Putnam VT Income Fund
The fund's portfolio
9/30/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (69.2%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (11.2%)
Government National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 5/20/48 to 3/20/50 $366,052 $363,803
4.70%, with due dates from 5/20/67 to 8/20/67 154,746 152,587
4.639%, 6/20/67 49,750 49,234
4.524%, 3/20/67 65,237 64,350
4.50%, TBA, 10/1/52 4,000,000 3,823,774
4.50%, 5/20/48 117,587 114,196
4.00%, TBA, 10/1/52 2,000,000 1,865,765
4.00%, with due dates from 2/20/48 to 5/20/48 727,878 685,358
3.50%, TBA, 10/1/52 6,000,000 5,450,990
3.50%, with due dates from 11/15/47 to 11/20/49 1,863,837 1,710,954
3.00%, TBA, 10/1/52 4,000,000 3,530,898
17,811,909
U.S. Government Agency Mortgage Obligations (58.0%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
4.50%, with due dates from 7/1/44 to 3/1/45 337,322 329,009
4.00%, 9/1/45 393,736 373,159
3.50%, with due dates from 8/1/43 to 2/1/47 1,393,195 1,287,538
3.00%, with due dates from 3/1/43 to 6/1/46 670,253 596,428
Federal National Mortgage Association Pass-Through Certificates
5.00%, 3/1/38 4,109 4,127
4.50%, with due dates from 7/1/44 to 5/1/45 575,237 559,297
4.00%, with due dates from 9/1/45 to 6/1/46 595,132 563,304
3.50%, 9/1/57 905,693 815,556
3.50%, 6/1/56 1,414,613 1,277,806
3.50%, with due dates from 7/1/43 to 1/1/47 588,982 542,036
3.00%, with due dates from 9/1/42 to 3/1/47 2,584,471 2,299,130
Uniform Mortgage-Backed Securities
6.00%, TBA, 10/1/52 1,000,000 1,014,927
5.50%, TBA, 10/1/52 11,000,000 10,929,989
5.00%, TBA, 10/1/52 45,000,000 43,783,583
4.50%, TBA, 10/1/52 12,000,000 11,416,872
4.00%, TBA, 10/1/52 1,000,000 926,875
3.00%, TBA, 10/1/52 5,000,000 4,346,875
2.50%, TBA, 10/1/52 5,000,000 4,195,703
2.00%, TBA, 10/1/52 8,000,000 6,473,250
91,735,464
Total U.S. government and agency mortgage obligations (cost $114,624,793) $109,547,373








U.S. TREASURY OBLIGATIONS (0.3%)(a)
        Principal amount Value
U.S. Treasury Notes
3.331%, 4/30/23(i) $370,000 $372,565
2.375%, 5/15/27(i) 113,000 105,745
Total U.S. treasury obligations (cost $478,310) $478,310








MORTGAGE-BACKED SECURITIES (38.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (11.5%)
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 $89,835 $140,143
REMICs IFB Ser. 2976, Class LC, ((-3.667 x ICE LIBOR USD 1 Month) + 24.42%), 14.088%, 5/15/35 14,195 19,163
REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 13.465%, 11/15/35 63,295 96,208
REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 11.407%, 3/15/35 120,407 152,917
REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 9.744%, 6/15/34 25,108 27,117
REMICs Ser. 4975, Class EI, IO, 4.50%, 5/25/50 2,240,896 412,007
REMICs Ser. 4132, Class IP, IO, 4.50%, 11/15/42 227,332 26,416
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 155,408 30,094
REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 88,211 6,605
REMICs Ser. 5019, Class MI, IO, 4.00%, 10/25/50 3,475,437 631,073
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 474,765 84,565
REMICs Ser. 5140, Class BI, IO, 3.50%, 9/25/51 3,871,660 736,518
REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 4,607,860 839,820
REMICs Ser. 4165, Class AI, IO, 3.50%, 2/15/43 445,146 69,832
REMICs IFB Ser. 4738, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.382%, 12/15/47 853,584 96,489
REMICs IFB Ser. 4839, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.232%, 6/15/42 3,592,390 182,439
REMICs IFB Ser. 3852, Class NT, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 3.182%, 5/15/41 97,372 82,772
REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 498,847 63,252
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 937,633 69,769
REMICs Ser. 4176, Class DI, IO, 3.00%, 12/15/42 1,005,227 73,047
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 345,698 24,614
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 227,940 25,132
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 1/25/50 4,567,154 428,558
REMICs IFB Ser. 4912, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 9/25/49 554,539 55,734
REMICs IFB Ser. 4994, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 2.516%, 2/25/49 1,946,846 135,676
REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 2,083 1,770
REMICs Ser. 3391, PO, zero %, 4/15/37 14,627 12,872
REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 3,026 2,693
REMICs Ser. 3210, PO, zero %, 5/15/36 1,911 1,815
REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36 4,483 3,945
Strips Ser. 315, PO, zero %, 9/15/43 955,916 719,697
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 21.396%, 7/25/36 50,770 93,924
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 13.259%, 3/25/36 71,935 72,860
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 12.892%, 6/25/37 46,721 73,820
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 10.561%, 12/25/35 68,192 92,059
REMICs IFB Ser. 11-4, Class CS, ((-2 x ICE LIBOR USD 1 Month) + 12.90%), 6.732%, 5/25/40 54,862 57,138
REMICs Ser. 20-93, Class WI, IO, 5.00%, 6/25/50 3,447,943 745,618
REMICs Ser. 15-33, Class AI, IO, 5.00%, 6/25/45 966,547 163,433
REMICs Ser. 20-62, Class CI, IO, 4.00%, 6/25/48 2,783,464 542,368
REMICs Ser. 15-3, Class BI, IO, 4.00%, 3/25/44 15,012 133
REMICs Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 1,119,973 197,937
REMICs Ser. 12-62, Class EI, IO, 4.00%, 4/25/41 100,898 2,469
REMICs Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 137,349 6,371
REMICs Ser. 20-95, Class GI, IO, 3.50%, 1/25/51 1,995,809 356,744
REMICs Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 244,680 39,783
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 3.316%, 4/25/40 297,447 33,493
REMICs IFB Ser. 20-70, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 3.166%, 10/25/50 5,738,403 688,608
REMICs IFB Ser. 17-108, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.066%, 1/25/48 1,168,779 138,410
REMICs IFB Ser. 19-3, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 2/25/49 2,649,067 222,575
REMICs IFB Ser. 18-94, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 1/25/49 620,232 46,445
REMICs IFB Ser. 16-91, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 12/25/46 1,392,756 91,017
REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 297,565 37,738
REMICs Ser. 12-144, Class KI, IO, 3.00%, 11/25/42 863,632 66,437
REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 230,490 10,293
REMICs Ser. 13-67, Class IP, IO, 3.00%, 2/25/42 189,052 4,550
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 44,132 240
REMICs Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 82,781 760
REMICs Ser. 14-28, Class AI, IO, 3.00%, 3/25/40 299,045 6,089
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 3/25/50 1,105,336 113,297
REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 3/25/46 2,157,178 239,303
REMICs Ser. 21-12, Class NI, IO, 2.50%, 3/25/51 1,633,253 260,618
Interest Strip Ser. 372, Class 1, PO, zero %, 8/25/36 8,950 7,182
Government National Mortgage Association
Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 369,150 53,453
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 342,339 69,149
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 19,519 2,922
Ser. 14-180, IO, 5.00%, 12/20/44 964,052 202,451
Ser. 14-76, IO, 5.00%, 5/20/44 281,930 57,610
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 233,571 50,265
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 1,973 165
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 147,595 30,560
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 1,194,480 254,950
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 627,269 131,727
Ser. 17-132, Class IA, IO, 4.50%, 9/20/47 437,713 83,402
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 69,782 4,154
Ser. 12-129, IO, 4.50%, 11/16/42 313,016 58,910
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 218,462 42,057
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 216,406 41,117
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 321,543 59,321
Ser. 20-46, Class MI, IO, 4.00%, 4/20/50 880,682 151,490
Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 602,491 102,002
Ser. 15-94, IO, 4.00%, 7/20/45 149,600 28,379
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 40,023 4,453
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 797,641 151,791
Ser. 17-45, Class IM, IO, 4.00%, 10/20/44 382,650 27,541
Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 781,822 131,447
Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 190,742 16,387
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 469,967 82,242
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 1,710,234 294,417
Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 214,732 22,636
Ser. 17-H18, Class CI, IO, 3.578%, 9/20/67(WAC) 1,579,463 113,636
Ser. 19-158, Class PI, IO, 3.50%, 12/20/49 1,388,470 224,210
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 167,069 18,946
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 129,527 15,381
Ser. 12-136, IO, 3.50%, 11/20/42 710,623 102,153
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 519,354 86,631
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 407,735 29,210
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 330,425 24,485
Ser. 15-26, Class AI, IO, 3.50%, 5/20/39 50,568 152
Ser. 14-100, Class JI, IO, 3.50%, 7/16/29 611,499 35,956
IFB Ser. 14-131, Class BS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.261%, 9/16/44 713,144 105,447
IFB Ser. 12-149, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.186%, 12/20/42 1,236,208 113,719
IFB Ser. 19-123, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 10/20/49 1,277,777 78,995
IFB Ser. 18-168, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 12/20/48 1,282,624 127,752
IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 9/20/43 173,071 13,041
IFB Ser. 19-119, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.111%, 9/16/49 1,424,979 214,271
IFB Ser. 20-32, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 3/20/50 1,033,605 115,232
IFB Ser. 20-11, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 1/20/50 841,736 76,808
IFB Ser. 19-83, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 7/20/49 1,013,426 90,144
IFB Ser. 19-83, Class SW, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 7/20/49 1,035,380 96,094
IFB Ser. 19-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 2/20/49 1,116,992 113,096
IFB Ser. 18-155, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 11/20/48 697,918 67,674
IFB Ser. 20-55, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 4/20/50 1,933,955 165,063
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 2/20/50 45,591 3,398
IFB Ser. 20-18, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 2/20/50 3,211,736 353,316
IFB Ser. 19-44, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 4/20/49 896,146 70,249
IFB Ser. 19-21, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 2/20/49 596,402 50,813
IFB Ser. 11-17, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 2/20/41 694,106 64,391
Ser. 20-186, Class DI, IO, 3.00%, 12/20/50 5,383,109 813,442
Ser. 20-176, Class BI, IO, 3.00%, 11/20/50 2,428,435 373,275
IFB Ser. 19-121, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 2.986%, 10/20/49 145,589 19,744
Ser. 16-H27, Class BI, IO, 2.561%, 12/20/66(WAC) 871,586 28,543
FRB Ser. 15-H16, Class XI, IO, 2.115%, 7/20/65(WAC) 1,028,677 45,982
Ser. 16-H11, Class HI, IO, 2.087%, 1/20/66(WAC) 2,078,082 79,651
Ser. 17-H08, Class NI, IO, 2.02%, 3/20/67(WAC) 2,226,012 77,243
Ser. 15-H15, Class JI, IO, 1.812%, 6/20/65(WAC) 1,271,240 64,833
Ser. 17-H09, Class DI, IO, 1.755%, 3/20/67(WAC) 2,025,047 93,306
Ser. 15-H12, Class AI, IO, 1.696%, 5/20/65(WAC) 1,931,584 87,501
Ser. 17-H10, Class MI, IO, 1.695%, 4/20/67(WAC) 2,217,334 68,294
Ser. 15-H13, Class AI, IO, 1.672%, 6/20/65(WAC) 2,503,509 93,679
Ser. 15-H20, Class AI, IO, 1.664%, 8/20/65(WAC) 973,746 42,942
Ser. 15-H12, Class GI, IO, 1.655%, 5/20/65(WAC) 2,069,268 97,049
Ser. 15-H10, Class CI, IO, 1.652%, 4/20/65(WAC) 1,199,407 59,970
Ser. 15-H12, Class EI, IO, 1.538%, 4/20/65(WAC) 2,478,911 102,379
Ser. 16-H14, IO, 1.51%, 6/20/66(WAC) 2,442,088 85,891
Ser. 15-H09, Class BI, IO, 1.505%, 3/20/65(WAC) 1,341,971 49,036
Ser. 16-H23, Class MI, IO, 1.50%, 10/20/66(WAC) 7,061,614 235,432
Ser. 15-H25, Class AI, IO, 1.447%, 9/20/65(WAC) 2,012,959 75,889
Ser. 15-H28, Class DI, IO, 1.41%, 8/20/65(WAC) 1,541,022 58,288
Ser. 15-H01, Class CI, IO, 1.399%, 12/20/64(WAC) 1,137,734 24,021
Ser. 15-H17, Class CI, IO, 1.395%, 6/20/65(WAC) 1,304,054 23,425
Ser. 17-H12, Class QI, IO, 1.363%, 5/20/67(WAC) 1,801,735 71,435
Ser. 14-H11, Class GI, IO, 1.339%, 6/20/64(WAC) 4,013,602 151,963
Ser. 14-H07, Class BI, IO, 1.313%, 5/20/64(WAC) 3,881,348 159,237
Ser. 10-H19, Class GI, IO, 1.255%, 8/20/60(WAC) 1,742,562 55,924
Ser. 16-H23, Class NI, IO, 1.178%, 10/20/66(WAC) 4,116,629 137,907
Ser. 19-H02, Class DI, IO, 1.145%, 11/20/68(WAC) 2,592,406 108,798
Ser. 16-H24, Class JI, IO, 0.962%, 11/20/66(WAC) 843,204 40,212
Ser. 17-H14, Class EI, IO, 0.825%, 6/20/67(WAC) 3,041,157 107,167
Ser. 15-H25, Class CI, IO, 0.081%, 10/20/65(WAC) 1,446,996 44,712
Ser. 16-H04, Class KI, IO, 0.043%, 2/20/66(WAC) 1,864,223 36,998
