N-CSRS 1 a_diversifiedincome.htm PUTNAM DIVERSIFIED INCOME TRUST a_diversifiedincome.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number: (811-05635)
Exact name of registrant as specified in charter: Putnam Diversified Income Trust
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2019
Date of reporting period: October 1, 2018 — March 31, 2019



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Putnam
Diversified Income
Trust

Semiannual report
3 | 31 | 19

 

IMPORTANT NOTICE: Delivery of paper fund reports

In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.

If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.

If you already receive these reports electronically, no action is required.


Message from the Trustees

May 9, 2019

Dear Fellow Shareholder:

If there is any lesson to be learned from constantly changing financial markets, it is the importance of positioning your investment portfolio for your long-term goals. We believe that one strategy is to diversify across different asset classes and investment approaches.

We also believe your mutual fund investment offers a number of advantages, including constant monitoring by experienced investment professionals who maintain a long-term perspective. Putnam’s portfolio managers and analysts take a research-intensive approach that includes risk management strategies designed to serve you through changing conditions.

Another key strategy, in our view, is seeking the counsel of a financial advisor. For over 80 years, Putnam has recognized the importance of professional investment advice. Your financial advisor can help in many ways, including defining and planning for goals such as retirement, evaluating the level of risk appropriate for you, and reviewing your investments on a regular basis and making adjustments as necessary.

As always, your fund’s Board of Trustees remains committed to protecting the interests of Putnam shareholders like you, and we thank you for investing with Putnam.



Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 4.00%; had they, returns would have been lower. See below and pages 8–9 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

* The fund’s benchmark, the ICE BofAML U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

† Returns for the six-month period are not annualized, but cumulative.

This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/19. See above and pages 8–9 for additional fund performance information. Index descriptions can be found on page 13.

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Bill Kohli is Chief Investment Officer, Fixed Income. He has an M.B.A. from the Haas School of Business at the University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1988.

Michael J. Atkin; Robert L. Davis, CFA; Brett S. Kozlowski, CFA; Michael V. Salm; and Paul D. Scanlon, CFA, are also Portfolio Managers of the fund.

Bill, what was the fund’s investment environment like during the reporting period?

The fourth quarter of 2018 and the first quarter of 2019 were mirror images of each other. Investor sentiment became sharply risk-averse during 2018’s fourth quarter and market volatility spiked. A confluence of factors, including signs of a slowing global economy, the ongoing U.S.–China trade dispute, and ambiguous statements from U.S. Federal Reserve Chair Jerome Powell led to an abrupt downturn in risk assets. Within this environment, yields for credit-sensitive securities rose and yield spreads widened materially.

Sentiment then improved markedly in January and February, following comments from Mr. Powell that mild inflation would give the central bank greater flexibility to set policy in 2019. Market participants also welcomed Powell’s announcement that the Fed was not on a “pre-set” path to push its benchmark rate higher, after hiking rates every quarter in 2018. Progress in U.S.–China trade talks provided a further boost to sentiment across risk-driven markets.

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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/19. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.

Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.


After fluctuating in a fairly narrow range in January and February, bond yields around the world declined in March. Central banks signaled that they were willing to keep interest rates low for longer than investors were expecting. In large part, the moves were spurred by signs of slowing economic growth, particularly in the eurozone and China. In the United States, however, where growth remains relatively steady, the Fed’s argument for potentially delaying rate increases until next year has been strengthened by signs that inflationary pressures remain muted.

Which holdings and strategies aided the fund’s performance?

Our global term-structure strategies added the most value this period. The fund’s positive duration positioned it well for declining intermediate- and long-term yields in the eurozone and the United Kingdom. We also benefited as yield curves became flatter in those regions. Holdings of Greek government bonds provided a further meaningful boost to results.

Our mortgage-credit strategies also notably aided performance, rebounding sharply in 2019’s first quarter. The fund’s allocation to commercial mortgage-backed securities [CMBS] rallied along with other risk-driven assets during the period’s second half. The fund has exposure to CMBS (and indirectly to the underlying property types) through cash bonds and via derivative contracts tied to CMBX — an index that references a basket of CMBS issued in a particular year. We maintained a substantial weighting in CMBS for the period.

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Within our holdings of residential mortgage-backed securities, positions in agency credit-risk transfer securities [CRTs] were a further contributor. CRTs benefited from renewed demand early in 2019, as a more favorable outlook for risk-taking prompted investors to move back into higher-yielding investments. CRTs also received a boost as credit-rating agencies upgraded certain CRT tranches, recognizing the improved outlook for their underlying collateral.

Elsewhere, holdings of emerging-market debt and our active currency strategies had a neutral impact on performance for the six-month period. Both parts of the portfolio performed poorly during 2018’s fourth quarter but bounced back during the first three months of 2019 as investors reembraced risk.

What about detractors?

Our corporate credit holdings — primarily high-yield bonds — worked against performance this period. The asset class rallied strongly in 2019’s first quarter, fueled by a more dovish Fed, optimism surrounding U.S.–China trade talks, and a substantial rebound in oil prices. However, the rally was not enough to erase the negative impact of the selling pressure that weighed on high yield during the final three months of 2018.

Strategies targeting prepayment risk also detracted. The yield on the 10-year U.S. Treasury — a benchmark for mortgage rates — trended lower from early November to the end of the period. Lower rates increased the incentive for homeowners to refinance their mortgages. This, in turn, increased expectations


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/19. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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for faster prepayment speeds on the mortgages underlying our holdings of agency interest-only collateralized mortgage obligations [IO CMOs].

How did you use derivatives during the period?

We used CMBX credit default contracts to gain significant CMBS exposure. We used total return swaps to help manage the fund’s sector and inflation exposure. We employed credit default swaps to hedge the fund’s credit and market risks. We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve and to hedge the risk associated with the fund’s curve positioning. We also employed interest-rate swaps to gain exposure to interest rates in various countries. Additionally, we utilized options to isolate the prepayment risks associated with our holdings of collateralized mortgage obligations and to help manage the downside risk of these positions. Lastly, we employed currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What is your near-term outlook?

With the Fed, the European Central Bank, and a number of Asian central banks adopting a more conciliatory monetary policy stance, we think there could be an uptick in global economic growth. Various leading indicators are also suggesting this possibility. Overall, we believe the global growth trend will be steady, rather than accelerating.

There has been a considerable amount of press related to the yield curve inverting, meaning shorter-term interest rates become higher than longer-term rates. Historically, an inverted yield curve has preceded recessions by roughly 12 to 18 months. However, our research also shows that roughly 30% of the time, there was no recession following an inversion of the yield curve.

Although the U.S. Treasury yield curve flattened and became slightly inverted at certain points during the second half of the period, we believe the risk of recession in the United States is quite low. In our view, supply-and-demand dynamics are having an outsized influence on the yield curve. For example, there is strong


This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

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global demand for longer-term bonds to meet benefit obligations for retirees who are living considerably longer than in the past. Also, investors overseas have been buying U.S. bonds due to the extremely low or even negative bond yields in other countries. As a result, we think the predictive value of an inverted yield curve in signaling recession may be weaker than in previous economic cycles.

Given this outlook, how are you positioning the fund?

We continue to favor mortgage credit, prepayment risk, and corporate credit. In our view, the yield premiums provided by CMBS, agency IO CMOs, non-agency residential mortgage-backed securities, and high-yield corporate bonds give the fund an attractive risk/reward profile.

After de-emphasizing interest-rate risk for many years, we are now taking a more neutral posture, rather than keeping the fund’s duration below zero. As noted above, the fund benefited this period from having a positive duration. Given the late stage of both the economic and credit cycles, along with slowing economic growth, we don’t believe rates are likely to rise substantially over the intermediate term.

Thanks for your time and for bringing us up to date, Bill.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice. Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2019, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.

Fund performance Total return for periods ended 3/31/19

  Annual                 
  average    Annual    Annual    Annual     
  (life of fund)  10 years  average  5 years  average  3 years  average  1 year  6 months 
Class A (10/3/88)                   
Before sales charge  6.03%  127.34%  8.56%  10.73%  2.06%  21.40%  6.68%  1.51%  0.84% 
After sales charge  5.89  118.25  8.12  6.30  1.23  16.55  5.24  –2.55  –3.19 
Class B (3/1/93)                   
Before CDSC  5.81  114.20  7.91  6.59  1.28  18.58  5.84  0.74  0.48 
After CDSC  5.81  114.20  7.91  4.88  0.96  15.58  4.94  –4.09  –4.45 
Class C (2/1/99)                   
Before CDSC  5.77  110.85  7.75  6.60  1.29  18.66  5.87  0.66  0.50 
After CDSC  5.77  110.85  7.75  6.60  1.29  18.66  5.87  –0.30  –0.49 
Class M (12/1/94)                   
Before sales charge  5.74  121.67  8.29  9.45  1.82  20.59  6.44  1.35  0.77 
After sales charge  5.63  114.47  7.93  5.90  1.15  16.67  5.27  –1.95  –2.51 
Class R (12/1/03)                   
Net asset value  5.75  121.47  8.28  9.29  1.79  20.38  6.38  1.19  0.61 
Class R6 (11/1/13)                   
Net asset value  6.23  134.19  8.88  12.73  2.43  22.72  7.06  1.88  1.03 
Class Y (7/1/96)                   
Net asset value  6.21  132.86  8.82  12.09  2.31  22.32  6.95  1.61  0.95 

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Performance for class R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R6 shares; had it, returns would have been higher.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Class B share performance reflects conversion to class A shares after eight years.

Class C share performance reflects conversion to class A shares after 10 years.

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Comparative index returns For periods ended 3/31/19

  Annual                 
  average    Annual    Annual    Annual     
  (life of fund)  10 years  average  5 years  average  3 years  average  1 year  6 months 
ICE BofAML U.S.                   
Treasury Bill Index  —*  4.72%  0.46%  3.86%  0.76%  3.62%  1.19%  2.17%  1.21% 
Lipper Alternative                   
Credit Focus Funds  5.49%  61.66  4.71  10.70  2.02  12.36  3.90  1.41  1.40 
category average†                   

 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

* The fund’s benchmark, the ICE BofAML U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

† Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/19, there were 247, 244, 215, 142, 51, and 3 funds, respectively, in this Lipper category.

Fund price and distribution information For the six-month period ended 3/31/19

Distributions  Class A  Class B  Class C  Class M  Class R  Class R6  Class Y 
Number  6  6  6  6  6  6  6 
Income  $0.156  $0.131  $0.132  $0.150  $0.150  $0.168  $0.163 
Capital gains  —  —  —  —  —  —  — 
Total  $0.156  $0.131  $0.132  $0.150  $0.150  $0.168  $0.163 
  Before  After  Net  Net  Before  After  Net  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value  value 
9/30/18  $6.96  $7.25  $6.88  $6.82  $6.82  $7.05  $6.87  $6.89  $6.88 
3/31/19  6.86  7.15  6.78  6.72  6.72  6.95  6.76  6.79  6.78 
  Before  After  Net  Net  Before  After  Net  Net  Net 
Current rate  sales  sales  asset  asset  sales  sales  asset  asset  asset 
(end of period)  charge  charge  value  value  charge  charge  value  value  value 
Current dividend                   
rate1  4.55%  4.36%  3.89%  3.93%  4.46%  4.32%  4.44%  4.95%  4.78% 
Current 30-day                   
SEC yield2  N/A  4.32  3.74  3.74  N/A  4.11  4.24  4.84  4.75 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (4.00% for class A shares and 3.25% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

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Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

  Class A  Class B  Class C  Class M  Class R  Class R6  Class Y 
Total annual operating expenses for the               
fiscal year ended 9/30/18  0.98%  1.73%  1.73%  1.23%  1.23%  0.64%  0.73% 
Annualized expense ratio for the               
six-month period ended 3/31/19  0.98%  1.73%  1.73%  1.23%  1.23%  0.64%  0.73% 

 

Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Expenses are shown as a percentage of average net assets.

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 10/1/18 to 3/31/19. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class R  Class R6  Class Y 
Expenses paid per $1,000*†  $4.91  $8.65  $8.65  $6.16  $6.15  $3.21  $3.66 
Ending value (after expenses)  $1,008.40  $1,004.80  $1,005.00  $1,007.70  $1,006.10  $1,010.30  $1,009.50 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/19. The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 3/31/19, use the following calculation method. To find the value of your investment on 10/1/18, call Putnam at 1-800-225-1581.


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Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class M  Class R  Class R6  Class Y 
Expenses paid per $1,000*†  $4.94  $8.70  $8.70  $6.19  $6.19  $3.23  $3.68 
Ending value (after expenses)  $1,020.04  $1,016.31  $1,016.31  $1,018.80  $1,018.80  $1,021.74  $1,021.29 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/19. The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.

Consider these risks before investing

International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. You can lose money by investing in the fund.

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Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 4.00% maximum sales charge for class A shares and 3.25% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.

Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.

Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.

Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed-income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

• Agency credit-risk transfer security (CRT) is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.

• Agency “pass-through” has its principal and interest backed by a U.S. government

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agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

◦ Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

CMBX Index is an unmanaged index that tracks the performance of a basket of CMBS issued in a particular year.

ICE BofAML (Intercontinental Exchange Bank of America Merrill Lynch) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.

S&P 500 Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

ICE Data Indices, LLC (“ICE BofAML”), used with permission. ICE BofAML permits use of the ICE BofAML indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Diversified Income Trust 13 

 


Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2018, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2019, Putnam employees had approximately $496,000,000 and the Trustees had approximately $69,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

14 Diversified Income Trust 

 


Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

Diversified Income Trust 15 

 


The fund’s portfolio 3/31/19 (Unaudited)

  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)*  amount  Value 
Agency collateralized mortgage obligations (19.4%)     
Federal Home Loan Mortgage Corporation     
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%),     
15.799%, 4/15/37  $181,406  $270,168 
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3,     
(1 Month US LIBOR + 5.15%), 7.636%, 11/25/28  2,950,000  3,435,932 
Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, Class M3,     
(1 Month US LIBOR + 4.75%), 7.236%, 10/25/24  932,518  1,025,527 
Ser. 4509, Class CI, IO, 6.00%, 9/15/45  22,544,429  5,599,270 
Ser. 4077, Class IK, IO, 5.00%, 7/15/42  11,367,354  1,973,373 
Ser. 4122, Class TI, IO, 4.50%, 10/15/42  8,088,955  1,490,268 
Ser. 4000, Class PI, IO, 4.50%, 1/15/42  10,454,122  1,743,246 
Ser. 4024, Class PI, IO, 4.50%, 12/15/41  13,100,045  2,075,049 
IFB Ser. 3919, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%),     
4.016%, 9/15/41  15,226,501  2,363,846 
Ser. 4635, Class PI, IO, 4.00%, 12/15/46  30,442,386  4,855,256 
Ser. 4193, Class PI, IO, 4.00%, 3/15/43  34,165,793  4,412,658 
Ser. 4213, Class GI, IO, 4.00%, 11/15/41  30,427,306  3,270,327 
Ser. 4020, Class IA, IO, 4.00%, 3/15/27  9,138,498  824,293 
IFB Ser. 4731, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.716%, 11/15/47  27,494,175  4,605,275 
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.616%, 4/15/47  14,651,689  3,002,864 
IFB Ser. 4265, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.616%, 1/15/35  48,122,674  6,801,177 
Ser. 4484, Class TI, IO, 3.50%, 11/15/44  14,871,475  2,062,897 
Ser. 4105, Class HI, IO, 3.50%, 7/15/41  6,236,288  545,413 
Ser. 4199, Class CI, IO, 3.50%, 12/15/37  23,893,708  1,014,193 
IFB Ser. 326, Class S2, IO, ((-1 x 1 Month US LIBOR) + 5.95%),     
3.466%, 3/15/44  13,232,935  2,200,821 
IFB Ser. 311, Class S1, IO, ((-1 x 1 Month US LIBOR) + 5.95%),     
3.466%, 8/15/43  12,358,312  2,213,860 
Ser. 4801, Class IG, IO, 3.00%, 6/15/48  31,462,638  5,234,763 
Ser. 4165, Class TI, IO, 3.00%, 12/15/42  20,731,272  1,742,816 
Ser. 4210, Class PI, IO, 3.00%, 12/15/41  11,603,509  583,424 
FRB Ser. 57, Class 1AX, IO, 0.374%, 7/25/43 W   9,447,538  94,475 
Ser. 3314, PO, zero %, 11/15/36  13,456  13,223 
Ser. 3326, Class WF, zero %, 10/15/35 W   31,675  23,739 
Ser. 1208, Class F, PO, zero %, 2/15/22  4,582  4,399 
Federal Home Loan Mortgage Corporation Structured Agency     
Credit risk Debt FRN Ser. 15-HQ1, Class M3, (1 Month US LIBOR +     
3.80%), 6.286%, 3/25/25  918,899  968,030 
Federal National Mortgage Association     
IFB Ser. 06-8, Class HP, ((-3.667 x 1 Month US LIBOR) + 24.57%),     
15.453%, 3/25/36  519,521  791,501 
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%),     
10.932%, 11/25/34  130,366  148,552 
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2,     
(1 Month US LIBOR + 4.55%), 7.036%, 2/25/25  3,398,624  3,633,245 

 

16 Diversified Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Federal National Mortgage Association     
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2,     
(1 Month US LIBOR + 4.00%), 6.486%, 5/25/25  $2,039,130  $2,168,157 
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46  17,753,980  4,210,395 
Ser. 15-69, IO, 6.00%, 9/25/45  21,146,964  5,273,313 
Ser. 15-58, Class KI, IO, 6.00%, 3/25/37  30,734,519  6,992,902 
Ser. 16-3, Class MI, IO, 5.50%, 2/25/46  56,805,946  11,325,970 
Ser. 15-30, IO, 5.50%, 5/25/45  2,444,824  518,767 
Ser. 399, Class 2, IO, 5.50%, 11/25/39  31,094  6,707 
Ser. 374, Class 6, IO, 5.50%, 8/25/36  1,271,151  244,076 
Ser. 12-151, Class IN, IO, 5.00%, 1/25/43  20,317,293  4,121,363 
Ser. 378, Class 19, IO, 5.00%, 6/25/35  1,413,306  259,400 
Ser. 18-58, Class AI, IO, 4.50%, 8/25/48  42,150,163  7,832,170 
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42  8,416,305  1,853,037 
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40  10,113,151  1,009,293 
Ser. 404, Class 2, IO, 4.50%, 5/25/40  117,866  23,165 
Ser. 366, Class 22, IO, 4.50%, 10/25/35  104,298  2,207 
Ser. 18-3, Class PI, IO, 4.00%, 2/25/48  29,803,871  4,321,561 
Ser. 17-65, Class LI, IO, 4.00%, 8/25/47  19,210,654  2,794,574 
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44  11,459,407  1,813,017 
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43  19,592,715  2,800,387 
Ser. 13-115, Class CI, IO, 4.00%, 2/25/43  15,187,883  1,651,884 
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43  7,631,547  1,009,959 
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42  8,838,860  1,285,170 
Ser. 405, Class 2, IO, 4.00%, 10/25/40  136,192  27,679 
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%),     
3.965%, 4/25/42  8,115,251  1,257,434 
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%),     
3.915%, 4/25/40  10,432,763  1,825,733 
IFB Ser. 15-42, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.715%, 6/25/45  4,334,475  655,091 
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%),     
3.665%, 10/25/41  12,259,048  955,924 
IFB Ser. 18-86, Class DS, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.615%, 12/25/48  2,097,184  302,781 
IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.615%, 12/25/46  62,440,975  9,444,198 
IFB Ser. 16-82, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.615%, 11/25/46  79,740,957  12,019,817 
IFB Ser. 16-62, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.615%, 9/25/46  43,746,363  6,601,326 
Ser. 16-70, Class QI, IO, 3.50%, 10/25/46  47,637,751  6,970,832 
Ser. 13-18, Class IN, IO, 3.50%, 3/25/43  30,354,628  3,741,414 
Ser. 13-70, Class CI, IO, 3.50%, 1/25/43  7,136,651  619,647 
Ser. 13-49, Class IP, IO, 3.50%, 12/25/42  22,118,488  2,255,342 
Ser. 13-40, Class YI, IO, 3.50%, 6/25/42  21,694,593  2,712,692 
Ser. 12-123, Class DI, IO, 3.50%, 5/25/41  27,533,338  3,395,714 
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%),     
3.465%, 2/25/43  42,024,840  7,932,188 

 

Diversified Income Trust 17 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Federal National Mortgage Association     
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%),     
3.415%, 10/25/41  $28,491,437  $3,810,730 
Ser. 12-151, Class PI, IO, 3.00%, 1/25/43  38,074,177  3,607,148 
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42  11,564,222  629,256 
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42  8,854,253  532,149 
Ser. 13-35, Class PI, IO, 3.00%, 2/25/42  25,223,863  1,398,612 
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41  17,802,179  1,446,178 
Ser. 13-30, Class IP, IO, 3.00%, 10/25/41  13,085,695  614,112 
FRB Ser. 01-50, Class B1, IO, 0.377%, 10/25/41 W   166,059  714 
FRB Ser. 02-W8, Class 1, IO, 0.306%, 6/25/42 W   6,359,224  51,510 
Ser. 99-51, Class N, PO, zero %, 9/17/29  37,878  34,564 
Federal National Mortgage Association Grantor Trust     
Ser. 98-T2, Class A4, IO, 6.50%, 10/25/36  17,647  2,093 
Ser. 00-T6, IO, 0.717%, 11/25/40 W   4,223,045  89,529 
Government National Mortgage Association     
Ser. 17-104, Class MI, IO, 5.50%, 7/16/47  18,483,743  4,744,490 
Ser. 17-79, Class IB, IO, 5.50%, 5/20/47  7,678,303  1,684,392 
Ser. 17-52, Class DI, IO, 5.50%, 4/20/47  10,501,996  2,008,507 
Ser. 18-37, IO, 5.00%, 3/20/48  24,755,727  4,765,477 
Ser. 17-179, Class WI, IO, 5.00%, 12/20/47  12,518,491  2,707,124 
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47  10,245,198  2,187,862 
Ser. 16-126, Class PI, IO, 5.00%, 2/20/46  19,248,566  4,153,456 
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45  22,270,670  2,903,205 
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45  32,650,722  7,034,304 
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44  4,277,249  906,862 
Ser. 14-132, IO, 5.00%, 9/20/44  12,981,097  2,706,429 
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44  13,684,032  2,573,218 
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43  5,049,978  1,089,785 
Ser. 12-146, IO, 5.00%, 12/20/42  9,070,276  1,979,134 
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40  36,578,479  7,685,991 
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40  11,499,046  2,457,461 
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40  56,062,204  12,058,980 
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39  34,559,718  7,387,140 
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39  2,536,361  523,064 
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39  17,700,883  3,769,049 
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39  15,758,837  3,313,138 
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48  5,979,983  1,091,632 
Ser. 17-160, Class AI, IO, 4.50%, 10/20/47  17,008,563  3,442,465 
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45  9,847,773  1,123,237 
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45  22,406,075  4,394,996 
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43  14,024,349  2,839,931 
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43  15,304,764  3,100,318 
Ser. 13-183, Class JI, IO, 4.50%, 2/16/43  13,120,776  1,563,818 
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42  3,387,315  454,916 
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41  18,648,521  3,531,983 
Ser. 13-167, IO, 4.50%, 9/20/40  6,527,909  1,305,300 
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40  9,103,436  1,771,528 
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40  26,002,480  5,095,186 

 

18 Diversified Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Government National Mortgage Association     
Ser. 10-20, Class BI, IO, 4.50%, 2/16/40  $18,642,916  $3,956,586 
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40  13,868,563  2,691,888 
Ser. 14-71, Class PI, IO, 4.50%, 12/20/39  18,373,498  2,818,495 
IFB Ser. 13-9, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.75%),     
4.262%, 1/20/43  43,156,938  7,862,926 
IFB Ser. 10-68, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.58%),     
4.092%, 6/20/40  2,196,985  386,946 
Ser. 16-138, Class DI, IO, 4.00%, 10/20/46  20,736,581  3,517,961 
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45  42,201,784  6,028,103 
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44  25,214,397  3,809,643 
Ser. 15-79, Class MI, IO, 4.00%, 5/20/44  9,421,026  1,201,652 
Ser. 14-4, Class BI, IO, 4.00%, 1/20/44  13,084,048  2,587,707 
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44  11,664,720  2,086,819 
Ser. 14-163, Class PI, IO, 4.00%, 10/20/43  11,403,614  1,088,498 
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43  7,671,734  1,335,572 
Ser. 13-27, Class IJ, IO, 4.00%, 2/20/43  8,486,582  1,576,298 
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42  4,561,052  725,141 
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42  14,202,980  2,130,447 
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42  5,128,209  948,178 
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41  16,639,171  2,244,366 
IFB Ser. 18-105, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.25%),     
3.762%, 8/20/48  65,351,717  8,332,344 
IFB Ser. 18-91, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.25%),     
3.762%, 7/20/48  43,393,970  5,803,943 
IFB Ser. 18-104, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.712%, 8/20/48  59,667,819  8,192,272 
IFB Ser. 18-100, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.712%, 7/20/48  47,756,726  6,511,439 
IFB Ser. 18-89, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.712%, 6/20/48  36,859,347  4,929,938 
IFB Ser. 18-67, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.712%, 5/20/48  38,810,405  5,093,866 
IFB Ser. 17-160, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%),     
3.712%, 10/20/43  46,661,987  7,507,214 
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%),     
3.662%, 9/20/43  8,411,788  1,348,494 
IFB Ser. 16-77, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.15%),     
3.662%, 3/20/43  3,522,454  354,183 
IFB Ser. 13-152, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.15%),     
3.662%, 5/20/41  35,113,626  5,520,652 
IFB Ser. 10-20, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.15%),     
3.662%, 2/20/40  9,140,069  1,462,411 
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.618%, 7/16/43  9,193,359  1,401,987 
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.612%, 10/20/45  27,488,594  4,721,839 
IFB Ser. 14-58, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.612%, 4/20/44  10,252,521  1,605,340 
IFB Ser. 14-60, Class SE, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.612%, 4/20/44  15,141,336  2,311,915 

 

Diversified Income Trust 19 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Government National Mortgage Association     
IFB Ser. 14-46, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.612%, 3/20/44  $16,512,845  $2,586,242 
IFB Ser. 14-4, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.612%, 1/20/44  29,508,030  4,732,076 
IFB Ser. 13-182, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%),     
3.612%, 12/20/43  10,684,381  1,842,831 
Ser. 18-21, Class AI, IO, 3.50%, 2/20/48  19,482,124  2,483,191 
Ser. 17-139, Class IG, IO, 3.50%, 9/20/47  15,096,380  2,059,901 
Ser. 16-156, Class PI, IO, 3.50%, 11/20/46  39,940,147  3,650,529 
Ser. 16-79, IO, 3.50%, 6/20/46  27,867,528  3,963,599 
Ser. 15-131, Class CI, IO, 3.50%, 9/20/45  28,234,699  4,336,649 
Ser. 15-131, Class MI, IO, 3.50%, 9/20/45  44,377,953  5,935,551 
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45  49,038,889  7,629,212 
Ser. 17-176, Class BI, IO, 3.50%, 5/20/45  38,479,639  3,802,696 
Ser. 17-136, Class IG, IO, 3.50%, 2/20/44  20,245,822  1,636,268 
Ser. 17-17, Class DI, IO, 3.50%, 9/20/43  15,030,406  1,334,749 
Ser. 13-102, Class IP, IO, 3.50%, 6/20/43  9,974,399  1,028,820 
Ser. 13-76, IO, 3.50%, 5/20/43  28,007,600  4,632,177 
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43  21,625,328  3,238,773 
Ser. 13-28, IO, 3.50%, 2/20/43  7,689,704  1,175,141 
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43  17,832,002  2,749,338 
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43  16,770,680  2,549,646 
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42  11,897,955  1,777,673 
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42  31,657,837  5,524,922 
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42  23,956,111  4,200,500 
Ser. 12-92, Class AI, IO, 3.50%, 4/20/42  9,666,589  646,397 
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42  16,151,460  1,407,923 
Ser. 13-37, Class LI, IO, 3.50%, 1/20/42  21,193,847  2,329,204 
Ser. 15-131, Class BI, IO, 3.50%, 6/20/41  25,791,790  1,869,904 
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40  30,946,815  3,367,013 
Ser. 15-17, Class LI, IO, 3.50%, 5/16/40  21,529,946  1,722,180 
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39  25,531,496  2,756,832 
Ser. 15-134, Class LI, IO, 3.50%, 5/20/39  15,943,655  1,056,267 
Ser. 12-48, Class AI, IO, 3.50%, 2/20/36  8,479,517  628,384 
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%),     
3.112%, 8/20/44  26,640,279  3,663,038 
Ser. 18-H05, Class AI, IO, 2.933%, 2/20/68 W   66,027,895  8,851,865 
Ser. 18-H04, IO, 2.851%, 2/20/68 W   54,094,932  7,160,655 
Ser. 18-H05, Class BI, IO, 2.85%, 2/20/68 W   85,412,975  11,343,911 
Ser. 17-H08, Class NI, IO, 2.633%, 3/20/67 W   64,693,890  7,129,267 
Ser. 17-H05, Class CI, IO, 2.593%, 2/20/67 W   34,206,628  4,369,315 
Ser. 17-H03, Class EI, IO, 2.416%, 1/20/67 W   29,452,997  4,381,133 
Ser. 18-H02, Class EI, IO, 2.404%, 1/20/68 W   88,999,617  11,792,449 
Ser. 18-H02, Class HI, IO, 2.387%, 1/20/68 W   74,637,032  10,215,944 
Ser. 18-H03, Class XI, IO, 2.375%, 2/20/68 W   107,833,139  14,223,192 
Ser. 16-H04, Class HI, IO, 2.368%, 7/20/65 W   59,965,367  5,228,980 
Ser. 17-H06, Class BI, IO, 2.341%, 2/20/67 W   61,719,231  7,097,712 
Ser. 17-H02, Class BI, IO, 2.338%, 1/20/67 W   25,812,998  3,072,521 

 

20 Diversified Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Government National Mortgage Association     
Ser. 17-H06, Class MI, IO, 2.299%, 2/20/67 W   $50,055,439  $5,595,748 
Ser. 16-H22, Class AI, IO, 2.299%, 10/20/66 W   50,430,377  5,522,176 
Ser. 17-H16, Class JI, IO, 2.288%, 8/20/67 W   44,769,358  6,267,710 
Ser. 18-H01, Class XI, IO, 2.24%, 1/20/68 W   44,095,873  6,724,621 
Ser. 16-H23, Class NI, IO, 2.233%, 10/20/66 W   114,357,960  12,728,041 
Ser. 16-H16, Class EI, IO, 2.209%, 6/20/66 W   43,554,688  4,690,840 
Ser. 17-H18, Class FI, IO, 2.188%, 9/20/67 W   45,106,816  6,540,488 
Ser. 16-H24, Class JI, IO, 2.175%, 11/20/66 W   24,430,684  2,962,221 
Ser. 17-H12, Class QI, IO, 2.151%, 5/20/67 W   56,413,641  6,241,549 
Ser. 17-H16, IO, 2.144%, 8/20/67 W   42,236,316  5,291,450 
Ser. 16-H27, Class EI, IO, 2.136%, 12/20/66 W   43,343,955  4,169,905 
Ser. 17-H20, Class HI, IO, 2.118%, 10/20/67 W   42,674,593  5,814,413 
Ser. 18-H01, IO, 2.107%, 12/20/67 W   30,141,145  3,956,116 
Ser. 17-H11, Class TI, IO, 2.018%, 4/20/67 W   34,153,838  4,168,066 
Ser. 15-H18, Class BI, IO, 1.926%, 7/20/65 W   45,536,651  4,121,067 
Ser. 16-H17, Class KI, IO, 1.919%, 7/20/66 W   29,669,486  3,189,469 
Ser. 15-H15, Class BI, IO, 1.884%, 6/20/65 W   74,121,765  6,869,753 
Ser. 15-H12, Class AI, IO, 1.869%, 5/20/65 W   85,611,029  7,077,207 
Ser. 15-H20, Class BI, IO, 1.868%, 8/20/65 W   50,854,367  4,495,526 
Ser. 17-H11, Class DI, IO, 1.865%, 5/20/67 W   33,482,058  3,808,584 
Ser. 15-H23, Class DI, IO, 1.859%, 9/20/65 W   40,104,485  3,538,138 
Ser. 15-H24, Class AI, IO, 1.857%, 9/20/65 W   38,922,033  3,585,031 
Ser. 15-H15, Class AI, IO, 1.831%, 6/20/65 W   47,736,908  4,229,490 
FRB Ser. 15-H08, Class CI, IO, 1.806%, 3/20/65 W   65,112,706  5,291,319 
Ser. 17-H10, Class MI, IO, 1.801%, 4/20/67 W   100,428,400  9,570,827 
Ser. 17-H06, Class DI, IO, 1.787%, 2/20/67 W   36,081,800  3,034,479 
Ser. 15-H23, Class BI, IO, 1.748%, 9/20/65 W   73,999,525  6,023,561 
Ser. 17-H09, IO, 1.743%, 4/20/67 W   49,250,980  4,486,912 
Ser. 15-H03, Class CI, IO, 1.727%, 1/20/65 W   72,893,952  5,727,715 
Ser. 14-H25, Class BI, IO, 1.70%, 12/20/64 W   51,119,685  3,783,266 
Ser. 16-H14, IO, 1.693%, 6/20/66 W   52,880,365  3,448,011 
Ser. 16-H12, Class AI, IO, 1.666%, 7/20/65 W   56,363,843  4,266,574 
Ser. 16-H18, IO, 1.664%, 8/20/66 W   58,366,336  4,118,328 
Ser. 15-H01, Class BI, IO, 1.578%, 1/20/65 W   41,849,379  2,664,466 
Ser. 16-H06, Class CI, IO, 1.573%, 2/20/66 W   45,837,360  2,975,807 
Ser. 17-H03, Class HI, IO, 1.557%, 1/20/67 W   80,667,606  6,150,905 
Ser. 15-H10, Class BI, IO, 1.495%, 4/20/65 W   37,555,980  3,304,964 
Ser. 14-H06, Class BI, IO, 1.494%, 2/20/64 W   47,676,008  2,170,879 
Ser. 12-H29, Class AI, IO, 1.481%, 10/20/62 W   29,852,363  977,128 
Ser. 12-H29, Class FI, IO, 1.481%, 10/20/62 W   29,852,363  977,128 
Ser. 16-H08, Class AI, IO, 1.478%, 8/20/65 W   53,374,592  3,851,617 
Ser. 18-H15, Class EI, IO, 1.393%, 8/20/68 W   86,803,198  8,723,722 
Ser. 06-36, Class OD, PO, zero %, 7/16/36  9,379  7,846 
    814,252,835 

