UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811-04524) |
Exact name of registrant as specified in charter: | Putnam Global Income Trust |
Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
Name and address of agent for service: | Stephen Tate, Vice President 100 Federal Street Boston, Massachusetts 02110 |
Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
James E. Thomas, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199 |
Registrant’s telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | October 31, 2023 |
Date of reporting period: | November 1, 2022 – April 30, 2023 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam
Global Income
Trust
Semiannual report
4 | 30 | 23
Message from the Trustees | 1 | ||
Your fund at a glance | 2 | ||
Your fund’s expenses | 3 | ||
Other information for shareholders | 5 | ||
Financial statements | 6 |
Message from the Trustees
June 5, 2023
Dear Fellow Shareholder:
Stocks and bonds have generally advanced since the start of the year despite market ups and downs. Inflation has fallen but remains a concern for the Federal Reserve. U.S. interest rates have risen to their highest level since 2007, which is putting pressure on corporate earnings and causing stress in the banking system.
Fortunately, a strong pulse of innovation in the broader economy is gaining investor attention. International markets are becoming increasingly dynamic, in part because China’s economy is reopening after years of pandemic-related restrictions.
While remaining alert to market risks, your investment team is finding new and attractive opportunities across sectors, industries, and global markets. This report offers an update about their efforts in managing your fund.
Thank you for investing with Putnam.
Credit qualities are shown as a percentage of the fund’s net assets as of 4/30/23. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Due to rounding, percentages may not equal 100%.
Cash and net other assets, if any, represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency.
2 Global Income Trust |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
Class A | Class B | Class C | Class R | Class R5 | Class R6 | Class Y | |
Net expenses for the fiscal year | |||||||
ended 10/31/22*† | 0.91% | 1.66% | 1.66% | 1.16% | 0.55% | 0.48% | 0.66% |
Total annual operating expenses for the | |||||||
fiscal year ended 10/31/22* | 1.25% | 2.00% | 2.00% | 1.50% | 0.89% | 0.82% | 1.00% |
Annualized expense ratio for the | |||||||
six-month period ended 4/30/23 | 0.93% | 1.68% | 1.68% | 1.18% | 0.55% | 0.48% | 0.68% |
Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
* Restated to reflect current fees.
† Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 2/28/24.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 11/1/22 to 4/30/23. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class R | Class R5 | Class R6 | Class Y | |
Expenses paid per $1,000*† | $4.77 | $8.60 | $8.59 | $6.05 | $2.82 | $2.46 | $3.49 |
Ending value (after expenses) | $1,067.90 | $1,064.10 | $1,063.20 | $1,066.60 | $1,069.80 | $1,070.50 | $1,069.20 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/23. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (181); and then dividing that result by the number of days in the year (365).
Global Income Trust 3 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 4/30/23, use the following calculation method. To find the value of your investment on 11/1/22, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Class A | Class B | Class C | Class R | Class R5 | Class R6 | Class Y | |
Expenses paid per $1,000*† | $4.66 | $8.40 | $8.40 | $5.91 | $2.76 | $2.41 | $3.41 |
Ending value (after expenses) | $1,020.18 | $1,016.46 | $1,016.46 | $1,018.94 | $1,022.07 | $1,022.41 | $1,021.42 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/23. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (181); and then dividing that result by the number of days in the year (365).
4 Global Income Trust |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577. We will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2022, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam funds. As of April 30, 2023, Putnam employees had approximately $467,000,000 and the Trustees had approximately $66,000,000 invested in Putnam funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
Global Income Trust 5 |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover (not required for money market funds) in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
6 Global Income Trust |
The fund’s portfolio 4/30/23 (Unaudited) | ||
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (64.2%)* | Principal amount | Value |
U.S. Government Guaranteed Mortgage Obligations (10.4%) | ||
Government National Mortgage Association Pass-Through Certificates | ||
4.50%, TBA, 5/1/53 | $5,000,000 | $4,901,611 |
4.00%, TBA, 5/1/53 | 4,000,000 | 3,845,365 |
3.50%, TBA, 5/1/53 | 1,000,000 | 939,016 |
3.00%, TBA, 5/1/53 | 5,000,000 | 4,567,131 |
14,253,123 | ||
U.S. Government Agency Mortgage Obligations (53.8%) | ||
Uniform Mortgage-Backed Securities | ||
6.00%, TBA, 5/1/53 | 6,000,000 | 6,115,781 |
5.50%, TBA, 5/1/53 | 12,000,000 | 12,099,372 |
5.00%, TBA, 5/1/53 | 34,000,000 | 33,806,095 |
4.50%, TBA, 5/1/53 | 9,000,000 | 8,793,977 |
4.00%, TBA, 5/1/53 | 8,000,000 | 7,647,500 |
3.50%, TBA, 5/1/53 | 4,000,000 | 3,719,376 |
2.50%, TBA, 5/1/53 | 2,000,000 | 1,731,095 |
73,913,196 | ||
Total U.S. government and agency mortgage obligations (cost $88,152,422) | $88,166,319 | |
U.S. TREASURY OBLIGATIONS (0.5%)* | Principal amount | Value |
U.S. Treasury Notes | ||
1.625%, 5/15/31 i | $409,000 | $361,581 |
1.375%, 8/31/26 i | 100,000 | 93,039 |
0.375%, 1/31/26 i | 56,000 | 51,096 |
0.25%, 7/31/25 i | 123,000 | 113,368 |
Total U.S. treasury obligations (cost $619,084) | $619,084 | |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.3%)* | Principal amount | Value | |
Australia (Government of) sr. unsec. bonds 3.00%, 3/21/47 (Australia) | AUD | 120,000 | $68,562 |
Australia (Government of) sr. unsec. bonds Ser. 144, 3.75%, 4/21/37 (Australia) | AUD | 350,000 | 234,995 |
Australia (Government of) sr. unsec. bonds Ser. 149, 2.25%, 5/21/28 (Australia) | AUD | 810,000 | 514,613 |
Australia (Government of) sr. unsec. notes 3.25%, 4/21/25 (Australia) | AUD | 630,000 | 418,293 |
Austria (Republic of) sr. unsec. bonds 1.50%, 2/20/47 (Austria) | EUR | 290,000 | 233,870 |
Austria (Republic of) sr. unsec. notes 0.50%, 4/20/27 (Austria) | EUR | 370,000 | 373,823 |
Belgium (Kingdom of) sr. unsec. bonds Ser. 77, 1.00%, 6/22/26 (Belgium) | EUR | 560,000 | 585,841 |
Belgium (Kingdom of) unsec. bonds Ser. 60, 4.25%, 3/28/41 (Belgium) | EUR | 440,000 | 543,501 |
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) | EUR | 225,000 | 167,549 |
Canada (Government of) sr. unsec. bonds 3.50%, 12/1/45 (Canada) | CAD | 80,000 | 64,122 |
Canada (Government of) unsec. notes 1.50%, 6/1/26 (Canada) | CAD | 90,000 | 63,087 |
China (Republic of) unsec. notes Ser. 1913, 2.94%, 10/17/24 (China) | CNY | 6,000,000 | 874,787 |
Global Income Trust 7 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.3%)* cont. | Principal amount | Value | |
Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) | $460,000 | $413,546 | |
Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d’lvoire) | EUR | 100,000 | 89,570 |
Cote d’lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’lvoire) | $300,000 | 290,250 | |
Denmark (Kingdom of) unsec. bonds 4.50%, 11/15/39 (Denmark) | DKK | 750,000 | 137,179 |
Denmark (Kingdom of) unsec. bonds 1.75%, 11/15/25 (Denmark) | DKK | 1,470,000 | 211,987 |
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | $218,000 | 187,590 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 255,000 | 259,742 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) | 150,000 | 147,871 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 241,000 | 238,961 | |
Finland (Government of) sr. unsec. bonds Ser. REGS, 1.125%, 4/15/34 (Finland) | EUR | 260,000 | 236,085 |
France (Government of) unsec. bonds 4.50%, 4/25/41 (France) | EUR | 780,000 | 1,008,001 |
France (Government of) unsec. bonds 4.00%, 4/25/55 (France) | EUR | 190,000 | 236,997 |
France (Government of) unsec. bonds 3.25%, 5/25/45 (France) | EUR | 70,000 | 77,017 |
France (Government of) unsec. bonds 2.75%, 10/25/27 (France) | EUR | 1,300,000 | 1,438,057 |
France (Government of) unsec. bonds 0.50%, 5/25/25 (France) | EUR | 420,000 | 441,417 |
France (Government of) unsec. notes zero %, 11/25/30 (France) | EUR | 330,000 | 297,047 |
France (Government of) unsec. notes Ser. REGS, 0.50%, 5/25/29 (France) | EUR | 410,000 | 397,882 |
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) | $200,000 | 181,844 | |
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) | 710,000 | 682,966 | |
Ireland (Republic of) unsec. bonds 2.00%, 2/18/45 (Ireland) | EUR | 90,000 | 80,269 |
Ireland (Republic of) unsec. notes 0.20%, 5/15/27 (Ireland) | EUR | 410,000 | 410,170 |
Italy (Republic of) sr. unsec. bonds 6.50%, 11/1/27 (Italy) | EUR | 850,000 | 1,052,437 |
Italy (Republic of) sr. unsec. bonds 4.75%, 9/1/44 (Italy) | EUR | 450,000 | 511,807 |
Italy (Republic of) sr. unsec. bonds 4.00%, 2/1/37 (Italy) | EUR | 190,000 | 201,841 |
Italy (Republic of) sr. unsec. bonds 2.50%, 12/1/24 (Italy) | EUR | 980,000 | 1,066,515 |
Italy (Republic of) sr. unsec. bonds 1.70%, 9/1/51 (Italy) | EUR | 80,000 | 50,611 |
Italy (Republic of) sr. unsec. bonds 1.65%, 3/1/32 (Italy) | EUR | 1,170,000 | 1,065,221 |
Japan (Government of) sr. unsec. bonds Ser. 95, 2.30%, 6/20/27 (Japan) | JPY | 60,000,000 | 481,854 |
Japan (Government of) sr. unsec. unsub. bonds 0.80%, 3/20/47 (Japan) | JPY | 93,000,000 | 636,997 |
Japan (Government of) sr. unsec. unsub. bonds 0.50%, 3/20/60 (Japan) | JPY | 18,000,000 | 100,915 |
Japan (Government of) sr. unsec. unsub. bonds Ser. 32, 2.30%, 3/20/40 (Japan) | JPY | 260,000,000 | 2,337,491 |
Japan (Government of) sr. unsec. unsub. bonds Ser. 125, 2.20%, 3/20/31 (Japan) | JPY | 105,000,000 | 886,310 |
Japan (Government of) sr. unsec. unsub. bonds Ser. 156, 0.40%, 3/20/36 (Japan) | JPY | 135,000,000 | 963,078 |
Japan (Government of) sr. unsec. unsub. notes Ser. 346, 0.10%, 3/20/27 (Japan) | JPY | 510,000,000 | 3,757,219 |
8 Global Income Trust |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.3%)* cont. | Principal amount | Value | |
Japan (Government of) 30 yr sr. unsec. unsub. bonds Ser. 51, 0.30%, 6/20/46 (Japan) | JPY | 47,000,000 | $288,275 |
Japan (Government of) 40 yr sr. unsec. unsub. bonds Ser. 4, 2.20%, 3/20/51 (Japan) | JPY | 184,000,000 | 1,654,251 |
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) | $670,000 | 613,204 | |
Malaysia (Federation of) sr. unsec. notes 3.582%, 7/15/32 (Malaysia) | MYR | 2,280,000 | 505,009 |
