Putnam Core Bond Fund† | ||||||
† Effective February 28, 2023, the fund changed its name from Putnam Fixed Income Absolute Return Fund. | ||||||
The fund's portfolio | ||||||
1/31/23 (Unaudited) |
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (101.0%)(a) | ||||||
Principal amount | Value | |||||
U.S. Government Guaranteed Mortgage Obligations (7.7%) | ||||||
Government National Mortgage Association Pass-Through Certificates | ||||||
5.50%, 5/20/49 | $45,543 | $46,897 | ||||
5.00%, with due dates from 5/20/49 to 3/20/50 | 150,659 | 153,030 | ||||
4.50%, TBA, 2/1/53 | 12,000,000 | 11,915,360 | ||||
4.00%, TBA, 2/1/53 | 8,000,000 | 7,774,306 | ||||
4.00%, 1/20/50 | 16,774 | 16,428 | ||||
3.50%, with due dates from 9/20/49 to 11/20/49 | 211,380 | 200,781 | ||||
3.00%, TBA, 2/1/53 | 8,000,000 | 7,349,476 | ||||
27,456,278 | ||||||
U.S. Government Agency Mortgage Obligations (93.3%) | ||||||
Federal National Mortgage Association Pass-Through Certificates | ||||||
5.00%, with due dates from 1/1/49 to 8/1/49 | 81,843 | 82,526 | ||||
4.50%, 5/1/49 | 11,396 | 11,412 | ||||
Uniform Mortgage-Backed Securities | ||||||
6.00%, TBA, 3/1/53 | 14,000,000 | 14,356,563 | ||||
6.00%, TBA, 2/1/53 | 14,000,000 | 14,383,907 | ||||
5.50%, TBA, 3/1/53 | 22,000,000 | 22,332,589 | ||||
5.50%, TBA, 2/1/53 | 52,000,000 | 52,828,776 | ||||
5.00%, TBA, 3/1/53 | 16,000,000 | 16,054,374 | ||||
5.00%, TBA, 2/1/53 | 156,000,000 | 156,621,566 | ||||
4.50%, TBA, 2/1/53 | 43,000,000 | 42,472,579 | ||||
3.50%, TBA, 2/1/53 | 7,000,000 | 6,569,609 | ||||
2.50%, TBA, 2/1/53 | 5,000,000 | 4,376,170 | ||||
2.00%, TBA, 2/1/53 | 5,000,000 | 4,208,284 | ||||
334,298,355 | ||||||
Total U.S. government and agency mortgage obligations (cost $357,299,021) | $361,754,633 |
U.S. TREASURY OBLIGATIONS (0.2%)(a) | ||||||
Principal amount | Value | |||||
U.S. Treasury Bonds 6.75%, 8/15/26(i) | $22,000 | $24,794 | ||||
U.S. Treasury Notes | ||||||
3.00%, 9/30/25(i) | 334,000 | 329,264 | ||||
1.625%, 5/15/31(i) | 425,000 | 371,255 | ||||
Total U.S. treasury obligations (cost $725,313) | $725,313 |
CORPORATE BONDS AND NOTES (14.2%)(a) | ||||||
Principal amount | Value | |||||
Basic materials (2.2%) | ||||||
Axalta Coating Systems, LLC/Axalta Coating Systems Dutch Holding B BV 144A company guaranty sr. unsec. notes 4.75%, 6/15/27 | $980,000 | $926,100 | ||||
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 660,000 | 593,539 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 1,080,000 | 1,095,259 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 450,000 | 455,810 | ||||
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | 430,000 | 372,386 | ||||
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 410,000 | 336,713 | ||||
Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 850,000 | 758,625 | ||||
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 1,705,000 | 1,543,025 | ||||
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 | 425,000 | 405,344 | ||||
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 | 1,520,000 | 1,512,400 | ||||
7,999,201 | ||||||
Capital goods (0.9%) | ||||||
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 | 793,000 | 779,305 | ||||
DP World Salaam jr. unsec. sub. FRN 6.00%, 1/1/26 (United Arab Emirates) | 530,000 | 530,000 | ||||
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 586,000 | 511,285 | ||||
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 | 300,000 | 304,458 | ||||
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 520,000 | 519,817 | ||||
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 | 586,000 | 595,376 | ||||
3,240,241 | ||||||
Communication services (0.9%) | ||||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 490,000 | 453,250 | ||||
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 | 278,000 | 227,455 | ||||
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 650,000 | 560,219 | ||||
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 265,000 | 283,507 | ||||
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 | 1,045,000 | 1,060,542 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 | 526,000 | 527,643 | ||||
3,112,616 | ||||||
Consumer cyclicals (1.5%) | ||||||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 | 1,000,000 | 982,870 | ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 | 410,000 | 357,987 | ||||
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 | 483,000 | 474,581 | ||||
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 861,000 | 836,918 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 471,000 | 388,283 | ||||
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 680,000 | 643,450 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 837,000 | 737,532 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/30 | 123,000 | 111,725 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 440,000 | 416,960 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 520,000 | 487,318 | ||||
5,437,624 | ||||||
Consumer staples (1.7%) | ||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 2,280,000 | 2,161,554 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 | 840,000 | 724,500 | ||||
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 | 515,000 | 493,815 | ||||
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 762,000 | 700,865 | ||||
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 710,000 | 736,574 | ||||
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 85,000 | 86,210 | ||||
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 | 1,093,000 | 1,038,394 | ||||
5,941,912 | ||||||
Energy (3.9%) | ||||||
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 1,085,000 | 947,476 | ||||
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 840,000 | 827,400 | ||||
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 | 215,000 | 211,099 | ||||
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 | 193,000 | 151,642 | ||||
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 | 835,000 | 778,479 | ||||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 1,230,000 | 1,205,400 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 | 1,035,000 | 1,024,774 | ||||
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 867,000 | 807,394 | ||||
KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 4.75%, 4/19/27 (Kazakhstan) | 560,000 | 520,800 | ||||
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 | 780,000 | 781,014 | ||||
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 758,000 | 765,928 | ||||
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 1,259,000 | 1,324,002 | ||||
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) | 400,000 | 398,000 | ||||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 488,000 | 489,156 | ||||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 88,000 | 84,653 | ||||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) | 78,000 | 77,754 | ||||
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 278,000 | 222,551 | ||||
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 145,000 | 120,359 | ||||
Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) | 600,000 | 586,200 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 820,000 | 807,171 | ||||
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 | 379,000 | 334,096 | ||||
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | 1,225,000 | 1,140,781 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 368,000 | 337,180 | ||||
13,943,309 | ||||||
Financials (1.6%) | ||||||
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 540,000 | 594,727 | ||||
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 1,209,000 | 1,201,569 | ||||
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) | 1,150,000 | 1,089,625 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 | 1,095,000 | 1,080,223 | ||||
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) | 346,000 | 343,405 | ||||
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) | 400,000 | 367,868 | ||||
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 1,000,000 | 993,455 | ||||
5,670,872 | ||||||
Health care (1.1%) | ||||||
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 930,000 | 883,556 | ||||
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 140,000 | 117,648 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 4.875%, 1/1/26 | 1,655,000 | 1,611,920 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 1,132,000 | 1,128,508 | ||||
3,741,632 | ||||||
Technology (0.1%) | ||||||
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 591,000 | 514,170 | ||||
514,170 | ||||||
Utilities and power (0.3%) | ||||||
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 755,000 | 696,684 | ||||
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 501,000 | 418,425 | ||||
1,115,109 | ||||||
Total corporate bonds and notes (cost $54,251,326) | $50,716,686 |
MORTGAGE-BACKED SECURITIES (13.9%)(a) | ||||||
Principal amount | Value | |||||
Commercial mortgage-backed securities (6.3%) | ||||||
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.313%, 1/15/49(WAC) | $75,721 | $1 | ||||
BANK | ||||||
FRB Ser. 17-BNK9, Class XA, IO, 0.766%, 11/15/54(WAC) | 36,966,496 | 1,107,158 | ||||
FRB Ser. 18-BN10, Class XA, IO, 0.692%, 2/15/61(WAC) | 39,072,548 | 1,098,732 | ||||
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) | 16,225 | 15,657 | ||||
Cantor Commercial Real Estate Lending FRB Ser. 19-CF3, Class XA, IO, 0.708%, 1/15/53(WAC) | 10,601,295 | 362,403 | ||||
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.546%, 2/10/50(WAC) | 756,000 | 584,165 | ||||
CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.607%, 5/10/58(WAC) | 5,821,893 | 224,477 | ||||
Citigroup Commercial Mortgage Trust | ||||||
FRB Ser. 14-GC21, Class XA, IO, 1.124%, 5/10/47(WAC) | 8,746,657 | 89,105 | ||||
FRB Ser. 14-GC19, Class XA, IO, 1.096%, 3/11/47(WAC) | 13,421,659 | 97,522 | ||||
FRB Ser. 13-GC17, Class XA, IO, 0.988%, 11/10/46(WAC) | 10,199,745 | 39,873 | ||||
Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.088%, 3/11/47(WAC) | 561,000 | 526,562 | ||||
COMM Mortgage Trust | ||||||
FRB Ser. 14-CR17, Class C, 4.781%, 5/10/47(WAC) | 2,166,000 | 1,980,887 | ||||
FRB Ser. 15-LC19, Class C, 4.215%, 2/10/48(WAC) | 1,031,000 | 956,877 | ||||
FRB Ser. 14-UBS4, Class XA, IO, 1.087%, 8/10/47(WAC) | 5,783,667 | 60,905 | ||||
FRB Ser. 14-CR20, Class XA, IO, 0.944%, 11/10/47(WAC) | 20,523,939 | 243,209 | ||||
FRB Ser. 14-CR19, Class XA, IO, 0.931%, 8/10/47(WAC) | 18,945,234 | 193,706 | ||||
FRB Ser. 13-CR11, Class XA, IO, 0.896%, 8/10/50(WAC) | 49,151,353 | 118,307 | ||||
FRB Ser. 15-CR23, Class XA, IO, 0.862%, 5/10/48(WAC) | 18,111,254 | 254,983 | ||||
FRB Ser. 15-CR22, Class XA, IO, 0.82%, 3/10/48(WAC) | 10,098,298 | 153,494 | ||||
FRB Ser. 15-LC21, Class XA, IO, 0.654%, 7/10/48(WAC) | 31,247,578 | 387,442 | ||||
COMM Mortgage Trust 144A FRB Ser. 13-CR13, Class E, 4.876%, 11/10/46(WAC) | 523,000 | 405,792 | ||||
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41(WAC) | 4,649,202 | 1,706,257 | ||||
CSAIL Commercial Mortgage Trust Ser. 15-C1, Class XA, IO, 0.817%, 4/15/50(WAC) | 18,459,636 | 210,532 | ||||
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.355%, 8/10/44(WAC) | 1,248,987 | 1,105,395 | ||||
GS Mortgage Securities Trust | ||||||
FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47(WAC) | 1,251,000 | 1,194,232 | ||||
FRB Ser. 14-GC18, Class XA, IO, 1.022%, 1/10/47(WAC) | 15,788,129 | 97,886 | ||||
JPMBB Commercial Mortgage Securities Trust | ||||||
FRB Ser. 14-C24, Class XA, IO, 0.859%, 11/15/47(WAC) | 33,731,875 | 330,862 | ||||
FRB Ser. 14-C19, Class XA, IO, 0.624%, 4/15/47(WAC) | 11,187,735 | 48,544 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-C10, Class XA, IO, 0.867%, 12/15/47(WAC) | 4,698,052 | 6,986 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-LC9, Class D, 3.797%, 12/15/47(WAC) | 327,000 | 326,827 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||
FRB Ser. 15-C26, Class XA, IO, 0.966%, 10/15/48(WAC) | 12,996,562 | 206,242 | ||||
FRB Ser. 13-C13, Class XA, IO, 0.93%, 11/15/46(WAC) | 42,647,255 | 152,771 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||||||
FRB Ser. 12-C5, Class E, 4.656%, 8/15/45(WAC) | 1,026,000 | 946,709 | ||||
FRB Ser. 13-C10, Class E, 4.07%, 7/15/46(WAC) | 3,310,000 | 1,133,344 | ||||
FRB Ser. 13-C10, Class F, 4.07%, 7/15/46(WAC) | 2,461,000 | 502,499 | ||||
Morgan Stanley Capital I Trust FRB Ser. 16-UB12, Class XA, IO, 0.652%, 12/15/49(WAC) | 21,285,676 | 424,111 | ||||
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 20-FL4, Class C, 9.256%, 2/25/35 | 2,333,000 | 2,278,746 | ||||
UBS Commercial Mortgage Trust | ||||||
FRB Ser. 17-C7, Class XA, IO, 1.004%, 12/15/50(WAC) | 10,557,020 | 380,106 | ||||
FRB Ser. 18-C8, Class XA, IO, 0.821%, 2/15/51(WAC) | 13,245,776 | 450,478 | ||||
