UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811-05452) |
Exact name of registrant as specified in charter: | Putnam Premier Income Trust |
Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
Name and address of agent for service: | Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109 |
Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
Registrant's telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | July 31, 2017 |
Date of reporting period: | August 1, 2016 — January 31, 2017 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam
Premier Income
Trust
Semiannual report
1 | 31 | 17
Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific sector, issuer or industry. These and other factors may also lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. You can lose money by investing in the fund. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.
Message from the Trustees
March 16, 2017
Dear Fellow Shareholder:
In the early weeks of 2017, investor sentiment generally brightened at the prospect of moving beyond the challenges of the past year, when political uncertainty, among other issues, tested global financial markets. As stock markets delivered modest gains, the exuberance that greeted the new year calmed somewhat as investors reconsidered a number of ongoing macroeconomic risks. In addition, many bond investors remained cautious as the potential for inflation increased.
As always, we believe investors should continue to focus on time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and do not overreact to short-term market fluctuations. To help ensure that your portfolio is aligned with your individual goals, time horizon, and tolerance for risk, we also believe it is a good idea to speak regularly with your financial advisor.
In today’s environment, we favor the investment approach practiced at Putnam — active strategies based on fundamental research. Putnam portfolio managers, backed by a network of global analysts, bring years of experience to navigating changing market conditions and pursuing investment opportunities. In the following pages, you will find an overview of your fund’s performance for the reporting period ended January 31, 2017, as well as an outlook for the coming months.
Thank you for investing with Putnam.
Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 11–12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.
* Returns for the six-month period are not annualized, but cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 1/31/17. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on page 13.
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Bill is Chief Investment Officer of Fixed Income at Putnam. He has an M.B.A. from the University of California, Berkeley, Haas School of Business, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1988.
In addition to Bill, your fund’s portfolio managers are Co-Head of Fixed Income Paul D. Scanlon, CFA; Co-Head of Fixed Income Michael V. Salm; Portfolio Manager Michael J. Atkin; Portfolio Manager Robert L. Davis, CFA; and Portfolio Manager Brett S. Kozlowski, CFA.
Bill, what was the fund’s investment environment like during the six-month reporting period ended January 31, 2017?
Despite rising interest rates, the environment was generally favorable. Credit spreads tightened, reflecting investor demand for credit risk amid improving U.S. economic growth and a positive post-election outlook for 2017.
Internationally, the backdrop was less positive. Many economies outside the United States faced ongoing challenges, in contrast with the strengthening U.S. data. The dichotomy was clear in monetary policies. Most foreign central banks continued on a path of easing, while the Federal Reserve remained steadfast in its stated plan to eventually normalize interest rates.
In fact, the Fed increased its target for short-term interest rates by a quarter percentage point at its December 14 meeting. The Fed also indicated that it may raise rates faster than previously indicated if U.S. economic growth shows signs of accelerating in 2017, which sent U.S. Treasury yields to a multiyear high. Despite higher rates and the Fed’s slightly hawkish tone, investor risk appetite remained strong.
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Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/17. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.
Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.
The benchmark 10-year Treasury yield trended gradually higher from early summer through the end of October, then spiked in the week following the U.S. presidential election. It reached a high of 2.57% in mid-December and finished the period slightly below that level at 2.45%.
The U.S. dollar rallied in the weeks following the election of Donald Trump, reaching a 14-year high in early January. The dollar’s rise was partly due to investor expectations that the new administration’s plans for deregulation, lower taxes, and fiscal stimulus would bolster U.S. economic growth. As January progressed, however, the dollar declined and volatility increased, likely driven by statements from administration officials that were interpreted by investors as advocating a weaker dollar.
The fund outpaced its benchmark by a sizable margin during the period. What factors bolstered relative performance?
With respect to relative performance, I think it’s important to point out that the fund’s benchmark comprises U.S. Treasury and government-agency securities. These areas of the market were hampered by rising interest rates and investor preference for securities offering greater potential return in exchange for higher risk. The fund, on the other hand, benefited from a variety of out-of-benchmark holdings, most notably high-yield corporate bonds and mortgage-credit securities.
Please tell us more about specific investments that fueled the fund’s results during the period.
An allocation to high-yield bonds was one of the biggest contributors. Various factors bolstered high-yield corporate credit, including stronger economic growth; expectations that growth
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in 2017 could potentially benefit if the Trump administration launches more-robust fiscal policy; higher oil prices; a minimal 12-month default rate excluding commodity-related sectors; and reduced year-over-year new issuance.
Within mortgage credit, holdings of agency credit risk-transfer securities [CRTs] also provided a major boost to performance. CRTs are backed by a reference pool of agency mortgages. Unlike regular agency pass-throughs, the principal invested in CRTs is not backed by Fannie Mae or Freddie Mac. To compensate investors for this risk, CRTs offer higher yields than conventional pass-through securities. Similar to commercial mortgage-backed securities [CMBS], CRTs are structured into various tranches offering different levels of risk and yield based on the underlying reference pool.
During the period, the combination of relatively high yields and high-quality collateral continued to attract investors to CRTs. Furthermore, CRTs provided investors with a productive alternative to deploy their capital as other parts of the residential mortgage-backed securities [RMBS] market continued to shrink.
Holdings of pay-option adjustable-rate mortgage-backed securities also helped. These positions benefited from the generally favorable risk environment during the period, as well as the fact that there was no new supply of these bonds coming to market.
Positions in more-recently issued mezzanine CMBS were a further contributor. During the second half of 2016, broker/dealers increased the amount of CMBS in their inventories, helping to bolster marketplace liquidity, which in turn aided the performance of newer mezzanine bonds.
This table shows the fund’s top holdings across three key sectors and the percentage of the fund’s net assets that each represented as of 1/31/17. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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Which other strategies or holdings helped performance?
Our interest-rate and yield-curve positioning in the United States and overseas aided results. We continued our efforts to de-emphasize interest-rate risk by keeping the portfolio’s duration — a key measure of interest-rate sensitivity — below zero. This strategy was particularly helpful in November when intermediate- and long-term Treasury yields rose sharply in response to the U.S. presidential election outcome and President Trump’s proposed fiscal policy. We also positioned the portfolio to benefit from a potentially steeper U.S. Treasury yield curve, which worked well as the curve steepened in November. Internationally, maintaining negative duration strategies in various countries proved additive as interest rates rose.
Investments in emerging-market debt continued to be a productive part of the portfolio. During the period, positions in Brazil, Russia, Venezuela, and Argentina added the most, helped by higher oil prices and persistent investor demand for high-yielding securities.
Within our prepayment strategies, holdings of agency interest-only collateralized mortgage obligations [IO CMOs] performed well and also helped performance. Rising interest rates provided a tailwind for these investments, helping to keep mortgage prepayment speeds below market expectations. Additionally, mortgage refinancing continued to be hampered by stringent bank-lending standards.
How did you use derivatives during the period?
We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve, to hedge the risk associated with the fund’s yield-curve positioning, and to gain exposure to rates in various countries. In addition, we employed interest-rate swaps and options to hedge the interest-rate and
This chart shows how the fund’s sector weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.
Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
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prepayment risks associated with our CMO holdings, and to help manage overall downside risk. Lastly, we utilized currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.
What is your near-term outlook?
We think U.S. economic growth may accelerate in 2017, but the policy priorities of the Trump administration could lead to a struggle of competing forces influencing the economy. On the one hand, we believe President Trump’s policy pronouncements regarding lowering corporate and personal income tax rates, along with increasing spending on infrastructure and defense, could bolster growth. Conversely, the President’s protectionist rhetoric regarding foreign trade, such as imposing substantial tariffs on imports from China and eliminating or weakening existing trade deals, would likely hamper growth, in our view. We will continue to closely monitor developments.
Given this outlook, how do you plan to position the fund?
In our view, the global economic environment may continue to be supportive for the fund’s strategies and general positioning.
In terms of positioning, our non-U.S., quantitatively driven, negative-duration strategies moved the fund’s total duration further below zero during the period. We also extended our strategy of seeking to capitalize on potentially steeper global yield curves. We think this overall positioning could benefit the fund if interest rates continue to trend higher in 2017.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
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We plan to continue seeking opportunities in corporate and mortgage credit that we believe offer relative value. Within those market areas, we continue to have a constructive outlook for high-yield bonds, based on what we think is a generally favorable fundamental and technical backdrop for the asset class. We also plan to continue our efforts to capitalize on expanding opportunities within the agency CRT sector. And we continue to like commercial mortgage-backed securities, given what we consider to be their attractive spreads.
We plan to maintain the fund’s exposure to select emerging-market countries, seeking to benefit from the relatively high income levels available in markets where we believe we’re being properly compensated for risk.
Thanks for your time and for bringing us up to date, Bill.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.
HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS
Closed-end funds and open-end funds share many common characteristics but also have some key differences that you should understand as you consider your portfolio strategies.
More assets at work Open-end funds are subject to ongoing sales and redemptions that can generate transaction costs for long-term shareholders. Closed-end funds, however, are typically fixed pools of capital that do not need to hold cash in connection with sales and redemptions, allowing the funds to keep more assets actively invested.
Traded like stocks Closed-end fund shares are traded on stock exchanges and, as a result, their prices fluctuate because of the influence of several factors.
They have a market price Like an open-end fund, a closed-end fund has a per-share net asset value (NAV). However, closed-end funds also have a “market price” for their shares — which is how much you pay when you buy shares of the fund, and how much you receive when you sell them. When looking at a closed-end fund’s performance, you will usually see that the NAV and the market price differ. The market price can be influenced by several factors that cause it to vary from the NAV, including fund distributions, changes in supply and demand for the fund’s shares, changing market conditions, and investor perceptions of the fund or its investment manager. A fund’s performance at market price typically differs from its results at NAV.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended January 31, 2017, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.
Fund performance Total return for periods ended 1/31/17
Annual | |||||||||
average | |||||||||
Life of fund | |||||||||
(since | Annual | Annual | Annual | ||||||
2/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| |||||||||
NAV | 6.78% | 64.45% | 5.10% | 29.70% | 5.34% | 9.34% | 3.02% | 13.14% | 8.77% |
| |||||||||
Market price | 6.82 | 79.81 | 6.04 | 30.38 | 5.45 | 17.31 | 5.47 | 18.78 | 15.20 |
Performance assumes reinvestment of distributions and does not account for taxes.
Performance includes the deduction of management fees and administrative expenses.
Comparative index returns For periods ended 1/31/17
Annual | |||||||||
average | |||||||||
Life of | |||||||||
fund (since | Annual | Annual | Annual | ||||||
2/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| |||||||||
Bloomberg | |||||||||
Barclays | |||||||||
Government Bond | 5.99% | 46.51% | 3.89% | 6.03% | 1.18% | 5.79% | 1.89% | –0.78% | –4.12% |
Index | |||||||||
| |||||||||
Lipper General | |||||||||
Bond Funds | |||||||||
(closed-end) | 7.43 | 110.09 | 7.28 | 46.31 | 7.61 | 19.19 | 5.96 | 17.52 | 6.19 |
category average* |
Index and Lipper results should be compared with fund performance at net asset value.
* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 1/31/17, there were 36, 36, 28, 23, 18, and 3 funds, respectively, in this Lipper category.
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Fund price and distribution information For the six-month period ended 1/31/17
Distributions | ||
| ||
Number | 6 | |
| ||
Income | $0.156 | |
| ||
Capital gains | — | |
| ||
Total | $0.156 | |
| ||
Share value | NAV | Market price |
| ||
7/31/16 | $5.28 | $4.72 |
| ||
1/31/17 | 5.58 | 5.27 |
| ||
Current dividend rate* | 5.59% | 5.92% |
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
* Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.
Fund performance as of most recent calendar quarter Total return for periods ended 12/31/16
Annual | |||||||||
average | |||||||||
Life of fund | |||||||||
(since | Annual | Annual | Annual | ||||||
2/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| |||||||||
NAV | 6.73% | 61.12% | 4.89% | 29.98% | 5.38% | 6.31% | 2.06% | 6.27% | 8.89% |
| |||||||||
Market price | 6.61 | 70.32 | 5.47 | 29.66 | 5.33 | 9.60 | 3.10 | 7.10 | 9.16 |
See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.
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Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV) is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.
Market price is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
• Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Barclays Government Bond Index is an unmanaged index of U.S. Treasury and agency securities.
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to
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other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
Important notice regarding share repurchase program
In September 2016, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 12 months beginning October 8, 2016, up to 10% of the fund’s common shares outstanding as of October 7, 2016.
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2016, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of January 31, 2017, Putnam employees had approximately $465,000,000 and the Trustees had approximately $135,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
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Summary of Putnam Closed-End Funds’ Amended and Restated Dividend Reinvestment Plans
Putnam High Income Securities Fund, Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you.
Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholder will be deemed to have elected to participate in that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.
If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.
To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.
How you acquire additional shares through a Plan If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.
If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.
How to withdraw from a Plan Participants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.
Plan administration The Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant will
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be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.
About brokerage fees Each participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.
About taxes and Plan amendments Reinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the prior consent of a Fund and without prior notice to Plan participants.
If your shares are held in a broker or nominee name If your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.
In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.
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Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
Premier Income Trust 17 |
The fund’s portfolio 1/31/17 (Unaudited)
U.S. GOVERNMENT AND AGENCY | Principal | |
MORTGAGE OBLIGATIONS (59.3%)* | amount | Value |
| ||
U.S. Government Guaranteed Mortgage Obligations (0.5%) | ||
| ||
Government National Mortgage Association Pass-Through Certificates | ||
4.50%, TBA, 2/1/47 | $3,000,000 | $3,218,203 |
| ||
3,218,203 | ||
| ||
U.S. Government Agency Mortgage Obligations (58.8%) | ||
| ||
Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
3.500%, 12/01/25 i | $131,445 | $138,293 |
| ||
Federal National Mortgage Association Pass-Through Certificates | ||
| ||
5.50%, TBA, 2/1/47 | 5,000,000 | 5,555,078 |
| ||
4.50%, TBA, 3/1/47 | 5,000,000 | 5,368,164 |
| ||
4.50%, TBA, 2/1/47 | 5,000,000 | 5,376,953 |
| ||
4.00%, TBA, 3/1/47 | 2,000,000 | 2,094,609 |
| ||
4.00%, TBA, 2/1/47 | 2,000,000 | 2,098,594 |
| ||
3.50%, TBA, 3/1/47 | 162,000,000 | 165,221,014 |
| ||
3.50%, TBA, 2/1/47 | 162,000,000 | 165,556,402 |
| ||
351,409,107 | ||
| ||
Total U.S. government and agency mortgage obligations (cost $354,815,326) | $354,627,310 | |
|
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* | amount | Value |
| ||
Agency collateralized mortgage obligations (18.9%) | ||
| ||
Federal Home Loan Mortgage Corporation | ||
| ||
IFB Ser. 3408, Class EK, 22.706%, 4/15/37 | $108,094 | $168,230 |
| ||
IFB Ser. 2979, Class AS, 21.46%, 3/15/34 | 2,351 | 2,394 |
| ||
IFB Ser. 3072, Class SM, 20.984%, 11/15/35 | 210,883 | 307,990 |
| ||
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 3,326,877 | 713,282 |
| ||
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 1,939,300 | 365,558 |
| ||
Ser. 4024, Class PI, IO, 4.50%, 12/15/41 | 3,207,729 | 590,636 |
| ||
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 6,894,531 | 1,189,307 |
| ||
Ser. 4462, IO, 4.00%, 4/15/45 | 3,246,244 | 632,498 |
| ||
Ser. 4425, IO, 4.00%, 1/15/45 | 8,326,456 | 1,594,100 |
| ||
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 6,448,802 | 1,418,092 |
| ||
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 5,424,302 | 831,410 |
| ||
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 | 7,886,801 | 955,047 |
| ||
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 | 15,024,978 | 2,521,342 |
| ||
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 | 10,362,893 | 1,758,583 |
| ||
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 | 7,483,297 | 1,055,744 |
| ||
Ser. 4122, Class AI, IO, 3.50%, 10/15/42 | 6,219,222 | 825,652 |
| ||
Ser. 4122, Class CI, IO, 3.50%, 10/15/42 | 5,635,298 | 748,131 |
| ||
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 2,969,005 | 359,059 |
| ||
Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 3,455,158 | 394,827 |
| ||
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 12,739,701 | 1,360,600 |
| ||
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 5,861,459 | 616,625 |
| ||
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 3,627,765 | 276,334 |
| ||
FRB Ser. 57, Class 1AX, IO, 0.374%, 7/25/43 | 3,223,147 | 34,404 |
| ||
Ser. 3326, Class WF, zero %, 10/15/35 | 2,204 | 1,684 |
| ||
Federal National Mortgage Association | ||
| ||
IFB Ser. 06-62, Class PS, 35.273%, 7/25/36 | 160,366 | 296,118 |
| ||
IFB Ser. 07-53, Class SP, 21.373%, 6/25/37 | 182,698 | 271,257 |
|
18 Premier Income Trust |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Agency collateralized mortgage obligations cont. | ||
| ||
Federal National Mortgage Association | ||
| ||
IFB Ser. 08-24, Class SP, 20.456%, 2/25/38 | $170,963 | $239,928 |
| ||
IFB Ser. 05-75, Class GS, 17.937%, 8/25/35 | 140,489 | 184,890 |
| ||
IFB Ser. 05-83, Class QP, 15.389%, 11/25/34 | 205,396 | 257,205 |
| ||
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 6,941,829 | 1,660,560 |
| ||
Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 305,249 | 68,573 |
| ||
IFB Ser. 13-18, Class SB, IO, 5.379%, 10/25/41 | 2,772,164 | 373,411 |
| ||
Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 976,040 | 181,409 |
| ||
Ser. 15-16, Class MI, IO, 4.50%, 4/25/45 | 4,853,785 | 1,001,093 |
| ||
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 1,465,539 | 349,070 |
| ||
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 | 9,569,348 | 1,235,135 |
| ||
Ser. 366, Class 22, IO, 4.50%, 10/25/35 | 201,877 | 9,185 |
| ||
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 5,471,848 | 859,085 |
| ||
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 3,925,007 | 666,466 |
| ||
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 3,763,967 | 582,239 |
| ||