Ser. 16-H02, Class HI, IO, 0.002%, 1/20/66(WAC) 4,533,148 103,356
Ser. 15-H04, Class AI, IO, zero %, 12/20/64(WAC) 1,952,070 51,803
18,159,052
Commercial mortgage-backed securities (17.0%)
Banc of America Commercial Mortgage Trust
FRB Ser. 15-UBS7, Class B, 4.484%, 9/15/48(WAC) 285,000 264,820
FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49(WAC) 54,889 —
BANK FRB Ser. 18-BN13, Class XA, IO, 0.641%, 8/15/61(WAC) 7,843,146 146,675
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54 247,000 142,709
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 5,023 4,973
Benchmark Mortgage Trust 144A Ser. 19-B13, Class D, 2.50%, 8/15/57 185,000 136,534
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class D, 5.249%, 12/15/47(WAC) 72,758 73,511
FRB Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) 597,000 504,451
Citigroup Commercial Mortgage Trust
FRB Ser. 15-P1, Class C, 4.514%, 9/15/48(WAC) 585,000 538,967
FRB Ser. 14-GC19, Class XA, IO, 1.271%, 3/10/47(WAC) 8,669,196 93,203
FRB Ser. 13-GC17, Class XA, IO, 1.144%, 11/10/46(WAC) 3,415,969 24,707
FRB Ser. 14-GC23, Class XA, IO, 1.056%, 7/10/47(WAC) 16,178,269 212,238
Citigroup Commercial Mortgage Trust 144A Ser. 12-GC8, Class B, 4.285%, 9/10/45 602,674 593,246
COMM Mortgage Trust
FRB Ser. 14-UBS2, Class C, 5.113%, 3/10/47(WAC) 224,000 213,892
FRB Ser. 14-CR17, Class C, 4.943%, 5/10/47(WAC) 912,000 856,902
Ser. 12-LC4, Class B, 4.934%, 12/10/44(WAC) 182,135 181,823
FRB Ser. 14-UBS4, Class C, 4.806%, 8/10/47(WAC) 283,000 263,977
FRB Ser. 18-COR3, Class C, 4.712%, 5/10/51(WAC) 594,000 514,887
FRB Ser. 14-UBS6, Class C, 4.587%, 12/10/47(WAC) 83,000 76,686
FRB Ser. 15-CR23, Class C, 4.428%, 5/10/48(WAC) 293,000 273,549
Ser. 12-CR2, Class B, 4.393%, 8/15/45 243,154 240,722
FRB Ser. 14-LC15, Class XA, IO, 1.218%, 4/10/47(WAC) 4,478,536 48,816
FRB Ser. 14-CR19, Class XA, IO, 1.091%, 8/10/47(WAC) 4,266,230 55,879
FRB Ser. 13-CR11, Class XA, IO, 1.066%, 8/10/50(WAC) 7,794,162 41,831
FRB Ser. 15-CR23, Class XA, IO, 1.017%, 5/10/48(WAC) 4,642,433 76,090
FRB Ser. 14-UBS6, Class XA, IO, 0.999%, 12/10/47(WAC) 7,492,356 103,454
COMM Mortgage Trust 144A
FRB Ser. 12-CR1, Class D, 5.458%, 5/15/45(WAC) 115,000 97,341
FRB Ser. 13-CR13, Class D, 5.04%, 11/10/46(WAC) 389,000 350,482
FRB Ser. 13-CR13, Class E, 5.04%, 11/10/46(WAC) 123,000 88,478
FRB Ser. 14-CR17, Class D, 5.007%, 5/10/47(WAC) 198,000 175,728
FRB Ser. 14-CR19, Class D, 4.854%, 8/10/47(WAC) 178,000 161,730
FRB Ser. 13-CR6, Class D, 4.221%, 3/10/46(WAC) 205,000 201,059
Ser. 13-LC6, Class E, 3.50%, 1/10/46 261,000 244,006
Ser. 17-COR2, Class D, 3.00%, 9/10/50 389,000 293,742
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.048%, 1/15/49(WAC) 3,118,449 1
CSAIL Commercial Mortgage Trust
FRB Ser. 15-C1, Class C, 4.401%, 4/15/50(WAC) 262,000 229,042
FRB Ser. 15-C3, Class XA, IO, 0.834%, 8/15/48(WAC) 14,259,095 212,931
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.901%, 4/15/50(WAC) 502,000 336,208
CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.858%, 12/15/49(WAC) 5,940,740 145,548
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.541%, 8/10/44(WAC) 291,716 266,628
FREMF Mortgage Trust 144A FRB Ser. 19-KF65, Class B, (ICE LIBOR USD 1 Month + 2.40%), 4.953%, 7/25/29 172,736 161,664
FS Rialto Issuer, LLC 144A FRB Ser. 22-FL5, Class D, (CME Term SOFR 1 Month + 4.82%), 7.836%, 6/19/37 168,000 164,422
GS Mortgage Securities Corp. II FRB Ser. 18-GS10, Class C, 4.555%, 7/10/51(WAC) 283,000 265,706
GS Mortgage Securities Corp., II FRB Ser. 13-GC10, Class XA, IO, 1.595%, 2/10/46(WAC) 4,518,827 4,834
GS Mortgage Securities Corp., II 144A Ser. 13-GC10, Class C, 4.285%, 2/10/46(WAC) 339,000 335,221
GS Mortgage Securities Trust
FRB Ser. 14-GC18, Class C, 5.225%, 1/10/47(WAC) 584,000 402,960
Ser. 13-GC12, Class B, 3.777%, 6/10/46(WAC) 549,000 539,624
FRB Ser. 13-GC12, Class XA, IO, 1.514%, 6/10/46(WAC) 3,331,857 9,686
FRB Ser. 14-GC18, Class XA, IO, 1.20%, 1/10/47(WAC) 4,520,489 42,945
FRB Ser. 14-GC22, Class XA, IO, 1.094%, 6/10/47(WAC) 13,463,136 135,909
FRB Ser. 15-GS1, Class XA, IO, 0.906%, 11/10/48(WAC) 19,474,338 414,687
FRB Ser. 13-GC13, Class XA, IO, 0.088%, 7/10/46(WAC) 103,025,120 23,603
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 6.566%, 8/10/43(WAC) 621,000 461,730
FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47(WAC) 510,000 358,583
Ser. 12-GCJ9, Class C, 4.448%, 11/10/45(WAC) 481,000 474,954
FRB Ser. 11-GC5, Class XA, IO, 0.093%, 8/10/44(WAC) 866,324 9
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 13-C15, Class C, 5.357%, 11/15/45(WAC) 246,000 241,399
FRB Ser. 14-C22, Class C, 4.699%, 9/15/47(WAC) 287,000 261,491
FRB Ser. 13-C12, Class C, 4.231%, 7/15/45(WAC) 256,000 249,050
FRB Ser. 14-C25, Class XA, IO, 0.958%, 11/15/47(WAC) 2,809,326 37,656
FRB Ser. 14-C22, Class XA, IO, 0.957%, 9/15/47(WAC) 14,837,790 168,718
FRB Ser. 13-C17, Class XA, IO, 0.873%, 1/15/47(WAC) 2,229,806 13,474
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 13-C14, Class E, 4.699%, 8/15/46(WAC) 441,000 349,848
FRB Ser. C14, Class D, 4.699%, 8/15/46(WAC) 715,000 423,044
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 517,000 296,948
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 263,500 237,902
Ser. 13-LC11, Class B, 3.499%, 4/15/46 289,000 282,364
FRB Ser. 13-LC11, Class XA, IO, 1.354%, 4/15/46(WAC) 3,173,083 9,728
FRB Ser. 12-LC9, Class XA, IO, 1.308%, 12/15/47(WAC) 1,163,464 550
FRB Ser. 13-C16, Class XA, IO, 1.012%, 12/15/46(WAC) 4,131,641 24,584
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class D, 5.709%, 2/15/46(WAC) 148,000 110,128
FRB Ser. 11-C3, Class F, 5.709%, 2/15/46(WAC) 635,000 114,502
FRB Ser. 12-C6, Class E, 5.129%, 5/15/45(WAC) 288,000 256,234
FRB Ser. 11-C3, Class B, 5.013%, 2/15/46(WAC) 352,398 338,687
FRB Ser. 12-LC9, Class D, 4.472%, 12/15/47(WAC) 127,000 125,324
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 498,000 356,807
FRB Ser. 21-1MEM, Class D, 2.742%, 10/9/42(WAC) 650,000 453,636
FRB Ser. 21-1MEM, Class E, 2.742%, 10/9/42(WAC) 250,000 173,300
Ladder Capital Commercial Mortgage Trust 144A FRB Ser. 17-LC26, Class XA, IO, 1.686%, 7/12/50(WAC) 4,657,680 249,661
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 15-C27, Class C, 4.65%, 12/15/47(WAC) 587,000 535,935
FRB Ser. 13-C7, Class XA, IO, 1.383%, 2/15/46(WAC) 5,545,716 55
FRB Ser. 15-C25, Class XA, IO, 1.195%, 10/15/48(WAC) 4,866,435 106,254
FRB Ser. 14-C17, Class XA, IO, 1.185%, 8/15/47(WAC) 2,574,485 29,007
FRB Ser. 15-C26, Class XA, IO, 1.123%, 10/15/48(WAC) 4,129,962 78,135
FRB Ser. 13-C12, Class XA, IO, 0.714%, 10/15/46(WAC) 9,722,696 28,767
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.495%, 8/15/46(WAC) 319,000 22,421
FRB Ser. 15-C23, Class D, 4.281%, 7/15/50(WAC) 531,000 457,852
FRB Ser. 13-C10, Class E, 4.206%, 7/15/46(WAC) 683,000 248,202
FRB Ser. 13-C10, Class F, 4.206%, 7/15/46(WAC) 273,000 60,801
Ser. 14-C17, Class E, 3.50%, 8/15/47 290,000 201,636
Ser. 14-C19, Class D, 3.25%, 12/15/47 261,000 225,301
FRB Ser. 13-C13, Class XB, IO, 0.152%, 11/15/46(WAC) 55,988,000 67,186
Morgan Stanley Capital I Trust
FRB Ser. 16-BNK2, Class XA, IO, 1.094%, 11/15/49(WAC) 3,380,528 100,523
FRB Ser. 16-UB12, Class XA, IO, 0.791%, 12/15/49(WAC) 8,773,320 189,201
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class E, 5.253%, 7/15/49(WAC) 252,000 223,650
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 6.834%, 3/25/50 403,000 376,476
FRB Ser. 19-01, Class M10, 6.334%, 10/25/49 806,779 764,990
PFP, Ltd. 144A FRB Ser. 22-9, Class A, 5.321%, 8/19/35 (Bermuda) 280,000 278,208
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 6.268%, 1/19/37 345,000 342,413
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 859,373 9
UBS Commercial Mortgage Trust
Ser. 19-C17, Class C, 3.758%, 10/15/52(WAC) 526,000 452,092
FRB Ser. 19-C17, Class XA, IO, 1.614%, 10/15/52(WAC) 4,300,330 311,625
FRB Ser. 17-C7, Class XA, IO, 1.157%, 12/15/50(WAC) 4,754,018 173,570
FRB Ser. 18-C12, Class XA, IO, 0.947%, 8/15/51(WAC) 4,979,009 179,086
UBS Commercial Mortgage Trust 144A FRB Ser. 12-C1, Class D, 6.66%, 5/10/45(WAC) 49,252 44,933
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 629,000 6
FRB Ser. 12-C2, Class E, 4.87%, 5/10/63(WAC) 816,000 8,160
Ser. 13-C6, Class B, 3.875%, 4/10/46(WAC) 234,000 229,297
FRB Ser. 12-C4, Class C4, 3.718%, 12/10/45(WAC) 327,000 325,173
Ser. 13-C6, Class E, 3.50%, 4/10/46 150,000 134,816
FRB Ser. 13-C6, Class XA, IO, 1.188%, 4/10/46(WAC) 4,328,950 8,112
FRB Ser. 12-C2, Class XA, IO, 0.803%, 5/10/63(WAC) 1,766,849 30
UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.663%, 1/10/45(WAC) 336,000 297,357
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.356%, 11/15/48(WAC) 349,967 142
Wells Fargo Commercial Mortgage Trust
FRB Ser. 20-C57, Class C, 4.157%, 8/15/53(WAC) 230,000 186,832
FRB Ser. 19-C50, Class XA, IO, 1.598%, 5/15/52(WAC) 4,667,957 322,066
FRB Ser. 17-C41, Class XA, IO, 1.307%, 11/15/50(WAC) 3,252,442 143,742
FRB Ser. 14-LC16, Class XA, IO, 1.244%, 8/15/50(WAC) 6,378,713 82,988
FRB Ser. 18-C43, Class XA, IO, 0.754%, 3/15/51(WAC) 12,655,989 321,798
FRB Ser. 15-LC20, Class XB, IO, 0.622%, 4/15/50(WAC) 13,766,000 144,543
Wells Fargo Commercial Mortgage Trust 144A
Ser. 14-LC16, Class D, 3.938%, 8/15/50 247,000 37,388
Ser. 16-C33, Class D, 3.123%, 3/15/59 244,000 199,809
Ser. 19-C53, Class D, 2.50%, 10/15/52 203,000 133,165
WF-RBS Commercial Mortgage Trust
FRB Ser. 14-C24, Class XA, IO, 0.988%, 11/15/47(WAC) 5,966,657 80,750
FRB Ser. 14-C22, Class XA, IO, 0.938%, 9/15/57(WAC) 13,980,516 36,461
FRB Ser. 13-C14, Class XA, IO, 0.784%, 6/15/46(WAC) 14,047,189 32,044
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 402,000 212,377
Ser. 11-C4, Class E, 4.987%, 6/15/44(WAC) 55,000 41,305
FRB Ser. 11-C4, Class C, 4.987%, 6/15/44(WAC) 263,190 244,848
FRB Ser. 12-C7, Class D, 4.814%, 6/15/45(WAC) 231,000 83,535
FRB Ser. 13-C15, Class D, 4.671%, 8/15/46(WAC) 919,000 553,679
FRB Ser. 12-C10, Class D, 4.534%, 12/15/45(WAC) 768,000 574,283
Ser. 12-C7, Class F, 4.50%, 6/15/45 (In default)(NON)(WAC) 641,384 6
FRB Ser. 12-C10, Class XA, IO, 1.569%, 12/15/45(WAC) 2,587,986 2,774
FRB Ser. 13-C11, Class XA, IO, 1.238%, 3/15/45(WAC) 3,824,176 1,650
FRB Ser. 12-C9, Class XB, IO, 0.882%, 11/15/45(WAC) 8,086,679 66
26,996,568
Residential mortgage-backed securities (non-agency) (10.0%)
Arroyo Mortgage Trust 144A Ser. 19-3, Class M1, 4.204%, 10/25/48(WAC) 330,000 275,791
Bellemeade Re, Ltd. 144A
FRB Ser. 20-2A, Class B1, (ICE LIBOR USD 1 Month + 8.50%), 11.584%, 8/26/30 (Bermuda) 151,000 156,454
FRB Ser. 17-1, Class M2, (ICE LIBOR USD 1 Month + 3.35%), 6.434%, 10/25/27 (Bermuda) 325,446 325,166
BRAVO Residential Funding Trust 144A Ser. 20-RPL1, Class M1, 3.25%, 5/26/59(WAC) 353,000 308,197
Bunker Hill Loan Depositary Trust 144A FRB Ser. 20-1, Class A3, 3.253%, 2/25/55(WAC) 332,000 299,656
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 04-3A, Class A2, (ICE LIBOR USD 1 Month + 0.30%), 3.384%, 8/25/35 63,837 58,699
Citigroup Mortgage Loan Trust 144A Ser. 22-A, Class A1, 6.17%, 9/25/62 155,401 153,663
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A2, 3.094%, 3/25/65(WAC) 224,000 214,592
Credit Suisse Mortgage Trust 144A FRB Ser. 20-RPL3, Class A1, 2.691%, 3/25/60(WAC) 175,116 168,745
Deephaven Residential Mortgage Trust 144A Ser. 20-2, Class A2, 2.594%, 5/25/65 182,438 180,614
Eagle Re, Ltd. 144A
FRB Ser. 19-1, Class M2, (ICE LIBOR USD 1 Month + 3.30%), 6.384%, 4/25/29 (Bermuda) 191,000 183,683
FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 4.784%, 11/25/28 (Bermuda) 216,801 213,162
Ellington Financial Mortgage Trust 144A FRB Ser. 20-1, Class A2, 3.149%, 5/25/65(WAC) 179,000 170,706
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 9.434%, 9/25/28 510,333 550,028
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 8.084%, 12/25/28 317,547 332,978
Structured Agency Credit Risk Debt FRN Ser. 17-HQA3, Class B1, (ICE LIBOR USD 1 Month + 4.45%), 7.534%, 4/25/30 250,000 253,736
Structured Agency Credit Risk Debt FRN Ser. 14-DN2, Class M3, (ICE LIBOR USD 1 Month + 3.60%), 6.684%, 4/25/24 141,077 142,207
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58(WAC) 370,000 333,644
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B1, (ICE LIBOR USD 1 Month + 4.65%), 7.734%, 1/25/49 400,000 404,185
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 7.531%, 3/25/42 911,000 838,120
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B1, (ICE LIBOR USD 1 Month + 4.35%), 7.434%, 3/25/49 90,000 89,838
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class HQA2, (ICE LIBOR USD 1 Month + 4.10%), 7.184%, 4/25/49 463,000 452,580
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 6.984%, 9/25/48 70,000 69,300
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 6.784%, 12/25/30 310,000 303,846
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 6.184%, 3/25/50 181,052 183,495
Structured Agency Credit Risk Trust FRB Ser. 19-FTR2, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 5.234%, 11/25/48 686,000 656,337
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 4.984%, 1/25/50 225,659 223,203
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 235,000 202,296
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 9.084%, 9/25/28 150,745 156,674