UBS-Barclays Commercial Mortgage Trust 144A | ||||||
FRB Ser. 13-C5, Class XA, IO, 0.658%, 3/10/46(WAC) | 1,185,438 | 12 | ||||
FRB Ser. 12-C2, Class XA, IO, 0.601%, 5/10/63(WAC) | 1,088,685 | 11 | ||||
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.342%, 11/15/48(WAC) | 826,540 | 258 | ||||
Wells Fargo Commercial Mortgage Trust FRB Ser. 14-LC16, Class XA, IO, 1.079%, 8/15/50(WAC) | 15,082,015 | 141,596 | ||||
Wells Fargo Commercial Mortgage Trust 144A Ser. 20-C55, Class D, 2.50%, 2/15/53 | 2,057,000 | 1,338,781 | ||||
WF-RBS Commercial Mortgage Trust 144A Ser. 11-C4, Class D, 4.845%, 6/15/44(WAC) | 771,000 | 643,563 | ||||
22,528,005 | ||||||
Residential mortgage-backed securities (non-agency) (7.6%) | ||||||
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 | 1,188,823 | 636,941 | ||||
Arroyo Mortgage Trust 144A Ser. 19-1, Class A3, 4.208%, 1/25/49(WAC) | 194,814 | 182,594 | ||||
Bellemeade Re, Ltd. 144A FRB Ser. 20-2A, Class B1, (ICE LIBOR USD 1 Month + 8.50%), 13.006%, 8/26/30 (Bermuda) | 421,000 | 432,247 | ||||
BRAVO Residential Funding Trust 144A Ser. 21-C, Class A1, 1.62%, 3/1/61 | 394,615 | 343,315 | ||||
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 4.986%, 6/25/36 | 937,203 | 900,512 | ||||
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR5, Class 1A1A, 3.647%, 4/25/37(WAC) | 316,736 | 269,348 | ||||
Countrywide Alternative Loan Trust | ||||||
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.146%, 11/20/35 | 1,504,471 | 1,346,662 | ||||
FRB Ser. 06-OA10, Class 2A1, (ICE LIBOR USD 1 Month + 0.38%), 4.886%, 8/25/46 | 330,787 | 276,724 | ||||
FRB Ser. 06-OA7, Class 1A1, 2.834%, 6/25/46(WAC) | 392,021 | 361,875 | ||||
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (ICE LIBOR USD 1 Month + 0.62%), 5.126%, 4/25/35 | 239,153 | 205,476 | ||||
Federal Home Loan Mortgage Corporation | ||||||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 13.706%, 10/25/27 | 987,578 | 1,017,771 | ||||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 12.056%, 12/25/27 | 742,203 | 740,578 | ||||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.206%, 4/25/28 | 94,313 | 99,107 | ||||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (ICE LIBOR USD 1 Month + 3.80%), 8.306%, 3/25/29 | 181,225 | 185,501 | ||||
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 8.056%, 8/25/29 | 587,551 | 608,115 | ||||
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M2B, (ICE LIBOR USD 1 Month + 2.50%), 7.006%, 3/25/30 | 361,000 | 365,513 | ||||
Federal Home Loan Mortgage Corporation 144A | ||||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 9.56%, 3/25/42 | 2,826,000 | 2,822,468 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 7.11%, 10/25/50 | 24,929 | 25,247 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 6.96%, 7/25/42 | 347,574 | 351,919 | ||||
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 6.906%, 2/25/47 | 764,260 | 768,082 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.46%, 9/25/42 | 18,251 | 18,380 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M1A, (US 30 Day Average SOFR + 2.10%), 6.41%, 3/25/42 | 23,131 | 23,160 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 6.16%, 1/25/42 | 347,000 | 335,933 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 5.61%, 2/25/42 | 292,543 | 290,349 | ||||
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 5.506%, 2/25/47 | 2,568,110 | 2,546,346 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.31%, 1/25/42 | 47,173 | 46,334 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 5.16%, 9/25/41 | 224,828 | 217,047 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.11%, 10/25/41 | 230,126 | 228,283 | ||||
Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57(WAC) | 340,000 | 304,281 | ||||
Federal National Mortgage Association | ||||||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.256%, 10/25/28 | 833,483 | 928,923 | ||||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.256%, 8/25/28 | 287,481 | 318,896 | ||||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.456%, 8/25/28 | 20,757 | 21,962 | ||||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.256%, 8/25/28 | 6,411 | 6,813 | ||||
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 10.506%, 9/25/28 | 68,536 | 71,994 | ||||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.406%, 10/25/28 | 70,087 | 73,241 | ||||
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.206%, 4/25/28 | 685,597 | 723,621 | ||||
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 10.056%, 4/25/28 | 140,437 | 147,450 | ||||
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 10.006%, 9/25/29 | 598,000 | 651,634 | ||||
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 9.506%, 11/25/24 | 687 | 695 | ||||
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 9.406%, 11/25/24 | 370,576 | 385,673 | ||||
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 9.006%, 12/25/30 | 842,700 | 891,414 | ||||
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 8.806%, 2/25/25 | 42,507 | 43,984 | ||||
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.506%, 5/25/25 | 3,912 | 3,991 | ||||
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 8.156%, 9/25/29 | 135,000 | 139,605 | ||||
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.406%, 7/25/24 | 244,086 | 246,800 | ||||
Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (ICE LIBOR USD 1 Month + 2.80%), 7.306%, 2/25/30 | 61,000 | 61,630 | ||||
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (ICE LIBOR USD 1 Month + 2.60%), 7.106%, 5/25/24 | 80,631 | 81,842 | ||||
Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (ICE LIBOR USD 1 Month + 2.35%), 6.856%, 1/25/31 | 194,455 | 196,156 | ||||
Federal National Mortgage Association 144A | ||||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.31%, 1/25/42 | 1,012,000 | 983,538 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.26%, 6/25/42 | 50,528 | 51,567 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.956%, 7/25/31 | 27,284 | 27,318 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 6.81%, 9/25/42 | 112,447 | 113,064 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 11/25/39 | 428,868 | 425,733 | ||||
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 1/25/40 | 81,527 | 81,260 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 5.51%, 1/25/42 | 161,621 | 160,005 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.31%, 12/25/41 | 96,538 | 95,451 | ||||
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 5.21%, 11/25/41 | 79,987 | 79,235 | ||||
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 235,787 | 216,951 | ||||
GSAA Home Equity Trust Ser. 06-15, Class AF3A, 5.882%, 9/25/36(WAC) | 742,746 | 247,550 | ||||
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.99%, 5/19/35 | 753,455 | 257,927 | ||||
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.46%, 1/25/34 (Bermuda) | 213,000 | 179,264 | ||||
Homeward Opportunities Fund I Trust 144A Ser. 20-2, Class A3, 3.196%, 5/25/65(WAC) | 647,000 | 583,149 | ||||
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 4.906%, 6/25/37 | 515,650 | 217,609 | ||||
Legacy Mortgage Asset Trust 144A Ser. 21-GS3, Class A2, 3.25%, 7/25/61 | 403,000 | 343,533 | ||||
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 4.936%, 5/25/46 | 614,959 | 528,865 | ||||
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A3, 2.911%, 5/25/60(WAC) | 381,000 | 354,399 | ||||
ROC Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.487%, 8/25/26(WAC) | 870,000 | 789,525 | ||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||
FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 5.486%, 10/25/45 | 415,146 | 388,830 | ||||
FRB Ser. 05-AR10, Class 1A3, 3.832%, 9/25/35(WAC) | 225,893 | 201,645 | ||||
27,272,850 | ||||||
Total mortgage-backed securities (cost $60,452,121) | $49,800,855 |
COLLATERALIZED LOAN OBLIGATIONS (9.0%)(a) | ||||||
Principal amount | Value | |||||
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 4/15/34 (Cayman Islands) | $1,245,000 | $1,223,547 | ||||
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.008%, 7/20/34 (Cayman Islands) | 902,000 | 889,759 | ||||
AIG CLO, LLC 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 | 400,000 | 394,242 | ||||
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.915%, 4/22/34 | 365,000 | 359,625 | ||||
Allegany Park CLO, Ltd. 144A FRB Ser. 22-1A, Class AR, (CME TERM SOFR 3 Month + 1.30%), 5.939%, 1/20/35 (Cayman Islands) | 750,000 | 732,098 | ||||
American Money Management Corp. CLO 21, Ltd. 144A FRB Ser. 17-21A, Class A, (ICE LIBOR USD 3 Month + 1.25%), 5.71%, 11/2/30 (Cayman Islands) | 1,250,000 | 1,242,169 | ||||
Apidos CLO XII 144A FRB Ser. 18-12A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/31 (Cayman Islands) | 1,071,000 | 1,061,420 | ||||
Ares LXI CLO, Ltd. 144A FRB Ser. 21-61A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 5.958%, 10/20/34 (Cayman Islands) | 500,000 | 494,145 | ||||
Ares LXIV CLO, Ltd. 144A FRB Ser. 22-64A, Class A1, (CME TERM SOFR 3 Month + 1.44%), 6.098%, 4/15/35 (Cayman Islands) | 500,000 | 490,047 | ||||
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 4/15/34 (Cayman Islands) | 750,000 | 737,009 | ||||
Battery Park CLO II, Ltd. 144A FRB Ser. 22-1A, Class A1, (CME TERM SOFR 3 Month + 2.21%), 6.39%, 10/20/35 | 800,000 | 796,945 | ||||
Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (ICE LIBOR USD 3 Month + 1.09%), 5.898%, 4/20/31 | 631,000 | 626,811 | ||||
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 10/15/34 (Cayman Islands) | 619,000 | 608,794 | ||||
Canyon Capital CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 7/15/31 (Cayman Islands) | 785,000 | 775,266 | ||||
Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-1A, Class A1R2, (ICE LIBOR USD 3 Month + 0.97%), 5.762%, 4/17/31 (Cayman Islands) | 847,424 | 839,655 | ||||
Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-3RA, Class A1A, (ICE LIBOR USD 3 Month + 1.05%), 5.865%, 7/27/31 (Cayman Islands) | 621,879 | 616,101 | ||||
CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.918%, 4/20/32 (Cayman Islands) | 1,119,000 | 1,105,597 | ||||
CBAM CLO Management, Ltd. 144A FRB Ser. 18-5A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 5.812%, 4/17/31 (Cayman Islands) | 881,000 | 869,986 | ||||
Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 5.785%, 7/27/30 (Cayman Islands) | 1,174,646 | 1,162,217 | ||||
CIFC Funding, Ltd. 144A FRB Ser. 21-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 5.766%, 10/24/30 (Cayman Islands) | 750,798 | 742,977 | ||||
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 6.022%, 10/15/31 (Cayman Islands) | 796,970 | 792,252 | ||||
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 5.992%, 7/15/34 (Cayman Islands) | 1,054,000 | 1,040,673 | ||||
ICG US CLO, Ltd. 144A FRB Ser. 18-1A, Class A2R, (ICE LIBOR USD 3 Month + 1.55%), 6.348%, 10/19/28 (Cayman Islands) | 500,000 | 489,725 | ||||
Jamestown CLO IX, Ltd. 144A FRB Ser. 21-9A, Class A1RR, (ICE LIBOR USD 3 Month + 1.24%), 6.058%, 7/25/34 (Cayman Islands) | 400,000 | 394,613 | ||||
LCM, Ltd. 144A FRB Ser. 30A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.888%, 4/20/31 (Cayman Islands) | 934,000 | 918,970 | ||||
Madison Park Funding XVIII, Ltd. 144A FRB Ser. 21-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 5.755%, 10/21/30 (Cayman Islands) | 1,145,624 | 1,133,770 | ||||
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 6.112%, 4/15/32 (Cayman Islands) | 500,000 | 492,475 | ||||
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 6.082%, 1/15/35 (Cayman Islands) | 250,000 | 244,465 | ||||
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) | 379,000 | 373,160 | ||||
OCP CLO, Ltd. 144A FRB Ser. 21-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 5.848%, 7/20/32 (Cayman Islands) | 1,015,000 | 999,665 | ||||
Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 5.996%, 1/24/33 (Cayman Islands) | 528,000 | 521,655 | ||||
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.606%, 5/15/32 (Cayman Islands) | 983,000 | 949,659 | ||||
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 5.808%, 10/20/31 (Cayman Islands) | 500,000 | 491,749 | ||||
Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.16%), 5.952%, 10/15/34 (Cayman Islands) | 341,000 | 335,357 | ||||
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 1,000,000 | 984,948 | ||||
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-2A, Class A1, (ICE LIBOR USD 3 Month + 1.16%), 5.968%, 7/20/34 (Cayman Islands) | 400,000 | 392,413 | ||||
Saranac CLO VI, Ltd. 144A FRB Ser. 21-6A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 5.873%, 8/13/31 (Jersey) | 400,000 | 393,600 | ||||
Sound Point CLO VIII-R, Ltd. 144A FRB Ser. 21-1RA, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/30 (Cayman Islands) | 452,251 | 445,826 | ||||