Mexico (Government of) sr. unsec. notes 7.50%, 6/3/27 (Mexico) | MXN | 12,510,000 | 679,591 |
Netherlands (Government of) unsec. bonds 3.75%, 1/15/42 (Netherlands) | EUR | 280,000 | 352,436 |
Netherlands (Government of) unsec. notes 0.25%, 7/15/29 (Netherlands) | EUR | 110,000 | 105,270 |
Netherlands (Government of) unsec. notes Ser. REGS, 0.50%, 7/15/26 (Netherlands) | EUR | 430,000 | 443,398 |
New Zealand (Government of) sr. unsec. notes 3.00%, 4/20/29 (New Zealand) | NZD | 380,000 | 221,784 |
Norway (Kingdom of) sr. unsec. notes 1.75%, 2/17/27 (Norway) | NOK | 1,880,000 | 167,571 |
Ontario (Province of) unsec. bonds 6.50%, 3/8/29 (Canada) | CAD | 850,000 | 730,523 |
Ontario (Province of) unsec. bonds 2.90%, 12/2/46 (Canada) | CAD | 410,000 | 252,939 |
Ontario (Province of) unsec. notes 2.60%, 6/2/25 (Canada) | CAD | 1,220,000 | 878,101 |
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | $370,000 | 357,513 | |
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) | 200,000 | 196,250 | |
Paraguay (Republic of) 144A sr. unsec. bonds 2.739%, 1/29/33 (Paraguay) | 220,000 | 177,100 | |
Poland (Government of) unsec. notes 0.75%, 4/25/25 (Poland) | PLN | 1,850,000 | 403,105 |
Portugal (Republic of) sr. unsec. notes 0.30%, 10/17/31 (Portugal) | EUR | 320,000 | 281,438 |
Romania (Government of) 144A sr. unsec. bonds 3.00%, 2/14/31 (Romania) | $540,000 | 450,414 | |
Spain (Kingdom of) sr. unsec. bonds 5.15%, 10/31/44 (Spain) | EUR | 250,000 | 328,394 |
Spain (Kingdom of) sr. unsec. bonds 5.15%, 10/31/28 (Spain) | EUR | 640,000 | 778,989 |
Spain (Kingdom of) sr. unsec. bonds 4.20%, 1/31/37 (Spain) | EUR | 150,000 | 175,855 |
Spain (Kingdom of) sr. unsec. bonds 1.00%, 10/31/50 (Spain) | EUR | 20,000 | 11,583 |
Spain (Kingdom of) sr. unsec. notes 1.60%, 4/30/25 (Spain) | EUR | 210,000 | 225,406 |
Spain (Kingdom of) sr. unsec. notes 1.50%, 4/30/27 (Spain) | EUR | 430,000 | 448,297 |
Spain (Kingdom of) sr. unsec. notes 1.25%, 10/31/30 (Spain) | EUR | 290,000 | 279,559 |
Spain (Kingdom of) sr. unsec. unsub. bonds 2.90%, 10/31/46 (Spain) | EUR | 170,000 | 161,295 |
Sweden (Government of) notes 1.00%, 11/12/26 (Sweden) | SEK | 6,110,000 | 563,875 |
Sweden (Government of) unsec. bonds Ser. 1053, 3.50%, 3/30/39 (Sweden) | SEK | 140,000 | 15,502 |
Switzerland (Government of) unsec. bonds 4.00%, 4/8/28 (Switzerland) | CHF | 500,000 | 640,846 |
Switzerland (Government of) unsec. bonds 1.50%, 4/30/42 (Switzerland) | CHF | 170,000 | 200,459 |
Thailand (Government of) sr. unsec. bonds 2.00%, 12/17/31 (Thailand) | THB | 15,700,000 | 443,845 |
United Kingdom Treasury unsec. bonds 4.50%, 9/7/34 (United Kingdom) | GBP | 1,100,000 | 1,474,080 |
Global Income Trust 9 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (32.3%)* cont. | Principal amount | Value | |
United Kingdom Treasury unsec. bonds 3.50%, 7/22/68 (United Kingdom) | GBP | 120,000 | $138,006 |
United Kingdom Treasury unsec. notes 4.00%, 1/22/60 (United Kingdom) | GBP | 780,000 | 986,245 |
United Kingdom Treasury unsec. notes Ser. REGS, 2.00%, 9/7/25 (United Kingdom) | GBP | 1,350,000 | 1,625,016 |
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | $550,000 | 459,237 | |
United Mexican States sr. unsec. unsub. notes 6.338%, 5/4/53 (Mexico) | 460,000 | 474,286 | |
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 4.375%, 1/23/31 (Uruguay) | 1,170,000 | 1,179,596 | |
Uruguay (Oriental Republic of) sr. unsec. unsub. notes 4.375%, 10/27/27 (Uruguay) | 225,000 | 227,030 | |
Total foreign government and agency bonds and notes (cost $50,732,403) | $44,315,360 | ||
MORTGAGE-BACKED SECURITIES (31.4%)* | Principal amount | Value | |
Agency collateralized mortgage obligations (5.3%) | |||
Federal Home Loan Mortgage Corporation | |||
REMICs Ser. 4972, IO, 6.00%, 5/25/50 | $2,523,046 | $537,869 | |
REMICs Ser. 5160, Class IA, IO, 4.00%, 11/25/51 | 4,309,235 | 845,631 | |
REMICs Ser. 4973, Class LI, IO, 4.00%, 4/25/50 | 4,066,720 | 822,744 | |
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 342,674 | 48,661 | |
REMICs Ser. 5077, Class GI, IO, 3.50%, 2/25/51 | 3,723,380 | 644,243 | |
REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 | 746,460 | 90,068 | |
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 1,460,349 | 109,031 | |
REMICs IFB Ser. 4979, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.03%, 6/25/50 | 1,023,676 | 120,755 | |
Federal National Mortgage Association | |||
REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 | 315,011 | 38,805 | |
REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 | 318,333 | 11,797 | |
REMICs IFB Ser. 12-116, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 7.20%), 2.18%, 10/25/42 | 468,751 | 71,599 | |
REMICs IFB Ser. 19-42, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.03%, 8/25/49 | 3,122,130 | 376,648 | |
Government National Mortgage Association | |||
Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 | 511,972 | 88,013 | |
Ser. 14-76, IO, 5.00%, 5/20/44 | 225,942 | 45,086 | |
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 74,128 | 15,300 | |
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 154,661 | 31,367 | |
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 49,063 | 9,807 | |
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 | 6,241,548 | 1,168,614 | |
Ser. 18-153, Class AI, IO, 4.50%, 9/16/45 | 3,775,942 | 663,433 | |
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 339,597 | 55,378 | |
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 239,782 | 42,021 | |
Ser. 21-117, Class MI, IO, 3.50%, 5/20/42 | 3,661,026 | 532,130 | |
Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 | 214,266 | 9,432 | |
Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67 W | 1,116,404 | 64,640 | |
Ser. 15-H26, Class EI, IO, 1.768%, 10/20/65 W | 1,559,457 | 71,111 | |
Ser. 16-H16, Class EI, IO, 1.637%, 6/20/66 W | 2,092,479 | 91,860 |
10 Global Income Trust |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
Ser. 15-H25, Class AI, IO, 1.613%, 9/20/65 W | $1,797,745 | $62,921 | |
Ser. 14-H12, Class BI, IO, 1.584%, 5/20/64 W | 1,963,355 | 74,666 | |
IFB Ser. 10-171, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.45%), 1.502%, 12/16/40 | 378,978 | 34,063 | |
IFB Ser. 20-32, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.147%, 3/20/50 | 632,972 | 77,224 | |
Ser. 15-H26, Class DI, IO, 0.077%, 10/20/65 W | 1,606,526 | 63,742 | |
Ser. 14-H21, Class AI, IO, 0.047%, 10/20/64 W | 1,653,528 | 57,556 | |
Ser. 17-H04, Class BI, IO, 0.037%, 2/20/67 W | 1,826,486 | 83,776 | |
Ser. 17-H02, Class BI, IO, 0.03%, 1/20/67 W | 2,079,597 | 76,669 | |
Ser. 16-H23, Class NI, IO, 0.026%, 10/20/66 W | 2,434,701 | 111,266 | |
7,247,926 | |||
Commercial mortgage-backed securities (14.8%) | |||
ACRES Commercial Realty, Ltd. 144A FRB Ser. 21-FL1, Class A, (ICE LIBOR USD 1 Month + 1.20%), 6.148%, 6/15/36 | 418,000 | 406,620 | |
BANK | |||
FRB Ser. 20-BN30, Class XA, IO, 1.415%, 12/15/53 W | 4,879,238 | 336,491 | |
FRB Ser. 19-BN20, Class XA, IO, 0.937%, 9/15/62 W | 9,031,324 | 361,817 | |
Barclays Commercial Mortgage Trust | |||
Ser. 19-C3, Class B, 4.096%, 5/15/52 | 201,000 | 169,617 | |
FRB Ser. 20-C8, Class XA, IO, 1.952%, 10/15/53 W | 4,643,001 | 435,317 | |
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50 W | 210,000 | 177,509 | |
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.249%, 12/15/47 W | 1,053,000 | 855,826 | |
Citigroup Commercial Mortgage Trust | |||
FRB Ser. 13-GC17, Class C, 5.261%, 11/10/46 W | 221,000 | 214,711 | |
FRB Ser. 15-P1, Class C, 4.514%, 9/15/48 W | 300,000 | 271,073 | |
Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.257%, 3/11/47 W | 455,000 | 426,898 | |
COMM Mortgage Trust | |||
FRB Ser. 13-CR11, Class B, 5.263%, 8/10/50 W | 243,000 | 239,871 | |
FRB Ser. 13-CR13, Class C, 5.037%, 11/10/46 W | 492,000 | 467,146 | |
FRB Ser. 14-CR17, Class C, 4.942%, 5/10/47 W | 649,000 | 566,231 | |
FRB Ser. 14-CR18, Class C, 4.894%, 7/15/47 W | 393,000 | 370,536 | |
FRB Ser. 14-UBS6, Class C, 4.583%, 12/10/47 W | 110,000 | 95,291 | |
FRB Ser. 15-LC19, Class C, 4.355%, 2/10/48 W | 430,000 | 393,214 | |
Ser. 14-CR21, Class B, 4.339%, 12/10/47 W | 433,000 | 403,588 | |
FRB Ser. 14-UBS6, Class XA, IO, 0.981%, 12/10/47 W | 7,406,132 | 68,796 | |
FRB Ser. 15-LC21, Class XA, IO, 0.797%, 7/10/48 W | 9,472,862 | 104,750 | |
COMM Mortgage Trust 144A | |||
FRB Ser. 13-CR13, Class D, 5.037%, 11/10/46 W | 280,000 | 233,096 | |
FRB Ser. 12-CR2, Class D, 5.036%, 8/15/45 W | 124,702 | 114,721 | |
Credit Suisse Commercial Mortgage Trust 144A | |||
FRB Ser. 06-C4, Class AX, IO, 1.06%, 9/15/39 W | 1,982 | 32 | |
FRB Ser. 07-C2, Class AX, IO, 0.047%, 1/15/49 W | 645,548 | 1 | |
CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C, 4.394%, 4/15/50 W | 819,000 | 667,539 |
Global Income Trust 11 |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.576%, 12/15/49 W | $822,000 | $654,892 | |
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.539%, 8/10/44 W | 757,669 | 740,241 | |
Federal Home Loan Mortgage Corporation | |||
Multifamily Structured Pass-Through Certificates FRB Ser. K113, Class XAM, IO, 1.688%, 6/25/30 W | 2,243,000 | 208,170 | |
Multifamily Structured Pass-Through Certificates FRB Ser. K098, Class X1, IO, 1.268%, 8/25/29 W | 2,784,708 | 161,265 | |
GS Mortgage Securities Trust FRB Ser. 15-GC30, Class C, 4.204%, 5/10/50 W | 286,000 | 256,383 | |
GS Mortgage Securities Trust 144A | |||
FRB Ser. 10-C1, Class D, 6.568%, 8/10/43 W | 328,000 | 258,293 | |
FRB Ser. 13-GC14, Class B, 4.847%, 8/10/46 W | 296,000 | 290,826 | |
JPMBB Commercial Mortgage Securities Trust | |||
FRB Ser. 14-C22, Class C, 4.698%, 9/15/47 W | 225,000 | 184,493 | |
FRB Ser. 13-C12, Class B, 4.204%, 7/15/45 W | 473,000 | 458,411 | |
FRB Ser. 15-C33, Class XA, IO, 1.054%, 12/15/48 W | 2,921,422 | 55,219 | |
FRB Ser. 14-C22, Class XA, IO, 0.948%, 9/15/47 W | 8,441,051 | 57,722 | |
FRB Ser. 13-C12, Class XA, IO, 0.35%, 7/15/45 W | 8,712,716 | 87 | |
JPMBB Commercial Mortgage Securities Trust 144A | |||
FRB Ser. 13-C17, Class D, 5.046%, 1/15/47 W | 505,000 | 437,862 | |
FRB Ser. 14-C23, Class D, 4.129%, 9/15/47 W | 437,000 | 369,981 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Ser. 13-LC11, Class AS, 3.216%, 4/15/46 | 339,000 | 312,731 | |
FRB Ser. 19-COR5, Class XA, IO, 1.626%, 6/13/52 W | 8,094,506 | 485,571 | |
FRB Ser. 06-CB17, Class X, IO, 1.144%, 12/12/43 W | 256,841 | 4,930 | |
FRB Ser. 13-C16, Class XA, IO, 0.993%, 12/15/46 W | 6,917,578 | 7,899 | |
JPMorgan Chase Commercial Mortgage Securities Trust 144A | |||
FRB Ser. 12-C6, Class E, 5.129%, 5/15/45 W | 777,000 | 608,935 | |
FRB Ser. 21-1MEM, Class D, 2.742%, 10/9/42 W | 915,000 | 572,628 | |
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39 W | 686,987 | 107 | |
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49 W | 1,175 | — | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