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 8.784%, 4/25/28 46,800 48,456
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 8.634%, 4/25/28 60,554 62,593
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 8.584%, 9/25/29 200,000 211,585
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 8.384%, 10/25/28 214,654 222,026
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 7.934%, 10/25/29 150,000 156,210
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 7.584%, 12/25/30 297,000 305,469
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (ICE LIBOR USD 1 Month + 4.00%), 7.084%, 5/25/30 250,000 256,611
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 4.334%, 7/25/29 66,978 66,591
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1EB2, (ICE LIBOR USD 1 Month + 1.00%), 4.084%, 5/25/30 298,864 297,314
Federal National Mortgage Association 144A
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1, (ICE LIBOR USD 1 Month + 5.75%), 8.834%, 7/25/29 208,000 223,246
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1B1, (ICE LIBOR USD 1 Month + 4.15%), 7.234%, 8/25/31 59,000 58,853
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 5.534%, 7/25/31 18,034 18,000
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 5.281%, 1/25/42 1,084,000 989,574
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 5.234%, 11/25/39 149,701 145,683
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 5.134%, 1/25/40 162,799 160,470
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (ICE LIBOR USD 1 Month + 2.00%), 5.084%, 1/25/40 147,223 144,196
Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 12/25/24(WAC) 309,957 296,736
FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) 77,731 8
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 46,625 42,129
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 2.992%, 8/26/47(WAC) 131,589 127,824
New Residential Mortgage Loan Trust 144A FRB Ser. 20-NQM2, Class A2, 2.891%, 5/24/60(WAC) 212,000 186,501
NYMT Loan Trust 144A Ser. 22-SP1, Class A1, 5.25%, 7/25/62 165,561 157,666
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (ICE LIBOR USD 1 Month + 2.85%), 5.934%, 7/25/28 (Bermuda) 380,000 378,619
Onslow Bay Financial, LLC Trust 144A Ser. 22-NQM7, Class A1, 5.35%, 8/25/62 306,977 299,744
Radnor Re, Ltd. 144A
FRB Ser. 19-1, Class M2, (ICE LIBOR USD 1 Month + 3.20%), 6.284%, 2/25/29 (Bermuda) 150,000 143,547
FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 5.784%, 3/25/28 (Bermuda) 200,000 198,266
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A3, 2.911%, 5/25/60(WAC) 464,000 450,196
RMF Proprietary Issuance Trust 144A Ser. 22-3, Class A, 4.00%, 8/25/62(WAC) 116,000 105,943
Starwood Mortgage Residential Trust 144A Ser. 20-2, Class A2, 3.97%, 4/25/60(WAC) 250,663 249,709
Toorak Mortgage Corp., Ltd. 144A Ser. 20-1, Class A1, 2.734%, 3/25/23(WAC) 366,490 363,250
Towd Point Mortgage Trust 144A Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 153,000 123,268
Verus Securitization Trust 144A Ser. 20-INV1, Class A3, 3.889%, 3/25/60(WAC) 100,000 95,662
Visio Trust 144A Ser. 22-1, Class A2, 5.85%, 8/25/57 152,987 146,725
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR13, Class A1C4, (ICE LIBOR USD 1 Month + 0.86%), 3.944%, 10/25/45 801,085 749,223
FRB Ser. 05-AR17, Class A1B2, (ICE LIBOR USD 1 Month + 0.82%), 3.904%, 12/25/45 570,086 486,056
15,869,544
Total mortgage-backed securities (cost $72,128,223) $61,025,164








CORPORATE BONDS AND NOTES (31.1%)(a)
        Principal amount Value
Basic materials (1.7%)
Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 $75,000 $67,325
Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany) 90,000 83,634
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 500,000 473,202
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) 13,000 12,424
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) 65,000 52,998
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 227,000 185,005
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.125%, 3/12/24 50,000 49,132
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27 124,000 115,504
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 150,000 132,252
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 75,000 68,823
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 20,000 13,090
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 35,000 26,873
LyondellBasell Industries NV sr. unsec. unsub. bonds 4.625%, 2/26/55 225,000 168,793
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 44,000 39,145
Nutrien, Ltd. sr. unsec. notes 2.95%, 5/13/30 (Canada) 25,000 20,896
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 95,000 87,906
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 135,000 123,939
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.30%, 5/15/50 50,000 32,787
Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 726,000 675,128
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 105,000 117,895
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 39,000 43,891
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 32,000 34,524
2,625,166
Capital goods (1.1%)
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 168,000 139,307
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 182,000 158,672
Boeing Co. (The) sr. unsec. notes 4.875%, 5/1/25 202,000 197,093
Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 138,000 132,356
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 132,000 124,637
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 73,000 68,585
Northrop Grumman Corp. sr. unsec. bonds 5.25%, 5/1/50 45,000 42,940
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 240,000 218,378
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 128,000 118,205
Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 21,000 16,913
Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 370,000 345,694
Waste Connections, Inc. sr. unsec. bonds 4.20%, 1/15/33 90,000 81,537
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 22,000 18,419
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 110,000 98,641
1,761,377
Communication services (2.7%)
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) 95,000 78,090
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 235,000 207,809
American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27(R) 480,000 433,317
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 303,000 264,828
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 335,000 280,778
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 231,000 221,683
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 83,000 64,987
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 494,000 481,728
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 203,000 140,900
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 168,000 128,733
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.40%, 7/15/46 360,000 254,019
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 286,000 256,476
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 94,000 88,551
Cox Communications, Inc. 144A sr. unsec. bonds 4.50%, 6/30/43 90,000 71,037
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 56,000 51,266
Cox Communications, Inc. 144A sr. unsec. notes 3.35%, 9/15/26 44,000 40,516
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 130,000 117,683
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R) 25,000 20,455
Crown Castle International Corp. sr. unsec. sub. bonds 3.30%, 7/1/30(R) 195,000 163,280
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) 193,000 163,158
Equinix, Inc. sr. unsec. sub. notes 2.50%, 5/15/31(R) 70,000 53,928
T-Mobile USA, Inc. company guaranty sr. bonds 4.50%, 4/15/50 261,000 209,566
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 55,000 50,756
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) 13,000 9,467
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 85,000 74,665
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 117,000 110,088
Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 250,000 211,053
4,255,026
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 6.623%, perpetual maturity 208,000 194,518
194,518
Consumer cyclicals (2.8%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 260,000 233,350
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) 134,000 110,176
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 165,000 153,760
Amazon.com, Inc. sr. unsec. unsub. bonds 2.70%, 6/3/60 453,000 267,244
Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31 101,000 81,904
Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 30,000 29,038
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 39,000 27,674
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 242,000 187,626
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 140,000 130,270
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 355,000 333,641
D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23 120,000 120,951
Discovery Communications, LLC company guaranty sr. unsec. unsub. notes 3.625%, 5/15/30 18,000 14,782
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 135,000 134,826
Ford Motor Co. sr. unsec. unsub. notes 3.625%, 6/17/31 200,000 148,590
Ford Motor Co., LLC sr. unsec. unsub. notes 2.90%, 2/10/29 200,000 151,500
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45 115,000 87,563
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 95,000 87,863
General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32 62,000 46,762
General Motors Financial Co., Inc. sr. unsec. notes 2.35%, 2/26/27 236,000 200,249
General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 37,000 31,800
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 60,000 51,342
Interpublic Group of Cos, Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 78,000 59,236
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 226,000 208,986
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 208,000 192,047
Magallanes, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 548,000 451,012
Moody's Corp. sr. unsec. bonds 5.25%, 7/15/44 108,000 99,341
Moody's Corp. sr. unsec. notes 3.25%, 1/15/28 66,000 59,666
Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 50,000 44,084
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 58,000 51,647
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 70,000 58,490
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 41,000 30,698
S&P Global, Inc. 144A company guaranty sr. unsec. notes 4.75%, 8/1/28 65,000 63,439
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 130,000 100,807
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 200,000 166,738
Volkswagen Group of America Finance, LLC 144A company guaranty sr. unsec. notes 4.35%, 6/8/27 200,000 187,851
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 55,000 67,594
4,472,547
Consumer staples (1.4%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48 100,000 82,814
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 4/13/28 340,000 322,985
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 335,000 307,319
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 16,863 16,855
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 83,000 86,647
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 90,000 81,422
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 5,000 4,831
ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 40,000 36,639
Keurig Dr Pepper, Inc. company guaranty sr. unsec. bonds 3.20%, 5/1/30 38,000 32,331
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 220,000 203,260
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 182,000 170,093
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 300,000 292,734
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 640,000 604,182
2,242,112
Energy (1.8%)
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 370,000 345,904
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 60,000 60,240
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 152,000 147,169
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 89,000 68,339
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 478,000 428,993
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 90,000 83,001
DT Midstream, Inc. 144A sr. bonds 4.30%, 4/15/32 160,000 137,559
EQT Corp. sr. unsec. notes 5.678%, 10/1/25 15,000 14,908
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 210,000 195,938
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 130,000 119,036
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 323,000 345,675
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 103,000 98,816
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 230,000 214,243
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 145,000 133,764
TotalEnergies Capital International SA company guaranty sr. unsec. unsub. notes 2.829%, 1/10/30 (France) 335,000 288,376
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 215,000 185,024
2,866,985
Financials (13.0%)
ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) 200,000 192,379
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) 655,000 492,605
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 40,000 35,906
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 260,000 211,621
