Putnam Ultra Short Duration Income Fund | ||||||
The fund's portfolio | ||||||
10/31/23 (Unaudited) |
CORPORATE BONDS AND NOTES (66.9%)(a) | ||||||
Principal amount | Value | |||||
Banking (35.0%) | ||||||
ABN AMRO Bank NV 144A sr. unsec. FRN 6.575%, 10/13/26 (Netherlands) | $24,000,000 | $24,044,830 | ||||
ABN AMRO Bank NV 144A sr. unsec. FRN 6.339%, 9/18/27 (Netherlands) | 24,700,000 | 24,429,428 | ||||
ANZ New Zealand Int'l, Ltd./London 144A company guaranty sr. unsec. FRN (US SOFR + 0.60%), 5.942%, 2/18/25 (United Kingdom) | 28,032,000 | 28,010,696 | ||||
Australia and New Zealand Banking Group, Ltd. 144A sr. unsec. notes 4.829%, 2/3/25 (Australia) | 48,073,000 | 47,589,137 | ||||
Banco Bilbao Vizcaya Argentaria SA sr. unsec. unsub. FRN 5.862%, 9/14/26 (Spain) | 41,052,000 | 40,441,926 | ||||
Banco Santander SA sr. unsec. unsub. FRN 6.527%, 11/7/27 (Spain) | 24,000,000 | 24,038,920 | ||||
Bank of America Corp. sr. unsec. FRN (US SOFR + 1.10%), 6.445%, 4/25/25 | 700,000 | 700,985 | ||||
Bank of America Corp. sr. unsec. FRN 5.08%, 1/20/27 | 46,963,000 | 45,716,842 | ||||
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN, 3.458%, 3/15/25 | 18,857,000 | 18,632,943 | ||||
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN, 3.093%, 10/1/25 | 12,834,000 | 12,438,355 | ||||
Bank of America NA sr. unsec. notes 5.65%, 8/18/25 | 38,626,000 | 38,511,964 | ||||
Bank of America NA sr. unsec. unsub. notes 5.526%, 8/18/26 | 38,626,000 | 38,327,405 | ||||
Bank of Montreal sr. unsec. FRN (US SOFR Compounded Index + 0.71%), 6.053%, 12/12/24 (Canada) | 44,198,000 | 44,201,471 | ||||
Bank of Montreal sr. unsec. FRN Ser. MTN, (US SOFR Compounded Index + 0.47%), 5.811%, 1/10/25 (Canada) | 46,935,000 | 46,722,177 | ||||
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.32%), 5.665%, 7/9/24 (Canada) | 37,845,000 | 37,777,358 | ||||
Bank of New York Mellon (The) sr. unsec. notes 5.148%, 5/22/26 | 23,857,000 | 23,527,177 | ||||
Bank of New York Mellon Corp. (The) sr. unsec. unsub. FRN (US SOFR + 0.62%), 5.965%, 4/25/25 | 51,384,000 | 51,257,258 | ||||
Bank of New York Mellon Corp. (The) sr. unsec. unsub. FRN (US SOFR + 0.20%), 5.545%, 10/25/24 | 34,893,000 | 34,736,196 | ||||
Bank of Nova Scotia (The) sr. unsec. FRN (US SOFR Compounded Index + 0.45%), 5.789%, 4/15/24 (Canada) | 74,000,000 | 73,972,335 | ||||
Bank of Nova Scotia (The) sr. unsec. unsub. FRN (US SOFR + 0.38%), 5.726%, 7/31/24 (Canada) | 46,700,000 | 46,712,394 | ||||
Banque Federative du Credit Mutuel SA 144A sr. unsec. FRN (US SOFR Compounded Index + 0.41%), 5.751%, 2/4/25 (France) | 70,375,000 | 69,918,427 | ||||
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 5.896%, 7/13/26 (France) | 23,865,000 | 23,627,542 | ||||
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 0.65%, 2/27/24 (France) | 35,500,000 | 34,898,756 | ||||
Barclays PLC sr. unsec. unsub. FRN 6.496%, 9/13/27 (United Kingdom) | 26,815,000 | 26,563,801 | ||||
Barclays PLC sr. unsec. unsub. FRN 3.932%, 5/7/25 (United Kingdom) | 34,925,000 | 34,449,257 | ||||
Barclays PLC sr. unsec. unsub. FRN 1.007%, 12/10/24 (United Kingdom) | 8,360,000 | 8,306,232 | ||||
BNP Paribas SA 144A sr. unsec. FRN 4.705%, 1/10/25 (France) | 21,650,000 | 21,568,275 | ||||
BNP Paribas SA 144A sr. unsec. unsub. notes 3.80%, 1/10/24 (France) | 9,150,000 | 9,106,528 | ||||
BPCE SA 144A sr. unsec. FRN (US SOFR + 0.96%), 6.304%, 9/25/25 (France) | 23,930,000 | 23,944,127 | ||||
BPCE SA 144A sr. unsec. FRN (US SOFR + 0.57%), 5.914%, 1/14/25 (France) | 24,822,000 | 24,718,955 | ||||
BPCE SA 144A sr. unsec. notes 2.375%, 1/14/25 (France) | 6,836,000 | 6,500,641 | ||||
BPCE SA 144A sr. unsec. unsub. FRN 5.975%, 1/18/27 (France) | 28,882,000 | 28,422,401 | ||||
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France) | 9,015,000 | 8,883,832 | ||||
BPCE SA 144A unsec. sub. notes 4.625%, 7/11/24 (France) | 1,737,000 | 1,705,873 | ||||
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | 8,645,000 | 8,339,583 | ||||
Canadian Imperial Bank of Commerce sr. unsec. notes 5.926%, 10/2/26 (Canada) | 29,010,000 | 28,953,049 | ||||
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.42%), 5.764%, 10/18/24 (Canada) | 46,114,000 | 46,034,223 | ||||
Canadian Imperial Bank of Commerce sr. unsec. unsub. notes 5.144%, 4/28/25 (Canada) | 33,415,000 | 32,970,060 | ||||
Citigroup, Inc. sr. unsec. FRN 3.352%, 4/24/25 | 5,474,000 | 5,389,537 | ||||
Citigroup, Inc. sr. unsec. unsub. FRN (US SOFR + 1.37%), 6.714%, 5/24/25 | 13,997,000 | 14,033,619 | ||||
Citigroup, Inc. sr. unsec. unsub. FRN (US SOFR + 0.67%), 6.014%, 5/1/25 | 43,754,000 | 43,602,509 | ||||
Citigroup, Inc. sr. unsec. unsub. FRN 4.14%, 5/24/25 | 33,275,000 | 32,864,226 | ||||
Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25 | 19,435,000 | 18,749,590 | ||||
Citizens Bank NA sr. unsec. unsub. FRN 5.284%, 1/26/26 | 41,686,000 | 39,266,060 | ||||
Commonwealth Bank of Australia 144A sr. unsec. unsub. FRN (US SOFR + 0.74%), 6.084%, 3/14/25 (Australia) | 65,581,000 | 65,771,841 | ||||
Commonwealth Bank of Australia/New York, NY sr. unsec. notes 5.079%, 1/10/25 | 18,783,000 | 18,691,188 | ||||
Cooperatieve Rabobank UA sr. unsec. FRN (US SOFR Compounded Index + 0.38%), 5.726%, 1/10/25 (Netherlands) | 63,599,000 | 63,484,791 | ||||
Cooperatieve Rabobank UA sr. unsec. FRN (US SOFR Compounded Index + 0.30%), 5.645%, 1/12/24 (Netherlands) | 16,930,000 | 16,928,815 | ||||
Credit Agricole SA/London 144A sr. unsec. notes 5.589%, 7/5/26 (France) | 33,415,000 | 33,050,069 | ||||
Credit Agricole SA/London 144A sr. unsec. unsub. notes 3.25%, 10/4/24 (United Kingdom) | 40,832,000 | 39,793,541 | ||||
Credit Suisse Group AG sr. unsec. FRN (US SOFR Compounded Index + 0.39%), 5.735%, 2/2/24 | 25,365,000 | 25,312,241 | ||||
Danske Bank A/S 144A sr. unsec. FRN 6.466%, 1/9/26 (Denmark) | 17,095,000 | 17,011,064 | ||||
Danske Bank A/S 144A sr. unsec. notes 5.375%, 1/12/24 (Denmark) | 45,956,000 | 45,822,821 | ||||
DNB Bank ASA 144A sr. unsec. FRN 5.896%, 10/9/26 (Norway) | 35,783,000 | 35,561,493 | ||||
DNB Bank ASA 144A sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.83%), 6.175%, 3/28/25 (Norway) | 51,541,000 | 51,545,549 | ||||
DNB Bank ASA 144A sr. unsec. unsub. FRN 2.968%, 3/28/25 (Norway) | 5,390,000 | 5,313,275 | ||||
Federation des Caisses Desjardins du Quebec 144A sr. unsec. FRN (US SOFR + 0.43%), 5.772%, 5/21/24 (Canada) | 41,990,000 | 41,963,391 | ||||
Fifth Third Bancorp sr. unsec. notes 3.65%, 1/25/24 | 6,337,000 | 6,291,735 | ||||
Fifth Third Bank/Cincinnati, OH sr. unsec. FRN 5.852%, 10/27/25 | 31,535,000 | 30,720,694 | ||||
HSBC USA, Inc. sr. unsec. unsub. notes 5.625%, 3/17/25 | 57,650,000 | 57,144,006 | ||||
Huntington National Bank (The) sr. unsec. FRN (US SOFR Compounded Index + 1.19%), 6.532%, 5/16/25 | 28,010,000 | 27,290,395 | ||||
