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


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (81.6%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (6.8%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $16,283 $16,558
5.00%, with due dates from 5/20/49 to 3/20/50 115,005 113,150
4.50%, TBA, 10/1/52 4,000,000 3,823,774
4.00%, TBA, 10/1/52 3,000,000 2,798,648
3.50%, with due dates from 9/20/49 to 11/20/49 154,486 140,976
3.00%, TBA, 10/1/52 3,000,000 2,648,174
9,541,280
U.S. Government Agency Mortgage Obligations (74.8%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 5/1/49 37,862 36,878
4.50%, 5/1/49 11,247 10,829
Uniform Mortgage-Backed Securities
5.50%, TBA, 10/1/52 18,000,000 17,885,437
5.00%, TBA, 10/1/52 53,000,000 51,567,331
4.50%, TBA, 10/1/52 22,000,000 20,930,932
3.50%, TBA, 10/1/52 5,000,000 4,496,093
3.00%, TBA, 10/1/52 3,000,000 2,608,125
2.50%, TBA, 10/1/52 5,000,000 4,195,703
2.00%, TBA, 10/1/52 5,000,000 4,045,782
105,777,110
Total U.S. government and agency mortgage obligations (cost $118,942,279) $115,318,390








U.S. TREASURY OBLIGATIONS (0.2%)(a)
        Principal amount Value
U.S. Treasury Bonds 3.00%, 5/15/45(i) $126,000 $106,575
U.S. Treasury Notes
1.75%, 11/15/29(i) 144,000 126,050
0.25%, 5/31/25(i) 127,000 114,313
Total U.S. treasury obligations (cost $346,938) $346,938








MORTGAGE-BACKED SECURITIES (40.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (19.5%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 5007, Class IC, IO, 5.00%, 8/25/50 $2,376,813 $519,760
REMICs Ser. 4991, Class IE, IO, 5.00%, 7/25/50 5,726,489 1,259,827
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 284,250 55,997
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51 3,460,738 775,184
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 2,594,772 462,612
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50 2,273,341 468,786
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 1,944,344 415,432
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 2,317,725 515,192
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 2,789,667 594,459
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 369,859 71,622
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 183,123 27,468
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 333,326 36,417
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 3,489,312 629,210
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 241,896 43,086
REMICs Ser. 4425, IO, 4.00%, 1/15/45 810,721 126,197
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 714,023 146,397
REMICs Ser. 4403, Class CI, IO, 4.00%, 10/15/44 236,179 44,531
REMICs Ser. 4000, Class LI, IO, 4.00%, 2/15/42 162,062 22,057
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 506,570 71,097
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 413,788 52,410
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 288,327 24,126
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 222,268 9,322
REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.382%, 12/15/47 545,315 60,312
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.282%, 8/15/56 1,909,315 233,815
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.282%, 4/15/47 479,314 58,469
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 3.166%, 9/25/50 2,494,691 299,363
REMICs IFB Ser. 5004, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 8/25/50 3,545,907 415,828
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 7/25/50 2,456,495 282,068
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 108,453 1,498
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 1/25/50 1,930,705 181,167
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.399%, 7/25/43(WAC) 582,072 5,821
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 667,888 121,381
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 54,161 9,175
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 1,079,428 182,704
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 162,057 23,917
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51 4,802,363 1,031,832
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 1,982,339 436,115
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 2,602,374 482,096
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 123,935 24,922
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 180,565 12,905
REMICs Ser. 15-83, IO, 4.00%, 10/25/43 764,998 116,700
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 421,107 60,105
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 310,000 40,399
REMICs IFB Ser. 13-90, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 3.516%, 9/25/43 790,431 90,033
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 3.316%, 4/25/40 289,592 32,609
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 3.166%, 3/25/48 1,498,458 145,350
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.116%, 6/25/48 1,924,243 205,205
REMICs IFB Ser. 15-42, Class LS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.116%, 6/25/45 1,598,705 101,508
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.066%, 5/25/47 2,975,802 282,701
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 12/25/46 1,198,532 96,706
REMICs Ser. 22-1, Class GI, IO, 3.00%, 2/25/52 4,972,258 631,825
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 58,838 190
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 3/25/50 1,475,939 151,284
REMICs IFB Ser. 19-57, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 10/25/49 2,896,529 308,953
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 8/25/49 1,278,227 106,370
REMICs Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 2.866%, 2/25/43 733,533 80,188
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 436,951 2,840
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 346,480 69,985
Ser. 16-42, IO, 5.00%, 2/20/46 546,462 106,042
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 334,868 50,130
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 984,519 195,476
Ser. 14-76, IO, 5.00%, 5/20/44 297,348 60,761
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 318,053 68,445
Ser. 12-146, IO, 5.00%, 12/20/42 499,672 101,318
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 162,446 33,635
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 244,355 50,903
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 1,081,115 230,753
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 617,890 129,757
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 954,570 194,237
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 200,514 40,427
Ser. 20-61, IO, 4.50%, 5/20/50 4,991,625 992,329
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,290,206 244,488
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 481,268 84,749
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 710,530 123,570
Ser. 13-183, Class JI, IO, 4.50%, 2/16/43 134,419 9,719
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 55,770 3,320
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 394,391 79,315
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 453,982 80,824
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 456,819 87,945
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 485,369 79,836
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 230,209 43,740
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 291,932 53,858
Ser. 20-78, Class DI, IO, 4.00%, 6/20/50 3,435,403 648,367
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 1,226,660 209,060
Ser. 15-79, Class CI, IO, 4.00%, 5/20/45 847,828 148,612
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 426,442 52,887
Ser. 17-63, Class PI, IO, 4.00%, 12/20/43 215,418 9,629
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 285,010 45,517
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 834,516 80,176
Ser. 21-156, IO, 3.50%, 7/20/51 3,583,845 628,445
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 2,850,594 515,030
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 5,057,771 834,532
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 343,436 41,841
Ser. 13-76, IO, 3.50%, 5/20/43 582,836 78,182
Ser. 13-28, IO, 3.50%, 2/20/43 162,347 17,796
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 232,975 25,455
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 394,431 44,728
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 168,157 19,969
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 609,306 100,760
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 767,340 120,106
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 883,952 143,123
IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 3.286%, 6/20/51 2,009,831 233,643
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 3.286%, 5/20/51 2,835,869 330,278
IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 3.286%, 4/20/51 2,260,066 244,214
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 3.286%, 9/20/50 2,579,881 323,881
FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.261%, 11/20/47 2,979,027 427,724
IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 3.166%, 4/20/44 1,524,069 162,603
IFB Ser. 13-99, Class VS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.161%, 7/16/43 169,170 10,560
IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 7/20/50 2,461,507 336,534
IFB Ser. 18-139, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 10/20/48 1,373,624 114,857
IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 9/20/43 271,349 20,446
IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 4/20/50 2,567,961 301,181
IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 8/20/49 4,260,577 397,938
IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 7/20/49 1,815,138 157,754
IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 7/20/49 2,764,352 253,849
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 2/20/50 182,364 13,592
IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 1/20/50 1,334,158 135,742
IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 12/20/49 1,156,532 112,028
IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 8/20/49 84,115 7,731
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 6/20/49 86,444 6,843
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 3,294,214 475,619
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 2,726,258 430,204
Ser. 20-36, Class MI, IO, 3.00%, 3/20/50 1,296,699 194,579
IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 2.986%, 8/20/43 2,164,043 185,350
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 2.586%, 8/20/44 667,601 55,404
Ser. 17-H02, Class BI, IO, 2.432%, 1/20/67(WAC) 1,673,872 58,606
Ser. 17-H06, Class BI, IO, 2.362%, 2/20/67(WAC) 1,745,062 96,350
Ser. 18-H03, Class XI, IO, 2.195%, 2/20/68(WAC) 1,946,225 83,493
Ser. 16-H17, Class KI, IO, 2.055%, 7/20/66(WAC) 958,663 38,553
Ser. 16-H03, Class DI, IO, 2.031%, 12/20/65(WAC) 2,073,731 98,431
Ser. 17-H08, Class NI, IO, 2.02%, 3/20/67(WAC) 2,277,718 79,037
Ser. 15-H24, Class AI, IO, 1.859%, 9/20/65(WAC) 1,948,684 54,941
Ser. 18-H05, Class BI, IO, 1.803%, 2/20/68(WAC) 2,044,880 141,864
Ser. 18-H05, Class AI, IO, 1.796%, 2/20/68(WAC) 1,742,927 120,916
Ser. 17-H09, IO, 1.766%, 4/20/67(WAC) 2,232,918 71,576
Ser. 15-H25, Class EI, IO, 1.708%, 10/20/65(WAC) 1,643,420 75,269
Ser. 17-H10, Class MI, IO, 1.695%, 4/20/67(WAC) 3,008,684 92,667
Ser. 16-H16, Class EI, IO, 1.667%, 6/20/66(WAC) 1,570,902 73,989
FRB Ser. 15-H08, Class CI, IO, 1.635%, 3/20/65(WAC) 1,143,443 49,397
Ser. 15-H23, Class BI, IO, 1.591%, 9/20/65(WAC) 2,275,851 90,806
Ser. 17-H11, Class DI, IO, 1.558%, 5/20/67(WAC) 1,507,376 80,832
Ser. 16-H06, Class DI, IO, 1.531%, 7/20/65(WAC) 3,189,557 64,461
Ser. 16-H24, Class CI, IO, 1.53%, 10/20/66(WAC) 1,588,634 70,694
Ser. 16-H14, IO, 1.51%, 6/20/66(WAC) 1,188,318 41,794
Ser. 15-H25, Class AI, IO, 1.447%, 9/20/65(WAC) 3,454,440 130,232
Ser. 13-H08, Class CI, IO, 1.422%, 2/20/63(WAC) 1,814,807 55,715
Ser. 14-H21, Class BI, IO, 1.373%, 10/20/64(WAC) 2,015,051 67,706
Ser. 17-H12, Class QI, IO, 1.363%, 5/20/67(WAC) 1,686,871 66,881
Ser. 17-H11, Class TI, IO, 1.252%, 4/20/67(WAC) 1,315,152 85,353
Ser. 16-H23, Class NI, IO, 1.178%, 10/20/66(WAC) 5,821,233 195,011
Ser. 16-H24, Class JI, IO, 0.962%, 11/20/66(WAC) 1,868,833 89,125
Ser. 15-H10, Class BI, IO, 0.934%, 4/20/65(WAC) 1,422,590 55,623
Ser. 16-H09, Class BI, IO, 0.902%, 4/20/66(WAC) 2,889,554 136,387
Ser. 16-H22, Class AI, IO, 0.613%, 10/20/66(WAC) 1,942,818 67,062
Ser. 17-H16, Class JI, IO, 0.377%, 8/20/67(WAC) 2,401,855 125,962
Ser. 16-H10, Class AI, IO, 0.268%, 4/20/66(WAC) 3,204,013 68,595
Ser. 17-H16, Class IB, IO, 0.211%, 8/20/67(WAC) 2,043,715 69,411
Ser. 16-H03, Class AI, IO, 0.125%, 1/20/66(WAC) 1,514,809 45,557
Ser. 16-H06, Class CI, IO, 0.092%, 2/20/66(WAC) 3,308,082 52,433
Ser. 17-H16, Class IG, IO, 0.006%, 7/20/67(WAC) 2,276,110 65,677
Ser. 16-H02, Class HI, IO, 0.002%, 1/20/66(WAC) 2,303,051 52,510
27,512,790
Commercial mortgage-backed securities (10.2%)
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54 261,000 150,798
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 9,379 9,285
Benchmark Mortgage Trust 144A FRB Ser. 18-B3, Class D, 3.187%, 4/10/51(WAC) 261,000 191,151
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44(WAC) 420,000 290,011
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.699%, 2/10/50(WAC) 174,000 152,862
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50 460,000 325,936
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 822,000 818,383
FRB Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) 326,000 275,462
Citigroup Commercial Mortgage Trust Ser. 13-GC11, Class C, 4.134%, 4/10/46(WAC) 246,000 253,803
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 5.081%, 4/10/47(WAC) 283,000 268,187
Ser. 12-LC4, Class B, 4.934%, 12/10/44(WAC) 177,355 177,050
COMM Mortgage Trust 144A
FRB Ser. 14-UBS3, Class D, 4.926%, 6/10/47(WAC) 116,000 104,862
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 700,000 295,962
FRB Ser. 13-CR9, Class D, 4.433%, 7/10/45(WAC) 289,000 242,317
FRB Ser. 15-LC19, Class E, 4.356%, 2/10/48(WAC) 257,000 215,248
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 5.989%, 9/15/35 158,000 157,259
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.901%, 4/15/50(WAC) 307,000 205,609
GS Mortgage Securities Corp., II 144A
FRB Ser. 13-GC10, Class D, 4.541%, 2/10/46(WAC) 237,000 230,493
Ser. 13-GC10, Class C, 4.285%, 2/10/46(WAC) 195,000 192,826
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 265,000 242,895
GS Mortgage Securities Trust 144A
FRB Ser. 12-GCJ7, Class D, 5.431%, 5/10/45(WAC) 109,104 98,193
FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47(WAC) 599,000 421,159
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.947%, 2/15/47(WAC) 787,000 516,025
FRB Ser. C14, Class D, 4.699%, 8/15/46(WAC) 350,000 207,084
FRB Ser. 14-C18, Class E, 4.447%, 2/15/47(WAC) 381,000 189,712
FRB Ser. 14-C25, Class D, 4.084%, 11/15/47(WAC) 194,000 127,140
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 656,000 376,785
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 291,000 230,179
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.303%, 4/15/46(WAC) 408,000 318,796
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.709%, 2/15/46(WAC) 401,000 72,308
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 715,000 512,282
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) 11,396 —
Morgan Stanley Bank of America Merrill Lynch Trust Ser. 12-C6, Class C, 4.536%, 11/15/45(WAC) 232,000 220,762
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class D, 4.495%, 8/15/46(WAC) 750,000 52,714
FRB Ser. 15-C23, Class D, 4.281%, 7/15/50(WAC) 347,000 299,199
FRB Ser. 13-C10, Class D, 4.206%, 7/15/46(WAC) 478,000 330,856
Ser. 14-C17, Class E, 3.50%, 8/15/47 369,000 256,565
Ser. 14-C19, Class D, 3.25%, 12/15/47 240,000 207,174
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 92,521 85,931
FRB Ser. 18-H3, Class C, 5.025%, 7/15/51(WAC) 178,000 158,658
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 6.834%, 3/25/50 577,000 539,024
FRB Ser. 19-01, Class M10, 6.334%, 10/25/49 343,393 325,606
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 5.531%, 6/25/37 376,292 371,151
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 6.268%, 1/19/37 217,000 215,373
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 472,775 5
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 490,000 5
Wells Fargo Commercial Mortgage Trust
FRB Ser. 16-NXS5, Class D, 5.148%, 1/15/59(WAC) 272,000 234,003
FRB Ser. 15-C29, Class D, 4.359%, 6/15/48(WAC) 213,000 183,514
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.432%, 7/15/46(WAC) 513,000 202,402
Ser. 14-LC16, Class D, 3.938%, 8/15/50 828,000 125,333
Ser. 16-C33, Class D, 3.123%, 3/15/59 492,000 402,893
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 13-UBS1, Class D, 5.203%, 3/15/46(WAC) 160,000 154,941
FRB Ser. 13-UBS1, Class E, 5.203%, 3/15/46(WAC) 192,000 184,193
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 1,331,000 703,167
FRB Ser. 12-C7, Class E, 4.814%, 6/15/45(WAC) 875,000 115,503
FRB Ser. 13-C15, Class D, 4.671%, 8/15/46(WAC) 1,231,000 741,652
FRB Ser. 12-C10, Class D, 4.534%, 12/15/45(WAC) 694,000 518,948
Ser. 12-C7, Class F, 4.50%, 6/15/45 (In default)(NON)(WAC) 2,611,277 26
14,499,660
Residential mortgage-backed securities (non-agency) (10.8%)
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 3.366%, 11/27/36(WAC) 275,869 220,695
Bear Stearns Alt-A Trust FRB Ser. 05-8, Class 21A1, 3.339%, 10/25/35(WAC) 162,623 137,089
Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class B1, (ICE LIBOR USD 1 Month + 4.75%), 7.834%, 10/25/27 (Bermuda) 220,000 222,955
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 3.264%, 11/25/47 115,431 100,549
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 3.434%, 3/25/37 540,385 472,339
Countrywide Alternative Loan Trust
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 3.674%, 11/20/35 166,753 147,255
FRB Ser. 05-65CB, Class 2A1, (ICE LIBOR USD 1 Month + 0.43%), 3.509%, 12/25/35 321,162 226,276
FRB Ser. 06-OA10, Class 2A1, (ICE LIBOR USD 1 Month + 0.38%), 3.464%, 8/25/46 136,109 110,491
FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 3.464%, 8/25/46 191,602 165,134
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 3.464%, 8/25/46 928,350 768,471
FRB Ser. 07-OH1, Class A1D, (ICE LIBOR USD 1 Month + 0.21%), 3.294%, 4/25/47 87,630 71,232
FRB Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 2.604%, 9/25/35 272,478 239,637
FRB Ser. 06-OA7, Class 1A1, 2.481%, 6/25/46(WAC) 593,109 534,628
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.044%, 6/25/46 181,020 156,928
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 13.084%, 7/25/28 1,021,803 1,123,560
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 12.434%, 4/25/28 517,915 534,423
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 11.884%, 3/25/28 323,714 325,875
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 10.634%, 12/25/27 407,389 419,350
Structured Agency Credit Risk Debt FRN Ser. 14-DN1, Class M3, (ICE LIBOR USD 1 Month + 4.50%), 7.584%, 2/25/24 147,514 147,865
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 14.084%, 10/25/48 333,000 366,759
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 13.584%, 3/25/49 152,000 159,468
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 13.084%, 8/25/50 135,000 151,681
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA3, Class B2, (ICE LIBOR USD 1 Month + 9.35%), 12.434%, 6/25/50 237,000 260,235
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 10.834%, 9/25/48 389,000 379,761
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 7.334%, 10/25/48 163,000 168,145
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 6.184%, 3/25/50 90,746 91,971
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 253,000 217,791
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 15.334%, 9/25/28 967,810 1,079,548
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 14.834%, 10/25/28 496,284 537,678
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 14.834%, 8/25/28 270,932 297,083
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 13.834%, 1/25/29 89,646 94,858
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 8.784%, 4/25/28 469,120 485,716
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 8.634%, 4/25/28 55,773 57,652
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 8.584%, 9/25/29 242,000 256,018
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 7.934%, 10/25/29 407,000 423,850
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 7.584%, 12/25/30 451,000 463,860
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 7.534%, 5/25/30 22,000 22,555
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 7.534%, 2/25/30 30,000 30,984
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (ICE LIBOR USD 1 Month + 4.25%), 7.334%, 1/25/31 317,000 323,874
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 7.084%, 5/25/25 6,812 6,929
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (ICE LIBOR USD 1 Month + 3.55%), 6.634%, 7/25/30 120,000 119,550
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2M2, (ICE LIBOR USD 1 Month + 2.85%), 5.934%, 11/25/29 160,707 160,706
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 7.184%, 9/25/31 505,000 502,082
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 6.781%, 1/25/42 148,000 130,703
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 6.734%, 2/25/40 276,000 273,366
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 6.334%, 1/25/40 155,000 145,910
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (ICE LIBOR USD 1 Month + 0.36%), 3.444%, 5/25/36 509,705 140,286
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 3.394%, 5/25/37 131,051 96,641
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 3.513%, 5/19/35 173,622 61,438
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 3.484%, 6/25/37 214,534 93,433
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 2.312%, 2/26/37 163,825 140,221
MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 3.879%, 8/25/35 43,351 40,518
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO10, Class A1, (ICE LIBOR USD 1 Month + 0.16%), 3.404%, 1/25/37 223,514 193,943
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (ICE LIBOR USD 1 Month + 0.18%), 3.264%, 1/25/37 216,328 188,615
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 202,000 182,637
WaMu Asset-Backed Certificates Trust FRB Ser. 07-HE4, Class 1A, (ICE LIBOR USD 1 Month + 0.17%), 3.254%, 7/25/47 122,914 96,295
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR17, Class A1B3, (ICE LIBOR USD 1 Month + 0.70%), 3.784%, 12/25/45 337,048 298,048
Washington Mutual Asset-Backed Certificates Trust FRB Ser. 06-HE2, Class A3, (ICE LIBOR USD 1 Month + 0.30%), 3.384%, 5/25/36 420,477 335,115
15,200,675
Total mortgage-backed securities (cost $67,990,612) $57,213,125