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 724,000 | 704,479 | ||||
Sound Point CLO XXVIII, Ltd. 144A FRB Ser. 20-3A, Class A1, (ICE LIBOR USD 3 Month + 1.28%), 6.098%, 1/25/32 (Cayman Islands) | 600,000 | 591,560 | ||||
Venture 37 CLO, Ltd. 144A FRB Ser. 21-37A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 5.942%, 7/15/32 (Cayman Islands) | 500,000 | 490,089 | ||||
Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 6.508%, 1/20/29 (Cayman Islands) | 1,200,000 | 1,166,854 | ||||
Wellfleet CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 7/17/31 | 1,000,000 | 981,309 | ||||
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 6.282%, 7/15/32 | 1,214,000 | 1,197,016 | ||||
Total collateralized loan obligations (cost $32,321,444) | $32,294,692 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (5.0%)(a) | ||||||
Principal amount | Value | |||||
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) | $800,000 | $625,000 | ||||
Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil) | 845,000 | 745,808 | ||||
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | 1,520,000 | 1,349,000 | ||||
Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d'lvoire) | EUR | 210,000 | 178,614 | |||
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) | $1,295,000 | 1,150,931 | ||||
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | 572,000 | 486,451 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 682,000 | 701,760 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) | 150,000 | 147,042 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 379,000 | 377,491 | ||||
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) | 1,090,000 | 1,005,298 | ||||
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) | 230,000 | 169,333 | ||||
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) | 870,000 | 718,834 | ||||
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)(NON) | 380,000 | 152,000 | ||||
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)(NON) | 630,000 | 238,613 | ||||
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) | 885,000 | 885,618 | ||||
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) | 1,194,000 | 1,141,617 | ||||
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 310,000 | 308,261 | ||||
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) | 1,290,000 | 1,285,769 | ||||
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) | 690,000 | 731,538 | ||||
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) | 420,000 | 381,108 | ||||
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | 535,000 | 518,950 | ||||
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) | 255,000 | 251,813 | ||||
Romania (Government of) 144A unsec. bonds 3.625%, 3/27/32 (Romania) | 1,000,000 | 840,470 | ||||
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) | 255,000 | 256,595 | ||||
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) | 305,000 | 293,561 | ||||
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) | 1,090,000 | 714,225 | ||||
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | 2,170,000 | 1,779,113 | ||||
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) | 500,000 | 492,500 | ||||
Total foreign government and agency bonds and notes (cost $19,840,548) | $17,927,313 |
CONVERTIBLE BONDS AND NOTES (0.9%)(a) | ||||||
Principal amount | Value | |||||
Capital goods (—%) | ||||||
Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 | $33,000 | $35,442 | ||||
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 | 44,000 | 40,546 | ||||
75,988 | ||||||
Communication services (0.1%) | ||||||
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 93,000 | 60,849 | ||||
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 21,000 | 27,458 | ||||
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 | 75,000 | 69,300 | ||||
157,607 | ||||||
Consumer cyclicals (0.2%) | ||||||
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 53,000 | 42,466 | ||||
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 | 23,000 | 19,366 | ||||
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 | 44,000 | 62,647 | ||||
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 | 27,000 | 33,446 | ||||
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 | 43,000 | 29,240 | ||||
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 | 52,000 | 47,320 | ||||
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 | 73,000 | 74,095 | ||||
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 | 51,000 | 40,647 | ||||
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 | 99,000 | 106,178 | ||||
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 | 20,000 | 28,650 | ||||
NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 | 43,000 | 33,863 | ||||
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 | 51,000 | 77,852 | ||||
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 | 40,000 | 42,700 | ||||
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 | 65,000 | 61,506 | ||||
699,976 | ||||||
Consumer staples (0.1%) | ||||||
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | 20,000 | 17,170 | ||||
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 | 35,000 | 28,634 | ||||
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 | 36,000 | 31,298 | ||||
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 | 41,000 | 32,210 | ||||
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 | 58,000 | 52,165 | ||||
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 39,000 | 28,999 | ||||
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 | 50,000 | 43,937 | ||||
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 | 39,000 | 30,666 | ||||
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 | 35,000 | 27,038 | ||||
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 | 25,000 | 25,613 | ||||
317,730 | ||||||
Energy (—%) | ||||||
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 49,000 | 52,689 | ||||
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 | 14,000 | 32,935 | ||||
85,624 | ||||||
Financials (—%) | ||||||
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 | 43,000 | 32,207 | ||||
32,207 | ||||||
Health care (0.2%) | ||||||
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 | 36,000 | 40,500 | ||||
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 | 21,000 | 19,982 | ||||
Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 | 46,000 | 48,438 | ||||
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 | 77,000 | 68,723 | ||||
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 | 80,000 | 74,900 | ||||
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 36,000 | 49,698 | ||||
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 | 27,000 | 28,391 | ||||
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) | 61,000 | 59,894 | ||||
Lantheus Holdings, Inc. 144A cv. company guaranty sr. unsec. unsub. notes 2.625%, 12/15/27 | 36,000 | 38,408 | ||||
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 | 50,000 | 45,688 | ||||
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 37,000 | 29,670 | ||||
504,292 | ||||||
Technology (0.3%) | ||||||
3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 | 24,000 | 17,805 | ||||
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 111,000 | 109,890 | ||||
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 39,000 | 41,789 | ||||
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 | 48,000 | 40,080 | ||||
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 | 44,000 | 35,288 | ||||
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 | 33,000 | 44,237 | ||||
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 | 37,000 | 33,578 | ||||
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) | 28,000 | 30,783 | ||||
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 | 32,000 | 35,040 | ||||
DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 | 41,000 | 31,468 | ||||
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 37,000 | 31,243 | ||||
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 | 26,000 | 24,557 | ||||
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 | 42,000 | 57,490 | ||||
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 58,000 | 52,635 | ||||
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 | 24,000 | 29,400 | ||||
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 63,000 | 53,424 | ||||
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 | 26,000 | 38,987 | ||||
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 27,000 | 44,253 | ||||
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 67,000 | 58,416 | ||||
Perficient, Inc. cv. sr. unsec. notes 0.125%, 11/15/26 | 42,000 | 33,995 | ||||
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 | 48,000 | 41,970 | ||||
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 | 51,000 | 37,638 | ||||
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 | 78,000 | 67,127 | ||||
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 36,000 | 30,024 | ||||
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 | 22,000 | 20,889 | ||||
Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 | 42,000 | 32,382 | ||||
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 27,000 | 28,013 | ||||
Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 | 34,000 | 33,018 | ||||
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 | 23,000 | 25,128 | ||||
1,160,547 | ||||||
Transportation (—%) | ||||||
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 | 39,000 | 30,830 | ||||
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | 62,000 | 74,338 | ||||
105,168 | ||||||
Utilities and power (—%) | ||||||
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 | 56,000 | 57,288 | ||||
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 | 48,000 | 49,032 | ||||
106,320 | ||||||
Total convertible bonds and notes (cost $3,496,993) | $3,245,459 |
ASSET-BACKED SECURITIES (0.6%)(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 | $383,322 | $378,530 | ||||
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 11/25/55 | 916,000 | 827,293 | ||||
MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.55%, 6/15/23 | 1,000,000 | 1,000,000 | ||||
Total asset-backed securities (cost $2,254,667) | $2,205,823 |
SHORT-TERM INVESTMENTS (53.2%)(a) | ||||||
Principal amount/shares | Value | |||||
Interest in $385,437,000 joint tri-party repurchase agreement dated 1/31/2023 with Citigroup Global Markets, Inc. due 2/1/2023 - maturity value of $89,526,692 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 4.500% to 6.500% and due dates ranging from 10/20/2052 to 11/20/2052, valued at $393,168,615) | $89,516,000 | $89,516,000 | ||||
Interest in $200,000,000 joint tri-party repurchase agreement dated 1/31/2023 with JPMorgan Securities, LLC due 2/1/2023 - maturity value of $88,010,462 for an effective yield of 4.280% (collateralized by U.S. Treasuries (including strips) with coupon rates ranging from 2.625% to 3.000% and due dates ranging from 2/15/2029 to 5/15/2042, valued at $204,024,288) | 88,000,000 | 88,000,000 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18%(P) | Shares | 4,818,000 | 4,818,000 | |||
U.S. Treasury Bills 4.410%, 2/23/23(SEGSF)(SEGCCS) | $2,200,000 | 2,194,014 | ||||
U.S. Treasury Bills 3.814%, 2/2/23(SEG)(SEGSF)(SEGCCS)(SEGTBA) | 4,300,000 | 4,299,523 | ||||
U.S. Treasury Bills zero%, 6/15/23(i) | 1,752,000 | 1,721,690 | ||||
U.S. Treasury Bills zero%, 4/27/23(i) | 49,000 | 48,466 | ||||
Total short-term investments (cost $190,597,891) | $190,597,693 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $721,239,324) | $709,268,467 |
FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited) | |||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) | |
Bank of America N.A. | |||||||
Canadian Dollar | Sell | 4/19/23 | $8,423 | $8,279 | $(144) | ||
New Zealand Dollar | Sell | 4/19/23 | 15,713 | 15,310 | (403) | ||
Swedish Krona | Sell | 3/15/23 | 2,798 | 2,812 | 14 | ||
Barclays Bank PLC | |||||||
Swiss Franc | Buy | 3/15/23 | 142,849 | 139,046 | 3,803 | ||
Citibank, N.A. | |||||||
Australian Dollar | Sell | 4/19/23 | 12,034 | 11,601 | (433) | ||
Canadian Dollar | Sell | 4/19/23 | 14,815 | 14,519 | (296) | ||
Euro | Buy | 3/15/23 | 2,943 | 2,930 | 13 | ||
Norwegian Krone | Sell | 3/15/23 | 7,839 | 7,873 | 34 | ||
Swedish Krona | Sell | 3/15/23 | 18,411 | 18,314 | (97) | ||
Swiss Franc | Sell | 3/15/23 | 11,084 | 10,849 | (235) | ||
Goldman Sachs International | |||||||
Swiss Franc | Buy | 3/15/23 | 1,658,240 | 1,614,088 | 44,152 | ||
HSBC Bank USA, National Association | |||||||
Australian Dollar | Sell | 4/19/23 | 95,709 | 92,233 | (3,476) | ||
British Pound | Sell | 3/15/23 | 315,032 | 312,050 | (2,982) | ||
