Putnam VT Global Asset Allocation Fund
The fund's portfolio
9/30/22 (Unaudited)


COMMON STOCKS (69.0%)(a)
        Shares Value
Basic materials (2.6%)
Alcoa Corp. 1,319 $44,398
Anglo American PLC (London Exchange) (United Kingdom) 3,026 91,411
Arkema SA (France) 133 9,700
BHP Group, Ltd. (London Exchange) (Australia) 503 12,633
BlueScope Steel, Ltd. (Australia) 1,492 14,434
Boliden AB (Sweden) 352 10,886
Celanese Corp. 619 55,920
CF Industries Holdings, Inc. 4,084 393,085
Compagnie de Saint-Gobain (France) 2,170 77,391
Corteva, Inc. 7,409 423,424
CRH PLC (Ireland) 1,223 39,162
Dow, Inc. 1,339 58,822
DuPont de Nemours, Inc. 4,686 236,174
Eiffage SA (France) 797 63,802
Freeport-McMoRan, Inc. (Indonesia) 2,087 57,038
Glencore PLC (United Kingdom) 6,973 36,821
LyondellBasell Industries NV Class A 826 62,181
Mineral Resources, Ltd. (Australia) 354 14,819
Misumi Group, Inc. (Japan) 400 8,510
Nitto Denko Corp. (Japan) 1,000 54,221
OCI NV (Netherlands) 1,134 41,698
Olin Corp. 1,254 53,772
Rio Tinto PLC (United Kingdom) 2,151 116,506
Rio Tinto, Ltd. (Australia) 1,198 71,296
Sealed Air Corp. 1,281 57,017
Shin-Etsu Chemical Co., Ltd. (Japan) 900 89,373
South32, Ltd. (Australia) 9,595 22,178
TopBuild Corp.(NON) 357 58,826
WestRock Co. 1,748 53,996
Weyerhaeuser Co.(R) 7,061 201,662
2,531,156
Capital goods (3.7%)
A.O. Smith Corp. 1,176 57,130
Allison Transmission Holdings, Inc. 2,267 76,534
BAE Systems PLC (United Kingdom) 2,853 25,066
Carrier Global Corp. 1,719 61,128
Caterpillar, Inc. 363 59,561
Clean Harbors, Inc.(NON) 510 56,090
Cummins, Inc. 309 62,885
Dassault Aviation SA (France) 204 23,169
Eaton Corp. PLC 458 61,079
Emerson Electric Co. 1,272 93,136
Fortive Corp. 6,096 355,397
Fuji Electric Co., Ltd. (Japan) 800 29,325
GEA Group AG (Germany) 1,330 43,492
General Dynamics Corp. 3,069 651,150
HEICO Corp. 419 60,328
Honeywell International, Inc. 1,076 179,660
ITT, Inc. 838 54,755
Johnson Controls International PLC 1,191 58,621
Komatsu, Ltd. (Japan) 4,100 74,144
Legrand SA (France) 1,374 88,773
LKQ Corp. 1,250 58,938
Lockheed Martin Corp. 1,664 642,787
Mitsubishi Heavy Industries, Ltd. (Japan) 100 3,334
Nordson Corp. 279 59,223
Otis Worldwide Corp. 912 58,186
Parker Hannifin Corp. 216 52,339
Raytheon Technologies Corp. 724 59,267
Republic Services, Inc. 1,116 151,821
Spirax-Sarco Engineering PLC (United Kingdom) 388 44,570
Tetra Tech, Inc. 452 58,096
Textron, Inc. 1,602 93,333
Vinci SA (France) 23 1,847
Waste Management, Inc. 375 60,079
3,515,243
Communication services (1.5%)
American Tower Corp.(R) 245 52,602
AT&T, Inc. 28,606 438,816
Comcast Corp. Class A 4,310 126,412
Crown Castle International Corp.(R) 392 56,664
KDDI Corp. (Japan) 4,100 120,253
Koninklijke KPN NV (Netherlands) 21,981 59,562
Nippon Telegraph & Telephone Corp. (Japan) 3,800 102,516
Telstra Corp., Ltd. (Australia) 40,135 98,369
Verizon Communications, Inc. 9,335 354,450
1,409,644
Communications equipment (0.2%)
arista Networks, Inc.(NON) 632 71,346
Telefonaktiebolaget LM Ericsson Class B (Sweden) 15,220 88,637
159,983
Computers (6.7%)
Apple, Inc. 29,004 4,008,353
Cisco Systems, Inc./Delaware 13,765 550,600
Dropbox, Inc. Class A(NON) 2,781 57,622
Fortinet, Inc.(NON) 1,224 60,135
Fujitsu, Ltd. (Japan) 800 86,274
MongoDB, Inc.(NON) 293 58,178
NetApp, Inc. 458 28,327
Pure Storage, Inc. Class A(NON) 9,897 270,881
RingCentral, Inc. Class A(NON) 1,446 57,782
ServiceNow, Inc.(NON) 131 49,467
Smartsheet, Inc. Class A(NON) 1,829 62,844
Snowflake, Inc. Class A(NON) 2,000 339,920
SS&C Technologies Holdings, Inc. 1,134 54,149
Synopsys, Inc.(NON) 2,070 632,406
Zscaler, Inc.(NON) 355 58,351
6,375,289
Conglomerates (0.6%)
3M Co. 518 57,239
AMETEK, Inc. 2,992 339,323
General Electric Co. 1,013 62,715
Marubeni Corp. (Japan) 11,700 102,723
Mitsui & Co., Ltd. (Japan) 1,000 21,454
583,454
Consumer cyclicals (8.3%)
Amazon.com, Inc.(NON) 15,755 1,780,315
Aristocrat Leisure, Ltd. (Australia) 4,237 88,424
Automatic Data Processing, Inc. 298 67,405
Autonation, Inc.(NON) 588 59,900
AutoZone, Inc.(NON) 270 578,321
Bandai Namco Holdings, Inc. (Japan) 600 39,188
BJ's Wholesale Club Holdings, Inc.(NON) 787 57,301
Booking Holdings, Inc.(NON) 463 760,806
Boyd Gaming Corp. 1,206 57,466
Brambles, Ltd. (Australia) 5,726 41,546
Capri Holdings, Ltd.(NON) 1,318 50,664
Casey's General Stores, Inc. 144 29,163
Choice Hotels International, Inc. 555 60,784
Chow Tai Fook Jewellery Group, Ltd. (Hong Kong) 11,600 21,718
Cie Financiere Richemont SA Class A (Switzerland) 319 29,933
Cintas Corp. 190 73,756
CoStar Group, Inc.(NON) 1,069 74,456
Daiwa House Industry Co., Ltd. (Japan) 1,600 32,607
Dollar General Corp. 259 62,124
Expedia Group, Inc.(NON) 2,229 208,835
FactSet Research Systems, Inc. 158 63,217
Ford Motor Co. 5,402 60,502
Gartner, Inc.(NON) 899 248,744
Genuine Parts Co. 1,003 149,768
Hermes International (France) 107 125,763
Home Depot, Inc. (The) 220 60,707
iHeartMedia, Inc. Class A(NON) 214 1,569
Industria de Diseno Textil SA (Spain) 3,054 63,082
Interpublic Group of Cos., Inc. (The) 2,307 59,059
Jardine Matheson Holdings, Ltd. (Hong Kong) 500 25,313
JD Sports Fashion PLC (United Kingdom) 46,179 50,437
Knorr-Bremse AG (Germany) 505 21,895
La Francaise des Jeux SAEM (France) 822 24,322
Lowe's Cos., Inc. 342 64,231
LVMH Moet Hennessy Louis Vuitton SA (France) 126 74,067
Macy's, Inc. 3,808 59,671
Marriott International, Inc./MD Class A 456 63,904
Mastercard, Inc. Class A 94 26,728
Moncler SpA (Italy) 2,264 92,959
New York Times Co. (The) Class A 2,108 60,605
News Corp. Class A 3,758 56,783
Nexstar Media Group, Inc. Class A 337 56,228
Nintendo Co., Ltd. (Japan) 3,000 121,478
NVR, Inc.(NON) 15 59,806
O'Reilly Automotive, Inc.(NON) 104 73,148
Owens Corning 714 56,128
Pandora A/S (Denmark) 958 44,621
PayPal Holdings, Inc.(NON) 633 54,482
Penske Automotive Group, Inc. 602 59,255
Porsche Automobil Holding SE (Preference) (Germany) 360 20,507
Stellantis NV (Italy) 9,278 109,631
Tapestry, Inc. 1,888 53,676
Terminix Global Holdings, Inc.(NON) 1,713 65,591
Tesla, Inc.(NON) 3,217 853,309
Toast, Inc. Class A(NON) 4,348 72,699
Toll Brothers, Inc. 1,983 83,286
Toyota Motor Corp. (Japan) 1,200 15,620
Vail Resorts, Inc. 284 61,242
Volkswagen AG (Preference) (Germany) 894 110,426
Volvo AB Class B (Sweden) 1,296 18,287
Volvo Car AB Class B (Sweden)(NON) 5,024 21,667
Walmart, Inc. 548 71,076
Walt Disney Co. (The)(NON) 550 51,882
Warner Bros Discovery, Inc.(NON) 4,770 54,855
Wesfarmers, Ltd. (Australia) 2,960 80,447
Wolters Kluwer NV (Netherlands) 166 16,162
Wyndham Hotels & Resorts, Inc. 896 54,970
7,968,517
Consumer staples (6.7%)
Airbnb, Inc. Class A(NON) 2,787 292,746
Albertsons Cos., Inc. Class A 2,252 55,985
British American Tobacco PLC (United Kingdom) 1,762 63,008
CK Hutchison Holdings, Ltd. (Hong Kong) 9,000 49,424
Coca-Cola Co. (The) 18,454 1,033,793
Coca-Cola HBC AG (Italy) 1,747 36,765
Coles Group, Ltd. (Australia) 6,145 64,650
Colgate-Palmolive Co. 830 58,308
Copart, Inc.(NON) 562 59,797
Costco Wholesale Corp. 138 65,173
Diageo PLC (United Kingdom) 3,359 140,795
DoorDash, Inc. Class A(NON) 1,039 51,379
Ferguson PLC (United Kingdom) 889 92,570
Haleon PLC (United Kingdom)(NON) 5,675 17,559
Hershey Co. (The) 287 63,275
Imperial Brands PLC (United Kingdom) 4,944 102,023
ITOCHU Corp. (Japan) 1,200 29,083
Kesko Oyj Class B (Finland) 1,223 22,726
Keurig Dr Pepper, Inc. 1,610 57,670
Koninklijke Ahold Delhaize NV (Netherlands) 4,250 108,222
Kraft Heinz Co. (The) 1,781 59,396
L'Oreal SA (France) 452 143,925
ManpowerGroup, Inc. 871 56,345
McDonald's Corp. 240 55,378
McDonald's Holdings Co. (Japan), Ltd. (Japan) 1,700 59,217
Mondelez International, Inc. Class A 1,047 57,407
Nestle SA (Switzerland) 1,177 127,445
Netflix, Inc.(NON) 133 31,314
PepsiCo, Inc. 1,073 175,178
Philip Morris International, Inc. 9,738 808,351
Procter & Gamble Co. (The) 9,253 1,168,191
Recruit Holdings Co., Ltd. (Japan) 1,800 51,954
Sysco Corp. 761 53,810
Tyson Foods, Inc. Class A 830 54,722
Uber Technologies, Inc.(NON) 13,938 369,357
Ulta Beauty, Inc.(NON) 1,121 449,734
Unilever PLC (United Kingdom) 356 15,664
Wendy's Co. (The) 3,094 57,827
WH Group, Ltd. (Hong Kong) 47,000 29,565
Yakult Honsha Co., Ltd. (Japan) 1,800 104,669
6,394,400
Electronics (2.3%)
Advanced Micro Devices, Inc.(NON) 808 51,195
Agilent Technologies, Inc. 610 74,146
Broadcom, Inc. 126 55,945
Hoya Corp. (Japan) 1,200 115,374
Keysight Technologies, Inc.(NON) 373 58,695
Lattice Semiconductor Corp.(NON) 2,658 130,800
Monolithic Power Systems, Inc. 149 54,147
NVIDIA Corp. 5,585 677,963
Qualcomm, Inc. 6,974 787,923
Sartorius AG (Preference) (Germany) 135 47,151
Shimadzu Corp. (Japan) 2,100 54,663
STMicroelectronics NV (France) 2,428 74,915
Thales SA (France) 582 64,195
2,247,112
Energy (3.5%)
APA Corp. 2,117 72,380
BP PLC (United Kingdom) 34,275 162,990
Cheniere Energy, Inc. 2,830 469,525
Chevron Corp. 441 63,358
Chord Energy Corp. 141 19,285
Enphase Energy, Inc.(NON) 196 54,384
Equinor ASA (Norway) 2,926 96,510
Exxon Mobil Corp. 7,825 683,201
Marathon Oil Corp. 15,584 351,887
Marathon Petroleum Corp. 5,240 520,489
Occidental Petroleum Corp. 950 58,378
Orsted AS (Denmark) 217 17,267
PDC Energy, Inc. 1,022 59,061
Phillips 66 740 59,733
Shell PLC (London Exchange) (United Kingdom) 8,277 205,934
Targa Resources Corp. 6,454 389,434
Valero Energy Corp. 606 64,751
3,348,567
Financials (9.5%)
3i Group PLC (United Kingdom) 4,526 54,344
Alleghany Corp.(NON) 78 65,471
Ally Financial, Inc. 1,728 48,090
American Express Co. 420 56,662
American Financial Group, Inc. 526 64,661
American International Group, Inc. 1,307 62,056
Ameriprise Financial, Inc. 1,435 361,548
Apartment Income REIT Corp.(R) 1,515 58,458
Arch Capital Group, Ltd.(NON) 1,361 61,980
AvalonBay Communities, Inc.(R) 326 60,046
Aviva PLC (United Kingdom) 12,857 55,223
Banco Bilbao Vizcaya Argentaria SA (Spain) 25,777 115,779
Banco Santander SA (Spain) 48,329 112,329
Bank Leumi Le-Israel BM (Israel) 12,017 102,324
Barratt Developments PLC (United Kingdom) 4,795 18,163
Berkshire Hathaway, Inc. Class B(NON) 283 75,567
Blackstone, Inc. 680 56,916
Brixmor Property Group, Inc.(R) 3,049 56,315
Brown & Brown, Inc. 1,906 115,275
Camden Property Trust(R) 470 56,142
Capital One Financial Corp. 2,380 219,365
Carlyle Group, Inc. (The) 2,786 71,990
CBRE Group, Inc. Class A(NON) 2,456 165,805
Charles Schwab Corp. (The) 881 63,317
Chubb, Ltd. 346 62,930
Citigroup, Inc. 14,173 590,589
CK Asset Holdings, Ltd. (Hong Kong) 12,633 75,805
CubeSmart(R) 1,433 57,406
DBS Group Holdings, Ltd. (Singapore) 5,600 129,472
Discover Financial Services 3,809 346,314
DNB Bank ASA (Norway) 2,974 47,084
East West Bancorp, Inc. 2,224 149,319
Equitable Holdings, Inc. 10,177 268,164
Equity Lifestyle Properties, Inc.(R) 910 57,184
Equity Residential(R) 857 57,608
Essex Property Trust, Inc.(R) 236 57,166
Exor NV (Netherlands) 633 40,622
Extra Space Storage, Inc.(R) 359 62,003
Fifth Third Bancorp 1,838 58,742
First Industrial Realty Trust, Inc.(R) 1,254 56,192
Gaming and Leisure Properties, Inc.(R) 1,360 60,166
Gjensidige Forsikring ASA (Norway) 1,222 20,910
Goldman Sachs Group, Inc. (The) 1,911 560,019
Goodman Group (Australia)(R) 8,010 80,031
Intercontinental Exchange, Inc. 639 57,734
Investor AB Class B (Sweden) 5,842 85,157
Israel Discount Bank, Ltd. Class A (Israel) 6,649 33,405
Japan Post Holdings Co., Ltd. (Japan) 15,000 99,324
Jones Lang LaSalle, Inc.(NON) 382 57,709
JPMorgan Chase & Co. 9,618 1,005,081
Life Storage, Inc.(R) 1,859 205,903
Lloyds Banking Group PLC (United Kingdom) 34,689 15,848
Loews Corp. 1,124 56,020
MetLife, Inc. 8,500 516,630
MGIC Investment Corp. 6,701 85,907
Mitsui Fudosan Co., Ltd. (Japan) 800 15,250
Mizrahi Tefahot Bank, Ltd. (Israel) 310 10,832
National Australia Bank, Ltd. (Australia) 5,419 99,364
NN Group NV (Netherlands) 282 10,976
Nomura Real Estate Holdings, Inc. (Japan) 2,100 47,607
Old Republic International Corp. 2,662 55,716
Partners Group Holding AG (Switzerland) 122 98,011
PNC Financial Services Group, Inc. (The) 381 56,929
Prologis, Inc.(R) 566 57,506
Public Storage(R) 231 67,639
Reinsurance Group of America, Inc. 760 95,616
Sampo Oyj Class A (Finland) 396 16,900
Simon Property Group, Inc.(R) 597 53,581
Singapore Exchange, Ltd. (Singapore) 4,300 28,191
SLM Corp. 4,147 58,017
Sumitomo Realty & Development Co., Ltd. (Japan) 700 15,940
Synchrony Financial 1,956 55,140
Tokio Marine Holdings, Inc. (Japan) 6,300 111,974
UBS Group AG (Switzerland) 5,944 85,867
Umpqua Holdings Corp. 2,400 41,016
United Overseas Bank, Ltd. (Singapore) 3,700 67,179
Unum Group 1,415 54,902
Virtu Financial, Inc. Class A 3,723 77,327
W.R. Berkley Corp. 898 57,993
Wells Fargo & Co. 11,147 448,332
Wintrust Financial Corp. 760 61,978
Zurich Insurance Group AG (Switzerland) 108 42,933
9,126,986
Health care (10.2%)
Abbott Laboratories 7,777 752,503
AbbVie, Inc. 5,641 757,079
ABIOMED, Inc.(NON) 241 59,204
AmerisourceBergen Corp. 451 61,034
Amgen, Inc. 259 58,379
AstraZeneca PLC (United Kingdom) 370 40,689
Bio-Rad Laboratories, Inc. Class A(NON) 140 58,400
Boston Scientific Corp.(NON) 1,630 63,130
Bristol-Myers Squibb Co. 8,333 592,393
Cardinal Health, Inc. 1,102 73,481
Cigna Corp. 226 62,708
CSL, Ltd. (Australia) 38 6,890
CVS Health Corp. 9,813 935,866
Danaher Corp. 231 59,665
Edwards Lifesciences Corp.(NON) 712 58,833
Elevance Health, Inc. 175 79,492
Eli Lilly and Co. 2,885 932,865
Eurofins Scientific (Luxembourg) 311 18,442
Exelixis, Inc.(NON) 3,844 60,274
Fresenius SE & Co. KGaA (Germany) 701 15,015
Getinge AB Class B (Sweden) 1,498 25,712
Ginkgo Bioworks Holdings, Inc.(NON)(S) 20,223 63,096
GlaxoSmithKline PLC (United Kingdom) 4,540 66,220
Hologic, Inc.(NON) 960 61,939
Humana, Inc. 142 68,897
Illumina, Inc.(NON) 320 61,053
Incyte Corp.(NON) 835 55,644
Intuitive Surgical, Inc.(NON) 306 57,357
Ipsen SA (France) 317 29,277
IQVIA Holdings, Inc.(NON) 307 55,610
Johnson & Johnson 389 63,547
Laboratory Corp. of America Holdings 276 56,528
M3, Inc. (Japan) 300 8,272
McKesson Corp. 172 58,458
Medtronic PLC 4,038 326,069
Merck & Co., Inc. 12,248 1,054,798
Merck KGaA (Germany) 581 94,821
Mettler-Toledo International, Inc.(NON) 52 56,374
Molina Healthcare, Inc.(NON) 630 207,799
Novartis AG (Switzerland) 2,653 202,247
Novo Nordisk A/S Class B (Denmark) 2,059 205,229
Ono Pharmaceutical Co., Ltd. (Japan) 1,500 34,893
Pfizer, Inc. 11,737 513,611
Regeneron Pharmaceuticals, Inc.(NON) 82 56,487
Roche Holding AG (Switzerland) 797 259,869
Sartorius Stedim Biotech (France) 133 40,657
Sonic Healthcare, Ltd. (Australia) 3,477 67,656
Thermo Fisher Scientific, Inc. 113 57,312
UnitedHealth Group, Inc. 462 233,328
Vertex Pharmaceuticals, Inc.(NON) 2,752 796,814
Waters Corp.(NON) 214 57,679
9,743,595
Semiconductor (0.2%)
Applied Materials, Inc. 710 58,170
ASM International NV (Netherlands) 22 4,922
ASML Holding NV (Netherlands) 106 43,968
KLA Corp. 180 54,473
Lam Research Corp. 149 54,534
216,067
Software (5.4%)
Adobe, Inc.(NON) 1,686 463,987
Amdocs, Ltd. 759 60,303
Atlassian Corp PLC Class A (Australia)(NON) 1,751 368,743
Autodesk, Inc.(NON) 370 69,116
Cadence Design Systems, Inc.(NON) 4,211 688,204
Intuit, Inc. 1,480 573,234
Manhattan Associates, Inc.(NON) 759 100,970
Microsoft Corp. 10,493 2,443,820
NTT Data Corp. (Japan) 2,800 36,187
Okta, Inc.(NON) 1,052 59,827
ROBLOX Corp. Class A(NON) 1,669 59,817
Sage Group PLC (The) (United Kingdom) 7,068 54,379
Square Enix Holdings Co., Ltd. (Japan) 1,500 64,328
Wix.com, Ltd. (Israel)(NON) 763 59,689
Workday, Inc. Class A(NON) 412 62,715
5,165,319
Technology services (5.0%)
Accenture PLC Class A 3,236 832,623
Alphabet, Inc. Class A(NON) 24,489 2,342,373
Capgemini SE (France) 279 44,587
DocuSign, Inc.(NON) 1,067 57,052
eBay, Inc. 13,687 503,818
Fidelity National Information Services, Inc. 716 54,108
GoDaddy, Inc. Class A(NON) 822 58,263
Leidos Holdings, Inc. 1,734 151,673
Meta Platforms, Inc. Class A(NON) 3,455 468,774
Palo Alto Networks, Inc.(NON) 348 56,999
Pinterest, Inc. Class A(NON) 2,891 67,360
SCSK Corp. (Japan) 1,800 27,008
Spotify Technology SA (Sweden)(NON) 605 52,212
Zebra Technologies Corp. Class A(NON) 236 61,834
4,778,684
Transportation (0.8%)
A.P. Moeller-Maersck A/S Class B (Denmark) 23 41,663
CSX Corp. 17,234 459,114
Deutsche Post AG (Germany) 2,714 82,583
Nippon Yusen KK (Japan) 2,700 46,111
SG Holdings Co., Ltd. (Japan) 700 9,513
Union Pacific Corp. 319 62,148
United Parcel Service, Inc. Class B 337 54,439
ZIM Integrated Shipping Services, Ltd. (Israel) 200 4,700
760,271
Utilities and power (1.8%)
AES Corp. (The) 2,385 53,901
Ameren Corp. 681 54,855
American Electric Power Co., Inc. 4,686 405,105
Constellation Energy Corp. 1,008 83,856
DTE Energy Co. 503 57,870
Duke Energy Corp. 586 54,510
E.ON SE (Germany) 13,212 102,253
Edison International 972 54,996
Enel SpA (Italy) 8,071 33,075
Essential Utilities, Inc. 1,352 55,946
Eversource Energy 745 58,080
Exelon Corp. 1,429 53,530
FirstEnergy Corp. 1,733 64,121
Fortum OYJ (Finland) 4,040 54,303
NiSource, Inc. 2,278 57,383
NRG Energy, Inc. 1,441 55,147
Osaka Gas Co., Ltd. (Japan) 2,100 31,619
PPL Corp. 1,063 26,947
Public Service Enterprise Group, Inc. 955 53,700
RWE AG (Germany) 907 33,373
Southern Co. (The) 817 55,556
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 1,923 2,404
Tokyo Gas Co., Ltd. (Japan) 3,700 62,489
Vistra Corp. 2,395 50,295
WEC Energy Group, Inc. 628 56,162
Xcel Energy, Inc. 880 56,320
1,727,796
Total common stocks (cost $58,909,631) $66,052,083