CORPORATE BONDS AND NOTES (16.2%)(a)
        Principal amount Value
Basic materials (1.3%)
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 $15,000 $13,844
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 34,000 30,932
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 76,000 69,949
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 40,000 33,228
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 25,000 22,206
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 60,000 46,028
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 95,000 83,569
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 75,000 69,902
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 30,000 28,392
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 410,000 334,150
Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) EUR 150,000 105,422
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) $50,000 43,811
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) 50,000 45,023
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 240,000 200,232
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 100,000 61,845
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 $95,000 71,250
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 30,000 28,500
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 15,000 11,953
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 15,000 11,189
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 21,000 17,220
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 66,000 55,092
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 90,000 77,400
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) 55,000 32,450
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 245,000 238,263
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 51,000 43,841
1,775,691
Capital goods (1.0%)
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 75,000 69,000
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 58,000 56,795
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 80,000 64,661
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 15,000 12,600
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) 20,000 16,670
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 120,000 98,035
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 30,000 24,096
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 20,000 16,870
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 95,000 78,613
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 20,000 18,713
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 210,000 176,318
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 181,000 176,891
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 403,000 350,489
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 100,000 80,831
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 65,000 52,327
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 96,000 77,280
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 111,000 111,061
1,481,250
Communication services (1.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 70,000 53,387
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 382,000 334,372
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 50,000 40,563
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 50,000 39,542
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 38,000 29,148
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 46,000 42,550
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 200,000 174,500
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 200,000 142,153
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 74,000 63,796
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 105,000 93,713
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 24,000 18,138
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 30,000 24,577
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 75,000 67,217
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 560,000 429,800
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 71,000 58,758
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 106,000 108,915
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 105,000 108,605
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 93,000 93,950
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 40,000 35,481
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 55,000 50,756
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 65,000 52,380
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 16,000 15,722
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 45,000 37,154
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 116,000 109,505
Ziggo BV company guaranty sr. bonds Ser. REGS, 2.875%, 1/15/30 (Netherlands) EUR 150,000 107,683
2,332,365
Consumer cyclicals (2.5%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 $55,000 45,650
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 45,000 39,365
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 45,000 35,213
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 12,000 12,420
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 45,000 39,150
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 60,000 46,519
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 45,000 39,825
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 235,000 226,752
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 15,000 12,363
Carnival Corp. 144A notes 10.50%, 2/1/26 36,000 35,619
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 90,000 63,050
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 38,000 33,155
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 20,000 20,219
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 90,000 21,681
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 50,000 12,250
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 200,000 156,000
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 95,000 85,512
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 110,000 89,925
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 15,000 12,488
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 90,000 85,815
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 92,864
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 $47,000 36,660
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 35,000 30,959
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 50,000 38,225
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 70,000 58,856
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 20,000 17,849
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 80,000 66,801
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 70,000 58,344
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 8,000 7,020
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 75,000 63,665
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 35,000 34,845
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 45,000 37,808
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 15,000 14,780
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 232,000 222,119
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 141,000 102,225
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 17,000 15,502
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 195,000 151,211
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 100,000 85,058
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 50,000 39,774
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 35,000 24,616
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 375,000 331,841
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 8,449
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 95,000 77,973
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 90,000 83,253
Techem Verwaltungsgesell notes Ser. REGS, 2.00%, 7/15/25 (Germany) EUR 310,000 265,535
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 $13,000 10,601
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 19,000 18,050
Verisure Holding AB company guaranty sr. notes Ser. REGS, 3.25%, 2/15/27 (Sweden) EUR 300,000 238,455
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 $40,000 30,000
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 56,000 49,291
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 97,000 78,395
3,503,995
Consumer staples (1.4%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) 80,000 69,200
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 30,000 25,380
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 320,000 257,920
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 15,000 12,181
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 320,000 288,000
Hertz Corp. (The) 144A company guaranty sr. unsec. notes 4.625%, 12/1/26 110,000 89,360
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 70,000 63,499
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 70,000 59,238
Loxam SAS company guaranty sr. notes Ser. REGS, 4.25%, 4/15/24 (France) EUR 300,000 282,584
Loxam SAS notes 3.75%, 7/15/26 (France) EUR 250,000 206,793
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 $28,000 24,990
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 25,000 18,875
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 20,000 16,425
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 50,000 43,688
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 115,000 99,402
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 $30,000 28,077
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 164,000 160,028
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 85,000 78,200
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 20,000 17,733
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 45,000 35,964
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 45,000 39,326
1,916,863
Energy (4.5%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 55,000 55,275
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 327,000 263,976
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 32,000 27,910
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 201,000 175,977
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 465,000 409,381
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 75,000 62,886
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 5,000 3,839
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 45,000 42,750
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 76,000 68,208
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 75,000 67,789
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 165,000 152,217
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 470,000 447,026
Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23 69,000 68,310
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 41,000 38,335
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 10,000 9,330
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 90,000 78,807
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 25,000 20,188
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 282,000 267,690
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 144,000 126,863
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 165,000 151,084
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 56,689 56,412
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 93,000 89,978
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 555,000 555,000
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 20,000 20,061
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 160,000 166,677
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 60,000 58,722
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 285,000 282,150
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 432,000 434,160
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 246,000 223,614
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 35,000 34,738
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 1,293,000 907,201
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 151,000 132,212
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 150,000 144,375
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 12,000 11,404
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 125,000 120,000
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 147,000 123,201
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 278,000 250,492
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 185,000 167,758
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 25,760 24,021
6,340,017
Financials (1.9%)
Aedas Homes Opco SLU company guaranty sr. notes Ser. REGS, 4.00%, 8/15/26 (Spain) EUR 150,000 125,140
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 $25,000 21,354
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 100,000 83,680
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 $155,000 108,113
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) 200,000 183,750
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 110,000 90,886
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 45,000 39,375
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) 30,000 28,125
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) 55,000 48,813
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 87,000 81,305
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 20,000 17,510
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 113,000 90,951
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) 75,000 75,473
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) 120,000 118,344
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 980,000 837,753
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) 124,000 92,833
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) 20,000 18,400
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 95,000 76,950
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 170,000 124,674
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 77,000 60,464
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 50,000 45,070
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 122,000 94,550
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 90,000 76,946
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 85,000 73,656
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 6.50%, perpetual maturity (Netherlands) EUR 94,525 84,765
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) (In default)(NON)(F) $300,000 —
2,698,880
Health care (1.0%)
1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada) 10,723 10,643
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 44,000 30,360
Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 19,064 15,346
Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 3,813 2,078
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 265,000 209,864
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 45,000 36,225
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 45,000 36,900
Chrome Bidco SASU company guaranty sr. notes Ser. REGS, 3.50%, 5/31/28 (France) EUR 150,000 117,409
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 $110,000 95,237
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 215,000 189,800
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 172,750
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 20,000 16,900
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 50,000 39,256
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 130,000 118,141
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 35,000 27,373
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 35,000 28,147
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 23,000 22,241
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 110,000 98,702
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 102,000 94,786
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 45,000 37,271
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 70,000 64,120
1,463,549
Technology (0.6%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 30,000 23,400
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 40,000 38,028
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 201,000 168,840
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 106,000 89,427
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 85,000 71,800
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 110,000 81,400
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 84,000 66,885
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 50,000 39,249
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 95,000 76,713
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 178,000 145,237
800,979
Transportation (—%)
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 35,000 28,960
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 35,000 31,238
60,198
Utilities and power (0.3%)
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 43,000 31,852
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 24,000 20,932
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 35,000 29,750
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 22,000 20,738
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 75,000 66,074
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 13,000 9,490
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 175,000 136,508
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 118,000 103,250
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 46,000 40,581
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 40,000 34,084
493,259
Total corporate bonds and notes (cost $27,370,783) $22,867,046