Canadian Dollar | Sell | 4/19/23 | 41,663 | 40,956 | (707) | ||
Euro | Buy | 3/15/23 | 16,568 | 16,622 | (54) | ||
New Zealand Dollar | Sell | 4/19/23 | 14,485 | 14,021 | (464) | ||
Norwegian Krone | Buy | 3/15/23 | 27,965 | 29,093 | (1,128) | ||
Swedish Krona | Sell | 3/15/23 | 116,312 | 119,509 | 3,197 | ||
Swiss Franc | Sell | 3/15/23 | 36,206 | 35,642 | (564) | ||
JPMorgan Chase Bank N.A. | |||||||
British Pound | Sell | 3/15/23 | 193,363 | 191,547 | (1,816) | ||
Canadian Dollar | Sell | 4/19/23 | 182,520 | 179,427 | (3,093) | ||
Euro | Sell | 3/15/23 | 436,331 | 423,030 | (13,301) | ||
Norwegian Krone | Sell | 3/15/23 | 13,741 | 13,698 | (43) | ||
Swiss Franc | Buy | 3/15/23 | 11,958 | 11,643 | 315 | ||
Morgan Stanley & Co. International PLC | |||||||
British Pound | Buy | 3/15/23 | 1,851 | 1,952 | (101) | ||
Euro | Sell | 3/15/23 | 267,597 | 259,455 | (8,142) | ||
Japanese Yen | Buy | 2/15/23 | 1,942,116 | 1,910,329 | 31,787 | ||
Japanese Yen | Sell | 2/15/23 | 1,942,116 | 1,923,138 | (18,978) | ||
Japanese Yen | Buy | 5/17/23 | 1,804,792 | 1,801,429 | 3,363 | ||
New Zealand Dollar | Sell | 4/19/23 | 1,714,668 | 1,659,680 | (54,988) | ||
NatWest Markets PLC | |||||||
Japanese Yen | Buy | 2/15/23 | 543,507 | 533,692 | 9,815 | ||
Japanese Yen | Sell | 2/15/23 | 543,507 | 542,475 | (1,032) | ||
Japanese Yen | Buy | 5/17/23 | 550,498 | 549,460 | 1,038 | ||
Norwegian Krone | Sell | 3/15/23 | 572,555 | 567,055 | (5,500) | ||
State Street Bank and Trust Co. | |||||||
Australian Dollar | Sell | 4/19/23 | 1,325,275 | 1,277,128 | (48,147) | ||
British Pound | Sell | 3/15/23 | 153,506 | 153,362 | (144) | ||
Canadian Dollar | Sell | 4/19/23 | 2,385,619 | 2,344,854 | (40,765) | ||
Euro | Sell | 3/15/23 | 2,269,183 | 2,199,175 | (70,008) | ||
Norwegian Krone | Sell | 3/15/23 | 263,798 | 264,859 | 1,061 | ||
Swedish Krona | Sell | 3/15/23 | 485,089 | 487,018 | 1,929 | ||
Swiss Franc | Buy | 3/15/23 | 95,562 | 95,559 | 3 | ||
Toronto-Dominion Bank | |||||||
British Pound | Sell | 3/15/23 | 40,104 | 39,729 | (375) | ||
Canadian Dollar | Sell | 4/19/23 | 625,697 | 615,126 | (10,571) | ||
Japanese Yen | Buy | 2/15/23 | 6,959 | 6,229 | 730 | ||
Japanese Yen | Sell | 2/15/23 | 6,959 | 6,946 | (13) | ||
Japanese Yen | Buy | 5/17/23 | 7,048 | 7,035 | 13 | ||
Norwegian Krone | Sell | 3/15/23 | 278,955 | 280,148 | 1,193 | ||
Swedish Krona | Sell | 3/15/23 | 592,891 | 595,592 | 2,701 | ||
UBS AG | |||||||
British Pound | Buy | 3/15/23 | 617 | 610 | 7 | ||
Canadian Dollar | Sell | 4/19/23 | 33,616 | 33,044 | (572) | ||
Euro | Sell | 3/15/23 | 97,774 | 94,843 | (2,931) | ||
Japanese Yen | Buy | 2/15/23 | 1,058,103 | 947,359 | 110,744 | ||
Japanese Yen | Sell | 2/15/23 | 1,058,103 | 1,056,200 | (1,903) | ||
Japanese Yen | Buy | 5/17/23 | 1,071,714 | 1,069,826 | 1,888 | ||
New Zealand Dollar | Sell | 4/19/23 | 34,401 | 33,302 | (1,099) | ||
Swedish Krona | Sell | 3/15/23 | 7,534 | 7,569 | 35 | ||
WestPac Banking Corp. | |||||||
Australian Dollar | Sell | 4/19/23 | 217,469 | 209,599 | (7,870) | ||
Euro | Sell | 3/15/23 | 12,208 | 12,017 | (191) | ||
Japanese Yen | Buy | 2/15/23 | 20,882 | 20,856 | 26 | ||
Japanese Yen | Sell | 2/15/23 | 20,882 | 18,895 | (1,987) | ||
New Zealand Dollar | Sell | 4/19/23 | 84,644 | 81,924 | (2,720) | ||
Swiss Franc | Sell | 3/15/23 | 4,173 | 4,203 | 30 | ||
Unrealized appreciation | 217,891 | ||||||
Unrealized (depreciation) | (307,273) | ||||||
Total | $(89,382) | ||||||
* | The exchange currency for all contracts listed is the United States Dollar. |
FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
U.S. Treasury Note 2 yr (Short) | 533 | $109,610,617 | $109,610,617 | Mar-23 | $(422,372) | |
U.S. Treasury Note Ultra 10 yr (Short) | 19 | 2,302,859 | 2,302,859 | Mar-23 | (41,027) | |
Unrealized appreciation | — | |||||
Unrealized (depreciation) | (463,399) | |||||
Total | $(463,399) |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (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 | $52,095,000 | $(599,093) | $915,309 | ||
1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | 52,095,000 | (599,093) | (411,030) | ||
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) | Apr-24/1.085 | 45,010,100 | 617,764 | 541,472 | ||
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) | Apr-24/2.17 | 22,505,100 | (1,086,996) | (865,771) | ||
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) | Mar-24/1.29 | 11,252,500 | 175,539 | 153,822 | ||
3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 8,796,000 | (570,421) | 68,081 | ||
(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 8,796,000 | (570,421) | (181,901) | ||
(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 | 8,588,000 | (446,576) | (37,444) | ||
2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 | 8,588,000 | (437,988) | (76,090) | ||
(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 | 8,330,400 | (420,685) | (27,740) | ||
2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 | 8,330,400 | (420,685) | (67,143) | ||
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) | Mar-24/2.29 | 7,876,800 | (387,426) | (307,274) | ||
(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 | 6,653,800 | (476,412) | 796,260 | ||
0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 | 6,653,800 | (476,412) | (326,702) | ||
(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 5,975,800 | (883,223) | (37,827) | ||
2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 5,975,800 | (883,223) | (182,620) | ||
(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 3,414,900 | (507,113) | 3,244 | ||
2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 3,414,900 | (507,113) | (130,893) | ||
(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 | 3,388,500 | (247,361) | 417,192 | ||
0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 | 3,388,500 | (247,361) | (171,831) | ||
3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 3,193,900 | 232,356 | 30,470 | ||
(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 3,193,900 | 232,356 | 24,210 | ||
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 | 2,999,900 | (390,737) | 414,706 | ||
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 | 2,999,900 | (390,737) | (260,121) | ||
(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 1,264,800 | 98,781 | 8,866 | ||
3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 1,264,800 | 98,781 | 8,044 | ||
(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) | Apr-26/2.35 | 127,500 | (16,575) | 6,481 | ||
2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) | Apr-26/2.35 | 127,500 | (16,575) | (8,814) | ||
(2.396)/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.396 | EUR | 9,221,600 | 498,029 | 258,151 | |
2.396/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.396 | EUR | 9,221,600 | 498,029 | (68,072) | |
(2.406)/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.406 | EUR | 3,015,500 | 163,611 | 84,121 | |
2.406/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.406 | EUR | 3,015,500 | 163,611 | (19,834) | |
Barclays Bank PLC | ||||||
(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 | $3,001,900 | (363,680) | 159,521 | ||
2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 | 3,001,900 | (363,680) | (148,264) | ||
Citibank, N.A. | ||||||
2.703/US SOFR/Jul-33 (Purchased) | Jul-23/2.703 | 36,145,700 | (402,918) | (62,171) | ||
2.643/US SOFR/Jul-33 (Purchased) | Jul-23/2.643 | 36,145,700 | (402,918) | (108,437) | ||
(3.27)/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 | 34,511,100 | (395,152) | (46,935) | ||
3.27/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 | 34,511,100 | (395,152) | (93,870) | ||
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 | 32,953,000 | (1,074,268) | 1,259,793 | ||
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 | 32,953,000 | (1,074,268) | (638,629) | ||
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 | 15,499,500 | (206,608) | 210,793 | ||
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 | 15,499,500 | (206,608) | (101,522) | ||
(1.887)/US SOFR/Jan-35 (Written) | Jan-25/1.887 | 12,651,000 | 217,406 | 49,212 | ||
(2.25)/US SOFR/Jan-34 (Written) | Jan-24/2.25 | 12,651,000 | 164,782 | 41,116 | ||
(1.947)/US SOFR/Jan-35 (Written) | Jan-25/1.947 | 12,651,000 | 217,406 | 36,182 | ||
(2.311)/US SOFR/Jan-34 (Written) | Jan-24/2.311 | 12,651,000 | 164,782 | 27,326 | ||
2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 | 12,287,500 | (148,679) | (46,693) | ||
(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 6,581,000 | (486,007) | 337,605 | ||
1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 6,581,000 | (486,007) | (217,765) | ||
(1.75)/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 5,473,600 | (409,699) | 856,892 | ||
1.75/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 5,473,600 | (409,699) | (407,947) | ||
(1.724)/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 4,497,300 | (339,321) | 724,110 | ||
1.724/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 4,497,300 | (339,321) | (337,837) | ||
(1.735)/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 4,414,500 | (326,342) | 707,733 | ||
1.735/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 4,414,500 | (326,342) | (324,907) | ||
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 | 2,929,600 | (213,421) | 109,274 | ||
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 | 2,929,600 | (213,421) | (81,794) | ||
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 | 2,670,500 | (393,899) | 98,835 | ||
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 | 2,670,500 | (393,899) | (101,746) | ||
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 | 1,026,000 | (132,098) | (2,637) | ||
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 | 1,026,000 | (132,098) | (81,567) | ||
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) | Mar-24/0.055 | EUR | 126,823,600 | 406,903 | 390,190 | |
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 63,411,800 | (400,007) | (383,296) | |
Goldman Sachs International | ||||||
(2.40)/US SOFR/May-57 (Purchased) | May-27/2.40 | $17,014,700 | (2,194,896) | 368,368 | ||
2.40/US SOFR/May-57 (Purchased) | May-27/2.40 | 17,014,700 | (2,194,896) | (558,593) | ||
3.92/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 | 8,214,400 | (179,485) | 333,176 | ||
(3.92)/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 | 8,214,400 | (179,485) | (179,238) | ||
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 | 1,042,500 | (131,616) | 136 | ||
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 | 1,042,500 | (131,616) | (55,753) | ||
JPMorgan Chase Bank N.A. | ||||||
(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 11,951,600 | (1,006,922) | (33,584) | ||
3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 11,951,600 | (1,006,922) | (104,577) | ||
(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 10,683,100 | 227,951 | 187,809 | ||
1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 10,683,100 | 227,951 | (417,175) | ||
(2.317)/US SOFR/Apr-42 (Written) | Apr-32/2.317 | 4,541,400 | 384,657 | 139,648 | ||
2.317/US SOFR/Apr-42 (Written) | Apr-32/2.317 | 4,541,400 | 384,657 | (96,777) | ||
3.187/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 4,027,900 | (260,001) | 2,054 | ||
(3.187)/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 4,027,900 | (260,001) | (63,198) | ||
(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 1,876,300 | 110,889 | 63,982 | ||
1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 1,876,300 | 110,889 | (108,281) | ||
(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) | May-32/3.315 | AUD | 6,301,900 | (529,932) | 77,043 | |
3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) | May-32/3.315 | AUD | 6,301,900 | (529,932) | (104,755) | |
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 3,080,500 | (115,473) | 304,238 | |
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 3,080,500 | (115,473) | (89,410) | |
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,708,400 | (168,430) | 267,125 | |
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,708,400 | (168,430) | (108,605) | |
(4.12)/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2,678,200 | (139,722) | 7,032 | |
4.12/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2,678,200 | (139,722) | (8,620) | |
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 2,049,600 | (63,945) | 229,622 | |
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 2,049,600 | (63,945) | (58,780) | |
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 1,475,600 | (87,270) | 268,023 | |
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 1,475,600 | (87,270) | (78,981) | |
Morgan Stanley & Co. International PLC | ||||||
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 | $1,569,900 | (179,126) | (67,898) | ||