Huntington National Bank (The) sr. unsec. FRN 5.699%, 11/18/25 | 45,010,000 | 43,700,964 | ||||
ING Groep NV sr. unsec. FRN (US SOFR Compounded Index + 1.64%), 6.985%, 3/28/26 (Netherlands) | 9,675,000 | 9,734,953 | ||||
ING Groep NV sr. unsec. notes 3.55%, 4/9/24 (Netherlands) | 16,442,000 | 16,256,981 | ||||
ING Groep NV sr. unsec. unsub. FRN (US SOFR + 1.56%), 6.905%, 9/11/27 (Netherlands) | 19,350,000 | 19,374,925 | ||||
ING Groep NV sr. unsec. unsub. FRN 6.083%, 9/11/27 (Netherlands) | 10,700,000 | 10,597,902 | ||||
Intesa Sanpaolo SpA company guaranty sr. unsec. notes 5.25%, 1/12/24 (Italy) | 56,505,000 | 56,347,856 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN (US SOFR + 1.32%), 6.665%, 4/26/26 | 4,963,000 | 4,991,736 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN 5.546%, 12/15/25 | 48,144,000 | 47,664,293 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN 3.22%, 3/1/25 | 55,520,000 | 54,921,271 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN 2.083%, 4/22/26 | 10,061,000 | 9,455,581 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN 2.005%, 3/13/26 | 18,043,000 | 17,026,396 | ||||
JPMorgan Chase & Co. unsec. sub. notes 3.875%, 9/10/24 | 3,232,000 | 3,169,890 | ||||
KeyBank NA sr. unsec. FRN Ser. BKNT, (US SOFR Compounded Index + 0.32%), 5.664%, 6/14/24 | 22,540,000 | 22,040,188 | ||||
KeyCorp sr. unsec. unsub. FRN Ser. MTN, 3.878%, 5/23/25 | 13,996,000 | 13,398,034 | ||||
Lloyds Banking Group PLC sr. unsec. unsub. FRN (US SOFR Compounded Index + 1.56%), 6.901%, 8/7/27 (United Kingdom) | 9,674,000 | 9,688,660 | ||||
Lloyds Banking Group PLC sr. unsec. unsub. FRN 5.985%, 8/7/27 (United Kingdom) | 22,697,000 | 22,367,132 | ||||
Lloyds Banking Group PLC sr. unsec. unsub. FRN 3.87%, 7/9/25 (United Kingdom) | 22,481,000 | 22,078,120 | ||||
Lloyds Banking Group PLC sr. unsec. unsub. notes 4.45%, 5/8/25 (United Kingdom) | 38,283,000 | 37,183,821 | ||||
Macquarie Bank, Ltd. 144A sr. unsec. FRN (US SOFR + 1.31%), 6.654%, 3/21/25 (Australia) | 19,285,000 | 19,439,138 | ||||
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN (US SOFR + 0.94%), 6.281%, 2/20/26 (Japan) | 29,385,000 | 29,395,903 | ||||
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN 5.719%, 2/20/26 (Japan) | 26,697,000 | 26,529,495 | ||||
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN 4.788%, 7/18/25 (Japan) | 19,631,000 | 19,407,702 | ||||
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. FRN 5.541%, 4/17/26 (Japan) | 23,461,000 | 23,213,466 | ||||
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. FRN 5.063%, 9/12/25 (Japan) | 37,569,000 | 37,158,295 | ||||
Mizuho Bank, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.60%, 9/25/24 (Japan) | 18,850,000 | 18,443,702 | ||||
National Australia Bank, Ltd. 144A sr. unsec. FRN (US SOFR + 0.38%), 5.725%, 1/12/25 (Australia) | 70,891,000 | 70,676,015 | ||||
National Bank of Canada company guaranty sr. unsec. FRN (US SOFR + 0.49%), 5.83%, 8/6/24 (Canada) | 36,500,000 | 36,452,057 | ||||
National Bank of Canada company guaranty sr. unsec. FRN 3.75%, 6/9/25 (Canada) | 35,260,000 | 34,659,089 | ||||
NatWest Group PLC sr. unsec. unsub. FRN 5.847%, 3/2/27 (United Kingdom) | 12,675,000 | 12,451,793 | ||||
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) | 49,193,000 | 48,698,113 | ||||
PNC Bank NA sr. unsec. notes 2.50%, 8/27/24 | 36,033,000 | 34,990,643 | ||||
PNC Financial Services Group, Inc. (The) sr. unsec. notes 2.20%, 11/1/24 | 1,066,000 | 1,024,903 | ||||
PNC Financial Services Group, Inc. (The) sr. unsec. unsub. FRN 5.812%, 6/12/26 | 35,271,000 | 34,803,300 | ||||
PNC Financial Services Group, Inc. (The) sr. unsec. unsub. FRN 4.758%, 1/26/27 | 29,398,000 | 28,293,159 | ||||
Royal Bank of Canada sr. unsec. FRN Ser. GMTN, (US SOFR Compounded Index + 1.08%), 6.424%, 7/20/26 (Canada) | 48,280,000 | 48,332,370 | ||||
Royal Bank of Canada sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.36%), 5.705%, 7/29/24 (Canada) | 37,565,000 | 37,518,245 | ||||
Royal Bank of Canada sr. unsec. unsub. FRN Ser. GMTN, (US SOFR Compounded Index + 0.34%), 5.684%, 10/7/24 (Canada) | 45,925,000 | 45,793,577 | ||||
Santander Holdings USA, Inc. sr. unsec. notes 3.50%, 6/7/24 | 27,620,000 | 27,070,081 | ||||
Santander UK Group Holdings PLC sr. unsec. unsub. FRN 1.089%, 3/15/25 (United Kingdom) | 19,298,000 | 18,846,188 | ||||
Santander UK PLC sr. unsec. unsub. notes 4.00%, 3/13/24 (United Kingdom) | 7,750,000 | 7,688,000 | ||||
Societe Generale SA 144A sr. unsec. notes 3.875%, 3/28/24 (France) | 46,745,000 | 46,289,985 | ||||
Societe Generale SA 144A sr. unsec. notes 2.625%, 10/16/24 (France) | 8,915,000 | 8,604,196 | ||||
Societe Generale SA 144A unsec. sub. notes 5.00%, 1/17/24 (France) | 25,181,000 | 25,063,931 | ||||
State Street Corp. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.85%), 6.186%, 8/3/26 | 19,120,000 | 19,114,455 | ||||
State Street Corp. sr. unsec. unsub. notes 5.104%, 5/18/26 | 52,004,000 | 51,264,755 | ||||
Sumitomo Mitsui Financial Group, Inc. unsec. sub. notes Ser. REGS, 4.436%, 4/2/24 (Japan) | 45,991,000 | 45,620,118 | ||||
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan) | 22,646,000 | 22,463,378 | ||||
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. unsub. FRN (US SOFR + 0.44%), 5.784%, 9/16/24 (Japan) | 51,242,000 | 51,158,947 | ||||
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. unsub. notes 5.65%, 9/14/26 (Japan) | 9,670,000 | 9,597,193 | ||||
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. unsub. notes 2.55%, 3/10/25 (Japan) | 13,939,000 | 13,302,008 | ||||
Swedbank AB 144A sr. unsec. FRN (US SOFR Compounded Index + 0.91%), 6.255%, 4/4/25 (Sweden) | 28,103,000 | 28,122,953 | ||||
Toronto-Dominion Bank (The) sr. unsec. FRN (US SOFR + 0.36%), 5.698%, 3/4/24 (Canada) | 3,476,000 | 3,475,135 | ||||
Toronto-Dominion Bank (The) sr. unsec. FRN Ser. MTN, (US SOFR + 0.35%), 5.693%, 9/10/24 (Canada) | 36,820,000 | 36,735,322 | ||||
Toronto-Dominion Bank (The) sr. unsec. notes 5.103%, 1/9/26 (Canada) | 32,870,000 | 32,375,141 | ||||
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.91%), 6.253%, 3/8/24 (Canada) | 25,919,000 | 25,948,248 | ||||
Truist Bank sr. unsec. unsub. FRN Ser. BKNT, (US SOFR + 0.20%), 5.544%, 1/17/24 | 55,450,000 | 55,360,696 | ||||
UBS Group AG 144A sr. unsec. FRN 4.49%, 8/5/25 (Switzerland) | 56,339,000 | 55,419,248 | ||||
UBS Group AG 144A sr. unsec. FRN 2.593%, 9/11/25 (Switzerland) | 23,885,000 | 23,034,708 | ||||
UBS Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | 13,040,000 | 12,138,864 | ||||
UniCredit SpA 144A sr. unsec. unsub. notes 7.83%, 12/4/23 (Italy) | 5,000,000 | 5,000,901 | ||||
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 1.32%), 6.665%, 4/25/26 | 53,180,000 | 53,446,060 | ||||
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 2.406%, 10/30/25 | 28,033,000 | 26,898,321 | ||||