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 205,000 214,913
Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 20,000 18,452
American Express Co. sr. unsec. unsub. notes 3.375%, 5/3/24 210,000 204,768
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 171,000 132,067
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 237,000 215,624
Australia & New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia) 245,000 178,685
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) 200,000 191,010
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) 200,000 178,408
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) 1,400,000 1,348,822
Bank of America Corp. jr. unsec. sub. bonds Ser. JJ, 5.125%, perpetual maturity 200,000 186,890
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 245,000 234,588
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 40,000 39,248
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 306,000 241,453
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 600,000 484,082
Bank of America Corp. unsec. sub. FRN (ICE LIBOR USD 3 Month + 0.76%), 4.053%, 9/15/26 100,000 97,154
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 300,000 289,523
Bank of America Corp. unsec. sub. notes Ser. MTN, 4.20%, 8/26/24 180,000 177,050
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 95,000 82,377
Barclays Bank PLC unsec. sub. notes 7.625%, 11/21/22 (United Kingdom) 250,000 250,000
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 210,000 180,373
BNP Paribas SA 144A jr. unsec. sub. FRN 4.625%, perpetual maturity (France) 200,000 128,039
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 317,000 300,980
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 225,000 159,360
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 225,000 216,341
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity 360,000 297,450
Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 105,000 104,421
Citigroup, Inc. sr. unsec. FRN 3.106%, 4/8/26 21,000 19,683
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 64,000 58,906
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 1,005,000 930,302
Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25 270,000 264,774
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 70,000 69,094
Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia) 182,000 164,409
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 215,000 189,488
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France) 400,000 343,022
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) 225,000 206,719
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) 620,000 538,283
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) 400,000 371,968
Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) 150,000 121,674
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) 265,000 247,574
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 220,000 206,711
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 25,000 24,474
Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 89,000 51,113
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 62,000 55,815
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 107,000 106,210
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 235,000 232,483
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 128,000 122,433
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 220,000 169,070
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 188,000 170,869
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 405,000 376,313
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 62,000 50,251
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 314,000 313,253
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 118,000 86,940
Intercontinental Exchange, Inc. sr. unsec. notes 4.00%, 9/15/27 200,000 189,847
Intercontinental Exchange, Inc. sr. unsec. notes 3.65%, 5/23/25 20,000 19,352
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) 410,000 275,822
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) 75,000 72,754
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 87,000 83,520
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity 467,000 406,804
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 3.905%, 5/15/47 63,000 49,707
JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity 87,000 70,454
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 735,000 550,571
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 46,000 43,406
KeyCorp sr. unsec. unsub. FRN Ser. MTN, 3.878%, 5/23/25 103,000 100,288
KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 110,000 97,900
Liberty Mutual Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 6/15/52 200,000 172,499
Lloyds Banking Group PLC unsec. sub. FRB 3.369%, 12/14/46 (United Kingdom) 305,000 188,329
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 194,000 184,263
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 36,000 23,913
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 340,000 362,950
MetLife, Inc. jr. unsec. sub. notes 6.40%, 12/15/36 85,000 81,963
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) 200,000 189,722
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 760,000 607,140
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 75,000 61,266
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 320,000 285,463
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) 54,000 44,108
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 66,000 64,327
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 196,000 186,559
Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 1,000 1,062
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 140,000 136,323
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) 463,000 317,294
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan) 205,000 201,261
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 173,000 188,378
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 180,000 164,080
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 185,000 164,714
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26 105,000 102,117
UBS Group AG 144A jr. unsec. sub. FRN 4.375%, perpetual maturity (Switzerland) 580,000 378,625
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 247,000 230,409
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 545,000 409,615
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) 214,000 196,775
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) 81,000 70,945
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 115,000 109,538
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity 90,000 76,106
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 610,000 637,020
Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia) 38,000 35,455
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) 185,000 148,542
20,557,606
Health care (1.8%)
AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25 130,000 125,906
Amgen, Inc. sr. unsec. sub. notes 3.20%, 11/2/27 218,000 199,936
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 100,000 91,605
Becton Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27 146,000 135,867
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 96,000 95,293
CVS Health Corp. sr. unsec. notes 1.30%, 8/21/27 446,000 371,576
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 97,529 88,825
DH Europe Finance II SARL company guaranty sr. unsec. notes 2.60%, 11/15/29 (Luxembourg) 230,000 196,582
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 35,000 33,822
HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 178,000 166,165
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 30,000 26,310
HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 95,000 93,877
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 160,000 125,564
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 265,000 223,718
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 125,000 117,471
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 25,000 22,625
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 15,000 11,731
UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.75%, 7/15/45 50,000 44,280
UnitedHealth Group, Inc. sr. unsec. unsub. bonds 2.90%, 5/15/50 160,000 105,088
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 220,000 206,778
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 110,000 89,814
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 285,000 263,881
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 39,000 30,974
2,867,688
Technology (2.1%)
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 115,000 64,652
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 120,000 109,514
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 468,000 419,923
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 122,000 112,225
Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 202,000 174,840
Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 273,000 225,108
Dell International, LLC/EMC Corp. company guaranty sr. bonds 8.35%, 7/15/46 11,000 11,865
Meta Platforms, Inc. 144A sr. unsec. unsub. bonds 4.45%, 8/15/52 223,000 181,987
Meta Platforms, Inc. 144A sr. unsec. unsub. notes 3.50%, 8/15/27 122,000 114,084
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 251,000 177,029
Microsoft Corp. sr. unsec. unsub. bonds 2.675%, 6/1/60 500,000 314,403
Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 55,000 36,476
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 475,000 322,726
Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 240,000 210,288
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 85,000 56,954
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 313,000 195,313
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 186,000 122,860
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 294,000 231,586
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 145,000 106,758
Workday, Inc. sr. unsec. notes 3.70%, 4/1/29 130,000 116,636
3,305,227
Transportation (0.1%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 135,000 122,216
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 75,000 70,380
192,596
Utilities and power (2.5%)
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 222,000 191,234
American Electric Power Co., Inc. sr. unsec. unsub. bonds 3.25%, 3/1/50 100,000 64,405
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 210,000 196,198
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 65,000 51,027
Berkshire Hathaway Energy Co. sr. unsec. bonds 6.50%, 9/15/37 3,000 3,115
Berkshire Hathaway Energy Co. sr. unsec. bonds 4.25%, 10/15/50 100,000 80,403
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 74,000 58,514
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 2,000 2,035
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 85,000 67,093
Dominion Energy, Inc. sr. unsec. unsub. bonds 4.90%, 8/1/41 135,000 118,867
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 65,000 49,151
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 180,000 162,865
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 195,000 178,187
Duke Energy Ohio, Inc. sr. notes 3.80%, 9/1/23 72,000 71,339
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 207,000 230,760
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 90,000 71,778
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 95,000 90,436
Energy Transfer LP company guaranty sr. unsec. notes 5.875%, 1/15/24 84,000 84,171
Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 182,000 177,285
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 125,000 91,250
Energy Transfer LP sr. unsec. unsub. notes 6.50%, 2/1/42 20,000 18,612
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 84,000 70,148
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 315,000 242,109
Florida Power & Light Co. sr. bonds 4.125%, 2/1/42 203,000 169,744
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 105,000 91,097
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 30,000 28,776
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 86,000 71,955
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 123,000 118,410
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 70,000 54,603
Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29 161,000 165,529
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 100,000 80,837
Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 121,000 110,342
Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 145,000 106,129
PacifiCorp sr. bonds 2.70%, 9/15/30 133,000 111,058
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 82,000 69,872
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 98,000 93,377
WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (ICE LIBOR USD 3 Month + 2.11%), 5.018%, 5/15/67 305,000 253,150
3,930,349
Total corporate bonds and notes (cost $57,321,993) $49,271,197








COLLATERALIZED LOAN OBLIGATIONS (4.7%)(a)
        Principal amount Value
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 3.91%, 7/20/34 (Cayman Islands) $204,000 $195,451
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 3.682%, 10/15/34 (Cayman Islands) 250,000 238,692
CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 3.82%, 4/20/32 (Cayman Islands) 285,000 275,734
Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 3.739%, 7/27/30 (Cayman Islands) 283,000 276,533
Dryden CLO, Ltd. 144A FRB Ser. 21-72A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 3.985%, 5/15/32 (Cayman Islands) 250,000 241,510
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class A, (ICE LIBOR USD 3 Month + 1.24%), 3.752%, 4/15/33 (Cayman Islands) 400,000 386,784
Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (ICE LIBOR USD 3 Month + 1.20%), 3.94%, 4/16/34 (Cayman Islands) 250,000 241,315
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 3.712%, 7/15/34 (Cayman Islands) 536,000 513,693
Kayne CLO 6, Ltd. 144A FRB Ser. 19-6A, Class A1, (ICE LIBOR USD 3 Month + 1.38%), 4.09%, 1/20/33 (Cayman Islands) 285,000 277,807
LCM XXI LP 144A FRB Ser. 21A, Class AR, (ICE LIBOR USD 3 Month + 0.88%), 3.59%, 4/20/28 (Cayman Islands) 129,388 128,144
Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 4.159%, 10/22/30 (Cayman Islands) 250,000 239,496
Madison Park Funding XVIII, Ltd. 144A FRB Ser. 21-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 3.672%, 10/21/30 (Cayman Islands) 284,000 277,822
Madison Park Funding XXX, Ltd. 144A FRB Ser. 18-30A, Class A, (ICE LIBOR USD 3 Month + 0.75%), 3.262%, 4/15/29 240,648 235,389
Magnetite CLO XXXIII, Ltd. 144A FRB Ser. 22-33A, Class A, (CME TERM SOFR 3 Month + 1.50%), 4.207%, 7/20/35 (Cayman Islands) 250,000 242,663
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 3.832%, 4/15/32 (Cayman Islands) 100,000 96,471
Neuberger Berman Loan Advisers CLO 34, Ltd. 144A FRB Ser. 22-34A, Class A1R, (CME TERM SOFR 3 Month + 1.24%), 3.717%, 1/20/35 (Cayman Islands) 250,000 242,667
OCP CLO, Ltd. 144A FRB Ser. 21-8RA, Class A1, (ICE LIBOR USD 3 Month + 1.22%), 3.96%, 1/17/32 (Cayman Islands) 250,000 243,349
Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 3.963%, 1/24/33 (Cayman Islands) 330,000 317,485
OZLM VII, Ltd. 144A FRB Ser. 18-7RA, Class A1R, (ICE LIBOR USD 3 Month + 1.01%), 3.75%, 7/17/29 (Cayman Islands) 315,216 308,633
Palmer Square CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 3.662%, 7/15/34 (Cayman Islands) 253,000 241,528
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 4.905%, 5/15/32 (Cayman Islands) 250,000 234,613
Regatta XXIII Funding, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.15%), 3.86%, 1/20/35 (Cayman Islands) 594,000 562,996
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 3.88%, 7/20/34 (Cayman Islands) 250,000 239,087
RR, 14, Ltd. 144A FRB Ser. 21-14A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 3.632%, 4/15/36 (Cayman Islands) 300,000 286,806
Sound Point CLO XIV, Ltd. 144A FRB Ser. 21-3A, Class AR2, (ICE LIBOR USD 3 Month + 0.99%), 3.773%, 1/23/29 (Cayman Islands) 146,493 144,053
Sound Point CLO XVIII, Ltd. 144A FRB Ser. 18-4A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 3.83%, 1/21/31 (Cayman Islands) 250,000 240,963
Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 3.682%, 7/15/34 (Cayman Islands) 350,000 329,707
Wellfleet CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 3.84%, 7/17/31 250,000 242,282
Total collateralized loan obligations (cost $7,701,013) $7,501,673








ASSET-BACKED SECURITIES (1.2%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $398,936 $397,939
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 5.084%, 11/25/55 287,000 267,869
Mortgage Repurchase Agreement Financing Trust II 144A FRN Ser. 22-S1, Class A1, (US 30 Day Average SOFR + 2.00%), 2.889%, 3/30/25 125,000 125,000
MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR Compounded Index + 1.25%), 3.54%, 1/17/23 500,000 500,000
Station Place Securitization Trust 144A
FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 4.314%, 5/29/23 479,000 479,000
FRB Ser. 21-14, Class A1, (ICE LIBOR USD 1 Month + 0.70%), 3.784%, 12/8/22 179,000 179,000
Total asset-backed securities (cost $1,954,945) $1,948,808








PURCHASED SWAP OPTIONS OUTSTANDING (0.5%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
0.485/3 month USD-LIBOR-ICE/Jan-25 Jan-24/0.485 $24,072,200 $3,852
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-ICE/Feb-73 Feb-48/3.00 $3,110,300 298,713
3.00/3 month USD-LIBOR-ICE/Apr-72 Apr-47/3.00 $3,110,300 286,521
2.75/3 month USD-LIBOR-ICE/May-73 May-48/2.75 $3,110,300 261,172
Total purchased swap options outstanding (cost $1,125,188) $850,258








SHORT-TERM INVESTMENTS (23.2%)(a)
        Principal amount/shares Value
Putnam Short Term Investment Fund Class P 3.11%(AFF) Shares 22,199,698 $22,199,698
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.94%(P) Shares 923,000 923,000
U.S. Treasury Bills 2.800%, 11/8/22(SEGSF)(SEGCCS)(SEGTBA) $5,200,000 5,185,915
U.S. Treasury Bills 2.351%, 10/4/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) 3,400,000 3,399,772
U.S. Treasury Bills 2.840%, 11/25/22(SEGSF)(SEGCCS) 1,700,000 1,692,958
U.S. Treasury Bills 2.528%, 10/18/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) 1,400,000 1,398,523
U.S. Treasury Bills 2.703%, 11/1/22(SEG)(SEGSF) 1,400,000 1,396,990
U.S. Treasury Bills 2.836%, 11/17/22(SEGSF)(SEGCCS) 300,000 298,931
U.S. Treasury Bills zero%, 9/7/23(i) 199,000 191,756
Total short-term investments (cost $36,685,527) $36,687,543
TOTAL INVESTMENTS
Total investments (cost $292,019,992) $267,310,326








FUTURES CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
    Number of contracts Notional amount Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Bond 30 yr (Long) 31 $3,918,594 $3,918,594 Dec-22 $(335,015)
U.S. Treasury Bond Ultra 30 yr (Long) 72 9,864,000 9,864,000 Dec-22 (1,001,413)
U.S. Treasury Note 2 yr (Long) 17 3,491,641 3,491,641 Dec-22 (53,163)
U.S. Treasury Note 2 yr (Short) 267 54,839,297 54,839,297 Dec-22 843,891
U.S. Treasury Note 5 yr (Long) 152 16,341,188 16,341,188 Dec-22 (519,318)
U.S. Treasury Note 5 yr (Short) 49 5,267,883 5,267,883 Dec-22 167,562
U.S. Treasury Note 10 yr (Long) 123 13,783,688 13,783,688 Dec-22 (617,152)
U.S. Treasury Note Ultra 10 yr (Long) 24 2,843,625 2,843,625 Dec-22 (185,413)
Unrealized appreciation 1,011,453
Unrealized (depreciation) (2,711,474)
Total $(1,700,021)








WRITTEN SWAP OPTIONS OUTSTANDING at 9/30/22 (premiums $9,229,452) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
0.985/3 month USD-LIBOR-ICE/Jan-25 Jan-24/0.985 $24,072,200 $732,276
3.195/3 month USD-LIBOR-ICE/Nov-55 Nov-25/3.195 14,363,800 1,450,600
(3.195)/3 month USD-LIBOR-ICE/Nov-55 Nov-25/3.195 14,363,800 1,715,469
Citibank, N.A.
(1.865)/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 1,877,700 41,178
1.865/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 1,877,700 243,932
JPMorgan Chase Bank N.A.
(1.07)/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 2,064,700 12,884
1.07/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 2,064,700 209,980
(3.229)/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 14,803,400 374,970
3.229/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 14,803,400 948,454
Morgan Stanley & Co. International PLC
(3.00)/3 month USD-LIBOR-ICE/Apr-48 Apr-23/3.00 3,110,300 76,980
(2.97)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 2,320,400 85,066
(3.01)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 2,320,400 88,082
(3.00)/3 month USD-LIBOR-ICE/Jan-49 Jan-24/3.00 3,110,300 159,527
(2.75)/3 month USD-LIBOR-ICE/May-49 May-25/2.75 3,110,300 179,122
3.01/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 2,320,400 188,184
2.97/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 2,320,400 192,013
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 161,600 1,828
1.17/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 323,100 114,930
UBS AG
(1.9875)/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 2,178,100 38,705
1.9875/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 2,178,100 289,448
Total $7,143,628








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.115)/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 $23,206,800 $97,759 $64,283
1.115/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 23,206,800 97,759 (498,250)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 16,923,300 232,272 175,325
2.25/US SOFR/Jan-33 (Purchased) Jan-23/2.25 10,419,500 (168,951) (151,291)
2.245/US SOFR/Jan-33 (Purchased) Jan-23/2.245 10,419,500 (169,858) (152,437)
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 8,921,100 (102,593) 270,309
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 8,921,100 (102,593) (65,213)
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 8,461,600 (408,695) (299,456)
2.415/3 month USD-LIBOR-ICE/Oct-33 (Written) Oct-23/2.415 7,528,300 159,035 (701,562)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 6,226,000 452,942 40,282
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 6,226,000 452,942 (51,302)
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 4,230,800 66,000 49,585
(2.41)/US SOFR/Oct-32 (Written) Oct-22/2.41 3,646,800 51,953 51,602
(2.42)/US SOFR/Oct-32 (Written) Oct-22/2.42 3,646,800 51,851 51,493
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 2,961,600 (145,668) (105,996)
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 2,465,500 192,556 6,016
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 2,465,500 192,556 (15,853)
(2.485)/3 month USD-LIBOR-ICE/Oct-54 (Purchased) Oct-24/2.485 2,428,500 (146,560) 273,692
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 $2,259,800 $(294,339) $305,728
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 2,259,800 (294,339) (166,818)
(1.6125)/US SOFR/Dec-41 (Written) Dec-31/1.6125 1,474,600 109,489 42,881
1.6125/US SOFR/Dec-41 (Written) Dec-31/1.6125 1,474,600 109,489 (97,442)
(2.46)/US SOFR/Jun-59 (Written) Jun-29/2.46 1,196,000 168,995 (2,930)
2.46/US SOFR/Jun-59 (Written) Jun-29/2.46 1,196,000 168,995 (26,850)
Barclays Bank PLC
(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 1,797,000 (217,707) 100,848
2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 1,797,000 (217,707) (59,391)
Citibank, N.A.
(2.842)/US SOFR/Nov-32 (Written) Nov-22/2.842 15,050,900 132,448 111,828
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 13,281,900 (177,048) 314,781
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 13,281,900 (177,048) (80,488)
(1.194)/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 13,281,900 100,677 95,364
1.194/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 13,281,900 100,677 (671,931)
(2.285)/3 month USD-LIBOR-ICE/Mar-51 (Purchased) Mar-41/2.285 11,799,100 (1,018,852) 132,740
2.285/3 month USD-LIBOR-ICE/Mar-51 (Purchased) Mar-41/2.285 11,799,100 (1,018,852) 7,905
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 7,794,900 (254,114) 413,909
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 7,794,900 (254,114) (133,683)
1.999/US SOFR/Jan-33 (Purchased) Jan-23/1.999 6,095,300 (45,105) (41,631)
(2.795)/US SOFR/Oct-32 (Purchased) Oct-22/2.795 3,213,400 (65,553) 138,273
2.795/US SOFR/Oct-32 (Purchased) Oct-22/2.795 3,213,400 (65,553) (64,654)
2.394/US SOFR/Sep-33 (Purchased) Sep-23/2.394 2,574,500 (31,151) (667)
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 1,934,400 (142,855) 109,332
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 1,934,400 (142,855) (48,476)
(1.99)/US SOFR/Feb-42 (Purchased) Feb-32/1.99 1,870,800 (147,326) 85,589
1.99/US SOFR/Feb-42 (Purchased) Feb-32/1.99 1,870,800 (147,326) (47,406)
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 1,246,300 (94,033) 215,199
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 1,246,300 (94,033) (89,459)
(1.102)/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 1,155,500 (36,716) 224,421
1.102/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 1,155,500 (36,716) (36,525)
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 1,048,600 (77,518) 180,537
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 1,048,600 (77,518) (73,549)
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 875,000 (112,656) 22,181
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 875,000 (112,656) (59,614)
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 564,900 (42,283) 95,220
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 564,900 (42,283) (40,119)
Goldman Sachs International
2.07/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.07 4,323,000 89,486 (514,307)
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 3,103,000 (400,287) 115,618
2.40/US SOFR/May-57 (Purchased) May-27/2.40 3,103,000 (400,287) (43,970)
(2.544)/US SOFR/Nov-32 (Purchased) Nov-22/2.544 2,075,200 (42,542) 132,315
2.544/US SOFR/Nov-32 (Purchased) Nov-22/2.544 2,075,200 (42,542) (41,712)
(1.727)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 1,105,300 (165,242) 149,304
1.727/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 1,105,300 (101,356) (68,241)
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 785,300 (99,144) 13,586
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 785,300 (99,144) (32,299)
(1.71)/3 month USD-LIBOR-ICE/Dec-56 (Written) Dec-26/1.71 745,600 100,954 57,747
1.71/3 month USD-LIBOR-ICE/Dec-56 (Written) Dec-26/1.71 745,600 100,954 (105,972)
2.41/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.41 204,300 2,983 (20,448)
JPMorgan Chase Bank N.A.
