| Putnam Managed Municipal Income Trust | ||||||
| The fund's portfolio | ||||||
| 1/31/20 (Unaudited) | ||||||
| Key to holding's abbreviations | ||||||
| ABAG — Association Of Bay Area Governments | ||||||
| AGM — Assured Guaranty Municipal Corporation | ||||||
| AMBAC — AMBAC Indemnity Corporation | ||||||
| COP — Certificates of Participation | ||||||
| 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. | ||||||
| G.O. Bonds — General Obligation Bonds | ||||||
| IO — Interest Only | ||||||
| NATL — National Public Finance Guarantee Corporation | ||||||
| PO — Principal Only | ||||||
| PSFG — Permanent School Fund Guaranteed | ||||||
| U.S. Govt. Coll. — U.S. Government Collateralized | ||||||
| VRDN — Variable Rate Demand Notes, which are floating-rate securities with long-term maturities that carry coupons that reset and are payable upon demand either daily, weekly or monthly. The rate shown is the current interest rate at the close of the reporting period. Rates are set by remarketing agents and may take into consideration market supply and demand, credit quality and the current SIFMA Municipal Swap Index rate, which was 0.94% as of the close of the reporting period. | ||||||
| MUNICIPAL BONDS AND NOTES (104.9%)(a) | ||||||
| Rating(RAT) | Principal amount | Value | ||||
| Alabama (1.5%) | ||||||
| Jefferson Cnty., Swr. Rev. Bonds | ||||||
| Ser. D, 6.50%, 10/1/53 | BBB | $500,000 | $600,590 | |||
| zero %, 10/1/46 | BBB | 3,950,000 | 3,865,707 | |||
| Jefferson, Cnty. Rev. Bonds, (Warrants) | ||||||
| 5.00%, 9/15/34 | AA | 2,075,000 | 2,522,619 | |||
| 5.00%, 9/15/33 | AA | 275,000 | 334,942 | |||
| 7,323,858 | ||||||
| Alaska (2.3%) | ||||||
| AK State Indl. Dev. & Export Auth. Rev. Bonds, (Tanana Chiefs Conference), Ser. A, 4.00%, 10/1/44 | A+/F | 4,750,000 | 5,294,778 | |||
| Northern Tobacco Securitization Corp. Rev. Bonds, Ser. A, 5.00%, 6/1/46 | B3 | 6,370,000 | 6,385,161 | |||
| 11,679,939 | ||||||
| Arizona (3.6%) | ||||||
| AZ State Indl. Dev. Auth. Ed. 144A Rev. Bonds, (BASIS Schools, Inc.), Ser. G, 5.00%, 7/1/37 | BB | 500,000 | 559,280 | |||
| Chandler, Indl. Dev. Auth. Mandatory Put Bonds (6/3/24), (Intel Corp.), 5.00%, 6/1/49 | A1 | 1,200,000 | 1,388,172 | |||
| La Paz Cnty., Indl. Dev. Auth. Ed. Fac. Rev. Bonds, (Harmony Pub. Schools), Ser. A | ||||||
| 5.00%, 2/15/48 | BBB | 2,330,000 | 2,673,232 | |||
| 5.00%, 2/15/38 | BBB | 500,000 | 584,365 | |||
| Maricopa Cnty., Indl. Dev. Auth. Ed. Rev. Bonds, (Horizon Cmnty. Learning Ctr.), 5.00%, 7/1/35 | BB+ | 750,000 | 820,350 | |||
| Phoenix, Indl. Dev. Auth. Ed. Rev. Bonds | ||||||
| (Great Hearts Academies), 6.00%, 7/1/32 (Prerefunded 7/1/21) | AAA/P | 200,000 | 214,152 | |||
| (Choice Academies, Inc.), 5.625%, 9/1/42 | BB | 315,000 | 329,433 | |||
| (Great Hearts Academies), 5.00%, 7/1/44 | BBB- | 1,700,000 | 1,853,272 | |||
| (Choice Academies, Inc.), 4.875%, 9/1/22 | BB | 425,000 | 438,264 | |||
| Phoenix, Indl. Dev. Auth. Ed. 144A Rev. Bonds, (BASIS Schools, Inc.) | ||||||
| Ser. A, 5.00%, 7/1/46 | BB | 250,000 | 270,373 | |||
| 5.00%, 7/1/35 | BB | 900,000 | 986,868 | |||
| Ser. A, 5.00%, 7/1/35 | BB | 600,000 | 657,912 | |||
| Pinal Cnty., Indl. Dev. Auth. Env. Fac. 144A Rev. Bonds, (Green Bond), 7.25%, 10/1/33 | BB-/P | 1,750,000 | 1,842,750 | |||
| Salt Verde, Fin. Corp. Gas Rev. Bonds | ||||||
| 5.50%, 12/1/29 | A3 | 2,000,000 | 2,639,540 | |||
| 5.00%, 12/1/32 | A3 | 570,000 | 756,037 | |||
| Yavapai Cnty., Indl. Dev. Auth. Hosp. Fac. Rev. Bonds | ||||||
| (Yavapai Regl. Med.), 5.00%, 8/1/36 | A2 | 200,000 | 238,118 | |||
| (Yavapai Regl. Med. Ctr.), 5.00%, 8/1/34 | A2 | 200,000 | 239,368 | |||
| Yavapai Cnty., Indl. Dev. Ed. Auth. Rev. Bonds, (Agribusiness & Equine Ctr.), 5.00%, 3/1/32 | BB+ | 1,000,000 | 1,056,060 | |||
| Yavapai Cnty., Indl. Dev. Ed. Auth. 144A Rev. Bonds, Ser. A, 5.00%, 9/1/34 | BB+ | 500,000 | 545,020 | |||
| 18,092,566 | ||||||
| Arkansas (0.6%) | ||||||
| AR Dev. Fin. Auth. Hlth. Care Rev. Bonds, (Baptist Health Oblig. Group) | ||||||
| 5.00%, 12/1/47 | A | 600,000 | 737,814 | |||
| 4.00%, 12/1/44 | A | 610,000 | 676,350 | |||
| 4.00%, 12/1/39 | A | 585,000 | 657,493 | |||
| 4.00%, 12/1/37 | A | 805,000 | 909,400 | |||
| 2,981,057 | ||||||
| California (3.8%) | ||||||
| ABAG Fin. Auth. for Nonprofit Corps. Rev. Bonds, (Episcopal Sr. Cmntys.), 6.00%, 7/1/31 | A-/F | 660,000 | 703,138 | |||
| CA School Fin. Auth. Rev. Bonds, (2023 Union, LLC), Ser. A, 6.00%, 7/1/33 | BBB | 465,000 | 528,705 | |||
| CA State Muni. Fin. Auth. Charter School Rev. Bonds, (Partnerships Uplift Cmnty.), Ser. A, 5.00%, 8/1/32 | BB | 665,000 | 702,606 | |||
| CA State Poll. Control Fin. Auth. Rev. Bonds | ||||||
| (Wtr. Furnishing), 5.00%, 11/21/45 | Baa3 | 1,000,000 | 1,085,200 | |||
| (San Jose Wtr. Co.), 4.75%, 11/1/46 | A | 1,100,000 | 1,260,402 | |||
| CA Statewide Cmnty. Dev. Auth. Rev. Bonds | ||||||
| (Terraces at San Joaquin Gardens), Ser. A, 6.00%, 10/1/47 | A-/F | 1,345,000 | 1,505,485 | |||
| (U. CA Irvine E. Campus Apts. Phase 1), 5.375%, 5/15/38 | Baa1 | 1,000,000 | 1,056,020 | |||
| (899 Charleston, LLC), Ser. A, 5.25%, 11/1/44 | BB/P | 450,000 | 497,984 | |||
| Golden State Tobacco Securitization Corp. Rev. Bonds, Ser. A-2, 5.00%, 6/1/47 | BB/P | 5,000,000 | 5,241,250 | |||
| La Verne, COP, (Brethren Hillcrest Homes), 5.00%, 5/15/36 | BBB-/F | 325,000 | 344,991 | |||
| Los Angeles, Regl. Arpt. Impt. Corp. Lease Rev. Bonds, (Laxfuel Corp.), 4.50%, 1/1/27 | A | 400,000 | 424,108 | |||
| Morongo Band of Mission Indians 144A Rev. Bonds, Ser. B, 5.00%, 10/1/42 | BBB-/F | 2,350,000 | 2,733,215 | |||
| Rancho Cordova, Cmnty. Fac. Dist. Special Tax Bonds, (Sunridge Anatolia), Ser. 03-1, 5.00%, 9/1/37 | BBB-/P | 350,000 | 377,881 | |||
| San Francisco, City & Cnty. Redev. Agcy. Cmnty. Successor Special Tax Bonds, (No. 6 Mission Bay Pub. Impts.), Ser. C | ||||||
| zero %, 8/1/43 | BBB/P | 2,000,000 | 560,680 | |||
| zero %, 8/1/38 | BBB/P | 2,000,000 | 757,320 | |||
| Sunnyvale, Special Tax Bonds, (Cmnty. Fac. Dist. No. 1), 7.75%, 8/1/32 | B+/P | 835,000 | 837,923 | |||
| Yucaipa Special Tax Bonds, (Cmnty. Fac. Dist. No. 98-1 Chapman Heights), 5.375%, 9/1/30 | A | 375,000 | 397,729 | |||
| 19,014,637 | ||||||
| Colorado (2.8%) | ||||||
| Aviation Station North Metro. Dist. No. 2 G.O. Bonds, Ser. A, 5.00%, 12/1/48 | B+/P | 850,000 | 913,529 | |||
| Broadway Station Metro. Dist. No. 2 Co. G.O. Bonds, Ser. A, 5.125%, 12/1/48 | B/P | 500,000 | 539,750 | |||
| Broadway Station Metro. Dist. No. 3 G.O. Bonds, 5.00%, 12/1/49 | B/P | 500,000 | 530,795 | |||
| Central Platte Valley, Metro. Dist. G.O. Bonds, 5.00%, 12/1/43 | BB+ | 400,000 | 432,904 | |||
| CO Pub. Hwy. Auth. Rev. Bonds, (E-470), Ser. C, 5.375%, 9/1/26 | A2 | 500,000 | 512,500 | |||
| CO State Educ. & Cultural Fac. Auth. Rev. Bonds, (Skyview Academy), 5.125%, 7/1/34 | BB | 755,000 | 810,115 | |||
| CO State Hlth. Fac. Auth. Rev. Bonds | ||||||