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 0.805%, 5/19/25 | 23,738,000 | 22,986,090 | ||||
Westpac Banking Corp. sr. unsec. unsub. FRN (US SOFR + 0.30%), 5.642%, 11/18/24 (Australia) | 47,149,000 | 47,056,889 | ||||
3,677,665,288 | ||||||
Basic materials (0.7%) | ||||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) | 10,614,000 | 10,463,975 | ||||
Georgia-Pacific, LLC 144A sr. unsec. notes 0.625%, 5/15/24 | 23,275,000 | 22,619,145 | ||||
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.125%, 3/12/24 | 31,164,000 | 30,932,700 | ||||
Westlake Corp. sr. unsec. notes 0.875%, 8/15/24 | 7,332,000 | 7,032,662 | ||||
71,048,482 | ||||||
Capital goods (1.9%) | ||||||
Boeing Co. (The) sr. unsec. notes 2.80%, 3/1/24 | 24,525,000 | 24,259,327 | ||||
Boeing Co. (The) sr. unsec. notes 1.95%, 2/1/24 | 24,867,000 | 24,612,772 | ||||
Boeing Co. (The) sr. unsec. notes 1.433%, 2/4/24 | 35,948,000 | 35,492,158 | ||||
Caterpillar Financial Services Corp. sr. unsec. unsub. FRN Ser. MTN, (US SOFR + 0.27%), 5.614%, 9/13/24 | 19,206,000 | 19,201,391 | ||||
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 1.00%), 6.345%, 4/5/24 | 23,666,000 | 23,693,766 | ||||
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.75%), 6.093%, 12/13/24 | 30,674,000 | 30,634,143 | ||||
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.60%), 5.944%, 12/14/23 | 28,067,000 | 28,070,462 | ||||
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. notes 5.60%, 8/8/25 | 9,655,000 | 9,591,596 | ||||
RTX Corp. sr. unsec. notes 5.00%, 2/27/26 | 4,802,000 | 4,718,966 | ||||
200,274,581 | ||||||
Communication services (0.7%) | ||||||
American Tower Corp. sr. unsec. notes 0.60%, 1/15/24(R) | 40,907,000 | 40,442,422 | ||||
AT&T, Inc. sr. unsec. unsub.notes 0.90%, 3/25/24 | 28,050,000 | 27,486,720 | ||||
Sprint Corp. company guaranty sr. unsec. sub. notes 7.125%, 6/15/24 | 6,124,000 | 6,155,024 | ||||
74,084,166 | ||||||
Conglomerates (0.4%) | ||||||
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN (US SOFR + 0.43%), 5.773%, 3/11/24 (Netherlands) | 42,200,000 | 42,213,082 | ||||
42,213,082 | ||||||
Consumer cyclicals (2.9%) | ||||||
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 0.84%), 6.184%, 4/1/25 | 14,980,000 | 15,039,986 | ||||
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 0.53%), 5.875%, 4/1/24 | 24,200,000 | 24,213,968 | ||||
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (US SOFR Compounded Index + 0.38%), 5.721%, 8/12/24 | 37,500,000 | 37,482,433 | ||||
Hyatt Hotels Corp. sr. unsec. notes 5.75%, 1/30/27 | 10,214,000 | 10,094,388 | ||||
Hyatt Hotels Corp. sr. unsec. unsub. notes 1.80%, 10/1/24 | 34,536,000 | 33,223,294 | ||||
Mercedes-Benz Finance North America, LLC 144A company guaranty sr. unsec. notes 0.75%, 3/1/24 | 20,110,000 | 19,768,443 | ||||
Netflix, Inc. sr. unsec. notes 5.75%, 3/1/24 | 8,863,000 | 8,845,274 | ||||
Toyota Motor Credit Corp. sr. unsec. unsub. FRN (US SOFR + 0.29%), 5.634%, 9/13/24 | 47,610,000 | 47,544,346 | ||||
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (US SOFR Compounded Index + 0.33%), 5.676%, 1/11/24 | 55,600,000 | 55,592,010 | ||||
Volkswagen Group of America Finance, LLC 144A company guaranty sr. unsec. FRN (US SOFR + 0.95%), 6.293%, 6/7/24 | 51,319,000 | 51,415,819 | ||||
303,219,961 | ||||||
Consumer finance (5.4%) | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 4.875%, 1/16/24 (Ireland) | 32,093,000 | 31,992,647 | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 2.875%, 8/14/24 (Ireland) | 5,254,000 | 5,105,849 | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 1.75%, 10/29/24 (Ireland) | 44,885,000 | 42,857,671 | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 1.65%, 10/29/24 (Ireland) | 33,084,000 | 31,547,131 | ||||
Air Lease Corp. sr. unsec. notes 0.80%, 8/18/24 | 24,240,000 | 23,179,025 | ||||
Air Lease Corp. sr. unsec. notes Ser. MTN, 4.25%, 2/1/24 | 48,926,000 | 48,668,910 | ||||
Air Lease Corp. sr. unsec. notes Ser. MTN, 0.70%, 2/15/24 | 21,829,000 | 21,472,708 | ||||
American Express Co. sr. unsec. unsub. FRN (US SOFR Compounded Index + 1.35%), 6.695%, 10/30/26 | 29,025,000 | 29,065,634 | ||||
American Express Co. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.97%), 6.315%, 7/28/27 | 15,063,000 | 14,904,990 | ||||
American Express Co. sr. unsec. unsub. FRN (US SOFR + 0.93%), 6.273%, 3/4/25 | 21,663,000 | 21,706,008 | ||||
American Express Co. sr. unsec. unsub. FRN (US SOFR + 0.76%), 6.101%, 2/13/26 | 1,375,000 | 1,364,714 | ||||
American Express Co. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.72%), 6.061%, 5/3/24 | 42,046,000 | 42,079,683 | ||||
American Express Co. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.23%), 5.571%, 11/3/23 | 37,415,000 | 37,414,880 | ||||
American Express Co. sr. unsec. unsub. notes 4.90%, 2/13/26 | 6,644,000 | 6,507,685 | ||||
American Honda Finance Corp. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.78%), 6.125%, 4/23/25 | 28,750,000 | 28,751,840 | ||||
Capital One Financial Corp. sr. unsec. unsub. FRN (US SOFR + 1.35%), 6.691%, 5/9/25 | 28,010,000 | 27,845,861 | ||||
Capital One Financial Corp. sr. unsec. unsub. FRN (US SOFR + 0.69%), 6.033%, 12/6/24 | 47,215,000 | 46,664,662 | ||||
Capital One Financial Corp. sr. unsec. unsub. notes 3.75%, 4/24/24 | 48,505,000 | 47,870,262 | ||||
General Motors Financial Co., Inc. sr. unsec. FRN (US SOFR + 0.62%), 5.964%, 10/15/24 | 15,770,000 | 15,729,192 | ||||
General Motors Financial Co., Inc. sr. unsec. sub. FRN (US SOFR + 0.76%), 6.103%, 3/8/24 | 38,188,000 | 38,154,775 | ||||
562,884,127 | ||||||
Consumer staples (1.0%) | ||||||
Haleon US Capital, LLC company guaranty sr. unsec. unsub. notes 3.024%, 3/24/24 | 2,170,000 | 2,141,691 | ||||
Kenvue, Inc. company guaranty sr. unsec. notes Ser. REGS, 5.50%, 3/22/25 | 28,433,000 | 28,386,782 | ||||
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 0.75%, 3/15/24 | 38,557,000 | 37,812,095 | ||||
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24 | 13,931,000 | 13,779,199 | ||||
Starbucks Corp. sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.42%), 5.761%, 2/14/24 | 22,554,000 | 22,554,304 | ||||
104,674,071 | ||||||
Energy (0.3%) | ||||||
ONEOK, Inc. company guaranty sr. unsec. notes 2.75%, 9/1/24 | 12,244,000 | 11,899,687 | ||||
ONEOK, Inc. company guaranty sr. unsec. sub. notes 5.55%, 11/1/26 | 23,903,000 | 23,614,300 | ||||
35,513,987 | ||||||
Financial (0.8%) | ||||||
Macquarie Group, Ltd. 144A sr. unsec. unsub. notes 6.207%, 11/22/24 (Australia) | 45,821,000 | 45,814,441 | ||||
Mizuho Financial Group Cayman 3, Ltd. 144A company guaranty unsec. sub. notes 4.60%, 3/27/24 (Cayman Islands) | 15,622,000 | 15,487,353 | ||||
NatWest Markets PLC 144A sr. unsec. unsub. FRN (US SOFR + 0.53%), 5.871%, 8/12/24 (United Kingdom) | 20,485,000 | 20,442,596 | ||||
81,744,390 | ||||||
