Putnam
Diversified Income
Trust

Semiannual report
3 | 31 | 22

 

 

Message from the Trustees

May 10, 2022

Dear Fellow Shareholder:

Financial markets have been bumpy in recent months. Investors are weighing the risks of higher inflation, interest-rate increases by the Federal Reserve, and the global impact of Russia’s attack on Ukraine. Regional surges in Covid-19 infections are also complicating global trade.

In times like these, it’s worth remembering the benefits of staying focused on your long-term financial goals. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.

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 9–10 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.

Returns for periods of less than one year are not annualized.

Lipper peer group average is provided by Lipper, a Refinitiv company.

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

This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/22. See above and pages 9–10 for additional fund performance information. Index descriptions can be found on page 15.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

 

 

Mike, what was the fund’s investment environment like during the six months ended March 31, 2022?

After posting relatively subdued returns during the first half of the reporting period, fixed income markets became volatile during the second half. Hawkish policy pivots from the U.S. Federal Reserve and the European Central Bank in the face of rapidly rising inflation, combined with Russia’s invasion of Ukraine, fueled a flight from risk.

Within this environment, credit spreads widened and interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury rose from 1.52% on September 30, 2021, to 2.32% on March 31, 2022. In anticipation of Fed policy changes, short-term yields rose even more, causing the yield curve to flatten materially.

On March 16, the Fed approved a 0.25% interest-rate hike, its first increase since December 2018. Fed Chair Jerome Powell signaled an aggressive approach going forward,

 

 

Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/22. 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.

indicating that additional interest-rate hikes could occur at each of the remaining six policy meetings in 2022.

Which holdings and strategies hampered the fund’s performance?

First off, I think it’s important to highlight that the fund continued to invest outside the constraints of traditional fixed income benchmarks, seeking what we view as the best investment opportunities based on risk rather than asset class. These risks include interest rate, credit, prepayment, and liquidity. Despite the fund’s negative return, this emphasis on diversification helped it outpace the broad investment-grade fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index, during the reporting period.

In terms of specific strategies, our interest-rate and yield curve strategy was the primary detractor this period. The portfolio was positioned to benefit if inflation declined and real interest rates rose. [Real interest rates adjust for the effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] Rising inflation hurt our strategy, but the portfolio benefited from an increase in real interest rates during the first quarter of calendar 2022. This benefit partially offset the negative outcome of our broader term structure strategy.

Strategies targeting prepayment risk also proved negative overall. Yield spreads on our agency interest-only [IO] and inverse IO collateralized mortgage obligations [CMOs]

 

 

widened during the fourth quarter of calendar 2021 due to broader market volatility. Our mortgage basis positioning helped offset some of this performance drag. Our mortgage basis strategy received a boost early in 2022, following the release of the minutes from the Fed’s December 2021 policy meeting. The minutes indicated the central bank might sell its holdings of government agency mortgage-backed securities [MBS] more rapidly than investors originally anticipated, which could cause MBS yields to rise more quickly. By way of explanation, our mortgage basis strategy seeks to capitalize on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages.

Elsewhere, our active currency strategy was a further detractor, primarily because our long exposure to the Japanese yen weakened significantly versus the U.S. dollar during March.

Holdings of emerging market [EM] debt also worked against performance. The turmoil resulting from Russia’s invasion of Ukraine hit EM bonds particularly hard in February. EM debt rebounded a bit in March but not enough to fully offset earlier weakness.

What about contributors?

Mortgage credit holdings added considerable value this period, led by an allocation to commercial mortgage-backed securities [CMBS]. Our investments consisted of cash bonds along with synthetic exposure via CMBX. [CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a

This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.

 

 

particular year.] Despite broader market volatility, the continued reopening of the economy and the success of vaccines helped many types of property to recover, which, in turn, boosted our CMBS positions.

How did you use derivatives during the period?

We used credit default swaps to gain exposure to CMBS via CMBX, to gain exposure to specific sectors, gain liquid exposure to individual names, and also 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 rates in various countries. We utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our holdings of CMOs, and to help manage overall downside risk. We used total return swaps as a hedging tool and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What are your current views on the major sectors in which the fund invests?

Overall, we have a cautiously optimistic outlook but recognize that geopolitical tensions and monetary policy decisions will likely continue to influence fixed income markets.

Looking first at high-yield corporate credit, our view is moderately constructive. We have a positive outlook for high-yield market fundamentals and the overall supply-and-demand backdrop. That said, we anticipate continued bouts of volatility given the conflict in Ukraine, the pace of Fed interest-rate hikes, and potentially negative effects on energy supplies from sanctions on Russia. Our view on security valuations is more neutral, given the relative tightness of yield spreads in the market as of March 31. Spreads widened during the period but remain tight by historical standards.

We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic

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.

 

 

increases at retailers, and hotels welcome back business and leisure travelers. Our emphasis on investment opportunities in the U.S. helps to minimize the impact of geopolitical risk on the fund’s portfolio, in our view. Moreover, with real assets serving as collateral, along with the potential for rent adjustments, CMBS have historically performed well during periods of rising inflation. Consistent with risk markets generally, CMBS spreads widened during the first quarter of calendar 2022. The increased liquidity premium enhanced the appeal of select market segments, in our view.

Within residential mortgage credit, we believe continued high demand and low inventory of available homes is likely to push prices even higher. Given that home prices have already risen substantially and mortgage rates have moved up, we are aware that affordability has become a constraint for many prospective buyers. Consequently, we think the pace of home price appreciation is likely to moderate during 2022. Wider spreads have created better value among mid-tier and lower-rated securities. As a result, we are finding attractive investment opportunities in that area of the market, as well as among higher-rated securities.

