NPORT-EX 3 b_073nport043021.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Premier Income Trust
The fund's portfolio
4/30/21 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (75.9%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.5%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $152,989 $175,838
5.00%, with due dates from 5/20/49 to 3/20/50 503,316 565,841
4.50%, with due dates from 10/20/49 to 1/20/50 277,888 308,196
4.00%, TBA, 5/1/51 9,000,000 9,607,500
4.00%, with due dates from 8/20/49 to 1/20/50 301,789 332,546
3.50%, with due dates from 8/20/49 to 3/20/50 1,395,194 1,516,792
12,506,713
U.S. Government Agency Mortgage Obligations (73.4%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 219,052 245,006
4.50%, 5/1/49 61,440 67,649
Uniform Mortgage-Backed Securities
5.50%, TBA, 5/1/51 5,000,000 5,597,266
4.50%, TBA, 5/1/51 5,000,000 5,446,875
4.00%, TBA, 5/1/51 64,000,000 68,760,000
3.50%, TBA, 6/1/51 47,000,000 49,946,679
3.50%, TBA, 5/1/51 57,000,000 60,660,472
3.00%, TBA, 6/1/51 26,000,000 27,206,561
3.00%, TBA, 5/1/51 78,000,000 81,674,533
2.50%, TBA, 6/1/51 2,000,000 2,069,375
2.50%, TBA, 5/1/51 30,000,000 31,113,282
2.00%, TBA, 5/1/51 34,000,000 34,332,030
367,119,728
Total U.S. government and agency mortgage obligations (cost $378,447,858) $379,626,441








U.S. TREASURY OBLIGATIONS (0.1%)(a)
        Principal amount Value
U.S. Treasury Notes
2.125%, 3/31/24(i) $444,000 $467,914
2.00%, 11/30/22(i) 9,000 9,340
Total U.S. treasury obligations (cost $477,254) $477,254








MORTGAGE-BACKED SECURITIES (46.0%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (24.4%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 25.332%, 4/15/37 $48,489 $89,704
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 23.376%, 11/15/35 101,314 180,339
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.535%, 4/15/40 2,053,695 206,745
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.144%, 9/25/50 14,242,036 3,062,038
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.085%, 12/15/47 3,105,848 372,702
REMICs IFB Ser. 4752, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.085%, 11/15/47 534,359 92,134
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.985%, 8/15/56 7,133,783 1,676,439
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.985%, 4/15/47 1,646,339 322,495
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.944%, 1/25/50 10,504,238 1,830,331
REMICs Ser. 4813, IO, 5.50%, 8/15/48 4,123,609 877,834
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 2,299,301 344,895
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 11,846,350 1,792,658
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 8,258,554 1,324,149
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 9,819,334 1,812,894
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,219,892 159,785
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 667,975 78,255
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 1,015,153 102,313
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 1,892,561 248,174
REMICs Ser. 4425, IO, 4.00%, 1/15/45 2,431,206 303,901
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,611,909 411,812
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,845,946 255,254
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 396,484 1,667
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 4,214,058 444,120
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 2,586,454 163,060
REMICs Ser. 4560, Class PI, IO, 3.50%, 5/15/45 842,110 70,788
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 1,064,840 27,313
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 1,021,818 75,996
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 930,565 56,796
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 15,722,385 2,043,910
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 20,756,566 2,895,281
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 4,363,271 425,148
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,972,013 125,235
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 662,044 18,398
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.379%, 7/25/43(WAC) 1,898,116 18,981
REMICs Ser. 3326, Class WF, zero %, 10/15/35 1,951 1,729
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 39.263%, 7/25/36 66,843 128,339
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 23.811%, 6/25/37 73,998 130,236
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 22.894%, 2/25/38 55,683 73,911
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 19.932%, 8/25/35 49,894 67,794
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 17.118%, 11/25/34 54,113 64,936
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 6.344%, 4/25/42 1,122,284 176,898
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.294%, 4/25/40 1,053,504 214,248
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.144%, 3/25/48 5,372,391 976,831
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.094%, 6/25/48 11,934,129 1,769,891
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.044%, 5/25/47 11,722,275 2,051,398
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.044%, 10/25/41 384,115 22,214
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 3,054,158 654,581
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 2,863,872 566,298
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.994%, 12/25/46 4,638,544 864,089
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.994%, 5/25/39 15,188,562 2,564,923
REMICs FRB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.944%, 3/25/50 7,931,964 1,536,818
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.944%, 8/25/49 6,071,087 982,293
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.894%, 11/25/49 12,063,282 1,688,860
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.844%, 2/25/43 3,421,737 696,851
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.794%, 10/25/41 2,723,552 474,777
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 133,646 22,730
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 4,728,245 898,367
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 408,270 68,760
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 6,984,474 1,314,884
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 15,242,990 2,519,675
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 557,625 104,602
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 1,894,462 75,778
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 22,527,267 3,801,476
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,912,096 263,504
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 669,754 33,943
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 1,210,069 76,914
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 4,849,114 732,758
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,396,559 170,310
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 1,072,271 124,845
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 988,336 79,067
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 1,002,652 55,632
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,248,347 65,556
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,542,600 116,466
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 748,439 15,244
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 1,238,504 26,256
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 5,046 4,592
Government National Mortgage Association
IFB Ser. 21-59, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.184%, 4/20/51 11,347,000 1,591,890
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.184%, 9/20/50 9,583,441 1,887,430
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 6.064%, 4/20/44 6,007,322 1,254,066
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.034%, 7/20/50 7,584,473 1,244,992
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.034%, 1/20/49 6,838,377 1,078,190
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.034%, 9/20/43 699,171 136,884
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.984%, 5/20/50 8,903,768 1,505,957
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.984%, 4/20/50 10,755,227 2,091,354
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.984%, 8/20/49 10,433,275 1,708,449
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.984%, 7/20/49 9,615,044 1,457,256
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.934%, 2/20/50 1,300,698 159,280
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.934%, 1/20/50 5,704,526 965,964
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.934%, 12/20/49 6,027,901 921,279
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.934%, 9/20/49 10,031,827 1,701,497
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.934%, 8/20/49 709,995 103,684
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.934%, 6/20/49 587,513 75,200
IFB Ser. 20-63, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.884%, 8/20/43 8,254,609 1,638,375
IFB Ser. 10-90, Class ES, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.834%, 7/20/40 6,738,291 1,070,135
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.484%, 8/20/44 2,870,726 501,942
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 1,281,204 246,081
Ser. 16-42, IO, 5.00%, 2/20/46 3,247,380 599,716
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 5,322,615 784,181
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 5,447,890 1,076,775
Ser. 14-76, IO, 5.00%, 5/20/44 1,273,630 225,575
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 974,323 172,942
Ser. 12-146, IO, 5.00%, 12/20/42 897,463 178,191
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 1,281,341 251,866
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 918,877 176,300
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 4,171,650 818,686
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 2,137,916 416,894
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 4,293,193 838,564
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 767,039 146,037
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 3,112,420 496,971
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 2,468,650 387,948
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 1,557,496 161,637
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,351,379 265,424
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,799,364 324,416
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 2,012,996 238,721
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,737,422 290,952
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 331,715 27,705
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,547,307 277,500
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,703,478 155,214
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 2,844,499 496,906
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,563,843 272,479
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,790,719 293,986
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,067,679 164,209
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,079,718 202,998
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 927,340 75,716
Ser. 16-29, IO, 4.00%, 2/16/46 1,503,936 256,538
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 3,739,884 591,500
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,764,038 497,527
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 2,560,773 359,927
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 2,264,445 257,581
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 6,924,743 991,531
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 4,244,272 247,958
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 826,700 134,842
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 3,011,738 231,620
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 820,571 123,979
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 745,398 120,664
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,944,062 298,511
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 10,524,638 1,279,878
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 19,101,757 2,776,114
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 580,666 21,932
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 2,138,323 214,239
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 2,141,004 171,568
Ser. 13-76, IO, 3.50%, 5/20/43 2,392,513 330,550
Ser. 13-28, IO, 3.50%, 2/20/43 686,209 70,906
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,074,353 116,922
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,645,711 187,331
Ser. 13-14, IO, 3.50%, 12/20/42 3,843,463 364,822
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 725,677 80,586
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 2,273,644 366,973
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 3,029,654 473,432
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 3,145,303 462,387
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,331,614 230,944
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 2,542,057 155,668
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 2,723,326 177,016
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 1,359,486 33,055
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 4,812,073 306,722
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51 11,928,000 1,262,631
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 14,696,333 1,469,633
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 12,205,638 1,186,876
Ser. 16-H18, Class QI, IO, 2.985%, 6/20/66(WAC) 6,132,246 539,546
Ser. 15-H15, Class BI, IO, 2.558%, 6/20/65(WAC) 4,567,068 333,853
Ser. 16-H17, Class KI, IO, 2.534%, 7/20/66(WAC) 4,200,081 338,963
Ser. 15-H10, Class BI, IO, 2.498%, 4/20/65(WAC) 5,363,330 381,869
Ser. 16-H16, Class EI, IO, 2.484%, 6/20/66(WAC) 6,329,601 525,990
Ser. 17-H02, Class BI, IO, 2.457%, 1/20/67(WAC) 5,499,346 504,037
Ser. 17-H16, Class JI, IO, 2.422%, 8/20/67(WAC) 17,833,892 1,794,179
Ser. 17-H16, Class FI, IO, 2.415%, 8/20/67(WAC) 6,412,595 537,876
Ser. 18-H15, Class KI, IO, 2.41%, 8/20/68(WAC) 7,421,311 697,499
Ser. 18-H05, Class BI, IO, 2.397%, 2/20/68(WAC) 9,109,764 919,517
Ser. 18-H05, Class AI, IO, 2.389%, 2/20/68(WAC) 5,430,168 548,108
Ser. 17-H06, Class BI, IO, 2.386%, 2/20/67(WAC) 8,570,550 651,534
Ser. 16-H23, Class NI, IO, 2.385%, 10/20/66(WAC) 23,776,656 2,004,372
Ser. 18-H02, Class EI, IO, 2.378%, 1/20/68(WAC) 12,852,843 1,277,251
Ser. 16-H09, Class BI, IO, 2.356%, 4/20/66(WAC) 9,571,279 750,388
Ser. 16-H22, Class AI, IO, 2.345%, 10/20/66(WAC) 9,175,530 795,096
Ser. 18-H03, Class XI, IO, 2.327%, 2/20/68(WAC) 8,670,876 861,885
Ser. 17-H08, Class NI, IO, 2.29%, 3/20/67(WAC) 10,954,488 919,082
Ser. 15-H20, Class CI, IO, 2.205%, 8/20/65(WAC) 8,307,532 708,632
Ser. 16-H06, Class DI, IO, 2.178%, 7/20/65(WAC) 11,102,585 657,251
Ser. 15-H24, Class AI, IO, 2.139%, 9/20/65(WAC) 6,666,048 478,102
Ser. 17-H19, Class MI, IO, 2.065%, 4/20/67(WAC) 4,127,463 364,868
Ser. 16-H03, Class DI, IO, 2.034%, 12/20/65(WAC) 7,832,189 510,643
Ser. 17-H12, Class QI, IO, 2.005%, 5/20/67(WAC) 7,469,898 643,651
Ser. 15-H25, Class EI, IO, 1.864%, 10/20/65(WAC) 5,975,275 435,598
Ser. 17-H11, Class DI, IO, 1.863%, 5/20/67(WAC) 7,951,889 690,836
Ser. 17-H16, Class IG, IO, 1.838%, 7/20/67(WAC) 16,056,744 1,067,870
Ser. 17-H16, Class IH, IO, 1.823%, 7/20/67(WAC) 11,648,341 803,631
Ser. 15-H20, Class AI, IO, 1.822%, 8/20/65(WAC) 6,831,878 502,143
FRB Ser. 15-H08, Class CI, IO, 1.795%, 3/20/65(WAC) 5,276,950 334,559
Ser. 15-H23, Class BI, IO, 1.754%, 9/20/65(WAC) 8,020,430 541,379
Ser. 16-H03, Class AI, IO, 1.753%, 1/20/66(WAC) 7,166,035 496,162
Ser. 17-H09, IO, 1.727%, 4/20/67(WAC) 10,742,842 786,988
Ser. 16-H24, Class CI, IO, 1.702%, 10/20/66(WAC) 5,586,514 354,185
Ser. 16-H14, IO, 1.686%, 6/20/66(WAC) 6,193,143 366,040
Ser. 16-H10, Class AI, IO, 1.646%, 4/20/66(WAC) 15,836,216 865,243
Ser. 13-H08, Class CI, IO, 1.625%, 2/20/63(WAC) 8,129,229 341,428
Ser. 16-H06, Class CI, IO, 1.592%, 2/20/66(WAC) 9,992,899 518,681
Ser. 16-H02, Class HI, IO, 1.549%, 1/20/66(WAC) 9,075,498 551,790
Ser. 14-H21, Class BI, IO, 1.537%, 10/20/64(WAC) 8,843,982 497,916
Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,253 2,027
122,102,263
Commercial mortgage-backed securities (8.0%)
BANK 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54 854,000 738,631
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 802,000 673,343
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.541%, 1/12/45(WAC) 2,285,000 1,862,275
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 1,026,000 790,020
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 469,621 467,273
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 07-T28, Class D, 5.718%, 9/11/42(WAC) 828,000 264,104
FRB Ser. 06-PW14, Class XW, IO, 0.76%, 12/11/38(WAC) 522,662 3,606
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.935%, 12/15/47(WAC) 1,068,000 1,044,649
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,134,068
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 5.091%, 4/10/47(WAC) 696,000 743,500
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 5.008%, 5/10/47(WAC) 682,000 531,960
FRB Ser. 14-UBS3, Class D, 4.927%, 6/10/47(WAC) 769,000 780,194
FRB Ser. 12-CR3, Class E, 4.908%, 10/15/45(WAC) 791,000 327,214
FRB Ser. 14-CR19, Class D, 4.865%, 8/10/47(WAC) 810,000 768,597
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 461,440
FRB Ser. 18-COR3, Class D, 2.963%, 5/10/51(WAC) 771,000 664,871
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.91%, 9/15/39(WAC) 26,697 26,674
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.905%, 4/15/50(WAC) 1,390,000 999,880
DBUBS Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.616%, 7/10/44(WAC) 789,000 785,528
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.549%, 2/10/46(WAC) 1,423,000 1,284,507
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.664%, 9/10/47(WAC) 2,754,000 1,707,480
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class C, 4.236%, 7/15/45(WAC) 526,000 542,695
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.96%, 2/15/47(WAC) 2,670,000 1,280,428
FRB Ser. 13-C14, Class E, 4.847%, 8/15/46(WAC) 1,277,000 781,594
FRB Ser. C14, Class D, 4.847%, 8/15/46(WAC) 1,265,000 874,641
FRB Ser. 14-C18, Class E, 4.46%, 2/15/47(WAC) 914,000 395,315
FRB Ser. 14-C25, Class D, 4.095%, 11/15/47(WAC) 1,997,000 1,497,347
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 919,160
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 680,000 652,099
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.306%, 4/15/46(WAC) 1,312,000 1,041,497
Ser. 13-LC11, Class B, 3.499%, 4/15/46 508,000 518,625
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.374%, 2/12/51(WAC) 757,000 113,550
FRB Ser. 11-C3, Class F, 5.706%, 2/15/46(WAC) 1,113,000 260,062
FRB Ser. 11-C4, Class C, 5.549%, 7/15/46(WAC) 506,271 505,613
FRB Ser. 12-C6, Class E, 5.313%, 5/15/45(WAC) 1,115,000 546,350
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,807,000 1,195,177
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) 26,213 —
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 118,908 118,908
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.497%, 8/15/46(WAC) 1,900,000 170,810
FRB Ser. 15-C23, Class D, 4.282%, 7/15/50(WAC) 1,238,000 1,230,442
FRB Ser. 13-C10, Class E, 4.217%, 7/15/46(WAC) 2,860,000 2,199,188
FRB Ser. 13-C10, Class F, 4.217%, 7/15/46(WAC) 1,988,000 636,359
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 630,270
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 417,974 41,797
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 893,078 879,265
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 20-01, Class M10, 3.856%, 3/25/50 1,558,000 1,623,304
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 1,081,996 11
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 1,476,000 424,349
FRB Ser. 12-C4, Class D, 4.617%, 12/10/45(WAC) 749,000 452,209
Ser. 13-C6, Class B, 3.875%, 4/10/46(WAC) 651,000 663,606
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 100,774 72,557
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.405%, 7/15/46(WAC) 456,000 228,000
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 575,826
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 716,800
FRB Ser. 12-C9, Class E, 4.969%, 11/15/45(WAC) 739,000 532,648
FRB Ser. 12-C10, Class D, 4.574%, 12/15/45(WAC) 1,141,000 635,524
40,015,840
Residential mortgage-backed securities (non-agency) (13.6%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.296%, 5/25/47 787,825 441,394
Bear Stearns Alt-A Trust
FRB Ser. 05-7, Class 21A1, 2.989%, 9/25/35(WAC) 244,559 228,086
FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.606%, 1/25/36 183,904 237,236
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.286%, 11/25/47 817,963 648,929
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AR5, Class 1A1A, 2.887%, 4/25/37(WAC) 255,064 255,922
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.456%, 3/25/37 2,155,188 1,992,328
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.248%, 6/25/46(WAC) 1,136,883 1,040,248
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.102%, 8/25/46 302,096 290,230
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.082%, 6/25/46 538,229 491,133
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 0.806%, 9/25/35 588,571 530,012
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 0.776%, 11/20/35 1,607,058 1,474,750
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 0.486%, 8/25/46 508,362 449,399
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.486%, 8/25/46 711,702 654,957
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.486%, 8/25/46 3,503,651 3,103,055
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 0.316%, 4/25/47 591,714 441,652
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, Class A2, (1 Month US LIBOR + 0.38%), 0.486%, 12/25/36 755,365 393,199
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (1 Month US LIBOR + 11.25%), 11.356%, 12/25/28 484,998 571,717
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.606%, 5/25/28 827,571 922,486
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.109%, 7/25/28 2,257,458 2,561,119
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.456%, 4/25/28 1,287,937 1,457,570
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.306%, 10/25/27 728,669 835,773
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.656%, 12/25/27 1,321,892 1,440,974
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (1 Month US LIBOR + 6.35%), 6.456%, 9/25/28 191,180 204,122
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 5.056%, 7/25/29 570,000 610,360
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 3.956%, 3/25/29 640,000 664,249
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.406%, 9/25/30 1,310,875 1,323,134
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.51%, 10/25/50 491,000 628,480
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.356%, 4/25/49 298,000 340,852
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.106%, 10/25/48 444,000 513,697
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.856%, 1/25/49 315,000 355,981
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.606%, 3/25/49 252,000 277,293
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.106%, 8/25/50 966,000 1,194,218
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.106%, 7/25/50 1,027,000 1,245,238
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.256%, 7/25/49 342,000 365,765
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.856%, 9/25/48 389,000 402,341
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 5.856%, 7/25/50 689,000 735,050
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 685,000 721,110
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 346,000 358,834
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.356%, 10/25/48 1,548,000 1,588,635
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.006%, 9/25/48 420,000 435,273
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 3.806%, 12/25/30 599,000 615,979
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.756%, 1/25/49 390,145 397,744
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.556%, 3/25/49 280,406 285,138
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.406%, 10/25/48 304,200 308,590
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.856%, 10/25/28 238,893 291,090
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.356%, 9/25/28 2,305,620 2,838,563
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.856%, 10/25/28 1,291,749 1,569,839
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.856%, 8/25/28 836,313 1,008,014
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.856%, 1/25/29 269,219 311,591
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (1 Month US LIBOR + 10.25%), 10.356%, 1/25/29 267,804 312,326
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.356%, 4/25/29 397,482 450,594
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.006%, 10/25/28 1,417,834 1,494,281
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.806%, 4/25/28 2,278,308 2,415,490
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 5.656%, 4/25/28 279,431 294,614
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.606%, 9/25/29 1,459,000 1,586,919
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.106%, 7/25/25 199,844 202,375
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.956%, 10/25/29 2,039,000 2,179,784
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.606%, 12/25/30 699,000 723,076
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.556%, 5/25/30 180,000 186,630
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.556%, 2/25/30 110,000 114,916
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (1 Month US LIBOR + 4.25%), 4.356%, 1/25/31 630,000 644,063
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.106%, 5/25/25 33,066 33,600
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.706%, 1/25/30 427,000 442,164
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 3.656%, 7/25/30 1,003,000 1,023,687
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.106%, 10/25/29 2,079,675 2,137,289
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2M2, (1 Month US LIBOR + 2.85%), 2.956%, 11/25/29 258,563 264,625
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 2.906%, 2/25/30 190,314 193,923
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.606%, 5/25/30 820,698 831,395
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.356%, 7/25/30 123,937 125,132
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.206%, 3/25/31 171,473 173,141
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.206%, 9/25/31 578,000 595,090
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (1 Month US LIBOR + 3.25%), 3.356%, 1/25/40 459,000 457,303
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.556%, 7/25/31 101,665 102,237
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (1 Month US LIBOR + 2.05%), 2.156%, 1/25/40 871,339 876,904
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.416%, 5/25/37 786,629 656,142
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.635%, 5/19/35 473,732 236,134
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.306%, 6/25/37 759,519 394,491
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, 4.25%, 1/25/59 730,000 730,000
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 651,805 617,768
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 0.901%, 8/25/35 169,251 166,171
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 2.956%, 7/25/28 (Bermuda) 2,230,000 2,247,890
Oaktown Re, Ltd. 144A FRB Ser. 17-1A, Class B1, (1 Month US LIBOR + 6.00%), 5.856%, 4/25/27 (Bermuda) 550,000 557,051
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.806%, 3/25/28 (Bermuda) 620,000 622,079
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.526%, 8/25/36 770,875 740,040
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 0.286%, 1/25/37 761,828 726,016
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 1,033,000 1,109,741
Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 815,000 850,869
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.086%, 10/25/45 448,578 445,975
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, Class 1A1, 2.62%, 4/25/36(WAC) 172,944 173,795
68,189,069
Total mortgage-backed securities (cost $251,627,218) $230,307,172