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 2,988,565 | 506,923 |
| ||
Ser. 12-96, Class PI, IO, 4.00%, 7/25/41 | 2,196,466 | 347,935 |
| ||
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 5,257,094 | 420,567 |
| ||
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 4,969,931 | 427,911 |
| ||
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 | 4,430,854 | 492,268 |
| ||
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 4,907,515 | 352,556 |
| ||
Ser. 99-51, Class N, PO, zero %, 9/17/29 | 21,204 | 18,023 |
| ||
Federal National Mortgage Association Grantor Trust Ser. 00-T6, | ||
IO, 0.717%, 3/30/30 | 2,338,143 | 49,686 |
| ||
Government National Mortgage Association | ||
| ||
IFB Ser. 13-129, Class SN, IO, 5.373%, 9/20/43 | 1,994,677 | 332,632 |
| ||
Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 | 2,787,874 | 515,645 |
| ||
Ser. 14-76, IO, 5.00%, 5/20/44 | 3,510,221 | 721,932 |
| ||
Ser. 14-25, Class MI, IO, 5.00%, 11/20/43 | 2,237,275 | 415,999 |
| ||
Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 | 8,329,336 | 993,856 |
| ||
Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 | 5,447,207 | 1,132,453 |
| ||
Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 | 4,855,985 | 1,004,237 |
| ||
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 2,710,675 | 560,519 |
| ||
Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 | 2,485,806 | 519,484 |
| ||
Ser. 12-146, IO, 5.00%, 12/20/42 | 2,424,458 | 510,833 |
| ||
Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 | 1,820,113 | 347,023 |
| ||
Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 | 1,334,805 | 101,854 |
| ||
Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 | 730,298 | 39,116 |
| ||
Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 | 870,348 | 81,649 |
| ||
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 839,424 | 178,299 |
| ||
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 2,533,166 | 524,669 |
| ||
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 11,497,382 | 2,424,648 |
| ||
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 5,896,087 | 1,243,013 |
| ||
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 2,222,367 | 454,174 |
| ||
IFB Ser. 14-119, Class SA, IO, 4.823%, 8/20/44 | 8,049,116 | 1,227,490 |
| ||
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 | 4,091,993 | 890,008 |
| ||
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 | 16,498,635 | 1,892,888 |
| ||
Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 | 4,305,246 | 705,673 |
| ||
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 | 5,000,295 | 1,012,560 |
|
Premier Income Trust 19 |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Agency collateralized mortgage obligations cont. | ||
| ||
Government National Mortgage Association | ||
| ||
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 | $6,754,569 | $1,165,704 |
| ||
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 4,909,663 | 1,015,412 |
| ||
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 1,147,312 | 199,931 |
| ||
Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 | 479,932 | 26,515 |
| ||
Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 | 300,997 | 41,128 |
| ||
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 5,014,921 | 958,953 |
| ||
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 8,040,708 | 1,589,005 |
| ||
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 4,536,326 | 869,283 |
| ||
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 5,115,867 | 992,565 |
| ||
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 3,048,036 | 583,107 |
| ||
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 2,353,341 | 550,635 |
| ||
Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 | 1,045,881 | 120,726 |
| ||
Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 | 3,040,499 | 295,020 |
| ||
Ser. 10-98, Class PI, IO, 4.50%, 10/20/37 | 492,772 | 12,664 |
| ||
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 11,397,655 | 2,011,116 |
| ||
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 5,770,558 | 1,261,490 |
| ||
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 7,710,877 | 1,303,131 |
| ||
Ser. 15-40, IO, 4.00%, 3/20/45 | 6,499,880 | 1,337,116 |
| ||
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 6,672,235 | 1,231,227 |
| ||
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 2,370,032 | 462,389 |
| ||
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 11,563,080 | 1,557,894 |
| ||
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 2,345,060 | 401,310 |
| ||
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 2,077,074 | 416,858 |
| ||
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 | 6,486,969 | 1,260,164 |
| ||
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 | 5,368,576 | 964,415 |
| ||
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 | 5,089,644 | 933,471 |
| ||
Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 | 7,181,729 | 1,023,396 |
| ||
Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 | 6,013,318 | 898,029 |
| ||
Ser. 13-76, IO, 3.50%, 5/20/43 | 8,608,012 | 1,490,563 |
| ||
Ser. 13-28, IO, 3.50%, 2/20/43 | 2,708,683 | 406,620 |
| ||
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 4,139,876 | 706,056 |
| ||
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 5,783,259 | 938,449 |
| ||
Ser. 13-14, IO, 3.50%, 12/20/42 | 13,330,603 | 1,879,348 |
| ||
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 4,280,230 | 726,141 |
| ||
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 | 4,995,713 | 951,683 |
| ||
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 6,146,112 | 1,267,199 |
| ||
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 2,904,550 | 630,203 |
| ||
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 | 9,055,014 | 1,255,025 |
| ||
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 8,971,127 | 1,284,028 |
| ||
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 6,552,068 | 823,595 |
| ||
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 | 5,223,928 | 683,598 |
| ||
Ser. 16-H23, Class NI, IO, 2.829%, 10/20/66 | 29,944,129 | 4,359,865 |
| ||
Ser. 16-H17, Class KI, IO, 2.435%, 7/20/66 | 5,793,630 | 724,204 |
| ||
Ser. 15-H20, Class CI, IO, 2.405%, 8/20/65 | 11,465,125 | 1,381,559 |
| ||
Ser. 15-H15, Class BI, IO, 2.385%, 6/20/65 | 6,701,638 | 791,799 |
| ||
Ser. 15-H24, Class AI, IO, 2.371%, 9/20/65 | 10,505,656 | 1,153,521 |
| ||
Ser. 16-H03, Class AI, IO, 2.327%, 1/20/66 | 10,278,697 | 1,169,202 |
| ||
Ser. 15-H10, Class BI, IO, 2.241%, 4/20/65 | 7,214,842 | 824,902 |
|
20 Premier Income Trust |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Agency collateralized mortgage obligations cont. | ||
| ||
Government National Mortgage Association | ||
| ||
Ser. 16-H16, Class EI, IO, 2.172%, 6/20/66 | $8,296,078 | $1,059,409 |
| ||
Ser. 16-H09, Class BI, IO, 2.156%, 4/20/66 | 13,625,689 | 1,625,599 |
| ||
Ser. 16-H03, Class DI, IO, 2.038%, 12/20/65 | 11,217,169 | 1,121,717 |
| ||
Ser. 16-H02, Class HI, IO, 2.003%, 1/20/66 | 13,325,382 | 1,396,500 |
| ||
Ser. 16-H10, Class AI, IO, 1.988%, 4/20/66 | 23,019,333 | 2,060,230 |
| ||
Ser. 15-H25, Class EI, IO, 1.845%, 10/20/65 | 10,392,672 | 1,034,071 |
| ||
Ser. 15-H20, Class AI, IO, 1.837%, 8/20/65 | 10,392,621 | 1,053,812 |
| ||
FRB Ser. 15-H08, Class CI, IO, 1.791%, 3/20/65 | 7,771,847 | 735,955 |
| ||
Ser. 15-H23, Class BI, IO, 1.728%, 9/20/65 | 11,520,655 | 1,092,158 |
| ||
Ser. 16-H06, Class DI, IO, 1.728%, 7/20/65 | 15,848,666 | 1,529,396 |
| ||
Ser. 16-H24, Class CI, IO, 1.703%, 10/20/66 | 8,662,620 | 776,929 |
| ||
Ser. 13-H08, Class CI, IO, 1.673%, 2/20/63 | 14,513,405 | 991,266 |
| ||
Ser. 16-H14, IO, 1.672%, 6/20/66 | 10,128,491 | 865,986 |
| ||
Ser. 16-H06, Class CI, IO, 1.609%, 2/20/66 | 14,198,908 | 1,202,647 |
| ||
Ser. 14-H21, Class BI, IO, 1.546%, 10/20/64 | 13,195,954 | 1,018,728 |
| ||
Ser. 15-H26, Class CI, IO, 0.679%, 8/20/65 | 33,204,117 | 753,733 |
| ||
Ser. 06-36, Class OD, PO, zero %, 7/16/36 | 6,516 | 5,454 |
| ||
112,657,480 | ||
| ||
Commercial mortgage-backed securities (17.5%) | ||
| ||
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, | ||
5.695%, 7/10/46 | 422,889 | 422,106 |
| ||
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, | ||
Class XW, IO, 0.332%, 2/10/51 | 129,179,280 | 227,058 |
| ||
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB | ||
Ser. 05-5, Class D, 5.407%, 10/10/45 | 493,999 | 493,723 |
| ||
Bear Stearns Commercial Mortgage Securities Trust | ||
| ||
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 | 2,750,000 | 2,615,938 |
| ||
Ser. 05-PWR7, Class D, 5.304%, 2/11/41 | 1,026,000 | 997,036 |
| ||
Ser. 05-PWR7, Class B, 5.214%, 2/11/41 | 1,443,647 | 1,445,090 |
| ||
Bear Stearns Commercial Mortgage Securities Trust 144A | ||
| ||
FRB Ser. 06-PW11, Class B, 5.436%, 3/11/39 | 1,383,918 | 1,315,386 |
| ||
FRB Ser. 06-PW11, Class C, 5.436%, 3/11/39 | 1,554,000 | 777,093 |
| ||
FRB Ser. 06-PW14, Class XW, IO, 0.534%, 12/11/38 | 6,248,384 | 23,119 |
| ||
CD Mortgage Trust 144A | ||
| ||
FRB Ser. 07-CD5, Class E, 6.122%, 11/15/44 | 2,160,000 | 2,096,183 |
| ||
FRB Ser. 07-CD5, Class XS, IO, 0.149%, 11/15/44 | 43,159,640 | 12,948 |
| ||
CFCRE Commercial Mortgage Trust 144A | ||
| ||
FRB Ser. 11-C2, Class E, 5.754%, 12/15/47 | 1,068,000 | 1,070,966 |
| ||
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 | 2,275,000 | 2,049,775 |
| ||
Citigroup Commercial Mortgage Trust 144A | ||
| ||
FRB Ser. 12-GC8, Class D, 4.876%, 9/10/45 | 2,053,000 | 1,943,575 |
| ||
FRB Ser. 14-GC21, Class D, 4.835%, 5/10/47 | 951,000 | 798,840 |
| ||
COBALT CMBS Commercial Mortgage Trust Ser. 07-C2, Class AJFX, | ||
5.568%, 4/15/47 | 1,952,320 | 1,953,491 |
| ||
COMM Mortgage Pass-Through Certificates 144A Ser. 12-CR3, | ||
Class F, 4.75%, 10/15/45 | 1,755,510 | 1,222,008 |
| ||
COMM Mortgage Trust | ||
| ||
FRB Ser. 07-C9, Class F, 5.785%, 12/10/49 | 1,138,000 | 1,132,264 |
| ||
Ser. 06-C8, Class AJ, 5.377%, 12/10/46 | 1,306,436 | 1,309,441 |
|
Premier Income Trust 21 |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Commercial mortgage-backed securities cont. | ||
| ||
COMM Mortgage Trust 144A | ||
| ||
FRB Ser. 13-CR9, Class D, 4.256%, 7/10/45 | $2,441,000 | $2,209,593 |
| ||
Ser. 13-LC13, Class E, 3.719%, 8/10/46 | 1,331,000 | 921,185 |
| ||
Ser. 14-CR18, Class E, 3.60%, 7/15/47 | 1,371,000 | 881,005 |
| ||
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, | ||
IO, 0.673%, 12/15/39 | 6,048,589 | 21,170 |
| ||
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 | ||
(Cayman Islands) | 1,336,094 | 1,338,633 |
| ||
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, | ||
3.80%, 4/15/50 | 2,094,000 | 1,785,202 |
| ||
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class E, | ||
5.087%, 8/10/42 | 749,646 | 747,989 |
| ||
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, | ||
Class AJ, 5.484%, 3/10/44 | 2,265,718 | 2,235,130 |
| ||
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, | ||
Class B, 4.965%, 12/10/41 | 163,368 | 163,564 |
| ||
GS Mortgage Securities Corp. II 144A | ||
| ||
FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46 | 774,000 | 730,579 |
| ||
FRB Ser. 05-GG4, Class XC, IO, 0.917%, 7/10/39 | 911,544 | 1,276 |
| ||
GS Mortgage Securities Trust 144A | ||
| ||
FRB Ser. 13-GC16, Class E, 5.32%, 11/10/46 | 1,693,000 | 1,372,346 |
| ||
Ser. 11-GC3, Class E, 5.00%, 3/10/44 | 1,347,000 | 1,251,363 |
| ||
FRB Ser. 14-GC18, Class D, 4.945%, 1/10/47 | 1,622,000 | 1,370,947 |
| ||
FRB Ser. 14-GC26, Class D, 4.511%, 11/10/47 | 2,204,000 | 1,839,899 |
| ||
FRB Ser. 13-GC12, Class D, 4.476%, 6/10/46 | 770,000 | 676,676 |
| ||
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, | ||
Class D, 4.086%, 7/15/45 | 778,000 | 670,908 |
| ||
JPMBB Commercial Mortgage Securities Trust 144A | ||
| ||
FRB Ser. 13-C15, Class D, 5.046%, 11/15/45 | 2,883,000 | 2,749,661 |
| ||
FRB Ser. 14-C18, Class D, 4.814%, 2/15/47 | 2,236,000 | 1,951,804 |
| ||
FRB Ser. 13-C14, Class E, 4.562%, 8/15/46 | 1,178,000 | 960,188 |
| ||
FRB Ser. C14, Class D, 4.562%, 8/15/46 | 1,063,000 | 975,057 |
| ||
FRB Ser. 14-C18, Class E, 4.314%, 2/15/47 | 914,000 | 645,193 |
| ||
FRB Ser. 14-C25, Class D, 3.948%, 11/15/47 | 2,308,000 | 1,831,167 |
| ||
FRB Ser. 14-C26, Class D, 3.926%, 1/15/48 | 1,349,000 | 1,119,759 |
| ||
Ser. 14-C25, Class E, 3.332%, 11/15/47 | 1,823,000 | 1,121,874 |
| ||
JPMorgan Chase Commercial Mortgage Securities Trust | ||
| ||
FRB Ser. 07-CB20, Class AJ, 6.157%, 2/12/51 | 1,225,830 | 1,237,966 |
| ||
FRB Ser. 06-LDP7, Class B, 5.927%, 4/17/45 | 1,231,000 | 224,288 |
| ||
FRB Ser. 06-LDP6, Class B, 5.653%, 4/15/43 | 132,448 | 132,448 |
| ||
Ser. 06-LDP8, Class B, 5.52%, 5/15/45 | 340,619 | 344,260 |
| ||
FRB Ser. 05-LDP2, Class E, 4.981%, 7/15/42 | 870,000 | 866,433 |
| ||
JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
| ||
FRB Ser. 07-CB20, Class B, 6.257%, 2/12/51 | 1,087,000 | 1,019,715 |
| ||
FRB Ser. 07-CB20, Class C, 6.257%, 2/12/51 | 1,904,000 | 1,675,520 |
| ||
FRB Ser. 11-C3, Class F, 5.619%, 2/15/46 | 1,113,000 | 1,141,159 |
| ||
FRB Ser. 12-C6, Class E, 5.156%, 5/15/45 | 748,000 | 706,187 |
| ||
FRB Ser. 13-C16, Class D, 4.975%, 12/15/46 | 760,000 | 730,313 |
| ||
FRB Ser. 12-C8, Class E, 4.66%, 10/15/45 | 821,000 | 757,782 |
| ||
FRB Ser. 13-C13, Class D, 4.053%, 1/15/46 | 1,027,000 | 953,107 |
|
22 Premier Income Trust |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Commercial mortgage-backed securities cont. | ||
| ||
JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
| ||
Ser. 13-C13, Class E, 3.986%, 1/15/46 | $1,537,000 | $1,062,528 |
| ||
Ser. 13-C10, Class E, 3.50%, 12/15/47 | 1,865,000 | 1,368,351 |
| ||
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 | 1,249,000 | 846,822 |
| ||
FRB Ser. 07-CB20, Class X1, IO, 0.348%, 2/12/51 | 73,422,442 | 107,351 |
| ||
LB Commercial Mortgage Trust 144A | ||
| ||
Ser. 99-C1, Class G, 6.41%, 6/15/31 | 392,558 | 403,622 |
| ||
Ser. 98-C4, Class J, 5.60%, 10/15/35 | 965,000 | 989,318 |
| ||
LB-UBS Commercial Mortgage Trust | ||
| ||
Ser. 06-C6, Class D, 5.502%, 9/15/39 | 3,168,000 | 699,558 |
| ||
FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 | 3,041,000 | 910,171 |
| ||
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, | ||
3.242%, 4/20/48 | 977,000 | 814,574 |
| ||
Merrill Lynch Mortgage Trust | ||
| ||
FRB Ser. 08-C1, Class AJ, 6.283%, 2/12/51 | 428,000 | 438,186 |
| ||
Ser. 04-KEY2, Class D, 5.046%, 8/12/39 | 2,083,879 | 2,065,335 |
| ||
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, | ||
6.283%, 2/12/51 | 812,000 | 824,342 |
| ||
Mezz Cap Commercial Mortgage Trust 144A | ||
| ||
FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37 | 25,544 | 687 |
| ||
FRB Ser. 07-C5, Class X, IO, 5.806%, 12/15/49 | 1,496,046 | 8,976 |
| ||
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, | ||
5.147%, 12/12/49 | 49,741 | 49,860 |
| ||
Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| ||
Ser. 14-C17, Class D, 4.698%, 8/15/47 | 2,403,000 | 2,024,292 |
| ||
FRB Ser. 12-C6, Class G, 4.50%, 11/15/45 | 830,000 | 626,899 |
| ||
FRB Ser. 13-C10, Class E, 4.084%, 7/15/46 | 2,426,000 | 1,996,113 |
| ||
Ser. 14-C17, Class E, 3.50%, 8/15/47 | 1,673,000 | 1,053,823 |
| ||
Ser. 14-C19, Class D, 3.25%, 12/15/47 | 1,200,000 | 941,891 |
| ||
Morgan Stanley Capital I Trust | ||
| ||
Ser. 07-HQ11, Class C, 5.558%, 2/12/44 | 2,693,000 | 1,609,364 |
| ||
FRB Ser. 06-HQ8, Class C, 5.46%, 3/12/44 | 1,300,000 | 1,300,813 |
| ||
FRB Ser. 06-HQ8, Class D, 5.46%, 3/12/44 | 2,090,000 | 834,642 |
| ||
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 | 1,600,000 | 1,621,901 |
| ||
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, | ||
6.276%, 1/11/43 | 798,000 | 801,431 |
| ||
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, | ||
6.00%, 4/28/39 | 992,546 | 974,581 |
| ||
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18 | ||
(Cayman Islands) | 376,000 | 9,964 |
| ||
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, | ||
8.00%, 12/28/38 | 1,099,943 | 82,496 |
| ||
UBS-Barclays Commercial Mortgage Trust 144A | ||
| ||
Ser. 12-C2, Class F, 4.885%, 5/10/63 | 1,431,000 | 1,031,894 |
| ||
FRB Ser. 13-C6, Class D, 4.345%, 4/10/46 | 215,000 | 196,639 |
| ||
Wachovia Bank Commercial Mortgage Trust | ||
| ||
FRB Ser. 06-C26, Class AJ, 6.107%, 6/15/45 | 2,810,000 | 2,093,450 |
| ||
Ser. 07-C30, Class AJ, 5.413%, 12/15/43 | 1,237,000 | 1,244,731 |
| ||
FRB Ser. 07-C34, IO, 0.289%, 5/15/46 | 24,501,849 | 44,103 |
|
Premier Income Trust 23 |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Commercial mortgage-backed securities cont. | ||
| ||
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, | ||
Class G, 5.395%, 10/15/41 | $1,494,091 | $451,753 |
| ||
Wells Fargo Commercial Mortgage Trust 144A | ||
| ||
Ser. 12-LC5, Class E, 4.777%, 10/15/45 | 1,094,000 | 841,614 |
| ||
FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46 | 456,000 | 413,777 |
| ||
Ser. 14-LC18, Class D, 3.957%, 12/15/47 | 1,734,000 | 1,394,378 |
| ||
WF-RBS Commercial Mortgage Trust 144A | ||
| ||
FRB Ser. 13-C17, Class D, 5.124%, 12/15/46 | 1,282,000 | 1,227,614 |
| ||
Ser. 12-C6, Class E, 5.00%, 4/15/45 | 1,243,000 | 985,948 |
| ||
Ser. 11-C4, Class F, 5.00%, 6/15/44 | 1,993,000 | 1,572,876 |
| ||
FRB Ser. 13-C16, Class D, 4.982%, 9/15/46 | 981,000 | 942,152 |
| ||
FRB Ser. 14-C19, Class E, 4.97%, 3/15/47 | 2,131,000 | 1,577,579 |
| ||
FRB Ser. 13-C15, Class D, 4.48%, 8/15/46 | 2,686,000 | 2,403,415 |
| ||
Ser. 14-C19, Class D, 4.234%, 3/15/47 | 1,628,000 | 1,381,485 |
| ||
Ser. 13-C12, Class E, 3.50%, 3/15/48 | 1,664,000 | 1,273,792 |
| ||
104,812,477 | ||
| ||
Residential mortgage-backed securities (non-agency) (12.2%) | ||
| ||
BCAP, LLC Trust 144A FRB Ser. 12-RR5, Class 4A8, 0.926%, 6/26/35 | 392,377 | 377,888 |
| ||
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.696%, 4/25/34 | 878,348 | 874,349 |
| ||
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, | ||
Class M6, 5.646%, 9/25/34 | 76,336 | 43,846 |
| ||
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 5.071%, | ||
7/25/25 (Bermuda) | 1,046,034 | 1,064,340 |
| ||
Countrywide Alternative Loan Trust | ||
| ||
FRB Ser. 06-OA7, Class 1A1, 2.228%, 6/25/46 | 1,248,886 | 1,182,908 |
| ||
FRB Ser. 06-OA10, Class 1A1, 1.556%, 8/25/46 | 815,075 | 715,030 |
| ||
FRB Ser. 06-OA7, Class 1A2, 1.536%, 6/25/46 | 1,364,078 | 1,194,591 |
| ||
FRB Ser. 05-38, Class A3, 1.121%, 9/25/35 | 1,830,424 | 1,595,045 |
| ||
FRB Ser. 05-59, Class 1A1, 1.107%, 11/20/35 | 3,242,155 | 2,856,734 |
| ||
FRB Ser. 07-OH1, Class A1D, 0.981%, 4/25/47 | 1,203,219 | 957,090 |
| ||
FRB Ser. 06-OA10, Class 4A1, 0.961%, 8/25/46 | 7,520,470 | 6,123,166 |
| ||
Federal Home Loan Mortgage Corporation | ||
| ||
Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, | ||
12.271%, 1/25/25 | 2,346,163 | 2,922,293 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, | ||
11.271%, 10/25/28 | 439,959 | 514,643 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, | ||
11.271%, 5/25/28 | 887,896 | 1,055,683 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, | ||
10.771%, 7/25/28 | 2,035,491 | 2,338,867 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, | ||
10.121%, 4/25/28 | 1,495,721 | 1,679,027 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, | ||
8.321%, 12/25/27 | 1,395,164 | 1,548,886 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, | ||
5.921%, 11/25/28 | 1,500,000 | 1,676,405 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, | ||
5.729%, 7/25/29 | 940,000 | 940,000 |
| ||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, | ||
5.421%, 10/25/28 | 570,000 | 615,108 |
|
24 Premier Income Trust |
Principal | ||
MORTGAGE-BACKED SECURITIES (48.6%)* cont. | amount | Value |
| ||
Residential mortgage-backed securities (non-agency) cont. | ||
| ||
Federal National Mortgage Association | ||
| ||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, | ||
13.521%, 10/25/28 | $680,000 | $883,079 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, | ||
13.021%, 9/25/28 | 2,320,000 | 2,987,202 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, | ||
12.521%, 10/25/28 | 1,300,000 | 1,619,967 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, | ||
12.521%, 8/25/28 | 1,820,000 | 2,282,674 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, | ||
11.021%, 1/25/29 | 2,160,000 | 2,482,424 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, | ||
6.671%, 10/25/28 | 4,505,000 | 5,078,859 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | ||
6.471%, 4/25/28 | 5,621,000 | 6,274,794 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, | ||
6.321%, 4/25/28 | 779,500 | 858,753 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, | ||
5.771%, 7/25/25 | 5,513,000 | 6,054,777 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, | ||
5.771%, 7/25/25 | 1,920,000 | 2,096,194 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, | ||
5.321%, 2/25/25 | 676,698 | 717,165 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, | ||
5.021%, 4/25/29 | 1,315,000 | 1,385,616 |
| ||
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, | ||
5.021%, 1/25/29 | 550,000 | 578,985 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, | ||
4.771%, 5/25/25 | 201,334 | 212,034 |
| ||
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, | ||
4.771%, 5/25/25 | 307,000 | 323,297 |
| ||
MortgageIT Trust FRB Ser. 05-3, Class M2, 1.301%, 8/25/35 | 532,331 | 468,033 |
| ||
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, | ||
Class 2A1, 0.951%, 1/25/37 | 1,642,254 | 1,392,238 |
| ||
WaMu Mortgage Pass-Through Certificates Trust | ||
| ||
FRB Ser. 05-AR10, Class 1A3, 2.76%, 9/25/35 | 377,087 | 367,622 |
| ||
FRB Ser. 05-AR19, Class A1C3, 1.271%, 12/25/45 | 1,916,991 | 1,745,948 |
| ||
FRB Ser. 05-AR13, Class A1C3, 1.261%, 10/25/45 | 4,521,430 | 3,921,759 |
| ||
FRB Ser. 05-AR19, Class A1C4, 1.171%, 12/25/45 | 1,092,506 | 948,186 |
| ||
72,955,505 | ||
| ||
Total mortgage-backed securities (cost $294,245,459) | $290,425,462 | |
|
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* | amount | Value |
| ||
Basic materials (3.4%) | ||
| ||
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
6.875%, 6/1/23 | $204,000 | $215,220 |
| ||
Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
9.375%, 6/1/19 | 431,000 | 475,178 |
| ||
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. | ||
notes 6.25%, 2/1/25 (Netherlands) | 400,000 | 400,000 |
|
Premier Income Trust 25 |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Basic materials cont. | ||
| ||
ArcelorMittal SA sr. unsec. unsub. bonds 10.85%, 6/1/19 (France) | $371,000 | $434,998 |
| ||
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) | 207,000 | 227,700 |
| ||
ArcelorMittal SA sr. unsec. unsub. notes 8.00%, 10/15/39 (France) | 70,000 | 77,875 |
| ||
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. | ||
unsub. notes 4.875%, 8/15/24 | 270,000 | 273,375 |
| ||
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. | ||
notes 6.375%, 10/1/23 | 517,000 | 554,483 |
| ||
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes | ||
9.75%, 10/15/23 | 209,000 | 248,188 |
| ||
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 463,000 | 473,279 |
| ||
Boise Cascade Co. 144A company guaranty sr. unsec. notes | ||
5.625%, 9/1/24 | 600,000 | 610,500 |
| ||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes | ||
10.75%, 8/15/23 | 866,000 | 1,003,478 |
| ||
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes | ||