| (Christian Living Cmnty.), 6.375%, 1/1/41 | BB/P | 810,000 | 871,892 | |||
| (Total Longterm Care National), Ser. A, 6.25%, 11/15/40 (Prerefunded 11/15/20) | AAA/P | 300,000 | 312,378 | |||
| (Evangelical Lutheran Good Samaritan Society Oblig. Group (The)), 5.625%, 6/1/43 (Prerefunded 6/1/23) | AAA/P | 250,000 | 288,695 | |||
| CO State Hlth. Fac. Auth. Hosp. Rev. Bonds | ||||||
| (Frasier Meadows Retirement Cmnty.), Ser. B, 5.00%, 5/15/48 | BB+/F | 1,500,000 | 1,585,305 | |||
| (Christian Living Neighborhood), 5.00%, 1/1/37 | BB/P | 1,250,000 | 1,379,925 | |||
| (Christian Living Neighborhood), 5.00%, 1/1/31 | BB/P | 500,000 | 557,720 | |||
| Eaton, Area Park & Recreation Dist. G.O. Bonds, 5.25%, 12/1/34 | BB/P | 220,000 | 233,180 | |||
| Park Creek, Metro. Dist. Tax Allocation Bonds, (Sr. Ltd. Property Tax Supported), Ser. A, 5.00%, 12/1/45 | A/F | 225,000 | 258,138 | |||
| Plaza, Tax Alloc. Bonds, (Metro. Dist. No. 1), 5.00%, 12/1/40 | BB-/P | 1,650,000 | 1,732,781 | |||
| Regl. Trans. Dist. Rev. Bonds, (Denver Trans. Partners), 6.00%, 1/15/41 | Baa3 | 750,000 | 763,208 | |||
| Southlands, Metro. Dist. No. 1 G.O. Bonds, Ser. A-1, 5.00%, 12/1/37 | Ba1 | 500,000 | 575,660 | |||
| STC Metro. Dist. No. 2 G.O. Bonds, Ser. A, 5.00%, 12/1/49 | B+/P | 1,000,000 | 1,088,110 | |||
| Willow Bend Metro. Dist. G.O. Bonds, Ser. A, 5.00%, 12/1/39 | BB-/P | 600,000 | 648,816 | |||
| 14,035,401 | ||||||
| Connecticut (0.3%) | ||||||
| Harbor Point Infrastructure Impt. Dist. 144A Tax Alloc. Bonds, (Harbor Point Ltd.), 5.00%, 4/1/39 | BB/P | 1,500,000 | 1,735,800 | |||
| 1,735,800 | ||||||
| Delaware (1.3%) | ||||||
| DE State Econ. Dev. Auth. Rev. Bonds | ||||||
| (Delmarva Pwr.), 5.40%, 2/1/31 | A- | 500,000 | 510,375 | |||
| (Indian River Pwr.), 5.375%, 10/1/45 | Baa2 | 2,600,000 | 2,658,552 | |||
| (ASPIRA of Delaware Charter Operations, Inc.), Ser. A, 5.00%, 6/1/51 | BB+ | 1,035,000 | 1,123,565 | |||
| (ASPIRA Charter School), Ser. A, 5.00%, 6/1/36 | BB+ | 705,000 | 777,946 | |||
| Millsboro Special Oblig. 144A Tax Alloc. Bonds, (Plantation Lakes Special Dev. Dist.), 5.125%, 7/1/38 | BB-/P | 1,490,000 | 1,645,645 | |||
| 6,716,083 | ||||||
| District of Columbia (1.4%) | ||||||
| DC Tobacco Settlement Fin. Corp. Rev. Bonds, Ser. A, zero %, 6/15/46 | CCC/P | 7,500,000 | 1,480,575 | |||
| (Howard U.), Ser. A, 6.50%, 10/1/41 | BBB- | 395,000 | 411,942 | |||
| (Howard U.), Ser. A, 6.25%, 10/1/32 | BBB- | 525,000 | 547,995 | |||
| (D.C. Intl. School), 5.00%, 7/1/49 | BBB | 1,275,000 | 1,542,610 | |||
| (KIPP DC), 4.00%, 7/1/39 | BBB+ | 750,000 | 844,433 | |||
| Metro. Washington, Arpt. Auth. Dulles Toll Rd. Rev. Bonds | ||||||
| (Dulles Metrorail & Capital Impt Project), Ser. B, 4.00%, 10/01/44(T) | A- | 1,060,000 | 1,214,491 | |||
| (Dulles Metrorail & Capital Impt Project), Ser. B, 4.00%, 10/01/49(T) | A- | 1,065,000 | 1,213,224 | |||
| 7,255,270 | ||||||
| Florida (4.5%) | ||||||
| Celebration Pointe Cmnty. Dev. Dist. No. 1 144A Special Assessment Bonds, (Alachua Cnty.), 5.00%, 5/1/48 | B/P | 250,000 | 268,168 | |||
| Double Branch Cmnty. Dev. Dist. Special Assmt. Bonds, (Sr. Lien), Ser. A-1, 4.125%, 5/1/31 | A | 500,000 | 534,235 | |||
| Fishhawk, CCD IV Special Assmt. Bonds, 7.25%, 5/1/43 | B/P | 380,000 | 429,134 | |||
| Greater Orlando Aviation Auth. Rev. Bonds, (JetBlue Airways Corp.), 5.00%, 11/15/36 | B/P | 1,000,000 | 1,073,030 | |||
| Halifax Hosp. Med. Ctr. Rev. Bonds, 5.00%, 6/1/36 | A- | 1,300,000 | 1,528,670 | |||
| Lakewood Ranch, Stewardship Dist. Special Assessment Bonds, (Village of Lakewood Ranch South), 5.125%, 5/1/46 | B+/P | 900,000 | 968,490 | |||
| Lakewood Ranch, Stewardship Dist. Special Assmt., (Azario), 4.00%, 5/1/40 | B+/P | 1,000,000 | 1,027,920 | |||
| Lakewood Ranch, Stewardship Dist. Special Assmt. Bonds, 4.875%, 5/1/35 | BB-/P | 485,000 | 518,557 | |||
| Martin Cnty., Rev. Bonds, (Indiantown Cogeneration), 4.20%, 12/15/25 | A- | 1,500,000 | 1,513,620 | |||
| Miami Beach, Hlth. Fac. Auth. Hosp. Rev. Bonds, (Mount Sinai Med. Ctr.), 5.00%, 11/15/29 | Baa1 | 1,000,000 | 1,096,940 | |||
| Miami-Dade Cnty., Rev. Bonds, (Tran. Syst. Sales Surtax), 5.00%, 7/1/42 | AA | 2,000,000 | 2,167,700 | |||
| Miami-Dade Cnty., Indl. Dev. Auth. Rev. Bonds, (Pinecrest Academy, Inc.), 5.00%, 9/15/34 | BBB | 1,240,000 | 1,364,595 | |||
| Midtown Miami Cmnty. Dev. Dist. Special Assmt. Bonds, (Garage), Ser. A, 5.00%, 5/1/29 | BB-/P | 570,000 | 606,571 | |||
| Palm Beach Cnty., 144A Rev. Bonds, (PBAU Hsg.), Ser. A, 5.00%, 4/1/39 | Ba1 | 500,000 | 569,235 | |||
| Pinellas Cnty., Indl. Dev. Auth. Rev. Bonds, (2017 Foundation for Global Understanding, Inc.), 5.00%, 7/1/39 | AAA/P | 690,000 | 816,029 | |||
| Sarasota Cnty., Hlth. Fac. Auth. Rev. Bonds, (Village on the Isle), Ser. A, 5.00%, 1/1/37 | BBB-/F | 1,000,000 | 1,107,800 | |||
| Sarasota Cnty., Pub. Hosp. Dist. Rev. Bonds, (Sarasota Memorial Hosp.), 4.00%, 7/1/48 | A1 | 1,500,000 | 1,670,220 | |||
| Southeast Overtown Park West Cmnty. Redev. Agcy. 144A Tax Alloc. Bonds, Ser. A-1, 5.00%, 3/1/30 | BBB+ | 480,000 | 540,840 | |||
| Tallahassee, Hlth. Fac. Rev. Bonds, (Tallahassee Memorial HealthCare, Inc.), Ser. A, 5.00%, 12/1/55 | Baa1 | 1,000,000 | 1,136,170 | |||
| Verandah, West Cmnty. Dev. Dist. Special Assmt. Bonds, (Cap. Impt.), 5.00%, 5/1/33 | B+/P | 495,000 | 518,780 | |||
| Village Cmnty. Dev. Dist. No. 10 Special Assmt. Bonds, 5.75%, 5/1/31 | BB/P | 875,000 | 978,058 | |||
| Village Cmnty. Dev. Dist. No. 11 Special Assmt. Bonds, 4.50%, 5/1/45 | BB-/P | 990,000 | 1,038,322 | |||
| Village Cmnty. Dev. Dist. No. 12 144A Special Assessment Bonds, 4.00%, 5/1/33 | BB-/P | 745,000 | 807,513 | |||
| Village Cmnty. Dev. Dist. No. 8 Special Assmt. Bonds, (Phase II), 6.125%, 5/1/39 | BBB-/P | 365,000 | 369,062 | |||
| Village Cmnty. Dev. Dist. No. 9 Special Assmt. Bonds, 5.00%, 5/1/22 | BBB-/P | 205,000 | 213,227 | |||
| 22,862,886 | ||||||
| Georgia (3.7%) | ||||||
| Clayton Cnty., Dev. Auth. Special Fac. Rev. Bonds, (Delta Airlines), Ser. A, 8.75%, 6/1/29 | Baa3 | 3,000,000 | 3,072,990 | |||
| Cobb Cnty., Dev. Auth. Student Hsg. Rev. Bonds, (Kennesaw State U. Real Estate Oblig. Group), Ser. C, 5.00%, 7/15/38 | Baa2 | 765,000 | 859,447 | |||
| GA State Private College & U. Auth. Rev. Bonds, (Mercer U.) | ||||||
| Ser. C, 5.25%, 10/1/30 | Baa1 | 750,000 | 822,120 | |||
| Ser. A, 5.25%, 10/1/27 | Baa1 | 1,000,000 | 1,066,680 | |||
| Ser. A, 5.00%, 10/1/32 | Baa1 | 1,000,000 | 1,055,760 | |||
| Gainesville & Hall Cnty., Dev. Auth. Edl. Fac. Rev. Bonds, (Riverside Military Academy) | ||||||
| 5.00%, 3/1/47 | BBB-/F | 1,000,000 | 1,101,820 | |||
| 5.00%, 3/1/37 | BBB-/F | 1,450,000 | 1,623,652 | |||
| Main Street Natural Gas, Inc. Gas Supply Rev. Bonds, Ser. A, 5.00%, 5/15/34 | A3 | 3,345,000 | 4,171,951 | |||
| Muni. Election Auth. of GA Rev. Bonds | ||||||
| (Plant Voltage Units 3 & 4), Ser. A, 5.50%, 7/1/60 | A | 2,000,000 | 2,289,220 | |||
