NPORT-EX 3 b_075nport123121.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Diversified Income Trust
The fund's portfolio
12/31/21 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (67.9%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (—%)
Government National Mortgage Association Pass-Through Certificates
6.50%, 11/20/38 $105,823 $123,397
5.00%, 3/20/50 30,122 33,116
3.50%, with due dates from 9/20/49 to 11/20/49 100,518 106,663
263,176
U.S. Government Agency Mortgage Obligations (67.9%)
Uniform Mortgage-Backed Securities
5.50%, TBA, 1/1/52 23,000,000 24,883,160
5.00%, TBA, 1/1/52 5,000,000 5,443,756
4.50%, TBA, 1/1/52 15,000,000 16,078,125
4.00%, TBA, 1/1/52 430,000,000 457,395,730
3.50%, TBA, 2/1/52 153,000,000 160,924,956
3.50%, TBA, 1/1/52 391,000,000 411,771,953
3.00%, TBA, 2/1/52 68,000,000 70,372,037
3.00%, TBA, 1/1/52 189,000,000 195,873,401
1,342,743,118
Total U.S. government and agency mortgage obligations (cost $1,343,242,056) $1,343,006,294








U.S. TREASURY OBLIGATIONS (0.2%)(a)
        Principal amount Value
U.S. Treasury Bonds 1.875%, 2/15/41(i) $461,000 $460,959
U.S. Treasury Inflation Index Notes 0.25%, 7/15/29(i) 456,064 553,576
U.S. Treasury Notes
2.375%, 2/29/24(i) 348,000 362,672
1.75%, 11/15/29(i) 350,000 359,993
1.75%, 6/30/24(i) 95,000 97,085
1.375%, 8/31/23(i) 550,000 559,097
0.25%, 9/30/25(i) 412,000 399,212
0.25%, 5/31/25(i) 451,000 438,936
U.S. Treasury Strip zero %, 11/15/24(i) 1,554,000 1,514,298
Total U.S. treasury obligations (cost $4,745,828) $4,745,828