5.625%, 9/1/24 | 170,000 | 174,675 |
| ||
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, | ||
4/1/24 (Mexico) | 485,000 | 498,338 |
| ||
Cemex SAB de CV 144A company guaranty sr. notes 6.50%, | ||
12/10/19 (Mexico) | 420,000 | 444,150 |
| ||
Chemours Co. (The) company guaranty sr. unsec. unsub. notes | ||
7.00%, 5/15/25 | 178,000 | 177,377 |
| ||
Chemours Co. (The) company guaranty sr. unsec. unsub. notes | ||
6.625%, 5/15/23 | 445,000 | 442,775 |
| ||
Compass Minerals International, Inc. 144A company guaranty sr. | ||
unsec. notes 4.875%, 7/15/24 | 240,000 | 234,000 |
| ||
Coveris Holdings SA 144A company guaranty sr. unsec. notes | ||
7.875%, 11/1/19 (Luxembourg) | 750,000 | 753,750 |
| ||
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes | ||
8.00%, 10/1/21 | 222,000 | 231,990 |
| ||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
notes 7.25%, 5/15/22 (Canada) | 463,000 | 472,260 |
| ||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
notes 7.25%, 10/15/19 (Canada) | 360,000 | 371,700 |
| ||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
notes 6.75%, 2/15/20 (Canada) | 202,000 | 207,177 |
| ||
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 | 393,000 | 399,534 |
| ||
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes | ||
3.55%, 3/1/22 (Indonesia) | 35,000 | 32,725 |
| ||
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes | ||
6.75%, 2/1/22 (Indonesia) | 208,000 | 216,840 |
| ||
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub. | ||
notes 6.875%, 2/15/23 (Indonesia) | 340,000 | 354,450 |
| ||
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. | ||
notes 9.50%, 2/1/23 | 760,000 | 866,400 |
| ||
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. | ||
notes 7.375%, 12/15/23 | 95,000 | 100,344 |
| ||
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes | ||
7.625%, 1/15/25 (Canada) | 175,000 | 187,250 |
| ||
Huntsman International, LLC company guaranty sr. unsec. notes | ||
5.125%, 11/15/22 | 100,000 | 103,313 |
|
26 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Basic materials cont. | ||
| ||
Huntsman International, LLC company guaranty sr. unsec. unsub. | ||
notes 4.875%, 11/15/20 | $546,000 | $563,745 |
| ||
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 315,000 | 351,036 |
| ||
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A | ||
company guaranty sr. unsec. notes 10.50%, 4/15/23 | 208,000 | 236,600 |
| ||
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes | ||
4.875%, 9/15/24 | 265,000 | 264,338 |
| ||
Mercer International, Inc. company guaranty sr. unsec. notes | ||
7.75%, 12/1/22 (Canada) | 515,000 | 551,050 |
| ||
Mercer International, Inc. 144A sr. unsec. notes 6.50%, | ||
2/1/24 (Canada) | 85,000 | 85,000 |
| ||
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
6.25%, 11/15/22 (Canada) | 187,000 | 187,468 |
| ||
Norbord, Inc. 144A company guaranty sr. notes 6.25%, | ||
4/15/23 (Canada) | 320,000 | 333,632 |
| ||
Novelis Corp. 144A company guaranty sr. unsec. bonds | ||
5.875%, 9/30/26 | 53,000 | 53,795 |
| ||
Novelis Corp. 144A company guaranty sr. unsec. notes | ||
6.25%, 8/15/24 | 935,000 | 986,425 |
| ||
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 | 45,000 | 49,163 |
| ||
Platform Specialty Products Corp. 144A sr. unsec. notes | ||
10.375%, 5/1/21 | 57,000 | 63,270 |
| ||
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 | 105,000 | 113,663 |
| ||
Sealed Air Corp. 144A company guaranty sr. unsec. notes | ||
6.875%, 7/15/33 | 502,000 | 527,100 |
| ||
Sealed Air Corp. 144A company guaranty sr. unsec. notes | ||
5.25%, 4/1/23 | 320,000 | 333,600 |
| ||
Sealed Air Corp. 144A company guaranty sr. unsec. notes | ||
5.125%, 12/1/24 | 140,000 | 145,075 |
| ||
Sealed Air Corp. 144A company guaranty sr. unsec. notes | ||
4.875%, 12/1/22 | 129,000 | 133,031 |
| ||
Smurfit Kappa Acquisitions 144A company guaranty sr. unsec. | ||
notes 4.875%, 9/15/18 (Ireland) | 200,000 | 206,500 |
| ||
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. | ||
unsub. notes 7.50%, 11/20/25 (Ireland) | 358,000 | 418,860 |
| ||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
6.375%, 8/15/22 | 276,000 | 288,765 |
| ||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
5.50%, 10/1/24 | 110,000 | 116,738 |
| ||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
5.25%, 4/15/23 | 45,000 | 46,856 |
| ||
Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26 | 120,000 | 122,100 |
| ||
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | ||
4.75%, 1/15/22 (Canada) | 148,000 | 151,700 |
| ||
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | ||
3.75%, 2/1/23 (Canada) | 132,000 | 128,205 |
| ||
TMS International Corp. 144A company guaranty sr. unsec. sub. | ||
notes 7.625%, 10/15/21 | 535,000 | 533,663 |
| ||
Tronox Finance, LLC company guaranty sr. unsec. notes | ||
6.375%, 8/15/20 | 265,000 | 254,731 |
|
Premier Income Trust 27 |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Basic materials cont. | ||
| ||
U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
6.375%, 6/1/24 | $165,000 | $174,281 |
| ||
Univar USA, Inc. 144A company guaranty sr. unsec. notes | ||
6.75%, 7/15/23 | 310,000 | 322,400 |
| ||
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 | 266,000 | 278,635 |
| ||
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes | ||
6.00%, 2/1/23 | 125,000 | 118,750 |
| ||
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes | ||
5.625%, 10/1/24 | 463,000 | 487,886 |
| ||
Zekelman Industries, Inc. 144A company guaranty sr. notes | ||
9.875%, 6/15/23 | 489,000 | 552,570 |
| ||
20,443,953 | ||
| ||
Capital goods (2.1%) | ||
| ||
Advanced Disposal Services, Inc. 144A sr. unsec. notes | ||
5.625%, 11/15/24 | 585,000 | 595,238 |
| ||
American Axle & Manufacturing, Inc. company guaranty sr. unsec. | ||
notes 7.75%, 11/15/19 | 503,000 | 555,815 |
| ||
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. | ||
notes 5.375%, 9/15/24 | 280,000 | 275,100 |
| ||
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. | ||
notes 5.00%, 3/15/22 | 367,000 | 367,918 |
| ||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | ||
company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) | 630,000 | 674,100 |
| ||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | ||
company guaranty sr. unsec. notes 6.00%, 2/15/25 (Ireland) | 265,000 | 266,656 |
| ||
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, | ||
6/15/23 (Canada) | 419,000 | 433,141 |
| ||
Belden, Inc. 144A company guaranty sr. unsec. sub. notes | ||
5.25%, 7/15/24 | 524,000 | 526,620 |
| ||
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 | 155,000 | 164,106 |
| ||
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 | 240,000 | 249,600 |
| ||
Berry Plastics Corp. company guaranty unsub. notes | ||
5.125%, 7/15/23 | 154,000 | 157,573 |
| ||
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) | 390,000 | 420,225 |
| ||
Briggs & Stratton Corp. company guaranty sr. unsec. notes | ||
6.875%, 12/15/20 | 553,000 | 602,770 |
| ||
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds | ||
7.375%, 12/15/26 | 145,000 | 163,850 |
| ||
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. | ||
unsec. notes 6.00%, 7/15/22 | 818,000 | 806,753 |
| ||
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 | 537,000 | 562,508 |
| ||
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) | 158,000 | 203,277 |
| ||
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 | 756,000 | 869,400 |
| ||
MasTec, Inc. company guaranty sr. unsec. unsub. notes | ||
4.875%, 3/15/23 | 602,000 | 595,228 |
| ||
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 | 369,000 | 376,380 |
| ||
Oshkosh Corp. company guaranty sr. unsec. sub. notes | ||
5.375%, 3/1/25 | 215,000 | 222,256 |
| ||
Oshkosh Corp. company guaranty sr. unsec. sub. notes | ||
5.375%, 3/1/22 | 744,000 | 775,620 |
|
28 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Capital goods cont. | ||
| ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds | ||
Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes | ||
7.00%, 7/15/24 | $329,000 | $350,550 |
| ||
Tenneco, Inc. company guaranty sr. unsec. unsub. notes | ||
5.00%, 7/15/26 | 40,000 | 39,948 |
| ||
Terex Corp. company guaranty sr. unsec. notes 6.00%, 5/15/21 | 86,000 | 88,399 |
| ||
TI Group Automotive Systems, LLC 144A sr. unsec. notes | ||
8.75%, 7/15/23 | 761,000 | 818,075 |
| ||
TransDigm, Inc. company guaranty sr. unsec. unsub. notes | ||
6.50%, 7/15/24 | 395,000 | 395,494 |
| ||
ZF North America Capital, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 4.75%, 4/29/25 | 540,000 | 549,018 |
| ||
ZF North America Capital, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 4.50%, 4/29/22 | 330,000 | 338,663 |
| ||
12,444,281 | ||
| ||
Communication services (4.1%) | ||
| ||
Altice Financing SA 144A company guaranty sr. notes 6.625%, | ||
2/15/23 (Luxembourg) | 400,000 | 419,000 |
| ||
Altice SA 144A company guaranty sr. unsec. notes 7.75%, | ||
5/15/22 (Luxembourg) | 800,000 | 849,000 |
| ||
Altice SA 144A company guaranty sr. unsec. notes 7.625%, | ||
2/15/25 (Luxembourg) | 910,000 | 963,463 |
| ||
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 | 400,000 | 442,080 |
| ||
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty | ||
sr. unsec. notes 5.25%, 9/30/22 | 618,000 | 639,630 |
| ||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
guaranty sr. unsec. bonds 5.50%, 5/1/26 | 237,000 | 248,258 |
| ||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
guaranty sr. unsec. notes 5.875%, 4/1/24 | 563,000 | 602,410 |
| ||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
notes 5.75%, 2/15/26 | 112,000 | 118,685 |
| ||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
unsub. notes 5.125%, 5/1/23 | 815,000 | 845,563 |
| ||
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 | 348,000 | 358,005 |
| ||
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 | 95,000 | 100,225 |
| ||
Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
144A sr. sub. notes 7.75%, 7/15/25 | 265,000 | 293,156 |
| ||
Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 469,000 | 474,863 |
| ||
Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 399,000 | 404,486 |
| ||
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 646,000 | 649,230 |
| ||
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 | 124,000 | 134,540 |
| ||
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 | 1,060,000 | 1,228,943 |
| ||
Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica) | 480,000 | 425,400 |
| ||
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, | ||
3/1/23 (Jamaica) | 610,000 | 567,300 |
| ||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes | ||
5.875%, 11/15/24 | 305,000 | 308,431 |
| ||
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 | 173,000 | 174,946 |
| ||
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 | 505,000 | 526,149 |
|
Premier Income Trust 29 |
Principal | |||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value | |
| |||
Communication services cont. | |||
| |||
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 | $142,000 | $151,230 | |
| |||
Frontier Communications Corp. sr. unsec. unsub. notes | |||
7.625%, 4/15/24 | 100,000 | 88,125 | |
| |||
Inmarsat Finance PLC company guaranty sr. unsec. unsub. notes | |||
Ser. REGS, 4.875%, 5/15/22 (United Kingdom) | 259,000 | 253,820 | |
| |||
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes | |||
7.50%, 4/1/21 (Bermuda) | 270,000 | 209,250 | |
| |||
Intelsat Jackson Holdings SA 144A company guaranty sr. notes | |||
8.00%, 2/15/24 (Bermuda) | 15,000 | 15,563 | |
| |||
Intelsat Luxembourg SA company guaranty sr. unsec. bonds | |||
7.75%, 6/1/21 (Luxembourg) | 15,000 | 5,213 | |
| |||
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds | |||
8.125%, 6/1/23 (Luxembourg) | 90,000 | 29,925 | |
| |||
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, | |||
1/15/23 (Canada) | 88,000 | 92,162 | |
| |||
Qwest Corp. sr. unsec. unsub. notes 7.25%, 9/15/25 | 157,000 | 168,694 | |
| |||
SFR Group SA 144A company guaranty sr. notes 6.00%, | |||
5/15/22 (France) | 775,000 | 798,250 | |
| |||
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) | 450,000 | 451,688 | |
| |||
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes | |||
6.875%, 11/15/28 | 225,000 | 231,750 | |
| |||
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 | 238,000 | 254,660 | |
| |||
Sprint Communications, Inc. sr. unsec. unsub. notes | |||
8.375%, 8/15/17 | 695,000 | 716,719 | |
| |||
Sprint Communications, Inc. 144A company guaranty sr. unsec. | |||
notes 9.00%, 11/15/18 | 656,000 | 718,320 | |
| |||
Sprint Corp. company guaranty sr. unsec. sub. notes | |||
7.875%, 9/15/23 | 929,000 | 1,014,933 | |
| |||
Sprint Corp. company guaranty sr. unsec. sub. notes | |||
7.25%, 9/15/21 | 465,000 | 498,248 | |
| |||
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/ | |||
Sprint Spectrum Co. III, LL 144A company guaranty sr. notes | |||
3.36%, 9/20/21 | 290,000 | 290,363 | |
| |||
T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
6.625%, 4/1/23 | 1,098,000 | 1,166,625 | |
| |||
T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
6.375%, 3/1/25 | 745,000 | 805,531 | |
| |||
T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
6.00%, 3/1/23 | 291,000 | 307,733 | |
| |||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6.125%, 1/15/22 | 455,000 | 480,594 | |
| |||
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, | |||
8/15/24 (Luxembourg) | EUR | 680,000 | 813,050 |
| |||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
company guaranty sr. notes 5.625%, 4/15/23 (Germany) | EUR | 115,200 | 133,382 |
| |||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
company guaranty sr. notes Ser. REGS, 5.75%, 1/15/23 (Germany) | EUR | 88,290 | 101,733 |
| |||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A | |||
company guaranty sr. notes 5.125%, 1/21/23 (Germany) | EUR | 433,350 | 494,092 |
| |||
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, | |||
7/15/22 (Canada) | $662,000 | 690,135 | |
|
30 Premier Income Trust |
Principal | |||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value | |
| |||
Communication services cont. | |||
| |||
Virgin Media Secured Finance PLC 144A company guaranty sr. | |||
bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 255,000 | $317,447 |
| |||
Virgin Media Secured Finance PLC 144A sr. notes 6.00%, 4/15/21 | |||
(United Kingdom) | GBP | 311,273 | 407,130 |
| |||
West Corp. 144A company guaranty sr. unsec. sub. notes | |||
5.375%, 7/15/22 | $609,000 | 586,163 | |
| |||
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | |||
company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 | 396,000 | 417,534 | |
| |||
Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
4.00%, 7/15/20 (Luxembourg) | EUR | 290,000 | 318,690 |
| |||
Windstream Services, LLC company guaranty sr. unsec. notes | |||
6.375%, 8/1/23 | $659,000 | 589,805 | |
| |||
Ziggo Bond Finance BV 144A sr. unsec. bonds 4.625%, | |||
1/15/25 (Netherlands) | EUR | 115,000 | 129,976 |
| |||
24,522,296 | |||
| |||
Consumer cyclicals (5.2%) | |||
| |||
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds | |||
5.875%, 11/15/26 | $120,000 | 122,400 | |
| |||
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes | |||
5.875%, 2/15/22 | 159,000 | 166,155 | |
| |||
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes | |||
5.75%, 6/15/25 | 355,000 | 366,538 | |
| |||
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. | |||
notes 5.75%, 12/15/23 | 377,000 | 391,138 | |
| |||
American Tire Distributors, Inc. 144A sr. unsec. sub. notes | |||
10.25%, 3/1/22 | 503,000 | 489,168 | |
| |||
Bon-Ton Department Stores, Inc. (The) company guaranty notes | |||
8.00%, 6/15/21 | 222,000 | 106,560 | |
| |||
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes | |||
6.875%, 5/15/23 | 344,000 | 369,387 | |
| |||
Brookfield Residential Properties, Inc. 144A company guaranty sr. | |||
unsec. notes 6.50%, 12/15/20 (Canada) | 535,000 | 551,050 | |
| |||
Brookfield Residential Properties, Inc./Brookfield Residential | |||
US Corp. 144A company guaranty sr. unsec. notes 6.125%, | |||
7/1/22 (Canada) | 225,000 | 230,861 | |
| |||
Caesars Growth Properties Holdings, LLC/Caesars Growth | |||
Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 | 370,000 | 399,600 | |
| |||
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes | |||
6.25%, 12/15/21 | 562,000 | 611,175 | |
| |||
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes | |||
5.875%, 11/15/24 | 195,000 | 202,800 | |
| |||
CBS Radio, Inc. 144A company guaranty sr. unsec. notes | |||
7.25%, 11/1/24 | 105,000 | 109,396 | |
| |||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 | 235,000 | 242,150 | |
| |||
Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
5.125%, 12/15/22 | 165,000 | 169,538 | |
| |||
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
4.875%, 6/1/23 | 140,000 | 141,036 | |
| |||
Clear Channel Worldwide Holdings, Inc. company guaranty sr. | |||
unsec. sub. notes 7.625%, 3/15/20 | 298,000 | 299,118 | |
|
Premier Income Trust 31 |
Principal | |||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value | |
| |||
Consumer cyclicals cont. | |||
| |||
Clear Channel Worldwide Holdings, Inc. company guaranty sr. | |||
unsec. unsub. notes 6.50%, 11/15/22 | $865,000 | $903,060 | |
| |||
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 | 520,000 | 538,200 | |
| |||
Diamond Resorts International, Inc. 144A sr. unsec. notes | |||
10.75%, 9/1/24 | 210,000 | 210,000 | |
| |||
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes | |||
7.00%, 8/1/23 | 440,000 | 468,600 | |
| |||
EMI Music Publishing Group North America Holdings, Inc. 144A sr. | |||
unsec. notes 7.625%, 6/15/24 | 315,000 | 344,138 | |
| |||
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5.25%, | |||
4/15/23 (Italy) | 430,000 | 440,750 | |
| |||
General Motors Co. sr. unsec. notes 5.20%, 4/1/45 | 80,000 | 78,688 | |
| |||
General Motors Financial Co., Inc. company guaranty sr. unsec. | |||
notes 4.00%, 10/6/26 | 275,000 | 266,463 | |
| |||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | |||
sub. notes 4.875%, 11/1/20 | 400,000 | 420,000 | |
| |||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | |||
unsub. notes 5.375%, 4/15/26 | 165,000 | 172,013 | |
| |||
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. | |||
notes 6.625%, 7/25/22 (Canada) | CAD | 541,000 | 433,943 |
| |||
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, | |||
1/15/40 (Mexico) | $195,000 | 202,849 | |
| |||
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
4.625%, 5/15/24 | 320,000 | 316,800 | |
| |||
Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21 | 364,000 | 383,565 | |
| |||
iHeartCommunications, Inc. company guaranty sr. notes | |||
9.00%, 12/15/19 | 674,000 | 564,054 | |
| |||
IHO Verwaltungs GmbH 144A sr. notes 4.50%, 9/15/23 (Germany) ‡‡ | 410,000 | 405,900 | |
| |||
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes | |||
5.875%, 3/15/21 | 289,000 | 298,768 | |
| |||
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company | |||
guaranty notes 10.25%, 11/15/22 | 640,000 | 678,400 | |
| |||
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company | |||
guaranty sr. notes 6.75%, 11/15/21 | 585,000 | 598,163 | |
| |||
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 | 120,000 | 123,450 | |
| |||
JC Penney Corp., Inc. company guaranty sr. unsec. bonds | |||
8.125%, 10/1/19 | 168,000 | 177,870 | |
| |||
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes | |||
5.65%, 6/1/20 | 71,000 | 69,935 | |
| |||
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, | |||
10/15/19 ‡‡ | 280,000 | 265,650 | |
| |||
L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21 | 457,000 | 500,986 | |
| |||
L Brands, Inc. company guaranty sr. unsec. sub. notes | |||
5.625%, 2/15/22 | 190,000 | 199,025 | |
| |||
Lamar Media Corp. company guaranty sr. unsec. sub. notes | |||
5.875%, 2/1/22 | 130,000 | 134,063 | |
| |||
Lamar Media Corp. company guaranty sr. unsec. sub. notes | |||
5.375%, 1/15/24 | 307,000 | 320,048 | |
| |||
Lear Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 | 56,000 | 59,422 | |
| |||
Lear Corp. company guaranty sr. unsec. unsub. notes | |||
5.375%, 3/15/24 | 125,000 | 131,563 | |
|
32 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Consumer cyclicals cont. | ||
| ||
Lennar Corp. company guaranty sr. unsec. unsub. notes | ||
4.75%, 11/15/22 | $200,000 | $205,126 |
| ||
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes | ||
5.875%, 11/1/24 | 353,000 | 358,295 |
| ||
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | ||
notes 4.875%, 11/1/24 | 165,000 | 165,000 |
| ||
Masonite International Corp. 144A company guaranty sr. unsec. | ||
notes 5.625%, 3/15/23 | 126,000 | 130,410 |
| ||
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, | ||
12/15/23 (Canada) | 85,000 | 87,550 |
| ||
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, | ||
11/15/20 (Canada) | 537,000 | 549,083 |
| ||
MGM Resorts International company guaranty sr. unsec. notes | ||
6.75%, 10/1/20 | 410,000 | 454,075 |
| ||
MGM Resorts International company guaranty sr. unsec. notes | ||
5.25%, 3/31/20 | 67,000 | 70,434 |
| ||
MGM Resorts International company guaranty sr. unsec. unsub. | ||
notes 6.625%, 12/15/21 | 337,000 | 374,913 |
| ||
Navistar International Corp. company guaranty sr. unsec. notes | ||
8.25%, 11/1/21 | 919,000 | 928,190 |
| ||
Neiman Marcus Group, LLC (The) company guaranty sr. notes | ||
7.125%, 6/1/28 | 260,000 | 217,100 |
| ||
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. | ||
notes 8.75%, 10/15/21 ‡‡ | 286,000 | 168,025 |
| ||
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. | ||
notes 8.00%, 10/15/21 | 220,000 | 135,850 |
| ||
Nexstar Escrow Corp. 144A company guaranty sr. unsec. notes | ||
5.625%, 8/1/24 | 350,000 | 349,563 |
| ||
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. | ||
unsec. notes 5.00%, 2/1/25 (Luxembourg) | 190,000 | 188,813 |
| ||
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. | ||
unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) | 207,000 | 214,763 |
| ||
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty | ||
sr. unsec. sub. notes 5.00%, 4/15/22 | 246,000 | 251,228 |
| ||
Outfront Media Capital, LLC/Outfront Media Capital Corp. | ||
company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 | 315,000 | 329,175 |
| ||
Outfront Media Capital, LLC/Outfront Media Capital Corp. | ||
company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 | 209,000 | 218,144 |
| ||
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 | 296,000 | 302,704 |
| ||
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 240,000 | 240,305 |
| ||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
notes 5.75%, 10/1/22 | 439,000 | 452,170 |
| ||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
notes 5.50%, 5/15/26 | 241,000 | 239,795 |
| ||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
notes 5.375%, 12/1/24 | 290,000 | 291,450 |
| ||
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
7.875%, 6/15/32 | 265,000 | 292,825 |
| ||
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
5.50%, 3/1/26 | 400,000 | 409,000 |
| ||
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 | 390,000 | 396,338 |
|
Premier Income Trust 33 |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Consumer cyclicals cont. | ||