We believe the Fed’s shift toward tighter monetary policy may cause it to accelerate sales of MBS that it currently holds. A faster pace of MBS tapering may reduce home price inflation, helping to boost the Fed’s inflation-fighting mandate. Against this backdrop, we believe many prepayment-sensitive securities may offer attractive risk-adjusted returns from current price levels and may offer meaningful upside potential if mortgage prepayment speeds slow. We think the fund’s prepayment-related strategies provide an important source of diversification in the portfolio. In our view, prepayment strategies

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. In other examples, the managers may use options and futures contracts to hedge against a variety of risks.

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.

 

 

could benefit from an economic slowdown, a shift to supportive fiscal policies, or a sustained increase in mortgage rates.

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

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.

Of special interest

The fund had minimal exposure to Russian securities at the end of the period. Holdings in Russian securities generally experienced sharp declines in value in late February and early March 2022. Additionally, they have been subject to liquidity and settlement constraints, as well as, in certain cases, U.S. and other governmental sanctions. We are closely monitoring governmental actions, including the issuance of sanctions, and related market developments.

 

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2022, 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 M, 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.

Annualized fund performance Total return for periods ended 3/31/22

 

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.

Returns for periods of less than one year are not annualized.

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

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

 

 

Comparative annualized index returns For periods ended 3/31/22

 

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

Returns for periods of less than one year are not annualized.

Lipper peer group average is provided by Lipper, a Refinitiv company.

^* The fund’s benchmark, the ICE BofA 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 3/31/22, there were 97, 96, 89, 82, 29, and 3 funds, respectively, in this Lipper category.

Fund price and distribution information For the six-month period ended 3/31/22

 

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

³ Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

 

 

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

 

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.

^* Includes one time annualized proxy costs of 0.01%.

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 10/1/21 to 3/31/22. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

 

^* 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 3/31/22. 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 (182); and then dividing that result by the number of days in the year (365).

 

 

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 3/31/22, use the following calculation method. To find the value of your investment on 10/1/21, call Putnam at 1-800-225-1581.

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.

 

^* 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 3/31/22. 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 (182); and then dividing that result by the number of days in the year (365).

 

 

Consider these risks before investing

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.

The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s concentration in an industry group comprising mortgage-backed securities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate properties. The fund currently has significant investment exposure to commercial mortgage-backed securities. 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 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. International investing involves currency, economic, and political risks. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.

 

 

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. They 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 class B shares of 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. They are only available to individuals purchasing shares of the fund from Japanese distributors that have selling agreements with Putnam Retail Management.

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 (CRT) security 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 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 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 BofA (Intercontinental Exchange Bank of America) 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.

BLOOMBERG^®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA 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 BofA 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, a Refinitiv company, 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.

 

 

Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed 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, 2021, 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-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online 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, 2022, Putnam employees had approximately $530,000,000 and the Trustees had approximately $77,000,000 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.

 

 

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 period.

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.

 

 

The fund’s portfolio 3/31/22 (Unaudited)

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (84.3%)*	Principal amount	Value
U.S. Government Guaranteed Mortgage Obligations (—%)
Government National Mortgage Association Pass-Through Certificates
6.50%, 11/20/38	$102,135	$114,085
5.00%, 3/20/50	30,004	31,824
3.50%, with due dates from 9/20/49 to 11/20/49	93,376	94,515
		240,424
U.S. Government Agency Mortgage Obligations (84.3%)
Uniform Mortgage-Backed Securities
5.50%, TBA, 4/1/52	12,000,000	12,704,395
5.00%, TBA, 4/1/52	5,000,000	5,256,669
4.50%, TBA, 5/1/52	15,000,000	15,499,223
4.50%, TBA, 4/1/52	15,000,000	15,560,160
4.00%, TBA, 5/1/52	304,000,000	309,106,409
4.00%, TBA, 4/1/52	283,000,000	288,814,914
3.50%, TBA, 5/1/52	74,000,000	73,855,471
3.50%, TBA, 4/1/52	393,000,000	393,706,182
3.00%, TBA, 6/1/52	35,000,000	34,090,819
3.00%, TBA, 5/1/52	93,000,000	90,776,723
3.00%, TBA, 4/1/52	205,000,000	200,563,677
2.00%, TBA, 4/1/52	152,000,000	141,077,371
		1,581,012,013
Total U.S. government and agency mortgage obligations (cost $1,603,751,494)		$1,581,252,437

U.S. TREASURY OBLIGATIONS (0.2%)*	Principal amount	Value
U.S. Treasury Notes 1.25%, 6/30/28 i	$3,936,000	$3,673,587
Total U.S. treasury obligations (cost $3,673,587)		$3,673,587

MORTGAGE-BACKED SECURITIES (44.5%)*		Principal amount	Value
Agency collateralized mortgage obligations (25.3%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3919, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%), 6.103%, 9/15/41		$5,933,116	$929,518
REMICs Ser. 4509, Class CI, IO, 6.00%, 9/15/45		11,455,660	2,479,360
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.803%, 12/15/47		12,847,458	1,834,617
REMICs IFB Ser. 4731, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.803%, 11/15/47		10,081,443	1,553,834
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.793%, 9/25/50		4,242,384	760,829
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 8/15/56		2,098,193	386,109
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 4/15/47		7,847,804	1,353,673
REMICs IFB Ser. 4265, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 1/15/35		23,396,146	2,920,619
REMICs IFB Ser. 5004, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 8/25/50		4,427,809	737,142