MORTGAGE-BACKED SECURITIES (45.4%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (27.5%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3919, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%), 6.39%, 9/15/41 $6,355,267 $1,163,315
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.148%, 9/25/50 4,650,733 812,251
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.09%, 12/15/47 14,465,066 2,140,830
REMICs IFB Ser. 4731, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.09%, 11/15/47 11,110,190 1,958,154
REMICs Ser. 4509, Class CI, IO, 6.00%, 9/15/45 12,189,567 2,808,829
REMICs IFB Ser. 5004, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 8/25/50 4,866,168 817,176
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 7/25/50 40,534,281 7,110,200
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.99%, 8/15/56 2,207,328 458,197
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.99%, 4/15/47 8,674,172 1,611,169
REMICs IFB Ser. 4265, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.99%, 1/15/35 24,778,284 4,387,520
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 1/25/50 3,079,660 438,672
REMICs IFB Ser. 4937, Class 4937, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 12/25/49 970,727 164,111
Strips IFB Ser. 326, Class S2, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.84%, 3/15/44 5,298,952 839,765
Strips IFB Ser. 311, Class S1, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.84%, 8/15/43 8,505,857 1,427,752
REMICs Ser. 5007, Class IC, IO, 5.00%, 8/25/50 4,785,129 811,540
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 3,391,172 536,144
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51 57,393,924 10,299,615
REMICs Ser. 5134, Class ID, IO, 4.50%, 8/25/51 36,709,905 6,149,973
REMICs Ser. 5122, Class AI, IO, 4.50%, 7/25/51 39,961,221 7,035,173
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50 33,211,832 6,104,135
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 28,704,943 4,325,060
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 31,602,274 4,889,501
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 57,159,736 9,164,575
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 3,128,212 579,110
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 3,281,009 451,940
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 4,373,389 570,102
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 4,690,799 411,191
REMICs Ser. 4635, Class PI, IO, 4.00%, 12/15/46 8,902,429 1,208,058
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 15,358,402 2,015,207
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 5,230,195 234,816
REMICs Ser. 4020, Class IA, IO, 4.00%, 3/15/27 2,807,679 149,144
REMICs Ser. 5142, Class IC, IO, 3.50%, 9/25/51 55,688,901 6,923,244
REMICs Ser. 4484, Class TI, IO, 3.50%, 11/15/44 2,147,281 105,018
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 2,566,089 157,426
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 65,482,314 8,965,747
REMICs Ser. 4801, Class IG, IO, 3.00%, 6/15/48 5,280,878 527,750
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 8,565,409 679,305
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 2,059,122 33,090
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.389%, 7/25/43(WAC) 6,331,560 87,376
Federal National Mortgage Association
Grantor Trust Ser. 98-T2, Class A4, IO, 6.50%, 10/25/36 7,658 544
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.298%, 4/25/40 5,002,784 944,862
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.098%, 6/25/48 34,270,003 4,926,142
REMICs IFB Ser. 18-44, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.098%, 6/25/48 40,784,929 5,709,890
REMICs IFB Ser. 15-42, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.098%, 6/25/45 2,264,084 365,328
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.048%, 10/25/41 1,638,023 72,342
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 9,898,772 2,027,746
REMICs Ser. 15-69, IO, 6.00%, 9/25/45 11,261,704 2,868,142
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37 17,325,496 3,909,325
REMICs IFB Ser. 19-5, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 3/25/49 1,892,212 328,334
REMICs IFB Ser. 18-86, Class DS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 12/25/48 437,582 36,784
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 12/25/46 35,489,416 5,938,696
REMICs IFB Ser. 16-62, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.998%, 9/25/46 25,225,172 4,025,181
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 3/25/50 16,186,738 2,832,032
REMICs IFB Ser. 19-73, Class 73, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 12/25/49 1,171,603 188,118
REMICs IFB Ser. 19-57, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 10/25/49 3,032,202 501,054
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 8/25/49 1,345,583 180,052
REMICs IFB Ser. 19-47, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 8/25/49 16,009,136 2,561,015
REMICs IFB Ser. 19-34, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 7/25/49 18,613,736 3,089,805
REMICs IFB Ser. 19-38, Class 38, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.948%, 7/25/49 910,285 165,845
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.798%, 10/25/41 10,214,400 1,552,855
Interest Strip Ser. 399, Class 2, IO, 5.50%, 11/25/39 16,067 3,125
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 682,195 112,909
REMICs Ser. 16-3, Class MI, IO, 5.50%, 2/25/46 29,763,220 5,190,110
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 1,283,796 230,981
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 753,160 119,047
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50 26,249,025 4,158,711
REMICs Ser. 12-151, Class IN, IO, 5.00%, 1/25/43 7,651,376 1,200,883
REMICs Ser. 17-87, Class KI, IO, 5.00%, 6/25/41 563,869 97,757
Interest Strip Ser. 404, Class 2, IO, 4.50%, 5/25/40 48,448 7,623
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51 56,878,843 7,984,629
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 28,051,381 4,799,591
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 4,333,028 697,907
REMICs Ser. 18-58, Class AI, IO, 4.50%, 8/25/48 22,116,286 3,663,439
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 3,743,531 674,112
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 1,378,940 27,303
Interest Strip Ser. 405, Class 2, IO, 4.00%, 10/25/40 52,578 7,822
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 6,396,082 1,010,133
REMICs Ser. 19-70, Class 70, IO, 4.00%, 12/25/49 9,800,965 730,858
REMICs Ser. 18-3, Class PI, IO, 4.00%, 2/25/48 6,659,001 761,277
REMICs Ser. 17-65, Class LI, IO, 4.00%, 8/25/47 3,235,228 311,908
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 2,381,221 145,906
REMICs Ser. 15-83, IO, 4.00%, 10/25/43 921,957 85,980
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 8,882,502 1,044,049
REMICs Ser. 13-115, Class CI, IO, 4.00%, 2/25/43 1,424,934 16,934
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 3,282,359 359,681
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 3,018,282 272,551
REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 10,030,834 1,017,628
REMICs Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 9,780,076 1,150,894
REMICs Ser. 13-70, Class CI, IO, 3.50%, 1/25/43 2,137,392 170,227
REMICs Ser. 13-49, Class IP, IO, 3.50%, 12/25/42 6,371,540 370,015
REMICs Ser. 13-40, Class YI, IO, 3.50%, 6/25/42 5,352,885 214,544
REMICs Ser. 12-123, Class DI, IO, 3.50%, 5/25/41 10,293,084 963,680
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 17,386,693 2,076,701
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 2,799,946 151,905
REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42 6,095,393 206,938
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 6,037,734 367,529
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 1,986,227 28,401
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51 72,173,254 10,061,676
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 2,779,238 27,792
REMICs FRB Ser. 01-50, Class B1, IO, 0.38%, 10/25/41(WAC) 96,886 484
Trust FRB Ser. 02-W8, Class 1, IO, 0.301%, 6/25/42(WAC) 4,423,930 33,179
Government National Mortgage Association
IFB Ser. 13-9, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.75%), 6.646%, 1/20/43 18,635,136 3,572,591
IFB Ser. 20-61, Class SF, IO, ((-1 x 1 Month US LIBOR) + 6.44%), 6.336%, 7/20/43 20,092,360 3,712,124
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 6/20/51 46,100,153 6,295,437
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 5/20/51 44,167,526 5,566,646
IFB Ser. 21-58, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 4/20/51 73,533,145 9,941,909
IFB Ser. 21-42, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 3/20/51 47,188,082 6,300,369
IFB Ser. 21-57, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.196%, 3/20/51 75,139,049 9,734,459
IFB Ser. 18-105, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.146%, 8/20/48 20,209,859 2,995,502
IFB Ser. 18-91, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.146%, 7/20/48 15,491,912 2,260,490
IFB Ser. 18-104, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.096%, 8/20/48 19,691,802 2,994,335
IFB Ser. 18-100, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.096%, 7/20/48 15,763,562 2,504,184
IFB Ser. 18-89, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.096%, 6/20/48 13,999,959 2,061,996
IFB Ser. 18-67, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.096%, 5/20/48 12,890,059 1,911,417
IFB Ser. 17-160, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.096%, 10/20/43 21,051,488 3,910,441
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 7/20/50 3,349,213 558,679
IFB Ser. 18-139, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 10/20/48 1,991,981 272,224
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 9/20/43 3,887,363 659,025
IFB Ser. 16-77, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 3/20/43 980,615 60,779
IFB Ser. 13-152, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 5/20/41 15,877,483 2,682,693
IFB Ser. 10-20, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.046%, 2/20/40 3,939,573 649,556
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 4/20/50 3,625,513 528,431
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 8/20/49 1,959,140 268,304
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 7/20/49 2,062,195 284,913
IFB Ser. 18-164, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 12/20/48 31,264,530 4,860,297
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 10/20/45 15,142,646 2,771,744
IFB Ser. 14-46, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 3/20/44 7,897,518 1,302,064
IFB Ser. 14-4, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 1/20/44 12,401,927 2,178,668
IFB Ser. 13-182, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.996%, 12/20/43 4,462,002 920,038
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.993%, 7/16/43 4,222,400 683,986
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 2/20/50 6,027,514 680,460
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 1/20/50 35,147,620 5,579,586
IFB Ser. 19-125, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 10/20/49 9,250,328 2,353,445
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 8/20/49 4,408,596 583,157
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 6/20/49 4,915,879 586,648
IFB Ser. 19-6, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.946%, 1/20/49 19,322,975 2,456,560
Ser. 17-104, Class MI, IO, 5.50%, 7/16/47 10,646,026 2,481,891
Ser. 17-79, Class IB, IO, 5.50%, 5/20/47 3,900,774 812,211
Ser. 17-52, Class DI, IO, 5.50%, 4/20/47 4,823,232 961,866
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.496%, 8/20/44 11,048,469 1,830,856
Ser. 19-119, Class IN, IO, 5.00%, 9/20/49 22,696,731 3,333,787
Ser. 18-37, IO, 5.00%, 3/20/48 9,014,151 1,453,143
Ser. 17-179, Class WI, IO, 5.00%, 12/20/47 5,428,708 1,135,812
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 4,923,613 870,692
Ser. 16-126, Class PI, IO, 5.00%, 2/20/46 8,754,572 1,565,230
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 6,005,084 778,679
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45 14,919,913 3,025,669
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 1,957,121 363,281
Ser. 14-132, IO, 5.00%, 9/20/44 6,173,657 1,067,611
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 5,900,910 792,004
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 2,315,930 435,626
Ser. 12-146, IO, 5.00%, 12/20/42 4,311,742 795,128
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 17,186,979 3,058,918
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 5,315,825 941,867
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 29,193,257 5,428,194
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 16,076,675 2,974,185
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 1,177,863 206,677
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 7,849,956 1,408,989
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 7,081,254 1,252,012
Ser. 20-61, IO, 4.50%, 5/20/50 83,087,843 14,183,685
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 2,128,737 283,511
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 40,851,733 5,617,040
Ser. 16-84, Class IB, IO, 4.50%, 11/16/45 1,891,933 337,445
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45 9,680,463 1,940,110
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 6,358,320 1,126,384
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 6,865,746 1,087,150
Ser. 13-183, Class JI, IO, 4.50%, 2/16/43 3,695,583 212,455
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 1,118,441 68,807
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 15,611,673 2,774,307
Ser. 13-167, IO, 4.50%, 9/20/40 3,210,137 504,096
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 3,784,787 567,930
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 11,220,969 1,866,348
Ser. 10-20, Class BI, IO, 4.50%, 2/16/40 9,582,669 1,716,640
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 5,853,932 979,363
Ser. 14-71, Class PI, IO, 4.50%, 12/20/39 6,343,426 532,023
Ser. 16-138, Class DI, IO, 4.00%, 10/20/46 8,247,755 1,224,627
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45 16,715,462 1,601,154
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 9,593,967 979,640
Ser. 15-79, Class MI, IO, 4.00%, 5/20/44 3,062,569 212,938
Ser. 14-4, Class BI, IO, 4.00%, 1/20/44 7,023,411 1,261,063
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 4,811,530 719,857
Ser. 14-163, Class PI, IO, 4.00%, 10/20/43 2,108,664 50,966
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 3,060,523 423,156
Ser. 13-27, Class IJ, IO, 4.00%, 2/20/43 3,634,178 548,833
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 1,663,037 169,422
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 6,187,992 900,353
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 2,223,289 353,985
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 5,779,862 440,498
Ser. 21-8, Class VI, IO, 3.50%, 12/20/50 32,024,027 4,898,857
Ser. 19-110, Class PI, IO, 3.50%, 9/20/49 13,166,929 1,248,225
Ser. 18-21, Class AI, IO, 3.50%, 2/20/48 1,981,071 101,526
Ser. 17-139, Class IG, IO, 3.50%, 9/20/47 1,899,041 180,672
Ser. 16-79, IO, 3.50%, 6/20/46 4,562,728 396,912
Ser. 15-131, Class CI, IO, 3.50%, 9/20/45 4,920,057 535,750
Ser. 15-131, Class MI, IO, 3.50%, 9/20/45 7,733,111 844,939
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 8,915,116 672,942
Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 316,741 725
Ser. 13-76, IO, 3.50%, 5/20/43 7,961,751 899,439
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 5,240,964 494,945
Ser. 13-28, IO, 3.50%, 2/20/43 1,937,693 156,061
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 4,266,289 385,630
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 4,596,538 420,169
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 2,031,657 193,414
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 18,841,297 2,837,104
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 12,616,671 1,798,965
Ser. 12-92, Class AI, IO, 3.50%, 4/20/42 1,040,566 7,458
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 3,968,165 258,962
Ser. 13-37, Class LI, IO, 3.50%, 1/20/42 6,047,226 317,480
Ser. 15-131, Class BI, IO, 3.50%, 6/20/41 1,175,069 3,992
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 9,242,670 608,168
Ser. 15-17, Class LI, IO, 3.50%, 5/16/40 4,149,386 86,722
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 7,228,832 253,033
Ser. 15-134, Class LI, IO, 3.50%, 5/20/39 1,534,223 10,333
Ser. 12-48, Class AI, IO, 3.50%, 2/20/36 1,027,155 11,320
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51 46,311,345 3,599,689
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 45,233,932 4,003,202
Ser. 21-30, Class KI, IO, 3.00%, 2/20/51 49,668,320 7,185,747
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 35,362,142 5,325,387
Ser. 20-176, Class BI, IO, 3.00%, 11/20/50 54,224,612 7,595,783
Ser. 17-H03, Class EI, IO, 2.449%, 1/20/67(WAC) 22,952,567 2,119,527
Ser. 17-H02, Class BI, IO, 2.421%, 1/20/67(WAC) 19,382,185 1,334,735
Ser. 16-H04, Class HI, IO, 2.382%, 7/20/65(WAC) 47,072,490 2,047,653
Ser. 18-H05, Class AI, IO, 2.371%, 2/20/68(WAC) 49,408,307 4,199,706
Ser. 18-H04, IO, 2.355%, 2/20/68(WAC) 39,782,214 3,297,149
Ser. 18-H05, Class BI, IO, 2.341%, 2/20/68(WAC) 58,361,663 4,960,741
Ser. 18-H02, Class EI, IO, 2.337%, 1/20/68(WAC) 63,504,063 5,358,156
Ser. 17-H06, Class BI, IO, 2.335%, 2/20/67(WAC) 42,907,086 3,116,453
Ser. 17-H16, Class JI, IO, 2.305%, 8/20/67(WAC) 33,796,610 2,846,309
Ser. 18-H03, Class XI, IO, 2.301%, 2/20/68(WAC) 76,766,449 5,726,777
Ser. 18-H02, Class HI, IO, 2.295%, 1/20/68(WAC) 51,218,324 4,353,557
Ser. 18-H01, Class XI, IO, 2.275%, 1/20/68(WAC) 32,716,717 3,169,432
Ser. 17-H05, Class CI, IO, 2.253%, 2/20/67(WAC) 24,371,376 2,004,375
Ser. 17-H08, Class NI, IO, 2.242%, 3/20/67(WAC) 42,931,592 2,773,381
Ser. 17-H12, Class QI, IO, 2.237%, 5/20/67(WAC) 36,027,759 2,139,040
Ser. 17-H18, Class FI, IO, 2.223%, 9/20/67(WAC) 35,560,988 3,239,384
Ser. 18-H01, IO, 2.217%, 12/20/67(WAC) 22,090,871 1,785,406
Ser. 17-H06, Class MI, IO, 2.207%, 2/20/67(WAC) 34,001,420 2,165,483
Ser. 16-H16, Class EI, IO, 2.198%, 6/20/66(WAC) 29,972,408 2,029,132
Ser. 17-H11, Class TI, IO, 2.186%, 4/20/67(WAC) 24,422,866 1,897,657
Ser. 17-H16, IO, 2.157%, 8/20/67 29,879,230 2,543,410
Ser. 16-H22, Class AI, IO, 2.148%, 10/20/66(WAC) 33,637,937 2,298,918
Ser. 17-H20, Class HI, IO, 2.138%, 10/20/67(WAC) 30,589,402 2,633,557
Ser. 16-H23, Class NI, IO, 2.12%, 10/20/66(WAC) 80,694,669 5,237,084
Ser. 16-H24, Class JI, IO, 2.005%, 11/20/66(WAC) 17,608,259 1,361,889
Ser. 16-H17, Class KI, IO, 1.929%, 7/20/66(WAC) 19,880,513 1,348,148
Ser. 15-H15, Class BI, IO, 1.895%, 6/20/65(WAC) 54,649,964 3,218,882
Ser. 16-H27, Class EI, IO, 1.892%, 12/20/66(WAC) 27,772,436 1,547,924
Ser. 15-H18, Class BI, IO, 1.876%, 7/20/65(WAC) 30,324,521 1,986,256
Ser. 15-H12, Class AI, IO, 1.872%, 5/20/65(WAC) 65,984,031 3,464,161
Ser. 15-H23, Class DI, IO, 1.857%, 9/20/65(WAC) 29,008,299 1,836,226
Ser. 17-H11, Class DI, IO, 1.843%, 5/20/67(WAC) 23,858,309 1,714,816
Ser. 15-H10, Class BI, IO, 1.832%, 4/20/65(WAC) 27,590,062 1,671,958
Ser. 17-H10, Class MI, IO, 1.823%, 4/20/67(WAC) 70,228,749 3,890,673
Ser. 17-H09, IO, 1.819%, 4/20/67(WAC) 35,718,242 2,000,758
Ser. 15-H15, Class AI, IO, 1.819%, 6/20/65(WAC) 38,344,075 2,523,040
Ser. 15-H20, Class BI, IO, 1.804%, 8/20/65(WAC) 37,627,406 2,246,356
FRB Ser. 15-H08, Class CI, IO, 1.799%, 3/20/65(WAC) 48,163,627 2,490,059
Ser. 17-H06, Class DI, IO, 1.792%, 2/20/67(WAC) 27,512,835 1,463,683
Ser. 15-H24, Class AI, IO, 1.786%, 9/20/65(WAC) 26,912,296 1,657,959
Ser. 15-H23, Class BI, IO, 1.761%, 9/20/65(WAC) 56,157,300 3,088,652
Ser. 15-H03, Class CI, IO, 1.721%, 1/20/65(WAC) 54,775,374 2,815,454
Ser. 16-H14, IO, 1.692%, 6/20/66(WAC) 36,185,812 1,819,531
Ser. 14-H25, Class BI, IO, 1.688%, 12/20/64(WAC) 38,315,713 2,038,932
Ser. 16-H18, IO, 1.673%, 8/20/66(WAC) 38,596,371 1,972,815
Ser. 17-H03, Class HI, IO, 1.58%, 1/20/67(WAC) 58,462,378 2,649,077
Ser. 16-H08, Class AI, IO, 1.576%, 8/20/65(WAC) 37,006,087 1,646,771
Ser. 15-H01, Class BI, IO, 1.57%, 1/20/65(WAC) 28,822,441 1,433,801
Ser. 18-H15, Class EI, IO, 1.494%, 8/20/68(WAC) 50,870,215 3,097,996
Ser. 20-H12, Class IH, IO, 1.488%, 7/20/70(WAC) 58,643,753 3,650,632
Ser. 14-H06, Class BI, IO, 1.465%, 2/20/64(WAC) 34,404,880 1,180,706
Ser. 16-H06, Class CI, IO, 1.409%, 2/20/66(WAC) 33,509,020 1,290,868
Ser. 12-H29, Class AI, IO, 1.376%, 10/20/62(WAC) 12,397,647 324,137
Ser. 12-H29, Class FI, IO, 1.376%, 10/20/62(WAC) 12,397,647 324,137
546,041,233
Commercial mortgage-backed securities (6.9%)
Banc of America Merrill Lynch Commercial Mortgage, Inc.
FRB Ser. 05-1, Class B, 5.482%, 11/10/42 (In default)(NON)(WAC) 5,406,396 2,973,518
FRB Ser. 05-1, Class C, 5.482%, 11/10/42 (In default)(NON)(WAC) 8,629,000 2,338,459
Barclays Commercial Mortgage Trust 144A Ser. 19-C5, Class D, 2.50%, 11/15/52 282,000 241,527
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54 308,000 247,922
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.43%, 1/12/45(WAC) 591,000 455,070
Ser. 05-PWR7, Class C, 5.223%, 2/11/41(WAC) 4,945,000 5,750,377
Ser. 05-PWR7, Class D, 5.223%, 2/11/41(WAC) 4,190,000 2,937,190
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 60,759 60,456
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.555%, 2/10/50(WAC) 205,000 207,428
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50 4,325,000 3,381,090
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.186%, 12/15/47(WAC) 13,980,000 13,933,339
COMM Mortgage Trust
Ser. 12-LC4, Class B, 4.934%, 12/10/44(WAC) 475,000 474,705
FRB Ser. 14-CR16, Class C, 4.919%, 4/10/47(WAC) 109,000 112,874
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47(WAC) 226,000 166,996
FRB Ser. 14-UBS3, Class D, 4.767%, 6/10/47(WAC) 165,000 160,547
FRB Ser. 13-CR9, Class D, 4.279%, 7/10/45(WAC) 192,000 144,919
Ser. 12-LC4, Class E, 4.25%, 12/10/44 10,009,000 1,439,294
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 5.816%, 2/15/41(WAC) 10,781,406 5,347,578
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.761%, 4/15/50(WAC) 272,000 212,853
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.401%, 2/10/46(WAC) 273,000 255,584
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 401,000 397,665
GS Mortgage Securities Trust 144A
FRB Ser. 12-GCJ7, Class D, 5.542%, 5/10/45(WAC) 225,000 207,000
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47(WAC) 15,237,000 10,554,072
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 14-C22, Class C, 4.553%, 9/15/47(WAC) 248,000 241,653
FRB Ser. 13-C12, Class C, 4.098%, 7/15/45(WAC) 182,000 184,280
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.793%, 2/15/47(WAC) 11,123,000 6,344,871
FRB Ser. 14-C18, Class E, 4.293%, 2/15/47(WAC) 7,852,000 2,950,075
FRB Ser. 14-C25, Class D, 3.941%, 11/15/47(WAC) 7,740,000 6,030,327
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 15,725,000 8,423,207
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 254,000 245,510
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.164%, 4/15/46(WAC) 431,000 359,821
Ser. 13-LC11, Class B, 3.499%, 4/15/46 180,000 181,936
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 13,371,809 9,528,831
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) 60,277 1
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.351%, 8/15/46(WAC) 650,000 45,500
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50(WAC) 745,000 733,640
FRB Ser. 13-C10, Class F, 4.075%, 7/15/46(WAC) 254,000 56,515
Ser. 14-C17, Class E, 3.50%, 8/15/47 9,096,000 6,083,096
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,336,155 1,262,587
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class E, 5.412%, 3/15/45(WAC) 7,066,000 4,953,266
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 3.852%, 3/25/50 568,000 576,300
FRB Ser. 19-01, Class M10, 3.352%, 10/15/49 263,000 259,699
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 4,414,162 44
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 6,847,000 147,211
Ser. 13-C6, Class E, 3.50%, 4/10/46 7,734,000 6,324,927
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.306%, 7/15/46(WAC) 11,277,111 3,987,525
Ser. 14-LC16, Class D, 3.938%, 8/15/50 11,010,000 1,453,971
Ser. 19-C53, Class D, 2.50%, 10/15/52 250,000 227,114
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C3, Class E, 5.00%, 3/15/44(WAC) 8,644,000 993,196
FRB Ser. 12-C9, Class E, 4.809%, 11/15/45(WAC) 265,000 242,457
FRB Ser. 13-C15, Class D, 4.503%, 8/15/46(WAC) 22,811,996 13,306,566
FRB Ser. 12-C10, Class D, 4.412%, 12/15/45(WAC) 12,891,000 8,873,305
136,017,894
Residential mortgage-backed securities (non-agency) (11.0%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.292%, 5/25/47 7,500,461 4,310,921
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.652%, 11/27/36(WAC) 6,118,040 5,016,793
Bear Stearns Alt-A Trust
FRB Ser. 05-7, Class 21A1, 2.63%, 9/25/35(WAC) 1,629,481 1,499,334
FRB Ser. 05-8, Class 21A1, 2.459%, 10/25/35(WAC) 63,977 59,065
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (1 Month US LIBOR + 1.95%), 2.052%, 8/25/35 334,834 340,347
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1, (1 Month US LIBOR + 0.23%), 0.562%, 9/25/46 4,129,894 3,751,426
Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class B1, (1 Month US LIBOR + 4.75%), 4.852%, 10/25/27 (Bermuda) 2,376,000 2,416,972
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.282%, 11/25/47 2,423,376 2,082,729
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.452%, 3/25/37 8,045,694 7,522,570
FRB Ser. 07-AMC3, Class A2B, (1 Month US LIBOR + 0.18%), 0.282%, 3/25/37 1,110,291 1,019,861
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) 410,000 413,061
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.181%, 6/25/46(WAC) 2,359,209 2,581,211
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.042%, 8/25/46 2,629,581 2,580,102
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.022%, 6/25/46 308,293 288,871
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 0.802%, 9/25/35 591,872 561,982
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 0.763%, 11/20/35 12,182,872 11,943,739
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 0.482%, 8/25/46 2,357,003 2,107,203
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.482%, 8/25/46 4,436,071 4,293,485
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.482%, 8/25/46 8,887,442 8,232,858
Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (1 Month US LIBOR + 2.85%), 2.952%, 1/25/30 686,000 673,718
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.603%, 5/25/28 6,318,729 6,779,539
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.103%, 7/25/28 2,088,348 2,310,364
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.453%, 4/25/28 10,570,892 11,392,079
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.653%, 12/25/27 11,149,478 11,722,358
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (1 Month US LIBOR + 5.15%), 5.253%, 10/25/29 1,935,000 2,107,110
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.253%, 11/25/28 159,538 165,005
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 5.053%, 7/25/29 3,062,000 3,324,446
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58(WAC) 1,710,000 1,763,331
Structured Agency Credit Risk Debt FRN Ser. 14-DN1, Class M3, (1 Month US LIBOR + 4.50%), 4.603%, 2/25/24 265,199 274,095
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class B1, (1 Month US LIBOR + 4.45%), 4.553%, 3/25/30 1,590,000 1,684,430
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class B1, (1 Month US LIBOR + 3.15%), 3.253%, 7/25/30 137,000 139,215
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (1 Month US LIBOR + 12.25%), 12.353%, 2/25/49 570,000 635,549
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.55%, 10/25/50 256,000 336,160
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.103%, 10/25/48 282,000 328,379
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.853%, 1/25/49 2,342,000 2,597,335
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.603%, 3/25/49 2,996,000 3,310,142
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.103%, 8/25/50 448,000 551,320
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.103%, 7/25/50 3,318,000 4,027,222
Structured Agency Credit Risk Debt FRN Ser. 20-DNA3, Class B2, (1 Month US LIBOR + 9.35%), 9.453%, 6/25/50 239,000 285,904
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.253%, 7/25/49 1,763,000 1,861,983
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.853%, 9/25/48 2,734,000 2,952,873
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 5,008,000 5,156,019
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.353%, 10/25/48 753,000 783,120
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56(WAC) 200,000 201,542
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.203%, 3/25/50 682,035 690,019
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.753%, 1/25/49 179,112 181,226
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.553%, 3/25/49 99,878 100,971
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.403%, 10/25/48 31,900 32,270
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.353%, 9/25/28 14,086,406 16,182,100
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.853%, 10/25/28 7,695,786 8,843,271
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.853%, 8/25/28 5,413,635 6,072,393
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.853%, 1/25/29 444,465 488,173
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (1 Month US LIBOR + 10.25%), 10.353%, 1/25/29 1,138,677 1,279,244
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.353%, 4/25/29 3,579,316 3,921,153
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.803%, 4/25/28 601,563 633,651
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.603%, 9/25/29 660,000 723,528
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (1 Month US LIBOR + 5.30%), 5.403%, 10/25/28 148,632 154,312
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.103%, 7/25/25 8,783 8,827
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 4.953%, 10/25/29 393,000 426,060
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.603%, 12/25/30 753,000 791,346
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.553%, 2/25/30 3,018,000 3,157,583
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.552%, 5/25/30 1,200,000 1,245,521
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 4.403%, 2/25/25 61,071 62,161
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (1 Month US LIBOR + 4.25%), 4.353%, 1/25/31 425,000 445,460
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2B1, (1 Month US LIBOR + 4.10%), 4.203%, 3/25/31 1,624,000 1,681,240
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.103%, 5/25/25 221,850 225,994
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 4.103%, 5/25/25 3,949 3,959
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (1 Month US LIBOR + 4.00%), 4.102%, 5/25/30 1,626,000 1,696,118
Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (1 Month US LIBOR + 3.75%), 3.853%, 3/25/31 313,000 319,200
Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1, (1 Month US LIBOR + 3.75%), 3.853%, 10/25/30 500,000 517,500
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 3.703%, 1/25/30 1,598,000 1,664,255
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.103%, 10/25/29 641,070 656,053
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2M2, (1 Month US LIBOR + 2.85%), 2.953%, 11/25/29 246,871 253,144
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 2.903%, 2/25/30 144,264 147,245
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.353%, 7/25/30 57,750 58,397
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.203%, 3/25/31 733,624 739,562
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class B1, (1 Month US LIBOR + 9.25%), 9.353%, 11/25/39 4,100,000 4,345,689
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (1 Month US LIBOR + 6.75%), 6.853%, 2/25/40 1,645,000 1,724,980
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1B2, (US 30 Day Average SOFR + 6.00%), 6.05%, 10/25/41 185,000 189,163
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1, (1 Month US LIBOR + 5.75%), 5.853%, 7/25/29 4,084,000 4,481,620
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2B1, (1 Month US LIBOR + 5.25%), 5.352%, 6/25/39 617,000 633,968
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.203%, 9/25/31 314,000 321,920
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 3.753%, 2/25/40 239,000 248,091
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (1 Month US LIBOR + 3.00%), 3.103%, 1/25/40 126,000 126,225
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.553%, 7/25/31 190,635 191,350
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.462%, 5/25/36 9,484,804 3,029,607
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.412%, 5/25/37 5,026,724 4,232,263
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.624%, 5/19/35 11,401,915 4,884,009
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.502%, 6/25/37 4,247,847 2,089,401
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 162,870 156,474
Oaktown Re, Ltd. 144A FRB Ser. 17-1A, Class M2, (1 Month US LIBOR + 4.00%), 4.102%, 4/25/27 (Bermuda) 818,222 821,619
Oaktown Re III, Ltd. 144A
FRB Ser. 19-1A, Class B1B, (1 Month US LIBOR + 4.35%), 4.452%, 7/25/29 (Bermuda) 383,000 385,999
FRB Ser. 19-1A, Class B1A, (1 Month US LIBOR + 3.50%), 3.602%, 7/25/29 (Bermuda) 317,000 324,622
Radnor Re, Ltd. 144A FRB Ser. 20-2, Class B1, (1 Month US LIBOR + 7.60%), 7.702%, 10/25/30 (Bermuda) 168,000 171,681
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.522%, 8/25/36 8,459,197 8,205,421
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 256,000 272,467
Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 240,000 246,297
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 2.922%, 9/25/35(WAC) 122,452 122,904
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.082%, 10/25/45 121,195 120,614
217,114,088
Total mortgage-backed securities (cost $1,108,971,288) $899,173,215