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 | 1,569,900 | (179,126) | (104,131) | ||
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 | 1,026,000 | (157,183) | (4,350) | ||
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 | 1,026,000 | (110,398) | (70,763) | ||
(2.3825)/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 | 395,200 | (50,092) | 8,015 | ||
2.3825/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 | 395,200 | (50,092) | (16,741) | ||
Toronto-Dominion Bank | ||||||
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 | 3,722,200 | (194,671) | 253,631 | ||
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 | 3,722,200 | (194,671) | (127,746) | ||
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 | 1,097,000 | (76,516) | 44,637 | ||
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 | 1,097,000 | (76,516) | (29,081) | ||
UBS AG | ||||||
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,683,700 | (142,840) | 105,076 | |
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,683,700 | (142,840) | (48,797) | |
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 2,119,200 | (128,674) | 34,943 | |
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 2,119,200 | (128,674) | (29,513) | |
(3.292)/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 31,838,700 | (183,629) | (92,418) | |
3.292/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 31,838,700 | (183,629) | (112,494) | |
(3.255)/3 month EUR-EURIBOR/Sep-24 (Purchased) | Sep-23/3.255 | EUR | 10,451,200 | (67,250) | (33,972) | |
3.255/3 month EUR-EURIBOR/Sep-24 (Purchased) | Sep-23/3.255 | EUR | 10,451,200 | (67,250) | (48,175) | |
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 4,469,600 | (350,650) | 568,323 | |
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 4,469,600 | (350,650) | (186,688) | |
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 3,027,100 | (419,688) | 219,668 | |
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 3,027,100 | (419,688) | (196,105) | |
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 1,489,900 | (225,445) | 260,682 | |
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 1,489,900 | (225,445) | (119,813) | |
Unrealized appreciation | 12,482,242 | |||||
Unrealized (depreciation) | (9,722,136) | |||||
Total | $2,760,106 |
TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $269,469,687) (Unaudited) | |||||
Agency | Principal amount | Settlement date | Value | ||
Uniform Mortgage-Backed Securities, 6.00%, 2/1/53 | $14,000,000 | 2/13/23 | $14,383,907 | ||
Uniform Mortgage-Backed Securities, 5.50%, 2/1/53 | 33,000,000 | 2/13/23 | 33,525,954 | ||
Uniform Mortgage-Backed Securities, 5.00%, 2/1/53 | 137,000,000 | 2/13/23 | 137,545,863 | ||
Uniform Mortgage-Backed Securities, 4.50%, 2/1/53 | 42,000,000 | 2/13/23 | 41,484,845 | ||
Uniform Mortgage-Backed Securities, 4.00%, 2/1/53 | 7,000,000 | 2/13/23 | 6,757,188 | ||
Uniform Mortgage-Backed Securities, 3.00%, 2/1/53 | 14,000,000 | 2/13/23 | 12,707,181 | ||
Uniform Mortgage-Backed Securities, 2.50%, 2/1/53 | 14,000,000 | 2/13/23 | 12,253,275 | ||
Uniform Mortgage-Backed Securities, 2.00%, 2/1/53 | 14,000,000 | 2/13/23 | 11,783,192 | ||
Total | $270,441,405 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited) | |||||||||||
Notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |||||
$5,643,600 | $899,364 | $236,392 | 9/1/32 | 3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(673,688) | |||||
15,664,000 | 571,109 | 757 | 12/23/23 | 0.695% — Annually | US SOFR — Annually | 634,851 | |||||
11,952,000 | 1,058,230 | 1,027 | 12/23/26 | 1.085% — Annually | US SOFR — Annually | 1,102,137 | |||||
2,726,000 | 399,795 | 329 | 12/23/31 | 1.285% — Annually | US SOFR — Annually | 409,299 | |||||
1,863,000 | 543,530 | (3,317) | 12/23/51 | US SOFR — Annually | 1.437% — Annually | (552,803) | |||||
26,213,000 | 955,202 | (2,667) | 12/24/23 | 0.697% — Annually | US SOFR — Annually | 1,044,696 | |||||
2,921,000 | 257,574 | (391) | 12/24/26 | 1.096% — Annually | US SOFR — Annually | 266,319 | |||||
7,708,000 | 1,130,687 | (3,441) | 12/24/31 | 1.285% — Annually | US SOFR — Annually | 1,149,939 | |||||
10,761,000 | 3,143,611 | (5,816) | 12/24/51 | 1.435% — Annually | US SOFR — Annually | 3,167,908 | |||||
901,000 | 247,775 | (147) | 12/31/51 | 1.525% — Annually | US SOFR — Annually | 249,931 | |||||
3,179,000 | 276,700 | (422) | 12/31/26 | US SOFR — Annually | 1.135% — Annually | (286,383) | |||||
834,000 | 118,061 | 15,018 | 12/31/31 | US SOFR — Annually | 1.355% — Annually | (105,304) | |||||
987,200 | 61,088 | (E) | (22) | 1/15/47 | 1.724% — Annually | US SOFR — Annually | 61,066 | ||||
3,763,000 | 925,096 | (128) | 1/21/52 | 1.679% — Annually | US SOFR — Annually | 927,438 | |||||
3,135,000 | 802,309 | (107) | 1/19/52 | US SOFR — Annually | 1.626% — Annually | (805,452) | |||||
1,797,000 | 450,220 | (61) | 2/1/52 | 1.6545% — Annually | US SOFR — Annually | 452,359 | |||||
5,673,300 | 1,199,619 | (193) | 2/24/52 | US SOFR — Annually | 1.86% — Annually | (1,201,592) | |||||
2,443,000 | 559,765 | (83) | 2/29/52 | 1.7674% — Annually | US SOFR — Annually | 564,572 | |||||
2,297,000 | 259,171 | (31) | 2/29/32 | US SOFR — Annually | 1.75% — Annually | (262,678) | |||||
18,881,000 | 1,302,978 | (153) | 2/28/27 | 1.675% — Annually | US SOFR — Annually | 1,386,643 | |||||
27,752,000 | 962,994 | (105) | 2/29/24 | US SOFR — Annually | 1.47709% — Annually | (1,137,200) | |||||
2,852,100 | 336,605 | (38) | 3/7/32 | 3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (335,267) | |||||
10,291,300 | 1,327,372 | (136) | 3/9/32 | 1.5475% — Annually | US SOFR — Annually | 1,372,969 | |||||
10,670,700 | 1,381,322 | (141) | 3/9/32 | 1.5415% — Annually | US SOFR — Annually | 1,430,510 | |||||
5,625,000 | 642,544 | (75) | 3/11/32 | 1.737% — Annually | US SOFR — Annually | 657,241 | |||||
1,963,000 | 51,921 | (7) | 4/7/24 | 2.45% — Annually | US SOFR — Annually | 51,161 | |||||
4,130,000 | 163,465 | (33) | 4/7/27 | 2.469% — Annually | US SOFR — Annually | 154,514 | |||||
826,000 | 56,383 | (11) | 4/7/23 | 2.3305% — Annually | US SOFR — Annually | 55,599 | |||||
2,738,000 | 453,276 | (93) | 4/7/52 | US SOFR — Annually | 2.1005% — Annually | (455,652) | |||||
294,000 | 16,229 | (4) | 4/14/32 | 2.4975% — Annually | US SOFR — Annually | 15,133 | |||||
5,741,000 | 687,714 | (196) | 4/14/52 | US SOFR — Annually | 2.3395% — Annually | (675,007) | |||||
7,704,000 | 301,149 | (62) | 4/14/27 | 2.483% — Annually | US SOFR — Annually | 283,310 | |||||
11,653,000 | 317,777 | (44) | 4/14/24 | 2.405% — Annually | US SOFR — Annually | 322,473 | |||||
20,689,000 | 648,600 | (195) | 5/2/27 | US SOFR — Annually | 2.685% — Annually | (634,906) | |||||
37,049,100 | 985,136 | (140) | 5/25/24 | 2.5945% — Annually | US SOFR — Annually | 1,030,202 | |||||
318,000 | 28,194 | (11) | 5/25/52 | US SOFR — Annually | 2.501% — Annually | (28,263) | |||||
2,268,600 | 124,750 | (E) | (77) | 5/28/57 | 2.40% — Annually | US SOFR — Annually | 124,673 | ||||
4,268,000 | 150,191 | (57) | 6/7/32 | US SOFR — Annually | 2.7565% — Annually | (144,279) | |||||
1,489,000 | 97,336 | (51) | 6/7/52 | US SOFR — Annually | 2.622% — Annually | (97,846) | |||||
41,026,700 | 1,219,314 | (544) | 6/8/32 | US SOFR — Annually | 2.825% — Annually | (1,210,708) | |||||
2,249,900 | 402,575 | (282,393) | 6/22/52 | 2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 126,662 | |||||
38,276,500 | 667,159 | (144) | 6/15/24 | US SOFR — Annually | 3.3385% — Annually | (571,609) | |||||
24,962,500 | 285,821 | (202) | 6/15/27 | 3.185% — Annually | US SOFR — Annually | 247,797 | |||||
3,048,800 | 31,098 | (43) | 9/8/32 | US SOFR — Annually | 3.07% — Annually | (36,761) | |||||
7,910,100 | 225,596 | (112) | 2/3/33 | 3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 225,484 | |||||
10,561,100 | 577,798 | (150) | 1/31/33 | 2.545% — Annually | US SOFR — Annually | 576,902 | |||||
10,561,100 | 573,257 | (150) | 1/31/33 | 2.55% — Annually | US SOFR — Annually | 572,359 | |||||
9,947,100 | 585,984 | (141) | 2/1/33 | 2.495% — Annually | US SOFR — Annually | 585,843 | |||||
10,966,000 | 682,962 | (145) | 8/2/32 | US SOFR — Annually | 2.4275% — Annually | (726,354) | |||||
9,726,100 | 645,132 | (138) | 2/1/33 | 2.4075% — Annually | US SOFR — Annually | 644,994 | |||||
702,700 | 22,388 | (E) | (14) | 4/1/42 | US SOFR — Annually | 2.63% — Annually | (22,402) | ||||
1,313,700 | 57,921 | (E) | (20) | 3/24/35 | US SOFR — Annually | 2.39% — Annually | (57,941) | ||||
2,872,700 | 214,763 | (85) | 8/10/42 | 2.645% — Annually | US SOFR — Annually | 224,648 | |||||
4,869,000 | 392,149 | (10,855) | 8/10/42 | US SOFR — Annually | 2.605% — Annually | (419,645) | |||||
1,996,400 | 164,703 | (59) | 8/10/42 | 2.5915% — Annually | US SOFR — Annually | 171,690 | |||||
13,558,000 | 335,018 | (E) | (127) | 2/6/29 | 2.40% — Annually | US SOFR — Annually | 334,891 | ||||
16,366,000 | 775,421 | (216) | 8/16/32 | US SOFR — Annually | 2.613% — Annually | (832,591) | |||||
1,463,400 | 28,273 | (E) | (32) | 1/15/47 | 2.49% — Annually | US SOFR — Annually | 28,240 | ||||
245,000 | 7,063 | (3) | 8/25/32 | US SOFR — Annually | 2.8415% — Annually | (7,689) | |||||
1,990,000 | 24,895 | (E) | (30) | 2/21/35 | 2.785% — Annually | US SOFR — Annually | 24,865 | ||||
22,047,400 | 366,869 | (83) | 9/6/24 | US SOFR — Annually | 3.413% — Annually | (376,238) | |||||
7,283,800 | 8,158 | (E) | (40) | 1/15/27 | US SOFR — Annually | 2.73% — Annually | (8,198) | ||||
10,399,900 | 129,063 | (137) | 9/13/32 | 3.043% — Annually | US SOFR — Annually | 149,397 | |||||
1,812,300 | 10,330 | (E) | (35) | 1/15/41 | 3.0500% — Annually | US SOFR — Annually | 10,295 | ||||
745,000 | 7,115 | (E) | (15) | 1/15/42 | 2.9825% — Annually | US SOFR — Annually | 7,100 | ||||
3,285,000 | 32,390 | (112) | 9/26/52 | 2.905% — Annually | US SOFR — Annually | 41,002 | |||||
17,083,000 | 24,770 | (161) | 9/26/27 | US SOFR — Annually | 3.465% — Annually | 13,261 | |||||
915,000 | 3,431 | (12) | 9/19/32 | 3.24% — Annually | US SOFR — Annually | (2,154) | |||||
5,920,000 | 124,083 | (78) | 9/26/32 | US SOFR — Annually | 3.449% — Annually | 119,735 | |||||
2,457,500 | 69,621 | (E) | (35) | 10/3/33 | 3.394% — Annually | US SOFR — Annually | (69,656) | ||||
8,207,000 | 112,600 | (66) | 10/4/27 | 3.75% — Annually | US SOFR — Annually | (114,192) | |||||
17,729,000 | 397,484 | (234) | 10/5/32 | US SOFR — Annually | 3.466% — Annually | 382,056 | |||||
2,402,000 | 18,928 | (E) | (36) | 10/21/36 | US SOFR — Annually | 3.116% — Annually | 18,892 | ||||
837,000 | 10,546 | (12) | 1/11/33 | US SOFR — Annually | 3.34% — Annually | 10,261 | |||||
2,947,000 | 36,749 | (42) | 1/31/33 | US SOFR — Annually | 3.337% — Annually | 36,981 | |||||
2,947,000 | 35,747 | (42) | 1/31/33 | US SOFR — Annually | 3.333% — Annually | 35,733 | |||||
7,500,000 | 100,425 | (E) | (106) | 8/23/33 | US SOFR — Annually | 3.237% — Annually | 100,319 | ||||
2,751,000 | 31,719 | (39) | 2/1/33 | US SOFR — Annually | 3.3255% — Annually | 31,680 | |||||
7,211,000 | 92,301 | (E) | (102) | 9/1/33 | US SOFR — Annually | 3.225% — Annually | 92,199 | ||||
322,000 | 4,134 | (5) | 11/14/32 | 3.347% — Annually | US SOFR — Annually | (3,719) | |||||
1,447,000 | 5,542 | (49) | 2/3/53 | 2.9275% — Annually | US SOFR — Annually | 5,493 | |||||
2,309,000 | 23,205 | (33) | 2/1/33 | US SOFR — Annually | 3.308% — Annually | 23,173 | |||||
52,307,000 | 676,330 | (12,367) | 10/7/27 | US SOFR — Annually | 3.73% — Annually | 653,942 | |||||
93,118,000 | 2,350,298 | (36,608) | 10/7/32 | 3.50% — Annually | US SOFR — Annually | (2,299,463) | |||||
25,980,000 | 475,954 | 17,399 | 10/7/52 | US SOFR — Annually | 3.05% — Annually | 430,960 | |||||
9,743,000 | 55,048 | (E) | (67) | 4/8/28 | 3.44% — Annually | US SOFR — Annually | (55,115) | ||||
26,250,000 | 111,038 | (E) | (98) | 1/31/25 | US SOFR — Annually | 4.035% — Annually | 110,939 | ||||
2,783,600 | 109,897 | (39) | 1/17/33 | 3.6575% — Annually | US SOFR — Annually | (109,472) | |||||
1,011,000 | 36,871 | (E) | (34) | 1/16/55 | 2.97% — Annually | US SOFR — Annually | (36,906) | ||||
19,803,000 | 139,215 | (E) | (110) | 1/16/26 | US SOFR — Annually | 3.605% — Annually | 139,105 | ||||
2,916,000 | 170,936 | (99) | 10/20/52 | US SOFR — Annually | 3.2571% — Annually | 166,854 | |||||
9,496,100 | 587,619 | (E) | (323) | 10/9/54 | 3.115% — Annually | US SOFR — Annually | (587,942) | ||||
38,617,300 | 1,747,819 | (E) | (545) | 10/10/33 | US SOFR — Annually | 3.594% — Annually | 1,747,275 | ||||
424,000 | 31,461 | (14) | 10/20/52 | US SOFR — Annually | 3.3375% — Annually | 30,966 | |||||
1,048,600 | 70,235 | (E) | (36) | 1/24/55 | 3.135% — Annually | US SOFR — Annually | (70,271) | ||||
3,807,100 | 113,452 | (E) | (36) | 4/13/28 | 3.965% — Annually | US SOFR — Annually | (113,487) | ||||