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 3,158,700 67,399 51,297
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 3,158,700 67,399 (202,094)
(2.031)/3 month USD-LIBOR-ICE/Feb-41 (Purchased) Feb-31/2.031 2,608,100 (178,394) 172,082
2.031/3 month USD-LIBOR-ICE/Feb-41 (Purchased) Feb-31/2.031 2,608,100 (178,394) (65,698)
(1.168)/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 2,175,500 139,993 95,330
1.168/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 2,175,500 139,993 (272,960)
(1.985)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.985 1,862,900 (127,795) 126,584
1.985/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.985 1,862,900 (127,795) (48,640)
(2.032)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 785,400 (90,714) 95,748
2.032/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 785,400 (90,714) (58,143)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 489,600 28,935 14,531
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 489,600 28,935 (37,704)
Morgan Stanley & Co. International PLC
2.1075/US SOFR/Jan-33 (Purchased) Jan-23/2.1075 10,419,500 (156,813) (143,893)
2.195/US SOFR/Jan-33 (Purchased) Jan-23/2.195 10,419,500 (165,410) (149,520)
(2.94)/US SOFR/Aug-37 (Written) Aug-27/2.94 4,967,900 338,811 31,347
2.94/US SOFR/Aug-37 (Written) Aug-27/2.94 4,967,900 334,836 (89,571)
(2.36)/US SOFR/Oct-32 (Written) Oct-22/2.36 3,646,800 51,602 51,238
(2.27375)/US SOFR/Oct-32 (Written) Oct-22/2.27375 3,646,800 48,958 48,685
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 875,000 (134,050) 19,793
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 875,000 (94,150) (50,584)
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 126,800 (14,468) (3,959)
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 126,800 (14,468) (4,405)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,398,800 (73,157) 127,878
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,398,800 (73,157) (43,559)
(2.095)/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 604,200 79,452 41,539
2.095/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 604,200 79,452 (59,363)
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 412,400 (28,765) 19,923
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 412,400 (28,765) (7,860)
UBS AG
(0.87)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 12,278,900 (82,821) 232,317
0.87/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 12,278,900 (82,821) (51,449)
(0.983)/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 4,911,600 (77,849) 139,293
0.983/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 4,911,600 (77,849) (40,815)
(0.8925)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 3,683,700 (78,094) 433,314
0.8925/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 3,683,700 (78,094) (76,179)
(0.958)/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 2,946,900 78,314 60,824
0.958/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 2,946,900 78,314 (265,516)
(0.902)/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 1,473,500 (82,442) 234,787
0.902/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 1,473,500 (82,442) (69,151)
(1.715)/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 699,400 (63,121) 148,224
1.715/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 699,400 (63,121) (61,946)
Unrealized appreciation 6,192,627
Unrealized (depreciation) (6,412,951)
Total $(220,324)








TBA SALE COMMITMENTS OUTSTANDING at 9/30/22 (proceeds receivable $18,867,285) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 3.50%, 10/1/52 $6,000,000 10/13/22 $5,395,311
Uniform Mortgage-Backed Securities, 3.00%, 10/1/52 9,000,000 10/13/22 7,824,376
Uniform Mortgage-Backed Securities, 2.50%, 10/1/52 2,000,000 10/13/22 1,678,281
Uniform Mortgage-Backed Securities, 2.00%, 10/1/52 4,000,000 10/13/22 3,236,625
Total $18,134,593










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)
$5,165,700 $987,165 $216,375 9/1/32 3 month USD-LIBOR-ICE — Quarterly 1.512% — Semiannually $(777,550)
16,699,000 715,218 807 12/23/23 0.695% — Annually US SOFR — Annually 746,058
3,832,000 414,584 (615) 12/23/26 US SOFR — Annually 1.085% — Annually (408,882)
13,584,000 2,417,001 (3,534) 12/23/31 US SOFR — Annually 1.285% — Annually (2,376,858)
10,320,000 3,170,098 (18,375) 12/23/51 US SOFR — Annually 1.437% — Annually (3,207,137)
5,436,000 232,715 (553) 12/24/23 0.697% — Annually US SOFR — Annually 240,104
5,260,000 567,081 (704) 12/24/26 1.096% — Annually US SOFR — Annually 551,918
17,192,000 3,059,488 (7,675) 12/24/31 1.285% — Annually US SOFR — Annually 2,998,024
1,625,000 499,769 (878) 12/24/51 1.435% — Annually US SOFR — Annually 491,281
499,000 145,074 (81) 12/31/51 1.525% — Annually US SOFR — Annually 142,232
1,195,000 127,471 (159) 12/31/26 US SOFR — Annually 1.135% — Annually (124,397)
290,200 14,371 (E) (6) 1/15/47 1.724% — Annually US SOFR — Annually 14,364
1,514,000 396,819 (52) 1/21/52 1.679% — Annually US SOFR — Annually 387,119
1,314,000 357,395 (45) 1/19/52 US SOFR — Annually 1.626% — Annually (350,370)
4,174,000 1,113,248 (142) 2/1/52 1.6545% — Annually US SOFR — Annually 1,088,042
860,600 53,108 (E) (29) 2/13/57 1.68% — Annually US SOFR — Annually 53,078
4,273,600 975,577 (146) 2/24/52 US SOFR — Annually 1.86% — Annually (949,172)
51,000 12,578 (2) 2/29/52 US SOFR — Annually 1.762% — Annually (12,354)
1,700,000 244,290 (23) 2/29/32 US SOFR — Annually 1.75% — Annually (235,152)
3,255,000 286,668 (26) 2/28/27 1.675% — Annually US SOFR — Annually 270,266
3,354,000 128,223 (13) 2/29/24 US SOFR — Annually 1.47709% — Annually (115,329)
1,072,400 159,831 (14) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (160,694)
2,443,000 391,075 (32) 3/9/32 1.5475% — Annually US SOFR — Annually 380,741
2,533,000 406,698 (34) 3/9/32 1.5415% — Annually US SOFR — Annually 396,537
1,335,000 193,749 (18) 3/11/32 1.737% — Annually US SOFR — Annually 187,956
4,800,000 128,544 (18) 4/7/24 2.45% — Annually US SOFR — Annually 95,858
1,910,000 109,386 (15) 4/7/27 US SOFR — Annually 2.465% — Annually (96,236)
482,000 47,501 (6) 4/7/23 2.3305% — Annually US SOFR — Annually 44,670
419,000 76,723 (14) 4/7/52 US SOFR — Annually 2.1005% — Annually (74,695)
1,330,000 183,766 (45) 4/14/52 US SOFR — Annually 2.3395% — Annually (174,341)
496,000 42,358 (7) 4/14/32 US SOFR — Annually 2.4965% — Annually (38,504)
164,000 9,296 (1) 4/14/27 2.483% — Annually US SOFR — Annually 8,195
7,267,000 201,659 (27) 4/14/24 2.405% — Annually US SOFR — Annually 149,286
8,507,100 414,041 (80) 5/2/27 US SOFR — Annually 2.685% — Annually (355,044)
12,392,500 329,641 (47) 5/25/24 2.5945% — Annually US SOFR — Annually 282,454
968,000 104,060 (33) 5/25/52 US SOFR — Annually 2.501% — Annually (100,076)
413,700 22,154 (E) (14) 5/28/57 2.40% — Annually US SOFR — Annually 22,140
3,285,000 213,854 (44) 6/7/32 US SOFR — Annually 2.7565% — Annually (197,970)
664,000 56,174 (23) 6/7/52 US SOFR — Annually 2.622% — Annually (53,799)
9,738,800 580,043 (129) 6/8/32 US SOFR — Annually 2.825% — Annually (542,037)
1,694,800 332,689 (212,721) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 110,757
6,617,000 153,647 (25) 6/10/24 US SOFR — Annually 2.833% — Annually (125,952)
5,520,000 244,591 (45) 6/10/27 2.8025% — Annually US SOFR — Annually 222,069
27,978,500 423,874 (105) 6/15/24 US SOFR — Annually 3.3385% — Annually (281,231)
14,788,500 414,965 (120) 6/15/27 3.185% — Annually US SOFR — Annually 345,572
2,972,500 168,957 (E) (42) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 168,915
361,000 33,544 (12) 7/8/52 US SOFR — Annually 2.5765% — Annually (32,831)
5,960,000 406,293 (79) 7/15/32 US SOFR — Annually 2.723% — Annually (392,960)
3,424,700 313,086 (117) 8/22/52 2.5823% — Annually US SOFR — Annually 309,525
2,240,200 182,419 (E) (32) 1/31/33 2.545% — Annually US SOFR — Annually 182,388
2,240,200 181,479 (E) (32) 1/31/33 2.55% — Annually US SOFR — Annually 181,447
2,109,900 180,418 (E) (30) 2/1/33 2.495% — Annually US SOFR — Annually 180,388
7,145,000 661,627 (95) 8/2/32 US SOFR — Annually 2.4275% — Annually (660,691)
2,063,100 191,270 (E) (29) 2/1/33 2.4075% — Annually US SOFR — Annually 191,241
404,600 12,887 (E) (8) 4/1/42 US SOFR — Annually 2.63% — Annually (12,894)
650,000 46,950 (E) (10) 3/24/35 US SOFR — Annually 2.39% — Annually (46,959)
610,500 63,590 (18) 8/10/42 2.645% — Annually US SOFR — Annually 63,355
1,034,800 113,683 (2,307) 8/10/42 US SOFR — Annually 2.605% — Annually (115,558)
424,400 47,444 (13) 8/10/42 2.5915% — Annually US SOFR — Annually 47,232
5,095,000 250,725 (E) (48) 2/6/29 2.40% — Annually US SOFR — Annually 250,677
3,427,000 265,695 (45) 8/16/32 US SOFR — Annually 2.613% — Annually (264,214)
430,100 3,776 (E) (10) 1/15/47 2.49% — Annually US SOFR — Annually 3,767
220,000 12,929 (3) 8/25/32 US SOFR — Annually 2.8415% — Annually (12,801)
748,000 31,640 (E) (11) 2/21/35 2.785% — Annually US SOFR — Annually 31,629
7,374,600 110,029 (28) 9/6/24 US SOFR — Annually 3.413% — Annually (104,493)
2,141,000 29,846 (E) (12) 1/15/27 US SOFR — Annually 2.73% — Annually (29,857)
4,733,400 199,702 (62) 9/13/32 3.043% — Annually US SOFR — Annually 197,442
219,000 2,424 (E) (4) 1/15/42 2.9825% — Annually US SOFR — Annually 2,420
802,000 23,908 (27) 9/26/52 2.905% — Annually US SOFR — Annually 23,690
4,170,000 66,095 (39) 9/26/27 US SOFR — Annually 3.465% — Annually (64,820)
824,000 21,292 (11) 9/19/32 3.24% — Annually US SOFR — Annually 20,996
3,035,000 2,458 (E) (3,106) 12/21/24 4.20% — Annually US SOFR — Annually (647)
40,241,000 20,925 (E) 85,033 12/21/27 3.80% — Annually US SOFR — Annually 105,958
1,111,000 13,410 (E) 5,259 12/21/32 US SOFR — Annually 3.40% — Annually (8,150)
4,132,000 39,171 (E) (34,478) 12/21/52 US SOFR — Annually 3.00% — Annually (73,650)
337,000 2,450 (E) (11) 2/13/57 2.40% — Annually US SOFR — Annually (2,461)
10,350,000 192,200 (137) 9/23/32 3.3275% — Annually US SOFR — Annually 190,029
1,666,000 14,078 (22) 9/26/32 US SOFR — Annually 3.449% — Annually (13,578)
2,101,869 34,197 (71) 9/28/52 2.976% — Annually US SOFR — Annually 33,605
1,090,500 851 (37) 9/29/52 3.0575% — Annually US SOFR — Annually 628
1,090,500 229 (37) 9/29/52 3.0605% — Annually US SOFR — Annually 7
132,000 284 (1) 9/29/24 4.321% — Annually US SOFR — Annually (316)
1,325,000 13,277 (17) 9/29/32 3.67061% — Annually US SOFR — Annually (13,564)
1,560,000 3,931 (21) 9/30/32 US SOFR — Annually 3.5805% — Annually 4,066
2,140,500 12,501 (17) 9/30/27 US SOFR — Annually 3.6865% — Annually (12,299)
2,140,500 12,693 (17) 9/30/27 US SOFR — Annually 3.6845% — Annually (12,491)
2,840,000 4,459 (11) 9/30/24 4.1255% — Annually US SOFR — Annually 4,358
2,010,000 11,336 (27) 9/30/32 3.4825% — Annually US SOFR — Annually 11,282
716,000 3,408 (9) 9/30/32 3.493% — Annually US SOFR — Annually 3,389
175,000 172 (1) 10/3/24 US SOFR — Annually 4.16% — Annually (172)
1,327,000 5,135 (18) 10/3/32 US SOFR — Annually 3.504% — Annually (5,153)
3,484,000 12,473 (28) 10/4/27 3.7375% — Annually US SOFR — Annually 12,445
4,062,000 30,465 (54) 10/4/32 US SOFR — Annually 3.4605% — Annually (30,519)
513,000 3,314 (7) 10/4/23 US SOFR — Annually 3.473% — Annually (3,321)
514,900 2,214 (E) (7) 10/3/33 3.394% — Annually US SOFR — Annually 2,207
5,230,000 15,742 (42) 10/4/27 3.75% — Annually US SOFR — Annually 15,700
Total $19,499 $(1,204,672)
(E) Extended effective date.








