0.945%, 12/15/46(WAC) 5,147,665 186,751
FRB Ser. 06-LDP8, Class X, IO, 0.285%, 5/15/45(WAC) 542,490 641
FRB Ser. 07-LDPX, Class X, IO, 0.007%, 1/15/49(WAC) 2,960,379 30
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.106%, 2/12/51(WAC) 350,000 349,125
FRB Ser. 11-C3, Class F, 5.662%, 2/15/46(WAC) 635,000 629,307
FRB Ser. 12-C6, Class E, 5.157%, 5/15/45(WAC) 588,000 540,196
FRB Ser. 12-C8, Class D, 4.653%, 10/15/45(WAC) 413,000 410,119
FRB Ser. 12-LC9, Class D, 4.383%, 12/15/47(WAC) 127,000 128,428
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 498,000 403,366
FRB Ser. 05-CB12, Class X1, IO, 0.502%, 9/12/37(WAC) 495,632 1,894
FRB Ser. 06-LDP6, Class X1, IO, zero %, 4/15/43(WAC) 504,424 5
LB-UBS Commercial Mortgage Trust FRB Ser. 07-C2, Class XW, IO, 0.33%, 2/15/40(WAC) 83,591 14
LB-UBS Commercial Mortgage Trust 144A
FRB Ser. 07-C2, Class XCL, IO, 0.33%, 2/15/40(WAC) 1,811,129 293
FRB Ser. 05-C7, Class XCL, IO, 0.319%, 11/15/40(WAC) 883,451 978
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.128%, 4/20/48(WAC) 435,000 399,408
Merrill Lynch Mortgage Trust 144A
FRB Ser. 04-KEY2, Class XC, IO, 0.892%, 8/12/39(WAC) 110,341 6
FRB Ser. 05-MCP1, Class XC, IO, 0.001%, 6/12/43(WAC) 471,266 13
Mezz Cap Commercial Mortgage Trust 144A
FRB Ser. 05-C3, Class X, IO, 5.893%, 5/15/44(WAC) 5,150 568
FRB Ser. 06-C4, Class X, IO, 5.423%, 7/15/45(WAC) 34,802 864
ML-CFC Commercial Mortgage Trust 144A FRB Ser. 06-4, Class XC, IO, 0.242%, 12/12/49(WAC) 1,069,883 8,370
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 13-C7, Class XA, IO, 1.353%, 2/15/46(WAC) 8,274,307 346,826
FRB Ser. 14-C17, Class XA, IO, 1.189%, 8/15/47(WAC) 4,800,127 210,764
FRB Ser. 15-C25, Class XA, IO, 1.114%, 10/15/48(WAC) 4,592,352 245,840
FRB Ser. 15-C26, Class XA, IO, 1.035%, 10/15/48(WAC) 4,775,922 248,110
FRB Ser. 13-C12, Class XA, IO, 0.616%, 10/15/46(WAC) 11,302,807 260,807
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.365%, 8/15/46(WAC) 319,000 167,475
FRB Ser. 13-C10, Class E, 4.085%, 7/15/46(WAC) 893,000 757,841
Ser. 14-C17, Class E, 3.50%, 8/15/47 290,000 218,521
FRB Ser. 13-C13, Class XB, IO, 0.152%, 11/15/46(WAC) 55,988,000 335,928
Morgan Stanley Capital I Trust
FRB Ser. 16-BNK2, Class XA, IO, 1.09%, 11/15/49(WAC) 3,997,629 274,357
FRB Ser. 16-UB12, Class XA, IO, 0.797%, 12/15/49(WAC) 6,079,622 258,384
Morgan Stanley Capital I Trust 144A
FRB Ser. 08-T29, Class F, 5.745%, 1/11/43(WAC) 187,437 187,905
FRB Ser. 11-C3, Class E, 5.155%, 7/15/49(WAC) 252,000 252,766
FRB Ser. 12-C4, Class XA, IO, 2.083%, 3/15/45(WAC) 1,891,188 91,583
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 859,373 61,961
UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.068%, 12/15/50(WAC) 5,346,838 365,806
UBS Commercial Mortgage Trust 144A FRB Ser. 12-C1, Class XA, IO, 2.065%, 5/10/45(WAC) 3,842,954 192,906
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 4.893%, 5/10/63(WAC) 629,000 438,793
FRB Ser. 12-C2, Class E, 4.893%, 5/10/63(WAC) 816,000 708,696
Ser. 13-C6, Class E, 3.50%, 4/10/46 421,000 321,562
FRB Ser. 12-C2, Class XA, IO, 1.323%, 5/10/63(WAC) 10,399,535 377,726
FRB Ser. 13-C6, Class XA, IO, 1.128%, 4/10/46(WAC) 5,571,562 205,209
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 07-C34, IO, 0.091%, 5/15/46(WAC) 1,151,838 250
FRB Ser. 06-C29, IO, 0.051%, 11/15/48(WAC) 821,503 33
Wells Fargo Commercial Mortgage Trust
FRB Ser. 14-LC16, Class XA, IO, 1.32%, 8/15/50(WAC) 8,810,989 361,251
FRB Ser. 15-LC20, Class XB, IO, 0.474%, 4/15/50(WAC) 13,766,000 368,791
Wells Fargo Commercial Mortgage Trust 144A Ser. 14-LC16, Class D, 3.938%, 8/15/50 247,000 201,924
WF-RBS Commercial Mortgage Trust
FRB Ser. 14-C24, Class XA, IO, 0.87%, 11/15/47(WAC) 6,990,723 249,045
FRB Ser. 14-C22, Class XA, IO, 0.845%, 9/15/57(WAC) 17,439,546 618,214
FRB Ser. 13-C14, Class XA, IO, 0.739%, 6/15/46(WAC) 18,455,296 479,838
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class E, 5.232%, 6/15/44(WAC) 92,000 88,916
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 402,000 303,984
FRB Ser. 12-C7, Class D, 4.822%, 6/15/45(WAC) 231,000 218,360
Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 645,000 442,410
FRB Ser. 13-C15, Class D, 4.472%, 8/15/46(WAC) 919,000 721,580
FRB Ser. 12-C10, Class D, 4.442%, 12/15/45(WAC) 1,274,000 1,132,666
Ser. 13-C12, Class E, 3.50%, 3/15/48 164,000 134,230
FRB Ser. 12-C9, Class XA, IO, 1.882%, 11/15/45(WAC) 4,269,743 249,780
FRB Ser. 11-C5, Class XA, IO, 1.734%, 11/15/44(WAC) 4,139,849 139,182
FRB Ser. 12-C10, Class XA, IO, 1.562%, 12/15/45(WAC) 6,672,502 322,175
FRB Ser. 13-C11, Class XA, IO, 1.207%, 3/15/45(WAC) 6,071,379 229,970
FRB Ser. 12-C9, Class XB, IO, 0.685%, 11/15/45(WAC) 8,807,000 201,680
30,015,455
Residential mortgage-backed securities (non-agency) (8.6%)
BCAP, LLC Trust 144A FRB Ser. 15-RR5, Class 2A2, 3.402%, 1/26/46(WAC) 1,300,000 1,279,868
Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class M2, (1 Month US LIBOR + 3.35%), 5.836%, 10/25/27 (Bermuda) 1,530,000 1,569,648
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (1 Month US LIBOR + 0.24%), 2.726%, 6/25/36 210,000 194,250
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 04-3A, Class A2, (1 Month US LIBOR + 0.30%), 2.786%, 8/25/35 163,321 161,623
Countrywide Alternative Loan Trust FRB Ser. 07-OA6, Class A1A, (1 Month US LIBOR + 0.14%), 2.626%, 6/25/37 228,229 214,535
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (1 Month US LIBOR + 6.35%), 8.836%, 9/25/28 1,155,080 1,377,912
FRB Ser. 16-DNA3, Class M3, (1 Month US LIBOR + 5.00%), 7.486%, 12/25/28 710,000 804,598
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, (1 Month US LIBOR + 4.25%), 6.736%, 11/25/23 282,571 308,522
Structured Agency Credit Risk Debt FRN Ser. 14-DN2, Class M3, (1 Month US LIBOR + 3.60%), 6.086%, 4/25/24 310,000 333,996
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (1 Month US LIBOR + 3.55%), 6.036%, 8/25/29 401,000 431,036
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.786%, 9/25/30 200,000 199,596
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class M2, (1 Month US LIBOR + 1.80%), 4.286%, 7/25/30 354,000 346,577
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Debt FRN Ser. 19-DNA2, Class B1, (1 Month US LIBOR + 4.35%), 6.837%, 3/25/49 90,000 90,045
Structured Agency Credit Risk Debt FRN Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 6.186%, 12/25/30 310,000 305,196
Structured Agency Credit Risk Trust FRN Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 5.136%, 1/25/49 200,000 202,479
Structured Agency Credit Risk Debt FRN Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 4.937%, 3/25/49 1,000,000 1,004,770
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 8.386%, 10/25/28 1,637,053 1,851,243
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 8.036%, 4/25/28 161,216 179,647
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (1 Month US LIBOR + 5.30%), 7.786%, 10/25/28 1,464,000 1,670,189
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.736%, 4/25/29 69,000 76,411
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 6.036%, 7/25/29 1,115,000 1,197,412
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 5.286%, 2/25/30 110,000 113,160
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 5.036%, 12/25/30 570,000 573,808
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1M2, (1 Month US LIBOR + 2.35%), 4.836%, 1/25/31 395,000 395,903
Federal National Mortgage Association 144A Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.936%, 7/25/31 250,000 250,918
FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) 77,731 8
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 250,000 243,300
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.316%, 8/26/47(WAC) 180,000 176,213
NovaStar Mortgage Funding Trust FRB Ser. 04-2, Class M4, (1 Month US LIBOR + 1.80%), 4.286%, 9/25/34 350,886 346,737
Oaktown Re, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 5.336%, 7/25/28 (Bermuda) 200,000 200,688
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 5.186%, 3/25/28 (Bermuda) 200,000 204,700
Structured Asset Investment Loan Trust FRB Ser. 04-10, Class A10, (1 Month US LIBOR + 0.90%), 3.386%, 11/25/34 317,959 317,807
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 06-AM1, Class A4, (1 Month US LIBOR + 0.16%), 2.646%, 4/25/36 189,583 189,212
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR1, Class A2B, (1 Month US LIBOR + 0.80%), 3.286%, 1/25/45 149,511 144,663
FRB Ser. 05-AR13, Class A1C4, (1 Month US LIBOR + 0.43%), 2.916%, 10/25/45 2,135,378 2,103,828
FRB Ser. 05-AR17, Class A1B2, (1 Month US LIBOR + 0.41%), 2.896%, 12/25/45 1,195,891 1,148,773
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 05-AR16, Class 6A4, 4.532%, 10/25/35(WAC) 90,696 89,553
20,298,824
Total mortgage-backed securities (cost $90,043,532) $87,902,125









