Putnam AMT-Free Municipal Fund | ||||||
The fund's portfolio | ||||||
10/31/19 (Unaudited) | ||||||
Key to holding's abbreviations | ||||||
ABAG — Association Of Bay Area Governments | ||||||
AGM — Assured Guaranty Municipal Corporation | ||||||
AMBAC — AMBAC Indemnity Corporation | ||||||
BAM — Build America Mutual | ||||||
COP — Certificates of Participation | ||||||
FHLMC Coll. — Federal Home Loan Mortgage Corporation Collateralized | ||||||
FNMA Coll. — Federal National Mortgage Association Collateralized | ||||||
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. | ||||||
G.O. Bonds — General Obligation Bonds | ||||||
NATL — National Public Finance Guarantee Corporation | ||||||
PSFG — Permanent School Fund Guaranteed | ||||||
U.S. Govt. Coll. — U.S. Government Collateralized | ||||||
VRDN — Variable Rate Demand Notes, which are floating-rate securities with long-term maturities that carry coupons that reset and are payable upon demand either daily, weekly or monthly. The rate shown is the current interest rate at the close of the reporting period. Rates are set by remarketing agents and may take into consideration market supply and demand, credit quality and the current SIFMA Municipal Swap Index rate, which was 1.12% as of the close of the reporting period. |
MUNICIPAL BONDS AND NOTES (100.7%)(a) | ||||||
Rating(RAT) | Principal amount | Value | ||||
Alabama (0.5%) | ||||||
Jefferson, Cnty. Rev. Bonds, (Warrants) | ||||||
5.00%, 9/15/34 | AA | $1,075,000 | $1,288,828 | |||
5.00%, 9/15/33 | AA | 125,000 | 150,175 | |||
1,439,003 | ||||||
Alaska (1.1%) | ||||||
AK State Indl. Dev. & Export Auth. Rev. Bonds, (Tanana Chiefs Conference), Ser. A | ||||||
4.00%, 10/1/39 | A+/F | 2,445,000 | 2,684,366 | |||
4.00%, 10/1/38 | A+/F | 555,000 | 610,950 | |||
3,295,316 | ||||||
Arizona (3.8%) | ||||||
AZ State Indl. Dev. Auth. Rev. Bonds, (Equitable School Revolving Fund), Ser. A | ||||||
5.00%, 11/1/38 | A | 1,110,000 | 1,342,279 | |||
5.00%, 11/1/36 | A | 1,235,000 | 1,503,069 | |||
5.00%, 11/1/34 | A | 1,000,000 | 1,223,890 | |||
El Mirage, G.O. Bonds, AGM, 5.00%, 7/1/42 | AA | 750,000 | 809,490 | |||
Glendale, Indl. Dev. Auth. Rev. Bonds, (Midwestern U.), 5.125%, 5/15/40 | A | 2,125,000 | 2,163,378 | |||
Glendale, Indl. Dev. Auth. Sr. Living Fac. Rev. Bonds, (Royal Oaks Life Care Cmnty.) | ||||||
4.00%, 5/15/31 | A/F | 1,000,000 | 1,099,370 | |||
4.00%, 5/15/29 | A/F | 1,000,000 | 1,105,720 | |||
Maricopa Cnty., Indl. Dev. Auth. Ed. Rev. Bonds | ||||||
(Great Hearts Academies), Ser. C, 5.00%, 7/1/37 | AA- | 315,000 | 373,710 | |||
(Greathearts, AZ), Ser. A, 5.00%, 7/1/37 | AA- | 750,000 | 889,785 | |||
Salt Verde, Fin. Corp. Gas Rev. Bonds, 5.50%, 12/1/29 | A3 | 1,000,000 | 1,299,600 | |||
11,810,291 | ||||||
California (2.2%) | ||||||
ABAG Fin. Auth. for Nonprofit Corps. Rev. Bonds, (Episcopal Sr. Cmntys.), 6.125%, 7/1/41 | A-/F | 500,000 | 534,270 | |||
CA Statewide Cmnty. Dev. Auth. Rev. Bonds | ||||||
(Sr. Living - Presbyterian Homes), 6.625%, 11/15/24 | A-/F | 2,000,000 | 2,003,400 | |||
AGM, 5.00%, 11/15/44 | AA | 500,000 | 573,505 | |||
Chula Vista, Muni. Fin. Auth. Special Tax Bonds, 5.50%, 9/1/30 | AA- | 775,000 | 883,957 | |||
M-S-R Energy Auth. Rev. Bonds, Ser. A, 6.50%, 11/1/39 | BBB+ | 750,000 | 1,175,558 | |||
Merced, City School Dist. G.O. Bonds, (Election of 2003), NATL, zero %, 8/1/24 | AA- | 1,125,000 | 1,051,526 | |||
Sacramento, Regl. Trans. Dist. Rev. Bonds, (Farebox), 5.00%, 3/1/27 | A3 | 315,000 | 324,264 | |||
Yucaipa Special Tax Bonds, (Cmnty. Fac. Dist. No. 98-1 Chapman Heights), 5.375%, 9/1/30 | A | 375,000 | 399,105 | |||
6,945,585 | ||||||
Colorado (2.1%) | ||||||
CO Hlth. Facs. Auth. Rev Bond (Commonspirit Health) , Ser A1, 4.00% 8/1/37(T) | Aa2 | 150,000 | 163,708 | |||
CO Hlth. Facs. Auth. Rev Bond (Commonspirit Health) , Ser A1, 4.00% 8/1/38(T) | Aa2 | 225,000 | 244,533 | |||
CO Hlth. Facs. Auth. Rev Bond (Commonspirit Health) , Ser A1, 4.00% 8/1/39(T) | Aa2 | 225,000 | 244,631 | |||
CO Hlth. Facs. Auth. Rev Bond (Commonspirit Health) , Ser A1, 4.00% 8/1/44(T) | Aa2 | 750,000 | 812,701 | |||
CO Hlth. Facs. Auth. Rev Bond (Commonspirit Health) , Ser A1, 4.00% 8/1/49(T) | Aa2 | 1,500,000 | 1,606,648 | |||
E-470 CO Pub. Hwy. Auth. FRN Mandatory Put Bonds (9/1/21), (Sr. Libor Index), Ser. B, 2.247%, 9/1/39 | A2 | 1,000,000 | 1,009,010 | |||
E-470 CO Pub. Hwy. Auth. Rev. Bonds, Ser. A, NATL, zero %, 9/1/34 | A2 | 3,525,000 | 2,361,045 | |||
6,442,275 | ||||||
Connecticut (0.5%) | ||||||
CT State Hlth. & Edl. Fac. Auth. Rev. Bonds, (Masonicare Issue), Ser. F | ||||||
5.00%, 7/1/34 | BBB+/F | 1,250,000 | 1,397,738 | |||
5.00%, 7/1/33 | BBB+/F | 250,000 | 280,060 | |||
1,677,798 | ||||||
Delaware (1.0%) | ||||||
DE State Hlth. Fac. Auth. VRDN, (Christiana Care), Ser. A, 1.35%, 10/1/38 | VMIG 1 | 3,140,000 | 3,140,000 | |||