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.8%)(a)
        Principal amount Value
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) $1,590,000 $1,208,400
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Cote d'lvoire) 520,364 444,912
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d'lvoire) EUR 250,000 179,222
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) $275,000 247,844
Cote d'lvoire (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Cote d'lvoire) EUR 245,000 175,155
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) $260,000 248,625
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 185,000 139,213
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 360,000 365,850
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 365,000 356,788
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 205,000 191,163
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) 270,000 262,238
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) 250,000 196,467
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) 290,000 166,754
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 880,000 612,688
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) 1,130,000 589,013
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) 850,000 337,875
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) 1,285,000 1,093,842
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) 1,045,000 980,138
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 133,000 137,990
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 220,000 210,376
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 200,000 155,998
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 840,000 628,950
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 1,310,000 786,461
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) 910,000 697,682
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 600,000 592,728
Total foreign government and agency bonds and notes (cost $13,751,693) $11,006,372








CONVERTIBLE BONDS AND NOTES (3.9%)(a)
        Principal amount Value
Capital goods (0.1%)
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 $68,000 $56,236
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 35,000 39,918
96,154
Communication services (0.3%)
Cable One, Inc. company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 57,000 41,040
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 142,000 97,696
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 30,000 35,925
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 61,000 63,135
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 151,000 136,127
373,923
Consumer cyclicals (0.6%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 52,000 42,510
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 80,000 57,200
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 36,000 28,098
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 68,000 81,688
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 42,000 39,900
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 67,000 43,244
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 81,000 70,060
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 113,000 103,339
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 78,000 55,497
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 30,000 37,089
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 30,000 29,445
NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 65,000 42,575
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 82,000 86,387
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 76,000 67,070
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 101,000 87,933
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 30,000 31,369
903,404
Consumer staples (0.4%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 115,000 95,220
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 54,000 43,470
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 55,000 42,522
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 63,000 47,501
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 148,000 114,108
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 40,000 34,100
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 60,000 39,788
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 76,000 63,073
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 60,000 43,878
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 72,000 48,240
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 36,000 32,724
604,624
Energy (0.2%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 76,000 90,212
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 24,000 51,984
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25, (Israel) 42,000 45,717
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 83,000 78,954
266,867
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 48,000 47,342
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 65,000 44,166
91,508
Health care (0.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 54,000 53,627
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 31,000 26,660
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 71,000 65,409
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 112,000 70,840
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 37,000 26,925
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 122,000 103,243
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 47,000 55,390
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 42,000 42,656
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 94,000 88,654
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 35,000 49,105
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25 35,000 37,135
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 78,000 76,538
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 44,000 39,578
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 58,000 42,415
778,175
Technology (1.4%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 47,000 32,383
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 143,000 133,062
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 61,000 61,976
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 75,000 56,513
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 73,000 56,977
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 38,000 30,742
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 52,000 57,252
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 57,000 45,971
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 114,000 87,609
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 51,000 58,013
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 27,000 32,063
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 47,000 34,075
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 57,000 48,425
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 39,000 35,373
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 62,000 55,614
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 47,000 46,308
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 112,000 104,440
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 22,000 25,652
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 98,000 76,097
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 52,000 68,562
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 45,000 76,050
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 58,000 46,618
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 28,000 20,720
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 52,000 39,450
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 74,000 62,253
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 49,000 58,006
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 78,000 53,781
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 121,000 95,200
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 56,000 43,960
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 53,000 48,517
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 34,000 32,130
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 76,000 55,100
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 40,000 44,740
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28 61,000 63,959
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 68,000 62,798
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 36,000 45,846
1,996,235
Transportation (0.1%)
American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 60,000 60,510
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 61,000 43,310
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 96,000 109,584
213,404
Utilities and power (0.1%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 87,000 86,822
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 75,000 79,838
166,660
Total convertible bonds and notes (cost $6,581,245) $5,490,954








SENIOR LOANS (1.1%)(a)(c)
        Principal amount Value
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 7.46%, 4/20/28 $45,000 $43,515
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 6.784%, 10/19/27 73,692 68,810
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 6.365%, 7/31/27 24,687 20,774
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 6.952%, 6/21/24 157,375 136,582
Cengage Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 7.814%, 6/29/26 143,550 129,621
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 6.306%, 8/21/26 167,643 149,254
Cornerstone Building Brands, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 3.25%), 6.068%, 4/12/28 76 67
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 7.424%, 5/27/28 79,000 76,103
Diamond Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 5.946%, 8/24/26 77,614 14,802
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 8.115%, 7/22/27 59,150 54,958
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 4.314%, 2/4/27 50,709 48,142
Envision Healthcare Corp. bank term loan FRN (US SOFR Compounded Index + 4.25%), 6.83%, 3/31/27 22,734 9,889
Envision Healthcare Corp. bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 6.325%, 3/31/27 55,666 14,288
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME Term SOFR 3 Month Plus CSA + 4.00%), 7.034%, 1/12/29 125 116
Filtration Group Corp. bank term loan FRN (ICE LIBOR USD 1 Month + 3.50%), 6.621%, 10/19/28 9,900 9,376
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 6.814%, 10/2/25 191,588 165,627
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 7.115%, 12/1/27 73,875 70,155
IRB Holding Corp. bank term loan FRN Ser. B, (CME Term SOFR 3 Month Plus CSA + 3.00%), 6.208%, 12/15/27 88 82
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.259%, 2/4/26 19,633 16,590
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 7.752%, 4/22/27 54,897 40,075
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.87%, 1/29/28 44,887 42,381
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 9.32%, 8/31/29 45,000 43,144
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 11.125%, 2/28/26 55,000 33,000
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 7.365%, 11/28/25 49,375 47,184
Southwestern Energy Co. bank term loan FRN Ser. B, (CME Term SOFR 3 Month Plus CSA + 2.50%), 6.203%, 6/8/27 54,588 53,700
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 6.078%, 5/3/26 94,031 88,584
Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 6.615%, 12/17/26 98,338 91,865
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.533%, 4/21/28 93,575 89,143
Werner Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 7.674%, 7/24/24 30,217 27,196
Total senior loans (cost $1,796,785) $1,585,023








ASSET-BACKED SECURITIES (0.9%)(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 $494,632 $493,396
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 6.334%, 11/25/55 469,000 437,488
FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 5.084%, 11/25/55 350,000 326,669
Total asset-backed securities (cost $1,265,206) $1,257,553








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 $15,045,100 $2,407
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-ICE/Feb-73 Feb-48/3.00 2,490,200 239,159
3.00/3 month USD-LIBOR-ICE/Apr-72 Apr-47/3.00 2,490,200 229,397
2.75/3 month USD-LIBOR-ICE/May-73 May-48/2.75 2,490,200 209,102
Total purchased swap options outstanding (cost $892,931) $680,065








PURCHASED OPTIONS OUTSTANDING (—%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Call) Oct-22/$101.00 $24,324,213 $25,000,000 $25
Total purchased options outstanding (cost $140,625) $25








COMMON STOCKS (—%)(a)
        Shares Value
Chord Energy Corp. 313 $42,809
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 10,369 12,961
Total common stocks (cost $33,888) $55,770








SHORT-TERM INVESTMENTS (36.5%)(a)
        Principal amount/
shares		 Value
Credit Agricole Corporate & Investment Bank/New York commercial paper 3.702%, 12/20/22 (France) $1,000,000 $992,060
Putnam Short Term Investment Fund Class P 3.11%(AFF) Shares 33,025,353 33,025,353
Societe Generale SA commercial paper 3.148%, 12/9/22 (France) $1,250,000 1,241,906
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.94%(P) Shares 802,000 802,000
Sumitomo Mitsui Trust Bank, Ltd./Singapore commercial paper 2.840%, 10/18/22 (Singapore) $800,000 798,772
U.S. Treasury Bills 2.909%, 11/22/22(SEGSF)(SEGCCS) 3,100,000 3,087,369
U.S. Treasury Bills 2.820%, 11/25/22(SEGSF)(SEGCCS)(SEGTBA) 2,600,000 2,589,230
U.S. Treasury Bills 2.809%, 11/15/22(SEGSF)(SEGCCS) 2,000,000 1,993,233
U.S. Treasury Bills 2.803%, 11/8/22(SEG)(SEGSF)(SEGCCS) 1,600,000 1,595,666
U.S. Treasury Bills 2.698%, 11/1/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) 2,300,000 2,295,055
U.S. Treasury Bills 2.617%, 10/25/22(SEGSF)(SEGCCS)(SEGTBA) 1,000,000 998,451
U.S. Treasury Bills 2.524%, 10/18/22(SEGSF)(SEGCCS)(SEGTBA) 2,200,000 2,197,680
Total short-term investments (cost $51,615,793) $51,616,775
TOTAL INVESTMENTS
Total investments (cost $290,728,778) $267,438,036