FRB Ser. 14-C14, Class C, 5.227%, 2/15/47 W | 471,000 | 458,092 | |
FRB Ser. 14-C17, Class C, 4.638%, 8/15/47 W | 591,000 | 556,594 | |
Ser. 14-C18, Class C, 4.624%, 10/15/47 W | 310,000 | 265,841 | |
FRB Ser. 15-C24, Class B, 4.469%, 5/15/48 W | 253,000 | 237,774 | |
FRB Ser. 15-C24, Class C, 4.469%, 5/15/48 W | 313,000 | 285,753 | |
Morgan Stanley Bank of America Merrill Lynch Trust 144A | |||
FRB Ser. 12-C6, Class D, 4.673%, 11/15/45 W | 278,000 | 234,910 | |
FRB Ser. 13-C9, Class D, 4.156%, 5/15/46 W | 274,000 | 226,528 | |
Morgan Stanley Capital I Trust Ser. 15-UBS8, Class B, 4.315%, 12/15/48 W | 191,000 | 167,093 | |
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.252%, 7/15/49 W | 185,000 | 182,764 | |
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M10, 8.27%, 10/25/49 | 660,484 | 616,589 |
12 Global Income Trust |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.156%, 12/15/50 W | $4,173,280 | $145,710 | |
Wells Fargo Commercial Mortgage Trust | |||
FRB Ser. 15-C30, Class C, 4.648%, 9/15/58 W | 342,000 | 310,923 | |
Ser. 17-RC1, Class C, 4.591%, 1/15/60 | 225,000 | 190,810 | |
FRB Ser. 13-LC12, Class C, 4.426%, 7/15/46 W | 363,000 | 272,250 | |
FRB Ser. 20-C57, Class C, 4.157%, 8/15/53 W | 209,000 | 169,789 | |
Ser. 16-BNK1, Class AS, 2.814%, 8/15/49 | 707,000 | 630,317 | |
FRB Ser. 19-C52, Class XA, IO, 1.749%, 8/15/52 W | 3,420,096 | 232,376 | |
FRB Ser. 16-LC25, Class XA, IO, 0.977%, 12/15/59 W | 4,047,243 | 96,180 | |
WF-RBS Commercial Mortgage Trust | |||
Ser. 14-C19, Class B, 4.723%, 3/15/47 W | 930,000 | 890,985 | |
Ser. 14-C22, Class AS, 4.069%, 9/15/57 W | 397,000 | 375,876 | |
FRB Ser. 13-C14, Class XA, IO, 0.737%, 6/15/46 W | 6,852,841 | 310 | |
WF-RBS Commercial Mortgage Trust 144A | |||
Ser. 11-C4, Class E, 4.991%, 6/15/44 W | 163,000 | 118,993 | |
FRB Ser. 11-C4, Class C, 4.991%, 6/15/44 W | 117,851 | 113,656 | |
FRB Ser. 12-C10, Class D, 4.538%, 12/15/45 W | 180,000 | 106,974 | |
FRB Ser. 12-C10, Class XA, IO, 1.297%, 12/15/45 W | 165,457 | 2 | |
20,394,426 | |||
Residential mortgage-backed securities (non-agency) (11.3%) | |||
Arroyo Mortgage Trust 144A Ser. 19-3, Class A3, 3.416%, 10/25/48 W | 85,037 | 78,510 | |
BankUnited Trust FRB Ser. 05-1, Class 1A1, (ICE LIBOR USD 1 Month + 0.60%), 5.62%, 9/25/45 | 93,893 | 84,928 | |
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 7.52%, 10/25/29 (Bermuda) | 134,463 | 134,523 | |
BRAVO Residential Funding Trust 144A | |||
Ser. 21-A, Class A1, 1.991%, 10/25/59 | 379,218 | 362,243 | |
Ser. 21-C, Class A1, 1.62%, 3/1/61 | 274,990 | 250,523 | |
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 5.50%, 6/25/36 | 153,540 | 144,565 | |
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 5.025%, 11/25/47 | 179,491 | 148,092 | |
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A2, 3.094%, 3/25/65 W | 665,000 | 628,891 | |
Countrywide Alternative Loan Trust | |||
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 5.40%, 8/25/46 | 271,043 | 222,265 | |
FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 5.133%, 2/20/47 | 151,706 | 116,051 | |
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 4.425%, 8/25/46 | 105,931 | 96,689 | |
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 4.405%, 6/25/46 | 230,779 | 194,476 | |
Eagle Re, Ltd. 144A FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 6.72%, 11/25/28 (Bermuda) | 258,096 | 258,815 |
Global Income Trust 13 |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal Home Loan Mortgage Corporation | |||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 10.02%, 12/25/28 | $425,718 | $453,212 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.72%, 4/25/28 | 456,706 | 480,430 | |
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, (ICE LIBOR USD 1 Month + 4.25%), 9.27%, 11/25/23 | 192,359 | 195,726 | |
Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (ICE LIBOR USD 1 Month + 3.80%), 8.82%, 3/25/29 | 122,646 | 127,609 | |
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 8.57%, 8/25/29 | 338,121 | 351,164 | |
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B1, (ICE LIBOR USD 1 Month + 4.65%), 9.67%, 1/25/49 | 231,000 | 249,224 | |
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 7.765%, 6/25/42 | 83,090 | 84,647 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 7.615%, 10/25/50 | 32,414 | 32,950 | |
Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 7.465%, 7/25/42 | 380,922 | 384,732 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 7.42%, 2/25/47 | 107,769 | 107,682 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA3, Class M1A, (US 30 Day Average SOFR + 2.30%), 7.115%, 8/25/42 | 23,005 | 23,144 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA4, Class M1A, (US 30 Day Average SOFR + 2.20%), 7.015%, 5/25/42 | 272,542 | 274,586 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA4, Class M2, (ICE LIBOR USD 1 Month + 1.95%), 6.97%, 10/25/49 | 1,779 | 1,783 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.965%, 9/25/42 | 32,638 | 32,801 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 6.92%, 1/25/50 | 33,613 | 33,585 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1A, (US 30 Day Average SOFR + 2.00%), 6.815%, 4/25/42 | 110,889 | 111,233 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 6.665%, 1/25/42 | 212,000 | 205,257 | |
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 6.115%, 2/25/42 | 185,884 | 184,664 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 6.02%, 2/25/47 | 629,213 | 621,988 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.815%, 1/25/42 | 47,691 | 46,909 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 5.665%, 9/25/41 | 40,650 | 39,468 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.615%, 10/25/41 | 222,907 | 221,503 | |
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56 W | 472,912 | 460,735 |
14 Global Income Trust |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.97%, 8/25/28 | $134,918 | $143,834 | |
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.77%, 8/25/28 | 214,958 | 231,614 | |
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 11.02%, 9/25/28 | 129,640 | 136,617 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.92%, 10/25/28 | 51,868 | 54,927 | |
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.72%, 4/25/28 | 283,904 | 303,036 | |
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 10.57%, 4/25/28 | 465,439 | 485,984 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 10.32%, 10/25/28 | 67,066 | 71,353 | |
Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, (ICE LIBOR USD 1 Month + 5.25%), 10.27%, 10/25/23 | 64,641 | 65,889 | |
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 10.02%, 11/25/24 | 5,217 | 5,269 | |
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 9.92%, 11/25/24 | 2,866 | 3,009 | |
Connecticut Avenue Securities FRB Ser. 14-C01, Class M2, (ICE LIBOR USD 1 Month + 4.40%), 9.42%, 1/25/24 | 7,153 | 7,284 | |
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 9.32%, 2/25/25 | 62,414 | 64,618 | |
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 9.02%, 5/25/25 | 38,515 | 40,141 | |
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 8.67%, 9/25/29 | 72,000 | 74,474 | |
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.92%, 7/25/24 | 252,863 | 257,340 | |
Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (ICE LIBOR USD 1 Month + 2.80%), 7.82%, 2/25/30 | 64,000 | 64,669 | |
Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (ICE LIBOR USD 1 Month + 2.35%), 7.37%, 1/25/31 | 78,124 | 78,709 | |
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 6.27%, 7/25/29 | 42,577 | 42,532 | |
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1EB2, (ICE LIBOR USD 1 Month + 1.00%), 6.02%, 5/25/30 | 223,713 | 223,012 | |
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.815%, 1/25/42 | 427,000 | 417,926 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.774%, 6/25/42 | 161,407 | 164,348 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R06, Class 1M1, (US 30 Day Average SOFR + 2.75%), 7.565%, 5/25/42 | 31,783 | 32,389 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 7.47%, 7/25/31 | 6,148 | 6,163 | |
Connecticut Avenue Securities Trust FRB Ser. 18-R07, Class 1M2, (ICE LIBOR USD 1 Month + 2.40%), 7.42%, 4/25/31 | 6,367 | 6,383 |
Global Income Trust 15 |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 22-R08, Class 1M1, (US 30 Day Average SOFR + 2.55%), 7.365%, 7/25/42 | $64,108 | $65,012 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 7.324%, 9/25/42 | 125,741 | 126,745 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (ICE LIBOR USD 1 Month + 2.30%), 7.32%, 8/25/31 | 3,678 | 3,678 | |
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 7.17%, 11/25/39 | 73,593 | 73,457 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1M2, (ICE LIBOR USD 1 Month + 2.15%), 7.17%, 9/25/31 | 2,315 | 2,315 | |
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 7.07%, 1/25/40 | 470,404 | 472,181 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R03, Class 1M1, (US 30 Day Average SOFR + 2.10%), 6.915%, 3/25/42 | 201,436 | 202,713 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M1, (US 30 Day Average SOFR + 2.00%), 6.815%, 3/25/42 | 118,487 | 118,925 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 6.015%, 1/25/42 | 90,916 | 90,347 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.815%, 12/25/41 | 103,360 | 102,585 | |
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 5.565%, 10/25/41 | 2,607 | 2,597 | |
GSAA Home Equity Trust Ser. 06-15, Class AF3A, 5.882%, 9/25/36 W | 919,716 | 319,100 | |
JP Morgan Alternative Loan Trust FRB Ser. 07-S1, Class A1, (ICE LIBOR USD 1 Month + 0.28%), 5.58%, 4/25/47 | 155,525 | 146,248 | |
Legacy Mortgage Asset Trust 144A | |||
Ser. 20-GS5, Class A1, 3.25%, 6/25/60 | 208,004 | 208,536 | |
Ser. 21-GS3, Class A1, 1.75%, 7/25/61 | 261,078 | 242,800 | |
LHOME Mortgage Trust 144A Ser. 21-RTL2, Class A1, 2.09%, 6/25/26 | 365,000 | 348,829 | |
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.919%, 8/26/47 W | 105,842 | 102,702 | |
New Residential Mortgage Loan Trust 144A FRB Ser. 18-4A, Class A1M, (ICE LIBOR USD 1 Month + 0.90%), 5.92%, 1/25/48 | 48,443 | 47,051 | |
New York Mortgage Trust 144A Ser. 21-BPL1, Class A1, 2.239%, 5/25/26 | 300,000 | 293,325 | |
NovaStar Mortgage Funding Trust FRB Ser. 06-5, Class A2C, (ICE LIBOR USD 1 Month + 0.34%), 5.36%, 11/25/36 | 1,030,478 | 339,453 | |
Renaissance Home Equity Loan Trust FRB Ser. 03-4, Class A1, (ICE LIBOR USD 1 Month + 1.04%), 6.06%, 3/25/34 | 140,244 | 126,218 | |
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 5.87%, 5/25/47 | 293,740 | 240,330 | |
Toorak Mortgage Corp., Ltd. 144A Ser. 21-1, Class A1, 2.24%, 6/25/24 | 120,000 | 115,245 | |
Vista Point Securitization Trust 144A FRB Ser. 20-2, Class A2, 1.986%, 4/25/65 W | 68,705 | 60,157 | |