3,140,000 | ||||||
District of Columbia (1.2%) | ||||||
DC Rev. Bonds, (Kipp DC), Ser. A, 5.00%, 7/1/37 | BBB+ | 1,250,000 | 1,480,475 | |||
Metro. Washington, Arpt. Auth. Dulles Toll Rd. Rev. Bonds, (Dulles Metrorail), 5.00%, 10/1/53 | Baa1 | 2,000,000 | 2,136,860 | |||
3,617,335 | ||||||
Florida (3.8%) | ||||||
Double Branch Cmnty. Dev. Dist. Special Assmt. Bonds, Ser. A-1, 4.25%, 5/1/34 | A | 360,000 | 380,315 | |||
Halifax Hosp. Med. Ctr. Rev. Bonds, 5.00%, 6/1/36 | A- | 1,375,000 | 1,596,911 | |||
Lakeland, Hosp. Syst. Rev. Bonds, (Lakeland Regl. Hlth.), 5.00%, 11/15/45 | A2 | 2,000,000 | 2,248,260 | |||
Miami-Dade Cnty., School Dist. G.O. Bonds, Ser. A, 5.00%, 3/15/44 | Aa2 | 1,750,000 | 1,974,613 | |||
Orange Cnty., Hlth. Fac. Auth. Rev. Bonds, (Presbyterian Retirement Cmntys.), 5.00%, 8/1/34 | A-/F | 1,000,000 | 1,110,670 | |||
Orlando Cmnty. Redev. Agcy. Tax Alloc. Bonds, (Republic Drive/Universal), 5.00%, 4/1/23 | A-/F | 1,630,000 | 1,753,212 | |||
Palm Beach Cnty., Hlth. Fac. Auth. Rev. Bonds, (Acts Retirement-Life Cmnty., Inc.), 5.00%, 11/15/32 | A-/F | 2,000,000 | 2,347,880 | |||
Southeast Overtown Park West Cmnty. Redev. Agcy. 144A Tax Alloc. Bonds, Ser. A-1, 5.00%, 3/1/30 | BBB+ | 240,000 | 268,930 | |||
11,680,791 | ||||||
Georgia (4.7%) | ||||||
Atlanta, Tax Alloc. Bonds, (Atlantic Station), 5.00%, 12/1/21 | A3 | 1,250,000 | 1,339,038 | |||
Fulton Cnty., Dev. Auth. Rev. Bonds, (GA Tech Athletic Assn.), Ser. A, 5.00%, 10/1/42 | A2 | 900,000 | 977,220 | |||
Gainesville & Hall Cnty., Dev. Auth. Edl. Fac. Rev. Bonds, (Riverside Military Academy) | ||||||
5.00%, 3/1/47 | BBB-/F | 1,000,000 | 1,100,960 | |||
5.00%, 3/1/37 | BBB-/F | 200,000 | 222,914 | |||
Gainesville & Hall Cnty., Hosp. Auth. Rev. Bonds, (Northeast GA Hlth. Syst., Inc.), Ser. A, 5.00%, 2/15/37 | A | 3,000,000 | 3,516,270 | |||
Main St. Natural Gas, Inc. Gas Supply Mandatory Put Bonds (9/1/23), Ser. A, 4.00%, 4/1/48 | Aa2 | 2,305,000 | 2,492,650 | |||
Main Street Natural Gas, Inc. Mandatory Put Bonds (12/2/24), Ser. B, 4.00%, 8/1/49 | Aa1 | 1,700,000 | 1,908,182 | |||
Muni. Election Auth. of GA Rev. Bonds | ||||||
(Plant Voltage Units 3 & 4), Ser. A, 5.50%, 7/1/60 | A | 1,500,000 | 1,687,995 | |||
(Plant Vogtle Units 3 & 4), Ser. A, 5.00%, 1/1/63 | A2 | 500,000 | 571,055 | |||
(Plant Vogtle Units 3 & 4), Ser. A, 4.00%, 1/1/59 | A2 | 750,000 | 800,640 | |||
14,616,924 | ||||||
Guam (0.1%) | ||||||
Territory of GU, Pwr. Auth. Rev. Bonds, Ser. A, AGM, 5.00%, 10/1/30 | AA | 200,000 | 218,860 | |||
218,860 | ||||||
Hawaii (0.1%) | ||||||
HI State Dept. Budget & Fin. Rev. Bonds, (Kahala Nui), 5.25%, 11/15/37 | A/F | 250,000 | 276,593 | |||
276,593 | ||||||
Idaho (1.2%) | ||||||
ID State Hlth. Fac. Auth. Rev. Bonds, (St. Luke's Hlth. Sys. Oblig. Group), Ser. A, 5.00%, 3/1/37 | A3 | 500,000 | 595,355 | |||
ID State Hsg. & Fin. Assn. Rev. Bonds, (Garvee), 4.00%, 7/15/30 | A2 | 3,000,000 | 3,146,640 | |||
3,741,995 | ||||||
Illinois (13.7%) | ||||||
Chicago, G.O. Bonds | ||||||
Ser. A, 6.00%, 1/1/38 | BBB+ | 1,600,000 | 1,899,840 | |||
Ser. B-2, 5.50%, 1/1/37 | BBB+ | 1,000,000 | 1,123,940 | |||
Chicago, Board of Ed. G.O. Bonds, (School Reform), Ser. B-1, NATL, zero %, 12/1/21 | Baa2 | 1,000,000 | 951,540 | |||
Chicago, Motor Fuel Tax Rev. Bonds, AGM, 5.00%, 1/1/31 | AA | 500,000 | 552,455 | |||
Chicago, O'Hare Intl. Arpt. Rev. Bonds, Ser. F, 5.00%, 1/1/40 | A2 | 1,045,000 | 1,050,748 | |||
Chicago, Waste Wtr. Transmission Rev. Bonds | ||||||
5.00%, 1/1/44 | A | 500,000 | 545,220 | |||
Ser. C, 5.00%, 1/1/39 | A | 750,000 | 833,123 | |||
(2nd Lien), 5.00%, 1/1/39 | A | 565,000 | 616,839 | |||
Ser. C, 5.00%, 1/1/34 | A | 400,000 | 448,936 | |||
Ser. C, 5.00%, 1/1/33 | A | 405,000 | 455,593 | |||
Chicago, Wtr. Wks Rev. Bonds, 5.00%, 11/1/39 | A | 675,000 | 751,019 | |||
IL Fin. Auth. Rev. Bonds, (American Wtr. Cap. Corp.), 5.25%, 10/1/39 | A | 1,575,000 | 1,578,197 | |||
IL State G.O. Bonds | ||||||
5.00%, 11/1/41 | Baa3 | 600,000 | 661,434 | |||
5.00%, 1/1/41 | Baa3 | 340,000 | 371,596 | |||
5.00%, 11/1/34 | Baa3 | 1,900,000 | 2,121,901 | |||
Ser. B, 5.00%, 10/1/31 | Baa3 | 1,000,000 | 1,150,580 | |||
Ser. C, 5.00%, 11/1/29 | Baa3 | 2,225,000 | 2,524,485 | |||
Ser. D, 5.00%, 11/1/26 | Baa3 | 3,000,000 | 3,411,120 | |||
5.00%, 8/1/21 | Baa3 | 1,000,000 | 1,050,720 | |||
IL State Fin. Auth. Mandatory Put Bonds (9/1/22), (Field Museum of Natural History), 1.881%, 11/1/34 | A2 | 2,475,000 | 2,478,242 | |||
IL State Fin. Auth. Rev. Bonds | ||||||
(Art Institute of Chicago (The)), 5.00%, 3/1/30 | Aa3 | 1,500,000 | 1,779,660 | |||
(Riverside Hlth.Syst.), 4.00%, 11/15/32 | A+ | 400,000 | 433,472 | |||
IL State Fin. Auth. Academic Fac. Rev. Bonds, (U. of Illinois at Urbana-Champaign), Ser. A | ||||||