Health care (1.5%) | ||||||
Amgen, Inc. sr. unsec. unsub. notes 5.25%, 3/2/25 | 7,651,000 | 7,592,355 | ||||
GE HealthCare Technologies, Inc. company guaranty sr. unsec. notes 5.55%, 11/15/24 | 41,417,000 | 41,218,400 | ||||
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.65%, 5/19/25 (Singapore) | 33,398,000 | 32,974,899 | ||||
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.45%, 5/19/26 (Singapore) | 45,092,000 | 44,022,273 | ||||
Stryker Corp. sr. unsec. notes 0.60%, 12/1/23 | 27,807,000 | 27,683,148 | ||||
153,491,075 | ||||||
Insurance (6.5%) | ||||||
AIG Global Funding 144A sr. unsub. FRN (US SOFR + 0.38%), 5.724%, 12/15/23 | 37,000,000 | 36,997,372 | ||||
Athene Global Funding 144A FRN (ICE LIBOR USD 3 Month + 0.73%), 6.398%, 1/8/24 | 9,348,000 | 9,339,230 | ||||
Athene Global Funding 144A FRN (US SOFR Compounded Index + 0.72%), 6.06%, 1/7/25 | 46,845,000 | 46,168,960 | ||||
Athene Global Funding 144A FRN (US SOFR Compounded Index + 0.56%), 5.902%, 8/19/24 | 32,630,000 | 32,339,839 | ||||
Athene Global Funding 144A notes 0.95%, 1/8/24 | 3,025,000 | 2,993,688 | ||||
Athene Global Funding 144A sr. FRN (US SOFR Compounded Index + 0.70%), 6.042%, 5/24/24 | 23,802,000 | 23,719,051 | ||||
Corebridge Global Funding 144A sr. unsub. FRN (US SOFR + 1.30%), 6.644%, 9/25/26 | 39,755,000 | 39,755,211 | ||||
GA Global Funding Trust 144A FRN (US SOFR + 1.36%), 6.706%, 4/11/25 | 28,086,000 | 27,878,581 | ||||
GA Global Funding Trust 144A FRN (US SOFR + 0.50%), 5.844%, 9/13/24 | 9,350,000 | 9,242,263 | ||||
MassMutual Global Funding II 144A FRN (US SOFR + 0.87%), 6.214%, 3/21/25 | 47,226,000 | 47,402,615 | ||||
MassMutual Global Funding II 144A FRN (US SOFR + 0.36%), 5.705%, 4/12/24 | 74,780,000 | 74,762,122 | ||||
MassMutual Global Funding II 144A FRN (US SOFR + 0.27%), 5.614%, 10/21/24 | 28,116,000 | 28,078,887 | ||||
MetLife, Inc. sr. unsec. unsub. notes 3.60%, 4/10/24 | 18,867,000 | 18,673,864 | ||||
Metropolitan Life Global Funding I 144A company guaranty sr. FRN (US SOFR + 0.30%), 5.644%, 9/27/24 | 19,850,000 | 19,833,165 | ||||
Metropolitan Life Global Funding I 144A FRN (US SOFR + 0.32%), 5.665%, 1/7/24 | 27,300,000 | 27,299,891 | ||||
Metropolitan Life Global Funding I 144A notes 5.00%, 1/6/26 | 32,401,000 | 31,912,284 | ||||
Metropolitan Life Global Funding I 144A sr. unsub. FRN (US SOFR Compounded Index + 0.91%), 6.254%, 3/21/25 | 19,175,000 | 19,274,924 | ||||
Mutual of Omaha Cos. Global Funding 144A notes 5.80%, 7/27/26 | 14,660,000 | 14,607,728 | ||||
Nationwide Mutual Insurance Co. 144A unsec. sub. FRN 7.961%, 12/15/24 | 7,737,000 | 7,722,105 | ||||
New York Life Global Funding 144A sr. unsub. FRN (US SOFR Compounded Index + 0.33%), 5.674%, 1/14/25 | 9,020,000 | 8,994,152 | ||||
Northwestern Mutual Global Funding 144A FRN (US SOFR + 0.33%), 5.674%, 3/25/24 | 27,995,000 | 27,999,195 | ||||
Pacific Life Global Funding II 144A FRN (US SOFR + 0.40%), 5.745%, 1/27/25 | 39,259,000 | 39,087,383 | ||||
Pacific Life Global Funding II 144A unsec. FRN (US SOFR + 0.38%), 5.725%, 4/12/24 | 47,055,000 | 47,043,048 | ||||
Principal Life Global Funding II 144A FRN (US SOFR + 0.45%), 5.795%, 4/12/24 | 28,000,000 | 28,001,443 | ||||
Principal Life Global Funding II 144A FRN (US SOFR + 0.38%), 5.723%, 8/23/24 | 19,115,000 | 19,102,939 | ||||
688,229,940 | ||||||
Investment banking/Brokerage (4.0%) | ||||||
Charles Schwab Corp. (The) sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.50%), 5.844%, 3/18/24 | 42,485,000 | 42,430,182 | ||||
Deutsche Bank AG sr. unsec. unsub. FRN (US SOFR + 0.50%), 5.842%, 11/8/23 (Germany) | 32,732,000 | 32,730,593 | ||||
Deutsche Bank AG sr. unsec. unsub. FRN 3.961%, 11/26/25 (Germany) | 30,000,000 | 28,929,437 | ||||
Deutsche Bank AG sr. unsec. unsub. notes 3.70%, 5/30/24 (Germany) | 19,834,000 | 19,523,798 | ||||
Deutsche Bank AG sr. unsec. unsub. notes 0.898%, 5/28/24 (Germany) | 23,772,000 | 23,094,368 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.70%), 6.046%, 1/24/25 | 2,015,000 | 2,009,948 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.50%), 5.843%, 9/10/24 | 39,107,000 | 39,000,491 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.49%), 5.834%, 10/21/24 | 19,768,000 | 19,720,465 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (US SOFR + 0.49%), 5.83%, 10/21/24 | 31,542,000 | 31,494,687 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN 3.272%, 9/29/25 | 9,670,000 | 9,384,211 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN 1.757%, 1/24/25 | 20,533,000 | 20,280,948 | ||||
Morgan Stanley sr. unsec. FRN 5.05%, 1/28/27 | 14,089,000 | 13,759,613 | ||||
Morgan Stanley sr. unsec. FRN Ser. MTN, (US SOFR + 0.46%), 5.80%, 1/25/24 | 23,000,000 | 22,999,770 | ||||
Morgan Stanley sr. unsec. unsub. FRN 3.62%, 4/17/25 | 12,875,000 | 12,708,701 | ||||
Morgan Stanley sr. unsec. unsub. FRN 2.63%, 2/18/26 | 11,174,000 | 10,638,765 | ||||
Morgan Stanley sr. unsec. unsub. FRN Ser. MTN, 2.72%, 7/22/25 | 46,032,000 | 44,788,421 | ||||
Morgan Stanley sr. unsec. unsub. notes Ser. MTN, 3.125%, 7/27/26 | 9,596,000 | 8,877,726 | ||||
Morgan Stanley Bank NA sr. unsec. FRN (US SOFR + 0.78%), 6.124%, 7/16/25 | 8,208,000 | 8,208,702 | ||||
Morgan Stanley Bank NA sr. unsec. notes 5.479%, 7/16/25 | 23,870,000 | 23,765,368 | ||||
414,346,194 | ||||||
Real estate (2.4%) | ||||||
Boston Properties, LP sr. unsec. notes 3.20%, 1/15/25(R) | 20,014,000 | 19,151,717 | ||||
Boston Properties, LP sr. unsec. unsub. notes 3.80%, 2/1/24(R) | 38,198,000 | 37,924,564 | ||||
Camden Property Trust sr. unsec. unsub. notes 5.85%, 11/3/26(R) | 38,300,000 | 38,301,724 | ||||
Federal Realty Investment Trust sr. unsec. unsub. notes 3.95%, 1/15/24(R) | 5,283,000 | 5,252,527 | ||||
Public Storage sr. unsec. FRN (US SOFR Compounded Index + 0.60%), 5.945%, 7/25/25(R) | 17,408,000 | 17,426,443 | ||||
Public Storage sr. unsec. FRN (US SOFR + 0.47%), 5.815%, 4/23/24 | 58,004,000 | 57,994,075 | ||||
Realty Income Corp. sr. unsec. unsub. notes 5.05%, 1/13/26(R) | 9,393,000 | 9,224,788 | ||||
Realty Income Corp. sr. unsec. unsub. notes 3.875%, 7/15/24(R) | 7,209,000 | 7,107,147 | ||||
Simon Property Group LP sr. unsec. unsub. notes 3.375%, 10/1/24(R) | 14,400,000 | 14,054,959 | ||||
Simon Property Group LP sr. unsec. unsub. notes 2.00%, 9/13/24(R) | 44,337,000 | 42,812,398 | ||||
249,250,342 | ||||||
Technology (0.7%) | ||||||
Analog Devices, Inc. sr. unsec. FRN (US SOFR Compounded Index + 0.25%), 5.595%, 10/1/24 | 16,401,000 | 16,394,110 | ||||
Hewlett Packard Enterprise Co. sr. unsec. notes 5.90%, 10/1/24 | 18,404,000 | 18,376,008 | ||||
Microchip Technology, Inc. sr. unsec. notes 0.972%, 2/15/24 | 16,830,000 | 16,570,522 | ||||
VMware, Inc. sr. unsec. notes 1.00%, 8/15/24 | 28,056,000 | 26,946,204 | ||||
78,286,844 | ||||||
Utilities and power (2.7%) | ||||||
