Putnam Mortgage Opportunities Fund | ||||||
The fund's portfolio | ||||||
2/29/24 (Unaudited) |
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (95.9%)(a) | ||||||
Principal amount | Value | |||||
U.S. Government Guaranteed Mortgage Obligations (6.1%) | ||||||
Government National Mortgage Association Pass-Through Certificates | ||||||
5.50%, TBA, 3/1/54 | $13,000,000 | $12,916,810 | ||||
4.50%, TBA, 3/1/54 | 8,000,000 | 7,642,050 | ||||
4.00%, TBA, 3/1/54 | 6,000,000 | 5,584,959 | ||||
26,143,819 | ||||||
U.S. Government Agency Mortgage Obligations (89.8%) | ||||||
Uniform Mortgage-Backed Securities | ||||||
6.50%, TBA, 3/1/54 | 32,000,000 | 32,560,000 | ||||
6.00%, TBA, 3/1/54 | 156,000,000 | 156,682,500 | ||||
5.50%, TBA, 3/1/54 | 125,000,000 | 123,662,113 | ||||
5.00%, TBA, 3/1/54 | 49,000,000 | 47,522,346 | ||||
4.50%, TBA, 3/1/54 | 8,000,000 | 7,570,625 | ||||
3.50%, TBA, 3/1/54 | 5,000,000 | 4,447,852 | ||||
3.00%, TBA, 3/1/54 | 4,000,000 | 3,422,188 | ||||
2.50%, TBA, 3/1/54 | 6,000,000 | 4,929,375 | ||||
380,796,999 | ||||||
Total U.S. government and agency mortgage obligations (cost $410,546,798) | $406,940,818 |
MORTGAGE-BACKED SECURITIES (85.1%)(a) | ||||||
Principal amount | Value | |||||
Agency collateralized mortgage obligations (33.5%) | ||||||
Federal Home Loan Mortgage Corporation | ||||||
REMICs Ser. 4976, Class MI, IO, 4.50%, 5/25/50 | $2,666,671 | $601,692 | ||||
REMICs Ser. 4949, IO, 4.00%, 1/25/50 | 12,479,374 | 2,902,860 | ||||
REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 | 386,726 | 79,544 | ||||
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 156,112 | 22,849 | ||||
REMICs Ser. 5065, Class MI, IO, 3.50%, 1/25/51 | 3,343,796 | 621,612 | ||||
REMICs Ser. 5018, IO, 3.50%, 10/25/50 | 10,796,857 | 1,839,301 | ||||
REMICs Ser. 5119, Class IB, IO, 3.00%, 6/25/41 | 4,945,875 | 532,672 | ||||
REMICs Ser. 5274, IO, 2.50%, 1/25/51 | 14,210,718 | 2,295,355 | ||||
REMICs Ser. 5034, Class IJ, IO, 2.50%, 11/25/50 | 12,946,174 | 2,059,218 | ||||
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.661%, 8/15/56 | 6,716,093 | 801,499 | ||||
REMICs IFB Ser. 4979, Class SN, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.614%, 6/25/50 | 2,102,533 | 209,850 | ||||
REMICs IFB Ser. 4915, Class SD, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.614%, 9/25/49 | 1,754,832 | 164,869 | ||||
REMICs IFB Ser. 4933, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.564%, 12/25/49 | 1,724,367 | 202,154 | ||||
REMICs IFB Ser. 4631, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.561%, 11/15/46 | 27,250,287 | 3,042,061 | ||||
Federal National Mortgage Association | ||||||
REMICs Ser. 17-8, IO, 6.00%, 2/25/47 | 361,453 | 81,945 | ||||
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 40,540 | 6,892 | ||||
REMICs Ser. 15-69, IO, 6.00%, 9/25/45 | 193,331 | 41,731 | ||||
REMICs Ser. 12-132, Class PI, IO, 5.00%, 10/25/42 | 513,329 | 85,178 | ||||
REMICs Ser. 21-56, Class QI, IO, 4.50%, 9/25/51 | 3,320,421 | 834,258 | ||||
REMICs Ser. 21-15, Class JI, IO, 4.50%, 4/25/51 | 2,320,756 | 519,653 | ||||
REMICs Ser. 21-17, Class KI, IO, 4.50%, 4/25/51 | 2,484,075 | 569,201 | ||||
REMICs Ser. 20-98, Class OI, IO, 4.50%, 1/25/51 | 9,815,499 | 2,330,240 | ||||
REMICs Ser. 20-50, IO, 4.50%, 3/25/50 | 6,344,877 | 1,517,441 | ||||
REMICs Ser. 21-17, Class GI, IO, 4.00%, 2/25/51 | 2,006,279 | 409,843 | ||||
REMICs Ser. 21-25, Class IJ, IO, 3.50%, 5/25/51 | 5,342,292 | 1,039,022 | ||||
REMICs Ser. 21-8, Class ID, 3.50%, 3/25/51 | 7,221,792 | 1,547,037 | ||||
REMICs Ser. 21-5, Class PI, IO, 3.50%, 2/25/51 | 2,888,143 | 552,041 | ||||
REMICs Ser. 21-25, Class HI, 3.50%, 7/25/50 | 6,137,990 | 1,009,613 | ||||
REMICs Ser. 20-99, Class IB, IO, 3.50%, 5/25/50 | 8,745,189 | 1,588,126 | ||||
REMICs Ser. 22-13, Class CI, IO, 3.00%, 12/25/51 | 14,612,840 | 2,289,464 | ||||
REMICs Ser. 21-67, Class IG, IO, 3.00%, 10/25/51 | 3,464,367 | 549,576 | ||||
REMICs Ser. 22-13, IO, 2.50%, 12/25/51 | 7,619,577 | 944,853 | ||||
REMICs Ser. 21-3, Class IB, IO, 2.50%, 2/25/51 | 10,789,333 | 1,783,800 | ||||
REMICs IFB Ser. 19-58, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.614%, 10/25/49 | 9,735,110 | 937,478 | ||||
REMICs IFB Ser. 16-54, Class SD, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.564%, 8/25/46 | 3,279,942 | 311,201 | ||||
REMICs IFB Ser. 22-43, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 5.40%), 0.078%, 7/25/52 | 16,173,148 | 914,527 | ||||
Government National Mortgage Association | ||||||
Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 | 26,243 | 4,366 | ||||
Ser. 21-176, Class IK, IO, 5.50%, 10/20/51 | 5,489,276 | 1,111,578 | ||||
Ser. 21-59, Class IK, IO, 5.00%, 4/20/51 | 6,576,600 | 1,297,583 | ||||
Ser. 17-179, Class WI, IO, 5.00%, 12/20/47 | 281,463 | 66,100 | ||||
Ser. 15-89, Class LI, IO, 5.00%, 12/20/44 | 374,289 | 76,378 | ||||
Ser. 14-132, IO, 5.00%, 9/20/44 | 624,769 | 133,095 | ||||
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 | 408,811 | 82,482 | ||||
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 43,519 | 8,595 | ||||
Ser. 21-209, Class TG, IO, 4.50%, 11/20/51 | 7,236,249 | 1,537,380 | ||||
Ser. 22-139, IO, 4.50%, 9/20/49 | 7,668,168 | 1,550,762 | ||||
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 | 8,697,689 | 1,765,559 | ||||
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45 | 138,711 | 25,541 | ||||
Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 | 87,456 | 15,834 | ||||
Ser. 21-162, Class IO, IO, 4.00%, 9/20/51 | 3,632,106 | 684,652 | ||||
Ser. 17-104, Class GI, IO, 4.00%, 7/20/47 | 4,563,995 | 885,957 | ||||
Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 | 26,957 | 4,854 | ||||
Ser. 18-72, Class IC, IO, 4.00%, 5/20/45 | 1,469,007 | 253,698 | ||||
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 67,327 | 12,246 | ||||
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45 | 21,233 | 2,756 | ||||
Ser. 14-188, Class IB, IO, 4.00%, 12/20/44 | 1,904,309 | 259,157 | ||||
Ser. 20-32, Class IA, IO, 3.981%, 3/16/47(WAC) | 2,426,542 | 371,050 | ||||
Ser. 21-214, Class DI, IO, 3.50%, 12/20/51 | 9,540,649 | 1,420,136 | ||||
Ser. 21-197, Class BI, IO, 3.50%, 11/20/51 | 20,041,426 | 2,578,099 | ||||
Ser. 21-177, Class IG, IO, 3.50%, 10/20/51 | 20,829,343 | 3,169,895 | ||||
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 2,302,675 | 433,465 | ||||
Ser. 20-32, Class IM, IO, 3.50%, 3/16/50 | 11,187,208 | 2,134,703 | ||||
Ser. 19-158, Class PI, IO, 3.50%, 12/20/49 | 1,494,255 | 271,880 | ||||
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 281,458 | 43,707 | ||||
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 | 16,001 | 2,044 | ||||
Ser. 13-14, IO, 3.50%, 12/20/42 | 20,247 | 2,489 | ||||
Ser. 22-12, Class JI, IO, 3.00%, 1/20/52 | 16,614,993 | 2,142,872 | ||||
Ser. 21-188, Class IU, IO, 3.00%, 10/20/51 | 11,308,938 | 2,236,389 | ||||