U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (15.3%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.1%)
Government National Mortgage Association Pass-Through Certificates
6.50%, with due dates from 5/20/37 to 11/20/39 $121,839 $128,993
3.00%, TBA, 10/1/52 1,000,000 882,725
3.00%, with due dates from 8/20/49 to 4/20/51 1,079,398 961,728
1,973,446
U.S. Government Agency Mortgage Obligations (13.2%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3.00%, 1/1/48 659,607 581,659
Federal National Mortgage Association Pass-Through Certificates
4.00%, 1/1/57 36,546 34,316
4.00%, 1/1/49 105,222 98,670
3.00%, with due dates from 4/1/46 to 11/1/48 438,465 387,580
2.50%, with due dates from 5/1/51 to 7/1/51 1,741,645 1,466,298
Uniform Mortgage-Backed Securities
6.00%, TBA, 10/1/52 1,000,000 1,014,927
5.00%, TBA, 10/1/52 2,000,000 1,945,937
4.50%, TBA, 10/1/52 1,000,000 951,406
3.50%, TBA, 10/1/52 3,000,000 2,697,656
2.50%, TBA, 10/1/52 2,000,000 1,678,281
2.50%, TBA, 10/1/37 2,000,000 1,808,750
12,665,480
Total U.S. government and agency mortgage obligations (cost $15,757,703) $14,638,926