 

Diversified Income Trust 21 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Commercial mortgage-backed securities (6.7%)     
Banc of America Commercial Mortgage Trust FRB Ser. 05-1,     
Class B, 5.507%, 11/10/42 W   $5,816,503  $5,260,329 
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5,     
Class XW, IO, zero %, 2/10/51 W   26,667,782  266 
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB     
Ser. 05-1, Class C, 5.507%, 11/10/42 W   8,629,000  3,922,398 
Bear Stearns Commercial Mortgage Securities Trust     
FRB Ser. 07-T26, Class AJ, 5.46%, 1/12/45 W   5,417,000  4,821,130 
Ser. 05-PWR7, Class B, 5.142%, 2/11/41 W   4,885,274  4,903,838 
Ser. 05-PWR7, Class C, 5.142%, 2/11/41 W   4,945,000  5,042,812 
Ser. 05-PWR7, Class D, 5.142%, 2/11/41 W   4,190,000  4,197,249 
Bear Stearns Commercial Mortgage Securities Trust 144A     
FRB Ser. 06-PW11, Class C, 5.251%, 3/11/39 (In default)  † W   8,260,000  1,042,990 
FRB Ser. 07-T28, Class D, 5.165%, 9/11/42 W   4,680,000  2,644,200 
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO,     
zero %, 11/15/44 W   8,303,841  83 
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E,     
5.757%, 12/15/47 W   13,980,000  13,834,632 
COMM Mortgage Trust 144A     
FRB Ser. 12-CR3, Class E, 4.753%, 10/15/45 W   6,575,000  5,797,638 
FRB Ser. 13-CR9, Class D, 4.257%, 7/10/45 W   5,143,000  4,633,575 
Ser. 12-LC4, Class E, 4.25%, 12/10/44  10,009,000  8,503,506 
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX,     
IO, 0.455%, 12/15/39 W   9,543,190  47,430 
Credit Suisse Commercial Mortgage Trust 144A     
FRB Ser. 07-C4, Class C, 5.806%, 9/15/39 W   580,698  580,698 
FRB Ser. 08-C1, Class AJ, 5.803%, 2/15/41 W   10,781,406  7,246,184 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38     
(Cayman Islands)  1,059,856  1,078,624 
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D,     
3.796%, 4/15/50 W   7,767,000  7,013,373 
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3,     
Class B, 4.965%, 12/10/41  11,781  11,846 
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO,     
1.246%, 7/10/39 W   2,596,802  779 
GS Mortgage Securities Trust 144A     
FRB Ser. 12-GC6, Class D, 5.652%, 1/10/45 W   252,248  257,571 
FRB Ser. 14-GC24, Class D, 4.53%, 9/10/47 W   16,762,000  15,031,901 
JPMBB Commercial Mortgage Securities Trust 144A     
FRB Ser. 14-C18, Class D, 4.822%, 2/15/47 W   6,385,000  5,947,902 
FRB Ser. 14-C18, Class E, 4.322%, 2/15/47 W   7,852,000  6,054,622 
FRB Ser. 14-C25, Class D, 3.945%, 11/15/47 W   16,714,000  14,662,306 
Ser. 14-C25, Class E, 3.332%, 11/15/47 W   15,725,000  10,422,986 
JPMorgan Chase Commercial Mortgage Securities Trust FRB     
Ser. 13-LC11, Class D, 4.169%, 4/15/46 W   316,000  273,475 
JPMorgan Chase Commercial Mortgage Securities Trust 144A     
FRB Ser. 12-C8, Class E, 4.653%, 10/15/45 W   1,151,999  1,111,202 
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W   13,371,809  10,830,791 
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C,     
3.128%, 4/20/48 W   9,081,000  8,337,993 

 

22 Diversified Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X,     
IO, 4.973%, 12/15/49 W   $1,368,808  $1,260 
Morgan Stanley Bank of America Merrill Lynch Trust 144A     
FRB Ser. 13-C11, Class D, 4.365%, 8/15/46 W   650,000  341,250 
Ser. 14-C15, Class F, 4.00%, 4/15/47  157,000  129,608 
Ser. 14-C17, Class E, 3.50%, 8/15/47  9,096,000  6,854,018 
Morgan Stanley Capital I Trust     
Ser. 07-HQ11, Class C, 5.558%, 2/12/44 W   7,910,838  2,172,791 
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W   5,560,000  5,256,490 
Morgan Stanley Capital I Trust 144A     
FRB Ser. 08-T29, Class F, 5.745%, 1/11/43 W   4,224,356  4,234,917 
FRB Ser. 12-C4, Class E, 5.421%, 3/15/45 W   7,066,000  5,936,076 
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/20 (Cayman     
Islands) (In default)  † W   1,590,000  159 
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E,     
8.00%, 12/28/38  4,414,162  318,261 
UBS-Barclays Commercial Mortgage Trust 144A     
Ser. 12-C2, Class F, 4.893%, 5/10/63 W   6,847,000  4,776,494 
Ser. 13-C6, Class E, 3.50%, 4/10/46  19,613,000  14,980,527 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 05-C21, Class D, 5.238%, 10/15/44 W   9,120,573  9,038,031 
FRB Ser. 07-C34, IO, 0.091%, 5/15/46 W   9,736,966  2,113 
Wells Fargo Commercial Mortgage Trust 144A     
FRB Ser. 13-LC12, Class D, 4.287%, 7/15/46 W   14,132,111  12,760,937 
Ser. 14-LC16, Class D, 3.938%, 8/15/50  11,010,000  9,000,752 
WF-RBS Commercial Mortgage Trust 144A     
FRB Ser. 11-C5, Class E, 5.673%, 11/15/44 W   508,000  516,614 
Ser. 11-C3, Class E, 5.00%, 3/15/44 W   8,644,000  4,868,482 
FRB Ser. 12-C9, Class E, 4.781%, 11/15/45 W   6,516,000  5,775,007 
FRB Ser. 13-C15, Class D, 4.472%, 8/15/46 W   22,811,996  17,911,502 
FRB Ser. 12-C10, Class D, 4.442%, 12/15/45 W   21,408,000  19,033,050 
Ser. 13-C12, Class E, 3.50%, 3/15/48  3,747,000  3,066,837 
    280,489,505 
Residential mortgage-backed securities (non-agency) (11.3%)     
BCAP, LLC Trust 144A     
FRB Ser. 11-RR3, Class 3A6, 4.224%, 11/27/36 W   11,250,189  9,450,159 
FRB Ser. 12-RR5, Class 4A8, (1 Month US LIBOR + 0.17%),     
2.66%, 6/26/35  135,120  135,015 
Bear Stearns Alt-A Trust     
FRB Ser. 05-8, Class 21A1, 4.464%, 10/25/35 W   121,956  117,203 
FRB Ser. 05-7, Class 21A1, 4.431%, 9/25/35 W   3,212,955  3,004,405 
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1,     
(1 Month US LIBOR + 0.23%), 2.716%, 9/25/46  6,406,990  6,389,544 
Bellemeade Re, Ltd. 144A     
FRB Ser. 17-1, Class B1, (1 Month US LIBOR + 4.75%), 7.236%,     
10/25/27 (Bermuda)  2,376,000  2,518,560 
FRB Ser. 18-2A, Class B1, (1 Month US LIBOR + 2.65%), 5.136%,     
8/25/28 (Bermuda)  730,000  744,600 
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB     
Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.666%, 11/25/47  3,957,210  3,360,660 

 

Diversified Income Trust 23 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Citigroup Mortgage Loan Trust, Inc.     
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%),     
2.836%, 3/25/37  $10,808,660  $9,214,925 
FRB Ser. 07-AMC3, Class A2B, (1 Month US LIBOR + 0.18%),     
2.666%, 3/25/37  1,491,575  1,256,514 
Countrywide Alternative Loan Trust     
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%),     
3.357%, 8/25/46  5,158,982  4,571,826 
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%),     
3.337%, 6/25/46  11,528,322  10,431,833 
FRB Ser. 06-OA7, Class 1A1, 3.008%, 6/25/46 W   3,281,049  2,850,246 
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%),     
2.836%, 9/25/35  10,886,893  10,255,275 
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%),     
2.826%, 2/25/37  5,787,029  3,199,493 
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%),     
2.818%, 11/20/35  24,206,615  23,064,561 
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.19%),     
2.676%, 8/25/46  4,146,875  3,545,578 
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%),     
2.676%, 8/25/46  7,155,521  6,225,304 
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%),     
2.676%, 8/25/46  14,078,985  12,074,137 
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4,     
Class A2, (1 Month US LIBOR + 0.19%), 2.676%, 12/25/36  11,351,131  6,732,447 
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B,     
(1 Month US LIBOR + 10.50%), 12.986%, 5/25/28  6,333,498  8,312,309 
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B,     
(1 Month US LIBOR + 10.00%), 12.486%, 7/25/28  762,009  986,477 
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B,     
(1 Month US LIBOR + 9.35%), 11.836%, 4/25/28  11,926,961  15,349,448 
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B,     
(1 Month US LIBOR + 7.55%), 10.036%, 12/25/27  8,554,508  9,994,871 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1,     
(1 Month US LIBOR + 5.15%), 7.636%, 10/25/29  5,310,000  6,023,370 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1,     
(1 Month US LIBOR + 4.95%), 7.436%, 7/25/29  3,062,000  3,445,088 
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3,     
(1 Month US LIBOR + 3.85%), 6.336%, 3/25/29  3,145,000  3,471,103 
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2,     
(1 Month US LIBOR + 3.55%), 6.036%, 8/25/29  1,528,000  1,642,450 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class M2,     
(1 Month US LIBOR + 3.25%), 5.736%, 7/25/29  410,000  437,494 
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class B1,     
(1 Month US LIBOR + 3.15%), 5.636%, 7/25/30  1,547,000  1,471,386 
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2,     
(1 Month US LIBOR + 2.30%), 4.786%, 9/25/30  6,320,000  6,307,243 

 

24 Diversified Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal Home Loan Mortgage Corporation 144A     
Structured Agency Credit Risk Debt FRN Ser. 19-DNA2, Class B1,     
(1 Month US LIBOR + 4.35%), 6.837%, 3/25/49  $880,000  $880,435 
Structured Agency Credit Risk Debt FRN Ser. 18-DNA2, Class B1,     
(1 Month US LIBOR + 3.70%), 6.186%, 12/25/30  6,635,000  6,532,185 
Structured Agency Credit Risk Trust FRN Ser. 19-DNA1, Class M2,     
(1 Month US LIBOR + 2.65%), 5.136%, 1/25/49  540,000  546,693 
Structured Agency Credit Risk Debt FRN Ser. 19-DNA2, Class M2,     
(1 Month US LIBOR + 2.45%), 4.937%, 3/25/49  2,678,000  2,690,774 
Federal National Mortgage Association     
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B,     
(1 Month US LIBOR + 12.25%), 14.736%, 9/25/28  13,960,220  19,987,788 
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B,     
(1 Month US LIBOR + 11.75%), 14.236%, 10/25/28  7,736,007  10,891,842 
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B,     
(1 Month US LIBOR + 11.75%), 14.236%, 8/25/28  7,811,638  10,677,534 
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B,     
(1 Month US LIBOR + 10.75%), 13.236%, 1/25/29  445,123  559,837 
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2,     
(1 Month US LIBOR + 5.90%), 8.386%, 10/25/28  8,590,865  9,714,881 
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2,     
(1 Month US LIBOR + 5.70%), 8.186%, 4/25/28  20,764,683  23,743,915 
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1,     
(1 Month US LIBOR + 5.50%), 7.986%, 9/25/29  20,778,000  23,509,255 
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2,     
(1 Month US LIBOR + 5.30%), 7.786%, 10/25/28  2,494,000  2,845,254 
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2,     
(1 Month US LIBOR + 5.00%), 7.486%, 7/25/25  12,998,931  14,481,007 
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2,     
(1 Month US LIBOR + 5.00%), 7.486%, 7/25/25  870,580  956,489 
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1,     
(1 Month US LIBOR + 4.85%), 7.336%, 10/25/29  5,517,000  6,157,428 
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2,     
(1 Month US LIBOR + 4.45%), 6.936%, 1/25/29  727,000  792,842 
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2,     
(1 Month US LIBOR + 4.35%), 6.836%, 5/25/29  3,840,000  4,194,456 
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2,     
(1 Month US LIBOR + 4.30%), 6.786%, 2/25/25  224,647  242,910 
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1,     
(1 Month US LIBOR + 4.25%), 6.736%, 1/25/31  165,000  166,816 
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2,     
(1 Month US LIBOR + 4.25%), 6.736%, 4/25/29  501,000  554,814 
Connecticut Avenue Securities FRB Ser. 18-C02, Class 2B1,     
(1 Month US LIBOR + 4.00%), 6.486%, 8/25/30  2,208,000  2,174,097 
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1,     
(1 Month US LIBOR + 4.00%), 6.486%, 5/25/30  1,626,000  1,675,731 
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2,     
(1 Month US LIBOR + 4.00%), 6.486%, 5/25/25  730,284  785,283 
Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1,     
(1 Month US LIBOR + 3.75%), 6.236%, 10/25/30  500,000  495,975 

 

Diversified Income Trust 25 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal National Mortgage Association     
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2,     
(1 Month US LIBOR + 3.65%), 6.136%, 9/25/29  $1,640,000  $1,767,140 
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1,     
(1 Month US LIBOR + 3.60%), 6.086%, 1/25/30  3,517,000  3,603,879 
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1,     
(1 Month US LIBOR + 3.55%), 6.036%, 7/25/30  8,029,000  7,912,539 
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2,     
(1 Month US LIBOR + 3.55%), 6.036%, 7/25/29  8,093,000  8,691,169 
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2,     
(1 Month US LIBOR + 2.80%), 5.286%, 2/25/30  5,574,900  5,735,035 
Connecticut Avenue Securities FRB Ser. 17-C06, Class 1M2,     
(1 Month US LIBOR + 2.65%), 5.136%, 2/25/30  4,510,000  4,635,273 
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2,     
(1 Month US LIBOR + 2.55%), 5.036%, 12/25/30  2,690,000  2,707,969 
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1M2,     
(1 Month US LIBOR + 2.35%), 4.836%, 1/25/31  2,162,000  2,166,940 
Connecticut Avenue Securities FRB Ser. 18-C02, Class 2M2,     
(1 Month US LIBOR + 2.20%), 4.686%, 8/25/30  2,366,000  2,351,918 
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2,     
(1 Month US LIBOR + 2.10%), 4.586%, 3/25/31  1,094,000  1,078,575 
Federal National Mortgage Association 144A     
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1,     
(1 Month US LIBOR + 5.75%), 8.236%, 7/25/29  4,310,000  5,025,033 
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2,     
(1 Month US LIBOR + 2.45%), 4.936%, 7/25/31  1,200,000  1,204,404 
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2,     
(1 Month US LIBOR + 2.30%), 4.786%, 8/25/31  340,000  342,158 
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month     
US LIBOR + 0.18%), 2.666%, 5/25/36  11,686,949  5,054,248 
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month     
US LIBOR + 0.31%), 2.796%, 5/25/37  7,731,937  5,667,129 
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month     
US LIBOR + 0.52%), 3.002%, 5/19/35  21,977,978  13,909,258 
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO,     
(1 Month US LIBOR + 0.20%), 2.686%, 6/25/37  5,558,042  3,196,330 
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2,     
4.25%, 1/25/59  5,340,000  5,196,888 
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B,     
(1 Month US LIBOR + 0.23%), 3.439%, 2/26/37  282,415  249,392 
Oaktown Re, Ltd. 144A     
FRB Ser. 17-1A, Class M2, (1 Month US LIBOR + 4.00%), 6.486%,     
4/25/27 (Bermuda)  4,010,000  4,117,769 
FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 5.336%,     
7/25/28 (Bermuda)  17,300,000  17,359,469 
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR     
+ 2.70%), 5.186%, 3/25/28 (Bermuda)  6,240,000  6,386,640 
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7,     
Class A1A, (1 Month US LIBOR + 0.21%), 2.696%, 8/25/36  12,714,868  11,379,808 
WaMu Mortgage Pass-Through Certificates Trust     
FRB Ser. 05-AR14, Class 1A2, 4.193%, 12/25/35 W   7,628,428  7,619,653 
FRB Ser. 05-AR10, Class 1A3, 4.117%, 9/25/35 W   5,507,360  5,544,415 

 

26 Diversified Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (37.4%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
WaMu Mortgage Pass-Through Certificates Trust     
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%),     
2.976%, 10/25/45  $3,335,578  $3,293,021 
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%),     
2.886%, 12/25/45  2,765,358  2,727,749 
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%),     
2.836%, 12/25/45  2,659,326  2,580,261 
Wells Fargo Mortgage Backed Securities Trust     
FRB Ser. 06-AR5, Class 1A1, 5.079%, 4/25/36 W   3,662,503  3,699,129 
FRB Ser. 06-AR2, Class 1A1, 4.887%, 3/25/36 W   3,603,582  3,599,518 
    470,644,474 
Total mortgage-backed securities (cost $1,597,745,766)    $1,565,386,814 
 
U.S. GOVERNMENT AND AGENCY  Principal   
MORTGAGE OBLIGATIONS (25.1%)*  amount  Value 
U.S. Government Guaranteed Mortgage Obligations (3.3%)     
Government National Mortgage Association Pass-Through Certificates     
6.50%, 11/20/38  $185,036  $211,974 
5.00%, 12/20/48  3,513,643  3,688,325 
4.50%, TBA, 4/1/49  65,000,000  67,493,361 
4.50%, with due dates from 11/20/48 to 12/20/48  8,677,596  9,065,546 
4.00%, TBA, 4/1/49  40,000,000  41,300,000 
4.00%, 10/20/45  16,943,135  17,647,513 
    139,406,719 
U.S. Government Agency Mortgage Obligations (21.8%)     
Federal Home Loan Mortgage Corporation Pass-Through Certificates     
5.00%, 1/1/49  405,900  431,370 
4.50%, 1/1/49  801,468  842,921 
Federal National Mortgage Association Pass-Through Certificates     
5.50%, TBA, 4/1/49  23,000,000  24,541,718 
5.00%, with due dates from 12/1/48 to 1/1/49  5,041,204  5,398,083 
4.00%, TBA, 4/1/49  367,000,000  377,436,563 
3.50%, TBA, 5/1/49  19,000,000  19,241,211 
3.50%, TBA, 4/1/49  443,000,000  448,952,813 
3.00%, TBA, 4/1/49  31,000,000  30,857,109 
3.00%, 3/1/30 i   5,726,238  5,803,731 
    913,505,519 
Total U.S. government and agency mortgage obligations (cost $1,041,795,176)  $1,052,912,238 
 
  Principal   
U.S. TREASURY OBLIGATIONS (—%)*  amount  Value 
U.S. Treasury Bonds 2.50%, 2/15/46 i   $1,099,000  $1,037,104 
U.S. Treasury Notes 1.625%, 2/15/26 i   536,000  513,188 
Total U.S. treasury obligations (cost $1,550,292)    $1,550,292 

 

Diversified Income Trust 27 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)*    amount  Value 
Basic materials (3.0%)       
Allegheny Technologies, Inc. sr. unsec. unsub. notes       
7.875%, 8/15/23    $2,625,000  $2,844,844 
Allegheny Technologies, Inc. sr. unsec. unsub. notes       
5.95%, 1/15/21    515,000  527,875 
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France)    450,000  496,688 
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France)    1,864,000  2,122,216 
Axalta Coating Systems, LLC 144A company guaranty sr. unsec.       
unsub. notes 4.875%, 8/15/24    1,865,000  1,867,332 
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub.       
notes 6.375%, 10/1/23    1,881,000  1,956,240 
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec.       
notes 4.875%, 11/1/25    1,320,000  1,247,400 
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr.       
notes 7.25%, 9/1/25    3,316,000  3,466,215 
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24    3,105,000  3,050,663 
Boise Cascade Co. 144A company guaranty sr. unsec. notes       
5.625%, 9/1/24    4,267,000  4,202,995 
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes       
5.625%, 9/1/24    2,916,000  2,872,260 
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24    2,785,000  2,764,948 
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25    1,380,000  1,330,831 
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%,       
4/1/24 (Mexico)    2,000,000  2,060,000 
Cemex SAB de CV 144A company guaranty sr. notes 6.125%,       
5/5/25 (Mexico)    800,000  828,000 
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%,       
1/11/25 (Mexico)    1,675,000  1,716,875 
CF Industries, Inc. company guaranty sr. unsec. bonds       
4.95%, 6/1/43    3,256,000  2,792,020 
Chemours Co. (The) company guaranty sr. unsec. notes       
5.375%, 5/15/27    1,147,000  1,139,464 
Chemours Co. (The) company guaranty sr. unsec. unsub. notes       
7.00%, 5/15/25    1,764,000  1,856,610 
Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes       
5.75%, 3/1/25    771,000  738,233 
Compass Minerals International, Inc. 144A company guaranty sr.       
unsec. notes 4.875%, 7/15/24    4,359,000  4,053,870 
Constellium NV 144A company guaranty sr. unsec. notes 5.875%,       
2/15/26 (Netherlands)    2,615,000  2,565,969 
Constellium NV 144A company guaranty sr. unsec. notes 5.75%,       
5/15/24 (Netherlands)    2,370,000  2,361,113 
Diamond (BC) BV sr. unsec. notes Ser. REGS, 5.625%, 8/15/25  EUR  600,000  628,938 
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25  EUR  2,355,000  2,468,636 
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec.       
notes 7.50%, 4/1/25 (Canada)    $2,775,000  2,650,125 
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec.       
notes 6.875%, 3/1/26 (Canada)    1,760,000  1,632,400 
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes       
6.875%, 2/15/23 (Indonesia)    1,943,000  2,059,580 
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub.       
notes 5.45%, 3/15/43 (Indonesia)    1,134,000  992,261 

 

28 Diversified Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Basic materials cont.       
GCP Applied Technologies, Inc. 144A sr. unsec. notes       
5.50%, 4/15/26    $5,066,000  $5,154,656 
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27    1,798,000  1,838,456 
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26    2,825,000  2,762,370 
James Hardie International Finance DAC 144A sr. unsec. bonds       
5.00%, 1/15/28 (Ireland)    1,910,000  1,847,925 
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22    857,000  904,135 
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes       
4.875%, 9/15/24    2,158,000  2,152,605 
Mercer International, Inc. company guaranty sr. unsec. notes       
7.75%, 12/1/22 (Canada)    635,000  660,400 
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada)    1,601,000  1,637,023 
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)    1,190,000  1,166,200 
Mercer International, Inc. 144A sr. unsec. notes 7.375%,       
1/15/25 (Canada)    470,000  493,500 
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub.       
notes 8.00%, 4/15/26    3,460,000  3,109,675 
Novelis Corp. 144A company guaranty sr. unsec. bonds       
5.875%, 9/30/26    1,425,000  1,419,657 
Novelis Corp. 144A company guaranty sr. unsec. notes       
6.25%, 8/15/24    5,660,000  5,787,351 
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25    2,824,000  2,753,400 
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec.       
unsub. notes 7.50%, 11/20/25 (Ireland)    4,131,000  4,683,522 
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes       
8.00%, 10/1/26 (Netherlands)    2,620,000  2,626,550 
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes       
Ser. REGS, 6.50%, 10/1/26 (Netherlands)  EUR  400,000  449,442 
Steel Dynamics, Inc. company guaranty sr. unsec. notes       
5.00%, 12/15/26    $1,692,000  1,727,956 
Steel Dynamics, Inc. company guaranty sr. unsec. notes       
4.125%, 9/15/25    570,000  557,175 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes       
5.50%, 10/1/24    1,985,000  2,049,513 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes       
5.25%, 4/15/23    1,557,000  1,582,302 
Syngenta Finance NV 144A company guaranty sr. unsec. unsub.       
notes 5.182%, 4/24/28 (Switzerland)    2,765,000  2,810,038 
Syngenta Finance NV 144A company guaranty sr. unsec. unsub.       
notes 4.892%, 4/24/25 (Switzerland)    2,090,000  2,128,390 
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes       
3.75%, 2/1/23 (Canada)    1,312,000  1,310,477 
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25    2,285,000  2,213,068 
TopBuild Corp. 144A company guaranty sr. unsec. notes       
5.625%, 5/1/26    2,556,000  2,517,660 
Tronox Finance PLC 144A company guaranty sr. unsec. notes       
5.75%, 10/1/25 (United Kingdom)    750,000  693,750 
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes       
6.375%, 6/1/24    2,386,000  2,415,825 
Univar USA, Inc. 144A company guaranty sr. unsec. notes       
6.75%, 7/15/23    860,000  878,920 

 

Diversified Income Trust 29 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Basic materials cont.       
USG Corp. 144A company guaranty sr. unsec. bonds       
4.875%, 6/1/27    $2,224,000  $2,247,630 
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25    1,858,000  1,886,799 
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes       
5.625%, 10/1/24    2,381,000  2,529,813 
      126,290,784 
Capital goods (1.3%)       
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes       
4.75%, 10/1/27    3,649,000  3,480,234 
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A       
company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland)    3,765,000  3,962,663 
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A       
company guaranty sr. unsec. notes 6.00%, 2/15/25 (Ireland)    1,390,000  1,390,000 
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%,       
6/15/23 (Canada)    1,568,000  1,624,350 
Berry Global, Inc. 144A notes 4.50%, 2/15/26    1,990,000  1,890,898 
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada)    848,000  937,040 
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada)    1,783,000  1,852,092 
Briggs & Stratton Corp. company guaranty sr. unsec. notes       
6.875%, 12/15/20    2,134,000  2,208,690 
Crown Americas, LLC/Crown Americas Capital Corp. VI company       
guaranty sr. unsec. notes 4.75%, 2/1/26    1,965,000  1,974,432 
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds       
7.375%, 12/15/26    2,765,000  3,069,150 
Gates Global, LLC/Gates Global Co. 144A company guaranty sr.       
unsec. notes 6.00%, 7/15/22    2,215,000  2,220,538 
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec.       
notes 8.00%, 5/15/22    2,685,000  2,812,538 
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada)    1,367,000  1,291,815 
Nordex SE sr. unsec. notes Ser. REGS, 6.50%, 2/1/23 (Germany)  EUR  1,200,000  1,333,595 
Novafives SAS sr. notes Ser. REGS, 5.00%, 6/15/25 (France)  EUR  1,200,000  1,195,297 
Oshkosh Corp. company guaranty sr. unsec. sub. notes       
5.375%, 3/1/25    $1,865,000  1,913,957 
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A       
company guaranty sr. notes 6.25%, 5/15/26    365,000  372,300 
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A       
company guaranty sr. unsec. notes 8.50%, 5/15/27    1,820,000  1,824,551 
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes       
4.875%, 12/15/25    3,565,000  3,520,438 
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes       
6.125%, 11/1/26    1,390,000  1,431,700 
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes       
6.125%, 10/1/26    3,088,000  3,180,640 
Tennant Co. company guaranty sr. unsec. unsub. notes       
5.625%, 5/1/25    1,791,000  1,804,433 
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec.       
notes 7.75%, 4/15/26 (Canada)    1,360,000  1,173,000 
TransDigm, Inc. company guaranty sr. unsec. sub. notes       
6.50%, 5/15/25    454,000  460,855 
TransDigm, Inc. company guaranty sr. unsec. sub. notes       
6.375%, 6/15/26    3,455,000  3,419,932 

 

30 Diversified Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Capital goods cont.       
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26    $3,392,000  $3,532,768 
Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24    1,968,000  1,958,160 
      55,836,066 
Communication services (3.1%)       
Altice Financing SA 144A company guaranty sr. notes 6.625%,       
2/15/23 (Luxembourg)    1,050,000  1,073,625 
Altice Financing SA 144A company guaranty sr. unsub. notes       
7.50%, 5/15/26 (Luxembourg)    670,000  661,290 
Altice France SA 144A sr. bonds 6.25%, 5/15/24 (France)    4,231,000  4,262,733 
Altice Luxembourg SA company guaranty sr. unsec. sub. notes       
Ser. REGS, 6.25%, 2/15/25 (Luxembourg)  EUR  1,185,000  1,215,448 
Altice Luxembourg SA 144A company guaranty sr. unsec. notes       
7.75%, 5/15/22 (Luxembourg)    $5,005,000  5,005,000 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company       
guaranty sr. unsec. bonds 5.50%, 5/1/26    4,250,000  4,388,126 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company       
guaranty sr. unsec. notes 5.875%, 4/1/24    2,520,000  2,627,100 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.       
notes 5.875%, 5/1/27    315,000  326,907 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.       
notes 5.75%, 2/15/26    1,527,000  1,597,624 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.       
unsub. notes 5.125%, 5/1/23    5,653,000  5,785,789 
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26    450,000  465,466 
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24    545,000  557,421 
CommScope Technologies, LLC 144A company guaranty sr. unsec.       
notes 6.00%, 6/15/25    2,419,000  2,351,752 
CommScope Technologies, LLC 144A company guaranty sr. unsec.       
unsub. notes 5.00%, 3/15/27    755,000  669,443 
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24    5,050,000  5,125,750 
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21    2,060,000  2,201,625 
CSC Holdings, LLC 144A sr. unsec. notes 7.75%, 7/15/25    6,540,000  7,014,150 
CSC Holdings, LLC 144A sr. unsec. notes 5.125%, 12/15/21    568,000  568,710 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.875%, 10/15/25    1,483,000  1,712,124 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 7.50%, 4/1/28    6,540,000  7,007,937 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 5.125%, 12/15/21    1,728,000  1,730,160 
Digicel Group Two Ltd. 144A company guaranty sr. unsec. notes       
6.75%, 3/1/23 (Jamaica)    2,955,000  1,876,425 
DISH DBS Corp. company guaranty sr. unsec. unsub. notes       
5.875%, 11/15/24    6,363,000  5,344,920 
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R     2,822,000  2,963,946 
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26 R     665,000  700,544 
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25    1,475,000  970,734 
Frontier Communications Corp. 144A company guaranty notes       
8.50%, 4/1/26    2,989,000  2,779,770 
Intelsat Connect Finance SA 144A company guaranty sr. unsec.       
notes 9.50%, 2/15/23 (Luxembourg)    1,385,000  1,226,141 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes       
5.625%, 2/1/23    3,519,000  3,558,589 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes       
5.25%, 3/15/26    4,625,000  4,613,438 

 