WaMu Mortgage Pass-Through Certificates Trust | |||
FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 6.00%, 10/25/45 | 110,880 | 103,243 | |
FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 5.98%, 7/25/45 | 192,978 | 176,807 |
16 Global Income Trust |
MORTGAGE-BACKED SECURITIES (31.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
WaMu Mortgage Pass-Through Certificates Trust | |||
FRB Ser. 05-AR1, Class A1B, (ICE LIBOR USD 1 Month + 0.78%), 5.80%, 1/25/45 | $110,370 | $100,216 | |
FRB Ser. 05-AR2, Class 2A1B, (ICE LIBOR USD 1 Month + 0.74%), 5.76%, 1/25/45 | 125,394 | 121,883 | |
FRB Ser. 05-AR10, Class 1A3, 3.862%, 9/25/35 W | 87,913 | 77,826 | |
FRB Ser. 05-AR12, Class 1A8, 3.802%, 10/25/35 W | 257,451 | 223,177 | |
Washington Mutual Asset-Backed Certificates Trust FRB Ser. 06-HE2, Class A3, (ICE LIBOR USD 1 Month + 0.30%), 5.32%, 5/25/36 | 513,080 | 371,351 | |
15,452,175 | |||
Total mortgage-backed securities (cost $46,858,612) | $43,094,527 | ||
CORPORATE BONDS AND NOTES (22.7%)* | Principal amount | Value | |
Basic materials (1.4%) | |||
Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 | $225,000 | $219,767 | |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 450,000 | 455,512 | |
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) | 157,000 | 159,828 | |
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 278,000 | 261,270 | |
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 | 107,000 | 86,979 | |
Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 | 504,000 | 484,647 | |
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 172,000 | 202,108 | |
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R | 33,000 | 38,288 | |
1,908,399 | |||
Capital goods (0.6%) | |||
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 351,000 | 308,133 | |
Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | 179,000 | 166,396 | |
Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 | 70,000 | 49,631 | |
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | 176,000 | 170,984 | |
Raytheon Technologies Corp. sr. unsec. notes 5.15%, 2/27/33 | 75,000 | 77,948 | |
Waste Connections, Inc. sr. unsec. bonds 4.20%, 1/15/33 | 90,000 | 86,463 | |
859,555 | |||
Communication services (2.5%) | |||
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30 R | 291,000 | 256,630 | |
American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27 R | 406,000 | 385,191 | |
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 487,000 | 446,665 | |
AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 16,000 | 12,881 | |
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 | 295,000 | 293,407 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | 464,000 | 459,657 | |
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 178,000 | 168,977 | |
Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28 R | 112,000 | 107,267 | |
Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27 R | 192,000 | 183,446 | |
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R | 334,000 | 299,991 |
Global Income Trust 17 |
CORPORATE BONDS AND NOTES (22.7%)* cont. | Principal amount | Value | |
Communication services cont. | |||
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | $74,000 | $79,778 | |
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 13,000 | 12,240 | |
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 | 440,000 | 423,735 | |
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.05%, 7/15/33 | 40,000 | 40,103 | |
Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 | 257,000 | 229,750 | |
3,399,718 | |||
Conglomerates (0.1%) | |||
General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 8.196%, perpetual maturity | 83,000 | 82,855 | |
82,855 | |||
Consumer cyclicals (1.5%) | |||
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 284,000 | 268,025 | |
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 | 193,000 | 149,010 | |
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 354,000 | 288,402 | |
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 320,000 | 321,726 | |
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | 61,000 | 54,718 | |
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 133,000 | 131,754 | |
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 400,000 | 357,166 | |
Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 | 463,000 | 411,218 | |
1,982,019 | |||
Consumer staples (2.0%) | |||
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 435,000 | 416,113 | |
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 281,000 | 289,528 | |
GSK Consumer Healthcare Capital US, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/27 | 250,000 | 238,662 | |
Kenvue, Inc. 144A company guaranty sr. unsec. notes 4.90%, 3/22/33 | 398,000 | 412,138 | |
Kenvue, Inc. 144A company guaranty sr. unsec. unsub. bonds 5.05%, 3/22/53 | 62,000 | 64,364 | |
Kenvue, Inc. 144A company guaranty sr. unsec. unsub. notes 5.05%, 3/22/28 | 60,000 | 62,141 | |
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 | 292,000 | 285,078 | |
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 | EUR | 435,000 | 470,459 |
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 | $441,000 | 437,878 | |
2,676,361 | |||
Energy (1.7%) | |||
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 | 231,000 | 232,028 | |
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | 153,000 | 127,462 | |
EQT Corp. sr. unsec. notes 5.678%, 10/1/25 | 128,000 | 127,656 |
18 Global Income Trust |
CORPORATE BONDS AND NOTES (22.7%)* cont. | Principal amount | Value | |
Energy cont. | |||
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 | $318,000 | $350,159 | |
ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 | 220,000 | 230,004 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 267,000 | 267,532 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 44,000 | 42,252 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 246,000 | 181,813 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 31,000 | 23,863 | |
Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) | 200,000 | 186,064 | |
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 244,000 | 244,022 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | 75,000 | 70,681 | |
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) | 355,000 | 305,303 | |
2,388,839 | |||
Financials (8.7%) | |||
ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) | 400,000 | 389,109 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 660,000 | 540,588 | |
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 380,000 | 363,441 | |
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 180,000 | 189,867 | |
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | 386,000 | 313,014 | |
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 524,000 | 488,421 | |
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) | 200,000 | 191,336 | |
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 400,000 | 394,644 | |
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity | 346,000 | 344,934 | |
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 525,000 | 454,200 | |
BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) | 400,000 | 383,462 | |
BPCE SA 144A sr. unsec. notes 3.50%, 10/23/27 (France) | 250,000 | 231,340 | |
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | 540,000 | 522,080 | |
Capital One Financial Corp. sr. unsec. unsub. FRN 1.878%, 11/2/27 | 264,000 | 230,120 | |
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity | 415,000 | 354,306 | |
Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia) | 212,000 | 197,860 | |
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 | 165,000 | 150,441 | |
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France) | 400,000 | 364,231 | |
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | 250,000 | 224,379 | |
Credit Suisse Group AG 144A sr. unsec. unsub. FRN 1.305%, 2/2/27 (Switzerland) | 379,000 | 322,150 | |
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) | 400,000 | 375,113 |
Global Income Trust 19 |
CORPORATE BONDS AND NOTES (22.7%)* cont. | Principal amount | Value | |
Financials cont. | |||
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R | $108,000 | $102,851 | |
Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 | 160,000 | 98,571 | |
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 306,000 | 304,746 | |
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 | 147,000 | 140,898 | |
General Motors Financial Co., Inc. sr. unsec. notes 2.35%, 2/26/27 | 85,000 | 76,453 | |
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 88,000 | 87,106 | |
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 | 63,000 | 51,463 | |
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 | 138,000 | 119,135 | |
Goldman Sachs Group, Inc. (The) unsec. sub. notes 5.95%, 1/15/27 | 192,000 | 198,070 | |
Intercontinental Exchange, Inc. sr. unsec. notes 4.35%, 6/15/29 | 222,000 | 219,824 | |
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) | 505,000 | 382,740 | |
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 | 113,000 | 110,986 | |
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 | 429,000 | 300,136 | |
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 | 230,000 | 242,609 | |
NatWest Group PLC sr. unsec. unsub. FRN 1.642%, 6/14/27 (United Kingdom) | 595,000 | 529,109 | |
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) | 643,000 | 450,100 | |
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 | 102,000 | 115,790 | |
UBS Group AG 144A jr. unsec. sub. FRN 4.375%, perpetual maturity (Switzerland) | 225,000 | 155,195 | |
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) | 300,000 | 270,399 | |
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 500,000 | 382,599 | |
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28 R | 183,000 | 176,483 | |
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27 R | 68,000 | 63,556 | |
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity | 133,000 | 115,736 | |
Wells Fargo & Co. unsec. sub. notes Ser. GMTN, 4.30%, 7/22/27 | 222,000 | 217,209 | |
11,936,800 | |||
Health care (0.8%) | |||
Amgen, Inc. sr. unsec. unsub. bonds 5.65%, 3/2/53 | 103,000 | 106,918 | |
Amgen, Inc. sr. unsec. unsub. notes 5.25%, 3/2/30 | 205,000 | 210,552 | |
Danaher Corp. sr. unsec. unsub. notes 3.35%, 9/15/25 | 168,000 | 164,043 | |
Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 | 85,000 | 88,824 | |
GE Healthcare Holding, LLC 144A company guaranty sr. unsec. notes 5.65%, 11/15/27 | 190,000 | 196,206 | |
Humana, Inc. sr. unsec. unsub. bonds 5.50%, 3/15/53 | 30,000 | 30,523 | |
Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | 200,000 | 208,621 | |
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 105,000 | 101,898 | |
1,107,585 |