| (Plant Vogtle Units 3 & 4), Ser. A, 4.00%, 1/1/59 | A2 | 2,000,000 | 2,156,140 | |||
| (Plant Vogtle Units 3 & 4), Ser. A, 4.00%, 1/1/49 | A2 | 500,000 | 547,215 | |||
| 18,766,995 | ||||||
| Guam (—%) | ||||||
| Territory of GU, Pwr. Auth. Rev. Bonds, Ser. A, 5.00%, 10/1/34 | Baa2 | 200,000 | 216,526 | |||
| 216,526 | ||||||
| Hawaii (0.1%) | ||||||
| HI State Dept. Budget & Fin. Rev. Bonds, (Kahala Nui), 5.125%, 11/15/32 | A/F | 400,000 | 443,680 | |||
| 443,680 | ||||||
| Idaho (0.4%) | ||||||
| ID State Hlth. Fac. Auth. Rev. Bonds, (St. Luke's Hlth. Sys. Oblig. Group), Ser. A, 4.00%, 3/1/38 | A3 | 2,000,000 | 2,203,520 | |||
| 2,203,520 | ||||||
| Illinois (11.3%) | ||||||
| Chicago, G.O. Bonds, Ser. A | ||||||
| 6.00%, 1/1/38 | BBB+ | 2,560,000 | 3,164,877 | |||
| 5.50%, 1/1/49 | BBB+ | 1,000,000 | 1,215,850 | |||
| 5.00%, 1/1/40 | BBB+ | 2,000,000 | 2,373,040 | |||
| 5.00%, 1/1/26 | BBB+ | 1,750,000 | 2,049,478 | |||
| Chicago, Special Assmt. Bonds, (Lake Shore East), 6.75%, 12/1/32 | BB/P | 1,556,000 | 1,559,470 | |||
| Chicago, Board of Ed. G.O. Bonds | ||||||
| Ser. C, 5.25%, 12/1/39 | BB- | 1,500,000 | 1,687,245 | |||
| Ser. H, 5.00%, 12/1/36 | BB- | 2,100,000 | 2,473,128 | |||
| Chicago, Motor Fuel Tax Rev. Bonds, 5.00%, 1/1/29 | Ba1 | 500,000 | 545,270 | |||
| Chicago, O'Hare Intl. Arpt. Rev. Bonds, Ser. A, 5.00%, 1/1/38 | A | 700,000 | 862,400 | |||
| Chicago, Waste Wtr. Transmission Rev. Bonds, (2nd Lien), 5.00%, 1/1/39 | A | 1,360,000 | 1,508,131 | |||
| Chicago, Wtr. Wks Rev. Bonds | ||||||
| 5.00%, 11/1/39 | A | 875,000 | 987,578 | |||
| 5.00%, 11/1/30 | A | 1,000,000 | 1,188,380 | |||
| Cook Cnty., G.O. Bonds, 5.00%, 11/15/35 | A+ | 500,000 | 587,150 | |||
| Du Page Cnty., Special Svc. Area No. 31 Special Tax Bonds, (Monarch Landing), 5.625%, 3/1/36 | B/P | 301,000 | 303,300 | |||
| IL Fin. Auth. Rev. Bonds, (Navistar Intl. Recvy. Zone), 6.75%, 10/15/40 | BB- | 500,000 | 513,270 | |||
| IL State G.O. Bonds | ||||||
| 5.25%, 2/1/30 | Baa3 | 1,000,000 | 1,116,890 | |||
| 5.00%, 11/1/41 | Baa3 | 1,250,000 | 1,429,925 | |||
| 5.00%, 1/1/41 | Baa3 | 700,000 | 790,503 | |||
| 5.00%, 2/1/39 | Baa3 | 200,000 | 218,516 | |||
| Ser. A, 5.00%, 5/1/38 | Baa3 | 1,000,000 | 1,176,960 | |||
| 5.00%, 11/1/34 | Baa3 | 500,000 | 580,990 | |||
| Ser. B, 5.00%, 10/1/31 | Baa3 | 1,000,000 | 1,206,540 | |||
| Ser. C, 5.00%, 11/1/29 | Baa3 | 3,775,000 | 4,494,666 | |||
| 5.00%, 1/1/29 | Baa3 | 1,095,000 | 1,270,222 | |||
| Ser. A, 5.00%, 12/1/28 | Baa3 | 1,760,000 | 2,126,379 | |||
| Ser. D, 5.00%, 11/1/28 | Baa3 | 1,000,000 | 1,197,800 | |||
| Ser. D, 5.00%, 11/1/26 | Baa3 | 2,500,000 | 2,960,800 | |||
| IL State Fin. Auth. Rev. Bonds | ||||||
| (Three Crowns Park), 5.25%, 2/15/47 | BB-/P | 540,000 | 585,468 | |||
| (Plymouth Place), 5.25%, 5/15/45 | BB+/F | 1,000,000 | 1,078,650 | |||
| (Three Crowns Park), 5.25%, 2/15/37 | BB-/P | 305,000 | 333,341 | |||
| (Southern IL Healthcare Enterprises, Inc.), 5.00%, 3/1/33 | A+ | 700,000 | 835,576 | |||
| (Riverside Hlth. Syst.), 4.00%, 11/15/35 | A+ | 500,000 | 547,715 | |||
| IL State Fin. Auth. Student Hsg. & Academic Fac. Rev. Bonds, (U. of IL-CHF-Chicago, LLC), Ser. A | ||||||
| 5.00%, 2/15/47 | Baa3 | 500,000 | 570,580 | |||
| 5.00%, 2/15/37 | Baa3 | 1,200,000 | 1,395,864 | |||
| Metro. Pier & Exposition Auth. Rev. Bonds, (McCormick Place Expansion) | ||||||
| Ser. A, 5.00%, 6/15/50(WIS) | BBB | 3,000,000 | 3,607,560 | |||
| Ser. B, stepped-coupon zero % (4.950%, 6/15/31), 12/15/47(STP) | BBB | 1,500,000 | 1,203,240 | |||
| Metro. Wtr. Reclamation Dist. of Greater Chicago G.O. Bonds, Ser. A, 5.00%, 12/1/31 | AA+ | 1,000,000 | 1,210,690 | |||
| Sales Tax Securitization Corp. Rev. Bonds | ||||||
| Ser. C, 5.50%, 1/1/36 | AA- | 2,000,000 | 2,575,460 | |||
| Ser. A, 5.00%, 1/1/36 | AA- | 1,600,000 | 2,019,616 | |||
| Ser. A, 4.00%, 1/1/39 | AA- | 1,750,000 | 2,006,935 | |||
| 57,559,453 | ||||||
| Indiana (0.4%) | ||||||
| IN State Fin. Auth. Edl. Fac. Rev. Bonds, (Butler U.), Ser. B, 5.00%, 2/1/29 | A- | 500,000 | 535,440 | |||
| Valparaiso, Exempt Facs. Rev. Bonds, (Pratt Paper, LLC), 6.75%, 1/1/34 | B+/P | 1,125,000 | 1,310,153 | |||
| 1,845,593 | ||||||
| Iowa (0.2%) | ||||||
| IA State Fin. Auth. Midwestern Disaster Rev. Bonds, (IA Fertilizer Co., LLC), 5.25%, 12/1/25 | B+ | 750,000 | 833,745 | |||
| 833,745 | ||||||
| Kansas (0.2%) | ||||||
| Wichita, Hlth. Care Fac. Rev. Bonds, (Presbyterian Manors), Ser. I, 5.00%, 5/15/33 | BB-/P | 500,000 | 558,415 | |||
| Wyandotte, Cnty./Kansas City, Unified Govt. 144A Rev. Bonds, (Legends Apt. Garage & West Lawn), 4.50%, 6/1/40 | AA | 475,000 | 503,890 | |||
| 1,062,305 | ||||||
| Kentucky (2.4%) | ||||||
| KY Econ. Dev. Fin. Auth. Rev. Bonds, (Masonic Home Indpt. Living), 5.00%, 5/15/46 | BB/P | 1,000,000 | 1,050,460 | |||
| KY Pub. Trans. Infrastructure Auth. Rev. Bonds, (1st Tier Downtown Crossing), Ser. A, 6.00%, 7/1/53 | Baa3 | 1,100,000 | 1,251,261 | |||
| KY State Econ. Dev. Fin. Auth. Rev. Bonds, (Owensboro Hlth.), Ser. A, 5.25%, 6/1/41 | Baa3 | 125,000 | 147,341 | |||
| KY State Econ. Dev. Fin. Auth. Hlth. Care Rev. Bonds, (Masonic Homes of KY), 5.375%, 11/15/42 | BB-/P | 900,000 | 943,560 | |||
| KY State Pub. Energy Auth. Gas Supply Mandatory Put Bonds (6/1/25), Ser. C-1, 4.00%, 12/1/49 | A3 | 4,635,000 | 5,206,681 | |||
| Louisville & Jefferson Cnty., Metro. Govt. Hlth. Syst. Rev. Bonds, (Norton Healthcare Oblig. Group), 5.50%, 10/1/33 | A | 3,000,000 | 3,407,670 | |||
| 12,006,973 | ||||||
| Louisiana (1.6%) | ||||||
| LA State Pub. Fac. Auth. Rev. Bonds, (LA State U. Greenhouse Phase III), Ser. A, 5.00%, 7/1/59 | A3 | 3,000,000 | 3,596,100 | |||
| LA State Pub. Fac. Solid Waste Disp. Auth. Rev. Bonds, (LA Pellets, Inc.), Ser. A, 8.375%, 7/1/39 (In default)(NON) | D/P | 500,000 | 5 | |||
| Pub. Fac. Auth. Rev. Bonds, (Tulane U.), Ser. A, 4.00%, 12/15/50 | A2 | 750,000 | 831,975 | |||
| St. John The Baptist Parish Mandatory Put Bonds (7/1/24), (Marathon Oil Corp.), Ser. A-2, 2.10%, 6/1/37 | BBB | 3,000,000 | 3,079,710 | |||
| St. Tammany, Public Trust Fin. Auth. Rev. Bonds, (Christwood), 5.25%, 11/15/37 | BB/P | 385,000 | 423,654 | |||
| 7,931,444 | ||||||
| Maine (0.5%) | ||||||
| ME Hlth. & Higher Edl. Fac. Auth. Rev. Bonds | ||||||
| (ME Gen. Med. Ctr.), 7.50%, 7/1/32 | Ba3 | 1,000,000 | 1,082,280 | |||
| (MaineGeneral Health Oblig. Group), 6.95%, 7/1/41 | Ba3 | 1,000,000 | 1,069,080 | |||
| ME State Fin. Auth. Solid Waste Disp. 144A Mandatory Put Bonds (8/1/25), (Casella Waste Syst.), 5.125%, 8/1/35 | B2 | 500,000 | 572,200 | |||
| 2,723,560 | ||||||
| Maryland (1.1%) | ||||||
| Brunswick, Special Tax, 5.00%, 7/1/36 | B+/P | 550,000 | 624,371 | |||
| Frederick Cnty., Special Tax Bonds, (Oakdale-Lake Linganore), 3.75%, 7/1/39 | BB/P | 1,410,000 | 1,454,006 | |||
| Frederick Cnty., Edl. Fac. 144A Rev. Bonds, (Mount St. Mary's U.), Ser. A, 5.00%, 9/1/37 | BB+ | 500,000 | 573,485 | |||