CORPORATE BONDS AND NOTES (21.1%)(a)
        Principal amount Value
Basic materials (1.5%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $329,000 $358,154
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 150,000 145,760
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 90,000 93,263
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29(FWC) 100,000 99,750
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 250,000 270,000
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 145,000 153,700
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29 260,000 252,125
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 385,000 414,838
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 140,000 144,375
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) 295,000 309,750
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec. bonds 4.375%, 4/1/31 (Australia) 260,000 270,075
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 130,000 143,488
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 130,000 138,613
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 65,000 79,261
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 453,000 465,458
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 392,000 414,515
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) 225,000 225,000
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 4.50%, 4/1/26 (Canada) 105,000 106,575
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) 60,000 63,799
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 185,000 184,769
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging Ltd Co-Issuer, LL 144A sr. notes 6.00%, 9/15/28 (Canada) 50,000 51,583
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 212,000
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 345,000 345,863
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 164,000 168,126
Mercer International, Inc. 144A sr. unsec. notes 5.125%, 2/1/29 (Canada) 150,000 155,063
NOVA Chemicals Corp. 144A sr. unsec. sub. notes 4.25%, 5/15/29 (Canada) 125,000 124,340
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 325,000 339,037
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 175,000 182,000
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 100,000 99,521
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada) 235,000 244,400
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 260,000 263,900
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 195,000 199,144
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 267,000 296,704
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes 4.875%, 6/15/27 180,000 187,650
7,202,599
Capital goods (2.0%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 130,000 125,450
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 75,000 78,469
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 260,000 275,600
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 65,000 66,300
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC 144A sr. unsec. notes 4.00%, 9/1/29 230,000 228,850
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 470,000 483,513
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 175,000 187,906
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 421,605
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 53,000 50,718
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 250,000 261,875
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 570,000 621,300
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 393,000 416,850
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 280,000 302,400
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 654,000 668,715
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 430,000 439,585
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 265,000 266,325
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 785,000 812,475
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 465,000 499,875
Tenneco, Inc. 144A company guaranty sr. notes 7.875%, 1/15/29 25,000 28,149
Tenneco, Inc. 144A company guaranty sr. notes 5.125%, 4/15/29 202,000 200,485
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 130,000 135,200
TransDigm, Inc. company guaranty sr. unsec. sub.notes 5.50%, 11/15/27 330,000 343,398
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 1,512,000 1,600,830
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 265,000 261,025
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 175,000 172,464
Vertical US Newco, Inc. 144A company guaranty sr. notes 5.25%, 7/15/27 360,000 376,877
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 395,000 402,900
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 245,000 271,950
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 125,000 135,000
10,136,089
Communication services (1.8%)
Altice France SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 207,360
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) 200,000 206,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 590,000 608,880
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,301,000 1,412,196
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 5/1/32 185,000 186,850
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 130,000 132,261
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 185,000 188,238
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 270,000 292,275
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 220,000 233,888
CSC Holdings, LLC 144A sr. unsec. bonds 4.625%, 12/1/30 200,000 195,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 544,000 588,644
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 197,000 211,664
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 195,000 207,188
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 235,000 248,366
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Luxembourg) 15,000 15,506
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 383,000 394,613
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 175,000 180,469
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 3.625%, 1/15/29 125,000 121,094
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 93,940
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 280,000 343,350
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 579,000 660,060
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 36,250 36,477
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 175,000 170,844
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 43,000 45,526
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 100,000 102,250
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 125,000 121,766
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 326,000 348,413
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 125,000 128,125
T-Mobile USA, Inc. 144A company guaranty sr. notes 3.875%, 4/15/30 110,000 119,823
T-Mobile USA, Inc. 144A company guaranty sr. notes 3.75%, 4/15/27 280,000 308,426
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 170,000 179,563
Virgin Media Finance PLC 144A sr. unsec. bonds 5.00%, 7/15/30 (United Kingdom) 200,000 199,416
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 367,673
Zayo Group Holdings, Inc. 144A sr. notes 4.00%, 3/1/27 $50,000 49,650
Ziggo BV 144A company guaranty sr. notes 5.50%, 1/15/27 (Netherlands) 150,000 156,012
9,062,306
Consumer cyclicals (4.3%)
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 130,000 132,275
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29(FWC) 125,000 124,844
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27(PIK) 235,000 242,074
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 135,000 140,063
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 130,000 133,276
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 120,000 127,200
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 125,000 124,531
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 240,000 244,800
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 100,000 99,870
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 50,000 54,438
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 180,000 182,700
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 700,000 703,500
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 526,000 383,980
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 260,000 267,800
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 544,000 557,600
Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 336,000 410,394
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 200,000 218,480
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 260,000 273,029
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 300,000 301,500
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) 235,000 259,088
Hanesbrands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/15/25 105,000 110,513
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 270,000 284,251
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 196,000 203,595
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 287,372 306,146
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 614,739 657,002
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 145,000 167,838
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 339,000 380,528
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 291,000 301,549
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 147,000 153,248
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 155,000 158,100
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 68,000 72,675
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 284,000 329,085
L Brands, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35 220,000 266,750
L Brands, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 50,000 63,438
L Brands, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 120,000 138,295
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 200,000 234,948
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $127,000 126,683
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 218,000 226,720
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 130,000 143,650
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 100,000 106,000
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 355,000 371,863
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 280,000 282,800
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 380,000 417,525
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 430,000 440,673
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 55,000 56,925
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 400,000 410,000
Meredith Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/1/25 240,000 256,800
Motion Bondco DAC company guaranty sr. notes Ser. REGS, 4.50%, 11/15/27 (Ireland) EUR 245,000 287,747
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 $247,000 255,645
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 195,000 200,850
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 200,000 203,896
Nexstar Broadcasting, Inc. 144A sr. unsec. notes 4.75%, 11/1/28 125,000 127,344
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 355,000 374,969
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 405,000 415,631
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 175,000 186,594
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 635,000 700,088
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 125,000 120,781
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 250,000 261,250
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 155,000 219,519
QVC, Inc. company guaranty sr. notes 4.375%, 9/1/28 220,000 225,177
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 606,000 724,170
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 150,000 154,875
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/15/26 230,000 247,825
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 368,000 384,998
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 265,000 276,263
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 215,000 213,656
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 130,000 126,750
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 819,000 856,879
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 255,000 275,494
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 125,000 132,188
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 95,000 88,792
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 25,781
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 250,000 251,123
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 240,000 234,528
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 275,000 302,902
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 105,000 118,519
TRI Pointe Group, Inc. sr. unsec. notes 5.70%, 6/15/28 125,000 138,783
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 134,000 148,908
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 255,000 276,356
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 25,000 25,875
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 140,000 143,500
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 233,580
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. notes 6.375%, 5/15/25 155,000 165,456
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 338,000 357,013
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 320,000 330,800
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 80,000 86,400
21,549,947
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 170,000 165,750
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 182,000 184,275
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 225,000 227,250
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 75,000 78,085
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 40,000 39,650
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 505,000 511,313
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 130,000 139,913
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 303,263
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 235,000 247,044
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 5.00%, 7/15/35 349,000 407,305
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 228,000 240,946
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 185,000 203,963
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 350,000 363,125
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 85,000 88,188
Loxam SAS notes 3.75%, 7/15/26 (France) EUR 200,000 241,799
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 $285,000 286,069
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 260,000 273,650
Match Group, Inc. 144A sr. unsec. unsub. notes 4.625%, 6/1/28 130,000 134,225
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 135,000 169,763
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 95,000 109,369
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 510,000 621,180
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 135,000 160,313
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 75,000 87,000
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 143,000 158,015
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 235,000 261,156
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.125%, 1/15/28 210,000 219,975
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 124,000 133,920
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 125,000 123,376
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 125,000 133,750
Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 50,000 54,688
6,368,318
Energy (3.1%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 150,000 163,500
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 35,000 39,301
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 133,000 136,342
Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 75,000 79,163
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 83,000 84,658
Callon Petroleum Co. company guaranty sr. unsec. unsub. notes 6.25%, 4/15/23 195,000 185,250
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 125,000 129,688
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 214,000 270,175
ChampionX corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 286,000 299,585
Cheniere Energy Partners LP 144A company guaranty sr. unsec. bonds 4.00%, 3/1/31 200,000 203,500
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 49,000 50,608
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 135,000 140,400
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 292,000 317,550
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 235,000 244,400
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 231,000 242,439
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 272,000 315,520
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 124,000 135,160
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 118,000 136,290
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 125,000 169,688
Devon Energy Corp. sr. unsec. unsub. bonds 5.60%, 7/15/41 98,000 115,782
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp. 144A sr. unsec. notes 7.75%, 12/15/25 293,000 331,705
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 250,000 244,930
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 438,000 467,565
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 255,000 271,575
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 344,000 355,610
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 25,000 27,306
Global Partners LP/GLP Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 40,000 43,200
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 236,000 244,260
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 464,000 481,400
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 433,000 447,073
Indigo Natural Resources, LLC 144A sr. unsec. notes 5.375%, 2/1/29 505,000 501,213
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 314,000 324,401
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 160,671 166,294
Northriver Midstream Finance LP 144A sr. notes 5.625%, 2/15/26 (Canada) 192,000 198,960
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 60,000 68,400
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 68,000 72,250
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 312,000 354,120
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 90,000 118,834
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 155,000 195,524
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25 140,000 146,650
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 279,855
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 424,000
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 378,000 427,140
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 1,863,000 2,011,109
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 300,000 332,628
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 3,034,000 132,738
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 972,000 42,525
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 7.69%, 1/23/50 (Mexico) 931,000 896,181
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 180,000 189,675
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 322,000 311,133
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 99,000 94,793
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 133,000 128,678
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 211,000 209,418
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 70,000 79,625
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 282,000 279,885
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 80,000 89,656
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 410,000 445,875
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.50%, 3/1/30 75,000 81,119
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 94,250 90,951
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 190,000 180,500
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 80,000 83,596
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 65,000 67,925
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 146,000 155,813
15,555,087
Financials (3.1%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 235,000 243,519
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 60,000 60,450
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 1,216,000 1,708,752
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 230,000 284,282
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity $148,000 166,130
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 578,000 653,140
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 225,000 263,277
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) 200,000 208,750
Diversified Healthcare Trust company guaranty sr. unsec. notes 9.75%, 6/15/25(R) 510,000 571,197
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 284,250
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 95,000 96,929
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 120,000 124,200
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 75,000 77,719
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 150,000 151,688
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 210,000 214,463
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 237,000 249,822
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5.25%, 5/15/27 55,000 56,100
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 4.375%, 2/1/29 136,000 131,909
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 21,300
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 200,000 227,500
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 205,000 212,175
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 347,000 361,748
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 2,050,000 1,990,550
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 360,000 363,600
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 250,000 244,375
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 55,000 57,475
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 203,000 205,030
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30 75,000 74,225
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 240,000 252,900
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 235,000 239,693
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 525,000 525,000
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 88,000 99,705
Springleaf Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 105,000 116,156
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 393,000 446,546
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 265,000 285,538
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 330,000 343,622
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 2.188%, perpetual maturity (Netherlands) EUR 252,125 396,705
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 $178,000 181,560
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 3,280,000 3,472,700
15,664,680
Health care (1.9%)
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 611,000 678,974
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 235,000 260,401
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 115,000 125,206
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 180,000 190,350
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 370,000 378,325
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29 100,000 100,154
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 319,000 326,975
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 120,000 119,054
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 560,000 605,500
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 206,000 216,094
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 184,000 192,050
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 125,000 128,750
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 120,000 122,100
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 25,000 26,313
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 100,000 106,000
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 235,000 222,075
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 290,000 329,759
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) 105,000 103,688
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 125,000 127,969
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 155,000 172,195
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 540,000 613,094
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 125,000 128,481
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 204,500
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 250,000 305,125
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) $235,000 237,350
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 270,000 276,612
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 130,000 131,326
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 350,000 377,857
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 95,000 91,913
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 660,000 669,966
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 63,000 66,071
Tenet Healthcare Corp. 144A company guaranty sr. notes 7.50%, 4/1/25 65,000 70,038
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 525,000 550,620
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 755,000 784,445
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 385,000 419,650
9,458,980
Technology (1.1%)
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 40,000 42,150
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 230,000 237,047
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 176,000 174,460
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 583,000 695,176
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 333,000 341,958
Diebold Nixdorf, Inc. company guaranty sr. unsec. sub. notes 8.50%, 4/15/24 235,000 239,994
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25 119,000 132,536
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 75,000 79,781
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 275,000 285,577
Microchip Technology, Inc. 144A company guaranty sr. unsec. notes 4.25%, 9/1/25 257,000 269,861
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 628,000 628,785
Plantronics, Inc. 144A company guaranty sr. unsec. notes 4.75%, 3/1/29 349,000 343,765
Qorvo, Inc. 144A company guaranty sr. unsec. bonds 3.375%, 4/1/31 275,000 278,666
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 449,000 475,379
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 105,000 111,169
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 195,000 194,756
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 375,000 384,844
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 260,000 264,966
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 94,000 104,164
5,285,034
Transportation (0.2%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 260,000 278,590
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 260,000 273,000
Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 375,000 411,640
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 100,000 103,920
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 100,000 103,772
1,170,922
Utilities and power (0.8%)
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 122,000 120,094
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 67,000 67,000
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 100,000 100,125
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 126,000 129,345
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 380,000 384,066
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 25,000 24,625
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 772,852
Energy Transfer LP jr. unsec. sub. FRN 6.625%, 2/15/28 41,000 38,591
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 206,000 213,468
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 62,000 64,616
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 385,000 412,341
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 109,000 116,766
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 240,000 247,534
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 65,000 66,804
PG&E Corp. sr. sub. notes 5.00%, 7/1/28 235,000 246,163
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/21(F) 205,000 205
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 115,000 120,916
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 65,000 67,495
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.625%, 2/15/27 152,000 158,262
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 369,000 380,993
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 165,000 170,945
3,903,206
Total corporate bonds and notes (cost $102,902,070) $105,357,168