Ser. 21-191, Class HI, IO, 3.00%, 10/20/51 | 3,025,730 | 463,645 | ||||
Ser. 21-146, Class QI, IO, 3.00%, 8/20/51 | 16,412,400 | 2,536,308 | ||||
Ser. 21-42, Class IG, IO, 3.00%, 3/20/51 | 2,262,764 | 357,901 | ||||
Ser. 21-7, Class MI, IO, 2.50%, 1/20/51 | 16,890,783 | 2,241,088 | ||||
Ser. 20-173, Class MI, IO, 2.50%, 11/20/50 | 12,567,860 | 1,735,873 | ||||
Ser. 20-151, Class MI, IO, 2.50%, 10/20/50 | 4,439,188 | 613,141 | ||||
Ser. 20-162, Class UI, IO, 2.50%, 10/20/50 | 14,360,312 | 1,948,430 | ||||
Ser. 16-H24, IO, 2.16%, 9/20/66(WAC) | 220,437 | 16,268 | ||||
Ser. 17-H19, Class MI, IO, 2.076%, 4/20/67(WAC) | 2,018,142 | 104,338 | ||||
Ser. 15-H23, Class DI, IO, 1.896%, 9/20/65(WAC) | 84,514 | 3,668 | ||||
Ser. 15-H25, Class EI, IO, 1.847%, 10/20/65(WAC) | 70,045 | 2,543 | ||||
Ser. 15-H20, Class AI, IO, 1.822%, 8/20/65(WAC) | 82,623 | 2,611 | ||||
Ser. 15-H10, Class CI, IO, 1.797%, 4/20/65(WAC) | 92,221 | 3,126 | ||||
Ser. 15-H26, Class EI, IO, 1.747%, 10/20/65(WAC) | 97,747 | 3,910 | ||||
Ser. 15-H23, Class BI, IO, 1.739%, 9/20/65(WAC) | 53,467 | 1,486 | ||||
Ser. 17-H06, Class DI, IO, 1.734%, 2/20/67(WAC) | 411,577 | 11,648 | ||||
IFB Ser. 24-4, Class SW, IO, ((-1 x US 30 Day Average SOFR) + 7.00%), 1.676%, 1/20/54 | 30,368,551 | 1,814,342 | ||||
IFB Ser. 23-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 7.00%), 1.676%, 2/20/53 | 25,154,223 | 1,651,830 | ||||
IFB Ser. 23-20, Class SP, IO, ((-1 x US 30 Day Average SOFR) + 7.00%), 1.676%, 2/20/53 | 32,756,262 | 1,767,774 | ||||
Ser. 16-H24, Class CI, IO, 1.662%, 10/20/66(WAC) | 2,659,176 | 76,584 | ||||
Ser. 14-H25, Class BI, IO, 1.658%, 12/20/64(WAC) | 931,618 | 22,662 | ||||
IFB Ser. 24-4, Class ES, IO, ((-1 x US 30 Day Average SOFR) + 6.95%), 1.626%, 1/20/54 | 26,985,176 | 1,838,700 | ||||
Ser. 15-H25, Class AI, IO, 1.588%, 9/20/65(WAC) | 135,063 | 3,255 | ||||
Ser. 17-H03, Class HI, IO, 1.585%, 1/20/67(WAC) | 5,270,043 | 135,440 | ||||
Ser. 15-H01, Class BI, IO, 1.55%, 1/20/65(WAC) | 2,673,528 | 68,343 | ||||
IFB Ser. 13-182, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 6.59%), 1.266%, 12/20/43 | 605,416 | 61,934 | ||||
Ser. 18-H02, Class HI, IO, 1.233%, 1/20/68(WAC) | 2,580,123 | 122,958 | ||||
IFB Ser. 11-156, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.49%), 1.166%, 4/20/38 | 27,472 | 2,957 | ||||
IFB Ser. 23-149, Class SE, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.126%, 9/20/63 | 48,692,445 | 2,256,827 | ||||
IFB Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.126%, 2/20/53 | 15,155,091 | 928,231 | ||||
Ser. 18-H02, Class IM, IO, 1.119%, 2/20/68(WAC) | 1,543,825 | 92,630 | ||||
Ser. 17-H03, Class EI, IO, 1.108%, 1/20/67(WAC) | 344,538 | 18,984 | ||||
IFB Ser. 24-11, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.40%), 1.076%, 1/20/54 | 41,050,584 | 2,021,479 | ||||
IFB Ser. 23-183, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 6.40%), 1.076%, 12/20/53 | 16,304,390 | 551,353 | ||||
Ser. 17-H04, Class BI, IO, 0.993%, 2/20/67(WAC) | 2,530,199 | 107,533 | ||||
IFB Ser. 23-152, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 6.30%), 0.976%, 10/20/53 | 33,325,628 | 1,910,318 | ||||
IFB Ser. 23-40, Class SC, IO, ((-1 x US 30 Day Average SOFR) + 6.30%), 0.976%, 3/20/53 | 22,026,973 | 746,560 | ||||
IFB Ser. 23-43, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.27%), 0.946%, 3/20/53 | 62,014,468 | 2,185,781 | ||||
Ser. 17-H02, Class BI, IO, 0.941%, 1/20/67(WAC) | 1,586,944 | 51,309 | ||||
IFB Ser. 23-24, Class SQ, IO, ((-1 x US 30 Day Average SOFR) + 6.25%), 0.926%, 2/20/53 | 16,199,900 | 756,276 | ||||
IFB Ser. 23-13, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 6.25%), 0.926%, 1/20/53 | 23,521,516 | 1,277,642 | ||||
IFB Ser. 23-147, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.25%), 0.926%, 4/20/51 | 22,310,423 | 2,688,761 | ||||
IFB Ser. 21-96, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.24%), 0.916%, 6/20/51 | 2,028,009 | 235,715 | ||||
IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.866%, 6/20/51 | 10,399,143 | 1,228,347 | ||||
IFB Ser. 21-49, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.866%, 3/20/51 | 2,709,416 | 317,494 | ||||
IFB Ser. 21-57, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.866%, 3/20/51 | 9,702,680 | 1,154,692 | ||||
IFB Ser. 21-1, Class ST, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.866%, 1/20/51 | 14,263,271 | 1,764,693 | ||||
IFB Ser. 20-167, Class SC, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.866%, 11/20/50 | 14,906,813 | 1,992,556 | ||||
IFB Ser. 20-112, Class MS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.866%, 8/20/50 | 7,307,335 | 870,450 | ||||
FRB Ser. 16-H19, Class AI, IO, 0.848%, 9/20/66(WAC) | 3,896,647 | 156,618 | ||||
IFB Ser. 23-56, Class AS, IO, ((-1 x US 30 Day Average SOFR) + 6.16%), 0.836%, 4/20/53 | 36,439,938 | 1,835,636 | ||||
IFB Ser. 22-90, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.15%), 0.826%, 5/20/52 | 14,472,736 | 845,506 | ||||
IFB Ser. 10-26, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.14%), 0.816%, 2/20/40 | 18,640,687 | 1,741,786 | ||||
Ser. 18-H01, Class AI, IO, 0.815%, 1/20/68(WAC) | 8,367,365 | 415,858 | ||||
Ser. 15-H16, Class DI, IO, 0.80%, 7/20/65(WAC) | 2,237,213 | 137,141 | ||||
Ser. 18-H05, Class BI, IO, 0.797%, 2/20/68(WAC) | 1,086,875 | 46,411 | ||||
IFB Ser. 14-131, Class BS, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.764%, 9/16/44 | 2,313,374 | 276,078 | ||||
Ser. 16-H18, Class QI, IO, 0.763%, 6/20/66(WAC) | 904,289 | 46,146 | ||||
Ser. 16-H23, Class NI, IO, 0.744%, 10/20/66(WAC) | 124,269 | 5,107 | ||||
IFB Ser. 23-114, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.05%), 0.726%, 8/20/53 | 48,180,208 | 2,730,787 | ||||
IFB Ser. 19-158, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.714%, 9/16/43 | 3,679,841 | 330,010 | ||||
IFB Ser. 23-103, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 6.00%), 0.676%, 7/20/53 | 59,677,289 | 2,971,619 | ||||
IFB Ser. 23-98, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.00%), 0.676%, 7/20/53 | 52,685,793 | 1,609,588 | ||||
IFB Ser. 22-179, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.666%, 11/20/49 | 12,961,324 | 1,073,275 | ||||
IFB Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.666%, 8/20/49 | 2,485,387 | 254,354 | ||||
IFB Ser. 19-83, Class JS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.666%, 7/20/49 | 3,178,899 | 313,185 | ||||
IFB Ser. 20-77, Class KS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.666%, 5/20/49 | 15,581,845 | 1,545,979 | ||||
Ser. 16-H15, Class AI, IO, 0.626%, 7/20/66(WAC) | 9,123,790 | 352,069 | ||||
IFB Ser. 23-183, Class VS, IO, ((-1 x US 30 Day Average SOFR) + 5.95%), 0.626%, 12/20/53 | 32,939,041 | 1,686,683 | ||||
IFB Ser. 20-189, Class S, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.616%, 12/20/49 | 17,021,812 | 1,584,561 | ||||
IFB Ser. 19-103, Class SC, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.616%, 8/20/49 | 13,550,350 | 1,306,602 | ||||