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 7/25/50		$38,000,865	$5,948,834
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 1/25/50		2,786,704	377,715
REMICs IFB Ser. 4937, Class 4937, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 12/25/49		886,729	135,776
Strips IFB Ser. 326, Class S2, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.553%, 3/15/44		4,832,758	700,578
Strips IFB Ser. 311, Class S1, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.553%, 8/15/43		7,974,743	1,291,298
REMICs Ser. 5007, Class IC, IO, 5.00%, 8/25/50		4,358,624	821,338
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42		2,973,864	522,805
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51		51,257,575	10,164,177
REMICs Ser. 5134, Class ID, IO, 4.50%, 8/25/51		33,629,683	6,207,838
REMICs Ser. 5122, Class AI, IO, 4.50%, 7/25/51		36,968,024	7,293,791
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50		30,686,739	6,070,696
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50		25,963,043	4,732,666
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50		28,198,484	5,456,839
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50		5,775,865	1,070,479
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50		2,854,775	555,777
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42		3,021,487	537,547
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42		4,029,602	570,164
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41		4,399,346	449,199
REMICs Ser. 4635, Class PI, IO, 4.00%, 12/15/46		7,450,550	1,131,993
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43		14,554,307	1,959,039
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41		4,012,508	179,242
REMICs Ser. 4020, Class IA, IO, 4.00%, 3/15/27		2,490,225	125,980
REMICs Ser. 5142, Class IC, IO, 3.50%, 9/25/51		50,646,416	7,700,737
REMICs Ser. 4484, Class TI, IO, 3.50%, 11/15/44		1,810,776	133,242
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41		2,342,990	165,676
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50		61,426,659	8,193,923
REMICs Ser. 4801, Class IG, IO, 3.00%, 6/15/48		4,937,748	635,015
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42		7,960,015	636,379
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41		1,685,990	25,046
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.394%, 7/25/43 W		6,184,544	85,347
Federal National Mortgage Association
Grantor Trust Ser. 98-T2, Class A4, IO, 6.50%, 10/25/36		7,075	492
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46		9,299,753	1,758,990
REMICs Ser. 15-69, IO, 6.00%, 9/25/45		10,595,223	2,328,565
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37		16,296,553	3,188,877
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 5.943%, 4/25/40		4,673,817	742,962
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/48		30,101,765	4,071,174
REMICs IFB Ser. 18-44, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/48		35,824,284	4,836,278
REMICs IFB Ser. 15-42, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/45		2,117,181	250,928

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 10/25/41		$1,404,436	$44,473
REMICs IFB Ser. 19-5, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 3/25/49		1,771,558	265,455
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 12/25/46		33,593,003	4,402,072
REMICs IFB Ser. 16-62, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 9/25/46		23,755,072	2,942,541
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 3/25/50		2,216,604	344,349
REMICs IFB Ser. 19-73, Class 73, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 12/25/49		1,067,946	161,456
REMICs IFB Ser. 19-57, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 10/25/49		2,662,086	375,432
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 8/25/49		1,249,002	146,107
REMICs IFB Ser. 19-47, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 8/25/49		14,453,736	2,098,943
REMICs IFB Ser. 19-34, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 7/25/49		16,762,134	2,367,927
REMICs IFB Ser. 19-38, Class 38, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 7/25/49		824,784	131,388
Interest Strip Ser. 399, Class 2, IO, 5.50%, 11/25/39		14,993	3,017
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36		625,900	104,750
REMICs Ser. 16-3, Class MI, IO, 5.50%, 2/25/46		27,982,551	4,900,304
REMICs Ser. 15-30, IO, 5.50%, 5/25/45		1,207,392	215,821
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.443%, 10/25/41		9,088,058	1,180,889
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35		714,299	114,144
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50		23,644,280	4,283,516
REMICs Ser. 12-151, Class IN, IO, 5.00%, 1/25/43		7,224,865	1,294,551
REMICs Ser. 17-87, Class KI, IO, 5.00%, 6/25/41		529,255	92,598
Interest Strip Ser. 404, Class 2, IO, 4.50%, 5/25/40		44,369	7,600
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51		51,345,011	8,917,638
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51		25,263,186	5,148,637
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50		3,857,431	654,453
REMICs Ser. 18-58, Class AI, IO, 4.50%, 8/25/48		20,737,273	3,189,896
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42		3,507,079	685,285
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40		913,526	16,717
Interest Strip Ser. 405, Class 2, IO, 4.00%, 10/25/40		48,887	7,582
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50		5,889,805	1,044,262
REMICs Ser. 19-70, Class 70, IO, 4.00%, 12/25/49		8,324,985	981,100
REMICs Ser. 18-3, Class PI, IO, 4.00%, 2/25/48		5,763,376	902,292
REMICs Ser. 17-65, Class LI, IO, 4.00%, 8/25/47		2,483,391	337,791
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44		1,985,852	115,863
REMICs Ser. 15-83, IO, 4.00%, 10/25/43		822,598	106,316
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43		8,284,616	1,153,716
REMICs Ser. 13-115, Class CI, IO, 4.00%, 2/25/43		139,437	510
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43		3,056,110	352,964

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42		$2,713,251	$290,860
REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46		8,610,132	1,173,475
REMICs Ser. 13-18, Class IN, IO, 3.50%, 3/25/43		8,845,266	1,287,149
REMICs Ser. 13-70, Class CI, IO, 3.50%, 1/25/43		1,916,131	169,281
REMICs Ser. 13-49, Class IP, IO, 3.50%, 12/25/42		5,778,472	380,766
REMICs Ser. 13-40, Class YI, IO, 3.50%, 6/25/42		4,345,575	303,526
REMICs Ser. 12-123, Class DI, IO, 3.50%, 5/25/41		9,254,345	767,481
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43		16,428,044	1,965,418
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42		2,486,946	104,715
REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42		5,183,191	162,794
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41		1,459,828	16,261
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51		70,945,815	10,770,209
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40 W		2,661,640	26,616
REMICs FRB Ser. 01-50, Class B1, IO, 0.379%, 10/25/41 W		92,468	462
FRB Ser. 02-W8, Class 1, IO, 0.298%, 6/25/42 W		4,285,215	32,139
Government National Mortgage Association
IFB Ser. 13-9, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.75%), 6.301%, 1/20/43		17,441,707	2,868,948
IFB Ser. 20-61, Class SF, IO, ((-1 x 1 Month US LIBOR) + 6.44%), 5.991%, 7/20/43		18,779,093	2,823,994
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 6/20/51		4,520,204	636,354
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 5/20/51		40,003,388	5,838,838
IFB Ser. 21-58, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 4/20/51		65,087,817	8,178,200
IFB Ser. 21-42, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 3/20/51		41,234,338	4,864,960
IFB Ser. 21-57, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 3/20/51		68,128,891	10,230,520
IFB Ser. 18-105, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.801%, 8/20/48		18,216,583	2,199,866
IFB Ser. 18-91, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.801%, 7/20/48		13,690,997	1,670,009
IFB Ser. 18-104, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 8/20/48		17,762,625	2,093,965
IFB Ser. 18-100, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 7/20/48		13,941,354	1,646,014
IFB Ser. 18-89, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 6/20/48		12,848,962	1,524,325
IFB Ser. 18-67, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 5/20/48		11,772,960	1,409,062
IFB Ser. 17-160, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 10/20/43		19,667,125	2,720,278
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 7/20/50		2,972,760	500,317
IFB Ser. 18-139, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 10/20/48		1,765,062	198,332
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 9/20/43		3,603,102	516,397