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (13.9%)(a)
        Principal amount Value
Angola (Republic of) sr. unsec. notes Ser. REGS, 8.25%, 5/9/28 (Angola) $2,110,000 $2,162,701
Argentina (Republic of) 144A sr. unsec. notes 3.00%, 2/1/29 (Argentina) 2,407,903 1,366,485
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) 2,130,000 2,406,943
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) (In default)(NON) 700,000 299,775
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) (In default)(NON) 1,990,000 810,925
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/22 (Argentina) (In default)(NON) 33,333 15,017
Chile (Republic of) sr. unsec. unsub. bonds 3.50%, 1/25/50 (Chile) 740,000 765,071
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 3.00%, 6/1/27 (Argentina) 2,695,975 1,608,149
Cordoba (Province of) 144A sr. unsec. unsub. notes 3.00%, 12/10/25 (Argentina) 1,029,088 703,176
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.875%, 1/30/60 (Dominican Republic) 1,325,000 1,321,688
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 58,333 58,333
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 1,405,000 1,635,069
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 1,350,000 1,540,701
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 230,000 238,625
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,823,250
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.053%, 1/15/32 (Egypt) 1,490,000 1,525,373
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 368,000 398,811
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 880,000 932,800
Egypt (Arab Republic of) 144A sr. unsec. bonds 8.875%, 5/29/50 (Egypt) 920,000 966,789
Egypt (Arab Republic of) 144A sr. unsec. bonds 7.053%, 1/15/32 (Egypt) 1,030,000 1,053,690
Egypt (Arab Republic of) 144A sr. unsec. bonds 5.875%, 2/16/31 (Egypt) 1,850,000 1,782,993
Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, 5/29/24 (Egypt) 780,000 823,875
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 1/18/27 (El Salvador) 321,000 331,436
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.95%, 3/26/51 (Ghana) 1,890,000 1,875,825
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana) 2,110,000 2,120,550
Ghana (Republic of) 144A sr. unsec. notes 7.75%, 4/7/29 (Ghana) 1,300,000 1,328,275
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 2,370,000 2,698,814
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 836,001
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 341,622
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 640,000 859,962
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,426,312
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,424,436
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 4,755,000 5,040,300
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Ivory Coast) 1,456,306 1,465,408
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) 630,000 696,156
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 300,000 322,875
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 3/13/28 (Senegal) EUR 140,000 174,098
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Ivory Coast) EUR 760,000 959,304
Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, 3/15/39 (Jamaica) $127,000 178,435
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) 1,000,000 1,085,934
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) 760,000 841,708
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 670,000 718,562
Mongolia International Bond sr. unsec. unsub. notes Ser. REGS, 5.125%, 12/5/22 (Mongolia) 690,000 714,147
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman) 817,000 867,082
Saudi Arabia (Kingdom of) sr. unsec. notes Ser. REGS, 2.90%, 10/22/25 (Saudi Arabia) 2,174,000 2,309,745
Senegal (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.75%, 3/13/48 (Senegal) 3,900,000 3,919,500
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 3,605,000 3,762,719
South Africa (Republic of) sr. unsec. unsub. bonds 6.30%, 6/22/48 (South Africa) 230,000 235,179
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 830,000 924,720
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 805,000 847,247
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 1,680,000 1,570,800
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 940,000 967,354
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) 2,230,000 2,143,565
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 65,000
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 1,652,000 169,330
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 439,000 44,998
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 2,674,000 274,085
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 1,720,000 1,919,950
Total foreign government and agency bonds and notes (cost $70,749,891) $69,701,673








CONVERTIBLE BONDS AND NOTES (7.0%)(a)
        Principal amount Value
Capital goods (0.1%)
Middleby Corp. (The) 144A cv. sr. unsec. unsub. notes 1.00%, 9/1/25 $255,000 $381,990
381,990
Communication services (0.4%)
Cable One, Inc. 144A company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 373,000 368,700
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 805,000 847,263
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 84,000 109,300
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 175,000 195,475
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 415,000 423,715
1,944,453
Consumer cyclicals (1.4%)
Alarm.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 245,000 228,463
Booking Holdings, Inc. 144A cv. sr. unsec. notes 0.75%, 5/1/25 465,000 703,080
Burlington Stores, Inc. 144A cv. sr. unsec. notes 2.25%, 4/15/25 221,000 352,633
Cinemark Holdings, Inc. 144A cv. sr. unsec. notes 4.50%, 8/15/25 109,000 187,412
DraftKings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 3/15/28 365,000 348,393
Expedia Group, Inc. 144A company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 380,000 411,920
Ford Motor Co. 144A cv. sr. unsec. notes zero %, 3/15/26 481,000 474,988
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 288,000 415,728
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 47,000 44,058
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 202,000 270,074
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 423,000 568,681
National Vision Holdings, Inc. 144A cv. sr. unsec. notes 2.50%, 5/15/25 160,000 277,500
NCL Corp, Ltd. 144A cv. company guaranty notes 5.375%, 8/1/25 142,000 268,806
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. notes 2.875%, 11/15/23 691,000 893,809
Sabre GLBL, Inc. company guaranty cv. sr. unsec. notes 4.00%, 4/15/25, (acquired 11/9/20, cost $70,148)(RES) 48,000 101,088
Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes zero %, 12/15/25 241,000 338,316
Square, Inc. 144A cv. sr. unsec. sub. notes 0.25%, 11/1/27 177,000 207,975
Square, Inc. 144A cv. sr. unsec. sub. notes zero %, 5/1/26 177,000 203,550
Vail Resorts, Inc. 144A cv. sr. unsec. sub. notes zero %, 1/1/26 307,000 325,612
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 183,000 260,775
6,882,861
Consumer staples (0.4%)
Airbnb, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 367,000 363,187
Chegg, Inc. 144A cv. sr. unsec. notes zero %, 9/1/26 247,000 271,330
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 9/1/27 239,000 308,758
Lyft, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/25 155,000 247,690
Shake Shack, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 191,000 180,614
Uber Technologies, Inc. 144A cv. sr. unsec. notes zero %, 12/15/25 202,000 211,903
Wayfair, Inc. 144A cv. sr. unsec. notes 0.625%, 10/1/25 419,000 434,451
2,017,933
Energy (0.3%)
Enphase energy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 359,000 314,823
Pioneer Natural Resources Co. 144A cv. sr. unsec. notes 0.25%, 5/15/25 473,000 717,541
SolarEdge Technologies, Inc. 144A cv. sr. unsec. notes zero %, 9/15/25, (Israel) 160,000 193,760
Sunrun, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 199,000 163,678
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 215,000 170,051
1,559,853
Financials (0.3%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 238,000 244,854
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. notes 3.25%, 3/15/22 183,000 195,168
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22(R) 124,000 191,270
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 240,000 270,900
LendingTree, Inc. 144A cv. sr. unsec. notes 0.50%, 7/15/25 215,000 190,544
Redfin Corp. 144A cv. sr. unsec. notes zero %, 10/15/25 300,000 361,200
1,453,936
Health care (1.1%)
1Life Healthcare, Inc. 144A cv. sr. unsec. notes 3.00%, 6/15/25 271,000 339,780
BioMarin Pharmaceutical, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 5/15/27 201,000 197,985
CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 206,000 340,039
DexCom, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 11/15/25 312,000 312,000
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 536,000 729,965
Guardant Health, Inc. 144A cv. sr. unsec. sub. notes zero %, 11/15/27 272,000 356,490
Halozyme Therapeutics, Inc. 144A cv. sr. unsec. notes 0.25%, 3/1/27 359,000 345,538
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 260,000 373,750
Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, 8/15/25 253,000 291,279
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 171,000 190,931
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 0.75%, 6/15/24 170,000 185,286
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 336,000 363,806
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 255,000 257,556
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 92,000 120,865
Novocure, Ltd. 144A cv. sr. unsec. notes zero %, 11/1/25, (Jersey) 113,000 160,672
Omnicell, Inc. 144A cv. sr. unsec. notes 0.25%, 9/15/25 160,000 249,120
Pacira Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/25 300,000 332,625
Revance Therapeutics, Inc. cv. sr. unsec. notes 1.75%, 2/15/27 162,000 185,996
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 142,000 156,470
Teladoc Health, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 6/1/27 231,000 258,287
5,748,440
Technology (2.5%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 323,000 361,154
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 245,000 307,843
Bentley Systems, Inc. 144A cv. sr. unsec. notes 0.125%, 1/15/26 192,000 203,280
Bill.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/25 339,000 410,614
Blackline, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 396,000 390,308
Box, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 245,000 266,756
Ceridian HCM Holding, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/26 270,000 268,650
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 363,000 418,358
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 199,000 223,139
Datadog, Inc. 144A cv. sr. unsec. notes 0.125%, 6/15/25 278,000 331,515
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25 206,000 204,782
Everbridge, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 265,000 268,975
Five9, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/25 190,000 288,502
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 236,000 268,598
HubSpot, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 117,000 226,103
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 204,000 238,680
LivePerson, Inc. 144A cv. sr. unsec. notes zero %, 12/15/26 197,000 197,611
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 304,000 335,555
Okta, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 336,000 440,790
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 117,000 228,223
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 1,094,000 1,426,576
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25, (acquired various dates 2/20/20 through 4/28/20, cost $156,328)(RES) 159,000 182,800
Proofpoint, Inc. cv. sr. unsec. notes 0.25%, 8/15/24 308,000 382,883
Q2 Holdings, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/1/26 131,000 173,002
Rapid7, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/27 228,000 234,977
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 369,000 417,814
Silicon Laboratories, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 168,000 219,458
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 400,000 409,250
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 6/15/27 743,000 684,953
Twitter, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 868,000 789,264
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 257,000 346,462
Zendesk, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 242,000 355,135
Zscaler, Inc. 144A cv. sr. unsec. notes 0.125%, 7/1/25 365,000 514,650
Zynga, Inc. 144A cv. sr. unsec. unsub. notes zero %, 12/15/26 517,000 559,006
12,575,666
Transportation (0.4%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 173,000 183,813
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25 261,000 414,990
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 329,000 359,433
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 602,000 1,045,223
2,003,459
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 276,000 293,802
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 287,000 323,951
617,753
Total convertible bonds and notes (cost $31,848,923) $35,186,344








SENIOR LOANS (3.6%)(a)(c)
        Principal amount Value
Basic materials (0.4%)
Alpha 3 BV bank term loan FRN Ser. B, (1 Month US LIBOR + 2.50%), 3.00%, 3/18/28 $155,000 $153,902
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.185%, 9/6/24 65,513 65,173
Klockner-Pentaplast of America, Inc. bank term loan FRN (1 Month US LIBOR + 4.75%), 5.25%, 2/9/26 70,000 69,679
PQ Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.25%), 2.462%, 2/7/27 51,318 50,942
SCIH Salt Holdings, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.00%), 4.115%, 3/16/27 305,000 303,475
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 8.69%, 6/26/26 185,000 184,538
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.19%, 6/26/25 313,671 312,652
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 2.75%), 2.865%, 10/1/25 481,549 475,048
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.158%, 5/3/26 309,215 306,510
W.R. Grace & Co./CT bank term loan FRN Ser. B3, (1 Month US LIBOR + 2.00%), 2.107%, 3/30/28 295,000 293,525
2,215,444
Capital goods (0.6%)
Adient US, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 3.609%, 4/8/28 125,000 124,844
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 52,993 52,670
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.443%, 4/3/24 780,902 753,448
Filtration Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.75%), 4.50%, 3/29/25 149,250 149,157
GFL Environmental, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.50%, 5/31/25 436,470 436,402
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.205%, 4/12/26 192,630 187,513
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.267%, 3/28/25 492,746 481,728
Vertical US Newco, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.25%), 4.478%, 6/30/27 104,476 104,606
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.75%), 2.861%, 3/2/27 910,817 905,409
3,195,777
Communication services (0.2%)
Altice US Finance I Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 2.365%, 1/15/26 397,877 393,214
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (1 Month US LIBOR + 3.75%), 8.00%, 11/27/23 615,000 624,335
Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 3.113%, 3/9/27 124,711 123,430
1,140,979
Consumer cyclicals (1.1%)
AppleCaramel Buyer, LLC bank term loan FRN (1 Month US LIBOR + 4.00%), 4.50%, 10/19/27 473,298 473,003
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/7/23 574,568 571,798
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 3.685%, 8/21/26 506,340 489,673
Cornerstone Building Brands, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.25%), 3.449%, 4/12/28 333,056 330,141
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24 219,490 218,849
Diamond Sports Group, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.25%), 3.37%, 8/24/26 211,775 150,360
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.36%, 10/30/26 182,072 182,148
Golden Nugget, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 2.50%), 3.25%, 10/4/23 190,572 188,094
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD 3 Month + 2.50%), 2.50%, 11/2/25 179,322 178,126
iHeartCommunications, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 3.113%, 5/1/26 108,625 107,154
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.61%, 11/6/24 765,529 764,572
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.50%), 2.615%, 6/19/26 276,079 274,698
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 220,000 190,300
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 2/28/25 357,037 343,351
Scientific Games International, Inc. bank term loan FRN Ser. B5, (1 Month US LIBOR + 2.75%), 2.863%, 8/14/24 137,519 135,378
Terrier Media Buyer, Inc. bank term loan FRN (1 Month US LIBOR + 3.50%), 3.613%, 12/17/26 268,881 266,865
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 412,374 410,312
5,274,822
Consumer staples (0.3%)
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.00%, 7/12/24 601,164 599,769
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24 582,051 565,212
IRB Holding Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.25%), 4.25%, 12/15/27 89,775 89,457
IRB Holding Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.75%), 3.75%, 2/5/25 220,455 218,771
1,473,209
Financials (0.1%)
Forest City Enterprises LP bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 3.613%, 12/7/25 270,000 263,672
HUB International, Ltd. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.25%), 4.00%, 4/25/25 98,753 98,620
362,292
Health care (0.4%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 1.75%), 1.865%, 2/4/27 140,780 138,769
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 3.863%, 10/10/25 228,830 192,952
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.75%), 5.75%, 10/5/25 518,700 519,240
Jazz Financing Lux Sarl bank term loan FRN Ser. B, (1 Month US LIBOR + 3.50%), 4.00%, 4/22/28 (Luxembourg) 555,000 556,249
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/7/27 305,000 306,525
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.361%, 6/30/25 148,842 148,553
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 9.25%, 4/29/25 234,793 238,549
2,100,837
Technology (0.4%)
Arches Buyer, Inc. bank term loan FRN (1 Month US LIBOR + 3.25%), 3.75%, 12/6/27 410,000 407,865
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.75%), 3.863%, 10/2/25 403,841 401,409
Epicor Software Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.25%), 4.00%, 7/30/27 203,975 203,558
Greeneden US Holdings II, LLC bank term loan FRN (1 Month US LIBOR + 4.00%), 4.75%, 10/8/27 403,988 404,694
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.609%, 7/2/25 338,593 333,891
1,751,417
Transportation (0.1%)
Aadvantage Loyalty LP, Ltd. bank term loan FRN (1 Month US LIBOR + 4.75%), 5.50%, 3/24/28 120,000 123,206
United Airlines, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.75%), 4.50%, 4/14/28 255,000 257,914
381,120
Total senior loans (cost $17,962,820) $17,895,897