20 Global Income Trust |
CORPORATE BONDS AND NOTES (22.7%)* cont. | Principal amount | Value | |
Technology (1.5%) | |||
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | $461,000 | $447,915 | |
Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 | 296,000 | 275,306 | |
Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | 404,000 | 368,768 | |
Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | 204,000 | 179,786 | |
Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 | 88,000 | 85,395 | |
Oracle Corp. sr. unsec. bonds 5.55%, 2/6/53 | 60,000 | 57,644 | |
Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 60,000 | 45,301 | |
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 207,000 | 160,533 | |
Oracle Corp. sr. unsec. notes 2.95%, 4/1/30 | 85,000 | 75,299 | |
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 426,000 | 370,084 | |
2,066,031 | |||
Transportation (0.4%) | |||
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 | 103,000 | 96,731 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 529,000 | 510,711 | |
607,442 | |||
Utilities and power (1.5%) | |||
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 | 226,000 | 204,858 | |
American Electric Power Co., Inc. sr. unsec. unsub. bonds 5.625%, 3/1/33 | 110,000 | 114,940 | |
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 | 62,000 | 54,121 | |
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 330,000 | 252,136 | |
Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 | 55,000 | 57,040 | |
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 | 351,000 | 324,792 | |
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 | 220,000 | 202,967 | |
Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 | 129,000 | 129,573 | |
Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 | 100,000 | 81,365 | |
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | 204,000 | 188,315 | |
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | 108,000 | 104,720 | |
WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (ICE LIBOR USD 3 Month + 2.11%), 6.976%, 5/15/67 | 498,000 | 409,406 | |
2,124,233 | |||
Total corporate bonds and notes (cost $33,896,800) | $31,139,837 | ||
COLLATERALIZED LOAN OBLIGATIONS (4.5%)* | Principal amount | Value | |
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.45%, 7/20/34 (Cayman Islands) | $263,000 | $258,734 | |
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (CME Term SOFR 3 Month + 1.36%), 6.432%, 4/22/34 | 250,000 | 244,679 | |
Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 6.405%, 10/25/32 (Cayman Islands) | 250,000 | 245,348 |
Global Income Trust 21 |
COLLATERALIZED LOAN OBLIGATIONS (4.5%)* cont. | Principal amount | Value | |
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 6.33%, 4/15/34 (Cayman Islands) | $500,000 | $487,497 | |
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 6.523%, 11/22/34 (Cayman Islands) | 323,000 | 312,526 | |
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 6.43%, 10/15/34 (Cayman Islands) | 250,000 | 244,366 | |
CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 6.36%, 4/20/32 (Cayman Islands) | 313,000 | 308,264 | |
Cedar Funding II CLO, Ltd. 144A FRB Ser. 21-1A, Class ARR, (ICE LIBOR USD 3 Month + 1.08%), 6.33%, 4/20/34 | 175,000 | 169,925 | |
Diameter Capital CLO 1, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.24%), 6.50%, 7/15/36 | 250,000 | 243,996 | |
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 6.49%, 10/15/31 (Cayman Islands) | 398,485 | 394,741 | |
Gulf Stream Meridian 1, Ltd. 144A FRB Ser. 20-IA, Class A1, (ICE LIBOR USD 3 Month + 1.37%), 6.63%, 4/15/33 (Cayman Islands) | 250,000 | 249,053 | |
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 6.46%, 7/15/34 (Cayman Islands) | 250,000 | 245,595 | |
Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 6.673%, 10/22/30 (Cayman Islands) | 250,000 | 242,811 | |
Neuberger Berman Loan Advisers CLO 31, Ltd. 144A FRB Ser. 21-31A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 6.29%, 4/20/31 (Cayman Islands) | 250,000 | 246,503 | |
OZLM XVIII, Ltd. 144A FRB Ser. 18-18A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 6.28%, 4/15/31 (Cayman Islands) | 250,000 | 245,892 | |
Palmer Square CLO, Ltd. 144A FRB Ser. 22-5A, Class A, (CME Term SOFR 3 Month + 2.00%), 7.048%, 10/20/35 (Jersey) | 250,000 | 250,065 | |
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.864%, 5/15/32 (Cayman Islands) | 250,000 | 243,084 | |
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 6.25%, 10/20/31 (Cayman Islands) | 250,000 | 246,427 | |
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 6.42%, 7/20/34 (Cayman Islands) | 250,000 | 244,366 | |
Venture 37 CLO, Ltd. 144A FRB Ser. 21-37A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 6.41%, 7/15/32 (Cayman Islands) | 200,000 | 196,365 | |
Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (ICE LIBOR USD 3 Month + 1.26%), 6.52%, 1/15/32 (Cayman Islands) | 250,000 | 245,504 | |
Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 6.95%, 1/20/29 (Cayman Islands) | 200,000 | 193,797 | |
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 6.75%, 7/15/32 | 364,000 | 356,169 | |
Total collateralized loan obligations (cost $6,156,924) | $6,115,707 | ||
ASSET-BACKED SECURITIES (0.6%)* | Principal amount | Value | |
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $127,835 | $126,556 | |
Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 6.214%, 5/29/23 | 693,000 | 693,000 | |
Total asset-backed securities (cost $820,834) | $819,556 | ||
22 Global Income Trust |
SHORT-TERM INVESTMENTS (6.8%)* | Principal amount/ shares | Value | |
Putnam Short Term Investment Fund Class P 4.98% L | Shares | 4,864,712 | $4,864,712 |
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.76% P | Shares | 911,000 | 911,000 |
U.S. Treasury Bills 4.792%, 5/11/23 # | $2,300,000 | 2,297,333 | |
U.S. Treasury Bills 4.747%, 5/2/23 ∆ | 500,000 | 499,942 | |
U.S. Treasury Bills 4.324%, 5/30/23 ∆ | 800,000 | 797,350 | |
Total short-term investments (cost $9,369,918) | $9,370,337 | ||
TOTAL INVESTMENTS | ||
Total investments (cost $236,606,997) | $223,640,727 | |
Key to holding’s currency abbreviations | |||
AUD | Australian Dollar | ||
CAD | Canadian Dollar | ||
CHF | Swiss Franc | ||
CNY | Chinese Yuan (Onshore) | ||
DKK | Danish Krone | ||
EUR | Euro | ||
GBP | British Pound | ||
JPY | Japanese Yen | ||
MXN | Mexican Peso | ||
MYR | Malaysian Ringgit | ||
NOK | Norwegian Krone | ||
NZD | New Zealand Dollar | ||
PLN | Polish Zloty | ||
SEK | Swedish Krona | ||
THB | Thai Baht | ||
USD /$ | United States Dollar | ||
Key to holding’s abbreviations | |||
bp | Basis Points | ||
CME | Chicago Mercantile Exchange | ||
DAC | Designated Activity Company | ||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
GMTN | Global Medium Term Notes | ||
ICE | Intercontinental Exchange | ||
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | ||
IO | Interest Only | ||
LIBOR | London Interbank Offered Rate | ||
OTC | Over-the-counter | ||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
Global Income Trust 23 |
REMICs | Real Estate Mortgage Investment Conduits |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced Commitments |
Notes to the fund’s portfolio | |||
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from November 1, 2022 through April 30, 2023 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |||
* | Percentages indicated are based on net assets of $137,359,923. | ||
# | 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 $736,893 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8). | ||
∆ | 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 $761,738 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8). | ||
i | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1). | ||
L | Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
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. | ||
R | Real Estate Investment Trust. | ||
W | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | ||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | |||
Debt obligations are considered secured unless otherwise indicated. | |||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||
See Note 1 to the financial statements regarding TBA commitments. | |||
The dates shown on debt obligations are the original maturity dates. | |||
DIVERSIFICATION BY COUNTRY ⌂ | ||||
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | ||||
United States | 74.1% | Switzerland | 0.8% | |
Japan | 5.0 | Australia | 0.6 | |
France | 2.6 | Uruguay | 0.6 | |
Cayman Islands | 2.2 | Netherlands | 0.6 | |
United Kingdom | 2.1 | Belgium | 0.5 | |
Italy | 2.0 | Ireland | 0.5 | |
Spain | 1.3 | Other | 5.0 | |
Canada | 1.2 | Total | 100.0% | |
Mexico | 0.9 | |||
⌂ Methodology differs from that used for purposes of complying with the fund’s policy regarding investments in securities of foreign issuers, as discussed further in the fund’s prospectus. |
24 Global Income Trust |
FORWARD CURRENCY CONTRACTS at 4/30/23 (aggregate face value $75,098,441) (Unaudited) | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Bank of America N.A. | ||||||
Australian Dollar | Buy | 7/19/23 | $3,983 | $4,067 | $(84) | |
Canadian Dollar | Sell | 7/19/23 | 1,178,992 | 1,189,416 | 10,424 | |
Czech Koruna | Buy | 6/21/23 | 96,433 | 92,668 | 3,765 | |
Japanese Yen | Buy | 5/17/23 | 592,288 | 371,758 | 220,530 | |
Mexican Peso | Sell | 7/19/23 | 346,047 | 343,642 | (2,405) | |
New Zealand Dollar | Sell | 7/19/23 | 6,738 | 6,864 | 126 | |
Swedish Krona | Sell | 6/21/23 | 2,297 | 2,247 | (50) | |
Barclays Bank PLC | ||||||
British Pound | Buy | 6/21/23 | 6,793 | 6,453 | 340 | |
Euro | Buy | 6/21/23 | 44,641 | 43,111 | 1,530 | |
Swiss Franc | Sell | 6/21/23 | 296,340 | 282,698 | (13,642) | |
Citibank, N.A. | ||||||
Australian Dollar | Buy | 7/19/23 | 332 | 339 | (7) | |
Canadian Dollar | Sell | 7/19/23 | 2,292 | 2,313 | 21 | |
Danish Krone | Sell | 6/21/23 | 136,162 | 131,855 | (4,307) | |
Euro | Buy | 6/21/23 | 263,538 | 262,168 | 1,370 | |
Japanese Yen | Buy | 5/17/23 | 1,647,364 | 1,742,152 | (94,788) | |
Japanese Yen | Sell | 5/17/23 | 1,647,364 | 1,648,302 | 938 | |
Norwegian Krone | Sell | 6/21/23 | 26,243 | 26,482 | 239 | |
Romanian Leu | Buy | 6/21/23 | 76,994 | 73,957 | 3,037 | |
Goldman Sachs International | ||||||
Chinese Yuan (Offshore) | Sell | 5/17/23 | 113,921 | 126,709 | 12,788 | |
Indonesian Rupiah | Buy | 5/17/23 | 444,321 | 435,265 | 9,056 | |
Japanese Yen | Buy | 5/17/23 | 544,218 | 544,546 | (328) | |
Japanese Yen | Sell | 5/17/23 | 544,218 | 575,590 | 31,372 | |
Norwegian Krone | Sell | 6/21/23 | 3,659 | 3,738 | 79 | |
Polish Zloty | Sell | 6/21/23 | 86,860 | 81,218 | (5,642) | |
South African Rand | Sell | 7/19/23 | 17,369 | 17,733 | 364 | |
Swedish Krona | Sell | 6/21/23 | 135,105 | 132,096 | (3,009) | |