American Electric Power Co., Inc. jr. unsec. sub. notes 2.031%, 3/15/24 | 37,228,000 | 36,600,857 | ||||
American Electric Power Co., Inc. sr. unsec. unsub. notes 0.75%, 11/1/23 | 9,500,000 | 9,500,000 | ||||
Enbridge, Inc. company guaranty sr. unsec. notes 5.969%, 3/8/26 (Canada) | 33,424,000 | 33,116,265 | ||||
Enbridge, Inc. company guaranty sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.63%), 5.972%, 2/16/24 (Canada) | 23,380,000 | 23,395,358 | ||||
Eversource Energy sr. unsec. unsub. notes 4.75%, 5/15/26 | 18,135,000 | 17,632,682 | ||||
Kinder Morgan, Inc. 144A company guaranty sr. unsec. notes 5.625%, 11/15/23 | 7,350,000 | 7,347,385 | ||||
Mississippi Power Co. sr. unsec. unsub. FRN (US SOFR + 0.30%), 5.645%, 6/28/24 | 23,876,000 | 23,807,258 | ||||
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. FRN (US SOFR Compounded Index + 0.40%), 5.741%, 11/3/23 | 63,791,000 | 63,790,982 | ||||
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 5.749%, 9/1/25 | 21,895,000 | 21,792,072 | ||||
TransCanada PipeLines, Ltd. sr. unsec. unsub. notes 1.00%, 10/12/24 (Canada) | 23,797,000 | 22,656,364 | ||||
WEC Energy Group, Inc. sr. unsec. unsub. notes 5.60%, 9/12/26 | 19,135,000 | 19,019,628 | ||||
278,658,851 | ||||||
Total corporate bonds and notes (cost $7,048,312,657) | $7,015,585,381 |
COMMERCIAL PAPER (22.7%)(a) | ||||||
Yield (%) | Maturity date | Principal amount | Value | |||
AES Corp. (The) | 6.001 | 11/1/23 | $50,000,000 | $49,991,637 | ||
Albermarle Corp. | 6.021 | 11/16/23 | 13,400,000 | 13,365,781 | ||
Albermarle Corp. | 5.968 | 11/6/23 | 24,000,000 | 23,977,092 | ||
Albermarle Corp. | 5.907 | 11/1/23 | 38,350,000 | 38,343,914 | ||
Alimentation Couche-Tard, Inc. (Canada) | 5.609 | 11/28/23 | 15,000,000 | 14,934,789 | ||
Alimentation Couche-Tard, Inc. (Canada) | 5.606 | 11/22/23 | 42,000,000 | 41,857,339 | ||
Alimentation Couche-Tard, Inc. (Canada) | 5.596 | 11/15/23 | 28,500,000 | 28,434,189 | ||
American Electric Power Co., Inc. | 5.643 | 11/8/23 | 27,050,000 | 27,017,326 | ||
American Honda Finance Corp. | 5.602 | 11/9/23 | 33,000,000 | 32,955,302 | ||
American Honda Finance Corp. | 5.741 | 11/7/23 | 20,000,000 | 19,978,961 | ||
Aon Corp. | 5.656 | 11/8/23 | 15,272,000 | 15,253,756 | ||
Arrow Electronics, Inc. | 5.870 | 11/20/23 | 12,400,000 | 12,359,077 | ||
Arrow Electronics, Inc. | 5.815 | 11/16/23 | 36,975,000 | 36,879,120 | ||
Arrow Electronics, Inc. | 5.819 | 11/14/23 | 20,000,000 | 19,954,864 | ||
Arrow Electronics, Inc. | 5.876 | 11/1/23 | 30,000,000 | 29,995,235 | ||
Autonation, Inc. | 5.851 | 11/1/23 | 106,000,000 | 105,983,221 | ||
Aviation Capital Group, LLC | 5.801 | 11/1/23 | 110,905,000 | 110,887,897 | ||
Banco Santander SA (Spain) | 5.777 | 12/4/23 | 36,750,000 | 36,561,950 | ||
Banco Santander SA (Spain) | 5.399 | 11/10/23 | 24,150,000 | 24,113,840 | ||
Bell Canada (Canada) | 5.585 | 11/17/23 | 32,206,000 | 32,122,395 | ||
Bell Canada (Canada) | 5.585 | 11/14/23 | 26,825,000 | 26,767,705 | ||
BPCE SA (France) | 6.014 | 9/16/24 | 30,000,000 | 28,439,700 | ||
CNH Industrial Capital, LLC | 5.600 | 11/27/23 | 15,000,000 | 14,934,236 | ||
CNH Industrial Capital, LLC | 5.656 | 11/3/23 | 7,500,000 | 7,496,428 | ||
CNH Industrial Capital, LLC | 5.659 | 11/2/23 | 19,000,000 | 18,993,976 | ||
Conagra Brands, Inc. | 5.763 | 11/10/23 | 25,000,000 | 24,960,387 | ||
Constellation Brands, Inc. | 5.676 | 11/6/23 | 19,000,000 | 18,981,819 | ||
Crown Castle, Inc. | 6.017 | 11/14/23 | 10,500,000 | 10,476,396 | ||
Crown Castle, Inc. | 5.908 | 11/8/23 | 13,000,000 | 12,983,376 | ||
Crown Castle, Inc. | 6.006 | 11/7/23 | 40,915,000 | 40,869,255 | ||
Crown Castle, Inc. | 6.024 | 11/2/23 | 40,500,000 | 40,487,159 | ||
Duke Energy Corp. | 5.897 | 2/22/24 | 47,645,000 | 46,778,882 | ||
Enbridge US, Inc. | 5.580 | 11/16/23 | 15,000,000 | 14,962,458 | ||
Fidelity National Information Services, Inc. | 5.603 | 11/21/23 | 24,250,000 | 24,172,156 | ||
Fidelity National Information Services, Inc. | 5.583 | 11/16/23 | 28,475,000 | 28,405,683 | ||
Fidelity National Information Services, Inc. | 5.573 | 11/13/23 | 30,750,000 | 30,689,355 | ||
Fidelity National Information Services, Inc. | 5.574 | 11/10/23 | 21,475,000 | 21,442,515 | ||
FMC Corp. | 5.948 | 11/1/23 | 90,200,000 | 90,184,859 | ||
General Motors Financial Co., Inc. | 5.837 | 11/15/23 | 19,000,000 | 18,955,508 | ||
General Motors Financial Co., Inc. | 5.782 | 11/7/23 | 19,000,000 | 18,979,754 | ||
General Motors Financial Co., Inc. | 5.730 | 11/3/23 | 9,650,000 | 9,645,598 | ||
Glencore Funding, LLC | 5.869 | 11/9/23 | 24,000,000 | 23,966,745 | ||
Glencore Funding, LLC | 5.681 | 11/6/23 | 13,800,000 | 13,787,265 | ||
Glencore Funding, LLC | 5.745 | 11/2/23 | 10,000,000 | 9,996,930 | ||
HSBC USA, Inc. | 6.469 | 9/9/24 | 7,820,000 | 7,408,366 | ||
Humana, Inc. | 5.626 | 11/29/23 | 24,500,000 | 24,388,329 | ||
Humana, Inc. | 5.628 | 11/28/23 | 29,250,000 | 29,121,316 | ||
Humana, Inc. | 5.629 | 11/20/23 | 20,000,000 | 19,937,307 | ||
Humana, Inc. | 5.625 | 11/14/23 | 30,000,000 | 29,934,290 | ||
Intercontinental Exchange, Inc. | 5.598 | 12/1/23 | 22,475,000 | 22,364,715 | ||
Intercontinental Exchange, Inc. | 5.595 | 11/29/23 | 31,025,000 | 30,882,564 | ||
Microchip Technology, Inc. | 5.608 | 11/28/23 | 3,750,000 | 3,733,616 | ||
Microchip Technology, Inc. | 5.640 | 11/7/23 | 10,000,000 | 9,989,150 | ||
Microchip Technology, Inc. | 5.578 | 11/3/23 | 4,663,000 | 4,660,830 | ||
NatWest Markets PLC (United Kingdom) | 5.641 | 2/9/24 | 18,500,000 | 18,208,722 | ||
Nutrien Financial US, LLC | 5.705 | 11/22/23 | 25,000,000 | 24,913,457 | ||
Nutrien Financial US, LLC | 5.658 | 11/15/23 | 18,000,000 | 17,957,813 | ||
Nutrien Financial US, LLC | 5.671 | 11/8/23 | 13,000,000 | 12,983,990 | ||
Nutrien, Ltd. (Canada) | 5.761 | 12/15/23 | 15,000,000 | 14,894,625 | ||
Nutrien, Ltd. (Canada) | 5.717 | 11/30/23 | 23,750,000 | 23,639,365 | ||
Nutrien, Ltd. (Canada) | 5.699 | 11/21/23 | 9,425,000 | 9,394,525 | ||
O'Reilly Automotive, Inc. | 5.656 | 12/5/23 | 9,600,000 | 9,548,107 | ||
O'Reilly Automotive, Inc. | 5.593 | 11/14/23 | 19,500,000 | 19,458,544 | ||
O'Reilly Automotive, Inc. | 5.600 | 11/13/23 | 42,719,000 | 42,634,749 | ||
O'Reilly Automotive, Inc. | 5.586 | 11/6/23 | 19,475,000 | 19,457,380 | ||
O'Reilly Automotive, Inc. | 5.639 | 11/1/23 | 16,000,000 | 15,997,590 | ||
Oracle Corp. | 5.593 | 12/8/23 | 26,375,000 | 26,220,264 | ||
Oracle Corp. | 5.619 | 12/4/23 | 27,475,000 | 27,331,400 | ||
Ovintiv, Inc. | 6.175 | 11/20/23 | 73,150,000 | 72,901,608 | ||
Ovintiv, Inc. | 6.258 | 11/17/23 | 1,500,000 | 1,495,681 | ||
Ovintiv, Inc. | 6.111 | 11/7/23 | 29,560,000 | 29,525,226 | ||
Plains All American Pipeline, LP | 5.706 | 11/3/23 | 34,000,000 | 33,984,631 | ||
Plains All American Pipeline, LP | 5.677 | 11/1/23 | 70,914,000 | 70,903,320 | ||
PPG Industries, Inc. | 5.610 | 11/27/23 | 8,100,000 | 8,066,379 | ||