5.00%, 10/1/49 | A1 | 1,250,000 | 1,503,113 | |||
5.00%, 10/1/38 | A1 | 700,000 | 857,136 | |||
IL State Fin. Auth. Student Hsg. & Academic Fac. Rev. Bonds, (U. of IL-CHF-Chicago, LLC), Ser. A, 5.00%, 2/15/47 | Baa3 | 500,000 | 562,680 | |||
IL State Toll Hwy. Auth. Rev. Bonds, Ser. A, 5.00%, 12/1/32 | AA- | 2,000,000 | 2,345,100 | |||
Metro. Pier & Exposition Auth. Rev. Bonds, (McCormick Place Expansion), Ser. B, 5.00%, 12/15/33 | BBB | 300,000 | 339,291 | |||
Metro. Pier & Exposition Auth. Dedicated State Tax Rev. Bonds, (McCormick), Ser. A, NATL, zero %, 12/15/22 | A | 5,500,000 | 5,160,870 | |||
Metro. Wtr. Reclamation Dist. of Greater Chicago G.O. Bonds, Ser. A, 5.00%, 12/1/31 | AA+ | 1,000,000 | 1,192,400 | |||
Railsplitter Tobacco Settlement Auth. Rev. Bonds, 5.00%, 6/1/24 | A | 1,000,000 | 1,152,990 | |||
Sales Tax Securitization Corp. Rev. Bonds, Ser. C, 5.50%, 1/1/36 | AA- | 2,000,000 | 2,433,560 | |||
42,337,800 | ||||||
Indiana (0.7%) | ||||||
IN State Fin. Auth. Rev. Bonds, (BHI Sr. Living), 5.75%, 11/15/41 | BBB/F | 1,000,000 | 1,064,430 | |||
IN State Fin. Auth. Econ. Dev. Mandatory Put Bonds (12/2/19), (Republic Services, Inc.), Ser. B, 1.30%, 5/1/28 | BBB+ | 1,000,000 | 1,000,260 | |||
2,064,690 | ||||||
Kansas (0.5%) | ||||||
KS State Dev. Fin. Auth. Rev. Bonds, (Lifespace Cmnty's. Inc.), Ser. S, 5.00%, 5/15/30 | BBB/F | 1,455,000 | 1,475,923 | |||
1,475,923 | ||||||
Kentucky (5.9%) | ||||||
KY Pub. Trans. Infrastructure Auth. Rev. Bonds, (1st Tier Downtown Crossing), Ser. A, 6.00%, 7/1/53 | Baa3 | 500,000 | 565,850 | |||
KY State Econ. Dev. Fin. Auth. Rev. Bonds, (Louisville Arena Auth., Inc.), Ser. A, AGM, 4.00%, 12/1/41 | AA | 1,000,000 | 1,091,660 | |||
KY State Econ. Dev. Fin. Auth. Solid Waste Disp. Mandatory Put Bonds (12/2/19), (Republic Services, Inc.), Ser. B, 1.30%, 4/1/31 | BBB+ | 1,000,000 | 1,000,260 | |||
KY State Property & Bldg. Comm. Rev. Bonds | ||||||
(No. 119), 5.00%, 5/1/35 | A1 | 1,000,000 | 1,197,230 | |||
(No. 122), Ser. A, 4.00%, 11/1/37 | A1 | 1,250,000 | 1,382,513 | |||
(No. 122), Ser. A, 4.00%, 11/1/35 | A1 | 500,000 | 556,805 | |||
KY State Pub. Energy Auth. Gas Supply Mandatory Put Bonds (6/1/25)(1/1/25) | ||||||
Mandatory Put Bonds (6/1/25) Ser. C-1, 4.00%, 12/1/49 | A3 | 3,150,000 | 3,496,563 | |||
Mandatory Put Bonds (1/1/25) Ser. B, 4.00%, 1/1/49 | A1 | 2,800,000 | 3,098,480 | |||
Louisville & Jefferson Cnty., Metro. Govt. Env. Fac. Mandatory Put Bonds (6/1/21), (Louisville Gas & Elec. Co.), Ser. B, 1.65%, 6/1/33 | A1 | 1,750,000 | 1,760,605 | |||
Louisville & Jefferson Cnty., Metro. Govt. Hlth. Syst. Rev. Bonds, (Norton Healthcare, Inc.), Ser. A, 5.00%, 10/1/30 | A | 2,750,000 | 3,294,610 | |||
Owen Cnty., Wtr. Wks. Syst. Rev. Bonds, (American Wtr. Co.), Ser. A, 6.25%, 6/1/39 | A | 800,000 | 802,864 | |||
18,247,440 | ||||||
Louisiana (2.7%) | ||||||
LA State Pub. Fac. Auth. Rev. Bonds, (LA State U. Greenhouse Phase III), Ser. A, 5.00%, 7/1/59 | A3 | 2,000,000 | 2,324,200 | |||
St. John The Baptist Parish Mandatory Put Bonds (7/1/26), (Marathon Oil Corp.), Ser. A-3, 2.20%, 6/1/37 | BBB | 2,000,000 | 2,006,900 | |||
St. Tammany Parish Hosp. Svcs. Dist. No. 1 Rev. Bonds, (St. Tammany Parish Hosp.), Ser. A | ||||||
5.00%, 7/1/38 | A+/F | 1,500,000 | 1,794,420 | |||
5.00%, 7/1/34 | A+/F | 1,000,000 | 1,215,560 | |||
Tobacco Settlement Fin. Corp. Rev. Bonds, Ser. A, 5.00%, 5/15/23 | A | 800,000 | 893,000 | |||
8,234,080 | ||||||
Maryland (0.3%) | ||||||
Gaithersburg, Econ. Dev. Rev. Bonds, (Asbury, Oblig. Group), Ser. A, 5.00%, 1/1/36 | BBB/F | 300,000 | 339,198 | |||
MD State Hlth. & Higher Edl. Fac. Auth. Rev. Bonds, (Meritus Med. Ctr.), 5.00%, 7/1/40 | BBB | 500,000 | 573,165 | |||
912,363 | ||||||
Massachusetts (2.4%) | ||||||
MA State G.O. Bonds, Ser. E, 4.00%, 4/1/46 | Aa1 | 2,275,000 | 2,462,710 | |||
MA State Dept. Trans. Rev. Bonds, (Metro Hwy. Syst.), Ser. B, 5.00%, 1/1/37 | A+ | 1,000,000 | 1,006,090 | |||
MA State Dev. Fin. Agcy. Rev. Bonds | ||||||
(Suffolk U.), 5.125%, 7/1/40 | Baa2 | 500,000 | 510,810 | |||
(Franklin W. Olin College of Engineering), Ser. E, 5.00%, 11/1/43 | A+ | 2,200,000 | 2,457,972 | |||
MA State Edl. Fin. Auth. Rev. Bonds, Ser. A, 5.50%, 1/1/22 | AA | 1,000,000 | 1,007,360 | |||
MA State Hsg. Fin. Agcy. Rev. Bonds, Ser. 162, FNMA Coll., FHLMC Coll., 2.75%, 12/1/41 | Aa1 | 110,000 | 110,707 | |||
7,555,649 | ||||||
Michigan (7.5%) | ||||||
Detroit, Downtown Dev. Auth. Tax Alloc. Bonds, Ser. A, AGM, 5.00%, 7/1/43 | AA | 3,000,000 | 3,336,840 | |||
Detroit, Wtr. Supply Syst. Rev. Bonds, Ser. B, AGM, 6.25%, 7/1/36 | AA | 5,000 | 5,018 | |||
Great Lakes, Wtr. Auth. Swr. Rev. Bonds, (Brazos Presbyterian Homes, Inc.), Ser. C, 5.00%, 7/1/36 | A | 2,500,000 | 2,937,975 | |||
Karegnondi, Wtr. Auth. Rev. Bonds | ||||||