| ||
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 | $312,000 | $322,530 |
| ||
Ritchie Bros Auctioneers, Inc. 144A company guaranty sr. unsec. | ||
notes 5.375%, 1/15/25 (Canada) | 110,000 | 112,338 |
| ||
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. | ||
144A sr. notes 6.125%, 8/15/21 | 430,000 | 440,750 |
| ||
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 | 365,000 | 371,274 |
| ||
Scientific Games International, Inc. company guaranty sr. unsec. | ||
notes 10.00%, 12/1/22 | 1,203,000 | 1,232,618 |
| ||
Scientific Games International, Inc. company guaranty sr. unsec. | ||
sub. notes 6.25%, 9/1/20 | 115,000 | 106,950 |
| ||
Scientific Games International, Inc. 144A company guaranty sr. | ||
notes 7.00%, 1/1/22 | 345,000 | 368,719 |
| ||
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. | ||
sub. notes 5.625%, 8/1/24 | 777,000 | 790,598 |
| ||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes | ||
6.00%, 7/15/24 | 263,000 | 279,438 |
| ||
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
unsub. notes 5.25%, 1/15/21 | 676,000 | 694,590 |
| ||
Spectrum Brands, Inc. company guaranty sr. unsec. notes | ||
5.75%, 7/15/25 | 240,000 | 250,800 |
| ||
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes | ||
6.625%, 11/15/22 | 25,000 | 26,438 |
| ||
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 | 100,000 | 105,500 |
| ||
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 501,000 | 516,656 |
| ||
Standard Industries, Inc./NJ 144A sr. unsec. notes 5.125%, 2/15/21 | 50,000 | 52,250 |
| ||
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming | ||
Finance Corp. 144A sr. notes 6.375%, 6/1/21 | 417,000 | 420,215 |
| ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
144A company guaranty sr. unsec. notes 5.25%, 4/15/21 | 747,000 | 767,309 |
| ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 | 165,000 | 166,856 |
| ||
Tempur Sealy International, Inc. company guaranty sr. unsec. | ||
unsub. bonds 5.50%, 6/15/26 | 185,000 | 182,225 |
| ||
Tribune Media Co. company guaranty sr. unsec. notes | ||
5.875%, 7/15/22 | 420,000 | 424,200 |
| ||
Univision Communications, Inc. 144A company guaranty sr. notes | ||
5.125%, 5/15/23 | 495,000 | 491,594 |
| ||
WMG Acquisition Corp. 144A company guaranty sr. notes | ||
5.00%, 8/1/23 | 52,000 | 52,130 |
| ||
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
bonds 5.00%, 9/1/26 | 229,000 | 217,550 |
| ||
31,088,288 | ||
| ||
Consumer staples (1.2%) | ||
| ||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
notes 6.00%, 4/1/22 (Canada) | 795,000 | 828,326 |
| ||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. | ||
notes 4.625%, 1/15/22 (Canada) | 170,000 | 173,825 |
| ||
Ashtead Capital, Inc. 144A company guaranty notes | ||
5.625%, 10/1/24 | 310,000 | 325,888 |
| ||
BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19 | 297,000 | 293,288 |
|
34 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Consumer staples cont. | ||
| ||
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes | ||
8.00%, 2/15/22 | $241,000 | $251,845 |
| ||
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 | 1,061,000 | 1,103,440 |
| ||
Constellation Brands, Inc. company guaranty sr. unsec. notes | ||
4.25%, 5/1/23 | 115,000 | 120,175 |
| ||
Dean Foods Co. 144A company guaranty sr. unsec. notes | ||
6.50%, 3/15/23 | 330,000 | 346,088 |
| ||
Fresh Market, Inc. (The) 144A company guaranty sr. notes | ||
9.75%, 5/1/23 | 264,000 | 234,960 |
| ||
JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%, | ||
2/1/20 (Brazil) | 150,000 | 153,750 |
| ||
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 | 298,440 |
| ||
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | ||
144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | 295,000 | 300,531 |
| ||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 4.875%, 11/1/26 | 350,000 | 350,438 |
| ||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 4.625%, 11/1/24 | 85,000 | 85,213 |
| ||
Landry’s, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 215,000 | 221,450 |
| ||
Pilgrim’s Pride Corp. 144A company guaranty sr. unsec. notes | ||
5.75%, 3/15/25 | 202,000 | 203,390 |
| ||
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes | ||
5.375%, 12/15/21 | 320,000 | 329,600 |
| ||
Revlon Consumer Products Corp. company guaranty sr. unsec. | ||
notes 6.25%, 8/1/24 | 161,000 | 166,635 |
| ||
Revlon Consumer Products Corp. company guaranty sr. unsec. | ||
sub. notes 5.75%, 2/15/21 | 540,000 | 540,000 |
| ||
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes | ||
6.125%, 4/1/23 | 473,000 | 492,511 |
| ||
Vander Intermediate Holding II Corp. 144A sr. unsec. notes | ||
9.75%, 2/1/19 ‡‡ | 78,880 | 70,203 |
| ||
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes | ||
5.375%, 10/1/22 | 454,000 | 493,725 |
| ||
7,383,721 | ||
| ||
Energy (6.5%) | ||
| ||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A | ||
company guaranty sr. unsec. notes 7.875%, 12/15/24 | 420,000 | 451,500 |
| ||
Antero Resources Corp. company guaranty sr. unsec. notes | ||
5.625%, 6/1/23 | 178,000 | 181,560 |
| ||
Antero Resources Corp. company guaranty sr. unsec. sub. notes | ||
5.125%, 12/1/22 | 238,000 | 239,785 |
| ||
Antero Resources Finance Corp. company guaranty sr. unsec. sub. | ||
notes 5.375%, 11/1/21 | 324,000 | 332,505 |
| ||
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes | ||
5.625%, 6/1/24 (Canada) | 295,000 | 271,400 |
| ||
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes | ||
5.125%, 6/1/21 (Canada) | 41,000 | 37,771 |
| ||
California Resources Corp. company guaranty sr. unsec. sub. notes | ||
5.00%, 1/15/20 | 199,000 | 162,683 |
|
Premier Income Trust 35 |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Energy cont. | ||
| ||
California Resources Corp. 144A company guaranty notes | ||
8.00%, 12/15/22 | $634,000 | $564,260 |
| ||
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 610,000 | 685,278 |
| ||
CHC Helicopter SA company guaranty sr. notes 9.25%, 10/15/20 | ||
(Canada) (In default) † | 211,500 | 132,716 |
| ||
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. | ||
notes 5.875%, 3/31/25 | 718,000 | 759,285 |
| ||
Chesapeake Energy Corp. company guaranty sr. unsec. notes | ||
5.75%, 3/15/23 | 58,000 | 55,680 |
| ||
Chesapeake Energy Corp. 144A company guaranty notes | ||
8.00%, 12/15/22 | 444,000 | 473,970 |
| ||
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes | ||
8.00%, 1/15/25 | 148,000 | 151,608 |
| ||
Concho Resources, Inc. company guaranty sr. unsec. notes | ||
5.50%, 4/1/23 | 559,000 | 578,565 |
| ||
Concho Resources, Inc. company guaranty sr. unsec. notes | ||
4.375%, 1/15/25 | 180,000 | 184,050 |
| ||
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes | ||
5.50%, 10/1/22 | 204,000 | 211,905 |
| ||
Continental Resources, Inc. company guaranty sr. unsec. notes | ||
3.80%, 6/1/24 | 980,000 | 915,075 |
| ||
Continental Resources, Inc., OK company guaranty sr. unsec. | ||
bonds 4.90%, 6/1/44 | 60,000 | 52,800 |
| ||
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | ||
6.375%, 8/15/21 | 81,000 | 74,115 |
| ||
Denbury Resources, Inc. 144A company guaranty notes | ||
9.00%, 5/15/21 | 417,000 | 455,573 |
| ||
Diamondback Energy, Inc. 144A company guaranty sr. unsec. | ||
notes 5.375%, 5/31/25 | 520,000 | 536,900 |
| ||
Diamondback Energy, Inc. 144A company guaranty sr. unsec. | ||
notes 4.75%, 11/1/24 | 140,000 | 139,825 |
| ||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
notes 8.125%, 9/15/23 | 411,000 | 445,935 |
| ||
EP Energy, LLC/Everest Acquisition Finance, Inc. company | ||
guaranty sr. unsec. sub. notes 9.375%, 5/1/20 | 878,000 | 873,610 |
| ||
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company | ||
guaranty sr. notes 8.00%, 11/29/24 | 226,000 | 244,080 |
| ||
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes | ||
9.25%, 4/23/19 (Russia) | 394,000 | 446,698 |
| ||
Halcon Resources Corp. 144A company guaranty notes | ||
8.625%, 2/1/20 | 345,000 | 360,525 |
| ||
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 | 210,000 | 250,429 |
| ||
Holly Energy Partners LP/Holly Energy Finance Corp. 144A | ||
company guaranty sr. unsec. notes 6.00%, 8/1/24 | 405,000 | 425,250 |
| ||
Laredo Petroleum, Inc. company guaranty sr. unsec. notes | ||
7.375%, 5/1/22 | 428,000 | 445,655 |
| ||
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes | ||
5.625%, 1/15/22 | 300,000 | 304,500 |
| ||
Lukoil International Finance BV 144A company guaranty sr. unsec. | ||
unsub. bonds 6.656%, 6/7/22 (Russia) | 1,080,000 | 1,201,500 |
|
36 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Energy cont. | ||
| ||
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, | ||
3/31/24 (Canada) | $156,000 | $146,640 |
| ||
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.50%, | ||
3/15/21 (Canada) | 208,000 | 213,554 |
| ||
MEG Energy Corp. 144A company guaranty sr. unsec. notes | ||
6.375%, 1/30/23 (Canada) | 72,000 | 66,960 |
| ||
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 110,000 | 111,100 |
| ||
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 180,000 | 191,250 |
| ||
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 | 1,020,000 | 1,055,700 |
| ||
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes | ||
6.875%, 1/15/23 | 196,000 | 200,655 |
| ||
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes | ||
6.875%, 3/15/22 | 324,000 | 332,100 |
| ||
Parsley Energy, LLC/Parsley Finance Corp. 144A company | ||
guaranty sr. unsec. sub. notes 5.375%, 1/15/25 | 120,000 | 123,000 |
| ||
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, | ||
5/3/22 (Indonesia) | 270,000 | 279,369 |
| ||
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, | ||
5/20/23 (Indonesia) | 400,000 | 402,558 |
| ||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
bonds 7.25%, 3/17/44 (Brazil) | 1,278,000 | 1,198,764 |
| ||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
notes 8.75%, 5/23/26 (Brazil) | 656,000 | 738,918 |
| ||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
notes 6.875%, 1/20/40 (Brazil) | 585,000 | 530,156 |
| ||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
notes 6.25%, 3/17/24 (Brazil) | 4,115,000 | 4,156,101 |
| ||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
notes 6.125%, 1/17/22 (Brazil) | 493,000 | 506,558 |
| ||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
notes 5.375%, 1/27/21 (Brazil) | 960,000 | 966,288 |
| ||
Petroleos de Venezuela SA company guaranty sr. unsec. bonds | ||
Ser. REGS, 6.00%, 11/15/26 (Venezuela) | 1,255,000 | 476,461 |
| ||
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | ||
notes 5.375%, 4/12/27 (Venezuela) | 1,574,000 | 596,176 |
| ||
Petroleos de Venezuela SA 144A company guaranty sr. unsec. | ||
notes 6.00%, 11/15/26 (Venezuela) | 2,345,000 | 890,279 |
| ||
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds | ||
6.625%, 6/15/35 (Mexico) | 340,000 | 332,588 |
| ||
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds | ||
5.625%, 1/23/46 (Mexico) | 525,000 | 437,981 |
| ||
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
8.00%, 5/3/19 (Mexico) | 1,440,000 | 1,586,520 |
| ||
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
4.50%, 1/23/26 (Mexico) | 5,265,000 | 4,788,518 |
| ||
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, | ||
11/15/24 (Canada) | 14,000 | 13,755 |
| ||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes | ||
7.75%, 12/15/23 (Canada) | 130,000 | 140,400 |
| ||
Range Resources Corp. 144A company guaranty sr. unsec. sub. | ||
notes 5.75%, 6/1/21 | 425,000 | 445,188 |
|
Premier Income Trust 37 |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Energy cont. | ||
| ||
Rose Rock Midstream LP/Rose Rock Finance Corp. company | ||
guaranty sr. unsec. sub. notes 5.625%, 11/15/23 | $192,000 | $189,840 |
| ||
Rose Rock Midstream LP/Rose Rock Finance Corp. company | ||
guaranty sr. unsec. sub. notes 5.625%, 7/15/22 | 58,000 | 57,710 |
| ||
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 | 295,000 | 321,181 |
| ||
Sabine Pass Liquefaction, LLC sr. notes 5.625%, 4/15/23 | 210,000 | 227,850 |
| ||
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 | 162,000 | 169,898 |
| ||
Samson Investment Co. company guaranty sr. unsec. notes 9.75%, | ||
2/15/20 (In default) † | 950,000 | 69,350 |
| ||
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, | ||
5/15/20 (Canada) | 286,000 | 303,160 |
| ||
Seventy Seven Energy, Inc. escrow sr. unsec. notes | ||
6.50%, 7/15/22 F | 45,000 | 5 |
| ||
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 | 459,000 | 473,344 |
| ||
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 208,000 | 198,120 |
| ||
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 | 90,000 | 92,700 |
| ||
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 515,000 | 531,738 |
| ||
Targa Resources Partners LP/Targa Resources Partners Finance | ||
Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 | 210,000 | 217,613 |
| ||
Targa Resources Partners LP/Targa Resources Partners Finance | ||
Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 | 105,000 | 108,675 |
| ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company | ||
guaranty sr. unsec. notes 5.25%, 1/15/25 | 120,000 | 125,100 |
| ||
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. | ||
notes 6.75%, 7/15/22 (In default) † | 70,000 | 19,950 |
| ||
Whiting Petroleum Corp. company guaranty sr. unsec. sub. notes | ||
6.50%, 10/1/18 | 265,000 | 265,000 |
| ||
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | ||
notes 5.75%, 3/15/21 | 265,000 | 266,325 |
| ||
Williams Partners LP/ACMP Finance Corp. company guaranty sr. | ||
unsec. unsub. notes 6.125%, 7/15/22 | 134,000 | 138,356 |
| ||
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes | ||
4.875%, 5/15/23 | 399,000 | 411,968 |
| ||
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 107,000 | 121,713 |
| ||
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 | 444,000 | 481,740 |
| ||
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 | 604,000 | 628,160 |
| ||
38,994,024 | ||
| ||
Financials (4.2%) | ||
| ||
Alliance Data Systems Corp. 144A company guaranty sr. unsec. | ||
notes 5.375%, 8/1/22 | 778,000 | 760,495 |
| ||
Ally Financial, Inc. company guaranty sr. unsec. notes | ||
8.00%, 11/1/31 | 543,000 | 644,813 |
| ||
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 220,000 | 223,300 |
| ||
American International Group, Inc. jr. unsec. sub. FRB | ||
8.175%, 5/15/58 | 163,000 | 208,640 |
| ||
Banco Nacional de Costa Rica 144A sr. unsec. unsub. notes 4.875%, | ||
11/1/18 (Costa Rica) | 250,000 | 253,875 |
| ||
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, | ||
perpetual maturity | 148,000 | 154,105 |
| ||
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, | ||
perpetual maturity | 185,000 | 198,413 |
|
38 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Financials cont. | ||
| ||
CBRE Services, Inc. company guaranty sr. unsec. notes | ||
5.25%, 3/15/25 | $175,000 | $180,670 |
| ||
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 255,000 | 265,200 |
| ||
CIT Group, Inc. sr. unsec. unsub. notes 5.375%, 5/15/20 | 310,000 | 329,763 |
| ||
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 | 315,000 | 329,963 |
| ||
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 | 380,000 | 399,790 |
| ||
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 443,000 | 445,918 |
| ||
Credit Acceptance Corp. company guaranty sr. unsec. notes | ||
6.125%, 2/15/21 | 372,000 | 377,580 |
| ||
DFC Finance Corp. 144A company guaranty sr. notes | ||
10.50%, 6/15/20 | 273,000 | 136,500 |
| ||
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 | 500,000 | 578,750 |
| ||
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 379,000 | 438,693 |
| ||
E*Trade Financial Corp. sr. unsec. unsub. notes 4.625%, 9/15/23 | 371,000 | 380,275 |
| ||
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes | ||
5.25%, 5/1/25 R | 360,000 | 361,350 |
| ||
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. | ||
notes 8.125%, 7/15/19 ‡‡ | 161,000 | 161,805 |
| ||
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 | 475,000 | 497,563 |
| ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
guaranty sr. unsec. notes 6.00%, 8/1/20 | 51,000 | 52,250 |
| ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
guaranty sr. unsec. notes 5.875%, 2/1/22 | 440,000 | 440,550 |
| ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. | ||
unsec. notes 6.75%, 2/1/24 | 210,000 | 209,265 |
| ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. | ||
unsec. notes 6.25%, 2/1/22 | 205,000 | 206,538 |
| ||
Intelsat Connect Finance SA 144A company guaranty sr. unsec. | ||
sub. notes 12.50%, 4/1/22 (Luxembourg) | 18,000 | 11,385 |
| ||
International Lease Finance Corp. sr. unsec. unsub. notes | ||
5.875%, 8/15/22 | 20,000 | 22,100 |
| ||
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19 R | 25,000 | 25,360 |
| ||
Liberty Mutual Insurance Co. 144A unsec. sub. notes | ||
7.697%, 10/15/97 | 670,000 | 823,640 |
| ||
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, | ||
perpetual maturity (United Kingdom) | 320,000 | 348,000 |
| ||
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | ||
guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 | 47,000 | 48,880 |
| ||
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | ||
guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 | 499,000 | 508,356 |
| ||
OneMain Financial Holdings, LLC 144A company guaranty sr. | ||
unsec. sub. notes 6.75%, 12/15/19 | 173,000 | 179,488 |
| ||
OneMain Financial Holdings, LLC 144A company guaranty sr. | ||
unsec. unsub. notes 7.25%, 12/15/21 | 210,000 | 214,463 |
| ||
Provident Funding Associates LP/PFG Finance Corp. 144A | ||
company guaranty sr. unsec. notes 6.75%, 6/15/21 | 560,000 | 567,000 |
| ||
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, | ||
perpetual maturity (United Kingdom) | 410,000 | 397,700 |
| ||
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, | ||
9/12/23 (United Kingdom) | 235,000 | 228,384 |
|
Premier Income Trust 39 |
Principal | |||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value | |
| |||
Financials cont. | |||
| |||
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. | |||
unsec. unsub. notes 7.75%, 5/29/18 (Russia) | $550,000 | $582,098 | |
| |||
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. | |||
unsec. unsub. notes 5.298%, 12/27/17 (Russia) | 600,000 | 612,000 | |
| |||
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, | |||
2/7/22 (Russia) | 500,000 | 543,750 | |
| |||
Springleaf Finance Corp. company guaranty sr. unsec. unsub. | |||
notes 8.25%, 12/15/20 | 130,000 | 139,588 | |
| |||
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 | 123,000 | 123,615 | |
| |||
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty | |||
sr. notes 8.50%, 9/15/18 | 158,000 | 144,965 | |
| |||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty | |||
sr. unsec. unsub. notes 5.875%, 6/15/24 | 344,000 | 356,040 | |
| |||
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152%, perpetual | |||
maturity (Jersey) | EUR | 400,000 | 453,906 |
| |||
USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21 | $456,000 | 465,690 | |
| |||
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
notes 6.902%, 7/9/20 (Russia) | 150,000 | 163,125 | |
| |||
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
notes 6.80%, 11/22/25 (Russia) | 468,000 | 513,516 | |
| |||
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
notes 5.942%, 11/21/23 (Russia) | 200,000 | 210,626 | |
| |||
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, | |||
5/29/18 (Russia) | 2,486,000 | 2,606,248 | |
| |||
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, | |||
10/17/22 (Russia) | 5,600,000 | 6,062,000 | |
| |||
VTB Bank PJSC via VTB Eurasia DAC 144A unsec. sub. FRN 9.50%, | |||
perpetual maturity (Russia) | 450,000 | 505,125 | |
| |||
25,093,112 | |||
| |||
Health care (2.2%) | |||
| |||
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes | |||
6.125%, 3/15/21 | 455,000 | 467,513 | |
| |||
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes | |||
5.125%, 7/1/22 | 195,000 | 195,488 | |
| |||
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. | |||
notes 7.875%, 9/1/23 | 442,000 | 427,635 | |
| |||
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 | 395,000 | 419,688 | |
| |||
Centene Corp. sr. unsec. unsub. notes 5.625%, 2/15/21 | 125,000 | 131,225 | |
| |||
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 | 94,000 | 92,766 | |
| |||
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | 305,000 | 309,575 | |
| |||
CHS/Community Health Systems, Inc. company guaranty sr. | |||
unsec. notes 6.875%, 2/1/22 | 594,000 | 432,135 | |
| |||
Concordia International Corp. 144A company guaranty sr. unsec. | |||
notes 7.00%, 4/15/23 (Canada) | 298,000 | 109,515 | |
| |||
Concordia International Corp. 144A sr. notes 9.00%, | |||
4/1/22 (Canada) | 65,000 | 55,250 | |
| |||
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, | |||
2/1/22 (Netherlands) | 489,000 | 518,340 | |
| |||
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. | |||
unsec. unsub. notes 5.375%, 1/15/23 | 295,000 | 247,063 | |
|
40 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Health care cont. | ||
| ||
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company | ||
guaranty sr. unsec. notes 6.00%, 2/1/25 (Ireland) | $200,000 | $162,750 |
| ||
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company | ||
guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) | 540,000 | 460,350 |
| ||
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes | ||
6.25%, 10/15/22 | 323,000 | 333,498 |
| ||
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 256,000 | 266,880 |
| ||
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 | 809,000 | 883,833 |
| ||
HCA, Inc. company guaranty sr. unsec. unsub. notes | ||
7.50%, 2/15/22 | 128,000 | 146,240 |
| ||
HCA, Inc. company guaranty sr. unsec. unsub. notes | ||
5.375%, 2/1/25 | 120,000 | 122,400 |
| ||
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC | ||
144A company guaranty sr. unsec. notes 6.375%, 8/1/23 | 370,000 | 392,200 |
| ||
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. | ||
notes 12.50%, 11/1/21 | 175,000 | 195,125 |
| ||
Kinetic Concepts, Inc./KCI USA, Inc. 144A notes 9.625%, 10/1/21 | 224,000 | 240,128 |
| ||
Mallinckrodt International Finance SA/Mallinckrodt CB, | ||
LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, | ||
4/15/25 (Luxembourg) | 329,000 | 282,940 |
| ||
Molina Healthcare, Inc. company guaranty sr. unsec. notes | ||
5.375%, 11/15/22 | 270,000 | 278,775 |
| ||
Omega Healthcare Investors, Inc. company guaranty sr. unsec. | ||
unsub. notes 4.95%, 4/1/24 R | 220,000 | 223,859 |
| ||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics | ||
SA 144A sr. unsec. notes 6.625%, 5/15/22 | 563,000 | 509,515 |
| ||
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 | 577,000 | 600,080 |
| ||
Service Corp. International/US sr. unsec. unsub. notes | ||
5.375%, 5/15/24 | 1,075,000 | 1,126,063 |
| ||
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes | ||
6.50%, 5/15/23 | 220,000 | 223,300 |
| ||
Tenet Healthcare Corp. company guaranty sr. bonds | ||
4.375%, 10/1/21 | 228,000 | 229,284 |
| ||
Tenet Healthcare Corp. company guaranty sr. FRN 4.463%, 6/15/20 | 390,000 | 394,875 |
| ||
Tenet Healthcare Corp. company guaranty sr. notes | ||