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
IFB Ser. 16-77, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 3/20/43		$835,802	$36,493
IFB Ser. 13-152, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 5/20/41		14,859,156	2,089,188
IFB Ser. 10-20, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 2/20/40		3,692,510	516,656
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.669%, 7/16/43		3,989,844	537,551
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 4/20/50		3,196,304	476,040
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 8/20/49		1,733,448	213,023
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 7/20/49		1,830,197	217,482
IFB Ser. 18-164, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 12/20/48		28,239,130	3,449,723
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 10/20/45		14,215,209	2,023,759
IFB Ser. 14-46, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 3/20/44		7,422,550	942,536
IFB Ser. 14-4, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 1/20/44		11,560,630	1,666,859
IFB Ser. 13-182, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 12/20/43		4,197,373	647,415
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 2/20/50		5,239,204	533,703
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 1/20/50		32,424,926	4,363,021
IFB Ser. 19-125, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 10/20/49		8,954,227	1,924,636
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 8/20/49		4,015,605	467,678
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 6/20/49		4,437,153	462,655
IFB Ser. 19-6, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 1/20/49		17,088,470	1,810,692
Ser. 17-104, Class MI, IO, 5.50%, 7/16/47		10,184,469	2,360,665
Ser. 17-79, Class IB, IO, 5.50%, 5/20/47		3,665,908	788,056
Ser. 17-52, Class DI, IO, 5.50%, 4/20/47		4,484,282	906,904
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.151%, 8/20/44		10,210,806	1,235,023
Ser. 19-119, Class IN, IO, 5.00%, 9/20/49		20,654,168	3,300,409
Ser. 18-37, IO, 5.00%, 3/20/48		8,326,893	1,402,553
Ser. 17-179, Class WI, IO, 5.00%, 12/20/47		4,767,962	990,247
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47		4,672,624	923,217
Ser. 16-126, Class PI, IO, 5.00%, 2/20/46		8,171,562	1,603,015
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45		5,466,999	776,837
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45		13,923,689	2,589,904
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44		1,830,319	351,934
Ser. 14-132, IO, 5.00%, 9/20/44		5,726,322	983,049

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44		$5,531,322	$823,096
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43		2,166,475	439,361
Ser. 12-146, IO, 5.00%, 12/20/42		4,042,324	815,094
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40		16,128,207	3,100,359
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40		4,994,004	944,702
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40		27,253,863	5,399,535
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39		14,965,647	2,970,382
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39		1,100,543	204,325
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39		7,349,639	1,432,004
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39		6,630,212	1,242,392
Ser. 20-61, IO, 4.50%, 5/20/50		73,089,205	13,352,542
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48		1,887,338	290,439
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47		38,784,601	5,695,530
Ser. 16-84, Class IB, IO, 4.50%, 11/16/45		1,776,516	338,018
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45		9,037,797	1,588,529
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43		5,961,956	994,803
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43		6,415,889	1,055,145
Ser. 13-183, Class JI, IO, 4.50%, 2/16/43		3,260,654	214,955
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42		922,704	63,150
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41		14,655,100	2,657,846
Ser. 13-167, IO, 4.50%, 9/20/40		2,975,190	486,689
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40		3,556,474	549,271
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40		10,340,716	1,779,244
Ser. 10-20, Class BI, IO, 4.50%, 2/16/40		9,027,332	1,714,832
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40		5,437,292	977,081
Ser. 14-71, Class PI, IO, 4.50%, 12/20/39		5,748,899	554,482
Ser. 16-138, Class DI, IO, 4.00%, 10/20/46		7,499,809	1,184,144
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45		15,134,667	1,790,334
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44		8,781,825	1,025,717
Ser. 15-79, Class MI, IO, 4.00%, 5/20/44		2,625,816	212,718
Ser. 14-4, Class BI, IO, 4.00%, 1/20/44		6,628,477	1,156,601
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44		4,475,060	723,673
Ser. 14-163, Class PI, IO, 4.00%, 10/20/43		1,613,905	39,619
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43		2,849,012	425,853
Ser. 13-27, Class IJ, IO, 4.00%, 2/20/43		3,391,718	556,072
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42		1,521,637	182,376
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42		5,644,770	851,231
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42		2,078,938	349,686
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41		5,237,738	461,647
Ser. 21-8, Class VI, IO, 3.50%, 12/20/50		30,554,446	4,957,631
Ser. 19-110, Class PI, IO, 3.50%, 9/20/49		11,418,630	1,389,647
Ser. 18-21, Class AI, IO, 3.50%, 2/20/48		1,692,224	90,983
Ser. 17-139, Class IG, IO, 3.50%, 9/20/47		1,654,797	186,700
Ser. 16-79, IO, 3.50%, 6/20/46		4,083,628	473,456
Ser. 15-131, Class CI, IO, 3.50%, 9/20/45		4,265,383	540,735
Ser. 15-131, Class MI, IO, 3.50%, 9/20/45		6,704,126	892,486
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45		7,924,353	768,348
Ser. 13-76, IO, 3.50%, 5/20/43		7,425,742	984,505