| Prince Georges Cnty., Special Oblig. 144A Tax Alloc. Bonds, (Westphalia Town Ctr.), 5.125%, 7/1/39 | B/P | 1,000,000 | 1,126,410 | |||
| Westminster, Rev. Bonds | ||||||
| (Lutheran Village at Miller's Grant, Inc. (The)), Ser. A, 6.00%, 7/1/34 | B-/P | 250,000 | 280,745 | |||
| (Carroll Lutheran Village, Inc.), 5.125%, 7/1/34 | BB/P | 1,500,000 | 1,634,550 | |||
| 5,693,567 | ||||||
| Massachusetts (1.2%) | ||||||
| Lowell, Collegiate Charter School Rev. Bonds | ||||||
| 5.00%, 6/15/54 | BB-/P | 1,250,000 | 1,340,600 | |||
| 5.00%, 6/15/39 | BB-/P | 1,000,000 | 1,087,250 | |||
| MA State Dev. Fin. Agcy. Rev. Bonds | ||||||
| (Loomis Communities), Ser. A, 6.00%, 1/1/33 | BBB/P | 100,000 | 112,061 | |||
| (Loomis Communities), Ser. A, U.S. Govt. Coll., 6.00%, 1/1/33 (Prerefunded 7/1/23) | AAA/P | 100,000 | 116,896 | |||
| (Linden Ponds, Inc.), Ser. B, zero %, 11/15/56 | B-/P | 439,022 | 129,419 | |||
| MA State Dev. Fin. Agcy. 144A Rev. Bonds, (Linden Ponds, Inc. Fac.) | ||||||
| 5.125%, 11/15/46 | BB/F | 1,000,000 | 1,140,680 | |||
| 5.00%, 11/15/38 | BB/F | 500,000 | 573,120 | |||
| MA State Dev. Fin. Agcy. Hlth. Care Fac. 144A Rev. Bonds, (Adventcare), Ser. A, 6.65%, 10/15/28 (In default)(NON) | D/P | 995,000 | 746,250 | |||
| MA State Port Auth. Special Fac. Rev. Bonds, (Conrac), Ser. A, 5.125%, 7/1/41 | A | 750,000 | 789,555 | |||
| 6,035,831 | ||||||
| Michigan (5.2%) | ||||||
| Detroit, G.O. Bonds, 5.00%, 4/1/37 | Ba3 | 750,000 | 858,045 | |||
| Detroit, Wtr. Supply Syst. Rev. Bonds, Ser. B, AGM, 6.25%, 7/1/36 | AA | 5,000 | 5,019 | |||
| Flint, Hosp. Bldg. Auth. Rev. Bonds, Ser. A, 5.25%, 7/1/39 | Ba1 | 750,000 | 798,990 | |||
| Great Lakes, Wtr. Auth. Swr. Rev. Bonds, (Brazos Presbyterian Homes, Inc.), Ser. C, 5.00%, 7/1/36 | A | 2,000,000 | 2,396,980 | |||
| Kentwood, Economic Dev. Rev. Bonds, (Holland Home), 5.625%, 11/15/32 | BBB-/F | 2,195,000 | 2,370,710 | |||
| Kentwood, Economic Dev. Corp. Rev. Bonds, (Holland Home Obligated Group) | ||||||
| 5.00%, 11/15/41 | BBB-/F | 1,000,000 | 1,144,020 | |||
| 5.00%, 11/15/32 | BBB-/F | 1,250,000 | 1,457,038 | |||
| MI State Fin. Auth. Rev. Bonds | ||||||
| (Local Govt. Loan Program - Detroit Wtr. & Swr. Dept. (DWSD)), Ser. D-2, 5.00%, 7/1/34 | A+ | 400,000 | 468,524 | |||
| (Detroit Wtr. & Swr.), Ser. C-6, 5.00%, 7/1/33 | A+ | 600,000 | 688,854 | |||
| MI State Fin. Auth. Ltd. Oblig. Rev. Bonds, (Lawrence Technological U.), 5.00%, 2/1/47 | BB+ | 2,150,000 | 2,379,319 | |||
| MI State Fin. Auth. Rev. Bonds (Trinity Health Corp. Oblig. Group), Ser. A | ||||||
| 5.00% 12/1/47(T) | AA- | 8,500,000 | 9,468,151 | |||
| 4.00% 12/1/49(T) | Aa3 | 2,125,000 | 2,422,407 | |||
| MI State Strategic Fund Ltd. Rev. Bonds, (Worthington Armstrong Venture), 5.75%, 10/1/22 (Escrowed to maturity) | AAA/P | 1,350,000 | 1,509,084 | |||
| MI State Strategic Fund Ltd. Oblig. Rev. Bonds, (Holland Home Oblig. Group), 5.00%, 11/15/43 | BBB-/F | 500,000 | 571,345 | |||
| 26,538,485 | ||||||
| Minnesota (1.0%) | ||||||
| Baytown Twp., Lease Rev. Bonds, Ser. A, 4.00%, 8/1/41 | BB+ | 380,000 | 393,406 | |||
| Ham Lake, Charter School Lease Rev. Bonds, (DaVinci Academy of Arts & Science), Ser. A, 5.00%, 7/1/47 | BB-/P | 500,000 | 531,335 | |||
| Rochester, Hlth. Care Fac. Rev. Bonds, (Olmsted Med. Ctr.), 5.875%, 7/1/30 | A/F | 1,000,000 | 1,018,430 | |||
| Sartell, Hlth. Care & Hsg. Facs. Rev. Bonds, (Country Manor Campus, LLC) | ||||||
| 5.25%, 9/1/30 | B-/P | 500,000 | 535,885 | |||
| 5.25%, 9/1/27 | B-/P | 750,000 | 810,278 | |||
| St. Paul, Hsg. & Redev. Auth. Charter School Lease Rev. Bonds, (Nova Classical Academy), Ser. A | ||||||
| 6.625%, 9/1/42 (Prerefunded 9/1/21) | BBB- | 250,000 | 272,165 | |||
| 6.375%, 9/1/31 | BBB- | 250,000 | 267,005 | |||
| St. Paul, Port Auth. Lease Rev. Bonds, (Regions Hosp. Pkg. Ramp), Ser. 1, 5.00%, 8/1/36 | A-/P | 1,125,000 | 1,127,453 | |||
| 4,955,957 | ||||||
| Mississippi (2.2%) | ||||||
| MS State Bus. Fin. Commission Gulf Opportunity Zone VRDN, (Chevron USA, Inc.), Ser. A, 1.20%, 12/1/30 | VMIG1 | 5,675,000 | 5,675,000 | |||
| MS State Bus. Fin. Corp. Rev. Bonds, (System Energy Resources, Inc.), 2.50%, 4/1/22 | BBB+ | 5,600,000 | 5,635,112 | |||
| 11,310,112 | ||||||
| Missouri (0.8%) | ||||||
| Saint Louis, Indl. Dev. Auth. Fin. Rev. Bonds, (Ballpark Village Dev.), Ser. A, 4.75%, 11/15/47 | BB-/P | 875,000 | 964,889 | |||
| St. Louis Cnty., Indl. Dev. Auth. Sr. Living Fac. Rev. Bonds, (Friendship Village Oblig. Group), Ser. A, 5.00%, 9/1/38 | BB+/F | 2,500,000 | 2,833,675 | |||
| 3,798,564 | ||||||
| Nebraska (1.0%) | ||||||
| Central Plains, Energy Mandatory Put Bonds (1/1/24), (No. 4), 5.00%, 3/1/50 | A3 | 4,500,000 | 5,089,635 | |||
| 5,089,635 | ||||||
| Nevada (1.3%) | ||||||
| Clark Cnty., Impt. Dist. Special Assmt. Bonds, (Mountains Edge Local No. 142), 5.00%, 8/1/21 | A | 425,000 | 446,021 | |||
| Clark Cnty., Impt. Dist. No. 159 Special Assessment Bonds, (Summerlin Village 16A), 5.00%, 8/1/32 | B+/P | 465,000 | 515,741 | |||
| Las Vegas, Special Assmt. Bonds | ||||||
| 5.00%, 6/1/31 | B+/P | 395,000 | 425,060 | |||
| (Dist. No. 607 Local Impt.), 5.00%, 6/1/23 | BBB-/P | 310,000 | 335,839 | |||
| Las Vegas, Impt. Dist. No. 812 Special Assessment Bonds, (Summerlin Village 24), 5.00%, 12/1/35 | B/P | 250,000 | 275,688 | |||
| Las Vegas, Special Impt. Dist. No. 814 Special Assmt., (Summerlin Village No. 21 and 24A) | ||||||
| 4.00%, 6/1/44 | BB-/P | 650,000 | 684,619 | |||
| 4.00%, 6/1/39 | BB-/P | 450,000 | 477,320 | |||
| North Las Vegas, G.O. Bonds, AGM, 4.00%, 6/1/33 | AA | 3,095,000 | 3,538,854 | |||
| 6,699,142 | ||||||
| New Hampshire (1.8%) | ||||||
| National Fin. Auth. 144A Rev. Bonds, (Covanta Holding Corp.), Ser. C, 4.875%, 11/1/42 | B1 | 1,275,000 | 1,357,403 | |||
| NH State Hlth. & Ed. Fac. Auth. Rev. Bonds | ||||||
| (Rivermead), Ser. A, 6.875%, 7/1/41 | BB+/P | 2,000,000 | 2,099,220 | |||
| (Rivermead), Ser. A, 6.625%, 7/1/31 | BB+/P | 1,320,000 | 1,387,703 | |||
| (Catholic Med. Ctr.), 5.00%, 7/1/44 | A- | 1,000,000 | 1,176,180 | |||
| (Kendel at Hanover), 5.00%, 10/1/40 | BBB+/F | 585,000 | 658,722 | |||
| (Elliot Hosp.), 5.00%, 10/1/38 | A- | 250,000 | 293,560 | |||
| (Southern NH Med. Ctr.), 5.00%, 10/1/37 | A- | 1,000,000 | 1,177,030 | |||
| NH State Hlth. & Ed. Fac. Auth. 144A Rev. Bonds, (Hillside Village), Ser. A, 6.25%, 7/1/42 | B-/P | 750,000 | 837,420 | |||
| 8,987,238 | ||||||
| New Jersey (6.7%) | ||||||
| Atlantic City, G.O. Bonds, (Tax Appeal), Ser. B, AGM, 4.00%, 3/1/42 | AA | 1,250,000 | 1,376,425 | |||
| NJ State Econ. Dev. Auth. Rev. Bonds | ||||||
| (Ashland School, Inc.), 6.00%, 10/1/33 | BBB | 995,000 | 1,141,484 | |||
| (NYNJ Link Borrower, LLC), 5.375%, 1/1/43 | BBB | 1,000,000 | 1,133,920 | |||
| Ser. EEE, 5.00%, 6/15/48 | Baa1 | 3,000,000 | 3,536,850 | |||
| (North Star Academy Charter School of Newark, Inc.), 5.00%, 7/15/47 | BBB- | 1,000,000 | 1,148,910 | |||