6.25%, 11/1/18 | 833,000 | 878,815 |
| ||
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 | 80,000 | 81,200 |
| ||
Tenet Healthcare Corp. company guaranty sr. sub. notes | ||
6.00%, 10/1/20 | 393,000 | 414,615 |
| ||
Valeant Pharmaceuticals International, Inc. 144A company | ||
guaranty sr. unsec. notes 6.125%, 4/15/25 | 370,000 | 277,038 |
| ||
Valeant Pharmaceuticals International, Inc. 144A company | ||
guaranty sr. unsec. notes 5.875%, 5/15/23 | 466,000 | 354,743 |
| ||
Valeant Pharmaceuticals International, Inc. 144A company | ||
guaranty sr. unsec. notes 5.625%, 12/1/21 | 90,000 | 71,100 |
| ||
Valeant Pharmaceuticals International, Inc. 144A company | ||
guaranty sr. unsec. notes 5.50%, 3/1/23 | 195,000 | 147,713 |
| ||
Valeant Pharmaceuticals International, Inc. 144A company | ||
guaranty sr. unsec. notes 5.375%, 3/15/20 | 317,000 | 272,620 |
| ||
12,976,132 |
Premier Income Trust 41 |
Principal | |||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value | |
| |||
Technology (1.7%) | |||
| |||
Avaya, Inc. 144A company guaranty notes 10.50%, 3/1/21 | |||
(In default) † | $126,000 | $34,335 | |
| |||
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 | |||
(In default) † | 1,085,000 | 897,838 | |
| |||
Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc. | |||
company guaranty sr. unsec. notes 5.75%, 4/15/23 | 374,000 | 391,298 | |
| |||
CommScope Technologies Finance, LLC 144A sr. unsec. notes | |||
6.00%, 6/15/25 | 583,000 | 621,262 | |
| |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | |||
company guaranty sr. unsec. notes 7.125%, 6/15/24 | 1,017,000 | 1,113,492 | |
| |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes | |||
5.45%, 6/15/23 | 440,000 | 472,632 | |
| |||
First Data Corp. 144A company guaranty sr. unsec. unsub. notes | |||
7.00%, 12/1/23 | 450,000 | 477,225 | |
| |||
First Data Corp. 144A notes 5.75%, 1/15/24 | 435,000 | 448,594 | |
| |||
First Data Corp. 144A sr. notes 5.375%, 8/15/23 | 375,000 | 386,250 | |
| |||
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. | |||
notes 8.625%, 11/15/24 | 425,000 | 440,938 | |
| |||
Infor Software Parent LLC/Infor Software Parent, Inc. 144A | |||
company guaranty sr. unsec. notes 7.125%, 5/1/21 ‡‡ | 717,000 | 736,718 | |
| |||
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 | 503,000 | 516,204 | |
| |||
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 | 132,000 | 137,280 | |
| |||
Iron Mountain, Inc. company guaranty sr. unsec. notes | |||
6.00%, 8/15/23 R | 430,000 | 455,800 | |
| |||
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes | |||
5.875%, 2/15/22 | 433,000 | 450,047 | |
| |||
Micron Technology, Inc. 144A sr. notes 7.50%, 9/15/23 | 57,000 | 63,270 | |
| |||
Solera, LLC /Solera Finance, Inc. 144A sr. unsec. notes | |||
10.50%, 3/1/24 | 504,000 | 573,300 | |
| |||
Techem Energy Metering Service GmbH & Co. KG 144A company | |||
guaranty sr. unsec. sub. notes 7.875%, 10/1/20 (Germany) | EUR | 380,000 | 426,848 |
| |||
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. | |||
notes 6.875%, 4/30/21 (Germany) | EUR | 515,000 | 583,929 |
| |||
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 | $532,000 | 573,230 | |
| |||
9,800,490 | |||
| |||
Transportation (0.2%) | |||
| |||
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 | 475,000 | 454,813 | |
| |||
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. | |||
unsec. notes 6.375%, 4/1/23 | 802,000 | 840,095 | |
| |||
1,294,908 | |||
| |||
Utilities and power (1.4%) | |||
| |||
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 | 965,000 | 979,475 | |
| |||
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 | 160,000 | 159,200 | |
| |||
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 | 310,000 | 350,300 | |
| |||
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. | |||
bonds 5.95%, 6/1/26 | 135,000 | 149,646 | |
| |||
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 | 790,000 | 772,225 | |
| |||
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 | 110,000 | 114,950 | |
| |||
Calpine Corp. 144A company guaranty sr. sub. notes | |||
5.875%, 1/15/24 | 85,000 | 89,038 | |
|
42 Premier Income Trust |
Principal | ||
CORPORATE BONDS AND NOTES (32.2%)* cont. | amount | Value |
| ||
Utilities and power cont. | ||
| ||
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. | ||
notes 6.85%, 6/15/37 | $615,000 | $646,089 |
| ||
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 | 40,000 | 39,500 |
| ||
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 | 783,000 | 803,554 |
| ||
Dynegy, Inc. company guaranty sr. unsec. unsub. notes | ||
7.625%, 11/1/24 | 380,000 | 361,950 |
| ||
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes | ||
8.625%, 1/15/22 | 577,000 | 708,766 |
| ||
Energy Transfer Equity LP company guaranty sr. notes | ||
7.50%, 10/15/20 | 416,000 | 466,960 |
| ||
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 | 190,000 | 202,825 |
| ||
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 | 329,000 | 243,460 |
| ||
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A | ||
company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 | 100,000 | 104,500 |
| ||
NRG Energy, Inc. company guaranty sr. unsec. sub. notes | ||
7.875%, 5/15/21 | 319,000 | 330,963 |
| ||
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds | ||
6.625%, 1/15/27 | 393,000 | 390,053 |
| ||
NRG Energy, Inc. 144A company guaranty sr. unsec. notes | ||
7.25%, 5/15/26 | 272,000 | 284,580 |
| ||
Regency Energy Partners LP/Regency Energy Finance Corp. | ||
company guaranty sr. unsec. notes 5.00%, 10/1/22 | 195,000 | 209,815 |
| ||
Regency Energy Partners LP/Regency Energy Finance Corp. | ||
company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 | 396,000 | 438,425 |
| ||
Regency Energy Partners LP/Regency Energy Finance Corp. | ||
company guaranty sr. unsec. unsub. notes 5.50%, 4/15/23 | 280,000 | 291,323 |
| ||
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 | 457,000 | 466,140 |
| ||
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. | ||
escrow company guaranty sr. notes 11.50%, 10/1/20 | 205,000 | 513 |
| ||
8,604,250 | ||
| ||
Total corporate bonds and notes (cost $190,688,955) | $192,645,455 | |
|
FOREIGN GOVERNMENT AND AGENCY | Principal amount/ | |
BONDS AND NOTES (7.4%)* | units | Value |
| ||
Argentina (Republic of) 144A sr. unsec. bonds 7.125%, | ||
7/6/36 (Argentina) | $3,012,000 | $2,829,632 |
| ||
Argentina (Republic of) 144A sr. unsec. unsub. bonds 6.625%, | ||
7/6/28 (Argentina) | 460,000 | 442,060 |
| ||
Argentina (Republic of) 144A sr. unsec. unsub. notes 6.875%, | ||
1/26/27 (Argentina) | 3,493,000 | 3,469,028 |
| ||
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, | ||
4/7/26 (Brazil) | 2,020,000 | 2,164,430 |
| ||
Buenos Aires (Province of) 144A sr. unsec. notes 9.125%, | ||
3/16/24 (Argentina) | 2,688,000 | 2,928,796 |
| ||
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, | ||
1/26/21 (Argentina) | 100,000 | 114,000 |
| ||
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, | ||
6/10/21 (Argentina) | 2,408,000 | 2,468,200 |
| ||
Costa Rica (Republic of) 144A sr. unsec. unsub. notes 7.00%, 4/4/44 | ||
(Costa Rica) | 250,000 | 240,625 |
|
Premier Income Trust 43 |
FOREIGN GOVERNMENT AND AGENCY | Principal amount/ | ||
BONDS AND NOTES (7.4%)* cont. | units | Value | |
| |||
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.375%, | |||
3/24/21 (Croatia) | $620,000 | $678,125 | |
| |||
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.25%, | |||
4/27/17 (Croatia) | 65,000 | 65,646 | |
| |||
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.00%, | |||
1/26/24 (Croatia) | 375,000 | 410,625 | |
| |||
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, | |||
1/27/25 (Dominican Republic) | 1,650,000 | 1,639,688 | |
| |||
Egypt (Government of) 144A sr. unsec. notes 6.125%, | |||
1/31/22 (Egypt) | 500,000 | 500,771 | |
| |||
Egypt (Government of) 144A sr. unsec. notes 5.875%, | |||
6/11/25 (Egypt) | 437,000 | 402,324 | |
| |||
Hellenic (Republic of) sr. unsec. notes 3.375%, 7/17/17 (Greece) | EUR | 2,371,000 | 2,452,609 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds 4.75%, | |||
4/17/19 (Greece) | EUR | 910,000 | 903,187 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, 3.00%, | |||
2/24/40 (Greece) | EUR | 61,000 | 38,067 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/38 (Greece) †† | EUR | 141,000 | 88,493 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece) †† | EUR | 968,000 | 620,662 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece) †† | EUR | 141,000 | 94,752 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece) †† | EUR | 688,000 | 470,498 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece) †† | EUR | 3,290,211 | 2,333,876 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece) †† | EUR | 3,109,295 | 2,260,088 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece) †† | EUR | 4,305,435 | 3,215,429 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece) †† | EUR | 151,000 | 117,551 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece) †† | EUR | 2,082,000 | 1,661,411 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece) †† | EUR | 44,000 | 35,580 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece) †† | EUR | 459,500 | 378,268 |
| |||
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece) †† | EUR | 2,141,865 | 1,804,720 |
| |||
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, | |||
1/8/26 (Indonesia) | $300,000 | 313,875 | |
| |||
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, | |||
2/17/37 (Indonesia) | 1,555,000 | 1,838,788 | |
| |||
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, | |||
1/8/46 (Indonesia) | 200,000 | 225,250 | |
| |||
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, | |||
4/15/23 (Indonesia) | 1,355,000 | 1,332,981 | |
| |||
Mexico (Republic of) sr. unsec. notes 5.75%, 10/12/10 (Mexico) | 1,030,000 | 956,708 | |
| |||
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) | 465,000 | 485,400 | |
|
44 Premier Income Trust |
FOREIGN GOVERNMENT AND AGENCY | Principal amount/ | |
BONDS AND NOTES (7.4%)* cont. | units | Value |
| ||
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, | ||
6/24/28 (Russia) | $1,281,000 | $2,196,915 |
| ||
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, | ||
4/4/42 (Russia) | 1,400,000 | 1,515,500 |
| ||
Ukraine (Government of) 144A unsec. FRN Ser. GDP, zero %, | ||
5/31/40 (Ukraine) | 648,000 | 191,387 |
| ||
Ukraine (Government of) 144A unsec. notes 7.75%, | ||
9/1/27 (Ukraine) | 316,000 | 291,137 |
| ||
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, | ||
3/31/38 (Venezuela) | 650,000 | 293,313 |
| ||
Total foreign government and agency bonds and notes (cost $46,214,985) | $44,470,395 | |
|
Principal | ||
SENIOR LOANS (2.0%)*c | amount | Value |
| ||
Academy, Ltd. bank term loan FRN Ser. B, 5.00%, 7/2/22 | $534,868 | $470,149 |
| ||
Asurion, LLC bank term loan FRN 8.50%, 3/3/21 | 329,000 | 332,701 |
| ||
Avaya, Inc. bank term loan FRN Ser. B6, 6.50%, 3/31/18 (In default) † | 319,198 | 266,530 |
| ||
Avaya, Inc. bank term loan FRN Ser. B7, 6.25%, 5/29/20 (In default) † | 506,468 | 422,901 |
| ||
Caesars Entertainment Operating Co., Inc. bank term loan FRN | ||
Ser. B6, 11.50%, 3/1/17 (In default) † | 1,152,549 | 1,300,459 |
| ||
Caesars Growth Properties Holdings, LLC bank term loan FRN | ||
6.25%, 5/8/21 | 878,495 | 885,084 |
| ||
Casella Waste Systems, Inc. bank term loan FRN Ser. B, | ||
4.00%, 10/17/23 | 975,000 | 984,750 |
| ||
Chesapeake Energy Corp. bank term loan FRN 8.50%, 8/23/21 | 630,000 | 687,488 |
| ||
Cortes NP Intermediate Holding II Corp. bank term loan FRN Ser. B, | ||
6.00%, 11/30/23 | 175,000 | 176,914 |
| ||
CPG International, Inc. bank term loan FRN Ser. B, 4.75%, 9/30/20 | 81,336 | 81,895 |
| ||
DPx Holdings BV bank term loan FRN Ser. B, 4.25%, 3/11/21 | 277,875 | 279,496 |
| ||
Gates Global, LLC/Gates Global Co. bank term loan FRN | ||
4.25%, 7/6/21 | 241,382 | 240,665 |
| ||
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 | 484,732 | 417,627 |
| ||
iHeartCommunications, Inc. bank term loan FRN Ser. D, | ||
7.52%, 1/30/19 | 743,000 | 621,148 |
| ||
Inception Merger Sub, Inc. bank term loan FRN Ser. B, | ||
4.50%, 10/26/23 | 124,000 | 125,124 |
| ||
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4.75%, 7/1/22 | 598,922 | 603,714 |
| ||
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term | ||
loan FRN Ser. B, 5.00%, 1/6/22 | 330,000 | 333,630 |
| ||
Krono’s, Inc. bank term loan FRN 9.25%, 11/1/24 | 220,000 | 226,772 |
| ||
Krono’s, Inc. bank term loan FRN 5.00%, 11/1/23 | 352,000 | 355,280 |
| ||
MEG Energy Corp. bank term loan FRN 4.50%, 12/31/23 (Canada) | 140,000 | 140,438 |
| ||
Navistar, Inc. bank term loan FRN Ser. B, 6.50%, 8/7/20 | 371,250 | 375,891 |
| ||
Neiman Marcus Group, Ltd., Inc. bank term loan FRN | ||
4.25%, 10/25/20 | 388,095 | 321,472 |
| ||
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, | ||
4.75%, 6/30/21 | 180,375 | 178,881 |
| ||
Revlon Consumer Products Corp. bank term loan FRN Ser. B, | ||
4.308%, 9/7/23 | 413,963 | 417,208 |
| ||
Reynolds Group Holdings, Inc. bank term loan FRN 4.25%, 2/5/23 | 324,188 | 324,931 |
| ||
Reynolds Group Holdings, Inc. bank term loan FRN 3.00%, 2/5/23 | 324,188 | 325,268 |
| ||
Solenis International LP bank term loan FRN 7.75%, 7/31/22 | 84,000 | 82,824 |
|
Premier Income Trust 45 |
Principal | ||
SENIOR LOANS (2.0%)*c cont. | amount | Value |
| ||
Solenis International LP bank term loan FRN 4.25%, 7/31/21 | $384,576 | $385,177 |
| ||
Talbots, Inc. (The) bank term loan FRN 9.50%, 3/19/21 | 134,913 | 116,362 |
| ||
Talbots, Inc. (The) bank term loan FRN 5.50%, 3/19/20 | 265,160 | 238,644 |
| ||
Valeant Pharmaceuticals International, Inc. bank term loan FRN | ||
Ser. E, 5.25%, 8/5/20 | 229,829 | 230,034 |
| ||
Total senior loans (cost $12,168,027) | $11,949,457 | |
|
COMMON STOCKS (0.5%)* | Shares | Value |
| ||
Brazil Notas do Tesouro Nacional Serie F (Units) (Brazil) | 6,750 | $2,086,422 |
| ||
Halcon Resources Corp. † | 24,782 | 209,160 |
| ||
Milagro Oil & Gas, Inc. (Units) F | 169 | 13,689 |
| ||
SandRidge Energy, Inc. † | 3,641 | 74,677 |
| ||
Seventy Seven Energy, Inc. † | 71 | 3,376 |
| ||
Tervita Corp. Class A (Canada) | 449 | 3,537 |
| ||
Texas Competitive Electric Holdings Co., Inc. (Rights) F | 21,073 | 27,395 |
| ||
Tribune Media Co. Class 1C F | 92,963 | 23,241 |
| ||
Vistra Energy Corp. | 21,072 | 341,577 |
| ||
Total common stocks (cost $2,939,317) | $2,783,074 | |
|
PURCHASED SWAP OPTIONS OUTSTANDING (0.4%)* | |||
Counterparty | |||
Fixed right % to receive or (pay)/ | Expiration | Contract | |
Floating rate index/Maturity date | date/strike | amount | Value |
| |||
Bank of America N.A. | |||
2.3125/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.3125 | $54,302,600 | $539,767 |
| |||
1.495/3 month USD-LIBOR-BBA/Jul-18 | Jul-17/1.495 | 81,453,900 | 105,890 |
| |||
(1.495)/3 month USD-LIBOR-BBA/Jul-18 | Jul-17/1.495 | 81,453,900 | 86,341 |
| |||
Barclays Bank PLC | |||
1.345/3 month USD-LIBOR-BBA/Feb-18 | Feb-17/1.345 | 81,453,900 | 62,720 |
| |||
Citibank, N.A. | |||
2.274/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.274 | 40,727,000 | 168,203 |
| |||
2.275/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.275 | 40,727,000 | 120,145 |
| |||
1.34/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.34 | 81,453,900 | 52,945 |
| |||
(1.34)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.34 | 81,453,900 | 48,058 |
| |||
Credit Suisse International | |||
2.31/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.31 | 40,727,000 | 217,075 |
| |||
2.4625/3 month USD-LIBOR-BBA/Feb-37 | Feb-17/2.4625 | 27,151,300 | 99,374 |
| |||
Goldman Sachs International | |||
1.86375/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.86375 | 81,453,900 | 121,366 |
| |||
2.248/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.248 | 40,727,000 | 83,490 |
| |||
JPMorgan Chase Bank N.A. | |||
2.3525/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.3525 | 27,151,300 | 314,141 |
| |||
2.267/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.267 | 27,151,300 | 93,400 |
| |||
2.736/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.736 | 27,151,300 | 37,740 |
| |||
Total purchased swap options outstanding (cost $3,740,256) | $2,150,655 | ||
|
46 Premier Income Trust |
Expiration | |||
PURCHASED OPTIONS | date/strike | Contract | |
OUTSTANDING (0.3%)* | price | amount | Value |
| |||
Federal National Mortgage Association 30 yr 2.50% TBA | |||
commitments (Call) | Feb-17/$95.22 | $31,000,000 | $39,680 |
| |||
Federal National Mortgage Association 30 yr 3.00% TBA | |||
commitments (Call) | Apr-17/98.34 | 32,000,000 | 356,160 |
| |||
Federal National Mortgage Association 30 yr 3.00% TBA | |||
commitments (Call) | Apr-17/98.53 | 32,000,000 | 322,560 |
| |||
Federal National Mortgage Association 30 yr 3.00% TBA | |||
commitments (Call) | Feb-17/99.45 | 142,000,000 | 247,080 |
| |||
USD/JPY (Call) | May-17/JPY 118.00 | 11,667,800 | 119,595 |
| |||
USD/MXN (Put) | Apr-17/MXN 21.25 | 23,759,700 | 853,733 |
| |||
Total purchased options outstanding (cost $2,719,646) | $1,938,808 | ||
|
PREFERRED STOCKS (0.1%)* | Shares | Value |
| ||
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP | 16,265 | $418,011 |
| ||
Total preferred stocks (cost $412,195) | $418,011 | |
|
Principal | ||
CONVERTIBLE BONDS AND NOTES (—%)* | amount | Value |
| ||
SandRidge Energy, Inc. cv. company guaranty sr. unsec. sub. notes | ||
zero %, 10/4/20 | $85,843 | $93,891 |
| ||
Total convertible bonds and notes (cost $88,991) | $93,891 | |
|
Expiration | Strike | |||
WARRANTS (—%)*† | date | price | Warrants | Value |
| ||||
Halcon Resources Corp. | 9/9/20 | $14.04 | 6,732 | $15,012 |
| ||||
Seventy Seven Energy, Inc. | 8/1/21 | 23.82 | 388 | 8,924 |
| ||||
Total warrants (cost $1,552) | $23,936 | |||
|
Principal amount/ | |||
SHORT-TERM INVESTMENTS (10.0%)* | shares | Value | |
| |||
Putnam Short Term Investment Fund 0.74% L | Shares | 32,999,798 | $32,999,798 |
| |||
State Street Institutional U.S. Government Money Market Fund, | |||
Premier Class 0.47% P | Shares | 483,000 | 483,000 |
| |||
U.S. Treasury Bills 0.472%, 2/23/17 ∆ § | $8,444,000 | 8,441,585 | |
| |||
U.S. Treasury Bills 0.442%, 2/16/17 ∆ § | 6,399,000 | 6,397,797 | |
| |||
U.S. Treasury Bills 0.445%, 2/9/17 ∆ § | 9,034,000 | 9,033,051 | |
| |||
U.S. Treasury Bills 0.432%, 2/2/17 ∆ | 2,238,000 | 2,237,971 | |
| |||
U.S. Treasury Bills zero% 02/09/17 i | 222,000 | 221,978 | |
| |||
Total short-term investments (cost $59,815,308) | $59,815,180 | ||
| |||
TOTAL INVESTMENTS | |||
| |||
Total investments (cost $967,850,017) | $961,341,634 | ||
|
Key to holding’s currency abbreviations
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
Premier Income Trust 47 |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
ZAR | South African Rand |
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 |
EMTN | Euro Medium Term Notes |
FRB | Floating Rate Bonds: the rate shown is the current interest rate 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 |
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. | |
IO | Interest Only |
OAO | Open Joint Stock Company |
OJSC | Open Joint Stock Company |
PJSC | Public Joint Stock Company |
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, 2016 through January 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $598,127,906.
† This security is non-income-producing.
†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
∆ 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.
§ 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.
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 (Notes 1 and 7).
F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
48 Premier Income Trust |
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
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 (Note 1).
R Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $313,621,301 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.
See Note 1 to the financial statements regarding TBA commitments.
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 | 88.7% | Mexico | 1.0% | |
|
| |||
Russia | 1.8 | Indonesia | 0.5 | |
|
| |||
Greece | 1.7 | Luxembourg | 0.5 | |
|
| |||
Brazil | 1.3 | Other | 2.2 | |
|
| |||
Argentina | 1.3 | Total | 100.0% | |
|
||||
Canada | 1.0 |
FORWARD CURRENCY CONTRACTS at 1/31/17 (aggregate face value $343,711,296) (Unaudited) | ||||||
| ||||||
Unrealized | ||||||
Contract | Delivery | Aggregate | appreciation/ | |||
Counterparty | Currency | type | date | Value | face value | (depreciation) |
| ||||||
Bank of America N.A. | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | $3,362,110 | $3,220,686 | $141,424 | |
| ||||||
Brazilian Real | Buy | 4/3/17 | 2,986,940 | 2,943,350 | 43,590 | |
| ||||||
British Pound | Buy | 3/16/17 | 558,432 | 528,390 | 30,042 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 3,727,268 | 3,609,469 | 117,799 | |
| ||||||
Chinese Yuan (Offshore) | Buy | 2/16/17 | 6,112,499 | 6,024,021 | 88,478 | |
| ||||||
Chinese Yuan (Offshore) | Sell | 2/16/17 | 6,112,499 | 6,033,439 | (79,060) | |
| ||||||
Euro | Buy | 3/16/17 | 3,105,731 | 3,036,416 | 69,315 | |
| ||||||
Hong Kong Dollar | Sell | 2/16/17 | 3,690,415 | 3,694,319 | 3,904 | |
| ||||||
Japanese Yen | Buy | 2/16/17 | 6,133,575 | 5,993,214 | 140,361 | |
| ||||||
Japanese Yen | Sell | 2/16/17 | 6,133,575 | 6,223,211 | 89,636 | |
| ||||||
Japanese Yen | Buy | 5/17/17 | 3,114,935 | 3,091,583 | 23,352 | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 1,473,822 | 1,391,783 | (82,039) | |
| ||||||
Norwegian Krone | Sell | 3/16/17 | 3,176,336 | 3,145,408 | (30,928) | |
| ||||||
Russian Ruble | Buy | 3/16/17 | 2,899,921 | 2,934,350 | (34,429) | |
| ||||||
Singapore Dollar | Sell | 5/17/17 | 6,045,465 | 5,984,484 | (60,981) | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,084,446 | 2,989,398 | 95,048 | |
|
Premier Income Trust 49 |
FORWARD CURRENCY CONTRACTS at 1/31/17 (aggregate face value $343,711,296) (Unaudited) cont. | ||||||
| ||||||
Unrealized | ||||||
Contract | Delivery | Aggregate | appreciation/ | |||
Counterparty | Currency | type | date | Value | face value | (depreciation) |
| ||||||
Barclays Bank PLC | ||||||
| ||||||
Australian Dollar | Sell | 4/19/17 | $1,219,977 | $1,165,972 | $(54,005) | |
| ||||||
British Pound | Sell | 3/16/17 | 2,236,497 | 2,257,171 | 20,674 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 1,487,231 | 1,439,975 | 47,256 | |
| ||||||
Euro | Sell | 3/16/17 | 2,320,592 | 2,204,833 | (115,759) | |
| ||||||
Hong Kong Dollar | Buy | 2/16/17 | 730,864 | 731,002 | (138) | |
| ||||||
Hong Kong Dollar | Sell | 2/16/17 | 730,864 | 730,823 | (41) | |
| ||||||
Japanese Yen | Buy | 2/16/17 | 416,750 | 413,938 | 2,812 | |
| ||||||
Japanese Yen | Sell | 2/16/17 | 416,750 | 450,178 | 33,428 | |
| ||||||
Japanese Yen | Sell | 5/17/17 | 418,450 | 415,690 | (2,760) | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 1,554,929 | 1,446,982 | (107,947) | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,071,238 | 2,932,715 | 138,523 | |
| ||||||
Swiss Franc | Buy | 3/16/17 | 18,942 | 18,671 | 271 | |
| ||||||
Citibank, N.A. | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 3,874,249 | 3,719,917 | 154,332 | |
| ||||||
Brazilian Real | Sell | 4/3/17 | 2,037,274 | 1,882,742 | (154,532) | |
| ||||||