IFB Ser. 19-98, Class SC, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.616%, 8/20/49 | 1,577,967 | 156,234 | ||||
IFB Ser. 19-121, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.566%, 10/20/49 | 3,287,304 | 376,482 | ||||
IFB Ser. 19-4, Class S, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.566%, 1/20/49 | 13,878,245 | 874,274 | ||||
IFB Ser. 20-47, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.566%, 5/20/44 | 3,480,126 | 292,400 | ||||
Ser. 17-H11, Class DI, IO, 0.559%, 5/20/67(WAC) | 177,723 | 9,313 | ||||
Ser. 22-H01, Class EI, IO, 0.531%, 1/20/72(WAC) | 5,702,178 | 305,637 | ||||
IFB Ser. 23-114, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.85%), 0.526%, 8/20/53 | 45,423,478 | 2,109,621 | ||||
Ser. 15-H20, Class CI, IO, 0.518%, 8/20/65(WAC) | 1,111,598 | 60,026 | ||||
Ser. 22-H09, Class GI, IO, 0.503%, 4/20/72(WAC) | 24,088,565 | 1,324,871 | ||||
FRB Ser. 15-H16, Class XI, IO, 0.478%, 7/20/65(WAC) | 5,262,362 | 265,749 | ||||
IFB Ser. 22-45, Class SP, IO, ((-1 x US 30 Day Average SOFR) + 5.80%), 0.476%, 5/20/50 | 37,993,075 | 2,336,616 | ||||
Ser. 16-H27, Class EI, IO, 0.469%, 12/20/66(WAC) | 18,559,990 | 560,920 | ||||
Ser. 15-H26, Class DI, IO, 0.451%, 10/20/65(WAC) | 61,601 | 2,393 | ||||
Ser. 19-H02, Class DI, IO, 0.447%, 11/20/68(WAC) | 15,542,392 | 764,686 | ||||
Ser. 17-H22, Class DI, IO, 0.446%, 11/20/67(WAC) | 2,032,339 | 116,453 | ||||
Ser. 20-H04, Class AI, IO, 0.442%, 2/20/70(WAC) | 8,224,556 | 383,166 | ||||
Ser. 19-H12, Class GI, IO, 0.432%, 7/20/69(WAC) | 9,173,480 | 335,926 | ||||
IFB Ser. 23-20, Class PS, IO, ((-1 x US 30 Day Average SOFR) + 5.75%), 0.426%, 2/20/53 | 80,026,848 | 2,317,762 | ||||
Ser. 15-H25, Class CI, IO, 0.421%, 10/20/65(WAC) | 60,262 | 2,194 | ||||
Ser. 17-H20, Class AI, IO, 0.382%, 10/20/67(WAC) | 1,807,738 | 81,357 | ||||
Ser. 17-H16, Class JI, IO, 0.38%, 8/20/67(WAC) | 330,682 | 16,402 | ||||
Ser. 17-H20, Class HI, IO, 0.379%, 10/20/67(WAC) | 650,063 | 35,038 | ||||
IFB Ser. 23-40, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 5.70%), 0.376%, 3/20/53 | 22,550,774 | 636,956 | ||||
Ser. 22-H09, Class IG, IO, 0.351%, 4/20/72(WAC) | 18,461,004 | 887,974 | ||||
Ser. 16-H24, Class HI, IO, 0.349%, 9/20/66(WAC) | 10,908,824 | 650,166 | ||||
Ser. 19-H14, Class IB, IO, 0.327%, 8/20/69(WAC) | 211,009 | 10,044 | ||||
IFB Ser. 22-63, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 5.60%), 0.276%, 11/20/46 | 4,237,394 | 323,389 | ||||
Ser. 18-H20, Class BI, IO, 0.245%, 6/20/68(WAC) | 5,423,501 | 239,719 | ||||
Ser. 17-H06, Class MI, IO, 0.228%, 2/20/67(WAC) | 831,787 | 32,179 | ||||
Ser. 15-H04, Class AI, IO, 0.22%, 12/20/64(WAC) | 1,842,076 | 53,420 | ||||
Ser. 19-H07, Class EI, IO, 0.201%, 3/20/69(WAC) | 18,334,712 | 762,101 | ||||
Ser. 14-H21, Class AI, IO, 0.139%, 10/20/64(WAC) | 733,453 | 22,751 | ||||
Ser. 16-H09, Class BI, IO, 0.105%, 4/20/66(WAC) | 4,057,000 | 202,039 | ||||
Ser. 17-H06, Class BI, IO, 0.103%, 2/20/67(WAC) | 620,469 | 18,364 | ||||
Ser. 15-H13, Class AI, IO, 0.087%, 6/20/65(WAC) | 142,530 | 6,229 | ||||
Ser. 15-H10, Class HI, IO, 0.077%, 4/20/65(WAC) | 89,036 | 3,588 | ||||
Ser. 16-H11, Class KI, IO, 0.023%, 5/20/66(WAC) | 67,947,099 | 2,384,943 | ||||
Ser. 17-H08, Class NI, IO, 0.021%, 3/20/67(WAC) | 257,358 | 8,879 | ||||
Ser. 17-H10, Class MI, IO, 0.02%, 4/20/67(WAC) | 2,906,516 | 87,486 | ||||
Ser. 17-H09, IO, 0.014%, 4/20/67(WAC) | 277,638 | 8,108 | ||||
Ser. 19-H15, Class IH, IO, zero %, 9/20/69(WAC) | 12,034,586 | 469,349 | ||||
FRB Ser. 21-H08, IO, zero %, 1/20/71(WAC) | 25,180,848 | 909,205 | ||||
142,303,760 | ||||||
Commercial mortgage-backed securities (25.0%) | ||||||
BANK | ||||||
FRB Ser. 20-BN30, Class XA, IO, 1.295%, 12/15/53(WAC) | 8,126,428 | 501,050 | ||||
FRB Ser. 20-BN26, Class XA, IO, 1.208%, 3/15/63(WAC) | 14,483,971 | 743,609 | ||||
BANK 144A Ser. 18-BN11, Class D, 3.00%, 3/15/61 | 609,000 | 361,516 | ||||
Barclays Commercial Mortgage Trust 144A | ||||||
Ser. 19-C4, Class D, 3.25%, 8/15/52 | 1,010,000 | 677,699 | ||||
Ser. 19-C4, Class E, 3.25%, 8/15/52 | 793,000 | 473,197 | ||||
Ser. 19-C3, Class D, 3.00%, 5/15/52 | 1,145,000 | 775,058 | ||||
FRB Ser. 19-C5, Class F, 2.606%, 11/15/52(WAC) | 1,261,000 | 664,908 | ||||
Ser. 19-C5, Class E, 2.50%, 11/15/52 | 867,000 | 566,341 | ||||
Benchmark Mortgage Trust FRB Ser. 18-B1, Class C, 4.177%, 1/15/51(WAC) | 712,000 | 484,149 | ||||
Benchmark Mortgage Trust 144A | ||||||
FRB Ser. 18-B3, Class D, 3.021%, 4/10/51(WAC) | 1,753,000 | 1,054,785 | ||||
Ser. 19-B11, Class D, 3.00%, 5/15/52 | 963,000 | 615,519 | ||||
Ser. 18-B1, Class D, 2.75%, 1/15/51 | 2,021,000 | 1,298,239 | ||||
Ser. 19-B13, Class D, 2.50%, 8/15/57 | 1,295,000 | 727,402 | ||||
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44(WAC) | 580,000 | 358,536 | ||||
Cantor Commercial Real Estate Lending FRB Ser. 19-CF3, Class XA, IO, 0.692%, 1/15/53(WAC) | 12,987,632 | 372,200 | ||||
Cantor Commercial Real Estate Lending 144A Ser. 19-CF2, Class D, 2.50%, 11/15/52 | 313,000 | 209,172 | ||||
CD Commercial Mortgage Trust | ||||||
FRB Ser. 17-CD3, Class C, 4.539%, 2/10/50(WAC) | 615,000 | 296,589 | ||||
Ser. 17-CD3, Class B, 3.984%, 2/10/50(WAC) | 888,000 | 600,641 | ||||
CD Commercial Mortgage Trust 144A | ||||||
Ser. 17-CD3, Class D, 3.25%, 2/10/50 | 889,000 | 335,949 | ||||
Ser. 19-CD8, Class D, 3.00%, 8/15/57 | 507,000 | 275,079 | ||||
Citigroup Commercial Mortgage Trust | ||||||
FRB Ser. 15-GC27, Class C, 4.419%, 2/10/48(WAC) | 817,000 | 772,561 | ||||
FRB Ser. 17-P7, Class C, 4.385%, 4/14/50(WAC) | 373,000 | 279,867 | ||||
Ser. 14-GC21, Class B, 4.328%, 5/10/47(WAC) | 1,749,000 | 1,647,995 | ||||
Ser. 16-P3, Class B, 4.271%, 4/15/49(WAC) | 1,630,000 | 1,492,057 | ||||
FRB Ser. 15-GC31, Class D, 4.034%, 6/10/48(WAC) | 1,541,000 | 1,078,700 | ||||
Citigroup Commercial Mortgage Trust 144A | ||||||
FRB Ser. 13-GC17, Class D, 5.063%, 11/10/46(WAC) | 1,376,942 | 1,254,394 | ||||
FRB Ser. 14-GC19, Class D, 5.02%, 3/11/47(WAC) | 2,130,000 | 2,044,161 | ||||
FRB Ser. 15-GC27, Class D, 4.419%, 2/10/48(WAC) | 631,000 | 561,579 | ||||
Ser. 14-GC25, Class D, 3.548%, 10/10/47 | 239,000 | 202,928 | ||||
Ser. 15-P1, Class D, 3.225%, 9/15/48 | 1,222,000 | 1,046,674 | ||||
Ser. 15-GC27, Class E, 3.00%, 2/10/48 | 1,555,000 | 1,166,695 | ||||
COMM Mortgage Trust | ||||||
FRB Ser. 13-CR13, Class C, 4.996%, 11/10/46(WAC) | 503,991 | 476,372 | ||||
FRB Ser. 14-CR16, Class C, 4.916%, 4/10/47(WAC) | 1,226,000 | 1,140,578 | ||||
FRB Ser. 14-UBS3, Class C, 4.739%, 6/10/47(WAC) | 301,000 | 229,686 | ||||
FRB Ser. 14-CR17, Class C, 4.727%, 5/10/47(WAC) | 912,000 | 835,553 | ||||
FRB Ser. 14-UBS4, Class C, 4.66%, 8/10/47(WAC) | 324,000 | 243,399 | ||||
FRB Ser. 14-UBS6, Class C, 4.438%, 12/10/47(WAC) | 334,000 | 295,875 | ||||
Ser. 13-CR12, Class AM, 4.30%, 10/10/46 | 1,562,000 | 1,319,890 | ||||