1,259,100 | 61,369 | (E) | (19) | 4/4/35 | 3.5575% — Annually | US SOFR — Annually | (61,387) | ||||
2,518,100 | 75,316 | (E) | (28) | 5/8/30 | US SOFR — Annually | 3.52% — Annually | 75,288 | ||||
3,447,400 | 27,028 | (E) | (30) | 4/4/32 | 3.515% — Annually | US SOFR — Annually | (27,058) | ||||
15,175,400 | 857,865 | (E) | (214) | 11/24/33 | US SOFR — Annually | 3.708% — Annually | 857,651 | ||||
7,280,300 | 410,536 | (E) | (103) | 6/6/34 | US SOFR — Annually | 3.645% — Annually | 410,433 | ||||
555,600 | 27,291 | (E) | (8) | 2/19/36 | US SOFR — Annually | 3.6145% — Annually | 27,283 | ||||
411,800 | 20,141 | (E) | (6) | 3/3/36 | US SOFR — Annually | 3.614% — Annually | 20,135 | ||||
5,402,000 | 529,828 | (184) | 10/24/52 | US SOFR — Annually | 3.4605% — Annually | 524,284 | |||||
14,112,300 | 126,870 | (E) | (53) | 6/26/25 | US SOFR — Annually | 4.31% — Annually | 126,817 | ||||
2,112,000 | 230,673 | (72) | 10/27/32 | 3.5176% — Annually | US SOFR — Annually | (229,260) | |||||
6,127,300 | 380,138 | (E) | (86) | 12/4/33 | US SOFR — Annually | 3.77% — Annually | 380,051 | ||||
1,851,200 | 54,740 | (E) | (21) | 3/24/32 | US SOFR — Annually | 3.64% — Annually | 54,719 | ||||
5,290,200 | 258,426 | (E) | (79) | 6/28/37 | US SOFR — Annually | 3.70% — Annually | 258,347 | ||||
1,202,300 | 50,629 | (E) | (23) | 6/20/40 | US SOFR — Annually | 3.75% — Annually | 50,605 | ||||
15,665,000 | 340,244 | (126) | 11/1/27 | 3.9195% — Annually | US SOFR — Annually | (341,800) | |||||
24,777,000 | 164,519 | (93) | 11/9/24 | US SOFR — Annually | 4.7655% — Annually | 220,378 | |||||
15,775,800 | 902,534 | (208) | 11/14/32 | 3.88% — Annually | US SOFR — Annually | (900,612) | |||||
9,200,000 | 198,720 | (121) | 11/21/32 | 3.4515% — Annually | US SOFR — Annually | (186,683) | |||||
1,165,400 | 27,678 | (15) | 11/25/32 | 3.477% — Annually | US SOFR — Annually | (26,879) | |||||
35,244,000 | 14,098 | (132) | 12/5/24 | 4.3515% — Annually | US SOFR — Annually | (35,238) | |||||
910,600 | 36,278 | (E) | (31) | 12/10/57 | 2.47% — Annually | US SOFR — Annually | 36,247 | ||||
1,493,900 | 37,049 | (E) | (51) | 12/13/57 | 2.558% — Annually | US SOFR — Annually | 36,998 | ||||
6,357,000 | 27,399 | (E) | (28,822) | 3/15/33 | US SOFR — Annually | 3.22% — Annually | (1,423) | ||||
5,670,000 | 7,655 | (E) | 20,088 | 3/15/25 | 4.19% — Annually | US SOFR — Annually | 12,434 | ||||
69,940,000 | 1,219,754 | (E) | (667,611) | 3/15/30 | US SOFR — Annually | 3.50% — Annually | 552,143 | ||||
229,342,000 | 82,563 | (E) | (743,660) | 3/15/25 | 4.10% — Annually | US SOFR — Annually | (661,097) | ||||
37,722,000 | 617,132 | (E) | 661,632 | 3/15/28 | 3.70% — Annually | US SOFR — Annually | 44,501 | ||||
81,532,000 | 902,559 | (E) | (1,141,287) | 3/15/33 | 3.30% — Annually | US SOFR — Annually | (2,043,847) | ||||
5,197,000 | 35,444 | (E) | 254,031 | 3/15/53 | US SOFR — Annually | 2.90% — Annually | 218,587 | ||||
3,720,000 | 86,639 | (49) | 12/29/32 | 3.468% — Annually | US SOFR — Annually | (83,723) | |||||
2,246,000 | 105,944 | (76) | 12/29/52 | US SOFR — Annually | 3.1925% — Annually | 103,493 | |||||
2,223,000 | 90,587 | (76) | 12/30/52 | 3.1595% — Annually | US SOFR — Annually | (88,315) | |||||
13,221,000 | 21,286 | (50) | 1/6/25 | US SOFR — Annually | 4.356% — Annually | 21,665 | |||||
2,966,000 | 22,304 | (24) | 1/6/28 | 3.5615% — Annually | US SOFR — Annually | (20,722) | |||||
7,716,000 | 16,898 | (29) | 1/6/25 | 4.3875% — Annually | US SOFR — Annually | (17,342) | |||||
4,085,000 | 67,852 | (54) | 1/6/33 | 3.388% — Annually | US SOFR — Annually | (65,174) | |||||
5,958,000 | 74,237 | (48) | 1/9/28 | 3.6695% — Annually | US SOFR — Annually | (71,853) | |||||
263,000 | 1,089 | (1) | 1/9/25 | 4.487% — Annually | US SOFR — Annually | (1,120) | |||||
6,638,000 | 109,593 | (88) | 1/9/33 | 3.3865% — Annually | US SOFR — Annually | (105,771) | |||||
2,785,000 | 6,155 | (95) | 1/10/53 | 2.938% — Annually | US SOFR — Annually | 8,392 | |||||
2,482,500 | 2,334 | (84) | 1/10/53 | US SOFR — Annually | 2.9445% — Annually | (4,487) | |||||
2,482,500 | 3,078 | (84) | 1/10/53 | US SOFR — Annually | 2.943% — Annually | (5,234) | |||||
6,141,000 | 3,255 | (81) | 1/11/33 | US SOFR — Annually | 3.197% — Annually | (817) | |||||
12,533,000 | 4,637 | (47) | 1/12/25 | US SOFR — Annually | 4.275% — Annually | 4,342 | |||||
4,256,000 | 29,239 | (56) | 1/12/33 | 3.272% — Annually | US SOFR — Annually | (26,837) | |||||
8,161,000 | 979 | (31) | 1/13/25 | US SOFR — Annually | 4.249% — Annually | (1,273) | |||||
3,696,000 | 13,971 | (126) | 1/17/53 | US SOFR — Annually | 2.9295% — Annually | (16,222) | |||||
41,429,000 | 79,958 | (155) | 1/17/25 | US SOFR — Annually | 4.1445% — Annually | (82,960) | |||||
19,735,000 | 33,550 | (74) | 1/17/25 | US SOFR — Annually | 4.1565% — Annually | (34,881) | |||||
6,110,000 | 29,450 | (81) | 1/17/33 | US SOFR — Annually | 3.1335% — Annually | (32,525) | |||||
1,215,000 | 15,005 | (41) | 1/17/53 | US SOFR — Annually | 2.8855% — Annually | (15,767) | |||||
1,215,000 | 15,358 | (41) | 1/17/53 | US SOFR — Annually | 2.884% — Annually | (16,121) | |||||
87,488,000 | 93,612 | (328) | 1/18/25 | US SOFR — Annually | 4.184% — Annually | (98,163) | |||||
27,662,000 | 87,689 | (365) | 1/18/33 | US SOFR — Annually | 3.153% — Annually | (100,480) | |||||
14,634,000 | 8,488 | (55) | 1/18/25 | US SOFR — Annually | 4.2105% — Annually | (9,098) | |||||
8,223,000 | 5,674 | (280) | 1/18/53 | US SOFR — Annually | 2.9451% — Annually | (10,312) | |||||
35,354,700 | 43,840 | (332) | 1/24/28 | US SOFR — Annually | 3.36% — Annually | (38,902) | |||||
414,000 | 435 | (5) | 1/19/33 | 3.178% — Annually | US SOFR — Annually | 598 | |||||
6,831,000 | 6,558 | (26) | 1/19/25 | US SOFR — Annually | 4.19% — Annually | (6,866) | |||||
1,138,000 | 159 | (15) | 1/19/33 | US SOFR — Annually | 3.192% — Annually | (313) | |||||
5,239,000 | 26,405 | (42) | 1/20/28 | 3.2775% — Annually | US SOFR — Annually | 28,163 | |||||
17,887,000 | 49,368 | (67) | 1/20/25 | US SOFR — Annually | 4.094% — Annually | (50,714) | |||||
21,570,000 | 48,748 | (81) | 1/23/25 | US SOFR — Annually | 4.117% — Annually | (49,850) | |||||
5,774,000 | 11,375 | (76) | 1/24/33 | 3.167% — Annually | US SOFR — Annually | 12,761 | |||||
7,452,000 | 15,873 | (60) | 1/25/28 | US SOFR — Annually | 3.34% — Annually | (17,332) | |||||
37,923,000 | 29,959 | (142) | 1/26/25 | US SOFR — Annually | 4.1885% — Annually | (30,823) | |||||
9,981,000 | 4,491 | (132) | 1/30/33 | 3.19529% — Annually | US SOFR — Annually | (4,010) | |||||
4,540,000 | 14,977 | (37) | 2/1/28 | US SOFR — Annually | 3.4565% — Annually | 14,941 | |||||
AUD | 117,100 | 16,465 | (E) | (1) | 1/30/35 | 1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 16,464 | |||
AUD | 394,200 | 60,201 | (E) | (4) | 3/5/35 | 1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 60,197 | |||
AUD | 146,400 | 22,905 | (E) | (1) | 3/25/35 | 1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 22,903 | |||
AUD | 246,400 | 33,236 | (E) | (3) | 3/28/40 | 1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 33,233 | |||
AUD | 910,700 | 133,937 | (E) | (11) | 4/1/40 | 1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 133,927 | |||
AUD | 59,000 | 14,377 | (E) | (1) | 7/2/45 | 1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 14,376 | |||
AUD | 2,800,000 | 299,797 | (31) | 4/6/31 | 6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (309,021) | ||||
AUD | 1,679,200 | 275,550 | 292,173 | 11/24/42 | 6 month AUD-BBR-BBSW — Semiannually | 2.50% — Semiannually | 14,169 | ||||
AUD | 3,028,000 | 13,166 | (E) | 6,588 | 3/15/33 | 6 month AUD-BBR-BBSW — Semiannually | 4.05% — Semiannually | (6,578) | |||
AUD | 4,869,000 | 2,303 | (E) | (3,162) | 3/15/25 | 3.72% — Quarterly | 3 month AUD-BBR-BBSW — Quarterly | (5,465) | |||
CAD | 5,357,000 | 3,261 | (E) | 22,125 | 3/15/25 | 4.15% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 18,864 | |||
CAD | 2,613,000 | 13,983 | (E) | (32,086) | 3/15/33 | 3.24% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | (18,104) | |||
CHF | 805,000 | 13,946 | (E) | 1,333 | 3/15/33 | Swiss Average Rate Overnight — Annually | 1.55% — Annually | (12,612) | |||
EUR | 757,000 | 76,956 | (E) | (29) | 11/29/58 | 1.484% — Annually | 6 month EUR-EURIBOR — Semiannually | 76,927 | |||
EUR | 1,029,500 | 233,380 | (40) | 2/19/50 | 6 month EUR-EURIBOR — Semiannually | 1.354% — Annually | (223,655) | ||||
EUR | 1,137,000 | 278,256 | (43) | 3/11/50 | 1.267% — Annually | 6 month EUR-EURIBOR — Semiannually | 271,397 | ||||
EUR | 1,150,600 | 295,031 | (44) | 3/12/50 | 1.2115% — Annually | 6 month EUR-EURIBOR — Semiannually | 288,787 | ||||
EUR | 1,295,500 | 359,143 | (50) | 3/26/50 | 1.113% — Annually | 6 month EUR-EURIBOR — Semiannually | 355,094 | ||||
EUR | 1,120,200 | 145,615 | (E) | (42) | 11/29/58 | 6 month EUR-EURIBOR — Semiannually | 1.343% — Annually | (145,658) | |||
EUR | 1,336,000 | 388,061 | (50) | 2/19/50 | 1.051% — Annually | 6 month EUR-EURIBOR — Semiannually | 379,237 | ||||
EUR | 1,095,100 | 286,098 | (E) | (42) | 6/7/54 | 1.054% — Annually | 6 month EUR-EURIBOR — Semiannually | 286,056 | |||
EUR | 999,500 | 321,342 | (38) | 2/19/50 | 0.9035% — Annually | 6 month EUR-EURIBOR — Semiannually | 316,161 | ||||
EUR | 531,600 | 182,493 | (20) | 2/21/50 | 0.80% — Annually | 6 month EUR-EURIBOR — Semiannually | 180,414 | ||||
EUR | 2,146,300 | 818,913 | (E) | (82) | 8/8/54 | 0.49% — Annually | 6 month EUR-EURIBOR — Semiannually | 818,831 | |||
EUR | 1,338,400 | 599,914 | (E) | (50) | 6/6/54 | 6 month EUR-EURIBOR — Semiannually | 0.207% — Annually | (599,964) | |||
EUR | 1,741,600 | 805,690 | (66) | 2/19/50 | 0.233% — Annually | 6 month EUR-EURIBOR — Semiannually | 807,911 | ||||
EUR | 7,327,800 | 2,831,663 | (277) | 2/19/50 | 6 month EUR-EURIBOR — Semiannually | 0.595% — Annually | (2,816,008) | ||||
EUR | 835,200 | 393,903 | (E) | (31) | 3/4/54 | 0.134% — Annually | 6 month EUR-EURIBOR — Semiannually | 393,872 | |||
EUR | 371,500 | 204,717 | (E) | (14) | 3/13/54 | — | 0.2275% plus 6 month EUR-EURIBOR — Semiannually | 204,702 | |||
EUR | 2,672,400 | 508,834 | (E) | (57) | 5/13/40 | 6 month EUR-EURIBOR — Semiannually | 0.276% — Annually | (508,891) | |||
EUR | 1,304,300 | 242,870 | (E) | (28) | 6/24/40 | 0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 242,841 | |||
EUR | 1,668,900 | 317,692 | (E) | (39) | 1/16/40 | 0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 317,653 | |||
EUR | 616,100 | 116,048 | (E) | (14) | 3/28/40 | 0.3175% — Annually | 6 month EUR-EURIBOR — Semiannually | 116,034 | |||
EUR | 1,486,800 | 606,092 | (61) | 5/21/51 | 6 month EUR-EURIBOR — Semiannually | 0.516% — Annually | (608,008) | ||||
EUR | 1,439,000 | 310,050 | (25) | 6/14/31 | 0.171% — Annually | 6 month EUR-EURIBOR — Semiannually | 313,746 | ||||
EUR | 1,449,200 | 327,877 | (25) | 7/15/31 | 0.0675% — Annually | 6 month EUR-EURIBOR — Semiannually | 329,305 | ||||
EUR | 402,600 | 179,303 | (16) | 9/14/52 | 6 month EUR-EURIBOR — Semiannually | 0.374% — Annually | (181,136) | ||||
EUR | 4,360,000 | 851,299 | (70) | 3/7/32 | 6 month EUR-EURIBOR — Semiannually | 0.60% — Annually | (851,103) | ||||
EUR | 4,204,900 | 31,451 | (E) | (67) | 2/2/36 | 2.875% — Annually | 6 month EUR-EURIBOR — Semiannually | (31,518) | |||
EUR | 4,268,300 | 93,966 | (64) | 9/8/32 | 2.615% — Annually | 6 month EUR-EURIBOR — Semiannually | 72,137 | ||||
EUR | 17,670,700 | 563,834 | (E) | (67) | 6/28/25 | 1.718% — Annually | 6 month EUR-EURIBOR — Semiannually | 563,767 | |||
EUR | 2,308,000 | 371,755 | (80) | 8/29/52 | 6 month EUR-EURIBOR — Semiannually | 1.636% — Annually | (365,579) | ||||
EUR | 5,951,400 | 287,012 | (E) | (68) | 9/12/29 | 1.71% — Annually | 6 month EUR-EURIBOR — Semiannually | 286,944 | |||
EUR | 17,432,000 | 1,259,497 | (167) | 9/2/27 | 6 month EUR-EURIBOR — Semiannually | 1.372% — Annually | (1,248,985) | ||||
EUR | 696,400 | 35,833 | (E) | (24) | 6/6/54 | 2.005% — Annually | 6 month EUR-EURIBOR — Semiannually | 35,809 | |||
EUR | 1,029,000 | 39,288 | (E) | (35) | 6/7/54 | 2.065% — Annually | 6 month EUR-EURIBOR — Semiannually | 39,253 | |||
EUR | 9,692,000 | 79,236 | (36) | 10/10/24 | 2.7975% — Annually | 6 month EUR-EURIBOR — Semiannually | 50,968 | ||||
EUR | 2,722,200 | 117,490 | (E) | (40) | 2/18/36 | 6 month EUR-EURIBOR — Semiannually | 3.285% — Annually | 117,450 | |||
EUR | 696,400 | 21,305 | (E) | (13) | 8/22/39 | 6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | 21,291 | |||
EUR | 15,698,000 | 179,365 | (E) | (107) | 6/26/28 | 6 month EUR-EURIBOR — Semiannually | 3.26% — Annually | 179,258 | |||
EUR | 1,373,500 | 39,286 | (E) | (26) | 3/28/40 | 6 month EUR-EURIBOR — Semiannually | 3.09% — Annually | 39,260 | |||