PURCHASED SWAP OPTIONS OUTSTANDING (2.4%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/ Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
(1.185)/3 month USD-LIBOR-BBA/Dec-25 Dec-23/1.185 $49,147,400 $605,496
0.485/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.485 49,147,400 57,011
Barclays Bank PLC
(1.08)/3 month USD-LIBOR-BBA/Jun-26 (United Kingdom) Jun-21/1.08 194,076,200 681,207
Citibank, N.A.
(2.023)/3 month USD-LIBOR-BBA/Jun-51 Jun-21/2.023 3,169,000 78,655
(0.271)/3 month USD-LIBOR-BBA/Jun-23 Jun-21/0.271 38,028,600 32,705
0.915/3 month USD-LIBOR-BBA/Jul-31 Jul-21/0.915 8,413,300 841
Goldman Sachs International
1.869/3 month USD-LIBOR-BBA/Sep-31 Sep-21/1.869 50,484,000 1,320,661
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 7,048,900 610,787
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 7,048,900 315,720
(1.62)/3 month USD-LIBOR-BBA/Aug-31 Aug-21/1.62 11,883,200 224,236
(2.983)/3 month USD-LIBOR-BBA/May-52 May-22/2.983 12,300,800 186,603
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 528,479
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 515,495
(1.81)/3 month USD-LIBOR-BBA/Jun-31 Jun-21/1.81 77,978,300 396,131
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 349,643
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 340,918
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 1,391,988
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 6,990,700 1,370,037
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 6,990,700 1,149,411
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 8,725,000 745,900
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 8,725,000 209,662
(2.904)/3 month USD-LIBOR-BBA/May-51 May-21/2.904 5,271,800 5
Toronto-Dominion Bank
(1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) Mar-25/1.04 1,323,000 395,908
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 13,220,400 371,925
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 13,220,400 256,533
Total purchased swap options outstanding (cost $11,405,752) $12,135,957








PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Call) Jun-21/$100.55 $100,000,000 $100,000,000 $748,600
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Jun-21/103.25 60,000,000 60,000,000 337,920
Total purchased options outstanding (cost $443,750) $1,086,520








ASSET-BACKED SECURITIES (1.3%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.076%, 7/25/24 $1,314,000 $1,314,788
CarMax Auto Owner Trust Ser. 20-2, Class D, 6.87%, 5/17/27 1,674,000 1,864,751
Cascade Funding Mortgage Trust, LLC 144A Ser. 20-HB4, Class M4, 4.948%, 12/26/30(WAC) 595,000 595,060
Finance of America HECM Buyout 144A Ser. 21-HB1, Class M4, 6.414%, 2/25/31(WAC) 1,000,000 1,000,700
Mello Warehouse Securitization Trust 144A FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 0.906%, 6/25/52 366,000 365,771
Nationstar HECM Loan Trust 144A Ser. 19-2A, Class M4, 5.682%, 11/25/29(WAC) 1,195,000 1,193,136
Total asset-backed securities (cost $6,143,962) $6,334,206








COMMON STOCKS (0.1%)(a)
        Shares Value
Advanz Pharma Corp., Ltd. (Canada)(NON) 1,070 $17,976
CHC Group, LLC(NON) 12,181 256
iHeartMedia, Inc. Class A(NON) 15,096 288,938
MWO Holdings, LLC (Units)(F) 169 431
Oasis Petroleum, Inc. 854 66,287
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 22,127
Tribune Media Co. Class 1C 92,963 9,296
Total common stocks (cost $934,583) $405,311








PREFERRED STOCKS (—%)(a)
        Shares Value
GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 7,611 $195,146
Total preferred stocks (cost $195,845) $195,146








SHORT-TERM INVESTMENTS (15.1%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 0.10%(AFF) Shares 24,371,707 $24,371,707
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 690,000 690,000
U.S. Treasury Bills 0.088%, 5/6/21(SEGSF)(SEGCCS) $3,045,000 3,044,999
U.S. Treasury Bills 0.082%, 5/13/21(SEGSF)(SEGCCS) 6,600,000 6,599,995
U.S. Treasury Bills 0.059%, 5/25/21(SEGSF) 4,500,000 4,499,986
U.S. Treasury Bills 0.036%, 6/3/21(SEG)(SEGSF) 11,200,000 11,199,953
U.S. Treasury Bills 0.010%, 6/29/21(SEGSF) 2,600,000 2,599,938
U.S. Treasury Bills 0.040%, 6/10/21(SEGSF)(SEGCCS) 1,300,000 1,299,986
U.S. Treasury Bills 0.040%, 6/1/21(SEGSF) 2,300,000 2,299,981
U.S. Treasury Cash Management Bills 0.021%, 8/3/21(SEGSF)(SEGCCS) 8,700,000 8,699,822
U.S. Treasury Cash Management Bills 0.016%, 7/27/21(SEG)(SEGSF)(SEGCCS) 4,800,000 4,799,830
U.S. Treasury Cash Management Bills 0.024%, 7/20/21(SEGSF) 1,000,000 999,983
U.S. Treasury Cash Management Bills 0.009%, 7/6/21(SEG)(SEGSF)(SEGCCS) 4,300,000 4,299,939
Total short-term investments (cost $75,404,992) $75,406,119
TOTAL INVESTMENTS
Total investments (cost $948,544,918) $934,115,208








FORWARD CURRENCY CONTRACTS at 4/30/21 (aggregate face value $314,401,369) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Canadian Dollar Buy 7/21/21 $826,475 $807,731 $18,744
Euro Buy 6/16/21 4,909,306 4,855,489 53,817
Hong Kong Dollar Sell 5/20/21 249,827 259,457 9,630
Japanese Yen Buy 5/19/21 3,119,093 3,249,757 (130,664)
Norwegian Krone Buy 6/16/21 878,754 860,266 18,488
Swiss Franc Buy 6/16/21 3,581,702 3,549,091 32,611
Barclays Bank PLC
Australian Dollar Buy 7/21/21 413,510 414,640 (1,130)
British Pound Sell 6/16/21 1,434,089 1,442,350 8,261
Canadian Dollar Sell 7/21/21 878,227 858,480 (19,747)
Euro Sell 6/16/21 3,981,328 3,920,793 (60,535)
Japanese Yen Buy 5/19/21 3,003,643 3,128,847 (125,204)
Swiss Franc Buy 6/16/21 1,304,181 1,303,289 892
Citibank, N.A.
Australian Dollar Buy 7/21/21 1,857,251 1,872,484 (15,233)
British Pound Sell 6/16/21 6,372,255 6,454,142 81,887
Canadian Dollar Buy 7/21/21 61,923 60,505 1,418
Euro Sell 6/16/21 5,077,646 5,022,925 (54,721)
Japanese Yen Buy 5/19/21 1,300,286 1,355,037 (54,751)
New Zealand Dollar Sell 7/21/21 1,240,904 1,222,787 (18,117)
Credit Suisse International
British Pound Sell 6/16/21 2,858,095 2,892,530 34,435
Canadian Dollar Sell 7/21/21 2,560,959 2,502,702 (58,257)
Euro Sell 6/16/21 1,559,585 1,546,674 (12,911)
Goldman Sachs International
Australian Dollar Buy 7/21/21 3,321,259 3,341,662 (20,403)
British Pound Sell 6/16/21 690,042 665,127 (24,915)
Canadian Dollar Buy 7/21/21 11,231,747 10,945,000 286,747
Euro Sell 6/16/21 6,644,932 6,594,701 (50,231)
Japanese Yen Buy 5/19/21 1,117,147 1,099,150 17,997
New Zealand Dollar Sell 7/21/21 9,783,654 9,636,358 (147,296)
Norwegian Krone Buy 6/16/21 7,373,976 7,224,926 149,050
Swedish Krona Buy 6/16/21 1,246,349 1,286,615 (40,266)
Swiss Franc Buy 6/16/21 3,142,772 3,131,067 11,705
HSBC Bank USA, National Association
British Pound Buy 6/16/21 317,812 326,796 (8,984)
Canadian Dollar Buy 7/21/21 1,728,869 1,689,673 39,196
Euro Buy 6/16/21 6,087,328 6,015,540 71,788
Hong Kong Dollar Sell 5/20/21 2,150,536 2,164,331 13,795
Japanese Yen Buy 5/19/21 4,513,577 4,702,528 (188,951)
Swiss Franc Buy 6/16/21 1,304,181 1,303,294 887
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/21/21 3,733,305 3,745,325 (12,020)
British Pound Sell 6/16/21 876,227 882,036 5,809
Canadian Dollar Sell 7/21/21 5,021,262 4,914,438 (106,824)
Euro Buy 6/16/21 3,953,051 3,911,360 41,691
Japanese Yen Buy 5/19/21 1,497,815 1,537,438 (39,623)
New Zealand Dollar Sell 7/21/21 2,607,000 2,568,359 (38,641)
Norwegian Krone Buy 6/16/21 707,588 686,520 21,068
Swedish Krona Sell 6/16/21 498,119 498,995 876
Swiss Franc Buy 6/16/21 26,309 28,212 (1,903)
Morgan Stanley & Co. International PLC
Australian Dollar Sell 7/21/21 1,277,597 1,268,239 (9,358)
British Pound Buy 6/16/21 76,103 67,359 8,744
Canadian Dollar Buy 7/21/21 477,235 419,951 57,284
Euro Buy 6/16/21 4,787,894 4,690,337 97,557
Japanese Yen Buy 5/19/21 9,742,504 10,055,429 (312,925)
New Zealand Dollar Sell 7/21/21 857,387 845,953 (11,434)
Norwegian Krone Buy 6/16/21 829,208 838,809 (9,601)
Swedish Krona Sell 6/16/21 2,846,885 2,892,506 45,621
Swiss Franc Buy 6/16/21 124,203 123,795 408
NatWest Markets PLC
Australian Dollar Sell 7/21/21 850,139 841,124 (9,015)
British Pound Buy 6/16/21 3,688,880 3,737,355 (48,475)
Canadian Dollar Sell 7/21/21 3,005,320 2,937,027 (68,293)
Euro Sell 6/16/21 4,258,205 4,276,988 18,783
Japanese Yen Sell 5/19/21 943,032 951,890 8,858
New Zealand Dollar Sell 7/21/21 6,706,146 6,605,718 (100,428)
Swedish Krona Buy 6/16/21 1,674,889 1,677,826 (2,937)
State Street Bank and Trust Co.
Australian Dollar Buy 7/21/21 552,528 682,087 (129,559)
British Pound Sell 6/16/21 12,760,806 12,981,312 220,506
Canadian Dollar Sell 7/21/21 6,422,617 6,359,055 (63,562)
Euro Sell 6/16/21 19,824,938 19,646,629 (178,309)
Hong Kong Dollar Sell 5/20/21 9,310,967 9,330,974 20,007
Japanese Yen Sell 5/19/21 12,067,910 12,690,830 622,920
New Zealand Dollar Sell 7/21/21 2,725,395 2,618,124 (107,271)
Norwegian Krone Sell 6/16/21 855,915 834,384 (21,531)
Swedish Krona Sell 6/16/21 581,891 475,080 (106,811)
Swiss Franc Buy 6/16/21 6,948,543 6,973,672 (25,129)
Toronto-Dominion Bank
Australian Dollar Buy 7/21/21 1,696,963 1,685,765 11,198
British Pound Sell 6/16/21 253,725 250,211 (3,514)
Canadian Dollar Buy 7/21/21 1,392,974 1,368,096 24,878
Euro Sell 6/16/21 14,900,831 14,784,228 (116,603)
Hong Kong Dollar Sell 5/20/21 429,167 430,093 926
Japanese Yen Buy 5/19/21 3,534,543 3,606,735 (72,192)
Norwegian Krone Buy 6/16/21 2,607,861 2,545,163 62,698
Swedish Krona Sell 6/16/21 70,147 69,055 (1,092)
Swiss Franc Sell 6/16/21 857,797 844,988 (12,809)
UBS AG
British Pound Sell 6/16/21 524,023 540,920 16,897
Canadian Dollar Buy 7/21/21 158,021 114,805 43,216
Euro Sell 6/16/21 5,063,568 5,097,478 33,910
Hong Kong Dollar Sell 5/20/21 514,898 524,996 10,098
Japanese Yen Buy 5/19/21 15,143,952 15,410,202 (266,250)
New Zealand Dollar Sell 7/21/21 6,064,591 5,958,128 (106,463)
Norwegian Krone Buy 6/16/21 1,055,062 1,035,665 19,397
Swedish Krona Buy 6/16/21 10,602,676 10,602,573 103
Swiss Franc Buy 6/16/21 157,199 205,167 (47,968)
WestPac Banking Corp.
British Pound Buy 6/16/21 1,007,716 1,021,042 (13,326)
Canadian Dollar Buy 7/21/21 909,473 888,852 20,621
Euro Sell 6/16/21 1,755,962 1,713,995 (41,967)
Japanese Yen Sell 5/19/21 433,140 460,929 27,789
New Zealand Dollar Sell 7/21/21 4,000,424 3,940,403 (60,021)
Unrealized appreciation 2,293,211
Unrealized (depreciation) (3,178,170)
Total $(884,959)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 4/30/21 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bund 10 yr (Long) 1 $204,383 $204,382 Jun-21 $(2,022)
U.S. Treasury Note 2 yr (Short) 1,832 404,428,312 404,428,312 Jun-21 325,761
U.S. Treasury Note 5 yr (Short) 513 63,579,938 63,579,938 Jun-21 (192,725)
U.S. Treasury Note Ultra 10 yr (Short) 3 436,641 436,641 Jun-21 10,165
Unrealized appreciation 335,926
Unrealized (depreciation) (194,747)
Total $141,179








WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/21 (premiums $19,397,119) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
0.985/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.985 $49,147,400 $315,035
2.074/3 month USD-LIBOR-BBA/Dec-53 Dec-23/2.074 3,931,800 471,619
Barclays Bank PLC
(1.08)/3 month USD-LIBOR-BBA/Jun-26 Jun-21/1.08 194,076,200 1,350,770
Citibank, N.A.
1.722/3 month USD-LIBOR-BBA/Jun-31 Jun-21/1.722 15,845,200 91,744
1.415/3 month USD-LIBOR-BBA/Jul-31 Jul-21/1.415 8,413,300 238,181
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 8,485,700 349,781
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 8,485,700 759,046
Goldman Sachs International
2.823/3 month USD-LIBOR-BBA/May-27 May-22/2.823 49,203,000 86,105
1.564/3 month USD-LIBOR-BBA/May-31 May-21/1.564 19,013,000 174,159
1.722/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 4,577,200 325,486
2.317/3 month USD-LIBOR-BBA/Dec-31 Dec-21/2.317 $50,484,000 401,348
(1.722)/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 4,577,200 450,838
(1.519)/3 month USD-LIBOR-BBA/Sep-31 Sep-21/1.519 $50,484,000 495,753
JPMorgan Chase Bank N.A.
1.333/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 9,536,800 11,730
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 3,624,700 43,569
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 5,786,700 56,768
(1.333)/3 month USD-LIBOR-BBA/Jan-24 Jan-23/1.333 9,536,800 70,191
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 10,069,900 252,058
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 $5,786,700 408,946
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 26,351,000 409,231
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 3,624,700 489,117
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 10,069,900 1,382,082
(1.81)/3 month USD-LIBOR-BBA/Jun-31 Jun-21/1.81 $77,978,300 1,486,266
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 26,351,000 2,877,527
Morgan Stanley & Co. International PLC
2.664/3 month USD-LIBOR-BBA/May-26 May-21/2.664 21,087,000 21
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 3,620,600 130,885
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 3,620,600 134,252
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 8,725,000 140,909
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 3,620,600 306,375
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 3,620,600 314,594
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 8,725,000 489,124
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 6,990,700 1,022,949
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 6,990,700 1,276,572
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 6,990,700 1,287,407
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 529,000 19,187
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 1,058,000 291,955
1.05/3 month USD-LIBOR-BBA/Mar-27 Mar-25/1.05 17,451,000 385,842
UBS AG
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 9,843,400 392,161
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 9,843,400 779,893
Total $19,969,476