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43		$4,674,018	$535,639
Ser. 13-28, IO, 3.50%, 2/20/43		1,765,607	174,862
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43		3,930,431	420,517
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43		4,226,480	461,447
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42		1,792,469	206,761
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42		17,914,686	2,737,042
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42		12,043,196	1,829,715
Ser. 12-92, Class AI, IO, 3.50%, 4/20/42		300,554	651
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42		3,468,860	215,615
Ser. 13-37, Class LI, IO, 3.50%, 1/20/42		5,253,473	313,632
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40		8,228,718	591,645
Ser. 15-17, Class LI, IO, 3.50%, 5/16/40		3,188,986	47,547
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39		6,120,903	258,244
Ser. 15-134, Class LI, IO, 3.50%, 5/20/39		142,559	—
Ser. 12-48, Class AI, IO, 3.50%, 2/20/36		447,266	2,060
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51		41,945,087	5,164,825
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51		41,008,737	4,409,012
Ser. 21-30, Class KI, IO, 3.00%, 2/20/51		48,417,856	7,892,674
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50		33,503,059	5,129,831
Ser. 20-176, Class BI, IO, 3.00%, 11/20/50		52,602,843	8,087,687
Ser. 16-H04, Class HI, IO, 2.381%, 7/20/65 W		45,246,361	1,714,837
Ser. 18-H05, Class BI, IO, 2.374%, 2/20/68 W		54,726,481	3,796,650
Ser. 18-H04, IO, 2.364%, 2/20/68 W		36,893,439	2,577,450
Ser. 17-H16, Class JI, IO, 2.331%, 8/20/67 W		32,039,043	2,192,672
Ser. 17-H08, Class NI, IO, 2.33%, 3/20/67 W		41,018,052	2,124,735
Ser. 17-H05, Class CI, IO, 2.315%, 2/20/67 W		4,467,082	271,250
Ser. 18-H05, Class AI, IO, 2.261%, 2/20/68 W		46,085,440	3,197,178
Ser. 17-H12, Class QI, IO, 2.251%, 5/20/67 W		33,276,116	1,664,138
Ser. 17-H06, Class BI, IO, 2.245%, 2/20/67 W		39,886,582	2,610,022
Ser. 17-H18, Class FI, IO, 2.225%, 9/20/67 W		33,324,730	2,572,253
Ser. 16-H16, Class EI, IO, 2.199%, 6/20/66 W		29,016,629	1,711,981
Ser. 17-H16, IO, 2.196%, 8/20/67		28,776,375	2,143,581
Ser. 17-H11, Class TI, IO, 2.193%, 4/20/67 W		22,632,015	1,731,349
Ser. 18-H01, Class XI, IO, 2.186%, 1/20/68 W		30,763,986	2,547,643
Ser. 18-H03, Class XI, IO, 2.135%, 2/20/68 W		73,219,720	4,678,740
Ser. 17-H20, Class HI, IO, 2.133%, 10/20/67 W		28,386,279	2,058,006
Ser. 16-H22, Class AI, IO, 2.13%, 10/20/66 W		31,223,102	1,593,971
Ser. 18-H02, Class EI, IO, 2.123%, 1/20/68 W		59,077,070	4,135,395
Ser. 17-H02, Class BI, IO, 2.11%, 1/20/67 W		18,474,208	993,062
Ser. 18-H01, IO, 2.108%, 12/20/67 W		20,396,565	1,381,418
Ser. 17-H03, Class EI, IO, 2.103%, 1/20/67 W		20,583,494	1,546,978
Ser. 17-H06, Class MI, IO, 2.098%, 2/20/67 W		31,780,098	1,806,603
Ser. 16-H23, Class NI, IO, 2.097%, 10/20/66 W		76,177,607	3,839,352
Ser. 18-H02, Class HI, IO, 2.087%, 1/20/68 W		48,590,716	3,401,350
Ser. 16-H24, Class JI, IO, 1.979%, 11/20/66 W		16,270,343	1,001,643
Ser. 16-H17, Class KI, IO, 1.887%, 7/20/66 W		18,586,186	1,028,048
Ser. 16-H27, Class EI, IO, 1.875%, 12/20/66 W		25,974,371	1,030,481
Ser. 15-H15, Class BI, IO, 1.872%, 6/20/65 W		52,862,416	3,029,017