PPG Industries, Inc. | 5.606 | 11/22/23 | 14,500,000 | 14,451,191 | ||
PPG Industries, Inc. | 5.603 | 11/6/23 | 43,503,000 | 43,463,640 | ||
Societe Generale SA (France) | 5.806 | 11/13/23 | 40,000,000 | 39,922,200 | ||
Suncor Energy, Inc. (Canada) | 5.687 | 11/30/23 | 18,000,000 | 17,916,600 | ||
Suncor Energy, Inc. (Canada) | 5.688 | 11/22/23 | 20,000,000 | 19,932,599 | ||
Suncor Energy, Inc. (Canada) | 5.692 | 11/6/23 | 8,500,000 | 8,492,310 | ||
Targa Resources Corp. | 6.187 | 11/27/23 | 10,000,000 | 9,960,658 | ||
Targa Resources Corp. | 6.180 | 11/17/23 | 8,000,000 | 7,980,364 | ||
Targa Resources Corp. | 6.181 | 11/15/23 | 14,250,000 | 14,219,196 | ||
Targa Resources Corp. | 6.184 | 11/6/23 | 5,000,000 | 4,995,716 | ||
Targa Resources Corp. | 6.028 | 11/1/23 | 65,785,000 | 65,775,683 | ||
UDR, Inc. | 5.587 | 11/16/23 | 43,000,000 | 42,895,258 | ||
UDR, Inc. | 5.604 | 11/9/23 | 37,500,000 | 37,448,988 | ||
UDR, Inc. | 5.576 | 11/2/23 | 24,000,000 | 23,992,770 | ||
Verizon Communications, Inc. | 5.606 | 12/11/23 | 20,830,000 | 20,697,578 | ||
Verizon Communications, Inc. | 5.604 | 12/5/23 | 10,000,000 | 9,945,847 | ||
WPP CP, LLC | 5.619 | 11/1/23 | 8,000,000 | 7,998,795 | ||
Total commercial paper (cost $2,384,738,309) | $2,384,353,082 |
ASSET-BACKED SECURITIES (4.1%)(a) | ||||||
Principal amount | Value | |||||
AmeriCredit Automobile Receivables Trust Ser. 22-1, Class A3, 2.45%, 11/18/26 | $4,086,472 | $3,992,115 | ||||
Capital One Multi-Asset Execution Trust FRB Ser. 17-A5, Class A5, (CME Term SOFR 1 Month + 0.69%), 6.029%, 7/15/27 | 57,731,000 | 57,748,019 | ||||
CarMax Auto Owner Trust | ||||||
Ser. 22-4, Class A2A, 5.34%, 12/15/25 | 5,676,717 | 5,661,243 | ||||
Ser. 22-2, Class A3, 3.49%, 2/16/27 | 14,000,000 | 13,666,548 | ||||
Ser. 20-3, Class A3, 0.62%, 3/17/25 | 217,914 | 217,445 | ||||
Carvana Auto Receivables Trust | ||||||
Ser. 22-P2, Class A3, 3.75%, 4/12/27 | 13,000,000 | 12,736,100 | ||||
Ser. 21-P4, Class A3, 1.31%, 1/11/27 | 29,477,068 | 28,312,715 | ||||
Chase Auto Owner Trust 144A Ser. 23-AA, Class A2, 5.90%, 3/25/27 | 36,000,000 | 35,897,868 | ||||
Citizens Auto Receivables Trust 144A | ||||||
FRB Ser. 23-1, Class A2B, (US 30 Day Average SOFR + 0.95%), 6.27%, 7/15/26 | 17,800,000 | 17,786,757 | ||||
Ser. 23-2, Class A2A, 6.09%, 10/15/26 | 9,414,000 | 9,388,083 | ||||
First Investors Auto Owner Trust 144A Ser. 22-1A, Class A, 2.03%, 1/15/27 | 4,294,995 | 4,196,988 | ||||
Ford Credit Auto Owner Trust | ||||||
Ser. 22-C, Class A2A, 4.52%, 4/15/25 | 3,923,181 | 3,908,739 | ||||
Ser. 21-A, Class A3, 0.30%, 8/15/25 | 6,972,731 | 6,836,806 | ||||
Ford Credit Auto Owner Trust 144A Ser. 18-1, Class A, 3.19%, 7/15/31 | 7,435,000 | 7,181,038 | ||||
Foursight Capital Automobile Receivables Trust 144A Ser. 22-2, Class A2, 4.49%, 3/16/26 | 6,591,328 | 6,566,169 | ||||
GM Financial Consumer Automobile Receivables Trust | ||||||
Ser. 22-3, Class A3, 3.64%, 4/16/27 | 30,000,000 | 29,210,400 | ||||
Ser. 22-2, Class A3, 3.10%, 2/16/27 | 15,000,000 | 14,604,659 | ||||
Ser. 20-4, Class A3, 0.38%, 8/18/25 | 574,261 | 566,221 | ||||
Harley-Davidson Motorcycle Trust Ser. 23-B, Class A2, 5.92%, 12/15/26 | 11,240,000 | 11,209,349 | ||||
Honda Auto Receivables Owner Trust | ||||||
Ser. 22-2, Class A2, 3.81%, 3/18/25 | 3,232,721 | 3,218,068 | ||||
Ser. 20-3, Class A3, 0.37%, 10/18/24 | 1,057,952 | 1,050,719 | ||||
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class A, (CME Term SOFR 1 Month + 0.96%), 6.289%, 10/22/24 | 7,000,000 | 6,949,033 | ||||
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (CME Term SOFR 1 Month + 0.86%), 6.189%, 5/7/24 | 31,184,400 | 31,082,302 | ||||
Nissan Auto Receivables Owner Trust Ser. 23-B, Class A2A, 5.95%, 5/15/26 | 22,750,000 | 22,700,451 | ||||
Station Place Securitization Trust 144A FRB Ser. 23-2, Class A1, (CME Term SOFR 1 Month + 0.95%), 6.282%, 6/29/24 | 58,400,000 | 58,389,546 | ||||
Tesla Auto Lease Trust 144A Ser. 23-A, Class A2, 5.86%, 8/20/25 | 14,658,000 | 14,621,853 | ||||
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (CME Term SOFR 1 Month + 0.71%), 6.039%, 1/25/46 | 191,951 | 191,262 | ||||
Toyota Auto Loan Extended Note Trust 144A Ser. 19-1A, Class A, 2.56%, 11/25/31 | 27,477,000 | 26,944,825 | ||||
Total asset-backed securities (cost $436,693,274) | $434,835,321 |
CERTIFICATES OF DEPOSIT (3.8%)(a) | ||||||
Yield (%) | Maturity date | Principal amount | Value | |||
Barclays Bank PLC/NY FRN (United Kingdom) | 6.190 | 11/28/23 | $45,000,000 | $45,024,142 | ||
Barclays Bank PLC/NY FRN (United Kingdom) | 5.990 | 6/21/24 | 24,700,000 | 24,722,813 | ||
BNP Paribas SA/New York, NY (France) | 6.000 | 10/17/24 | 29,000,000 | 29,016,151 | ||
Citibank, NA | 6.000 | 9/20/24 | 24,175,000 | 24,180,717 | ||
Citibank, NA | 5.780 | 3/8/24 | 29,000,000 | 28,995,872 | ||
Credit Agricole Corporate and Investment Bank/New York (France) | 5.670 | 12/1/23 | 48,150,000 | 48,157,808 | ||
Credit Suisse AG/New York, NY FRN | 5.858 | 1/19/24 | 23,750,000 | 23,766,441 | ||
Intesa Sanpaolo SPA/New York, NY | 6.450 | 10/21/24 | 22,250,000 | 22,252,955 | ||
Intesa Sanpaolo SPA/New York, NY FRN | 6.280 | 8/16/24 | 24,175,000 | 24,265,149 | ||
Sumitomo Mitsui Banking Corp./New York FRN (Japan) | 6.230 | 11/21/23 | 34,700,000 | 34,715,346 | ||
Toronto-Dominion Bank/NY (Canada) | 6.000 | 10/1/24 | 19,165,000 | 19,173,427 | ||
Toronto-Dominion Bank/NY FRN (Canada) | 5.950 | 5/31/24 | 30,000,000 | 30,051,330 | ||
Wells Fargo Bank, NA FRN | 5.940 | 4/5/24 | 39,170,000 | 39,219,647 | ||
Total certificates of deposit (cost $393,235,000) | $393,541,798 |
MORTGAGE-BACKED SECURITIES (2.3%)(a) | ||||||
Principal amount | Value | |||||
Agency collateralized mortgage obligations (—%) | ||||||
Federal Home Loan Mortgage Corporation | ||||||
REMICs Ser. 3724, Class CM, 5.50%, 6/15/37 | $53,732 | $52,543 | ||||
REMICs Ser. 3316, Class CD, 5.50%, 5/15/37 | 18,601 | 18,174 | ||||
REMICs Ser. 3539, Class PM, 4.50%, 5/15/37 | 5,130 | 4,931 | ||||
REMICs Ser. 3611, PO, zero %, 7/15/34 | 17,019 | 14,085 | ||||
Federal National Mortgage Association | ||||||
REMICs FRB Ser. 10-90, Class GF, (US 30 Day Average SOFR + 0.61%), 5.935%, 8/25/40 | 182,805 | 175,579 | ||||
REMICs FRB Ser. 06-74, Class FL, (US 30 Day Average SOFR + 0.46%), 5.785%, 8/25/36 | 117,310 | 114,544 | ||||
REMICs FRB Ser. 05-63, Class FC, (US 30 Day Average SOFR + 0.36%), 5.685%, 10/25/31 | 214,007 | 208,784 | ||||
REMICs Ser. 11-60, Class PA, 4.00%, 10/25/39 | 3,783 | 3,346 | ||||
REMICs Ser. 10-81, Class AP, 2.50%, 7/25/40 | 11,216 | 10,357 | ||||
Government National Mortgage Association Ser. 09-32, Class AB, 4.00%, 5/16/39 | 4,219 | 4,018 | ||||
606,361 | ||||||
Residential mortgage-backed securities (non-agency) (2.3%) | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||