CORPORATE BONDS AND NOTES (16.8%)(a)
        Principal amount Value
Basic materials (1.1%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 $30,000 $31,062
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 1,200,000 1,297,500
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 75,000 79,125
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 410,000 424,432
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 1,295,000 1,298,283
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 4,755,000 5,717,888
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 87,000 92,118
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 47,000 47,999
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 825,000 884,813
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 825,000 865,219
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 2,359,000 2,965,476
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 198,000 202,950
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) 1,100,000 1,078,000
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) 20,000 20,550
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 1,290,000 1,339,246
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 $140,000 142,790
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 30,000 30,900
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 100,000 101,250
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 265,000 270,663
NOVA Chemicals Corp. 144A sr. unsec. sub. notes 4.25%, 5/15/29 (Canada) 22,000 22,089
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 175,000 173,906
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 65,000 68,331
Olympus Water US Holding Corp. 144A sr. notes 4.25%, 10/1/28 500,000 497,190
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29 2,035,000 1,984,125
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 530,000 508,800
SCIL IV, LLC/SCIL USA Holdings, LLC 144A sr. notes 5.375%, 11/1/26 295,000 302,375
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 1,450,000 1,479,000
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 80,000 79,900
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 82,000 86,316
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 70,000 71,899
22,164,195
Capital goods (0.7%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 50,000 48,750
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 332,000 345,778
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 65,000 67,600
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 90,000 92,250
Boeing Co. (The) sr. unsec. bonds 5.93%, 5/1/60 720,000 999,132
Canpack SA/Canpack US, LLC 144A company guaranty sr. unsec. notes 3.875%, 11/15/29 (Poland) 710,000 692,250
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 59,000 61,803
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 138,000 166,463
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 230,000 232,300
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 284,000 278,320
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 90,000 93,600
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27 1,000,000 1,087,500
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 585,000 602,550
LSF11 A5 HoldCo., LLC 144A sr. unsec. notes 6.625%, 10/15/29 1,300,000 1,280,500
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 465,000 466,163
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 95,000 100,700
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 1,337,000 1,354,601
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 245,000 249,900
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 110,000 112,063
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 2,275,000 2,337,563
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 126,000 134,348
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 55,000 56,513
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 68,000 69,868
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 337,000 347,110
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 1,405,000 1,411,042
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 940,000 936,880
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 267,000 269,670
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 182,000 181,090
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 100,000 109,625
14,185,932
Communication services (1.5%)
Altice Financing SA 144A company guaranty sr. notes 5.00%, 1/15/28 (Luxembourg) 940,000 917,337
Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France) 500,000 492,500
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) 820,000 811,800
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 1,420,000 1,460,825
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 113,000 116,414
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 1,921,000 2,073,018
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 680,000 707,200
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 45,000 46,044
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 157,000 163,280
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 1,363,000 1,363,000
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 590,000 613,600
CSC Holdings, LLC 144A sr. unsec. unsub. notes 7.50%, 4/1/28 790,000 847,275
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 1,711,000 1,751,567
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 1,300,000 1,371,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 7.375%, 7/1/28 1,290,000 1,306,125
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 913,000 830,830
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 643,000 649,430
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 345,000 350,445
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 3,845,000 4,306,400
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 945,000 999,338
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 1,325,000 1,378,000
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 189,000 193,183
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 66,000 67,320
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 344,000 340,560
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 3.625%, 1/15/29 50,000 47,500
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 802,000 1,014,530
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 600,000 720,360
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 347,000 382,134
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 45,000 49,219
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 105,000 113,705
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 940,000 928,344
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 22,000 22,894
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 28,000 28,161
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 675,000 664,875
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 448,000 471,520
Virgin Media Finance PLC 144A sr. unsec. bonds 5.00%, 7/15/30 (United Kingdom) 1,275,000 1,268,625
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 100,000 139,170
29,008,028
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRN (BBA LIBOR USD 3 Month + 3.33%), 3.533%, perpetual maturity $1,000,000 990,000
990,000
Consumer cyclicals (3.7%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 775,000 763,375
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl 144A sr. notes 4.625%, 6/1/28 (Luxembourg) 400,000 399,752
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl 144A sr. notes 4.625%, 6/1/28 (Luxembourg) 200,000 196,297
AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 10.50%, 4/15/25 1,000,000 1,065,000
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 45,000 46,045
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 655,000 651,725
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 70,000 72,640
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 145,000 147,719
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26 1,500,000 1,481,250
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31 870,000 891,750
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 45,000 45,900
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada) 75,000 75,053
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 1,330,000 1,330,000
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 1,345,000 1,345,000
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 2,340,000 2,354,625
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 355,000 376,300
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 985,000 960,375
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 60,000 62,086
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 115,000 57,500
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 1,390,000 1,357,981
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 1,499,000 1,482,811
Ford Motor Co. sr. unsec. unsub. bonds 3.25%, 2/12/32 235,000 240,117
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 1,034,000 1,111,550
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 2,260,000 2,431,308
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 1,295,000 1,359,750
Gap, Inc. (The) 144A company guaranty sr. unsec. bonds 3.875%, 10/1/31 1,300,000 1,282,125
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 1,165,000 1,182,475
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 235,000 237,597
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45 1,000,000 1,237,253
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 60,000 61,725
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 70,000 73,300
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 3,422,592 3,610,835
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 45,000 52,031
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 47,000 48,229
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 26,000 27,235
Bath & Body Work, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity 49,000 60,515
Bath & Body Work, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 1,225,000 1,387,313
Bath & Body Works, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35 1,390,000 1,727,075
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 12,000 14,640
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 695,000 787,088
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 1,400,000 1,562,962
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $675,000 688,250
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 39,000 39,390
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 63,000 65,048
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 50,000 54,688
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 35,000 36,706
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 430,000 425,162
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) 125,000 131,469
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 100,000 101,845
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 2,395,000 2,481,819
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 20,000 20,510
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 995,000 985,050
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 1,000,000 992,350
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 1,035,000 1,068,638
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 1,050,000 1,060,500
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 54,000 54,861
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 1,045,000 1,078,963
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 495,000 486,952
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. bonds 4.75%, 7/15/31 495,000 488,813
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 790,000 762,659
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 1,645,000 1,714,913
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 94,000 134,185
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 20,000 20,200
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 2,362,000 2,669,060
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 1,095,000 1,127,303
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 2,148,000 2,239,291
Scotts Miracle-Gro Co. (The) 144A company guaranty sr. unsec. bonds 4.375%, 2/1/32 450,000 448,875
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 87,000 90,133
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29 1,345,000 1,193,688
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 705,000 667,988
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 1,240,000 1,215,758
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 165,000 165,923
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 95,000 101,455
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26 1,500,000 1,543,125
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 45,000 47,194
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 590,000 568,341
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 145,000 149,713
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 1,505,000 1,513,579
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 1,340,000 1,333,300
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 1,405,000 1,545,500
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 45,000 50,288
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 515,000 550,407
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 1,630,000 1,756,325
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 465,000 469,650
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 1,058,000 1,089,740
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 1,885,000 1,922,700
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 1,330,000 1,386,525
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 1,078,000 1,102,061
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 2,395,000 2,430,925
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 30,000 31,463
73,961,588
Consumer staples (1.0%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 65,000 63,863
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 63,000 64,260
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 230,000 232,300
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 580,000 626,238
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 3,715,000 3,722,281
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 16,000 16,143
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 1,500,000 1,543,125
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 158,000 158,000
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 50,000 52,899
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 54,000 55,823
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 5.00%, 7/15/35 1,241,000 1,518,166
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 800,000 836,763
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 695,000 752,338
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 505,000 515,100
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 151,000 157,040
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 345,000 335,082
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 1,387,000 1,400,870
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 840,000 873,936
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 595,000 596,488
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 110,000 150,932
Netflix, Inc. sr. unsec. notes 5.875%, 2/15/25 $15,000 16,857
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 80,000 91,200
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 2,159,000 2,596,198
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 50,000 59,375
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 1,516,000 1,768,035
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 55,000 59,950
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 730,000 795,886
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 378,000 398,790
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 50,000 49,813
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 935,000 1,012,138
20,519,889
Energy (4.2%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 780,000 859,591
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 10,000 11,386
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 3,946,000 4,458,980
Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 595,000 648,550
Apache Corp. sr. unsec. unsub. notes 4.625%, 11/15/25 305,000 327,494
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 32,000 34,816
Callon Petroleum Co. company guaranty sr. unsec. notes 6.125%, 10/1/24 2,845,000 2,802,325
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 670,000 723,600
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 70,000 94,675
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 1,000,000 1,020,000
ChampionX Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 38,000 39,520
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 5,275,000 5,591,500
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 1,075,000 1,127,622
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32 10,000 10,075
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 17,000 17,531
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 75,000 76,875
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 917,000 1,016,724
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 1,476,000 1,595,630
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 89,000 91,712
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 804,000 946,807
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 1,230,000 1,203,254
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 50,000 56,750
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 41,000 54,786
Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32 1,000,000 1,401,089
Devon Energy Corp. sr. unsec. unsub. bonds 5.60%, 7/15/41 677,000 849,176
DT Midstream, Inc. 144A sr. unsec. bonds 4.375%, 6/15/31 30,000 31,200
DT Midstream, Inc. 144A sr. unsec. notes 4.125%, 6/15/29 20,000 20,475
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 4,006,000 4,161,233
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 150,000 159,883
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 52,000 55,018
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 1,818,000 1,890,720
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 145,000 160,588
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 86,000 89,548
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 345,000 342,413
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 112,000 115,360
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 171,000 170,359
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 1,000,000 926,900
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 922,000 949,660
Northriver Midstream Finance LP 144A sr. notes 5.625%, 2/15/26 (Canada) 141,000 145,935
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 35,000 36,663
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 2,291,000 2,817,930
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 7,928,000 10,108,240
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 1,510,000 1,968,303
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 830,000 1,086,551
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25 800,000 761,000
Pertamina Persero PT sr. unsec. unsub. bonds Ser. REGS, 6.00%, 5/3/42 (Indonesia) 2,580,000 3,153,019
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 5.50%, 6/10/51 (Brazil) 139,000 128,923
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 208,000 224,380
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 139,000 151,163
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 144,000 152,496
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 138,000 148,350
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 26,102,000 1,044,080
Petroleos del Peru SA sr. unsec. unsub. bonds Ser. REGS, 4.75%, 6/19/32 (Peru) 3,170,000 3,307,705
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 7.69%, 1/23/50 (Mexico) 2,490,000 2,402,850
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 6,707,000 6,517,359
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. bonds 6.70%, 2/16/32 (Mexico) 1,197,000 1,208,970
Petronas Capital, Ltd. company guaranty sr. unsec. unsub. bonds Ser. REGS, 2.48%, 1/28/32 (Malaysia) 1,980,000 1,985,521
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 133,000 135,993
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) 205,000 208,940
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 70,000 72,800
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 531,000 546,930
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 88,000 90,640
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 255,000 262,013
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 1,430,000 1,480,050
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 25,000 27,516
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 1,683,000 1,772,376
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 2,780,000 2,978,715
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 2,680,000 2,834,100
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 462,300 450,743
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 68,000 65,705
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 43,000 44,720
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 30,000 30,975
82,485,479
Financials (2.0%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 85,000 88,188
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 25,000 25,000
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 375,000 530,838
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 30,000 30,300
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 1,350,000 1,535,960
Blackstone Mortgage Trust, Inc. 144A sr. notes 3.75%, 1/15/27(R) $43,000 42,862
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 55,000 60,590
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 80,000 91,872
Cobra AcquisitionCo., LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 2,142,000 2,115,226
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31 405,000 372,600
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28 415,000 388,025
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) 2,600,000 2,700,750
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 100,000 141,078
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 886,000 897,076
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 465,000 454,538
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 400,000 411,000
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 790,000 807,775
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 56,000 56,140
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 480,000 499,800
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 1,450,000 1,491,223
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 980,000 955,500
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 1,370,000 1,534,400
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 1,230,000 1,273,050
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 670,000 695,125
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 97,000 99,183
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 7,050,000 6,768,071
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 494,000 506,350
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 20,000 20,200
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 950,000 951,187
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 780,000 776,100
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 788,000 803,760
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30 420,000 414,750
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 40,000 42,800
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 1,045,000 1,191,300
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 65,000 72,313
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 503,000 546,909
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 1,430,000 1,469,325
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 1,350,000 1,395,779
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 3,575,000 3,637,563
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 35,000 37,920
Societe Generale SA 144A jr. unsec. sub. FRN 4.75%, perpetual maturity (France) 625,000 635,125
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 52,000 54,080
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 6.50%, perpetual maturity (Netherlands) EUR 1,517,950 2,374,095
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 $1,150,000 1,173,000
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 204,750
40,373,476
Health care (1.6%)
180 Medical, Inc. 144A company guaranty sr. unsec. notes 3.875%, 10/15/29 300,000 303,375
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 1,715,000 1,697,850
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 1,185,000 1,126,035
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 380,000 387,052
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.25%, 2/15/31 500,000 439,375
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29 560,000 494,200
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 740,000 754,800
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 710,000 721,723
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 200,000 215,000
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 675,000 691,032
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 625,000 632,813
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 45,000 47,306
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 135,000 144,282
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 40,000 42,200
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 2,100,000 2,058,000
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 720,000 835,200
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) 560,000 546,700
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 745,000 752,450
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 90,000 101,138
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 45,000 47,559
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 1,978,000 2,048,100
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 1,405,000 1,618,049
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) $2,850,000 2,750,250
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 225,000 225,563
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 1,315,000 1,336,369
Organon Finance 1, LLC 144A sr. unsec. notes 5.125%, 4/30/31 550,000 574,574
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 695,000 712,375
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 120,000 128,700
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 585,000 574,219
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 465,000 470,813
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 23,000 23,288
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 23,000 23,805
Tenet Healthcare Corp. 144A company guaranty sr. notes 7.50%, 4/1/25 25,000 26,311
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 2,760,000 2,873,850
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 1,271,000 1,305,483
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 1,120,000 1,137,349
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 7.125%, 1/31/25 (Israel) 795,000 850,650
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 1,520,000 1,618,800
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 650,000 681,122
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) 1,115,000 1,093,046
32,110,806
Technology (0.5%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 400,000 399,792
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 400,000 402,498
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 55,000 56,650
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 958,000 946,026
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25 48,000 51,684
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 2,387,000 2,449,182
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25 100,000 103,857
Plantronics, Inc. 144A company guaranty sr. unsec. notes 4.75%, 3/1/29 1,407,000 1,341,927
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 690,000 714,150
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 1,035,000 1,027,238
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 740,000 747,179
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 945,000 953,344
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 75,000 82,008
9,275,535
Transportation (0.1%)
Air Canada 144A sr. notes 3.875%, 8/15/26 (Canada) 90,000 92,138
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 1,390,000 1,485,521
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 105,000 109,187
Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 150,000 163,797
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 535,000 551,719
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 535,000 557,863
2,960,225
Utilities and power (0.3%)
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 924,000 906,680
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 23,000 23,442
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 35,000 35,263
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 19,000 19,494
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 1,135,000 1,177,563
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 20,000 20,000
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 10,000 9,863
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 125,000 165,207
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 244,000 231,170
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 6,000 6,237
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 135,000 141,024
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 80,000 78,400
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 38,000 40,713
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 1,544,000 1,569,787
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 25,000 25,416
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 40,000 42,776
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.625%, 2/15/27 52,000 53,560
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 145,000 149,733
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 60,000 62,269
4,758,597
Total corporate bonds and notes (cost $339,191,042) $332,793,750








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.6%)(a)
        Principal amount Value
Angola (Republic of) sr. unsec. notes Ser. REGS, 8.25%, 5/9/28 (Angola) $1,440,000 $1,445,410
Argentina (Republic of) 144A sr. unsec. notes 5.00%, 2/1/29 (Argentina) 10,768,107 6,272,530
Bahrain (Kingdom of) sr. unsec. notes Ser. REGS, 7.375%, 5/14/30 (Bahrain) 3,330,000 3,687,922
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) 760,000 841,688
Belarus (Republic of) sr. unsec. notes Ser. REGS, 6.20%, 2/28/30 (Belarus) 2,110,000 1,666,942
Brazil (Federal Republic of) sr. unsec. unsub. bonds 8.25%, 1/20/34 (Brazil) 2,280,000 2,978,273
Colombia (Republic of) sr. unsec. unsub. bonds 7.375%, 9/18/37 (Colombia) 2,540,000 2,952,750
Colombia (Republic of) sr. unsec. unsub. bonds 6.125%, 1/18/41 (Colombia) 1,400,000 1,440,964
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 5.00%, 6/1/27 (Argentina) 2,425,643 1,545,135
Costa Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica) 2,780,000 2,804,325
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) 4,010,000 4,210,500
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 1,839,000 1,873,481
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.875%, 1/30/60 (Dominican Republic) 5,748,000 5,525,265
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 1,554,000 1,841,490
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 2,203,000 2,505,913
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 4/18/24 (Dominican Republic) 1,551,000 1,620,795
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 300,000 324,000
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 5,780,000 5,873,926
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.053%, 1/15/32 (Egypt) 2,790,000 2,570,315
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) 2,410,000 2,340,696
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana) 1,820,000 1,478,750
Honduras (Government of) sr. unsec. unsub. notes Ser. REGS, 5.625%, 6/24/30 (Honduras) 3,080,000 3,195,531
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 337,000 351,095
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) 550,000 618,257
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) 370,000 406,071
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 9,965,000 11,135,688
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 9,320,000 10,391,875
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 200,000 206,250
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 12,715,000 13,366,644
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Ivory Coast) 9,105,258 9,116,640
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 280,000 324,974
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) $4,251,000 4,410,413
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Ivory Coast) EUR 250,000 290,263
Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, 3/15/39 (Jamaica) $2,714,000 3,755,498
Jamaica (Government of) sr. unsec. unsub. notes 6.75%, 4/28/28 (Jamaica) 400,000 459,000
Jordan (Kingdom of) sr. unsec. notes Ser. REGS, 5.85%, 7/7/30 (Jordan) 3,770,000 3,798,313
Kenya (Republic of) sr. unsec. bonds Ser. REGS, 8.00%, 5/22/32 (Kenya) 1,870,000 2,036,017
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) 3,220,000 3,396,501
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) 290,000 306,313
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) 1,637,000 1,958,278
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 3,120,000 3,182,347
Mongolia (Government of) sr. unsec. notes Ser. REGS, 4.45%, 7/7/31 (Mongolia) 4,060,000 3,841,742
Morocco (Kingdom of) sr. unsec. bonds Ser. REGS, 3.00%, 12/15/32 (Morocco) 9,100,000 8,667,486
Nigeria (Republic of) sr. unsec. notes Ser. REGS, 8.747%, 1/21/31 (Nigeria) 2,620,000 2,746,179
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman) 4,263,000 4,582,810
Pakistan (Islamic Republic of) sr. unsec. notes Ser. REGS, 7.375%, 4/8/31 (Pakistan) 2,710,000 2,689,705
Philippines (Republic of) sr. unsec. unsub. notes 3.75%, 1/14/29 (Philippines) 2,790,000 3,139,276
Romania (Government of) sr. unsec. notes Ser. REGS, 3.00%, 2/14/31 (Romania) 1,550,000 1,572,119
Senegal (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.75%, 3/13/48 (Senegal) 13,710,000 13,401,525
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 10,820,000 11,090,500
South Africa (Republic of) sr. unsec. unsub. bonds 6.30%, 6/22/48 (South Africa) 240,000 248,412
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa) 2,420,000 2,695,396
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 3,450,000 3,812,112
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 740,000 777,921
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 6,430,000 4,886,800
Turkey (Republic of) sr. unsec. unsub. notes 7.625%, 4/26/29 (Turkey) 2,350,000 2,347,110
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 3,218,000 3,160,334
Ukraine (Government of) sr. unsec. notes Ser. REGS, 6.876%, 5/21/29 (Ukraine) 3,550,000 3,146,227
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) 3,915,000 3,817,164
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) 708,000 724,907
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 13,582,000 814,920
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 2,350,000 2,542,528
Total foreign government and agency bonds and notes (cost $214,880,348) $209,212,211