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 15-H12, Class AI, IO, 1.858%, 5/20/65 W		$61,312,687	$3,194,391
Ser. 15-H23, Class DI, IO, 1.851%, 9/20/65 W		27,975,991	1,700,940
Ser. 15-H18, Class BI, IO, 1.85%, 7/20/65 W		28,117,652	1,566,154
Ser. 17-H11, Class DI, IO, 1.846%, 5/20/67 W		21,931,204	1,346,713
Ser. 17-H09, IO, 1.835%, 4/20/67 W		33,039,333	1,457,596
Ser. 17-H10, Class MI, IO, 1.833%, 4/20/67 W		65,804,240	2,888,806
Ser. 15-H10, Class BI, IO, 1.814%, 4/20/65 W		26,111,019	1,506,606
Ser. 15-H15, Class AI, IO, 1.811%, 6/20/65 W		36,621,476	2,167,992
FRB Ser. 15-H08, Class CI, IO, 1.793%, 3/20/65 W		45,531,615	2,272,027
Ser. 15-H20, Class BI, IO, 1.781%, 8/20/65 W		35,388,839	1,680,970
Ser. 17-H06, Class DI, IO, 1.767%, 2/20/67 W		25,783,892	1,232,470
Ser. 15-H23, Class BI, IO, 1.751%, 9/20/65 W		53,631,274	2,568,938
Ser. 15-H24, Class AI, IO, 1.75%, 9/20/65 W		25,495,981	1,102,140
Ser. 15-H03, Class CI, IO, 1.71%, 1/20/65 W		53,145,910	2,572,262
Ser. 14-H25, Class BI, IO, 1.676%, 12/20/64 W		37,229,323	1,508,421
Ser. 16-H14, IO, 1.675%, 6/20/66 W		34,001,265	1,432,915
Ser. 16-H18, IO, 1.659%, 8/20/66 W		36,401,400	1,539,961
Ser. 16-H08, Class AI, IO, 1.596%, 8/20/65 W		34,474,366	1,285,894
Ser. 17-H03, Class HI, IO, 1.585%, 1/20/67 W		55,223,695	2,114,032
Ser. 15-H01, Class BI, IO, 1.561%, 1/20/65 W		27,350,544	1,100,066
Ser. 18-H15, Class EI, IO, 1.50%, 8/20/68 W		48,206,323	2,786,325
Ser. 14-H06, Class BI, IO, 1.452%, 2/20/64 W		31,323,446	846,015
Ser. 20-H12, Class IH, IO, 1.427%, 7/20/70 W		53,979,518	2,496,661
Ser. 16-H06, Class CI, IO, 1.406%, 2/20/66 W		31,196,996	783,294
Ser. 12-H29, Class AI, IO, 1.349%, 10/20/62 W		11,052,421	231,857
Ser. 12-H29, Class FI, IO, 1.349%, 10/20/62 W		11,052,421	218,573
			474,457,108
Commercial mortgage-backed securities (8.0%)
Banc of America Merrill Lynch Commercial Mortgage, Inc.
FRB Ser. 05-1, Class B, 5.117%, 11/10/42 (In default) † W		5,406,396	2,973,518
FRB Ser. 05-1, Class C, 5.117%, 11/10/42 (In default) † W		8,629,000	873,668
Barclays Commercial Mortgage Trust 144A Ser. 19-C5, Class D, 2.50%, 11/15/52		282,000	219,637
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54		308,000	227,648
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W		178,419	8,921
Ser. 05-PWR7, Class B, 4.883%, 2/11/41 W		60,759	60,225
Ser. 05-PWR7, Class C, 4.883%, 2/11/41 W		4,945,000	5,783,687
Ser. 05-PWR7, Class D, 4.883%, 2/11/41 W		4,190,000	2,937,190
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44 W		5,915,000	4,807,961
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.555%, 2/10/50 W		205,000	193,999
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50		4,325,000	3,344,130
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.124%, 12/15/47 W		13,980,000	13,918,500

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
COMM Mortgage Trust
Ser. 12-LC4, Class B, 4.934%, 12/10/44 W		$261,904	$261,560
FRB Ser. 14-CR16, Class C, 4.911%, 4/10/47 W		147,000	145,411
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47 W		226,000	167,127
FRB Ser. 14-UBS3, Class D, 4.768%, 6/10/47 W		165,000	153,062
FRB Ser. 13-CR9, Class D, 4.278%, 7/10/45 W		192,000	148,312
Ser. 12-LC4, Class E, 4.25%, 12/10/44		10,009,000	2,246,020
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 5.429%, 2/15/41 W		10,781,406	5,311,999
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.761%, 4/15/50 W		272,000	214,615
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.402%, 2/10/46 W		273,000	256,384
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W		401,000	373,210
GS Mortgage Securities Trust 144A
FRB Ser. 12-GCJ7, Class D, 5.561%, 5/10/45 W		225,000	209,250
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47 W		15,237,000	10,480,278
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.554%, 9/15/47 W		248,000	231,986
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47 W		9,906,000	5,824,590
FRB Ser. 14-C18, Class E, 4.294%, 2/15/47 W		7,852,000	3,187,661
FRB Ser. 14-C25, Class D, 3.942%, 11/15/47 W		7,740,000	5,864,845
Ser. 14-C25, Class E, 3.332%, 11/15/47 W		15,725,000	8,455,065
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50 W		254,000	228,485
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.165%, 4/15/46 W		431,000	353,537
Ser. 13-LC11, Class B, 3.499%, 4/15/46		180,000	178,089
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W		13,371,809	9,926,857
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.704%, 12/15/49 W		60,277	1
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.352%, 8/15/46 W		650,000	45,705
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50 W		4,095,000	3,811,803
FRB Ser. 13-C10, Class F, 4.075%, 7/15/46 W		254,000	56,045
Ser. 14-C17, Class E, 3.50%, 8/15/47		9,096,000	6,044,883
Ser. 14-C19, Class D, 3.25%, 12/15/47		3,310,000	3,014,589
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W		1,336,155	1,263,206
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class E, 5.467%, 3/15/45 W		7,066,000	4,953,266
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 4.207%, 3/25/50		568,000	546,398
FRB Ser. 19-01, Class M10, 3.707%, 10/15/49		488,000	461,670
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) †		4,414,162	44