Diversified Income Trust 31 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Communication services cont.       
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes       
6.875%, 11/15/28    $3,402,000  $3,270,172 
Sprint Corp. company guaranty sr. unsec. sub. notes       
7.875%, 9/15/23    10,036,000  10,512,710 
Sprint Corp. company guaranty sr. unsec. sub. notes       
7.25%, 9/15/21    3,845,000  4,037,250 
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint       
Spectrum Co. III, LLC 144A company guaranty sr. notes       
3.36%, 9/20/21    928,125  927,847 
T-Mobile USA, Inc. company guaranty sr. unsec. notes       
6.375%, 3/1/25    3,740,000  3,894,462 
T-Mobile USA, Inc. company guaranty sr. unsec. notes       
6.00%, 3/1/23    1,889,000  1,940,948 
T-Mobile USA, Inc. company guaranty sr. unsec. notes       
5.375%, 4/15/27    2,880,000  2,977,201 
T-Mobile USA, Inc. company guaranty sr. unsec. notes       
4.00%, 4/15/22    555,000  561,244 
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds       
4.75%, 2/1/28    1,760,000  1,744,601 
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes       
4.50%, 2/1/26    730,000  729,601 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH       
company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany)  EUR  3,640,500  4,527,891 
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%,       
7/15/22 (Canada)    $3,535,000  3,641,050 
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%,       
4/15/27 (Canada)    2,073,000  2,114,460 
Virgin Media Finance PLC 144A company guaranty sr. unsec.       
unsub. notes 4.50%, 1/15/25 (United Kingdom)  EUR  3,165,000  3,669,880 
Virgin Media Secured Finance PLC company guaranty sr. notes       
Ser. REGS, 5.125%, 1/15/25 (United Kingdom)  GBP  600,000  795,958 
Virgin Media Secured Finance PLC 144A company guaranty sr.       
bonds 5.00%, 4/15/27 (United Kingdom)  GBP  1,350,000  1,768,617 
Ziggo Bond Co. BV 144A sr. unsec. bonds 4.625%,       
1/15/25 (Netherlands)  EUR  1,025,000  1,179,781 
Ziggo Bond Co. BV 144A sr. unsec. notes 6.00%,       
1/15/27 (Netherlands)    $1,570,000  1,507,200 
Ziggo BV 144A company guaranty sr. notes 5.50%,       
1/15/27 (Netherlands)    1,075,000  1,061,563 
      131,245,123 
Consumer cyclicals (4.0%)       
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.       
notes 6.125%, 5/15/27    5,627,000  5,085,401 
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.       
sub. notes 5.875%, 11/15/26    756,000  682,290 
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.       
sub. notes 5.75%, 6/15/25    939,000  877,777 
American Builders & Contractors Supply Co., Inc. 144A company       
guaranty sr. unsec. notes 5.875%, 5/15/26    580,000  587,976 
American Builders & Contractors Supply Co., Inc. 144A sr. unsec.       
notes 5.75%, 12/15/23    1,509,000  1,558,043 

 

32 Diversified Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Consumer cyclicals cont.     
Boyd Gaming Corp. company guaranty sr. unsec. notes     
6.00%, 8/15/26  $2,420,000  $2,480,500 
Brookfield Residential Properties, Inc./Brookfield Residential     
US Corp. 144A company guaranty sr. unsec. notes 6.125%,     
7/1/22 (Canada)  1,335,000  1,336,269 
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26  1,945,000  1,988,763 
CBS Radio, Inc. 144A company guaranty sr. unsec. notes     
7.25%, 11/1/24  3,868,000  3,848,660 
Cinemark USA, Inc. company guaranty sr. unsec. notes     
5.125%, 12/15/22  6,000  6,090 
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes     
4.875%, 6/1/23  2,061,000  2,095,625 
Cirsa Finance International SARL 144A sr. notes 7.875%,     
12/20/23 (Luxembourg)  1,130,000  1,166,725 
Clear Channel Worldwide Holdings, Inc. company guaranty sr.     
unsec. unsub. notes 6.50%, 11/15/22  3,103,000  3,168,939 
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25  1,389,000  1,268,852 
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr.     
unsec. notes 5.25%, 10/15/25  2,790,000  2,687,105 
Eldorado Resorts, Inc. company guaranty sr. unsec. notes     
6.00%, 9/15/26  385,000  390,775 
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes     
7.00%, 8/1/23  1,394,000  1,458,696 
Gartner, Inc. 144A company guaranty sr. unsec. notes     
5.125%, 4/1/25  1,940,000  1,960,758 
Gray Television, Inc. 144A company guaranty sr. unsec. notes     
5.875%, 7/15/26  1,496,000  1,522,479 
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27  3,255,000  3,458,438 
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes     
4.625%, 5/15/24  1,375,000  1,378,713 
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp.     
company guaranty sr. unsec. notes 4.875%, 4/1/27  3,250,000  3,286,563 
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25  3,401,000  3,396,477 
iHeartCommunications, Inc. company guaranty sr. notes 9.00%,     
12/15/19 (In default)  †   581,000  412,510 
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28     
(United Kingdom)  1,085,000  1,133,825 
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25     
(United Kingdom)  1,345,000  1,398,800 
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%,     
3/1/26 (United Kingdom)  450,000  447,750 
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds     
5.25%, 3/15/28 R   820,000  792,325 
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes     
4.875%, 9/15/27 R   2,840,000  2,726,400 
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company     
guaranty notes 10.25%, 11/15/22  1,376,000  1,475,760 
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company     
guaranty sr. notes 6.75%, 11/15/21  3,634,000  3,743,020 
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24  740,000  775,151 

 

Diversified Income Trust 33 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Consumer cyclicals cont.     
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds     
7.40%, 4/1/37  $1,361,000  $483,155 
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes     
4.875%, 12/15/27  1,050,000  989,625 
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes     
4.625%, 12/15/25  1,200,000  1,140,000 
Lennar Corp. company guaranty sr. unsec. sub. notes     
5.875%, 11/15/24  1,029,000  1,092,027 
Lions Gate Capital Holdings, LLC 144A company guaranty sr.     
unsec. notes 5.875%, 11/1/24  1,817,000  1,869,239 
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes     
6.375%, 2/1/24  1,810,000  1,895,976 
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec.     
notes 4.875%, 11/1/24  2,091,000  2,104,069 
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec.     
sub. notes 5.625%, 3/15/26  3,192,000  3,295,740 
Mattamy Group Corp. 144A sr. unsec. notes 6.875%,     
12/15/23 (Canada)  1,798,000  1,833,960 
Mattamy Group Corp. 144A sr. unsec. notes 6.50%,     
10/1/25 (Canada)  662,000  644,623 
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26  3,230,000  3,391,500 
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25  4,572,000  4,646,296 
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec.     
notes 5.625%, 8/1/24  8,679,000  8,809,185 
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr.     
unsec. notes 5.00%, 2/1/25 (Luxembourg)  1,367,000  1,314,029 
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty     
sr. unsec. sub. notes 5.00%, 4/15/22  3,597,000  3,552,038 
Outfront Media Capital, LLC/Outfront Media Capital Corp.     
company guaranty sr. unsec. sub. notes 5.875%, 3/15/25  2,510,000  2,572,750 
Outfront Media Capital, LLC/Outfront Media Capital Corp.     
company guaranty sr. unsec. sub. notes 5.625%, 2/15/24  246,000  251,535 
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24  2,207,000  2,226,329 
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27  1,260,000  1,225,350 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.75%, 10/1/22  4,243,000  4,311,949 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.50%, 5/15/26  733,000  722,005 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.375%, 12/1/24  1,901,000  1,891,495 
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes     
7.875%, 6/15/32  1,889,000  2,125,125 
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company     
guaranty sr. unsec. notes 9.375%, 4/1/27  545,000  557,944 
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes     
6.25%, 5/15/26  750,000  760,313 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.     
144A sr. notes 6.125%, 8/15/21  3,266,000  3,274,165 
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23  2,214,000  2,269,173 
Scientific Games International, Inc. company guaranty sr. unsec.     
notes 10.00%, 12/1/22  3,292,000  3,459,398 

 

34 Diversified Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Consumer cyclicals cont.       
Scientific Games International, Inc. 144A company guaranty sr.       
unsec. notes 8.25%, 3/15/26    $2,670,000  $2,725,135 
Sinclair Television Group, Inc. 144A company guaranty sr. unsec.       
sub. notes 5.625%, 8/1/24    1,600,000  1,614,000 
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes       
6.00%, 7/15/24    2,578,000  2,671,453 
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27    4,062,000  4,062,000 
Six Flags Entertainment Corp. 144A company guaranty sr. unsec.       
bonds 5.50%, 4/15/27    2,830,000  2,798,304 
Six Flags Entertainment Corp. 144A company guaranty sr. unsec.       
unsub. notes 4.875%, 7/31/24    5,090,000  5,029,531 
Spectrum Brands, Inc. company guaranty sr. unsec. notes       
5.75%, 7/15/25    2,045,000  2,060,338 
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes       
6.625%, 11/15/22    45,000  46,013 
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes       
6.125%, 12/15/24    75,000  75,750 
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25    2,834,000  2,967,454 
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24    2,416,000  2,476,400 
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28    145,000  138,475 
Star Merger Sub, Inc. 144A sr. notes 6.875%, 8/15/26    905,000  925,363 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP       
Gaming Finance Corp. 144A company guaranty sr. unsub. notes       
5.875%, 5/15/25    1,565,000  1,546,416 
Tendam Brands SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain)  EUR  1,180,000  1,327,464 
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty       
sr. unsec. unsub. notes 5.875%, 6/15/24    $1,945,000  1,954,725 
Tribune Media Co. company guaranty sr. unsec. notes       
5.875%, 7/15/22    1,804,000  1,841,207 
Univision Communications, Inc. 144A company guaranty sr. sub.       
notes 5.125%, 2/15/25    2,003,000  1,865,294 
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes       
6.00%, 2/1/23    1,745,000  1,679,563 
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr.       
unsec. notes 8.75%, 7/15/25    1,380,000  1,189,008 
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes       
5.50%, 4/15/26    2,935,000  3,012,044 
Wolverine World Wide, Inc. 144A company guaranty sr. unsec.       
bonds 5.00%, 9/1/26    1,220,000  1,183,400 
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec.       
notes 5.375%, 4/15/26    1,630,000  1,658,526 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company       
guaranty sr. unsec. sub. notes 5.25%, 5/15/27    3,791,000  3,582,495 
      169,736,806 
Consumer staples (0.7%)       
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty       
notes 5.00%, 10/15/25 (Canada)    2,285,000  2,256,438 
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr.       
sub. notes 4.25%, 5/15/24 (Canada)    1,600,000  1,584,000 
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/       
Albertson’s, LLC 144A company guaranty sr. unsec. notes       
7.50%, 3/15/26    1,625,000  1,671,719 

 

Diversified Income Trust 35 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Consumer staples cont.     
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27  $445,000  $429,425 
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes     
8.50%, 7/15/25  1,380,000  1,238,550 
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes     
7.75%, 1/15/27  165,000  175,725 
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub.     
notes 6.375%, 7/15/26  730,000  748,250 
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes     
8.75%, 10/1/25  1,386,000  1,455,300 
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24  3,633,000  3,651,165 
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26  2,987,000  2,938,461 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC     
144A company guaranty sr. unsec. notes 5.25%, 6/1/26  1,680,000  1,695,751 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC     
144A company guaranty sr. unsec. notes 5.00%, 6/1/24  1,680,000  1,713,600 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC     
144A company guaranty sr. unsec. notes 4.75%, 6/1/27  1,055,000  1,036,538 
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec.     
unsub. notes 4.875%, 11/1/26  1,799,000  1,823,737 
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec.     
unsub. notes 4.625%, 11/1/24  440,000  444,951 
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27  3,582,000  3,608,866 
Netflix, Inc. sr. unsec. notes 5.875%, 2/15/25  715,000  772,665 
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28  1,595,000  1,579,050 
Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29  1,055,000  1,140,719 
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28  1,290,000  1,362,563 
    31,327,473 
Energy (5.1%)     
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway)  1,101,000  1,151,921 
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company     
guaranty sr. unsec. notes 7.875%, 12/15/24  793,000  293,410 
Antero Resources Corp. company guaranty sr. unsec. notes     
5.625%, 6/1/23  1,618,000  1,640,248 
Antero Resources Corp. company guaranty sr. unsec. sub. notes     
5.375%, 11/1/21  2,529,000  2,538,484 
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26  2,464,000  2,494,801 
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr.     
unsec. notes 10.00%, 4/1/22  1,019,000  1,116,111 
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr.     
unsec. notes 7.00%, 11/1/26  1,176,000  1,130,431 
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes     
5.625%, 6/1/24 (Canada)  1,380,000  1,281,675 
California Resources Corp. company guaranty sr. unsec. sub. notes     
5.00%, 1/15/20  710,000  667,400 
California Resources Corp. 144A company guaranty notes     
8.00%, 12/15/22  2,825,000  2,218,473 
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada)  1,531,000  1,705,152 
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes     
5.875%, 3/31/25  3,102,000  3,373,426 
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes     
5.125%, 6/30/27  5,170,000  5,425,737 

 

36 Diversified Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Energy cont.     
Chesapeake Energy Corp. company guaranty sr. unsec. notes     
8.00%, 6/15/27  $671,000  $660,935 
Chesapeake Energy Corp. company guaranty sr. unsec. notes     
8.00%, 1/15/25  1,383,000  1,410,660 
Chesapeake Energy Corp. company guaranty sr. unsec. notes     
5.75%, 3/15/23  302,000  295,205 
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes     
9.75%, 8/15/26  2,064,000  1,898,880 
Continental Resources, Inc. company guaranty sr. unsec. bonds     
4.90%, 6/1/44  1,342,000  1,364,064 
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company     
guaranty sr. unsec. notes 7.50%, 5/15/25  2,957,000  2,735,225 
DCP Midstream Operating LP company guaranty sr. unsec. unsub.     
notes 5.375%, 7/15/25  1,042,000  1,086,285 
DCP Midstream Operating LP 144A company guaranty sr. unsec.     
unsub. bonds 6.75%, 9/15/37  1,698,000  1,748,940 
Denbury Resources, Inc. 144A company guaranty notes     
9.00%, 5/15/21  1,972,000  1,917,770 
Denbury Resources, Inc. 144A notes 7.50%, 2/15/24  727,000  620,676 
Diamondback Energy, Inc. company guaranty sr. unsec. unsub.     
notes 5.375%, 5/31/25  4,923,000  5,138,381 
Diamondback Energy, Inc. company guaranty sr. unsec. unsub.     
notes 4.75%, 11/1/24  720,000  736,056 
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec.     
bonds 5.75%, 1/30/28  2,105,000  2,204,988 
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec.     
notes 5.50%, 1/30/26  835,000  855,875 
Energy Transfer Partners LP company guaranty sr. unsec. notes     
5.875%, 1/15/24  1,695,000  1,850,190 
Energy Transfer Partners LP company guaranty sr. unsec. notes     
5.50%, 6/1/27  837,000  906,833 
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%,     
perpetual maturity  4,320,000  4,106,808 
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom)  1,368,000  1,154,250 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty notes 9.375%, 5/1/24  1,367,000  485,285 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty sr. notes 7.75%, 5/15/26  1,669,000  1,356,063 
Hess Infrastructure Partners LP/Hess Infrastructure Partners     
Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26  3,407,000  3,466,623 
Holly Energy Partners LP/Holly Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 6.00%, 8/1/24  3,898,000  4,034,430 
Indigo Natural Resources, LLC 144A sr. unsec. notes     
6.875%, 2/15/26  2,192,000  1,939,920 
Jagged Peak Energy, LLC company guaranty sr. unsec. notes     
5.875%, 5/1/26  940,000  932,057 
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%,     
3/31/24 (Canada)  97,000  90,453 
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6.375%, 1/30/23 (Canada)  570,000  527,250 
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada)  1,345,000  1,325,067 

 

Diversified Income Trust 37 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Energy cont.     
Nabors Industries, Inc. company guaranty sr. unsec. notes     
5.75%, 2/1/25  $2,245,000  $2,012,036 
Nabors Industries, Inc. company guaranty sr. unsec. notes     
5.50%, 1/15/23  330,000  314,986 
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22  2,593,000  2,768,028 
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23  1,005,000  1,037,663 
Noble Holding International, Ltd. company guaranty sr. unsec.     
unsub. notes 7.75%, 1/15/24  735,000  661,758 
Noble Holding International, Ltd. 144A company guaranty sr.     
unsec. notes 7.875%, 2/1/26  1,446,000  1,341,166 
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes     
6.875%, 1/15/23  994,000  994,000 
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes     
6.875%, 3/15/22  1,484,000  1,498,840 
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26  1,870,000  1,781,176 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
bonds 7.375%, 1/17/27 (Brazil)  9,406,000  10,349,892 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 6.25%, 3/17/24 (Brazil)  4,451,000  4,768,134 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 6.125%, 1/17/22 (Brazil)  23,947,000  25,323,865 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 5.999%, 1/27/28 (Brazil)  8,424,000  8,541,936 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 5.299%, 1/27/25 (Brazil)  5,730,000  5,815,950 
Petroleos de Venezuela SA company guaranty sr. unsec. bonds     
Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)  †   1,537,000  341,983 
Petroleos de Venezuela SA company guaranty sr. unsec. unsub.     
notes 5.375%, 4/12/27 (Venezuela) (In default)  †   4,617,000  969,570 
Petroleos de Venezuela SA 144A company guaranty sr. unsec.     
notes 6.00%, 11/15/26 (Venezuela) (In default)  †   24,565,000  5,465,713 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
6.50%, 3/13/27 (Mexico)  18,553,000  18,673,297 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
6.375%, 1/23/45 (Mexico)  13,632,000  12,217,217 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
4.875%, 1/18/24 (Mexico)  1,665,000  1,639,176 
Precision Drilling Corp. 144A company guaranty sr. unsec. notes     
7.125%, 1/15/26 (Canada)  1,480,000  1,467,513 
Range Resources Corp. company guaranty sr. unsec. sub. notes     
5.75%, 6/1/21  2,216,000  2,249,240 
Regency Energy Partners LP/Regency Energy Finance Corp.     
company guaranty sr. unsec. notes 5.00%, 10/1/22  1,655,000  1,744,654 
Rose Rock Midstream LP/Rose Rock Finance Corp. company     
guaranty sr. unsec. sub. notes 5.625%, 11/15/23  1,639,000  1,539,185 
Rose Rock Midstream LP/Rose Rock Finance Corp. company     
guaranty sr. unsec. sub. notes 5.625%, 7/15/22  1,367,000  1,351,621 
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24  775,000  854,073 
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24  1,942,000  1,607,005 
SESI, LLC company guaranty sr. unsec. unsub. notes     
7.125%, 12/15/21  998,000  894,457 

 

38 Diversified Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Energy cont.     
Seventy Seven Energy, Inc. escrow sr. unsec. notes     
6.50%, 7/15/22 F   $3,730,000  $373 
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27  840,000  798,000 
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24  1,650,000  1,526,250 
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 5.50%, 1/15/28  2,020,000  2,025,636 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28  2,398,000  2,365,027 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29  560,000  608,300 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/15/27  900,000  970,875 
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%,     
8/1/25 (Cayman Islands)  1,545,075  1,566,320 
Transocean Poseidon, Ltd. 144A company guaranty sr. notes     
6.875%, 2/1/27  653,000  679,120 
Transocean, Inc. company guaranty sr. unsec. unsub. bonds     
7.50%, 4/15/31  2,565,000  2,193,075 
Transocean, Inc. 144A company guaranty sr. unsec. notes     
9.00%, 7/15/23  77,000  82,102 
USA Compression Partners LP/USA Compression Finance Corp.     
company guaranty sr. unsec. notes 6.875%, 4/1/26  2,490,000  2,555,363 
USA Compression Partners LP/USA Compression Finance Corp.     
144A sr. unsec. notes 6.875%, 9/1/27  540,000  548,775 
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes     
5.625%, 3/15/25 (Canada)  1,231,000  1,194,070 
Weatherford International, Ltd. company guaranty sr. unsec. sub.     
notes 9.875%, 2/15/24  1,371,000  987,120 
Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26  1,145,000  1,122,100 
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32  576,000  801,492 
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.75%, 6/15/31  853,000  1,086,130 
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23  317,000  356,625 
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26  1,818,000  1,845,270 
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22  511,000  530,163 
    211,952,758 
Financials (2.8%)     
Alliance Data Systems Corp. 144A company guaranty sr. unsec.     
notes 5.375%, 8/1/22  2,006,000  2,028,568 
Ally Financial, Inc. company guaranty sr. unsec. notes     
8.00%, 11/1/31  9,932,000  12,328,096 
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25  1,193,000  1,270,677 
American International Group, Inc. jr. unsec. sub. FRB     
8.175%, 5/15/58  1,221,000  1,468,253 
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%,     
perpetual maturity  1,685,000  1,828,292 
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23  4,170,000  4,373,288 
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25  2,072,000  2,204,712 
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22  781,000  813,216 
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20  1,367,000  1,346,495 
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25  2,735,000  2,830,725 

 

Diversified Income Trust 39 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Financials cont.       
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes       
6.625%, 3/15/26    $910,000  $925,106 
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual       
maturity (Switzerland)    1,285,000  1,281,788 
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31    3,250,000  4,095,000 
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31    1,223,000  1,540,980 
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes       
5.25%, 5/1/25 R     2,080,000  2,066,126 
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%,       
4/17/28 (Canada)    1,155,000  1,150,957 
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25    1,662,000  1,475,026 
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24    1,481,000  1,314,388 
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec.       
notes 5.25%, 6/1/25    1,735,000  1,815,244 
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec.       
unsub. notes 5.375%, 4/15/26    1,191,000  1,244,476 
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%,       
11/1/22 (Canada)    1,290,000  1,354,500 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company       
guaranty sr. unsec. notes 6.75%, 2/1/24    1,110,000  1,157,175 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company       
guaranty sr. unsec. notes 6.25%, 2/1/22    1,075,000  1,102,789 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company       
guaranty sr. unsec. notes 5.875%, 2/1/22    3,267,000  3,307,838 
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB       
7.70%, perpetual maturity (Italy)    1,370,000  1,303,697 
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22 R     725,000  727,719 
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22 R     750,000  735,938 
Liberty Mutual Insurance Co. 144A unsec. sub. notes       
7.697%, 10/15/97    2,675,000  3,600,840 
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13.00%, perpetual       
maturity (United Kingdom)  GBP  100,000  221,011 
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%,       
perpetual maturity (United Kingdom)    $1,455,000  1,487,738 
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes       
5.75%, 9/15/25    4,195,000  4,248,696 
MetLife, Inc. 144A jr. unsec. sub. bonds 9.25%, 4/8/38    935,000  1,256,406 
MGM Growth Properties Operating Partnership LP/MGP Finance       
Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28 R     680,000  639,200 
Miller Homes Group Holdings PLC company guaranty sr. notes       
Ser. REGS, 5.50%, 10/15/24 (United Kingdom)  GBP  1,075,000  1,386,272 
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr.       
unsec. notes 9.125%, 7/15/26    $610,000  619,912 
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr.       
unsec. notes 8.125%, 7/15/23    1,570,000  1,617,100 
Nationstar Mortgage, LLC/Nationstar Capital Corp. company       
guaranty sr. unsec. unsub. notes 6.50%, 7/1/21    3,743,000  3,743,000 
Provident Funding Associates LP/PFG Finance Corp. 144A sr.       
unsec. notes 6.375%, 6/15/25    2,500,000  2,275,000 
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%,       
perpetual maturity (United Kingdom)    1,370,000  1,469,325 

 

40 Diversified Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.    amount  Value 
Financials cont.       
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%,       
perpetual maturity (United Kingdom)    $2,445,000  $3,059,307 
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%,       
perpetual maturity (United Kingdom)    3,515,000  3,580,906 
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%,       
9/12/23 (United Kingdom)    1,580,000  1,586,549 
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes       
7.125%, 3/15/26    1,045,000  1,063,936 
Springleaf Finance Corp. company guaranty sr. unsec. unsub.       
notes 6.875%, 3/15/25    1,745,000  1,799,531 
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R     2,020,000  2,009,900 
Stearns Holdings, Inc. 144A company guaranty sr. notes       
9.375%, 8/15/20    1,925,000  1,799,875 
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes       
11.125%, 4/1/23    2,667,000  2,506,980 
Travelport Corporate Finance PLC 144A company guaranty sr.       
notes 6.00%, 3/15/26 (United Kingdom)    2,342,000  2,529,360 
UBS Group Funding Switzerland AG company guaranty jr. unsec.       
sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland)    1,400,000  1,402,765 
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%,       
10/17/22 (Russia)    10,740,000  11,075,625 
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes       
7.875%, 5/1/25    3,560,000  3,275,200 
      115,345,503 
Health care (1.8%)       
Bausch Health Americas, Inc. 144A company guaranty sr. unsec.       
notes 9.25%, 4/1/26    1,985,000  2,172,186 
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27    2,444,000  2,590,640 
Bausch Health Cos., Inc. company guaranty sr. unsec. notes       
Ser. REGS, 4.50%, 5/15/23  EUR  2,090,000  2,364,667 
Bausch Health Cos., Inc. 144A company guaranty sr. notes       
5.50%, 11/1/25    $550,000  561,688 
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes       
9.00%, 12/15/25    1,540,000  1,672,902 
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes       
6.125%, 4/15/25    3,185,000  3,153,150 
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes       
5.875%, 5/15/23    3,896,000  3,944,701 
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes       
7.00%, 3/15/24    1,985,000  2,100,130 
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes       
6.50%, 3/15/22    660,000  683,100 
Bausch Health Cos., Inc. 144A sr. notes 5.75%, 8/15/27    670,000  686,951 
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24    2,705,000  2,834,299 
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22    1,466,000  1,491,655 
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26    950,000  991,563 
CHS/Community Health Systems, Inc. company guaranty sr. notes       
6.25%, 3/31/23    9,074,000  8,537,727 
CHS/Community Health Systems, Inc. company guaranty sr.       
unsec. notes 6.875%, 2/1/22    1,380,000  917,700 

 

Diversified Income Trust 41 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Health care cont.     
CHS/Community Health Systems, Inc. 144A company guaranty sr.     
notes 8.00%, 3/15/26  $915,000  $878,400 
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26  1,642,000  1,759,351 
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24  1,885,000  1,998,463 
HCA, Inc. company guaranty sr. unsec. unsub. notes     
7.50%, 2/15/22  741,000  816,953 
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC     
144A company guaranty sr. unsec. notes 6.375%, 8/1/23  3,400,000  3,463,751 
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub.     
notes 12.50%, 11/1/21  2,287,000  2,475,678 
Mallinckrodt International Finance SA/Mallinckrodt CB,     
LLC 144A company guaranty sr. unsec. unsub. notes 5.50%,     
4/15/25 (Luxembourg)  2,404,000  1,875,120 
Molina Healthcare, Inc. company guaranty sr. unsec. notes     
5.375%, 11/15/22  2,175,000  2,257,889 
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes     
4.875%, 6/15/25  395,000  390,556 
Par Pharmaceutical, Inc. 144A company guaranty sr. notes     
7.50%, 4/1/27  1,825,000  1,850,094 
Service Corp. International sr. unsec. notes 5.375%, 1/15/22  2,587,000  2,611,577 
Service Corp. International sr. unsec. notes 4.625%, 12/15/27  600,000  596,251 
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24  4,990,000  5,120,988 
Tenet Healthcare Corp. company guaranty sr. notes     
4.625%, 7/15/24  1,135,000  1,136,759 
Tenet Healthcare Corp. company guaranty sr. sub. notes     
6.00%, 10/1/20  4,416,000  4,576,081 
Tenet Healthcare Corp. 144A company guaranty notes     
6.25%, 2/1/27  900,000  934,245 
Teva Pharmaceutical Finance Netherlands III BV company     
guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel)  2,520,000  2,540,445 
Teva Pharmaceutical Finance Netherlands III BV company     
guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel)  2,240,000  2,247,468 
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25  955,000  988,425 
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26  835,000  873,619 
    74,095,172 
Technology (0.7%)     
Avaya, Inc. 144A escrow notes 7.00%, 4/1/20 F  4,103,000  — 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A     
company guaranty sr. notes 6.02%, 6/15/26  7,005,000  7,534,234 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A     
company guaranty sr. unsec. notes 7.125%, 6/15/24  2,271,000  2,408,059 
First Data Corp. 144A notes 5.75%, 1/15/24  4,104,000  4,219,938 
First Data Corp. 144A sr. notes 5.375%, 8/15/23  1,705,000  1,741,232 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec.     
notes 8.625%, 11/15/24  502,000  447,221 
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23  562,000  596,422 
Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26  1,550,000  1,600,530 
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes     
5.50%, 9/30/27  1,267,000  1,279,670 
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr.     
unsec. notes 6.75%, 6/1/25  1,435,000  1,445,763 

 

42 Diversified Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (23.2%)* cont.  amount  Value 
Technology cont.     
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes     
5.625%, 10/1/25  $5,000,000  $4,806,250 
Western Digital Corp. company guaranty sr. unsec. notes     
4.75%, 2/15/26  2,410,000  2,301,550 
    28,380,869 
Transportation (0.1%)     
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr.     
unsec. notes 6.375%, 4/1/23  3,638,000  3,656,190 
    3,656,190 
Utilities and power (0.6%)     
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25  4,414,000  4,579,525 
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27  2,193,000  2,281,137 
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23  965,000  977,063 
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23  860,000  868,600 
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25  1,946,000  1,936,270 
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26  1,105,000  1,099,475 
Calpine Corp. 144A company guaranty sr. sub. notes     
5.875%, 1/15/24  510,000  521,475 
Colorado Interstate Gas Co., LLC company guaranty sr. unsec.     
notes 6.85%, 6/15/37  2,495,000  2,733,400 
NRG Energy, Inc. company guaranty sr. unsec. notes     
7.25%, 5/15/26  1,216,000  1,337,600 
NRG Energy, Inc. company guaranty sr. unsec. notes     
6.625%, 1/15/27  2,133,000  2,295,641 
NRG Energy, Inc. company guaranty sr. unsec. notes     
5.75%, 1/15/28  755,000  800,300 
Vistra Energy Corp. company guaranty sr. unsec. unsub. notes     
7.625%, 11/1/24  1,162,000  1,228,839 
Vistra Energy Corp. 144A company guaranty sr. unsec. notes     
8.125%, 1/30/26  999,000  1,088,910 
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27  1,084,000  1,127,360 
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26  2,863,000  2,977,520 
    25,853,115 
Total corporate bonds and notes (cost $981,232,994)    $973,719,859 
 
FOREIGN GOVERNMENT AND AGENCY  Principal   
BONDS AND NOTES (10.5%)*  amount  Value 
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%,     
7/6/28 (Argentina)  $2,500,000  $1,959,376 
Argentina (Republic of) sr. unsec. unsub. notes 7.50%,     
4/22/26 (Argentina)  23,405,000  19,747,969 
Argentina (Republic of) sr. unsec. unsub. notes 6.875%,     
1/26/27 (Argentina)  756,000  608,580 
Argentina (Republic of) sr. unsec. unsub. notes 5.875%,     
1/11/28 (Argentina)  9,325,000  7,133,625 
Argentina (Republic of) sr. unsec. unsub. notes 4.625%,     
1/11/23 (Argentina)  16,490,000  13,501,188 
Argentina (Republic of) 144A sr. unsec. notes 7.125%,     
8/1/27 (Argentina)  12,495,000  8,933,925 
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%,     
1/13/28 (Brazil)  16,593,000  16,706,828 

 

Diversified Income Trust 43 

 


FOREIGN GOVERNMENT AND AGENCY    Principal   
BONDS AND NOTES (10.5%)* cont.    amount  Value 
Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%,       
1/7/25 (Brazil)    $9,160,000  $9,308,850 
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS,       
7.875%, 6/15/27 (Argentina)    12,708,000  9,308,610 
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS,       
6.50%, 2/15/23 (Argentina)    740,000  602,175 
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates       
BADLAR + 3.83%), 45.784%, 5/31/22 (Argentina)  ARS  99,370,000  2,176,996 
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%,       
6/15/27 (Argentina)    $12,315,000  9,036,131 
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%,       
3/16/24 (Argentina)    11,969,000  10,002,842 
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%,       
9/1/24 (Argentina)    20,752,000  16,757,241 
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%,       
6/10/21 (Argentina)    150,000  129,977 
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 7.45%,       
4/30/44 (Dominican Republic)    2,550,000  2,875,125 
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21       
(Dominican Republic)    4,035,000  4,186,313 
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%,       
4/20/27 (Dominican Republic)    4,148,000  4,873,900 
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%,       
1/29/26 (Dominican Republic)    9,610,000  10,534,963 
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%,       
4/18/24 (Dominican Republic)    1,551,000  1,618,856 
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 6.125%,       
1/31/22 (Egypt)    4,405,000  4,454,556 
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%,       
2/21/23 (Egypt)    3,035,000  3,012,238 
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%,       
6/11/25 (Egypt)    7,155,000  7,101,338 
Egypt (Arab Republic of) 144A sr. unsec. notes 5.577%,       
2/21/23 (Egypt)    6,840,000  6,797,117 
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%,       
1/30/25 (El Salvador)    4,150,000  4,025,500 
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece)  EUR  17,802,000  21,515,629 
Hellenic (Republic of) sr. unsec. notes 3.45%, 4/2/24 (Greece)  EUR  9,588,000  11,184,803 
Hellenic (Republic of) sr. unsec. notes 3.375%, 2/15/25 (Greece)  EUR  4,000,000  4,581,049 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.00%, 2/24/20), 2/24/40 (Greece)  ††   EUR  248,000  250,394 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/38 (Greece)  ††   EUR  644,642  661,893 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)  ††   EUR  614,000  644,027 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)  ††   EUR  814,000  875,266 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)  ††   EUR  1,051,000  1,152,138 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)  ††   EUR  2,764,000  3,055,343 