(Wtr. Supply Syst.), Ser. A, 5.25%, 11/1/27 | A2 | 1,000,000 | 1,129,280 | |||
5.00%, 11/1/41 | A | 2,200,000 | 2,572,658 | |||
Kentwood, Economic Dev. Rev. Bonds, (Holland Home Oblig. Group), 5.00%, 11/15/37 | BBB-/F | 1,000,000 | 1,111,340 | |||
MI State Bldg. Auth. Rev. Bonds, Ser. I, 4.00%, 10/15/49 | Aa2 | 3,000,000 | 3,332,130 | |||
MI State Fin. Auth. Rev. Bonds | ||||||
Ser. H-1, 5.00%, 10/1/39 (Prerefunded 10/1/24) | AA- | 525,000 | 599,907 | |||
(Pub. Ltg. Auth.), Ser. B, 5.00%, 7/1/39 | BB+ | 2,000,000 | 2,212,920 | |||
(Local Govt. Loan Program - Detroit Wtr. & Swr. Dept. (DWSD)), Ser. C, 5.00%, 7/1/35 | A | 400,000 | 463,344 | |||
(Local Govt. Loan Program - Detroit Wtr. & Swr. Dept. (DWSD)), Ser. D-2, 5.00%, 7/1/34 | A+ | 200,000 | 232,104 | |||
(Detroit Wtr. & Swr.), Ser. C-6, 5.00%, 7/1/33 | A+ | 140,000 | 159,096 | |||
(Detroit), Ser. C-3, 5.00%, 4/1/28 | Aa2 | 700,000 | 835,128 | |||
MI State Strategic Fund Ltd. Oblig. Rev. Bonds, (Detroit Edison Co.), AMBAC, 7.00%, 5/1/21 | Aa3 | 4,000,000 | 4,322,680 | |||
23,250,420 | ||||||
Minnesota (0.5%) | ||||||
MN State Higher Ed. Fac. Auth. Rev. Bonds, (Carleton College) | ||||||
4.00%, 3/1/37 | Aa2 | 130,000 | 146,212 | |||
4.00%, 3/1/36 | Aa2 | 400,000 | 451,096 | |||
Rochester, Hlth. Care Fac. VRDN, (Mayo Clinic), Ser. B, 1.09%, 11/15/38 | VMIG 1 | 1,050,000 | 1,050,000 | |||
1,647,308 | ||||||
Mississippi (1.6%) | ||||||
MS State Bus. Fin. Commission Gulf Opportunity Zone VRDN, (Chevron USA, Inc.), Ser. C, 1.26%, 12/1/30 | VMIG 1 | 1,500,000 | 1,500,000 | |||
MS State Bus. Fin. Corp. Rev. Bonds, (System Energy Resources, Inc.), 2.50%, 4/1/22 | BBB+ | 3,500,000 | 3,513,125 | |||
5,013,125 | ||||||
Nebraska (1.2%) | ||||||
Central Plains, Energy Mandatory Put Bonds (1/1/24), (No. 4), 5.00%, 3/1/50 | A3 | 2,500,000 | 2,786,000 | |||
Central Plains, Energy Rev. Bonds, (NE Gas No. 3), 5.00%, 9/1/32 (Prerefunded 9/1/22) | A3 | 1,000,000 | 1,085,710 | |||
3,871,710 | ||||||
Nevada (0.1%) | ||||||
Clark Cnty., Impt. Dist. Special Assmt. Bonds, (Mountains Edge Local No. 142), 5.00%, 8/1/20 | A | 365,000 | 373,121 | |||
373,121 | ||||||
New Hampshire (0.9%) | ||||||
NH State Hlth. & Ed. Fac. Auth. Rev. Bonds | ||||||
(Catholic Med. Ctr.), 5.00%, 7/1/44 | A- | 500,000 | 580,040 | |||
(Southern NH Med. Ctr.), 5.00%, 10/1/37 | A- | 2,000,000 | 2,322,020 | |||
2,902,060 | ||||||
New Jersey (3.4%) | ||||||
NJ State Econ. Dev. Auth. Rev. Bonds | ||||||
Ser. AAA, 5.00%, 6/15/36 | Baa1 | 350,000 | 399,854 | |||
Ser. B, 5.00%, 11/1/26 | Baa1 | 3,000,000 | 3,546,720 | |||
NJ State Trans. Trust Fund Auth. Rev. Bonds | ||||||
(Trans. Syst.), Ser. B, 5.25%, 6/15/36 | Baa1 | 1,000,000 | 1,050,540 | |||
Ser. A, 5.00%, 12/15/35 | Baa1 | 680,000 | 791,799 | |||
Ser. A, 5.00%, 12/15/34 | Baa1 | 2,150,000 | 2,508,857 | |||
(Federal Hwy. Reimbursement Notes), 5.00%, 6/15/28 | A+ | 750,000 | 883,890 | |||
Tobacco Settlement Fin. Corp. Rev. Bonds, Ser. A, 5.00%, 6/1/34 | A- | 1,250,000 | 1,497,000 | |||
10,678,660 | ||||||
New Mexico (0.3%) | ||||||
Sante Fe, Retirement Fac. Rev. Bonds, (El Castillo Retirement Res.), 5.00%, 5/15/42 | BB+/F | 980,000 | 1,008,822 | |||
1,008,822 | ||||||
New York (2.1%) | ||||||
Hudson Yards Infrastructure Corp. Rev. Bonds, Ser. A, FHLMC Coll., U.S. Govt. Coll., 5.75%, 2/15/47 (Prerefunded 2/15/21) | Aa2 | 15,000 | 15,882 | |||
Metro. Trans. Auth. Rev. Bonds | ||||||
Ser. D-1, 5.00%, 11/15/39 | A1 | 500,000 | 571,130 | |||
(Green Bonds), Ser. C-1, 4.00%, 11/15/32 | A1 | 2,600,000 | 2,973,984 | |||
Metro. Trans. Auth. Dedicated Tax Mandatory Put Bonds (6/1/22), Ser. A-2A, 1.57%, 11/1/26 | AA | 1,850,000 | 1,847,484 | |||
MTA Hudson Rail Yards Trust Oblig. Rev. Bonds, Ser. A, 5.00%, 11/15/46 | A2 | 1,010,000 | 1,011,677 | |||
6,420,157 | ||||||
Ohio (4.1%) | ||||||
Buckeye, Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A-2 | ||||||
5.75%, 6/1/34 | Ca | 500,000 | 500,630 | |||
5.375%, 6/1/24 | Ca | 945,000 | 946,040 | |||
Cuyahoga Cnty., Econ. Dev. Rev. Bonds | ||||||
5.00%, 1/1/38 | A | 1,380,000 | 1,700,795 | |||
5.00%, 1/1/36 | A | 425,000 | 527,506 | |||
Franklin Cnty., Hlth. Care Fac. Rev. Bonds, (Friendship Village of Dublin Oblig. Group), 5.00%, 11/15/34 | BBB+/F | 700,000 | 783,678 | |||
Lucas Cnty., Hlth. Care Fac. Rev. Bonds, (Sunset Retirement Cmntys.), 5.50%, 8/15/30 | A-/F | 650,000 | 687,167 | |||
OH State Rev. Bonds, (Northeast OH Regl. Swr. Dist.), 5.00%, 11/15/44 | Aa1 | 1,015,000 | 1,163,170 | |||
OH State Higher Edl. Fac. Comm. Rev. Bonds, (Kenyon College 2020), 4.00%, 7/1/44 | A | 1,875,000 | 2,024,850 | |||
OH State Hosp. Fac. Rev. Bonds, (Cleveland Clinic Hlth. Syst.), Ser. A, 4.00%, 1/1/34 | Aa2 | 1,250,000 | 1,424,238 | |||
OH State Tpk. Comm. Rev. Bonds, 5.00%, 2/15/48 | Aa3 | 1,250,000 | 1,376,113 | |||