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 $3,281 $34,466 $7,744 5/11/63 300 bp — Monthly $(4,446)
CMBX NA BBB-.6 Index B+/P 6,388 76,112 17,102 5/11/63 300 bp — Monthly (10,676)
CMBX NA BBB-.6 Index B+/P 7,467 94,063 21,136 5/11/63 300 bp — Monthly (13,621)
Citigroup Global Markets, Inc.
CMBX NA BB.11 Index BB-/P 87,010 154,000 34,250 11/18/54 500 bp — Monthly 52,889
CMBX NA BB.13 Index BB-/P 12,097 121,000 32,888 12/16/72 500 bp — Monthly (20,690)
CMBX NA BB.14 Index BB/P 19,626 179,000 43,945 12/16/72 500 bp — Monthly (24,170)
CMBX NA BB.6 Index CCC+/P 20,083 106,369 42,675 5/11/63 500 bp — Monthly (22,502)
CMBX NA BB.7 Index B-/P 35,056 687,000 229,046 1/17/47 500 bp — Monthly (193,659)
CMBX NA BB.9 Index B/P 1,222 6,000 1,958 9/17/58 500 bp — Monthly (731)
CMBX NA BB.9 Index B/P 22,260 109,000 35,567 9/17/58 500 bp — Monthly (13,216)
CMBX NA BBB-.10 Index BB+/P 7,321 59,000 10,974 11/17/59 300 bp — Monthly (3,624)
CMBX NA BBB-.10 Index BB+/P 11,127 102,000 18,972 11/17/59 300 bp — Monthly (7,794)
CMBX NA BBB-.11 Index BBB-/P 8,331 133,000 21,732 11/18/54 300 bp — Monthly (13,335)
CMBX NA BBB-.12 Index BBB-/P 2,044 49,000 8,967 8/17/61 300 bp — Monthly (6,899)
CMBX NA BBB-.12 Index BBB-/P 17,031 289,000 52,887 8/17/61 300 bp — Monthly (35,711)
CMBX NA BBB-.15 Index BBB-/P 7,416 71,000 15,009 11/18/64 300 bp — Monthly (7,558)
CMBX NA BBB-.15Index BBB-/P 4,078 24,000 5,074 11/18/64 300 bp — Monthly (984)
Credit Suisse International
CMBX NA A.6 Index A-/P (1,759) 1,001,434 102,146 5/11/63 200 bp — Monthly (103,571)
CMBX NA A.7 Index BBB+/P 275 7,000 388 1/17/47 200 bp — Monthly (110)
CMBX NA BB.7 Index B-/P 16,586 124,000 41,342 1/17/47 500 bp — Monthly (24,652)
CMBX NA BBB-.7 Index BB-/P 4,347 55,000 11,149 1/17/47 300 bp — Monthly (6,774)
CMBX NA BBB-.7 Index BB-/P 18,774 254,000 51,486 1/17/47 300 bp — Monthly (32,584)
Goldman Sachs International
CMBX NA A.6 Index A-/P 1,175 5,029 513 5/11/63 200 bp — Monthly 664
CMBX NA A.6 Index A-/P 1,740 7,544 769 5/11/63 200 bp — Monthly 973
CMBX NA A.6 Index A-/P 2,473 30,175 3,078 5/11/63 200 bp — Monthly (595)
CMBX NA A.6 Index A-/P 5,764 33,318 3,398 5/11/63 200 bp — Monthly 2,376
CMBX NA A.6 Index A-/P 1,950 40,233 4,104 5/11/63 200 bp — Monthly (2,140)
CMBX NA BBB-.11 Index BBB-/P 64 1,000 163 11/18/54 300 bp — Monthly (99)
CMBX NA BBB-.14 Index BBB-/P 919 20,000 4,084 12/16/72 300 bp — Monthly (3,155)
CMBX NA BBB-.14 Index BBB-/P 1,889 42,500 8,679 12/16/72 300 bp — Monthly (6,769)
CMBX NA BBB-.15 Index BBB-/P 7,302 79,000 16,701 11/18/64 300 bp — Monthly (9,359)
CMBX NA BBB-.6 Index B+/P 105 718 161 5/11/63 300 bp — Monthly (56)
CMBX NA BBB-.6 Index B+/P 5,063 43,082 9,681 5/11/63 300 bp — Monthly (4,595)
CMBX NA BBB-.6 Index B+/P 5,381 48,826 10,971 5/11/63 300 bp — Monthly (5,566)
CMBX NA BBB-.6 Index B+/P 7,595 64,623 14,521 5/11/63 300 bp — Monthly (6,893)
CMBX NA BBB-.6 Index B+/P 5,119 75,394 16,941 5/11/63 300 bp — Monthly (11,784)
CMBX NA BBB-.6 Index B+/P 18,393 152,942 34,366 5/11/63 300 bp — Monthly (15,895)
CMBX NA BBB-.6 Index B+/P 33,182 171,611 38,561 5/11/63 300 bp — Monthly (5,292)
CMBX NA BBB-.6 Index B+/P 23,561 349,684 78,574 5/11/63 300 bp — Monthly (54,834)
CMBX NA BBB-.7 Index BB-/P 418 6,000 1,216 1/17/47 300 bp — Monthly (795)
CMBX NA BBB-.7 Index BB-/P 7,955 101,000 20,473 1/17/47 300 bp — Monthly (12,467)
CMBX NA BBB-.7 Index BB-/P 11,309 153,000 31,013 1/17/47 300 bp — Monthly (19,628)
CMBX NA BBB-.7 Index BB-/P 13,902 171,000 34,662 1/17/47 300 bp — Monthly (20,674)
JPMorgan Securities LLC
CMBX NA A.13 Index A-/P 2,257 28,000 2,433 12/16/72 200 bp — Monthly (167)
CMBX NA A.14 Index A-/P (602) 91,000 8,317 12/16/72 200 bp — Monthly (8,889)
CMBX NA A.6 Index A-/P 207,483 1,669,057 170,244 5/11/63 200 bp — Monthly 37,796
CMBX NA BB.10 Index B+/P 5,777 72,000 23,962 5/11/63 500 bp — Monthly (18,124)
CMBX NA BB.7 Index B-/P 120,945 247,000 82,350 1/17/47 500 bp — Monthly 38,801
CMBX NA BBB-.8 Index BB/P 9,044 58,000 10,034 10/17/57 300 bp — Monthly (961)
Merrill Lynch International
CMBX NA BB.6 Index CCC+/P 5,518 20,514 8,230 5/11/63 500 bp — Monthly (2,695)
Morgan Stanley & Co. International PLC
CMBX NA A.13 Index A-/P (1,011) 121,000 10,515 12/16/72 200 bp — Monthly (11,486)
CMBX NA A.14 Index A-/P (27) 2,000 183 12/16/72 200 bp — Monthly (209)
CMBX NA A.14 Index A-/P (460) 31,000 2,833 12/16/72 200 bp — Monthly (3,283)
CMBX NA A.14 Index A-/P (1,247) 80,000 7,312 12/16/72 200 bp — Monthly (8,532)
CMBX NA A.14 Index A-/P 1,074 84,000 7,678 12/16/72 200 bp — Monthly (6,576)
CMBX NA A.14 Index A-/P (2,540) 163,000 14,898 12/16/72 200 bp — Monthly (17,384)
CMBX NA A.14 Index A-/P 6,265 223,000 20,382 12/16/72 200 bp — Monthly (14,043)
CMBX NA A.7 Index BBB+/P (13) 13,000 720 1/17/47 200 bp — Monthly (728)
CMBX NA BB.13 Index BB-/P 2,301 24,000 6,523 12/16/72 500 bp — Monthly (4,203)
CMBX NA BB.13 Index BB-/P 8,852 92,000 25,006 12/16/72 500 bp — Monthly (16,077)
CMBX NA BB.13 Index BB-/P 10,438 113,000 30,713 12/16/72 500 bp — Monthly (20,182)
CMBX NA BBB-.12 Index BBB-/P 7,013 119,000 21,777 8/17/61 300 bp — Monthly (14,705)
CMBX NA BBB-.12 Index BBB-/P 8,329 194,000 35,502 8/17/61 300 bp — Monthly (27,076)
CMBX NA BBB-.13 Index BBB-/P 90 2,000 397 12/16/72 300 bp — Monthly (306)
CMBX NA BBB-.13 Index BBB-/P 1,422 7,000 1,391 12/16/72 300 bp — Monthly 34
CMBX NA BBB-.13 Index BBB-/P 1,562 17,000 3,378 12/16/72 300 bp — Monthly (1,808)
CMBX NA BBB-.13 Index BBB-/P 11,844 63,000 12,518 12/16/72 300 bp — Monthly (642)
CMBX NA BBB-.14 Index BBB-/P 669 11,000 2,246 12/16/72 300 bp — Monthly (1,572)
CMBX NA BBB-.14 Index BBB-/P 617 11,000 2,246 12/16/72 300 bp — Monthly (1,624)
Upfront premium received 878,579 Unrealized appreciation 133,533
Upfront premium (paid) (7,659) Unrealized (depreciation) (909,175)
Total $870,920 Total $(775,642)
* 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 $(47,452) $363,358 $37,063 5/11/63 (200 bp) — Monthly $(10,511)
CMBX NA A.6 Index (45,648) 356,443 36,357 5/11/63 (200 bp) — Monthly (9,410)
CMBX NA A.7 Index (148) 20,000 1,108 1/17/47 (200 bp) — Monthly 953
CMBX NA BB.10 Index (45,086) 187,000 62,234 11/17/59 (500 bp) — Monthly 16,992
CMBX NA BB.10 Index (35,955) 141,000 46,925 11/17/59 (500 bp) — Monthly 10,852
CMBX NA BB.10 Index (7,932) 76,000 25,293 11/17/59 (500 bp) — Monthly 17,298
CMBX NA BB.10 Index (6,798) 62,000 20,634 11/17/59 (500 bp) — Monthly 13,784
CMBX NA BB.11 Index (9,170) 127,000 28,245 11/18/54 (500 bp) — Monthly 18,969
CMBX NA BB.11 Index (934) 18,000 4,003 11/18/54 (500 bp) — Monthly 3,054
CMBX NA BB.11 Index (619) 9,000 2,002 11/18/54 (500 bp) — Monthly 1,375
CMBX NA BB.8 Index (22,740) 63,777 23,929 10/17/57 (500 bp) — Monthly 1,135
CMBX NA BB.8 Index (4,718) 36,720 13,777 10/17/57 (500 bp) — Monthly 9,028
CMBX NA BB.9 Index (564) 14,000 4,568 9/17/58 (500 bp) — Monthly 3,992
CMBX NA BB.9 Index (581) 9,000 2,937 9/17/58 (500 bp) — Monthly 2,349
CMBX NA BBB-.10 Index (33,665) 113,000 21,018 11/17/59 (300 bp) — Monthly (12,704)
CMBX NA BBB-.10 Index (10,708) 84,000 15,624 11/17/59 (300 bp) — Monthly 4,874
CMBX NA BBB-.10 Index (11,987) 76,000 14,136 11/17/59 (300 bp) — Monthly 2,111
CMBX NA BBB-.10 Index (16,945) 73,000 13,578 11/17/59 (300 bp) — Monthly (3,404)
CMBX NA BBB-.10 Index (12,303) 50,000 9,300 11/17/59 (300 bp) — Monthly (3,028)
CMBX NA BBB-.10 Index (9,605) 44,000 8,184 11/17/59 (300 bp) — Monthly (1,443)
CMBX NA BBB-.10 Index (8,589) 36,000 6,696 11/17/59 (300 bp) — Monthly (1,911)
CMBX NA BBB-.10 Index (6,311) 29,000 5,394 11/17/59 (300 bp) — Monthly (932)
CMBX NA BBB-.11 Index (6,752) 47,000 7,680 11/18/54 (300 bp) — Monthly 904
CMBX NA BBB-.11 Index (2,564) 8,000 1,307 11/18/54 (300 bp) — Monthly (1,261)
CMBX NA BBB-.12 Index (13,700) 199,000 36,417 8/17/61 (300 bp) — Monthly 22,618
CMBX NA BBB-.12 Index (50,749) 146,000 26,718 8/17/61 (300 bp) — Monthly (24,104)
CMBX NA BBB-.12 Index (29,727) 89,000 16,287 8/17/61 (300 bp) — Monthly (13,485)
CMBX NA BBB-.12 Index (13,698) 72,000 13,176 8/17/61 (300 bp) — Monthly (558)
CMBX NA BBB-.12 Index (23,551) 67,000 12,261 8/17/61 (300 bp) — Monthly (11,324)
CMBX NA BBB-.12 Index (11,056) 49,000 8,967 8/17/61 (300 bp) — Monthly (2,114)
CMBX NA BBB-.12 Index (5,251) 31,000 5,673 8/17/61 (300 bp) — Monthly 407
CMBX NA BBB-.12 Index (3,466) 17,000 3,111 8/17/61 (300 bp) — Monthly (364)
CMBX NA BBB-.12 Index (1,092) 16,000 2,928 8/17/61 (300 bp) — Monthly 1,828
CMBX NA BBB-.13 Index (1,782) 35,000 6,955 12/16/72 (300 bp) — Monthly 5,155
CMBX NA BBB-.13 Index (1,765) 35,000 6,955 12/16/72 (300 bp) — Monthly 5,172
CMBX NA BBB-.13 Index (1,040) 19,000 3,775 12/16/72 (300 bp) — Monthly 2,726