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (35.4%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (10.9%)
Government National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 5/20/48 to 6/20/48 $2,479,511 $2,596,408
4.70%, with due dates from 5/20/67 to 8/20/67 323,837 353,253
4.627%, 6/20/67 101,762 110,539
4.508%, 3/20/67 97,433 105,106
4.50%, TBA, 4/1/49 5,000,000 5,191,797
4.50%, with due dates from 5/20/48 to 5/20/48 679,265 719,438
4.00%, TBA, 4/1/49 4,000,000 4,130,000
4.00%, with due dates from 2/20/48 to 5/20/48 1,868,880 1,931,501
3.50%, TBA, 4/1/49 5,000,000 5,107,813
3.50%, with due dates from 2/20/47 to 1/20/48 4,310,219 4,415,348
3.00%, TBA, 4/1/49 1,000,000 1,004,297
25,665,500
U.S. Government Agency Mortgage Obligations (24.5%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
4.50%, with due dates from 7/1/44 to 3/1/45 776,004 821,200
4.00%, 9/1/45 1,190,414 1,236,566
3.50%, with due dates from 8/1/43 to 2/1/47 5,310,453 5,428,891
3.00%, with due dates from 3/1/43 to 6/1/46 1,312,081 1,310,984
Federal National Mortgage Association Pass-Through Certificates
6.00%, TBA, 4/1/49 2,000,000 2,157,344
5.50%, TBA, 4/1/49 2,000,000 2,134,062
5.00%, 3/1/38 11,950 12,902
4.50%, TBA, 4/1/49 1,000,000 1,041,875
4.50%, with due dates from 7/1/44 to 5/1/45 1,350,370 1,424,018
4.00%, TBA, 4/1/49 11,000,000 11,312,813
4.00%, with due dates from 9/1/45 to 6/1/46 1,823,685 1,891,926
3.50%, TBA, 5/1/49 3,000,000 3,038,086
3.50%, TBA, 4/1/49 6,000,000 6,080,625
3.50%, with due dates from 7/1/43 to 9/1/57 10,239,843 10,402,915
3.50%, 9/1/37(i) 728,422 742,928
3.00%, TBA, 5/1/49 2,000,000 1,988,750
3.00%, TBA, 4/1/49 2,000,000 1,990,781
3.00%, with due dates from 9/1/42 to 3/1/47 4,914,585 4,908,766
57,925,432
Total U.S. government and agency mortgage obligations (cost $83,608,137) $83,590,932