FRB Ser. 04-R5, Class M1, (CME Term SOFR 1 Month + 0.98%), 6.309%, 7/25/34 | 238,107 | 232,426 | ||||
FRB Ser. 05-R11, Class M2, (CME Term SOFR 1 Month + 0.82%), 6.144%, 1/25/36 | 556,479 | 553,666 | ||||
FRB Ser. 05-R9, Class M1, (CME Term SOFR 1 Month + 0.82%), 6.144%, 11/25/35 | 4,654,127 | 4,441,638 | ||||
Angel Oak Mortgage Trust 144A Ser. 19-5, Class A1, 2.593%, 10/25/49(WAC) | 607,794 | 577,122 | ||||
Angel Oak Mortgage Trust LLC 144A Ser. 20-3, Class A1, 1.691%, 4/25/65(WAC) | 8,921,973 | 8,061,686 | ||||
Arroyo Mortgage Trust 144A | ||||||
Ser. 19-2, Class A1, 3.347%, 4/25/49(WAC) | 3,286,337 | 2,941,194 | ||||
Ser. 19-3, Class A1, 2.962%, 10/25/48(WAC) | 4,460,515 | 4,014,718 | ||||
BRAVO Residential Funding Trust 144A | ||||||
FRB Ser. 21-HE1, Class A1, (US 30 Day Average SOFR + 0.75%), 6.071%, 1/25/70 | 6,930,158 | 6,549,935 | ||||
Ser. 19-1, Class A1C, 3.50%, 3/25/58 | 911,022 | 886,487 | ||||
Ser. 20-NQM1, Class A1, 1.449%, 5/25/60(WAC) | 2,834,426 | 2,598,205 | ||||
Ser. 21-NQM2, Class A1, 0.97%, 3/25/60(WAC) | 4,279,832 | 3,912,493 | ||||
Ser. 21-NQM1, Class A1, 0.941%, 2/25/49(WAC) | 3,277,808 | 2,806,377 | ||||
Carrington Mortgage Loan Trust FRB Ser. 07-HE1, Class A3, (CME Term SOFR 1 Month + 0.30%), 5.629%, 6/25/37 | 3,154,658 | 2,991,774 | ||||
Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB5, Class A, 0.801%, 2/25/31(WAC) | 4,809,755 | 4,785,990 | ||||
COLT Funding, LLC 144A Ser. 21-3R, Class A1, 1.051%, 12/25/64(WAC) | 2,466,903 | 2,232,548 | ||||
COLT Mortgage Loan Trust 144A Ser. 21-HX1, Class A1, 1.11%, 10/25/66(WAC) | 17,217,700 | 13,711,601 | ||||
Credit Suisse Mortgage Capital Certificates 144A | ||||||
Ser. 20-SPT1, Class A2, 2.229%, 4/25/65 | 6,500,000 | 6,186,226 | ||||
FRB Ser. 20-SPT1, Class A1, 1.616%, 4/25/65 | 239,272 | 237,366 | ||||
Credit Suisse Mortgage Trust 144A Ser. 20-AFC1, Class A1, 2.24%, 2/25/50(WAC) | 7,710,149 | 7,063,570 | ||||
CSMC Trust 144A Ser. 19-NQM1, Class A1, 2.656%, 10/25/59 | 2,822,218 | 2,694,874 | ||||
Ellington Financial Mortgage Trust 144A | ||||||
Ser. 19-2, Class A1, 2.739%, 11/25/59(WAC) | 2,514,136 | 2,300,501 | ||||
Ser. 20-2, Class A1, 1.178%, 10/25/65(WAC) | 1,227,271 | 1,084,046 | ||||
Encore Credit receivables Trust FRB Ser. 05-4, Class M3, (CME Term SOFR 1 Month + 0.82%), 6.144%, 1/25/36 | 1,563,437 | 1,534,493 | ||||
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M2AR, (US 30 Day Average SOFR + 0.86%), 6.185%, 3/25/30 | 3,262,457 | 3,255,320 | ||||
Federal National Mortgage Association | ||||||
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (US 30 Day Average SOFR + 3.01%), 8.335%, 7/25/24 | 1,144,331 | 1,153,617 | ||||
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (US 30 Day Average SOFR + 2.71%), 8.035%, 5/25/24 | 418,180 | 420,626 | ||||
Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 8/1/32(WAC) | 13,413,177 | 12,840,866 | ||||
First Franklin Mortgage Loan Trust | ||||||
FRB Ser. 06-FF3, Class A2C, (CME Term SOFR 1 Month + 0.69%), 6.019%, 2/25/36 | 1,652,324 | 1,616,350 | ||||
FRB Ser. 06-FF7, Class 1A, (CME Term SOFR 1 Month + 0.39%), 5.719%, 5/25/36 | 2,676,202 | 2,605,754 | ||||
Galton Funding Mortgage Trust 144A Ser. 19-2, Class A22, 3.50%, 6/25/59(WAC) | 2,547,109 | 2,138,208 | ||||
GCAT Trust 144A Ser. 19-NQM3, Class A1, 2.686%, 11/25/59(WAC) | 2,101,853 | 1,898,987 | ||||
GS Mortgage-Backed Securities Trust 144A Ser. 20-NQM1, Class A1, 1.382%, 9/27/60(WAC) | 1,330,441 | 1,184,485 | ||||
GSAA Home Equity Trust FRB Ser. 06-2, Class 2A4, (CME Term SOFR 1 Month + 0.73%), 6.059%, 12/25/35 | 2,857,455 | 2,685,379 | ||||
GSAMP Trust FRB Ser. 06-HE7, Class A2D, (CME Term SOFR 1 Month + 0.57%), 5.899%, 10/25/46 | 105,023 | 101,553 | ||||
Home Equity Asset Trust | ||||||
FRB Ser. 06-1, Class M2, (CME Term SOFR 1 Month + 0.80%), 6.129%, 4/25/36 | 834,235 | 827,998 | ||||
FRB Ser. 06-4, Class 1A1, (CME Term SOFR 1 Month + 0.43%), 5.759%, 8/25/36 | 666,884 | 660,237 | ||||
Imperial Fund Mortgage Trust 144A Ser. 22-NQM2, Class A1, 3.638%, 3/25/67 | 7,719,142 | 6,882,997 | ||||
Invitation Homes Trust 144A FRB Ser. 18-SFR4, Class A, (CME Term SOFR 1 Month + 1.21%), 6.549%, 1/17/38 | 23,730,041 | 23,730,015 | ||||
JPMorgan Mortgage Acquisition Trust FRB Ser. 07-CH2, Class MV1, (CME Term SOFR 1 Month + 0.39%), 5.719%, 1/25/37 | 1,123,343 | 1,118,570 | ||||
JPMorgan Resecuritization Trust 144A Ser. 14-1, Class 7A1, 3.00%, 6/26/35 | 463,892 | 452,777 | ||||
Long Beach Mortgage Loan Trust | ||||||
FRB Ser. 05-2, Class M5, (CME Term SOFR 1 Month + 1.09%), 6.414%, 4/25/35 | 937,196 | 912,527 | ||||
FRB Ser. 04-1, Class M1, (CME Term SOFR 1 Month + 0.86%), 6.189%, 2/25/34 | 237,306 | 226,160 | ||||
MASTR Asset-Backed Securities Trust FRB Ser. 06-FRE1, Class A4, (CME Term SOFR 1 Month + 0.69%), 6.019%, 12/25/35 | 96,158 | 95,647 | ||||
MFA Trust 144A Ser. 21-NQM1, Class A1, 1.153%, 4/25/65(WAC) | 5,195,364 | 4,501,032 | ||||
MFRA Trust 144A Ser. 20-NQM1, Class A1, 1.479%, 3/25/65(WAC) | 1,246,952 | 1,134,703 | ||||
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 06-NC1, Class M1, (CME Term SOFR 1 Month + 0.68%), 6.009%, 12/25/35 | 2,250,449 | 2,206,270 | ||||
Nationstar Home Equity Loan Trust FRB Ser. 07-B, Class 2AV4, (CME Term SOFR 1 Month + 0.43%), 5.759%, 4/25/37 | 3,762,349 | 3,623,243 | ||||
New Century Home Equity Loan Trust FRB Ser. 05-C, Class A2D, (CME Term SOFR 1 Month + 0.79%), 6.119%, 12/25/35 | 159,940 | 159,169 | ||||
New Residential Mortgage Loan Trust 144A | ||||||
FRB Ser. 18-4A, Class 4A, (CME Term SOFR 1 Month + 0.86%), 6.189%, 1/25/48 | 3,263,750 | 3,198,715 | ||||
Ser. 19-NQM4, Class A1, 2.492%, 9/25/59(WAC) | 1,771,245 | 1,614,237 | ||||
Ser. 20-NQM1, Class A1, 2.464%, 1/26/60(WAC) | 1,157,480 | 1,019,430 | ||||
OBX Trust 144A | ||||||
Ser. 20-EXP2, Class A8, 3.00%, 5/25/60(WAC) | 1,079,875 | 837,457 | ||||
Ser. 20-EXP2, Class A3, 2.50%, 5/25/60(WAC) | 11,357,705 | 8,677,734 | ||||
Onslow Bay Financial, LLC Trust 144A FRB Ser. 20-EXP3, Class 2A1, (CME Term SOFR 1 Month + 1.01%), 6.339%, 1/25/60 | 409,664 | 393,512 | ||||
Radnor Re, Ltd. 144A FRB Ser. 19-1, Class M1B, (ICE LIBOR USD 1 Month + 1.95%), 7.389%, 2/25/29 (Bermuda) | 3,851,475 | 3,877,782 | ||||
Residential Asset Mortgage Products Trust | ||||||
FRB Ser. 05-EFC4, Class M4, (CME Term SOFR 1 Month + 0.70%), 6.324%, 9/25/35 | 796,836 | 790,189 | ||||
FRB Ser. 06-EFC2, Class A4, (CME Term SOFR 1 Month + 0.55%), 5.879%, 12/25/36 | 531,624 | 515,716 | ||||
Residential Asset Securities Corp., Trust | ||||||
FRB Ser. 05-KS1, Class M2, (CME Term SOFR 1 Month + 0.86%), 6.564%, 2/25/35 | 1,107,016 | 1,067,201 | ||||
FRB Ser. 06-KS3, Class M1, (CME Term SOFR 1 Month + 0.44%), 5.934%, 4/25/36 | 1,177,727 | 1,141,895 | ||||
Residential Mortgage Loan Trust 144A | ||||||
Ser. 19-2, Class A1, 2.913%, 5/25/59(WAC) | 87,823 | 86,569 | ||||
Ser. 19-3, Class A1, 2.633%, 9/25/59(WAC) | 919,665 | 889,656 | ||||