Swiss Franc | Buy | 6/21/23 | 229,736 | 219,153 | 10,583 | |
HSBC Bank USA, National Association | ||||||
Australian Dollar | Buy | 7/19/23 | 87,035 | 88,829 | (1,794) | |
British Pound | Buy | 6/21/23 | 881 | 846 | 35 | |
Canadian Dollar | Buy | 7/19/23 | 247,715 | 250,620 | (2,905) | |
Chinese Yuan (Offshore) | Buy | 5/17/23 | 5,576,325 | 5,748,562 | (172,237) | |
Danish Krone | Sell | 6/21/23 | 61,807 | 59,853 | (1,954) | |
Euro | Sell | 6/21/23 | 8,964,284 | 8,652,887 | (311,397) | |
Japanese Yen | Buy | 5/17/23 | 923,932 | 1,030,869 | (106,937) | |
Norwegian Krone | Buy | 6/21/23 | 2,267 | 2,293 | (26) | |
Polish Zloty | Sell | 6/21/23 | 87,650 | 81,968 | (5,682) | |
Swedish Krona | Sell | 6/21/23 | 54,922 | 53,790 | (1,132) | |
Swiss Franc | Buy | 6/21/23 | 128,596 | 122,717 | 5,879 |
Global Income Trust 25 |
FORWARD CURRENCY CONTRACTS at 4/30/23 (aggregate face value $75,098,441) (Unaudited) cont. | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
JPMorgan Chase Bank N.A. | ||||||
Australian Dollar | Buy | 7/19/23 | $64,330 | $65,661 | $(1,331) | |
British Pound | Sell | 6/21/23 | 1,561,232 | 1,487,788 | (73,444) | |
Canadian Dollar | Buy | 7/19/23 | 13,971 | 14,096 | (125) | |
Euro | Buy | 6/21/23 | 5,922,267 | 5,702,598 | 219,669 | |
Japanese Yen | Buy | 5/17/23 | 2,644,557 | 2,646,108 | (1,551) | |
Japanese Yen | Sell | 5/17/23 | 2,644,557 | 2,790,458 | 145,901 | |
Norwegian Krone | Sell | 6/21/23 | 28,811 | 29,427 | 616 | |
Singapore Dollar | Buy | 5/17/23 | 189,762 | 192,901 | (3,139) | |
South Korean Won | Buy | 5/17/23 | 1,003,943 | 1,096,495 | (92,552) | |
Swiss Franc | Buy | 6/21/23 | 4,952 | 4,723 | 229 | |
Morgan Stanley & Co. International PLC | ||||||
Australian Dollar | Buy | 7/19/23 | 130,917 | 133,624 | (2,707) | |
British Pound | Buy | 6/21/23 | 1,242,444 | 1,181,709 | 60,735 | |
Canadian Dollar | Buy | 7/19/23 | 121,677 | 122,749 | (1,072) | |
Euro | Buy | 6/21/23 | 438,899 | 419,051 | 19,848 | |
Japanese Yen | Buy | 5/17/23 | 5,600,345 | 5,885,780 | (285,435) | |
Japanese Yen | Sell | 5/17/23 | 5,600,345 | 5,665,265 | 64,920 | |
Mexican Peso | Sell | 7/19/23 | 69,547 | 69,054 | (493) | |
New Zealand Dollar | Sell | 7/19/23 | 330,533 | 336,697 | 6,164 | |
Norwegian Krone | Sell | 6/21/23 | 70,659 | 72,173 | 1,514 | |
Polish Zloty | Sell | 6/21/23 | 59,232 | 56,008 | (3,224) | |
Swedish Krona | Buy | 6/21/23 | 5,622 | 4,068 | 1,554 | |
Swiss Franc | Sell | 6/21/23 | 13,951 | 13,392 | (559) | |
NatWest Markets PLC | ||||||
British Pound | Buy | 6/21/23 | 233,116 | 219,544 | 13,572 | |
Euro | Sell | 6/21/23 | 2,607,759 | 2,525,204 | (82,555) | |
Japanese Yen | Buy | 5/17/23 | 1,647,364 | 1,742,343 | (94,979) | |
Japanese Yen | Sell | 5/17/23 | 1,647,363 | 1,648,311 | 948 | |
State Street Bank and Trust Co. | ||||||
Australian Dollar | Sell | 7/19/23 | 706,835 | 721,202 | 14,367 | |
British Pound | Sell | 6/21/23 | 107,814 | 104,875 | (2,939) | |
Canadian Dollar | Buy | 7/19/23 | 69,266 | 69,870 | (604) | |
Chinese Yuan (Offshore) | Buy | 5/17/23 | 1,139,910 | 1,188,814 | (48,904) | |
Euro | Buy | 6/21/23 | 132,267 | 131,499 | 768 | |
Hong Kong Dollar | Buy | 5/17/23 | 25,392 | 25,516 | (124) | |
Hungarian Forint | Buy | 6/21/23 | 47,249 | 44,271 | 2,978 | |
Israeli Shekel | Buy | 7/19/23 | 107,412 | 109,236 | (1,824) | |
Japanese Yen | Buy | 5/17/23 | 1,708,355 | 1,789,831 | (81,476) | |
New Zealand Dollar | Sell | 7/19/23 | 134,761 | 137,297 | 2,536 | |
Norwegian Krone | Sell | 6/21/23 | 110,042 | 112,400 | 2,358 | |
Swedish Krona | Sell | 6/21/23 | 201,679 | 197,241 | (4,438) | |
Swiss Franc | Buy | 6/21/23 | 69,532 | 66,387 | 3,145 |
26 Global Income Trust |
FORWARD CURRENCY CONTRACTS at 4/30/23 (aggregate face value $75,098,441) (Unaudited) cont. | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Toronto-Dominion Bank | ||||||
Japanese Yen | Buy | 5/17/23 | $943,294 | $997,655 | $(54,361) | |
Norwegian Krone | Sell | 6/21/23 | 122,251 | 124,889 | 2,638 | |
UBS AG | ||||||
Australian Dollar | Buy | 7/19/23 | 2,788 | 2,846 | (58) | |
British Pound | Sell | 6/21/23 | 729,162 | 694,147 | (35,015) | |
Canadian Dollar | Buy | 7/19/23 | 8,797 | 8,875 | (78) | |
Chinese Yuan (Offshore) | Buy | 5/17/23 | 100,613 | 103,702 | (3,089) | |
Chinese Yuan (Offshore) | Sell | 5/17/23 | 100,613 | 100,664 | 51 | |
Euro | Buy | 6/21/23 | 6,230,226 | 6,015,283 | 214,943 | |
Japanese Yen | Buy | 5/17/23 | 1,683,046 | 1,780,302 | (97,256) | |
New Zealand Dollar | Sell | 7/19/23 | 18,050 | 18,380 | 330 | |
Swedish Krona | Sell | 6/21/23 | 232,201 | 227,021 | (5,180) | |
WestPac Banking Corp. | ||||||
British Pound | Buy | 6/21/23 | 13,587 | 12,933 | 654 | |
Euro | Buy | 6/21/23 | 1,571,065 | 1,516,972 | 54,093 | |
Japanese Yen | Buy | 5/17/23 | 86,186 | 86,238 | (52) | |
Japanese Yen | Sell | 5/17/23 | 86,186 | 89,019 | 2,833 | |
New Zealand Dollar | Sell | 7/19/23 | 35,422 | 36,075 | 653 | |
Unrealized appreciation | 1,150,493 | |||||
Unrealized (depreciation) | (1,706,890) | |||||
Total | $(556,397) | |||||
* The exchange currency for all contracts listed is the United States Dollar. | ||||||
FUTURES CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
Canadian Government Bond 10 yr (Long) | 2 | $186,117 | $186,117 | Jun-23 | $6,858 | |
Euro-Bobl 5 yr (Long) | 9 | 1,169,920 | 1,169,921 | Jun-23 | 28,543 | |
Euro-Bund 10 yr (Long) | 5 | 746,868 | 746,868 | Jun-23 | 26,491 | |
Euro-Buxl 30 yr (Long) | 4 | 614,860 | 614,860 | Jun-23 | 34,548 | |
Euro-Schatz 2 yr (Short) | 6 | 698,660 | 698,660 | Jun-23 | (6,623) | |
Japanese Government Bond 10 yr (Long) | 4 | 4,362,729 | 4,362,729 | Jun-23 | 94,958 | |
Japanese Government Bond 10 yr (Short) | 10 | 10,906,822 | 10,906,822 | Jun-23 | (237,116) | |
U.S. Treasury Bond 30 yr (Long) | 16 | 2,106,500 | 2,106,500 | Jun-23 | 91,589 | |
U.S. Treasury Bond Ultra 30 yr (Long) | 14 | 1,979,688 | 1,979,688 | Jun-23 | 78,703 | |
U.S. Treasury Note 2 yr (Short) | 82 | 16,905,453 | 16,905,453 | Jun-23 | (150,036) | |
U.S. Treasury Note 5 yr (Long) | 61 | 6,694,273 | 6,694,273 | Jun-23 | 147,082 | |
U.S. Treasury Note 10 yr (Long) | 40 | 4,608,125 | 4,608,125 | Jun-23 | 140,144 | |
U.S. Treasury Note Ultra 10 yr (Long) | 8 | 971,625 | 971,625 | Jun-23 | 31,841 | |
Unrealized appreciation | 680,757 | |||||
Unrealized (depreciation) | (393,775) | |||||
Total | $286,982 | |||||
Global Income Trust 27 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Bank of America N.A. | ||||||
(1.39)/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | $20,479,800 | $(235,518) | $390,345 | ||
1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | 20,479,800 | (235,518) | (131,480) | ||
3.63/US SOFR/Mar-26 (Written) | Mar-24/3.63 | 9,962,200 | 124,029 | 53,796 | ||
(3.63)/US SOFR/Mar-26 (Written) | Mar-24/3.63 | 9,962,200 | 124,029 | (44,830) | ||
3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 5,748,900 | 418,232 | 46,739 | ||
(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 5,748,900 | 418,232 | 38,575 | ||
3.1625/US SOFR/Mar-37 (Written) | Mar-27/3.1625 | 4,789,100 | 330,448 | 45,449 | ||
(3.1625)/US SOFR/Mar-37 (Written) | Mar-27/3.1625 | 4,789,100 | 330,448 | 1,533 | ||
(0.7988)/US SOFR/Apr-34 (Written) | Apr-24/0.7988 | 3,876,400 | 4,787 | (4) | ||
3.095/US SOFR/Mar-36 (Written) | Mar-26/3.095 | 3,812,100 | 252,361 | 46,698 | ||
(3.095)/US SOFR/Mar-36 (Written) | Mar-26/3.095 | 3,812,100 | 252,361 | 15,058 | ||
(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 | 2,521,500 | (131,118) | (10,263) | ||
2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 | 2,521,500 | (128,597) | (21,231) | ||
3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 2,505,700 | (162,495) | 20,346 | ||
(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 2,505,700 | (162,495) | (51,642) | ||
(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 | 2,445,800 | (123,513) | (7,386) | ||
2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 | 2,445,800 | (123,513) | (18,613) | ||
(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 2,276,600 | 177,802 | 13,933 | ||
3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 2,276,600 | 177,802 | 9,357 | ||
(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 2,156,400 | (318,716) | 3,364 | ||
2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 2,156,400 | (318,716) | (74,137) | ||
3.03/US SOFR/Mar-36 (Purchased) | Mar-26/3.03 | 1,957,700 | (125,195) | (9,358) | ||
(3.03)/US SOFR/Mar-36 (Purchased) | Mar-26/3.03 | 1,957,700 | (125,195) | (15,662) | ||
1.8838/US SOFR/Apr-34 (Purchased) | Apr-24/1.8838 | 1,938,200 | (14,176) | 1,163 | ||
(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 1,742,600 | (258,776) | 15,927 | ||
2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 1,742,600 | (258,776) | (73,032) | ||
(1.405)/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 | 1,573,300 | (241,305) | 203,412 | ||
1.405/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 | 1,573,300 | (241,305) | (146,443) | ||
0.9876/US SOFR/Mar-50 (Purchased) | Mar-30/0.9876 | 1,070,200 | (23,247) | 214 | ||
(0.9876)/US SOFR/Mar-50 (Purchased) | Mar-30/0.9876 | 1,070,200 | (345,631) | (7,545) | ||
3.03/US SOFR/Feb-33 (Written) | Feb-28/3.03 | 1,008,600 | 38,327 | (948) | ||
(3.03)/US SOFR/Feb-33 (Written) | Feb-28/3.03 | 1,008,600 | 38,327 | (3,560) | ||
(1.0035)/US SOFR/Mar-34 (Written) | Mar-24/1.0035 | 969,100 | 1,468 | 58 | ||
2.0035/US SOFR/Mar-34 (Purchased) | Mar-24/2.0035 | 678,400 | (5,269) | 366 | ||
0.6385/US SOFR/Mar-40 (Purchased) | Mar-30/0.6385 | 564,100 | (5,515) | 355 | ||
(0.6385)/US SOFR/Mar-40 (Purchased) | Mar-30/0.6385 | 564,100 | (130,720) | (2,555) | ||
0.5644/US SOFR/Mar-40 (Purchased) | Mar-30/0.5644 | 287,300 | (2,629) | 175 | ||
(0.5644)/US SOFR/Mar-40 (Purchased) | Mar-30/0.5644 | 287,300 | (68,216) | (1,301) | ||
Barclays Bank PLC | ||||||
(3.09)/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 | 3,823,600 | (311,050) | 229 | ||
3.09/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 | 3,823,600 | (311,050) | (15,600) |
28 Global Income Trust |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | ||||||
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) | ||
Citibank, N.A. | ||||||
(3.166)/US SOFR/Jul-28 (Purchased) | Jul-23/3.166 | $14,178,000 | $(176,693) | $2,552 | ||
3.166/US SOFR/Jul-28 (Purchased) | Jul-23/3.166 | 14,178,000 | (176,693) | (17,155) | ||
2.703/US SOFR/Jul-33 (Purchased) | Jul-23/2.703 | 9,805,200 | (109,299) | (59,616) | ||
2.643/US SOFR/Jul-33 (Purchased) | Jul-23/2.643 | 9,805,200 | (109,299) | (68,244) | ||
2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 | 3,465,600 | (41,934) | (17,917) | ||
(2.25)/US SOFR/Jan-34 (Written) | Jan-24/2.25 | 3,431,800 | 44,700 | 12,149 | ||
(1.887)/US SOFR/Jan-35 (Written) | Jan-25/1.887 | 3,431,800 | 58,975 | 11,325 | ||
(2.311)/US SOFR/Jan-34 (Written) | Jan-24/2.311 | 3,431,800 | 44,700 | 8,717 | ||