WRITTEN OPTIONS OUTSTANDING at 4/30/21 (premiums $443,750) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Put) Jun-21/$100.55 $100,000,000 $100,000,000 $490,800
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Jun-21/103.25 60,000,000 60,000,000 197,340
Total $688,140








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/21 (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.
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 $56,560,700 $(521,772) $1,289,584
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 9,326,800 (667,799) 734,112
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 4,782,000 (774,972) 520,184
(0.765)/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/0.765 $6,389,200 (151,424) 428,204
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 4,687,800 (610,586) 400,151
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 4,749,700 (346,728) 390,378
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 2,528,950 (576,785) 247,765
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 $47,380,600 (306,197) 208,948
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 14,707,300 (1,911,949) 127,954
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 3,515,900 (79,544) 110,083
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) Mar-24/2.29 11,377,800 (559,625) 1,479
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 47,380,600 (306,197) (69,649)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 2,528,950 (576,785) (106,871)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 $14,707,300 (1,911,949) (114,129)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 4,782,000 (387,486) (137,405)
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) Apr-24/2.17 $32,507,900 (1,570,132) (145,960)
0.765/3 month USD-LIBOR-BBA/Sep-31 (Purchased) Sep-21/0.765 6,389,200 (151,424) (148,996)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 4,749,700 (346,728) (215,636)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 4,687,800 (610,586) (322,896)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 9,326,800 (667,799) (400,866)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 56,560,700 (521,772) (512,440)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 3,515,900 (1,653,091) (1,320,361)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) Apr-24/1.085 65,015,900 892,343 110,527
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 47,380,600 199,591 66,807
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) Mar-24/1.29 16,254,000 253,562 2,763
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 47,380,600 199,591 (237,377)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) 161,119
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) (126,836)
Citibank, N.A.
(0.462)/3 month USD-LIBOR-BBA/Jun-26 (Purchased) Jun-21/0.462 $14,313,700 (138,664) 247,054
(1.007)/3 month USD-LIBOR-BBA/Jun-31 (Purchased) Jun-21/1.007 4,914,700 (79,495) 224,061
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 2,359,100 (74,960) 139,376
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 4,450,300 (656,419) 98,441
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) 31,600
1.717/3 month USD-LIBOR-BBA/May-31 (Purchased) May-21/1.717 8,413,300 (74,247) 8,413
(1.583)/3 month USD-LIBOR-BBA/May-31 (Purchased) May-21/1.583 13,141,500 (117,616) 5,388
(0.962)/3 month USD-LIBOR-BBA/May-26 (Purchased) May-21/0.962 25,467,400 (94,229) (5,093)
0.962/3 month USD-LIBOR-BBA/May-26 (Purchased) May-21/0.962 25,467,400 (94,229) (21,393)
(1.717)/3 month USD-LIBOR-BBA/May-31 (Purchased) May-21/1.717 8,413,300 (74,247) (55,023)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 2,359,100 (74,960) (55,628)
1.583/3 month USD-LIBOR-BBA/May-31 (Purchased) May-21/1.583 13,141,500 (117,616) (68,336)
1.007/3 month USD-LIBOR-BBA/Jun-31 (Purchased) Jun-21/1.007 4,914,700 (79,495) (79,372)
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 4,450,300 (656,419) (87,181)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) (118,721)
0.462/3 month USD-LIBOR-BBA/Jun-26 (Purchased) Jun-21/0.462 14,313,700 (138,664) (137,984)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 39,592,500 362,271 275,960
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 5,356,900 640,685 129,208
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 1,820,100 137,964 75,461
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 39,592,500 362,271 (91,855)
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 1,820,100 137,964 (107,604)
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 5,356,900 640,685 (183,152)
Goldman Sachs International
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 3,050,400 (456,035) 114,421
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) 28,053
1.75/3 month USD-LIBOR-BBA/May-31 (Purchased) May-21/1.75 8,413,300 (72,985) 23,726
(1.75)/3 month USD-LIBOR-BBA/May-31 (Purchased) May-21/1.75 8,413,300 (72,985) (67,811)
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 3,050,400 (279,722) (71,654)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (79,158)
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 3,886,150 586,855 98,161
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 3,886,150 586,855 (82,790)
JPMorgan Chase Bank N.A.
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) 487,080
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $8,145,400 (1,137,301) 344,550
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) 240,258
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) 200,933
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) 140,958
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $3,549,600 (409,979) 102,690
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (198,809) 42,479
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (319,094) 32,446
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) (72,580)
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $3,549,600 (409,979) (77,701)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) (103,390)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 $2,064,000 (221,467) (104,005)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (357,718) (107,797)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) (125,967)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) (239,527)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $8,145,400 (1,137,301) (1,028,194)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 6,302,700 404,948 247,570
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 5,725,500 368,436 232,055
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 4,997,800 372,586 199,562
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 4,997,800 372,586 (293,071)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 5,725,500 368,436 (389,792)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 6,302,700 404,948 (403,310)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) 411,599
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (222,086) 28,153
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (316,205) (141,116)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) (233,995)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 18,392,400 968,360 163,508
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 18,392,400 968,360 (30,164)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 9,668,500 (332,355) 313,453
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 3,867,400 (202,265) 108,519
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 1,584,500 (110,519) 8,192
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 1,584,500 (110,519) 2,171
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 3,867,400 (202,265) (53,099)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 9,668,500 (332,355) (165,621)
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 1,670,400 219,658 34,510
(1.775)/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 4,119,800 112,265 15,078
1.775/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 4,119,800 112,265 (5,273)
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 1,670,400 219,658 (29,332)
UBS AG
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 3,054,700 (170,910) 260,230
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 6,192,000 (323,851) 247,450
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 $25,456,200 (171,702) 234,197
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) 182,181
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $7,636,900 (161,902) 181,300
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 10,182,500 (161,393) 174,630
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 3,715,200 (292,255) 142,217
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $1,933,700 (174,516) 118,226
(1.6125)/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 8,725,000 (638,016) 108,277
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) 98,935
(1.175)/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 4,426,000 (402,344) 72,984
(0.762)/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 1,894,900 (174,759) 66,444
1.6125/3 month USD-LIBOR-BBA/Aug-34 (Purchased) Aug-24/1.6125 $8,725,000 (239,327) (29,752)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) (71,354)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 3,715,200 (292,255) (78,433)
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $1,933,700 (174,516) (86,262)
1.175/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 4,426,000 (402,344) (89,732)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 $10,182,500 (161,393) (90,930)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) (99,103)
0.762/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 1,894,900 (174,759) (99,523)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 6,192,000 (323,851) (100,350)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 $25,456,200 (171,702) (115,571)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 7,636,900 (161,902) (122,649)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 3,054,700 (170,910) (133,246)
1.30/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 18,540,700 550,768 484,283
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 6,109,500 162,360 116,508
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 1,762,700 141,313 64,339
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 1,762,700 141,313 (41,685)
(1.30)/3 month USD-LIBOR-BBA/Aug-26 (Written) Aug-21/1.30 $18,540,700 148,217 (123,666)
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 6,109,500 162,360 (249,879)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 13,535,900 (277,148) 260,433
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 8,427,300 (570,528) 215,992
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 9,668,500 (198,446) 190,760
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 5,720,000 (285,285) 65,666
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 5,720,000 (285,285) (30,831)
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 9,668,500 (198,446) (84,309)
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 8,427,300 (570,528) (108,207)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 13,535,900 (277,148) (113,431)
Unrealized appreciation 12,940,197
Unrealized (depreciation) (10,645,024)
Total $2,295,173








TBA SALE COMMITMENTS OUTSTANDING at 4/30/21 (proceeds receivable $150,313,945) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 5/1/51 $1,000,000 5/20/21 $1,060,156
Uniform Mortgage-Backed Securities, 3.50%, 5/1/51 47,000,000 5/13/21 50,018,285
Uniform Mortgage-Backed Securities, 3.00%, 5/1/51 26,000,000 5/13/21 27,224,844
Uniform Mortgage-Backed Securities, 2.50%, 5/1/51 30,000,000 5/13/21 31,113,282
Uniform Mortgage-Backed Securities, 2.00%, 6/1/51 7,000,000 6/14/21 7,055,234
Uniform Mortgage-Backed Securities, 2.00%, 5/1/51 34,000,000 5/13/21 34,332,030
Total $150,803,831