EUR | 2,191,000 | 52,093 | (E) | (19,661) | 3/15/33 | 2.625% — Annually | 6 month EUR-EURIBOR — Semiannually | 32,431 | |||
EUR | 6,437,000 | 56,194 | (E) | 59 | 3/15/25 | 2.90% — Annually | 6 month EUR-EURIBOR — Semiannually | 56,253 | |||
GBP | 1,039,300 | 240,590 | (21) | 5/19/31 | Sterling Overnight Index Average — Annually | 0.754% — Annually | (252,132) | ||||
GBP | 53,602,900 | 1,368,607 | 44,401 | 9/15/23 | Sterling Overnight Index Average — Annually | 0.84% — Annually | (1,763,913) | ||||
GBP | 53,602,900 | 1,432,048 | 66,677 | 9/15/23 | Sterling Overnight Index Average — Annually | 0.68% — Annually | (1,843,592) | ||||
GBP | 53,602,900 | 1,494,828 | (104,100) | 9/15/23 | 0.52% — Annually | Sterling Overnight Index Average — Annually | 1,900,784 | ||||
GBP | 21,441,200 | 512,022 | (110) | 9/15/23 | 1.065% — Annually | Sterling Overnight Index Average — Annually | 660,647 | ||||
GBP | 9,410,000 | 127,728 | (142) | 9/21/32 | 3.522% — Annually | Sterling Overnight Index Average — Annually | (156,516) | ||||
GBP | 1,109,000 | 8,149 | (E) | (24) | 1/14/40 | 3.306% — Annually | Sterling Overnight Index Average — Annually | (8,172) | |||
GBP | 571,000 | 4,238 | (E) | (12) | 8/20/39 | 3.299% — Annually | Sterling Overnight Index Average — Annually | (4,250) | |||
GBP | 31,236,000 | 889,565 | (131) | 11/7/24 | 5.495% — Annually | Sterling Overnight Index Average — Annually | (1,105,620) | ||||
GBP | 12,449,000 | 1,209,556 | (200) | 11/9/32 | Sterling Overnight Index Average — Annually | 4.35% — Annually | 1,251,915 | ||||
GBP | 816,700 | 39,852 | (E) | (18) | 2/26/39 | Sterling Overnight Index Average — Annually | 3.778% — Annually | 39,834 | |||
GBP | 1,267,000 | 8,138 | (E) | 137 | 3/15/25 | 4.29% — Annually | Sterling Overnight Index Average — Annually | (8,001) | |||
GBP | 63,000 | 503 | (E) | 1,117 | 3/15/33 | 3.45% — Annually | Sterling Overnight Index Average — Annually | 614 | |||
NOK | 10,635,000 | 6,830 | (E) | (2,485) | 3/15/33 | 6 month NOK-NIBOR-NIBR — Semiannually | 2.965% — Annually | (9,315) | |||
NZD | 1,089,000 | 3,829 | (E) | (1,143) | 3/15/33 | 3 month NZD-BBR-FRA — Quarterly | 4.36% — Semiannually | 2,686 | |||
SEK | 38,558,000 | 58,403 | (E) | (13,709) | 3/15/33 | 2.52% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 44,694 | |||
Total | $(1,490,345) | $6,711,368 | |||||||||
(E) | Extended effective date. |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (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 | BB/P | $11,965 | $108,245 | $26,466 | 5/11/63 | 300 bp — Monthly | $(14,440) | ||||
CMBX NA BBB-.6 Index | BB/P | 22,719 | 233,190 | 57,015 | 5/11/63 | 300 bp — Monthly | (34,160) | ||||
CMBX NA BBB-.6 Index | BB/P | 46,609 | 466,998 | 114,181 | 5/11/63 | 300 bp — Monthly | (67,299) | ||||
CMBX NA BBB-.6 Index | BB/P | 44,403 | 481,843 | 117,811 | 5/11/63 | 300 bp — Monthly | (73,127) | ||||
Citigroup Global Markets, Inc. | |||||||||||
CMBX NA A.6 Index | A/P | 2,789 | 10,224 | 1,492 | 5/11/63 | 200 bp — Monthly | 1,301 | ||||
CMBX NA A.6 Index | A/P | 3,878 | 14,670 | 2,140 | 5/11/63 | 200 bp — Monthly | 1,743 | ||||
CMBX NA A.6 Index | A/P | 5,828 | 18,670 | 2,724 | 5/11/63 | 200 bp — Monthly | 3,111 | ||||
CMBX NA A.6 Index | A/P | 8,016 | 23,560 | 3,437 | 5/11/63 | 200 bp — Monthly | 4,588 | ||||
CMBX NA A.6 Index | A/P | 8,498 | 31,562 | 4,605 | 5/11/63 | 200 bp — Monthly | 3,905 | ||||
CMBX NA A.6 Index | A/P | 9,789 | 36,452 | 5,318 | 5/11/63 | 200 bp — Monthly | 4,485 | ||||
CMBX NA A.6 Index | A/P | 13,284 | 48,454 | 7,069 | 5/11/63 | 200 bp — Monthly | 6,234 | ||||
CMBX NA A.6 Index | A/P | 15,280 | 56,900 | 8,302 | 5/11/63 | 200 bp — Monthly | 7,000 | ||||
CMBX NA A.6 Index | A/P | 16,700 | 62,679 | 9,145 | 5/11/63 | 200 bp — Monthly | 7,579 | ||||
CMBX NA A.6 Index | A/P | 23,398 | 87,128 | 12,712 | 5/11/63 | 200 bp — Monthly | 10,719 | ||||
CMBX NA A.6 Index | A/P | 28,780 | 108,021 | 15,760 | 5/11/63 | 200 bp — Monthly | 13,062 | ||||
CMBX NA A.6 Index | A/P | 31,313 | 116,912 | 17,057 | 5/11/63 | 200 bp — Monthly | 14,301 | ||||
CMBX NA BB.11 Index | BB-/P | 203,965 | 361,000 | 75,593 | 11/18/54 | 500 bp — Monthly | 128,723 | ||||
CMBX NA BB.13 Index | BB-/P | 4,099 | 41,000 | 10,553 | 12/16/72 | 500 bp — Monthly | (6,415) | ||||
CMBX NA BB.13 Index | BB-/P | 14,062 | 149,000 | 38,353 | 12/16/72 | 500 bp — Monthly | (24,146) | ||||
CMBX NA BB.13 Index | BB-/P | 24,693 | 271,000 | 69,755 | 12/16/72 | 500 bp — Monthly | (44,799) | ||||
CMBX NA BB.13 Index | BB-/P | 102,843 | 1,128,000 | 290,347 | 12/16/72 | 500 bp — Monthly | (186,407) | ||||
CMBX NA BB.14 Index | BB/P | 15,130 | 138,000 | 31,781 | 12/16/72 | 500 bp — Monthly | (16,517) | ||||
CMBX NA BB.6 Index | B/P | 154,927 | 738,221 | 272,699 | 5/11/63 | 500 bp — Monthly | (117,054) | ||||
CMBX NA BB.7 Index | B-/P | 50,574 | 991,000 | 323,661 | 1/17/47 | 500 bp — Monthly | (272,123) | ||||
CMBX NA BB.9 Index | B/P | 2,036 | 10,000 | 3,051 | 9/17/58 | 500 bp — Monthly | (1,005) | ||||
CMBX NA BB.9 Index | B/P | 34,922 | 171,000 | 52,172 | 9/17/58 | 500 bp — Monthly | (17,084) | ||||
CMBX NA BBB-.10 Index | BB+/P | 15,634 | 126,000 | 22,705 | 11/17/59 | 300 bp — Monthly | (6,997) | ||||
CMBX NA BBB-.10 Index | BB+/P | 23,891 | 219,000 | 39,464 | 11/17/59 | 300 bp — Monthly | (15,445) | ||||
CMBX NA BBB-.11 Index | BBB-/P | 22,737 | 363,000 | 53,143 | 11/18/54 | 300 bp — Monthly | (30,194) | ||||
CMBX NA BBB-.13 Index | BBB-/P | 3,709 | 73,000 | 14,534 | 12/16/72 | 300 bp — Monthly | (10,782) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 10,237 | 98,000 | 17,268 | 11/18/64 | 300 bp — Monthly | (6,974) | ||||
CMBX NA BBB-.15Index | BBB-/P | 3,908 | 23,000 | 4,053 | 11/18/64 | 300 bp — Monthly | (131) | ||||
Credit Suisse International | |||||||||||
CMBX NA BB.7 Index | B-/P | 27,822 | 208,000 | 67,933 | 1/17/47 | 500 bp — Monthly | (39,908) | ||||
CMBX NA BBB-.7 Index | BB-/P | 139,477 | 1,887,000 | 356,077 | 1/17/47 | 300 bp — Monthly | (215,499) | ||||
Goldman Sachs International | |||||||||||
CMBX NA A.13 Index | A-/P | (1,723) | 325,000 | 25,870 | 12/16/72 | 200 bp — Monthly | (27,466) | ||||
CMBX NA BB.6 Index | B/P | 41,283 | 82,708 | 30,552 | 5/11/63 | 500 bp — Monthly | 10,811 | ||||
CMBX NA BBB-.13 Index | BBB-/P | 296 | 5,000 | 996 | 12/16/72 | 300 bp — Monthly | (697) | ||||
CMBX NA BBB-.13 Index | BBB-/P | 16,780 | 106,000 | 21,105 | 12/16/72 | 300 bp — Monthly | (4,263) | ||||
CMBX NA BBB-.13 Index | BBB-/P | 18,648 | 119,000 | 23,693 | 12/16/72 | 300 bp — Monthly | (4,975) | ||||
CMBX NA BBB-.13 Index | BBB-/P | 7,982 | 127,000 | 25,286 | 12/16/72 | 300 bp — Monthly | (17,230) | ||||
CMBX NA BBB-.13 Index | BBB-/P | 28,946 | 171,000 | 34,046 | 12/16/72 | 300 bp — Monthly | (5,000) | ||||
CMBX NA BBB-.14 Index | BBB-/P | 89 | 2,000 | 348 | 12/16/72 | 300 bp — Monthly | (258) | ||||
CMBX NA BBB-.14 Index | BBB-/P | 237 | 5,000 | 871 | 12/16/72 | 300 bp — Monthly | (631) | ||||
CMBX NA BBB-.14 Index | BBB-/P | 233 | 5,000 | 871 | 12/16/72 | 300 bp — Monthly | (635) | ||||
CMBX NA BBB-.14 Index | BBB-/P | 379 | 10,000 | 1,742 | 12/16/72 | 300 bp — Monthly | (1,357) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 9,319 | 150,000 | 26,430 | 11/18/64 | 300 bp — Monthly | (17,024) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 15,760 | 177,000 | 31,187 | 11/18/64 | 300 bp — Monthly | (15,324) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 16,361 | 177,000 | 31,187 | 11/18/64 | 300 bp — Monthly | (14,724) | ||||
JPMorgan Securities LLC | |||||||||||
CMBX NA A.14 Index | A-/P | (94) | 16,000 | 1,285 | 12/16/72 | 200 bp — Monthly | (1,373) | ||||
CMBX NA BB.10 Index | B+/P | 10,591 | 132,000 | 41,580 | 5/11/63 | 500 bp — Monthly | (30,860) | ||||
CMBX NA BB.6 Index | B/P | 167,824 | 222,833 | 82,315 | 5/11/63 | 500 bp — Monthly | 85,726 | ||||
CMBX NA BB.7 Index | B-/P | 272,738 | 557,000 | 181,916 | 1/17/47 | 500 bp — Monthly | 91,363 | ||||
CMBX NA BBB-.11 Index | BBB-/P | 441 | 4,000 | 586 | 11/18/54 | 300 bp — Monthly | (143) | ||||
CMBX NA BBB-.13 Index | BBB-/P | 529 | 4,000 | 796 | 12/16/72 | 300 bp — Monthly | (265) | ||||
CMBX NA BBB-.8 Index | BB/P | 9,980 | 64,000 | 10,259 | 10/17/57 | 300 bp — Monthly | (242) | ||||
Morgan Stanley & Co. International PLC | |||||||||||
CMBX NA A.13 Index | A-/P | (7,277) | 488,000 | 38,845 | 12/16/72 | 200 bp — Monthly | (45,932) | ||||
CMBX NA A.14 Index | A-/P | (25) | 2,000 | 161 | 12/16/72 | 200 bp — Monthly | (185) | ||||
CMBX NA A.14 Index | A-/P | (386) | 29,000 | 2,329 | 12/16/72 | 200 bp — Monthly | (2,704) | ||||
CMBX NA A.14 Index | A-/P | 1,152 | 41,000 | 3,292 | 12/16/72 | 200 bp — Monthly | (2,125) | ||||
CMBX NA A.14 Index | A-/P | (382) | 65,000 | 5,220 | 12/16/72 | 200 bp — Monthly | (5,577) | ||||
CMBX NA A.14 Index | A-/P | (1,309) | 84,000 | 6,745 | 12/16/72 | 200 bp — Monthly | (8,021) | ||||
CMBX NA A.6 Index | A/P | 8,076 | 40,452 | 5,902 | 5/11/63 | 200 bp — Monthly | 2,190 | ||||
CMBX NA A.7 Index | BBB+/P | 199 | 41,000 | 2,333 | 1/17/47 | 200 bp — Monthly | (2,118) | ||||
CMBX NA A.7 Index | BBB+/P | (96) | 99,000 | 5,633 | 1/17/47 | 200 bp — Monthly | (5,690) | ||||
CMBX NA BB.11 Index | BB-/P | 4,232 | 50,000 | 10,470 | 11/18/54 | 500 bp — Monthly | (6,189) | ||||
CMBX NA BB.13 Index | BB-/P | 3,325 | 36,000 | 9,266 | 12/16/72 | 500 bp — Monthly | (5,906) | ||||
CMBX NA BB.13 Index | BB-/P | 4,401 | 47,000 | 12,098 | 12/16/72 | 500 bp — Monthly | (7,651) | ||||
CMBX NA BB.13 Index | BB-/P | 6,237 | 68,000 | 17,503 | 12/16/72 | 500 bp — Monthly | (11,200) | ||||
CMBX NA BB.13 Index | BB-/P | 10,770 | 112,000 | 28,829 | 12/16/72 | 500 bp — Monthly | (17,950) | ||||
CMBX NA BB.13 Index | BB-/P | 11,626 | 125,000 | 32,175 | 12/16/72 | 500 bp — Monthly | (20,427) | ||||
CMBX NA BB.13 Index | BB-/P | 22,127 | 241,000 | 62,033 | 12/16/72 | 500 bp — Monthly | (39,672) | ||||
CMBX NA BB.6 Index | B/P | 47,886 | 133,290 | 49,237 | 5/11/63 | 500 bp — Monthly | (1,221) | ||||
CMBX NA BB.6 Index | B/P | 96,100 | 266,580 | 98,475 | 5/11/63 | 500 bp — Monthly | (2,115) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 8,179 | 145,000 | 25,549 | 11/18/64 | 300 bp — Monthly | (17,286) | ||||
CMBX NA BBB-.7 Index | BB-/P | 6,261 | 92,000 | 17,360 | 1/17/47 | 300 bp — Monthly | (11,046) | ||||
CMBX NA BBB-.7 Index | BB-/P | 9,516 | 143,000 | 26,984 | 1/17/47 | 300 bp — Monthly | (17,384) | ||||
CMBX NA BBB-.9 Index | BB+/P | 291 | 3,000 | 527 | 9/17/58 | 300 bp — Monthly | (234) | ||||
Upfront premium received | 2,006,709 | Unrealized appreciation | 396,841 | ||||||||
Upfront premium (paid) | (11,292) | Unrealized (depreciation) | (1,573,606) | ||||||||
Total | $1,995,417 | Total | $(1,176,765) | ||||||||
* | 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 January 31, 2023. 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 1/31/23 (Unaudited) | |||||||||||
Swap counterparty/ referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | |||||
Citigroup Global Markets, Inc. | |||||||||||
CMBX NA A.7 Index | $(1,039) | $140,000 | $7,966 | 1/17/47 | (200 bp) — Monthly | $6,874 | |||||
CMBX NA BB.10 Index | (84,868) | 352,000 | 110,880 | 11/17/59 | (500 bp) — Monthly | 25,670 | |||||
CMBX NA BB.10 Index | (77,265) | 303,000 | 95,445 | 11/17/59 | (500 bp) — Monthly | 17,885 | |||||
CMBX NA BB.10 Index | (13,254) | 127,000 | 40,005 | 11/17/59 | (500 bp) — Monthly | 26,627 | |||||
CMBX NA BB.10 Index | (11,403) | 104,000 | 32,760 | 11/17/59 | (500 bp) — Monthly | 21,255 | |||||
CMBX NA BB.11 Index | (8,181) | 119,000 | 24,919 | 11/18/54 | (500 bp) — Monthly | 16,622 | |||||
CMBX NA BB.11 Index | (8,376) | 116,000 | 24,290 | 11/18/54 | (500 bp) — Monthly | 15,802 | |||||
CMBX NA BB.11 Index | (3,839) | 74,000 | 15,496 | 11/18/54 | (500 bp) — Monthly | 11,585 | |||||
CMBX NA BB.11 Index | (3,775) | 74,000 | 15,496 | 11/18/54 | (500 bp) — Monthly | 11,649 | |||||
CMBX NA BB.8 Index | (25,218) | 70,541 | 25,176 | 10/17/57 | (500 bp) — Monthly | (111) | |||||
CMBX NA BB.9 Index | (605) | 15,000 | 4,577 | 9/17/58 | (500 bp) — Monthly | 3,957 | |||||
CMBX NA BBB-.10 Index | (128,609) | 748,000 | 134,790 | 11/17/59 | (300 bp) — Monthly | 5,744 | |||||
CMBX NA BBB-.10 Index | (50,836) | 219,000 | 39,464 | 11/17/59 | (300 bp) — Monthly | (11,500) | |||||
CMBX NA BBB-.10 Index | (27,941) | 128,000 | 23,066 | 11/17/59 | (300 bp) — Monthly | (4,950) | |||||
CMBX NA BBB-.10 Index | (22,416) | 103,000 | 18,561 | 11/17/59 | (300 bp) — Monthly | (3,916) | |||||
CMBX NA BBB-.10 Index | (23,380) | 98,000 | 17,660 | 11/17/59 | (300 bp) — Monthly | (5,778) | |||||
CMBX NA BBB-.10 Index | (6,884) | 54,000 | 9,731 | 11/17/59 | (300 bp) — Monthly | 2,816 | |||||
CMBX NA BBB-.10 Index | (11,811) | 48,000 | 8,650 | 11/17/59 | (300 bp) — Monthly | (3,190) | |||||
CMBX NA BBB-.10 Index | (5,991) | 47,000 | 8,469 | 11/17/59 | (300 bp) — Monthly | 2,451 | |||||