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63 W		$6,847,000	$147,211
Ser. 13-C6, Class E, 3.50%, 4/10/46		7,734,000	6,453,783
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.305%, 7/15/46 W		11,277,111	6,424,669
Ser. 14-LC16, Class D, 3.938%, 8/15/50		11,010,000	1,553,100
Ser. 16-C33, Class D, 3.123%, 3/15/59		295,000	256,828
Ser. 19-C53, Class D, 2.50%, 10/15/52		250,000	205,206
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C3, Class E, 5.00%, 3/15/44 W		8,644,000	887,739
FRB Ser. 12-C9, Class E, 4.818%, 11/15/45 W		265,000	247,215
FRB Ser. 13-C15, Class D, 4.506%, 8/15/46 W		22,811,996	14,886,990
FRB Ser. 12-C10, Class D, 4.412%, 12/15/45 W		12,891,000	9,034,529
			149,862,307
Residential mortgage-backed securities (non-agency) (11.2%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.647%, 5/25/47		7,206,462	4,278,752
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.729%, 11/27/36 W		5,966,359	4,773,088
Bear Stearns Alt-A Trust
FRB Ser. 05-7, Class 21A1, 2.627%, 9/25/35 W		1,535,720	1,381,318
FRB Ser. 05-8, Class 21A1, 2.549%, 10/25/35 W		59,958	53,585
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (1 Month US LIBOR + 1.95%), 2.407%, 8/25/35		334,834	335,206
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1, (1 Month US LIBOR + 0.23%), 0.917%, 9/25/46		3,924,149	3,498,609
Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class B1, (1 Month US LIBOR + 4.75%), 5.207%, 10/25/27 (Bermuda)		2,376,000	2,401,987
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.637%, 11/25/47		2,360,629	2,102,152
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.807%, 3/25/37		7,595,111	6,984,992
FRB Ser. 07-AMC3, Class A2B, (1 Month US LIBOR + 0.18%), 0.637%, 3/25/37		1,048,111	954,955
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W		410,000	411,013
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.206%, 6/25/46 W		2,273,556	2,445,210
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 1.157%, 9/25/35		564,391	511,096
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.107%, 11/20/35		11,672,592	11,256,771
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.101%, 8/25/46		2,529,089	2,450,587
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.081%, 6/25/46		289,662	267,857
FRB Ser. 05-65CB, Class 2A1, (1 Month US LIBOR + 0.43%), 0.882%, 12/25/35		376,258	275,441

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46		$2,253,576	$1,964,479
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46		4,094,739	3,916,593
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46		8,541,111	7,614,499
Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (1 Month US LIBOR + 2.85%), 3.307%, 1/25/30		686,000	655,318
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.957%, 5/25/28		6,317,252	6,670,754
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/28		2,087,569	2,296,904
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.807%, 4/25/28		10,567,156	10,671,162
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 8.007%, 12/25/27		10,206,462	10,483,780
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (1 Month US LIBOR + 5.15%), 5.607%, 10/25/29		1,935,000	2,056,602
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.607%, 11/25/28		137,062	144,736
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 5.407%, 7/25/29		3,062,000	3,270,366
Structured Agency Credit Risk Debt FRN Ser. 14-DN1, Class M3, (1 Month US LIBOR + 4.50%), 4.957%, 2/25/24		248,641	253,754
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class B1, (1 Month US LIBOR + 4.45%), 4.907%, 3/25/30		1,590,000	1,655,063
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58 W		1,710,000	1,677,394
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class B1, (1 Month US LIBOR + 3.15%), 3.607%, 7/25/30		137,000	132,645
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (1 Month US LIBOR + 12.25%), 12.707%, 2/25/49		570,000	633,419
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.599%, 10/25/50		256,000	307,840
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.457%, 10/25/48		2,017,000	2,205,526
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/49		2,342,000	2,514,248
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.957%, 3/25/49		2,996,000	3,167,049
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 8/25/50		448,000	539,560
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/50		3,318,000	3,948,420
Structured Agency Credit Risk Debt FRN Ser. 20-DNA3, Class B2, (1 Month US LIBOR + 9.35%), 9.807%, 6/25/50		239,000	280,825
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.607%, 7/25/49		1,763,000	1,808,462

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 8.207%, 9/25/48		$2,734,000	$2,788,959
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W		5,008,000	4,816,840
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.707%, 10/25/48		753,000	761,471
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56 W		200,000	199,135
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.557%, 3/25/50		575,606	577,790
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.107%, 1/25/49		162,425	162,837
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.907%, 3/25/49		94,644	94,644
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 10/25/48		31,900	31,823
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.707%, 9/25/28		14,085,129	15,823,054
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 10/25/28		7,695,786	8,656,837
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 8/25/28		5,413,604	5,935,935
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/29		444,051	477,490
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (1 Month US LIBOR + 10.25%), 10.707%, 1/25/29		148,482	159,970
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.707%, 4/25/29		416,378	436,212
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.157%, 4/25/28		532,412	569,508
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.957%, 9/25/29		660,000	707,186
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (1 Month US LIBOR + 5.30%), 5.757%, 10/25/28		124,411	129,260
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.457%, 7/25/25		870	872
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.307%, 10/25/29		393,000	411,182
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.957%, 12/25/30		1,804,900	1,850,321
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 5/25/30		1,200,000	1,225,458
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 2/25/30		3,018,000	3,131,175
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 4.757%, 2/25/25		52,064	52,896
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (1 Month US LIBOR + 4.25%), 4.707%, 1/25/31		425,000	425,828
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2B1, (1 Month US LIBOR + 4.10%), 4.557%, 3/25/31		1,624,000	1,625,861

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/30		$1,626,000	$1,655,348
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/25		195,797	198,099
Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (1 Month US LIBOR + 3.75%), 4.207%, 3/25/31		313,000	308,920
Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1, (1 Month US LIBOR + 3.75%), 4.207%, 10/25/30		500,000	493,750
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 4.057%, 1/25/30		1,598,000	1,599,550
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.457%, 10/25/29		554,800	565,801
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2M2, (1 Month US LIBOR + 2.85%), 3.307%, 11/25/29		237,282	241,417
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 3.257%, 2/25/30		143,019	145,452
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.707%, 7/25/30		51,491	51,939
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.557%, 3/25/31		727,967	730,562
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class B1, (1 Month US LIBOR + 9.25%), 9.707%, 11/25/39		4,100,000	4,180,568
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (1 Month US LIBOR + 6.75%), 7.207%, 2/25/40		1,645,000	1,652,620
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1, (1 Month US LIBOR + 5.75%), 6.207%, 7/25/29		4,084,000	4,467,736
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1B2, (US 30 Day Average SOFR + 6.00%), 6.099%, 10/25/41		185,000	166,500
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2B1, (1 Month US LIBOR + 5.25%), 5.707%, 6/25/39		617,000	626,255
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 4.599%, 1/25/42		1,471,000	1,388,256
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.557%, 9/25/31		314,000	316,703
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 4.107%, 2/25/40		239,000	235,276
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (1 Month US LIBOR + 3.00%), 3.457%, 1/25/40		126,000	115,444
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 3.099%, 1/25/42		3,600,000	3,492,000
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.907%, 7/25/31		142,675	143,076
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.817%, 5/25/36		9,357,345	2,881,379
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.767%, 5/25/37		4,503,636	3,612,505
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.969%, 5/19/35		11,142,507	4,549,416
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.857%, 6/25/37		4,139,731	1,973,180