CORPORATE BONDS AND NOTES (14.2%)(a)
        Principal amount Value
Basic materials (0.9%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) $20,000 $18,900
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 5,000 4,615
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 5,000 4,549
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 10,000 8,099
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 13,000 11,965
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 10,000 8,307
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 5,000 4,441
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 5,000 3,836
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 10,000 8,797
Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 15,000 13,465
Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany) 15,000 13,939
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 15,000 13,980
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 70,000 66,248
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) 15,000 12,230
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 50,000 40,750
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 5,000 3,950
Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 5,000 4,105
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 10,000 9,398
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 30,000 28,237
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28 5,000 3,725
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) 10,000 8,762
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 10,000 9,005
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 10,000 8,343
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 25,000 25,344
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 34,000 26,001
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 5,000 4,127
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29 5,000 4,113
Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31 15,000 11,289
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 10,000 8,200
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada)(PIK) 5,000 4,000
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) 10,000 7,953
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 20,000 18,353
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 5,000 3,273
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 10,000 7,678
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 1.832%, 10/15/27 5,000 4,096
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 10,000 7,856
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 15,000 11,250
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 5,000 4,750
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 10,000 9,500
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 10,000 9,227
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 10,000 7,969
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 35,000 28,700
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 10,000 8,347
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 20,000 17,793
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) 25,000 21,213
PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 10,000 6,507
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 20,000 16,508
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 5,000 3,844
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 35,000 32,132
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 20,000 17,200
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada) 10,000 7,950
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 15,000 10,648
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 10,000 5,900
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 15,000 11,100
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 10,000 8,900
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 40,000 24,638
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 20,000 12,670
Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 30,000 27,898
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 30,000 33,684
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 10,000 11,254
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 5,000 4,863
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 10,000 8,596
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 15,000 11,250
816,220
Capital goods (0.8%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 5,000 3,833
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 20,000 17,613
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 10,000 9,200
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 5,000 4,139
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 25,000 20,730
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 46,000 40,104
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) 10,000 9,200
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) 15,000 13,758
Bombardier, Inc. 144A sr. unsec. notes 6.00%, 2/15/28 (Canada) 5,000 4,183
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 9,000 8,813
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 15,000 12,124
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 10,000 10,000
General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 11/15/22 30,000 29,926
GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada) 5,000 4,200
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 5,000 4,200
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 5,000 4,167
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) 10,000 9,312
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27 10,000 9,427
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 10,000 7,706
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 55,000 45,431
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 35,000 28,594
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) 15,000 14,063
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 65,000 51,435
Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 6,000 5,755
L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31 5,000 3,740
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 24,000 22,661
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 18,000 16,911
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 5,000 4,016
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 20,000 13,931
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 25,000 17,236
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 60,000 54,594
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 9,000 8,311
OT Merger Corp. 144A sr. unsec. notes 7.875%, 10/15/29 15,000 10,163
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30 15,000 12,269
Raytheon Technologies Corp. sr. unsec. bonds 4.875%, 10/15/40 20,000 18,015
Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 5,000 4,672
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 10,000 8,435
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 10,000 8,275
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 10,000 9,357
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 35,000 29,386
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 20,000 19,546
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 5,000 4,291
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 10,000 9,448
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 15,000 13,046
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 10,000 8,083
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 10,000 8,050
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 50,000 48,500
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 20,000 16,100
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 2,000 1,674
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 30,000 26,902
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 15,000 13,178
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 10,000 9,795
788,498
Communication services (1.5%)
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31(R) 5,000 3,924
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 100,000 88,429
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 9,000 7,866
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 41,000 26,930
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 77,000 64,537
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 7,000 6,718
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 10,000 7,627
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 7,000 6,633
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 20,000 17,506
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 45,000 36,506
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 5,000 3,954
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 10,000 7,670
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 27,000 21,140
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 10,000 7,214
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 44,000 42,907
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51 110,000 66,666
Comcast Corp. company guaranty sr. unsec. bonds 2.887%, 11/1/51 16,000 9,905
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 19,000 13,188
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 7,000 5,364
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47 92,000 70,071
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 4,000 4,267
Cox Communications, Inc. 144A company guaranty sr. unsec. bonds 2.95%, 10/1/50 18,000 10,705
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 35,000 32,042
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) 25,000 22,620
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 34,000 30,779
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 35,000 32,893
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 28,000 25,900
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 73,000 83,636
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 5,000 4,311
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 5,000 3,835
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 10,000 8,925
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 10,000 5,875
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 10,000 7,557
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 5,000 4,096
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 20,000 10,000
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26(R) 80,000 71,767
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 5,000 4,481
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 20,000 16,500
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 20,000 16,552
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 15,000 11,700
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 45,000 46,238
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 10,000 10,343
T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31 60,000 45,217
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 7,000 6,209
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 78,000 71,981
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 10,000 8,058
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 10,000 9,826
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 5,000 4,128
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 25,000 23,600
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 65,000 70,493
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 47,000 31,907
Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31 23,000 18,364
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 65,000 57,096
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 76,000 71,510
Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 20,000 16,884
1,415,050
Conglomerates (—%)
General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 6.623%, perpetual maturity 15,000 14,028
14,028
Consumer cyclicals (2.0%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 15,000 12,450
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 25,000 22,438
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) 14,000 11,511
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 90,000 83,869
AMC Entertainment Holdings, Inc. 144A company guaranty notes 10.00%, 6/15/26(PIK) 10,000 6,825
AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 7.50%, 2/15/29 5,000 3,863
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 15,000 13,122
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 10,000 7,825
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 5,000 3,997
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 14,000 9,934
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity 5,000 4,120
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity 15,000 13,725
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 5,000 4,350
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27(PIK) 5,000 3,402
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26 15,000 11,550
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 40,000 31,013
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 35,000 32,568
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 25,000 23,496
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 5,000 4,425
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 15,000 12,146
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 5,000 3,820
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 25,000 24,123
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 5,000 4,121
Carnival Corp. 144A notes 10.50%, 2/1/26 5,000 4,947
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 20,000 14,011
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 10,000 7,908
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 15,000 13,088
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 15,000 14,063
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.875%, 3/15/26 5,000 4,181
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 15,000 11,536
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 15,000 12,671
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 10,000 7,550
Clear Channel Outdoor Holdings, Inc. 144A sr. unsec. notes 7.50%, 6/1/29 5,000 3,625
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26 60,000 50,227
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 15,000 2,986
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 65,000 64,916
Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 70,000 65,350
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 15,000 3,613
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 10,000 2,450
Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29 5,000 4,100
Ford Motor Co. sr. unsec. unsub. bonds 3.25%, 2/12/32 65,000 46,690
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 35,000 32,119
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 15,000 13,502
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 10,000 8,175
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 5,000 4,163
General Motors Co. sr. unsec. bonds 5.95%, 4/1/49 2,000 1,668
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 79,000 73,065
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 10,000 9,607
General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32 12,000 9,051
General Motors Financial Co., Inc. sr. unsec. notes 2.35%, 2/26/27 2,000 1,697
General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 22,000 18,908
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 6,000 5,134
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 30,000 23,533
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) 8,000 7,019
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 10,000 9,535
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 10,000 9,175
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 47,000 45,691
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 17,189 14,439
Interpublic Group of Cos, Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 10,000 7,594
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 47,000 43,462
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 5,000 4,706
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 10,000 7,150
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 15,000 11,775
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 10,000 6,775
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 38,000 35,085
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 15,000 11,700
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 10,000 9,536
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 5,000 4,811
Macy's Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32 5,000 3,828
Magallanes, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 92,000 75,717
Magallanes, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27 20,000 17,914
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 5,000 4,423
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 10,000 7,645
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 10,000 8,408
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 5,000 4,462
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 15,000 12,525
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 15,000 12,315
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30 5,000 3,703
Moody's Corp. sr. unsec. bonds 2.55%, 8/18/60 20,000 10,861
Moody's Corp. sr. unsec. notes 2.00%, 8/19/31 50,000 38,061
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27 5,000 4,175
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 5,000 3,800
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 15,000 12,502
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 4,000 3,510
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 10,000 8,489
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 10,000 9,805
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 10,000 9,925
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 10,000 9,956
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 65,000 61,567
Paramount Global sr. unsec. unsub. notes 4.00%, 1/15/26 12,000 11,331
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 22,000 19,590
Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 10,000 8,843
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 5,000 4,201
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 15,000 12,801
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 15,000 15,600
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 5,000 4,300
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29 10,000 7,213
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 5,000 4,927
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 5,000 3,825
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 30,000 25,067
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 9,000 6,739
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 15,000 14,361
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 5,000 4,008
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 15,000 13,961
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 5,000 4,714
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 25,000 18,125
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32 5,000 3,556
Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29 5,000 3,986
Scripps Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 1/15/31 10,000 7,575
Scripps Escrow, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/27 5,000 4,350
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 10,000 9,119
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 50,000 38,772
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 15,000 12,759
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 10,000 8,750
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26 10,000 6,300
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 10,000 7,955
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 3/15/31 10,000 6,818
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 5,000 3,517
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 10,000 8,849
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 10,000 7,650
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 5,000 3,776
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 15,000 12,312
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 10,000 9,250
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27 40,000 30,559
Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26 10,000 9,141
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 5,000 4,901
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 15,000 14,156
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 5,000 4,750
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 15,000 12,749
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 15,000 11,250
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 40,000 49,159
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 15,000 12,750
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 10,000 8,160
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 15,000 13,203
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 15,000 12,123
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 5,000 4,884
1,957,956
Consumer staples (0.6%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 5,000 3,938
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) 15,000 12,998
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 20,000 17,300
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 5,000 4,230
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 35,000 31,283
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 10,000 10,060
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48 48,000 39,751
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 5,000 3,613
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 15,000 12,181
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 2,108 2,107
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 50,000 52,197
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 60,000 54,282
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 5,000 3,800
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 10,000 9,000
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 5,000 4,968
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31 40,000 31,120
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 18,000 16,630
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 10,000 9,290
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 19,000 17,519
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 10,000 9,071
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 15,000 12,694
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 3,000 2,678
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 5,000 3,775
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 40,000 34,950
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 5,000 3,953
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 10,000 9,359
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 53,000 51,717
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 15,000 14,161
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 20,000 18,800
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 5,000 4,834
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 15,000 13,800
PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29 20,000 14,585
Rite Aid Corp. 144A company guaranty sr. notes 8.00%, 11/15/26 3,000 2,123
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25 19,000 14,456
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 10,000 9,722
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 5,000 4,433
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 5,000 3,996
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 10,000 8,739
574,113
Energy (1.1%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 10,000 10,050
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 4,000 3,993
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 10,000 8,073
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 10,000 8,722
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 70,000 65,441
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) 35,000 32,074
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 10,000 9,225
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 20,000 17,510
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 5,000 4,969
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 20,000 19,349
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 16,000 15,491
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 10,000 8,385
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 9,000 6,911
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 5,000 4,750
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 10,000 8,710
Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29 10,000 9,223
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 15,000 13,462
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 10,000 9,950
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 10,000 9,039
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 35,000 25,630
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 5,000 4,813
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 15,000 14,531
Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32 5,000 5,493
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 5,000 5,513
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 15,000 13,833
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 20,000 18,451
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 55,000 52,312
Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23 9,000 8,910
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 15,000 14,025
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 50,000 49,576
EQT Corp. sr. unsec. notes 7.00%, 2/1/30 10,000 10,319
EQT Corp. sr. unsec. notes 5.678%, 10/1/25 10,000 9,938
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 40,000 38,076
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 5,000 4,292
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 10,000 8,756
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 5,000 4,038
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 28,000 26,580
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 6.25%, 4/15/32 5,000 4,400
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 6.00%, 4/15/30 5,000 4,375
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 20,000 17,620
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 15,000 13,735
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 10,000 9,053
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 4,000 3,980
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 5,000 4,351
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 5,000 5,075
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 5,000 4,925
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 35,000 33,863
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 20,000 21,404
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 25,000 25,000
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 5,000 5,015
Ovintiv, Inc. company guaranty sr. unsec. bonds 6.50%, 8/15/34 5,000 4,871
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 10,000 10,417
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 5,000 4,894
Permian Resources Operating LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 15,000 13,688
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 10,000 9,090
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 53,000 37,186
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 20,000 19,150
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) 5,000 4,415
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 20,000 17,512
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 14,000 13,431
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 70,000 65,204
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 10,000 9,625
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 5,000 4,752
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 10,000 9,600
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 10,000 9,011
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 25,000 22,670
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 30,000 27,675
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 10,000 8,501
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 15,000 12,750
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 10,000 8,606
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 2,800 2,611
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 8,750 8,006
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 10,000 9,249
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 10,000 9,200
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27 5,000 4,544
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. bonds 3.875%, 11/1/33 10,000 7,775
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 3.875%, 8/15/29 10,000 8,579
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 5,000 4,603
1,100,824
Financials (4.2%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 10,000 8,651
Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28 65,000 50,648
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 23,000 20,645
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 3,000 2,442
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 15,000 12,927
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 54,000 56,611
Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 25,000 23,064
American Express Co. sr. unsec. notes 2.65%, 12/2/22 96,000 95,786
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 5,000 4,150
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27 50,000 41,770
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 25,000 22,745
Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 15,000 12,554
Athene Global Funding 144A notes 1.985%, 8/19/28 40,000 31,552
Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain) 200,000 140,185
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 74,000 70,855
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 5,000 3,945
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 120,000 96,816
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 195,000 188,190
Bank of Nova Scotia (The) sr. unsec. notes 2.00%, 11/15/22 (Canada) 78,000 77,739
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50 10,000 6,425
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 29,000 24,909
Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31 10,000 7,336
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23(R) 65,000 65,011
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 92,000 65,161
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity 35,000 28,919
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 204,000 185,260
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 50,000 46,021
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 10,000 7,971
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 50,000 46,284
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 10,000 9,312
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 15,000 10,463
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28 10,000 6,100
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 75,000 68,591
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 20,000 17,627
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 10,000 9,396
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 30,000 29,369
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 11,000 9,903
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 26,000 25,808
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 135,000 133,554
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 17,000 14,046
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 5,000 4,375
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 5,000 3,563
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32(R) 15,000 11,276
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 10,000 9,666
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 4,000 3,826
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 5,000 4,688
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 5,000 4,438
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 21,000 16,139
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 87,000 79,072
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 13,000 10,536
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 24,000 23,943
Goldman Sachs Group, Inc. (The) unsec. sub. notes 5.95%, 1/15/27 5,000 5,018
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 20,000 18,968
HUB International, Ltd. 144A sr. unsec. notes 5.625%, 12/1/29 5,000 4,175
Huntington Bancshares, Inc. unsec. sub. FRB 2.487%, 8/15/36 41,000 28,995
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 10,000 9,345
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 10,000 8,755
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 5,000 4,024
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 30,000 20,200
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 15,000 11,052
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 10,000 10,063
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 15,000 14,793
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 30,000 29,102
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 17,000 16,320
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity 157,000 136,763
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 3.905%, 5/15/47 13,000 10,257
JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity 17,000 13,766
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 300,000 224,723
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 6,000 5,662
JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23 165,000 163,958
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 30,000 25,935
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 15,000 11,230
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 25,000 23,000
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 15,000 12,150
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 22,000 20,896
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29 185,000 166,378
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 40,000 31,955
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.125%, 1/23/23 183,000 182,399
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 15,000 11,001
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 10,000 7,852
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 30,000 24,506
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 35,000 31,549
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 5,000 4,290
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 15,000 11,625
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/31 10,000 7,154
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 10,000 8,550
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 15,000 12,998
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 70,000 62,445
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) 10,000 8,168
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) 4,000 3,549
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 45,000 43,818
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) 5,000 4,675
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 90,000 76,304
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.90%, 12/1/22 (Canada) 78,000 77,759
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 55,000 50,136
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 16,000 14,246
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26 55,000 53,490
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 60,000 45,095
USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25 20,000 19,226
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) 30,000 27,586
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) 10,000 8,758
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 9,000 8,573
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity 15,000 12,684
Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33 185,000 150,029
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 4.54%, 8/15/26 22,000 21,356
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) 25,000 15,960
3,983,527
Health care (0.9%)
1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada) 1,531 1,520
AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25 15,000 14,528
Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25 15,000 7,527
Bausch Health Cos, Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 2,723 2,192
Bausch Health Cos, Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 545 297
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 5,000 3,450
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 10,000 6,447
Becton Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27 7,000 6,514
Becton Dickinson and Co. sr. unsec. sub. bonds 1.957%, 2/11/31 50,000 38,601
Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 2/20/23 67,000 66,741
Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24 52,000 50,432
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 10,000 7,919
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 30,000 26,850
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 5,000 4,025
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 5,000 4,100
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 5,000 4,329
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 5,000 3,863
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 10,000 4,575
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29 10,000 4,830
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 15,000 10,444
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 27,000 26,801
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 39,000 34,191
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 36,122 32,898
DH Europe Finance II SARL company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) 15,000 10,754
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 10,000 8,828
HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 22,000 20,537
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 10,000 9,688
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 5,000 4,129
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg) 14,000 8,400
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24 1,000 977
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 50,000 39,239
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25 8,000 7,669
Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 20,000 15,811
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 5,000 4,008
Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29 10,000 7,550
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 80,000 67,538
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 5,000 4,225
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 5,000 4,400
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 15,000 11,777
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 40,000 37,591
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 15,000 13,632
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 6,000 5,430
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 5,000 3,910
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 10,000 8,042
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 2,000 1,934
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 25,000 22,432
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 20,000 18,585
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 10,000 8,283
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 15,000 13,740
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23 90,000 89,546
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 25,000 20,412
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 35,000 32,406
864,547
Technology (1.0%)
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 30,000 16,866
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 35,000 31,942
Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61 20,000 12,451
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 25,000 24,384
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 80,000 71,782
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 27,000 22,613
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 30,000 23,400
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 5,000 3,873
Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25 5,000 4,900
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 73,000 67,151
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 90,000 79,686
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 10,000 9,507
Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29 20,000 15,660
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 5,000 4,604
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 3,000 2,665
CommScope, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/1/27 10,000 8,263
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 20,000 16,800
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 20,000 16,873
Meta Platforms, Inc. 144A sr. unsec. unsub. bonds 4.45%, 8/15/52 21,000 17,138
Meta Platforms, Inc. 144A sr. unsec. unsub. notes 3.50%, 8/15/27 12,000 11,221
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 20,000 19,903
Microsoft Corp. sr. unsec. unsub. bonds 2.525%, 6/1/50 25,000 16,334
Microsoft Corp. sr. unsec. unsub. notes 3.30%, 2/6/27 10,000 9,529
NortonLifeLock, Inc. 144A company guaranty sr. unsec. unsub. notes 6.75%, 9/30/27 10,000 9,650
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 35,000 23,452
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 35,000 29,168
Oracle Corp. sr. unsec. unsub. notes 3.625%, 7/15/23 144,000 142,749
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22 80,000 79,947
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 10,000 8,447
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 30,000 22,200
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 30,000 18,720
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 30,000 19,816
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 30,000 23,631
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 30,000 22,088
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 15,000 11,944
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 5,000 3,925
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 15,000 12,113
Workday, Inc. sr. unsec. notes 3.70%, 4/1/29 10,000 8,972
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 35,000 28,558
972,925
Transportation (0.2%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 10,000 8,725
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 10,000 9,392
Canadian Pacific Railway Co. company guaranty sr. unsec. unsub. notes 1.75%, 12/2/26 (Canada) 60,000 52,538
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 70,000 56,231
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 15,000 13,970
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 16,000 14,485
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 10,000 9,384
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 20,000 19,497
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 5,000 4,137
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 5,000 4,463
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 30,000 27,305
220,127
Utilities and power (1.0%)
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 24,000 20,674
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 25,000 19,125
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 55,000 51,385
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 10,000 7,850
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 5,000 3,954
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 5,000 4,361
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 10,000 8,500
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 4,000 3,771
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 35,000 30,835
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36 28,000 28,710
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 45,000 35,520
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 70,000 52,931
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 55,000 49,764
Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39 5,000 5,209
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 15,000 11,963
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 30,000 28,559
Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 30,000 25,403
Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 6,000 5,845
Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 37,000 34,488
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 91,000 66,430
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 4,000 3,340
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 90,000 69,174
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 25,000 21,690
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 5,000 4,796
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 25,000 24,883
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 1.75%, 11/15/26 10,000 8,660
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 2,000 1,959
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 10,000 8,674
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 21,000 20,216
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 35,000 27,302
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 5,000 4,375
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada) 75,000 74,945
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 75,000 58,544
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 5,000 4,411
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 5,000 4,042
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 25,000 24,522
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity 5,000 4,365
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 17,000 14,485
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 18,000 17,151
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 15,000 13,913
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 5,000 4,516
911,240
Total corporate bonds and notes (cost $15,828,666) $13,619,055