CMBX NA BBB-.10 Index | (2,447) | 20,000 | 3,604 | 11/17/59 | (300 bp) — Monthly | 1,146 | |||||
CMBX NA BBB-.11 Index | (18,545) | 126,000 | 18,446 | 11/18/54 | (300 bp) — Monthly | (172) | |||||
CMBX NA BBB-.11 Index | (37,724) | 115,000 | 16,836 | 11/18/54 | (300 bp) — Monthly | (20,955) | |||||
CMBX NA BBB-.11 Index | (16,668) | 52,000 | 7,613 | 11/18/54 | (300 bp) — Monthly | (9,085) | |||||
CMBX NA BBB-.11 Index | (5,740) | 39,000 | 5,710 | 11/18/54 | (300 bp) — Monthly | (53) | |||||
CMBX NA BBB-.12 Index | (65,030) | 370,000 | 65,786 | 8/17/61 | (300 bp) — Monthly | 540 | |||||
CMBX NA BBB-.12 Index | (96,979) | 279,000 | 49,606 | 8/17/61 | (300 bp) — Monthly | (47,535) | |||||
CMBX NA BBB-.12 Index | (17,830) | 259,000 | 46,050 | 8/17/61 | (300 bp) — Monthly | 28,069 | |||||
CMBX NA BBB-.12 Index | (62,518) | 183,000 | 32,537 | 8/17/61 | (300 bp) — Monthly | (30,087) | |||||
CMBX NA BBB-.12 Index | (23,783) | 140,000 | 24,892 | 8/17/61 | (300 bp) — Monthly | 1,027 | |||||
CMBX NA BBB-.12 Index | (21,090) | 60,000 | 10,668 | 8/17/61 | (300 bp) — Monthly | (10,457) | |||||
CMBX NA BBB-.12 Index | (18,378) | 55,000 | 9,779 | 8/17/61 | (300 bp) — Monthly | (8,631) | |||||
CMBX NA BBB-.12 Index | (8,458) | 24,000 | 4,267 | 8/17/61 | (300 bp) — Monthly | (4,205) | |||||
CMBX NA BBB-.13 Index | (5,532) | 73,000 | 14,534 | 12/16/72 | (300 bp) — Monthly | 8,960 | |||||
CMBX NA BBB-.13 Index | (2,824) | 56,000 | 11,150 | 12/16/72 | (300 bp) — Monthly | 8,293 | |||||
CMBX NA BBB-.13 Index | (2,852) | 56,000 | 11,150 | 12/16/72 | (300 bp) — Monthly | 8,265 | |||||
CMBX NA BBB-.14 Index | (2,785) | 14,000 | 2,439 | 12/16/72 | (300 bp) — Monthly | (354) | |||||
CMBX NA BBB-.14 Index | (1,538) | 8,000 | 1,394 | 12/16/72 | (300 bp) — Monthly | (149) | |||||
CMBX NA BBB-.8 Index | (24,698) | 178,000 | 28,533 | 10/17/57 | (300 bp) — Monthly | 3,732 | |||||
CMBX NA BBB-.8 Index | (3,000) | 20,000 | 3,206 | 10/17/57 | (300 bp) — Monthly | 194 | |||||
CMBX NA BBB-.8 Index | (1,864) | 14,000 | 2,244 | 10/17/57 | (300 bp) — Monthly | 372 | |||||
CMBX NA BBB-.9 Index | (1,656) | 7,000 | 1,229 | 9/17/58 | (300 bp) — Monthly | (431) | |||||
Credit Suisse International | |||||||||||
CMBX NA BB.10 Index | (35,090) | 263,000 | 82,845 | 11/17/59 | (500 bp) — Monthly | 47,499 | |||||
CMBX NA BB.10 Index | (31,275) | 263,000 | 82,845 | 11/17/59 | (500 bp) — Monthly | 51,314 | |||||
CMBX NA BB.10 Index | (17,278) | 139,000 | 43,785 | 11/17/59 | (500 bp) — Monthly | 26,372 | |||||
CMBX NA BB.7 Index | (31,365) | 1,214,647 | 448,691 | 5/11/63 | (500 bp) — Monthly | 416,145 | |||||
Goldman Sachs International | |||||||||||
CMBX NA A.6 Index | (32,595) | 218,709 | 31,910 | 5/11/63 | (200 bp) — Monthly | (770) | |||||
CMBX NA A.6 Index | (23,414) | 124,913 | 18,225 | 5/11/63 | (200 bp) — Monthly | (5,238) | |||||
CMBX NA A.6 Index | (18,150) | 97,797 | 14,269 | 5/11/63 | (200 bp) — Monthly | (3,919) | |||||
CMBX NA A.6 Index | (14,603) | 78,682 | 11,480 | 5/11/63 | (200 bp) — Monthly | (3,153) | |||||
CMBX NA A.6 Index | (7,269) | 39,563 | 5,772 | 5/11/63 | (200 bp) — Monthly | (1,512) | |||||
CMBX NA A.6 Index | (96) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (32) | |||||
CMBX NA BB.10 Index | (107,469) | 475,000 | 149,625 | 11/17/59 | (500 bp) — Monthly | 41,694 | |||||
CMBX NA BB.7 Index | (303,312) | 1,794,000 | 585,920 | 1/17/47 | (500 bp) — Monthly | 280,864 | |||||
CMBX NA BB.7 Index | (2,270) | 15,000 | 4,899 | 1/17/47 | (500 bp) — Monthly | 2,615 | |||||
CMBX NA BB.7 Index | (1,147) | 7,000 | 2,286 | 1/17/47 | (500 bp) — Monthly | 1,132 | |||||
CMBX NA BB.9 Index | (2,155) | 20,000 | 6,102 | 9/17/58 | (500 bp) — Monthly | 3,927 | |||||
CMBX NA BB.9 Index | (731) | 7,000 | 2,136 | 9/17/58 | (500 bp) — Monthly | 1,398 | |||||
CMBX NA BB.9 Index | (476) | 4,000 | 1,220 | 9/17/58 | (500 bp) — Monthly | 741 | |||||
CMBX NA BBB-.12 Index | (49,648) | 278,000 | 49,428 | 8/17/61 | (300 bp) — Monthly | (382) | |||||
CMBX NA BBB-.12 Index | (4,289) | 22,000 | 3,912 | 8/17/61 | (300 bp) — Monthly | (390) | |||||
CMBX NA BBB-.13 Index | (3,713) | 49,000 | 9,756 | 12/16/72 | (300 bp) — Monthly | 6,014 | |||||
CMBX NA BBB-.7 Index | (9,501) | 141,000 | 26,607 | 1/17/47 | (300 bp) — Monthly | 17,024 | |||||
CMBX NA BBB-.7 Index | (4,210) | 62,000 | 11,699 | 1/17/47 | (300 bp) — Monthly | 7,453 | |||||
CMBX NA BBB-.7 Index | (759) | 11,000 | 2,076 | 1/17/47 | (300 bp) — Monthly | 1,310 | |||||
CMBX NA BBB-.7 Index | (312) | 3,000 | 566 | 1/17/47 | (300 bp) — Monthly | 253 | |||||
JPMorgan Securities LLC | |||||||||||
CMBX NA BB.11 Index | (15,271) | 28,000 | 5,863 | 11/18/54 | (500 bp) — Monthly | (9,435) | |||||
CMBX NA BBB-.12 Index | (31,118) | 259,000 | 46,050 | 8/17/61 | (300 bp) — Monthly | 14,781 | |||||
CMBX NA BBB-.7 Index | (416,704) | 1,775,000 | 334,943 | 1/17/47 | (300 bp) — Monthly | (82,797) | |||||
Merrill Lynch International | |||||||||||
CMBX NA BB.10 Index | (14,452) | 254,000 | 80,010 | 11/17/59 | (500 bp) — Monthly | 65,311 | |||||
CMBX NA BBB-.6 Index | (311,197) | 843,690 | 206,282 | 5/11/63 | (300 bp) — Monthly | (105,407) | |||||
CMBX NA BBB-.6 Index | (164,301) | 446,586 | 109,190 | 5/11/63 | (300 bp) — Monthly | (55,371) | |||||
Morgan Stanley & Co. International PLC | |||||||||||
CMBX NA A.6 Index | (15,600) | 71,125 | 10,377 | 5/11/63 | (200 bp) — Monthly | (5,251) | |||||
CMBX NA A.6 Index | (4,165) | 22,671 | 3,308 | 5/11/63 | (200 bp) — Monthly | (867) | |||||
CMBX NA A.6 Index | (290) | 1,334 | 195 | 5/11/63 | (200 bp) — Monthly | (96) | |||||
CMBX NA A.6 Index | (84) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (19) | |||||
CMBX NA BB.10 Index | (78,440) | 334,000 | 105,210 | 11/17/59 | (500 bp) — Monthly | 26,445 | |||||
CMBX NA BB.10 Index | (54,068) | 178,000 | 56,070 | 11/17/59 | (500 bp) — Monthly | 1,829 | |||||
CMBX NA BB.10 Index | (13,319) | 127,000 | 40,005 | 11/17/59 | (500 bp) — Monthly | 26,562 | |||||
CMBX NA BB.9 Index | (3,939) | 64,000 | 19,526 | 9/17/58 | (500 bp) — Monthly | 15,525 | |||||
CMBX NA BB.9 Index | (1,845) | 30,000 | 9,153 | 9/17/58 | (500 bp) — Monthly | 7,279 | |||||
CMBX NA BB.9 Index | (977) | 25,000 | 7,628 | 9/17/58 | (500 bp) — Monthly | 6,626 | |||||
CMBX NA BB.9 Index | (676) | 9,000 | 2,746 | 9/17/58 | (500 bp) — Monthly | 2,061 | |||||
CMBX NA BB.9 Index | (324) | 6,000 | 1,831 | 9/17/58 | (500 bp) — Monthly | 1,501 | |||||
CMBX NA BB.9 Index | (50) | 1,000 | 305 | 9/17/58 | (500 bp) — Monthly | 255 | |||||
CMBX NA BBB-.10 Index | (31,018) | 184,000 | 33,157 | 11/17/59 | (300 bp) — Monthly | 2,031 | |||||
CMBX NA BBB-.10 Index | (21,346) | 173,000 | 31,175 | 11/17/59 | (300 bp) — Monthly | 9,728 | |||||
CMBX NA BBB-.10 Index | (10,998) | 127,000 | 22,885 | 11/17/59 | (300 bp) — Monthly | 11,813 | |||||
CMBX NA BBB-.10 Index | (26,573) | 109,000 | 19,642 | 11/17/59 | (300 bp) — Monthly | (6,995) | |||||
CMBX NA BBB-.10 Index | (11,034) | 87,000 | 15,677 | 11/17/59 | (300 bp) — Monthly | 4,593 | |||||
CMBX NA BBB-.10 Index | (13,752) | 63,000 | 11,353 | 11/17/59 | (300 bp) — Monthly | (2,436) | |||||
CMBX NA BBB-.10 Index | (12,857) | 56,000 | 10,091 | 11/17/59 | (300 bp) — Monthly | (2,799) | |||||
CMBX NA BBB-.10 Index | (5,421) | 25,000 | 4,505 | 11/17/59 | (300 bp) — Monthly | (930) | |||||
CMBX NA BBB-.10 Index | (4,757) | 22,000 | 3,964 | 11/17/59 | (300 bp) — Monthly | (806) | |||||
CMBX NA BBB-.11 Index | (6,242) | 20,000 | 2,928 | 11/18/54 | (300 bp) — Monthly | (3,326) | |||||
CMBX NA BBB-.11 Index | (4,747) | 15,000 | 2,196 | 11/18/54 | (300 bp) — Monthly | (2,560) | |||||
CMBX NA BBB-.12 Index | (1,319) | 32,000 | 5,690 | 8/17/61 | (300 bp) — Monthly | 4,352 | |||||
CMBX NA BBB-.12 Index | (4,320) | 13,000 | 2,311 | 8/17/61 | (300 bp) — Monthly | (2,017) | |||||
CMBX NA BBB-.13 Index | (22,865) | 371,000 | 73,866 | 12/16/72 | (300 bp) — Monthly | 50,785 | |||||
CMBX NA BBB-.7 Index | (1,397) | 22,000 | 4,151 | 1/17/47 | (300 bp) — Monthly | 2,742 | |||||
CMBX NA BBB-.8 Index | (2,284) | 18,000 | 2,885 | 10/17/57 | (300 bp) — Monthly | 591 | |||||
CMBX NA BBB-.8 Index | (469) | 3,000 | 481 | 10/17/57 | (300 bp) — Monthly | 10 | |||||
Upfront premium received | — | Unrealized appreciation | 1,390,110 | ||||||||
Upfront premium (paid) | (2,966,976) | Unrealized (depreciation) | (458,067) | ||||||||
Total | $(2,966,976) | Total | $932,043 | ||||||||
* | 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 1/31/23 (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 | $4,062 | $7,928,910 | $313,176 | 6/20/27 | 500 bp — Quarterly | $364,592 | ||||
Total | $4,062 | $364,592 | |||||||||
* | 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 January 31, 2023. 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 | |||||
NOK | Norwegian Krone | |||||
NZD | New Zealand Dollar | |||||
SEK | Swedish Krona | |||||
USD / $ | United States Dollar | |||||
Key to holding's abbreviations | ||||||
bp | Basis Points | |||||
CME | Chicago Mercantile Exchange | |||||
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. | |||||
ICE | Intercontinental Exchange | |||||
IO | Interest Only | |||||
JSC | Joint Stock Company | |||||
LIBOR | London Interbank Offered Rate | |||||
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. | |||||
REMICs | Real Estate Mortgage Investment Conduits | |||||
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 November 1, 2022 through January 31, 2023 (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 $358,152,227. | |||||
(NON) | This security is non-income-producing. | |||||
Transactions during the period with any company which is under common ownership or control were as follows: | ||||||
Name of affiliate | Fair value as of 10/31/22 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 1/31/23 | |
Short-term investments | ||||||
Putnam Short Term Investment Fund** | $2,750,000 | $9,500,000 | $12,250,000 | $66,418 | $— | |
Total Short-term investments | $2,750,000 | $9,500,000 | $12,250,000 | $66,418 | $— | |
** 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 $867,826. | |||||
(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 $754,101. | |||||
(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 $230,954. | |||||
(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 $3,240,160. | |||||
(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. | ||||||
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $181,082,319 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. | ||||||
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. | ||||||
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 $814,068 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $754,101 and may include amounts related to unsettled agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | |||||||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | |||||||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | |||||||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | |||||||||
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | |||||||||
Valuation inputs | |||||||||
Investments in securities: | Level 1 | Level 2 | Level 3 | ||||||
Asset-backed securities | $— | $2,205,823 | $— | ||||||
Collateralized loan obligations | — | 32,294,692 | — | ||||||
Convertible bonds and notes | — | 3,245,459 | — | ||||||
Corporate bonds and notes | — | 50,716,686 | — | ||||||
Foreign government and agency bonds and notes | — | 17,927,313 | — | ||||||
Mortgage-backed securities | — | 49,800,855 | — | ||||||
U.S. government and agency mortgage obligations | — | 361,754,633 | — | ||||||
U.S. treasury obligations | — | 725,313 | — | ||||||
Short-term investments | 4,818,000 | 185,779,693 | — | ||||||
Totals by level | $4,818,000 | $704,450,467 | $— | ||||||
Valuation inputs | |||||||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | ||||||
Forward currency contracts | $— | $(89,382) | $— | ||||||
Futures contracts | (463,399) | — | — | ||||||
Forward premium swap option contracts | — | 2,760,106 | — | ||||||
TBA sale commitments | — | (270,441,405) | — | ||||||
Interest rate swap contracts | — | 8,201,713 | — | ||||||
Credit default contracts | — | 1,087,367 | — | ||||||
Totals by level | $(463,399) | $(258,481,601) | $— | ||||||
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | |||||||||
Purchased swap option contracts (contract amount) | $819,300,000 | ||||||||
Written swap option contracts (contract amount) | $298,100,000 | ||||||||
Futures contracts (number of contracts) | 600 | ||||||||
Forward currency contracts (contract amount) | $27,800,000 | ||||||||
Centrally cleared interest rate swap contracts (notional) | $2,344,700,000 | ||||||||
OTC credit default contracts (notional) | $30,600,000 | ||||||||
Centrally cleared credit default contracts (notional) | $7,900,000 | ||||||||
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 |