British Pound | Sell | 3/16/17 | 814,290 | 820,035 | 5,745 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 3,135,899 | 3,036,089 | 99,810 | |
| ||||||
Chinese Yuan (Offshore) | Buy | 2/16/17 | 3,003,762 | 2,949,361 | 54,401 | |
| ||||||
Chinese Yuan (Offshore) | Sell | 2/16/17 | 3,003,762 | 2,981,240 | (22,522) | |
| ||||||
Euro | Sell | 3/16/17 | 5,315,581 | 5,172,476 | (143,105) | |
| ||||||
Indonesian Rupiah | Buy | 5/17/17 | 2,928,534 | 2,930,395 | (1,861) | |
| ||||||
Japanese Yen | Buy | 2/16/17 | 3,047,466 | 3,010,954 | 36,512 | |
| ||||||
Japanese Yen | Sell | 2/16/17 | 3,047,466 | 3,038,846 | (8,620) | |
| ||||||
Japanese Yen | Buy | 5/17/17 | 125,593 | 124,808 | 785 | |
| ||||||
Mexican Peso | Buy | 4/19/17 | 843,937 | 846,338 | (2,401) | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 2,699,275 | 2,547,594 | (151,681) | |
| ||||||
South African Rand | Buy | 4/19/17 | 2,981,962 | 2,968,355 | 13,607 | |
| ||||||
Credit Suisse International | ||||||
| ||||||
Canadian Dollar | Sell | 4/19/17 | 29,918 | 28,964 | (954) | |
| ||||||
Hong Kong Dollar | Sell | 2/16/17 | 2,235,763 | 2,238,285 | 2,522 | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 3,062,716 | 2,999,054 | (63,662) | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,116,810 | 2,976,251 | 140,559 | |
| ||||||
Goldman Sachs International | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 1,850,670 | 1,819,575 | 31,095 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 5,500,609 | 5,367,997 | 132,612 | |
| ||||||
Euro | Sell | 3/16/17 | 3,016,402 | 2,890,121 | (126,281) | |
| ||||||
Indian Rupee | Buy | 5/17/17 | 2,955,747 | 2,981,224 | (25,477) | |
| ||||||
Japanese Yen | Buy | 2/16/17 | 6,089,126 | 5,945,776 | 143,350 | |
| ||||||
Japanese Yen | Sell | 2/16/17 | 6,089,126 | 6,286,350 | 197,224 | |
| ||||||
Japanese Yen | Sell | 5/17/17 | 2,996,059 | 2,975,831 | (20,228) | |
| ||||||
New Taiwan Dollar | Buy | 2/16/17 | 3,048,738 | 3,011,376 | 37,362 | |
| ||||||
New Taiwan Dollar | Sell | 2/16/17 | 3,048,738 | 3,001,952 | (46,786) | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 7,695,074 | 7,405,239 | (289,835) | |
| ||||||
Norwegian Krone | Sell | 3/16/17 | 549,203 | 636,330 | 87,127 | |
|
50 Premier Income Trust |
FORWARD CURRENCY CONTRACTS at 1/31/17 (aggregate face value $343,711,296) (Unaudited) cont. | ||||||
| ||||||
Unrealized | ||||||
Contract | Delivery | Aggregate | appreciation/ | |||
Counterparty | Currency | type | date | Value | face value | (depreciation) |
| ||||||
Goldman Sachs International cont. | ||||||
| ||||||
Russian Ruble | Buy | 3/16/17 | $6,098,055 | $5,905,550 | $192,505 | |
| ||||||
Russian Ruble | Sell | 3/16/17 | 5,876,425 | 5,925,200 | 48,775 | |
| ||||||
South Korean Won | Buy | 2/16/17 | 3,050,205 | 2,998,962 | 51,243 | |
| ||||||
South Korean Won | Sell | 2/16/17 | 3,050,205 | 3,029,178 | (21,027) | |
| ||||||
South Korean Won | Sell | 5/17/17 | 3,054,118 | 3,012,455 | (41,663) | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,052,966 | 2,966,689 | 86,277 | |
| ||||||
HSBC Bank USA, National Association | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 124,307 | 119,037 | 5,270 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 3,013,149 | 2,917,300 | 95,849 | |
| ||||||
Canadian Dollar | Sell | 4/19/17 | 2,999,074 | 2,938,962 | (60,112) | |
| ||||||
Euro | Sell | 3/16/17 | 1,539,888 | 1,514,696 | (25,192) | |
| ||||||
Hong Kong Dollar | Sell | 2/16/17 | 2,955,735 | 2,959,101 | 3,366 | |
| ||||||
JPMorgan Chase Bank N.A. | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 6,683,566 | 6,447,491 | 236,075 | |
| ||||||
Brazilian Real | Buy | 4/3/17 | 2,981,316 | 2,908,260 | 73,056 | |
| ||||||
British Pound | Sell | 3/16/17 | 540,300 | 544,811 | 4,511 | |
| ||||||
Canadian Dollar | Sell | 4/19/17 | 973,926 | 976,462 | 2,536 | |
| ||||||
Chinese Yuan (Offshore) | Buy | 2/16/17 | 3,003,762 | 2,952,329 | 51,433 | |
| ||||||
Chinese Yuan (Offshore) | Sell | 2/16/17 | 3,003,762 | 2,947,385 | (56,377) | |
| ||||||
Czech Koruna | Buy | 7/19/17 | 3,063,859 | 3,042,779 | 21,080 | |
| ||||||
Euro | Sell | 3/16/17 | 4,093,641 | 4,084,148 | (9,493) | |
| ||||||
Euro | Sell | 7/19/17 | 3,043,042 | 3,018,037 | (25,005) | |
| ||||||
Hong Kong Dollar | Sell | 2/16/17 | 3,023,668 | 3,027,107 | 3,439 | |
| ||||||
Indonesian Rupiah | Buy | 5/17/17 | 2,930,100 | 2,925,084 | 5,016 | |
| ||||||
Indonesian Rupiah | Sell | 5/17/17 | 2,934,705 | 2,919,354 | (15,351) | |
| ||||||
Japanese Yen | Buy | 2/16/17 | 3,092,651 | 3,063,216 | 29,435 | |
| ||||||
Japanese Yen | Sell | 2/16/17 | 3,092,651 | 3,243,048 | 150,397 | |
| ||||||
Japanese Yen | Sell | 5/17/17 | 133,272 | 132,417 | (855) | |
| ||||||
New Taiwan Dollar | Buy | 2/16/17 | 3,048,741 | 3,008,534 | 40,207 | |
| ||||||
New Taiwan Dollar | Sell | 2/16/17 | 3,048,741 | 2,984,358 | (64,383) | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 4,189,274 | 3,958,284 | (230,990) | |
| ||||||
Norwegian Krone | Buy | 3/16/17 | 1,023,707 | 977,663 | 46,044 | |
| ||||||
South Korean Won | Sell | 2/16/17 | 2,706,557 | 2,700,492 | (6,065) | |
| ||||||
South Korean Won | Sell | 5/17/17 | 3,055,555 | 3,018,649 | (36,906) | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 2,396,640 | 2,267,123 | 129,517 | |
| ||||||
Swiss Franc | Buy | 3/16/17 | 151,030 | 146,775 | 4,255 | |
| ||||||
Royal Bank of Scotland PLC (The) | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 2,904,779 | 2,781,249 | 123,530 | |
| ||||||
British Pound | Sell | 3/16/17 | 2,021,435 | 2,045,255 | 23,820 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 2,131,054 | 2,110,538 | 20,516 | |
| ||||||
Czech Koruna | Buy | 7/19/17 | 3,063,859 | 3,041,527 | 22,332 | |
| ||||||
Euro | Sell | 3/16/17 | 3,717,511 | 3,623,433 | (94,078) | |
| ||||||
Euro | Sell | 7/19/17 | 3,044,130 | 3,012,800 | (31,330) | |
| ||||||
New Zealand Dollar | Buy | 4/19/17 | 1,559,979 | 1,492,151 | 67,828 | |
|
Premier Income Trust 51 |
FORWARD CURRENCY CONTRACTS at 1/31/17 (aggregate face value $343,711,296) (Unaudited) cont. | ||||||
| ||||||
Unrealized | ||||||
Contract | Delivery | Aggregate | appreciation/ | |||
Counterparty | Currency | type | date | Value | face value | (depreciation) |
| ||||||
Royal Bank of Scotland PLC (The) cont. | ||||||
| ||||||
New Zealand Dollar | Sell | 4/19/17 | $6,016,875 | $5,677,758 | $(339,117) | |
| ||||||
Norwegian Krone | Buy | 3/16/17 | 3,013,951 | 2,975,213 | 38,738 | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,097,300 | 2,943,815 | 153,485 | |
| ||||||
Swedish Krona | Sell | 3/16/17 | 3,075,969 | 3,020,934 | (55,035) | |
| ||||||
State Street Bank and Trust Co. | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 1,961,123 | 1,925,191 | 35,932 | |
| ||||||
British Pound | Sell | 3/16/17 | 1,516,517 | 1,527,983 | 11,466 | |
| ||||||
Canadian Dollar | Buy | 4/19/17 | 3,103,904 | 3,005,873 | 98,031 | |
| ||||||
Euro | Sell | 3/16/17 | 7,048,184 | 6,923,961 | (124,223) | |
| ||||||
Japanese Yen | Buy | 2/16/17 | 2,730,628 | 2,843,223 | (112,595) | |
| ||||||
Japanese Yen | Sell | 2/16/17 | 2,730,628 | 2,936,099 | 205,471 | |
| ||||||
Japanese Yen | Buy | 5/17/17 | 163,733 | 162,678 | 1,055 | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 2,827,961 | 2,668,231 | (159,730) | |
| ||||||
Singapore Dollar | Sell | 5/17/17 | 3,025,785 | 2,981,757 | (44,028) | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,263,183 | 3,030,771 | 232,412 | |
| ||||||
UBS AG | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 3,006,601 | 2,994,531 | 12,070 | |
| ||||||
British Pound | Sell | 3/16/17 | 2,246,948 | 2,262,389 | 15,441 | |
| ||||||
Euro | Sell | 3/16/17 | 6,828,540 | 6,651,343 | (177,197) | |
| ||||||
New Zealand Dollar | Sell | 4/19/17 | 2,896,770 | 2,733,070 | (163,700) | |
| ||||||
Norwegian Krone | Buy | 3/16/17 | 3,045,921 | 2,959,505 | 86,416 | |
| ||||||
Swedish Krona | Buy | 3/16/17 | 3,030,649 | 3,001,157 | 29,492 | |
| ||||||
WestPac Banking Corp. | ||||||
| ||||||
Australian Dollar | Buy | 4/19/17 | 2,139,937 | 2,161,310 | (21,373) | |
| ||||||
Canadian Dollar | Sell | 4/19/17 | 20,766 | 20,102 | (664) | |
| ||||||
Euro | Sell | 3/16/17 | 3,005,587 | 2,971,567 | (34,020) | |
| ||||||
Total | $1,104,736 | |||||
|
WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/17 (premiums $7,624,601) (Unaudited) | |||
| |||
Counterparty | |||
Fixed Obligation % to receive or (pay)/ | Expiration | Contract | |
Floating rate index/Maturity date | date/strike | amount | Value |
| |||
Bank of America N.A. | |||
| |||
2.082/3 month USD-LIBOR-BBA/Jul-20 | Jul-17/2.082 | $27,151,300 | $85,527 |
| |||
(1.728)/3 month USD-LIBOR-BBA/Jul-20 | Jul-17/1.728 | 27,151,300 | 96,659 |
| |||
(2.6475)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.6475 | 54,302,600 | 250,335 |
| |||
(2.01)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.01 | 54,302,600 | 332,874 |
| |||
Barclays Bank PLC | |||
| |||
(2.111)/3 month USD-LIBOR-BBA/Feb-18 | Feb-17/2.111 | 81,453,900 | 65,978 |
| |||
Citibank, N.A. | |||
| |||
2.7415/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.7415 | 40,727,000 | 17,105 |
| |||
2.575/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.575 | 40,727,000 | 33,803 |
| |||
1.942/3 month USD-LIBOR-BBA/Apr-20 | Apr-17/1.942 | 27,151,300 | 40,184 |
| |||
(1.652)/3 month USD-LIBOR-BBA/Apr-20 | Apr-17/1.652 | 27,151,300 | 46,700 |
|
52 Premier Income Trust |
WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/17 (premiums $7,624,601) (Unaudited) cont. | |||
| |||
Counterparty | |||
Fixed Obligation % to receive or (pay)/ | Expiration | Contract | |
Floating rate index/Maturity date | date/strike | amount | Value |
| |||
Credit Suisse International | |||
| |||
2.80/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.80 | $40,727,000 | $9,774 |
| |||
(2.7275)/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.7275 | 27,151,300 | 31,767 |
| |||
(2.25)/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.25 | 27,151,300 | 76,838 |
| |||
(2.215)/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.215 | 40,727,000 | 106,705 |
| |||
Goldman Sachs International | |||
| |||
2.548/3 month USD-LIBOR-BBA/Feb-27 | Feb-17/2.548 | 40,727,000 | 38,691 |
| |||
(1.63875)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.63875 | 81,453,900 | 42,356 |
| |||
(1.75125)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.75125 | 81,453,900 | 75,752 |
| |||
JPMorgan Chase Bank N.A. | |||
| |||
(2.476)/3 month USD-LIBOR-BBA/Feb-37 | Feb-17/2.476 | 27,151,300 | 120,552 |
| |||
(2.69)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.69 | 27,151,300 | 144,988 |
| |||
(2.05)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.05 | 27,151,300 | 193,046 |
| |||
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 | Mar-18/6.00 | 26,070,000 | 1,571,500 |
| |||
Total | $3,381,134 | ||
|
WRITTEN OPTIONS OUTSTANDING at 1/31/17 (premiums $2,177,040) (Unaudited) | |||
| |||
Expiration | Contract | ||
date/strike price | amount | Value | |
| |||
Federal National Mortgage Association 30 yr 2.50% | |||
TBA commitments (Put) | Feb-17/$95.22 | $31,000,000 | $177,630 |
| |||
Federal National Mortgage Association 30 yr 3.00% | |||
TBA commitments (Call) | Apr-17/99.08 | 32,000,000 | 235,520 |
| |||
Federal National Mortgage Association 30 yr 3.00% | |||
TBA commitments (Call) | Apr-17/99.27 | 32,000,000 | 209,280 |
| |||
Federal National Mortgage Association 30 yr 3.00% | |||
TBA commitments (Call) | Apr-17/99.81 | 32,000,000 | 144,000 |
| |||
Federal National Mortgage Association 30 yr 3.00% | |||
TBA commitments (Call) | Apr-17/100.00 | 32,000,000 | 125,440 |
| |||
Federal National Mortgage Association 30 yr 3.00% | |||
TBA commitments (Put) | Feb-17/99.45 | 142,000,000 | 901,700 |
| |||
USD/JPY (Call) | May-17/JPY 125.00 | 11,667,800 | 27,303 |
| |||
USD/MXN (Put) | Apr-17/MXN 20.35 | 23,759,700 | 382,982 |
| |||
Total | $2,203,855 | ||
|
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) | ||||
| ||||
Counterparty | ||||
Fixed right or obligation % to | Premium | Unrealized | ||
receive or (pay)/ Floating rate | Expiration | Contract | receivable/ | appreciation/ |
index/Maturity date | date/strike | amount | (payable) | (depreciation) |
| ||||
Bank of America N.A. | ||||
| ||||
2.5925/3 month USD-LIBOR-BBA/ | ||||
Jan-27 (Purchased) | Jan-19/2.5925 | $8,145,400 | $(287,125) | $(5,132) |
| ||||
(2.5925)/3 month USD-LIBOR-BBA/ | ||||
Jan-27 (Purchased) | Jan-19/2.5925 | 8,145,400 | (287,125) | (7,412) |
| ||||
(2.785)/3 month USD-LIBOR-BBA/ | ||||
Jan-47 (Purchased) | Jan-27/2.785 | 8,145,400 | (874,001) | (9,449) |
|
Premier Income Trust 53 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | |||||
| |||||
Counterparty | |||||
Fixed right or obligation % to | Premium | Unrealized | |||
receive or (pay)/ Floating rate | Expiration | Contract | receivable/ | appreciation/ | |
index/Maturity date | date/strike | amount | (payable) | (depreciation) | |
| |||||
Bank of America N.A. cont. | |||||
| |||||
2.785/3 month USD-LIBOR-BBA/ | |||||
Jan-47 (Purchased) | Jan-27/2.785 | $8,145,400 | $(874,001) | $(56,040) | |
| |||||
(2.7175)/3 month USD-LIBOR-BBA/ | |||||
Jan-47 (Written) | Jan-19/2.7175 | 8,145,400 | 735,937 | 40,157 | |
| |||||
2.7175/3 month USD-LIBOR-BBA/ | |||||
Jan-47 (Written) | Jan-19/2.7175 | 8,145,400 | 735,937 | (1,955) | |
| |||||
Barclays Bank PLC | |||||
| |||||
(0.625)/6 month JPY-LIBOR-BBA/ | |||||
Feb-37 (Purchased) | Feb-17/0.625 | JPY | 1,606,200,000 | (14,295,180) | 133,008 |
| |||||
(0.66)/6 month JPY-LIBOR-BBA/ | |||||
Feb-37 (Purchased) | Feb-17/0.66 | JPY | 1,606,200,000 | (14,295,180) | 61,312 |
| |||||
Citibank, N.A. | |||||
| |||||
2.605/3 month USD-LIBOR-BBA/ | |||||
Feb-27 (Written) | Feb-17/2.605 | $40,727,000 | 40,727 | 16,698 | |
| |||||
2.55125/3 month USD-LIBOR-BBA/ | |||||
Feb-27 (Written) | Feb-17/2.55125 | 40,727,000 | 101,818 | 13,847 | |
| |||||
Credit Suisse International | |||||
| |||||
2.6075/3 month USD-LIBOR-BBA/ | |||||
Feb-27 (Written) | Feb-17/2.6075 | 40,727,000 | 50,909 | (4,928) | |
| |||||
Goldman Sachs International | |||||
| |||||
2.61/3 month USD-LIBOR-BBA/ | |||||
Feb-27 (Written) | Feb-17/2.61 | 40,727,000 | 29,866 | 11,404 | |
| |||||
Wells Fargo Bank, N.A. | |||||
| |||||
2.82/3 month USD-LIBOR-BBA/ | |||||
Jan-30 (Written) | Jan-20/2.82 | 1,357,600 | 70,341 | 6,910 | |
| |||||
(2.82)/3 month USD-LIBOR-BBA/ | |||||
Jan-30 (Written) | Jan-20/2.82 | 1,357,600 | 70,341 | (2,620) | |
| |||||
Total | $(29,076,736) | $195,800 | |||
|
TBA SALE COMMITMENTS OUTSTANDING at 1/31/17 (proceeds receivable $250,119,219) (Unaudited) | ||||
| ||||
Principal | Settlement | |||
Agency | amount | date | Value | |
| ||||
Federal National Mortgage Association, 4.50%, 2/1/47 | $5,000,000 | 2/13/17 | $5,376,953 | |
| ||||
Federal National Mortgage Association, 4.00%, 2/1/47 | 2,000,000 | 2/13/17 | 2,098,594 | |
| ||||
Federal National Mortgage Association, 3.50%, 2/1/47 | 162,000,000 | 2/13/17 | 165,556,402 | |
| ||||
Federal National Mortgage Association, 3.00%, 2/1/47 | 75,000,000 | 2/13/17 | 74,226,563 | |
| ||||
Government National Mortgage Association, 4.50%, 2/1/47 | 3,000,000 | 2/21/17 | 3,218,203 | |
| ||||
Total | $250,476,715 | |||
|
54 Premier Income Trust |
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) | |||||||
| |||||||
Upfront | Payments | Payments | |||||
Swap counterparty/ | premium | Termination | made by | received by | Unrealized | ||
Notional amount | received (paid) | date | fund per annum | fund per annum | depreciation | ||
| |||||||
JPMorgan Chase Bank N.A. | |||||||
| |||||||
MXN | 84,723,000 | $— | 1/1/26 | 1 month MXN-TIIE- | 6.16% | $(450,850) | |
BANXICO | |||||||
| |||||||
MXN | 90,430,000 | — | 10/6/21 | 1 month MXN-TIIE- | 5.93% | (272,113) | |
BANXICO | |||||||
| |||||||
MXN | 36,547,000 | — | 10/8/21 | 1 month MXN-TIIE- | 5.895% | (112,650) | |
BANXICO | |||||||
| |||||||
MXN | 37,884,000 | — | 10/26/21 | 1 month MXN-TIIE- | 6.09% | (103,226) | |
BANXICO | |||||||
| |||||||
Total | $— | $(938,839) | |||||
|
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) | ||||||
| ||||||
Upfront | Payments | Payments | Unrealized | |||
premium | Termination | made by | received by | appreciation/ | ||
Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |
| ||||||
$709,700 E | $(24) | 4/24/47 | 3 month USD- | 1.92% | $(113,725) | |
LIBOR-BBA | ||||||
| ||||||
9,618,000 E | 26,271 | 3/15/27 | 3 month USD- | 2.50% | 132,098 | |
LIBOR-BBA | ||||||
| ||||||
75,923,000 E | 47,087 | 3/15/22 | 3 month USD- | 2.15% | 538,309 | |
LIBOR-BBA | ||||||
| ||||||
8,369,200 E | 37,772 | 3/15/47 | 3 month USD- | 2.704% | 151,660 | |
LIBOR-BBA | ||||||
| ||||||
303,446,600 E | (507,537) | 3/15/27 | 2.4885% | 3 month USD- | (3,528,348) | |
LIBOR-BBA | ||||||
| ||||||
81,141,300 E | (90,141) | 3/15/22 | 2.132% | 3 month USD- | (544,938) | |
LIBOR-BBA | ||||||
| ||||||
364,174,100 E | (107,402) | 3/15/19 | 1.6065% | 3 month USD- | (495,976) | |
LIBOR-BBA | ||||||
| ||||||
27,151,300 | (228,431) | 1/31/27 | 3 month USD- | 2.4775% | 74,256 | |
LIBOR-BBA | ||||||
| ||||||
20,433,000 | (271) | 1/5/27 | 3 month USD- | 2.38% | 71,139 | |
LIBOR-BBA | ||||||
| ||||||
17,528,000 | (232) | 1/5/27 | 3 month USD- | 2.3795% | 60,230 | |
LIBOR-BBA | ||||||
| ||||||
7,178,000 | (95) | 1/6/27 | 3 month USD- | 2.31% | (21,498) | |
LIBOR-BBA | ||||||
| ||||||
18,960,000 | (251) | 1/6/27 | 3 month USD- | 2.28% | (108,865) | |
LIBOR-BBA | ||||||
| ||||||
6,810,000 | (90) | 1/9/27 | 3 month USD- | 2.2301% | (71,425) | |
LIBOR-BBA | ||||||
| ||||||
8,075,000 | (107) | 1/9/27 | 3 month USD- | 2.221% | (91,424) | |
LIBOR-BBA | ||||||
| ||||||
10,641,000 | (141) | 1/10/27 | 3 month USD- | 2.2075% | (133,979) | |
LIBOR-BBA | ||||||
| ||||||
21,908,000 | (291) | 1/10/27 | 2.29333% | 3 month USD- | 103,105 | |
LIBOR-BBA | ||||||
|
Premier Income Trust 55 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | ||||||
| ||||||
Upfront | Payments | Payments | Unrealized | |||
premium | Termination | made by | received by | appreciation/ | ||
Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |
| ||||||
$14,058,000 | $(186) | 1/10/27 | 2.294% | 3 month USD- | $65,297 | |
LIBOR-BBA | ||||||
| ||||||
10,438,000 | (138) | 1/11/27 | 3 month USD- | 2.246% | (95,085) | |
LIBOR-BBA | ||||||
| ||||||
8,027,000 | (106) | 1/12/27 | 3 month USD- | 2.2515% | (69,558) | |
LIBOR-BBA | ||||||
| ||||||
7,961,000 | (106) | 1/13/27 | 3 month USD- | 2.246% | (73,460) | |
LIBOR-BBA | ||||||
| ||||||
8,030,000 | (106) | 1/13/27 | 3 month USD- | 2.249% | (71,893) | |
LIBOR-BBA | ||||||
| ||||||
9,779,800 | (130) | 1/17/27 | 3 month USD- | 2.19% | (142,471) | |
LIBOR-BBA | ||||||
| ||||||
9,779,800 | (130) | 1/17/27 | 3 month USD- | 2.197% | (136,195) | |
LIBOR-BBA | ||||||
| ||||||
5,124,000 | (68) | 1/17/27 | 2.2955% | 3 month USD- | 25,035 | |
LIBOR-BBA | ||||||
| ||||||
12,555,000 | (166) | 1/17/27 | 2.30308% | 3 month USD- | 52,636 | |
LIBOR-BBA | ||||||
| ||||||
8,523,000 | (113) | 1/20/27 | 3 month USD- | 2.233% | (91,770) | |
LIBOR-BBA | ||||||
| ||||||
14,517,000 | (192) | 1/23/27 | 2.35299% | 3 month USD- | (593) | |
LIBOR-BBA | ||||||
| ||||||
21,233,000 | (282) | 1/23/27 | 2.37712% | 3 month USD- | (47,757) | |
LIBOR-BBA | ||||||
| ||||||
11,584,500 | (154) | 1/23/27 | 2.3785% | 3 month USD- | (27,519) | |
LIBOR-BBA | ||||||
| ||||||
19,549,000 | (259) | 1/25/27 | 3 month USD- | 2.37% | 29,498 | |
LIBOR-BBA | ||||||
| ||||||
11,584,500 | (154) | 1/23/27 | 2.37025% | 3 month USD- | (18,775) | |
LIBOR-BBA | ||||||
| ||||||
9,921,000 | (132) | 1/25/27 | 3 month USD- | 2.335% | (16,795) | |
LIBOR-BBA | ||||||
| ||||||
11,099,000 | (147) | 1/25/27 | 3 month USD- | 2.3025% | (51,780) | |
LIBOR-BBA | ||||||
| ||||||
18,534,000 | (246) | 1/26/27 | 3 month USD- | 2.3255% | (48,100) | |
LIBOR-BBA | ||||||
| ||||||
19,390,000 | (257) | 1/27/27 | 2.3956% | 3 month USD- | (73,224) | |
LIBOR-BBA | ||||||
| ||||||
19,090,000 | (253) | 1/27/27 | 2.4322% | 3 month USD- | (135,986) | |
LIBOR-BBA | ||||||
| ||||||
15,607,000 | (207) | 1/30/27 | 3 month USD- | 2.456% | 142,777 | |
LIBOR-BBA | ||||||
| ||||||
7,438,000 | (99) | 1/30/27 | 2.4455% | 3 month USD- | (61,099) | |
LIBOR-BBA | ||||||
| ||||||
9,249,000 | (123) | 1/31/27 | 2.416% | 3 month USD- | (51,234) | |
LIBOR-BBA | ||||||
| ||||||
8,685,600 | (115) | 1/31/27 | 2.4055% | 3 month USD- | (39,784) | |
LIBOR-BBA | ||||||
|
56 Premier Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | |||||||
| |||||||
Upfront | Payments | Payments | Unrealized | ||||
premium | Termination | made by | received by | appreciation/ | |||
Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| |||||||
$10,049,000 | $(133) | 2/1/27 | 3 month USD- | 2.394% | $33,852 | ||
LIBOR-BBA | |||||||
| |||||||
AUD | 35,266,000 E | 53,967 | 3/22/22 | 2.70% | 6 month AUD- | (116,536) | |
BBR-BBSW | |||||||
| |||||||
AUD | 11,214,000 E | 32,698 | 3/22/27 | 3.10% | 6 month AUD- | (42,305) | |
BBR-BBSW | |||||||
| |||||||
CAD | 12,965,000 E | (70,723) | 3/15/22 | 3 month CAD-BA- | 1.60% | (19,002) | |
CDOR | |||||||
| |||||||
CAD | 17,820,000 E | (6,421) | 3/15/27 | 2.07% | 3 month CAD-BA- | (76,153) | |
CDOR | |||||||
| |||||||
CHF | 46,000 E | 35 | 3/15/22 | 6 month CHF- | 0.25% | (63) | |
LIBOR-BBA | |||||||
| |||||||
CHF | 59,000 E | (95) | 3/15/27 | 6 month CHF- | 0.25% | 92 | |
LIBOR-BBA | |||||||
| |||||||
EUR | 147,331,000 E | 196,342 | 3/15/22 | 0.20% | 6 month EUR- | 269,978 | |
EURIBOR- | |||||||
REUTERS | |||||||
| |||||||
EUR | 19,812,000 E | (25,379) | 3/15/27 | 0.82% | 6 month EUR- | 11,578 | |
EURIBOR- | |||||||
REUTERS | |||||||
| |||||||
EUR | 4,243,000 E | (88) | 1/24/32 | 6 month EUR- | 1.665% | (31,340) | |
EURIBOR-REUTERS | |||||||
| |||||||
GBP | 35,845,000 E | (42,838) | 3/15/22 | 1.06% | 6 month GBP- | (59,252) | |
LIBOR-BBA | |||||||
| |||||||
GBP | 9,834,000 E | 68,993 | 3/15/27 | 1.50% | 6 month GBP- | 5,640 | |
LIBOR-BBA | |||||||
| |||||||
GBP | 3,856,000 E | (72) | 1/19/32 | 1.912% | 6 month GBP- | 19,099 | |
LIBOR-BBA | |||||||
| |||||||
JPY | 384,052,000 E | (113) | 2/22/37 | 6 month JPY- | 0.56% | (101,863) | |
LIBOR-BBA | |||||||
| |||||||
MXN | 30,450,000 | (21) | 12/3/26 | 7.715% | 1 month MXN- | 12,967 | |
TIIE-BANXICO | |||||||
| |||||||
MXN | 21,470,000 | (14) | 12/24/26 | 8.12% | 1 month MXN- | (21,573) | |
TIIE-BANXICO | |||||||
| |||||||
MXN | 25,900,000 | (17) | 1/7/27 | 8.20% | 1 month MXN- | (31,614) | |
TIIE-BANXICO | |||||||
| |||||||
NOK | 890,000 E | (11) | 3/15/22 | 6 month NOK- | 1.65% | 114 | |
NIBOR-NIBR | |||||||
| |||||||
NOK | 25,982,000 E | 3,605 | 3/15/27 | 6 month NOK- | 2.05% | 1,136 | |
NIBOR-NIBR | |||||||
| |||||||
NZD | 7,717,000 E | (7,245) | 3/15/27 | 3 month NZD- | 3.70% | 31,624 | |
BBR-FRA | |||||||
| |||||||
NZD | 40,466,000 E | 8,663 | 3/15/22 | 3 month NZD- | 3.18% | 75,525 | |
BBR-FRA | |||||||
| |||||||
SEK | 167,122,000 E | 6,785 | 3/15/22 | 0.35% | 3 month SEK- | 120,618 | |
STIBOR-SIDE | |||||||
|
Premier Income Trust 57 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | |||||||
| |||||||
Upfront | Payments | Payments | Unrealized | ||||
premium | Termination | made by | received by | appreciation/ | |||
Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| |||||||
SEK | 493,000 E | $376 | 3/15/27 | 3 month SEK- | 1.25% | $53 | |
STIBOR-SIDE | |||||||
| |||||||
ZAR | 16,652,000 | (15) | 10/11/26 | 8.32625% | 3 month ZAR- | (9,808) | |
JIBAR-SAFEX | |||||||
| |||||||
Total | $(609,473) | $(4,844,449) | |||||
|
E Extended effective date.