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$2,258,100 $93,824 (E) $(13) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.5725% — Semiannually $93,811
5,844,400 237,645 (E) (33) 2/2/24 2.528% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (237,678)
13,275,300 1,432,803 (400,245) 3/2/31 3 month USD-LIBOR-BBA — Quarterly 2.7725% — Semiannually 1,088,710
12,234,100 684,217 (2,476) 12/2/23 3 month USD-LIBOR-BBA — Quarterly 2.536% — Semiannually 806,311
4,229,500 175,524 (E) (723) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.57% — Semiannually 174,802
7,620,100 276,351 (E) (42) 2/2/24 3 month USD-LIBOR-BBA — Quarterly 2.3075% — Semiannually 276,308
11,185,500 406,738 (E) (62) 2/9/24 3 month USD-LIBOR-BBA — Quarterly 2.32% — Semiannually 406,676
2,997,900 377,340 (E) (102) 11/29/53 2.793% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (377,442)
1,995,000 12,325 (E) (44) 11/20/39 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually 12,281
7,072,400 378,182 (100) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (438,205)
4,598,100 29,998 (E) (52) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 29,946
384,600 15,121 (E) (13) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (15,134)
1,815,900 46,049 (E) (62) 7/5/52 2.25% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (46,111)
14,103,100 348,347 (E) (79) 2/7/24 1.733% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (348,425)
2,173,400 85,391 (31) 1/22/31 2.035% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (97,485)
3,015,900 158,914 (E) (103) 8/8/52 1.9185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 158,811
3,082,800 374,526 (E) (105) 9/12/52 1.626% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 374,421
84,856,600 435,314 (237,804) 10/15/21 3 month USD-LIBOR-BBA — Quarterly 1.316% — Semiannually 240,212
88,250,900 546,450 (235,436) 10/21/21 3 month USD-LIBOR-BBA — Quarterly 1.5025% — Semiannually 343,286
16,442,700 295,821 361,521 1/19/31 1.805% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (17,350)
16,442,700 566,139 (185,113) 1/19/26 3 month USD-LIBOR-BBA — Quarterly 1.629% — Semiannually 455,876
16,442,700 261,422 (E) (185,165) 1/20/31 3 month USD-LIBOR-BBA — Quarterly 1.996% — Semiannually (446,588)
389,100 20,304 (E) (13) 1/16/55 2.032% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 20,291
183,000 11,773 (E) (6) 1/24/55 3 month USD-LIBOR-BBA — Quarterly 1.977% — Semiannually (11,779)
65,770,900 213,492 36,015 11/3/21 0.83% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (416,320)
65,770,900 379,695 (122,164) 11/3/21 3 month USD-LIBOR-BBA — Quarterly 1.331% — Semiannually 658,974
1,261,000 248,578 (E) (43) 3/4/52 1.265% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 248,535
2,658,700 129,075 (38) 3/4/31 3 month USD-LIBOR-BBA — Quarterly 1.101% — Semiannually (125,263)
79,686,200 138,973 (300) 9/8/21 0.68% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (195,889)
172,339,500 299,181 (650) 10/15/21 0.571% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (329,493)
8,162,300 1,401,883 (E) (278) 1/27/47 3 month USD-LIBOR-BBA — Quarterly 1.27% — Semiannually (1,402,162)
689,400 107,199 (E) (24) 3/7/50 1.275% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 107,175
1,522,800 439,306 (E) (52) 3/10/52 0.8725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 439,255
1,681,900 545,933 (E) (57) 3/11/52 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 545,876
2,479,700 187,887 (E) (35) 3/17/32 3 month USD-LIBOR-BBA — Quarterly 1.03% — Semiannually (187,922)
13,275,300 1,419,355 (1,770,291) 2/18/31 3 month USD-LIBOR-BBA — Quarterly 2.764% — Semiannually (281,373)
1,041,600 63,906 (E) (13) 3/24/32 3 month USD-LIBOR-BBA — Quarterly 1.07% — Semiannually (63,919)
589,000 72,873 (E) (9) 3/24/35 3 month USD-LIBOR-BBA — Quarterly 0.968% — Semiannually (72,882)
3,511,700 352,013 (E) (50) 4/25/32 0.7925% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 351,963
665,800 69,545 (E) (13) 6/21/37 3 month USD-LIBOR-BBA — Quarterly 1.232% — Semiannually (69,558)
532,600 53,239 (E) (10) 6/20/40 3 month USD-LIBOR-BBA — Quarterly 1.204% — Semiannually (53,249)
543,900 59,737 (E) (11) 6/28/37 3 month USD-LIBOR-BBA — Quarterly 1.168% — Semiannually (59,748)
148,900 15,185 (E) (3) 7/3/40 3 month USD-LIBOR-BBA — Quarterly 1.177% — Semiannually (15,188)
17,457,600 342,920 (141) 7/14/25 3 month USD-LIBOR-BBA — Quarterly 0.30% — Semiannually (329,026)
8,057,400 652,206 (107) 7/15/30 3 month USD-LIBOR-BBA — Quarterly 0.645% — Semiannually (637,669)
14,054,900 296,544 (133) 8/31/25 0.3084% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 293,447
12,421,800 270,609 (101) 8/12/25 3 month USD-LIBOR-BBA — Quarterly 0.277% — Semiannually (268,565)
5,627,800 1,248,544 (E) 442,749 9/2/52 3 month USD-LIBOR-BBA — Quarterly 1.188% — Semiannually (805,795)
15,879,700 341,175 (150) 10/13/25 0.344% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 339,783
42,072,400 5,259 (159) 9/16/22 3 month USD-LIBOR-BBA — Quarterly 0.214% — Semiannually (4,351)
16,786,200 311,737 (136) 10/13/25 0.41% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 309,733
38,510,000 785,951 19,773 10/16/25 3 month USD-LIBOR-BBA — Quarterly 0.37% — Semiannually (763,187)
27,437,000 2,073,881 (18,685) 10/16/30 0.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,048,721
18,168,000 3,758,087 (48,956) 10/16/50 1.16% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 3,701,740
4,911,000 939,420 (205,079) 1/29/51 1.232% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 718,928
3,437,700 653,187 182,081 4/29/51 3 month USD-LIBOR-BBA — Quarterly 1.242% — Semiannually (470,903)
7,413,500 453,543 — 12/7/30 3 month USD-LIBOR-BBA — Quarterly 0.932% — Semiannually (427,857)
6,079,100 405,865 — 12/7/30 0.871% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 386,286
16,786,200 288,034 (136) 11/16/25 0.471% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 258,347
2,392,900 416,001 (82) 12/17/50 1.305% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 404,840
27,807,400 53,112 (175) 12/2/23 0.300% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 27,140
30,190,900 2,748,187 (577) 12/2/33 3 month USD-LIBOR-BBA — Quarterly 1.02% — Semiannually (2,630,787)
17,163,100 347,587 (139) 12/16/25 3 month USD-LIBOR-BBA — Quarterly 0.428% — Semiannually (324,335)
4,661,900 293,471 (E) (66) 6/22/31 3 month USD-LIBOR-BBA — Quarterly 1.0025% — Semiannually (293,537)
552,000 69,776 (19) 1/8/51 3 month USD-LIBOR-BBA — Quarterly 1.509% — Semiannually (67,250)
552,000 64,997 (19) 1/8/51 3 month USD-LIBOR-BBA — Quarterly 1.546% — Semiannually (62,407)
1,736,000 207,254 (59) 1/8/51 3 month USD-LIBOR-BBA — Quarterly 1.539% — Semiannually (199,146)
16,153,500 245,242 (131) 1/13/26 0.5615% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 219,416
2,943,000 279,126 (100) 1/14/51 3 month USD-LIBOR-BBA — Quarterly 1.644% — Semiannually (265,104)
3,129,700 137,503 (44) 4/15/31 1.165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 136,094
3,028,800 148,036 (E) (43) 7/15/31 1.165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 147,993
8,413,300 130,844 25,128 4/15/31 3 month USD-LIBOR-BBA — Quarterly 1.465% — Semiannually (100,924)
2,456,000 260,864 (84) 1/19/51 3 month USD-LIBOR-BBA — Quarterly 1.5955% — Semiannually (250,001)
4,700,000 233,990 (62) 1/27/31 1.075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 220,829
34,403,200 210,892 (E) (192) 1/31/25 0.735% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 210,700
1,798,000 77,026 (24) 2/4/31 1.153% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 72,818
1,958,000 190,116 (67) 2/4/51 3 month USD-LIBOR-BBA — Quarterly 1.635% — Semiannually (183,345)
13,800,000 493,750 (183) 2/9/31 3 month USD-LIBOR-BBA — Quarterly 1.231% — Semiannually (461,166)
16,826,600 258,759 (38,417) 3/9/26 0.5996% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 210,362
3,399,000 51,536 (28) 2/10/26 0.584% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 48,518
2,779,800 105,054 (37) 2/16/31 1.212% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 99,105
760,500 23,902 (E) (11) 8/16/31 1.37% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 23,891
9,431,000 211,292 (125) 2/18/31 3 month USD-LIBOR-BBA — Quarterly 1.377% — Semiannually (188,641)
8,661,000 204,460 (115) 2/22/31 1.3659% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 184,655
8,141,000 146,912 (108) 2/24/31 1.4255% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 127,826
98,974,000 3,563 (E) 3,326 6/16/23 3 month USD-LIBOR-BBA — Quarterly 0.30% — Semiannually 6,889
32,608,000 77,118 (E) 168,033 6/16/26 3 month USD-LIBOR-BBA — Quarterly 0.95% — Semiannually 90,915
15,122,000 17,632 (E) (188,373) 6/16/31 1.65% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (170,741)
23,233,000 319,361 (E) 1,021,210 6/16/51 3 month USD-LIBOR-BBA — Quarterly 2.00% — Semiannually 701,849
2,632,000 24,780 (35) 3/2/31 1.51882% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 19,020
14,900,000 122,076 (198) 3/5/31 3 month USD-LIBOR-BBA — Quarterly 1.5324% — Semiannually (91,327)
6,921,000 35,498 (E) (5,631) 6/16/31 1.35% — Annually Secured Overnight Financing Rate — Annually 29,867
8,413,300 77,032 (112) 3/15/31 1.525% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 62,546
2,730,700 9,503 (E) (41) 3/20/34 2.29% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (9,544)
13,141,500 131,047 (129,947) 4/21/31 3 month USD-LIBOR-BBA — Quarterly 1.736% — Semiannually 6,759
14,797,300 6,674 (140) 4/1/26 0.94375% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (15,964)
8,467,200 27,823 (E) (80) 7/1/26 3 month USD-LIBOR-BBA — Quarterly 1.08% — Semiannually 27,743
97,923,400 978,549 (1,298) 4/15/31 1.735% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,047,360)
7,806,500 29,563 (63) 4/8/26 3 month USD-LIBOR-BBA — Quarterly 1.0161% — Semiannually 33,583
7,806,500 32,616 (63) 4/8/26 3 month USD-LIBOR-BBA — Quarterly 1.0241% — Semiannually 36,676
16,826,600 84,840 (159) 4/15/26 1.045% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (91,439)
11,073,200 109,603 (147) 4/15/31 3 month USD-LIBOR-BBA — Quarterly 1.734% — Semiannually 117,085
4,152,500 76,572 (142) 4/15/51 2.127% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (80,300)
7,427,000 48,186 (98) 4/14/31 3 month USD-LIBOR-BBA — Quarterly 1.698% — Semiannually 53,386
8,413,300 56,790 (112) 4/21/31 1.702% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (60,444)
6,160,000 36,054 (82) 4/20/31 3 month USD-LIBOR-BBA — Quarterly 1.569% — Semiannually (33,537)
6,908,000 84,996 (236) 4/21/51 1.9965% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 81,286
2,137,000 25,477 (73) 4/26/51 3 month USD-LIBOR-BBA — Quarterly 1.998% — Semiannually (25,009)
3,998,000 36,678 (53) 4/27/31 3 month USD-LIBOR-BBA — Quarterly 1.5355% — Semiannually (36,129)
12,733,700 53,953 (E) (169) 5/5/31 3 month USD-LIBOR-BBA — Quarterly 1.591% — Semiannually (54,122)
1,941,000 260 (7) 4/28/23 3 month USD-LIBOR-BBA — Quarterly 0.2825% — Semiannually 269
5,916,000 39,140 (78) 4/28/31 3 month USD-LIBOR-BBA — Quarterly 1.5625% — Semiannually (38,539)
1,941,000 241 (7) 4/28/23 3 month USD-LIBOR-BBA — Quarterly 0.282% — Semiannually 249
5,916,000 39,761 (78) 4/28/31 3 month USD-LIBOR-BBA — Quarterly 1.5614% — Semiannually (39,161)
27,505,000 158,374 32,680 4/20/31 1.57% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 187,874
3,414,000 15,148 (45) 4/29/31 3 month USD-LIBOR-BBA — Quarterly 1.585% — Semiannually (14,926)
14,670,000 7,144 (195) 4/30/31 1.627% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 6,362
2,954,000 8,797 (39) 5/4/31 3 month USD-LIBOR-BBA — Quarterly 1.6665% — Semiannually 8,758
12,900,000 31,566 (171) 5/4/31 1.66091% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (31,737)
4,943,000 2,269 (66) 5/4/31 3 month USD-LIBOR-BBA — Quarterly 1.64% — Semiannually 2,203
4,783,000 2,009 (E) (63) 5/5/31 3 month USD-LIBOR-BBA — Quarterly 1.6365% — Semiannually 1,945
AUD 177,000 12,388 (E) (2) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 12,386
AUD 596,700 51,219 (E) (6) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 51,213
AUD 221,500 20,136 (E) (2) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 20,134
AUD 345,400 31,005 (E) (4) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 31,001
AUD 1,289,300 136,788 (E) (15) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 136,773
AUD 82,700 12,616 (E) (2) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 12,615
AUD 4,100,000 37,813 (45) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually 41,627
AUD 7,889,000 16,026 (E) 39,617 6/16/31 6 month AUD-BBR-BBSW — Semiannually 1.76% — Semiannually 23,591
CAD 10,234,000 93,285 (E) 42,480 6/16/31 3 month CAD-BA-CDOR — Semiannually 1.91% — Semiannually (50,805)
CHF 2,003,000 53,571 (E) (38,783) 6/16/31 — 0.16% plus 6 month CHF-LIBOR-BBA — Semiannually 14,787
EUR 1,144,400 308,932 (E) (44) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (308,976)
EUR 1,556,300 414,498 (60) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 421,396
EUR 1,719,000 409,014 (66) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (414,192)
EUR 1,739,200 381,814 (66) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (386,799)
EUR 2,008,000 375,477 (77) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (379,383)
EUR 1,798,800 401,490 (E) (68) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 401,422
EUR 2,077,000 344,029 (79) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (351,888)
EUR 1,655,300 233,224 (E) (63) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (233,287)
EUR 1,510,500 176,152 (58) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (181,334)
EUR 904,900 74,391 (35) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (77,143)
EUR 3,288,600 170,947 (E) (125) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 170,822
EUR 2,023,200 297,399 (E) (76) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (297,475)
EUR 2,735,100 290,503 (102) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 285,512
EUR 11,076,900 156,104 (418) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually 185,080
EUR 1,285,600 218,633 (E) (48) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 218,585
EUR 585,600 171,731 (E) (23) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 171,708
EUR 3,783,300 295,464 (E) (80) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually (295,544)
EUR 1,853,200 136,454 (E) (40) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 136,414
EUR 2,522,800 184,624 (E) (58) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 184,566
EUR 863,600 63,175 (E) (20) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 63,155
EUR 26,357,000 341,910 (E) 16,427 6/16/31 0.05% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 358,338
EUR 2,373,100 27,666 (E) (97) 5/21/51 6 month EUR-EURIBOR-REUTERS — Semiannually 0.516% — Annually (27,763)
GBP 57,000 763 (E) (826) 6/16/31 Sterling Overnight Index Average — Annually 0.93% — Annually (63)
GBP 1,571,100 13,917 (E) (31) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (13,948)
JPY 110,098,700 48,599 (E) (32) 8/29/43 0.7495% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (48,631)
JPY 267,307,900 29,062 (21,079) 2/25/31 0.003% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually 7,767
JPY 140,532,700 76,982 (E) (42) 8/29/43 0.194% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually 76,940
NOK 23,386,000 4,431 (E) 6,605 6/16/31 6 month NOK-NIBOR-NIBR — Semiannually 1.82% — Annually 11,036
NZD 2,861,000 18,580 (E) 13,724 6/16/31 3 month NZD-BBR-FRA — Quarterly 1.96% — Semiannually 39,359
SEK 61,910,000 46,044 (E) (28,071) 6/16/31 0.77% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 17,973
Total $(1,463,828) $2,643,487
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$640,300 $641,125 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $2,026
108,566 108,706 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 344
76,694 76,793 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 243
8,865,004 8,867,420 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 22,309
1,060,104 1,060,250 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,547
352,887 352,747 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (786)
6,197,724 6,184,390 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (3,525)
75,015 72,742 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,411)
48,492 47,315 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (568)
248,461 240,995 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,328
186,905 181,556 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,623
75,066 74,156 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 46
57,306 56,612 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 35
45,188 44,640 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 28
63,597 63,164 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 361
137,489 134,982 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (847)
19,729 19,370 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (122)
9,288 9,118 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (57)
Citibank, N.A.
1,187,211 1,187,535 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,988
521,779 521,922 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,313
181,346 181,396 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 456
Credit Suisse International
395,737 395,845 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 996
127,940 126,389 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 79
88,297 85,621 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,660)
24,332 23,595 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (458)
13,919 13,497 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (262)
299,676 291,609 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,048)
107,462 104,569 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,451)
63,851 61,933 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,112)
5,117 4,964 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (89)
68,969 66,897 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,201
114,429 111,154 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,606
125,593 121,999 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 1,762
119,804 118,352 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 74
Deutsche Bank AG
455,851 454,870 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (259)
Goldman Sachs International
18,713 18,672 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (11)
49,916 49,808 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (28)
108,470 108,236 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (62)
203,537 203,099 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (116)
244,222 243,697 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (139)
288,736 288,115 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (164)
395,564 394,713 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (225)
172,744 165,160 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 5,673
151,164 146,583 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,843
373,549 363,493 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,045)
273,857 267,215 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,206)
236,999 231,251 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,775)
120,315 117,397 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,409)
120,315 117,397 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,409)
106,636 103,766 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,440)
392,264 380,477 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 6,833
179,146 174,019 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,514
92,814 92,181 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 527
89,655 89,044 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 510
44,830 44,524 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 255
44,558 44,254 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 253
6,701 6,656 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 38
43,254 42,465 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (266)
3,112 3,055 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (19)
JPMorgan Chase Bank N.A.
343,548 333,226 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,984)
199,330 193,341 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,472)
66,261 64,270 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,154)
31,585 30,636 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (550)
179,146 174,019 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 2,514
JPMorgan Securities LLC
277,079 273,721 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (170)
50,400 48,872 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 948
202,715 197,708 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,514)
799,979 780,577 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 9,366
Morgan Stanley & Co. International PLC
2,285,366 2,266,649 — 7/17/24 3.825% (3 month USD-LIBOR-BBA minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly (14,663)
Upfront premium received — Unrealized appreciation 77,639
Upfront premium (paid) — Unrealized (depreciation) (61,476)
Total $— Total $16,163








CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/21 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 15,471,000 $1,469,233 $(286) 5/15/30 (.655%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $1,468,948
EUR 15,471,000 1,454,316 (286) 5/15/30 (.6625%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 1,454,031
EUR 7,727,000 1,372,947 (276) 5/15/40 (.961%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 1,372,671
EUR 4,375,000 296,255 — 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 296,255
EUR 4,375,000 78,850 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (78,850)
EUR 14,401,000 317,358 (169) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (317,527)
EUR 14,401,000 320,838 (169) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (321,007)
EUR 14,401,000 321,998 (170) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (322,168)
EUR 14,401,000 323,158 (170) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (323,328)
EUR 7,727,000 2,027,459 (365) 5/15/50 1.13% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (2,027,823)
EUR 15,471,000 2,856,534 (549) 5/15/40 0.935% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (2,857,083)
EUR 15,471,000 2,877,180 (549) 5/15/40 0.93% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (2,877,729)
GBP 8,846,000 661,257 (189) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 661,068
GBP 9,486,000 315,883 (124) 11/15/24 3.385% — At maturity GBP Non-revised UK Retail Price Index — At maturity 315,759
GBP 6,900,000 246,846 (160) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity 246,686
GBP 9,908,000 244,222 (234) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 243,988
GBP 5,308,000 154,192 (124) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity 154,068
GBP 2,477,000 81,988 (58) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity 81,930
GBP 2,661,000 290,477 (140) 7/15/49 (3.4425%) — At maturity GBP Non-revised UK Retail Price Index — At maturity (290,617)
$6,225,000 89,316 (105) 3/23/31 (2.4275%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 89,212
6,303,000 75,107 (106) 3/23/31 (2.45%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 75,001
5,377,000 27,960 (90) 4/1/31 (2.51%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 27,870
5,377,000 25,041 (90) 4/1/31 (2.515%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 24,950
1,774,000 17,692 (30) 4/1/31 (2.466%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 17,662
3,576,000 37,923 (36) 4/1/26 2.496% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (37,960)
12,597,000 126,436 (127) 3/23/26 2.51% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (126,563)
4,219,000 130,612 (71) 2/25/31 2.28% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (130,683)
5,303,000 163,921 (89) 2/24/31 2.281% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (164,010)
5,302,000 165,269 (89) 2/25/31 2.278% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (165,358)
12,459,000 168,172 — 3/23/26 2.445% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (168,172)
5,303,000 171,239 (89) 2/25/31 2.2675% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (171,328)
21,480,000 188,852 (216) 4/1/26 2.53% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (189,070)
9,637,000 221,844 (162) 3/5/31 2.351% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (222,006)
9,742,000 225,303 (164) 3/5/31 2.35% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (225,467)
10,606,000 322,178 (178) 2/24/31 2.286% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (322,356)
13,298,000 1,498,857 31,998 6/30/30 1.586% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (1,466,860)
24,570,000 2,606,607 145,227 7/10/30 1.6625% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (2,461,381)
Total $171,565 $(8,737,247)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BB-/P $9,980 $146,000 $41,333 5/11/63 300 bp — Monthly $(31,280)
CMBX NA BBB-.6 Index BB-/P 19,586 325,000 92,008 5/11/63 300 bp — Monthly (72,259)
CMBX NA BBB-.6 Index BB-/P 40,127 650,000 184,015 5/11/63 300 bp — Monthly (143,563)
CMBX NA BBB-.6 Index BB-/P 38,247 671,000 189,960 5/11/63 300 bp — Monthly (151,378)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A-/P 14,591 115,000 9,787 5/11/63 200 bp — Monthly 4,842
CMBX NA A.6 Index A-/P 34,485 228,000 19,403 5/11/63 200 bp — Monthly 15,158
CMBX NA A.6 Index A-/P 38,358 229,000 19,488 5/11/63 200 bp — Monthly 18,946
CMBX NA A.6 Index A-/P 36,630 264,000 22,466 5/11/63 200 bp — Monthly 14,252
CMBX NA A.6 Index A-/P 55,884 362,000 30,806 5/11/63 200 bp — Monthly 25,198
CMBX NA A.6 Index A-/P 46,648 397,000 33,785 5/11/63 200 bp — Monthly 12,995
CMBX NA A.6 Index A-/P 72,342 409,000 34,806 5/11/63 200 bp — Monthly 37,672
CMBX NA A.6 Index A-/P 105,236 633,000 53,868 5/11/63 200 bp — Monthly 51,579
CMBX NA BB.11 Index BB-/P 167,805 297,000 38,759 11/18/54 500 bp — Monthly 129,294
CMBX NA BB.12 Index BB-/P 11,025 21,000 2,791 8/17/61 500 bp — Monthly 8,252
CMBX NA BB.13 Index BB-/P 33,292 333,000 32,334 12/16/72 500 bp — Monthly 1,235
CMBX NA BB.13 Index BB-/P 35,081 385,000 37,384 12/16/72 500 bp — Monthly (1,982)
CMBX NA BB.13 Index BB-/P 57,662 611,000 59,328 12/16/72 500 bp — Monthly (1,157)
CMBX NA BB.13 Index BB-/P 102,570 1,125,000 109,238 12/16/72 500 bp — Monthly (5,730)
CMBX NA BB.6 Index B-/P 385,740 2,689,000 1,280,233 5/11/63 500 bp — Monthly (892,252)
CMBX NA BB.7 Index B+/P 136,056 2,666,000 965,359 1/17/47 500 bp — Monthly (827,081)
CMBX NA BBB-.12 Index BBB-/P 89,722 566,000 32,149 8/17/61 300 bp — Monthly 57,856
CMBX NA BBB-.13 Index BBB-/P 23,240 265,000 16,589 12/16/72 300 bp — Monthly 6,783
CMBX NA BBB-.13 Index BBB-/P 58,162 618,000 38,687 12/16/72 300 bp — Monthly 19,784
CMBX NA BBB-.14 Index BBB-/P 1,901 61,000 2,654 12/16/72 300 bp — Monthly (722)
CMBX NA BBB-.14 Index BBB-/P 25,584 783,000 34,061 12/16/72 300 bp — Monthly (8,085)
CMBX NA BBB-.14 Index BBB-/P 26,180 853,000 37,106 12/16/72 300 bp — Monthly (10,499)
CMBX NA BBB-.6 Index BB-/P 79,625 325,000 92,008 5/11/63 300 bp — Monthly (12,220)
CMBX NA BBB-.11 Index BBB-/P 7,704 123,000 6,347 11/18/54 300 bp — Monthly 1,419
CMBX NA BBB-.12 Index BBB-/P 16,913 287,000 16,302 8/17/61 300 bp — Monthly 755
CMBX NA BBB-.14 Index BBB-/P 15,101 302,000 13,137 12/16/72 300 bp — Monthly 2,115
CMBX NA BBB-.14 Index BBB-/P 22,567 495,000 21,533 12/16/72 300 bp — Monthly 1,282
CMBX NA BBB-.6 Index BB-/P 480 6,000 1,699 5/11/63 300 bp — Monthly (1,216)
CMBX NA BBB-.6 Index BB-/P 22,091 335,000 94,839 5/11/63 300 bp — Monthly (72,580)
CMBX NA BBB-.6 Index BB-/P 24,805 377,000 106,729 5/11/63 300 bp — Monthly (81,735)
CMBX NA BBB-.6 Index BB-/P 43,570 640,000 181,184 5/11/63 300 bp — Monthly (137,294)
CMBX NA BBB-.6 Index BB-/P 642,011 10,082,000 2,854,214 5/11/63 300 bp — Monthly (2,207,162)
Credit Suisse International
CMBX NA BB.7 Index B+/P 63,938 478,000 173,084 1/17/47 500 bp — Monthly (108,748)
CMBX NA BBB-.6 Index BB-/P 108,504 982,000 278,004 5/11/63 300 bp — Monthly (169,009)
CMBX NA BBB-.6 Index BB-/P 251,482 2,276,000 644,336 5/11/63 300 bp — Monthly (391,716)
CMBX NA BBB-.6 Index BB-/P 2,316,738 24,656,000 6,980,114 5/11/63 300 bp — Monthly (4,651,048)
CMBX NA BBB-.7 Index BB/P 27,745 351,000 69,919 1/17/47 300 bp — Monthly (41,999)
CMBX NA BBB-.7 Index BB/P 138,664 1,876,000 373,699 1/17/47 300 bp — Monthly (234,097)
CMBX NA BBB-.7 Index BB/P 143,170 2,180,000 434,256 1/17/47 300 bp — Monthly (289,996)
Goldman Sachs International
CMBX NA BB.13 Index BB-/P 25,676 267,000 25,926 12/16/72 500 bp — Monthly (28)
CMBX NA BB.6 Index B-/P 188,650 440,000 209,484 5/11/63 500 bp — Monthly (20,467)
CMBX NA BB.9 Index B+/P 10,109 25,000 6,605 9/17/58 500 bp — Monthly 3,525
CMBX NA BBB-.13 Index BBB-/P 1,681 16,000 1,002 12/16/72 300 bp — Monthly 688
CMBX NA BBB-.13 Index BBB-/P 4,737 80,000 5,008 12/16/72 300 bp — Monthly (231)
CMBX NA BBB-.13 Index BBB-/P 4,765 80,000 5,008 12/16/72 300 bp — Monthly (203)
CMBX NA BBB-.13 Index BBB-/P 13,772 87,000 5,446 12/16/72 300 bp — Monthly 8,369
CMBX NA BBB-.13 Index BBB-/P 8,843 121,000 7,575 12/16/72 300 bp — Monthly 1,329
CMBX NA BBB-.13 Index BBB-/P 33,222 212,000 13,271 12/16/72 300 bp — Monthly 20,057
CMBX NA BBB-.13 Index BBB-/P 13,367 226,000 14,148 12/16/72 300 bp — Monthly (668)
CMBX NA BBB-.14 Index BBB-/P 7,999 180,000 7,830 12/16/72 300 bp — Monthly 259
CMBX NA BBB-.14 Index BBB-/P 16,536 360,000 15,660 12/16/72 300 bp — Monthly 1,056
CMBX NA BBB-.6 Index BB-/P 74 1,000 283 5/11/63 300 bp — Monthly (209)
CMBX NA BBB-.6 Index BB-/P 73 1,000 283 5/11/63 300 bp — Monthly (209)
CMBX NA BBB-.6 Index BB-/P 228 3,000 849 5/11/63 300 bp — Monthly (620)
CMBX NA BBB-.6 Index BB-/P 401 5,000 1,416 5/11/63 300 bp — Monthly (1,012)
CMBX NA BBB-.6 Index BB-/P 657 13,000 3,680 5/11/63 300 bp — Monthly (3,017)
CMBX NA BBB-.6 Index BB-/P 1,187 15,000 4,247 5/11/63 300 bp — Monthly (3,052)
CMBX NA BBB-.6 Index BB-/P 2,942 35,000 9,909 5/11/63 300 bp — Monthly (6,949)
CMBX NA BBB-.6 Index BB-/P 14,630 88,000 24,913 5/11/63 300 bp — Monthly (10,239)
CMBX NA BBB-.6 Index BB-/P 11,844 89,000 25,196 5/11/63 300 bp — Monthly (13,308)
CMBX NA BBB-.6 Index BB-/P 11,917 89,000 25,196 5/11/63 300 bp — Monthly (13,235)
CMBX NA BBB-.6 Index BB-/P 10,089 114,000 32,273 5/11/63 300 bp — Monthly (22,128)
CMBX NA BBB-.6 Index BB-/P 20,235 183,000 51,807 5/11/63 300 bp — Monthly (31,480)
CMBX NA BBB-.6 Index BB-/P 25,594 188,000 53,223 5/11/63 300 bp — Monthly (27,535)
CMBX NA BBB-.6 Index BB-/P 9,360 192,000 54,355 5/11/63 300 bp — Monthly (44,899)
CMBX NA BBB-.6 Index BB-/P 21,361 203,000 57,469 5/11/63 300 bp — Monthly (36,006)
CMBX NA BBB-.6 Index BB-/P 17,848 206,000 58,319 5/11/63 300 bp — Monthly (40,367)
CMBX NA BBB-.6 Index BB-/P 26,299 216,000 61,150 5/11/63 300 bp — Monthly (34,743)
CMBX NA BBB-.6 Index BB-/P 24,541 223,000 63,131 5/11/63 300 bp — Monthly (38,479)
CMBX NA BBB-.6 Index BB-/P 25,154 225,000 63,698 5/11/63 300 bp — Monthly (38,431)
CMBX NA BBB-.6 Index BB-/P 27,421 245,000 69,360 5/11/63 300 bp — Monthly (41,816)
CMBX NA BBB-.6 Index BB-/P 13,938 269,000 76,154 5/11/63 300 bp — Monthly (62,081)
CMBX NA BBB-.6 Index BB-/P 24,979 296,000 83,798 5/11/63 300 bp — Monthly (58,671)
CMBX NA BBB-.6 Index BB-/P 26,076 309,000 87,478 5/11/63 300 bp — Monthly (61,248)
CMBX NA BBB-.6 Index BB-/P 18,186 355,000 100,501 5/11/63 300 bp — Monthly (82,137)
CMBX NA BBB-.6 Index BB-/P 58,232 389,000 110,126 5/11/63 300 bp — Monthly (51,699)
CMBX NA BBB-.6 Index BB-/P 57,641 392,000 110,975 5/11/63 300 bp — Monthly (53,138)
CMBX NA BBB-.6 Index BB-/P 44,904 403,000 114,089 5/11/63 300 bp — Monthly (68,984)
CMBX NA BBB-.6 Index BB-/P 34,559 417,000 118,053 5/11/63 300 bp — Monthly (83,285)
CMBX NA BBB-.6 Index BB-/P 45,228 418,000 118,336 5/11/63 300 bp — Monthly (72,899)
CMBX NA BBB-.6 Index BB-/P 45,403 418,000 118,336 5/11/63 300 bp — Monthly (72,723)
CMBX NA BBB-.6 Index BB-/P 23,107 443,000 125,413 5/11/63 300 bp — Monthly (102,085)
CMBX NA BBB-.6 Index BB-/P 51,553 462,000 130,792 5/11/63 300 bp — Monthly (79,008)
CMBX NA BBB-.6 Index BB-/P 51,553 462,000 130,792 5/11/63 300 bp — Monthly (79,008)
CMBX NA BBB-.6 Index BB-/P 73,722 531,000 150,326 5/11/63 300 bp — Monthly (76,339)
CMBX NA BBB-.6 Index BB-/P 48,875 566,000 160,235 5/11/63 300 bp — Monthly (111,077)
CMBX NA BBB-.6 Index BB-/P 86,808 576,000 163,066 5/11/63 300 bp — Monthly (75,969)
CMBX NA BBB-.6 Index BB-/P 59,933 597,000 169,011 5/11/63 300 bp — Monthly (108,779)
CMBX NA BBB-.6 Index BB-/P 31,646 638,000 180,618 5/11/63 300 bp — Monthly (148,652)
CMBX NA BBB-.6 Index BB-/P 76,544 707,000 200,152 5/11/63 300 bp — Monthly (123,255)
CMBX NA BBB-.6 Index BB-/P 69,759 928,000 262,717 5/11/63 300 bp — Monthly (192,494)
CMBX NA BBB-.6 Index BB-/P 134,739 961,000 272,059 5/11/63 300 bp — Monthly (136,839)
CMBX NA BBB-.6 Index BB-/P 118,398 1,074,000 304,049 5/11/63 300 bp — Monthly (185,114)
CMBX NA BBB-.6 Index BB-/P 124,607 1,193,000 337,738 5/11/63 300 bp — Monthly (212,535)
CMBX NA BBB-.6 Index BB-/P 184,707 1,551,000 439,088 5/11/63 300 bp — Monthly (253,606)
CMBX NA BBB-.6 Index BB-/P 93,617 1,935,000 547,799 5/11/63 300 bp — Monthly (453,214)
CMBX NA BBB-.6 Index BB-/P 320,704 2,144,000 606,966 5/11/63 300 bp — Monthly (285,190)
CMBX NA BBB-.7 Index BB/P 54,254 734,000 146,213 1/17/47 300 bp — Monthly (91,592)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 17,251 215,000 64,651 5/11/63 500 bp — Monthly (47,220)
CMBX NA BB.6 Index B-/P 10,811 21,000 9,998 5/11/63 500 bp — Monthly 830
CMBX NA BBB-.13 Index BBB-/P 28,187 140,000 8,764 12/16/72 300 bp — Monthly 19,493
CMBX NA BBB-.13 Index BBB-/P 8,279 140,000 8,764 12/16/72 300 bp — Monthly (415)
CMBX NA BBB-.13 Index BBB-/P 28,481 181,000 11,331 12/16/72 300 bp — Monthly 17,241
CMBX NA BBB-.13 Index BBB-/P 57,241 286,000 17,904 12/16/72 300 bp — Monthly 39,480
CMBX NA BBB-.13 Index BBB-/P 27,531 465,000 29,109 12/16/72 300 bp — Monthly (1,345)
CMBX NA BBB-.6 Index BB-/P 13,168,540 41,190,000 11,660,889 5/11/63 300 bp — Monthly 1,528,246
Merrill Lynch International
CMBX NA BB.6 Index B-/P 28,625 256,000 121,882 5/11/63 500 bp — Monthly (93,043)
CMBX NA BBB-.6 Index BB-/P 1,261,825 4,683,000 1,325,757 5/11/63 300 bp — Monthly (61,591)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 13,707 143,000 13,885 12/16/72 500 bp — Monthly (59)
CMBX NA BB.13 Index BB-/P 17,694 184,000 17,866 12/16/72 500 bp — Monthly (19)
CMBX NA BB.13 Index BB-/P 17,765 191,000 18,546 12/16/72 500 bp — Monthly (622)
CMBX NA BB.13 Index BB-/P 35,862 391,000 37,966 12/16/72 500 bp — Monthly (1,779)
CMBX NA BB.13 Index BB-/P 41,524 440,000 42,724 12/16/72 500 bp — Monthly (833)
CMBX NA BB.13 Index BB-/P 59,847 622,000 60,396 12/16/72 500 bp — Monthly (31)
CMBX NA BB.13 Index BB-/P 60,777 667,000 64,766 12/16/72 500 bp — Monthly (3,433)
CMBX NA BB.13 Index BB-/P 69,778 760,000 73,796 12/16/72 500 bp — Monthly (3,384)
CMBX NA BB.13 Index BB-/P 72,325 783,000 76,029 12/16/72 500 bp — Monthly (3,052)
CMBX NA BB.6 Index B-/P 101,667 414,000 197,105 5/11/63 500 bp — Monthly (95,094)
CMBX NA BB.6 Index B-/P 173,227 703,000 334,698 5/11/63 500 bp — Monthly (160,886)
CMBX NA BB.6 Index B-/P 328,860 783,000 372,786 5/11/63 500 bp — Monthly (43,274)
CMBX NA BB.6 Index B-/P 345,017 813,000 387,069 5/11/63 500 bp — Monthly (41,375)
CMBX NA BBB-.13 Index BBB-/P 13,609 67,000 4,194 12/16/72 300 bp — Monthly 9,448
CMBX NA BBB-.13 Index BBB-/P 4,553 77,000 4,820 12/16/72 300 bp — Monthly (228)
CMBX NA BBB-.13 Index BBB-/P 7,660 82,000 5,133 12/16/72 300 bp — Monthly 2,568
CMBX NA BBB-.13 Index BBB-/P 13,044 142,000 8,889 12/16/72 300 bp — Monthly 4,226
CMBX NA BBB-.13 Index BBB-/P 9,817 144,000 9,014 12/16/72 300 bp — Monthly 875
CMBX NA BBB-.13 Index BBB-/P 18,097 198,000 12,395 12/16/72 300 bp — Monthly 5,802