FORWARD CURRENCY CONTRACTS at 9/30/22 (aggregate face value $20,608,748) (Unaudited)
  Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
New Zealand Dollar Sell 10/19/22 $3,750 $4,123 $373
Swedish Krona Sell 12/21/22 82,350 87,088 4,738
Barclays Bank PLC
Canadian Dollar Sell 10/19/22 49,008 52,360 3,352
Swiss Franc Buy 12/21/22 42,909 44,052 (1,143)
Goldman Sachs International
Polish Zloty Buy 12/21/22 172,218 184,250 (12,032)
Swiss Franc Buy 12/21/22 1,448,903 1,486,965 (38,062)
HSBC Bank USA, National Association
Australian Dollar Sell 10/19/22 47,917 51,621 3,704
British Pound Sell 12/21/22 721,356 747,876 26,520
Canadian Dollar Sell 10/19/22 10,931 11,660 729
Euro Sell 12/21/22 5,423 5,447 24
New Zealand Dollar Sell 10/19/22 8,003 8,807 804
Norwegian Krone Buy 12/21/22 21,393 22,980 (1,587)
Polish Zloty Sell 12/21/22 172,218 184,313 12,095
Swedish Krona Buy 12/21/22 6,638 7,135 (497)
JPMorgan Chase Bank N.A.
British Pound Buy 12/21/22 793,570 818,772 (25,202)
Canadian Dollar Sell 10/19/22 134,863 142,277 7,414
Euro Sell 12/21/22 57,585 59,155 1,570
Japanese Yen Sell 11/16/22 204,279 205,352 1,073
Norwegian Krone Buy 12/21/22 2,723 2,865 (142)
Swedish Krona Buy 12/21/22 851 880 (29)
Swiss Franc Buy 12/21/22 7,459 7,620 (161)
Morgan Stanley & Co. International PLC
Australian Dollar Sell 10/19/22 3,135 3,043 (92)
British Pound Buy 12/21/22 104,855 94,435 10,420
Canadian Dollar Sell 10/19/22 69,929 75,319 5,390
Euro Sell 12/21/22 2,367,178 2,428,142 60,964
Japanese Yen Sell 11/16/22 1,246,432 1,369,096 122,664
New Zealand Dollar Sell 10/19/22 1,080,799 1,189,630 108,831
Swiss Franc Sell 12/21/22 1,839 1,854 15
NatWest Markets PLC
Australian Dollar Buy 10/19/22 2,175 2,325 (150)
Euro Sell 12/21/22 4,240 4,300 60
State Street Bank and Trust Co.
Australian Dollar Sell 10/19/22 992,181 1,053,092 60,911
British Pound Sell 12/21/22 436,078 451,513 15,435
Canadian Dollar Sell 10/19/22 140,509 150,125 9,616
Euro Sell 12/21/22 2,074,522 2,129,410 54,888
New Zealand Dollar Sell 10/19/22 49,700 56,217 6,517
Norwegian Krone Sell 12/21/22 223,545 247,227 23,682
Swedish Krona Sell 12/21/22 831,162 878,503 47,341
Swiss Franc Buy 12/21/22 992,328 1,019,230 (26,902)
Toronto-Dominion Bank
British Pound Sell 12/21/22 23,587 24,403 816
Canadian Dollar Sell 10/19/22 1,675,398 1,789,990 114,592
Japanese Yen Buy 11/16/22 2,882 3,203 (321)
Norwegian Krone Sell 12/21/22 187,559 207,529 19,970
Swiss Franc Sell 12/21/22 90,006 92,433 2,427
UBS AG
Australian Dollar Buy 10/19/22 4,030 4,252 (222)
Canadian Dollar Sell 10/19/22 21,210 22,623 1,413
Japanese Yen Buy 11/16/22 2,103,636 2,338,643 (235,007)
New Zealand Dollar Buy 10/19/22 42,423 45,954 (3,531)
Norwegian Krone Buy 12/21/22 239 255 (16)
Swedish Krona Sell 12/21/22 4,473 4,730 257
Swiss Franc Sell 12/21/22 305 275 (30)
WestPac Banking Corp.
Australian Dollar Sell 10/19/22 124,175 131,817 7,642
British Pound Buy 12/21/22 12,632 13,030 (398)
Euro Buy 12/21/22 567,365 583,355 (15,990)
New Zealand Dollar Sell 10/19/22 47,013 51,750 4,737
Swiss Franc Buy 12/21/22 5,314 5,447 (133)
Unrealized appreciation 740,984
Unrealized (depreciation) (361,647)
Total $379,337
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 239 $49,088,360 $49,088,360 Dec-22 $755,345
U.S. Treasury Note Ultra 10 yr (Short) 11 1,303,328 1,303,328 Dec-22 85,037
Unrealized appreciation 840,382
Unrealized (depreciation) —
Total $840,382








WRITTEN SWAP OPTIONS OUTSTANDING at 9/30/22 (premiums $4,819,396) (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 $15,045,100 $457,672
Citibank, N.A.
2.395/3 month USD-LIBOR-ICE/Nov-33 Nov-23/2.395 16,195,700 1,851,330
(1.865)/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 2,578,300 56,542
1.865/3 month USD-LIBOR-ICE/Oct-39 Oct-29/1.865 2,578,300 334,947
Goldman Sachs International
(1.448)/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 1,390,800 43,714
1.448/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 1,390,800 239,177
JPMorgan Chase Bank N.A.
(1.07)/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 $2,242,700 13,994
1.07/3 month USD-LIBOR-ICE/Mar-32 Mar-27/1.07 2,242,700 228,083
(3.229)/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 9,328,700 236,296
3.229/3 month USD-LIBOR-ICE/Nov-33 Nov-23/3.229 9,328,700 597,690
(1.667)/6 month EUR-EURIBOR/Feb-36 Feb-26/1.667 EUR 3,059,700 75,596
1.667/6 month EUR-EURIBOR/Feb-36 Feb-26/1.667 EUR 3,059,700 441,193
Morgan Stanley & Co. International PLC
(3.00)/3 month USD-LIBOR-ICE/Apr-48 Apr-23/3.00 $2,490,200 61,632
(3.00)/3 month USD-LIBOR-ICE/Jan-49 Jan-24/3.00 2,490,200 127,722
(2.75)/3 month USD-LIBOR-ICE/May-49 May-25/2.75 2,490,200 143,411
(2.97)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 1,100,100 40,330
(3.01)/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 1,100,100 41,760
3.01/3 month USD-LIBOR-ICE/Feb-36 Feb-26/3.01 1,100,100 89,218
2.97/3 month USD-LIBOR-ICE/Feb-36 Feb-26/2.97 1,100,100 91,033
Toronto-Dominion Bank
1.17/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 405,900 144,383
(1.17)/3 month USD-LIBOR-ICE/Mar-55 Mar-25/1.17 202,900 2,295
UBS AG
(1.9875)/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 2,990,900 53,148
1.9875/3 month USD-LIBOR-ICE/Oct-36 Oct-26/1.9875 2,990,900 397,461
Total $5,768,627








WRITTEN OPTIONS OUTSTANDING at 9/30/22 (premiums $140,625) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Put) Oct-22/$101.00 $24,324,213 $25,000,000 $921,700
Total $921,700








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.
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $34,881,900 $(401,142) $1,056,922
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 34,881,900 (401,142) (254,987)
2.25/US SOFR/Jan-33 (Purchased) Jan-23/2.25 31,126,500 (504,713) (451,957)
2.245/US SOFR/Jan-33 (Purchased) Jan-23/2.245 31,126,500 (507,421) (455,381)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 20,001,300 274,518 207,213
2.415/3 month USD-LIBOR-ICE/Oct-33 (Written) Oct-23/2.415 19,578,400 413,594 (1,824,511)
(1.115)/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 14,504,300 61,099 40,177
1.115/3 month USD-LIBOR-ICE/Jan-26 (Written) Jan-25/1.115 14,504,300 61,099 (311,407)
(2.41)/US SOFR/Oct-32 (Written) Oct-22/2.41 10,894,300 155,203 154,154
(2.42)/US SOFR/Oct-32 (Written) Oct-22/2.42 10,894,300 154,898 153,828
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 10,000,600 (483,029) (353,921)
(2.485)/3 month USD-LIBOR-ICE/Oct-54 (Purchased) Oct-24/2.485 6,315,600 (381,146) 711,768
(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 5,511,400 (716,482) 380,342
2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) Apr-26/2.35 5,511,400 (716,482) (290,671)
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 5,000,300 78,005 58,604
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 4,211,100 306,358 27,246
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 4,211,100 306,358 (34,699)
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 3,500,200 (172,160) (125,272)
(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 2,832,600 (202,814) 349,826
0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.925 2,832,600 (202,814) (122,000)
(2.272)/US SOFR/Apr-42 (Written) Apr-32/2.272 2,287,800 190,574 51,064
2.272/US SOFR/Apr-42 (Written) Apr-32/2.272 2,287,800 190,574 (70,350)
(2.46)/US SOFR/Jun-59 (Written) Jun-29/2.46 1,813,100 256,191 (4,442)
2.46/US SOFR/Jun-59 (Written) Jun-29/2.46 1,813,100 256,191 (40,704)
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 1,717,500 (223,704) 232,361
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 1,717,500 (223,704) (126,786)
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 1,667,600 130,240 4,069
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 1,667,600 130,240 (10,723)
(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 1,442,500 (105,303) 182,678
0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) Mar-30/0.85 1,442,500 (105,303) (64,523)
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 799,300 (122,593) 96,412
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 799,300 (122,593) (58,045)
Barclays Bank PLC
(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 1,909,000 (231,275) 107,133
2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 1,909,000 (231,275) (63,092)
Citibank, N.A.
1.999/US SOFR/Jan-33 (Purchased) Jan-23/1.999 18,551,700 (137,283) (126,708)
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 12,778,300 (416,573) 678,528
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 12,778,300 (416,573) (219,148)
2.394/US SOFR/Sep-33 (Purchased) Sep-23/2.394 8,029,300 (97,155) (2,080)
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 7,582,000 (101,068) 179,693
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 7,582,000 (101,068) (45,947)
(1.194)/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 7,582,000 57,472 54,439
1.194/3 month USD-LIBOR-ICE/Jun-25 (Written) Jun-23/1.194 7,582,000 57,472 (383,573)
(2.795)/US SOFR/Oct-32 (Purchased) Oct-22/2.795 6,622,600 (135,101) 284,970
2.795/US SOFR/Oct-32 (Purchased) Oct-22/2.795 6,622,600 (135,101) (133,247)
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 5,420,500 (400,304) 306,367
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 5,420,500 (400,304) (135,838)
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 3,368,400 (252,125) 567,778
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 3,368,400 (252,125) (239,224)
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 2,907,200 (219,348) 501,986
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 2,907,200 (219,348) (208,679)
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 2,850,600 (210,731) 490,788
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 2,850,600 (210,731) (199,941)
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 1,533,900 (226,250) 56,816
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 1,533,900 (226,250) (29,650)
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 1,498,600 (109,173) 66,868
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 1,498,600 (109,173) (30,347)
(2.842)/US SOFR/Nov-32 (Written) Nov-22/2.842 1,401,100 12,330 10,410
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 725,000 (93,344) 18,379
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 725,000 (93,344) (49,394)
(1.102)/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 722,200 (22,948) 140,266
1.102/3 month USD-LIBOR-ICE/Nov-32 (Purchased) Nov-22/1.102 722,200 (22,948) (22,829)
(1.177)/3 month USD-LIBOR-ICE/Jul-40 (Written) Jul-30/1.177 552,800 41,902 23,942
1.177/3 month USD-LIBOR-ICE/Jul-40 (Written) Jul-30/1.177 552,800 41,902 (58,260)
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) Mar-24/0.055 EUR 81,528,100 261,576 205,347
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) Mar-24/0.555 EUR 40,764,100 (257,143) (204,149)
Deutsche Bank AG
(1.818)/6 month EUR-EURIBOR/Jul-56 (Written) Jul-26/1.818 EUR 273,200 42,770 2,945
1.818/6 month EUR-EURIBOR/Jul-56 (Written) Jul-26/1.818 EUR 273,200 42,770 (16,346)
Goldman Sachs International
2.41/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.41 $6,473,300 94,510 (647,913)
2.07/3 month USD-LIBOR-ICE/Aug-33 (Written) Aug-23/2.07 5,223,200 108,120 (621,404)
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 5,162,000 (665,898) 192,336
2.40/US SOFR/May-57 (Purchased) May-27/2.40 5,162,000 (665,898) (73,146)
(2.544)/US SOFR/Nov-32 (Purchased) Nov-22/2.544 4,002,000 (82,041) 255,168
2.544/US SOFR/Nov-32 (Purchased) Nov-22/2.544 4,002,000 (82,041) (80,440)
(1.727)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 1,089,200 (162,835) 147,129
1.727/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/1.727 1,089,200 (99,880) (67,247)
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 596,900 (75,359) 10,326
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 596,900 (75,359) (24,551)
(0.26)/6 month EUR-EURIBOR/Jun-28 (Written) Jun-26/0.26 EUR 10,645,700 118,718 65,834
0.26/6 month EUR-EURIBOR/Jun-28 (Written) Jun-26/0.26 EUR 10,645,700 118,718 (468,039)
(0.555)/6 month EUR-EURIBOR/Mar-40 (Written) Mar-30/0.555 EUR 1,180,250 178,232 44,845
0.555/6 month EUR-EURIBOR/Mar-40 (Written) Mar-30/0.555 EUR 1,180,250 178,232 (151,875)
JPMorgan Chase Bank N.A.
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 $8,128,800 173,448 132,012
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 8,128,800 173,448 (520,081)
(1.168)/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 2,144,200 137,979 93,959
1.168/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.168 2,144,200 137,979 (269,033)
(1.232)/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.232 1,915,100 123,045 82,809
1.232/3 month USD-LIBOR-ICE/Jun-37 (Written) Jun-27/1.232 1,915,100 123,045 (233,010)
(2.317)/US SOFR/Apr-42 (Written) Apr-32/2.317 1,715,600 145,311 38,258
2.317/US SOFR/Apr-42 (Written) Apr-32/2.317 1,715,600 145,311 (48,071)
(1.204)/3 month USD-LIBOR-ICE/Jun-40 (Written) Jun-30/1.204 1,518,600 113,212 64,055
1.204/3 month USD-LIBOR-ICE/Jun-40 (Written) Jun-30/1.204 1,518,600 113,212 (159,453)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 1,334,500 78,869 39,608
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 1,334,500 78,869 (102,770)
(2.032)/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 1,078,500 (124,567) 131,480
2.032/3 month USD-LIBOR-ICE/Jan-55 (Purchased) Jan-25/2.032 1,078,500 (124,567) (79,841)
(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 3,645,300 (306,536) 28,890
3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) May-32/3.315 AUD 3,645,300 (306,536) (33,274)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,121,400 (131,925) 187,395
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,121,400 (131,925) (73,438)
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,315,300 47,476 41,890
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,315,300 47,476 (170,647)
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,311,400 (49,158) 113,788
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,311,400 (49,158) (32,748)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 941,400 (29,371) 103,922
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 941,400 (29,371) (24,334)
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 628,200 (37,153) 104,499
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 628,200 (37,153) (29,812)
(1.921)/6 month EUR-EURIBOR/Oct-48 (Purchased) Oct-28/1.921 EUR 979,500 (125,262) 63,415
1.921/6 month EUR-EURIBOR/Oct-48 (Purchased) Oct-28/1.921 EUR 979,500 (125,262) 2,342
Morgan Stanley & Co. International PLC
2.1075/US SOFR/Jan-33 (Purchased) Jan-23/2.1075 $31,126,500 (468,454) (429,857)
2.195/US SOFR/Jan-33 (Purchased) Jan-23/2.195 31,126,500 (494,133) (446,665)
(2.36)/US SOFR/Oct-32 (Written) Oct-22/2.36 10,894,300 154,154 153,065
(2.27375)/US SOFR/Oct-32 (Written) Oct-22/2.27375 10,894,300 146,256 145,439
(2.5375)/US SOFR/Nov-32 (Purchased) Nov-22/2.5375 10,756,300 (227,496) 684,423
2.5375/US SOFR/Nov-32 (Purchased) Nov-22/2.5375 10,756,300 (227,496) (222,763)
(2.39)/3 month USD-LIBOR-ICE/Jun-34 (Written) Jun-24/2.39 5,588,400 294,229 199,171
2.39/3 month USD-LIBOR-ICE/Jun-34 (Written) Jun-24/2.39 5,588,400 294,229 (357,043)
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 948,300 (108,201) (29,606)
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 948,300 (108,201) (32,944)
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 725,000 (111,070) 16,400
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 725,000 (78,010) (41,912)
(2.3825)/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 339,500 (43,032) 13,393
2.3825/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 339,500 (43,032) (8,589)
(2.106)/Sterling Overnight Index Average/Nov-32 (Written) Nov-22/2.106 GBP 8,874,000 234,383 214,019
2.206/Sterling Overnight Index Average/Nov-32 (Written) Nov-22/2.206 GBP 8,874,000 234,383 (1,555,399)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 $1,406,300 (73,549) 128,564
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 1,406,300 (73,549) (43,792)
(2.095)/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 607,400 79,873 41,759
2.095/3 month USD-LIBOR-ICE/Feb-56 (Written) Feb-26/2.095 607,400 79,873 (59,677)
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 487,500 (34,003) 23,551
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 487,500 (34,003) (9,292)
UBS AG
(0.87)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 7,960,900 (53,696) 150,620
0.87/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-27/0.87 7,960,900 (53,696) (33,356)
(0.983)/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 3,184,300 (50,471) 90,307
0.983/3 month USD-LIBOR-ICE/Apr-32 (Purchased) Apr-30/0.983 3,184,300 (50,471) (26,462)
(0.8925)/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 2,388,300 (50,632) 280,936
0.8925/3 month USD-LIBOR-ICE/Apr-28 (Purchased) Apr-23/0.8925 2,388,300 (50,632) (49,390)
(0.958)/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 1,910,600 50,774 39,435
0.958/3 month USD-LIBOR-ICE/May-30 (Written) May-25/0.958 1,910,600 50,774 (172,145)
(0.902)/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 955,300 (53,449) 152,218
0.902/3 month USD-LIBOR-ICE/Apr-35 (Purchased) Apr-25/0.902 955,300 (53,449) (44,832)
(1.715)/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 703,100 (63,455) 149,008
1.715/3 month USD-LIBOR-ICE/Feb-53 (Purchased) Feb-23/1.715 703,100 (63,455) (62,274)
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 1,703,900 (90,690) 54,778
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 1,703,900 (90,690) (22,757)
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 800,600 (48,611) 10,314
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 800,600 (48,611) (6,852)
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 1,688,700 (132,482) 221,805
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 1,688,700 (132,482) (53,589)
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 1,143,800 (158,580) 109,083
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 1,143,800 (158,580) (40,949)
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 562,900 (85,176) 97,248
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 562,900 (85,176) (30,761)
(0.43)/6 month EUR-EURIBOR/Aug-39 (Written) Aug-29/0.43 EUR 535,600 42,938 23,495
0.43/6 month EUR-EURIBOR/Aug-39 (Written) Aug-29/0.43 EUR 535,600 42,938 (74,364)
Unrealized appreciation 12,346,310
Unrealized (depreciation) (14,535,228)
Total $(2,188,918)