| Ser. AAA, 5.00%, 6/15/36 | Baa1 | 350,000 | 408,849 | |||
| (United Methodist Homes), Ser. A, 5.00%, 7/1/29 | BBB-/F | 500,000 | 545,740 | |||
| Ser. B, 5.00%, 11/1/26 | Baa1 | 3,000,000 | 3,628,560 | |||
| 5.00%, 6/15/26 | Baa1 | 500,000 | 537,635 | |||
| (NJ Transit Trans.), Ser. A, 4.00%, 11/1/39 | Baa1 | 2,000,000 | 2,226,440 | |||
| NJ State Econ. Dev. Auth. Fac. Rev. Bonds, (Continental Airlines, Inc.), 5.625%, 11/15/30 | BB | 1,500,000 | 1,731,135 | |||
| NJ State Econ. Dev. Auth. Special Fac. Rev. Bonds, (Port Newark Container Term., LLC), 5.00%, 10/1/37 | Ba1 | 1,500,000 | 1,770,915 | |||
| NJ State Econ. Dev. Auth. Wtr. Fac. Rev. Bonds, (NJ American Wtr. Co.), Ser. D, 4.875%, 11/1/29 | A1 | 700,000 | 716,254 | |||
| NJ State Hlth. Care Fac. Fin. Auth. Rev. Bonds, (St. Peter's U. Hosp.), 6.25%, 7/1/35 | Ba1 | 2,000,000 | 2,112,580 | |||
| NJ State Trans. Trust Fund Auth. Rev. Bonds, Ser. A | ||||||
| 5.00%, 12/15/39 | Baa1 | 875,000 | 1,065,479 | |||
| 5.00%, 12/15/35 | Baa1 | 2,600,000 | 3,153,930 | |||
| 5.00%, 12/15/34 | Baa1 | 1,800,000 | 2,189,556 | |||
| North Hudson, Swr. Auth. Rev. Bonds, Ser. A, 5.00%, 6/1/42 (Prerefunded 6/1/22) | AAA/P | 55,000 | 60,270 | |||
| Tobacco Settlement Fin. Corp. Rev. Bonds, Ser. B, 5.00%, 6/1/46 | BB+ | 3,300,000 | 3,782,889 | |||
| Union Cnty., Util. Auth. Resource Recvy. Fac. Lease Rev. Bonds, (Covanta Union), Ser. A, 5.25%, 12/1/31 | AA+ | 1,450,000 | 1,556,010 | |||
| 33,823,831 | ||||||
| New Mexico (1.4%) | ||||||
| Farmington, Poll. Control Rev. Bonds | ||||||
| (Public Service Co. of San Juan, NM), Ser. D, 5.90%, 6/1/40 | BBB+ | 500,000 | 507,750 | |||
| (AZ Pub. Svc. Co.), Ser. B, 4.70%, 9/1/24 | A2 | 2,000,000 | 2,050,340 | |||
| NM State Hosp. Equip. Loan Council Hosp. Rev. Bonds, Ser. A, 4.00%, 8/1/48 | AA | 3,400,000 | 3,860,258 | |||
| Sante Fe, Retirement Fac. Rev. Bonds, (El Castillo Retirement Residences), Ser. A, 5.00%, 5/15/39 | BB+/F | 500,000 | 564,025 | |||
| 6,982,373 | ||||||
| New York (6.2%) | ||||||
| Glen Cove, Local Econ. Assistance Corp. Rev. Bonds, (Garvies Point Pub. Impt.), Ser. C, stepped-coupon zero% (5.625%, 1/1/24), 1/1/55(STP) | B/P | 300,000 | 298,317 | |||
| Metro. Trans. Auth. Rev. Bonds, (Green Bonds), Ser. C-1, 4.00%, 11/15/32 | A1 | 3,000,000 | 3,491,940 | |||
| Metro. Trans. Auth. Dedicated Tax Mandatory Put Bonds (6/1/22), Ser. A-2A, 1.39%, 11/1/26 | AA | 2,530,000 | 2,531,796 | |||
| NY City, Transitional Fin. Auth. Rev. Bonds, Ser. B-1, 4.00%, 11/01/41(T) | Aa1 | 5,000,000 | 5,851,475 | |||
| NY Counties, Tobacco Trust VI Rev. Bonds, (Tobacco Settlement Pass Through), Ser. A-2B, 5.00%, 6/1/51 | BBB | 1,700,000 | 1,791,171 | |||
| NY State Dorm. Auth. Sales Tax Rev. Bonds, Ser. A, 5.00%, 3/15/42(T) | AA+ | 10,845,000 | 13,212,111 | |||
| NY State Liberty Dev. Corp. 144A Rev. Bonds | ||||||
| (World Trade Ctr.), Class 2, 5.375%, 11/15/40 | BB-/P | 750,000 | 849,818 | |||
| (3 World Trade Ctr., LLC), Class 1-3, 5.00%, 11/15/44 | BB-/P | 2,350,000 | 2,615,339 | |||
| Port Auth. of NY & NJ Special Oblig. Rev. Bonds, (John F. Kennedy Intl. Air Term.), 6.00%, 12/1/42 | Baa1 | 1,000,000 | 1,041,250 | |||
| 31,683,217 | ||||||
| North Carolina (1.3%) | ||||||
| NC State Med. Care Comm. Retirement Fac. Rev. Bonds | ||||||
| (Salemtowne), 5.375%, 10/1/45 | BB/P | 1,615,000 | 1,790,114 | |||
| (Aldersgate United Methodist Retirement Cmnty., Inc.), Ser. A, 5.00%, 7/1/47 | BB/P | 400,000 | 442,420 | |||
| (Aldersgate United Methodist Church), 5.00%, 7/1/45 | BB/P | 825,000 | 891,800 | |||
| (Twin Lakes Cmnty.), Ser. A, 5.00%, 1/1/38 | BBB/F | 1,750,000 | 2,076,988 | |||
| (Southminister, Inc.), 5.00%, 10/1/37 | BB/P | 965,000 | 1,063,305 | |||
| (United Church Homes & Svcs. Oblig. Group), Ser. A, 5.00%, 9/1/37 | BB/P | 500,000 | 538,230 | |||
| 6,802,857 | ||||||
| Ohio (4.5%) | ||||||
| Buckeye, Tobacco Settlement Fin. Auth. Rev. Bonds | ||||||
| Ser. A-2, 6.50%, 6/1/47 | B3 | 4,000,000 | 4,070,400 | |||
| Ser. A-3, 6.25%, 6/1/37 | CCC+ | 5,850,000 | 6,095,700 | |||
| Ser. A-2, 6.00%, 6/1/42 | B3 | 4,000,000 | 4,023,080 | |||
| Ser. B, zero %, 6/1/47 | CCC+/P | 10,000,000 | 751,500 | |||
| Cleveland-Cuyahoga Cnty., Port Auth. Cultural Fac. Rev. Bonds, (Playhouse Square Foundation), 5.50%, 12/1/53 | BB+ | 1,500,000 | 1,763,355 | |||
| Franklin Cnty., Hlth. Care Fac. Rev. Bonds, (OH Presbyterian Retirement Svcs. (OPRS) Cmntys. Oblig. Group), Ser. A, 5.625%, 7/1/26 | BBB/F | 1,250,000 | 1,272,188 | |||
| Lake Cnty., Hosp. Fac. Rev. Bonds, (Lake Hosp. Syst., Inc.), Ser. C, 5.625%, 8/15/29 | Baa1 | 245,000 | 245,897 | |||
| OH State Air Quality Dev. Auth. Exempt Fac. 144A Rev. Bonds, (Pratt Paper, LLC), 4.50%, 1/15/48 | BB+/P | 1,200,000 | 1,341,708 | |||
| OH State Higher Edl. Fac. Comm. Rev. Bonds, (Kenyon College), 5.00%, 7/1/44 (Prerefunded 7/1/20) | A | 525,000 | 533,705 | |||
| OH State Private Activity Rev. Bonds, (Portsmouth Bypass), AGM, 5.00%, 12/31/35 | AA | 750,000 | 868,995 | |||
| Southeastern OH Port Auth. Hosp. Fac. Rev. Bonds | ||||||
| 5.75%, 12/1/32 | BB-/F | 900,000 | 983,232 | |||
| (Memorial Hlth. Syst. Oblig. Group), 5.00%, 12/1/43 | BB-/F | 150,000 | 159,449 | |||
| Toledo-Lucas Cnty., Port Auth. FRB, (CSX Transn, Inc.), 6.45%, 12/15/21 | A3 | 500,000 | 544,150 | |||
| 22,653,359 | ||||||
| Oklahoma (0.5%) | ||||||
| Tulsa Cnty., Indl. Auth. Rev. Bonds, (Sr. Living Cmnty. Montereau, Inc.), Ser. A, 7.125%, 11/1/30 (Prerefunded 5/1/20) | BB-/P | 1,250,000 | 1,268,313 | |||
| Tulsa, Muni. Arpt. Trust Rev. Bonds, (American Airlines, Inc.), Ser. B, 5.50%, 12/1/35 | B+/P | 1,250,000 | 1,380,913 | |||
| 2,649,226 | ||||||
| Oregon (1.1%) | ||||||
| Multnomah Cnty., Hosp. Fac. Auth. Rev. Bonds, (Terwilliger Plaza, Inc.), 5.00%, 12/1/29 | BBB/F | 350,000 | 379,859 | |||
| Portland, Rev. Bonds, Ser. C, 7.701%, 6/1/22 | Aaa | 4,000,000 | 4,330,120 | |||
| Warm Springs, Reservation Confederated Tribes 144A Rev. Bonds, (Pelton-Round Butte), Ser. B | ||||||
| 5.00%, 11/1/36 | A3 | 500,000 | 600,830 | |||
| 5.00%, 11/1/34 | A3 | 200,000 | 242,416 | |||
| 5,553,225 | ||||||
| Pennsylvania (3.7%) | ||||||
| Allegheny Cnty., Higher Ed. Bldg. Auth. Rev. Bonds | ||||||
| (Robert Morris U.), Ser. A, 5.50%, 10/15/30 | Baa3 | 1,000,000 | 1,025,030 | |||
| (Robert Morris U.-UPMC Events Ctr.), 5.00%, 10/15/47 | Baa3 | 1,820,000 | 2,037,253 | |||
| Allegheny Cnty., Hosp. Dev. Auth. Rev. Bonds, (Allegheny Hlth. Network Oblig. Group), Ser. A, 5.00%, 4/1/35 | A | 1,200,000 | 1,479,000 | |||
| Chester Cnty., Indl. Dev. Auth. Rev. Bonds | ||||||
| (Collegium Charter School), Ser. A, 5.125%, 10/15/37 | BB | 750,000 | 824,393 | |||
| (Renaissance Academy Charter School), 5.00%, 10/1/34 | BBB- | 350,000 | 389,354 | |||
| Chester Cnty., Indl. Dev. Auth. Student Hsg. Rev. Bonds, (West Chester U. Student Hsg., LLC), Ser. A, 5.00%, 8/1/45 | Baa3 | 1,000,000 | 1,091,630 | |||