(1.947)/US SOFR/Jan-35 (Written) | Jan-25/1.947 | 3,431,800 | 58,975 | 7,790 | ||
(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 2,979,400 | (220,029) | 162,765 | ||
1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 2,979,400 | (220,029) | (97,814) | ||
(3.20)/US SOFR/Jul-33 (Purchased) | Jul-23/3.20 | 1,587,600 | (25,163) | (1,445) | ||
3.58/US SOFR/Jul-33 (Written) | Jul-23/3.58 | 1,587,600 | 9,049 | 524 | ||
3.39/US SOFR/Jul-33 (Written) | Jul-23/3.39 | 1,587,600 | 15,082 | 524 | ||
1.34/US SOFR/Jan-61 (Purchased) | Jan-41/1.34 | 933,600 | (77,956) | (2,763) | ||
(1.34)/US SOFR/Jan-61 (Purchased) | Jan-41/1.34 | 933,600 | (218,238) | (2,847) | ||
2.14/US SOFR/Jun-41 (Purchased) | Jun-31/2.14 | 577,800 | (22,419) | (422) | ||
(2.14)/US SOFR/Jun-41 (Purchased) | Jun-31/2.14 | 577,800 | (74,559) | (1,427) | ||
2.403/US SOFR/Nov-49 (Purchased) | Nov-24/2.403 | 377,000 | (15,269) | (309) | ||
(2.403)/US SOFR/Nov-49 (Purchased) | Nov-24/2.403 | 377,000 | (50,231) | (1,188) | ||
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) | Mar-24/0.055 | EUR | 43,551,100 | 139,730 | 131,010 | |
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 21,775,600 | (137,362) | (129,331) | |
3.18/6 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-24/3.18 | EUR | 4,191,800 | (91,707) | 36,536 | |
(3.18)/6 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-24/3.18 | EUR | 4,191,800 | (91,707) | (27,945) | |
Deutsche Bank AG | ||||||
(2.98)/US SOFR/Mar-35 (Written) | Mar-30/2.98 | $8,012,600 | 370,983 | 35,015 | ||
2.98/US SOFR/Mar-35 (Written) | Mar-30/2.98 | 8,012,600 | 370,983 | 481 | ||
3.19/US SOFR/Mar-38 (Written) | Mar-28/3.19 | 1,043,900 | 72,708 | 4,760 | ||
(3.19)/US SOFR/Mar-38 (Written) | Mar-28/3.19 | 1,043,900 | 72,708 | (2,892) | ||
2.818/3 month EUR-EURIBOR/Mar-29 (Written) | Mar-28/2.818 | EUR | 5,984,400 | 57,784 | (396) | |
(2.818)/3 month EUR-EURIBOR/Mar-29 (Written) | Mar-28/2.818 | EUR | 5,984,400 | 57,784 | (3,759) | |
Goldman Sachs International | ||||||
(2.40)/US SOFR/May-57 (Purchased) | May-27/2.40 | $5,415,500 | (698,600) | 161,003 | ||
2.40/US SOFR/May-57 (Purchased) | May-27/2.40 | 5,415,500 | (698,600) | (196,853) | ||
2.525/US SOFR/Mar-47 (Purchased) | Mar-27/2.525 | 371,900 | (21,886) | 1,759 | ||
(2.525)/US SOFR/Mar-47 (Purchased) | Mar-27/2.525 | 371,900 | (52,438) | (2,685) | ||
2.85/3 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-28/2.85 | EUR | 5,969,200 | (56,149) | 4,670 |
Global Income Trust 29 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | ||||||
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) | ||
Goldman Sachs International cont. | ||||||
(2.85)/3 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-28/2.85 | EUR | 5,969,200 | $(56,149) | $(329) | |
3.18/6 month EUR-EURIBOR/Sep-33 (Purchased) | Sep-23/3.18 | EUR | 216,300 | (6,092) | 1,471 | |
(3.18)/6 month EUR-EURIBOR/Sep-33 (Purchased) | Sep-23/3.18 | EUR | 216,300 | (6,092) | (3,001) | |
JPMorgan Chase Bank N.A. | ||||||
(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | $4,312,800 | (363,353) | 302 | ||
3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 4,312,800 | (363,353) | (37,263) | ||
(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 3,884,900 | 82,894 | 65,771 | ||
1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 3,884,900 | 82,894 | (155,746) | ||
(3.115)/US SOFR/Mar-43 (Written) | Mar-33/3.115 | 2,919,300 | 246,389 | 14,275 | ||
3.115/US SOFR/Mar-43 (Written) | Mar-33/3.115 | 2,919,300 | 246,389 | 8,086 | ||
(2.317)/US SOFR/Apr-42 (Written) | Apr-32/2.317 | 2,442,700 | 206,897 | 74,454 | ||
2.317/US SOFR/Apr-42 (Written) | Apr-32/2.317 | 2,442,700 | 206,897 | (59,700) | ||
3.187/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 1,174,900 | (75,840) | 1,034 | ||
(3.187)/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 | 1,174,900 | (75,840) | (18,211) | ||
3.1525/US SOFR/Mar-40 (Written) | Mar-30/3.1525 | 1,000,500 | 79,290 | 4,042 | ||
(3.1525)/US SOFR/Mar-40 (Written) | Mar-30/3.1525 | 1,000,500 | 79,290 | 3,912 | ||
(3.0925)/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 939,200 | 78,893 | 5,044 | ||
3.0925/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 939,200 | 78,893 | 1,728 | ||
(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 723,500 | 42,759 | 24,375 | ||
1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 723,500 | 42,759 | (43,027) | ||
4.12/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2,140,600 | (111,675) | (4,717) | |
(4.12)/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2,140,600 | (111,675) | (8,060) | |
(4.178)/6 month AUD-BBR-BBSW/Apr-40 (Purchased) | Apr-33/4.178 | AUD | 2,061,000 | (73,867) | (1,909) | |
4.178/6 month AUD-BBR-BBSW/Apr-40 (Purchased) | Apr-33/4.178 | AUD | 2,061,000 | (73,867) | (3,028) | |
4.344/6 month AUD-BBR-BBSW/Mar-33 (Purchased) | Mar-28/4.344 | AUD | 1,476,500 | (36,850) | 2,540 | |
(4.344)/6 month AUD-BBR-BBSW/Mar-33 (Purchased) | Mar-28/4.344 | AUD | 1,476,500 | (36,850) | (4,924) | |
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 1,458,600 | (90,707) | 110,916 | |
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 1,458,600 | (90,707) | (57,813) | |
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 261,200 | (9,791) | 22,605 | |
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 261,200 | (9,791) | (7,619) |
30 Global Income Trust |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | ||||||
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) | ||
JPMorgan Chase Bank N.A. cont. | ||||||
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 163,800 | $(5,110) | $14,648 | |
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 163,800 | (5,110) | (4,477) | |
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 125,100 | (7,399) | 19,537 | |
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 125,100 | (7,399) | (6,424) | |
Morgan Stanley & Co. International PLC | ||||||
(2.3825)/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 | $413,900 | (52,462) | 11,403 | ||
2.3825/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 | 413,900 | (52,462) | (19,143) | ||
2.22/US SOFR/Nov-49 (Purchased) | Nov-24/2.22 | 377,000 | (9,237) | 2,115 | ||
(2.22)/US SOFR/Nov-49 (Purchased) | Nov-24/2.22 | 377,000 | (62,884) | (4,852) | ||
Toronto-Dominion Bank | ||||||
2.118/US SOFR/Mar-41 (Purchased) | Mar-31/2.118 | 94,500 | (3,147) | 267 | ||
(2.118)/US SOFR/Mar-41 (Purchased) | Mar-31/2.118 | 94,500 | (12,530) | (437) | ||
UBS AG | ||||||
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 1,140,000 | (69,219) | 13,940 | |
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 1,140,000 | (69,219) | (16,392) | |
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 975,900 | (51,942) | 33,230 | |
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 975,900 | (51,942) | (18,494) | |
(2.60)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.60 | EUR | 3,814,900 | 133,852 | 29,089 | |
(2.65)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.65 | EUR | 3,814,900 | 134,338 | 24,886 | |
(2.675)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.675 | EUR | 3,814,900 | 133,852 | 22,700 | |
2.675/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.675 | EUR | 3,814,900 | 133,852 | 42 | |
2.65/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.65 | EUR | 3,814,900 | 134,338 | (2,354) | |
2.60/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.60 | EUR | 3,814,900 | 133,852 | (7,230) | |
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,404,600 | (188,646) | 345,114 | |
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,404,600 | (188,646) | (105,323) | |
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 1,628,600 | (225,795) | 162,910 | |
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 1,628,600 | (225,795) | (122,407) |
Global Income Trust 31 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | ||||||
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) | ||
UBS AG cont. | ||||||
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 801,500 | $(121,280) | $164,120 | |
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 801,500 | (121,280) | (69,662) | |
Unrealized appreciation | 2,673,228 | |||||
Unrealized (depreciation) | (2,053,140) | |||||
Total | $620,088 | |||||
TBA SALE COMMITMENTS OUTSTANDING at 4/30/23 (proceeds receivable $30,047,129) (Unaudited) | |||
Agency | Principal amount | Settlement date | Value |
Uniform Mortgage-Backed Securities, 5.00%, 5/1/53 | $20,000,000 | 5/11/23 | $19,885,938 |
Uniform Mortgage-Backed Securities, 4.50%, 5/1/53 | 5,000,000 | 5/11/23 | 4,885,543 |
Uniform Mortgage-Backed Securities, 3.00%, 5/1/53 | 5,000,000 | 5/11/23 | 4,493,166 |
Uniform Mortgage-Backed Securities, 2.00%, 5/1/53 | 1,000,000 | 5/11/23 | 831,195 |
Total | $30,095,842 | ||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$1,059,500 | $163,036 | $44,379 | 9/1/32 | 3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(124,896) | |
670,000 | 18,827 | (54) | 12/23/23 | US SOFR — Annually | 0.695% — Annually | (28,172) | |
10,276,000 | 840,166 | 883 | 12/23/26 | 1.085% — Annually | US SOFR — Annually | 969,196 | |
3,190,000 | 448,929 | 385 | 12/23/31 | 1.285% — Annually | US SOFR — Annually | 486,809 | |
1,262,000 | 372,833 | (2,247) | 12/23/51 | US SOFR — Annually | 1.437% — Annually | (389,226) | |
8,457,000 | 237,473 | (861) | 12/24/23 | 0.697% — Annually | US SOFR — Annually | 349,521 | |
5,228,000 | 425,664 | 333 | 12/24/26 | US SOFR — Annually | 1.096% — Annually | (487,945) | |
1,358,000 | 191,152 | (606) | 12/24/31 | 1.285% — Annually | US SOFR — Annually | 205,926 | |
4,264,000 | 1,261,334 | (2,304) | 12/24/51 | 1.435% — Annually | US SOFR — Annually | 1,305,119 | |
252,000 | 70,250 | (41) | 12/31/51 | US SOFR — Annually | 1.525% — Annually | (72,897) | |
1,711,000 | 137,479 | (227) | 12/31/26 | US SOFR — Annually | 1.135% — Annually | (157,661) | |
1,865,000 | 253,174 | 7,256 | 12/31/31 | US SOFR — Annually | 1.355% — Annually | (266,278) |
32 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$446,900 | $29,750 E | $(10) | 1/15/47 | 1.724% — Annually | US SOFR — Annually | $29,740 | |
769,000 | 192,104 | (26) | 1/21/52 | 1.679% — Annually | US SOFR — Annually | 198,251 | |
1,051,000 | 273,081 | (36) | 1/19/52 | US SOFR — Annually | 1.626% — Annually | (282,028) | |
300,000 | 76,353 | (10) | 2/1/52 | 1.6545% — Annually | US SOFR — Annually | 78,569 | |
2,024,000 | 436,415 | (69) | 2/24/52 | US SOFR — Annually | 1.86% — Annually | (447,031) | |
1,338,000 | 312,022 | (46) | 2/29/52 | 1.7674% — Annually | US SOFR — Annually | 318,756 | |
1,801,000 | 193,842 | (24) | 2/29/32 | US SOFR — Annually | 1.75% — Annually | (203,046) | |
5,321,000 | 337,298 | (43) | 2/28/27 | 1.675% — Annually | US SOFR — Annually | 365,069 | |