TBA SALE COMMITMENTS OUTSTANDING at 9/30/22 (proceeds receivable $39,496,251) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 5.00%, 10/1/52 $7,000,000 10/13/22 $6,810,779
Uniform Mortgage-Backed Securities, 4.00%, 10/1/52 2,000,000 10/13/22 1,853,750
Uniform Mortgage-Backed Securities, 3.50%, 10/1/52 2,000,000 10/13/22 1,798,437
Uniform Mortgage-Backed Securities, 3.00%, 10/1/52 8,000,000 10/13/22 6,955,000
Uniform Mortgage-Backed Securities, 2.50%, 10/1/52 13,000,000 10/13/22 10,908,828
Uniform Mortgage-Backed Securities, 2.00%, 10/1/52 12,000,000 10/13/22 9,709,876
Total $38,036,670










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)
$2,817,200 $538,367 $118,004 9/1/32 3 month USD-LIBOR-ICE — Quarterly 1.512% — Semiannually $(424,050)
8,610,000 368,766 416 12/23/23 0.695% — Annually US SOFR — Annually 384,668
6,867,000 742,941 590 12/23/26 1.085% — Annually US SOFR — Annually 732,210
3,221,000 573,113 389 12/23/31 1.285% — Annually US SOFR — Annually 563,145
1,426,000 438,039 (2,539) 12/23/51 US SOFR — Annually 1.437% — Annually (434,293)
11,649,000 498,694 (1,185) 12/24/23 0.697% — Annually US SOFR — Annually 514,527
2,714,000 292,596 (363) 12/24/26 1.096% — Annually US SOFR — Annually 284,773
5,265,000 936,959 (2,350) 12/24/31 1.285% — Annually US SOFR — Annually 918,136
6,694,000 2,058,740 (3,618) 12/24/51 1.435% — Annually US SOFR — Annually 2,027,730
3,035,000 882,366 (495) 12/31/51 1.525% — Annually US SOFR — Annually 865,080
1,201,000 128,111 (159) 12/31/26 US SOFR — Annually 1.135% — Annually (125,022)
315,000 54,419 5,672 12/31/31 US SOFR — Annually 1.355% — Annually (47,526)
813,100 40,265 (E) (18) 1/15/47 1.724% — Annually US SOFR — Annually 40,247
1,953,000 511,881 (67) 1/21/52 1.679% — Annually US SOFR — Annually 499,368
1,337,000 363,651 (46) 1/19/52 US SOFR — Annually 1.626% — Annually (356,503)
967,000 257,909 (33) 2/1/52 1.6545% — Annually US SOFR — Annually 252,069
9,459,000 1,081,826 (2,301) 2/15/29 US SOFR — Annually 1.681% — Annually (1,031,830)
3,248,100 741,476 (111) 2/24/52 US SOFR — Annually 1.86% — Annually (721,407)
2,170,000 532,995 (74) 2/29/52 1.7674% — Annually US SOFR — Annually 522,400
2,392,000 343,730 (32) 2/29/32 US SOFR — Annually 1.75% — Annually (330,873)
8,640,000 760,925 (70) 2/28/27 1.675% — Annually US SOFR — Annually 717,389
16,660,000 636,912 (63) 2/29/24 US SOFR — Annually 1.47709% — Annually (572,862)
6,030,000 673,973 (69) 3/1/29 US SOFR — Annually 1.7355% — Annually (638,014)
1,267,400 188,893 (17) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (189,913)
6,645,800 1,063,860 (88) 3/9/32 1.5475% — Annually US SOFR — Annually 1,035,745
6,890,200 1,106,291 (91) 3/9/32 1.5415% — Annually US SOFR — Annually 1,078,650
3,632,000 527,112 (48) 3/11/32 1.737% — Annually US SOFR — Annually 511,352
24,040,000 2,360,007 687,099 3/21/29 US SOFR — Annually 1.986% — Annually (1,573,790)
471,000 12,623 (2) 4/7/24 US SOFR — Annually 2.4485% — Annually (9,416)
98,000 5,596 (1) 4/7/27 2.469% — Annually US SOFR — Annually 4,947
103,000 10,151 (1) 4/7/23 2.3305% — Annually US SOFR — Annually 9,546
41,000 7,508 (1) 4/7/52 US SOFR — Annually 2.1005% — Annually (7,309)
4,954,000 422,675 (66) 4/14/32 2.4975% — Annually US SOFR — Annually 382,759
4,078,000 563,457 (139) 4/14/52 US SOFR — Annually 2.3395% — Annually (534,558)
1,064,000 60,308 (9) 4/14/27 2.483% — Annually US SOFR — Annually 53,165
2,385,000 66,255 (9) 4/14/24 US SOFR — Annually 2.403% — Annually (50,993)
10,918,500 531,403 (103) 5/2/27 US SOFR — Annually 2.685% — Annually (455,683)
17,016,700 452,644 (64) 5/25/24 2.5945% — Annually US SOFR — Annually 387,850
867,000 93,203 (30) 5/25/52 US SOFR — Annually 2.501% — Annually (89,634)
688,300 36,858 (E) (23) 5/28/57 2.40% — Annually US SOFR — Annually 36,835
899,000 58,525 (12) 6/7/32 US SOFR — Annually 2.7565% — Annually (54,178)
1,407,000 119,032 (48) 6/7/52 US SOFR — Annually 2.622% — Annually (114,000)
26,491,500 1,577,834 (351) 6/8/32 US SOFR — Annually 2.825% — Annually (1,474,451)
1,288,200 252,874 (161,687) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 84,185
20,580,500 311,795 (78) 6/15/24 US SOFR — Annually 3.3385% — Annually (206,869)
14,265,000 400,276 (115) 6/15/27 3.185% — Annually US SOFR — Annually 333,339
1,947,800 77,795 (28) 9/8/32 US SOFR — Annually 3.07% — Annually (76,844)
2,988,500 169,866 (E) (42) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 169,824
6,692,200 544,946 (E) (95) 1/31/33 2.545% — Annually US SOFR — Annually 544,851
6,692,200 542,135 (E) (95) 1/31/33 2.55% — Annually US SOFR — Annually 542,040
6,303,100 538,978 (E) (89) 2/1/33 2.495% — Annually US SOFR — Annually 538,889
6,769,000 626,809 (90) 8/2/32 US SOFR — Annually 2.4275% — Annually (625,922)
6,163,000 571,372 (E) (87) 2/1/33 2.4075% — Annually US SOFR — Annually 571,284
8,710,000 840,167 (115) 8/10/32 US SOFR — Annually 2.382% — Annually (838,183)
620,700 19,769 (E) (12) 4/1/42 US SOFR — Annually 2.63% — Annually (19,781)
887,900 64,133 (E) (13) 3/24/35 US SOFR — Annually 2.39% — Annually (64,146)
1,827,800 190,384 (54) 8/10/42 2.645% — Annually US SOFR — Annually 189,682
3,098,000 340,346 (6,907) 8/10/42 US SOFR — Annually 2.605% — Annually (345,958)
1,270,300 142,007 (37) 8/10/42 2.5915% — Annually US SOFR — Annually 141,374
5,122,000 252,054 (E) (48) 2/6/29 2.40% — Annually US SOFR — Annually 252,005
10,439,000 809,336 (138) 8/16/32 US SOFR — Annually 2.613% — Annually (804,824)
1,205,300 10,583 (E) (27) 1/15/47 2.49% — Annually US SOFR — Annually 10,556
176,000 10,344 (2) 8/25/32 US SOFR — Annually 2.8415% — Annually (10,241)
752,000 31,810 (E) (11) 2/21/35 2.785% — Annually US SOFR — Annually 31,798
10,126,400 151,086 (38) 9/6/24 US SOFR — Annually 3.413% — Annually (143,484)
5,999,300 83,630 (E) (33) 1/15/27 US SOFR — Annually 2.73% — Annually (83,664)
5,101,400 215,228 (67) 9/13/32 3.043% — Annually US SOFR — Annually 212,792
1,042,200 10,182 (E) (20) 1/15/41 3.0500% — Annually US SOFR — Annually 10,162
613,600 6,793 (E) (12) 1/15/42 2.9825% — Annually US SOFR — Annually 6,781
4,439,000 103,118 (E) (27,539) 12/21/32 US SOFR — Annually 3.265% — Annually (130,656)
2,091,000 62,333 (71) 9/26/52 2.905% — Annually US SOFR — Annually 61,765
10,872,000 172,321 (102) 9/26/27 US SOFR — Annually 3.465% — Annually (168,997)
659,000 17,029 (9) 9/19/32 3.24% — Annually US SOFR — Annually 16,792
83,104,000 67,314 (E) (85,042) 12/21/24 4.20% — Annually US SOFR — Annually (17,728)
43,416,000 22,576 (E) 82,819 12/21/27 3.80% — Annually US SOFR — Annually 105,395
31,235,000 377,006 (E) (146,736) 12/21/32 3.40% — Annually US SOFR — Annually 230,270
4,730,000 44,840 (E) (39,468) 12/21/52 US SOFR — Annually 3.00% — Annually (84,309)
2,740,000 23,153 (36) 9/26/32 US SOFR — Annually 3.449% — Annually (22,332)
932,000 727 (32) 9/29/52 3.0575% — Annually US SOFR — Annually 537
932,000 196 (32) 9/29/52 3.0605% — Annually US SOFR — Annually 6
3,096,250 20,683 (41) 9/29/32 3.6305% — Annually US SOFR — Annually (21,348)
4,344,000 13,293 (35) 9/29/27 US SOFR — Annually 3.884% — Annually 14,195
3,096,250 23,129 (41) 9/29/32 3.64% — Annually US SOFR — Annually (23,796)
4,344,000 15,769 (35) 9/29/27 US SOFR — Annually 3.8965% — Annually 16,674
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)
3,003,500 17,541 (24) 9/30/27 US SOFR — Annually 3.6865% — Annually (17,257)
3,003,500 17,811 (24) 9/30/27 US SOFR — Annually 3.6845% — Annually (17,528)
6,783,000 10,649 (25) 9/30/24 4.1255% — Annually US SOFR — Annually 10,408
4,853,000 27,371 (64) 9/30/32 3.4825% — Annually US SOFR — Annually 27,239
1,127,000 5,545 (38) 10/3/52 US SOFR — Annually 3.0355% — Annually (5,583)
351,000 344 (1) 10/3/24 US SOFR — Annually 4.16% — Annually (345)
2,654,000 10,271 (35) 10/3/32 US SOFR — Annually 3.504% — Annually (10,306)
2,015,000 7,214 (16) 10/4/27 3.7375% — Annually US SOFR — Annually 7,197
1,605,900 6,905 (E) (23) 10/3/33 3.394% — Annually US SOFR — Annually 6,883
4,150,000 5,312 (16) 10/4/24 US SOFR — Annually 4.145% — Annually (5,328)
2,580,000 9,133 (34) 10/4/32 US SOFR — Annually 3.508% — Annually (9,167)
3,781,000 11,381 (30) 10/4/27 3.75% — Annually US SOFR — Annually 11,350
2,168,000 902 (17) 10/4/27 3.826% — Annually US SOFR — Annually (919)
AUD 53,800 7,332 (E) (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 7,331
AUD 181,000 26,516 (E) (2) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 26,515
AUD 67,200 10,050 (E) (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 10,049
AUD 104,900 12,307 (E) (1) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 12,305
AUD 391,500 50,075 (E) (5) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 50,070
AUD 25,100 5,524 (E) (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 5,524
AUD 1,200,000 139,646 (13) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (135,442)
AUD 1,139,000 15,773 (E) (4,997) 12/21/32 4.21% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 10,776
CAD 2,170,000 2,278 (E) 8,050 12/21/32 3.69% — Semiannually 3 month CAD-BA-CDOR — Semiannually 5,772
CHF 1,922,000 11,200 (E) 5 12/21/32 Swiss Average Rate Overnight — Annually 2.01% — Annually (11,195)
EUR 347,600 32,322 (E) (13) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR — Semiannually 32,309
EUR 472,900 102,880 (18) 2/19/50 6 month EUR-EURIBOR — Semiannually 1.354% — Annually (99,362)
EUR 522,000 122,929 (20) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR — Semiannually 119,561
EUR 528,600 129,980 (20) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR — Semiannually 126,789
EUR 653,200 173,607 (26) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR — Semiannually 170,001
EUR 636,800 74,892 (E) (24) 11/29/58 6 month EUR-EURIBOR — Semiannually 1.343% — Annually (74,916)
EUR 679,000 186,267 (26) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR — Semiannually 182,436
EUR 503,000 124,863 (E) (19) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR — Semiannually 124,844
EUR 458,800 138,545 (18) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR — Semiannually 136,375
EUR 307,000 98,732 (12) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR — Semiannually 97,482
EUR 1,018,300 359,724 (E) (39) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR — Semiannually 359,685
EUR 614,700 252,975 (E) (23) 6/6/54 6 month EUR-EURIBOR — Semiannually 0.207% — Annually (252,998)
EUR 864,500 369,674 (33) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR — Semiannually 369,169
EUR 3,365,700 1,210,932 (127) 2/19/50 6 month EUR-EURIBOR — Semiannually 0.595% — Annually (1,201,686)
EUR 401,600 173,376 (E) (15) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR — Semiannually 173,361
EUR 189,700 95,070 (E) (7) 3/13/54 — 0.2275% plus 6 month EUR-EURIBOR — Semiannually 95,062
EUR 1,164,500 209,902 (E) (25) 5/13/40 6 month EUR-EURIBOR — Semiannually 0.276% — Annually (209,927)
EUR 550,400 96,928 (E) (12) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 96,916
EUR 766,600 139,307 (E) (18) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 139,289
EUR 262,300 46,976 (E) (6) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR — Semiannually 46,970
EUR 746,600 282,929 (30) 5/21/51 6 month EUR-EURIBOR — Semiannually 0.516% — Annually (281,314)
EUR 730,000 157,739 (13) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR — Semiannually 157,538
EUR 683,800 153,761 (12) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR — Semiannually 154,191
EUR 255,600 105,125 (10) 9/14/52 6 month EUR-EURIBOR — Semiannually 0.374% — Annually (105,269)
EUR 2,046,000 407,513 (33) 3/7/32 6 month EUR-EURIBOR — Semiannually 0.60% — Annually (402,263)
EUR 1,588,700 40,825 (E) (25) 2/2/36 2.875% — Annually 6 month EUR-EURIBOR — Semiannually 40,800
EUR 2,726,900 109,118 (41) 9/8/32 2.615% — Annually 6 month EUR-EURIBOR — Semiannually 106,873
EUR 8,644,100 231,700 (E) (33) 6/28/25 1.718% — Annually 6 month EUR-EURIBOR — Semiannually 231,667
EUR 872,000 136,685 (30) 8/29/52 6 month EUR-EURIBOR — Semiannually 1.636% — Annually (136,238)
EUR 2,733,500 167,462 (E) (31) 9/12/29 1.71% — Annually 6 month EUR-EURIBOR — Semiannually 167,431
EUR 10,052,000 711,571 (96) 9/2/27 6 month EUR-EURIBOR — Semiannually 1.372% — Annually (710,311)
EUR 319,800 20,783 (E) (11) 6/6/54 2.005% — Annually 6 month EUR-EURIBOR — Semiannually 20,772
EUR 473,000 25,255 (E) (16) 6/7/54 2.065% — Annually 6 month EUR-EURIBOR — Semiannually 25,239
EUR 2,009,000 91,397 (E) (1,756) 12/21/32 2.624% — Annually 6 month EUR-EURIBOR — Semiannually 89,641
GBP 477,400 139,865 (9) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (138,900)
GBP 34,143,500 1,458,964 28,282 9/15/23 Sterling Overnight Index Average — Annually 0.84% — Annually (1,446,933)
GBP 34,143,500 1,514,624 42,471 9/15/23 Sterling Overnight Index Average — Annually 0.68% — Annually (1,491,077)
GBP 34,143,500 1,570,283 (66,309) 9/15/23 0.52% — Annually Sterling Overnight Index Average — Annually 1,525,571
GBP 13,657,400 552,325 (70) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 547,196
GBP 415,000 40,517 (E) (1,617) 12/21/32 Sterling Overnight Index Average — Annually 3.34% — Annually (42,134)
GBP 5,950,000 480,456 (90) 9/21/32 3.522% — Annually Sterling Overnight Index Average — Annually 477,268
GBP 509,000 3,427 (E) (11) 1/14/40 3.306% — Annually Sterling Overnight Index Average — Annually 3,416
GBP 262,000 2,273 (E) (6) 8/20/39 3.299% — Annually Sterling Overnight Index Average — Annually 2,267
JPY 96,594,500 84,294 (E) (27) 8/29/43 Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually 0.343% — Annually (84,322)
JPY 81,219,900 20,955 (18,056) 2/25/31 0.003% — Annually Tokyo Overnight Average Rate — Annually 2,844
JPY 39,192,500 12,533 (E) (6,395) 8/29/43 0.7495% — Annually Tokyo Overnight Average Rate — Annually 6,138
JPY 49,066,800 50,572 (E) (47,335) 8/29/43 0.194% — Annually Tokyo Overnight Average Rate — Annually 3,237
NOK 12,458,000 4,256 (E) 1,267 12/21/32 3.48% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 5,523
NZD 3,297,000 40,944 (E) (4,393) 12/21/32 3 month NZD-BBR-FRA — Quarterly 4.175% — Semiannually (45,337)
SEK 20,711,000 40,330 (E) (4,551) 12/21/32 2.925% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 35,779
Total $334,316 $2,097,522
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC
$979,130 $770,452 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/25 — Annually $(212,671)
854,414 820,019 — 7/17/24 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019-01, 7/10/24 — Quarterly (34,028)
Upfront premium received — Unrealized appreciation —
Upfront premium (paid) — Unrealized (depreciation) (246,699)
Total $— Total $(246,699)