CORPORATE BONDS AND NOTES (29.7%)(a)
        Principal amount Value
Basic materials (1.3%)
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.875%, 6/15/21 (Germany) $100,000 $104,968
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 50,000 51,469
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 626,000 633,750
Georgia-Pacific, LLC 144A company guaranty sr. unsec. notes 5.40%, 11/1/20 110,000 114,346
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) 7,000 7,310
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 7,000 7,221
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 127,000 127,424
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 369,000 387,474
International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 95,000 91,451
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 46,000 48,669
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 568,000 584,884
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 257,000 252,479
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 50,000 49,697
Westlake Chemical Corp. company guaranty sr. unsec. unsub. bonds 4.375%, 11/15/47 33,000 29,230
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 191,000 184,829
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 105,000 137,217
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 39,000 50,841
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 133,000 175,592
3,038,851
Capital goods (0.7%)
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 135,000 129,430
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 233,000 237,122
L3 Technologies, Inc. company guaranty sr. unsec. notes 4.40%, 6/15/28 149,000 156,348
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 411,000 404,137
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 459,000 466,262
Republic Services, Inc. sr. unsec. notes 3.95%, 5/15/28 311,000 325,453
1,718,752
Communication services (3.0%)
American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27(R) 282,000 277,492
American Tower Corp. sr. unsec. unsub. bonds 3.375%, 10/15/26(R) 25,000 24,366
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 535,000 540,903
AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 1,415,000 1,445,523
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 235,000 229,639
AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25 235,000 232,536
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23 43,000 44,026
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 304,000 340,785
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 83,000 87,580
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47 261,000 260,058
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 171,000 166,363
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 30,000 37,901
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 380,000 378,075
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 165,000 161,437
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) 351,000 348,886
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 166,000 163,232
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 43,000 45,314
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R) 54,000 53,344
Crown Castle International Corp. sr. unsec. notes 3.15%, 7/15/23(R) 50,000 49,946
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 293,000 307,738
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 95,000 99,419
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 300,000 299,911
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) 208,000 202,684
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 85,000 88,425
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 120,000 126,904
Verizon Communications, Inc. sr. unsec. unsub. notes 2.625%, 8/15/26 300,000 286,093
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 287,000 292,740
Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 463,000 470,604
7,061,924
Consumer cyclicals (3.4%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 588,000 571,283
Amazon.com, Inc. sr. unsec. notes 4.05%, 8/22/47 150,000 158,833
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 217,000 218,462
Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 30,000 30,116
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 177,000 180,692
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 388,000 398,585
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21 176,000 178,252
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 2.80%, 4/11/26 360,000 345,301
CBS Corp. company guaranty sr. unsec. bonds 4.20%, 6/1/29 675,000 678,552
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 87,000 81,243
CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 235,000 224,145
CBS Corp. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 25,000 25,398
D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23 120,000 129,410
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 135,000 135,761
Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 180,000 180,921
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 250,000 232,042
Fox Corp. 144A company guaranty sr. unsec. notes 4.03%, 1/25/24 340,000 352,473
General Motors Co. sr. unsec. notes 4.875%, 10/2/23 130,000 135,194
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 135,000 129,317
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 37,000 36,792
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 50,000 49,906
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 210,000 212,362
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 230,000 240,350
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 249,000 258,960
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 106,000 105,470
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 517,000 538,231
Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 343,000 328,656
NVR, Inc. sr. unsec. notes 3.95%, 9/15/22 90,000 92,377
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 130,000 128,940
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 124,000 126,785
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 145,000 155,912
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 755,000 755,000
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 115,000 111,297
Walt Disney Co. (The) 144A company guaranty sr. unsec. bonds 7.75%, 12/1/45 217,000 345,963
Walt Disney Co. (The) 144A company guaranty sr. unsec. notes 7.75%, 1/20/24 61,000 73,943
Warner Media, LLC company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27 100,000 99,593
Warner Media, LLC company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 85,000 80,449
8,126,966
Consumer staples (1.1%)
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 365,000 366,078
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.95%, 1/15/42 34,000 34,172
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 535,000 516,275
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 24,047 26,070
CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32 214,612 255,118
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 114,515 118,234
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 40,000 39,333
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 88,000 112,890
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 147,000 166,411
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 23,000 23,358
Keurig Dr Pepper, Inc. 144A company guaranty sr. unsec. notes 4.597%, 5/25/28 419,000 436,574
Keurig Dr Pepper, Inc. 144A company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 105,000 108,806
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 129,000 130,774
Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26 3,000 2,936
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 205,000 206,776
2,543,805
Energy (2.4%)
Anadarko Petroleum Corp. sr. unsec. notes 7.20%, 3/15/29 91,000 105,839
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 387,000 386,122
BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 835,000 874,812
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 231,000 242,261
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 238,000 236,057
Devon Energy Corp. sr. unsec. unsub. notes 5.85%, 12/15/25 110,000 124,817
Energy Transfer Operating LP company guaranty sr. unsec. bonds 6.25%, 4/15/49 182,000 203,856
Energy Transfer Partners LP company guaranty sr. unsec. notes 5.875%, 1/15/24 301,000 328,558
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 499,000 474,374
Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 175,000 190,316
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 21,000 22,071
EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 500,000 529,337
EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 277,000 259,084
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 25,000 29,480
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 100,000 116,631
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 76,000 76,534
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 103,000 109,223
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 230,000 229,049
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 145,000 142,607
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 143,000 141,034
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 259,000 242,165
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 501,000 520,929
5,585,156
Financials (9.9%)
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 327,000 329,174
Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 245,000 230,533
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 150,000 159,767
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 434,000 521,886
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 264,000 249,358
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) 200,000 211,750
AXA SA 144A jr. unsec. sub. FRN 6.379%, perpetual maturity (France) 279,000 298,530
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) 400,000 403,118
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) 200,000 210,810
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 245,000 258,781
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 140,000 151,906
Bank of America Corp. unsec. sub. FRN (BBA LIBOR USD 3 Month + 0.76%), 3.371%, 9/15/26 100,000 93,415
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 300,000 355,067
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 161,000 155,687
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 246,000 260,437
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 45,000 46,063
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 517,000 519,864
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 74,000 79,293
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 225,000 228,798
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 22,000 23,593
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 163,000 171,421
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 100,000 104,875
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 838,000 891,674
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 484,000 481,916
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 53,000 54,915
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 1,066,000 1,095,247
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 70,000 72,450
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4.625%, 12/1/23 (Netherlands) 250,000 260,850
Credit Agricole SA 144A unsec.sub. FRN 4.00%, 1/10/33 (France) 400,000 386,067
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) 225,000 224,438
Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) 250,000 245,043
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) 589,000 614,932
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 910,000 906,815
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 25,000 25,798
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 94,000 90,006
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 235,000 247,397
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 1,469,000 1,501,295
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 475,000 476,853
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 356,000 433,530
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40 46,000 57,502
Hospitality Properties Trust sr. unsec. notes 4.375%, 2/15/30(R) 142,000 131,473
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 95,000 94,343
HSBC Holdings PLC jr. unsec. sub. FRB 6.375%, perpetual maturity (United Kingdom) 500,000 516,250
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 520,000 559,486
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 87,000 91,350
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 342,000 345,591
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 1,037,000 1,011,007
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 45,000 47,138
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. FRN (BBA LIBOR USD 3 Month + 2.91%), 5.516%, 3/15/37 220,000 208,450
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. notes 8.875%, 6/1/39 399,000 627,242
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 559,000 681,980
MetLife, Inc. jr. unsec. sub. notes 6.40%, 12/15/36 85,000 91,163
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 70,000 72,912
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) 200,000 206,929
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 760,000 783,392
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 75,000 67,297
OneAmerica Financial Partners, Inc. 144A sr. unsec. notes 7.00%, 10/15/33 515,000 628,685
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 100,000 101,395
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 66,000 68,805
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 232,000 234,320
Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 39,000 50,692
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 140,000 148,423
Royal Bank of Scotland Group PLC sr. unsec. unsub. FRB 4.892%, 5/18/29 (United Kingdom) 400,000 413,468
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 200,000 200,828
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 50,000 51,162
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan) 410,000 421,122
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 207,000 284,521
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 180,000 177,664
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 247,000 247,488
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 222,000 228,442
VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4.875%, 6/1/26(R) 20,000 20,797
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 115,000 122,475
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 860,000 1,123,506
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 145,000 151,826
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R) 171,000 177,610
23,520,086
Health care (2.8%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 145,000 145,325
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 37,000 37,333
Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 130,000 131,695
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 264,000 265,520
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 139,000 131,490
Anthem, Inc. sr. unsec. unsub. notes 4.625%, 5/15/42 29,000 29,930
Becton Dickinson and Co. (BD) sr. unsec. unsub. bonds 4.669%, 6/6/47 287,000 300,570
Becton Dickinson and Co. (BD) sr. unsec. unsub. bonds 3.70%, 6/6/27 246,000 245,053
Cigna Corp. 144A sr. unsub. notes 3.75%, 7/15/23 976,000 1,000,696
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 80,000 84,144
CVS Health Corp. sr. unsec. unsub. bonds 5.05%, 3/25/48 204,000 205,510
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 372,000 368,389
Elanco Animal Health, Inc. 144A sr. unsec. notes 4.90%, 8/28/28 1,013,000 1,075,435
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 81,000 86,789
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 109,000 115,884
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 95,000 100,718
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 160,000 158,399
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 265,000 275,408
Omega Healthcare Investors, Inc. company guaranty sr. unsec. bonds 5.25%, 1/15/26(R) 15,000 15,675
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 95,000 95,000
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 125,000 129,800
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 125,000 125,127
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 75,000 74,532
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 175,000 168,812
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 90,000 88,820
UnitedHealth Group, Inc. sr. unsec. notes 2.95%, 10/15/27 160,000 157,093
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 521,000 545,248
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 458,000 467,313
6,625,708
Technology (2.7%)
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 416,000 392,495
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 200,000 206,521
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 349,000 379,908
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 454,000 433,718
Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 120,000 116,815
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 155,000 166,710
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 56,000 67,591
Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 36,000 34,489
Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 319,000 327,979
Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 574,000 591,255
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 178,000 221,589
Microchip Technology, Inc. 144A company guaranty sr. notes 4.333%, 6/1/23 432,000 438,862
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 545,000 528,373
Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 644,000 657,148
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 635,000 614,273
Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 717,000 750,510
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 119,000 114,398
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 357,000 340,935
6,383,569
Transportation (0.2%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 219,000 209,591
Southwest Airlines Co. Pass Through Trust pass-through certificates Ser. 07-1, Class A, 6.15%, 8/1/22 83,803 88,053
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 07-1, Class A, 6.636%, 7/2/22 92,690 97,257
394,901
Utilities and power (2.2%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 97,000 100,899
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 530,000 562,398
Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35 46,000 53,084
Berkshire Hathaway Energy Co. sr. unsec. bonds 6.50%, 9/15/37 45,000 58,162
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 21,000 26,376
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 47,000 57,561
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 107,000 109,710
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 180,000 176,551
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 505,000 524,253
Duke Energy Ohio, Inc. sr. notes 3.80%, 9/1/23 72,000 75,003
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 254,000 334,232
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 148,000 154,308
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 409,000 398,619
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 30,000 30,437
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 79,000 84,719
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 430,000 485,728
Iberdrola International BV company guaranty sr. unsec. unsub. bonds 6.75%, 7/15/36 (Spain) 93,000 116,073
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 162,000 162,826
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 86,000 90,980
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 85,000 85,164
NextEra Energy Capital Holdings, Inc. company guaranty jr. unsec. sub. FRB 4.80%, 12/1/77 373,000 333,835
Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29 161,000 192,326
Oncor Electric Delivery Co., LLC sr. notes 4.10%, 6/1/22 30,000 31,187
PacifiCorp sr. mtge. bonds 6.25%, 10/15/37 37,000 47,254
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 3.40%, 6/1/23 10,000 10,044
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19 297,000 296,976
WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (BBA LIBOR USD 3 Month + 2.11%), 4.796%, 5/15/67 552,000 488,520
5,087,225
Total corporate bonds and notes (cost $68,402,082) $70,086,943