MORTGAGE-BACKED SECURITIES (3.8%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (0.1%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 14.455%, 4/15/37 $4,664 $7,276
REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 13.465%, 11/15/35 6,324 9,613
REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 11.407%, 3/15/35 13,513 17,161
REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 9.744%, 6/15/34 2,855 3,083
Federal National Mortgage Association
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 13.259%, 3/25/36 8,026 8,129
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 12.892%, 6/25/37 6,814 10,765
REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 2,575 2,157
Government National Mortgage Association
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 22,945 4,897
Ser. 13-14, IO, 3.50%, 12/20/42 61,999 6,951
Ser. 16-H16, Class EI, IO, 1.667%, 6/20/66(WAC) 114,792 5,407
Ser. 15-H26, Class DI, IO, 0.193%, 10/20/65(WAC) 173,130 6,502
81,941
Commercial mortgage-backed securities (1.6%)
ACRE Commercial Mortgage, Ltd. 144A FRB Ser. 21-FL4, Class A, 3.823%, 12/18/37 (Cayman Islands) 23,932 23,871
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49(WAC) 14,328 —
BANK FRB Ser. 17-BNK8, Class B, 4.056%, 11/15/50(WAC) 12,000 10,703
Barclays Commercial Mortgage Trust Ser. 19-C3, Class C, 4.178%, 5/15/52 32,000 27,475
CD Commercial Mortgage Trust FRB Ser. 17-CD6, Class B, 3.911%, 11/13/50(WAC) 14,000 12,348
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50(WAC) 14,000 13,043
Citigroup Commercial Mortgage Trust
FRB Ser. 13-GC17, Class C, 5.252%, 11/10/46(WAC) 11,000 10,650
Ser. 14-GC21, Class AS, 4.026%, 5/10/47 20,000 19,451
Ser. 13-GC11, Class B, 3.732%, 4/10/46(WAC) 34,000 33,479
Citigroup Commercial Mortgage Trust 144A FRB Ser. 06-C5, Class XC, IO, 0.557%, 10/15/49(WAC) 301,941 3
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.454%, 12/10/44(WAC) 29,000 28,681
FRB Ser. 13-CR13, Class C, 5.04%, 11/10/46(WAC) 27,000 25,805
FRB Ser. 14-CR17, Class C, 4.943%, 5/10/47(WAC) 75,000 70,469
Ser. 13-CR11, Class AM, 4.715%, 8/10/50(WAC) 20,000 19,864
Ser. 14-CR19, Class B, 4.703%, 8/10/47(WAC) 16,000 15,367
Ser. 14-UBS2, Class B, 4.701%, 3/10/47 75,000 72,634
FRB Ser. 15-CR26, Class C, 4.619%, 10/10/48(WAC) 24,000 21,979
FRB Ser. 14-UBS6, Class C, 4.587%, 12/10/47(WAC) 16,000 14,783
FRB Ser. 16-COR1, Class C, 4.475%, 10/10/49(WAC) 19,000 17,039
3.829%, 2/10/48(WAC) 18,000 16,780
FRB Ser. 14-CR18, Class XA, IO, 1.146%, 7/15/47(WAC) 79,510 1,036
FRB Ser. 14-CR17, Class XA, IO, 1.112%, 5/10/47(WAC) 348,541 3,806
FRB Ser. 14-CR20, Class XA, IO, 1.095%, 11/10/47(WAC) 246,798 3,628
FRB Ser. 14-UBS6, Class XA, IO, 0.999%, 12/10/47(WAC) 755,113 10,427
FRB Ser. 14-LC17, Class XA, IO, 0.817%, 10/10/47(WAC) 391,807 4,090
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.048%, 1/15/49(WAC) 476,656 —
CSAIL Commercial Mortgage Trust
Ser. 15-C1, Class B, 4.044%, 4/15/50(WAC) 30,000 27,250
Ser. 16-C7, Class AS, 3.958%, 11/15/49(WAC) 15,000 13,796
Ser. 19-C17, Class AS, 3.278%, 9/15/52 49,000 41,133
FRB Ser. 20-C19, Class XA, IO, 1.23%, 3/15/53(WAC) 1,040,437 64,809
CSMC Trust
FRB Ser. 16-NXSR, Class C, 4.597%, 12/15/49(WAC) 70,000 53,518
FRB Ser. 16-NXSR, Class XA, IO, 0.858%, 12/15/49(WAC) 899,349 22,034
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates FRB Ser. K740, Class X1, IO, 0.843%, 9/25/27(WAC) 382,109 11,599
GS Mortgage Securities Corp., II 144A Ser. GC10, Class B, 3.682%, 2/10/46 50,000 49,544
GS Mortgage Securities Trust
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47(WAC) 14,000 13,307
FRB Ser. 15-GC32, Class B, 4.548%, 7/10/48(WAC) 73,000 68,854
FRB Ser. 15-GC30, Class C, 4.205%, 5/10/50(WAC) 37,000 33,405
GS Mortgage Securities Trust 144A
FRB Ser. 13-GC14, Class B, 4.877%, 8/10/46(WAC) 13,000 12,794
Ser. 12-GCJ9, Class C, 4.448%, 11/10/45(WAC) 17,000 16,786
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 13-C15, Class C, 5.357%, 11/15/45(WAC) 43,000 42,196
FRB Ser. 14-C22, Class C, 4.699%, 9/15/47(WAC) 13,000 11,845
FRB Ser. 13-C12, Class B, 4.231%, 7/15/45(WAC) 12,000 11,805
JPMDB Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class XA, IO, 0.857%, 6/15/51(WAC) 1,092,555 22,287
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 7,803 7,045
FRB Ser. 13-C16, Class C, 5.17%, 12/15/46(WAC) 22,000 21,385
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39(WAC) 216,572 29
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 14-C14, Class C, 5.211%, 2/15/47(WAC) 10,000 9,817
FRB Ser. 15-C24, Class B, 4.476%, 5/15/48(WAC) 10,000 9,480
Ser. 13-C13, Class AS, 4.266%, 11/15/46 75,000 73,835
FRB Ser. 13-C10, Class AS, 4.206%, 7/15/46(WAC) 25,000 24,760
Ser. 14-C19, Class C, 4.00%, 12/15/47 20,000 18,087
FRB Ser. 14-C17, Class XA, IO, 1.185%, 8/15/47(WAC) 151,470 1,707
FRB Ser. 15-C26, Class XA, IO, 1.123%, 10/15/48(WAC) 578,227 10,939
FRB Ser. 13-C12, Class XA, IO, 0.714%, 10/15/46(WAC) 398,706 1,180
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C5, Class E, 4.791%, 8/15/45(WAC) 15,000 14,887
Morgan Stanley Capital I Trust FRB Ser. 18-H3, Class XA, IO, 0.984%, 7/15/51(WAC) 1,524,174 48,573
Ready Capital Mortgage Financing, LLC 144A
FRB Ser. 22-FL9, Class A, 5.531%, 6/25/37 16,968 16,736
FRB Ser. 20-FL4, Class A, 5.234%, 2/25/35 27,207 27,103
FRB Ser. 21-FL7, Class A, 4.284%, 11/25/36 25,941 24,992
Shelter Growth CRE Issuer, Ltd. 144A FRB Ser. 21-FL3, Class A, 3.898%, 9/15/36 (Cayman Islands) 26,918 26,267
UBS-Barclays Commercial Mortgage Trust 144A
FRB Ser. 12-C4, Class C4, 3.718%, 12/10/45(WAC) 41,000 40,771
FRB Ser. 12-C4, Class XA, IO, 1.545%, 12/10/45(WAC) 9,773 —
Wells Fargo Commercial Mortgage Trust
FRB Ser. 16-NXS5, Class C, 5.148%, 1/15/59(WAC) 23,000 21,158
FRB Ser. 13-LC12, Class AS, 4.432%, 7/15/46(WAC) 19,000 18,555
FRB Ser. 13-LC12, Class C, 4.432%, 7/15/46(WAC) 24,000 21,980
FRB Ser. 20-C57, Class C, 4.157%, 8/15/53(WAC) 16,000 12,997
WF-RBS Commercial Mortgage Trust
Ser. 14-LC14, Class C, 4.344%, 3/15/47(WAC) 23,000 21,980
FRB Ser. 13-C11, Class C, 4.309%, 3/15/45(WAC) 47,000 46,559
Ser. 13-C11, Class AS, 3.311%, 3/15/45 12,000 11,916
Ser. 12-C10, Class AS, 3.241%, 12/15/45 33,000 32,845
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C3, Class D, 5.42%, 3/15/44(WAC) 24,593 11,957
FRB Ser. 13-C15, Class D, 4.671%, 8/15/46(WAC) 43,000 25,907
FRB Ser. 12-C10, Class XA, IO, 1.569%, 12/15/45(WAC) 123,252 132
1,597,952
Residential mortgage-backed securities (non-agency) (2.1%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 2.955%, 5/25/35(WAC) 7,701 7,509
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 3.464%, 8/25/46 68,445 56,658
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.044%, 6/25/46 49,651 43,043
Ellington Financial Mortgage Trust 144A Ser. 20-2, Class A2, 1.486%, 10/25/65(WAC) 32,490 29,920
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (ICE LIBOR USD 1 Month + 4.65%), 7.734%, 10/25/28 63,940 66,759
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 5.484%, 2/25/47 104,867 101,201
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 5.231%, 6/25/42 18,709 18,704
Structured Agency Credit Risk Debt FRN Ser. 21-DNA2, Class M2, (US 30 Day Average SOFR + 2.30%), 4.581%, 8/25/33 111,000 107,535
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1A, (US 30 Day Average SOFR + 2.00%), 4.281%, 4/25/42 71,737 70,934
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 4.131%, 1/25/42 74,000 67,254
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 4.084%, 2/25/47 98,828 96,838
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56(WAC) 70,362 68,444
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 3.581%, 2/25/42 84,629 83,122
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 3.131%, 9/25/41 33,182 32,255
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 10.034%, 8/25/28 36,655 38,438
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 9.834%, 8/25/28 54,539 57,738
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 9.084%, 9/25/28 24,074 25,021
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 8.984%, 10/25/28 6,595 6,814
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 8.784%, 4/25/28 37,774 39,111
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 8.634%, 4/25/28 42,759 44,200
Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, (ICE LIBOR USD 1 Month + 5.25%), 8.334%, 10/25/23 5,037 5,182
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 8.084%, 11/25/24 363 367
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 7.984%, 11/25/24 2,255 2,311
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%), 7.534%, 1/25/29 71,792 74,324
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (ICE LIBOR USD 1 Month + 4.35%), 7.434%, 5/25/29 102,332 105,762
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 7.384%, 2/25/25 22,894 23,321
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 7.334%, 4/25/29 44,160 45,537
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 7.334%, 1/25/29 73,725 75,800
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 7.084%, 5/25/25 1,561 1,588
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 6.734%, 9/25/29 56,000 56,785
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (ICE LIBOR USD 1 Month + 3.55%), 6.634%, 7/25/29 83,421 84,917
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 5.984%, 7/25/24 2,537 2,560
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (ICE LIBOR USD 1 Month + 2.60%), 5.684%, 5/25/24 5,742 5,739
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (ICE LIBOR USD 1 Month + 2.50%), 5.584%, 5/25/30 29,615 29,374
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (ICE LIBOR USD 1 Month + 0.65%), 3.734%, 1/25/31 22,556 22,174
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (ICE LIBOR USD 1 Month + 0.60%), 3.684%, 11/25/29 17,208 16,801
Federal National Mortgage Association 144A
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 3.181%, 11/25/41 16,133 15,770
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 3.031%, 10/25/41 16,119 15,998
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (ICE LIBOR USD 1 Month + 0.80%), 3.884%, 2/25/34 17,640 16,917
New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, (ICE LIBOR USD 1 Month + 1.13%), 4.209%, 10/25/33 33,146 32,340
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (ICE LIBOR USD 1 Month + 1.05%), 4.134%, 10/25/34 20,381 19,829
RMF Buyout Issuance Trust 144A Ser. 20-HB1, Class A1, 1.719%, 10/25/50(WAC) 119,972 111,574
Verus Securitization Trust 144A Ser. 20-5, Class A2, 1.578%, 5/25/65 44,636 41,070
Visio Trust 144A Ser. 20-1, Class A3, 3.521%, 8/25/55(WAC) 117,000 106,083
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 4.044%, 7/25/45 17,740 16,161
1,989,782
Total mortgage-backed securities (cost $3,894,611) $3,669,675