Securitized Asset Backed Receivables, LLC Trust FRB Ser. 06-CB1, Class AV1, (CME Term SOFR 1 Month + 0.48%), 3.261%, 1/25/36 | 2,485,421 | 2,409,630 | ||||
SG Residential Mortgage Trust 144A | ||||||
Ser. 22-1, Class A1, 3.166%, 3/27/62(WAC) | 2,674,897 | 2,277,382 | ||||
Ser. 19-3, Class A1, 2.703%, 9/25/59(WAC) | 66,056 | 64,127 | ||||
Soundview Home Loan Trust | ||||||
FRB Ser. 05-OPT3, Class M1, (CME Term SOFR 1 Month + 0.82%), 6.144%, 11/25/35 | 2,237,311 | 2,170,147 | ||||
FRB Ser. 06-OPT1, Class 2A4, (CME Term SOFR 1 Month + 0.65%), 5.979%, 3/25/36 | 969,362 | 950,743 | ||||
Starwood Mortgage Residential Trust 144A | ||||||
Ser. 22-2, Class A1, 3.122%, 2/25/67(WAC) | 7,643,881 | 6,720,263 | ||||
Ser. 21-4, Class A1, 1.162%, 8/25/56(WAC) | 8,534,420 | 6,739,293 | ||||
Starwood Residential Mortgage Trust 144A Ser. 21-1, Class A1, 1.219%, 5/25/65(WAC) | 4,755,376 | 4,075,394 | ||||
Structured Asset Investment Loan Trust FRB Ser. 05-HE3, Class M1, (CME Term SOFR 1 Month + 0.83%), 6.159%, 9/25/35 | 1,600,679 | 1,561,051 | ||||
Structured Asset Securities Corp. FRB Ser. 05-WF1, Class M1, (CME Term SOFR 1 Month + 0.77%), 6.099%, 2/25/35 | 575,810 | 577,067 | ||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||
FRB Ser. 05-NC2, Class M5, (CME Term SOFR 1 Month + 1.04%), 6.369%, 5/25/35 | 1,379,994 | 1,384,544 | ||||
FRB Ser. 06-WF1, Class M4, (CME Term SOFR 1 Month + 0.76%), 6.084%, 2/25/36 | 501,254 | 498,964 | ||||
Towd Point HE Trust 144A Ser. 21-HE1, Class A1, 0.918%, 2/25/63(WAC) | 4,453,823 | 4,147,311 | ||||
Towd Point Mortgage Trust 144A | ||||||
FRB Ser. 19-HY2, Class A1, (CME Term SOFR 1 Month + 1.11%), 6.439%, 5/25/58 | 482,753 | 485,664 | ||||
FRB Ser. 19-HY1, Class A1, (CME Term SOFR 1 Month + 1.11%), 6.439%, 10/25/48 | 3,854,000 | 3,886,728 | ||||
Ser. 22-SJ1, Class A1B, 3.612%, 3/25/62(WAC) | 5,218,675 | 4,965,355 | ||||
Ser. 18-1, Class A1, 3.00%, 1/25/58(WAC) | 2,909,922 | 2,792,530 | ||||
Ser. 17-3, Class A1, 2.75%, 7/25/57(WAC) | 1,518,682 | 1,482,894 | ||||
Verus Securitization Trust 144A | ||||||
Ser. 19-INV2, Class A1, 3.913%, 7/25/59(WAC) | 3,374,497 | 3,250,184 | ||||
Ser. 19-4, Class A1, 3.642%, 11/25/59 | 3,349,122 | 3,190,083 | ||||
Ser. 19-INV3, Class A1, 2.692%, 11/25/59(WAC) | 1,575,288 | 1,511,738 | ||||
Ser. 20-1, Class A1, 2.417%, 1/25/60 | 744,798 | 696,215 | ||||
Ser. 20-5, Class A1, 1.218%, 5/25/65 | 4,574,490 | 4,135,024 | ||||
242,913,850 | ||||||
Total mortgage-backed securities (cost $265,043,451) | $243,520,211 |
REPURCHASE AGREEMENTS (0.9%)(a) | ||||||
Principal amount | Value | |||||
Interest in $65,000,000 tri-party term repurchase agreement dated 10/31/2023 with BNP Paribas Securities Corp., 5.490% (collateralized by Corporate Debt Securities with coupon rates ranging from 0.080% to 8.806% and due dates ranging from 3/4/2024 to perpetual maturity, valued at $68,260,491) (France)(IR)(EG) | $65,000,000 | $65,000,000 | ||||
Interest in $25,000,000 tri-party term repurchase agreement dated 10/31/2023 with RBC Capital Markets, LLC, 5.540% (collateralized by Corporate Debt Securities and U.S. Treasuries (including strips) with coupon rates ranging from 1.250% to 6.671% and due dates ranging from 10/30/2024 to 1/15/2087, valued at $26,247,618) (Canada)(IR)(EG) | 25,000,000 | 25,000,000 | ||||
Total repurchase agreements (cost $90,000,000) | $90,000,000 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (0.2%)(a) | ||||||
Yield (%) | Maturity date | Principal amount | Value | |||
Federal Home Loan Banks unsec. bonds | 4.671 | 6/14/24 | $21,915,000 | $21,835,994 | ||
Total U.S. government agency obligations (cost $21,946,024) | $21,835,994 |
SHORT-TERM INVESTMENTS (—%)(a) | ||||||
Shares | Value | |||||
Putnam Short Term Investment Fund Class P 5.59%(AFF) | 9,933 | $9,933 | ||||
Total Short-term investments (cost $9,933) | $9,933 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $10,639,978,648) | $10,583,681,720 |
Key to holding's abbreviations | ||||||
BKNT | Bank Note | |||||
CME | Chicago Mercantile Exchange | |||||
DAC | Designated Activity Company | |||||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
GMTN | Global Medium Term Notes | |||||
ICE | Intercontinental Exchange | |||||
LIBOR | London Interbank Offered Rate | |||||
MTN | Medium Term Notes | |||||
PO | Principal Only | |||||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
REMICs | Real Estate Mortgage Investment Conduits | |||||
SOFR | Secured Overnight Financing Rate | |||||
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 August 1, 2023 through October 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 $10,483,269,953. | |||||
(AFF) | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
Name of affiliate | Fair value as of 7/31/23 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 10/31/23 | |
Short-term investments | ||||||
Putnam Short Term Investment Fund* | $— | $772,389,571 | $772,379,638 | $311,415 | $9,933 | |
Total Short-term investments | $— | $772,389,571 | $772,379,638 | $311,415 | $9,933 | |
* 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. | ||||||
(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. | |||||
(IR) | Repurchase agreements with a maturity of more than seven days are considered to be illiquid investments. | |||||
(EG) | Maturity date of the repurchase agreement is thirty-five days from the purchase date unless both parties agree to roll the transaction. Maturity value of the repurchase agreement will equal the principal amount of the repurchase agreement plus interest. | |||||
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. | ||||||
DIVERSIFICATION BY COUNTRY | ||||||
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | ||||||
United States | 64.7% | |||||
Canada | 10.3 | |||||
France | 5.5 | |||||
United Kingdom | 4.0 | |||||
Japan | 3.1 | |||||
Australia | 2.8 | |||||
Netherlands | 2.1 | |||||
Spain | 1.2 | |||||
Germany | 1.1 | |||||
Ireland | 1.1 | |||||
Norway | 0.9 | |||||
Switzerland | 0.9 | |||||
Singapore | 0.7 | |||||
Denmark | 0.6 | |||||
Italy | 0.6 | |||||
Other | 0.4 | |||||
Total | 100.0% | |||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, 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 $94,508,109 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. |
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 | $— | $434,835,321 | $— | |
Certificates of deposit | — | 393,541,798 | — | |
Commercial paper | — | 2,384,353,082 | — | |
Corporate bonds and notes | — | 7,015,585,381 | — | |
Mortgage-backed securities | — | 243,520,211 | — | |
Repurchase agreements | — | 90,000,000 | — | |
Short-term investments | — | 9,933 | — | |
U.S. government agency obligations | — | 21,835,994 | — | |
Totals by level | $— | $10,583,681,720 | $— | |
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 |