| Cumberland Cnty., Muni. Auth. Rev. Bonds, (Asbury PA Obligated Group), 5.00%, 1/1/45 | BB+/P | 500,000 | 547,615 | |||
| Dallas, Area Muni. Auth. U. Rev. Bonds, (Misericordia U.), 5.00%, 5/1/48 | Baa3 | 500,000 | 570,970 | |||
| Montgomery Cnty., Indl. Auth. Rev. Bonds, (Whitemarsh Continuing Care Retirement Cmnty.), Ser. A, 5.25%, 1/1/48 | BB-/P | 500,000 | 534,890 | |||
| Moon, Indl. Dev. Auth. Rev. Bonds, (Baptist Homes Society Oblig. Group), 5.75%, 7/1/35 | B+/P | 1,500,000 | 1,641,720 | |||
| PA State Econ. Dev. Fin. Auth. Solid Waste Disp. 144A Rev. Bonds, (Covanta Holding Corp.), Ser. A, 3.25%, 8/1/39 | B | 2,200,000 | 2,220,174 | |||
| PA State Higher Edl. Fac. Auth. Rev. Bonds | ||||||
| (Shippensburg U.), 6.25%, 10/1/43 (Prerefunded 10/1/21) | AAA/P | 500,000 | 544,100 | |||
| (Gwynedd Mercy College), Ser. KK1, 5.375%, 5/1/42 | BBB | 785,000 | 837,242 | |||
| PA State Tpk. Comm. Rev. Bonds | ||||||
| Ser. A, 5.00%, 12/1/44 | A3 | 1,500,000 | 1,845,405 | |||
| Ser. B-1, 5.00%, 6/1/42 | A3 | 900,000 | 1,072,818 | |||
| Philadelphia, Auth. for Indl. Dev. Rev. Bonds, (Master Charter School), 6.00%, 8/1/35 (Prerefunded 8/1/20) | AAA/P | 1,055,000 | 1,080,647 | |||
| West Shore Area Auth. Rev. Bonds, (Lifeways at Messiah Village), Ser. A, 5.00%, 7/1/35 | BBB-/F | 785,000 | 865,706 | |||
| 18,607,947 | ||||||
| Puerto Rico (0.2%) | ||||||
| Cmnwlth. of PR, G.O. Bonds, (Pub. Impt.), Ser. A, NATL, 5.50%, 7/1/20 | Baa2 | 1,000,000 | 1,013,600 | |||
| 1,013,600 | ||||||
| Rhode Island (0.3%) | ||||||
| RI Hlth. & Edl. Bldg. Corp. Rev. Bonds, (Lifespan Oblig. Group-Hosp. Fin.), 5.00%, 5/15/25 | BBB+ | 1,500,000 | 1,772,085 | |||
| 1,772,085 | ||||||
| South Carolina (2.8%) | ||||||
| Berkeley Cnty., Assmt. Rev. Bonds, (Nexton Impt. Dist.), 4.375%, 11/1/49 | BB-/P | 1,000,000 | 1,023,870 | |||
| SC State Jobs Econ. Dev. Auth. Edl. Fac. 144A Rev. Bonds, (High Point Academy), Ser. A | ||||||
| 5.75%, 6/15/49 | Ba1 | 1,000,000 | 1,129,030 | |||
| 5.75%, 6/15/39 | Ba1 | 500,000 | 570,385 | |||
| SC State Pub. Svcs. Auth. Rev. Bonds | ||||||
| Ser. A, 5.50%, 12/1/54 | A2 | 2,000,000 | 2,278,500 | |||
| Ser. C, 5.00%, 12/1/46 | A2 | 2,500,000 | 2,836,375 | |||
| (Santee Cooper), Ser. D, 5.00%, 12/1/43 | A2 | 1,000,000 | 1,070,480 | |||
| Ser. A, 5.00%, 12/1/36 | A2 | 1,000,000 | 1,190,420 | |||
| SC Trans. Infrastructure Bank Mandatory Put Bonds (10/1/22), Ser. 03B, 1.643%, 10/1/31 | Aa3 | 3,980,000 | 3,994,607 | |||
| 14,093,667 | ||||||
| Tennessee (0.6%) | ||||||
| Metro. Govt. Nashville & Davidson Cnty., Hlth. & Edl. Fac. Board Mandatory Put Bonds (7/1/21), (Vanderbilt U. Med. Ctr.), Ser. D, 4.234%, 7/1/46 | A3 | 2,000,000 | 2,036,960 | |||
| Tennergy Corp., Gas Mandatory Put Bonds (10/1/24), Ser. A, 5.00%, 2/1/50 | Aa2 | 1,000,000 | 1,163,240 | |||
| 3,200,200 | ||||||
| Texas (9.0%) | ||||||
| Arlington, Higher Ed. Fin. Corp. Rev. Bonds, (Uplift Ed.), Ser. A, PSFG, 4.00%, 12/1/42 | AAA | 1,000,000 | 1,120,690 | |||
| Central TX Regl. Mobility Auth. Rev. Bonds, (Sr. Lien), Ser. A, 5.00%, 1/1/33 | A- | 525,000 | 578,519 | |||
| Clifton, Higher Ed. Fin. Corp. Rev. Bonds | ||||||
| (Intl. Leadership), Ser. D, 6.125%, 8/15/48 | BB-/P | 2,500,000 | 2,885,375 | |||
| (Idea Pub. Schools), 5.00%, 8/15/32 | A- | 315,000 | 341,098 | |||
| (IDEA Pub. Schools), 5.00%, 8/15/28 | A- | 200,000 | 241,940 | |||
| Dallas-Fort Worth, Intl. Arpt. Rev. Bonds, Ser. B, 4.50%, 11/1/45 | A+ | 2,535,000 | 2,729,815 | |||
| Harris Cnty., Cultural Ed. Fac. Fin. Corp. Rev. Bonds | ||||||
| (Brazos Presbyterian Homes, Inc.), 5.00%, 1/1/37 | BBB-/F | 250,000 | 277,098 | |||
| (YMCA of the Greater Houston Area), Ser. A, 5.00%, 6/1/33 | Baa2 | 1,000,000 | 1,073,230 | |||
| Houston, Arpt. Syst. Rev. Bonds, Ser. B-1 | ||||||
| 5.00%, 7/15/35 | BB | 2,500,000 | 2,846,475 | |||
| 5.00%, 7/15/30 | BB | 650,000 | 743,353 | |||
| La Vernia, Higher Ed. Fin. Corp. 144A Rev. Bonds, (Meridian World School, LLC), Ser. A, 5.25%, 8/15/35 | BB+ | 1,000,000 | 1,092,870 | |||
| Love Field, Arpt. Modernization Corp. Special Fac. Rev. Bonds, (Southwest Airlines Co.), 5.25%, 11/1/40 | A3 | 3,500,000 | 3,602,760 | |||
| Matagorda Cnty., Poll. Control Rev. Bonds, (Dist. No. 1), Ser. A, AMBAC, 4.40%, 5/1/30 | A- | 1,250,000 | 1,536,413 | |||
| Montgomery Cnty., Toll Road Auth. Rev. Bonds, 5.00%, 9/15/36 | BBB- | 1,110,000 | 1,271,794 | |||
| New Hope, Cultural Ed. Fac. Fin. Corp. Rev. Bonds | ||||||
| (Wesleyan Homes, Inc.), 5.50%, 1/1/43 | BB-/P | 500,000 | 539,575 | |||
| (Collegiate Student Hsg. Island Campus, LLC), Ser. A, 5.00%, 4/1/42 | Ba1 | 1,830,000 | 1,969,977 | |||
| (Collegiate Hsg.-Tarleton St.), 5.00%, 4/1/39 | Baa3 | 500,000 | 541,410 | |||
| (MRC Crestview), 5.00%, 11/15/36 | BB+/F | 200,000 | 220,584 | |||
| (Woman's U.-Collegiate Hsg. Denton, LLC), Ser. A-1, AGM, 4.125%, 7/1/53 | AA | 1,000,000 | 1,080,490 | |||
| Newark, Higher Ed. Fin. Corp. Rev. Bonds, (Austin Achieve Pub. Schools, Inc.), 5.00%, 6/15/48 | BB-/P | 500,000 | 516,740 | |||
| Temple, Tax Increment 144A Tax Alloc. Bonds, (Reinvestment Zone No. 1), Ser. A, 5.00%, 8/1/38 | BB+ | 1,500,000 | 1,662,165 | |||
| TX Private Activity Surface Trans. Corp. Rev. Bonds | ||||||
| (LBJ Infrastructure), 7.00%, 6/30/40 | Baa3 | 2,500,000 | 2,556,600 | |||
| (Segment 3C), 5.00%, 6/30/58 | Baa3 | 2,500,000 | 2,963,325 | |||
| TX State Muni. Gas Acquisition & Supply Corp. III Rev. Bonds, 5.00%, 12/15/28 | A3 | 1,500,000 | 1,652,250 | |||
| TX State Private Activity Bond Surface Trans. Corp. Rev. Bonds, (Blueridge Trans. Group, LLC (SH 288 Toll Lane)) | ||||||
| 5.00%, 12/31/55 | Baa3 | 500,000 | 567,230 | |||
| 5.00%, 12/31/50 | Baa3 | 750,000 | 853,560 | |||
| TX State G.O. Bonds, Ser. A, 5.00%, 10/01/44(T) | Aaa | 8,000,000 | 9,294,439 | |||
| TX State Trans. Comm. Rev. Bonds, (State Hwy. 249 Sys.), Ser. A, zero %, 8/1/39 | Baa3 | 700,000 | 330,008 | |||
| Uptown Dev. Auth. Tax Alloc. Bonds, Ser. A, 5.00%, 9/1/40 | BBB | 700,000 | 801,773 | |||
| 45,891,556 | ||||||
| Utah (0.6%) | ||||||
| Infrastructure Agcy. Telecomm. Rev. Bonds, 4.00%, 10/15/39 | BBB-/F | 1,500,000 | 1,622,670 | |||
| Murray City, Hosp. VRDN, (IHC Hlth. Svcs., Inc.), Ser. A, 1.18%, 5/15/37 | VMIG1 | 500,000 | 500,000 | |||
| UT State Charter School Fin. Auth. Rev. Bonds, (Summit Academy, Inc.), Ser. A, 5.00%, 4/15/44 | AA | 625,000 | 767,294 | |||
| 2,889,964 | ||||||
| Virginia (2.2%) | ||||||
| Cherry Hill Cmnty., Dev. Auth. 144A Special Assmt. Bonds, (Potomac Shores), 5.40%, 3/1/45 | B/P | 1,000,000 | 1,064,640 | |||
| Front Royal & Warren Cnty., Indl. Dev. Auth. Rev. Bonds, (Valley Hlth. Oblig. Group), 4.00%, 1/1/50 | A1 | 2,500,000 | 2,712,550 | |||
| Henrico Cnty., Econ. Dev. Auth. Res. Care Fac. Rev. Bonds, (United Methodist Homes), 5.00%, 6/1/22 | BB+/P | 625,000 | 669,588 | |||
| King George Cnty., Indl. Dev. Auth. Mandatory Put Bonds (5/1/20), (Waste Mgt., Inc.-King George Landfill, Inc.), Ser. A, 2.50%, 6/1/23 | A- | 1,875,000 | 1,945,819 | |||