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 $904 $10,771 $2,420 5/11/63 300 bp — Monthly $(1,511)
CMBX NA BBB-.6 Index B+/P 5,468 57,443 12,907 5/11/63 300 bp — Monthly (7,410)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A-/P 4,583 24,517 2,501 5/11/63 200 bp — Monthly 2,090
CMBX NA A.6 Index A-/P 5,899 24,517 2,501 5/11/63 200 bp — Monthly 3,406
CMBX NA A.6 Index A-/P 5,202 25,775 2,629 5/11/63 200 bp — Monthly 2,581
CMBX NA A.6 Index A-/P 6,484 26,403 2,693 5/11/63 200 bp — Monthly 3,799
CMBX NA A.6 Index A-/P 14,740 55,321 5,643 5/11/63 200 bp — Monthly 9,116
CMBX NA A.6 Index A-/P 26,268 99,326 10,131 5/11/63 200 bp — Monthly 16,169
CMBX NA A.6 Index A-/P 38,559 137,045 13,979 5/11/63 200 bp — Monthly 24,626
CMBX NA BB.11 Index BB-/P 57,630 102,000 22,685 11/18/54 500 bp — Monthly 35,030
CMBX NA BB.13 Index BB-/P 7,267 77,000 20,929 12/16/72 500 bp — Monthly (13,598)
CMBX NA BB.13 Index BB-/P 10,661 117,000 31,801 12/16/72 500 bp — Monthly (21,042)
CMBX NA BB.13 Index BB-/P 32,549 357,000 97,033 12/16/72 500 bp — Monthly (64,186)
CMBX NA BB.6 Index CCC+/P 86,542 164,112 65,842 5/11/63 500 bp — Monthly 20,839
CMBX NA BB.6 Index CCC+/P 165,112 874,502 350,850 5/11/63 500 bp — Monthly (184,998)
CMBX NA BB.7 Index B-/P 46,032 902,000 300,727 1/17/47 500 bp — Monthly (253,943)
CMBX NA BB.9 Index B/P 2,240 11,000 3,589 9/17/58 500 bp — Monthly (1,341)
CMBX NA BB.9 Index B/P 15,521 76,000 24,799 9/17/58 500 bp — Monthly (9,215)
CMBX NA BBB-.10 Index BB+/P 7,693 62,000 11,532 11/17/59 300 bp — Monthly (3,808)
CMBX NA BBB-.10 Index BB+/P 12,109 111,000 20,646 11/17/59 300 bp — Monthly (8,481)
CMBX NA BBB-.11 Index BBB-/P 689 11,000 1,797 11/18/54 300 bp — Monthly (1,103)
CMBX NA BBB-.12 Index BBB-/P 1,460 35,000 6,405 8/17/61 300 bp — Monthly (4,928)
CMBX NA BBB-.12 Index BBB-/P 4,715 80,000 14,640 8/17/61 300 bp — Monthly (9,886)
CMBX NA BBB-.12 Index BBB-/P 41,215 260,000 47,580 8/17/61 300 bp — Monthly (6,235)
CMBX NA BBB-.14 Index BBB-/P 247 5,000 1,021 12/16/72 300 bp — Monthly (771)
CMBX NA BBB-.14 Index BBB-/P 813 25,000 5,105 12/16/72 300 bp — Monthly (4,279)
CMBX NA BBB-.14 Index BBB-/P 2,500 50,000 10,210 12/16/72 300 bp — Monthly (7,685)
CMBX NA BBB-.15 Index BBB-/P 3,656 35,000 7,399 11/18/64 300 bp — Monthly (3,726)
CMBX NA BBB-.15Index BBB-/P 1,359 8,000 1,691 11/18/64 300 bp — Monthly (328)
Credit Suisse International
CMBX NA BB.7 Index B-/P 22,204 166,000 55,344 1/17/47 500 bp — Monthly (33,002)
CMBX NA BBB-.7 Index BB-/P 13,231 179,000 36,283 1/17/47 300 bp — Monthly (22,963)
CMBX NA BBB-.7 Index BB-/P 34,676 528,000 107,026 1/17/47 300 bp — Monthly (72,086)
Goldman Sachs International
CMBX NA BB.6 Index CCC+/P 36,165 80,536 32,311 5/11/63 500 bp — Monthly 3,922
CMBX NA BB.6 Index CCC+/P 55,009 126,883 50,905 5/11/63 500 bp — Monthly 4,211
CMBX NA BB.9 Index B/P 21,836 54,000 17,620 9/17/58 500 bp — Monthly 4,261
CMBX NA BBB-.11 Index BBB-/P 64 1,000 163 11/18/54 300 bp — Monthly (99)
CMBX NA BBB-.13 Index BBB-/P 138 3,000 596 12/16/72 300 bp — Monthly (457)
CMBX NA BBB-.13 Index BBB-/P 677 4,000 795 12/16/72 300 bp — Monthly (116)
CMBX NA BBB-.13 Index BBB-/P 1,425 9,000 1,788 12/16/72 300 bp — Monthly (359)
CMBX NA BBB-.13 Index BBB-/P 754 12,000 2,384 12/16/72 300 bp — Monthly (1,624)
CMBX NA BBB-.13 Index BBB-/P 1,315 18,000 3,577 12/16/72 300 bp — Monthly (2,252)
CMBX NA BBB-.13 Index BBB-/P 4,545 29,000 5,762 12/16/72 300 bp — Monthly (1,203)
CMBX NA BBB-.13 Index BBB-/P 2,780 47,000 9,339 12/16/72 300 bp — Monthly (6,536)
CMBX NA BBB-.13 Index BBB-/P 4,435 69,000 13,710 12/16/72 300 bp — Monthly (9,241)
CMBX NA BBB-.14 Index BBB-/P 17,291 101,000 20,624 12/16/72 300 bp — Monthly (3,283)
CMBX NA BBB-.14 Index BBB-/P 35,855 236,000 48,191 12/16/72 300 bp — Monthly (12,219)
CMBX NA BBB-.15 Index BBB-/P 1,864 30,000 6,342 11/18/64 300 bp — Monthly (4,463)
CMBX NA BBB-.15 Index BBB-/P 5,699 64,000 13,530 11/18/64 300 bp — Monthly (7,799)
CMBX NA BBB-.15 Index BBB-/P 5,916 64,000 13,530 11/18/64 300 bp — Monthly (7,582)
CMBX NA BBB-.6 Index B+/P 2,849 25,849 5,808 5/11/63 300 bp — Monthly (2,947)
CMBX NA BBB-.6 Index B+/P 4,016 28,721 6,454 5/11/63 300 bp — Monthly (2,423)
CMBX NA BBB-.6 Index B+/P 4,842 31,594 7,099 5/11/63 300 bp — Monthly (2,241)
CMBX NA BBB-.6 Index B+/P 2,971 41,646 9,358 5/11/63 300 bp — Monthly (6,365)
CMBX NA BBB-.6 Index B+/P 6,209 42,364 9,519 5/11/63 300 bp — Monthly (3,289)
CMBX NA BBB-.6 Index B+/P 5,978 49,545 11,133 5/11/63 300 bp — Monthly (5,129)
CMBX NA BBB-.6 Index B+/P 8,842 56,725 12,746 5/11/63 300 bp — Monthly (3,875)
CMBX NA BBB-.6 Index B+/P 4,144 61,033 13,714 5/11/63 300 bp — Monthly (9,539)
CMBX NA BBB-.6 Index B+/P 11,801 61,033 13,714 5/11/63 300 bp — Monthly (1,882)
CMBX NA BBB-.6 Index B+/P 10,362 66,777 15,005 5/11/63 300 bp — Monthly (4,608)
CMBX NA BBB-.6 Index B+/P 8,117 67,495 15,166 5/11/63 300 bp — Monthly (7,015)
CMBX NA BBB-.6 Index B+/P 8,608 73,240 16,457 5/11/63 300 bp — Monthly (7,812)
CMBX NA BBB-.6 Index B+/P 13,886 73,240 16,457 5/11/63 300 bp — Monthly (2,534)
CMBX NA BBB-.6 Index B+/P 5,606 79,702 17,909 5/11/63 300 bp — Monthly (12,262)
CMBX NA BBB-.6 Index B+/P 16,916 81,138 18,232 5/11/63 300 bp — Monthly (1,275)
CMBX NA BBB-.6 Index B+/P 16,910 82,574 18,554 5/11/63 300 bp — Monthly (1,602)
CMBX NA BBB-.6 Index B+/P 13,309 88,319 19,845 5/11/63 300 bp — Monthly (6,491)
CMBX NA BBB-.6 Index B+/P 13,360 88,319 19,845 5/11/63 300 bp — Monthly (6,440)
CMBX NA BBB-.6 Index B+/P 10,717 91,191 20,491 5/11/63 300 bp — Monthly (9,727)
CMBX NA BBB-.6 Index B+/P 10,857 94,063 21,136 5/11/63 300 bp — Monthly (10,231)
CMBX NA BBB-.6 Index B+/P 17,887 114,886 25,815 5/11/63 300 bp — Monthly (7,869)
CMBX NA BBB-.6 Index B+/P 8,601 119,194 26,783 5/11/63 300 bp — Monthly (18,121)
CMBX NA BBB-.6 Index B+/P 25,922 123,502 27,751 5/11/63 300 bp — Monthly (1,766)
CMBX NA BBB-.6 Index B+/P 23,498 138,581 31,139 5/11/63 300 bp — Monthly (7,570)
CMBX NA BBB-.6 Index B+/P 31,126 159,404 35,818 5/11/63 300 bp — Monthly (4,611)
CMBX NA BBB-.7 Index BB-/P 151,525 2,050,000 415,535 1/17/47 300 bp — Monthly (262,985)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 8,906 111,000 36,941 5/11/63 500 bp — Monthly (27,942)
CMBX NA BB.6 Index CCC+/P 289,832 427,754 171,615 5/11/63 500 bp — Monthly 118,579
CMBX NA BBB-.11 Index BBB-/P 2,864 26,000 4,248 11/18/54 300 bp — Monthly (1,372)
CMBX NA BBB-.13 Index BBB-/P 5,155 39,000 7,749 12/16/72 300 bp — Monthly (2,575)
CMBX NA BBB-.8 Index BB/P 9,980 64,000 11,072 10/17/57 300 bp — Monthly (1,060)
Merrill Lynch International
CMBX NA BB.6 Index CCC+/P 5,703 38,749 15,546 5/11/63 500 bp — Monthly (9,810)
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB-/P 837 9,000 2,446 12/16/72 500 bp — Monthly (1,602)
CMBX NA BB.13 Index BB-/P 820 9,000 2,446 12/16/72 500 bp — Monthly (1,619)
CMBX NA BB.13 Index BB-/P 6,096 66,000 17,939 12/16/72 500 bp — Monthly (11,787)
CMBX NA BB.13 Index BB-/P 15,517 169,000 45,934 12/16/72 500 bp — Monthly (30,277)
CMBX NA BB.6 Index CCC+/P 7,658 47,866 19,204 5/11/63 500 bp — Monthly (11,505)
CMBX NA BB.6 Index CCC+/P 58,576 131,441 52,734 5/11/63 500 bp — Monthly 5,954
CMBX NA BB.6 Index CCC+/P 76,812 137,519 55,173 5/11/63 500 bp — Monthly 21,755
CMBX NA BB.6 Index CCC+/P 84,420 152,715 61,269 5/11/63 500 bp — Monthly 23,280
CMBX NA BB.9 Index B/P 1,602 4,000 1,305 9/17/58 500 bp — Monthly 300
CMBX NA BBB-.12 Index BBB-/P 1,945 33,000 6,039 8/17/61 300 bp — Monthly (4,078)
CMBX NA BBB-.12 Index BBB-/P 5,925 138,000 25,254 8/17/61 300 bp — Monthly (19,260)
CMBX NA BBB-.13 Index BBB-/P 328 5,000 994 12/16/72 300 bp — Monthly (663)
CMBX NA BBB-.13 Index BBB-/P 769 13,000 2,583 12/16/72 300 bp — Monthly (1,808)
CMBX NA BBB-.13 Index BBB-/P 2,388 26,000 5,166 12/16/72 300 bp — Monthly (2,765)
CMBX NA BBB-.14 Index BBB-/P 4,672 29,000 5,922 12/16/72 300 bp — Monthly (1,235)
CMBX NA BBB-.14 Index BBB-/P 19,251 117,000 23,891 12/16/72 300 bp — Monthly (4,582)
CMBX NA BBB-.14 Index BBB-/P 38,849 234,000 47,783 12/16/72 300 bp — Monthly (8,817)
CMBX NA BBB-.15 Index BBB-/P 21,124 134,000 28,328 11/18/64 300 bp — Monthly (7,630)
CMBX NA BBB-.9 Index BB+/P 777 8,000 1,561 9/17/58 300 bp — Monthly (780)
Upfront premium received 1,983,661 Unrealized appreciation 299,918
Upfront premium (paid) — Unrealized (depreciation) (1,355,534)
Total $1,983,661 Total $(1,055,616)
* 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 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 BB.10 Index $(67,991) $282,000 $93,850 11/17/59 (500 bp) — Monthly $25,624
CMBX NA BB.10 Index (39,270) 154,000 51,251 11/17/59 (500 bp) — Monthly 11,853
CMBX NA BB.10 Index (10,541) 101,000 33,613 11/17/59 (500 bp) — Monthly 22,988
CMBX NA BB.10 Index (9,210) 84,000 27,955 11/17/59 (500 bp) — Monthly 18,675
CMBX NA BB.11 Index (5,960) 46,000 10,230 11/18/54 (500 bp) — Monthly 4,232
CMBX NA BB.11 Index (2,075) 40,000 8,896 11/18/54 (500 bp) — Monthly 6,788
CMBX NA BB.11 Index (1,508) 16,000 3,558 11/18/54 (500 bp) — Monthly 2,037