Ohio State Solid Waste Mandatory Put Bonds (12/2/19), (Republic Services, Inc.), 1.30%, 11/1/35 | BBB+ | 500,000 | 500,425 | |||
Scioto Cnty., Hosp. Rev. Bonds, (Southern OH Med. Ctr.), 5.00%, 2/15/33 | A3 | 500,000 | 579,365 | |||
Warren Cnty., Hlth. Care Fac. Rev. Bonds, (Otterbein Homes Oblig. Group), Ser. A, 5.75%, 7/1/33 | A | 500,000 | 568,960 | |||
12,782,937 | ||||||
Oregon (0.1%) | ||||||
Keizer, Special Assmt. Bonds, (Keizer Station), Ser. A, 5.20%, 6/1/31 | Aa3 | 275,000 | 275,781 | |||
275,781 | ||||||
Pennsylvania (5.3%) | ||||||
Allegheny Cnty., Hosp. Dev. Auth. Rev. Bonds, (Allegheny Hlth. Network Oblig. Group), Ser. A, 5.00%, 4/1/32 | A | 2,200,000 | 2,674,584 | |||
Dallas, Area Muni. Auth. U. Rev. Bonds, (Misericordia U.), 5.00%, 5/1/29 | Baa3 | 300,000 | 331,404 | |||
Lackawanna Cnty., Indl. Dev. Auth. Rev. Bonds, (Scranton U.), 4.00%, 11/1/40 | A- | 500,000 | 534,455 | |||
PA State COP, Ser. A, 5.00%, 7/1/30 | A2 | 200,000 | 246,968 | |||
PA State Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds, (Waste Management, Inc.), Ser. A, 2.15%, 11/1/21 | A- | 2,250,000 | 2,275,493 | |||
PA State Higher Edl. Fac. Auth. Rev. Bonds, (East Stroudsburg U.), 5.00%, 7/1/31 | Baa3 | 760,000 | 773,878 | |||
PA State Pub. School Bldg. Auth. Rev. Bonds, (Northampton Cnty. Area Cmnty. College Foundation), BAM, 5.00%, 6/15/33 | AA | 1,885,000 | 2,042,699 | |||
PA State Tpk. Comm. Rev. Bonds | ||||||
Ser. A, 5.00%, 12/1/44 | A3 | 700,000 | 845,929 | |||
Ser. B-1, 5.00%, 6/1/42 | A3 | 675,000 | 791,849 | |||
Ser. 2nd, 5.00%, 12/1/35 | A3 | 1,000,000 | 1,202,050 | |||
PA State Tpk. Comm. Oil Franchise Tax Rev. Bonds, Ser. B, 5.00%, 12/1/26 | A2 | 500,000 | 611,005 | |||
Philadelphia, School Dist. G.O. Bonds, Ser. A, 4.00%, 9/1/39 | A2 | 1,620,000 | 1,790,294 | |||
Pittsburgh & Allegheny Cnty., Sports & Exhib. Auth. Hotel Rev. Bonds, AGM, 5.00%, 2/1/35 | AA | 1,225,000 | 1,255,025 | |||
Wilkes-Barre, Area School Dist. G.O. Bonds, BAM, 5.00%, 4/15/59 | AA | 1,000,000 | 1,186,320 | |||
16,561,953 | ||||||
Rhode Island (0.7%) | ||||||
RI Hlth. & Edl. Bldg. Corp. Rev. Bonds, (Lifespan Oblig. Group-Hosp. Fin.) | ||||||
5.00%, 5/15/33 | BBB+ | 365,000 | 424,670 | |||
5.00%, 5/15/26 | BBB+ | 580,000 | 692,555 | |||
Tobacco Settlement Fin. Corp. Rev. Bonds, Ser. B, 5.00%, 6/1/50 | BBB-/P | 1,000,000 | 1,068,560 | |||
2,185,785 | ||||||
South Carolina (2.1%) | ||||||
Lexington Cnty., Hlth. Svcs. Dist. Rev. Bonds, (LexMed Oblig. Group), 5.00%, 11/1/29 | A1 | 500,000 | 612,075 | |||
Myrtle Beach, Tax Allocation Bonds, (Myrtle Beach Air Force Base Redev.), 5.00%, 10/1/28 | A2 | 575,000 | 688,655 | |||
SC State Jobs Econ. Dev. Auth. Hosp. VRDN (Prisma Hlth. Oblig. Group), Ser. B, 1.20%, 5/1/48 | VMIG 1 | 500,000 | 500,000 | |||
SC State Pub. Svcs. Auth. Rev. Bonds | ||||||
Ser. A, 5.50%, 12/1/54 | A2 | 1,000,000 | 1,135,240 | |||
Ser. A, 5.00%, 12/1/55 | A2 | 545,000 | 615,681 | |||
(Santee Cooper), Ser. B, 5.00%, 12/1/38 | A2 | 595,000 | 664,472 | |||
(Oblig.), Ser. B, 5.00%, 12/1/37 | A2 | 500,000 | 591,295 | |||
Ser. A, 5.00%, 12/1/36 | A2 | 1,500,000 | 1,761,105 | |||
6,568,523 | ||||||
Tennessee (0.4%) | ||||||
Chatanooga, Hlth. Ed. & Hsg. Fac. Rev Bonds (Commonspirit Health), Ser A1, 4.00%, 8/1/37(T) | Aa2 | 150,000 | 166,354 | |||
Chatanooga, Hlth. Ed. & Hsg. Fac. Rev Bonds (Commonspirit Health), Ser A1, 4.00%, 8/1/38(T) | Aa2 | 150,000 | 166,453 | |||
Chatanooga, Hlth. Ed. & Hsg. Fac. Rev Bonds (Commonspirit Health), Ser A2, 5.00%, 8/1/44(T) | Aa2 | 150,000 | 172,939 | |||
Chatanooga, Hlth. Ed. & Hsg. Fac. Rev Bonds (Commonspirit Health), Ser A1, 4.00%, 8/1/44(T) | Aa2 | 275,000 | 301,150 | |||
Chatanooga, Hlth. Ed. & Hsg. Fac. Rev Bonds (Commonspirit Health), Ser A2 5.00%, 8/1/49(T) | Aa2 | 250,000 | 285,464 | |||
1,092,360 | ||||||
Texas (12.8%) | ||||||
Arlington, Higher Ed. Fin. Corp. Rev. Bonds, (Uplift Ed.), Ser. A, PSFG | ||||||
5.00%, 12/1/37 | AAA | 725,000 | 869,333 | |||
4.00%, 12/1/32 | AAA | 375,000 | 425,021 | |||
4.00%, 12/1/29 | AAA | 500,000 | 576,695 | |||
Austin-Bergstrom Landhost Enterprises, Inc. Rev. Bonds | ||||||
5.00%, 10/1/36 | A3 | 600,000 | 717,504 | |||
5.00%, 10/1/33 | A3 | 400,000 | 481,804 | |||
Bexar Cnty., G.O. Bonds, 4.00%, 6/15/33 | Aaa | 500,000 | 562,880 | |||
Central TX Regl. Mobility Auth. Rev. Bonds | ||||||
5.00%, 1/1/37 | A- | 1,590,000 | 1,893,118 | |||
(Sr. Lien), Ser. A, 5.00%, 1/1/33 | A- | 300,000 | 327,894 | |||
Clifton, Higher Ed. Fin. Corp. Rev. Bonds, (IDEA Pub. Schools) | ||||||
Ser. B, 5.00%, 8/15/27 | A- | 350,000 | 418,429 | |||
PSFG, 4.00%, 8/15/32 | AAA | 2,070,000 | 2,423,018 | |||
PSFG, 4.00%, 8/15/30 | AAA | 1,000,000 | 1,157,060 | |||
PSFG, 4.00%, 8/15/29 | AAA | 1,500,000 | 1,746,690 | |||
Dallas, Area Rapid Transit Rev. Bonds, Ser. A, 5.00%, 12/1/46 | AA+ | 6,000,000 | 7,006,980 | |||