COMMODITY LINKED NOTES (0.5%)(a)(CLN)
        Principal amount Value
Goldman Sachs International 144A notes zero %, 3/31/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) $604,000 $478,258
Total commodity Linked Notes (cost $604,000) $478,258








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.5%)(a)
        Principal amount Value
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Cote d'lvoire) $90,907 $77,726
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 130,000 126,263
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) 200,000 187,586
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) 78,000 66,743
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, 3/21/36 (Uruguay) 10,000 11,956
Total foreign government and agency bonds and notes (cost $536,208) $470,274








SENIOR LOANS (0.4%)(a)(c)
        Principal amount Value
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 4/1/28 $9,875 $9,301
AMC Entertainment Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 3.00%), 5.756%, 4/22/26 9,834 7,670
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 7.46%, 4/20/28 5,000 4,835
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 6.784%, 10/19/27 9,826 9,175
Ascend Learning, LLC bank term loan FRN (ICE LIBOR USD 1 Month + 5.75%), 8.865%, 11/18/29 5,000 4,328
Asurion, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.25%), 8.365%, 1/30/29 5,000 3,800
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 6.365%, 7/31/27 4,937 4,155
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 6.952%, 6/21/24 19,716 17,111
Clarios Global LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 4/30/26 34,881 32,919
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 6.306%, 8/21/26 10,000 8,903
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (ICE LIBOR USD 3 Month + 3.50%), 6.615%, 11/23/27 10,754 9,324
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 7.424%, 5/27/28 14,813 14,269
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 8.115%, 7/22/27 9,100 8,455
Epicor Software Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 7.75%), 10.274%, 7/30/28 5,000 4,860
Epicor Software Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 7/30/27 29,400 27,480
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 6.814%, 10/2/25 24,563 21,234
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 7.115%, 12/1/27 9,850 9,354
iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 6.365%, 5/1/26 8,916 8,353
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 5.696%, 12/15/27 4,913 4,593
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.259%, 2/4/26 4,863 4,109
MajorDrive Holdings IV, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 7.125%, 6/1/28 14,800 13,616
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 7.752%, 4/22/27 4,900 3,577
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 4.25%), 7.365%, 12/17/28 24,813 21,111
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.87%, 1/29/28 9,975 9,418
Polaris Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 7.674%, 6/3/28 9,875 9,091
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 9.32%, 8/31/29 10,000 9,588
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 11.125%, 2/28/26 5,000 3,000
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 7.365%, 11/28/25 4,938 4,718
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 6.283%, 10/1/25 7,749 7,255
Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 6.615%, 12/17/26 34,301 32,043
TK Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 6.871%, 7/31/27 4,950 4,736
UKG, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 5.25%), 7.535%, 5/3/27 5,000 4,700
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.533%, 4/21/28 9,850 9,384
Vertiv Group Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 5.303%, 3/2/27 14,405 13,680
Total senior loans (cost $391,504) $360,145