CMBX NA BBB-.13 Index BBB-/P 33,359 212,000 13,271 12/16/72 300 bp — Monthly 20,194
CMBX NA BBB-.13 Index BBB-/P 12,002 216,000 13,522 12/16/72 300 bp — Monthly (1,412)
CMBX NA BBB-.13 Index BBB-/P 55,274 351,000 21,973 12/16/72 300 bp — Monthly 33,477
CMBX NA BBB-.14 Index BBB-/P 1,125 37,000 1,610 12/16/72 300 bp — Monthly (466)
CMBX NA BBB-.14 Index BBB-/P 6,962 247,000 10,745 12/16/72 300 bp — Monthly (3,659)
CMBX NA BBB-.12 Index BBB-/P 6,954 118,000 6,702 8/17/61 300 bp — Monthly 310
CMBX NA BBB-.13 Index BBB-/P 4,587 70,000 4,382 12/16/72 300 bp — Monthly 229
CMBX NA BBB-.14 Index BBB-/P 1,810 42,000 1,827 12/16/72 300 bp — Monthly (18)
CMBX NA BBB-.6 Index BB-/P 147 2,000 566 5/11/63 300 bp — Monthly (418)
CMBX NA BBB-.6 Index BB-/P 1,202 15,000 4,247 5/11/63 300 bp — Monthly (3,037)
CMBX NA BBB-.6 Index BB-/P 20,598 312,000 88,327 5/11/63 300 bp — Monthly (67,573)
CMBX NA BBB-.6 Index BB-/P 20,812 317,000 89,743 5/11/63 300 bp — Monthly (68,772)
CMBX NA BBB-.6 Index BB-/P 382,260 1,108,000 313,675 5/11/63 300 bp — Monthly 69,139
CMBX NA BBB-.6 Index BB-/P 1,126,804 17,008,500 4,815,106 5/11/63 300 bp — Monthly (3,679,784)
Upfront premium received 25,861,623 Unrealized appreciation 2,196,258
Upfront premium (paid) — Unrealized (depreciation) (18,738,582)
Total $25,861,623 Total $(16,542,324)
* 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 April 30, 2021. 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 4/30/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(30,474) $292,000 $87,804 11/17/59 (500 bp) — Monthly $57,087
CMBX NA BB.10 Index (26,425) 241,000 72,469 11/17/59 (500 bp) — Monthly 45,843
CMBX NA BB.11 Index (88,490) 683,000 89,132 11/18/54 (500 bp) — Monthly 73
CMBX NA BB.11 Index (28,279) 300,000 39,150 11/18/54 (500 bp) — Monthly 10,621
CMBX NA BB.11 Index (9,895) 194,000 25,317 11/18/54 (500 bp) — Monthly 15,260
CMBX NA BB.11 Index (3,683) 71,000 9,266 11/18/54 (500 bp) — Monthly 5,523
CMBX NA BB.12 Index (29,363) 90,000 11,961 8/17/61 (500 bp) — Monthly (17,477)
CMBX NA BB.8 Index (17,507) 136,106 49,856 10/17/57 (500 bp) — Monthly 32,235
CMBX NA BB.9 Index (73,389) 711,000 187,846 9/17/58 (500 bp) — Monthly 113,864
CMBX NA BB.9 Index (7,301) 186,000 49,141 9/17/58 (500 bp) — Monthly 41,685
CMBX NA BB.9 Index (10,388) 161,000 42,536 9/17/58 (500 bp) — Monthly 32,014
CMBX NA BB.9 Index (5,365) 148,000 39,102 9/17/58 (500 bp) — Monthly 33,613
CMBX NA BB.9 Index (1,935) 48,000 12,682 9/17/58 (500 bp) — Monthly 10,707
CMBX NA BBB-.10 Index (417,463) 2,428,000 278,492 11/17/59 (300 bp) — Monthly (140,186)
CMBX NA BBB-.10 Index (112,583) 485,000 55,630 11/17/59 (300 bp) — Monthly (57,196)
CMBX NA BBB-.10 Index (44,315) 349,000 40,030 11/17/59 (300 bp) — Monthly (4,459)
CMBX NA BBB-.10 Index (82,547) 346,000 39,686 11/17/59 (300 bp) — Monthly (43,033)
CMBX NA BBB-.10 Index (53,699) 246,000 28,216 11/17/59 (300 bp) — Monthly (25,606)
CMBX NA BBB-.10 Index (46,791) 215,000 24,661 11/17/59 (300 bp) — Monthly (22,238)
CMBX NA BBB-.10 Index (38,387) 156,000 17,893 11/17/59 (300 bp) — Monthly (20,571)
CMBX NA BBB-.12 Index (34,559) 502,000 28,514 8/17/61 (300 bp) — Monthly (6,297)
CMBX NA BBB-.10 Index (47,101) 385,000 44,160 11/17/59 (300 bp) — Monthly (3,134)
CMBX NA BBB-.10 Index (98,315) 330,000 37,851 11/17/59 (300 bp) — Monthly (60,629)
CMBX NA BBB-.10 Index (12,748) 100,000 11,470 11/17/59 (300 bp) — Monthly (1,328)
CMBX NA BBB-.10 Index (9,561) 75,000 8,603 11/17/59 (300 bp) — Monthly (996)
CMBX NA BBB-.11 Index (75,217) 235,000 12,126 11/18/54 (300 bp) — Monthly (63,208)
CMBX NA BBB-.11 Index (30,714) 94,000 4,850 11/18/54 (300 bp) — Monthly (25,911)
CMBX NA BBB-.11 Index (6,889) 21,000 1,084 11/18/54 (300 bp) — Monthly (5,816)
CMBX NA BBB-.12 Index (152,371) 456,000 25,901 8/17/61 (300 bp) — Monthly (126,698)
CMBX NA BBB-.12 Index (143,904) 414,000 23,515 8/17/61 (300 bp) — Monthly (120,595)
CMBX NA BBB-.12 Index (122,676) 349,000 19,823 8/17/61 (300 bp) — Monthly (103,027)
CMBX NA BBB-.12 Index (95,152) 270,000 15,336 8/17/61 (300 bp) — Monthly (79,951)
CMBX NA BBB-.13 Index (46,300) 611,000 38,249 12/16/72 (300 bp) — Monthly (8,357)
CMBX NA BBB-.8 Index (71,920) 455,000 69,206 10/17/57 (300 bp) — Monthly (2,942)
CMBX NA BBB-.8 Index (72,204) 455,000 69,206 10/17/57 (300 bp) — Monthly (3,226)
CMBX NA BBB-.8 Index (44,844) 287,000 43,653 10/17/57 (300 bp) — Monthly (1,335)
CMBX NA BBB-.8 Index (19,250) 123,000 18,708 10/17/57 (300 bp) — Monthly (603)
CMBX NA BBB-.9 Index (57,728) 244,000 24,668 9/17/58 (300 bp) — Monthly (33,182)
Credit Suisse International
CMBX NA BB.10 Index (80,855) 606,000 182,224 11/17/59 (500 bp) — Monthly 100,864
CMBX NA BB.10 Index (71,945) 605,000 181,924 11/17/59 (500 bp) — Monthly 109,474
CMBX NA BB.10 Index (39,651) 319,000 95,923 11/17/59 (500 bp) — Monthly 56,006
CMBX NA BB.7 Index (4,130) 234,000 111,407 5/11/63 (500 bp) — Monthly 107,082
CMBX NA BB.7 Index (54,048) 293,000 106,095 1/17/47 (500 bp) — Monthly 51,803
CMBX NA BB.9 Index (250,216) 2,496,000 659,443 9/17/58 (500 bp) — Monthly 407,147
Goldman Sachs International
CMBX NA BB.6 Index (13,197) 129,000 61,417 5/11/63 (500 bp) — Monthly 48,113
CMBX NA BB.7 Index (71,729) 474,000 171,635 1/17/47 (500 bp) — Monthly 99,511
CMBX NA A .6 Index (9,474) 143,000 12,169 5/11/63 (200 bp) — Monthly 2,648
CMBX NA BB.6 Index (27,101) 219,000 104,266 5/11/63 (500 bp) — Monthly 76,982
CMBX NA BB.7 Index (84,052) 513,000 185,757 1/17/47 (500 bp) — Monthly 101,278
CMBX NA BB.7 Index (57,666) 284,000 102,836 1/17/47 (500 bp) — Monthly 44,934
CMBX NA BB.7 Index (31,785) 188,000 68,075 1/17/47 (500 bp) — Monthly 36,133
CMBX NA BB.7 Index (31,765) 174,000 63,005 1/17/47 (500 bp) — Monthly 31,096
CMBX NA BB.8 Index (5,212) 44,404 16,265 10/17/57 (500 bp) — Monthly 11,016
CMBX NA BB.9 Index (18,626) 117,000 30,911 9/17/58 (500 bp) — Monthly 12,188
CMBX NA BB.9 Index (8,847) 56,000 14,795 9/17/58 (500 bp) — Monthly 5,901
CMBX NA BBB-.10 Index (22,310) 102,000 11,699 11/17/59 (300 bp) — Monthly (10,661)
CMBX NA BBB-.12 Index (19,885) 102,000 5,794 8/17/61 (300 bp) — Monthly (14,143)
CMBX NA BBB-.12 Index (2,702) 8,000 454 8/17/61 (300 bp) — Monthly (2,251)
CMBX NA BBB-.13 Index (20,233) 267,000 16,714 12/16/72 (300 bp) — Monthly (3,652)
CMBX NA BBB-.8 Index (18,034) 115,000 17,492 10/17/57 (300 bp) — Monthly (600)
JPMorgan Securities LLC
CMBX NA BB.11 Index (507,209) 930,000 121,365 11/18/54 (500 bp) — Monthly (386,619)
CMBX NA BB.12 Index (240,008) 437,000 58,077 8/17/61 (500 bp) — Monthly (182,294)
CMBX NA BB.17 Index (1,383,276) 2,825,000 1,022,933 1/17/47 (500 bp) — Monthly (362,698)
CMBX NA BB.8 Index (107,551) 209,469 76,728 10/17/57 (500 bp) — Monthly (30,997)
CMBX NA BB.9 Index (169,018) 342,000 90,356 9/17/58 (500 bp) — Monthly (78,946)
CMBX NA BBB-.10 Index (23,584) 143,000 16,402 11/17/59 (300 bp) — Monthly (7,253)
CMBX NA BBB-.10 Index (59,441) 211,000 24,202 11/17/59 (300 bp) — Monthly (35,345)
CMBX NA BBB-.10 Index (32,176) 108,000 12,388 11/17/59 (300 bp) — Monthly (19,842)
CMBX NA BBB-.11 Index (65,375) 208,000 10,733 11/18/54 (300 bp) — Monthly (54,746)
CMBX NA BBB-.11 Index (56,260) 179,000 9,236 11/18/54 (300 bp) — Monthly (47,113)
CMBX NA BBB-.11 Index (27,725) 86,000 4,438 11/18/54 (300 bp) — Monthly (23,330)
CMBX NA BBB-.11 Index (11,299) 36,000 1,858 11/18/54 (300 bp) — Monthly (9,459)
CMBX NA BBB-.7 Index (577,517) 2,460,000 490,032 1/17/47 (300 bp) — Monthly (88,715)
Merrill Lynch International
CMBX NA BB.10 Index (33,229) 584,000 175,609 11/17/59 (500 bp) — Monthly 141,893
CMBX NA BB.11 Index (210,050) 425,000 55,463 11/18/54 (500 bp) — Monthly (154,942)
CMBX NA BB.9 Index (91,627) 2,352,000 621,398 9/17/58 (500 bp) — Monthly 527,811
CMBX NA BBB-.10 Index (41,601) 192,000 22,022 11/17/59 (300 bp) — Monthly (19,674)
CMBX NA BBB-.7 Index (75,310) 919,000 183,065 1/17/47 (300 bp) — Monthly 107,295
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (34,235) 336,000 66,931 1/17/47 (300 bp) — Monthly 32,528
CMBX NA BB.10 Index (30,624) 292,000 87,804 11/17/59 (500 bp) — Monthly 56,937
CMBX NA BB.12 Index (23,594) 330,000 43,857 8/17/61 (500 bp) — Monthly 19,988
CMBX NA BB.12 Index (16,741) 317,000 42,129 8/17/61 (500 bp) — Monthly 25,124
CMBX NA BB.12 Index (16,575) 227,000 30,168 8/17/61 (500 bp) — Monthly 13,404
CMBX NA BB.7 Index (75,213) 374,000 135,425 1/17/47 (500 bp) — Monthly 59,900
CMBX NA BB.7 Index (36,252) 188,000 68,075 1/17/47 (500 bp) — Monthly 31,666
CMBX NA BB.7 Index (10,105) 54,000 19,553 1/17/47 (500 bp) — Monthly 9,404
CMBX NA BB.7 Index (8,476) 42,000 15,208 1/17/47 (500 bp) — Monthly 6,697
CMBX NA BB.8 Index (62,786) 122,592 44,906 10/17/57 (500 bp) — Monthly (17,982)
CMBX NA BB.9 Index (11,007) 312,000 82,430 9/17/58 (500 bp) — Monthly 71,163
CMBX NA BB.9 Index (12,424) 202,000 53,368 9/17/58 (500 bp) — Monthly 40,776
CMBX NA BB.9 Index (22,495) 169,000 44,650 9/17/58 (500 bp) — Monthly 22,014
CMBX NA BB.9 Index (22,550) 166,000 43,857 9/17/58 (500 bp) — Monthly 21,169
CMBX NA BB.9 Index (22,012) 161,000 42,536 9/17/58 (500 bp) — Monthly 20,390
CMBX NA BB.9 Index (24,292) 161,000 42,536 9/17/58 (500 bp) — Monthly 18,110
CMBX NA BB.9 Index (6,566) 108,000 28,534 9/17/58 (500 bp) — Monthly 21,878
CMBX NA BB.9 Index (3,127) 80,000 21,136 9/17/58 (500 bp) — Monthly 17,942
CMBX NA BB.9 Index (11,806) 78,000 20,608 9/17/58 (500 bp) — Monthly 8,736
CMBX NA BB.9 Index (11,806) 78,000 20,608 9/17/58 (500 bp) — Monthly 8,736
CMBX NA BB.9 Index (1,933) 39,000 10,304 9/17/58 (500 bp) — Monthly 8,338
CMBX NA BBB-.8 Index (32,513) 209,000 31,789 10/17/57 (300 bp) — Monthly (829)
CMBX NA BBB-.8 Index (16,622) 106,000 16,123 10/17/57 (300 bp) — Monthly (553)
CMBX NA BBB-.10 Index (113,955) 676,000 77,537 11/17/59 (300 bp) — Monthly (36,755)
CMBX NA BBB-.10 Index (59,128) 250,000 28,675 11/17/59 (300 bp) — Monthly (30,578)
CMBX NA BBB-.10 Index (53,390) 219,000 25,119 11/17/59 (300 bp) — Monthly (28,381)
CMBX NA BBB-.10 Index (27,596) 215,000 24,661 11/17/59 (300 bp) — Monthly (3,043)
CMBX NA BBB-.10 Index (19,291) 161,000 18,467 11/17/59 (300 bp) — Monthly (904)
CMBX NA BBB-.10 Index (26,413) 121,000 13,879 11/17/59 (300 bp) — Monthly (12,595)
CMBX NA BBB-.10 Index (27,781) 121,000 13,879 11/17/59 (300 bp) — Monthly (13,963)
CMBX NA BBB-.10 Index (11,275) 52,000 5,964 11/17/59 (300 bp) — Monthly (5,336)
CMBX NA BBB-.10 Index (9,947) 46,000 5,276 11/17/59 (300 bp) — Monthly (4,694)
CMBX NA BBB-.10 Index (39,854) 323,000 37,048 11/17/59 (300 bp) — Monthly (2,967)
CMBX NA BBB-.10 Index (22,321) 176,000 20,187 11/17/59 (300 bp) — Monthly (2,222)
CMBX NA BBB-.10 Index (17,629) 139,000 15,943 11/17/59 (300 bp) — Monthly (1,755)
CMBX NA BBB-.11 Index (11,548) 37,000 1,909 11/18/54 (300 bp) — Monthly (9,657)
CMBX NA BBB-.13 Index (51,461) 835,000 52,271 12/16/72 (300 bp) — Monthly 392
CMBX NA BBB-.7 Index (30,222) 476,000 94,819 1/17/47 (300 bp) — Monthly 64,360
CMBX NA BBB-.8 Index (39,437) 253,000 38,481 10/17/57 (300 bp) — Monthly (1,082)
CMBX NA BBB-.8 Index (18,438) 119,000 18,100 10/17/57 (300 bp) — Monthly (398)
CMBX NA BBB-.8 Index (18,438) 118,000 17,948 10/17/57 (300 bp) — Monthly (549)
Upfront premium received — Unrealized appreciation 3,057,352
Upfront premium (paid) (8,037,329) Unrealized (depreciation) (2,685,524)
Total $(8,037,329) Total $371,828
* 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 currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
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
OJSC Open Joint Stock Company
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 August 1, 2020 through April 30, 2021 (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 $500,381,864.
(NON) This security is non-income-producing.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $283,888, or 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam 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
7/31/20		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
4/30/21
Short-term investments
Putnam Short Term Investment Fund* $21,644,013 $132,237,978 $129,510,284 $28,363 $24,371,707
Total Short-term investments $21,644,013 $132,237,978 $129,510,284 $28,363 $24,371,707
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,125,000.
(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 $42,036,000.
(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 $6,947,000.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $405,167,652 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.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 89.5%
Indonesia 0.9
Ivory Coast 0.9
Senegal 0.8
Egypt 0.8
Dominican Republic 0.7
Canada 0.6
Ghana 0.6
Argentina 0.5
Brazil 0.5
Other 4.2
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $41,088,708 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $42,036,000 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Consumer cyclicals $288,938 $9,296 $—
Energy 66,287 256 431
Health care 17,976 — —
Utilities and power — 22,127 —
Total common stocks 373,201 31,679 431
Asset-backed securities — 6,334,206 —
Convertible bonds and notes — 35,186,344 —
Corporate bonds and notes — 105,356,963 205
Foreign government and agency bonds and notes — 69,701,673 —
Mortgage-backed securities — 230,307,172 —
Preferred stocks — 195,146 —
Purchased options outstanding — 1,086,520 —
Purchased swap options outstanding — 12,135,957 —
Senior loans — 17,895,897 —
U.S. government and agency mortgage obligations — 379,626,441 —
U.S. treasury obligations — 477,254 —
Short-term investments 690,000 74,716,119 —
Totals by level $1,063,201 $933,051,371 $636
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(884,959) $—
Futures contracts 141,179 — —
Written options outstanding — (688,140) —
Written swap options outstanding — (19,969,476) —
Forward premium swap option contracts — 2,295,173 —
TBA sale commitments — (150,803,831) —
Interest rate swap contracts — 4,107,315 —
Total return swap contracts — (8,892,649) —
Credit default contracts — (33,994,790) —
Totals by level $141,179 $(208,831,357) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Purchased TBA commitment option contracts (contract amount) $225,800,000
Purchased swap option contracts (contract amount) $1,417,700,000
Written TBA commitment option contracts (contract amount) $233,800,000
Written swap option contracts (contract amount) $1,233,400,000
Futures contracts (number of contracts) 2,000
Forward currency contracts (contract amount) $496,300,000
Centrally cleared interest rate swap contracts (notional) $2,001,400,000
OTC total return swap contracts (notional) $43,300,000
Centrally cleared total return swap contracts (notional) $346,100,000
OTC credit default contracts (notional) $201,300,000
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