CONVERTIBLE BONDS AND NOTES (6.2%)(a)
        Principal amount Value
Basic materials (0.1%)
Sika AG cv. sr. unsec. notes Ser. REGS, 0.15%, 6/5/25 (Switzerland) CHF 640,000 $1,410,290
1,410,290
Capital goods (0.1%)
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26 $555,000 609,945
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 606,000 968,464
1,578,409
Communication services (0.5%)
Cable One, Inc. 144A company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 1,350,000 1,336,265
Cellnex Telecom, SA cv. sr. unsec. unsub. notes 1.50%, 1/16/26 (Spain) EUR 400,000 795,545
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $3,045,000 2,882,254
DISH Network Corp. cv. sr. unsec. notes zero %, 12/15/25 379,000 380,895
Liberty Broadband Corp. 144A cv. sr. unsec. bonds 1.25%, 9/30/50 692,000 682,312
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 380,000 571,820
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 845,000 1,212,575
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 1,942,000 1,993,464
9,855,130
Consumer cyclicals (1.1%)
adidas AG 144A cv. sr. unsec. notes 0.05%, 9/12/23 (Germany) EUR 600,000 775,353
Affirm Holdings, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 $369,000 331,731
Alarm.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 519,000 467,100
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 947,000 1,004,411
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 754,000 773,308
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 1,081,000 1,587,450
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 830,000 1,233,069
DraftKings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 3/15/28 1,614,000 1,215,342
Expedia Group, Inc. 144A company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 1,240,000 1,426,621
Ford Motor Co. 144A cv. sr. unsec. notes zero %, 3/15/26 2,099,000 2,887,437
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 244,000 420,637
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 1,257,000 2,268,885
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 36,000 60,188
NCL Corp, Ltd. cv. company guaranty sr. unsec. notes 5.375%, 8/1/25 333,000 472,860
NCL Corp, Ltd. 144A cv. sr. unsec. notes 1.125%, 2/15/27 887,000 830,499
Nexi SpA cv. sr. unsec. notes Ser. REGS, zero %, 2/24/28 (Italy) EUR 600,000 641,565
Nexity SA cv. sr. unsec. notes 0.25% (Units) (France) EUR 2,850 216,274
NIO, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/27 (China) $366,000 309,270
RH cv. sr. unsec. notes zero %, 9/15/24 91,000 230,139
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23 1,956,000 2,304,168
Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes zero %, 12/15/25 1,152,000 1,214,669
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 1,493,000 1,591,204
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 583,000 777,669
23,039,849
Consumer staples (0.7%)
Airbnb, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 1,658,000 1,622,353
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 908,000 961,667
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 523,000 468,412
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 1,439,000 1,190,773
Delivery Hero AG cv. sr. unsec. notes 1.50%, 1/15/28 (Germany) EUR 800,000 874,685
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28 $1,501,000 1,764,575
Fiverr International, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Israel) 224,000 207,984
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 181,000 292,424
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 684,000 911,020
Pinduoduo, Inc. cv. sr. unsec. notes zero %, 12/1/25 (China) 935,000 844,305
Sea, Ltd. cv. sr. unsec. unsub. notes 0.25%, 9/15/26 (Singapore) 1,024,000 941,466
Shake Shack, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 73,000 60,408
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 1,103,000 1,082,595
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 1,590,000 1,445,667
Zalando SE cv. sr. unsec. notes 0.05%, 8/6/25 (Germany) EUR 500,000 618,910
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 $117,000 150,591
13,437,835
Energy (0.4%)
BP Capital Markets PLC cv. company guaranty sr. unsec. unsub. notes 1.00%, 4/28/23 (United Kingdom) GBP 300,000 413,515
Enphase Energy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 $1,204,000 1,241,926
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 1,427,000 2,542,736
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) 724,000 917,670
Sunrun, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 430,000 334,873
TOTAL SA cv. sr. unsec. unsub. notes 0.50%, 12/2/22 (France) 800,000 815,359
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 1,277,000 1,144,527
7,410,606
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 481,000 490,909
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 757,000 835,066
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 997,304 1,031,013
Upstart Holdings, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/26 213,000 203,415
2,560,403
Health care (0.8%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 966,000 1,007,634
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 1,379,000 1,636,700
Envista Holdings Corp. cv. sr. unsec. notes 2.375%, 6/1/25 150,000 332,063
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 2,028,000 1,958,237
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 1,313,000 1,328,231
Halozyme Therapeutics, Inc. 144A cv. sr. unsec. notes 0.25%, 3/1/27 1,475,000 1,313,672
Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 362,000 412,906
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 691,000 914,109
Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, 8/15/25 253,000 274,024
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 369,000 418,815
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 1,641,000 1,642,026
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 679,000 577,999
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 185,000 230,672
Novocure, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Jersey) 265,000 242,157
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25 599,000 1,129,864
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 1,027,000 1,135,477
QIAGEN NV cv. sr. unsec. unsub. notes Ser. REGS, 1.00%, 11/13/24 (Netherlands) 400,000 519,441
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 339,000 502,568
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 524,000 477,168
16,053,763
Technology (2.0%)
21Vianet Group, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 (China) 501,000 400,800
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 388,000 368,600
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 1,648,000 1,927,171
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 777,000 1,016,938
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26 821,000 757,783
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 1,360,000 1,251,200
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27 1,204,000 1,231,091
Blackline, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 498,000 462,642
Box, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 625,000 750,813
Ceridian HCM Holding, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/26 1,050,000 1,096,830
Cloudflare, Inc. 144A cv. sr. unsec. notes zero %, 8/15/26 488,000 518,805
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 1,627,000 1,537,515
Cree, Inc. cv. sr. unsec. unsub. notes 1.75%, 5/1/26 121,000 296,450
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) 1,004,000 1,265,040
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 209,000 418,836
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 510,000 452,319
DocuSign, Inc. 144A cv. sr. unsec. notes zero %, 1/15/24 273,000 263,172
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25 692,000 694,163
Everbridge, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 528,000 445,783
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 593,000 728,264
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 742,000 861,685
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 139,000 330,473
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 397,000 433,246
iQIYI, Inc. cv. sr. unsec. notes 2.00%, 4/1/25 (China) 220,000 159,280
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 1,245,000 1,548,470
MicroStrategy, Inc. 144A cv. sr. unsec. notes zero %, 2/15/27 463,000 333,962
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 2,079,000 2,474,010
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27 816,000 1,187,280
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 1,081,000 2,047,846
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 519,000 548,220
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 456,000 431,517
Rapid7, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/27 567,000 730,749
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 1,363,000 1,280,484
Shopify, Inc. cv. sr. unsec. notes 0.125%, 11/1/25 (Canada) 449,000 560,128
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 514,000 901,094
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 1,494,000 1,444,758
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 2,140,000 1,995,551
Twitter, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 1,938,000 1,735,674
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 825,000 752,813
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 310,000 439,037
Wix.com, Ltd. cv. sr. unsec. sub. notes zero %, 8/15/25 (Israel) 439,000 391,974
Yandex NV cv. sr. unsec. notes 0.75%, 3/3/25 (Russia) 600,000 680,364
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 978,000 1,166,852
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 660,000 815,602
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 369,000 806,453
Zynga, Inc. cv. sr. unsec. unsub. notes zero %, 12/15/26 622,000 567,632
40,509,369
Transportation (0.2%)
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25 640,000 883,840
Deutsche Post AG cv. sr. unsec. notes 0.05%, 6/30/25 (Germany) EUR 400,000 543,222
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 $1,257,000 1,171,797
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 1,255,000 1,672,915
4,271,774
Utilities and power (0.2%)
Eni SpA cv. sr. unsec. unsub. notes zero %, 4/13/22 (Italy) EUR 200,000 227,745
Iberdrola International BV cv. company guaranty sr. unsec. unsub. notes zero %, 11/11/22 (Spain) EUR 300,000 429,948
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 $1,377,000 1,569,092
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 1,082,000 1,283,576
3,510,361
Total convertible bonds and notes (cost $117,699,006) $123,637,789








PURCHASED SWAP OPTIONS OUTSTANDING (3.3%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
0.485/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.485 $306,920,900 $171,876
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 44,570,700 5,255,777
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 44,570,700 1,289,430
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 35,772,300 3,796,514
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 35,772,300 3,710,661
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 35,772,300 1,097,852
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 35,772,300 1,068,519
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 44,214,400 12,009,957
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 44,214,400 11,979,450
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 44,214,400 10,230,328
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 58,978,200 3,047,404
2.75/3 month USD-LIBOR-BBA/Dec-71 Dec-46/2.75 10,000,000 2,284,400
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 58,978,200 2,024,722
(1.4075)/3 month USD-LIBOR-BBA/Mar-27 Mar-22/1.4075 12,591,400 89,903
NatWest Markets PLC
(0.52)/Sterling Overnight Index Average/Sep-23 (United Kingdom) Sep-22/0.52 GBP 420,542,200 3,990,267
Toronto-Dominion Bank
(1.505)/3 month USD-LIBOR-BBA/Jan-32 (Canada) Jan-22/1.505 $22,264,800 283,431
(1.80)/3 month USD-LIBOR-BBA/Jan-32 (Canada) Jan-22/1.80 44,529,700 98,856
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 83,593,200 2,444,939
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 83,593,200 1,409,478
Total purchased swap options outstanding (cost $41,695,759) $66,283,764








SENIOR LOANS (1.8%)(a)(c)
        Principal amount Value
Basic materials (0.1%)
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.25%, 2/4/26 $362,262 $351,735
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.25%, 6/9/28 19,900 19,864
SCIH Salt Holdings, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.00%), 4.75%, 3/16/27 106,101 104,968
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.102%, 10/1/25 66,534 66,242
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.10%, 5/3/26 1,435,342 1,425,179
1,967,988
Capital goods (0.1%)
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.604%, 4/1/28 69,650 69,578
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 21,450 21,373
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.354%, 4/3/24 94,214 92,868
Filtration Group Corp. bank term loan FRN (1 Month US LIBOR + 3.50%), 4.00%, 10/19/28 124,688 124,402
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25 1,177,748 1,180,267
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.354%, 3/28/25 140,219 137,726
TK Elevator US Newco, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 7/31/27 39,856 39,850
1,666,064
Communication services (0.1%)
Asurion, LLC bank term loan FRN Ser. B9, (BBA LIBOR USD 3 Month + 3.25%), 3.354%, 7/31/27 358,196 355,688
DIRECTV Financing, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.75%, 7/22/27 879,751 880,005
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 3.75%), 8.00%, 11/27/23 290,000 289,153
1,524,846
Consumer cyclicals (0.5%)
AppleCaramel Buyer, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 10/19/27 79,200 79,209
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26 1,241,887 1,244,091
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.629%, 8/21/26 1,368,501 1,348,547
Constellation Merger Sub, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.97%, 9/18/24 1,479,408 1,421,667
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 4/12/28 89,325 88,989
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24 54,158 54,111
Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.353%, 8/24/26 73,313 33,785
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.36%, 10/30/26 65,271 65,054
Golden Nugget, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 10/4/23 1,385,035 1,375,271
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 5/1/26 62,412 62,353
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.104%, 5/1/26 61,237 60,788
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 1,360,000 1,060,800
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.50%, 2/28/25 55,705 52,335
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 2.854%, 8/14/24 87,722 87,351
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 3.604%, 12/17/26 1,501,285 1,493,404
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 79,418 79,517
8,607,272
Consumer staples (—%)
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24 194,806 190,234
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 12/15/27 495,000 494,534
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25 77,778 77,592
762,360
Energy (0.1%)
ChampionX Holding, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 5.00%), 6.00%, 6/3/27 925,000 936,202
CQP Holdco LP bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.25%, 6/4/28 1,099,475 1,096,265
Southwestern Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 3.00%, 6/8/27 610,000 610,384
2,642,851
Financials (—%)
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25 720,374 719,696
719,696
Health care (0.5%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 1.849%, 2/4/27 1,069,373 1,054,338
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 3.854%, 10/10/25 2,828,569 2,267,720
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 5.25%, 10/2/25 2,141,937 2,130,693
Jazz Financing Lux Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 5/31/28 120,395 120,779
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/22/27 1,592,000 1,591,013
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.081%, 6/30/25 1,440,905 1,439,103
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.00%), 8.00%, 4/29/25 1,966,548 1,905,093
10,508,739
Technology (0.3%)
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27 1,298,563 1,296,771
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.544%, 12/1/27 1,161,225 1,164,616
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28 1,002,488 1,001,545
Rocket Software, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 4.75%, 11/28/25 701,475 699,546
UKG, Inc. bank term loan FRN (1 Month US LIBOR + 5.25%), 5.75%, 5/3/27 1,285,000 1,287,416
5,449,894
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 4/20/28 650,000 672,399
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/21/28 1,339,875 1,341,702
2,014,101
Total senior loans (cost $36,000,655) $35,863,811








ASSET-BACKED SECURITIES (0.4%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $8,357,000 $8,362,015
Mello Warehouse Securitization Trust 144A FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 0.902%, 11/25/53 25,000 25,000
Total asset-backed securities (cost $8,382,000) $8,387,015








WARRANTS (—%)(a)
    Expiration date Strike Price Warrants Value
Guaranteed Rate, Inc.(NON)(F) 3/1/23 $0.01 353 $18
Total warrants (cost $18) $18








SHORT-TERM INVESTMENTS (24.5%)(a)
        Principal amount/shares Value
Collateralized Commercial Paper Flex Co., LLC asset-backed commercial paper 0.150%, 1/19/22 $9,000,000 $8,999,577
Energy Transfer LP commercial paper 0.350%, 1/3/22 16,000,000 15,999,577
Healthpeak Properties, Inc. commercial paper 0.270%, 1/25/22 4,000,000 3,999,194
Putnam Short Term Investment Fund Class P 0.13%(AFF) Shares 186,605,328 186,605,328
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 4,005,000 4,005,000
U.S. Treasury Bills 0.053%, 4/7/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) $19,700,000 19,696,245
U.S. Treasury Bills 0.048%, 3/3/22(SEGSF)(SEGCCS)(SEGTBA) 36,800,000 36,797,135
U.S. Treasury Bills 0.047%, 3/10/22(SEG)(SEGSF)(SEGCCS) 33,612,000 33,609,381
U.S. Treasury Bills 0.045%, 2/17/22(SEGSF) 30,200,000 30,198,868
U.S. Treasury Bills 0.043%, 2/24/22(SEG)(SEGSF) 30,000,000 29,998,808
U.S. Treasury Bills 0.042%, 3/17/22(SEGSF)(SEGTBA) 41,535,000 41,530,347
U.S. Treasury Bills 0.041%, 2/10/22(SEG)(SEGSF) 40,500,000 40,498,610
U.S. Treasury Bills 0.040%, 2/3/22(SEG)(SEGSF) 32,500,000 32,499,162
Total short-term investments (cost $484,436,721) $484,437,232
TOTAL INVESTMENTS
Total investments (cost $3,699,244,721) $3,507,540,927