 

44 Diversified Income Trust 

 


FOREIGN GOVERNMENT AND AGENCY    Principal   
BONDS AND NOTES (10.5%)* cont.    amount  Value 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)  ††   EUR  10,837,000  $11,970,293 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)  ††   EUR  6,993,734  7,846,635 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)  ††   EUR  12,337,512  13,861,198 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)  ††   EUR  4,433,876  5,017,968 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)  ††   EUR  14,152,500  16,238,487 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)  ††   EUR  14,823,487  17,080,373 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)  ††   EUR  5,181,000  6,054,256 
Hellenic (Republic of) unsec. bonds 4.00%, 1/30/37 (Greece)  EUR  4,000,000  4,262,113 
Hellenic (Republic of) unsec. bonds 3.90%, 1/30/33 (Greece)  EUR  4,000,000  4,379,537 
Hellenic (Republic of) unsec. notes 3.50%, 1/30/23 (Greece)  EUR  10,000,000  11,753,475 
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%,       
1/15/24 (Indonesia)    $2,705,000  2,982,300 
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%,       
1/8/26 (Indonesia)    21,200,000  22,366,000 
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%,       
2/17/37 (Indonesia)    3,055,000  3,738,373 
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%,       
1/8/27 (Indonesia)    12,420,000  12,823,563 
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%,       
4/15/23 (Indonesia)    5,860,000  5,859,947 
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS,       
6.125%, 6/15/33 (Ivory Coast)    6,795,000  6,251,400 
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%,       
3/3/28 (Ivory Coast)    3,920,000  3,817,100 
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%,       
7/23/24 (Ivory Coast)    6,251,000  6,094,725 
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33       
(Ivory Coast)    8,300,000  7,649,629 
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%,       
3/22/30 (Ivory Coast)  EUR  4,445,000  4,770,727 
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico)    $1,637,000  1,795,249 
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia)    325,000  334,344 
Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%,       
3/21/29 (Russia)    200,000  195,250 
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27       
(South Africa)    6,485,000  6,311,786 
Turkey (Republic of) unsec. bonds Ser. REGS, 6.25%,       
5/23/33 (Senegal)    4,830,000  4,528,125 
United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico)    5,520,000  5,675,300 
United Mexican States sr. unsec. unsub. notes 4.15%,       
3/28/27 (Mexico)    15,120,000  15,375,362 
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%,       
3/31/38 (Venezuela)    2,900,000  812,000 
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela)       
(In default)  †     13,582,000  3,989,712 

 

Diversified Income Trust 45 

 


FOREIGN GOVERNMENT AND AGENCY  Principal   
BONDS AND NOTES (10.5%)* cont.  amount  Value 
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25     
(Venezuela) (In default)  †   $2,093,000  $601,738 
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24     
(Venezuela) (In default)  †   21,992,000  6,432,661 
Vietnam (Republic of) 144A sr. unsec. bonds 4.80%,     
11/19/24 (Vietnam)  600,000  627,797 
Total foreign government and agency bonds and notes (cost $451,915,548)    $440,812,184 

 

PURCHASED SWAP OPTIONS OUTSTANDING (2.8%)*         
Counterparty      Notional/   
Fixed right % to receive or (pay)/  Expiration    contract   
Floating rate index/Maturity date  date/strike    amount  Value 
Bank of America N.A.         
2.785/3 month USD-LIBOR-BBA/Jan-47  Jan-27/2.785    $41,743,200  $3,787,778 
(2.785)/3 month USD-LIBOR-BBA/Jan-47  Jan-27/2.785    41,743,200  3,412,924 
Citibank, N.A.         
2.41/3 month USD-LIBOR-BBA/Apr-21  Apr-19/2.41    888,895,600  1,306,677 
Goldman Sachs International         
2.988/3 month USD-LIBOR-BBA/Feb-39  Feb-29/2.988    44,570,700  2,854,308 
(2.988)/3 month USD-LIBOR-BBA/Feb-39  Feb-29/2.988    44,570,700  2,159,896 
0.025/6 month EUR-EURIBOR-Reuters/Aug-21  Aug-19/0.025  EUR  464,915,100  2,039,137 
-0.065/6 month EUR-EURIBOR-Reuters/Aug-21  Aug-19/-0.065  EUR  464,915,100  1,168,201 
2.10625/3 month USD-LIBOR-BBA/Apr-24  Apr-19/2.10625    $630,626,300  517,114 
JPMorgan Chase Bank N.A.         
3.162/3 month USD-LIBOR-BBA/Nov-33  Nov-20/3.162    196,939,100  15,495,171 
3.096/3 month USD-LIBOR-BBA/Nov-29  Nov-19/3.096    157,551,500  9,697,295 
1.376/6 month EUR-EURIBOR-Reuters/Sep-29  Sep-19/1.376  EUR  87,284,000  7,843,636 
1.758/6 month EUR-EURIBOR-Reuters/Sep-49  Sep-19/1.758  EUR  34,816,000  6,658,852 
1.288/6 month EUR-EURIBOR-Reuters/Feb-50  Feb-20/1.288  EUR  63,672,400  4,907,578 
2.56/3 month USD-LIBOR-BBA/Feb-22  Feb-20/2.56    $442,039,700  3,487,693 
2.486/3 month USD-LIBOR-BBA/Jan-22  Jan-20/2.486    442,039,700  3,076,596 
(3.162)/3 month USD-LIBOR-BBA/Nov-33  Nov-20/3.162    196,939,100  1,985,146 
2.795/3 month USD-LIBOR-BBA/Dec-37  Dec-27/2.795    35,772,300  1,977,850 
(2.7575)/3 month USD-LIBOR-BBA/Dec-37  Dec-27/2.7575    35,772,300  1,951,737 
2.7575/3 month USD-LIBOR-BBA/Dec-37  Dec-27/2.7575    35,772,300  1,929,200 
(2.795)/3 month USD-LIBOR-BBA/Dec-37  Dec-27/2.795    35,772,300  1,902,013 
(1.288)/6 month EUR-EURIBOR-Reuters/Feb-50  Feb-20/1.288  EUR  63,672,400  1,532,056 
(2.486)/3 month USD-LIBOR-BBA/Jan-22  Jan-20/2.486    $442,039,700  1,038,793 
(2.56)/3 month USD-LIBOR-BBA/Feb-22  Feb-20/2.56    442,039,700  861,977 
(3.096)/3 month USD-LIBOR-BBA/Nov-29  Nov-19/3.096    157,551,500  311,952 
(3.095)/3 month USD-LIBOR-BBA/Nov-21  Nov-19/3.095    393,878,600  51,204 
(1.516)/3 month GBP-LIBOR-BBA/Apr-29  Apr-19/1.516  GBP  140,033,900  12,767 
Morgan Stanley & Co. International PLC         
3.02/3 month USD-LIBOR-BBA/Aug-20  Aug-19/3.02    $1,093,918,200  6,366,604 
3.00/3 month USD-LIBOR-BBA/Feb-73  Feb-48/3.00    44,214,400  6,172,330 
3.00/3 month USD-LIBOR-BBA/Apr-72  Apr-47/3.00    44,214,400  6,093,629 
3.00/3 month USD-LIBOR-BBA/Apr-72  Apr-47/3.00    44,214,400  6,089,649 
2.7725/3 month USD-LIBOR-BBA/Feb-31  Feb-21/2.7725    83,940,300  3,618,666 
2.764/3 month USD-LIBOR-BBA/Feb-31  Feb-21/2.764    83,940,300  3,571,660 
(2.7725)/3 month USD-LIBOR-BBA/Feb-31  Feb-21/2.7725    83,940,300  1,512,604 
(2.764)/3 month USD-LIBOR-BBA/Feb-31  Feb-21/2.764    83,940,300  1,508,407 

 

46 Diversified Income Trust 

 


PURCHASED SWAP OPTIONS OUTSTANDING (2.8%)* cont.       
Counterparty      Notional/   
Fixed right % to receive or (pay)/  Expiration    contract   
Floating rate index/Maturity date  date/strike    amount  Value 
Morgan Stanley & Co. International PLC cont.         
2.75/3 month USD-LIBOR-BBA/Dec-71  Dec-46/2.75    $10,000,000  $1,154,900 
(0.60)/6 month EUR-EURIBOR-Reuters/Apr-29  Apr-19/0.60  EUR  82,165,600  72,814 
(0.80)/6 month EUR-EURIBOR-Reuters/May-29  May-19/0.80  EUR  557,220,400  62,506 
(3.0975)/3 month USD-LIBOR-BBA/Nov-21  Nov-19/3.0975    $393,878,600  51,204 
NatWest Markets PLC         
(1.52)/3 month GBP-LIBOR-BBA/Apr-29  Apr-19/1.52  GBP  114,394,600  8,940 
Total purchased swap options outstanding (cost $108,080,434)      $118,251,464 

 

PURCHASED OPTIONS  Expiration         
OUTSTANDING (0.2%)*  date/strike  Notional    Contract   
Counterparty  price  amount    amount  Value 
Bank of America N.A.           
GBP/USD (Call)  Jul-19/$1.37  $143,874,814  GBP  110,464,750  $908,857 
Goldman Sachs International           
USD/CNH (Call)  Apr-19/CNH 7.00  156,454,300    $156,454,300  157 
JPMorgan Chase Bank N.A.           
Federal National Mortgage           
Association 30 yr 2.50% TBA           
commitments (Call)  Apr-19/$94.56  64,000,000    64,000,000  1,574,848 
Federal National Mortgage           
Association 30 yr 3.00% TBA           
commitments (Call)  May-19/99.63  266,000,000    266,000,000  838,432 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Call)  Apr-19/99.85  69,000,000    69,000,000  1,043,004 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/101.07  194,000,000    194,000,000  463,245 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/101.32  194,000,000    194,000,000  661,380 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/101.44  194,000,000    194,000,000  782,555 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/101.19  194,000,000    194,000,000  555,005 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/99.94  194,000,000    194,000,000  64,233 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/99.57  194,000,000    194,000,000  31,672 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/99.69  194,000,000    194,000,000  40,182 
Federal National Mortgage           
Association 30 yr 3.50% TBA           
commitments (Put)  May-19/99.82  194,000,000    194,000,000  50,913 
Total purchased options outstanding (cost $7,925,409)        $7,014,483 

 

Diversified Income Trust 47 

 


    Principal   
CONVERTIBLE BONDS AND NOTES (1.8%)*    amount  Value 
Basic materials (0.1%)       
BASF SE cv. sr. unsec. notes 0.925%, 3/9/23 (Germany)    $500,000  $459,750 
Patrick Industries, Inc. cv. sr. unsec. notes 1.00%, 2/1/23    461,000  411,443 
Sika AG cv. sr. unsec. notes Ser. REGS, 0.15%, 6/5/25 (Switzerland)  CHF  640,000  670,048 
Symrise AG cv. sr. unsec. notes 0.238%, 6/20/24 (Germany)  EUR  200,000  251,090 
Wendel SA cv. sr. unsec. notes zero %, 7/31/19 (Units) (France)  EUR  4,613  268,753 
      2,061,084 
Capital goods (0.1%)       
Airbus SE cv. sr. unsec. unsub. notes zero %, 6/14/21 (France)  EUR  600,000  753,115 
Bekaert SA cv. sr. unsec. unsub. notes zero %, 6/9/21 (Belgium)  EUR  200,000  203,062 
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21    $697,000  641,308 
Fortive Corp. 144A cv. company guaranty sr. unsec. notes       
0.875%, 2/15/22    810,000  851,355 
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22    283,000  172,756 
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22    391,000  409,034 
Kaman Corp. cv. sr. unsec. notes 3.25%, 5/1/24    621,000  683,043 
MTU Aero Engines AG cv. sr. unsec. unsub. notes 0.125%,       
5/17/23 (Germany)  EUR  100,000  185,933 
      3,899,606 
Communication services (0.1%)       
8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24    $295,000  301,224 
America Movil SAB de CV cv. sr. unsec. unsub. notes zero %,       
5/28/20 (Mexico)  EUR  1,100,000  1,223,190 
Cellnex Telecom, SA cv. sr. unsec. unsub. notes 1.50%,       
1/16/26 (Spain)  EUR  300,000  355,774 
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26    $1,240,000  1,053,381 
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46    343,000  374,610 
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23    677,000  964,921 
Telefonica Participaciones SAU cv. company guaranty sr. unsec.       
unsub. notes zero %, 3/9/21 (Spain)  EUR  500,000  556,837 
Telenor East Holding II AS cv. company guaranty sr. unsec. unsub.       
notes 0.25%, 9/20/19 (Norway)    $400,000  393,932 
Vodafone Group PLC cv. sr. unsec. unsub. notes zero %, 11/26/20       
(United Kingdom)  GBP  300,000  380,235 
      5,604,104 
Conglomerates (—%)       
Siemens Financieringsmaatschappij NV cv. company guaranty sr.       
unsec. unsub. notes 1.65%, 8/16/19 (Netherlands)    $500,000  513,585 
      513,585 
Consumer cyclicals (0.2%)       
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24    54,951  78,105 
Compagnie Generale des Etablissements Michelin SCA cv. sr.       
unsec. unsub. notes zero %, 1/10/22 (France)    400,000  387,840 
Ctrip.com International, Ltd. cv. sr. unsec. notes 1.25%,       
9/15/22 (China)    343,000  347,967 
Euronet Worldwide, Inc. 144A cv. sr. unsec. bonds 0.75%, 3/15/49    742,000  799,228 
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46    1,121,000  1,288,819 
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23    1,235,000  1,384,311 
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23    759,000  850,067 
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23    807,000  930,554 

 

48 Diversified Income Trust 

 


    Principal   
CONVERTIBLE BONDS AND NOTES (1.8%)* cont.    amount  Value 
Consumer cyclicals cont.       
LVMH Moet Hennessy Louis Vuitton SA cv. sr. unsec. notes zero %,       
2/16/21 (Units) (France)    $596  $233,245 
Nexity SA cv. sr. unsec. notes 0.25%, 3/2/25 (Units) (France)   EUR  2,850  208,923 
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21    $425,000  469,115 
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes       
0.35%, 6/15/20    871,000  1,177,325 
Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23    861,000  1,037,313 
Tesla, Inc. cv. sr. unsec. sub. notes 2.375%, 3/15/22    351,000  383,029 
Valeo SA cv. sr. unsec. unsub. notes zero %, 6/16/21 (France)    400,000  370,448 
      9,946,289 
Consumer staples (0.1%)       
Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25    728,000  717,201 
Etsy, Inc. cv. sr. unsec. notes zero %, 3/1/23    170,000  327,872 
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes       
0.875%, 10/1/22    467,000  685,460 
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds       
1.00%, 6/30/47    701,000  682,854 
Wayfair, Inc. cv. sr. unsec. sub. notes 0.375%, 9/1/22    646,000  990,127 
      3,403,514 
Energy (0.1%)       
BP Capital Markets PLC cv. company guaranty sr. unsec. unsub.       
notes 1.00%, 4/28/23 (United Kingdom)  GBP  200,000  340,617 
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20       
(acquired 2/2/17, cost $372,917) (Cayman Islands) ∆∆     $566,658  192,664 
Cheniere Energy, Inc. cv. sr. unsec. unsub. notes 4.25%, 3/15/45    838,000  655,212 
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes       
5.50%, 9/15/26    1,237,000  1,146,196 
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23    384,000  358,515 
RAG-Stiftung cv. sr. unsec. unsub. notes zero %, 2/18/21 (Germany)  EUR  500,000  565,867 
TOTAL SA cv. sr. unsec. unsub. notes 0.50%, 12/2/22 (France)    $800,000  844,160 
      4,103,231 
Financials (0.1%)       
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes       
4.75%, 3/15/23 R     272,000  274,094 
Deutsche Wohnen SE cv. sr. unsec. unsub. notes 0.60%,       
1/5/26 (Germany)  EUR  600,000  725,871 
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes       
3.50%, 1/15/22 R     $826,000  944,184 
JPMorgan Chase Financial Co., LLC cv. company guaranty sr.       
unsec. notes 0.25%, 5/1/23    1,014,000  983,783 
Unibail-Rodamco SE cv. sr. unsec. notes zero %, 7/1/21       
(Units) (France)  EUR  1,530  494,034 
      3,421,966 
Health care (0.3%)       
Bayer AG cv. sr. unsec. unsub. notes 0.05%, 6/15/20 (Germany)  EUR  400,000  446,809 
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes       
0.599%, 8/1/24    $915,000  936,160 
Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25    318,000  247,984 
CONMED Corp. 144A cv. sr. unsec. notes 2.625%, 2/1/24    412,000  457,121 
DexCom, Inc. 144A cv. sr. unsec. notes 0.75%, 12/1/23    1,033,000  1,063,978 

 

Diversified Income Trust 49 

 


    Principal   
CONVERTIBLE BONDS AND NOTES (1.8%)* cont.    amount  Value 
Health care cont.       
Exact Sciences Corp. cv. sr. unsec. notes 1.00%, 1/15/25    $456,000  $622,441 
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27    391,000  397,950 
Fresenius Medical Care AG & Co KGaA cv. company guaranty sr.       
unsec. unsub. notes 1.125%, 1/31/20 (Germany)  EUR  200,000  242,110 
GN Store Nord cv. sr. unsec. notes Ser. GNDC, zero %,       
5/31/22 (Denmark)  EUR  200,000  284,364 
Illumina, Inc. 144A cv. sr. unsec. notes zero %, 8/15/23    $1,196,000  1,272,628 
Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24    573,000  690,107 
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub.       
bonds 1.875%, 8/15/21 (Ireland)    1,382,000  1,399,065 
Ligand Pharmaceuticals, Inc. 144A cv. sr. sub. unsec. notes       
0.75%, 5/15/23    676,000  578,101 
Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22    986,000  985,490 
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24    358,000  483,788 
Sarepta Therapeutics, Inc. cv. sr. unsec. notes 1.50%, 11/15/24       
(acquired 1/7/19, cost $170,820) ∆∆     104,000  187,655 
Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23    592,000  573,268 
Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes       
1.75%, 2/15/26    500,000  531,715 
Teladoc, Inc. 144A cv. sr. unsec. notes 1.375%, 5/15/25    587,000  756,968 
Wright Medical Group, Inc. 144A cv. company guaranty sr. unsec.       
notes 1.625%, 6/15/23    783,000  875,492 
      13,033,194 
Technology (0.6%)       
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25    1,315,000  1,310,588 
Alteryx, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/23    137,000  272,827 
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22    195,000  226,914 
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 1/15/23    331,000  691,642 
DocuSign, Inc. 144A cv. sr. unsec. notes 0.50%, 9/15/23    901,000  923,513 
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22    368,000  831,529 
HubSpot, Inc. cv. sr. unsec. notes 0.25%, 6/1/22    335,000  604,103 
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21    329,000  343,139 
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39    284,000  745,671 
iQIYI, Inc. 144A cv. sr. unsec. notes 2.00%, 4/1/25 (China)    220,000  228,800 
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29    593,000  790,775 
Microchip Technology, Inc. cv. sr. unsec. sub. notes       
1.625%, 2/15/27    2,684,000  2,954,494 
New Relic, Inc. 144A cv. sr. unsec. notes 0.50%, 5/1/23    735,000  824,217 
Nice Systems, Inc. cv. company guaranty sr. unsec. notes       
1.25%, 1/15/24    433,000  660,478 
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25    741,000  733,168 
Okta, Inc. cv. sr. unsec. notes 0.25%, 2/15/23    229,000  413,460 
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub.       
notes 1.625%, 10/15/23    1,372,000  1,688,732 
OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22    576,000  582,481 
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.75%, 7/1/23    1,652,000  1,829,159 
Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24    812,000  866,598 
RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22    552,000  849,815 
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19    161,000  399,542 
ServiceNow, Inc. cv. sr. unsec. unsub. notes zero %, 6/1/22    529,000  979,969 

 

50 Diversified Income Trust 

 


    Principal   
CONVERTIBLE BONDS AND NOTES (1.8%)* cont.    amount  Value 
Technology cont.       
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 9/15/25    $1,310,000  $1,434,833 
STMicroelectronics NV cv. sr. unsec. notes 0.25%, 7/3/24 (France)    400,000  412,516 
STMicroelectronics NV cv. sr. unsec. notes zero %, 7/3/22 (France)    200,000  207,324 
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20    194,000  252,117 
Twilio, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/23    334,000  636,293 
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21    1,024,000  963,544 
Ubisoft Entertainment SA cv. sr. unsec. notes zero %, 9/27/21       
(Units) (France)   EUR  3,000  275,493 
Vocera Communications, Inc. 144A cv. sr. unsec. notes       
1.50%, 5/15/23    $215,000  252,086 
Western Digital Corp. 144A cv. company guaranty sr. unsec. notes       
1.50%, 2/1/24    418,000  367,637 
Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23 (Israel)    371,000  407,634 
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22    969,000  1,368,108 
      26,329,199 
Transportation (—%)       
Air Transport Services Group, Inc. cv. sr. unsec. notes       
1.125%, 10/15/24    506,000  504,676 
DP World, Ltd. cv. sr. unsec. unsub. notes 1.75%, 6/19/24 (United       
Arab Emirates)    200,000  192,969 
      697,645 
Utilities and power (0.1%)       
Eni SpA cv. sr. unsec. unsub. notes zero %, 4/13/22 (Italy)  EUR  200,000  238,172 
Iberdrola International BV cv. company guaranty sr. unsec. unsub.       
notes zero %, 11/11/22 (Spain)  EUR  300,000  361,960 
NRG Energy, Inc. 144A cv. company guaranty sr. unsec. bonds       
2.75%, 6/1/48    $1,304,000  1,482,945 
SUEZ cv. sr. unsec. notes zero %, 2/27/20 (Units) (France)  EUR  19,037  390,841 
Veolia Environnement SA cv. sr. unsec. notes zero %, 3/15/21       
(Units) (France)  EUR  10,519  351,843 
      2,825,761 
Total convertible bonds and notes (cost $74,371,392)      $75,839,178 

 

  Principal   
SENIOR LOANS (1.3%)*c  amount  Value 
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD     
3 Month + 3.50%), 6.303%, 4/21/24  $1,026,713  $766,954 
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month     
+ 4.25%), 6.778%, 12/15/24  3,383,475  3,364,020 
Boyd Gaming Corp. bank term loan FRN Ser. B, (BBA LIBOR USD     
3 Month + 2.25%), 4.662%, 9/15/23  1,974,570  1,947,914 
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR     
USD 3 Month + 4.25%), 6.956%, 6/21/24  3,888,865  3,723,588 
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month     
+ 3.25%), 6.033%, 4/3/24  802,775  781,702 
California Resources Corp. bank term loan FRN (BBA LIBOR USD     
3 Month + 4.75%), 7.037%, 12/31/22  1,620,000  1,587,600 
CPG International, Inc. bank term loan FRN (BBA LIBOR USD     
3 Month + 3.75%), 6.633%, 5/5/24  831,515  823,200 
Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA     
LIBOR USD 3 Month + 4.25%), 6.879%, 6/30/24  1,776,933  1,664,764 

 

Diversified Income Trust 51 

 


  Principal   
SENIOR LOANS (1.3%)*c cont.  amount  Value 
First Data Corp. bank term loan FRN (BBA LIBOR USD 3 Month     
+ 2.00%), 4.49%, 4/26/24  $599,478  $597,530 
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD     
3 Month + 4.75%), 7.243%, 4/16/21  122,192  121,734 
HFOTCO, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month     
+ 2.75%), 5.25%, 6/26/25  3,225,625  3,181,272 
iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA     
LIBOR USD 3 Month + 8.75%), 11.243%, 1/30/20 (In default)  †   2,744,000  1,951,670 
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month     
+ 9.25%), 11.727%, 5/21/24  2,716,000  2,586,990 
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month     
+ 5.00%), 7.761%, 10/16/23  1,135,419  1,125,484 
KCA Deutag US Finance, LLC bank term loan FRN (BBA LIBOR USD     
3 Month + 6.75%), 9.553%, 3/21/23  810,050  689,555 
Kronos, Inc./MA bank term loan FRN Ser. B, (BBA LIBOR USD     
3 Month + 3.00%), 5.222%, 11/1/23  606,180  598,982 
Murray Energy Corp. bank term loan FRN Ser. B2, (BBA LIBOR USD     
3 Month + 7.25%), 9.749%, 10/17/22  1,381,317  1,141,313 
Navistar Financial Corp Owner Trust bank term loan FRN Ser. B,     
(BBA LIBOR USD 3 Month + 3.75%), 6.25%, 7/30/25  641,776  639,368 
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month     
+ 3.50%), 5.89%, 11/6/24  4,155,139  4,132,631 
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA     
LIBOR USD 3 Month + 3.25%), 5.749%, 6/1/25  460,303  442,850 
Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B,     
(BBA LIBOR USD 3 Month + 3.25%), 5.743%, 2/28/25  1,489,950  1,441,526 
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD     
3 Month + 3.00%), 5.738%, 11/3/23  799,438  746,475 
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR     
USD 3 Month + 3.75%), 6.243%, 10/1/25  4,650,345  4,507,928 
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA     
LIBOR USD 3 Month + 3.50%), 6.128%, 9/7/23  1,616,736  1,165,667 
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR     
USD 3 Month + 3.00%), 5.243%, 2/5/23  1,642,970  1,621,551 
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD     
3 Month + 8.00%), 10.50%, 2/28/26  1,360,000  1,176,400 
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD     
3 Month + 3.50%), 6.00%, 2/28/25  2,012,019  1,886,268 
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD     
3 Month + 7.00%), 9.493%, 11/28/22  2,906,213  2,819,026 
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN     
Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.499%, 3/28/25  3,355,181  3,108,576 
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B,     
(BBA LIBOR USD 3 Month + 5.00%), 7.633%, 3/18/26 (Luxembourg)  1,580,000  1,538,525 
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B,     
(BBA LIBOR USD 3 Month + 4.00%), 6.629%, 11/15/23  2,414,262  2,261,360 
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD     
3 Month + 4.00%), 6.797%, 7/24/24  1,031,905  990,629 
Total senior loans (cost $58,286,692)    $55,133,052 

 

52 Diversified Income Trust 

 


  Principal   
ASSET-BACKED SECURITIES (0.2%)*  amount  Value 
Nationstar HECM Loan Trust 144A     
Ser. 18-2A, Class M5, 6.00%, 7/25/28 W   $2,739,000  $2,680,358 
Ser. 18-1A, Class M5, 6.00%, 2/25/28 W   4,730,000  4,649,590 
Total asset-backed securities (cost $7,259,947)    $7,329,948 
 
COMMON STOCKS (—%)*  Shares  Value 
Nine Point Energy F   35,852  $517,703 
Total common stocks (cost $474,672)    $517,703 
 
  Principal amount/   
SHORT-TERM INVESTMENTS (25.6%)*  shares  Value 
Albermarle Corp. commercial paper 2.748%, 5/3/19  $7,000,000  $6,980,264 
American Electric Power Co., Inc. commercial paper     
2.745%, 4/8/19  9,750,000  9,742,804 
Autonation, Inc. commercial paper 2.851%, 4/1/19  10,000,000  9,997,517 
Aviation Capital Group, LLC commercial paper 2.756%, 4/17/19  4,750,000  4,743,269 
Aviation Capital Group, LLC commercial paper 2.747%, 4/2/19  10,000,000  9,997,052 
B.A.T. International Finance PLC commercial paper     
2.827%, 4/11/19  4,325,000  4,320,838 
Berkshire Hathaway Energy Co. commercial paper     
2.656%, 4/5/19  15,000,000  14,992,300 
Boston Scientific Corp. commercial paper 2.856%, 4/16/19  3,000,000  2,995,959 
Cabot Corp. commercial paper 2.744%, 4/9/19  10,250,000  10,241,700 
Canadian Natural Resources, Ltd. commercial paper     
2.757%, 4/25/19  5,000,000  4,989,178 
CenterPoint Energy, Inc. commercial paper 2.779%, 4/18/19  10,000,000  9,985,167 
Chariot Funding, LLC asset-backed commercial paper     
2.594%, 7/12/19  18,400,000  18,266,907 
Chariot Funding, LLC asset-backed commercial paper     
2.562%, 7/25/19  10,000,000  9,918,711 
CHARTA, LLC asset-backed commercial paper 2.866%, 4/3/19  10,000,000  9,996,629 
CRC Funding, LLC asset-backed commercial paper     
2.568%, 6/3/19  6,000,000  5,972,434 
Eastman Chemical Co. commercial paper 2.738%, 5/1/19  10,250,000  10,224,218 
Enbridge US, Inc. commercial paper 2.808%, 4/5/19  10,000,000  9,994,847 
Entergy Corp. commercial paper 2.870%, 5/14/19  14,000,000  13,948,981 
Enterprise Products Operating, LLC commercial paper     
2.701%, 4/1/19  10,000,000  9,997,800 
ETP Legacy LP commercial paper 3.051%, 4/1/19  21,000,000  20,994,785 
Eversource Energy commercial paper 2.654%, 4/16/19  10,000,000  9,986,530 
Export Development Canada commercial paper 2.837%, 5/17/19  5,000,000  4,982,973 
FMC Technologies, Inc. commercial paper 2.747%, 4/16/19  10,000,000  9,986,530 
Fortive Corp. commercial paper 2.755%, 4/9/19  10,000,000  9,991,872 
GlaxoSmithKline, LLC commercial paper 2.485%, 4/8/19  5,000,000  4,996,597 
Interest in $79,033,000 tri-party repurchase agreement dated     
3/29/19 with Citigroup Global Markets, Inc. due 4/1/19 —     
maturity value of $79,050,058 for an effective yield of 2.590%     
(collateralized by various mortgage backed securities with     
coupon rates ranging from 2.000% to 8.500% and due dates     
ranging from 5/1/21 to 11/15/60, valued at $80,631,821)  79,033,000  79,033,000 

 

Diversified Income Trust 53 

 


  Principal amount/   
SHORT-TERM INVESTMENTS (25.6%)* cont.    shares  Value 
Interest in $80,000,000 tri-party repurchase agreement dated       
3/29/19 with Merrill Lynch, Pierce, Fenner & Smith, Inc. due       
4/1/19 — maturity value of $80,017,333 for an effective yield       
of 2.600% (collateralized by various mortgage backed securities       
with coupon rates ranging from 4.000% to 5.000% and due dates       
ranging from 10/1/47 to 2/1/49, valued at $81,600,000)    $80,000,000  $80,000,000 
Kinder Morgan, Inc./DE commercial paper 2.701%, 4/1/19    10,000,000  9,997,517 
Kroger Co. (The) commercial paper 2.701%, 4/1/19    10,000,000  9,997,871 
Lowe’s Cos., Inc. commercial paper 2.726%, 4/5/19    5,000,000  4,997,433 
Magna International, Inc. commercial paper 2.651%, 4/1/19    10,000,000  9,997,808 
Marriott International, Inc./MD commercial paper       
2.893%, 5/14/19    9,700,000  9,665,754 
Marsh & McLennan Companies, Inc. commercial paper       
2.738%, 5/6/19    10,000,000  9,970,962 
Marsh & McLennan Companies, Inc. commercial paper       
2.737%, 5/3/19    2,500,000  2,493,323 
Mitsubishi UFJ Trust & Banking Corp. commercial paper       
2.607%, 5/14/19    10,000,000  9,968,401 
Molson Coors Brewing Co. commercial paper 2.908%, 4/18/19    10,000,000  9,984,822 
NextEra Energy Capital Holdings, Inc. commercial paper       
2.760%, 5/15/19    6,000,000  5,978,341 
NiSource, Inc. commercial paper 2.778%, 4/26/19    10,000,000  9,978,728 
Nutrien, Ltd. commercial paper 2.702%, 4/1/19    10,250,000  10,247,480 
Old Line Funding, LLC asset-backed commercial paper       
2.745%, 5/23/19    10,000,000  9,961,836 
Puget Sound Energy, Inc. commercial paper 2.757%, 4/25/19    10,250,000  10,228,990 
Puget Sound Energy, Inc. commercial paper 2.736%, 4/2/19    5,525,000  5,523,377 
Puget Sound Energy, Inc. commercial paper 2.726%, 4/3/19    3,475,000  3,473,723 
Putnam Short Term Investment Fund 2.64% L   Shares   228,003,214  228,003,214 
Rogers Communications, Inc. commercial paper 2.750%, 4/25/19    $10,250,000  10,228,990 
Sheffield Receivables Co., LLC asset-backed commercial paper       
2.755%, 12/18/19    5,000,000  4,901,183 
Stanley Black & Decker, Inc. commercial paper 2.603%, 4/8/19    15,000,000  14,988,754 
State Street Institutional U.S. Government Money Market Fund,       
Premier Class 2.39% P   Shares   15,302,000  15,302,000 
Suncor Energy, Inc. commercial paper 2.861%, 6/25/19    $5,000,000  4,965,093 
Telus Corp. commercial paper 2.800%, 4/26/19    10,250,000  10,228,196 
U.S. Treasury Bills 2.547%, 6/13/19 ∆ §     31,554,000  31,402,757 
U.S. Treasury Bills 2.532%, 6/6/19 ∆     17,015,000  16,941,382 
U.S. Treasury Bills 2.528%, 6/20/19 ∆ §     10,978,000  10,920,329 
U.S. Treasury Bills 2.479%, 4/11/19 ∆     22,605,000  22,590,091 
U.S. Treasury Bills 2.473%, 7/25/19 # ∆ §     30,703,000  30,471,141 
U.S. Treasury Bills 2.470%, 5/9/19 ∆     6,800,000  6,783,025 
U.S. Treasury Bills 2.466%, 7/18/19 # ∆ §     29,370,000  29,161,950 
U.S. Treasury Bills 2.462%, 8/1/19 ∆ §     11,077,000  10,988,071 
U.S. Treasury Bills 2.457%, 5/16/19 ∆     916,000  913,295 
UnitedHealth Group, Inc. commercial paper 2.739%, 6/13/19    10,000,000  9,942,979 
Victory Receivables Corp. asset-backed commercial paper       
2.521%, 4/22/19    10,000,000  9,983,540 
Waste Management, Inc. commercial paper 2.718%, 4/15/19    17,500,000  17,477,861 
Welltower, Inc. commercial paper 2.807%, 4/18/19    10,000,000  9,984,956 

 

54 Diversified Income Trust 

 


  Principal amount/   
SHORT-TERM INVESTMENTS (25.6%)* cont.  shares  Value 
Westar Energy, Inc. commercial paper 2.732%, 4/2/19  $10,000,000  $9,997,063 
Westar Energy, Inc. commercial paper 2.732%, 4/1/19  10,250,000  10,247,745 
Williams Cos., Inc. (The) commercial paper 2.889%, 4/29/19  10,000,000  9,976,466 
WRKCo., Inc. commercial paper 2.746%, 4/17/19  9,750,000  9,736,111 
WRKCo., Inc. commercial paper 2.716%, 4/5/19  5,000,000  4,997,433 
Total short-term investments (cost $1,070,949,867)    $1,070,878,853 
 
TOTAL INVESTMENTS     
Total investments (cost $5,401,588,189)    $5,369,346,068 

 

Key to holding’s currency abbreviations

ARS  Argentine Peso 
AUD  Australian Dollar 
CAD  Canadian Dollar 
CHF  Swiss Franc 
CNH  Chinese Yuan (Offshore) 
CZK  Czech Koruna 
EUR  Euro 
GBP  British Pound 
ILS  Israeli Shekel 
INR  Indian Rupee 
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 
OTC  Over-the-counter 
PO  Principal Only 
REGS  Securities sold under Regulation S may not be offered, sold or delivered within the United States except 
  pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the 
  Securities Act of 1933. 
TBA  To Be Announced Commitments 

 

Diversified Income Trust 55 

 


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, 2018 through March 31, 2019 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $4,190,651,393.