Ser. 15-DC1, Class B, 4.035%, 2/10/48(WAC) | 1,263,000 | 1,158,386 | ||||
FRB Ser. 14-CR14, Class C, 3.742%, 2/10/47(WAC) | 650,000 | 593,451 | ||||
FRB Ser. 15-CR26, Class D, 3.464%, 10/10/48(WAC) | 875,000 | 672,886 | ||||
COMM Mortgage Trust 144A | ||||||
FRB Ser. 13-LC13, Class D, 5.433%, 8/10/46(WAC) | 278,000 | 209,890 | ||||
FRB Ser. 13-CR13, Class D, 4.996%, 11/10/46(WAC) | 1,860,000 | 1,209,752 | ||||
FRB Ser. 14-CR17, Class D, 4.791%, 5/10/47(WAC) | 1,247,000 | 1,064,210 | ||||
FRB Ser. 14-CR17, Class E, 4.791%, 5/10/47(WAC) | 1,366,000 | 924,236 | ||||
FRB Ser. 14-CR19, Class D, 4.629%, 8/10/47(WAC) | 597,000 | 551,763 | ||||
FRB Ser. 13-CR7, Class D, 4.243%, 3/10/46(WAC) | 1,024,225 | 956,731 | ||||
FRB Ser. 15-LC19, Class E, 4.213%, 2/10/48(WAC) | 1,070,000 | 796,843 | ||||
FRB Ser. 14-CR15, Class D, 4.141%, 2/10/47(WAC) | 923,000 | 803,012 | ||||
FRB Ser. 14-CR14, Class D, 3.742%, 2/10/47(WAC) | 1,479,000 | 1,154,835 | ||||
Ser. 12-CR4, Class B, 3.703%, 10/15/45 | 2,145,000 | 1,280,937 | ||||
Ser. 13-LC6, Class E, 3.50%, 1/10/46 | 460,000 | 417,837 | ||||
FRB Ser. 16-COR1, Class D, 3.326%, 10/10/49(WAC) | 1,501,500 | 1,038,115 | ||||
Ser. 17-COR2, Class D, 3.00%, 9/10/50 | 1,656,000 | 1,225,440 | ||||
Ser. 15-LC19, Class D, 2.867%, 2/10/48 | 1,769,000 | 1,540,972 | ||||
CSAIL Commercial Mortgage Trust | ||||||
FRB Ser. 15-C3, Class C, 4.35%, 8/15/48(WAC) | 1,168,000 | 976,330 | ||||
FRB Ser. 15-C2, Class C, 4.174%, 6/15/57(WAC) | 1,299,000 | 1,133,280 | ||||
FRB Ser. 15-C2, Class D, 4.174%, 6/15/57(WAC) | 1,355,000 | 963,279 | ||||
CSAIL Commercial Mortgage Trust 144A | ||||||
FRB Ser. 18-C14, Class D, 4.878%, 11/15/51(WAC) | 1,765,000 | 1,329,351 | ||||
Ser. 19-C17, Class D, 2.50%, 9/15/52 | 594,000 | 364,113 | ||||
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.322%, 11/25/51 | 2,059,000 | 1,981,861 | ||||
Government National Mortgage Association FRB Ser. 24-32, IO, 0.706%, 6/16/63 | 16,912,000 | 824,460 | ||||
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.537%, 2/10/46(WAC) | 471,000 | 427,697 | ||||
GS Mortgage Securities Trust FRB Ser. 14-GC18, Class C, 4.92%, 1/10/47(WAC) | 1,321,000 | 1,085,429 | ||||
GS Mortgage Securities Trust 144A | ||||||
FRB Ser. 10-C1, Class D, 6.359%, 8/10/43(WAC) | 397,000 | 342,870 | ||||
FRB Ser. 14-GC24, Class D, 4.518%, 9/10/47(WAC) | 2,089,000 | 1,026,364 | ||||
FRB Ser. 13-GC13, Class D, 3.837%, 7/10/46(WAC) | 739,000 | 355,001 | ||||
Ser. 17-GS5, Class D, 3.509%, 3/10/50(WAC) | 3,043,000 | 1,500,493 | ||||
Ser. 19-GC38, Class D, 3.00%, 2/10/52 | 439,000 | 325,604 | ||||
JPMBB Commercial Mortgage Securities Trust | ||||||
FRB Ser. 14-C22, Class B, 4.561%, 9/15/47(WAC) | 399,000 | 367,378 | ||||
FRB Ser. 14-C22, Class C, 4.561%, 9/15/47(WAC) | 354,000 | 297,541 | ||||
JPMBB Commercial Mortgage Securities Trust 144A | ||||||
FRB Ser. 14-C19, Class C19, 10.085%, 4/15/47(WAC) | 1,574,000 | 1,536,019 | ||||
FRB Ser. 14-C18, Class D, 4.61%, 2/15/47(WAC) | 1,135,000 | 807,930 | ||||
FRB Ser. 13-C12, Class E, 3.959%, 7/15/45(WAC) | 625,000 | 424,928 | ||||
FRB Ser. 14-C25, Class D, 3.932%, 11/15/47(WAC) | 1,390,000 | 850,612 | ||||
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) | 402,000 | 31,667 | ||||
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) | 100,000 | 37,528 | ||||
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.383%, 9/15/50(WAC) | 388,000 | 276,552 | ||||
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) | 566,000 | 418,519 | ||||
JPMDB Commercial Mortgage Securities Trust 144A FRB Ser. 16-C2, Class D, 3.326%, 6/15/49(WAC) | 1,101,000 | 613,166 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 | 504,868 | 486,459 | ||||
FRB Ser. 13-LC11, Class D, 4.203%, 4/15/46(WAC) | 740,000 | 314,524 | ||||
FRB Ser. 13-C10, Class C, 4.074%, 12/15/47(WAC) | 604,842 | 553,217 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||||||
FRB Ser. 11-C3, Class D, 5.525%, 2/15/46(WAC) | 450,000 | 347,521 | ||||
FRB Ser. 11-C3, Class E, 5.525%, 2/15/46(WAC) | 242,000 | 102,855 | ||||
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 (In default)(NON)(WAC) | 643,000 | 160,673 | ||||
Ser. 12-C6, Class G, 2.972%, 5/15/45(WAC) | 100,000 | 66,532 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||
Ser. 12-C6, Class C, 4.536%, 11/15/45(WAC) | 1,220,626 | 1,117,281 | ||||
FRB Ser. 15-C25, Class C, 4.517%, 10/15/48(WAC) | 1,646,000 | 1,406,805 | ||||
FRB Ser. 14-C17, Class B, 4.464%, 8/15/47(WAC) | 1,060,000 | 1,037,777 | ||||
FRB Ser. 15-C22, Class C, 4.207%, 4/15/48(WAC) | 1,125,000 | 1,020,813 | ||||
FRB Ser. 17-C34, Class C, 4.174%, 11/15/52(WAC) | 691,000 | 584,690 | ||||
FRB Ser. 15-C23, Class B, 4.138%, 7/15/50(WAC) | 967,000 | 903,616 | ||||
Ser. 14-C19, Class C, 4.00%, 12/15/47 | 787,000 | 747,725 | ||||
FRB Ser. 13-C9, Class C, 3.728%, 5/15/46(WAC) | 269,000 | 235,375 | ||||
Ser. 13-C9, Class B, 3.708%, 5/15/46(WAC) | 1,023,547 | 951,860 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||||||
FRB Ser. 13-C12, Class E, 6.057%, 10/15/46(WAC) | 405,000 | 324,208 | ||||
FRB Ser. 14-C17, Class D, 4.653%, 8/15/47(WAC) | 1,641,500 | 1,490,448 | ||||
FRB Ser. 12-C6, Class E, 4.53%, 11/15/45(WAC) | 1,303,000 | 625,445 | ||||
FRB Ser. 12-C6, Class G, 4.50%, 11/15/45(WAC) | 1,441,000 | 495,128 | ||||
FRB Ser. 15-C24, Class E, 4.323%, 5/15/48(WAC) | 677,000 | 498,001 | ||||
FRB Ser. 15-C23, Class D, 4.138%, 7/15/50(WAC) | 1,242,000 | 1,057,284 | ||||
FRB Ser. 13-C10, Class F, 4.028%, 7/15/46(WAC) | 1,286,000 | 79,894 | ||||
FRB Ser. 13-C9, Class D, 3.816%, 5/15/46(WAC) | 881,000 | 752,333 | ||||
FRB Ser. 13-C9, Class G, 3.816%, 5/15/46(WAC) | 1,500,000 | 480,900 | ||||
Ser. 14-C19, Class D, 3.25%, 12/15/47 | 574,000 | 507,073 | ||||
Ser. 17-C34, Class D, 2.70%, 11/15/52 | 663,000 | 450,268 | ||||
Morgan Stanley Capital I Trust | ||||||
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) | 24,032 | 19,893 | ||||
FRB Ser. 18-H3, Class C, 4.85%, 7/15/51(WAC) | 1,174,000 | 1,033,172 | ||||
Ser. 15-UBS8, Class B, 4.315%, 12/15/48(WAC) | 2,528,000 | 2,263,475 | ||||
FRB Ser. 16-UB12, Class C, 4.126%, 12/15/49(WAC) | 498,000 | 320,406 | ||||
FRB Ser. 15-MS1, Class C, 4.023%, 5/15/48(WAC) | 1,270,000 | 1,068,488 | ||||
FRB Ser. 16-BNK2, Class C, 3.882%, 11/15/49(WAC) | 983,000 | 696,300 | ||||
Morgan Stanley Capital I Trust 144A | ||||||
FRB Ser. 12-C4, Class D, 5.164%, 3/15/45(WAC) | 621,531 | 581,908 | ||||
FRB Ser. 12-C4, Class E, 5.164%, 3/15/45(WAC) | 392,000 | 281,260 | ||||
FRB Ser. 11-C3, Class G, 4.944%, 7/15/49(WAC) | 753,000 | 645,078 | ||||
Ser. 18-L1, Class D, 3.00%, 10/15/51 | 2,079,000 | 1,326,402 | ||||
Shelter Growth CRE Issuer, Ltd. 144A FRB Ser. 23-FL5, Class A, 8.07%, 5/19/38 (Bermuda) | 815,000 | 819,126 | ||||
UBS Commercial Mortgage Trust | ||||||
FRB Ser. 18-C11, Class C, 4.882%, 6/15/51(WAC) | 641,000 | 518,346 | ||||
FRB Ser. 17-C3, Class C, 4.386%, 8/15/50(WAC) | 1,552,000 | 1,280,707 | ||||