FORWARD CURRENCY CONTRACTS at 12/31/21 (aggregate face value $3,338,177,870) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/19/22 $34,588,613 $33,846,191 $742,422
Australian Dollar Sell 1/19/22 34,118,087 34,168,935 50,848
British Pound Buy 3/16/22 9,772,367 9,616,671 155,696
Canadian Dollar Buy 1/19/22 6,254,473 6,216,243 38,230
Canadian Dollar Sell 1/19/22 6,254,473 6,276,716 22,243
Euro Buy 3/16/22 3,476,840 3,466,784 10,056
Japanese Yen Buy 2/16/22 44,501,845 45,023,081 (521,236)
New Zealand Dollar Buy 1/19/22 29,641,586 30,330,498 (688,912)
New Zealand Dollar Sell 1/19/22 29,641,586 30,140,721 499,135
Norwegian Krone Sell 3/16/22 25,753 25,285 (468)
Swedish Krona Buy 3/16/22 1,595 1,575 20
Swiss Franc Buy 3/16/22 8,193,453 8,132,308 61,145
Barclays Bank PLC
Australian Dollar Buy 1/19/22 19,352,810 19,010,824 341,986
Australian Dollar Sell 1/19/22 19,352,810 19,376,371 23,561
British Pound Buy 3/16/22 8,192,172 8,129,563 62,609
Canadian Dollar Buy 1/19/22 38,394,608 38,137,207 257,401
Canadian Dollar Sell 1/19/22 38,394,608 39,101,035 706,427
Euro Sell 3/16/22 31,805,668 31,718,995 (86,673)
Japanese Yen Buy 2/16/22 29,664,706 30,014,536 (349,830)
New Zealand Dollar Buy 1/19/22 11,891,326 11,716,154 175,172
New Zealand Dollar Sell 1/19/22 11,891,326 12,091,099 199,773
Swedish Krona Buy 3/16/22 20,983 20,977 6
Swiss Franc Buy 3/16/22 13,814,409 13,715,960 98,449
Citibank, N.A.
Australian Dollar Buy 1/19/22 5,546,628 5,478,917 67,711
Australian Dollar Sell 1/19/22 5,546,628 5,754,098 207,470
British Pound Sell 3/16/22 16,082,866 15,826,829 (256,037)
Canadian Dollar Buy 1/19/22 36,159,530 35,724,361 435,169
Canadian Dollar Sell 1/19/22 36,159,530 36,713,652 554,122
Euro Sell 3/16/22 15,928,204 15,874,551 (53,653)
Japanese Yen Buy 2/16/22 21,970,878 22,234,017 (263,139)
New Zealand Dollar Buy 1/19/22 20,843,428 20,587,229 256,199
New Zealand Dollar Sell 1/19/22 20,843,428 21,164,818 321,390
Swedish Krona Sell 3/16/22 1,904,975 1,906,819 1,844
Swiss Franc Sell 3/16/22 6,661,741 6,611,766 (49,975)
Credit Suisse International
Australian Dollar Buy 1/19/22 198,847 194,493 4,354
Australian Dollar Sell 1/19/22 198,847 199,148 301
British Pound Sell 3/16/22 9,212,033 9,064,024 (148,009)
Canadian Dollar Buy 1/19/22 17,324,172 17,370,048 (45,876)
Canadian Dollar Sell 1/19/22 17,324,172 17,420,591 96,419
Euro Sell 3/16/22 10,253,567 10,219,331 (34,236)
New Zealand Dollar Buy 1/19/22 10,708,473 10,888,008 (179,535)
New Zealand Dollar Sell 1/19/22 10,708,475 10,548,693 (159,782)
Goldman Sachs International
Australian Dollar Buy 1/19/22 41,303,005 41,092,946 210,059
Australian Dollar Sell 1/19/22 41,303,005 41,333,724 30,719
British Pound Buy 3/16/22 15,917,241 15,731,913 185,328
Canadian Dollar Buy 1/19/22 119,472,160 120,157,471 (685,311)
Canadian Dollar Sell 1/19/22 119,472,160 118,646,360 (825,800)
Euro Sell 3/16/22 29,282,695 29,189,779 (92,916)
Japanese Yen Buy 2/16/22 6,281,107 6,325,944 (44,837)
New Zealand Dollar Buy 1/19/22 45,336,216 45,153,417 182,799
New Zealand Dollar Sell 1/19/22 45,336,216 46,247,656 911,440
Norwegian Krone Sell 3/16/22 1,747,693 1,716,460 (31,233)
Polish Zloty Buy 3/16/22 1,731,754 1,717,239 14,515
South African Rand Buy 1/19/22 5,987,201 6,430,474 (443,273)
South African Rand Sell 1/19/22 5,987,201 6,316,029 328,828
Swedish Krona Buy 3/16/22 76,604 76,698 (94)
Swiss Franc Buy 3/16/22 25,440,050 25,258,149 181,901
HSBC Bank USA, National Association
Australian Dollar Buy 1/19/22 19,077,422 18,668,682 408,740
Australian Dollar Sell 1/19/22 18,826,334 18,848,629 22,295
British Pound Sell 3/16/22 32,490,619 31,973,687 (516,932)
Canadian Dollar Buy 1/19/22 9,870,853 9,928,279 (57,426)
Canadian Dollar Sell 1/19/22 9,870,853 9,750,712 (120,141)
Euro Buy 3/16/22 31,690,055 31,584,409 105,646
Japanese Yen Buy 2/16/22 27,438,652 27,801,676 (363,024)
New Zealand Dollar Buy 1/19/22 13,252,638 13,728,120 (475,482)
New Zealand Dollar Sell 1/19/22 13,252,638 13,428,492 175,854
Swedish Krona Buy 3/16/22 42,732 42,784 (52)
Swiss Franc Sell 3/16/22 857,938 851,801 (6,137)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/19/22 3,648,010 3,415,787 232,223
British Pound Buy 3/16/22 4,825,563 4,748,947 76,616
Canadian Dollar Buy 1/19/22 24,926,823 25,489,632 (562,809)
Canadian Dollar Sell 1/19/22 24,926,823 24,908,518 (18,305)
Euro Buy 3/16/22 80,216,574 79,957,904 258,670
Japanese Yen Sell 2/16/22 26,461,220 26,774,921 313,701
New Zealand Dollar Buy 1/19/22 99,124,836 100,781,240 (1,656,404)
New Zealand Dollar Sell 1/19/22 99,124,836 97,824,964 (1,299,872)
Norwegian Krone Buy 3/16/22 185,990 180,145 5,845
Swedish Krona Sell 3/16/22 6,135 6,093 (42)
Swiss Franc Sell 3/16/22 5,026,242 4,989,162 (37,080)
Morgan Stanley & Co. International PLC
Australian Dollar Buy 1/19/22 69,411 1,641,974 (1,572,563)
British Pound Buy 3/16/22 2,963,509 2,987,097 (23,588)
Canadian Dollar Buy 1/19/22 96,444 1,025,335 (928,891)
Euro Buy 3/16/22 11,490,541 11,454,571 35,970
Japanese Yen Sell 2/16/22 6,798,999 6,868,281 69,282
New Zealand Dollar Sell 1/19/22 20,984,973 21,074,576 89,603
Norwegian Krone Sell 3/16/22 1,684,518 1,630,287 (54,231)
Swedish Krona Sell 3/16/22 3,145,586 3,130,053 (15,533)
Swiss Franc Sell 3/16/22 20,266,261 20,159,484 (106,777)
NatWest Markets PLC
Australian Dollar Buy 1/19/22 21,015,402 21,027,985 (12,583)
Australian Dollar Sell 1/19/22 21,015,402 21,144,151 128,749
British Pound Buy 3/16/22 15,227,411 14,970,260 257,151
Canadian Dollar Buy 1/19/22 2,590,187 2,558,700 31,487
Canadian Dollar Sell 1/19/22 2,590,187 2,605,142 14,955
Euro Sell 3/16/22 49,170,716 49,036,273 (134,443)
Japanese Yen Sell 2/16/22 5,792,661 5,848,192 55,531
New Zealand Dollar Buy 1/19/22 86,242,127 85,445,103 797,024
New Zealand Dollar Sell 1/19/22 86,242,127 87,688,670 1,446,543
Norwegian Krone Buy 3/16/22 9,151 8,865 286
Swiss Franc Buy 3/16/22 7,047,557 6,997,315 50,242
State Street Bank and Trust Co.
Australian Dollar Sell 1/19/22 21,480,760 23,039,834 1,559,074
British Pound Sell 3/16/22 47,439,826 46,692,624 (747,202)
Canadian Dollar Sell 1/19/22 30,539,145 30,874,880 335,735
Euro Sell 3/16/22 73,967,749 73,794,797 (172,952)
Japanese Yen Sell 2/16/22 148,142,452 149,924,307 1,781,855
New Zealand Dollar Buy 1/19/22 4,467,901 7,312,192 (2,844,291)
Norwegian Krone Sell 3/16/22 2,890,484 2,801,038 (89,446)
Swedish Krona Sell 3/16/22 12,226,155 12,230,182 4,027
Swiss Franc Buy 3/16/22 31,501,253 31,269,783 231,470
Toronto-Dominion Bank
Australian Dollar Buy 1/19/22 33,716,390 33,897,288 (180,898)
Australian Dollar Sell 1/19/22 33,716,390 32,976,687 (739,703)
British Pound Sell 3/16/22 4,063,205 3,927,393 (135,812)
Canadian Dollar Buy 1/19/22 69,051,148 68,462,733 588,415
Canadian Dollar Sell 1/19/22 69,051,148 70,008,395 957,247
Euro Sell 3/16/22 34,432,967 34,381,455 (51,512)
Japanese Yen Buy 2/16/22 15,862,930 16,016,800 (153,870)
New Zealand Dollar Buy 1/19/22 14,739,336 14,522,791 216,545
New Zealand Dollar Sell 1/19/22 14,739,336 14,983,266 243,930
Norwegian Krone Sell 3/16/22 3,613,291 3,523,895 (89,396)
Swedish Krona Sell 3/16/22 6,357,667 6,364,049 6,382
UBS AG
Australian Dollar Buy 1/19/22 36,557,224 35,770,124 787,100
Australian Dollar Sell 1/19/22 36,557,224 37,096,281 539,057
British Pound Buy 3/16/22 15,743,363 15,489,626 253,737
Canadian Dollar Buy 1/19/22 44,436,033 44,705,365 (269,332)
Canadian Dollar Sell 1/19/22 44,436,033 45,195,596 759,563
Euro Buy 3/16/22 82,881,954 82,614,300 267,654
Japanese Yen Buy 2/16/22 98,020,498 99,126,818 (1,106,320)
New Zealand Dollar Buy 1/19/22 36,481,494 37,619,660 (1,138,166)
New Zealand Dollar Sell 1/19/22 36,481,494 36,370,486 (111,008)
Norwegian Krone Buy 3/16/22 45,157 44,105 1,052
Swedish Krona Buy 3/16/22 54,602 54,438 164
Swiss Franc Sell 3/16/22 2,202,069 2,186,332 (15,737)
WestPac Banking Corp.
British Pound Buy 3/16/22 17,405,694 17,128,445 277,249
Canadian Dollar Buy 1/19/22 12,213,365 12,280,287 (66,922)
Canadian Dollar Sell 1/19/22 12,213,365 12,067,487 (145,878)
Euro Sell 3/16/22 11,264,786 11,229,149 (35,637)
Japanese Yen Sell 2/16/22 3,391,671 3,430,995 39,324
New Zealand Dollar Buy 1/19/22 27,810,091 28,063,567 (253,476)
New Zealand Dollar Sell 1/19/22 27,810,089 28,260,141 450,052
Unrealized appreciation 21,311,792
Unrealized (depreciation) (21,270,698)
Total $41,094
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
    Number of contracts Notional amount Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 13,164 $2,872,014,576 $2,872,014,576 Mar-22 $2,549,517
U.S. Treasury Note Ultra 10 yr (Short) 1,731 253,483,313 253,483,313 Mar-22 (4,223,207)
Unrealized appreciation 2,549,517
Unrealized (depreciation) (4,223,207)
Total $(1,673,690)








WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/21 (premiums $95,717,385) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
0.985/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.985 $306,920,900 $2,522,890
Citibank, N.A.
2.395/3 month USD-LIBOR-BBA/Nov-33 Nov-23/2.395 16,867,200 302,935
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 53,655,100 3,062,633
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 53,655,100 3,403,880
Goldman Sachs International
1.722/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 28,942,000 1,625,739
(1.722)/6 month GBP-LIBOR-BBA/Feb-39 Feb-29/1.722 GBP 28,942,000 3,710,212
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 $17,076,600 291,668
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 27,236,800 419,719
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 27,236,800 1,338,689
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 196,939,100 1,349,033
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 63,672,400 1,434,597
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 $17,076,600 1,600,419
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 63,672,400 8,520,595
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $196,939,100 27,396,198
Morgan Stanley & Co. International PLC
1.6075/3 month USD-LIBOR-BBA/Mar-27 Mar-22/1.6075 25,182,800 88,392
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 22,892,700 446,637
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 22,892,700 457,854
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 58,978,200 937,753
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 58,978,200 1,872,558
(2.75)/3 month USD-LIBOR-BBA/Dec-47 Dec-24/2.75 10,000,000 2,036,200
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 22,892,700 2,716,219
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 22,892,700 2,781,234
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 44,214,400 9,449,059
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 44,214,400 11,273,788
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 44,214,400 11,394,935
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23 Sep-22/0.84 GBP 420,542,200 2,550,128
0.68/Sterling Overnight Index Average/Sep-23 Sep-22/0.68 GBP 420,542,200 3,227,505
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 $2,531,000 137,509
1.65/3 month USD-LIBOR-BBA/Jan-32 Jan-22/1.65 67,062,800 388,964
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 5,061,900 968,139
UBS AG
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 62,240,100 3,048,520
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 62,240,100 3,662,830
Total $114,417,431








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 $99,263,300 $(12,904,229) $7,824,926
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 357,636,500 (3,299,197) 4,148,583
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 30,236,900 (4,900,197) 4,053,854
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 $54,490,500 (3,901,520) 2,592,658
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) Apr-24/2.17 186,994,200 (9,031,820) 2,571,170
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 15,990,750 (3,647,054) 1,919,221
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) May-22/0.305 $375,840,500 (451,009) 1,597,322
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 27,749,600 (2,025,721) 1,410,790
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) Mar-24/2.29 65,447,700 (3,219,092) 1,301,100
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 24,024,100 (3,129,139) 846,369
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 295,887,000 (1,912,170) 260,381
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76 295,887,000 (1,912,170) 215,998
1.39/3 month USD-LIBOR-BBA/Dec-26 (Purchased) Dec-24/1.39 115,832,300 (1,332,071) (90,349)
(1.39)/3 month USD-LIBOR-BBA/Dec-26 (Purchased) Dec-24/1.39 115,832,300 (1,332,071) (93,824)
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 18,018,000 (537,596) (346,306)
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) May-22/2.2875 75,168,000 (977,184) (773,479)
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 15,990,750 (3,647,054) (856,931)
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased) Oct-24/2.485 $72,336,100 (4,365,484) (1,022,832)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85 27,749,600 (2,025,721) (1,105,822)
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 30,236,900 (2,450,099) (1,139,458)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275 $24,024,100 (3,129,139) (1,253,337)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925 54,490,500 (3,901,520) (2,012,879)
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275 357,636,500 (3,299,197) (3,190,118)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075 18,018,000 (7,231,766) (4,602,698)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35 99,263,300 (12,904,229) (5,700,691)
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written) Oct-23/2.415 224,241,800 4,737,108 1,000,118
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) May-22/1.7875 37,584,000 1,052,352 619,760
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 295,887,000 1,246,424 340,270
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) Mar-24/1.29 93,496,900 1,458,552 (470,289)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) Apr-24/1.085 373,987,700 5,132,981 (826,513)
0.805/3 month USD-LIBOR-BBA/May-23 (Written) May-22/0.805 751,680,600 244,296 (1,014,769)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115 295,887,000 1,246,424 (1,142,124)
Citibank, N.A.
(1.529)/3 month USD-LIBOR-BBA/Sep-32 (Purchased) Sep-22/1.529 291,254,000 (7,741,593) 1,482,483
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 11,217,000 (1,444,189) 941,779
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 14,732,300 (468,119) 474,822
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90 166,388,200 (2,217,955) 262,893
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 25,233,100 (3,721,882) 222,051
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427 9,949,800 (724,843) 199,692
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased) Sep-22/2.194 29,866,100 (732,541) (47,487)
(1.37)/3 month USD-LIBOR-BBA/Mar-32 (Purchased) Mar-22/1.37 150,196,700 (2,237,931) (76,600)
1.37/3 month USD-LIBOR-BBA/Mar-32 (Purchased) Mar-22/1.37 150,196,700 (2,237,931) (163,714)
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427 9,949,800 (724,843) (178,201)
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625 25,233,100 (3,721,882) (277,312)
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90 166,388,200 (2,217,955) (316,138)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102 14,732,300 (468,119) (358,142)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 11,217,000 (1,444,189) (1,019,737)
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 250,345,100 2,290,658 1,341,850
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245 250,345,100 2,290,658 813,622
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194 166,388,200 1,261,223 633,939
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 10,633,700 806,034 359,313
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 30,373,100 3,632,623 211,093
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918 30,373,100 3,632,623 (166,445)
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177 10,633,700 806,034 (318,479)
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written) Sep-22/1.7075 143,357,600 759,795 (604,969)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194 166,388,200 1,261,223 (717,133)
1.849/3 month USD-LIBOR-BBA/Sep-32 (Written) Sep-22/1.849 582,508,000 8,760,574 (1,409,669)
Goldman Sachs International
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 233,622,900 (1,037,942) 1,388,414
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 $8,348,800 (1,054,036) 635,928
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 15,897,000 (1,457,755) 224,943
(1.557)/3 month USD-LIBOR-BBA/Feb-32 (Purchased) Feb-22/1.557 69,093,500 (960,400) (171,352)
(1.7355)/3 month USD-LIBOR-BBA/Feb-32 (Purchased) Feb-22/1.7355 41,941,000 (644,472) (383,341)
1.557/3 month USD-LIBOR-BBA/Feb-32 (Purchased) Feb-22/1.557 69,093,500 (960,400) (402,124)
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 233,622,900 (1,037,942) (417,588)
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727 $15,897,000 (2,376,602) (533,662)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 8,348,800 (1,054,036) (647,282)
1.9555/3 month USD-LIBOR-BBA/Feb-32 (Written) Feb-22/1.9555 83,882,000 634,150 449,608
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 22,704,300 3,428,622 439,947
(1.71)/3 month USD-LIBOR-BBA/Dec-56 (Written) Dec-26/1.71 $65,100 8,815 466
1.71/3 month USD-LIBOR-BBA/Dec-56 (Written) Dec-26/1.71 65,100 8,815 (27)
2.41/3 month USD-LIBOR-BBA/Aug-33 (Written) Aug-23/2.41 88,528,900 1,292,522 (102,694)
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 233,622,900 2,605,303 (199,485)
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 22,704,300 3,428,622 (245,306)
2.07/3 month USD-LIBOR-BBA/Aug-33 (Written) Aug-23/2.07 $80,380,800 1,663,883 (273,295)
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 233,622,900 2,605,303 (774,001)
JPMorgan Chase Bank N.A.
(0.5825)/3 month USD-LIBOR-BBA/Oct-23 (Purchased) Oct-22/0.5825 $1,285,172,100 (2,184,793) 5,847,533
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 29,488,100 (3,771,047) 5,626,365
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $41,743,200 (5,828,394) 5,327,267
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 11,217,000 (1,734,148) 1,058,212
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 25,226,900 (945,635) 711,027
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $22,444,300 (2,592,317) 677,593
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 18,696,100 (1,080,635) 669,694
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 12,083,500 (714,644) 605,636
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 19,590,000 (611,186) 453,949
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 13,662,300 (849,629) 263,211
(1.805)/3 month USD-LIBOR-BBA/Dec-36 (Purchased) Dec-26/1.805 $10,779,000 (639,195) 11,102
(1.6875)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-22/1.6875 100,731,200 (176,280) (27,197)
1.805/3 month USD-LIBOR-BBA/Dec-36 (Purchased) Dec-26/1.805 10,779,000 (639,195) (58,314)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 13,662,300 (849,629) (115,900)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 19,590,000 (611,186) (336,506)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 12,083,500 (714,644) (481,063)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 25,226,900 (945,635) (539,970)
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032 $22,444,300 (2,592,317) (722,258)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 11,217,000 (1,203,584) (868,084)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 18,696,100 (1,944,394) (978,367)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 29,488,100 (3,771,047) (2,503,815)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 $41,743,200 (5,828,394) (5,826,933)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 39,852,700 2,560,536 1,181,633
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 31,601,400 2,355,884 1,011,245
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 29,457,400 1,895,584 928,792
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 8,470,500 305,743 103,903
1.8875/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-22/1.8875 $100,731,200 95,695 13,095
2.0875/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-22/2.0875 100,731,200 50,366 5,037
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 8,470,500 305,743 (173,542)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168 $29,457,400 1,895,584 (918,776)
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204 31,601,400 2,355,884 (932,873)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232 39,852,700 2,560,536 (1,096,746)
1.0325/3 month USD-LIBOR-BBA/Oct-23 (Written) Oct-22/1.0325 1,285,172,100 771,103 (3,251,485)
0.8075/3 month USD-LIBOR-BBA/Oct-23 (Written) Oct-22/0.8075 1,285,172,100 1,220,913 (4,575,213)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 28,548,700 (3,257,407) 7,182,853
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 11,217,000 (1,206,949) 850,024
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 11,217,000 (1,718,444) (1,195,957)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 28,548,700 (3,257,407) (2,920,247)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 116,296,100 6,122,990 3,429,572
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39 116,296,100 6,122,990 (2,799,247)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 47,611,800 (1,636,656) 299,954
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 9,114,500 (635,736) 193,774
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 19,044,700 (996,038) 88,558
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937 19,044,700 (996,038) (55,420)
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405 9,114,500 (635,736) (137,629)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50 47,611,800 (1,636,656) (716,081)
1.775/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 23,697,700 645,762 497,652
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 8,225,800 1,081,693 333,967
(1.775)/3 month USD-LIBOR-BBA/Mar-32 (Written) Mar-22/1.775 23,697,700 645,762 121,806
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095 8,225,800 1,081,693 (307,727)
UBS AG
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 30,492,000 (1,594,776) 957,444
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 $47,307,400 (1,002,917) 864,306
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 18,922,800 (1,058,731) 836,766
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 157,691,000 (1,063,626) 734,840
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 22,869,000 (1,794,123) 604,825
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 $63,076,400 (999,761) 564,534
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 18,295,200 (1,439,188) 468,446
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 7,622,900 (1,153,465) 280,842
1.175/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 27,985,900 (2,544,046) 178,416
(0.762)/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 11,981,800 (1,105,033) 151,314
1.87/3 month USD-LIBOR-BBA/Jul-46 (Purchased) Jul-41/1.87 $48,828,900 (2,270,544) 103,029
(1.175)/6 month GBP-LIBOR-BBA/Jan-40 (Purchased) Jan-30/1.175 GBP 27,985,900 (2,544,046) (2,273)
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 21,121,500 (1,124,193) (15,982)
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 21,121,500 (1,124,193) (18,440)
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $9,522,400 (859,397) (116,554)
(1.87)/3 month USD-LIBOR-BBA/Jul-46 (Purchased) Jul-41/1.87 48,828,900 (2,270,544) (139,162)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 7,622,900 (1,153,465) (217,227)
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715 $9,522,400 (859,397) (235,394)
0.32/6 month EUR-EURIBOR-Reuters/Sep-52 (Purchased) Sep-22/0.32 EUR 42,242,800 (2,567,710) (270,766)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 18,295,200 (1,439,188) (282,234)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 22,869,000 (1,794,123) (358,781)
0.762/6 month GBP-LIBOR-BBA/Aug-39 (Purchased) Aug-29/0.762 GBP 11,981,800 (1,105,033) (363,445)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983 $63,076,400 (999,761) (435,858)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 30,492,000 (1,594,776) (463,100)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87 $157,691,000 (1,063,626) (542,457)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902 18,922,800 (1,058,731) (724,932)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925 47,307,400 (1,002,917) (823,149)
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 37,845,900 1,005,755 568,067
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 11,145,900 893,551 342,112
(0.16)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) Sep-22/0.16 EUR 42,242,800 1,689,809 115,905
(0.00)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) Sep-22/0.00 EUR 42,242,800 1,095,376 25,490
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 11,145,900 893,551 (145,169)
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958 $37,845,900 1,005,755 (790,222)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 66,656,600 (1,364,794) 525,254
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 28,167,600 (1,404,859) 434,908
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 47,611,800 (977,232) 395,178
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 48,216,700 (3,264,271) 91,612
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96 48,216,700 (3,264,271) 80,040
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875 47,611,800 (977,232) (289,004)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405 66,656,600 (1,364,794) (377,943)
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16 28,167,600 (1,404,859) (424,206)
Unrealized appreciation 86,602,145
Unrealized (depreciation) (74,022,250)
Total $12,579,895