† This security is non-income-producing.

†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

∆∆ This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $380,319, or less than 0.1% of net assets.

# 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 $2,212,954 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

∆ 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 $90,960,862 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

§ 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 $59,892,897 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).

F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).

i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).

L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

R Real Estate Investment Trust.

 W 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 $1,929,732,531 to cover certain derivative contracts and delayed delivery securities.

Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

See Note 1 to the financial statements regarding TBA commitments.

The dates shown on debt obligations are the original maturity dates.

56 Diversified Income Trust 

 


DIVERSIFICATION BY COUNTRY 

 

Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):

United States  84.6%  United Kingdom  0.8% 
Greece  2.7  Bermuda  0.6 
Argentina  1.9  Ivory Coast  0.5 
Canada  1.8  Dominican Republic  0.5 
Brazil  1.5  Other  3.1 
Mexico  1.1  Total  100.0% 
Indonesia  0.9     

 

FORWARD CURRENCY CONTRACTS at 3/31/19 (aggregate face value $2,744,316,140) (Unaudited) 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type*  date  Value  face value  (depreciation) 
Bank of America N.A.           
  Australian Dollar  Buy  4/17/19  $43,280,509  $43,269,858  $10,651 
  Brazilian Real  Buy  4/2/19  15,865,759  16,364,276  (498,517) 
  Brazilian Real  Sell  4/2/19  15,865,759  16,247,744  381,985 
  British Pound  Buy  6/19/19  526,662  535,889  (9,227) 
  Canadian Dollar  Buy  4/17/19  34,330,323  34,865,857  (535,534) 
  Canadian Dollar  Sell  4/17/19  34,330,323  34,264,229  (66,094) 
  Euro  Sell  6/19/19  32,708,913  33,505,626  796,713 
  Hong Kong Dollar  Sell  5/15/19  1,026,092  1,025,896  (196) 
  Japanese Yen  Sell  5/15/19  3,366,591  3,410,831  44,240 
  New Zealand Dollar  Buy  4/17/19  33,917,865  33,775,426  142,439 
  New Zealand Dollar  Sell  4/17/19  33,917,865  33,937,261  19,396 
  Norwegian Krone  Buy  6/19/19  53,820,462  54,292,200  (471,738) 
  Swedish Krona  Sell  6/19/19  730,914  737,652  6,738 
Barclays Bank PLC             
  Australian Dollar  Buy  4/17/19  5,875,334  5,853,323  22,011 
  British Pound  Sell  6/19/19  408,464  415,108  6,644 
  Canadian Dollar  Sell  4/17/19  68,423,109  68,997,061  573,952 
  Euro  Sell  6/19/19  55,880,181  56,822,584  942,403 
  Hong Kong Dollar  Sell  5/15/19  1,017,226  1,019,712  2,486 
  Japanese Yen  Sell  5/15/19  8,069,460  8,334,018  264,558 
  New Zealand Dollar  Buy  4/17/19  34,932,503  34,832,868  99,635 
  New Zealand Dollar  Sell  4/17/19  34,932,503  34,922,692  (9,811) 
  Norwegian Krone  Buy  6/19/19  25,909,391  25,891,578  17,813 
  Swedish Krona  Buy  6/19/19  17,952,769  17,848,889  103,880 
  Swiss Franc  Sell  6/19/19  102,483  102,586  103 
Citibank, N.A.             
  Australian Dollar  Buy  4/17/19  41,760,395  41,761,771  (1,376) 
  British Pound  Buy  6/19/19  1,679,226  1,686,942  (7,716) 
  Canadian Dollar  Sell  4/17/19  25,638,892  25,965,551  326,659 
  Euro  Sell  6/19/19  46,217,420  47,004,187  786,767 
  Japanese Yen  Sell  5/15/19  42,595,018  43,588,166  993,148 
  New Zealand Dollar  Buy  4/17/19  17,478,888  17,504,960  (26,072) 
  New Zealand Dollar  Sell  4/17/19  17,478,888  17,645,955  167,067 
  Norwegian Krone  Buy  6/19/19  334,928  335,714  (786) 

 

Diversified Income Trust 57 

 


FORWARD CURRENCY CONTRACTS at 3/31/19 (aggregate face value $2,744,316,140) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type*  date  Value  face value  (depreciation) 
Credit Suisse International           
  Australian Dollar  Buy  4/17/19  $34,376,737  $34,718,152  $(341,415) 
  Canadian Dollar  Sell  4/17/19  584,444  621,804  37,360 
  Euro  Sell  6/19/19  38,661,984  39,137,882  475,898 
  Japanese Yen  Sell  5/15/19  9,191,711  9,387,030  195,319 
  New Zealand Dollar  Buy  4/17/19  859,462  856,982  2,480 
  New Zealand Dollar  Sell  4/17/19  859,462  841,772  (17,690) 
Goldman Sachs International           
  Australian Dollar  Buy  4/17/19  42,325,127  42,611,543  (286,416) 
  Brazilian Real  Buy  4/2/19  33,834,242  34,721,622  (887,380) 
  Brazilian Real  Sell  4/2/19  33,834,242  34,110,007  275,765 
  British Pound  Sell  6/19/19  2,257,142  2,293,159  36,017 
  Euro  Sell  6/19/19  50,052,669  50,924,255  871,586 
  Japanese Yen  Sell  5/15/19  25,716,542  26,206,943  490,401 
  New Zealand Dollar  Sell  4/17/19  17,547,892  19,102,931  1,555,039 
  Norwegian Krone  Buy  6/19/19  82,728,640  83,412,629  (683,989) 
  South African Rand  Buy  4/17/19  1,750,333  1,741,883  8,450 
  South African Rand  Sell  4/17/19  1,750,333  1,749,149  (1,184) 
HSBC Bank USA, National Association           
  Australian Dollar  Buy  4/17/19  65,021,160  64,794,011  227,149 
  British Pound  Buy  6/19/19  32,773,864  33,387,582  (613,718) 
  Canadian Dollar  Sell  4/17/19  26,312,647  26,342,494  29,847 
  Chinese Yuan (Offshore)  Buy  5/15/19  12,601,747  12,504,007  97,740 
  Euro  Sell  6/19/19  58,391,846  59,385,637  993,791 
  Japanese Yen  Buy  5/15/19  17,312,359  17,375,936  (63,577) 
  Mexican Peso  Buy  4/17/19  1,724,450  1,684,975  39,475 
  Mexican Peso  Sell  4/17/19  1,724,450  1,741,153  16,703 
  New Zealand Dollar  Buy  4/17/19  17,589,037  17,646,530  (57,493) 
  New Zealand Dollar  Sell  4/17/19  17,589,037  17,413,742  (175,295) 
  Norwegian Krone  Sell  6/19/19  6,456,784  6,467,202  10,418 
JPMorgan Chase Bank N.A.           
  Australian Dollar  Buy  4/17/19  34,396,198  34,406,804  (10,606) 
  Australian Dollar  Sell  4/17/19  34,396,198  34,729,882  333,684 
  British Pound  Buy  6/19/19  38,069,904  38,739,032  (669,128) 
  Canadian Dollar  Sell  4/17/19  57,300,924  57,144,532  (156,392) 
  Euro  Sell  6/19/19  29,542,342  30,495,440  953,098 
  Japanese Yen  Buy  5/15/19  10,333,941  9,737,142  596,799 
  New Zealand Dollar  Buy  4/17/19  17,436,313  17,388,196  48,117 
  New Zealand Dollar  Sell  4/17/19  17,436,313  17,635,691  199,378 
  Norwegian Krone  Buy  6/19/19  52,162,862  52,629,575  (466,713) 
  Swedish Krona  Sell  6/19/19  3,807,258  3,812,894  5,636 
  Swiss Franc  Buy  6/19/19  303,505  264,669  38,836 
NatWest Markets PLC           
  Australian Dollar  Buy  4/17/19  80,646,051  80,299,838  346,213 
  Canadian Dollar  Sell  4/17/19  33,595,706  33,905,771  310,065 

 

58 Diversified Income Trust 

 


FORWARD CURRENCY CONTRACTS at 3/31/19 (aggregate face value $2,744,316,140) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type*  date  Value  face value  (depreciation) 
NatWest Markets PLC cont.           
  Euro  Sell  6/19/19  $77,462,847  $78,588,991  $1,126,144 
  Japanese Yen  Sell  5/15/19  27,018,372  27,080,919  62,547 
  New Zealand Dollar  Buy  4/17/19  55,184,871  54,994,472  190,399 
  New Zealand Dollar  Sell  4/17/19  55,184,871  54,405,619  (779,252) 
  Norwegian Krone  Sell  6/19/19  6,878,140  6,881,550  3,410 
State Street Bank and Trust Co.           
  Australian Dollar  Buy  4/17/19  1,500,938  1,339,942  160,996 
  British Pound  Sell  6/19/19  17,456,599  17,464,502  7,903 
  Canadian Dollar  Sell  4/17/19  27,250,064  25,765,595  (1,484,469) 
  Euro  Sell  6/19/19  41,118,096  41,594,600  476,504 
  Japanese Yen  Sell  5/15/19  52,397,567  53,201,600  804,033 
  New Zealand Dollar  Buy  4/17/19  100,550,811  100,323,775  227,036 
  New Zealand Dollar  Sell  4/17/19  95,368,289  94,572,057  (796,232) 
  Norwegian Krone  Buy  6/19/19  41,029,898  41,373,622  (343,724) 
  Swedish Krona  Sell  6/19/19  29,110,326  29,167,227  56,901 
UBS AG             
  Australian Dollar  Buy  4/17/19  52,115,882  52,077,880  38,002 
  British Pound  Sell  6/19/19  22,358  22,721  363 
  Canadian Dollar  Sell  4/17/19  16,540,740  16,663,732  122,992 
  Euro  Sell  6/19/19  64,820,736  65,717,587  896,851 
  Japanese Yen  Sell  5/15/19  16,429,633  17,277,335  847,702 
  New Zealand Dollar  Buy  4/17/19  21,533,762  21,475,129  58,633 
  New Zealand Dollar  Sell  4/17/19  21,533,762  21,184,016  (349,746) 
  Norwegian Krone  Buy  6/19/19  191,344  192,891  (1,547) 
WestPac Banking Corp.           
  Australian Dollar  Buy  4/17/19  39,104,632  39,339,231  (234,599) 
  Canadian Dollar  Sell  4/17/19  2,157,659  2,251,305  93,646 
  Euro  Sell  6/19/19  37,291,654  37,922,216  630,562 
  New Zealand Dollar  Buy  4/17/19  17,194,625  17,155,607  39,018 
  New Zealand Dollar  Sell  4/17/19  17,194,625  17,145,131  (49,494) 
Unrealized appreciation          19,748,194 
Unrealized (depreciation)          (10,097,126) 
Total            $9,651,068 

 

* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)       
          Unrealized 
  Number of  Notional    Expiration  appreciation/ 
  contracts  amount  Value  date  (depreciation) 
Euro-Schatz 2 yr (Short)  1,005  $126,235,996  $126,236,029  Jun-19  $(261,659) 
U.K. Gilt 10 yr (Short)  126  21,230,743  21,230,737  Jun-19  (356,128) 
U.S. Treasury Bond Ultra 30 yr (Long)  266  44,688,000  44,688,000  Jun-19  1,719,620 
U.S. Treasury Note 2 yr (Long)  937  199,668,844  199,668,844  Jun-19  854,370 

 

Diversified Income Trust 59 

 


FUTURES CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.     
          Unrealized 
  Number of  Notional    Expiration  appreciation/ 
  contracts  amount  Value  date  (depreciation) 
U.S. Treasury Note 5 yr (Short)  1,567  $181,502,672  $181,502,672  Jun-19  $(1,925,550) 
U.S. Treasury Note Ultra 10 yr (Long)  173  22,971,156  22,971,156  Jun-19  529,423 
Unrealized appreciation          3,103,413 
Unrealized (depreciation)          (2,543,337) 
Total          $560,076 

 

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/19 (premiums $100,506,731) (Unaudited)   
Counterparty      Notional/   
Fixed Obligation % to receive or (pay)/  Expiration    Contract   
Floating rate index/Maturity date  date/strike    amount  Value 
Citibank, N.A.         
(2.421)/3 month USD-LIBOR-BBA/Apr-29  Apr-19/2.421  $200,001,600  $1,174,009 
Goldman Sachs International         
(2.20625)/3 month USD-LIBOR-BBA/Apr-24  Apr-19/2.20625  315,313,200  595,942 
1.722/3 month GBP-LIBOR-BBA/Feb-39  Feb-29/1.722  GBP  28,942,000  2,088,708 
(1.722)/3 month GBP-LIBOR-BBA/Feb-39  Feb-29/1.722  GBP  28,942,000  2,761,196 
(0.115)/6 month EUR-EURIBOR-Reuters/Aug-21  Aug-19/0.115  EUR  464,915,100  2,957,010 
JPMorgan Chase Bank N.A.         
1.361/3 month GBP-LIBOR-BBA/Apr-24  Apr-19/1.361  GBP  136,113,000  7,091 
1.628/3 month GBP-LIBOR-BBA/Apr-49  Apr-19/1.628  GBP  26,886,600  10,506 
3.415/3 month USD-LIBOR-BBA/Nov-21  Nov-19/3.415  $787,757,000  23,633 
2.975/3 month USD-LIBOR-BBA/Nov-23  Nov-20/2.975  196,939,100  399,786 
2.56/3 month USD-LIBOR-BBA/Feb-24  Feb-22/2.56  442,039,700  2,440,059 
2.486/3 month USD-LIBOR-BBA/Jan-24  Jan-22/2.486  442,039,700  2,674,340 
1.667/6 month EUR-EURIBOR-Reuters/Feb-36  Feb-26/1.667  EUR  63,672,400  2,915,549 
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36  Feb-26/1.667  EUR  63,672,400  4,599,025 
(2.975)/3 month USD-LIBOR-BBA/Nov-23  Nov-20/2.975  $196,939,100  4,696,998 
(2.486)/3 month USD-LIBOR-BBA/Jan-24  Jan-22/2.486  442,039,700  4,747,506 
3.229/3 month USD-LIBOR-BBA/Nov-33  Nov-23/3.229  196,939,100  4,931,355 
(2.56)/3 month USD-LIBOR-BBA/Feb-24  Feb-22/2.56  442,039,700  5,101,138 
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39  Sep-19/1.733  EUR  95,392,000  13,681,784 
(3.229)/3 month USD-LIBOR-BBA/Nov-33  Nov-23/3.229  $196,939,100  14,183,552 
Morgan Stanley & Co. International PLC         
0.90/6 month EUR-EURIBOR-Reuters/May-29  May-19/0.90  EUR  557,220,400  18,752 
3.3975/3 month USD-LIBOR-BBA/Nov-21  Nov-19/3.3975  $787,757,000  23,633 
1.369/3 month GBP-LIBOR-BBA/Apr-29  Apr-19/1.369  GBP  70,662,200  98,476 
2.7225/3 month USD-LIBOR-BBA/Feb-30  Feb-20/2.7225  $61,047,700  560,418 
2.715/3 month USD-LIBOR-BBA/Feb-30  Feb-20/2.715  61,047,700  590,942 
(2.75)/3 month USD-LIBOR-BBA/Dec-47  Dec-24/2.75  10,000,000  910,000 
3.01/3 month USD-LIBOR-BBA/Feb-36  Feb-26/3.01  22,892,700  938,830 
2.97/3 month USD-LIBOR-BBA/Feb-36  Feb-26/2.97  22,892,700  966,072 
(2.97)/3 month USD-LIBOR-BBA/Feb-36  Feb-26/2.97  22,892,700  1,385,924 
(3.01)/3 month USD-LIBOR-BBA/Feb-36  Feb-26/3.01  22,892,700  1,425,071 
(2.715)/3 month USD-LIBOR-BBA/Feb-30  Feb-20/2.715  61,047,700  2,129,954 
(2.7225)/3 month USD-LIBOR-BBA/Feb-30  Feb-20/2.7225  61,047,700  2,142,774 

 

60 Diversified Income Trust 

 


WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/19 (premiums $100,506,731) (Unaudited) cont. 
Counterparty    Notional/   
Fixed Obligation % to receive or (pay)/  Expiration  contract   
Floating rate index/Maturity date  date/strike  amount  Value 
Morgan Stanley & Co. International PLC cont.       
(2.58)/3 month USD-LIBOR-BBA/Aug-20  Aug-19/2.58  $1,093,918,200  $2,264,411 
(0.50)/6 month EUR-EURIBOR-Reuters/May-29  May-19/0.50  EUR  557,220,400  3,375,335 
(2.80)/3 month USD-LIBOR-BBA/Aug-20  Aug-19/2.80  $1,093,918,200  4,145,950 
(3.00)/3 month USD-LIBOR-BBA/Apr-48  Apr-24/3.00  44,214,400  5,028,062 
(3.00)/3 month USD-LIBOR-BBA/Apr-48  Apr-24/3.00  44,214,400  5,032,925 
(3.00)/3 month USD-LIBOR-BBA/Jan-49  Jan-25/3.00  44,214,400  5,167,337 
NatWest Markets PLC       
1.668/3 month GBP-LIBOR-BBA/Apr-29  Apr-19/1.668  GBP  228,788,900  298 
Total      $106,194,351 

 

WRITTEN OPTIONS OUTSTANDING at 3/31/19 (premiums $3,955,314) (Unaudited)   
  Expiration  Notional  Contract   
Counterparty  date/strike price  amount  amount  Value 
Bank of America N.A.         
GBP/USD (Call)  Jul-19/$1.47  $215,812,253  GBP  165,697,150  $62,586 
Goldman Sachs International         
USD/CNH (Call)  Apr-19/CNH 7.20  156,454,300  $156,454,300  156 
JPMorgan Chase Bank N.A.         
Federal National Mortgage         
Association 30 yr 2.50% TBA         
commitments (Put)  Apr-19/$94.56  64,000,000  64,000,000  64 
Federal National Mortgage         
Association 30 yr 3.00% TBA         
commitments (Put)  May-19/99.63  266,000,000  266,000,000  1,294,356 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.82  194,000,000  194,000,000  302,588 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.57  194,000,000  194,000,000  202,318 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.94  194,000,000  194,000,000  368,633 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.69  194,000,000  194,000,000  247,643 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.44  194,000,000  194,000,000  157,584 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.19  194,000,000  194,000,000  102,269 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/100.07  194,000,000  194,000,000  82,104 

 

Diversified Income Trust 61 

 


WRITTEN OPTIONS OUTSTANDING at 3/31/19 (premiums $3,955,314) (Unaudited) cont.   
  Expiration  Notional  Contract   
Counterparty  date/strike price  amount  amount  Value 
JPMorgan Chase Bank N.A. cont.         
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  May-19/$100.32  $194,000,000  $194,000,000  $127,244 
Federal National Mortgage         
Association 30 yr 3.50% TBA         
commitments (Put)  Apr-19/99.85  69,000,000  69,000,000  69 
Total        $2,947,614 

 

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)   
Counterparty           
Fixed right or obligation % to receive      Notional/  Premium  Unrealized 
or (pay)/Floating rate index/  Expiration    contract  receivable/  appreciation/ 
Maturity date  date/strike    amount  (payable)  (depreciation) 
Bank of America N.A.           
2.647/3 month USD-LIBOR-BBA/           
Jun-29 (Purchased)  Jun-24/2.647    $69,572,100  $(2,720,269)  $(532,227) 
(2.647)/3 month USD-LIBOR-BBA/           
Jun-29 (Purchased)  Jun-24/2.647    69,572,100  (2,720,269)  (768,076) 
Barclays Bank PLC           
1.11125/6 month JPY-LIBOR-BBA/           
Aug-43 (Purchased)  Aug-23/1.11125  JPY  1,758,437,400  (889,457)  991,630 
(1.11125)/6 month JPY-LIBOR-BBA/           
Aug-43 (Purchased)  Aug-23/1.11125  JPY  1,758,437,400  (889,457)  (633,215) 
Citibank, N.A.           
2.19625/3 month USD-LIBOR-BBA/           
Apr-24 (Purchased)  Apr-19/2.19625    $497,862,700  (879,557)  (9,957) 
(2.38875)/3 month USD-LIBOR-BBA/           
Apr-24 (Purchased)  Apr-19/2.38875    497,862,700  (779,985)  (74,679) 
2.689/3 month USD-LIBOR-BBA/           
Nov-49 (Purchased)  Nov-24/2.689    11,217,000  (1,444,189)  (260,122) 
(2.689)/3 month USD-LIBOR-BBA/           
Nov-49 (Purchased)  Nov-24/2.689    11,217,000  (1,444,189)  (275,826) 
2.654/3 month USD-LIBOR-BBA/           
Jun-29 (Purchased)  Jun-24/2.654    69,572,100  (2,720,269)  (521,095) 
(2.654)/3 month USD-LIBOR-BBA/           
Jun-29 (Purchased)  Jun-24/2.654    69,572,100  (2,720,269)  (777,816) 
2.2925/3 month USD-LIBOR-BBA/           
Apr-24 (Written)  Apr-19/2.2925    248,931,600  829,772  49,786 
(2.2925)/3 month USD-LIBOR-BBA/           
Apr-24 (Written)  Apr-19/2.2925    248,931,600  829,772  (57,254) 
Goldman Sachs International           
2.1975/3 month USD-LIBOR-BBA/           
May-24 (Purchased)  May-19/2.1975    497,862,700  (921,046)  59,744 
(2.725)/3 month USD-LIBOR-BBA/           
Nov-39 (Purchased)  Nov-29/2.725    18,696,100  (1,498,492)  (109,372) 
2.8175/3 month USD-LIBOR-BBA/           
Mar-47 (Purchased)  Mar-27/2.8175    8,348,800  (1,054,036)  (111,874) 

 

62 Diversified Income Trust 

 


FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
Counterparty           
Fixed right or obligation % to receive      Notional/  Premium  Unrealized 
or (pay)/Floating rate index/  Expiration    contract  receivable/  appreciation/ 
Maturity date  date/strike    amount  (payable)  (depreciation) 
Goldman Sachs International cont.           
(3.005)/3 month USD-LIBOR-BBA/           
Nov-39 (Purchased)  Nov-29/3.005    $18,696,100  $(1,295,640)  $(123,581) 
3.005/3 month USD-LIBOR-BBA/           
Nov-39 (Purchased)  Nov-29/3.005    18,696,100  (1,701,345)  (134,238) 
(2.3975)/3 month USD-LIBOR-BBA/           
May-24 (Purchased)  May-19/2.3975    497,862,700  (871,260)  (139,402) 
2.725/3 month USD-LIBOR-BBA/           
Nov-39 (Purchased)  Nov-29/2.725    18,696,100  (1,498,492)  (163,591) 
(2.8175)/3 month USD-LIBOR-BBA/           
Mar-47 (Purchased)  Mar-27/2.8175    8,348,800  (1,054,036)  (221,410) 
3.215/3 month USD-LIBOR-BBA/           
Nov-53 (Written)  Nov-23/3.215    50,412,300  5,865,471  2,766,123 
2.2975/3 month USD-LIBOR-BBA/           
May-24 (Written)  May-19/2.2975    248,931,500  867,941  67,212 
(2.2975)/3 month USD-LIBOR-BBA/           
May-24 (Written)  May-19/2.2975    248,931,500  867,941  (109,530) 
(3.215)/3 month USD-LIBOR-BBA/           
Nov-53 (Written)  Nov-23/3.215    50,412,300  5,865,471  (2,744,950) 
JPMorgan Chase Bank N.A.           
1.921/6 month EUR-EURIBOR-           
Reuters/Oct-48 (Purchased)  Oct-28/1.921  EUR  29,488,100  (3,771,047)  1,500,100 
2.50/3 month USD-LIBOR-BBA/           
Nov-39 (Purchased)  Nov-29/2.50    $18,696,100  (1,080,635)  34,027 
(2.902)/3 month USD-LIBOR-BBA/           
Nov-49 (Purchased)  Nov-24/2.902    11,217,000  (1,203,584)  (249,017) 
(2.50)/3 month USD-LIBOR-BBA/           
Nov-39 (Purchased)  Nov-29/2.50    18,696,100  (1,944,394)  (303,251) 
2.902/3 month USD-LIBOR-BBA/           
Nov-49 (Purchased)  Nov-24/2.902    11,217,000  (1,734,148)  (308,804) 
2.8325/3 month USD-LIBOR-BBA/           
Feb-52 (Purchased)  Feb-22/2.8325    41,743,200  (5,828,394)  (1,344,548) 
(1.921)/6 month EUR-EURIBOR-           
Reuters/Oct-48 (Purchased)  Oct-28/1.921  EUR  29,488,100  (3,771,047)  (1,375,064) 
(1.28)/6 month EUR-EURIBOR-           
Reuters/Aug-49 (Purchased)  Aug-19/1.28  EUR  98,906,700  (2,811,331)  (1,922,739) 
(2.8325)/3 month USD-LIBOR-BBA/           
Feb-52 (Purchased)  Feb-22/2.8325    $41,743,200  (5,828,394)  (3,116,133) 
0.215/6 month EUR-EURIBOR-           
Reuters/Aug-24 (Written)  Aug-19/0.215  EUR  557,220,400  2,748,051  1,975,196 
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)  1,803,992 
2.505/3 month USD-LIBOR-BBA/           
Nov-49 (Purchased)  Nov-24/2.505    11,217,000  (1,206,949)  (206,281) 
(2.505)/3 month USD-LIBOR-BBA/           
Nov-49 (Purchased)  Nov-24/2.505    11,217,000  (1,718,444)  (334,715) 
(3.27)/3 month USD-LIBOR-BBA/           
Oct-53 (Purchased)  Oct-23/3.27    28,548,700  (3,257,407)  (1,633,271) 

 

Diversified Income Trust 63 

 


FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
Counterparty           
Fixed right or obligation % to receive      Notional/  Premium  Unrealized 
or (pay)/Floating rate index/  Expiration    contract  receivable/  appreciation/ 
Maturity date  date/strike    amount  (payable)  (depreciation) 
UBS AG           
1.72/6 month EUR-EURIBOR-Reuters/           
Nov-58 (Purchased)  Nov-28/1.72  EUR  28,006,700  $(4,894,154)  $1,625,491 
(1.72)/6 month EUR-EURIBOR-           
Reuters/Nov-58 (Purchased)  Nov-28/1.72  EUR  28,006,700  (4,894,154)  (1,541,294) 
Unrealized appreciation          10,873,301 
Unrealized (depreciation)          (20,103,332) 
Total          $(9,230,031) 

 

TBA SALE COMMITMENTS OUTSTANDING at 3/31/19 (proceeds receivable $129,844,160) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 5.00%, 4/1/49  $3,000,000  4/10/19  $3,171,797 
Federal National Mortgage Association, 4.50%, 4/1/49  35,000,000  4/10/19  36,465,625 
Federal National Mortgage Association, 3.00%, 4/1/49  89,000,000  4/10/19  88,589,763 
Government National Mortgage Association, 5.00%, 4/1/49  3,000,000  4/17/19  3,133,828 
Total      $131,361,013 

 

OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)   
      Upfront         
      premium  Termina-      Unrealized 
Swap counterparty/    received  tion  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
Goldman Sachs International           
ILS  38,290,000  $70,939  $—  3/19/24  3 month ILS-  1.035% — Annually  $73,898 
          TELBOR03 —     
          Quarterly     
ILS  345,402,000  568,602   —  3/20/24  3 month ILS-  1.02% — Annually  592,767 
          TELBOR03 —     
          Quarterly     
Upfront premium received   —    Unrealized appreciation  666,665 
Upfront premium (paid)   —    Unrealized (depreciation)   — 
Total      $—    Total    $666,665 

 

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) 
    Upfront         
    premium        Unrealized 
    received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
$51,118,000  $1,449,093 E  $(575)  2/27/28  3 month USD-  3.11% —  $1,448,519 
        LIBOR-BBA —  Semiannually   
        Quarterly     
62,861,000  1,609,367 E  (707)  3/7/28  3 month USD-  3.05125% —  1,608,661 
        LIBOR-BBA —  Semiannually   
        Quarterly     
22,861,000  3,552,759  (780)  11/8/48  3 month USD-  3.312% —  3,762,339 
        LIBOR-BBA —  Semiannually   
        Quarterly     

 