CMBX NA BB.8 Index (27,220) 76,339 28,642 10/17/57 (500 bp) — Monthly 1,359
CMBX NA BB.8 Index (4,594) 35,754 13,415 10/17/57 (500 bp) — Monthly 8,791
CMBX NA BB.9 Index (1,854) 46,000 15,010 9/17/58 (500 bp) — Monthly 13,117
CMBX NA BB.9 Index (2,271) 22,000 7,179 9/17/58 (500 bp) — Monthly 4,889
CMBX NA BB.9 Index (774) 12,000 3,916 9/17/58 (500 bp) — Monthly 3,131
CMBX NA BB.9 Index (353) 9,000 2,937 9/17/58 (500 bp) — Monthly 2,576
CMBX NA BB.9 Index (109) 3,000 979 9/17/58 (500 bp) — Monthly 868
CMBX NA BBB-.10 Index (40,233) 234,000 43,524 11/17/59 (300 bp) — Monthly 3,174
CMBX NA BBB-.10 Index (28,552) 123,000 22,878 11/17/59 (300 bp) — Monthly (5,735)
CMBX NA BBB-.10 Index (21,710) 91,000 16,926 11/17/59 (300 bp) — Monthly (4,830)
CMBX NA BBB-.10 Index (12,443) 57,000 10,602 11/17/59 (300 bp) — Monthly (1,869)
CMBX NA BBB-.10 Index (11,535) 53,000 9,858 11/17/59 (300 bp) — Monthly (1,703)
CMBX NA BBB-.10 Index (5,991) 47,000 8,742 11/17/59 (300 bp) — Monthly 2,727
CMBX NA BBB-.10 Index (3,569) 28,000 5,208 11/17/59 (300 bp) — Monthly 1,625
CMBX NA BBB-.10 Index (3,428) 27,000 5,022 11/17/59 (300 bp) — Monthly 1,580
CMBX NA BBB-.10 Index (1,835) 15,000 2,790 11/17/59 (300 bp) — Monthly 947
CMBX NA BBB-.11 Index (320) 1,000 163 11/18/54 (300 bp) — Monthly (157)
CMBX NA BBB-.12 Index (57,473) 172,000 31,476 8/17/61 (300 bp) — Monthly (26,083)
CMBX NA BBB-.12 Index (54,225) 156,000 28,548 8/17/61 (300 bp) — Monthly (25,755)
CMBX NA BBB-.12 Index (29,175) 83,000 15,189 8/17/61 (300 bp) — Monthly (14,028)
CMBX NA BBB-.12 Index (4,819) 70,000 12,810 8/17/61 (300 bp) — Monthly 7,956
CMBX NA BBB-.12 Index (334) 1,000 183 8/17/61 (300 bp) — Monthly (152)
CMBX NA BBB-.13 Index (2,924) 50,000 9,935 12/16/72 (300 bp) — Monthly 6,986
CMBX NA BBB-.13 Index (1,273) 25,000 4,968 12/16/72 (300 bp) — Monthly 3,682
CMBX NA BBB-.13 Index (1,261) 25,000 4,968 12/16/72 (300 bp) — Monthly 3,694
CMBX NA BBB-.13 Index (1,516) 20,000 3,974 12/16/72 (300 bp) — Monthly 2,448
CMBX NA BBB-.13 Index (986) 18,000 3,577 12/16/72 (300 bp) — Monthly 2,582
CMBX NA BBB-.6 Index (495,274) 1,898,489 426,590 5/11/63 (300 bp) — Monthly (69,653)
CMBX NA BBB-.8 Index (17,205) 124,000 21,452 10/17/57 (300 bp) — Monthly 4,185
CMBX NA BBB-.8 Index (18,494) 117,000 20,241 10/17/57 (300 bp) — Monthly 1,689
CMBX NA BBB-.8 Index (11,100) 74,000 12,802 10/17/57 (300 bp) — Monthly 1,665
CMBX NA BBB-.8 Index (8,603) 62,000 10,726 10/17/57 (300 bp) — Monthly 2,093
CMBX NA BBB-.8 Index (7,586) 53,000 9,169 10/17/57 (300 bp) — Monthly 1,557
CMBX NA BBB-.8 Index (1,875) 12,000 2,076 10/17/57 (300 bp) — Monthly 195
CMBX NA BBB-.8 Index (1,722) 11,000 1,903 10/17/57 (300 bp) — Monthly 176
CMBX NA BBB-.8 Index (317) 2,000 346 10/17/57 (300 bp) — Monthly 28
CMBX NA BBB-.9 Index (4,259) 18,000 3,512 9/17/58 (300 bp) — Monthly (756)
Credit Suisse International
CMBX NA BB.10 Index (24,973) 210,000 69,888 11/17/59 (500 bp) — Monthly 44,740
CMBX NA BB.10 Index (28,019) 210,000 69,888 11/17/59 (500 bp) — Monthly 41,694
CMBX NA BB.10 Index (13,797) 111,000 36,941 11/17/59 (500 bp) — Monthly 23,051
CMBX NA BB.7 Index (9,602) 413,318 165,823 5/11/63 (500 bp) — Monthly 155,871
CMBX NA BB.7 Index (46,385) 282,000 94,019 1/17/47 (500 bp) — Monthly 47,399
CMBX NA BB.7 Index (25,825) 140,000 46,676 1/17/47 (500 bp) — Monthly 20,734
CMBX NA BB.9 Index (1,804) 18,000 5,873 9/17/58 (500 bp) — Monthly 4,054
Goldman Sachs International
CMBX NA A.6 Index (6,956) 66,008 6,733 5/11/63 (200 bp) — Monthly (245)
CMBX NA A.6 Index (9,028) 57,836 5,899 5/11/63 (200 bp) — Monthly (3,148)
CMBX NA A.6 Index (5,363) 34,576 3,527 5/11/63 (200 bp) — Monthly (1,847)
CMBX NA A.6 Index (5,004) 32,061 3,270 5/11/63 (200 bp) — Monthly (1,745)
CMBX NA A.6 Index (4,570) 28,289 2,885 5/11/63 (200 bp) — Monthly (1,694)
CMBX NA A.6 Index (3,197) 20,745 2,116 5/11/63 (200 bp) — Monthly (1,088)
CMBX NA A.6 Index (2,906) 18,859 1,924 5/11/63 (200 bp) — Monthly (989)
CMBX NA A.6 Index (2,906) 18,859 1,924 5/11/63 (200 bp) — Monthly (989)
CMBX NA A.6 Index (2,864) 18,231 1,860 5/11/63 (200 bp) — Monthly (1,010)
CMBX NA A.6 Index (1,467) 9,430 962 5/11/63 (200 bp) — Monthly (509)
CMBX NA A.6 Index (1,272) 8,172 834 5/11/63 (200 bp) — Monthly (441)
CMBX NA A.6 Index (81) 629 64 5/11/63 (200 bp) — Monthly (17)
CMBX NA A.6 Index (86) 629 64 5/11/63 (200 bp) — Monthly (22)
CMBX NA A.6 Index (87) 629 64 5/11/63 (200 bp) — Monthly (23)
CMBX NA BB.10 Index (9,276) 41,000 13,645 11/17/59 (500 bp) — Monthly 4,334
CMBX NA BB.6 Index (36,089) 187,665 75,291 5/11/63 (500 bp) — Monthly 39,044
CMBX NA BB.6 Index (19,335) 143,598 57,611 5/11/63 (500 bp) — Monthly 38,155
CMBX NA BB.7 Index (35,390) 216,000 72,014 1/17/47 (500 bp) — Monthly 36,444
CMBX NA BB.7 Index (11,198) 74,000 24,672 1/17/47 (500 bp) — Monthly 13,412
CMBX NA BB.7 Index (12,183) 60,000 20,004 1/17/47 (500 bp) — Monthly 7,771
CMBX NA BB.7 Index (8,623) 51,000 17,003 1/17/47 (500 bp) — Monthly 8,338
CMBX NA BB.7 Index (6,572) 36,000 12,002 1/17/47 (500 bp) — Monthly 5,400
CMBX NA BB.8 Index (17,526) 48,316 18,128 10/17/57 (500 bp) — Monthly 562
CMBX NA BB.8 Index (6,479) 17,394 6,526 10/17/57 (500 bp) — Monthly 32
CMBX NA BB.9 Index (39) 1,000 326 9/17/58 (500 bp) — Monthly 287
CMBX NA BBB-.10 Index (4,812) 22,000 4,092 11/17/59 (300 bp) — Monthly (731)
CMBX NA BBB-.12 Index (11,482) 34,000 6,222 8/17/61 (300 bp) — Monthly (5,277)
CMBX NA BBB-.12 Index (4,289) 22,000 4,026 8/17/61 (300 bp) — Monthly (274)
CMBX NA BBB-.6 Index (41,693) 109,860 24,685 5/11/63 (300 bp) — Monthly (17,063)
JPMorgan Securities LLC
CMBX NA A.6 Index (4,454) 35,833 3,655 5/11/63 (200 bp) — Monthly (811)
CMBX NA BB.17 Index (78,835) 161,000 53,677 1/17/47 (500 bp) — Monthly (25,291)
CMBX NA BB.9 Index (14,826) 30,000 9,789 9/17/58 (500 bp) — Monthly (5,062)
CMBX NA BBB-.10 Index (20,175) 160,000 29,760 11/17/59 (300 bp) — Monthly 9,505
CMBX NA BBB-.12 Index (4,445) 37,000 6,771 8/17/61 (300 bp) — Monthly 2,307
CMBX NA BBB-.7 Index (499,810) 2,129,000 431,548 1/17/47 (300 bp) — Monthly (69,326)
Merrill Lynch International
CMBX NA BB.10 Index (11,494) 202,000 67,226 11/17/59 (500 bp) — Monthly 55,564
CMBX NA BBB-.10 Index (11,267) 52,000 9,672 11/17/59 (300 bp) — Monthly (1,621)
CMBX NA BBB-.7 Index (20,241) 247,000 50,067 1/17/47 (300 bp) — Monthly 29,702
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (5,070) 32,690 3,334 5/11/63 (200 bp) — Monthly (1,747)
CMBX NA A.6 Index (778) 5,029 513 5/11/63 (200 bp) — Monthly (266)
CMBX NA A.6 Index (291) 1,886 192 5/11/63 (200 bp) — Monthly (99)
CMBX NA A.6 Index (98) 629 64 5/11/63 (200 bp) — Monthly (34)
CMBX NA A.6 Index (97) 629 64 5/11/63 (200 bp) — Monthly (33)
CMBX NA A.6 Index (96) 629 64 5/11/63 (200 bp) — Monthly (32)
CMBX NA A.6 Index (86) 629 64 5/11/63 (200 bp) — Monthly (22)
CMBX NA BB.10 Index (31,705) 135,000 44,928 11/17/59 (500 bp) — Monthly 13,111
CMBX NA BB.10 Index (10,593) 101,000 33,613 11/17/59 (500 bp) — Monthly 22,936
CMBX NA BB.10 Index (29,160) 96,000 31,949 11/17/59 (500 bp) — Monthly 2,709
CMBX NA BB.7 Index (15,485) 77,000 25,672 1/17/47 (500 bp) — Monthly 10,123
CMBX NA BB.7 Index (13,305) 69,000 23,005 1/17/47 (500 bp) — Monthly 9,642
CMBX NA BB.7 Index (404) 2,000 667 1/17/47 (500 bp) — Monthly 261
CMBX NA BB.9 Index (156) 4,000 1,305 9/17/58 (500 bp) — Monthly 1,146
CMBX NA BBB-.10 Index (35,401) 210,000 39,060 11/17/59 (300 bp) — Monthly 3,554
CMBX NA BBB-.10 Index (18,186) 210,000 39,060 11/17/59 (300 bp) — Monthly 20,769
CMBX NA BBB-.10 Index (11,105) 90,000 16,740 11/17/59 (300 bp) — Monthly 5,590
CMBX NA BBB-.10 Index (11,288) 89,000 16,554 11/17/59 (300 bp) — Monthly 5,222
CMBX NA BBB-.10 Index (15,610) 66,000 12,276 11/17/59 (300 bp) — Monthly (3,367)
CMBX NA BBB-.10 Index (13,896) 57,000 10,602 11/17/59 (300 bp) — Monthly (3,323)
CMBX NA BBB-.10 Index (5,991) 50,000 9,300 11/17/59 (300 bp) — Monthly 3,284
CMBX NA BBB-.10 Index (6,214) 49,000 9,114 11/17/59 (300 bp) — Monthly 2,875
CMBX NA BBB-.10 Index (7,117) 31,000 5,766 11/17/59 (300 bp) — Monthly (1,367)
CMBX NA BBB-.10 Index (6,112) 28,000 5,208 11/17/59 (300 bp) — Monthly (918)
CMBX NA BBB-.10 Index (2,182) 17,000 3,162 11/17/59 (300 bp) — Monthly 972
CMBX NA BBB-.10 Index (3,252) 15,000 2,790 11/17/59 (300 bp) — Monthly (470)
CMBX NA BBB-.10 Index (3,027) 14,000 2,604 11/17/59 (300 bp) — Monthly (430)
CMBX NA BBB-.11 Index (20,889) 66,000 10,784 11/18/54 (300 bp) — Monthly (10,137)
CMBX NA BBB-.11 Index (11,860) 38,000 6,209 11/18/54 (300 bp) — Monthly (5,670)
CMBX NA BBB-.12 Index (1,107) 20,000 3,660 8/17/61 (300 bp) — Monthly 2,543
CMBX NA BBB-.13 Index (7,765) 126,000 25,036 12/16/72 (300 bp) — Monthly 17,208
CMBX NA BBB-.7 Index (5,016) 79,000 16,013 1/17/47 (300 bp) — Monthly 10,958
CMBX NA BBB-.7 Index (5,499) 54,000 10,946 1/17/47 (300 bp) — Monthly 5,416
Upfront premium received — Unrealized appreciation 902,636
Upfront premium (paid) (2,409,333) Unrealized (depreciation) (317,859)
Total $(2,409,333) Total $584,777
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.








CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
CDX NA HY Series 38 Index B+/P $(6,189) $2,421,540 $56,446 6/20/27 500 bp — Quarterly $(58,935)
Total $(6,189) $(58,935)
* 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 Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
bp Basis Points
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
OJSC Open Joint Stock Company
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 $141,334,463.
(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** $27,865,699 $60,234,881 $55,075,227 $203,808 $33,025,353
Total Short-term investments $27,865,699 $60,234,881 $55,075,227 $203,808 $33,025,353
** 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 $319,161.
(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 $8,759,072.
(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 $566,417.
(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 $3,493,922.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(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 and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
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 for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded 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, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded 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, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded 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 $9,240,584 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $8,759,072 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
Common stocks*:
Energy $42,809 $— $—
Utilities and power — 12,961 —
Total common stocks 42,809 12,961 —
Asset-backed securities — 1,257,553 —
Convertible bonds and notes — 5,490,954 —
Corporate bonds and notes — 22,867,046 —
Foreign government and agency bonds and notes — 11,006,372 —
Mortgage-backed securities — 57,213,125 —
Purchased options outstanding — 25 —
Purchased swap options outstanding — 680,065 —
Senior loans — 1,585,023 —
U.S. government and agency mortgage obligations — 115,318,390 —
U.S. treasury obligations — 346,938 —
Short-term investments 802,000 50,814,775 —
Totals by level $844,809 $266,593,227 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $379,337 $—
Futures contracts 840,382 — —
Written options outstanding — (921,700) —
Written swap options outstanding — (5,768,627) —
Forward premium swap option contracts — (2,188,918) —
TBA sale commitments — (38,036,670) —
Interest rate swap contracts — 1,763,206 —
Total return swap contracts — (246,699) —
Credit default contracts — (97,913) —
Totals by level $840,382 $(45,117,984) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $28,500,000
Purchased swap option contracts (contract amount) $630,900,000
Written TBA commitment option contracts (contract amount) $28,500,000
Written swap option contracts (contract amount) $593,900,000
Futures contracts (number of contracts) 300
Forward currency contracts (contract amount) $54,400,000
Centrally cleared interest rate swap contracts (notional) $506,100,000
OTC total return swap contracts (notional) $1,800,000
OTC credit default contracts (notional) $36,700,000
Centrally cleared credit default contracts (notional) $730,000
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