TBA SALE COMMITMENTS OUTSTANDING at 12/31/21 (proceeds receivable $967,993,672) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 1/1/52 $3,000,000 1/20/22 $3,124,296
Uniform Mortgage-Backed Securities, 5.50%, 1/1/52 11,000,000 1/13/22 11,900,642
Uniform Mortgage-Backed Securities, 4.00%, 1/1/52 185,000,000 1/13/22 196,786,535
Uniform Mortgage-Backed Securities, 3.50%, 1/1/52 255,000,000 1/13/22 268,546,926
Uniform Mortgage-Backed Securities, 3.00%, 1/1/52 68,000,000 1/13/22 70,472,970
Uniform Mortgage-Backed Securities, 2.50%, 1/1/52 30,000,000 1/13/22 30,632,826
Uniform Mortgage-Backed Securities, 2.00%, 1/1/52 388,000,000 1/13/22 387,066,394
Total $968,530,589










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$62,344,000 $225,685 (E) $(86,421) 3/16/32 Secured Overnight Financing Rate — Annually 1.385% — Annually $139,264
3,128,580,000 1,908,434 (E) (1,675,622) 3/16/24 Secured Overnight Financing Rate — Annually 0.90% — Annually 232,812
3,615,000 14,243 (E) (16,545) 3/16/27 Secured Overnight Financing Rate — Annually 1.25% — Annually (2,302)
1,584,318,000 6,242,213 (E) 7,122,408 3/16/27 1.25% — Annually Secured Overnight Financing Rate — Annually 880,195
182,819,000 921,408 (E) (1,119,994) 3/16/32 Secured Overnight Financing Rate — Annually 1.40% — Annually (198,587)
22,251,000 112,145 (E) 145,793 3/16/32 1.40% — Annually Secured Overnight Financing Rate — Annually 33,648
185,070,000 6,212,800 (E) (6,775,325) 3/16/52 Secured Overnight Financing Rate — Annually 1.60% — Annually (562,525)
114,000 3,827 (E) 4,183 3/16/52 1.60% — Annually Secured Overnight Financing Rate — Annually 356
178,113,000 128,241 8,605 12/23/23 0.695% — Annually Secured Overnight Financing Rate — Annually 107,879
86,795,000 112,834 7,460 12/23/26 1.085% — Annually Secured Overnight Financing Rate — Annually 97,715
88,939,000 229,462 (23,139) 12/23/31 Secured Overnight Financing Rate — Annually 1.285% — Annually (235,361)
4,249,000 16,104 (7,566) 12/23/51 Secured Overnight Financing Rate — Annually 1.437% — Annually (22,190)
245,670,000 167,056 (24,998) 12/24/23 0.697% — Annually Secured Overnight Financing Rate — Annually 106,599
22,430,000 17,271 (3,002) 12/24/26 1.096% — Annually Secured Overnight Financing Rate — Annually 9,042
73,987,000 191,626 (33,029) 12/24/31 1.285% — Annually Secured Overnight Financing Rate — Annually 138,251
97,957,000 419,256 (52,939) 12/24/51 1.435% — Annually Secured Overnight Financing Rate — Annually 336,113
79,246,000 322,531 (1,051) 12/30/31 1.27% — Annually Secured Overnight Financing Rate — Annually 315,999
34,637,000 59,922 (459) 12/31/31 1.331% — Annually Secured Overnight Financing Rate — Annually (61,662)
52,155,000 8,345 (197) 12/31/23 0.7415% — Annually Secured Overnight Financing Rate — Annually (9,616)
7,986,000 5,191 (65) 12/31/26 Secured Overnight Financing Rate — Annually 1.126% — Annually 5,376
61,600,000 190,344 (E) (115,817) 3/16/29 Secured Overnight Financing Rate — Annually 1.30% — Annually 74,527
149,937,400 242,899 (E) (1,988) 1/7/32 Secured Overnight Financing Rate — Annually 1.333% — Annually 240,910
13,500,000 222,210 (460) 12/31/51 1.5195% — Annually Secured Overnight Financing Rate — Annually (223,240)
29,000,000 102,370 (385) 12/31/31 1.35% — Annually Secured Overnight Financing Rate — Annually (103,842)
42,800,000 74,044 (346) 12/31/26 1.148% — Annually Secured Overnight Financing Rate — Annually (75,755)
53,288,000 949,059 (8,686) 12/31/51 1.525% — Annually Secured Overnight Financing Rate — Annually (959,928)
16,267,000 17,731 (2,158) 12/31/26 Secured Overnight Financing Rate — Annually 1.135% — Annually 16,086
17,897,000 71,767 15,524 12/31/31 Secured Overnight Financing Rate — Annually 1.355% — Annually 87,964
1,150,000 12,363 (34) 12/31/41 1.541% — Annually Secured Overnight Financing Rate — Annually (12,446)
740,000 12,639 (25) 12/31/51 1.522% — Annually Secured Overnight Financing Rate — Annually (12,696)
1,770,000 10,939 (34) 12/31/34 1.4425% — Annually Secured Overnight Financing Rate — Annually (11,043)
AUD 1,119,500 45,555 (E) (11) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 45,543
AUD 3,719,600 204,047 (E) (37) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 204,010
AUD 1,399,700 82,853 (E) (12) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 82,841
AUD 2,018,200 107,791 (E) (24) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 107,767
AUD 7,680,600 532,259 (E) (92) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 532,167
AUD 483,400 45,721 (E) (11) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 45,710
AUD 24,600,000 124,389 (271) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (48,607)
AUD 3,471,000 1,364 (E) (3,333) 3/16/32 6 month AUD-BBR-BBSW — Semiannually 2.04% — Semiannually (1,969)
CAD 29,530,000 157,577 (E) 80,090 3/16/32 3 month CAD-BA-CDOR — Semiannually 2.08% — Semiannually 237,668
CHF 35,273,000 722,338 (E) 61,007 3/16/32 0.07% plus Swiss Average Rate Overnight — Annually — (661,331)
EUR 7,235,600 2,254,584 (E) (277) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (2,254,862)
EUR 9,840,300 2,586,142 (381) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 2,744,358
EUR 10,864,000 2,571,940 (415) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (2,722,763)
EUR 11,002,000 2,418,101 (420) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (2,564,609)
EUR 13,678,600 2,597,902 (528) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (2,757,258)
EUR 13,443,000 3,590,213 (E) (509) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 3,589,704
EUR 14,233,000 2,419,460 (541) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (2,605,329)
EUR 10,466,600 1,812,934 (E) (401) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (1,813,335)
EUR 9,550,400 1,192,021 (367) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (1,302,351)
EUR 8,829,000 822,138 (337) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (913,549)
EUR 22,091,800 187,882 (E) (840) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 187,042
EUR 12,792,500 1,273,645 (E) (483) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (1,274,127)
EUR 20,383,200 1,642,540 (766) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 1,546,735
EUR 70,039,500 2,122,678 (2,643) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually 2,705,676
EUR 8,796,100 1,081,050 (E) (329) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 1,080,722
EUR 4,363,500 1,044,887 (E) (168) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 1,044,718
EUR 23,312,400 1,408,274 (E) (494) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually (1,408,769)
EUR 10,527,400 590,043 (E) (230) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 589,814
EUR 15,952,000 896,989 (E) (369) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 896,620
EUR 5,045,400 282,212 (E) (117) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 282,095
EUR 17,295,900 178,995 (705) 5/21/51 6 month EUR-EURIBOR-REUTERS — Semiannually 0.516% — Annually 253,683
EUR 16,158,000 180,832 (277) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 157,988
EUR 15,809,000 363,931 (271) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 313,533
EUR 3,168,200 125,379 (E) (127) 9/14/52 6 month EUR-EURIBOR-REUTERS — Semiannually 0.374% — Annually (125,507)
EUR 1,270,000 11,104 27,725 12/15/51 0.451% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 38,171
EUR 1,730,000 39,471 (16,124) 12/15/31 0.101% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 22,754
EUR 610,000 7,653 1,155 12/15/26 — 0.201% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 8,691
EUR 4,400,000 13,876 (15,926) 12/15/23 — 0.451% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (2,338)
EUR 39,210,000 818,708 (E) 24,096 3/16/32 6 month EUR-EURIBOR-REUTERS — Semiannually 0.15% — Annually (794,612)
GBP 9,933,800 236,917 (197) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (177,808)
GBP 168,216,700 289,166 (E) (866) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 288,300
GBP 11,974,000 172,609 (E) 106,329 3/16/32 0.85% — Annually Sterling Overnight Index Average — Annually 278,938
JPY 732,682,200 508,858 (E) (209) 8/29/43 0.8084% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually (509,067)
JPY 929,267,100 231,771 (E) (265) 8/29/43 0.2529% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually 231,506
JPY 1,690,202,100 5,437 (198) 2/25/31 0.0619% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually (6,263)
JPY 1,690,202,100 735 (29) 2/25/22 6 month JPY-LIBOR-BBA — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually 1,214
JPY 1,805,778,500 175,036 (E) (513) 8/29/43 Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually 0.343% — Annually (175,549)
NOK 277,009,000 645,454 (E) (68,840) 3/16/32 1.695% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 576,614
NZD 41,891,000 231,538 (E) (99,750) 3/16/32 2.590% — Semiannually 3 month NZD-BBR-FRA — Quarterly 131,788
SEK 98,072,000 156,612 (E) 7,263 3/16/32 0.850% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 163,875
Total $(2,557,350) $(3,398,215)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC
$13,562,248 $13,075,860 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/25 — Annually $(345,436)
13,597,326 13,238,252 — 7/17/24 3.825% (3 month USD-LIBOR-BBA minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 7/10/24 — Quarterly (356,533)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (701,969)
Total $— Total $(701,969)








CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/21 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
$168,767,000 $6,565,036 $(3,072) 1/15/32 2.78% — At maturity USA Non-revised Consumer Price Index- Urban (CPI-U) — At maturity $(6,568,108)
Total $(3,072) $(6,568,108)