64 Diversified Income Trust 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
    Upfront         
    premium        Unrealized 
    received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
$196,939,100  $11,335,618  $(2,789)  1/3/29  3.065% —  3 month USD-  $(11,462,306) 
        Semiannually  LIBOR-BBA —   
          Quarterly   
108,710,600  6,396,640  (1,539)  3/4/29  3 month USD-  3.073% —  6,424,536 
        LIBOR-BBA —  Semiannually   
        Quarterly     
590,817,900  1,225,947  (296,839)  1/22/20  3 month USD-  2.86% —  1,041,216 
        LIBOR-BBA —  Semiannually   
        Quarterly     
590,817,900  2,713,036 E  281,365  1/22/21  2.77% —  3 month USD-  (2,431,671) 
        Semiannually  LIBOR-BBA —   
          Quarterly   
14,277,900  88,409 E  (80)  2/2/24  3 month USD-  2.5725% —  88,329 
        LIBOR-BBA —  Semiannually   
        Quarterly     
36,954,400  198,556 E  (206)  2/2/24  2.528% —  3 month USD-  (198,762) 
        Semiannually  LIBOR-BBA —   
          Quarterly   
28,359,200  665,052  (376)  2/13/29  2.6785% —  3 month USD-  (667,186) 
        Semiannually  LIBOR-BBA —   
          Quarterly   
664,614,000  11,834,117 E  (3,652,256)  6/19/26  3 month USD-  2.60% —  8,181,862 
        LIBOR-BBA —  Semiannually   
        Quarterly     
18,931,300  77,713 E  (90,341)  6/19/21  3 month USD-  2.55% —  (12,629) 
        LIBOR-BBA —  Semiannually   
        Quarterly     
3,184,564,300  13,072,636 E  16,686,047  6/19/21  2.55% —  3 month USD-  3,613,410 
        Semiannually  LIBOR-BBA —   
          Quarterly   
9,971,100  104,677 E  (127,074)  6/19/24  3 month USD-  2.50% —  (22,398) 
        LIBOR-BBA —  Semiannually   
        Quarterly     
2,086,706,100  21,906,241 E  26,553,499  6/19/24  2.50% —  3 month USD-  4,647,262 
        Semiannually  LIBOR-BBA —   
          Quarterly   
717,444,200  15,011,802 E  (17,303,866)  6/19/29  3 month USD-  2.65% —  (2,292,064) 
        LIBOR-BBA —  Semiannually   
        Quarterly     
10,085,700  465,879 E  (510,541)  6/19/49  3 month USD-  2.80% —  (44,662) 
        LIBOR-BBA —  Semiannually   
        Quarterly     
521,700  24,098 E  26,385  6/19/49  2.80% —  3 month USD-  2,287 
        Semiannually  LIBOR-BBA —   
          Quarterly   
77,357,200  732,418 E  (15,655)  12/2/23  3 month USD-  2.536% —  716,763 
        LIBOR-BBA —  Semiannually   
        Quarterly     

 

Diversified Income Trust 65 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium        Unrealized 
      received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
  $26,743,500  $164,366 E  $(4,569)  2/2/24  3 month USD-  2.57% —  $159,796 
          LIBOR-BBA —  Semiannually   
          Quarterly     
  12,348,596  409,850 E  (175)  3/5/30  3 month USD-  2.806% —  409,675 
          LIBOR-BBA —  Semiannually   
          Quarterly     
  23,163,600  442,541 E  (328)  3/16/30  2.647% —  3 month USD-  (442,869) 
          Semiannually  LIBOR-BBA —   
            Quarterly   
  127,534,000  1,529,133 E  1,144,362  6/19/29  2.55% —  3 month USD-  (384,770) 
          Semiannually  LIBOR-BBA —   
            Quarterly   
  521,291,000  3,020,360 E  (1,419,715)  6/19/24  2.40% —  3 month USD-  (4,440,075) 
          Semiannually  LIBOR-BBA —   
            Quarterly   
  370,610,000  3,556,003 E  (424,832)  3/21/29  3 month USD-  2.776% —  3,131,171 
          LIBOR-BBA —  Semiannually   
          Quarterly     
  14,581,700  141,165 E  (497)  3/28/52  2.67% —  3 month USD-  (141,663) 
          Semiannually  LIBOR-BBA —   
            Quarterly   
  59,867,000  402,785  (794)  3/29/29  3 month USD-  2.33973% —  (412,664) 
          LIBOR-BBA —  Semiannually   
          Quarterly     
  258,888,700  1,086,297 E  (2,444)  4/10/24  3 month USD-  2.20% —  (1,088,741) 
          LIBOR-BBA —  Semiannually   
          Quarterly     
  215,740,500  771,920 E  (3,055)  4/16/29  3 month USD-  2.375% —  (774,974) 
          LIBOR-BBA —  Semiannually   
          Quarterly     
  92,607,000  20,374  (749)  4/2/24  2.28456% —  3 month USD-  19,624 
          Semiannually  LIBOR-BBA —   
            Quarterly   
AUD  854,301,000  5,359,279 E  471,333  6/19/24  1.90% —  6 month AUD-  (4,887,947) 
          Semiannually  BBR-BBSW —   
            Semiannually   
AUD  46,888,000  615,451 E  67,751  6/19/29  2.25% —  6 month AUD-  (547,700) 
          Semiannually  BBR-BBSW —   
            Semiannually   
AUD  80,387,000  787,687  (753)  3/20/29  6 month AUD-  2.1825% —  791,670 
          BBR-BBSW —  Semiannually   
          Semiannually     
CAD  70,819,000  219,397  (224)  11/2/22  3 month CAD-  2.02% —  179,463 
          BA-CDOR —  Semiannually   
          Semiannually     
CAD  70,819,000  279,015  (225)  11/14/22  3 month CAD-  2.0525% —  249,759 
          BA-CDOR —  Semiannually   
          Semiannually     

 

66 Diversified Income Trust 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium        Unrealized 
      received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
CAD  139,000  $1,423 E  $(259)  6/19/29  3 month CAD-  2.25% —  $1,165 
          BA-CDOR —  Semiannually   
          Semiannually     
CAD  91,520,000  263,530 E  521,337  6/19/24  2.00% —  3 month CAD-  257,806 
          Semiannually  BA-CDOR —   
            Semiannually   
CAD  79,323,000  651,394  (785)  3/19/29  2.208% —  3 month CAD-  (679,837) 
          Semiannually  BA-CDOR —   
            Semiannually   
CHF  189,302,000  993,705 E  (737)  9/21/21   —  0.046% plus 6  (994,442) 
            month CHF-   
            LIBOR-BBA —   
            Semiannually   
CHF  120,812,000  1,892,711 E  (179,041)  6/19/29  6 month CHF-  0.20% —  1,713,670 
          LIBOR-BBA —  Annually   
          Semiannually     
CHF  220,533,000  1,076,365 E  105,693  6/19/24  —  0.30% plus  (970,671) 
            6 month CHF-   
            LIBOR-BBA —   
            Semiannually   
CZK  1,301,918,000  874,286  (757)  3/19/29  1.948% —  6 month CZK-  (897,707) 
          Annually  PRIBOR —   
            Semiannually   
CZK  6,073,856,000  102,149  (998)  3/27/21  6 month CZK-  2.03% —  144,519 
          PRIBOR —  Annually   
          Semiannually     
EUR  46,104,000  116,105  (183)  2/18/20   —  0.124% plus  (128,506) 
            1 Day Euribor   
            rate — Annually   
EUR  46,104,000  125,518  (183)  2/18/20   —  0.104% plus  (139,135) 
            1 Day Euribor   
            rate — Annually   
EUR  156,268,000  1,891,769  (1,373)  5/4/22  0.21% —  6 month EUR-  (2,423,387) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  45,013,000  2,397,221 E  (383)  10/27/27  1.61375% —  6 month EUR-  (2,397,604) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  108,343,000  112,419  (508)  1/30/20   —  0.1249%  (136,242) 
            plus 6 month   
            EUR-EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  87,173,000  1,979,782  (877)  1/30/23  6 month  0.4419% —  2,092,526 
          EUR-EURIBOR-  Annually   
          REUTERS —     
          Semiannually     

 

Diversified Income Trust 67 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium        Unrealized 
      received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
EUR  22,338,000  $1,400,597  $(369)  1/30/28  0.9987% —  6 month EUR-  $(1,453,961) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  40,895,000  2,482,011 E  (564)  2/27/28  1.815% —  6 month EUR-  (2,482,575) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  169,917,000  898,128 E  (744)  9/21/21  6 month  0.354% —  897,384 
          EUR-EURIBOR-  Annually   
          REUTERS —     
          Semiannually     
EUR  7,235,600  345,148 E  (277)  11/29/58  1.484% —  6 month EUR-  (345,425) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  9,840,300  717,891 E  (381)  2/19/50  6 month  1.354% —  717,510 
          EUR-EURIBOR-  Annually   
          REUTERS —     
          Semiannually     
EUR  10,864,000  501,275 E  (415)  3/11/50  1.267% —  6 month EUR-  (501,690) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  11,002,000  325,149 E  (420)  3/12/50  1.2115% —  6 month EUR-  (325,569) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  384,898,000  1,683,430 E  406,383  6/19/24  6 month  0.12% —  2,089,813 
          EUR-EURIBOR-  Annually   
          REUTERS —     
          Semiannually     
EUR  583,425,000  6,064,199 E  2,239,394  6/19/29  6 month  0.60% —  8,303,592 
          EUR-EURIBOR-  Annually   
          REUTERS —     
          Semiannually     
EUR  92,483,000  502,115  (844)  3/21/24  0.106% —  6 month EUR-  (513,438) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  222,367,000  2,077,338 E  18,416  3/21/29  1.104% —  6 month EUR-  (2,058,921) 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  13,678,600  5,110 E  (528)  3/26/50  1.113% —  6 month EUR-  4,582 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   

 

68 Diversified Income Trust 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium        Unrealized 
      received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
EUR  3,730,000  $22,850 E  $29,811  6/19/24  0.151% —  6 month EUR-  $6,961 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
EUR  430,000  4,518 E  6,380  6/19/29  0.601% —  6 month EUR-  1,862 
          Annually  EURIBOR-   
            REUTERS —   
            Semiannually   
GBP  12,297,500  470,256 E  (223)  4/16/29  1.52% —  6 month GBP-  (470,479) 
          Semiannually  LIBOR-BBA —   
            Semiannually   
GBP  48,904,000  775,551 E  (123,403)  6/19/29  6 month GBP-  1.35% —  652,148 
          LIBOR-BBA —  Semiannually   
          Semiannually     
GBP  151,429,000  1,196,784 E  629,176  6/19/24  6 month GBP-  1.20% —  1,825,959 
          LIBOR-BBA —  Semiannually   
          Semiannually     
GBP  1,000,000  1,211 E  911  6/19/21  1.001% —  6 month GBP-  (300) 
          Semiannually  LIBOR-BBA —   
            Semiannually   
GBP  910,000  7,250 E  8,675  6/19/24  1.201% —  6 month GBP-  1,425 
          Semiannually  LIBOR-BBA —   
            Semiannually   
GBP  70,000  1,119 E  1,353  6/19/29  1.351% —  6 month GBP-  234 
          Semiannually  LIBOR-BBA —   
            Semiannually   
INR  10,000,000  4,404  (1)  12/20/22  6.66% —  INR-FBIL-  (4,438) 
          Semiannually  MIBOR-OIS-   
            Compound —   
            Semiannually   
JPY  5,657,000,000  291,042  (199)  12/19/22  6 month JPY-  0.09% —  304,538 
          LIBOR-BBA —  Semiannually   
          Semiannually     
JPY  2,837,000,000  559,490  (181)  12/19/27  0.29% —  6 month JPY-  (581,065) 
          Semiannually  LIBOR-BBA —   
            Semiannually   
JPY  5,657,000,000  382,510  (411)  1/15/23  6 month JPY-  0.135% —  395,385 
          LIBOR-BBA —  Semiannually   
          Semiannually     
JPY  2,837,000,000  727,668  (338)  1/15/28  0.365% —  6 month JPY-  (746,975) 
          Semiannually  LIBOR-BBA —   
            Semiannually   
JPY  5,657,000,000  417,831  (426)  2/16/23  6 month JPY-  0.148% —  425,896 
          LIBOR-BBA —  Semiannually   
          Semiannually     
JPY  2,837,000,000  731,175  (350)  2/16/28  0.366% —  6 month JPY-  (742,194) 
          Semiannually  LIBOR-BBA —   
            Semiannually   

 

Diversified Income Trust 69 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium        Unrealized 
      received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
JPY  732,682,200  $211,806 E  $(213)  8/29/43  0.7495% —  6 month JPY-  $(212,019) 
          Semiannually  LIBOR-BBA —   
            Semiannually   
NOK  876,044,000  104,110 E  (145,314)  6/19/24  1.80% —  6 month NOK-  (41,204) 
          Annually  NIBOR-NIBR —   
            Semiannually   
NOK  636,000  137 E  321  6/19/29  6 month NOK-  2.00% —  457 
          NIBOR-NIBR —  Annually   
          Semiannually     
NZD  528,843,000  3,766,366 E  254,177  6/19/24  2.00% —  3 month NZD-  (3,512,190) 
          Semiannually  BBR-FRA —   
            Quarterly   
NZD  28,707,000  388,937 E  27,902  6/19/29  2.40% —  3 month NZD-  (361,035) 
          Semiannually  BBR-FRA —   
            Quarterly   
NZD  92,399,000  179,144 E  (703)  3/28/29  2.524% —  3 month NZD-  178,441 
          Semiannually  BBR-FRA —   
            Quarterly   
SEK  1,086,184,000  178,980  (290)  11/10/19   —  0.245% plus  278,524 
            3 month SEK-   
            STIBOR-SIDE —   
            Quarterly   
SEK  222,537,000  826,091  (190)  11/10/27  3 month SEK-  1.125% —  934,403 
          STIBOR-SIDE —  Annually   
          Quarterly     
SEK  1,086,184,000  179,681  (290)  11/10/19   —  0.246% plus  279,684 
            3 month SEK-   
            STIBOR-SIDE —   
            Quarterly   
SEK  222,537,000  836,168  (190)  11/10/27  3 month SEK-  1.13% —  944,951 
          STIBOR-SIDE —  Annually   
          Quarterly     
SEK  1,086,184,000  163,910  (291)  11/13/19   —  0.2225% plus  253,199 
            3 month SEK-   
            STIBOR-SIDE —   
            Quarterly   
SEK  222,537,000  895,648  (191)  11/13/27  3 month SEK-  1.16% —  1,006,294 
          STIBOR-SIDE —  Annually   
          Quarterly     
SEK  222,537,000  890,622  (191)  11/13/27  3 month SEK-  1.1575% —  1,001,034 
          STIBOR-SIDE —  Annually   
          Quarterly     
SEK  1,086,184,000  169,400  (291)  11/13/19   —  0.23% plus 3  262,111 
            month SEK-   
            STIBOR-SIDE —   
            Quarterly   
SEK  1,045,194,000  100,952  (499)  1/30/20  0.085% plus   —  (102,214) 
          3 month SEK-     
          STIBOR-SIDE —     
          Quarterly     

 

70 Diversified Income Trust 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium        Unrealized 
      received  Termination  Payments  Payments  appreciation/ 
Notional amount  Value  (paid)  date  made by fund  received by fund  (depreciation) 
SEK  846,279,000  $1,438,091  $(867)  1/30/23  0.66875% —  3 month SEK-  $(1,555,022) 
          Annually  STIBOR-SIDE —   
            Quarterly   
SEK  220,403,000  1,315,927  (370)  1/30/28  3 month SEK-  1.3775% —  1,374,359 
          STIBOR-SIDE —  Annually   
          Quarterly     
SEK  438,680,000  99,416 E  (20,992)  6/19/24  0.45% —  3 month SEK-  (120,408) 
          Annually  STIBOR-SIDE —   
            Quarterly   
SEK  1,418,006,000  1,115,975 E  32,871  6/19/29  3 month SEK-  0.95% —  1,148,845 
          STIBOR-SIDE —  Annually   
          Quarterly     
Total      $25,164,518        $8,823,885 

 

E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited)   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Bank of America N.A.             
$1,110,929  $1,052,884  $—  1/12/41  4.50% (1 month  Synthetic TRS  $(47,329) 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
Barclays Bank PLC             
7,142,068  7,184,348   —  1/12/40  4.00% (1 month  Synthetic MBX  47,042 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,166,509  2,179,335   —  1/12/40  4.00% (1 month  Synthetic MBX  14,270 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,093,968  1,100,444   —  1/12/40  4.00% (1 month  Synthetic MBX  7,205 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,092,613  1,099,081   —  1/12/40  4.00% (1 month  Synthetic MBX  7,197 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
5,685,663  5,713,634   —  1/12/40  4.50% (1 month  Synthetic MBX  32,984 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

Diversified Income Trust 71 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Barclays Bank PLC cont.           
$784,568  $788,659  $—  1/12/41  4.50% (1 month  Synthetic MBX  $4,781 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
537,643  540,288   —  1/12/40  4.50% (1 month  Synthetic MBX  3,119 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
69,455,677  70,054,958   —  1/12/41  5.00% (1 month  Synthetic MBX  674,690 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
11,448,227  11,533,850   —  1/12/40  5.00% (1 month  Synthetic MBX  98,130 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,006,331  1,007,947   —  1/12/41  5.00% (1 month  Synthetic MBX Index  2,702 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
372,971  375,145   —  1/12/39  (5.50%) 1 month  Synthetic MBX  (2,667) 
        USD-LIBOR —  Index 5.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,524,707  2,530,407   —  1/12/39  (6.00%) 1 month  Synthetic MBX  (9,425) 
        USD-LIBOR —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
42,683,474  42,788,433   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (173,903) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
226,631  218,730   —  1/12/41  3.50% (1 month  Synthetic TRS  (5,937) 
        USD-LIBOR) —  Index 3.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
672,226  648,471   —  1/12/42  4.00% (1 month  Synthetic TRS  (17,857) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,627,160  2,541,425   —  1/12/41  (4.00%) 1 month  Synthetic TRS  61,791 
        USD-LIBOR —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
6,268,174  6,063,618   —  1/12/41  (4.00%) 1 month  Synthetic TRS  147,428 
        USD-LIBOR —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

72 Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Barclays Bank PLC cont.           
$166,574  $159,265  $—  1/12/41  5.00% (1 month  Synthetic TRS  $(5,549) 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,399,288  1,337,889   —  1/12/41  (5.00%) 1 month  Synthetic TRS  46,610 
        USD-LIBOR —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
753,080  727,185   —  1/12/41  5.00% (1 month  Synthetic TRS Index  (18,012) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
575,014  555,241   —  1/12/41  5.00% (1 month  Synthetic TRS Index  (13,753) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
453,370  437,781   —  1/12/41  5.00% (1 month  Synthetic TRS Index  (10,844) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
181,058  174,832   —  1/12/41  5.00% (1 month  Synthetic TRS Index  (4,331) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
386,766  381,387   —  1/12/39  6.00% (1 month  Synthetic TRS  (959) 
        USD-LIBOR) —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
6,621  6,529   —  1/12/39  (6.00%)1 month  Synthetic TRS  (16) 
        USD-LIBOR —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
896,413  883,788   —  1/12/38  6.50% (1 month  Synthetic TRS  (2,316) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
128,620  126,809   —  1/12/38  6.50% (1 month  Synthetic TRS  (332) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
65,451  64,529   —  1/12/38  6.50% (1 month  Synthetic TRS  (169) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

Diversified Income Trust 73 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Citibank, N.A.             
$1,095,503  $1,104,955   $—  1/12/41  5.00% (1 month  Synthetic MBX  $10,642 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
367,263  370,432   —  1/12/41  5.00% (1 month  Synthetic MBX  3,568 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
Credit Suisse International           
18,627,041  18,679,691   —  1/12/41  4.50% (1 month  Synthetic MBX Index  68,987 
        USD-LIBOR) —  4.50% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
3,869,325  3,902,711   —  1/12/41  5.00% (1 month  Synthetic MBX  37,586 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
806,109  813,065   —  1/12/41  5.00% (1 month  Synthetic MBX  7,831 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,204,860  2,129,044   —  1/12/41  5.00% (1 month  Synthetic MBX Index  (52,736) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
3,770,202  3,779,473   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (15,361) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
493,362  473,261   —  1/12/44  3.00% (1 month  Synthetic TRS  (16,356) 
        USD-LIBOR) —  Index 3.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
463,664  448,655   —  1/12/43  3.00% (1 month  Synthetic TRS  (11,540) 
        USD-LIBOR) —  Index 3.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
4,422,731  4,279,484   —  1/12/43  3.50% (1 month  Synthetic TRS  (107,031) 
        USD-LIBOR) —  Index 3.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,271,220  1,189,172   —  1/12/45  3.50% (1 month  Synthetic TRS  (71,529) 
        USD-LIBOR) —  Index 3.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
780,200  754,930   —  1/12/43  3.50% (1 month  Synthetic TRS  (18,881) 
        USD-LIBOR) —  Index 3.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

74 Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Credit Suisse International cont.           
$7,221,074  $6,754,667  $—  1/12/45  4.00% (1 month  Synthetic TRS  $(402,265) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
4,551,593  4,257,607   —  1/12/45  4.00% (1 month  Synthetic TRS  (253,556) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,923,406  2,828,004   —  1/12/41  4.00% (1 month  Synthetic TRS  (68,759) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
477,964  462,367   —  1/12/41  4.00% (1 month  Synthetic TRS  (11,242) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
407,119  380,824   —  1/12/45  4.00% (1 month  Synthetic TRS  (22,679) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
366,347  354,392   —  1/12/41  4.00% (1 month  Synthetic TRS  (8,617) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
3,154,127  3,051,195   —  1/12/41  (4.00%) 1 month  Synthetic TRS  74,185 
        USD-LIBOR —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
229,550  219,485   —  1/12/42  4.50% (1 month  Synthetic TRS  (7,915) 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
10,390  9,969   —  1/12/40  5.00% (1 month  Synthetic TRS  (310) 
        USD-LIBOR) —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,431,770  1,368,946   —  1/12/41  (5.00%) 1 month  Synthetic TRS  47,692 
        USD-LIBOR —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,756,156  1,679,099   —  1/12/41  (5.00%) 1 month  Synthetic TRS  58,497 
        USD-LIBOR —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,337,246  1,291,263   —  1/12/41  5.00% (1 month  Synthetic TRS Index  (31,985) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   

 

Diversified Income Trust 75 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Deutsche Bank AG             
$615,696  $619,340   $—  1/12/40  4.00% (1 month  Synthetic MBX  $4,055 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
3,770,202  3,779,473   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (15,361) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
Goldman Sachs International           
1,022,099  1,027,127   —  1/12/40  (4.50%) 1 month  Synthetic MBX  (5,929) 
        USD-LIBOR —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,221,007  1,230,139   —  1/12/40  (5.00%) 1 month  Synthetic MBX  (10,466) 
        USD-LIBOR —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
488,329  491,175   —  1/12/39  5.50% (1 month  Synthetic MBX  3,492 
        USD-LIBOR) —  Index 5.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
578,354  579,659   —  1/12/39  6.00%) 1 month  Synthetic MBX  (2,159) 
        USD-LIBOR —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
816,877  818,886   —  1/12/38  6.50% (1 month  Synthetic MBX  3,328 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
117,850  118,140   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (480) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
129,349  129,667   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (527) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
345,068  345,916   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (1,406) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
471,275  472,434   —  1/12/39  (6.50%) 1 month  Synthetic MBX  (1,920) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
712,285  714,037   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (2,902) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

76 Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Goldman Sachs International cont.         
$973,969  $976,364   $—  1/12/38  (6.50%) 1 month  Synthetic MBX  $(3,968) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,411,626  1,415,098   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (5,751) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,694,014  1,698,180   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (6,902) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,896,003  1,900,665   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (7,725) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,597,323  2,603,710   —  1/12/38  (6.50%) 1 month  Synthetic MBX  (10,582) 
        USD-LIBOR —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,836,788  1,761,950   —  1/12/44  (3.00%) 1 month  Synthetic TRS  60,894 
        USD-LIBOR —  Index 3.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
5,202,931  5,034,415   —  1/12/43  (3.50%) 1 month  Synthetic TRS  125,912 
        USD-LIBOR —  Index 3.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
4,537,832  4,244,735   —  1/12/45  4.00% (1 month  Synthetic TRS  (252,789) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
3,733,726  3,611,880   —  1/12/41  4.00% (1 month  Synthetic TRS  (87,817) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
3,088,081  2,888,623   —  1/12/45  4.00% (1 month  Synthetic TRS  (172,028) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
2,384,759  2,300,486   —  1/12/42  4.00% (1 month  Synthetic TRS  (63,348) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,830,198  1,765,522   —  1/12/42  4.00% (1 month  Synthetic TRS  (48,617) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

Diversified Income Trust 77 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Goldman Sachs International cont.         
$1,680,048  $1,620,678   $—  1/12/42  4.00% (1 month  Synthetic TRS  $(44,628) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,680,048  1,620,678   —  1/12/42  4.00% (1 month  Synthetic TRS  (44,628) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,109,894  1,073,674   —  1/12/41  4.00% (1 month  Synthetic TRS  (26,105) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
960,540  924,220   —  1/12/40  4.00% (1 month  Synthetic TRS  (27,208) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
427,752  413,793   —  1/12/41  4.00% (1 month  Synthetic TRS  (10,061) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
189,053  182,884   —  1/12/41  4.00% (1 month  Synthetic TRS  (4,447) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
18,376  17,776   —  1/12/41  4.00% (1 month  Synthetic TRS  (432) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,209,331  1,146,144   —  1/12/41  4.50% (1 month  Synthetic TRS  (51,522) 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
161,051  152,636   —  1/12/41  4.50% (1 month  Synthetic TRS  (6,861) 
        USD-LIBOR) —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
3,403,639  3,254,293   —  1/12/41  (5.00%) 1 month  Synthetic TRS  113,375 
        USD-LIBOR —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
29,619  28,600   —  1/12/41  5.00% (1 month  Synthetic TRS Index  (708) 
        USD-LIBOR) —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
812,616  801,316   —  1/12/39  6.00% (1 month  Synthetic TRS  (2,015) 
        USD-LIBOR) —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

78 Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
Goldman Sachs International cont.         
$567,293  $559,404   $—  1/12/39  6.00% (1 month  Synthetic TRS  $(1,407) 
        USD-LIBOR) —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
368,832  363,703   —  1/12/39  6.00% (1 month  Synthetic TRS  (915) 
        USD-LIBOR) —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
284,689  280,730   —  1/12/39  6.00% (1 month  Synthetic TRS  (706) 
        USD-LIBOR) —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
90,631  89,370   —  1/12/39  6.00% (1 month  Synthetic TRS  (225) 
        USD-LIBOR) —  Index 6.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
395,712  390,139   —  1/12/38  6.50% (1 month  Synthetic TRS  (1,023) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
304,911  300,617   —  1/12/38  6.50% (1 month  Synthetic TRS  (788) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
203,857  200,986   —  1/12/38  6.50% (1 month  Synthetic TRS  (527) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
1,168  1,152   —  1/12/38  6.50% (1 month  Synthetic TRS  (3) 
        USD-LIBOR) —  Index 6.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
JPMorgan Chase Bank N.A.           
2,487,222  2,406,054   —  1/12/41  4.00% (1 month  Synthetic TRS  (58,500) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
315,719  305,416   —  1/12/41  4.00% (1 month  Synthetic TRS  (7,426) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
3,403,639  3,254,293   —  1/12/41  (5.00%) 1 month  Synthetic TRS  113,375 
        USD-LIBOR —  Index 5.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   

 

Diversified Income Trust 79 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont.   
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
Swap counterparty/    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
JPMorgan Securities LLC           
$3,605,578  $3,481,597  $—  1/12/41  (5.00%) 1 month  Synthetic MBX Index  $86,239 
        USD-LIBOR —  5.00% 30 year Ginnie   
        Monthly  Mae II pools —   
          Monthly   
1,322,648  1,269,067   —  1/12/44  4.00% (1 month  Synthetic TRS  (42,005) 
        USD-LIBOR) —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
8,247,280  7,955,835   —  1/12/42  (4.00%) 1 month  Synthetic TRS  219,079 
        USD-LIBOR —  Index 4.00% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
472,031  447,367   —  1/12/41  (4.50%) 1 month  Synthetic TRS  20,110 
        USD-LIBOR —  Index 4.50% 30 year   
        Monthly  Fannie Mae pools —   
          Monthly   
Upfront premium received   —    Unrealized appreciation  2,206,796 
Upfront premium (paid)   —    Unrealized (depreciation)  (2,446,978) 
Total    $—    Total    $(240,182) 

 

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) 
      Upfront         
      premium  Termina-  Payments  Total return  Unrealized 
      received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
EUR  103,678,000  $7,866,935  $—  7/15/37  1.71% — At  Eurostat Eurozone  $7,866,935 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  64,796,000  4,777,143  (1,563)  8/15/37  1.7138% — At  Eurostat Eurozone  4,775,580 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  51,832,000  4,056,140  (1,251)  9/15/37  1.735% — At  Eurostat Eurozone  4,054,889 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  38,876,000  2,827,312  (938)  8/15/37  1.71% — At  Eurostat Eurozone  2,826,374 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  38,876,000  1,125,029  (505)  8/15/27  (1.42%) — At  Eurostat Eurozone  (1,125,534) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  51,832,000  1,646,481  (667)  9/15/27  (1.4475%) — At  Eurostat Eurozone  (1,647,148) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   

 

80 Diversified Income Trust 

 


CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
      Upfront         
      premium  Termina-  Payments  Total return  Unrealized 
      received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
EUR  64,796,000  $1,936,253  $(834)  8/15/27  (1.4275%) — At  Eurostat Eurozone  $(1,937,087) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  103,678,000  3,007,539   —  7/15/27  (1.40%) — At  Eurostat Eurozone  (3,007,539) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  114,037,000  3,029,041  (1,328)  9/15/23  (1.4375%) — At  Eurostat Eurozone  (3,030,370) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  114,037,000  3,054,626  (1,335)  9/15/23  (1.44125%) — At  Eurostat Eurozone  (3,055,961) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  114,037,000  3,063,196  (1,343)  9/15/23  (1.4425%) — At  Eurostat Eurozone  (3,064,539) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
EUR  114,037,000  3,071,767  (1,341)  9/15/23  (1.44375%) — At  Eurostat Eurozone  (3,073,108) 
          maturity  HICP excluding   
            tobacco — At   
            maturity   
GBP  51,907,000  1,900,548  (1,109)  12/15/28  3.665% — At  GBP Non-revised UK  1,899,438 
          maturity  Retail Price Index —   
            At maturity   
GBP  14,535,000  66,107  (339)  3/15/28  3.3875% — At  GBP Non-revised UK  (66,446) 
          maturity  Retail Price Index —   
            At maturity   
GBP  40,490,000  85,855  (937)  3/15/28  3.4025% — At  GBP Non-revised UK  (86,791) 
          maturity  Retail Price Index —   
            At maturity   
GBP  31,146,000  228,915  (728)  2/15/28  3.34% — At  GBP Non-revised UK  (229,643) 
          maturity  Retail Price Index —   
            At maturity   
GBP  58,136,000  710,171  (1,369)  3/15/28  3.34% — At  GBP Non-revised UK  (711,540) 
          maturity  Retail Price Index —   
            At maturity   
  $46,655,000  761,736  (504)  12/6/27  2.19% — At  USA Non Revised  761,233 
          maturity  Consumer Price   
            Index-Urban   
            (CPI-U) — At   
            maturity   
  46,655,000  756,511  (504)  12/21/27  2.1939% — At  USA Non Revised  756,007 
          maturity  Consumer Price   
            Index-Urban   
            (CPI-U) — At   
            maturity   

 

Diversified Income Trust 81 

 


CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/19 (Unaudited) cont. 
    Upfront         
    premium  Termina-  Payments  Total return  Unrealized 
    received  tion  received (paid)  received by  appreciation/ 
Notional amount  Value  (paid)  date  by fund  or paid by fund  (depreciation) 
$41,902,000  $216,801   $—  7/3/27  2.085% — At  USA Non Revised  $216,801 
        maturity  Consumer Price   
          Index-Urban   
          (CPI-U) — At   
          maturity   
48,213,000  129,500   —  7/5/22  (1.89%) — At  USA Non Revised  129,500 
        maturity  Consumer Price   
          Index-Urban   
          (CPI-U) — At   
          maturity   
48,213,000  73,139   —  7/5/27  2.05% — At  USA Non Revised  73,139 
        maturity  Consumer Price   
          Index-Urban   
          (CPI-U) — At   
          maturity   
41,902,000  39,472   —  7/3/22  (1.9225%) — At  USA Non Revised  39,472 
        maturity  Consumer Price   
          Index-Urban   
          (CPI-U) — At   
          maturity   
46,655,000  345,200  (285)  12/6/22  (2.05%) — At  USA Non Revised  (345,485) 
        maturity  Consumer Price   
          Index-Urban   
          (CPI-U) — At   
          maturity   
46,655,000  369,974  (285)  12/21/22  (2.068%) — At  USA Non Revised  (370,259) 
        maturity  Consumer Price   
          Index-Urban   
          (CPI-U) — At   
          maturity   
Total    $(17,165)        $1,647,918 

 

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Bank of America N.A.             
CMBX NA BBB–.6  BBB–/P  $39,713  $581,000  $73,787  5/11/63  300 bp —  $(33,735) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  79,608  1,321,000  167,767  5/11/63  300 bp —  (87,389) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  163,473  2,648,000  336,296  5/11/63  300 bp —  (171,279) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  155,838  2,734,000  347,218  5/11/63  300 bp —  (189,785) 
Index            Monthly   

 