UBS Commercial Mortgage Trust 144A | ||||||
FRB Ser. 12-C1, Class E, 5.00%, 5/10/45(WAC) | 503,044 | 447,080 | ||||
FRB Ser. 18-C11, Class D, 3.00%, 6/15/51(WAC) | 2,527,000 | 1,405,865 | ||||
Wells Fargo Commercial Mortgage Trust | ||||||
FRB Ser. 16-NXS5, Class D, 4.977%, 1/15/59(WAC) | 371,000 | 225,194 | ||||
FRB Ser. 15-C31, Class C, 4.594%, 11/15/48(WAC) | 711,000 | 605,239 | ||||
FRB Ser. 15-SG1, Class B, 4.452%, 9/15/48(WAC) | 980,000 | 903,223 | ||||
FRB Ser. 15-C29, Class D, 4.218%, 6/15/48(WAC) | 1,670,000 | 1,430,796 | ||||
Ser. 15-C31, Class D, 3.852%, 11/15/48 | 1,322,000 | 1,017,939 | ||||
FRB Ser. 19-C52, Class XA, IO, 1.601%, 8/15/52(WAC) | 9,573,244 | 568,444 | ||||
FRB Ser. 21-C59, Class XA, IO, 1.519%, 4/15/54(WAC) | 23,724,261 | 1,725,634 | ||||
Wells Fargo Commercial Mortgage Trust 144A | ||||||
FRB Ser. 15-C31, Class E, 4.594%, 11/15/48(WAC) | 783,000 | 501,266 | ||||
FRB Ser. 15-C30, Class D, 4.498%, 9/15/58(WAC) | 1,040,000 | 863,814 | ||||
FRB Ser. 13-LC12, Class D, 3.956%, 7/15/46(WAC) | 381,000 | 98,421 | ||||
Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 777,000 | 15,369 | ||||
Ser. 17-RB1, Class D, 3.401%, 3/15/50 | 1,618,000 | 824,269 | ||||
Ser. 16-C33, Class D, 3.123%, 3/15/59 | 1,519,000 | 1,149,979 | ||||
Ser. 19-C50, Class D, 3.00%, 5/15/52 | 437,000 | 304,221 | ||||
Ser. 20-C55, Class D, 2.50%, 2/15/53 | 919,000 | 564,056 | ||||
WF-RBS Commercial Mortgage Trust | ||||||
Ser. 14-C19, Class B, 4.723%, 3/15/47(WAC) | 435,989 | 433,507 | ||||
Ser. 14-LC14, Class C, 4.344%, 3/15/47(WAC) | 161,779 | 160,565 | ||||
Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) | 816,000 | 749,027 | ||||
WF-RBS Commercial Mortgage Trust 144A | ||||||
Ser. 11-C4, Class E, 4.979%, 6/15/44(WAC) | 806,022 | 603,700 | ||||
FRB Ser. 12-C9, Class D, 4.876%, 11/15/45(WAC) | 15,337 | 14,945 | ||||
FRB Ser. 12-C10, Class D, 4.396%, 12/15/45(WAC) | 406,000 | 177,730 | ||||
FRB Ser. 13-C15, Class D, 4.188%, 8/15/46(WAC) | 1,324,000 | 524,635 | ||||
FRB Ser. 13-C11, Class D, 4.06%, 3/15/45(WAC) | 1,968,000 | 1,575,075 | ||||
105,921,129 | ||||||
Residential mortgage-backed securities (non-agency) (26.6%) | ||||||
A&D Mortgage Trust 144A | ||||||
Ser. 23-NQM5, Class A1, 7.049%, 11/25/68 | 1,995,953 | 2,017,058 | ||||
Ser. 24-NQM1, Class A1, 6.195%, 2/25/69 | 1,346,207 | 1,344,399 | ||||
Ser. 23-NQM2, Class A1, 6.132%, 5/25/68 | 1,381,770 | 1,377,732 | ||||
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.625%, 5/25/47 | 1,429,672 | 809,473 | ||||
Arroyo Mortgage Trust 144A Ser. 20-1, Class M1, 4.277%, 3/25/55 | 442,000 | 364,947 | ||||
Bear Stearns Alt-A Trust | ||||||
FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.935%, 1/25/36 | 90,630 | 82,651 | ||||
FRB Ser. 05-8, Class 21A1, 5.164%, 10/25/35(WAC) | 270,552 | 222,297 | ||||
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1, (CME Term SOFR 1 Month + 0.57%), 5.895%, 9/25/46 | 1,878,256 | 1,597,083 | ||||
BRAVO Residential Funding Trust 144A | ||||||
Ser. 23-NQM8, Class A1, 6.394%, 10/25/63 | 1,524,743 | 1,528,375 | ||||
Ser. 24-NQM2, Class A1, 6.285%, 2/25/64 (7.285%, 2/1/28)(STP) | 2,091,000 | 2,091,578 | ||||
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.615%, 11/25/47 | 793,237 | 582,463 | ||||
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.785%, 3/25/37 | 156,255 | 128,407 | ||||
Countrywide Alternative Loan Trust | ||||||
FRB Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 6.581%, 9/25/35 | 616,001 | 543,722 | ||||
FRB Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.815%, 8/25/46 | 189,343 | 169,644 | ||||
FRB Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.815%, 8/25/46 | 211,163 | 178,861 | ||||
FRB Ser. 06-OA19, Class A1, (CME Term SOFR 1 Month + 0.29%), 5.614%, 2/20/47 | 1,084,490 | 820,464 | ||||
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 06-OA5, Class 2A1, (CME Term SOFR 1 Month + 0.51%), 5.835%, 4/25/46 | 28,818 | 23,685 | ||||
Credit Suisse Mortgage Capital Certificates 144A FRB Ser. 20-SPT1, Class M1, 3.388%, 4/25/65(WAC) | 392,000 | 351,625 | ||||
CSMC Mortgaged-Backed Trust FRB Ser. 07-1, Class 1A3, 5.989%, 2/25/37(WAC) | 5,605,118 | 1,271,281 | ||||
CSMC Trust 144A FRB Ser. 20-RPL2, Class A12, 3.531%, 2/25/60(WAC) | 1,733,538 | 1,820,317 | ||||
Deutsche Alt-B Securities Mortgage Loan Trust Ser. 06-AB4, Class A4B, 6.50%, 10/25/36 | 2,069,175 | 1,701,664 | ||||
Federal Home Loan Mortgage Corporation | ||||||
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.936%, 5/25/28 | 248,197 | 267,700 | ||||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.436%, 7/25/28 | 245,708 | 273,063 | ||||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.786%, 4/25/28 | 294,273 | 321,569 | ||||
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (US 30 Day Average SOFR + 8.91%), 14.236%, 3/25/28 | 368,442 | 387,412 | ||||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 12.986%, 12/25/27 | 1,178,546 | 1,242,181 | ||||
Seasoned Credit Risk Transfer Trust Ser. 18-1, Class M, 4.75%, 5/25/57(WAC) | 797,424 | 762,379 | ||||
Federal Home Loan Mortgage Corporation 144A | ||||||
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.686%, 2/25/49 | 2,642,000 | 3,335,002 | ||||
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.436%, 10/25/48 | 1,728,000 | 2,192,186 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class B2, (US 30 Day Average SOFR + 11.00%), 16.322%, 3/25/42 | 2,600,000 | 2,970,500 | ||||
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.186%, 1/25/49 | 439,000 | 551,849 | ||||
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.936%, 3/25/49 | 755,000 | 912,150 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA3, Class B2, (US 30 Day Average SOFR + 9.46%), 14.786%, 6/25/50 | 750,000 | 951,326 | ||||
Structured Agency Credit Risk Trust FRB Ser. 19-FTR1, Class B2, (US 30 Day Average SOFR + 8.46%), 13.786%, 1/25/48 | 3,900,000 | 4,589,742 | ||||
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.186%, 9/25/48 | 1,318,000 | 1,534,787 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B2, (US 30 Day Average SOFR + 7.71%), 13.036%, 3/25/50 | 3,000,000 | 3,437,458 | ||||
Structured Agency Credit Risk Trust FRB Ser. 19-HQA3, Class B2, (US 30 Day Average SOFR + 7.61%), 12.936%, 9/25/49 | 1,000,000 | 1,126,380 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M2, (US 30 Day Average SOFR + 6.75%), 12.072%, 6/25/42 | 1,471,000 | 1,657,738 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class B2, (US 30 Day Average SOFR + 6.25%), 11.572%, 10/25/33 | 2,879,000 | 3,288,911 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (US 30 Day Average SOFR + 5.86%), 11.186%, 7/25/50 | 2,182,598 | 2,422,670 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.686%, 9/25/50 | 359,041 | 395,965 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA3, Class M2, (US 30 Day Average SOFR + 5.35%), 10.672%, 8/25/42 | 2,410,000 | 2,599,998 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 10.572%, 3/25/42 | 2,759,000 | 2,964,201 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class B2, (US 30 Day Average SOFR + 5.21%), 10.536%, 1/25/50 | 800,000 | 838,000 | ||||