Dallas, Area Rapid Transit Sales Tax Rev. Bonds, Ser. A, 5.00%, 12/1/41 | AA+ | 1,160,000 | 1,361,944 | |||
Fort Bend Indpt. School Dist. Mandatory Put Bonds (8/1/21), Ser. D, PSFG, 1.50%, 8/1/42 | AAA | 2,390,000 | 2,397,361 | |||
Fort Bend, Mandatory Put Bonds (8/1/22), (Indpt. School Dist.), PSFG, 1.95%, 8/1/49 | AAA | 1,500,000 | 1,521,855 | |||
Harris Cnty., Cultural Ed. Fac. Fin. Corp. Rev. Bonds, (YMCA of the Greater Houston Area), Ser. A, 5.00%, 6/1/38 | Baa2 | 500,000 | 534,610 | |||
Leander, Indpt. School Dist. G.O. Bonds, Ser. A, PSFG, 5.00%, 8/15/40 | AAA | 2,000,000 | 2,334,720 | |||
Montgomery Cnty., Toll Road Auth. Rev. Bonds | ||||||
5.00%, 9/15/32 | BBB- | 685,000 | 779,092 | |||
5.00%, 9/15/31 | BBB- | 525,000 | 599,099 | |||
New Hope, Cultural Ed. Fac. Fin. Corp. Rev. Bonds | ||||||
(TX Woman's U. CHF-Collegiate Hsg. Dining), Ser. B-1, AGM, 5.00%, 7/1/38 | AA | 860,000 | 1,005,847 | |||
(Tarleton State U. Collegiate Student Hsg.), Ser. A, 5.00%, 4/1/35 | Baa3 | 800,000 | 877,904 | |||
(Collegiate Hsg.-Tarleton St.), 5.00%, 4/1/29 | Baa3 | 500,000 | 547,170 | |||
(Children's Hlth. Syst. of TX), Ser. A, 4.00%, 8/15/34 | Aa2 | 400,000 | 448,172 | |||
North TX, Thruway Auth. Rev. Bonds, Ser. B, AGM, 4.00%, 1/1/36 | AA | 1,000,000 | 1,112,120 | |||
SA Energy Acquisition Pub. Fac. Corp. Rev. Bonds, (Gas Supply), 5.50%, 8/1/25 | A3 | 1,000,000 | 1,191,460 | |||
Tarrant Cnty., Cultural Ed. Fac. Fin. Corp. Retirement Fac. Rev. Bonds, (Buckner Retirement Svcs., Inc.), 5.00%, 11/15/37 | A/F | 1,250,000 | 1,449,700 | |||
TX Private Activity Surface Trans. Corp. Rev. Bonds, (LBJ Infrastructure), 7.00%, 6/30/40 | Baa3 | 500,000 | 518,725 | |||
TX State Muni. Gas Acquisition & Supply Corp. III Rev. Bonds, 5.00%, 12/15/28 | A3 | 1,000,000 | 1,091,280 | |||
TX State Muni. Pwr. Agcy. Rev. Bonds, (Syst. Net/Transmission Converting Security) | ||||||
5.00%, 9/1/36 | A+ | 400,000 | 411,640 | |||
5.00%, 9/1/35 | A+ | 400,000 | 411,728 | |||
TX State Trans. Comm. Tpk. Syst. Rev. Bonds, (1st Tier), Ser. A, 5.00%, 8/15/41 | A3 | 2,150,000 | 2,313,938 | |||
39,514,791 | ||||||
Utah (1.2%) | ||||||
Murray City, Hosp. VRDN, (IHC Hlth. Svcs., Inc.), Ser. A, 1.35%, 5/15/37 | VMIG 1 | 3,000,000 | 3,000,000 | |||
UT State Charter School Fin. Auth. Rev. Bonds, (UT Charter Academies, Inc.), 5.00%, 10/15/30 | AA | 575,000 | 695,175 | |||
3,695,175 | ||||||
Virginia (3.2%) | ||||||
Fairfax Cnty., Econ. Dev. Auth. Res. Care Fac. Rev. Bonds, (Goodwin House, Inc.), Ser. A, 5.00%, 10/1/36 | BBB+/F | 350,000 | 392,914 | |||
Federal Home Loan Mortgage Corp. Rev. Bonds, Ser. M-053, Class A, 2.55%, 6/15/35 | AA+ | 4,000,000 | 4,097,200 | |||
VA Cmnwlth. Trans. Board Rev. Bonds | ||||||
(Cap. Projects), 4.00%, 5/15/34 | Aa1 | 325,000 | 344,169 | |||
4.00%, 5/15/33 | Aa1 | 3,000,000 | 3,458,119 | |||
VA State Cmnwlth. U. Hlth. Syst. Auth. Rev. Bonds, Ser. B, 4.00%, 7/1/35 | Aa3 | 1,500,000 | 1,683,300 | |||
9,975,702 | ||||||
Washington (3.2%) | ||||||
Central Puget Sound Regl. Trans. Auth. Rev. Bonds, (Green Bond), Ser. S-1, 5.00%, 11/1/45 | AAA | 3,120,000 | 3,644,722 | |||
Grant Cnty., Pub. Util. Dist. No. 2 Mandatory Put Bonds (12/2/20), (Elec. Syst.), 2.00%, 1/1/44 | AA+ | 1,500,000 | 1,505,745 | |||
King Cnty., Public Hosp. Dist. No. 1 G.O. Bonds, (Valley Med. Ctr.), 5.00%, 12/1/37 | A2 | 1,500,000 | 1,820,550 | |||
WA State G.O. Bonds, Ser. D, 4.00%, 2/1/34 | Aaa | 1,595,000 | 1,697,590 | |||
WA State Hlth. Care Fac. Auth. Mandatory Put Bonds (7/1/22), (Fred Hutchinson Cancer Research Ctr.), Ser. B, 2.296%, 1/1/42 | A+ | 1,100,000 | 1,108,261 | |||
9,776,868 | ||||||
West Virginia (0.2%) | ||||||
WV State Econ. Dev. Auth. Solid Waste Disp. Fac. FRB, (Appalachian Pwr. Co.), Ser. A, 5.375%, 12/1/38 | A- | 500,000 | 518,385 | |||
518,385 | ||||||
Wisconsin (1.3%) | ||||||
Pub. Fin. Auth. Student Hsg. Fac. Rev. Bonds, (Beyond Boone, LLC-Appalachian State U.), Ser. A, AGM | ||||||
5.00%, 7/1/54 | AA | 1,475,000 | 1,716,841 | |||
5.00%, 7/1/44 | AA | 1,000,000 | 1,174,470 | |||
WI State Hlth. & Edl. Fac. Auth. Rev. Bonds, (Three Pillars Sr. Living), 5.00%, 8/15/33 | A/F | 1,000,000 | 1,096,140 | |||
3,987,451 | ||||||
Total municipal bonds and notes (cost $296,402,670) | $311,831,805 |
SHORT-TERM INVESTMENTS (0.1%)(a) | ||||||
Principal amount | Value | |||||
U.S. Treasury Bills 1.907%, 12/12/19(SEGSF) | $139,000 | $138,767 | ||||
U.S. Treasury Bills 1.908%, 1/2/20(SEGSF) | 110,000 | 109,707 | ||||
U.S. Treasury Bills 1.977%, 11/14/19(SEG) | 43,000 | 42,977 | ||||
U.S. Treasury Bills 1.957%, 12/5/19(SEG)(SEGSF) | 25,000 | 24,965 | ||||
U.S. Treasury Bills 1.686%, 2/20/20(SEG) | 23,000 | 22,893 | ||||
Total short-term investments (cost $339,159) | $339,309 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $296,741,829) | $312,171,114 |