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received by fund Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index B+/P $39,713 $580,476 $162,417 5/11/63 300 bp — Monthly $(122,365)
CMBX NA BBB-.6 Index B+/P 79,608 1,319,808 369,282 5/11/63 300 bp — Monthly (288,904)
CMBX NA BBB-.6 Index B+/P 163,473 2,645,611 740,242 5/11/63 300 bp — Monthly (575,225)
CMBX NA BBB-.6 Index B+/P 155,838 2,731,534 764,283 5/11/63 300 bp — Monthly (606,851)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index BBB+/P 1,843 11,000 1,077 5/11/63 200 bp — Monthly 770
CMBX NA A.6 Index BBB+/P 2,723 18,000 1,762 5/11/63 200 bp — Monthly 967
CMBX NA A.6 Index BBB+/P 6,851 54,000 5,287 5/11/63 200 bp — Monthly 1,586
CMBX NA A.6 Index BBB+/P 9,975 60,000 5,874 5/11/63 200 bp — Monthly 4,124
CMBX NA A.6 Index BBB+/P 13,012 109,000 10,671 5/11/63 200 bp — Monthly 2,383
CMBX NA A.6 Index BBB+/P 21,048 119,000 11,650 5/11/63 200 bp — Monthly 9,444
CMBX NA A.6 Index BBB+/P 14,218 121,000 11,846 5/11/63 200 bp — Monthly 2,419
CMBX NA A.6 Index BBB+/P 33,320 238,000 23,300 5/11/63 200 bp — Monthly 10,112
CMBX NA BB.11 Index BB-/P 877,445 1,553,000 142,100 11/18/54 500 bp — Monthly 736,856
CMBX NA BB.13 Index BB-/P 12,597 126,000 12,839 12/16/72 500 bp — Monthly (120)
CMBX NA BB.13 Index BB-/P 12,757 140,000 14,266 12/16/72 500 bp — Monthly (1,373)
CMBX NA BB.13 Index BB-/P 20,857 221,000 22,520 12/16/72 500 bp — Monthly (1,448)
CMBX NA BB.13 Index BB-/P 50,236 551,000 56,147 12/16/72 500 bp — Monthly (5,375)
CMBX NA BB.6 Index B-/P 2,294,788 15,357,120 6,767,883 5/11/63 500 bp — Monthly (4,458,133)
CMBX NA BB.7 Index B/P 596,583 11,690,000 3,940,699 1/17/47 500 bp — Monthly (3,332,750)
CMBX NA BB.9 Index B/P 60,061 295,000 68,116 9/17/58 500 bp — Monthly (7,767)
CMBX NA BB.9 Index B/P 381,487 1,868,000 431,321 9/17/58 500 bp — Monthly (48,017)
CMBX NA BBB-.10 Index BB+/P 94,147 863,000 77,152 11/17/59 300 bp — Monthly 17,498
CMBX NA BBB-.11 Index BBB-/P 197,118 3,147,000 148,538 11/18/54 300 bp — Monthly 50,415
CMBX NA BBB-.12 Index BBB-/P 69,907 441,000 22,756 8/17/61 300 bp — Monthly 47,409
CMBX NA BBB-.12 Index BBB-/P 28,903 693,000 35,759 8/17/61 300 bp — Monthly (6,452)
CMBX NA BBB-.12 Index BBB-/P 122,459 2,078,000 107,225 8/17/61 300 bp — Monthly 16,447
CMBX NA BBB-.13 Index BBB-/P 52,918 1,130,000 58,421 12/16/72 300 bp — Monthly (4,844)
CMBX NA BBB-.14 Index BBB-/P 280 9,000 422 12/16/72 300 bp — Monthly (136)
CMBX NA BBB-.14 Index BBB-/P 1,144 28,000 1,313 12/16/72 300 bp — Monthly (153)
CMBX NA BBB-.14 Index BBB-/P 2,174 49,000 2,298 12/16/72 300 bp — Monthly (95)
CMBX NA BBB-.14 Index BBB-/P 3,214 76,000 3,564 12/16/72 300 bp — Monthly (306)
CMBX NA BBB-.14 Index BBB-/P 3,431 105,000 4,925 12/16/72 300 bp — Monthly (1,432)
CMBX NA BBB-.14 Index BBB-/P 5,700 114,000 5,347 12/16/72 300 bp — Monthly 420
CMBX NA BBB-.14 Index BBB-/P 8,379 273,000 12,804 12/16/72 300 bp — Monthly (4,266)
CMBX NA BBB-.14 Index BBB-/P 26,117 803,000 37,661 12/16/72 300 bp — Monthly (11,074)
CMBX NA BBB-.14 Index BBB-/P 53,704 1,178,000 55,248 12/16/72 300 bp — Monthly (856)
CMBX NA BBB-.6 Index B+/P 1,999 24,977 6,989 5/11/63 300 bp — Monthly (4,976)
CMBX NA BBB-.6 Index B+/P 30,475 105,904 29,632 5/11/63 300 bp — Monthly 904
CMBX NA BBB-.6 Index B+/P 30,475 105,904 29,632 5/11/63 300 bp — Monthly 904
CMBX NA BBB-.6 Index B+/P 9,825 148,866 41,653 5/11/63 300 bp — Monthly (31,740)
CMBX NA BBB-.6 Index B+/P 13,207 193,825 54,232 5/11/63 300 bp — Monthly (40,912)
CMBX NA BBB-.6 Index B+/P 62,408 211,809 59,264 5/11/63 300 bp — Monthly 3,267
CMBX NA BBB-.6 Index B+/P 17,502 265,760 74,360 5/11/63 300 bp — Monthly (56,703)
CMBX NA BBB-.6 Index B+/P 473,517 7,429,292 2,078,716 5/11/63 300 bp — Monthly (1,600,862)
Credit Suisse International
CMBX NA BB.7 Index B/P 369,046 2,759,000 930,059 1/17/47 500 bp — Monthly (558,331)
CMBX NA BBB-.6 Index B+/P 281,868 2,548,699 713,126 5/11/63 300 bp — Monthly (429,770)
CMBX NA BBB-.6 Index B+/P 511,694 4,626,823 1,294,585 5/11/63 300 bp — Monthly (780,191)
CMBX NA BBB-.6 Index B+/P 16,869,642 179,374,052 50,188,860 5/11/63 300 bp — Monthly (33,214,488)
CMBX NA BBB-.7 Index BB-/P 1,788,740 24,200,000 4,859,360 1/17/47 300 bp — Monthly (3,056,504)
Deutsche Bank AG
CMBX NA BBB-.6 Index B+/P 54,693 512,537 143,408 5/11/63 300 bp — Monthly (88,416)
Goldman Sachs International
CMBX NA BBB-.6 Index B+/P 350,890 2,262,957 633,175 5/11/63 300 bp — Monthly (280,964)
CMBX NA BB.9 Index B/P 1,088,578 2,692,000 621,583 9/17/58 500 bp — Monthly 469,612
CMBX NA BBB-.13 Index BBB-/P 3,957 86,000 4,446 12/16/72 300 bp — Monthly (439)
CMBX NA BBB-.14 Index BBB-/P 4,547 120,000 5,628 12/16/72 300 bp — Monthly (1,011)
CMBX NA BBB-.14 Index BBB-/P 7,230 251,000 11,772 12/16/72 300 bp — Monthly (4,396)
CMBX NA BBB-.14 Index BBB-/P 35,041 1,216,500 57,054 12/16/72 300 bp — Monthly (21,303)
CMBX NA BBB-.6 Index B+/P 1,473 10,990 3,075 5/11/63 300 bp — Monthly (1,596)
CMBX NA BBB-.6 Index B+/P 1,061 13,987 3,914 5/11/63 300 bp — Monthly (2,844)
CMBX NA BBB-.6 Index B+/P 1,327 14,986 4,193 5/11/63 300 bp — Monthly (2,857)
CMBX NA BBB-.6 Index B+/P 1,683 20,981 5,871 5/11/63 300 bp — Monthly (4,175)
CMBX NA BBB-.6 Index B+/P 7,130 26,976 7,548 5/11/63 300 bp — Monthly (402)
CMBX NA BBB-.6 Index B+/P 4,131 28,974 8,107 5/11/63 300 bp — Monthly (3,959)
CMBX NA BBB-.6 Index B+/P 12,684 44,959 12,580 5/11/63 300 bp — Monthly 131
CMBX NA BBB-.6 Index B+/P 12,684 44,959 12,580 5/11/63 300 bp — Monthly 131
CMBX NA BBB-.6 Index B+/P 19,080 71,935 20,127 5/11/63 300 bp — Monthly (1,005)
CMBX NA BBB-.6 Index B+/P 9,848 73,933 20,687 5/11/63 300 bp — Monthly (10,796)
CMBX NA BBB-.6 Index B+/P 9,582 113,897 31,868 5/11/63 300 bp — Monthly (22,219)
CMBX NA BBB-.6 Index B+/P 12,549 124,887 34,943 5/11/63 300 bp — Monthly (22,322)
CMBX NA BBB-.6 Index B+/P 6,424 129,883 36,341 5/11/63 300 bp — Monthly (29,841)
CMBX NA BBB-.6 Index B+/P 8,299 161,854 45,287 5/11/63 300 bp — Monthly (36,893)
CMBX NA BBB-.6 Index B+/P 8,498 163,852 45,846 5/11/63 300 bp — Monthly (37,253)
CMBX NA BBB-.6 Index B+/P 13,043 177,839 49,759 5/11/63 300 bp — Monthly (36,613)
CMBX NA BBB-.6 Index B+/P 13,121 177,839 49,759 5/11/63 300 bp — Monthly (36,534)
CMBX NA BBB-.6 Index B+/P 24,289 208,811 58,425 5/11/63 300 bp — Monthly (34,015)
CMBX NA BBB-.6 Index B+/P 29,106 268,757 75,198 5/11/63 300 bp — Monthly (45,935)
CMBX NA BBB-.6 Index B+/P 14,866 284,743 79,671 5/11/63 300 bp — Monthly (64,639)
CMBX NA BBB-.6 Index B+/P 43,555 288,739 80,789 5/11/63 300 bp — Monthly (37,066)
CMBX NA BBB-.6 Index B+/P 46,663 421,619 117,969 5/11/63 300 bp — Monthly (71,059)
CMBX NA BBB-.6 Index B+/P 32,064 504,544 141,172 5/11/63 300 bp — Monthly (108,814)
CMBX NA BBB-.6 Index B+/P 40,545 533,518 149,278 5/11/63 300 bp — Monthly (108,421)
CMBX NA BBB-.6 Index B+/P 154,943 565,489 158,224 5/11/63 300 bp — Monthly (2,951)
CMBX NA BBB-.6 Index B+/P 78,601 712,357 199,317 5/11/63 300 bp — Monthly (120,300)
CMBX NA BBB-.6 Index B+/P 124,294 912,176 255,227 5/11/63 300 bp — Monthly (130,401)
CMBX NA BBB-.6 Index B+/P 96,615 924,166 258,582 5/11/63 300 bp — Monthly (161,427)
CMBX NA BBB-.6 Index B+/P 107,255 1,068,036 298,836 5/11/63 300 bp — Monthly (190,958)
CMBX NA BBB-.6 Index B+/P 346,906 1,304,822 365,089 5/11/63 300 bp — Monthly (17,421)
CMBX NA BBB-.6 Index B+/P 207,104 1,347,783 377,110 5/11/63 300 bp — Monthly (169,219)
CMBX NA BBB-.6 Index B+/P 157,809 1,408,728 394,162 5/11/63 300 bp — Monthly (235,530)
CMBX NA BBB-.6 Index B+/P 110,705 1,623,534 454,265 5/11/63 300 bp — Monthly (342,612)
CMBX NA BBB-.6 Index B+/P 183,902 1,643,516 459,856 5/11/63 300 bp — Monthly (274,994)
CMBX NA BBB-.6 Index B+/P 83,386 1,649,511 461,533 5/11/63 300 bp — Monthly (377,185)
CMBX NA BBB-.6 Index B+/P 243,062 1,651,509 462,092 5/11/63 300 bp — Monthly (218,066)
CMBX NA BBB-.6 Index B+/P 211,483 1,896,288 530,581 5/11/63 300 bp — Monthly (317,991)
CMBX NA BBB-.6 Index B+/P 222,998 2,051,148 573,911 5/11/63 300 bp — Monthly (349,715)
CMBX NA BBB-.6 Index B+/P 251,962 2,255,963 631,219 5/11/63 300 bp — Monthly (377,939)
CMBX NA BBB-.6 Index B+/P 251,962 2,255,963 631,219 5/11/63 300 bp — Monthly (377,939)
CMBX NA BBB-.6 Index B+/P 327,157 3,106,196 869,114 5/11/63 300 bp — Monthly (540,143)
CMBX NA BBB-.6 Index B+/P 930,682 6,236,369 1,744,936 5/11/63 300 bp — Monthly (810,613)
CMBX NA BBB-.7 Index BB-/P 77,611 1,050,000 210,840 1/17/47 300 bp — Monthly (132,617)
CMBX NA BBB-.7 Index BB-/P 398,239 3,442,000 691,154 1/17/47 300 bp — Monthly (290,906)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 47,420 591,000 162,821 5/11/63 500 bp — Monthly (114,825)
CMBX NA BBB-.12 Index BBB-/P 51,073 1,198,000 61,817 8/17/61 300 bp — Monthly (10,045)
CMBX NA BBB-.13 Index BBB-/P 1,892 32,000 1,654 12/16/72 300 bp — Monthly 257
CMBX NA BBB-.13 Index BBB-/P 8,560 47,000 2,430 12/16/72 300 bp — Monthly 6,158
CMBX NA BBB-.13 Index BBB-/P 14,295 71,000 3,671 12/16/72 300 bp — Monthly 10,665
CMBX NA BBB-.13 Index BBB-/P 4,737 80,000 4,136 12/16/72 300 bp — Monthly 647
CMBX NA BBB-.13 Index BBB-/P 23,048 244,000 12,615 12/16/72 300 bp — Monthly 10,575
CMBX NA BBB-.13 Index BBB-/P 24,798 256,000 13,235 12/16/72 300 bp — Monthly 11,713
CMBX NA BBB-.6 Index B+/P 41,506,637 129,711,889 36,293,387 5/11/63 300 bp — Monthly 5,288,984
Merrill Lynch International
CMBX NA BB.6 Index B-/P 1,226 5,760 2,538 5/11/63 500 bp — Monthly (1,307)
CMBX NA BB.6 Index B-/P 75,365 647,040 285,151 5/11/63 500 bp — Monthly (209,155)
CMBX NA BBB-.6 Index B+/P 3,338 11,989 3,355 5/11/63 300 bp — Monthly (10)
CMBX NA BBB-.6 Index B+/P 9,020,848 33,448,801 9,358,974 5/11/63 300 bp — Monthly (318,596)
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index BBB+/P 1,550 10,000 979 5/11/63 200 bp — Monthly 575
CMBX NA A.6 Index BBB+/P 1,705 22,000 2,154 5/11/63 200 bp — Monthly (440)
CMBX NA BB.13 Index BB-/P 18,044 194,000 19,769 12/16/72 500 bp — Monthly (1,536)
CMBX NA BB.13 Index BB-/P 18,179 198,000 20,176 12/16/72 500 bp — Monthly (1,805)
CMBX NA BB.13 Index BB-/P 21,553 235,000 23,947 12/16/72 500 bp — Monthly (2,164)
CMBX NA BB.13 Index BB-/P 37,958 396,000 40,352 12/16/72 500 bp — Monthly (2,009)
CMBX NA BB.13 Index BB-/P 55,679 579,000 59,000 12/16/72 500 bp — Monthly (2,759)
CMBX NA BB.13 Index BB-/P 194,713 2,108,000 214,805 12/16/72 500 bp — Monthly (18,043)
CMBX NA BB.13 Index BB-/P 278,363 2,973,000 302,949 12/16/72 500 bp — Monthly (21,696)
CMBX NA BB.6 Index B-/P 1,971 7,680 3,385 5/11/63 500 bp — Monthly (1,406)
CMBX NA BB.6 Index B-/P 5,423 28,800 12,692 5/11/63 500 bp — Monthly (7,242)
CMBX NA BB.6 Index B-/P 16,168 127,680 56,269 5/11/63 500 bp — Monthly (39,976)
CMBX NA BB.6 Index B-/P 75,114 169,920 74,884 5/11/63 500 bp — Monthly 396
CMBX NA BB.6 Index B-/P 114,240 261,120 115,076 5/11/63 500 bp — Monthly (581)
CMBX NA BBB-.12 Index BBB-/P 50,445 856,000 44,170 8/17/61 300 bp — Monthly 6,775
CMBX NA BBB-.12 Index BBB-/P 126,273 2,941,000 151,756 8/17/61 300 bp — Monthly (23,767)
CMBX NA BBB-.13 Index BBB-/P 643 7,000 362 12/16/72 300 bp — Monthly 285
CMBX NA BBB-.13 Index BBB-/P 2,834 51,000 2,637 12/16/72 300 bp — Monthly 227
CMBX NA BBB-.13 Index BBB-/P 10,328 113,000 5,842 12/16/72 300 bp — Monthly 4,552
CMBX NA BBB-.6 Index B+/P 1,835 24,977 6,989 5/11/63 300 bp — Monthly (5,139)
CMBX NA BBB-.6 Index B+/P 2,506 29,973 8,386 5/11/63 300 bp — Monthly (5,863)
CMBX NA BBB-.6 Index B+/P 5,130 63,942 17,891 5/11/63 300 bp — Monthly (12,724)
CMBX NA BBB-.6 Index B+/P 5,394 71,935 20,127 5/11/63 300 bp — Monthly (14,692)
CMBX NA BBB-.6 Index B+/P 8,469 128,884 36,062 5/11/63 300 bp — Monthly (27,517)
CMBX NA BBB-.6 Index B+/P 8,583 129,883 36,341 5/11/63 300 bp — Monthly (27,683)
CMBX NA BBB-.6 Index B+/P 72,622 275,751 77,155 5/11/63 300 bp — Monthly (4,372)
CMBX NA BBB-.6 Index B+/P 240,465 696,371 194,845 5/11/63 300 bp — Monthly 46,026
CMBX NA BBB-.6 Index B+/P 520,905 1,966,225 550,150 5/11/63 300 bp — Monthly (28,097)
CMBX NA BBB-.6 Index B+/P 191,195 2,883,397 806,774 5/11/63 300 bp — Monthly (613,895)
Upfront premium received 85,335,267 Unrealized appreciation 6,763,634
Upfront premium (paid) — Unrealized (depreciation) (57,324,477)
Total $85,335,267 Total $(50,560,843)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2021. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $944 $110,000 $10,769 5/11/63 (200 bp) — Monthly $11,670
CMBX NA BB.10 Index (1,135,828) 4,711,000 1,297,881 11/17/59 (500 bp) — Monthly 157,471
CMBX NA BB.10 Index (166,877) 1,599,000 440,525 11/17/59 (500 bp) — Monthly 272,093
CMBX NA BB.10 Index (138,486) 1,263,000 347,957 11/17/59 (500 bp) — Monthly 208,243
CMBX NA BB.10 Index (304,980) 1,196,000 329,498 11/17/59 (500 bp) — Monthly 23,355
CMBX NA BB.11 Index (148,735) 1,148,000 105,042 11/18/54 (500 bp) — Monthly (44,809)
CMBX NA BB.11 Index (14,231) 279,000 25,529 11/18/54 (500 bp) — Monthly 11,026
CMBX NA BB.11 Index (4,098) 79,000 7,229 11/18/54 (500 bp) — Monthly 3,054
CMBX NA BB.11 Index (2,612) 38,000 3,477 11/18/54 (500 bp) — Monthly 828
CMBX NA BB.11 Index (650) 9,000 824 11/18/54 (500 bp) — Monthly 165
CMBX NA BB.8 Index (506,145) 1,419,514 537,286 10/17/57 (500 bp) — Monthly 29,760
CMBX NA BB.8 Index (144,401) 403,919 152,883 10/17/57 (500 bp) — Monthly 8,089
CMBX NA BB.8 Index (13,907) 108,227 40,964 10/17/57 (500 bp) — Monthly 26,953
CMBX NA BB.8 Index (176) 966 366 10/17/57 (500 bp) — Monthly 189
CMBX NA BBB-.10 Index (316,708) 1,842,000 164,675 11/17/59 (300 bp) — Monthly (153,108)
CMBX NA BBB-.10 Index (163,690) 1,338,000 119,617 11/17/59 (300 bp) — Monthly (44,853)
CMBX NA BBB-.10 Index (92,293) 724,000 64,726 11/17/59 (300 bp) — Monthly (27,990)
CMBX NA BBB-.10 Index (35,980) 155,000 13,857 11/17/59 (300 bp) — Monthly (22,214)
CMBX NA BBB-.10 Index (25,050) 105,000 9,387 11/17/59 (300 bp) — Monthly (15,725)
CMBX NA BBB-.10 Index (18,118) 83,000 7,420 11/17/59 (300 bp) — Monthly (10,746)