Structured Agency Credit Risk Trust FRB Ser. 19-FTR3, Class FTR3, (US 30 Day Average SOFR + 4.91%), 10.259%, 9/25/47 | 800,000 | 833,250 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.122%, 10/25/50 | 2,476,000 | 2,793,238 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA1, Class B2, (US 30 Day Average SOFR + 4.75%), 10.072%, 1/25/51 | 1,100,000 | 1,141,250 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B1, (US 30 Day Average SOFR + 4.21%), 9.536%, 3/25/50 | 2,544,000 | 2,873,862 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1B, (US 30 Day Average SOFR + 4.00%), 9.322%, 7/25/42 | 800,000 | 850,216 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M2, (US 30 Day Average SOFR + 3.75%), 9.072%, 2/25/42 | 1,975,000 | 2,060,790 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M2, (US 30 Day Average SOFR + 2.50%), 7.822%, 1/25/42 | 3,097,000 | 3,128,930 | ||||
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) | 244,000 | 226,302 | ||||
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) | 400,000 | 378,386 | ||||
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) | 1,799,000 | 1,583,065 | ||||
Seasoned Credit Risk Transfer Trust FRB Ser. 20-1, Class M, 4.25%, 8/25/59(WAC) | 1,120,000 | 1,020,432 | ||||
Federal National Mortgage Association | ||||||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 18.186%, 10/25/28 | 814,915 | 955,650 | ||||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.186%, 10/25/28 | 110,821 | 128,315 | ||||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.186%, 8/25/28 | 26,550 | 30,532 | ||||
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2B, (US 30 Day Average SOFR + 9.61%), 14.936%, 5/25/29 | 597,193 | 670,730 | ||||
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.686%, 4/25/29 | 1,554,334 | 1,766,471 | ||||
Federal National Mortgage Association 144A | ||||||
Connecticut Avenue Securities Trust FRB Ser. 22-R06, Class 1B2, (US 30 Day Average SOFR + 10.60%), 15.922%, 5/25/42 | 500,000 | 583,123 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2B1, (US 30 Day Average SOFR + 6.75%), 12.071%, 9/25/42 | 500,000 | 556,719 | ||||
Connecticut Avenue Securities Trust FRB Ser. 23-R03, Class 2B1, (US 30 Day Average SOFR + 6.35%), 11.672%, 4/25/43 | 850,000 | 946,669 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1B1, (US 30 Day Average SOFR + 5.25%), 10.572%, 3/25/42 | 500,000 | 540,315 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M2, (US 30 Day Average SOFR + 4.75%), 10.071%, 9/25/42 | 1,000,000 | 1,091,343 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.822%, 4/25/42 | 2,540,000 | 2,675,477 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.822%, 1/25/42 | 2,146,000 | 2,255,983 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2B1, (US 30 Day Average SOFR + 4.46%), 9.786%, 7/25/31 | 862,000 | 927,189 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.536%, 9/25/31 | 1,215,636 | 1,290,752 | ||||
Connecticut Avenue Securities Trust FRB Ser. 23-R08, Class 1B1, (US 30 Day Average SOFR + 3.55%), 8.872%, 10/25/43 | 1,500,000 | 1,551,563 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.322%, 1/25/42 | 2,727,000 | 2,796,879 | ||||
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M2, (US 30 Day Average SOFR + 2.00%), 7.322%, 11/25/41 | 3,100,000 | 3,122,723 | ||||
GSAA Home Equity Trust | ||||||
Ser. 07-2, Class AF4A, 6.483%, 3/25/37 | 1,183,681 | 333,397 | ||||
FRB Ser. 06-8, Class 2A2, (CME Term SOFR 1 Month + 0.47%), 5.795%, 5/25/36 | 74,820 | 17,257 | ||||
FRB Ser. 06-1, Class A1, (CME Term SOFR 1 Month + 0.29%), 5.615%, 1/25/36 | 1,032,919 | 304,711 | ||||
FRB Ser. 06-17, Class A1, (CME Term SOFR 1 Month + 0.23%), 5.555%, 11/25/36 | 8,550,224 | 2,000,776 | ||||
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.745%, 5/25/37 | 302,308 | 166,385 | ||||
Home Re, Ltd. 144A FRB Ser. 22-1, Class B1, (US 30 Day Average SOFR + 9.00%), 14.322%, 10/25/34 (Bermuda) | 900,000 | 1,034,006 | ||||
Imperial Fund Mortgage Trust 144A Ser. 22-NQM4, Class A3, 5.04%, 6/25/67 | 1,237,488 | 1,185,749 | ||||
IndyMac INDX Mortgage Loan Trust FRB Ser. 06-AR11, Class 2A1, 3.693%, 6/25/36(WAC) | 22,598 | 19,229 | ||||
Lehman XS Trust FRB Ser. 06-17, Class 1A4A, (CME Term SOFR 1 Month + 0.45%), 5.775%, 8/25/46 | 3,133,040 | 2,813,023 | ||||
LHOME Mortgage Trust 144A | ||||||
Ser. 23-RTL4, Class A1, 7.628%, 11/25/28 | 1,045,000 | 1,045,469 | ||||
Ser. 21-RTL3, Class A1, 2.363%, 9/25/26 | 701,420 | 689,767 | ||||
Merrill Lynch Mortgage Investors Trust FRB Ser. 06-HE3, Class A4, (CME Term SOFR 1 Month + 0.61%), 5.935%, 6/25/37 | 783,489 | 191,831 | ||||
MFA Trust 144A Ser. 23-NQM3, Class A1, 6.617%, 7/25/68 | 676,778 | 680,667 | ||||
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 2.905%, 2/26/37 | 368,223 | 310,668 | ||||
Oaktown Re III, Ltd. 144A | ||||||
FRB Ser. 19-1A, Class B1B, (US 30 Day Average SOFR + 4.46%), 9.786%, 7/25/29 (Bermuda) | 191,000 | 191,139 | ||||
FRB Ser. 19-1A, Class B1A, (US 30 Day Average SOFR + 3.61%), 8.936%, 7/25/29 (Bermuda) | 159,000 | 159,116 | ||||
Saluda Grade Alternative Mortgage Trust 144A Ser. 24-RTL4, Class A1, 7.50%, 2/25/30 (8.5%, 7/1/26)(STP) | 1,023,000 | 1,020,057 | ||||
Structured Asset Mortgage Investments II Trust | ||||||
FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.29%), 5.795%, 1/25/37 | 24,656 | 21,231 | ||||
FRB Ser. 06-AR7, Class A1BG, (CME Term SOFR 1 Month + 0.23%), 5.555%, 8/25/36 | 149,336 | 127,818 | ||||
Toorak Mortgage Corp., Ltd. 144A Ser. 21-1, Class A2, 5.105%, 6/25/24 | 2,120,000 | 2,036,438 | ||||
Unlock Hea Trust 144A Ser. 23-1, Class A, 7.00%, 10/25/38 | 738,999 | 710,684 | ||||
Verus Securitization Trust 144A FRB Ser. 23-INV3, Class A1, 6.876%, 11/25/68(WAC) | 938,628 | 957,972 | ||||
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C4, (CME Term SOFR 1 Month + 0.97%), 6.295%, 10/25/45 | 37,747 | 35,552 | ||||
112,883,989 | ||||||
Total mortgage-backed securities (cost $374,705,548) | $361,108,878 |
ASSET-BACKED SECURITIES (1.4%)(a) | ||||||
Principal amount | Value | |||||
Mello Warehouse Securitization Trust 144A | ||||||
FRB Ser. 21-3, Class F, (CME Term SOFR 1 Month + 5.26%), 10.585%, 10/22/24 | $425,000 | $423,451 | ||||
FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.685%, 10/22/24 | 2,010,000 | 2,002,613 | ||||
FRB Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.435%, 10/22/24 | 1,200,000 | 1,196,626 | ||||
NewRez Warehouse Securitization Trust 144A | ||||||
FRB Ser. 21-1, Class F, (CME Term SOFR 1 Month + 5.36%), 10.685%, 5/7/24 | 1,083,333 | 1,083,285 | ||||
FRB Ser. 21-1, Class D, (CME Term SOFR 1 Month + 1.51%), 6.835%, 5/25/24 | 1,031,333 | 1,030,900 | ||||