PURCHASED SWAP OPTIONS OUTSTANDING (5.1%)(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.
3.312/3 month USD-LIBOR-BBA/Nov-38 Nov-28/3.312 $30,423,400 $2,355,380
(3.312)/3 month USD-LIBOR-BBA/Nov-38 Nov-28/3.312 30,423,400 1,176,473
3.295/3 month USD-LIBOR-BBA/Nov-38 Nov-28/3.295 15,211,700 1,165,216
(3.295)/3 month USD-LIBOR-BBA/Nov-38 Nov-28/3.295 15,211,700 595,538
2.785/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 3,926,500 356,291
(2.785)/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 3,926,500 321,031
Citibank, N.A.
2.41/3 month USD-LIBOR-BBA/Apr-21 Apr-19/2.41 31,107,000 45,727
Goldman Sachs International
2.7475/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7475 29,924,700 1,096,441
(2.7475)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7475 29,924,700 254,360
2.10625/3 month USD-LIBOR-BBA/Apr-24 Apr-19/2.10625 22,068,800 18,096
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 14,803,400 1,164,732
3.096/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 11,842,800 728,924
(3.162)/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 14,803,400 149,218
2.56/3 month USD-LIBOR-BBA/Feb-22 Feb-20/2.56 15,469,200 122,052
2.486/3 month USD-LIBOR-BBA/Jan-22 Jan-20/2.486 15,469,200 107,666
(2.486)/3 month USD-LIBOR-BBA/Jan-22 Jan-20/2.486 15,469,200 36,353
(2.56)/3 month USD-LIBOR-BBA/Feb-22 Feb-20/2.56 15,469,200 30,165
(3.096)/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 11,842,800 23,449
(3.095)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.095 29,606,900 3,849
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,110,300 434,198
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,110,300 428,662
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,110,300 428,382
2.7725/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 8,508,000 366,780
2.764/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 8,508,000 362,015
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.7725 8,508,000 153,314
(2.764)/3 month USD-LIBOR-BBA/Feb-31 Feb-21/2.764 8,508,000 152,889
(3.0975)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.0975 29,606,900 3,849
Total purchased swap options outstanding (cost $11,723,717) $12,081,050









PURCHASED OPTIONS OUTSTANDING (—%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/$101.07 $4,000,000 $4,000,000 $9,408
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/101.32 4,000,000 4,000,000 13,692
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/101.44 4,000,000 4,000,000 16,312
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/101.19 4,000,000 4,000,000 11,392
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/99.94 4,000,000 4,000,000 1,328
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/99.57 4,000,000 4,000,000 624
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/99.69 4,000,000 4,000,000 808
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/99.82 4,000,000 4,000,000 1,040
Total purchased options outstanding (cost $55,000) $54,604









ASSET-BACKED SECURITIES (1.8%)(a)
        Principal amount Value
loanDepot Station Place Agency Securitization Trust 144A FRB Ser. 17-LD1, Class A, (1 Month US LIBOR + 0.80%), 3.286%, 11/25/50 $91,000 $91,000
Station Place Securitization Trust 144A
FRB Ser. 18-1, Class A, (1 Month US LIBOR + 0.90%), 3.381%, 4/24/19 1,534,000 1,534,000
FRB Ser. 18-8, Class A, (1 Month US LIBOR + 0.70%), 3.181%, 2/24/20 468,000 468,000
FRB Ser. 18-5, Class A, (1 Month US LIBOR + 0.70%), 3.181%, 9/24/19 851,000 851,000
FRB Ser. 18-3, Class A, (1 Month US LIBOR + 0.70%), 3.181%, 7/24/19 1,207,000 1,207,000
Total asset-backed securities (cost $4,151,000) $4,151,000









SHORT-TERM INVESTMENTS (15.9%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 2.64%(AFF) Shares 32,241,913 $32,241,913
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.39%(P) Shares 105,000 105,000
U.S. Treasury Bills 2.545%, 6/13/19(SEG)(SEGSF)(SEGCCS) $1,735,000 1,726,684
U.S. Treasury Bills 2.532%, 6/6/19(SEG)(SEGSF) 1,530,000 1,523,380
U.S. Treasury Bills 2.528%, 6/20/19(SEGCCS) 350,000 348,161
U.S. Treasury Bills 2.484%, 4/18/19 45,000 44,950
U.S. Treasury Bills 2.455%, 5/16/19(SEG)(SEGSF) 274,000 273,191
U.S. Treasury Bills 2.504%, 8/15/19(SEGCCS) 220,000 218,020
U.S. Treasury Bills 2.462%, 8/1/19(SEG)(SEGSF)(SEGCCS) 434,000 430,516
U.S. Treasury Bills 2.479%, 4/11/19(SEGSF) 596,000 595,607
Total short-term investments (cost $37,506,521) $37,507,422
TOTAL INVESTMENTS
Total investments (cost $295,489,989) $295,374,076









FUTURES CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Bond 30 yr (Long) 29 $4,340,031 $4,340,032 Jun-19 $134,926
U.S. Treasury Bond Ultra 30 yr (Long) 77 12,936,000 12,936,000 Jun-19 523,112
U.S. Treasury Note 2 yr (Long) 146 31,111,688 31,111,688 Jun-19 132,927
U.S. Treasury Note 5 yr (Long) 149 17,258,391 17,258,391 Jun-19 183,624
U.S. Treasury Note 10 yr (Long) 120 14,906,250 14,906,250 Jun-19 249,924
U.S. Treasury Note 10 yr (Short) 76 9,440,625 9,440,625 Jun-19 (159,480)
U.S. Treasury Note Ultra 10 yr (Long) 30 3,983,438 3,983,438 Jun-19 91,815
Unrealized appreciation 1,316,328
Unrealized (depreciation) (159,480)
Total $1,156,848









WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/19 (premiums $10,980,319) (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.
3.1775/3 month USD-LIBOR-BBA/Nov-55 Nov-25/3.1775 $7,181,900 $490,308
3.195/3 month USD-LIBOR-BBA/Nov-55 Nov-25/3.195 14,363,800 964,673
(3.1775)/3 month USD-LIBOR-BBA/Nov-55 Nov-25/3.1775 7,181,900 1,168,495
(3.195)/3 month USD-LIBOR-BBA/Nov-55 Nov-25/3.195 14,363,800 2,367,442
Citibank, N.A.
(2.421)/3 month USD-LIBOR-BBA/Apr-29 Apr-19/2.421 6,999,100 41,085
Goldman Sachs International
(2.20625)/3 month USD-LIBOR-BBA/Apr-24 Apr-19/2.20625 11,034,400 20,855
2.9425/3 month USD-LIBOR-BBA/Feb-34 Feb-24/2.9425 14,962,300 516,648
(2.9425)/3 month USD-LIBOR-BBA/Feb-34 Feb-24/2.9425 14,962,300 860,183
JPMorgan Chase Bank N.A.
3.415/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.415 59,213,800 1,776
2.975/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 14,803,400 30,051
2.56/3 month USD-LIBOR-BBA/Feb-24 Feb-22/2.56 15,469,200 85,390
2.486/3 month USD-LIBOR-BBA/Jan-24 Jan-22/2.486 15,469,200 93,589
(2.486)/3 month USD-LIBOR-BBA/Jan-24 Jan-22/2.486 15,469,200 166,139
(2.56)/3 month USD-LIBOR-BBA/Feb-24 Feb-22/2.56 15,469,200 178,515
(2.975)/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 14,803,400 353,061
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 14,803,400 370,677
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 14,803,400 1,066,141
Morgan Stanley & Co. International PLC
3.3975/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.3975 59,213,800 1,776
2.7225/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 6,187,600 56,802
2.715/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 6,187,600 59,896
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 2,320,400 95,160
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 2,320,400 97,921
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 2,320,400 140,477
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 2,320,400 144,445
(2.715)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.715 6,187,600 215,885
(2.7225)/3 month USD-LIBOR-BBA/Feb-30 Feb-20/2.7225 6,187,600 217,185
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 3,110,300 353,703
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 3,110,300 354,045
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-25/3.00 3,110,300 363,501
Total $10,875,824









WRITTEN OPTIONS OUTSTANDING at 3/31/19 (premiums $28,750) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/$100.82 $4,000,000 $4,000,000 $6,284
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.57 4,000,000 4,000,000 4,116
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.94 4,000,000 4,000,000 7,712
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.69 4,000,000 4,000,000 5,096
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.32 4,000,000 4,000,000 2,660
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.07 4,000,000 4,000,000 1,684
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.19 4,000,000 4,000,000 2,120
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) May-19/100.44 4,000,000 4,000,000 3,316
Total $32,988









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/
Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 $6,544,100 $(255,874) $(50,062)
(2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,544,100 (255,874) (72,247)
Citibank, N.A.
2.19625/3 month USD-LIBOR-BBA/Apr-24 (Purchased) Apr-19/2.19625 17,422,700 (30,780) (348)
(2.38875)/3 month USD-LIBOR-BBA/Apr-24 (Purchased) Apr-19/2.38875 17,422,700 (27,296) (2,613)
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 875,000 (112,656) (20,291)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 875,000 (112,656) (21,516)
2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,544,100 (255,874) (49,015)
(2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,544,100 (255,874) (73,163)
2.2925/3 month USD-LIBOR-BBA/Apr-24 (Written) Apr-19/2.2925 8,711,400 29,038 1,742
(2.2925)/3 month USD-LIBOR-BBA/Apr-24 (Written) Apr-19/2.2925 8,711,400 29,038 (2,004)
Goldman Sachs International
2.1975/3 month USD-LIBOR-BBA/May-24 (Purchased) May-19/2.1975 17,422,700 (32,232) 2,091
(2.3975)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-19/2.3975 17,422,700 (30,490) (4,878)
(2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,458,100 (116,867) (8,530)
(3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,458,100 (101,046) (9,638)
3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,458,100 (132,687) (10,469)
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 785,300 (99,144) (10,523)
2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,458,100 (116,867) (12,758)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 785,300 (99,144) (20,826)
2.2975/3 month USD-LIBOR-BBA/May-24 (Written) May-19/2.2975 8,711,400 30,374 2,352
(2.2975)/3 month USD-LIBOR-BBA/May-24 (Written) May-19/2.2975 8,711,400 30,374 (3,833)
JPMorgan Chase Bank N.A.
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,458,100 (84,278) 2,654
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 875,000 (93,888) (19,425)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,458,100 (151,642) (23,650)
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 875,000 (135,275) (24,089)
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,926,500 (548,238) (126,473)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,926,500 (548,238) (293,115)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 126,800 (14,468) 8,012
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 126,800 (14,468) (7,254)
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 875,000 (94,150) (16,091)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 875,000 (134,050) (26,110)
Unrealized appreciation 16,851
Unrealized (depreciation) (908,921)
Total $(892,070)









TBA SALE COMMITMENTS OUTSTANDING at 3/31/19 (proceeds receivable $1,998,516) (Unaudited)
  Agency Principal amount Settlement date Value
Federal National Mortgage Association, 3.00%, 4/1/49 $2,000,000 4/10/19 $1,990,781
Total $1,990,781











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$1,747,000 $271,496 $(60) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually $287,512
14,803,400 852,069 (210) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (861,591)
8,171,500 480,819 (116) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 482,916
44,410,300 92,151 (22,313) 1/22/20 3 month USD-LIBOR-BBA — Quarterly 2.86% — Semiannually 78,266
44,410,300 203,932 (E) 21,150 1/22/21 2.77% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (182,783)
499,700 3,094 (E) (3) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually 3,091
1,293,200 6,948 (E) (7) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (6,956)
2,131,700 49,991 (28) 2/13/29 2.6785% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (50,151)
85,076,500 349,239 (E) 445,772 6/19/21 2.55% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 96,533
79,312,000 832,617 (E) 1,009,252 6/19/24 2.50% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 176,634
74,110,000 1,550,678 (E) (1,787,440) 6/19/29 3 month USD-LIBOR-BBA — Quarterly 2.65% — Semiannually (236,764)
2,484,900 114,783 (E) 125,674 6/19/49 2.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 10,891
2,707,100 25,631 (E) (548) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 25,083
935,900 5,752 (E) (160) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 5,592
3,012,582 99,988 (E) (43) 3/5/30 3 month USD-LIBOR-BBA — Quarterly 2.806% — Semiannually 99,945
5,693,900 108,782 (E) (81) 3/16/30 2.647% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (108,862)
913,500 8,844 (E) (31) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (8,875)
5,984,900 4,961 (E) (3,077) 3/26/30 2.44% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (8,039)
9,059,800 38,015 (E) (86) 4/10/24 3 month USD-LIBOR-BBA — Quarterly 2.20% — Semiannually (38,100)
7,549,800 27,013 (E) (107) 4/16/29 3 month USD-LIBOR-BBA — Quarterly 2.375% — Semiannually (27,120)
Total $(212,462) $(262,778)
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Bank of America N.A.
$32,404 $31,346 $— 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly $(762)
50,828 48,172 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (2,165)
Barclays Bank PLC
496,127 499,064 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 3,268
75,115 75,560 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 495
318,554 320,121 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 1,848
197,322 198,293 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 1,145
7,844,734 7,912,421 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 76,203
827,500 833,689 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 7,093
73,641 73,759 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 198
527,310 528,501 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (1,969)
8,523,515 8,544,474 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (34,727)
51,199 49,540 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,239)
24,903 24,097 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (603)
19,889 19,016 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 663
36,904 36,391 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (92)
71,222 70,218 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (184)
6,999 6,901 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (18)
Citibank, N.A.
1,087,603 1,096,987 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 10,565
621,349 626,710 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 6,036
Credit Suisse International
508,016 490,548 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (12,151)
45,936 42,971 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,585)
4,640 4,490 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 112
211,702 198,028 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (11,793)
60,535 58,559 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,424)
46,493 43,490 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,590)
135,438 131,018 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,186
67,986 65,708 — 1/12/39 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,517
101,910 97,438 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 3,395
Goldman Sachs International
27,774 27,842 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (113)
74,084 74,267 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (302)
205,445 205,950 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (837)
294,861 295,586 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,201)
353,833 354,704 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,442)
546,868 548,213 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,228)
749,170 751,013 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (3,052)
122,453 117,463 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 4,060
53,596 51,860 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,297
46,167 43,185 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,572)
2,609 2,524 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (61)
24,834 23,536 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (1,058)
143,820 137,509 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 4,791
214,868 211,880 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (533)
149,674 147,592 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (371)
90,578 89,318 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (225)
9,964 9,826 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (25)
97,471 96,098 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (252)
88,936 87,683 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (230)
86,178 84,964 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (223)
68,611 67,644 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (177)
45,909 45,262 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (119)
JPMorgan Chase Bank N.A.
39,890 38,588 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (938)
143,820 137,509 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 4,791
JPMorgan Securities LLC
330,957 319,577 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 7,916
17,865 17,287 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 432
94,575 90,744 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,004)
Upfront premium received — Unrealized appreciation 139,011
Upfront premium (paid) — Unrealized (depreciation) (91,265)
Total $— Total $47,746