ASSET-BACKED SECURITIES (0.1%)(a)
        Principal amount Value
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.834%, 5/25/55 $46,000 $45,042
Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 4.314%, 5/29/23 47,000 47,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 3.684%, 1/25/46 18,821 18,769
Total asset-backed securities (cost $111,621) $110,811








CONVERTIBLE BONDS AND NOTES (—%)(a)
        Principal amount Value
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $5,000 $3,440
Nabors Industries, Inc. company guaranty cv. sr. unsec. notes 0.75%, 1/15/24 15,000 13,650
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 7,000 6,659
Total convertible bonds and notes (cost $24,063) $23,749








SHORT-TERM INVESTMENTS (6.3%)(a)
        Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 3.06%(AFF) Shares 58,825 $58,825
Putnam Short Term Investment Fund Class P 3.11%(AFF) Shares 4,358,134 4,358,134
U.S. Treasury Bills 2.703%, 11/1/22(SEG)(SEGCCS) $1,400,000 1,396,990
U.S. Treasury Bills 2.800%, 11/8/22(SEG)(SEGCCS) 200,000 199,459
Total short-term investments (cost $6,013,177) $6,013,408
TOTAL INVESTMENTS
Total investments (cost $102,071,184) $105,436,384








FORWARD CURRENCY CONTRACTS at 9/30/22 (aggregate face value $1,716,250) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Canadian Dollar Buy 10/19/22 $12,306 $13,147 $(841)
Euro Buy 12/21/22 247,988 254,495 (6,507)
Citibank, N.A.
Danish Krone Sell 12/21/22 61,038 63,113 2,075
HSBC Bank USA, National Association
Hong Kong Dollar Buy 11/16/22 47,357 47,412 (55)
JPMorgan Chase Bank N.A.
Norwegian Krone Sell 12/21/22 187,320 207,214 19,894
Singapore Dollar Sell 11/16/22 154,498 160,959 6,461
Swedish Krona Sell 12/21/22 10,522 11,127 605
Morgan Stanley & Co. International PLC
Australian Dollar Sell 10/19/22 24,182 25,676 1,494
British Pound Buy 12/21/22 76,797 79,626 (2,829)
Canadian Dollar Buy 10/19/22 72 77 (5)
Japanese Yen Buy 11/16/22 170,340 187,841 (17,501)
Swiss Franc Buy 12/21/22 79,382 81,518 (2,136)
NatWest Markets PLC
Japanese Yen Buy 11/16/22 33,043 36,735 (3,692)
State Street Bank and Trust Co.
Chinese Yuan (Offshore) Sell 11/16/22 6,096 6,451 355
UBS AG
Australian Dollar Sell 10/19/22 237,218 251,193 13,975
WestPac Banking Corp.
Australian Dollar Sell 10/19/22 252,249 267,777 15,528
Canadian Dollar Buy 10/19/22 20,486 21,889 (1,403)
Unrealized appreciation 60,387
Unrealized (depreciation) (34,969)
Total $25,418
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Russell 2000 Index E-Mini (Long) 40 $3,329,432 $3,339,600 Dec-22 $(440,766)
S&P 500 Index E-Mini (Long) 2 358,562 360,150 Dec-22 334
S&P 500 Index E-Mini (Short) 110 19,720,910 19,808,250 Dec-22 2,665,525
U.S. Treasury Bond 30 yr (Long) 9 1,137,656 1,137,656 Dec-22 (97,262)
U.S. Treasury Bond Ultra 30 yr (Long) 15 2,055,000 2,055,000 Dec-22 (208,628)
U.S. Treasury Note 2 yr (Long) 20 4,107,813 4,107,813 Dec-22 (61,709)
U.S. Treasury Note 5 yr (Long) 39 4,192,805 4,192,805 Dec-22 (133,252)
U.S. Treasury Note 10 yr (Long) 18 2,017,125 2,017,125 Dec-22 (90,322)
Unrealized appreciation 2,665,859
Unrealized (depreciation) (1,031,939)
Total $1,633,920








TBA SALE COMMITMENTS OUTSTANDING at 9/30/22 (proceeds receivable $2,676,602) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 3.50%, 10/1/52 $1,000,000 10/13/22 $899,219
Uniform Mortgage-Backed Securities, 2.50%, 10/1/52 1,000,000 10/13/22 839,141
Uniform Mortgage-Backed Securities, 2.00%, 10/1/52 1,000,000 10/13/22 809,155
Total $2,547,515










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$4,124,000 $3,340 (E) $(4,220) 12/21/24 4.20% — Annually US SOFR — Annually $(880)
3,009,000 2,437 (E) 3,334 12/21/24 US SOFR — Annually 4.20% — Annually 896
1,629,000 847 (E) 3,442 12/21/27 3.80% — Annually US SOFR — Annually 4,289
564,000 6,807 (E) (2,650) 12/21/32 3.40% — Annually US SOFR — Annually 4,158
518,000 6,252 (E) 2,452 12/21/32 US SOFR — Annually 3.40% — Annually (3,800)
375,000 3,555 (E) (3,129) 12/21/52 US SOFR — Annually 3.00% — Annually (8,241)
38,500 30 (1) 9/29/52 3.0575% — Annually US SOFR — Annually 22
38,500 8 (1) 9/29/52 3.0605% — Annually US SOFR — Annually —
79,000 461 (1) 9/30/27 US SOFR — Annually 3.6865% — Annually (454)
79,000 468 (1) 9/30/27 US SOFR — Annually 3.6845% — Annually (461)
Total $(775) $(4,471)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/22 (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)
Barclays Bank PLC
$3,065,542 $2,785,736 $— 8/4/23 (Secured Overnight Financing Rate plus 0.40%) — Monthly A basket (BCPUDEAL) of common stocks — Monthly* $(282,077)
3,132,318 2,762,389 — 9/14/23 Secured Overnight Financing Rate plus 0.25% — Monthly A basket (BCPUDEAS) of common stocks — Monthly* 372,853
Goldman Sachs International
3,880,160 3,857,659 — 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* (15,427)
3,760,793 3,719,241 — 12/15/25 Secured Overnight Financing Rate minus 0.25% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* 35,196
1,611 1,565 — 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly Evraz PLC — Monthly (1,530)
Upfront premium received — Unrealized appreciation 408,049
Upfront premium (paid) — Unrealized (depreciation) (299,034)
Total $— Total $109,015
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.








A BASKET (BCPUDEAL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
STORE Capital Corp. Financials 1,351 $42,334 1.52%
O'Reilly Automotive, Inc. Consumer cyclicals 55 38,738 1.39%
Unum Group Financials 966 37,493 1.35%
Brown & Brown, Inc. Financials 611 36,934 1.33%
Constellation Energy Corp. Utilities and power 444 36,911 1.32%
Molina Healthcare, Inc. Health care 112 36,813 1.32%
Manhattan Associates, Inc. Technology 272 36,181 1.30%
Wintrust Financial Corp. Financials 444 36,175 1.30%
Ulta Beauty, Inc. Consumer staples 89 35,747 1.28%
ON Semiconductor Corp. Technology 573 35,705 1.28%
Cadence Design Systems, Inc. Technology 217 35,415 1.27%
Pure Storage, Inc. Class A Technology 1,293 35,390 1.27%
East West Bancorp, Inc. Financials 525 35,221 1.26%
Gartner, Inc. Consumer cyclicals 127 35,030 1.26%
General Dynamics Corp. Capital goods 164 34,881 1.25%
MGIC Investment Corp. Financials 2,705 34,674 1.24%
Wix.com, Ltd.(IL) (Israel) Technology 443 34,619 1.24%
Apartment Income REIT Corp. Financials 867 33,501 1.20%
Targa Resources Corp. Energy 555 33,485 1.20%
Toll Brothers, Inc. Consumer cyclicals 792 33,280 1.19%
NRG Energy, Inc. Utilities and power 869 33,243 1.19%
Procore Technologies, Inc. Technology 671 33,187 1.19%
Hologic, Inc. Health care 512 33,065 1.19%
Valero Energy Corp. Energy 309 32,972 1.18%
Textron, Inc. Capital goods 562 32,736 1.18%
Synopsys, Inc. Technology 106 32,490 1.17%
Uber Technologies, Inc. Consumer staples 1,224 32,427 1.16%
Boyd Gaming Corp. Consumer cyclicals 680 32,425 1.16%
American International Group, Inc. Financials 681 32,356 1.16%
Genuine Parts Co. Consumer cyclicals 213 31,789 1.14%
Virtu Financial, Inc. Class A Financials 1,530 31,788 1.14%
Johnson Controls International PLC Capital goods 646 31,778 1.14%
Allison Transmission Holdings, Inc. Capital goods 935 31,572 1.13%
Autonation, Inc. Consumer cyclicals 309 31,503 1.13%
AbbVie, Inc. Health care 234 31,393 1.13%
Wyndham Hotels & Resorts, Inc. Consumer cyclicals 499 30,620 1.10%
Live Nation Entertainment, Inc. Consumer cyclicals 402 30,572 1.10%
Bio-Rad Laboratories, Inc. Class A Health care 72 29,975 1.08%
CF Industries Holdings, Inc. Basic materials 307 29,583 1.06%
Booking Holdings, Inc. Consumer cyclicals 18 29,261 1.05%
Palo Alto Networks, Inc. Technology 177 28,993 1.04%
Expedia Group, Inc. Consumer cyclicals 309 28,970 1.04%
ManpowerGroup, Inc. Consumer staples 446 28,869 1.04%
Marathon Oil Corp. Energy 1,272 28,731 1.03%
Apollo Global Management, Inc. Financials 611 28,392 1.02%
Albertsons Cos., Inc. Class A Consumer staples 1,136 28,247 1.01%
Monolithic Power Systems, Inc. Technology 75 27,244 0.98%
Merck & Co., Inc. Health care 313 26,943 0.97%
Travel + Leisure Co. Consumer cyclicals 782 26,698 0.96%
Smartsheet, Inc. Class A Technology 777 26,687 0.96%








A BASKET (BCPUDEAS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Five Below, Inc. Consumer cyclicals 288 $39,648 1.44%
Erie Indemnity Co. Class A Financials 177 39,265 1.42%
Wynn Resorts, Ltd. Consumer cyclicals 605 38,111 1.38%
Shift4 Payments, Inc. Class A Consumer cyclicals 835 37,271 1.35%
Commerce Bancshares, Inc./MO Financials 558 36,898 1.34%
Ross Stores, Inc. Consumer cyclicals 437 36,787 1.33%
Ceridian HCM Holding, Inc. Technology 651 36,369 1.32%
Berkshire Hathaway, Inc. Class B Financials 136 36,286 1.31%
Wolfspeed, Inc. Technology 344 35,572 1.29%
RPM International, Inc. Basic materials 422 35,176 1.27%
Air Products & Chemicals, Inc. Basic materials 151 35,115 1.27%
NextEra Energy, Inc. Utilities and power 441 34,612 1.25%
Aspen Technology, Inc. Technology 145 34,575 1.25%
BWX Technologies, Inc. Capital goods 685 34,523 1.25%
Tyler Technologties, Inc. Technology 97 33,823 1.22%
Texas Instruments, Inc. Technology 218 33,815 1.22%
Floor & Decor Holdings, Inc. Class A Consumer cyclicals 479 33,654 1.22%
Broadridge Financial Solutions, Inc. Financials 233 33,595 1.22%
T Rowe Price Group, Inc. Financials 316 33,220 1.20%
New York Community Bancorp, Inc. Financials 3,888 33,161 1.20%
Boston Beer Co., Inc. Class A Consumer staples 101 32,819 1.19%
Becton Dickinson and Co. Health care 147 32,775 1.19%
Param,ount Global Class B Consumer cyclicals 1,701 32,381 1.17%
Equifax, Inc. Consumer cyclicals 188 32,255 1.17%
Royal Caribbean Cruises, Ltd. Consumer cyclicals 845 32,012 1.16%
Take-Two Interactive Software, Inc. Technology 292 31,850 1.15%
Pioneer Natural Resources Co. Energy 147 31,752 1.15%
Kemper Corp. Financials 769 31,715 1.15%
TD SYNNEX Corp. Technology 390 31,648 1.15%
Viasat, Inc. Communication services 1,044 31,570 1.14%
New Fortress Energy, Inc. Energy 700 30,587 1.11%
Cooper Cos., Inc. (The) Health care 115 30,465 1.10%
NortonLifeLock, Inc. Technology 1,499 30,189 1.09%
Domino's Pizza, Inc. Consumer staples 94 29,246 1.06%
Polaris, Inc. Consumer cyclicals 305 29,146 1.06%
Norwegian Cruise Line Holdings, Ltd. Consumer cyclicals 2,546 28,923 1.05%
Universal Health Services, Inc. Class B Health care 327 28,843 1.04%
Digital Realty Trust, Inc. Financials 288 28,557 1.03%
Welltower, Inc. Financials 441 28,348 1.03%
Thor Industries, Inc. Consumer cyclicals 390 27,274 0.99%
TripAdvisor, Inc. Consumer staples 1,200 26,491 0.96%
CH Robinson Worldwide, Inc. Transportation 270 26,048 0.94%
Ball Corp. Capital goods 537 25,931 0.94%
CarMax, Inc. Consumer cyclicals 392 25,880 0.94%
Prudential Financial, Inc. Financials 301 25,847 0.94%
Stanley Black & Decker, Inc. Consumer cyclicals 343 25,828 0.93%
Catalent, Inc. Health care 346 25,006 0.91%
Exact Sciences Corp. Health care 766 24,885 0.90%
Organon & Co. Health care 1,061 24,829 0.90%
VF Corp. Consumer cyclicals 824 24,655 0.89%