Total asset-backed securities (cost $5,711,044) | $5,736,875 |
SHORT-TERM INVESTMENTS (12.4%)(a) | ||||||
Principal amount/ shares | Value | |||||
Putnam Short Term Investment Fund Class P 5.51%(AFF) | Shares | 38,356,254 | $38,356,254 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.28%(P) | Shares | 1,698,000 | 1,698,000 | |||
U.S. Treasury Bills 5.368%, 3/21/24(SEG)(SEGSF) | $1,300,000 | 1,296,179 | ||||
U.S. Treasury Bills 5.358%, 4/25/24(SEGSF)(SEGTBA) | 1,800,000 | 1,785,465 | ||||
U.S. Treasury Bills 5.390%, 5/23/24(SEG)(SEGSF)(SEGTBA) | 9,700,000 | 9,582,802 | ||||
Total short-term investments (cost $52,719,220) | $52,718,700 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $843,682,610) | $826,505,271 |
FUTURES CONTRACTS OUTSTANDING at 2/29/24 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized depreciation | ||
U.S. Treasury Note 2 yr (Short) | 2,134 | $436,936,500 | $436,936,500 | Jun-24 | $(243,600) | |
U.S. Treasury Note 5 yr (Short) | 462 | 49,390,688 | 49,390,688 | Jun-24 | (77,516) | |
U.S. Treasury Note Ultra 10 yr (Short) | 1,364 | 155,730,438 | 155,730,438 | Jun-24 | (419,757) | |
Unrealized appreciation | — | |||||
Unrealized (depreciation) | (740,873) | |||||
Total | $(740,873) |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 2/29/24 (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. | ||||||
(4.225)/US SOFR/Nov-36 (Purchased) | Nov-26/4.225 | $24,866,200 | $(1,273,149) | $(261,592) | ||
3.725/US SOFR/Nov-36 (Purchased) | Nov-26/3.725 | 24,866,200 | (1,215,957) | 175,307 | ||
Citibank, N.A. | ||||||
3.355/US SOFR/Jul-29 (Purchased) | Jul-24/3.355 | 188,174,700 | (1,900,564) | (843,023) | ||
(3.855)/US SOFR/Jul-29 (Purchased) | Jul-24/3.855 | 188,174,700 | (1,848,816) | 647,321 | ||
Mizuho Capital Markets LLC | ||||||
3.5475/US SOFR/Aug-36 (Purchased) | Aug-26/3.5475 | 9,023,700 | (451,636) | (24,635) | ||
(4.0475)/US SOFR/Aug-36 (Purchased) | Aug-26/4.0475 | 9,023,700 | (469,232) | (81,394) | ||
Unrealized appreciation | 822,628 | |||||
Unrealized (depreciation) | (1,210,644) | |||||
Total | $(388,016) |
TBA SALE COMMITMENTS OUTSTANDING at 2/29/24 (proceeds receivable $215,395,234) (Unaudited) | |||||
Agency | Principal amount | Settlement date | Value | ||
Government National Mortgage Association, 3.50%, 3/1/54 | $1,000,000 | 3/20/24 | $904,435 | ||
Uniform Mortgage-Backed Securities, 6.00%, 3/1/54 | 76,000,000 | 3/13/24 | 76,332,500 | ||
Uniform Mortgage-Backed Securities, 5.50%, 3/1/54 | 67,000,000 | 3/13/24 | 66,282,893 | ||
Uniform Mortgage-Backed Securities, 5.00%, 3/1/54 | 49,000,000 | 3/13/24 | 47,522,346 | ||
Uniform Mortgage-Backed Securities, 4.50%, 3/1/54 | 16,000,000 | 3/13/24 | 15,141,250 | ||
Uniform Mortgage-Backed Securities, 4.00%, 3/1/54 | 6,000,000 | 3/13/24 | 5,521,640 | ||
Uniform Mortgage-Backed Securities, 3.50%, 3/1/54 | 4,000,000 | 3/13/24 | 3,558,281 | ||
Total | $215,263,345 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/29/24 (Unaudited) | |||||||||||
Notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |||||
$408,837,000 | $703,200 | (E) | $2,369,401 | 3/20/26 | 4.40% — Annually | US SOFR — Annually | $3,072,601 | ||||
8,578,000 | 46,407 | (E) | 32,936 | 3/20/29 | 4.10% — Annually | US SOFR — Annually | (13,471) | ||||
29,321,000 | 133,704 | (E) | 163,933 | 3/20/34 | US SOFR — Annually | 3.80% — Annually | 30,229 | ||||
12,595,000 | 284,773 | (E) | 388,767 | 3/20/54 | US SOFR — Annually | 3.50% — Annually | 103,994 | ||||
3,878,000 | 1,823 | (E) | (33,951) | 3/20/34 | US SOFR — Annually | 3.85% — Annually | (35,774) | ||||
4,064,000 | 55,555 | (E) | 69,663 | 3/20/54 | 3.55% — Annually | US SOFR — Annually | 125,218 | ||||
Total | $2,990,749 | $3,282,797 | |||||||||
(E) | Extended effective date. |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 2/29/24 (Unaudited) | |||||||||||
Swap counterparty/ referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | ||||
Barclays Bank PLC | |||||||||||
CMBX NA BBB-.7 Index | BB/P | $34 | $3,185 | $496 | 1/17/47 | 300 bp — Monthly | $(461) | ||||
Citigroup Global Markets, Inc. | |||||||||||
CMBX NA BB.13 Index | BB-/P | 2,024,057 | 4,734,000 | 1,599,619 | 12/16/72 | 500 bp — Monthly | 427,726 | ||||
CMBX NA BB.6 Index | B+/P | 647,506 | 2,092,756 | 551,232 | 5/11/63 | 500 bp — Monthly | 97,728 | ||||
CMBX NA BB.7 Index | B-/P | 351,309 | 936,901 | 270,858 | 1/17/47 | 500 bp — Monthly | 81,104 | ||||
CMBX NA BB.9 Index | B/P | 273,850 | 651,000 | 237,485 | 9/17/58 | 500 bp — Monthly | 36,817 | ||||
CMBX NA BBB-.13 Index | BBB-/P | 72,438 | 253,000 | 56,925 | 12/16/72 | 300 bp — Monthly | 15,618 | ||||
CMBX NA BBB-.15 Index | BBB-/P | 37,959 | 165,000 | 25,905 | 11/18/64 | 300 bp — Monthly | 12,123 | ||||
CMBX NA BBB-.16 Index | BBB-/P | 276,187 | 1,215,000 | 191,727 | 4/17/65 | 300 bp — Monthly | 84,966 | ||||
Credit Suisse International | |||||||||||
CMBX NA A.7 Index | A-/P | 110 | 901 | 146 | 1/17/47 | 200 bp — Monthly | (35) | ||||
CMBX NA BB.7 Index | B-/P | 44,810 | 265,310 | 76,701 | 1/17/47 | 500 bp — Monthly | (31,706) | ||||
CMBX NA BBB-.7 Index | BB/P | 1,379 | 11,149 | 1,735 | 1/17/47 | 300 bp — Monthly | (351) | ||||
Goldman Sachs International | |||||||||||
CMBX NA BB.14 Index | BB-/P | 30,981 | 199,000 | 64,178 | 12/16/72 | 500 bp — Monthly | (33,059) | ||||
CMBX NA BB.14 Index | BB-/P | 39,633 | 314,000 | 101,265 | 12/16/72 | 500 bp — Monthly | (61,414) | ||||
CMBX NA BB.6 Index | B+/P | 107,112 | 346,732 | 91,329 | 5/11/63 | 500 bp — Monthly | 16,023 | ||||
CMBX NA BB.9 Index | B/P | 171,648 | 429,000 | 156,499 | 9/17/58 | 500 bp — Monthly | 15,447 | ||||
CMBX NA BBB-.16 Index | BBB-/P | 23,410 | 114,000 | 17,989 | 4/17/65 | 300 bp — Monthly | 5,469 | ||||
CMBX NA BBB-.7 Index | BB/P | 43,515 | 189,536 | 29,492 | 1/17/47 | 300 bp — Monthly | 14,107 | ||||
JPMorgan Securities LLC | |||||||||||
CMBX NA BB.10 Index | B-/P | 23,189 | 289,000 | 113,433 | 5/11/63 | 500 bp — Monthly | (90,043) | ||||
CMBX NA BB.6 Index | B+/P | 974,000 | 1,063,237 | 280,057 | 5/11/63 | 500 bp — Monthly | 694,685 | ||||
CMBX NA BBB-.7 Index | BB/P | 21,129 | 47,782 | 7,435 | 1/17/47 | 300 bp — Monthly | 13,715 | ||||
CMBX NA BBB-.8 Index | BB-/P | 19,336 | 124,000 | 13,479 | 10/17/57 | 300 bp — Monthly | 5,909 | ||||
Merrill Lynch International | |||||||||||
CMBX NA BB.6 Index | B+/P | 22,364 | 112,393 | 29,604 | 5/11/63 | 500 bp — Monthly | (7,163) | ||||
CMBX NA BB.7 Index | B-/P | 16,216 | 106,124 | 30,680 | 1/17/47 | 500 bp — Monthly | (14,390) | ||||
CMBX NA BB.7 Index | B-/P | 27,163 | 227,295 | 65,711 | 1/17/47 | 500 bp — Monthly | (38,390) | ||||
Morgan Stanley & Co. International PLC | |||||||||||
CMBX NA BB.11 Index | B+/P | 2,116 | 25,000 | 7,610 | 11/18/54 | 500 bp — Monthly | (5,477) | ||||
CMBX NA BB.13 Index | BB-/P | 830,316 | 1,841,000 | 622,074 | 12/16/72 | 500 bp — Monthly | 209,521 | ||||