| Lexington, Indl. Dev. Auth. Res. Care Fac. Rev. Bonds, (Kendal at Lexington), 4.00%, 1/1/31 | BBB-/F | 675,000 | 724,640 | |||
| Lower Magnolia Green Cmnty., Dev. Auth. 144A Special Assmt. Bonds, 5.00%, 3/1/35 | B/P | 485,000 | 509,337 | |||
| Small Bus. Fin. Auth. Private Activity Rev. Bonds, (Transform 66 P3), 5.00%, 12/31/49 | Baa3 | 1,000,000 | 1,165,090 | |||
| Suffolk, Econ. Dev. Auth. Retirement Fac. Rev. Bonds, (United Church Homes & Svcs. Oblig. Group), 5.00%, 9/1/31 | BB/P | 500,000 | 553,895 | |||
| VA State Small Bus. Fin. Auth. Rev. Bonds | ||||||
| (Elizabeth River Crossings OPCO, LLC), 6.00%, 1/1/37 | BBB | 740,000 | 816,612 | |||
| (Express Lanes, LLC), 5.00%, 7/1/34 | BBB | 1,150,000 | 1,225,429 | |||
| 11,387,600 | ||||||
| Washington (3.1%) | ||||||
| Kalispel Tribe of Indians Priority Dist. Rev. Bonds, Ser. A, 5.25%, 1/1/38 | BB+/P | 750,000 | 872,588 | |||
| Port of Seattle, Rev. Bonds, Ser. C, 5.00%, 4/1/40 | A1 | 625,000 | 710,481 | |||
| Port Seattle, Port Indl. Dev. Corp. Rev. Bonds, (Delta Airlines, Inc.), 5.00%, 4/1/30 | BBB- | 800,000 | 877,248 | |||
| Skagit Cnty., Pub. Hosp. Rev. Bonds, (Dist. No. 001), 5.75%, 12/1/35 (Prerefunded 12/1/20) | Baa2 | 2,500,000 | 2,597,925 | |||
| Tobacco Settlement Auth. of WA Rev. Bonds, 5.25%, 6/1/32 | A- | 1,275,000 | 1,333,676 | |||
| WA State G.O. Bonds, Ser. 21A | ||||||
| 5.00%, 6/1/39(WIS) | Aaa | 1,750,000 | 2,159,868 | |||
| 5.00%, 6/1/34(WIS) | Aaa | 2,025,000 | 2,537,143 | |||
| 5.00%, 6/1/31(WIS) | Aaa | 1,000,000 | 1,262,840 | |||
| WA State Hlth. Care Fac. Auth. Mandatory Put Bonds (7/1/22), (Fred Hutchinson Cancer Research Ctr.), Ser. B, 2.205%, 1/1/42 | A+ | 1,700,000 | 1,719,533 | |||
| WA State Hsg. Fin. Comm. Rev. Bonds, (Wesley Homes Lea Hill), 5.00%, 7/1/41 | B/P | 500,000 | 540,915 | |||
| WA State Hsg. Fin. Comm. 144A Rev. Bonds, (Presbyterian Retirement Cmnty. Northwest), Ser. A, 5.00%, 1/1/36 | BB/F | 1,175,000 | 1,322,510 | |||
| 15,934,727 | ||||||
| Wisconsin (2.2%) | ||||||
| Pub. Fin. Auth. Arpt. Fac. Rev. Bonds, (Sr. Oblig. Group), 5.25%, 7/1/28 | BBB+ | 350,000 | 380,681 | |||
| Pub. Fin. Auth. Edl. Fac. Rev. Bonds, (Piedmont Cmnty. Charter School), 5.00%, 6/15/53 | Baa3 | 1,150,000 | 1,336,657 | |||
| Pub. Fin. Auth. Exempt Fac. Rev. Bonds, (Celanese U.S. Holdings, LLC), Ser. C, 4.30%, 11/1/30 | BBB | 300,000 | 330,288 | |||
| Pub. Fin. Auth. Higher Ed. Fac. Rev. Bonds, (Gannon U.) | ||||||
| 5.00%, 5/1/47 | BBB+ | 250,000 | 283,513 | |||
| 5.00%, 5/1/42 | BBB+ | 1,090,000 | 1,241,575 | |||
| Pub. Fin. Auth. Ltd. Oblig. Pilot 144A Rev. Bonds, (American Dream at Meadowlands), 7.00%, 12/1/50 | BB/P | 1,000,000 | 1,208,010 | |||
| Pub. Fin. Auth. Retirement Communities Rev. Bonds, (Evergreens Oblig. Group), Ser. A, 5.00%, 11/15/49 | BBB/F | 1,750,000 | 2,020,218 | |||
| Pub. Fin. Auth. Retirement Fac. Rev. Bonds, (Southminster, Inc.), 5.00%, 10/1/43 | BB/F | 750,000 | 837,720 | |||
| WI State Hlth. & Edl. Fac. Auth. Rev. Bonds, (St. John's Cmnty., Inc.), Ser. B, 5.00%, 9/15/45 | BBB-/F | 250,000 | 259,850 | |||
| WI State Pub. Fin. Auth Sr. Living Rev. Bonds, (Rose Villa, Inc.), Ser. A, 5.75%, 11/15/44 | BB-/P | 1,800,000 | 1,973,430 | |||
| WI State Pub. Fin. Auth Sr. Living 144A Rev. Bonds, (Mary's Woods at Marylhurst), Ser. A, 5.25%, 5/15/37 | BB/F | 380,000 | 430,342 | |||
| WI State Pub. Fin. Auth. 144A Rev. Bonds, (Church Home of Hartford, Inc.), Ser. A, 5.00%, 9/1/30 | BB/F | 945,000 | 1,037,506 | |||
| 11,339,790 | ||||||
| Total municipal bonds and notes (cost $497,881,761) | $532,679,046 | |||||
| SHORT-TERM INVESTMENTS (1.6%)(a) | ||||||
| Principal
amount/ shares |
Value | |||||
| Putnam Short Term Investment Fund 1.70%(AFF) | Shares | 7,863,310 | $7,863,310 | |||
| U.S. Treasury Bills 1.565%, 6/11/20 | $292,000 | 290,422 | ||||
| U.S. Treasury Bills 1.908%, 3/12/20 | 152,000 | 151,754 | ||||
| U.S. Treasury Bills 1.571%, 5/7/20(SEG) | 64,000 | 63,743 | ||||
| Total short-term investments (cost $8,369,111) | $8,369,229 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $506,250,872) | $541,048,275 | |||||
| FUTURES CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | ||||||
| Number of contracts | Notional amount |
Value | Expiration date | Unrealized appreciation/ (depreciation) |
||
| U.S. Treasury Bond 30 yr (Short) | 13 | $2,125,906 | $2,125,906 | Mar-20 | $(55,308) | |
| Unrealized appreciation | — | |||||
| Unrealized (depreciation) | (55,308) | |||||
| Total | $(55,308) | |||||
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | |||||||||||
| Swap
counterparty/ notional amount |
Value | Upfront premium received (paid) | Termi- nation date |
Payments
made by fund |
Payments
received by fund |
Unrealized appreciation/ (depreciation) |
|||||
| Citibank, N.A. | |||||||||||
| $10,800,000 | $212,641 | (E) | $— | 10/18/31 | 1.404% — Quarterly | SIFMA Municipal Swap index — Quarterly | $(212,640) | ||||
| 20,000,000 | 195,840 | (E) | — | 10/18/26 | SIFMA Municipal Swap index — Quarterly | 1.182% — Quarterly | 195,840 | ||||
| 37,830,000 | 328,137 | (E) | — | 10/20/26 | SIFMA Municipal Swap index — Quarterly | 1.159% — Quarterly | 328,137 | ||||
| 11,135,000 | 327,592 | (E) | — | 10/21/41 | 1.559% — Quarterly | SIFMA Municipal Swap index — Quarterly | (327,592) | ||||
| Upfront premium received | — | Unrealized appreciation | 523,977 | ||||||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (540,232) | ||||||||
| Total | $— | Total | $(16,255) | ||||||||
| (E) | Extended effective date. | ||||||||||
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | |||||||||||
| Swap
counterparty/ notional amount |
Value | Upfront premium received (paid) | Termi- nation date |
Payments
received (paid) by fund |
Total return received by or paid by fund | Unrealized appreciation/ (depreciation) |
|||||
| Bank of America N.A. | |||||||||||
| $3,970,000 | $21,494 | $— | 4/16/20 | — | 1.02% minus Municipal Market Data Index AAA municipal yields 5 Year rate — At maturity | $21,494 | |||||
| Citibank, N.A. | |||||||||||
| 6,900,000 | 10,971 | — | 4/28/20 | — | 0.95% minus Municipal Market Data Index AAA municipal yields 5 Year rate — At maturity | 10,971 | |||||
| 7,800,000 | 20,171 | — | 4/28/20 | — | 0.97% minus Municipal Market Data Index AAA municipal yields 5 Year rate — At maturity | 20,171 | |||||
| 8,500,000 | 128,231 | — | 4/16/20 | — | 1.38% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | 128,231 | |||||
| 2,075,000 | 176,294 | — | 2/10/20 | — | 2.24% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | 176,294 | |||||
| 955,000 | 151,806 | — | 6/2/20 | — | 2.7% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (151,806) | |||||
| 1,915,000 | 307,695 | — | 6/4/20 | — | 2.71% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (307,695) | |||||
| Morgan Stanley & Co. International PLC | |||||||||||