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) | ||||||
| ||||||
Upfront | Payments | Total return | Unrealized | |||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| ||||||
Barclays Bank PLC | ||||||
| ||||||
$738,118 | $— | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | $3,791 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
260,379 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (910) | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
630,679 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 846 | |
USD-LIBOR) | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
630,131 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (2,203) | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
80,994 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | 104 | |
USD-LIBOR) | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
338,461 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (1,963) | |
USD-LIBOR) | 5.00% 30 year Ginnie | |||||
Mae II pools | ||||||
| ||||||
1,535,656 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (5,368) | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,241,441 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | (1,117) | |
USD-LIBOR) | 4.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
747,509 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | (951) | |
USD-LIBOR | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,019,593 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 4,822 | |
USD-LIBOR) | 5.00% 30 year Ginnie | |||||
Mae II pools | ||||||
| ||||||
613,777 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 2,903 | |
USD-LIBOR) | 5.00% 30 year Ginnie | |||||
Mae II pools | ||||||
| ||||||
778,376 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 3,682 | |
USD-LIBOR) | 5.00% 30 year Ginnie | |||||
Mae II pools | ||||||
|
58 Premier Income Trust |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | |||||||
| |||||||
Upfront | Payments | Total return | Unrealized | ||||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
| |||||||
Barclays Bank PLC cont. | |||||||
| |||||||
$1,198,982 | $— | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | $1,541 | ||
USD-LIBOR) | 6.50% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
172,051 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | 221 | ||
USD-LIBOR) | 6.50% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
2,819,398 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | (15,969) | ||
USD-LIBOR | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
1,131,186 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | 4,636 | ||
USD-LIBOR) | 3.50% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
3,907,272 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | (21,298) | ||
USD-LIBOR | 4.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
2,466,168 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 1,116 | ||
USD-LIBOR) | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
21,017,654 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 104,706 | ||
USD-LIBOR) | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
12,379,955 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (24,700) | ||
USD-LIBOR | 6.50% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
EUR | 6,626,000 | — | 9/15/17 | (0.4975%) | Eurostat Eurozone | 29,183 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 3,313,000 | — | 9/15/17 | (0.46%) | Eurostat Eurozone | 17,310 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 4,713,000 | — | 9/15/17 | (0.435%) | Eurostat Eurozone | 27,168 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
GBP | 4,694,000 | — | 11/3/26 | 3.4531% | GBP Non-revised UK | (139,536) | |
Retail Price Index | |||||||
| |||||||
Citibank, N.A. | |||||||
| |||||||
$1,237,064 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 6,163 | ||
USD-LIBOR) | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
2,814,707 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 14,022 | ||
USD-LIBOR) | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
429,947 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 2,142 | ||
USD-LIBOR) | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
|
Premier Income Trust 59 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | ||||||
| ||||||
Upfront | Payments | Total return | Unrealized | |||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| ||||||
Credit Suisse International | ||||||
| ||||||
$938,236 | $— | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | $4,674 | |
USD-LIBOR) | 5.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
910,562 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (1,817) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,627,265 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 7,697 | |
USD-LIBOR) | 5.00% 30 year Ginnie | |||||
Mae II pools | ||||||
| ||||||
1,726,119 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | (9,776) | |
USD-LIBOR | 5.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,894,533 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | (10,730) | |
USD-LIBOR | 5.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,737,771 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 8,219 | |
USD-LIBOR) | 5.00% 30 year Ginnie | |||||
Mae II pools | ||||||
| ||||||
1,004,122 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | 5,473 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
80,476 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | 439 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
79,324 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS Index | 300 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
696,007 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS Index | 2,635 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,331,467 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | 5,457 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
366,915 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | 1,504 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
209,894 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | 860 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
5,695,179 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | 34,608 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
2,042,249 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | 12,410 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
|
60 Premier Income Trust |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | ||||||
| ||||||
Upfront | Payments | Total return | Unrealized | |||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| ||||||
Credit Suisse International cont. | ||||||
| ||||||
$2,024,321 | $— | 1/12/45 | 3.50% (1 month | Synthetic TRS Index | $10,200 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
3,497,575 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | (19,065) | |
USD-LIBOR | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
Deutsche Bank AG | ||||||
| ||||||
910,562 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (1,817) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
Goldman Sachs International | ||||||
| ||||||
920,412 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 1,235 | |
USD-LIBOR) | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
377,200 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | 485 | |
USD-LIBOR) | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,831,394 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | 9,407 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,831,394 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | 9,407 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
576,750 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (1,151) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
216,668 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (432) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
441,868 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 593 | |
USD-LIBOR) | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
66,457 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 89 | |
USD-LIBOR) | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,155,326 | — | 1/12/40 | 4.00% (1 month | Synthetic TRS Index | 5,224 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
444,564 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 596 | |
USD-LIBOR) | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
889,083 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | 1,193 | |
USD-LIBOR) | 6.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
27,135 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | 35 | |
USD-LIBOR) | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
|
Premier Income Trust 61 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | ||||||
| ||||||
Upfront | Payments | Total return | Unrealized | |||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| ||||||
Goldman Sachs International cont. | ||||||
| ||||||
$406,566 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $(811) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
790,140 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (1,576) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
487,834 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (973) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
37,379 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (75) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
99,707 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (199) | |
USD-LIBOR | 6.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
4,168,549 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | 21,412 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
3,607,512 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | 18,530 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
2,702,354 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | (15,306) | |
USD-LIBOR | 5.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
3,363,609 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS Index | 12,734 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
2,664,403 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS Index | 10,087 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
1,406,088 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS Index | 5,323 | |
USD-LIBOR) | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
2,026,566 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | 12,315 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
2,279,463 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS Index | (9,342) | |
USD-LIBOR | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
7,099,080 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | 43,139 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
2,679,038 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS Index | (4,852) | |
USD-LIBOR | 3.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
6,168,703 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | (33,624) | |
USD-LIBOR | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
|
62 Premier Income Trust |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | |||||||
| |||||||
Upfront | Payments | Total return | Unrealized | ||||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
| |||||||
Goldman Sachs International cont. | |||||||
| |||||||
EUR | 23,854,000 | $— | 8/10/17 | (0.63%) | Eurostat Eurozone | $11,330 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 7,876,000 | — | 8/11/17 | (0.63%) | Eurostat Eurozone | 3,741 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 6,626,000 | — | 8/31/17 | (0.27%) | Eurostat Eurozone | 55,005 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 6,626,000 | — | 9/1/17 | (0.37%) | Eurostat Eurozone | 47,566 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 3,884,000 | — | 1/26/21 | (0.75%) | Eurostat Eurozone | 80,179 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
GBP | 2,347,000 | — | 11/10/26 | 3.56% | GBP Non-revised UK | (31,179) | |
Retail Price Index | |||||||
| |||||||
GBP | 2,347,000 | — | 11/18/26 | 3.52% | GBP Non-revised UK | (45,646) | |
Retail Price Index | |||||||
| |||||||
JPMorgan Chase Bank N.A. | |||||||
| |||||||
$5,402,612 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | 29,449 | ||
USD-LIBOR) | 4.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
3,134,649 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | 17,086 | ||
USD-LIBOR) | 4.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
1,042,009 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | 5,680 | ||
USD-LIBOR) | 4.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
2,909,682 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | 15,860 | ||
USD-LIBOR) | 4.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
2,702,354 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | (15,306) | ||
USD-LIBOR | 5.00% 30 year Fannie | ||||||
Mae pools | |||||||
| |||||||
EUR | 3,313,000 | — | 9/7/20 | (0.85%) | Eurostat Eurozone | 32,441 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 4,155,000 | — | 1/27/21 | (0.755%) | Eurostat Eurozone | 85,895 | |
HICP excluding | |||||||
tobacco | |||||||
| |||||||
EUR | 3,418,000 | — | 1/26/21 | (0.75%) | Eurostat Eurozone | 71,618 | |
HICP excluding | |||||||
tobacco | |||||||
|
Premier Income Trust 63 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | ||||||
| ||||||
Upfront | Payments | Total return | Unrealized | |||
Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| ||||||
JPMorgan Securities LLC | ||||||
| ||||||
$3,221,825 | $— | 1/12/44 | 4.00% (1 month | Synthetic TRS Index | $18,573 | |
USD-LIBOR) | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
759,999 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS Index | (3,115) | |
USD-LIBOR | 3.50% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
12,176,968 | (19,027) | 1/12/42 | (4.00%) 1 month | Synthetic TRS Index | (80,283) | |
USD-LIBOR | 4.00% 30 year Fannie | |||||
Mae pools | ||||||
| ||||||
Total | $(19,027) | $443,969 | ||||
|
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) | |||||||
| |||||||
Upfront | Payments | ||||||
premium | Termi- | received | Unrealized | ||||
Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
| |||||||
Bank of America N.A. | |||||||
| |||||||
CMBX NA BBB– Index | BBB–/P | $9,980 | $146,000 | 5/11/63 | 300 bp | $998 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 19,586 | 325,000 | 5/11/63 | 300 bp | (407) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 40,127 | 650,000 | 5/11/63 | 300 bp | 142 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 38,247 | 671,000 | 5/11/63 | 300 bp | (3,031) | |
| |||||||
Credit Suisse International | |||||||
| |||||||
CMBX NA BB Index | — | (156,621) | 1,116,000 | 1/17/47 | (500 bp) | (16,643) | |
| |||||||
CMBX NA BB Index | — | (104,332) | 5,911,000 | 5/11/63 | (500 bp) | 686,133 | |
| |||||||
CMBX NA BB Index | — | (192,855) | 1,178,000 | 1/17/47 | (500 bp) | (45,101) | |
| |||||||
CMBX NA BB Index | — | (3,146) | 324,000 | 1/17/47 | (500 bp) | 37,493 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 12,042 | 246,000 | 5/11/63 | 300 bp | (3,092) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 123,134 | 2,510,000 | 5/11/63 | 300 bp | (31,273) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 73,353 | 928,000 | 1/17/47 | 300 bp | 25,082 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 143,170 | 2,180,000 | 1/17/47 | 300 bp | 29,774 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 3,191,200 | 43,174,000 | 1/17/47 | 300 bp | 945,433 | |
| |||||||
Goldman Sachs International | |||||||
| |||||||
CMBX NA BB Index | — | (266,285) | 2,603,000 | 5/11/63 | (500 bp) | 81,809 | |
| |||||||
CMBX NA BB Index | — | (71,729) | 474,000 | 1/17/47 | (500 bp) | (12,276) | |
| |||||||
CMBX NA BB Index | — | (19,578) | 134,000 | 5/11/63 | (500 bp) | (1,659) | |
| |||||||
CMBX NA BB Index | — | (135,933) | 804,000 | 1/17/47 | (500 bp) | (35,089) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 31,646 | 638,000 | 5/11/63 | 300 bp | (7,601) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 31,103 | 638,000 | 5/11/63 | 300 bp | (8,145) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 34,009 | 652,000 | 5/11/63 | 300 bp | (6,100) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 69,759 | 928,000 | 5/11/63 | 300 bp | 12,671 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 93,617 | 1,935,000 | 5/11/63 | 300 bp | (25,418) | |
| |||||||
CMBX NA BBB– Index | — | (11,955) | 147,000 | 1/17/47 | (300 bp) | (4,308) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 3,544 | 45,000 | 1/17/47 | 300 bp | 1,203 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 153,551 | 2,203,000 | 1/17/47 | 300 bp | 38,958 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 537,139 | 7,267,000 | 1/17/47 | 300 bp | 159,134 | |
|
64 Premier Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/17 (Unaudited) cont. | |||||||
| |||||||
Upfront | Payments | ||||||
premium | Termi- | received | Unrealized | ||||
Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
| |||||||
JPMorgan Securities LLC | |||||||
| |||||||
CMBX NA BB Index | — | $(186,437) | $1,326,000 | 5/11/63 | (500 bp) | $(9,114) | |
| |||||||
CMBX NA BB Index | — | (108,451) | 748,000 | 5/11/63 | (500 bp) | (8,423) | |
| |||||||
CMBX NA BB Index | — | (80,830) | 562,000 | 5/11/63 | (500 bp) | (5,675) | |
| |||||||
CMBX NA BB Index | — | (41,215) | 310,000 | 5/11/63 | (500 bp) | 241 | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 21,774 | 353,000 | 5/11/63 | 300 bp | (147) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 19,968 | 452,000 | 5/11/63 | 300 bp | (7,837) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 37,564 | 705,000 | 5/11/63 | 300 bp | (6,099) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 35,905 | 705,000 | 5/11/63 | 300 bp | (7,758) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 92,457 | 1,704,000 | 5/11/63 | 300 bp | (12,367) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 117,048 | 2,116,000 | 5/11/63 | 300 bp | (13,122) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 238,942 | 3,047,000 | 5/11/63 | 300 bp | 51,500 | |
| |||||||
CMBX NA BBB– Index | — | (259,640) | 2,819,000 | 1/17/47 | (300 bp) | (113,006) | |
| |||||||
CMBX NA BBB– Index | — | (93,842) | 1,128,000 | 1/17/47 | (300 bp) | (35,167) | |
| |||||||
CMBX NA BBB– Index | — | (39,631) | 501,000 | 1/17/47 | (300 bp) | (13,570) | |
| |||||||
CMBX NA BBB– Index | — | (18,990) | 353,000 | 1/17/47 | (300 bp) | (422) | |
| |||||||
CMBX NA BBB– Index | BBB–/P | 5,306 | 65,000 | 1/17/47 | 300 bp | 1,924 | |
| |||||||
Total | $3,382,701 | $1,639,645 | |||||
|
* 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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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 January 31, 2017. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
Premier Income Trust 65 |
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 | $— | $— | $23,241 | |||
| ||||||
Energy | 287,213 | 3,537 | 13,689 | |||
| ||||||
Government | — | 2,086,422 | — | |||
| ||||||
Utilities and power | 341,577 | 27,395 | — | |||
| ||||||
Total common stocks | 628,790 | 2,117,354 | 36,930 | |||
Convertible bonds and notes | — | 93,891 | — | |||
| ||||||
Corporate bonds and notes | — | 192,645,450 | 5 | |||
| ||||||
Foreign government and agency bonds and notes | — | 44,470,395 | — | |||
| ||||||
Mortgage-backed securities | — | 290,425,462 | — | |||
| ||||||
Preferred stocks | 418,011 | — | — | |||
| ||||||
Purchased options outstanding | — | 1,938,808 | — | |||
| ||||||
Purchased swap options outstanding | — | 2,150,655 | — | |||
| ||||||
Senior loans | — | 11,949,457 | — | |||
| ||||||
U.S. government and agency mortgage obligations | — | 354,627,310 | — | |||
| ||||||
Warrants | 15,012 | 8,924 | — | |||
| ||||||
Short-term investments | 33,482,798 | 26,332,382 | — | |||
| ||||||
Totals by level | $34,544,611 | $926,760,088 | $36,935 | |||
Valuation inputs | ||||||
| ||||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |||
| ||||||
Forward currency contracts | $— | $1,104,736 | $— | |||
| ||||||
Written options outstanding | — | (2,203,855) | — | |||
| ||||||
Written swap options outstanding | — | (3,381,134) | — | |||
| ||||||
Forward premium swap option contracts | — | 195,800 | — | |||
| ||||||
TBA sale commitments | — | (250,476,715) | — | |||
| ||||||
Interest rate swap contracts | — | (5,173,815) | — | |||
| ||||||
Total return swap contracts | — | 462,996 | — | |||
| ||||||
Credit default contracts | — | (1,743,056) | — | |||
| ||||||
Totals by level | $— | $(261,215,043) | $— |
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in Note 1), did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.
The accompanying notes are an integral part of these financial statements.
66 Premier Income Trust |
Statement of assets and liabilities 1/31/17 (Unaudited)
ASSETS | |
| |
Investment in securities, at value (Note 1): | |
Unaffiliated issuers (identified cost $934,850,219) | $928,341,836 |
Affiliated issuers (identified cost $32,999,798) (Notes 1 and 5) | 32,999,798 |
| |
Cash | 100,987 |
| |
Foreign currency (cost $733,650) (Note 1) | 737,012 |
| |
Dividends, interest and other receivables | 7,619,570 |
| |
Receivable for investments sold | 4,227,816 |
| |
Receivable for sales of delayed delivery securities (Note 1) | 208,183,839 |
| |
Receivable for variation margin (Note 1) | 1,541,497 |
| |
Unrealized appreciation on forward premium swap option contracts (Note 1) | 283,336 |
| |
Unrealized appreciation on forward currency contracts (Note 1) | 4,681,277 |
| |
Unrealized appreciation on OTC swap contracts (Note 1) | 3,017,554 |
| |
Premium paid on OTC swap contracts (Note 1) | 1,810,497 |
| |
Total assets | 1,193,545,019 |
| |
LIABILITIES | |
| |
Payable for investments purchased | 7,882,330 |
| |
Payable for purchases of delayed delivery securities (Note 1) | 312,874,984 |
| |
Payable for compensation of Manager (Note 2) | 1,076,110 |
| |
Payable for custodian fees (Note 2) | 92,095 |
| |
Payable for investor servicing fees (Note 2) | 49,407 |
| |
Payable for Trustee compensation and expenses (Note 2) | 287,000 |
| |
Payable for administrative services (Note 2) | 6,096 |
| |
Payable for variation margin (Note 1) | 2,569,904 |
| |
Distributions payable to shareholders | 2,788,771 |
| |
Unrealized depreciation on OTC swap contracts (Note 1) | 1,872,779 |
| |
Premium received on OTC swap contracts (Note 1) | 5,174,171 |
| |
Unrealized depreciation on forward currency contracts (Note 1) | 3,576,541 |
| |
Unrealized depreciation on forward premium swap option contracts (Note 1) | 87,536 |
| |
Written options outstanding, at value (premiums $9,801,641) (Notes 1 and 3) | 5,584,989 |
| |
TBA sale commitments, at value (proceeds receivable $250,119,219) (Note 1) | 250,476,715 |
| |
Collateral on certain derivative contracts, at value (Note 1) | 843,271 |
| |
Other accrued expenses | 174,414 |
| |
Total liabilities | 595,417,113 |
Net assets | $598,127,906 |
| |
REPRESENTED BY | |
| |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $861,608,408 |
| |
Undistributed net investment income (Note 1) | 903,630 |
| |
Accumulated net realized loss on investments and foreign currency transactions (Note 1) | (259,323,900) |
| |
Net unrealized depreciation of investments and assets and liabilities in foreign currencies | (5,060,232) |
| |
Total — Representing net assets applicable to capital shares outstanding | $598,127,906 |
| |
COMPUTATION OF NET ASSET VALUE | |
| |
Net asset value per share | |
($598,127,906 divided by 107,254,321 shares) | $5.58 |
The accompanying notes are an integral part of these financial statements.
Premier Income Trust 67 |
Statement of operations Six months ended 1/31/17 (Unaudited)
INVESTMENT INCOME | |
| |
Interest (including interest income of $39,368 from investments in affiliated issuers) (Note 5) | $19,126,448 |
| |
Dividends | 62,337 |
| |
Total investment income | 19,188,785 |
| |
EXPENSES | |
| |
Compensation of Manager (Note 2) | 2,180,892 |
| |
Investor servicing fees (Note 2) | 146,903 |
| |
Custodian fees (Note 2) | 64,087 |
| |
Trustee compensation and expenses (Note 2) | 14,428 |
| |
Administrative services (Note 2) | 10,499 |
| |
Other | 231,507 |
| |
Total expenses | 2,648,316 |
Expense reduction (Note 2) | (474) |
| |
Net expenses | 2,647,842 |
Net investment income | 16,540,943 |
| |
Net realized loss on investments (Notes 1 and 3) | (13,404,307) |
| |
Net realized gain on swap contracts (Note 1) | 24,598,860 |
| |
Net realized gain on futures contracts (Note 1) | 1,747,842 |
| |
Net realized gain on foreign currency transactions (Note 1) | 4,332,258 |
| |
Net realized loss on written options (Notes 1 and 3) | (5,368,872) |
| |
Net unrealized depreciation of assets and liabilities in foreign currencies during the period | (1,586,395) |
| |
Net unrealized appreciation of investments, futures contracts, swap contracts, written options, | |
and TBA sale commitments during the period | 21,559,950 |
| |
Net gain on investments | 31,879,336 |
Net increase in net assets resulting from operations | $48,420,279 |
|
The accompanying notes are an integral part of these financial statements.
68 Premier Income Trust |
Statement of changes in net assets
INCREASE (DECREASE) IN NET ASSETS | Six months ended 1/31/17* | Year ended 7/31/16 |
| ||
Operations | ||
| ||
Net investment income | $16,540,943 | $34,826,419 |
| ||
Net realized gain (loss) on investments | ||
and foreign currency transactions | 11,905,781 | (51,865,294) |
| ||
Net unrealized appreciation (depreciation) of investments | ||
and assets and liabilities in foreign currencies | 19,973,555 | (2,825,597) |
| ||
Net increase (decrease) in net assets resulting | ||
from operations | 48,420,279 | (19,864,472) |
| ||
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | (16,920,125) | (35,145,808) |
| ||
Decrease from shares repurchased (Note 4) | (10,608,061) | (37,648,101) |
| ||
Total increase (decrease) in net assets | 20,829,093 | (92,658,381) |
| ||
NET ASSETS | ||
| ||
Beginning of period | 577,235,813 | 669,894,194 |
| ||
End of period (including undistributed net investment | ||
income of $903,630 and $1,282,812, respectively) | $598,127,906 | $577,235,813 |
NUMBER OF FUND SHARES | ||
| ||
Shares outstanding at beginning of period | 109,420,660 | 117,160,420 |
| ||
Shares repurchased (Note 4) | (2,166,339) | (7,739,760) |
| ||
Shares outstanding at end of period | 107,254,321 | 109,420,660 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
Premier Income Trust 69 |
Financial highlights (For a common share outstanding throughout the period)
PER-SHARE OPERATING PERFORMANCE | ||||||
Six months | Year ended | |||||
ended** |
| |||||
1/31/17 | 7/31/16 | 7/31/15 | 7/31/14 | 7/31/13 | 7/31/12 | |
| ||||||
Net asset value, beginning of period | $5.28 | $5.72 | $6.20 | $5.96 | $5.76 | $6.17 |
| ||||||
Investment operations: | ||||||
Net investment income a | .15 | .31 | .28 | .32 | .32 | .27 |
| ||||||
Net realized and unrealized | ||||||
gain (loss) on investments | .30 | (.48) | (.49) | .17 | .19 | (.28) |
| ||||||
Total from investment operations | .45 | (.17) | (.21) | .49 | .51 | (.01) |
Less distributions: | ||||||
From net investment income | (.16) | (.31) | (.31) | (.31) | (.33) | (.34) |
| ||||||
From return of capital | — | — | — | — | — | (.06) |
| ||||||
Total distributions | (.16) | (.31) | (.31) | (.31) | (.33) | (.40) |
| ||||||
Increase from shares repurchased | .01 | .04 | .04 | .06 | .02 | — |
| ||||||
Net asset value, end of period | $5.58 | $5.28 | $5.72 | $6.20 | $5.96 | $5.76 |
| ||||||
Market price, end of period | $5.27 | $4.72 | $5.10 | $5.47 | $5.25 | $5.63 |
| ||||||
Total return at market price (%) b | 15.20* | (1.31) | (1.14) | 10.29 | (1.06) | (0.63) |
RATIOS AND SUPPLEMENTAL DATA | ||||||
| ||||||
Net assets, end of period | ||||||
(in thousands) | $598,128 | $577,236 | $669,894 | $775,817 | $825,433 | $818,077 |
| ||||||
Ratio of expenses to average | ||||||
net assets (%) c | .45* | .91 | .87 | .90 | .86 | .88 |
| ||||||
Ratio of net investment income | ||||||
to average net assets (%) | 2.81* | 5.75 | 4.74 | 5.23 | 5.49 | 4.80 |
| ||||||
Portfolio turnover (%) | 472*d | 808d | 654d | 189e | 215e | 153e |
|
* Not annualized.