FUTURES CONTRACTS OUTSTANDING at 10/31/19 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
U.S. Treasury Bond Ultra 30 yr (Short) | 5 | $948,750 | $948,750 | Dec-19 | $22,958 | |
U.S. Treasury Note Ultra 10 yr (Short) | 26 | 3,694,844 | 3,694,844 | Dec-19 | 57,144 | |
Unrealized appreciation | 80,102 | |||||
Unrealized (depreciation) | — | |||||
Total | $80,102 |
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/19 (Unaudited) | |||||||||||
Swap counterparty/ notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |||||
Citibank, N.A. | |||||||||||
$1,225,000 | $13,515 | (E) | $— | 1/2/50 | 1.46 % — Quarterly | SIFMA Municipal Swap index — Quarterly | $13,515 | ||||
6,750,000 | 62,222 | (E) | — | 10/18/31 | 1.404% — Quarterly | SIFMA Municipal Swap index — Quarterly | (62,222) | ||||
12,500,000 | 47,838 | (E) | — | 10/18/26 | SIFMA Municipal Swap index — Quarterly | 1.182% — Quarterly | 47,838 | ||||
23,860,000 | 65,114 | (E) | — | 10/20/26 | SIFMA Municipal Swap index — Quarterly | 1.159% — Quarterly | 65,114 | ||||
7,025,000 | 77,844 | (E) | — | 10/21/41 | 1.559% — Quarterly | SIFMA Municipal Swap index — Quarterly | (77,844) | ||||
Upfront premium received | — | Unrealized appreciation | 126,467 | ||||||||
Upfront premium (paid) | — | Unrealized (depreciation) | (140,066) | ||||||||
Total | $— | Total | $(13,599) | ||||||||
(E) | Extended effective date. |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/19 (Unaudited) | |||||||||||
Swap counterparty/ notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation) | |||||
Citibank, N.A. | |||||||||||
$2,255,000 | $55,766 | $— | 12/10/19 | — | 1.495% minus Municipal Market Data Index AAA municipal yields 15 Year rate — At maturity | $(55,766) | |||||
495,000 | 119 | — | 1/24/20 | — | 1.52% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | (119) | |||||
990,000 | 208 | — | 1/23/20 | — | 1.52% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | (208) | |||||
3,300,000 | 6,006 | — | 1/22/20 | — | 1.54% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | 6,006 | |||||
925,000 | 1,739 | — | 11/12/19 | — | 2.06% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (1,739) | |||||
1,500,000 | 4,800 | — | 1/2/20 | — | 2.08% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (4,800) | |||||
1,350,000 | 14,175 | — | 12/4/19 | — | 2.135% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | 14,175 | |||||
925,000 | 15,466 | — | 11/7/19 | — | 2.15% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | 15,466 | |||||
500,000 | 4,445 | — | 1/22/20 | — | 2.15% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | 4,445 | |||||
750,000 | 79,208 | — | 6/2/20 | — | 2.7% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (79,208) | |||||
1,505,000 | 161,637 | — | 6/4/20 | — | 2.71% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (161,637) | |||||
Goldman Sachs International | |||||||||||
990,000 | 40 | — | 1/15/20 | — | 1.52% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | 40 | |||||
Morgan Stanley & Co. International PLC | |||||||||||
495,000 | 74 | — | 1/21/20 | — | 1.52% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | (74) | |||||
495,000 | 74 | — | 1/21/20 | — | 1.52% minus Municipal Market Data Index AAA municipal yields 10 Year rate — At maturity | (74) | |||||
950,000 | 96,387 | — | 6/4/20 | — | 2.68% minus Municipal Market Data Index AAA municipal yields 30 Year rate — At maturity | (96,387) | |||||
Upfront premium received | — | Unrealized appreciation | 40,132 | ||||||||
Upfront premium (paid) | — | Unrealized (depreciation) | (400,012) | ||||||||
Total | $— | Total | $(359,880) |
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, 2019 through October 31, 2019 (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 820Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
(a) | Percentages indicated are based on net assets of $309,781,911. | |||||
(RAT) | The Moody's, Standard & Poor's or Fitch ratings indicated are believed to be the most recent ratings available at the close of the reporting period for the securities listed. Ratings are generally ascribed to securities at the time of issuance. While the agencies may from time to time revise such ratings, they undertake no obligation to do so, and the ratings do not necessarily represent what the agencies would ascribe to these securities at the close of the reporting period. 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. If a security is insured, it will usually be rated by the ratings organizations based on the financial strength of the insurer. For further details regarding security ratings, please see the Statement of Additional Information. | |||||
(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 $70,868. | |||||