82 Diversified Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Citigroup Global Markets, Inc.             
CMBX NA BB.6  BB/P  $868,262  $4,582,000  $1,067,148  5/11/63  500 bp —  $(194,431) 
Index            Monthly   
CMBX NA BB.6  BB/P  1,708,890  6,943,000  1,617,025  5/11/63  500 bp —  98,615 
Index            Monthly   
CMBX NA BB.7  BB/P  111,486  923,000  109,745  1/17/47  500 bp —  2,254 
Index            Monthly   
CMBX NA BB.7  BB/P  243,130  1,751,000  208,194  1/17/47  500 bp —  36,638 
Index            Monthly   
CMBX NA BB.7  BB/P  464,777  3,616,000  429,942  1/17/47  500 bp —  38,349 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  418  3,000  381  5/11/63  300 bp —  38 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  417  3,000  381  5/11/63  300 bp —  38 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,252  9,000  1,143  5/11/63  300 bp —  115 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  2,137  15,000  1,905  5/11/63  300 bp —  240 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  25,803  187,000  23,749  5/11/63  300 bp —  2,163 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  68,108  607,000  77,089  5/11/63  300 bp —  (8,627) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  78,335  634,000  80,518  5/11/63  300 bp —  (1,813) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  96,418  709,000  90,043  5/11/63  300 bp —  6,788 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  78,362  738,000  93,726  5/11/63  300 bp —  (14,934) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  79,115  738,000  93,726  5/11/63  300 bp —  (14,180) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  235,216  1,786,000  226,822  5/11/63  300 bp —  9,435 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  318,938  1,950,000  247,650  5/11/63  300 bp —  72,425 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  186,272  1,951,000  247,777  5/11/63  300 bp —  (60,367) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  270,405  1,990,000  252,730  5/11/63  300 bp —  18,836 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  219,977  1,994,000  253,238  5/11/63  300 bp —  (32,097) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  304,311  2,000,000  254,000  5/11/63  300 bp —  51,477 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  201,586  2,042,000  259,334  5/11/63  300 bp —  (56,556) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  208,008  2,179,000  276,733  5/11/63  300 bp —  (67,454) 
Index            Monthly   

 

Diversified Income Trust 83 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Citigroup Global Markets, Inc. cont.           
CMBX NA BBB–.6  BBB–/P  $256,200  $2,329,000  $295,783  5/11/63  300 bp —  $(38,225) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  246,836  2,497,000  317,119  5/11/63  300 bp —  (68,826) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  294,138  2,571,000  326,517  5/11/63  300 bp —  (30,879) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  344,655  3,445,000  437,515  5/11/63  300 bp —  (90,850) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  384,246  3,493,000  443,611  5/11/63  300 bp —  (57,328) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  527,665  3,539,000  449,453  5/11/63  300 bp —  80,276 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  568,937  3,867,000  491,109  5/11/63  300 bp —  80,084 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  572,271  3,867,000  491,109  5/11/63  300 bp —  83,418 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  480,133  4,724,000  599,948  5/11/63  300 bp —  (117,059) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  551,021  4,922,000  625,094  5/11/63  300 bp —  (71,202) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  593,742  5,141,000  652,907  5/11/63  300 bp —  (56,165) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  744,924  7,214,000  916,178  5/11/63  300 bp —  (167,047) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  770,552  7,223,000  917,321  5/11/63  300 bp —  (142,555) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,919,140  14,182,000  1,801,114  5/11/63  300 bp —  126,299 
Index            Monthly   
Credit Suisse International             
CMBX NA BBB–.6  BBB–/P  354,247  2,535,000  321,945  5/11/63  300 bp —  33,780 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  502,529  3,445,000  437,515  5/11/63  300 bp —  67,024 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  964,069  6,609,000  839,343  5/11/63  300 bp —  128,581 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,165,637  7,518,000  954,786  5/11/63  300 bp —  215,236 
Index            Monthly   
CMBX NA BB.7  BB/P  369,046  2,759,000  328,045  1/17/47  500 bp —  43,683 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  51,285  393,000  49,911  5/11/63  300 bp —  1,603 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  77,513  722,000  91,694  5/11/63  300 bp —  (13,759) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  105,954  1,059,000  134,493  5/11/63  300 bp —  (27,920) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  132,319  1,076,000  136,652  5/11/63  300 bp —  (3,705) 
Index            Monthly   

 

84 Diversified Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Credit Suisse International cont.           
CMBX NA BBB–.6  BBB–/P  $153,613  $1,428,000  $181,356  5/11/63  300 bp —  $(26,910) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  221,643  2,195,000  278,765  5/11/63  300 bp —  (55,841) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  216,884  2,229,000  283,083  5/11/63  300 bp —  (64,898) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  300,769  2,465,000  313,055  5/11/63  300 bp —  (10,848) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  502,338  2,968,000  376,936  5/11/63  300 bp —  127,133 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  335,126  3,033,000  385,191  5/11/63  300 bp —  (48,297) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  467,929  3,695,000  469,265  5/11/63  300 bp —  820 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  448,670  3,766,000  478,282  5/11/63  300 bp —  (27,415) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  435,867  3,803,000  482,981  5/11/63  300 bp —  (44,895) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  513,119  3,824,000  485,648  5/11/63  300 bp —  29,701 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  436,566  3,880,000  492,760  5/11/63  300 bp —  (53,930) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  382,703  4,035,000  512,445  5/11/63  300 bp —  (127,389) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  475,517  4,325,000  549,275  5/11/63  300 bp —  (71,236) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  512,135  4,635,000  588,645  5/11/63  300 bp —  (73,807) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  645,861  4,705,000  597,535  5/11/63  300 bp —  51,070 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  591,759  5,097,000  647,319  5/11/63  300 bp —  (52,587) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  510,667  5,381,000  683,387  5/11/63  300 bp —  (169,582) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  600,304  5,665,000  719,455  5/11/63  300 bp —  (115,847) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  563,040  5,742,000  729,234  5/11/63  300 bp —  (162,844) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  939,219  6,225,000  790,575  5/11/63  300 bp —  152,275 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  809,049  6,650,000  844,550  5/11/63  300 bp —  (31,622) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  718,653  7,502,000  952,754  5/11/63  300 bp —  (229,725) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  868,470  7,763,000  985,901  5/11/63  300 bp —  (112,902) 
Index            Monthly   

 

Diversified Income Trust 85 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Credit Suisse International cont.           
CMBX NA BBB–.6  BBB–/P  $2,347,820  $15,561,000  $1,976,247  5/11/63  300 bp —  $380,651 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  2,362,869  21,724,000  2,758,948  5/11/63  300 bp —  (383,406) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  5,056,924  47,296,000  6,006,592  5/11/63  300 bp —  (922,078) 
Index            Monthly   
CMBX NA BBB–.7  BBB–/P  4,542,069  61,450,000  2,832,845  1/17/47  300 bp —  1,745,069 
Index            Monthly   
Deutsche Bank AG               
CMBX NA BBB–.6  BBB–/P  54,693  513,000  65,151  5/11/63  300 bp —  (10,159) 
Index            Monthly   
Goldman Sachs International             
CMBX NA BBB–.6  BBB–/P  350,890  2,265,000  287,655  5/11/63  300 bp —  64,556 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  4,131  29,000  3,683  5/11/63  300 bp —  465 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  30,859  633,000  80,391  5/11/63  300 bp —  (49,163) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  112,874  813,000  103,251  5/11/63  300 bp —  10,097 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  101,718  1,174,000  149,098  5/11/63  300 bp —  (46,696) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  105,653  1,252,000  159,004  5/11/63  300 bp —  (52,620) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  157,809  1,410,000  179,070  5/11/63  300 bp —  (20,438) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  184,883  1,672,000  212,344  5/11/63  300 bp —  (26,486) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  156,201  1,851,000  235,077  5/11/63  300 bp —  (77,796) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  153,735  1,855,000  235,585  5/11/63  300 bp —  (80,768) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  211,483  1,898,000  241,046  5/11/63  300 bp —  (28,456) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  222,998  2,053,000  260,731  5/11/63  300 bp —  (36,535) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  222,137  2,053,000  260,731  5/11/63  300 bp —  (37,396) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  251,962  2,258,000  286,766  5/11/63  300 bp —  (33,487) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  251,962  2,258,000  286,766  5/11/63  300 bp —  (33,487) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  111,130  2,297,000  291,719  5/11/63  300 bp —  (179,249) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  267,527  2,431,000  308,737  5/11/63  300 bp —  (39,792) 
Index            Monthly   

 

86 Diversified Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Goldman Sachs International cont.           
CMBX NA BBB–.6  BBB–/P  $193,626  $2,447,000  $310,769  5/11/63  300 bp —  $(115,716) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  292,059  2,489,000  316,103  5/11/63  300 bp —  (22,592) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  416,852  3,062,000  388,874  5/11/63  300 bp —  29,764 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  156,347  3,152,000  400,304  5/11/63  300 bp —  (242,118) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  164,933  3,162,000  401,574  5/11/63  300 bp —  (234,797) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  333,997  3,174,000  403,098  5/11/63  300 bp —  (67,249) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  484,654  3,296,000  418,592  5/11/63  300 bp —  67,985 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  376,979  3,482,000  442,214  5/11/63  300 bp —  (63,203) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  179,679  3,660,000  464,820  5/11/63  300 bp —  (283,006) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  597,823  3,894,000  494,538  5/11/63  300 bp —  105,556 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  459,364  4,109,000  521,843  5/11/63  300 bp —  (60,083) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  718,374  4,321,000  548,767  5/11/63  300 bp —  172,128 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  557,835  4,800,000  609,600  5/11/63  300 bp —  (48,965) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  333,479  4,895,000  621,665  5/11/63  300 bp —  (285,331) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  530,599  5,080,000  645,160  5/11/63  300 bp —  (111,597) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  612,683  6,103,000  775,081  5/11/63  300 bp —  (158,839) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  947,810  6,289,000  798,703  5/11/63  300 bp —  152,775 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  944,996  6,338,000  804,926  5/11/63  300 bp —  143,767 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  771,573  6,999,000  888,873  5/11/63  300 bp —  (113,218) 
Index            Monthly   
CMBX NA BBB–.7  BBB–/P  77,611  1,050,000  48,405  1/17/47  300 bp —  29,818 
Index            Monthly   
CMBX NA BBB–.7  BBB–/P  757,257  6,545,000  301,725  1/17/47  300 bp —  459,350 
Index            Monthly   
JPMorgan Securities LLC             
CMBX NA BB.6  BB/P  442,744  2,090,000  486,761  5/11/63  500 bp —  (41,984) 
Index            Monthly   
CMBX NA BB.6  BB/P  480,235  2,269,000  528,450  5/11/63  500 bp —  (46,009) 
Index            Monthly   

 

Diversified Income Trust 87 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
JPMorgan Securities LLC cont.           
CMBX NA BB.6  BB/P  $569,641  $2,706,000  $630,227  5/11/63  500 bp —  $(57,956) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  30,320  248,000  31,496  5/11/63  300 bp —  (1,032) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  216,355  1,772,000  225,044  5/11/63  300 bp —  (7,655) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  441,528  3,576,000  454,152  5/11/63  300 bp —  (10,538) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  30,384,309  229,672,000  29,168,344  5/11/63  300 bp —  1,349,950 
Index            Monthly   
Merrill Lynch International             
CMBX NA BB.6  BB/P  89,730  397,000  92,461  5/11/63  500 bp —  (2,346) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  244,959  1,851,000  235,077  5/11/63  300 bp —  10,961 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  258,050  2,284,000  290,068  5/11/63  300 bp —  (30,686) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  373,454  3,158,000  401,066  5/11/63  300 bp —  (25,770) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  445,853  3,795,000  481,965  5/11/63  300 bp —  (33,898) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  3,313,914  29,579,000  3,756,533  5/11/63  300 bp —  (425,364) 
Index            Monthly   
Morgan Stanley & Co. International PLC           
CMBX NA BBB–.6  BBB–/P  501,916  3,445,000  437,515  5/11/63  300 bp —  66,410 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  509,599  3,448,000  437,896  5/11/63  300 bp —  73,715 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  510,350  3,448,000  437,896  5/11/63  300 bp —  74,466 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  579,452  4,112,000  522,224  5/11/63  300 bp —  59,626 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,007,512  6,890,000  875,030  5/11/63  300 bp —  136,501 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,021,806  6,897,000  875,919  5/11/63  300 bp —  149,910 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,020,850  6,897,000  875,919  5/11/63  300 bp —  148,954 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,104,527  7,985,000  1,014,095  5/11/63  300 bp —  95,090 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,505,842  10,335,000  1,312,545  5/11/63  300 bp —  199,325 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,523,263  10,344,000  1,313,688  5/11/63  300 bp —  215,609 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  2,035,791  13,791,000  1,751,457  5/11/63  300 bp —  292,378 
Index            Monthly   

 

88 Diversified Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Morgan Stanley & Co. International PLC cont.           
CMBX NA A.6  A/P  $3,005  $296,000  $6,512  5/11/63  200 bp —  $(3,391) 
Index            Monthly   
CMBX NA BB.6  BB/P  548,361  2,233,000  520,066  5/11/63  500 bp —  30,467 
Index            Monthly   
CMBX NA BB.6  BB/P  1,100,225  4,465,000  1,039,899  5/11/63  500 bp —  64,668 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,720  12,000  1,524  5/11/63  300 bp —  203 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  2,483  16,000  2,032  5/11/63  300 bp —  461 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  5,709  39,000  4,953  5/11/63  300 bp —  779 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  7,302  48,000  6,096  5/11/63  300 bp —  1,234 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  7,344  62,000  7,874  5/11/63  300 bp —  (493) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  8,480  70,000  8,890  5/11/63  300 bp —  (370) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  15,277  114,000  14,478  5/11/63  300 bp —  866 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  21,348  142,000  18,034  5/11/63  300 bp —  3,397 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  22,071  178,000  22,606  5/11/63  300 bp —  (431) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  24,911  178,000  22,606  5/11/63  300 bp —  2,409 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  25,678  187,000  23,749  5/11/63  300 bp —  2,038 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  29,021  207,000  26,289  5/11/63  300 bp —  2,853 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  28,786  267,000  33,909  5/11/63  300 bp —  (4,968) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  52,152  375,000  47,625  5/11/63  300 bp —  4,746 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  42,424  397,000  50,419  5/11/63  300 bp —  (7,763) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  52,320  492,000  62,484  5/11/63  300 bp —  (9,877) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  71,095  531,000  67,437  5/11/63  300 bp —  3,968 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  65,920  544,000  69,088  5/11/63  300 bp —  (2,851) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  70,040  578,000  73,406  5/11/63  300 bp —  (3,029) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  73,771  697,000  88,519  5/11/63  300 bp —  (14,341) 
Index            Monthly   

 

Diversified Income Trust 89 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/19 (Unaudited) cont. 
    Upfront           
    premium      Termi-  Payments  Unrealized 
Swap counterparty/    received  Notional    nation  received  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  Value  date  by fund  (depreciation) 
Morgan Stanley & Co. International PLC cont.           
CMBX NA BBB–.6  BBB–/P  $106,576  $796,000  $101,092  5/11/63  300 bp —  $5,948 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  90,845  863,000  109,601  5/11/63  300 bp —  (18,253) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  140,883  1,150,000  146,050  5/11/63  300 bp —  (4,496) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  147,979  1,257,000  159,639  5/11/63  300 bp —  (10,926) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  212,787  1,638,000  208,026  5/11/63  300 bp —  5,716 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  230,812  2,026,000  257,302  5/11/63  300 bp —  (25,309) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  213,533  2,235,000  283,845  5/11/63  300 bp —  (69,008) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  293,686  2,384,000  302,768  5/11/63  300 bp —  (7,691) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  331,630  2,802,000  355,854  5/11/63  300 bp —  (22,590) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  366,534  2,866,000  363,982  5/11/63  300 bp —  4,224 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  340,681  2,903,000  368,681  5/11/63  300 bp —  (26,307) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  635,795  3,751,000  476,377  5/11/63  300 bp —  161,606 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  489,045  4,265,000  541,655  5/11/63  300 bp —  (50,123) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  420,027  4,302,000  546,354  5/11/63  300 bp —  (123,816) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  666,750  5,020,000  637,540  5/11/63  300 bp —  32,138 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  592,283  5,234,000  664,718  5/11/63  300 bp —  (69,382) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  798,721  6,238,000  792,226  5/11/63  300 bp —  10,133 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,061,368  7,147,000  907,669  5/11/63  300 bp —  157,868 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  811,780  8,679,000  1,102,233  5/11/63  300 bp —  (285,391) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  1,100,883  9,085,000  1,153,795  5/11/63  300 bp —  (47,612) 
Index            Monthly   
CMBX NA BBB–.6  BBB–/P  2,318,670  15,564,000  1,976,628  5/11/63  300 bp —  351,121 
Index            Monthly   
Upfront premium received  119,270,783    Unrealized appreciation    8,640,113 
Upfront premium (paid)   —    Unrealized (depreciation)    (8,655,124) 
Total    $119,270,783  Total    $(15,011) 

 

90 Diversified Income Trust 

 


* Payments related to the referenced debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2019. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/19 (Unaudited) 
  Upfront           
  premium      Termi-  Payments  Unrealized 
Swap counterparty/  received  Notional    nation  (paid)  appreciation/ 
Referenced debt*  (paid)**  amount  Value  date  by fund  (depreciation) 
Citigroup Global Markets, Inc.             
CMBX NA A.6 Index  $(2,774)  $296,000  $6,512  5/11/63  (200 bp) —  $3,624 
          Monthly   
CMBX NA BB.11 Index  (619,427)  4,781,000  607,187  11/18/54  (500 bp) —  (14,897) 
          Monthly   
CMBX NA BB.8 Index  (176)  1,000  166  10/17/57  (500 bp) —  (10) 
          Monthly   
CMBX NA BB.9 Index  (672,214)  4,781,000  665,037  9/17/58  (500 bp) —  (9,834) 
          Monthly   
CMBX NA BB.9 Index  (675,694)  4,233,000  588,810  9/17/58  (500 bp) —  (90,999) 
          Monthly   
CMBX NA BB.9 Index  (556,756)  3,616,000  502,986  9/17/58  (500 bp) —  (57,286) 
          Monthly   
CMBX NA BB.9 Index  (545,625)  3,542,000  492,692  9/17/58  (500 bp) —  (56,376) 
          Monthly   
CMBX NA BB.9 Index  (548,086)  3,542,000  492,692  9/17/58  (500 bp) —  (58,837) 
          Monthly   
CMBX NA BB.9 Index  (414,936)  3,192,000  444,007  9/17/58  (500 bp) —  25,968 
          Monthly   
CMBX NA BB.9 Index  (428,946)  3,191,000  443,868  9/17/58  (500 bp) —  12,263 
          Monthly   
CMBX NA BB.9 Index  (275,532)  1,760,000  244,816  9/17/58  (500 bp) —  (32,427) 
          Monthly   
Credit Suisse International             
CMBX NA BB.10 Index  (467,516)  3,504,000  410,669  11/17/59  (500 bp) —  (60,255) 
          Monthly   
CMBX NA BB.10 Index  (415,378)  3,493,000  409,380  11/17/59  (500 bp) —  (9,394) 
          Monthly   
CMBX NA BB.10 Index  (227,964)  1,834,000  214,945  11/17/59  (500 bp) —  (14,802) 
          Monthly   
CMBX NA BB.7 Index  (246,348)  13,957,000  3,250,585  5/11/63  (500 bp) —  2,990,668 
          Monthly   
CMBX NA BB.8 Index  (350)  2,000  333  10/17/57  (500 bp) —  (20) 
          Monthly   
CMBX NA BB.9 Index  (827,817)  5,186,000  721,373  9/17/58  (500 bp) —  (111,486) 
          Monthly   
CMBX NA BB.9 Index  (591,478)  3,841,000  534,283  9/17/58  (500 bp) —  (60,929) 
          Monthly   
CMBX NA BB.9 Index  (483,842)  3,102,000  431,488  9/17/58  (500 bp) —  (55,369) 
          Monthly   

 

Diversified Income Trust 91 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/19 (Unaudited) cont. 
  Upfront           
  premium      Termi-  Payments  Unrealized 
Swap counterparty/  received  Notional    nation  (paid)  appreciation/ 
Referenced debt*  (paid)**  amount  Value  date  by fund  (depreciation) 
Credit Suisse International cont.           
CMBX NA BB.9 Index  $(483,842)  $3,102,000  $431,488  9/17/58  (500 bp) —  $(55,369) 
          Monthly   
CMBX NA BB.9 Index  (417,767)  2,918,000  405,894  9/17/58  (500 bp) —  (14,710) 
          Monthly   
CMBX NA BB.9 Index  (352,544)  2,254,000  313,531  9/17/58  (500 bp) —  (41,204) 
          Monthly   
CMBX NA BB.9 Index  (281,507)  1,834,000  255,109  9/17/58  (500 bp) —  (28,181) 
          Monthly   
CMBX NA BB.9 Index  (265,182)  1,750,000  243,425  9/17/58  (500 bp) —  (23,459) 
          Monthly   
CMBX NA BBB–.7 Index  (83,041)  1,059,000  48,820  1/17/47  (300 bp) —  (34,839) 
          Monthly   
Goldman Sachs International             
CMBX NA BB.6 Index  (1,062,480)  10,386,000  2,418,899  5/11/63  (500 bp) —  1,346,322 
          Monthly   
CMBX NA BB.7 Index  (605)  4,000  476  1/17/47  (500 bp) —  (134) 
          Monthly   
CMBX NA BB.7 Index  (406,660)  2,482,000  295,110  1/17/47  (500 bp) —  (113,963) 
          Monthly   
CMBX NA BB.7 Index  (349,448)  1,721,000  204,627  1/17/47  (500 bp) —  (146,495) 
          Monthly   
CMBX NA BB.7 Index  (224,362)  1,229,000  146,128  1/17/47  (500 bp) —  (79,429) 
          Monthly   
CMBX NA BB.9 Index  (356,757)  2,241,000  311,723  9/17/58  (500 bp) —  (47,213) 
          Monthly   
CMBX NA BB.9 Index  (164,938)  1,044,000  145,220  9/17/58  (500 bp) —  (20,732) 
          Monthly   
CMBX NA BB.9 Index  (166,438)  1,042,000  144,942  9/17/58  (500 bp) —  (22,509) 
          Monthly   
CMBX NA BBB–.7 Index  (410,020)  5,000,000  230,500  1/17/47  (300 bp) —  (182,437) 
          Monthly   
JPMorgan Securities LLC             
CMBX NA BB.6 Index  (136,446)  569,000  132,520  5/11/63  (500 bp) —  (4,479) 
          Monthly   
CMBX NA BB.6 Index  (135,007)  563,000  131,123  5/11/63  (500 bp) —  (4,432) 
          Monthly   
CMBX NA BB.6 Index  (128,533)  536,000  124,834  5/11/63  (500 bp) —  (4,220) 
          Monthly   
CMBX NA BB.7 Index  (4,863,035)  38,428,000  4,569,089  1/17/47  (500 bp) —  (331,307) 
          Monthly   
CMBX NA BB.9 Index  (503,334)  3,189,000  443,590  9/17/58  (500 bp) —  (62,845) 
          Monthly   
CMBX NA BB.9 Index  (358,651)  2,534,000  352,479  9/17/58  (500 bp) —  (8,636) 
          Monthly   
CMBX NA BB.9 Index  (248,369)  1,592,000  221,447  9/17/58  (500 bp) —  (28,470) 
          Monthly   

 

92 Diversified Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/19 (Unaudited) cont. 
  Upfront           
  premium      Termi-  Payments  Unrealized 
Swap counterparty/  received  Notional    nation  (paid)  appreciation/ 
Referenced debt*  (paid)**  amount  Value  date  by fund  (depreciation) 
JPMorgan Securities LLC cont.             
CMBX NA BB.9 Index  $(220,460)  $1,561,000  $217,135  9/17/58  (500 bp) —  $(4,842) 
          Monthly   
CMBX NA BB.9 Index  (45,843)  299,000  41,591  9/17/58  (500 bp) —  (4,543) 
          Monthly   
CMBX NA BBB–.7 Index  (723,701)  19,073,000  879,265  1/17/47  (300 bp) —  144,439 
          Monthly   
Merrill Lynch International             
CMBX NA BB.10 Index  (189,836)  1,597,000  187,168  11/17/59  (500 bp) —  (3,555) 
          Monthly   
CMBX NA BB.7 Index  (680,218)  3,921,000  466,207  1/17/47  (500 bp) —  (217,823) 
          Monthly   
CMBX NA BB.9 Index  (1,678,572)  10,732,000  1,492,821  9/17/58  (500 bp) —  (196,185) 
          Monthly   
CMBX NA BB.9 Index  (408,677)  2,671,000  371,536  9/17/58  (500 bp) —  (39,738) 
          Monthly   
CMBX NA BB.9 Index  (383,646)  2,620,000  364,442  9/17/58  (500 bp) —  (21,751) 
          Monthly   
CMBX NA BB.9 Index  (365,246)  2,479,000  344,829  9/17/58  (500 bp) —  (22,828) 
          Monthly   
CMBX NA BB.9 Index  (385,583)  2,457,000  341,769  9/17/58  (500 bp) —  (46,202) 
          Monthly   
CMBX NA BB.9 Index  (209,063)  1,597,000  222,143  9/17/58  (500 bp) —  11,527 
          Monthly   
CMBX NA BBB–.7 Index  (89,077)  1,087,000  50,111  1/17/47  (300 bp) —  (39,600) 
          Monthly   
Morgan Stanley & Co. International PLC           
CMBX NA BBB–.7 Index  (7,132)  70,000  3,227  1/17/47  (300 bp) —  (3,946) 
          Monthly   
CMBX NA BB.7 Index  (884,864)  4,400,000  523,160  1/17/47  (500 bp) —  (365,982) 
          Monthly   
CMBX NA BB.7 Index  (808,291)  4,005,000  476,195  1/17/47  (500 bp) —  (335,990) 
          Monthly   
CMBX NA BB.7 Index  (757,432)  3,928,000  467,039  1/17/47  (500 bp) —  (294,212) 
          Monthly   
CMBX NA BB.7 Index  (372,184)  1,989,000  236,492  1/17/47  (500 bp) —  (137,625) 
          Monthly   
CMBX NA BB.9 Index  (318,081)  2,115,000  294,197  9/17/58  (500 bp) —  (25,940) 
          Monthly   
CMBX NA BB.9 Index  (255,968)  1,923,000  267,489  9/17/58  (500 bp) —  9,651 
          Monthly   
CMBX NA BB.9 Index  (258,098)  1,900,000  264,290  9/17/58  (500 bp) —  4,346 
          Monthly   
CMBX NA BB.9 Index  (268,247)  1,862,000  259,004  9/17/58  (500 bp) —  (11,053) 
          Monthly   
CMBX NA BB.9 Index  (250,750)  1,834,000  255,109  9/17/58  (500 bp) —  2,576 
          Monthly   

 

Diversified Income Trust 93 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/19 (Unaudited) cont. 
  Upfront           
  premium      Termi-  Payments  Unrealized 
Swap counterparty/  received  Notional    nation  (paid)  appreciation/ 
Referenced debt*  (paid)**  amount  Value  date  by fund  (depreciation) 
Morgan Stanley & Co. International PLC cont.           
CMBX NA BB.9 Index  $(273,099)  $1,810,000  $251,771  9/17/58  (500 bp) —  $(23,088) 
          Monthly   
CMBX NA BB.9 Index  (273,908)  1,760,000  244,816  9/17/58  (500 bp) —  (30,803) 
          Monthly   
CMBX NA BB.9 Index  (134,108)  886,000  123,243  9/17/58  (500 bp) —  (11,726) 
          Monthly   
CMBX NA BB.9 Index  (134,108)  886,000  123,243  9/17/58  (500 bp) —  (11,726) 
          Monthly   
CMBX NA BBB–.7 Index  (187,298)  2,950,000  135,995  1/17/47  (300 bp) —  (53,024) 
          Monthly   
Upfront premium received   —    Unrealized appreciation    4,551,384 
Upfront premium (paid)  (29,963,315)    Unrealized (depreciation)    (3,790,166) 
Total  $(29,963,315)  Total    $761,218 

 

* 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.

CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED 
at 3/31/19 (Unaudited)           
  Upfront           
  premium      Termi-  Payments  Unrealized 
Referenced  received  Notional    nation  (paid)  appreciation/ 
debt*  (paid)**  amount  Value  date  by fund  (depreciation) 
NA HY Series 32  $8,881,429  $148,820,000  $9,891,321  6/20/24  (500 bp) —  $(1,092,570) 
Index          Quarterly   
Total  $8,881,429          $(1,092,570) 

 

* 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.

94 Diversified Income Trust 

 


ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

      Valuation inputs  
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks*:       
Energy  $—­  $—­  $517,703 
Total common stocks  —­  —­  517,703 
Asset-backed securities  —­  7,329,948  —­ 
Convertible bonds and notes  —­  75,839,178  —­ 
Corporate bonds and notes  —­  973,719,486  373 
Foreign government and agency bonds and notes  —­  440,812,184  —­ 
Mortgage-backed securities  —­  1,565,386,814  —­ 
Purchased options outstanding  —­  7,014,483  —­ 
Purchased swap options outstanding  —­  118,251,464  —­ 
Senior loans  —­  55,133,052  —­ 
U.S. government and agency mortgage obligations  —­  1,052,912,238  —­ 
U.S. treasury obligations  —­  1,550,292  —­ 
Short-term investments  243,305,214  827,573,639  —­ 
Totals by level  $243,305,214  $5,125,522,778  $518,076 
 
      Valuation inputs  
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—­  $9,651,068  $—­ 
Futures contracts  560,076  —­  —­ 
Written options outstanding  —­  (2,947,614)  —­ 
Written swap options outstanding  —­  (106,194,351)  —­ 
Forward premium swap option contracts  —­  (9,230,031)  —­ 
TBA sale commitments  —­  (131,361,013)  —­ 
Interest rate swap contracts  —­  (15,673,968)  —­ 
Total return swap contracts  —­  1,424,901  —­ 
Credit default contracts  —­  (98,535,260)  —­ 
Totals by level  $560,076  $(352,866,268)  $—­ 

 

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.

At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.

The accompanying notes are an integral part of these financial statements.

Diversified Income Trust 95 

 


Statement of assets and liabilities 3/31/19 (Unaudited)

ASSETS   
Investment in securities, at value (Notes 1 and 9):   
Unaffiliated issuers (identified cost $5,173,584,975)  $5,141,342,854 
Affiliated issuers (identified cost $228,003,214) (Note 5)  228,003,214 
Foreign currency (cost $1,711,352) (Note 1)  1,643,863 
Interest and other receivables  42,726,410 
Receivable for shares of the fund sold  12,033,702 
Receivable for investments sold  24,410,761 
Receivable for sales of TBA securities (Note 1)  129,960,702 
Receivable for variation margin on futures contracts (Note 1)  373,702 
Receivable for variation margin on centrally cleared swap contracts (Note 1)  492,766,547 
Unrealized appreciation on forward premium swap option contracts (Note 1)  10,873,301 
Unrealized appreciation on forward currency contracts (Note 1)  19,748,194 
Unrealized appreciation on OTC swap contracts (Note 1)  16,064,958 
Premium paid on OTC swap contracts (Note 1)  29,963,315 
Prepaid assets  158,363 
Total assets  6,150,069,886 
 
LIABILITIES   
Payable to custodian  3,292,086 
Payable for investments purchased  17,992,536 
Payable for purchases of delayed delivery securities (Note 1)  5,933,882 
Payable for purchases of TBA securities (Note 1)  999,569,457 
Payable for shares of the fund repurchased  10,803,867 
Payable for compensation of Manager (Note 2)  1,928,004 
Payable for custodian fees (Note 2)  272,933 
Payable for investor servicing fees (Note 2)  959,706 
Payable for Trustee compensation and expenses (Note 2)  969,136 
Payable for administrative services (Note 2)  24,046 
Payable for distribution fees (Note 2)  1,226,874 
Payable for variation margin on futures contracts (Note 1)  379,790 
Payable for variation margin on centrally cleared swap contracts (Note 1)  488,060,644 
Unrealized depreciation on OTC swap contracts (Note 1)  14,892,268 
Premium received on OTC swap contracts (Note 1)  119,270,783 
Unrealized depreciation on forward currency contracts (Note 1)  10,097,126 
Unrealized depreciation on forward premium swap option contracts (Note 1)  20,103,332 
Written options outstanding, at value (premiums $104,462,045) (Note 1)  109,141,965 
TBA sale commitments, at value (proceeds receivable $129,844,160) (Note 1)  131,361,013 
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9)  22,656,023 
Other accrued expenses  483,022 
Total liabilities  1,959,418,493 
 
Net assets  $4,190,651,393 

 

(Continued on next page)

96 Diversified Income Trust 

 


Statement of assets and liabilities cont.

REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $5,302,026,955 
Total distributable earnings (Note 1)  (1,111,375,562) 
Total — Representing net assets applicable to capital shares outstanding  $4,190,651,393 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($1,123,513,169 divided by 163,776,616 shares)  $6.86 
Offering price per class A share (100/96.00 of $6.86)*  $7.15 
Net asset value and offering price per class B share ($23,378,089 divided by 3,447,242 shares)**  $6.78 
Net asset value and offering price per class C share ($541,214,348 divided by 80,522,506 shares)**  $6.72 
Net asset value and redemption price per class M share   
($112,664,018 divided by 16,776,040 shares)  $6.72 
Offering price per class M share (100/96.75 of $6.72)†  $6.95 
Net asset value, offering price and redemption price per class R share   
($2,671,281 divided by 395,045 shares)  $6.76 
Net asset value, offering price and redemption price per class R6 share   
($15,761,942 divided by 2,321,747 shares)  $6.79 
Net asset value, offering price and redemption price per class Y share   
($2,371,448,546 divided by 349,514,332 shares)  $6.78 

 

* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

† On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

Diversified Income Trust 97 

 


Statement of operations Six months ended 3/31/19 (Unaudited)

INVESTMENT INCOME   
Interest (net of foreign tax of $103) (including interest income of $2,780,748 from investments   
in affiliated issuers) (Note 5)  $115,401,772 
Total investment income  115,401,772 
 
EXPENSES   
Compensation of Manager (Note 2)  11,574,891 
Investor servicing fees (Note 2)  2,904,626 
Custodian fees (Note 2)  181,294 
Trustee compensation and expenses (Note 2)  93,834 
Distribution fees (Note 2)  4,702,109 
Administrative services (Note 2)  75,395 
Other  738,102 
Total expenses  20,270,251 
Expense reduction (Note 2)  (25,972) 
Net expenses  20,244,279 
 
Net investment income  95,157,493 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized gain (loss) on:   
Securities from unaffiliated issuers (net of foreign tax of $21,681) (Notes 1 and 3)  (56,167,327) 
Net increase from payments by affiliates (Note 2)  1,802 
Foreign currency transactions (Note 1)  165,412 
Forward currency contracts (Note 1)  (4,828,352) 
Futures contracts (Note 1)  (2,370,880) 
Swap contracts (Note 1)  (80,838,298) 
Written options (Note 1)  23,673,134 
Total net realized loss  (120,364,509) 
Change in net unrealized appreciation (depreciation) on:   
Securities from unaffiliated issuers and TBA sale commitments  42,299,284 
Assets and liabilities in foreign currencies  81,223 
Forward currency contracts  6,730,362 
Futures contracts  529,705 
Swap contracts  5,892,958 
Written options  (7,644,167) 
Total change in net unrealized appreciation  47,889,365 
 
Net loss on investments  (72,475,144) 
 
Net increase in net assets resulting from operations  $22,682,349 

 

The accompanying notes are an integral part of these financial statements.

98 Diversified Income Trust 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Six months ended 3/31/19*  Year ended 9/30/18 
Operations     
Net investment income  $95,157,493  $182,529,909 
Net realized gain (loss) on investments     
and foreign currency transactions  (120,364,509)  28,014,013 
Change in net unrealized appreciation (depreciation)     
of investments and assets and liabilities     
in foreign currencies  47,889,365  (69,751,821) 
Net increase in net assets resulting from operations  22,682,349  140,792,101 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (26,675,714)  (68,324,650) 
Class B  (497,115)  (1,661,563) 
Class C  (11,162,463)  (28,216,979) 
Class M  (2,559,105)  (6,514,427) 
Class R  (54,145)  (119,857) 
Class R6  (374,667)  (775,060) 
Class Y  (57,954,134)  (115,343,977) 
Increase (decrease) from capital share transactions (Note 4)  (453,233,653)  1,203,987,274 
Total increase (decrease) in net assets  (529,828,647)  1,123,822,862 
 
NET ASSETS     
Beginning of period  4,720,480,040  3,596,657,178 
End of period  $4,190,651,393  $4,720,480,040 

 

* Unaudited.

The accompanying notes are an integral part of these financial statements.

Diversified Income Trust 99 

 


Financial highlights (For a common share outstanding throughout the period)

  INVESTMENT OPERATIONS LESS DISTRIBUTIONS RATIOS AND SUPPLEMENTAL DATA
                      Ratio   
      Net realized                of net investment   
  Net asset value,    and unrealized  Total from  From      Total return  Net assets,  Ratio of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  net investment  Total  Net asset value,  at net asset value  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  distributions  end of period­  (%)b  (in thousands)  net assets (%)c  net assets (%)  (%)d 
Class A­                         
March 31, 2019**   $6.96­  .15­  (.09)  .06­  (.16)  (.16)  $6.86­  .84*  $1,123,513­  .49*  2.18*  305* 
September 30, 2018­  7.07­  .31­  (.04)  .27­  (.38)  (.38)  6.96­  3.81­  1,293,136­  .98­  4.39­  580­ 
September 30, 2017­  6.86­  .32­  .29­  .61­  (.40)  (.40)  7.07­  9.04­  1,210,996­  .99­  4.54­  937­ 
September 30, 2016­  7.08­  .37­  (.22)  .15­  (.37)  (.37)  6.86­  2.25­  1,238,618­  1.00­e  5.48­e  835­ 
September 30, 2015­  7.89­  .32­  (.79)  (.47)  (.34)  (.34)  7.08­  (6.16)  1,834,125­  .97­  4.22­  725­ 
September 30, 2014­  7.74­  .37­  .20­  .57­  (.42)  (.42)  7.89­  7.49­  2,454,923­  .97­  4.73­  257­ 
Class B­                         
March 31, 2019**   $6.88­  .12­  (.09)  .03­  (.13)  (.13)  $6.78­  .48*  $23,378­  .86*  1.78*  305* 
September 30, 2018­  6.99­  .25­  (.04)  .21­  (.32)  (.32)  6.88­  3.05­  29,465­  1.73­  3.65­  580­ 
September 30, 2017­  6.79­  .26­  .28­  .54­  (.34)  (.34)  6.99­  8.17­  43,182­  1.74­  3.79­  937­ 
September 30, 2016­  7.01­  .32­  (.22)  .10­  (.32)  (.32)  6.79­  1.52­  54,180­  1.75­e  4.74­e  835­ 
September 30, 2015­  7.81­  .26­  (.78)  (.52)  (.28)  (.28)  7.01­  (6.81)  67,948­  1.72­  3.47­  725­ 
September 30, 2014­  7.67­  .31­  .19­  .50­  (.36)  (.36)  7.81­  6.60­  83,980­  1.72­  3.97­  257­ 
Class C­                         
March 31, 2019**   $6.82­  .12­  (.09)  .03­  (.13)  (.13)  $6.72­  .50 *  $541,214­  .86*  1.82*  305* 
September 30, 2018­  6.94­  .25­  (.04)  .21­  (.33)  (.33)  6.82­  3.00­  600,600­  1.73­  3.65­  580­ 
September 30, 2017­  6.75­  .26­  .27­  .53­  (.34)  (.34)  6.94­  8.07­  607,113­  1.74­  3.80­  937­ 
September 30, 2016­  6.96­  .32­  (.21)  .11­  (.32)  (.32)  6.75­  1.68­  649,723­  1.75­e  4.74­e  835­ 
September 30, 2015­  7.76­  .26­  (.78)  (.52)  (.28)  (.28)  6.96­  (6.85)  954,682­  1.72­  3.48­  725­ 
September 30, 2014­  7.62­  .31­  .19­  .50­  (.36)  (.36)  7.76­  6.65­  1,106,389­  1.72­  3.95­  257­ 
Class M­                         
March 31, 2019**   $6.82­  .13­  (.08)  .05­  (.15)  (.15)  $6.72­  .77*  $112,664­  .61*  2.02*  305* 
September 30, 2018­  6.94­  .28­  (.04)  .24­  (.36)  (.36)  6.82­  3.53­  118,582­  1.23­  4.11­  580­ 
September 30, 2017­  6.75­  .29­  .28­  .57­  (.38)  (.38)  6.94­  8.67­  129,640­  1.24­  4.26­  937­ 
September 30, 2016­  6.97­  .35­  (.22)  .13­  (.35)  (.35)  6.75­  2.11­  137,777­  1.25­e  5.21­e  835­ 
September 30, 2015­  7.77­  .29­  (.77)  (.48)  (.32)  (.32)  6.97­  (6.37)  163,795­  1.22­  3.95­  725­ 
September 30, 2014­  7.62­  .35­  .20­  .55­  (.40)  (.40)  7.77­  7.30­  216,512­  1.22­  4.46­  257­ 
Class R­                         
March 31, 2019**   $6.87­  .14­  (.10)  .04­  (.15)  (.15)  $6.76­  .61*  $2,671­  .61*  2.02*  305* 
September 30, 2018­  6.98­  .29­  (.04)  .25­  (.36)  (.36)  6.87­  3.64­  2,404­  1.23­  4.13­  580­ 
September 30, 2017­  6.78­  .30­  .28­  .58­  (.38)  (.38)  6.98­  8.74­  2,559­  1.24­  4.29­  937­ 
September 30, 2016­  7.00­  .35­  (.22)  .13­  (.35)  (.35)  6.78­  2.08­  3,398­  1.25­e  5.26­e  835­ 
September 30, 2015­  7.80­  .30­  (.79)  (.49)  (.31)  (.31)  7.00­  (6.38)  3,786­  1.22­  3.98­  725­ 
September 30, 2014­  7.66­  .35­  .19­  .54­  (.40)  (.40)  7.80­  7.16­  6,444­  1.22­  4.45­  257­ 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

100 Diversified Income Trust  Diversified Income Trust 101 

 


Financial highlights cont.

  INVESTMENT OPERATIONS LESS DISTRIBUTIONS RATIOS AND SUPPLEMENTAL DATA
                      Ratio   
      Net realized                of net investment   
  Net asset value,    and unrealized  Total from  From      Total return  Net assets,  Ratio of expenses  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  net investment  Total  Net asset value,  at net asset value  end of period  to average  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  distributions  end of period­  (%)b  (in thousands)  net assets (%)c  net assets (%)  (%)d 
Class R6­                         
March 31, 2019**   $6.89­  .16­  (.09)  .07­  (.17)  (.17)  $6.79­  1.03*  $15,762­  .32*  2.37*  305* 
September 30, 2018­  7.00­  .33­  (.04)  .29­  (.40)  (.40)  6.89­  4.20­  14,848­  .64­  4.75­  580­ 
September 30, 2017­  6.80­  .34­  .28­  .62­  (.42)  (.42)  7.00­  9.34­  11,032­  .65­  4.90­  937­ 
September 30, 2016­  7.02­  .40­  (.23)  .17­  (.39)  (.39)  6.80­  2.64­  10,097­  .65­e  5.88­e  835­ 
September 30, 2015­  7.82­  .34­  (.78)  (.44)  (.36)  (.36)  7.02­  (5.79)  10,357­  .63­  4.58­  725­ 
September 30, 2014†  7.77­  .36­  .10­  .46­  (.41)  (.41)  7.82­  5.97*  13,592­  .59*  4.52*  257­ 
Class Y­                         
March 31, 2019**   $6.88­  .16­  (.10)  .06­  (.16)  (.16)  $6.78­  .95*  $2,371,449­  .36*  2.34*  305* 
September 30, 2018­  7.00­  .32­  (.05)  .27­  (.39)  (.39)  6.88­  3.95­  2,661,444­  .73­  4.64­  580­ 
September 30, 2017­  6.80­  .33­  .28­  .61­  (.41)  (.41)  7.00­  9.24­  1,592,134­  .74­  4.79­  937­ 
September 30, 2016­  7.01­  .39­  (.22)  .17­  (.38)  (.38)  6.80­  2.66­  966,548­  .75­e  5.73­e  835­ 
September 30, 2015­  7.82­  .34­  (.79)  (.45)  (.36)  (.36)  7.01­  (5.94)  2,219,013­  .72­  4.50­  725­ 
September 30, 2014­  7.68­  .39­  .19­  .58­  (.44)  (.44)  7.82­  7.74­  3,084,286­  .72­  4.93­  257­ 

 

* Not annualized.

** Unaudited.

† For the period November 1, 2013 (commencement of operations) to September 30, 2014.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

d Portfolio turnover includes TBA purchase and sale commitments.

e Reflects a voluntary waiver of certain fund expenses in effect during the period. As a result of such waiver, the expenses of each class reflect a reduction of less than 0.01% as a percentage of average net assets.

The accompanying notes are an integral part of these financial statements.

102 Diversified Income Trust  Diversified Income Trust 103 

 


Notes to financial statements 3/31/19 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2018 through March 31, 2019.

Putnam Diversified Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The goal of the fund is to seek as high a level of current income as Putnam Management believes is consistent with preservation of capital. The fund invests mainly in bonds that are securitized debt instruments (such as mortgage-backed investments) and other obligations of companies and governments worldwide, are either investment-grade or below-investment-grade in quality (sometimes referred to as “junk bonds”) and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses to a significant extent derivatives, such as futures, options, certain foreign currency transactions and swap contracts, for both hedging and non-hedging purposes.

The fund offers class A, class B, class C, class M, class R, class R6 and class Y shares. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A and class M shares are sold with a maximum front-end sales charge of 4.00% and 3.25%, respectively. Class A shares generally are not subject to a contingent deferred sales charge, and class M, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately ten years. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee, and in the case of class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R6 and class Y shares are not available to all investors.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only

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with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.

Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected 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.

Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain

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other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.

Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $162,231,821, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, is recorded on the accrual basis.

All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.

Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses 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.

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Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.

The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”

Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and 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. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.

An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.

The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate

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swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Total return swap contracts The fund entered into OTC 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 in variation margin on the Statement of assets and liabilities and 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts 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 in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty

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risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.

The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.

Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $1,812,732 at the close of the reporting period.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs

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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 $88,200,214 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $90,960,862 and may include amounts related to unsettled agreements.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the overnight LIBOR for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At September 30, 2018, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:

  Loss carryover   
Short-term  Long-term  Total 
$603,140,770  $227,895,989  $831,036,759 

 

Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $5,193,359,989, resulting in gross unrealized appreciation and depreciation of $220,112,497 and $396,432,610, respectively, or net unrealized depreciation of $176,320,113.

110 Diversified Income Trust 

 


Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:

0.700%  of the first $5 billion,  0.500%  of the next $50 billion, 
0.650%  of the next $5 billion,  0.480%  of the next $50 billion, 
0.600%  of the next $10 billion,  0.470%  of the next $100 billion and 
0.550%  of the next $10 billion,  0.465%  of any excess thereafter. 

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.270% of the fund’s average net assets.

Putnam Management has contractually agreed, through January 30, 2020, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.

Putnam Management voluntarily reimbursed the fund $1,802 for a trading error which occurred during the reporting period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Diversified Income Trust 111 

 


Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.

Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.

During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A  $792,030  Class R  1,654 
Class B  17,549  Class R6  3,771 
Class C  385,168  Class Y  1,626,920 
Class M  77,534  Total  $2,904,626 

 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $25,972 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $3,030, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:

  Maximum %  Approved %  Amount 
Class A  0.35%  0.25%  $1,457,610 
Class B  1.00%  1.00%  128,856 
Class C  1.00%  1.00%  2,825,337 
Class M  1.00%  0.50%  284,244 
Class R  1.00%  0.50%  6,062 
Total      $4,702,109 

 

112 Diversified Income Trust 

 


For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $66,011 and $249 from the sale of class A and class M shares, respectively, and received $2,982 and $1,679 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $534 on class A redemptions.

Note 3: Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

  Cost of purchases  Proceeds from sales 
Investments in securities, including TBA commitments (Long-term)  $12,617,565,633  $12,489,200,585 
U.S. government securities (Long-term)  —  — 
Total  $12,617,565,633  $12,489,200,585 

 

The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.

Note 4: Capital shares

At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:

  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class A  Shares  Amount  Shares  Amount 
Shares sold  15,528,513  $106,022,415  72,965,229  $516,229,601 
Shares issued in connection with         
reinvestment of distributions  3,588,625  24,471,117  8,688,773  61,256,940 
  19,117,138  130,493,532  81,654,002  577,486,541 
Shares repurchased  (41,153,429)  (280,039,568)  (67,117,594)  (472,882,462) 
Net increase (decrease)  (22,036,291)  $(149,546,036)  14,536,408  $104,604,079 
 
  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class B  Shares  Amount  Shares  Amount 
Shares sold  85,352  $573,356  172,336  $1,206,444 
Shares issued in connection with         
reinvestment of distributions  65,687  442,915  209,526  1,462,132 
  151,039  1,016,271  381,862  2,668,576 
Shares repurchased  (985,089)  (6,665,336)  (2,273,908)  (15,896,574) 
Net decrease  (834,050)  $(5,649,065)  (1,892,046)  $(13,227,998) 

 

Diversified Income Trust 113 

 


  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class C  Shares  Amount  Shares  Amount 
Shares sold  5,223,400  $34,944,851  20,334,802  $141,053,921 
Shares issued in connection with         
reinvestment of distributions  1,476,221  9,865,696  3,522,462  24,372,754 
  6,699,621  44,810,547  23,857,264  165,426,675 
Shares repurchased  (14,200,840)  (94,736,454)  (23,284,774)  (161,466,292) 
Net increase (decrease)  (7,501,219)  $(49,925,907)  572,490  $3,960,383 
 
  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class M  Shares  Amount  Shares  Amount 
Shares sold  85,528  $567,263  394,218  $2,735,412 
Shares issued in connection with         
reinvestment of distributions  45,249  302,219  103,161  713,374 
  130,777  869,482  497,379  3,448,786 
Shares repurchased  (745,529)  (4,981,385)  (1,791,333)  (12,389,293) 
Net decrease  (614,752)  $(4,111,903)  (1,293,954)  $(8,940,507) 
 
  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class R  Shares  Amount  Shares  Amount 
Shares sold  107,082  $704,200  70,007  $487,843 
Shares issued in connection with         
reinvestment of distributions  7,063  47,481  14,202  98,842 
  114,145  751,681  84,209  586,685 
Shares repurchased  (69,258)  (462,595)  (100,580)  (704,307) 
Net increase (decrease)  44,887  $289,086  (16,371)  $(117,622) 
 
  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  366,284  $2,465,321  978,623  $6,854,810 
Shares issued in connection with         
reinvestment of distributions  55,503  374,512  111,055  775,060 
  421,787  2,839,833  1,089,678  7,629,870 
Shares repurchased  (255,276)  (1,723,820)  (509,668)  (3,562,812) 
Net increase  166,511  $1,116,013  580,010  $4,067,058 
 
  SIX MONTHS ENDED 3/31/19  YEAR ENDED 9/30/18 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  111,514,570  $752,766,853  247,899,887  $1,732,981,733 
Shares issued in connection with         
reinvestment of distributions  7,116,283  48,003,343  13,283,864  92,579,684 
  118,630,853  800,770,196  261,183,751  1,825,561,417 
Shares repurchased  (155,776,129)  (1,046,176,037)  (102,083,961)  (711,919,536) 
Net increase (decrease)  (37,145,276)  $(245,405,841)  159,099,790  $1,113,641,881 

 

114 Diversified Income Trust 

 


Note 5: Affiliated transactions

Transactions during the reporting period with any company which is under common ownership or control were as follows:

          Shares 
          outstanding 
          and fair 
  Fair value as  Purchase  Sale  Investment  value as 
Name of affiliate  of 9/30/18  cost  proceeds  income  of 3/31/19 
Short-term investments           
Putnam Short Term           
Investment Fund**  $215,274,737  $445,946,482  $433,218,005  $2,780,748  $228,003,214 
Total Short-term           
investments  $215,274,737  $445,946,482  $433,218,005  $2,780,748  $228,003,214 

 

** 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.

Note 6: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Diversified Income Trust 115 

 


Note 8: Summary of derivative activity

The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:

Purchased TBA commitment option contracts (contract amount)  $1,796,100,000 
Purchased currency option contracts (contract amount)  $441,000,000 
Purchased swap option contracts (contract amount)  $12,743,100,000 
Written TBA commitment option contracts (contract amount)  $2,481,900,000 
Written currency option contracts (contract amount)  $516,800,000 
Written swap option contracts (contract amount)  $12,028,000,000 
Futures contracts (number of contracts)  4,000 
Forward currency contracts (contract amount)  $4,345,600,000 
OTC interest rate swap contracts (notional)  $47,300,000 
Centrally cleared interest rate swap contracts (notional)  $18,494,500,000 
OTC total return swap contracts (notional)  $311,100,000 
Centrally cleared total return swap contracts (notional)  $1,744,800,000 
OTC credit default contracts (notional)  $1,219,400,000 
Centrally cleared credit default contracts (notional)  $77,900,000 

 

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period   
  ASSET DERIVATIVES  LIABILITY DERIVATIVES 
Derivatives not         
accounted for as  Statement of    Statement of   
hedging instruments  assets and    assets and   
under ASC 815  liabilities location  Fair value  liabilities location  Fair value 
      Payables, Net assets —   
Credit contracts  Receivables  $30,724,533  Unrealized depreciation  $129,259,793* 
Foreign exchange         
contracts  Investments, Receivables  20,657,208  Payables  10,159,868 
  Investments,       
  Receivables, Net       
  assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  237,222,973*  Unrealized depreciation  244,864,285* 
Total    $288,604,714    $384,283,946 

 

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

116 Diversified Income Trust 

 


The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments 
Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $395,217  $395,217 
Foreign exchange contracts  1,055,633  —  (4,828,352)  —  $(3,772,719) 
Interest rate contracts  1,812,885  (2,370,880)  —  (81,233,515)  $(81,791,510) 
Total  $2,868,518  $(2,370,880)  $(4,828,352)  $(80,838,298)  $(85,169,012) 
 
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) 
on investments           
Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $(3,823,143)  $(3,823,143) 
Foreign exchange contracts  (1,792,498)  —  6,730,362  —  $4,937,864 
Interest rate contracts  16,382,864  529,705  —  9,716,101  $26,628,670 
Total  $14,590,366  $529,705  $6,730,362  $5,892,958  $27,743,391 

 

Diversified Income Trust 117 

 


Note 9: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

  Bank of America N.A. Barclays Bank PLC Barclays Capital, Inc. (clearing broker) Citibank, N.A. Citigroup Global Markets, Inc. Credit Suisse International Credit Suisse Securities (USA), LLC (clearing broker) Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch International Merrill Lynch, Pierce, Fenner & Smith, Inc. Morgan Stanley & Co. International PLC NatWest Markets PLC Nomura Securities State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Assets:                                           
OTC Interest                                           
rate swap                                           
contracts*#  $—  $—  $—  $—  $—  $—  $—  $—  $666,665  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $666,665 
Centrally                                           
cleared interest                                           
rate swap                                           
contracts§  —  —  491,192,663  —  —  —  153  —  —  —  —  —  —  —  —  —  —  —  —  —  491,192,816 
OTC Total                                           
return swap                                           
contracts*#  —  1,147,949  —  14,210  —  294,778  —  4,055  307,001  —  113,375  325,428  —  —  —  —  —  —  —  —  2,206,796 
Centrally                                           
cleared total                                           
return swap                                           
contracts§  —  —  1,573,731  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  1,573,731 
OTC Credit                                           
default                                           
contracts —                                           
protection                                           
sold*#  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
OTC Credit                                           
default                                           
contracts —                                           
protection                                           
purchased*#  —  —  —  —  4,461,355  7,625,227  —  —  3,875,118  —  —  7,054,044  3,813,763  —  3,895,026  —  —  —  —  —  30,724,533 
Centrally                                           
cleared                                           
credit default                                           
contracts§  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Futures                                           
contracts§  —  —  —  —  —  —  —  —  —  —  —  373,702  —  —  —  —  —  —  —  —  373,702 
Forward                                           
currency                                           
contracts#  1,402,162  2,033,485  —  2,273,641  —  711,057  —  —  3,237,258  1,415,123  2,175,548  —  —  —  —  2,038,778  —  1,733,373  1,964,543  763,226  19,748,194 
Forward                                           
premium                                           
swap option                                           
contracts#  —  991,630  —  49,786  —  —  —  —  2,893,079  —  3,509,323  —  —  —  1,803,992  —  —  —  1,625,491  —  10,873,301 
Purchased                                           
swap                                           
options**#  7,200,702  —  —  1,306,677  —  —  —  —  8,738,656  —  64,721,516  —  —  —  36,274,973  8,940  —  —  —  —  118,251,464 

 

118 Diversified Income Trust  Diversified Income Trust 119 

 


  Bank of America N.A. Barclays Bank PLC Barclays Capital, Inc. (clearing broker) Citibank, N.A. Citigroup Global Markets, Inc. Credit Suisse International Credit Suisse Securities (USA), LLC (clearing broker) Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch International Merrill Lynch, Pierce, Fenner & Smith, Inc. Morgan Stanley & Co. International PLC NatWest Markets PLC Nomura Securities State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Purchased                                           
options**#  $908,857  $—  $—  $—  $—  $—  $—  $—  $157  $—  $6,105,469  $—  $—  $—  $—  $—  $—  $—  $—  $—  $7,014,483 
Repurchase                                           
agreements**  —  —  —  —  79,033,000  —  —  —  —  —  —  —  —  80,000,000  —  —  —  —  —  —  159,033,000 
Total Assets  $9,511,721  $4,173,064  $492,766,394  $3,644,314  $83,494,355  $8,631,062  $153  $4,055  $19,717,934  $1,415,123  $76,625,231  $7,753,174  $3,813,763  $80,000,000  $41,973,991  $2,047,718  $—  $1,733,373  $3,590,034  $763,226  $841,658,685 
Liabilities:                                           
OTC Interest                                           
rate swap                                           
contracts*#  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $— 
Centrally                                           
cleared interest                                           
rate swap                                           
contracts§  —  —  485,136,021  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  485,136,021 
OTC Total                                           
return swap                                           
contracts*#  47,329  266,070  —  —  —  1,100,762  —  15,361  909,525  —  65,926  42,005  —  —  —  —  —  —  —  —  2,446,978 
Centrally                                           
cleared total                                           
return swap                                           
contracts§  —  —  2,335,918  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  2,335,918 
OTC Credit                                           
default                                           
contracts —                                           
protection                                           
sold*#  920,820  —  —  —  14,609,190  29,536,999  —  64,852  14,119,304  —  —  31,380,356  5,233,063  —  23,421,210  —  —  —  —  —  119,285,794 
OTC Credit                                           
default                                           
contracts —                                           
protection                                           
purchased*#  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Centrally                                           
cleared                                           
credit default                                           
contracts§  —  —  588,705  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  588,705 
Futures                                           
contracts§  —  —  —  —  —  —  —  —  —  —  —  379,790  —  —  —  —  —  —  —  —  379,790 
Forward                                           
currency                                           
contracts#  1,581,306  9,811  —  35,950  —  359,105  —  —  1,858,969  910,083  1,302,839  —  —  —  —  779,252  —  2,624,425  351,293  284,093  10,097,126 
Forward                                           
premium                                           
swap option                                           
contracts#  1,300,303  633,215  —  1,976,749  —  —  —  —  3,857,948  —  8,619,556  —  —  —  2,174,267  —  —  —  1,541,294  —  20,103,332 
Written swap                                           
options#  —  —  —  1,174,009  —  —  —  —  8,402,856  —  60,412,322  —  —  —  36,204,866  298  —  —  —  —  106,194,351 

 

120 Diversified Income Trust  Diversified Income Trust 121 

 


  Bank of America N.A. Barclays Bank PLC Barclays Capital, Inc. (clearing broker) Citibank, N.A. Citigroup Global Markets, Inc. Credit Suisse International Credit Suisse Securities (USA), LLC (clearing broker) Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch International Merrill Lynch, Pierce, Fenner & Smith, Inc. Morgan Stanley & Co. International PLC NatWest Markets PLC Nomura Securities State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Written                                           
options#  $62,586  $—  $—  $—  $—  $—  $—  $—  $156  $—  $2,884,872  $—  $—  $—  $—  $—  $—  $—  $—  $—  $2,947,614 
Total                                           
Liabilities  $3,912,344  $909,096  $488,060,644  $3,186,708  $14,609,190  $30,996,866  $—  $80,213  $29,148,758  $910,083  $73,285,515  $31,802,151  $5,233,063  $—  $61,800,343  $779,550  $—  $2,624,425  $1,892,587  $284,093  $749,515,629 
Total Financial                                           
and Derivative                                           
Net Assets  $5,599,377  $3,263,968  $4,705,750  $457,606  $68,885,165  $(22,365,804)  $153  $(76,158)  $(9,430,824)  $505,040  $3,339,716  $(24,048,977)  $(1,419,300)  $80,000,000  $(19,826,352)  $1,268,168  $—  $(891,052)  $1,697,447  $479,133  $92,143,056 
Total collateral                                           
received                                           
(pledged)†##  $5,599,377  $3,263,968  $—  $457,606  $68,885,165  $(22,365,804)  $—  $(76,158)  $(7,880,194)  $505,040  $3,339,716  $(24,048,977)  $(1,419,300)  $80,000,000  $(19,826,352)  $1,037,104  $—  $(891,052)  $1,697,447  $—   
Net amount  $—  $—  $4,705,750  $—  $—  $—  $153  $—  $(1,550,630)  $—  $—  $—  $—  $—  $—  $231,064  $—  $—  $—  $479,133   
Controlled                                           
collateral                                           
received                                           
(including TBA                                           
commitments)**  $5,803,731  $3,402,000  $—  $2,920,000  $—  $—  $—  $—  $—  $513,188  $4,070,000  $256,000  $—  $4,544,000  $—  $1,037,104  $110,000  $—  $—  $—  $22,656,023 
Uncontrolled                                           
collateral                                           
received  $—  $—  $—  $—  $80,631,821  $—  $—  $—  $—  $—  $—  $—  $—  $81,600,000  $—  $—  $—  $—  $1,812,732  $—  $164,044,553 
Collateral                                           
(pledged)                                           
(including TBA                                           
commitments)**  $—  $—  $—  $—  $(10,528,029)  $(23,269,550)  $—  $(120,335)  $(7,880,194)  $—  $—  $(24,381,033)  $(1,539,144)  $—  $(22,174,134)  $—  $—  $(1,068,443)  $—  $—  $(90,960,862) 

 

* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.

** Included with Investments in securities on the Statement of assets and liabilities.

† Additional collateral may be required from certain brokers based on individual agreements.

# Covered by master netting agreement (Note 1).

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $2,212,954 and $59,892,897, respectively.

Note 10: New accounting pronouncements

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017–08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310–20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

122 Diversified Income Trust  Diversified Income Trust 123 

 


Services for shareholders

Investor services

Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.

Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.

Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.

Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.

Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.

Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.

Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.

Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.

For more information

Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.

Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.

124 Diversified Income Trust 

 


Fund information

Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Michael J. Higgins 
Putnam Investment  Kenneth R. Leibler, Chair  Vice President, Treasurer, 
Management, LLC  Liaquat Ahamed  and Clerk 
100 Federal Street  Ravi Akhoury   
Boston, MA 02110  Barbara M. Baumann  Janet C. Smith 
  Katinka Domotorffy  Vice President, 
Investment Sub-Advisor  Catharine Bond Hill  Principal Financial Officer, 
Putnam Investments Limited  Paul L. Joskow  Principal Accounting Officer, 
16 St James’s Street  Robert E. Patterson  and Assistant Treasurer 
London, England SW1A 1ER  George Putnam, III 
  Robert L. Reynolds  Susan G. Malloy 
Marketing Services  Manoj P. Singh  Vice President and 
Putnam Retail Management    Assistant Treasurer 
100 Federal Street  Officers 
Boston, MA 02110  Robert L. Reynolds  Mark C. Trenchard 
  President  Vice President and 
Custodian    BSA Compliance Officer 
State Street Bank  Jonathan S. Horwitz 
and Trust Company  Executive Vice President,  Nancy E. Florek 
  Principal Executive Officer,  Vice President, Director of 
Legal Counsel  and Compliance Liaison  Proxy Voting and Corporate 
Ropes & Gray LLP    Governance, Assistant Clerk, 
  Robert T. Burns  and Assistant Treasurer 
  Vice President and 
  Chief Legal Officer  Denere P. Poulack 
    Assistant Vice President, Assistant 
  James F. Clark  Clerk, and Assistant Treasurer 
  Vice President and   
  Chief Compliance Officer   

 

This report is for the information of shareholders of Putnam Diversified Income Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.



Item 2. Code of Ethics:
Not applicable

Item 3. Audit Committee Financial Expert:
Not applicable

Item 4. Principal Accountant Fees and Services:
Not applicable

Item 5. Audit Committee of Listed Registrants
Not applicable

Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Not applicable

Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable

Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.
(b) Changes in internal control over financial reporting: Not applicable
Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:
Not Applicable

Item 13. Exhibits:
(a)(1) Not applicable
(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Diversified Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: May 29, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: May 29, 2019
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: May 29, 2019