MORTGAGE-BACKED SECURITIES (44.5%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37		$150,633	$141,422
Oaktown Re III, Ltd. 144A
FRB Ser. 19-1A, Class B1B, (1 Month US LIBOR + 4.35%), 4.807%, 7/25/29 (Bermuda)		383,000	377,847
FRB Ser. 19-1A, Class B1A, (1 Month US LIBOR + 3.50%), 3.957%, 7/25/29 (Bermuda)		317,000	300,115
Radnor Re, Ltd. 144A FRB Ser. 20-2, Class B1, (1 Month US LIBOR + 7.60%), 8.057%, 10/25/30 (Bermuda)		168,000	170,529
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.877%, 8/25/36		8,104,312	7,537,011
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58 W		256,000	254,409
Ser. 18-5, Class M1, 3.25%, 7/25/58 W		240,000	231,197
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 2.943%, 9/25/35 W		117,123	114,010
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.437%, 10/25/45		114,931	113,616
			209,336,469
Total mortgage-backed securities (cost $964,174,759)			$833,655,884

CORPORATE BONDS AND NOTES (17.3%)*		Principal amount	Value
Basic materials (1.2%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26		$30,000	$29,798
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29		1,200,000	1,259,064
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30		75,000	72,829
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32		615,000	572,719
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25		1,295,000	1,283,487
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43		4,755,000	5,099,738
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27		87,000	88,096
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24		47,000	46,530
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)		825,000	843,563
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)		825,000	828,820
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia)		2,359,000	2,641,702
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26		198,000	200,475
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg)		1,100,000	986,403
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)		20,000	19,700

CORPORATE BONDS AND NOTES (17.3%)* cont.		Principal amount	Value
Basic materials cont.
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg)	EUR	1,290,000	$1,067,257
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29		$140,000	129,532
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29		1,300,000	1,209,455
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24		30,000	30,525
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)		100,000	100,750
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)		265,000	255,725
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31		175,000	160,066
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30		65,000	63,106
Olympus Water US Holding Corp. 144A sr. notes 4.25%, 10/1/28		500,000	454,093
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29		2,035,000	1,800,975
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28		635,000	598,488
SCIL IV, LLC/SCIL USA Holdings, LLC 144A sr. notes 5.375%, 11/1/26		295,000	271,031
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29		1,650,000	1,617,000
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)		1,450,000	1,337,959
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29		80,000	74,900
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24		82,000	83,082
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27		70,000	68,492
			23,295,360
Capital goods (0.6%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31		50,000	45,358
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27		332,000	326,605
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27		65,000	65,163
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30		90,000	85,296
Boeing Co. (The) sr. unsec. bonds 5.93%, 5/1/60		720,000	831,302
Canpack SA/Canpack US, LLC 144A company guaranty sr. unsec. notes 3.875%, 11/15/29 (Poland)		710,000	621,250
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25		59,000	61,096
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26		138,000	155,725
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)		230,000	217,350
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)		284,000	261,280
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)		90,000	90,765
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27		1,000,000	1,055,000

CORPORATE BONDS AND NOTES (17.3%)* cont.		Principal amount	Value
Capital goods cont.
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29		$585,000	$558,675
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28		465,000	428,562
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27		95,000	98,563
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28		982,000	964,942
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29		245,000	228,463
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29		110,000	104,225
Staples, Inc. 144A sr. notes 7.50%, 4/15/26		2,275,000	2,209,264
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26		126,000	130,124
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29		55,000	52,716
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26		68,000	68,614
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27		337,000	334,473
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29		1,405,000	1,316,865
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29		940,000	878,872
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28		267,000	243,668
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26		182,000	172,005
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28		100,000	106,214
			11,712,435
Communication services (1.8%)
Altice Financing SA 144A company guaranty sr. notes 5.00%, 1/15/28 (Luxembourg)		940,000	842,569
Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France)		500,000	448,640
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France)		820,000	752,350
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32		1,420,000	1,298,875
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26		113,000	114,587
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29		1,614,000	1,614,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30		680,000	652,963
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30		45,000	42,223
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28		157,000	155,352
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31		363,000	329,423
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25		1,363,000	1,290,911

CORPORATE BONDS AND NOTES (17.3%)* cont.		Principal amount	Value
Communication services cont.
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24		$590,000	$590,746
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28		2,315,000	2,246,847
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27		1,711,000	1,683,196
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26		1,300,000	1,291,550
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 7.375%, 7/1/28		1,290,000	1,222,275
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29		913,000	777,501
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28		643,000	608,439
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26		345,000	328,613
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36		3,845,000	3,704,196
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27		945,000	938,669
Frontier Communications Corp. 144A notes 6.75%, 5/1/29		1,325,000	1,272,000
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)		5,290,000	4,959,375
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26		189,000	189,304
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27		66,000	62,128
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28		344,000	315,794
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28		802,000	929,270
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26		600,000	677,286
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23		347,000	368,688
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30		45,000	45,173
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27		105,000	105,614
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31		940,000	846,874
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27		22,000	22,589
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29		675,000	616,093
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28		448,000	455,347
Virgin Media Finance PLC 144A sr. unsec. bonds 5.00%, 7/15/30 (United Kingdom)		1,275,000	1,204,231
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom)	GBP	100,000	132,652
			33,136,343
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRN (BBA LIBOR USD 3 Month + 3.33%), 4.156%, perpetual maturity		$1,000,000	958,750
			958,750