(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 $263,404. | |||||
(T) | Underlying security in a tender option bond transaction. This security has been segregated as collateral for financing transactions. | |||||
At the close of the reporting period, the fund maintained liquid assets totaling $10,959,510 to cover certain derivative contracts, tender option bonds, securities sold short, delayed delivery securities and the settlement of certain securities. | ||||||
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. | ||||||
On Mandatory Put Bonds, the rates shown are the current interest rates at the close of the reporting period and the dates shown represent the next mandatory put dates. Rates are set by remarketing agents and may take into consideration market supply and demand, credit quality and the current SIFMA Municipal Swap Index, 1 Month US LIBOR or 3 Month US LIBOR rates, which were 1.12%, 1.78% and 1.90%, respectively, as of the close of the reporting period. | ||||||
The dates shown parenthetically on prerefunded bonds represent the next prerefunding dates. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
The fund had the following sector concentrations greater than 10% at the close of the reporting period (as a percentage of net assets): | ||||||
Healthcare | 20.0% | |||||
Education | 12.9 | |||||
Utilities | 11.4 | |||||
State debt | 11.3 | |||||
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. | ||||||
Tax-exempt bonds and notes are generally valued on the basis of valuations provided by an independent pricing service approved by the Trustees. Such services use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2. | ||||||
Certain investments, including certain restricted and illiquid securities and derivatives are also valued at fair value following procedures approved by the Trustees. 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. 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. 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. | ||||||
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 yield curve positioning. | ||||||
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | ||||||
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | ||||||
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, and for hedging inflation. | ||||||
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts 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, is 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. | ||||||
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 and 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 did not have a net liability position on open derivative contracts subject to the Master Agreements. | ||||||
Tender option bond transactions: The fund may participate in transactions whereby a fixed-rate bond is transferred to a tender option bond trust (TOB trust) sponsored by a broker. The TOB trust funds the purchase of the fixed rate bonds by issuing floating-rate bonds issued to third parties and allowing the fund to retain the residual interest in the TOB trust’s assets and cash flows, which are in the form of inverse floating rate bonds. The inverse floating rate bonds held by the fund give the fund the right to (1) cause the holders of the floating rate bonds to tender their notes at par, and (2) to have the fixed-rate bond held by the TOB trust transferred to the fund, causing the TOB trust to collapse. The fund accounts for the transfer of the fixed-rate bond to the TOB trust as a secured borrowing by including the fixed-rate bond in The fund’s portfolio and including the floating rate bond as a liability in the Statement of assets and liabilities. [cont.] | ||||||
At the close of the reporting period, the fund’s investments with a value of $4,164,580 were held by the TOB trust and served as collateral for $1,910,765 in floating-rate bonds outstanding. During the reporting period, the fund incurred interest expense of $5,208 for these investments based on an average interest rate of 1.40%. |
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 | |
Municipal bonds and notes | — | 311,831,805 | — | |
Short-term investments | — | 339,309 | — | |
Totals by level | $— | $312,171,114 | $— | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Futures contracts | 80,102 | — | — | |
Interest rate swap contracts | (13,599) | — | ||
Total return swap contracts | (359,880) | — | ||
Totals by level | $80,102 | $(373,479) | $— | |
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: | ||||
Futures contracts (number of contracts) | 20 | |||
OTC interest rate swap contracts (notional) | $42,300,000 | |||
OTC total return swap contracts (notional) | $17,000,000 | |||
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 |