A BASKET (GSGLPWDL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Shell PLC (London Exchange) (United Kingdom) Energy 988 $24,786 0.64%
Exxon Mobil Corp. Energy 277 24,189 0.63%
FactSet Research Systems, Inc. Consumer cyclicals 60 24,148 0.63%
Weyerhaeuser Co. Basic materials 839 23,949 0.62%
Vinci SA (France) Capital goods 293 23,891 0.62%
GoDaddy, Inc. Class A Technology 336 23,842 0.62%
Keysight Technologies, Inc. Technology 151 23,822 0.62%
Chevron Corp. Energy 165 23,676 0.61%
Merck & Co., Inc. Health care 274 23,561 0.61%
Secom Co., Ltd. (Japan) Consumer cyclicals 411 23,511 0.61%
Kirin Holdings Co., Ltd. (Japan) Consumer staples 1,524 23,455 0.61%
Cummins, Inc. Capital goods 115 23,442 0.61%
MSCI, Inc. Technology 56 23,432 0.61%
Aristocrat Leisure, Ltd. (Australia) Consumer cyclicals 1,099 23,253 0.60%
ConocoPhillips Energy 226 23,118 0.60%
Energias de Portugal (EDP) SA (Portugal) Utilities and power 5,279 22,963 0.60%
PepsiCo, Inc. Consumer staples 140 22,808 0.59%
Diageo PLC (United Kingdom) Consumer staples 536 22,724 0.59%
SEI Investments Co. Financials 463 22,701 0.59%
Hershey Co. (The) Consumer staples 102 22,485 0.58%
Fortive Corp. Capital goods 384 22,360 0.58%
Eiffage SA (France) Basic materials 268 21,658 0.56%
Nitto Denko Corp. (Japan) Basic materials 384 20,790 0.54%
Avery Dennison Corp. Basic materials 126 20,543 0.53%
Moncler SpA (Italy) Consumer cyclicals 486 20,183 0.52%
Hartford Financial Services Group, Inc. (The) Financials 321 19,897 0.52%
Gilead Sciences, Inc. Health care 321 19,826 0.51%
Lockheed Martin Corp. Capital goods 50 19,493 0.51%
Leidos Holdings, Inc. Technology 220 19,236 0.50%
AT&T, Inc. Communication services 1,252 19,210 0.50%
Ferrari NV (Italy) Consumer cyclicals 101 19,035 0.49%
Textron, Inc. Capital goods 325 18,945 0.49%
Garmin, Ltd. Technology 235 18,906 0.49%
Agilent Technologies, Inc. Technology 154 18,719 0.49%
Dropbox, Inc. Class A Technology 894 18,514 0.48%
EXOR N.V. Financials 287 18,435 0.48%
Airbnb, Inc. Class A Consumer staples 172 18,119 0.47%
Camden Property Trust Financials 151 18,007 0.47%
W.R. Berkley Corp. Financials 277 17,904 0.46%
Colgate-Palmolive Co. Consumer staples 254 17,867 0.46%
Panasonic Corp. (Japan) Consumer cyclicals 2,473 17,336 0.45%
Chubb, Ltd. Financials 95 17,324 0.45%
NetApp, Inc. Technology 278 17,185 0.45%
Trimble Inc. Technology 315 17,110 0.44%
Philip Morris International, Inc. Consumer staples 206 17,062 0.44%
Valeo (France) Consumer cyclicals 1,102 16,870 0.44%
Power Assets Holdings, Ltd. (Hong Kong) Utilities and power 3,331 16,718 0.43%
Anglo American PLC (London Exchange) (United Kingdom) Basic materials 546 16,676 0.43%
Marubeni Corp. (Japan) Conglomerates 1,873 16,411 0.43%
Sealed Air Corp. Basic materials 367 16,314 0.42%








A BASKET (GSGLPWDS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
LVMH Moet Hennessy Louis Vuitton SA (France) Consumer cyclicals 39 $23,442 0.63%
Air Liquide SA (France) Basic materials 203 23,438 0.63%
Rollins, Inc. Consumer cyclicals 658 22,805 0.61%
CGI Group, Inc. Class A (Canada) Technology 303 22,801 0.61%
International Paper Co. Basic materials 717 22,739 0.61%
Allianz SE (Germany) Financials 143 22,720 0.61%
STERIS PLC Health care 136 22,635 0.61%
Ingersoll Rand, Inc. Capital goods 521 22,524 0.61%
Equifax, Inc. Consumer cyclicals 131 22,445 0.60%
Reed Elsevier (United Kingdom) Consumer cyclicals 912 22,419 0.60%
Visa, Inc. Class A Financials 125 22,294 0.60%
AXA SA (France) Financials 1,011 22,272 0.60%
SoftBank Corp. (Japan) Communication services 2,221 22,198 0.60%
Waste Connections, Inc. Capital goods 163 22,053 0.59%
Toyota Motor Corp. (Japan) Consumer cyclicals 1,682 21,808 0.59%
Enel SpA (Italy) Utilities and power 5,229 21,645 0.58%
Alexandria Real Estate Equities, Inc. Financials 154 21,528 0.58%
Broadridge Financial Solutions, Inc. Financials 149 21,477 0.58%
Moody's Corp. Consumer cyclicals 88 21,456 0.58%
Masco Corp. Consumer cyclicals 457 21,353 0.57%
Orange SA (France) Communication services 2,323 21,054 0.57%
Sumitomo Mitsui Financial Group, Inc. (Japan) Financials 750 20,842 0.56%
Imperial Brands PLC (United Kingdom) Consumer staples 1,004 20,801 0.56%
NICE, Ltd. (Israel) Communication services 109 20,746 0.56%
Monster Beverage Corp. Consumer staples 236 20,508 0.55%
BlackRock, Inc. Financials 37 20,304 0.55%
Realty Income Corp. Financials 348 20,278 0.55%
Cooper Cos., Inc. (The) Health care 76 20,058 0.54%
Enbridge, Inc. (Canada) Utilities and power 536 19,874 0.53%
BNP Paribas SA (France) Financials 463 19,790 0.53%
Prudential Financial, Inc. Financials 222 19,080 0.51%
Aeon Co., Ltd. (Japan) Consumer cyclicals 1,009 18,857 0.51%
Solvay SA (France) Basic materials 241 18,786 0.51%
Heineken NV (Netherlands) Consumer staples 213 18,750 0.50%
Mizuho Financial Group, Inc. (Japan) Financials 1,693 18,282 0.49%
Bridgestone Corp. (Japan) Consumer cyclicals 539 17,372 0.47%
S&P Global, Inc. Consumer cyclicals 57 17,354 0.47%
Kubota Corp. (Japan) Capital goods 1,253 17,351 0.47%
Swisscom AG (Switzerland) Communication services 37 17,345 0.47%
Catalent, Inc. Health care 239 17,281 0.46%
D.R. Horton, Inc. Consumer cyclicals 254 17,121 0.46%
Hess Corp. Energy 156 16,984 0.46%
Berkshire Hathaway, Inc. Class B Financials 64 16,961 0.46%
Welltower, Inc. Financials 255 16,402 0.44%
TransUnion Consumer cyclicals 274 16,297 0.44%
Texas Pacific Land Corp. Energy 9 16,270 0.44%
ORIX Corp. (Japan) Financials 1,147 16,075 0.43%
Walt Disney Co. (The) Consumer cyclicals 170 15,992 0.43%
Pioneer Natural Resources Co. Energy 74 15,988 0.43%
Fastenal Co. Consumer staples 347 15,977 0.43%