CMBX NA BB.14 Index | BB-/P | 8,932 | 73,000 | 23,543 | 12/16/72 | 500 bp — Monthly | (14,560) | ||||
CMBX NA BB.15 Index | BB/P | 284,725 | 1,766,000 | 460,220 | 11/18/64 | 500 bp — Monthly | (174,269) | ||||
CMBX NA BBB-.16 Index | BBB-/P | 25,914 | 114,000 | 17,989 | 4/17/65 | 300 bp — Monthly | 7,972 | ||||
Upfront premium received | 6,401,338 | Unrealized appreciation | 1,738,930 | ||||||||
Upfront premium (paid) | — | Unrealized (depreciation) | (471,318) | ||||||||
Total | $6,401,338 | Total | $1,267,612 | ||||||||
* | 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 February 29, 2024. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications. |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 2/29/24 (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 | $(22) | $901 | $146 | 1/17/47 | (200 bp) — Monthly | $123 | |||||
CMBX NA BB.10 Index | (374,502) | 807,000 | 316,748 | 11/17/59 | (500 bp) — Monthly | (58,314) | |||||
CMBX NA BB.11 Index | (10,042) | 25,000 | 7,610 | 11/18/54 | (500 bp) — Monthly | (2,449) | |||||
CMBX NA BB.8 Index | (249,406) | 553,959 | 199,259 | 10/17/57 | (500 bp) — Monthly | (50,532) | |||||
CMBX NA BBB-.12 Index | (290,603) | 1,024,000 | 212,480 | 8/17/61 | (300 bp) — Monthly | (78,549) | |||||
CMBX NA BBB-.7 Index | (60,818) | 251,652 | 39,157 | 1/17/47 | (300 bp) — Monthly | (21,772) | |||||
CMBX NA BBB-.8 Index | (344,624) | 1,784,000 | 193,921 | 10/17/57 | (300 bp) — Monthly | (151,447) | |||||
CMBX NA BBB-.9 Index | (946) | 4,000 | 592 | 9/17/58 | (300 bp) — Monthly | (356) | |||||
Credit Suisse International | |||||||||||
CMBX NA BB.10 Index | (50,421) | 424,000 | 166,420 | 11/17/59 | (500 bp) — Monthly | 115,705 | |||||
CMBX NA BB.10 Index | (27,719) | 223,000 | 87,528 | 11/17/59 | (500 bp) — Monthly | 59,654 | |||||
Goldman Sachs International | |||||||||||
CMBX NA BB.10 Index | (571,088) | 1,268,000 | 497,690 | 11/17/59 | (500 bp) — Monthly | (74,279) | |||||
CMBX NA BBB-.12 Index | (1,275,086) | 4,835,000 | 1,003,263 | 8/17/61 | (300 bp) — Monthly | (273,838) | |||||
CMBX NA BBB-.13 Index | (66,827) | 251,000 | 56,475 | 12/16/72 | (300 bp) — Monthly | (10,457) | |||||
JPMorgan Securities LLC | |||||||||||
CMBX NA BB.7 Index | (1,047,373) | 1,694,024 | 489,742 | 1/17/47 | (500 bp) — Monthly | (558,813) | |||||
CMBX NA BBB-.8 Index | (10,823) | 78,000 | 8,479 | 10/17/57 | (300 bp) — Monthly | (2,376) | |||||
Merrill Lynch International | |||||||||||
CMBX NA BB.10 Index | (19,061) | 335,000 | 131,488 | 11/17/59 | (500 bp) — Monthly | 112,194 | |||||
Morgan Stanley & Co. International PLC | |||||||||||
CMBX NA BB.10 Index | (170,371) | 359,000 | 140,908 | 11/17/59 | (500 bp) — Monthly | (29,713) | |||||
CMBX NA BB.7 Index | (157,231) | 411,824 | 119,058 | 1/17/47 | (500 bp) — Monthly | (38,460) | |||||
CMBX NA BB.8 Index | (143,186) | 313,526 | 112,775 | 10/17/57 | (500 bp) — Monthly | (30,628) | |||||
CMBX NA BB.9 Index | (457,405) | 1,080,000 | 393,984 | 9/17/58 | (500 bp) — Monthly | (64,171) | |||||
CMBX NA BBB-.12 Index | (403,340) | 1,268,000 | 263,110 | 8/17/61 | (300 bp) — Monthly | (140,758) | |||||
CMBX NA BBB-.13 Index | (636) | 2,000 | 450 | 12/16/72 | (300 bp) — Monthly | (187) | |||||
CMBX NA BBB-.8 Index | (781,830) | 3,798,000 | 412,843 | 10/17/57 | (300 bp) — Monthly | (370,570) | |||||
Upfront premium received | — | Unrealized appreciation | 287,676 | ||||||||
Upfront premium (paid) | (6,513,360) | Unrealized (depreciation) | (1,957,669) | ||||||||
Total | $(6,513,360) | Total | $(1,669,993) | ||||||||
* | Payments related to the referenced debt are made upon a credit default event. | ||||||||||
** | Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. |
Key to holding's abbreviations | ||||||
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. | |||||
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | |||||
IO | Interest Only | |||||
OTC | Over-the-counter | |||||
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 June 1, 2023 through February 29, 2024 (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 Franklin Resources, Inc., 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 $424,158,237. | |||||
(NON) | This security is non-income-producing. | |||||
(STP) | The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate. | |||||
(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 5/31/23 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 2/29/24 | |
Short-term investments | ||||||
Putnam Short Term Investment Fund Class P‡ | $20,223,800 | $249,336,967 | $231,204,513 | $1,012,645 | $38,356,254 | |
Total Short-term investments | $20,223,800 | $249,336,967 | $231,204,513 | $1,012,645 | $38,356,254 | |
‡ 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 $7,718,219. | |||||
(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 $3,082,250. | |||||
(SEGTBA) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,215,945. | |||||
(P) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | |||||
(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. | ||||||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, 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. | ||||||
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 for hedging duration and convexity, for isolating prepayment risk and for managing 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. | ||||||
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 and for yield curve positioning. | ||||||
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | ||||||
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | ||||||
At the close of the reporting period, the fund has deposited cash valued at $7,023,246 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts. | ||||||
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for hedging 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 $2,348,068 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,082,250 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 | $— | $5,736,875 | $— | |
Mortgage-backed securities | — | 361,108,878 | — | |
U.S. government and agency mortgage obligations | — | 406,940,818 | — | |
Short-term investments | 1,698,000 | 51,020,700 | — | |
Totals by level | $1,698,000 | $824,807,271 | $— | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Futures contracts | $(740,873) | $— | $— | |
Forward premium swap option contracts | — | (388,016) | — | |
TBA sale commitments | — | (215,263,345) | — | |
Interest rate swap contracts | — | 292,048 | — | |
Credit default contracts | — | (290,359) | — | |
Totals by level | $(740,873) | $(215,649,672) | $— | |
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) | $205,500,000 | |||
Futures contracts (number of contracts) | 4,000 | |||
Centrally cleared interest rate swap contracts (notional) | $760,400,000 | |||
OTC credit default contracts (notional) | $47,300,000 | |||
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 |