CMBX NA BBB-.10 Index (16,758) 77,000 6,884 11/17/59 (300 bp) — Monthly (9,919)
CMBX NA BBB-.10 Index (1,275) 10,000 894 11/17/59 (300 bp) — Monthly (387)
CMBX NA BBB-.11 Index (182,977) 560,000 26,432 11/18/54 (300 bp) — Monthly (156,871)
CMBX NA BBB-.11 Index (9,714) 66,000 3,115 11/18/54 (300 bp) — Monthly (6,637)
CMBX NA BBB-.11 Index (3,201) 10,000 472 11/18/54 (300 bp) — Monthly (2,735)
CMBX NA BBB-.12 Index (546,451) 1,636,000 84,418 8/17/61 (300 bp) — Monthly (462,988)
CMBX NA BBB-.12 Index (503,662) 1,449,000 74,768 8/17/61 (300 bp) — Monthly (429,740)
CMBX NA BBB-.12 Index (319,733) 1,417,000 73,117 8/17/61 (300 bp) — Monthly (247,442)
CMBX NA BBB-.12 Index (273,332) 818,000 42,209 8/17/61 (300 bp) — Monthly (231,600)
CMBX NA BBB-.12 Index (6,402) 93,000 4,799 8/17/61 (300 bp) — Monthly (1,658)
CMBX NA BBB-.12 Index (31,987) 91,000 4,696 8/17/61 (300 bp) — Monthly (27,345)
CMBX NA BBB-.12 Index (2,760) 46,000 2,374 8/17/61 (300 bp) — Monthly (414)
CMBX NA BBB-.12 Index (11,274) 33,000 1,703 8/17/61 (300 bp) — Monthly (9,590)
CMBX NA BBB-.13 Index (40,492) 803,000 41,515 12/16/72 (300 bp) — Monthly 555
CMBX NA BBB-.13 Index (40,889) 803,000 41,515 12/16/72 (300 bp) — Monthly 157
CMBX NA BBB-.13 Index (13,627) 233,000 12,046 12/16/72 (300 bp) — Monthly (1,717)
CMBX NA BBB-.13 Index (7,775) 142,000 7,341 12/16/72 (300 bp) — Monthly (516)
CMBX NA BBB-.6 Index (1,127,919) 4,056,338 1,134,963 5/11/63 (300 bp) — Monthly 4,676
CMBX NA BBB-.7 Index (39,813) 182,000 36,546 1/17/47 (300 bp) — Monthly (3,373)
CMBX NA BBB-.8 Index (501,226) 3,171,000 431,573 10/17/57 (300 bp) — Monthly (71,502)
CMBX NA BBB-.8 Index (503,208) 3,171,000 431,573 10/17/57 (300 bp) — Monthly (73,484)
CMBX NA BBB-.8 Index (492,515) 3,147,000 428,307 10/17/57 (300 bp) — Monthly (66,044)
CMBX NA BBB-.8 Index (324,687) 2,078,000 282,816 10/17/57 (300 bp) — Monthly (43,084)
CMBX NA BBB-.8 Index (258,529) 1,942,000 264,306 10/17/57 (300 bp) — Monthly 4,645
CMBX NA BBB-.8 Index (203,953) 1,425,000 193,943 10/17/57 (300 bp) — Monthly (10,842)
CMBX NA BBB-.9 Index (119,951) 507,000 47,658 9/17/58 (300 bp) — Monthly (72,589)
Credit Suisse International
CMBX NA BB.10 Index (467,516) 3,504,000 965,352 11/17/59 (500 bp) — Monthly 494,428
CMBX NA BB.10 Index (415,378) 3,493,000 962,322 11/17/59 (500 bp) — Monthly 543,547
CMBX NA BB.10 Index (227,964) 1,834,000 505,267 11/17/59 (500 bp) — Monthly 275,520
CMBX NA BB.8 Index (350) 1,933 732 10/17/57 (500 bp) — Monthly 379
CMBX NA BBB-.7 Index (83,041) 1,059,000 212,647 1/17/47 (300 bp) — Monthly 128,988
Goldman Sachs International
CMBX NA A.6 Index (10,136) 153,000 14,979 5/11/63 (200 bp) — Monthly 4,783
CMBX NA A.6 Index (5,070) 52,000 5,091 5/11/63 (200 bp) — Monthly 1
CMBX NA A.6 Index (4,773) 47,000 4,601 5/11/63 (200 bp) — Monthly (190)
CMBX NA A.6 Index (3,488) 36,000 3,524 5/11/63 (200 bp) — Monthly 23
CMBX NA A.6 Index (2,713) 28,000 2,741 5/11/63 (200 bp) — Monthly 18
CMBX NA A.6 Index (2,713) 28,000 2,741 5/11/63 (200 bp) — Monthly 18
CMBX NA A.6 Index (96) 1,000 98 5/11/63 (200 bp) — Monthly 1
CMBX NA BB.10 Index (29,639) 131,000 36,091 11/17/59 (500 bp) — Monthly 6,324
CMBX NA BB.6 Index (149,045) 331,200 145,960 5/11/63 (500 bp) — Monthly (3,407)
CMBX NA BB.7 Index (224,362) 1,229,000 414,296 1/17/47 (500 bp) — Monthly 188,739
CMBX NA BB.7 Index (36,143) 178,000 60,004 1/17/47 (500 bp) — Monthly 23,688
CMBX NA BB.7 Index (17,367) 106,000 35,733 1/17/47 (500 bp) — Monthly 18,262
CMBX NA BB.8 Index (792,530) 2,184,834 826,960 10/17/57 (500 bp) — Monthly 32,308
CMBX NA BB.8 Index (793,894) 2,184,834 826,960 10/17/57 (500 bp) — Monthly 30,944
CMBX NA BB.8 Index (600,575) 1,705,543 645,548 10/17/57 (500 bp) — Monthly 43,314
CMBX NA BB.8 Index (588,521) 1,579,922 598,000 10/17/57 (500 bp) — Monthly 7,944
CMBX NA BB.8 Index (4,192) 35,754 13,533 10/17/57 (500 bp) — Monthly 9,306
CMBX NA BB.9 Index (78,324) 492,000 113,603 9/17/58 (500 bp) — Monthly 34,801
CMBX NA BB.9 Index (10,382) 65,000 15,009 9/17/58 (500 bp) — Monthly 4,563
CMBX NA BB.9 Index (2,380) 20,000 4,618 9/17/58 (500 bp) — Monthly 2,219
CMBX NA BB.9 Index (505) 13,000 3,002 9/17/58 (500 bp) — Monthly 2,484
CMBX NA BBB-.10 Index (8,311) 38,000 3,397 11/17/59 (300 bp) — Monthly (4,936)
CMBX NA BBB-.12 Index (7,408) 38,000 1,961 8/17/61 (300 bp) — Monthly (5,470)
CMBX NA BBB-.12 Index (9,118) 27,000 1,393 8/17/61 (300 bp) — Monthly (7,741)
CMBX NA BBB-.13 Index (2,955) 39,000 2,016 12/16/72 (300 bp) — Monthly (962)
CMBX NA BBB-.6 Index (1,816,213) 6,658,988 1,863,185 5/11/63 (300 bp) — Monthly 43,084
CMBX NA BBB-.6 Index (5,649) 22,979 6,430 5/11/63 (300 bp) — Monthly 767
CMBX NA BBB-.7 Index (410,020) 5,000,000 1,004,000 1/17/47 (300 bp) — Monthly 591,063
CMBX NA BBB-.8 Index (167,282) 1,293,000 175,977 10/17/57 (300 bp) — Monthly 7,941
CMBX NA BBB-.8 Index (2,509) 16,000 2,178 10/17/57 (300 bp) — Monthly (341)
CMBX NA BBB-.8 Index (154) 1,000 136 10/17/57 (300 bp) — Monthly (19)
JPMorgan Securities LLC
CMBX NA BB.11 Index (42,728) 79,680 35,115 5/11/63 (500 bp) — Monthly (7,691)
CMBX NA BB.17 Index (8,560,643) 17,483,000 5,893,519 1/17/47 (500 bp) — Monthly (2,684,121)
CMBX NA BB.8 Index (34,198) 66,676 25,237 10/17/57 (500 bp) — Monthly (9,026)
CMBX NA BB.9 Index (1,074,893) 2,175,000 502,208 9/17/58 (500 bp) — Monthly (574,800)
CMBX NA BBB-.10 Index (111,816) 678,000 60,613 11/17/59 (300 bp) — Monthly (51,599)
CMBX NA BBB-.10 Index (126,770) 450,000 40,230 11/17/59 (300 bp) — Monthly (86,802)
CMBX NA BBB-.10 Index (98,613) 331,000 29,591 11/17/59 (300 bp) — Monthly (69,214)
CMBX NA BBB-.10 Index (10,453) 92,000 8,225 11/17/59 (300 bp) — Monthly (2,282)
CMBX NA BBB-.11 Index (62,772) 200,000 9,440 11/18/54 (300 bp) — Monthly (53,449)
CMBX NA BBB-.12 Index (123,279) 353,000 18,215 8/17/61 (300 bp) — Monthly (105,270)
CMBX NA BBB-.12 Index (586) 15,000 774 8/17/61 (300 bp) — Monthly 179
CMBX NA BBB-.14 Index (17,250) 283,000 13,273 12/16/72 (300 bp) — Monthly (4,142)
CMBX NA BBB-.6 Index (1,151,484) 4,246,166 1,188,077 5/11/63 (300 bp) — Monthly 34,114
CMBX NA BBB-.7 Index (4,366,588) 18,600,000 3,734,880 1/17/47 (300 bp) — Monthly (642,559)
Merrill Lynch International
CMBX NA BB.10 Index (181,851) 3,196,000 880,498 11/17/59 (500 bp) — Monthly 695,540
CMBX NA BB.7 Index (9,888) 57,000 19,215 1/17/47 (500 bp) — Monthly 9,271
CMBX NA BBB-.10 Index (10,617) 49,000 4,381 11/17/59 (300 bp) — Monthly (6,265)
CMBX NA BBB-.7 Index (89,077) 1,087,000 218,270 1/17/47 (300 bp) — Monthly 128,559
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (7,132) 70,000 14,056 1/17/47 (300 bp) — Monthly 6,883
CMBX NA A.6 Index (10,140) 104,000 10,182 5/11/63 (200 bp) — Monthly 1
CMBX NA A.6 Index (1,931) 20,000 1,958 5/11/63 (200 bp) — Monthly 19
CMBX NA BB.10 Index (164,027) 1,564,000 430,882 11/17/59 (500 bp) — Monthly 265,334
CMBX NA BB.10 Index (37,576) 160,000 44,080 11/17/59 (500 bp) — Monthly 6,348
CMBX NA BB.7 Index (627,449) 3,120,000 1,051,752 1/17/47 (500 bp) — Monthly 421,270
CMBX NA BB.7 Index (223,682) 1,160,000 391,036 1/17/47 (500 bp) — Monthly 166,227
CMBX NA BB.7 Index (158,631) 786,000 264,961 1/17/47 (500 bp) — Monthly 105,566
CMBX NA BB.7 Index (131,172) 701,000 236,307 1/17/47 (500 bp) — Monthly 104,454
CMBX NA BB.8 Index (621,917) 1,733,566 656,155 10/17/57 (500 bp) — Monthly 32,553
CMBX NA BB.8 Index (387,993) 1,067,776 404,153 10/17/57 (500 bp) — Monthly 15,123
CMBX NA BB.8 Index (296,624) 812,669 307,595 10/17/57 (500 bp) — Monthly 10,181
CMBX NA BB.8 Index (148,488) 406,818 153,981 10/17/57 (500 bp) — Monthly 5,096
CMBX NA BB.8 Index (20,269) 39,619 14,996 10/17/57 (500 bp) — Monthly (5,312)
CMBX NA BB.9 Index (141,628) 1,064,000 245,678 9/17/58 (500 bp) — Monthly 103,015
CMBX NA BB.9 Index (128,586) 855,000 197,420 9/17/58 (500 bp) — Monthly 68,002
CMBX NA BB.9 Index (2,505) 71,000 16,394 9/17/58 (500 bp) — Monthly 13,820
CMBX NA BB.9 Index (2,339) 38,000 8,774 9/17/58 (500 bp) — Monthly 6,398
CMBX NA BB.9 Index (2,461) 18,000 4,156 9/17/58 (500 bp) — Monthly 1,678
CMBX NA BB.9 Index (547) 14,000 3,233 9/17/58 (500 bp) — Monthly 2,672
CMBX NA BB.9 Index (1,514) 10,000 2,309 9/17/58 (500 bp) — Monthly 786
CMBX NA BB.9 Index (347) 7,000 1,616 9/17/58 (500 bp) — Monthly 1,263
CMBX NA BB.9 Index (431) 7,000 1,616 9/17/58 (500 bp) — Monthly 1,179
CMBX NA BB.9 Index (757) 5,000 1,155 9/17/58 (500 bp) — Monthly 393
CMBX NA BB.9 Index (54) 1,000 231 9/17/58 (500 bp) — Monthly 176
CMBX NA BBB-.10 Index (288,475) 2,338,000 209,017 11/17/59 (300 bp) — Monthly (80,822)
CMBX NA BBB-.10 Index (144,191) 1,665,000 148,851 11/17/59 (300 bp) — Monthly 3,689
CMBX NA BBB-.10 Index (160,942) 1,269,000 113,449 11/17/59 (300 bp) — Monthly (48,234)
CMBX NA BBB-.10 Index (166,387) 987,000 88,238 11/17/59 (300 bp) — Monthly (78,725)
CMBX NA BBB-.10 Index (83,477) 385,000 34,419 11/17/59 (300 bp) — Monthly (49,283)
CMBX NA BBB-.10 Index (73,306) 339,000 30,307 11/17/59 (300 bp) — Monthly (43,198)
CMBX NA BBB-.10 Index (17,975) 76,000 6,794 11/17/59 (300 bp) — Monthly (11,225)
CMBX NA BBB-.10 Index (16,090) 66,000 5,900 11/17/59 (300 bp) — Monthly (10,228)
CMBX NA BBB-.10 Index (7,309) 61,000 5,453 11/17/59 (300 bp) — Monthly (1,891)
CMBX NA BBB-.10 Index (8,950) 41,000 3,665 11/17/59 (300 bp) — Monthly (5,308)
CMBX NA BBB-.10 Index (8,954) 39,000 3,487 11/17/59 (300 bp) — Monthly (5,490)
CMBX NA BBB-.10 Index (2,537) 20,000 1,788 11/17/59 (300 bp) — Monthly (760)
CMBX NA BBB-.11 Index (191,080) 1,214,000 57,301 11/18/54 (300 bp) — Monthly (134,487)
CMBX NA BBB-.11 Index (6,355) 112,000 5,286 11/18/54 (300 bp) — Monthly (1,134)
CMBX NA BBB-.12 Index (221,082) 973,000 50,207 8/17/61 (300 bp) — Monthly (171,443)
CMBX NA BBB-.12 Index (58,425) 189,000 9,752 8/17/61 (300 bp) — Monthly (48,783)
CMBX NA BBB-.12 Index (1,154) 28,000 1,445 8/17/61 (300 bp) — Monthly 274
CMBX NA BBB-.13 Index (5,978) 97,000 5,015 12/16/72 (300 bp) — Monthly (1,020)
CMBX NA BBB-.14 Index (14,329) 230,000 10,787 12/16/72 (300 bp) — Monthly (3,677)
CMBX NA BBB-.6 Index (2,066,357) 7,448,275 2,084,027 5/11/63 (300 bp) — Monthly 13,325
CMBX NA BBB-.7 Index (187,298) 2,950,000 592,360 1/17/47 (300 bp) — Monthly 403,341
CMBX NA BBB-.8 Index (836,165) 5,375,000 731,538 10/17/57 (300 bp) — Monthly (107,763)
CMBX NA BBB-.8 Index (426,068) 2,717,000 369,784 10/17/57 (300 bp) — Monthly (57,869)
CMBX NA BBB-.8 Index (264,804) 2,082,000 283,360 10/17/57 (300 bp) — Monthly 17,341
CMBX NA BBB-.8 Index (264,154) 2,082,000 283,360 10/17/57 (300 bp) — Monthly 17,992
CMBX NA BBB-.8 Index (280,668) 1,961,000 266,892 10/17/57 (300 bp) — Monthly (14,920)
CMBX NA BBB-.8 Index (149,053) 962,000 130,928 10/17/57 (300 bp) — Monthly (18,686)
CMBX NA BBB-.8 Index (133,750) 856,000 116,502 10/17/57 (300 bp) — Monthly (17,748)
CMBX NA BBB-.8 Index (15,436) 99,000 13,474 10/17/57 (300 bp) — Monthly (2,012)
CMBX NA BBB-.8 Index (155) 1,000 136 10/17/57 (300 bp) — Monthly (19)
Upfront premium received 944 Unrealized appreciation 5,920,448
Upfront premium (paid) (41,090,401) Unrealized (depreciation) (7,490,245)
Total $(41,089,457) Total $(1,569,797)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
bp Basis Points
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OJSC Open Joint Stock Company
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 October 1, 2021 through December 31, 2021 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $1,979,127,026.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/21		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/21
Short-term investments
Putnam Short Term Investment Fund** $223,781,179 $299,248,614 $336,424,465 $47,763 $186,605,328
Total Short-term investments $223,781,179 $299,248,614 $336,424,465 $47,763 $186,605,328
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $12,532,254.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $151,257,353.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $465,936.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $19,565,685.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $1,697,430,653 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known a s“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $143,423,109 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $151,257,353 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $25,000 $8,362,015
Convertible bonds and notes — 123,637,789 —
Corporate bonds and notes — 332,793,750 —
Foreign government and agency bonds and notes — 209,212,211 —
Mortgage-backed securities — 899,173,215 —
Purchased swap options outstanding — 66,283,764 —
Senior loans — 35,863,811 —
U.S. government and agency mortgage obligations — 1,343,006,294 —
U.S. treasury obligations — 4,745,828 —
Warrants — — 18
Short-term investments 4,005,000 480,432,232 —
Totals by level $4,005,000 $3,495,173,894 $8,362,033
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $41,094 $—
Futures contracts (1,673,690) — —
Written swap options outstanding — (114,417,431) —
Forward premium swap option contracts — 12,579,895 —
TBA sale commitments — (968,530,589) —
Interest rate swap contracts — (840,865) —
Total return swap contracts — (7,267,005) —
Credit default contracts — (96,376,450) —
Totals by level $(1,673,690) $(1,174,811,351) $—
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased swap option contracts (contract amount) $9,421,100,000
Written swap option contracts (contract amount) $10,326,200,000
Futures contracts (number of contracts) 15,000
Forward currency contracts (contract amount) $5,052,200,000
Centrally cleared interest rate swap contracts (notional) $9,868,300,000
OTC total return swap contracts (notional) $27,200,000
Centrally cleared total return swap contracts (notional) $564,100,000
OTC credit default contracts (notional) $739,700,000
Warrants (number of warrants) 353
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com