| 10,000,000 | 35,010 | — | 4/22/20 | — | 0.985% minus Municipal Market Data Index AAA municipal yields 5 Year rate — At maturity | 35,010 | |||||
| 3,970,000 | 20,934 | — | 4/21/20 | — | 1.02% minus Municipal Market Data Index AAA municipal yields 5 Year rate — At maturity | 20,934 | |||||
| Upfront premium received | — | Unrealized appreciation | 413,105 | ||||||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (459,501) | ||||||||
| Total | $— | Total | $(46,396) | ||||||||
| 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 November 1, 2019 through January 31, 2020 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
| (a) | Percentages indicated are based on net assets of $507,763,604. | |||||
| (NON) | This security is non-income-producing. | |||||
| (STP) | 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. | |||||
| (AFF) | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
| Name of affiliate | Fair
value as of 10/31/19 |
Purchase cost |
Sale proceeds |
Investment income |
Shares
outstanding and fair value as of 1/31/20 |
|
| Short-term investments | ||||||
| Putnam Short Term Investment Fund* | $— | $41,423,576 | $33,560,266 | $23,866 | $7,863,310 | |
| Total Short-term investments | $— | $41,423,576 | $33,560,266 | $23,866 | $7,863,310 | |
| * Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
| (SEG) | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $59,748. | |||||
| (T) | Underlying security in a tender option bond transaction. This security has been segregated as collateral for financing transactions. | |||||
| (WIS) | When-issued security (Note 1). | |||||
| At the close of the reporting period, the fund maintained liquid assets totaling $57,385,912 to cover certain derivative contracts, tender option bonds and the settlement of certain securities. | ||||||
| Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | ||||||
| 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. | ||||||
| On Mandatory Put Bonds, the rates shown are the current interest rates at the close of the reporting period and the dates shown represent the next mandatory put dates. Rates are set by remarketing agents and may take into consideration market supply and demand, credit quality and the current SIFMA Municipal Swap Index, 1 Month US LIBOR or 3 Month US LIBOR rates, which were 0.94%, 1.66% and 1.75%, respectively, as of the close of the reporting period. | ||||||
| The dates shown parenthetically on prerefunded bonds represent the next prerefunding dates. | ||||||
| The dates shown on debt obligations are the original maturity dates. | ||||||
| The fund had the following sector concentrations greater than 10% at the close of the reporting period (as a percentage of net assets): | ||||||
| Healthcare | 22.80% | |||||
| Education | 13.0 | |||||
| State debt | 11.0 | |||||
| Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
| Tax-exempt bonds and notes are generally valued on the basis of valuations provided by an independent pricing service approved by the Trustees. Such services use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2. | ||||||
| Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. 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. 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. 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. | ||||||
| Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. | ||||||
| The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | ||||||
| Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”. | ||||||
| For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | ||||||
| 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 and for yield curve positioning. | ||||||
| An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | ||||||
| The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
| For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | ||||||
| Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure and for gaining exposure to specific sectors. | ||||||
| To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
| For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | ||||||
| Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts 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, is presented in the fund’s portfolio. | ||||||
| Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
| 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 and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
| At the close of the reporting period, the fund had a net liability position of $140,089 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements. | ||||||
| Tender option bond transactions: The fund may participate in transactions whereby a fixed-rate bond is transferred to a tender option bond trust (TOB trust) sponsored by a broker. The TOB trust funds the purchase of the fixed rate bonds by issuing floating-rate bonds issued to third parties and allowing the fund to retain the residual interest in the TOB trust’s assets and cash flows, which are in the form of inverse floating rate bonds. The inverse floating rate bonds held by the fund give the fund the right to (1) cause the holders of the floating rate bonds to tender their notes at par, and (2) to have the fixed-rate bond held by the TOB trust transferred to the fund, causing the TOB trust to collapse. The fund accounts for the transfer of the fixed-rate bond to the TOB trust as a secured borrowing by including the fixed-rate bond in The fund’s portfolio and including the floating rate bond as a liability in the Statement of assets and liabilities. [cont.] | ||||||
| At the close of the reporting period, the fund’s investments with a value of $42,676,297 were held by the TOB trust and served as collateral for $26,628,318 in floating-rate bonds outstanding. During the reporting period, the fund incurred interest expense of $63,425 for these investments based on an average interest rate of 1.12%. | ||||||
| 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 |
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| Investments in securities: | Level 1 | Level 2 | Level 3 | |
| Municipal bonds and notes | $— | $532,679,046 | $— | |
| Short-term investments | 7,863,310 | 505,919 | — | |
| Totals by level | $7,863,310 | $533,184,965 | $— | |
Valuation inputs |
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| Other financial instruments: | Level 1 | Level 2 | Level 3 | |
| Futures contracts | (55,308) | — | — | |
| Interest rate swap contracts | — | (16,255) | — | |
| Total return swap contracts | — | (46,396) | — | |
| Totals by level | $(55,308) | $(62,651) | $— | |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
| Futures contracts (number of contracts) | 10 | |||
| OTC interest rate swap contracts (notional) | $80,200,000 | |||
| OTC total return swap contracts (notional) | $40,400,000 | |||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |
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