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
$1,261,000 $6,524 $— 7/3/27 2.085% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity $6,524
1,446,000 3,884 — 7/5/22 (1.89%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 3,884
1,446,000 2,194 — 7/5/27 2.05% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 2,194
1,261,000 1,188 — 7/3/22 (1.9225%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 1,188
Total $— $13,790









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $3,281 $48,000 $6,096 5/11/63 300 bp — Monthly $(2,787)
CMBX NA BBB-.6 Index BBB-/P 6,388 106,000 13,462 5/11/63 300 bp — Monthly (7,012)
CMBX NA BBB-.6 Index BBB-/P 13,088 212,000 26,924 5/11/63 300 bp — Monthly (13,713)
CMBX NA BBB-.6 Index BBB-/P 12,483 219,000 27,813 5/11/63 300 bp — Monthly (15,202)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A/P (10) 27,000 594 5/11/63 200 bp — Monthly (594)
CMBX NA A.6 Index A/P 36 31,000 682 5/11/63 200 bp — Monthly (634)
CMBX NA A.6 Index A/P 24 31,000 682 5/11/63 200 bp — Monthly (646)
CMBX NA BB.7 Index BB/P 10,969 79,000 9,393 1/17/47 500 bp — Monthly 1,653
CMBX NA BB.7 Index BB/P 20,437 159,000 18,905 1/17/47 500 bp — Monthly 1,686
CMBX NA BB.7 Index BB/P 27,298 226,000 26,871 1/17/47 500 bp — Monthly 552
CMBX NA BBB-.6 Index BBB-/P 2,774 26,000 3,302 5/11/63 300 bp — Monthly (513)
CMBX NA BBB-.6 Index BBB-/P 3,336 27,000 3,429 5/11/63 300 bp — Monthly (77)
CMBX NA BBB-.6 Index BBB-/P 3,740 34,000 4,318 5/11/63 300 bp — Monthly (558)
CMBX NA BBB-.6 Index BBB-/P 4,730 43,000 5,461 5/11/63 300 bp — Monthly (706)
CMBX NA BBB-.6 Index BBB-/P 7,407 52,000 6,604 5/11/63 300 bp — Monthly 833
CMBX NA BBB-.6 Index BBB-/P 5,301 54,000 6,858 5/11/63 300 bp — Monthly (1,526)
CMBX NA BBB-.6 Index BBB-/P 7,403 74,000 9,398 5/11/63 300 bp — Monthly (1,952)
CMBX NA BBB-.6 Index BBB-/P 11,552 83,000 10,541 5/11/63 300 bp — Monthly 1,059
CMBX NA BBB-.6 Index BBB-/P 11,540 83,000 10,541 5/11/63 300 bp — Monthly 1,047
CMBX NA BBB-.6 Index BBB-/P 12,735 129,000 16,383 5/11/63 300 bp — Monthly (3,573)
CMBX NA BBB-.6 Index BBB-/P 21,547 212,000 26,924 5/11/63 300 bp — Monthly (5,253)
CMBX NA BBB-.6 Index BBB-/P 22,150 232,000 29,464 5/11/63 300 bp — Monthly (7,178)
Credit Suisse International
CMBX NA A.6 Index A/P 13,561 272,000 5,984 5/11/63 200 bp — Monthly 7,682
CMBX NA A.6 Index A/P 22,032 975,000 21,450 5/11/63 200 bp — Monthly 961
CMBX NA A.6 Index A/P 248,422 4,895,000 107,690 5/11/63 200 bp — Monthly 142,639
CMBX NA A.7 Index A-/P 275 7,000 39 1/17/47 200 bp — Monthly 316
CMBX NA BB.7 Index BB/P 16,586 124,000 14,744 1/17/47 500 bp — Monthly 1,963
CMBX NA BBB-.6 Index BBB-/P 4,972 45,000 5,715 5/11/63 300 bp — Monthly (717)
CMBX NA BBB-.6 Index BBB-/P 8,176 74,000 9,398 5/11/63 300 bp — Monthly (1,178)
CMBX NA BBB-.6 Index BBB-/P 9,088 90,000 11,430 5/11/63 300 bp — Monthly (2,290)
CMBX NA BBB-.6 Index BBB-/P 14,223 106,000 13,462 5/11/63 300 bp — Monthly 823
CMBX NA BBB-.6 Index BBB-/P 13,502 120,000 15,240 5/11/63 300 bp — Monthly (1,668)
CMBX NA BBB-.6 Index BBB-/P 15,173 138,000 17,526 5/11/63 300 bp — Monthly (2,273)
CMBX NA BBB-.6 Index BBB-/P 17,513 147,000 18,669 5/11/63 300 bp — Monthly (1,070)
CMBX NA BBB-.6 Index BBB-/P 24,925 191,000 24,257 5/11/63 300 bp — Monthly 779
CMBX NA BBB-.6 Index BBB-/P 29,254 231,000 29,337 5/11/63 300 bp — Monthly 51
CMBX NA BBB-.6 Index BBB-/P 26,738 239,000 30,353 5/11/63 300 bp — Monthly (3,476)
CMBX NA BBB-.6 Index BBB-/P 31,476 321,000 40,767 5/11/63 300 bp — Monthly (9,104)
CMBX NA BBB-.6 Index BBB-/P 39,219 371,000 47,117 5/11/63 300 bp — Monthly (7,682)
CMBX NA BBB-.6 Index BBB-/P 45,859 395,000 50,165 5/11/63 300 bp — Monthly (4,075)
CMBX NA BBB-.6 Index BBB-/P 48,619 447,000 56,769 5/11/63 300 bp — Monthly (7,889)
CMBX NA BBB-.6 Index BBB-/P 379,034 3,545,000 450,215 5/11/63 300 bp — Monthly (69,113)
CMBX NA BBB-.7 Index BBB-/P 4,347 55,000 2,536 1/17/47 300 bp — Monthly 1,844
CMBX NA BBB-.7 Index BBB-/P 63,567 860,000 39,646 1/17/47 300 bp — Monthly 24,422
Goldman Sachs International
CMBX NA A.6 Index A/P 254 5,000 110 5/11/63 200 bp — Monthly 146
CMBX NA A.6 Index A/P 5,821 115,000 2,530 5/11/63 200 bp — Monthly 3,336
CMBX NA A.6 Index A/P 9,260 141,000 3,102 5/11/63 200 bp — Monthly 6,213
CMBX NA A.6 Index A/P 4,580 146,000 3,212 5/11/63 200 bp — Monthly 1,425
CMBX NA A.6 Index A/P 6,398 210,000 4,620 5/11/63 200 bp — Monthly 1,860
CMBX NA A.6 Index A/P 10,621 215,000 4,730 5/11/63 200 bp — Monthly 5,975
CMBX NA A.6 Index A/P 13,401 240,000 5,280 5/11/63 200 bp — Monthly 8,215
CMBX NA A.6 Index A/P 15,762 306,000 6,732 5/11/63 200 bp — Monthly 9,149
CMBX NA A.6 Index A/P 18,917 384,000 8,448 5/11/63 200 bp — Monthly 10,619
CMBX NA A.6 Index A/P 12,866 416,000 9,152 5/11/63 200 bp — Monthly 3,876
CMBX NA A.6 Index A/P 37,833 727,000 15,994 5/11/63 200 bp — Monthly 22,122
CMBX NA A.6 Index A/P 36,802 727,000 15,994 5/11/63 200 bp — Monthly 21,091
CMBX NA BBB-.6 Index BBB-/P 5,861 53,000 6,731 5/11/63 300 bp — Monthly (840)
CMBX NA BBB-.6 Index BBB-/P 7,595 90,000 11,430 5/11/63 300 bp — Monthly (3,783)
CMBX NA BBB-.6 Index BBB-/P 7,675 97,000 12,319 5/11/63 300 bp — Monthly (4,587)
CMBX NA BBB-.6 Index BBB-/P 14,813 104,000 13,208 5/11/63 300 bp — Monthly 1,666
CMBX NA BBB-.6 Index BBB-/P 5,425 104,000 13,208 5/11/63 300 bp — Monthly (7,723)