CMBX NA BBB-.14 Index (12,332) 62,000 12,660 12/16/72 (300 bp) — Monthly 298
CMBX NA BBB-.14 Index (2,280) 14,000 2,859 12/16/72 (300 bp) — Monthly 572
CMBX NA BBB-.14 Index (1,634) 8,500 1,736 12/16/72 (300 bp) — Monthly 97
CMBX NA BBB-.6 Index (236,585) 906,880 203,776 5/11/63 300 bp — Monthly (33,272)
CMBX NA BBB-.8 Index (45,156) 289,000 49,997 10/17/57 (300 bp) — Monthly 4,696
CMBX NA BBB-.8 Index (22,800) 152,000 26,296 10/17/57 (300 bp) — Monthly 3,420
CMBX NA BBB-.8 Index (20,815) 133,000 23,009 10/17/57 (300 bp) — Monthly 2,128
CMBX NA BBB-.8 Index (16,373) 118,000 20,414 10/17/57 (300 bp) — Monthly 3,983
CMBX NA BBB-.8 Index (15,807) 100,000 17,300 10/17/57 (300 bp) — Monthly 1,443
CMBX NA BBB-.8 Index (15,869) 100,000 17,300 10/17/57 (300 bp) — Monthly 1,381
CMBX NA BBB-.8 Index (9,017) 63,000 10,899 10/17/57 (300 bp) — Monthly 1,851
CMBX NA BBB-.8 Index (8,186) 59,000 10,207 10/17/57 (300 bp) — Monthly 1,991
CMBX NA BBB-.8 Index (5,591) 42,000 7,266 10/17/57 (300 bp) — Monthly 1,654
Credit Suisse International
CMBX NA BB.10 Index (18,670) 157,000 52,250 11/17/59 (500 bp) — Monthly 33,449
CMBX NA BB.10 Index (20,948) 157,000 52,250 11/17/59 (500 bp) — Monthly 31,171
CMBX NA BB.10 Index (10,317) 83,000 27,622 11/17/59 (500 bp) — Monthly 17,236
CMBX NA BB.7 Index (76,651) 466,000 155,364 1/17/47 (500 bp) — Monthly 78,325
CMBX NA BB.7 Index (54,971) 298,000 99,353 1/17/47 (500 bp) — Monthly 44,134
Goldman Sachs International
CMBX NA BB.10 Index (23,983) 106,000 35,277 11/17/59 (500 bp) — Monthly 11,206
CMBX NA BB.7 Index (25,990) 128,000 42,675 1/17/47 (500 bp) — Monthly 16,578
CMBX NA BB.7 Index (16,712) 102,000 34,007 1/17/47 (500 bp) — Monthly 17,210
CMBX NA BB.7 Index (6,810) 45,000 15,003 1/17/47 (500 bp) — Monthly 8,156
CMBX NA BB.8 Index (4,206) 11,596 4,351 10/17/57 (500 bp) — Monthly 135
CMBX NA BB.9 Index (2,296) 22,000 7,179 9/17/58 (500 bp) — Monthly 4,864
CMBX NA BB.9 Index (319) 2,000 653 9/17/58 (500 bp) — Monthly 331
CMBX NA BBB-.10 Index (4,522) 29,000 5,394 11/17/59 (300 bp) — Monthly 857
CMBX NA BBB-.10 Index (5,468) 25,000 4,650 11/17/59 (300 bp) — Monthly (831)
CMBX NA BBB-.12 Index (4,289) 22,000 4,026 8/17/61 (300 bp) — Monthly (274)
CMBX NA BBB-.6 Index (65,673) 173,047 38,884 5/11/63 (300 bp) — Monthly (26,877)
CMBX NA BBB-.6 Index (2,201) 31,594 7,099 5/11/63 (300 bp) — Monthly 4,882
JPMorgan Securities LLC
CMBX NA BB.11 Index (85,971) 126,883 50,905 5/11/63 (500 bp) — Monthly (35,174)
CMBX NA BBB-.10 Index (28,875) 229,000 42,594 11/17/59 (300 bp) — Monthly 13,604
CMBX NA BBB-.11 Index (4,846) 44,000 7,190 11/18/54 (300 bp) — Monthly 2,321
CMBX NA BBB-.12 Index (2,403) 20,000 3,660 8/17/61 (300 bp) — Monthly 1,247
CMBX NA BBB-.7 Index (81,697) 348,000 70,540 1/17/47 (300 bp) — Monthly (11,332)
Merrill Lynch International
CMBX NA BB.10 Index (8,592) 151,000 50,253 11/17/59 (500 bp) — Monthly 41,535
CMBX NA BB.7 Index (20,471) 118,000 39,341 1/17/47 (500 bp) — Monthly 18,772
CMBX NA BBB-.10 Index (16,900) 78,000 14,508 11/17/59 (300 bp) — Monthly (2,431)
CMBX NA BBB-.7 Index (11,964) 146,000 29,594 1/17/47 (300 bp) — Monthly 17,557
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (20,938) 157,162 16,030 5/11/63 (200 bp) — Monthly (4,959)
CMBX NA A.6 Index (15,160) 98,698 10,067 5/11/63 (200 bp) — Monthly (5,126)
CMBX NA BB.10 Index (38,750) 165,000 54,912 11/17/59 (500 bp) — Monthly 16,024
CMBX NA BB.10 Index (25,211) 83,000 27,622 11/17/59 (500 bp) — Monthly 2,342
CMBX NA BB.10 Index (7,971) 76,000 25,293 11/17/59 (500 bp) — Monthly 17,259
CMBX NA BB.9 Index (3,165) 36,000 11,747 9/17/58 (500 bp) — Monthly 8,552
CMBX NA BB.9 Index (608) 10,000 3,263 9/17/58 (500 bp) — Monthly 2,647
CMBX NA BB.9 Index (615) 10,000 3,263 9/17/58 (500 bp) — Monthly 2,640
CMBX NA BB.9 Index (431) 7,000 2,284 9/17/58 (500 bp) — Monthly 1,847
CMBX NA BB.9 Index (201) 5,000 1,632 9/17/58 (500 bp) — Monthly 1,426
CMBX NA BBB-.10 Index (19,572) 226,000 42,036 11/17/59 (300 bp) — Monthly 22,351
CMBX NA BBB-.10 Index (22,448) 177,000 32,922 11/17/59 (300 bp) — Monthly 10,385
CMBX NA BBB-.10 Index (41,688) 171,000 31,806 11/17/59 (300 bp) — Monthly (9,968)
CMBX NA BBB-.10 Index (19,912) 157,000 29,202 11/17/59 (300 bp) — Monthly 9,212
CMBX NA BBB-.10 Index (8,884) 72,000 13,392 11/17/59 (300 bp) — Monthly 4,472
CMBX NA BBB-.10 Index (12,016) 69,000 12,834 11/17/59 (300 bp) — Monthly 783
CMBX NA BBB-.10 Index (8,987) 38,000 7,068 11/17/59 (300 bp) — Monthly (1,938)
CMBX NA BBB-.10 Index (4,584) 21,000 3,906 11/17/59 (300 bp) — Monthly (689)
CMBX NA BBB-.10 Index (4,362) 19,000 3,534 11/17/59 (300 bp) — Monthly (838)
CMBX NA BBB-.10 Index (2,602) 12,000 2,232 11/17/59 (300 bp) — Monthly (376)
CMBX NA BBB-.10 Index (2,379) 11,000 2,046 11/17/59 (300 bp) — Monthly (338)
CMBX NA BBB-.11 Index (20,805) 65,000 10,621 11/18/54 (300 bp) — Monthly (10,216)
CMBX NA BBB-.11 Index (18,990) 60,000 9,804 11/18/54 (300 bp) — Monthly (9,216)
CMBX NA BBB-.11 Index (16,964) 53,000 8,660 11/18/54 (300 bp) — Monthly (8,330)
CMBX NA BBB-.12 Index (53,096) 228,000 41,724 8/17/61 (300 bp) — Monthly (11,486)
CMBX NA BBB-.12 Index (2,350) 57,000 10,431 8/17/61 (300 bp) — Monthly 8,053
CMBX NA BBB-.12 Index (14,955) 45,000 8,235 8/17/61 (300 bp) — Monthly (6,743)
CMBX NA BBB-.12 Index (2,381) 43,000 7,869 8/17/61 (300 bp) — Monthly 5,466
CMBX NA BBB-.12 Index (6,678) 32,000 5,856 8/17/61 (300 bp) — Monthly (838)
CMBX NA BBB-.7 Index (22,314) 219,000 44,391 1/17/47 (300 bp) — Monthly 21,968
CMBX NA BBB-.8 Index (21,158) 156,000 26,988 10/17/57 (300 bp) — Monthly 5,753
CMBX NA BBB-.8 Index (21,255) 156,000 26,988 10/17/57 (300 bp) — Monthly 5,655
CMBX NA BBB-.8 Index (12,973) 102,000 17,646 10/17/57 (300 bp) — Monthly 4,622
CMBX NA BBB-.8 Index (10,784) 85,000 14,705 10/17/57 (300 bp) — Monthly 3,878
CMBX NA BBB-.8 Index (2,719) 19,000 3,287 10/17/57 (300 bp) — Monthly 558
Upfront premium received — Unrealized appreciation 688,553
Upfront premium (paid) (2,010,747) Unrealized (depreciation) (277,805)
Total $(2,010,747) Total $410,748
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
DAC Designated Activity Company
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.
GMTN Global Medium Term Notes
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
MTN Medium Term Notes
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
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 $158,362,210.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
12/31/21		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
9/30/22
Short-term investments
Putnam Short Term Investment Fund* $25,982,050 $60,511,080 $64,293,432 $139,135 $22,199,698
Total Short-term investments $25,982,050 $60,511,080 $64,293,432 $139,135 $22,199,698
* 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 $1,095,030.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $9,099,629.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,265,437.
(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 $1,124,757.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
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.
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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and to gain exposure to specific sectors.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to gain liquid exposure to individual names, to hedge market risk and to gain exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $7,318,515 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $9,099,629 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $1,948,808 $—
Collateralized loan obligations — 7,501,673 —
Corporate bonds and notes — 49,271,197 —
Mortgage-backed securities — 61,025,164 —
Purchased swap options outstanding — 850,258 —
U.S. government and agency mortgage obligations — 109,547,373 —
U.S. treasury obligations — 478,310 —
Short-term investments 923,000 35,764,543 —
Totals by level $923,000 $266,387,326 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $(1,700,021) $— $—
Written swap options outstanding — (7,143,628) —
Forward premium swap option contracts — (220,324) —
TBA sale commitments — (18,134,593) —
Interest rate swap contracts — (1,224,171) —
Credit default contracts — 774,933 —
Totals by level $(1,700,021) $(25,947,783) $—
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased swap option contracts (contract amount) $441,200,000
Written swap option contracts (contract amount) $391,400,000
Futures contracts (number of contracts) 800
Centrally cleared interest rate swap contracts (notional) $311,100,000
OTC credit default contracts (notional) $33,100,000
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