** Unaudited.
a Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment.
c Includes amounts paid through expense offset arrangements, if any (Note 2).
d Portfolio turnover includes TBA purchase and sale commitments.
e Portfolio turnover excludes TBA purchase and sales commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:
Portfolio turnover % | |
| |
July 31, 2014 | 485% |
| |
July 31, 2013 | 586 |
| |
July 31, 2012 | 458 |
|
The accompanying notes are an integral part of these financial statements.
70 Premier Income Trust |
Notes to financial statements 1/31/17 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from August 1, 2016 through January 31, 2017.
Putnam Premier Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a non-diversified closed-end management investment company. The fund is currently operating as a diversified fund. In the future, the fund may operate as a non-diversified fund to the extent permitted by applicable law. Under current law, shareholder approval would be required before the fund could operate as a non-diversified fund. The goal of the fund is to seek high current income consistent with the preservation of capital by allocating its investments among the U.S. government sector, high yield sector and international sector of the fixed-income securities market.
The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, transfer agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
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 Accounting Standards Codification 820 Fair Value Measurements and Disclosures (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
Premier Income Trust 71 |
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.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
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.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses
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resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts for hedging 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 option 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.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses 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. Risks may exceed amounts recognized on the Statement of assets and liabilities. 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.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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 are used for hedging currency exposures and for gaining 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. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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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 in variation margin on the Statement of assets and liabilities and 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging 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 total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC 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 is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging 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
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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 in variation margin on the Statement of assets and liabilities and 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. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. 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.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
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.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
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
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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 posted to the fund which cannot be sold or repledged totaled $1,182,944 at the close of the reporting period.
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 $4,229,955 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,996,388 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
At July 31, 2016, the fund had a capital loss carryover of $234,727,957 available to the extent allowed by the Code to offset future net capital gain, if any. For any carryover, the amount of the carryover and that carryover’s expiration date is:
Loss carryover | |||
| |||
Short-term | Long-term | Total | Expiration |
| |||
$68,585,963 | $20,864,254 | $89,450,217 | * |
| |||
58,742,308 | N/A | 58,742,308 | July 31, 2017 |
| |||
86,535,432 | N/A | 86,535,432 | July 31, 2018 |
|
* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
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Pursuant to federal income tax regulations applicable to regulated investment companies, the Fund has elected to defer certain capital losses of $18,809,232 recognized during the period between November 1, 2015 and July 31, 2016 to its fiscal year ending July 31, 2017.
The aggregate identified cost on a tax basis is $985,279,764, resulting in gross unrealized appreciation and depreciation of $11,462,985 and $35,401,115, respectively, or net unrealized depreciation of $23,938,130.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates:
0.750% | of the first $500 million of average | 0.480% | of the next $5 billion of average | |
net assets, | net assets, | |||
|
| |||
0.650% | of the next $500 million of average | 0.470% | of the next $5 billion of average | |
net assets, | net assets, | |||
|
| |||
0.600% | of the next $500 million of average | 0.460% | of the next $5 billion of average | |
net assets, | net assets, | |||
|
| |||
0.550% | of the next $5 billion of average | 0.450% | of the next $5 billion of average | |
net assets, | net assets, | |||
|
| |||
0.525% | of the next $5 billion of average | 0.440% | of the next $5 billion of average | |
net assets, | net assets, | |||
|
| |||
0.505% | of the next $5 billion of average | 0.430% | of the next $8.5 billion of average net | |
net assets, | assets and | |||
|
| |||
0.490% | of the next $5 billion of average | 0.420% | of any excess thereafter. | |
net assets, | ||||
|
|
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.371% of the fund’s average net assets.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund’s average daily net assets. The amounts incurred for investor servicing agent functions during the reporting period are included in Investor servicing fees in the Statement of operations.
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $474 under the expense offset arrangements.
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Each Independent Trustee of the fund receives an annual Trustee fee, of which $459, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
Cost of purchases | Proceeds from sales | |
| ||
Investments in securities, including TBA commitments (Long-term) | $3,452,563,047 | $3,583,571,164 |
| ||
U.S. government securities (Long-term) | — | — |
| ||
Total | $3,452,563,047 | $3,583,571,164 |
|
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Written option transactions during the reporting period are summarized as follows:
Written swap | ||||
option contract | Written swap | Written option | Written option | |
amounts | option premiums | contract amounts | premiums | |
| ||||
Written options outstanding at the | ||||
beginning of the reporting period | $501,226,900 | $6,027,051 | $409,000,000 | $1,369,453 |
| ||||
Options opened | 2,962,518,700 | 10,028,963 | 1,406,095,300 | 6,964,066 |
| ||||
Options exercised | (149,332,200) | (725,429) | — | — |
| ||||
Options expired | (933,823,200) | (1,902,762) | — | — |
| ||||
Options closed | (1,371,642,600) | (5,803,222) | (1,478,667,800) | (6,156,479) |
| ||||
Written options outstanding at the | ||||
end of the reporting period | $1,008,947,600 | $7,624,601 | $336,427,500 | $2,177,040 |
Note 4: Shares repurchased
In September 2016, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2017 (based on shares outstanding as of October 7, 2016). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2016 (based on shares outstanding as of October 7, 2015). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees.
For the reporting period, the fund repurchased 2,166,339 common shares for an aggregate purchase price of $10,608,061, which reflects a weighted-average discount from net asset value per share of 9.82%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades.
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For the previous reporting period, the fund repurchased 7,739,760 common shares for an aggregate purchase price of $37,648,101, which reflected a weighted-average discount from net asset value per share of 10.24%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
Fair value at the | Fair value at the | ||||
beginning of the | Investment | end of the | |||
Name of affiliate | reporting period | Purchase cost | Sale proceeds | income | reporting period |
| |||||
Putnam Short Term | |||||
Investment Fund* | $10,615,872 | $135,166,734 | $112,782,808 | $39,368 | $32,999,798 |
| |||||
Totals | $10,615,872 | $135,166,734 | $112,782,808 | $39,368 | $32,999,798 |
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 7: Senior loan commitments
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.
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Note 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
Purchased TBA commitment option contracts (contract amount) | $260,700,000 |
| |
Purchased currency options (contract amount) | $15,200,000 |
| |
Purchased swap option contracts (contract amount) | $444,400,000 |
| |
Written TBA commitment option contracts (contract amount) (Note 3) | $354,100,000 |
| |
Written currency options (contract amount) (Note 3) | $15,200,000 |
| |
Written swap option contracts (contract amount) (Note 3) | $737,000,000 |
| |
Futures contracts (number of contracts) | 200 |
| |
Forward currency contracts (contract amount) | $491,200,000 |
| |
OTC interest rate swap contracts (notional) | $13,000,000 |
| |
Centrally cleared interest rate swap contracts (notional) | $1,401,600,000 |
| |
OTC total return swap contracts (notional) | $264,300,000 |
| |
OTC credit default contracts (notional) | $88,900,000 |
| |
Warrants (number of warrants) | 6,000 |
|
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period | ||||
| ||||
ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
| ||||
Derivatives not | ||||
accounted for as | Statement of | Statement of | ||
hedging instruments | assets and | assets and | ||
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| ||||
Credit contracts | Receivables | $2,296,693 | Payables | $4,039,749 |
| ||||
Foreign exchange | Investments, | |||
contracts | Receivables | 5,654,605 | Payables | 3,986,826 |
| ||||
Equity contracts | Investments | 23,936 | Payables | — |
| ||||
Investments, | ||||
Receivables, Net | ||||
assets — Unrealized | Payables, Net assets — | |||
Interest rate contracts | appreciation | 6,357,885* | Unrealized depreciation | 12,931,473* |
| ||||
Total | $14,333,119 | $20,958,048 |
* Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the fund’s portfolio.
Only current day’s variation margin is reported within the Statement of assets and liabilities.
80 Premier Income Trust |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | |||||
| |||||
Derivatives not accounted | Forward | ||||
for as hedging instruments | currency | ||||
under ASC 815 | Options | Futures | contracts | Swaps | Total |
| |||||
Credit contracts | $— | $— | $— | $(830,008) | $(830,008) |
| |||||
Foreign exchange contracts | 167,630 | — | 4,310,517 | — | $4,478,147 |
| |||||
Interest rate contracts | (9,911,094) | 1,747,842 | — | 25,428,868 | $17,265,616 |
| |||||
Total | $(9,743,464) | $1,747,842 | $4,310,517 | $24,598,860 | $20,913,755 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | ||||||
on investments | ||||||
| ||||||
Derivatives not accounted | Forward | |||||
for as hedging instruments | currency | |||||
under ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
| ||||||
Credit contracts | $— | $— | $— | $— | $2,376,255 | $2,376,255 |
| ||||||
Foreign exchange contracts | — | 20,437 | — | (1,576,388) | — | $(1,555,951) |
| ||||||
Equity contracts | 22,384 | — | — | — | — | $22,384 |
| ||||||
Interest rate contracts | — | (344,090) | 442,300 | — | (4,476,419) | $(4,378,209) |
| ||||||
Total | $22,384 | $(323,653) | $442,300 | $(1,576,388) | $(2,100,164) | $(3,535,521) |
Premier Income Trust 81 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N.A. | Barclays Bank PLC | Barclays Capital Inc. (clearing broker) | Citibank, N.A. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International |
HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Royal Bank of Scotland PLC (The) | State Street Bank and Trust Co. | UBS AG | Wells Fargo Bank, N.A. | WestPac Banking Corp. | Total | |||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
OTC Interest rate swap contracts*# | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Centrally cleared interest rate | ||||||||||||||||||||||||||||||||
swap contracts§ | — | — | 1,541,497 | — | — | — | — | — | — | — | — | — | — | — | — | 1,541,497 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
OTC Total return swap contracts*# | — | 202,029 | — | 22,327 | 94,476 | — | 349,625 | — | 258,029 | 18,573 | — | — | — | — | — | 945,059 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
OTC Credit default contracts*# | — | — | — | — | 1,118,836 | — | 533,957 | — | — | 643,900 | — | — | — | — | — | 2,296,693 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Forward currency contracts # | 842,949 | 242,964 | — | 365,192 | 143,081 | — | 1,007,570 | 104,485 | 797,001 | — | 450,249 | 584,367 | 143,419 | — | — | 4,681,277 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Forward premium swap | ||||||||||||||||||||||||||||||||
option contracts # | 40,157 | 194,320 | — | 30,545 | — | — | 11,404 | — | — | — | — | — | — | 6,910 | — | 283,336 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Purchased swap options **# | 731,998 | 62,720 | — | 389,351 | 316,449 | — | 204,856 | — | 445,281 | — | — | — | — | — | — | 2,150,655 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Purchased options **# | — | — | — | — | — | — | 853,733 | — | 1,085,075 | — | — | — | — | — | — | 1,938,808 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Assets | $1,615,104 | $702,033 | $1,541,497 | $807,415 | $1,672,842 | $— | $2,961,145 | $104,485 | $2,585,386 | $662,473 | $450,249 | $584,367 | $143,419 | $6,910 | $— | $13,837,325 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
OTC Interest rate swap contracts*# | — | — | — | — | — | — | — | — | 938,839 | — | — | — | — | — | — | 938,839 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Centrally cleared interest rate | ||||||||||||||||||||||||||||||||
swap contracts§ | — | — | 2,569,904 | — | — | — | — | — | — | — | — | — | — | — | — | 2,569,904 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
OTC Total return swap contracts*# | — | 214,015 | — | — | 41,388 | 1,817 | 145,166 | — | 15,306 | 64,371 | — | — | — | — | — | 482,063 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
OTC Credit default contracts*# | 110,238 | — | — | — | 2,576,975 | — | 789,666 | — | — | 562,870 | — | — | — | — | — | 4,039,749 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Forward currency contracts # | 287,437 | 280,650 | — | 484,722 | 64,616 | — | 571,297 | 85,304 | 445,425 | — | 519,560 | 440,576 | 340,897 | — | 56,057 | 3,576,541 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Forward premium swap | ||||||||||||||||||||||||||||||||
option contracts # | 79,988 | — | — | — | 4,928 | — | — | — | — | — | — | — | — | 2,620 | — | 87,536 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Written swap options # | 765,395 | 65,978 | — | 137,792 | 225,084 | — | 156,799 | — | 2,030,086 | — | — | — | — | — | — | 3,381,134 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Written options # | — | — | — | — | — | — | 382,982 | — | 1,820,873 | — | — | — | — | — | — | 2,203,855 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Liabilities | $1,243,058 | $560,643 | $2,569,904 | $622,514 | $2,912,991 | $1,817 | $2,045,910 | $85,304 | $5,250,529 | $627,241 | $519,560 | $440,576 | $340,897 | $2,620 | $56,057 | $17,279,621 | ||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Financial and Derivative | $372,046 | $141,390 | $(1,028,407) | $184,901 | $(1,240,149) | $(1,817) | $915,235 | $19,181 | $(2,665,143) | $35,232 | $(69,311) | $143,791 | $(197,478) | $4,290 | $(56,057) | $(3,442,296) | ||||||||||||||||
Net Assets | ||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total collateral | ||||||||||||||||||||||||||||||||
received (pledged)†## | $360,271 | $— | $— | $(129,987) | $(790,882) | $— | $915,235 | $— | $(2,665,143) | $35,232 | $— | $143,791 | $(109,989) | $— | $— | |||||||||||||||||
| ||||||||||||||||||||||||||||||||
Net amount | $11,775 | $141,390 | $(1,028,407) | $314,888 | $(449,267) | $(1,817) | $— | $19,181 | $— | $— | $(69,311) | $— | $(87,489) | $4,290 | $(56,057) |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
##Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio.
82 Premier Income Trust | Premier Income Trust 83 |
Note 10: New pronouncements
In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.
84 Premier Income Trust |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
Investment Manager | Trustees | James F. Clark |
Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
Management, LLC | Kenneth R. Leibler, Vice Chair | Chief Compliance Officer |
One Post Office Square | Liaquat Ahamed | |
Boston, MA 02109 | Ravi Akhoury | Michael J. Higgins |
Barbara M. Baumann | Vice President, Treasurer, | |
Investment Sub-Advisor | Robert J. Darretta | and Clerk |
Putnam Investments Limited | Katinka Domotorffy | |
57–59 St James’s Street | Catharine Hill | Janet C. Smith |
London, England SW1A 1LD | John A. Hill | Vice President, |
Paul L. Joskow | Principal Financial Officer, | |
Marketing Services | Robert E. Patterson | Principal Accounting Officer, |
Putnam Retail Management | George Putnam, III | and Assistant Treasurer |
One Post Office Square | Robert L. Reynolds | |
Boston, MA 02109 | Manoj Singh | Susan G. Malloy |
W. Thomas Stephens | Vice President and | |
Custodian | Assistant Treasurer | |
State Street Bank | Officers | |
and Trust Company | Robert L. Reynolds | Mark C. Trenchard |
President | Vice President and | |
Legal Counsel | BSA Compliance Officer | |
Ropes & Gray LLP | Jonathan S. Horwitz | |
Executive Vice President, | Nancy E. Florek | |
Principal Executive Officer, | Vice President, Director of | |
and Compliance Liaison | Proxy Voting and Corporate | |
Governance, Assistant Clerk, | ||
Robert T. Burns | and Associate Treasurer | |
Vice President and | ||
Chief Legal Officer |
Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com anytime for up-to-date information about the fund’s NAV.
Item 2. Code of Ethics: |
Not Applicable |
Item 3. Audit Committee Financial Expert: |
Not Applicable |
Item 4. Principal Accountant Fees and Services: |
Not Applicable |
Item 5. Audit Committee |
Not Applicable |
Item 6. Schedule of Investments: |
The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Management Investment Companies |
(a) Not applicable |
(a)(1) Portfolio Managers. Effective February 28, 2017, Robert Davis and Brett Koslowski were added as portfolio managers of the fund. |
Portfolio managers | Joined Fund | Employer | Positions Over Past Five Years | |
Robert Davis | 2017 | Putnam Management 1999-Present | Portfolio Manager Previously, Analyst | |
Brett Kozlowski | 2017 | Putnam Management 2008-Present | Portfolio Manager Previously, Structured Credit Specialist |
(a)(2) Other Accounts Managed by the Fund's Portfolio Managers. |
The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that Robert Davis and Brett Kozlowski managed as of the fund's most recent fiscal year-end. Unless noted, none of the other accounts pays a fee based on the account's performance. |
Portfolio Leader or Member | Other SEC-registered open-end and closed-end funds | Other accounts that pool assets from more than one client | Other accounts (including separate accounts, managed account programs and single-sponsor defined contribution plan offerings) | ||||
Number of accounts | Assets | Number of accounts | Assets | Number of accounts | Assets | ||
Brett Kozlowski | 12 | $3,025,800,000 | 15 | $4,157,100,000 | 11 | $2,821,600,000 | |
Robert Davis | 7 | ($7,900,000) | 7 | $1,200,000 | 4 | ($355,300,000) |
Potential conflicts of interest in managing multiple accounts. Like other investment professionals with multiple clients, the fund's Portfolio Managers may face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under “Other Accounts Managed by the Fund's Portfolio Managers” at the same time. The paragraphs below describe some of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential conflicts. |
The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (“performance fee accounts”), may raise potential conflicts of interest by creating an incentive to favor higher-fee accounts. These potential conflicts may include, among others: |
• | The most attractive investments could be allocated to higher-fee accounts or performance fee accounts. |
• | The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune time. |
• | The trading of other accounts could be used to benefit higher-fee accounts (front- running). |
• | The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation. |
Putnam Management attempts to address these potential conflicts of interest relating to higher-fee accounts through various compliance policies that are generally intended to place all accounts, regardless of fee structure, on the same footing for investment management purposes. For example, under Putnam Management's policies: |
• | Performance fee accounts must be included in all standard trading and allocation procedures with all other accounts. |
• | All accounts must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures generally applicable to all accounts in those groups (e.g., based on relative risk budgets of accounts). |
• | All trading must be effected through Putnam's trading desks and normal queues and procedures must be followed (i.e., no special treatment is permitted for performance fee accounts or higher-fee accounts based on account fee structure). |
• | Front running is strictly prohibited. |
• | The fund's Portfolio Manager(s) may not be guaranteed or specifically allocated any portion of a performance fee. |
As part of these policies, Putnam Management has also implemented trade oversight and review procedures in order to monitor whether particular accounts (including higher-fee accounts or performance fee accounts) are being favored over time. |
Potential conflicts of interest may also arise when the Portfolio Manager(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter and subject to limited exceptions, Putnam Management's investment professionals do not have the opportunity to invest in client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons may from time to time establish “pilot” or “incubator” funds for the purpose of testing proposed investment strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered investment companies, private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or an affiliate supplies the funding for these accounts. Putnam employees, including the fund's Portfolio Manager(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Manager(s) will benefit from the favorable investment performance of those funds and accounts. Pilot funds and accounts may, and frequently do, invest in the same securities as the client accounts. Putnam Management's policy is to treat pilot accounts in the same manner as client accounts for purposes of trading allocation — neither favoring nor disfavoring them except as is legally required. For example, pilot accounts are normally included in Putnam Management's daily block trades to the same extent as client accounts (except that pilot accounts do not participate in initial public offerings). |
A potential conflict of interest may arise when the fund and other accounts purchase or sell the same securities. On occasions when the Portfolio Manager(s) consider the purchase or sale of a security to be in the best interests of the fund as well as other accounts, Putnam Management's trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or purchased in order to obtain the best execution and lower brokerage commissions, if any. Aggregation of trades may create the potential for unfairness to the fund or another account if one account is favored over another in allocating the securities purchased or sold — for example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. Putnam Management's trade allocation policies generally provide that each day's transactions in securities that are purchased or sold by multiple accounts are, insofar as possible, averaged as to price and allocated between such accounts (including the fund) in a manner which in Putnam Management's opinion is equitable to each account and in accordance with the amount being purchased or sold by each account. Certain exceptions exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam Management's trade oversight procedures in an attempt to ensure fairness over time across accounts. |
“Cross trades,” in which one Putnam account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict of interest. Cross trades may be seen to involve a potential conflict of interest if, for example, one account is permitted to sell a security to another account at a higher price than an independent third party would pay, or if such trades result in more attractive investments being allocated to higher-fee accounts. Putnam Management and the fund's Trustees have adopted compliance procedures that provide that any transactions between the fund and another Putnam-advised account are to be made at an independent current market price, as required by law. |
Another potential conflict of interest may arise based on the different investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment horizon or different investment objectives, policies or restrictions than the fund. Depending on another account's objectives or other factors, the Portfolio Manager(s) may give advice and make decisions that may differ from advice given, or the timing or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition to basic suitability for the particular account involved. Thus, a particular security may be bought or sold for certain accounts even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought for one or more accounts managed by the Portfolio Manager(s) when one or more other accounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. As noted above, Putnam Management has implemented trade oversight and review procedures to monitor whether any account is systematically favored over time. |
The fund's Portfolio Manager(s) may also face other potential conflicts of interest in managing the fund, and the description above is not a complete description of every conflict that could be deemed to exist in managing both the fund and other accounts. |
(a)(3) Compensation of portfolio managers. Putnam's goal for our products and investors is to deliver strong performance versus peers or performance ahead of the applicable benchmark, depending on the product, over a rolling 3-year period. Portfolio managers are evaluated and compensated, in part, based on their performance relative to this goal across the products they manage. In addition to their individual performance, evaluations take into account the performance of their group and a subjective component. |
Each portfolio manager is assigned an industry competitive incentive compensation target consistent with this goal and evaluation framework. Actual incentive compensation may be higher or lower than the target, based on individual, group, and subjective performance, and may also reflect the performance of Putnam as a firm. Typically, performance is measured over the lesser of three years or the length of time a portfolio manager has managed a product. |
Incentive compensation includes a cash bonus and may also include grants of deferred cash, stock or options. In addition to incentive compensation, portfolio managers receive fixed annual salaries typically based on level of responsibility and experience. |
For this fund, the peer group Putnam compares fund performance against is its broad investment category as determined by Lipper Inc. and identified in the shareholder report included in Item 1. |
(a)(4) Fund ownership. The following table shows the dollar ranges of shares of the fund owned by the professionals listed above at January 31, 2017, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans. |
* | : Assets in the fund |
Period ended | $0 | $0-$10,000 | $10,001-$50,000 | $50,001-$100,000 | $100,001-$500,000 | $500,001-$1,000,000 | $1,000,001 and over | ||
Robert Davis | 2017 | * | |||||||
Brett Kozlowski | 2017 | * |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Registrant Purchase of Equity Securities | ||||||
Maximum | ||||||
Total Number | Number (or | |||||
of Shares | Approximate | |||||
Purchased | Dollar Value) | |||||
as Part | of Shares | |||||
of Publicly | that May Yet Be | |||||
Total Number | Average | Announced | Purchased | |||
of Shares | Price Paid | Plans or | under the Plans | |||
Period | Purchased | per Share | Programs* | or Programs** | ||
August 1 — August 31, 2016 | 101,700 | $4.89 | 101,700 | 5,703,582 | ||
September 1 — September 30, 2016 | 146,722 | $4.84 | 146,722 | 5,556,860 | ||
October 1 — October 7, 2016 | — | — | — | 5,556,860 | ||
October 8 — October 31, 2016 | 426,876 | $4.88 | 426,876 | 10,490,348 | ||
November 1 — November 30, 2016 | 718,421 | $4.83 | 718,421 | 9,771,927 | ||
December 1 — December 31, 2016 | 659,569 | $4.97 | 659,569 | 9,112,358 | ||
January 1 — January 31, 2017 | 113,051 | $5.05 | 113,051 | 8,999,307 | ||
* | In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share repurchase program, which, as subsequently amended, authorized the fund to repurchase of up to 10% of its fund's outstanding common shares over the two-years ending October 5, 2007. The Trustees have subsequently renewed the program on an annual basis. The program renewed by the Board in September 2015, which was in effect between October 8, 2015 and October 7, 2016, allowed the fund to repurchase up to 11,512,820 of its shares. The program renewed by the Board in September 2016, which is in effect between October 8, 2016 and October 7, 2017, allows the fund to repurchase up to 10,917,224 of its shares. |
** | Information prior to October 7, 2016 is based on the total number of shares eligible for repurchase under the program, as amended through September 2015. Information from October 8, 2016 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2016. |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. Controls and Procedures: |
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
(b) Changes in internal control over financial reporting: Not applicable |
Item 12. Exhibits: |
(a)(1) Not applicable |
(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Putnam Premier Income Trust |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: March 31, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: March 31, 2017 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: March 31, 2017 |