CMBX NA BBB-.6 Index BBB-/P 5,119 105,000 13,335 5/11/63 300 bp — Monthly (8,155)
CMBX NA BBB-.6 Index BBB-/P 5,208 105,000 13,335 5/11/63 300 bp — Monthly (8,065)
CMBX NA BBB-.6 Index BBB-/P 11,693 108,000 13,716 5/11/63 300 bp — Monthly (1,960)
CMBX NA BBB-.6 Index BBB-/P 13,154 125,000 15,875 5/11/63 300 bp — Monthly (2,648)
CMBX NA BBB-.6 Index BBB-/P 11,308 134,000 17,018 5/11/63 300 bp — Monthly (5,632)
CMBX NA BBB-.6 Index BBB-/P 22,647 193,000 24,511 5/11/63 300 bp — Monthly (1,752)
CMBX NA BBB-.6 Index BBB-/P 13,217 194,000 24,638 5/11/63 300 bp — Monthly (11,308)
CMBX NA BBB-.6 Index BBB-/P 10,113 206,000 26,162 5/11/63 300 bp — Monthly (15,929)
CMBX NA BBB-.6 Index BBB-/P 18,393 213,000 27,051 5/11/63 300 bp — Monthly (8,534)
CMBX NA BBB-.6 Index BBB-/P 23,812 216,000 27,432 5/11/63 300 bp — Monthly (3,494)
CMBX NA BBB-.6 Index BBB-/P 33,182 239,000 30,353 5/11/63 300 bp — Monthly 2,968
CMBX NA BBB-.6 Index BBB-/P 20,522 273,000 34,671 5/11/63 300 bp — Monthly (13,990)
CMBX NA BBB-.6 Index BBB-/P 25,932 536,000 68,072 5/11/63 300 bp — Monthly (41,827)
CMBX NA BBB-.7 Index BBB-/P 418 6,000 277 1/17/47 300 bp — Monthly 145
CMBX NA BBB-.7 Index BBB-/P 7,955 101,000 4,656 1/17/47 300 bp — Monthly 3,358
CMBX NA BBB-.7 Index BBB-/P 11,309 153,000 7,053 1/17/47 300 bp — Monthly 4,345
CMBX NA BBB-.7 Index BBB-/P 13,902 171,000 7,883 1/17/47 300 bp — Monthly 6,119
JPMorgan Securities LLC
CMBX NA A.6 Index A/P 168,396 7,320,000 161,040 5/11/63 200 bp — Monthly 10,203
CMBX NA BBB-.6 Index BBB-/P 370 3,000 381 5/11/63 300 bp — Monthly (9)
CMBX NA BBB-.6 Index BBB-/P 1,392,134 10,523,000 1,336,421 5/11/63 300 bp — Monthly 61,851
CMBX NA BBB-.7 Index BBB-/P 7,774 79,000 3,642 1/17/47 300 bp — Monthly 4,179
CMBX NA BBB-.7 Index BBB-/P 6,329 120,000 5,532 1/17/47 300 bp — Monthly 867
CMBX NA BBB-.7 Index BBB-/P 17,188 130,000 5,993 1/17/47 300 bp — Monthly 11,271
CMBX NA BBB-.7 Index BBB-/P 6,065 232,000 10,695 1/17/47 300 bp — Monthly (4,495)
Merrill Lynch International
CMBX NA A.6 Index A/P 4,537 320,000 7,040 5/11/63 200 bp — Monthly (2,378)
CMBX NA BBB-.6 Index BBB-/P 5,310 47,000 5,969 5/11/63 300 bp — Monthly (631)
CMBX NA BBB-.6 Index BBB-/P 11,279 96,000 12,192 5/11/63 300 bp — Monthly (857)
CMBX NA BBB-.6 Index BBB-/P 17,502 148,000 18,796 5/11/63 300 bp — Monthly (1,208)
CMBX NA BBB-.6 Index BBB-/P 41,677 372,000 47,244 5/11/63 300 bp — Monthly (5,350)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 30,432 220,000 27,940 5/11/63 300 bp — Monthly 2,620
CMBX NA A.6 Index A/P 76 28,000 616 5/11/63 200 bp — Monthly (529)
CMBX NA A.6 Index A/P — 52,000 1,144 5/11/63 200 bp — Monthly (1,124)
CMBX NA A.7 Index A-/P (13) 13,000 72 1/17/47 200 bp — Monthly 64
CMBX NA BBB-.6 Index BBB-/P 246 2,000 254 5/11/63 300 bp — Monthly (6)
CMBX NA BBB-.6 Index BBB-/P 1,658 14,000 1,778 5/11/63 300 bp — Monthly (111)
CMBX NA BBB-.6 Index BBB-/P 2,437 17,000 2,159 5/11/63 300 bp — Monthly 288
CMBX NA BBB-.6 Index BBB-/P 4,785 42,000 5,334 5/11/63 300 bp — Monthly (525)
CMBX NA BBB-.6 Index BBB-/P 5,886 50,000 6,350 5/11/63 300 bp — Monthly (435)
CMBX NA BBB-.6 Index BBB-/P 9,369 64,000 8,128 5/11/63 300 bp — Monthly 1,278
CMBX NA BBB-.6 Index BBB-/P 11,148 91,000 11,557 5/11/63 300 bp — Monthly (356)
CMBX NA BBB-.6 Index BBB-/P 17,538 113,000 14,351 5/11/63 300 bp — Monthly 3,253
CMBX NA BBB-.6 Index BBB-/P 18,785 166,000 21,082 5/11/63 300 bp — Monthly (2,201)
CMBX NA BBB-.6 Index BBB-/P 49,761 331,000 42,037 5/11/63 300 bp — Monthly 7,918
CMBX NA BBB-.6 Index BBB-/P 51,568 339,000 43,053 5/11/63 300 bp — Monthly 8,712
CMBX NA BBB-.6 Index BBB-/P 51,616 419,000 53,213 5/11/63 300 bp — Monthly (1,353)
CMBX NA BBB-.6 Index BBB-/P 57,618 450,000 57,150 5/11/63 300 bp — Monthly 731
Upfront premium received 3,738,032 Unrealized appreciation 414,173
Upfront premium (paid) (23) Unrealized (depreciation) (334,254)
Total $3,738,009 Total $79,919
* 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, 2019. 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 3/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.7 Index $(148) $20,000 $110 1/17/47 (200 bp) — Monthly $(266)
CMBX NA BB.11 Index (29,281) 226,000 28,702 11/18/54 (500 bp) — Monthly (704)
CMBX NA BB.9 Index (31,776) 226,000 31,437 9/17/58 (500 bp) — Monthly (465)
CMBX NA BB.9 Index (24,647) 160,000 22,256 9/17/58 (500 bp) — Monthly (2,547)
CMBX NA BB.9 Index (24,758) 160,000 22,256 9/17/58 (500 bp) — Monthly (2,658)
CMBX NA BB.9 Index (24,481) 159,000 22,117 9/17/58 (500 bp) — Monthly (2,519)
CMBX NA BB.9 Index (19,629) 151,000 21,004 9/17/58 (500 bp) — Monthly 1,228
CMBX NA BB.9 Index (20,298) 151,000 21,004 9/17/58 (500 bp) — Monthly 580
CMBX NA BB.9 Index (12,524) 80,000 11,128 9/17/58 (500 bp) — Monthly (1,474)
Credit Suisse International
CMBX NA BB.10 Index (20,948) 157,000 18,400 11/17/59 (500 bp) — Monthly (2,700)
CMBX NA BB.10 Index (18,670) 157,000 18,400 11/17/59 (500 bp) — Monthly (422)
CMBX NA BB.10 Index (10,317) 83,000 9,728 11/17/59 (500 bp) — Monthly (670)
CMBX NA BB.7 Index (7,696) 436,000 101,544 5/11/63 (500 bp) — Monthly 93,425
CMBX NA BB.7 Index (91,784) 558,000 66,346 1/17/47 (500 bp) — Monthly (25,980)
CMBX NA BB.7 Index (68,990) 374,000 44,469 1/17/47 (500 bp) — Monthly (24,885)
CMBX NA BB.9 Index (34,798) 218,000 30,324 9/17/58 (500 bp) — Monthly (4,686)