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received by fund Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index B+/P $273 $2,872 $645 5/11/63 300 bp — Monthly $(370)
CMBX NA BBB-.6 Index B+/P 482 5,744 1,291 5/11/63 300 bp — Monthly (806)
CMBX NA BBB-.6 Index B+/P 926 10,771 2,420 5/11/63 300 bp — Monthly (1,489)
CMBX NA BBB-.6 Index B+/P 912 11,489 2,581 5/11/63 300 bp — Monthly (1,664)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A-/P 120 629 64 5/11/63 200 bp — Monthly 56
CMBX NA A.6 Index A-/P 2,194 11,316 1,154 5/11/63 200 bp — Monthly 1,043
CMBX NA A.6 Index A-/P 3,215 16,973 1,731 5/11/63 200 bp — Monthly 1,489
CMBX NA A.6 Index A-/P 5,330 28,289 2,885 5/11/63 200 bp — Monthly 2,454
CMBX NA BB.11 Index BB-/P 1,130 2,000 445 11/18/54 500 bp — Monthly 687
CMBX NA BB.14 Index BB/P 439 4,000 982 12/16/72 500 bp — Monthly (540)
CMBX NA BB.6 Index CCC+/P 2,008 10,637 4,268 5/11/63 500 bp — Monthly (2,250)
CMBX NA BB.7 Index B-/P 970 19,000 6,335 1/17/47 500 bp — Monthly (4,417)
CMBX NA BB.9 Index B/P 817 4,000 1,305 9/17/58 500 bp — Monthly (485)
CMBX NA BBB-.10 Index BB+/P 372 3,000 558 11/17/59 300 bp — Monthly (184)
CMBX NA BBB-.10 Index BB+/P 620 5,000 930 11/17/59 300 bp — Monthly (307)
CMBX NA BBB-.10 Index BB+/P 545 5,000 930 11/17/59 300 bp — Monthly (382)
CMBX NA BBB-.11 Index BBB-/P 63 1,000 163 11/18/54 300 bp — Monthly (100)
Credit Suisse International
CMBX NA A.7 Index BBB+/P 37 1,000 55 1/17/47 200 bp — Monthly (18)
CMBX NA A.7 Index BBB+/P 291 7,000 388 1/17/47 200 bp — Monthly (94)
CMBX NA BB.7 Index B-/P 401 3,000 1,000 1/17/47 500 bp — Monthly (596)
CMBX NA BBB-.6 Index B+/P 2,443 18,669 4,195 5/11/63 300 bp — Monthly (1,742)
CMBX NA BBB-.7 Index BB-/P 237 3,000 608 1/17/47 300 bp — Monthly (369)
CMBX NA BBB-.7 Index BB-/P 1,379 21,000 4,257 1/17/47 300 bp — Monthly (2,867)
Goldman Sachs International
CMBX NA A.13 Index A-/P (5) 1,000 87 12/16/72 200 bp — Monthly (92)
CMBX NA BBB-.6 Index B+/P 1,353 12,925 2,904 5/11/63 300 bp — Monthly (1,544)
CMBX NA BBB-.7 Index BB-/P 887 12,000 2,432 1/17/47 300 bp — Monthly (1,539)
JPMorgan Securities LLC
CMBX NA A.13 Index A-/P 242 3,000 261 12/16/72 200 bp — Monthly (18)
CMBX NA A.14 Index A-/P (20) 3,000 274 12/16/72 200 bp — Monthly (293)
CMBX NA BB.6 Index CCC+/P 3,089 4,559 1,829 5/11/63 500 bp — Monthly 1,264
CMBX NA BBB-.13 Index BBB-/P 132 1,000 199 12/16/72 300 bp — Monthly (66)
CMBX NA BBB-.8 Index BB/P 156 1,000 173 10/17/57 300 bp — Monthly (17)
Morgan Stanley & Co. International PLC
CMBX NA A.13 Index A-/P (8) 1,000 87 12/16/72 200 bp — Monthly (95)
CMBX NA A.14 Index A-/P (6) 1,000 91 12/16/72 200 bp — Monthly (97)
CMBX NA A.14 Index A-/P 13 1,000 91 12/16/72 200 bp — Monthly (78)
CMBX NA A.14 Index A-/P (31) 2,000 183 12/16/72 200 bp — Monthly (213)
CMBX NA A.14 Index A-/P (31) 2,000 183 12/16/72 200 bp — Monthly (213)
CMBX NA BB.6 Index CCC+/P 737 2,279 914 5/11/63 500 bp — Monthly (176)
CMBX NA BB.6 Index CCC+/P 1,478 4,559 1,829 5/11/63 500 bp — Monthly (347)
Upfront premium received 33,291 Unrealized appreciation 6,993
Upfront premium (paid) (101) Unrealized (depreciation) (23,468)
Total $33,190 Total $(16,475)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at September 30, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 (Unaudited)
  Swap counterparty/referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(82) $629 $64 5/11/63 (200 bp) — Monthly $(18)
CMBX NA BB.10 Index (1,688) 7,000 2,330 11/17/59 (500 bp) — Monthly 636
CMBX NA BB.10 Index (1,785) 7,000 2,330 11/17/59 (500 bp) — Monthly 539
CMBX NA BB.10 Index (219) 2,000 666 11/17/59 (500 bp) — Monthly 445
CMBX NA BB.10 Index (209) 2,000 666 11/17/59 (500 bp) — Monthly 455
CMBX NA BB.8 Index — 0 — 10/17/57 (500 bp) — Monthly —
CMBX NA BB.9 Index (81) 2,000 653 9/17/58 (500 bp) — Monthly 570
CMBX NA BB.9 Index (103) 1,000 326 9/17/58 (500 bp) — Monthly 222
CMBX NA BBB-.10 Index (437) 2,000 372 11/17/59 (300 bp) — Monthly (66)
CMBX NA BBB-.12 Index (60) 1,000 183 8/17/61 (300 bp) — Monthly 122
CMBX NA BBB-.12 Index (352) 1,000 183 8/17/61 (300 bp) — Monthly (170)
CMBX NA BBB-.6 Index (700) 7,898 1,775 5/11/63 (300 bp) — Monthly 1,070
CMBX NA BBB-.6 Index (2,545) 5,744 1,291 5/11/63 (300 bp) — Monthly (1,257)
CMBX NA BBB-.6 Index (849) 2,154 484 5/11/63 (300 bp) — Monthly (366)
CMBX NA BBB-.6 Index (556) 1,436 323 5/11/63 (300 bp) — Monthly (234)
CMBX NA BBB-.6 Index (248) 718 161 5/11/63 (300 bp) — Monthly (87)
CMBX NA BBB-.8 Index (1,350) 9,000 1,557 10/17/57 (300 bp) — Monthly 203
CMBX NA BBB-.8 Index (833) 6,000 1,038 10/17/57 (300 bp) — Monthly 203
CMBX NA BBB-.8 Index (416) 3,000 519 10/17/57 (300 bp) — Monthly 101
CMBX NA BBB-.8 Index (316) 2,000 346 10/17/57 (300 bp) — Monthly 29
CMBX NA BBB-.8 Index (286) 2,000 346 10/17/57 (300 bp) — Monthly 59
CMBX NA BBB-.8 Index (313) 2,000 346 10/17/57 (300 bp) — Monthly 33
CMBX NA BBB-.8 Index (317) 2,000 346 10/17/57 (300 bp) — Monthly 28
CMBX NA BBB-.8 Index (157) 1,000 173 10/17/57 (300 bp) — Monthly 16
CMBX NA BBB-.8 Index (133) 1,000 173 10/17/57 (300 bp) — Monthly 39
Credit Suisse International
CMBX NA BB.10 Index (476) 4,000 1,331 11/17/59 (500 bp) — Monthly 852
CMBX NA BB.10 Index (534) 4,000 1,331 11/17/59 (500 bp) — Monthly 794
CMBX NA BB.10 Index (249) 2,000 666 11/17/59 (500 bp) — Monthly 415
CMBX NA BB.7 Index (512) 22,034 8,840 5/11/63 (500 bp) — Monthly 8,309
CMBX NA BB.7 Index (1,291) 7,000 2,334 1/17/47 (500 bp) — Monthly 1,037
CMBX NA BB.7 Index (1,151) 7,000 2,334 1/17/47 (500 bp) — Monthly 1,177
Goldman Sachs International
CMBX NA A.6 Index (667) 5,029 513 5/11/63 (200 bp) — Monthly (155)
CMBX NA A.6 Index (578) 4,401 449 5/11/63 (200 bp) — Monthly (130)
CMBX NA A.6 Index (578) 4,401 449 5/11/63 (200 bp) — Monthly (130)
CMBX NA A.6 Index (523) 3,772 385 5/11/63 (200 bp) — Monthly (140)
CMBX NA A.6 Index (430) 3,143 321 5/11/63 (200 bp) — Monthly (110)
CMBX NA A.6 Index (327) 2,515 256 5/11/63 (200 bp) — Monthly (71)
CMBX NA A.6 Index (236) 1,886 192 5/11/63 (200 bp) — Monthly (44)
CMBX NA BB.7 Index (819) 5,000 1,667 1/17/47 (500 bp) — Monthly 844
CMBX NA BB.7 Index (812) 4,000 1,334 1/17/47 (500 bp) — Monthly 518
CMBX NA BBB-.10 Index (1,312) 6,000 1,116 11/17/59 (300 bp) — Monthly (199)
CMBX NA BBB-.10 Index (624) 4,000 744 11/17/59 (300 bp) — Monthly 118
CMBX NA BBB-.12 Index (780) 4,000 732 8/17/61 (300 bp) — Monthly (50)
CMBX NA BBB-.6 Index (3,543) 9,334 2,097 5/11/63 (300 bp) — Monthly (1,450)
CMBX NA BBB-.6 Index (50) 718 161 5/11/63 (300 bp) — Monthly 111
JPMorgan Securities LLC
CMBX NA A.6 Index (243) 1,886 192 5/11/63 (200 bp) — Monthly (51)
CMBX NA A.6 Index (244) 1,886 192 5/11/63 (200 bp) — Monthly (52)
CMBX NA A.7 Index (169) 8,000 443 1/17/47 (200 bp) — Monthly 272
CMBX NA BBB-.10 Index (3,405) 27,000 5,022 11/17/59 (300 bp) — Monthly 1,604
CMBX NA BBB-.11 Index (110) 1,000 163 11/18/54 (300 bp) — Monthly 53
CMBX NA BBB-.6 Index (10,704) 34,466 7,744 5/11/63 (300 bp) — Monthly (2,978)
CMBX NA BBB-.7 Index (6,573) 28,000 5,676 1/17/47 (300 bp) — Monthly (912)
Merrill Lynch International
CMBX NA BB.10 Index (228) 4,000 1,331 11/17/59 (500 bp) — Monthly 1,100
CMBX NA BB.11 Index (494) 1,000 222 11/18/54 (500 bp) — Monthly (273)
CMBX NA BBB-.7 Index (328) 4,000 811 1/17/47 (300 bp) — Monthly 481
CMBX NA BBB-.9 Index (185) 1,000 195 9/17/58 (300 bp) — Monthly 9
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (1,259) 8,172 834 5/11/63 (200 bp) — Monthly (429)
CMBX NA A.6 Index (980) 7,544 769 5/11/63 (200 bp) — Monthly (213)
CMBX NA A.6 Index (574) 3,772 385 5/11/63 (200 bp) — Monthly (190)
CMBX NA A.6 Index (514) 3,772 385 5/11/63 (200 bp) — Monthly (130)
CMBX NA A.6 Index (483) 3,143 321 5/11/63 (200 bp) — Monthly (163)
CMBX NA A.6 Index (168) 1,257 128 5/11/63 (200 bp) — Monthly (40)
CMBX NA BB.10 Index (210) 2,000 666 11/17/59 (500 bp) — Monthly 454
CMBX NA BB.10 Index (470) 2,000 666 11/17/59 (500 bp) — Monthly 194
CMBX NA BB.10 Index (304) 1,000 333 11/17/59 (500 bp) — Monthly 28
CMBX NA BB.7 Index (193) 1,000 333 1/17/47 (500 bp) — Monthly 140
CMBX NA BB.9 Index (61) 1,000 326 9/17/58 (500 bp) — Monthly 265
CMBX NA BBB-.10 Index (6,792) 39,000 7,254 11/17/59 (300 bp) — Monthly 443
CMBX NA BBB-.10 Index (859) 6,000 1,116 11/17/59 (300 bp) — Monthly 254
CMBX NA BBB-.10 Index (970) 6,000 1,116 11/17/59 (300 bp) — Monthly 143
CMBX NA BBB-.10 Index (260) 3,000 558 11/17/59 (300 bp) — Monthly 297
CMBX NA BBB-.10 Index (240) 2,000 372 11/17/59 (300 bp) — Monthly 131
CMBX NA BBB-.10 Index (218) 1,000 186 11/17/59 (300 bp) — Monthly (33)
CMBX NA BBB-.12 Index (3,511) 27,000 4,941 8/17/61 (300 bp) — Monthly 1,412
CMBX NA BBB-.13 Index (62) 1,000 199 12/16/72 (300 bp) — Monthly 137
CMBX NA BBB-.7 Index (408) 4,000 811 1/17/47 (300 bp) — Monthly 401
CMBX NA BBB-.8 Index (127) 1,000 173 10/17/57 (300 bp) — Monthly 46
Upfront premium received — Unrealized appreciation 26,809
Upfront premium (paid) (70,873) Unrealized (depreciation) (10,141)
Total $(70,873) Total $16,668
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.








CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received by fund Unrealized
appreciation/
(depreciation)
CDX NA HY Series 38 Index B+/P $(24,033) $444,510 $10,362 6/20/27 500 bp — Quarterly $(33,716)
CDX NA IG Series 39 Index BBB+/P (3,858) 2,500,000 9,225 12/20/27 100 bp — Quarterly (12,388)
Total $(27,891) $(46,104)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at September 30, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.










Key to holding's abbreviations
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
PO Principal Only
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2022 through September 30, 2022 (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 $95,755,507.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(NON) This security is non-income-producing.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and 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
12/31/21		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
9/30/22
Short-term investments
Putnam Cash Collateral Pool, LLC*# $— $2,310,183 $2,251,358 $463 $58,825
Putnam Short Term Investment Fund** 4,966,168 15,548,055 16,156,089 27,210 4,358,134
Total Short-term investments $4,966,168 $17,858,238 $18,407,447 $27,673 $4,416,959
* The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund receives cash collateral, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC and there were no realized or unrealized gains or losses during the period.
# At the close of the reporting period, the fund received cash collateral of $58,825 for securities loaned. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $56,472.
** 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 $1,316,024.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $168,583.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
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.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $24,707 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Basic materials $1,756,315 $774,841 $—
Capital goods 3,181,523 333,720 —
Communication services 972,280 437,364 —
Conglomerates 459,277 124,177 —
Consumer cyclicals 6,678,417 1,290,100 —
Consumer staples 5,135,136 1,259,264 —
Energy 2,865,866 482,701 —
Financials 7,430,764 1,696,222 —
Health care 8,627,706 1,115,889 —
Technology 18,135,866 806,588 —
Transportation 580,401 179,870 —
Utilities and power 1,408,280 319,516 —
Total common stocks 57,231,831 8,820,252 —
Asset-backed securities — 110,811 —
Commodity linked notes — 478,258 —
Convertible bonds and notes — 23,749 —
Corporate bonds and notes — 13,619,055 —
Foreign government and agency bonds and notes — 470,274 —
Mortgage-backed securities — 3,669,675 —
Senior loans — 360,145 —
U.S. government and agency mortgage obligations — 14,638,926 —
Short-term investments — 6,013,408 —
Totals by level $57,231,831 $48,204,553 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $25,418 $—
Futures contracts 1,633,920 — —
TBA sale commitments — (2,547,515) —
Interest rate swap contracts — (3,696) —
Total return swap contracts — 109,015 —
Credit default contracts — 19,663 —
Totals by level $1,633,920 $(2,397,115) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The 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) 300
Forward currency contracts (contract amount) $10,200,000
Centrally cleared interest rate swap contracts (notional) $10,800,000
OTC total return swap contracts (notional) $12,300,000
Centrally cleared total return swap contracts (notional) $2,600,000
OTC credit default contracts (notional) $720,000
Centrally cleared credit default contracts (notional) $3,600,000
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