CMBX NA BB.9 Index (12,740) 83,000 11,545 9/17/58 (500 bp) — Monthly (1,275)
CMBX NA BB.9 Index (11,971) 79,000 10,989 9/17/58 (500 bp) — Monthly (1,059)
CMBX NA BB.9 Index (10,317) 67,000 9,320 9/17/58 (500 bp) — Monthly (1,063)
CMBX NA BB.9 Index (6,256) 40,000 5,564 9/17/58 (500 bp) — Monthly (731)
Goldman Sachs International
CMBX NA BB.6 Index (43,273) 423,000 98,517 5/11/63 (500 bp) — Monthly 54,833
CMBX NA BB.7 Index (20,581) 136,000 16,170 1/17/47 (500 bp) — Monthly (4,542)
CMBX NA BB.6 Index (11,542) 79,000 18,399 5/11/63 (500 bp) — Monthly 6,780
CMBX NA BB.7 Index (108,429) 534,000 63,493 1/17/47 (500 bp) — Monthly (45,455)
CMBX NA BB.7 Index (34,659) 205,000 24,375 1/17/47 (500 bp) — Monthly (10,484)
CMBX NA BB.7 Index (26,051) 159,000 18,905 1/17/47 (500 bp) — Monthly (7,301)
CMBX NA BB.9 Index (799) 5,000 696 9/17/58 (500 bp) — Monthly (108)
JPMorgan Securities LLC
CMBX NA BB.6 Index (23,053) 159,000 37,031 5/11/63 (500 bp) — Monthly 13,823
CMBX NA BB.6 Index (18,697) 130,000 30,277 5/11/63 (500 bp) — Monthly 11,453
CMBX NA BB.6 Index (13,694) 103,000 23,989 5/11/63 (500 bp) — Monthly 10,195
CMBX NA BB.6 Index (11,389) 81,000 18,865 5/11/63 (500 bp) — Monthly 7,397
CMBX NA BB.7 Index (90,230) 713,000 84,776 1/17/47 (500 bp) — Monthly (6,147)
CMBX NA BB.9 Index (307) 2,000 278 9/17/58 (500 bp) — Monthly (30)
CMBX NA BBB-.7 Index (28,002) 738,000 34,022 1/17/47 (300 bp) — Monthly 5,589
Merrill Lynch International
CMBX NA BB.10 Index (8,915) 75,000 8,790 11/17/59 (500 bp) — Monthly (167)
CMBX NA BB.7 Index (38,860) 224,000 26,634 1/17/47 (500 bp) — Monthly (12,444)
CMBX NA BB.9 Index (25,025) 160,000 22,256 9/17/58 (500 bp) — Monthly (2,925)
CMBX NA BB.9 Index (9,818) 75,000 10,433 9/17/58 (500 bp) — Monthly 541
CMBX NA BBB-.7 Index (11,964) 146,000 6,731 1/17/47 (300 bp) — Monthly (5,319)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (22,314) 219,000 10,096 1/17/47 (300 bp) — Monthly (12,346)
CMBX NA BB.7 Index (37,602) 195,000 23,186 1/17/47 (500 bp) — Monthly (14,606)
CMBX NA BB.9 Index (3,158) 21,000 2,921 9/17/58 (500 bp) — Monthly (258)
Upfront premium received — Unrealized appreciation 205,844
Upfront premium (paid) (1,070,391) Unrealized (depreciation) (196,236)
Total $(1,070,391) Total $9,608
* 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
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, 2019 through March 31, 2019 (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 $235,936,222.
(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
12/31/18		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as  of
3/31/19
Short-term investments
Putnam Short Term Investment Fund* $30,294,386 $21,303,312 $19,355,785 $180,268 $32,241,913
Total Short-term investments $30,294,386 $21,303,312 $19,355,785 $180,268 $32,241,913
* 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 $647,797.
(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 $2,863,711.
(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 $944,743.
(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 $43,180,056 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 to hedge treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal to hedge term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
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 to gain 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, to gain liquid exposure to individual names, to hedge market risk and to gain exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,027,475 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,863,711 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 $— $4,151,000 $—
Corporate bonds and notes — 70,086,943 —
Mortgage-backed securities — 87,902,125 —
Purchased options outstanding — 54,604 —
Purchased swap options outstanding — 12,081,050 —
U.S. government and agency mortgage obligations — 83,590,932 —
Short-term investments 32,346,913 5,160,509 —
Totals by level $32,346,913 $263,027,163 $—
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $1,156,848 $— $—
Written options outstanding — (32,988) —
Written swap options outstanding — (10,875,824) —
Forward premium swap option contracts — (892,070) —
TBA sale commitments — (1,990,781) —
Interest rate swap contracts — (50,316) —
Total return swap contracts — 61,536 —
Credit default contracts — (2,578,091) —
Totals by level $1,156,848 $(16,358,534) $—
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Fair Value of Derivative Instruments as  of
the close of the reporting period
  Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments
under ASC 815		 Fair value Fair value
Credit contracts $1,080,235 $3,658,326
Interest rate contracts 16,177,958 14,675,118
Total $17,258,193 $18,333,444

The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $36,000,000
Purchased swap option contracts (contract amount) $629,200,000
Written TBA commitment option contracts (contract amount) $48,000,000
Written swap option contracts (contract amount) $507,400,000
Futures contracts (number of contracts) 600
Centrally cleared interest rate swap contracts (notional) $364,400,000
OTC total return swap contracts (notional) $26,400,000
Centrally cleared total return swap contracts (notional) $5,400,000
OTC credit default contracts (notional) $52,600,000

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