12,331,000 | 347,981 | (47) | 2/29/24 | US SOFR — Annually | 1.47709% — Annually | (416,681) | |
245,600 | 27,797 | (3) | 3/7/32 | 3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (28,949) | |
1,901,000 | 42,031 | (7) | 4/7/24 | 2.45% — Annually | US SOFR — Annually | 45,021 | |
558,000 | 19,859 | (5) | 4/7/27 | US SOFR — Annually | 2.465% — Annually | (20,738) | |
2,074,000 | 132,487 | (28) | 4/7/23 | 2.3305% — Annually | US SOFR — Annually | 135,895 | |
1,751,000 | 297,530 | (60) | 4/7/52 | US SOFR — Annually | 2.1005% — Annually | (300,758) | |
442,000 | 22,569 | (6) | 4/14/32 | 2.4975% — Annually | US SOFR — Annually | 23,044 | |
1,966,000 | 244,492 | (67) | 4/14/52 | US SOFR — Annually | 2.3395% — Annually | (246,848) | |
1,816,000 | 63,506 | (15) | 4/14/27 | 2.483% — Annually | US SOFR — Annually | 65,482 | |
4,526,000 | 103,329 | (17) | 4/14/24 | 2.405% — Annually | US SOFR — Annually | 108,441 | |
4,420,200 | 121,865 | (42) | 5/2/27 | US SOFR — Annually | 2.685% — Annually | (141,482) | |
2,960,500 | 66,818 | (11) | 5/25/24 | 2.5945% — Annually | US SOFR — Annually | 86,165 | |
81,000 | 7,567 | (3) | 5/25/52 | US SOFR — Annually | 2.501% — Annually | (8,033) | |
722,100 | 47,673 E | (25) | 5/28/57 | 2.40% — Annually | US SOFR — Annually | 47,648 | |
1,905,000 | 59,855 | (25) | 6/7/32 | 2.7565% — Annually | US SOFR — Annually | 66,480 |
Global Income Trust 33 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$802,700 | $147,568 | $(100,750) | 6/22/52 | 2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | $44,712 | |
11,780,500 | 177,768 | (44) | 6/15/24 | US SOFR — Annually | 3.3385% — Annually | (189,283) | |
7,874,500 | 68,351 | (64) | 6/15/27 | 3.185% — Annually | US SOFR — Annually | 86,699 | |
918,800 | 6,404 | (13) | 9/8/32 | US SOFR — Annually | 3.07% — Annually | (11,863) | |
4,255,600 | 110,560 | (60) | 2/3/33 | 3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 127,656 | |
803,000 | 63,325 | (27) | 7/8/52 | US SOFR — Annually | 2.5765% — Annually | (69,270) | |
4,033,000 | 234,156 | (53) | 8/2/32 | US SOFR — Annually | 2.4275% — Annually | (273,347) | |
178,500 | 6,198 E | (3) | 4/1/42 | US SOFR — Annually | 2.63% — Annually | (6,201) | |
660,100 | 29,414 E | (10) | 3/24/35 | US SOFR — Annually | 2.39% — Annually | (29,424) | |
851,800 | 62,948 | (25) | 8/10/42 | 2.645% — Annually | US SOFR — Annually | 70,273 | |
1,443,800 | 114,999 | (3,219) | 8/10/42 | US SOFR — Annually | 2.605% — Annually | (130,378) | |
592,100 | 48,309 | (17) | 8/10/42 | 2.5915% — Annually | US SOFR — Annually | 53,513 | |
7,294,000 | 180,891 E | (69) | 2/6/29 | 2.40% — Annually | US SOFR — Annually | 180,823 | |
4,794,000 | 208,299 | (63) | 8/16/32 | US SOFR — Annually | 2.613% — Annually | (250,123) | |
662,500 | 15,728 E | (15) | 1/15/47 | 2.49% — Annually | US SOFR — Annually | 15,713 | |
113,000 | 2,853 | (1) | 8/25/32 | US SOFR — Annually | 2.8415% — Annually | (3,668) | |
1,070,000 | 13,493 E | (16) | 2/21/35 | 2.785% — Annually | US SOFR — Annually | 13,477 | |
1,761,700 | 25,668 | (7) | 9/6/24 | US SOFR — Annually | 3.413% — Annually | (32,121) | |
3,297,600 | 3,726 E | (18) | 1/15/27 | US SOFR — Annually | 2.73% — Annually | (3,745) | |
1,670,900 | 15,289 | (22) | 9/13/32 | 3.043% — Annually | US SOFR — Annually | 25,484 | |
635,800 | 4,953 E | (12) | 1/15/41 | 3.0500% — Annually | US SOFR — Annually | 4,940 | |
337,300 | 4,085 E | (7) | 1/15/42 | 2.9825% — Annually | US SOFR — Annually | 4,078 | |
1,205,000 | 18,437 | (41) | 9/26/52 | 2.905% — Annually | US SOFR — Annually | 26,990 |
34 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$6,264,000 | $22,300 | $(59) | 9/26/27 | US SOFR — Annually | 3.465% — Annually | $(1,294) | |
422,000 | 2,832 | (6) | 9/19/32 | 3.24% — Annually | US SOFR — Annually | (700) | |
720,000 | 9,914 | (10) | 9/23/32 | 3.3275% — Annually | US SOFR — Annually | (6,544) | |
1,196,000 | 18,263 | (10) | 10/4/27 | 3.75% — Annually | US SOFR — Annually | (15,648) | |
5,692,000 | 142,471 | (75) | 10/5/32 | US SOFR — Annually | 3.466% — Annually | 119,971 | |
192,000 | 1,448 E | (3) | 10/21/36 | US SOFR — Annually | 3.116% — Annually | 1,445 | |
2,030,000 | 27,202 E | (29) | 8/23/33 | US SOFR — Annually | 3.237% — Annually | 27,173 | |
1,952,000 | 25,103 E | (28) | 9/1/33 | US SOFR — Annually | 3.225% — Annually | 25,075 | |
242,000 | 3,773 | (3) | 11/14/32 | 3.347% — Annually | US SOFR — Annually | (2,654) | |
779,000 | 7,587 | (26) | 2/3/53 | 2.9275% — Annually | US SOFR — Annually | 10,356 | |
1,411,000 | 5,418 | (5) | 10/7/24 | US SOFR — Annually | 4.1845% — Annually | (5,453) | |
4,284,000 | 119,224 | (57) | 10/7/32 | 3.5005% — Annually | US SOFR — Annually | (104,646) | |
2,822,000 | 10,611 | 646 | 10/7/24 | 4.19% — Annually | US SOFR — Annually | 11,226 | |
8,096,000 | 117,554 | (1,914) | 10/7/27 | US SOFR — Annually | 3.73% — Annually | 94,416 | |
25,213,000 | 700,669 | (9,912) | 10/7/32 | 3.50% — Annually | US SOFR — Annually | (611,303) | |
8,568,000 | 245,045 | (8,205) | 10/7/32 | US SOFR — Annually | 3.51% — Annually | 203,593 | |
7,869,000 | 100,094 | 5,270 | 10/7/52 | US SOFR — Annually | 3.05% — Annually | 54,116 | |
4,790,000 | 27,926 E | (33) | 4/8/28 | 3.44% — Annually | US SOFR — Annually | (27,959) | |
13,125,000 | 55,519 E | (49) | 1/31/25 | US SOFR — Annually | 4.035% — Annually | 55,470 | |
81,000 | 2,176 E | (3) | 1/16/55 | 2.97% — Annually | US SOFR — Annually | (2,179) | |
9,901,000 | 70,000 E | (55) | 1/16/26 | US SOFR — Annually | 3.605% — Annually | 69,945 | |
1,928,000 | 31,966 E | (38) | 4/17/41 | US SOFR — Annually | 3.417% — Annually | 31,929 | |
1,344,000 | 70,950 | (46) | 10/20/52 | US SOFR — Annually | 3.2571% — Annually | 64,255 | |
758,800 | 39,890 E | (26) | 10/9/54 | 3.115% — Annually | US SOFR — Annually | (39,916) |
Global Income Trust 35 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$3,085,700 | $141,325 E | $(44) | 10/10/33 | US SOFR — Annually | 3.594% — Annually | $141,282 | |
228,000 | 15,570 | (8) | 10/20/52 | US SOFR — Annually | 3.3375% — Annually | 14,533 | |
345,600 | 19,896 E | (12) | 1/24/55 | 3.135% — Annually | US SOFR — Annually | (19,908) | |
1,871,800 | 55,518 | (18) | 4/13/28 | 3.965% — Annually | US SOFR — Annually | (55,999) | |
619,100 | 30,491 E | (9) | 4/4/35 | 3.5575% — Annually | US SOFR — Annually | (30,500) | |
1,238,100 | 37,601 E | (14) | 5/8/30 | US SOFR — Annually | 3.52% — Annually | 37,587 | |
1,695,000 | 13,543 E | (15) | 4/4/32 | 3.515% — Annually | US SOFR — Annually | (13,558) | |
9,316,300 | 533,731 E | (131) | 11/24/33 | US SOFR — Annually | 3.708% — Annually | 533,599 | |
581,800 | 33,262 E | (8) | 6/6/34 | US SOFR — Annually | 3.645% — Annually | 33,253 | |
44,400 | 2,196 E | (1) | 2/19/36 | US SOFR — Annually | 3.6145% — Annually | 2,196 | |
32,900 | 1,621 E | (1) | 3/3/36 | US SOFR — Annually | 3.614% — Annually | 1,620 | |
2,486,700 | 20,888 E | (9) | 6/26/25 | US SOFR — Annually | 4.31% — Annually | 20,879 | |
973,000 | 100,345 | (33) | 10/27/32 | 3.5176% — Annually | US SOFR — Annually | (96,843) | |
2,297,700 | 144,456 E | (32) | 12/4/33 | US SOFR — Annually | 3.77% — Annually | 144,424 | |
922,000 | 27,761 E | (10) | 3/24/32 | US SOFR — Annually | 3.64% — Annually | 27,751 | |
422,600 | 20,530 E | (6) | 6/28/37 | US SOFR — Annually | 3.70% — Annually | 20,524 | |
96,100 | 3,908 E | (2) | 6/20/40 | US SOFR — Annually | 3.75% — Annually | 3,907 | |
10,658,000 | 60,218 | (40) | 11/9/24 | US SOFR — Annually | 4.7655% — Annually | 86,055 | |
4,645,000 | 274,752 | (61) | 11/14/32 | 3.88% — Annually | US SOFR — Annually | (264,817) | |
582,700 | 15,325 | (8) | 11/25/32 | 3.477% — Annually | US SOFR — Annually | (13,179) | |
11,786,000 | 3,536 | (44) | 12/5/24 | 4.3515% — Annually | US SOFR — Annually | (876) | |
464,700 | 23,686 E | (16) | 12/10/57 | 2.47% — Annually | US SOFR — Annually | 23,670 | |
539,100 | 19,327 E | (18) | 12/13/57 | 2.558% — Annually | US SOFR — Annually | 19,308 | |
296,000 | 12,201 | (10) | 12/29/52 | US SOFR — Annually | 3.1925% — Annually | 10,794 |
36 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$846,000 | $7,868 | $(7) | 1/6/28 | 3.5615% — Annually | US SOFR — Annually | $(5,098) | |
2,246,000 | 14,509 | (76) | 1/18/53 | US SOFR — Annually | 2.9451% — Annually | (25,317) | |
2,871,000 | 4,737 | (38) | 1/19/33 | US SOFR — Annually | 3.175% — Annually | (7,032) | |
4,086,000 | 4,045 | (54) | 1/24/33 | 3.167% — Annually | US SOFR — Annually | 12,017 | |
2,395,000 | 8,047 | (32) | 1/30/33 | 3.19529% — Annually | US SOFR — Annually | 721 | |
200,000 | 3,354 | (3) | 2/10/33 | US SOFR — Annually | 3.3555% — Annually | 2,761 | |
1,402,000 | 31,531 | (19) | 2/15/33 | US SOFR — Annually | 3.4235% — Annually | 27,816 | |
3,100,000 | 71,889 | (25) | 2/21/28 | 3.855% — Annually | US SOFR — Annually | (66,908) | |
1,400,000 | 46,200 | (18) | 2/21/33 | US SOFR — Annually | 3.5485% — Annually | 43,098 | |
695,000 | 18,133 | (6) | 2/24/28 | 3.9195% — Annually | US SOFR — Annually | (17,141) | |
518,000 | 20,601 | (7) | 2/24/33 | US SOFR — Annually | 3.629% — Annually | 19,575 | |
959,000 | 38,302 | (13) | 2/24/33 | US SOFR — Annually | 3.631% — Annually | 36,406 | |
1,234,000 | 39,328 | (10) | 2/28/28 | 4.0475% — Annually | US SOFR — Annually | (37,930) | |
450,000 | 20,543 | (6) | 2/28/33 | US SOFR — Annually | 3.6985% — Annually | 19,753 | |
3,914,000 | 197,226 | (133) | 3/7/53 | 3.235% — Annually | US SOFR — Annually | (189,939) | |
1,409,000 | 12,160 E | (10) | 6/24/28 | 3.254% — Annually | US SOFR — Annually | (12,169) | |
345,000 | 15,104 | (5) | 3/2/33 | 3.676% — Annually | US SOFR — Annually | (14,512) | |
948,000 | 28,231 | (8) | 3/2/28 | US SOFR — Annually | 3.998% — Annually | 27,093 | |
1,128,000 | 29,193 E | (17) | 2/4/36 | 3.3105% — Annually | US SOFR — Annually | (29,210) | |
897,000 | 13,285 E | (10) | 12/16/31 | 3.245% — Annually | US SOFR — Annually | (13,295) | |
65,000 | 4,778 | (2) | 3/6/53 | 3.354% — Annually | US SOFR — Annually | (4,642) | |
620,000 | 34,063 | (8) | 3/6/33 | US SOFR — Annually | 3.808% — Annually | 33,172 | |
707,000 | 25,459 | (6) | 3/6/28 | 4.1355% — Annually | US SOFR — Annually | (24,818) | |
340,000 | 11,842 | (3) | 3/7/28 | US SOFR — Annually | 4.108% — Annually | 11,519 |
Global Income Trust 37 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$491,000 | $24,069 | $(6) | 3/7/33 | 3.7375% — Annually | US SOFR — Annually | $(23,334) | |
82,000 | 4,315 | (3) | 3/7/53 | US SOFR — Annually | 3.2465% — Annually | 4,127 | |
93,000 | 4,045 | (1) | 3/8/33 | 3.6715% — Annually | US SOFR — Annually | (3,898) | |
245,000 | 10,248 | (3) | 3/10/33 | 3.6515% — Annually | US SOFR — Annually | (9,868) | |
798,000 | 34,913 E | (2,706) | 6/21/33 | US SOFR — Annually | 3.635% — Annually | 32,206 | |
370,000 | 15,240 E | (5) | 8/9/33 | 3.575% — Annually | US SOFR — Annually | (15,246) | |
261,500 | 740 E | (3) | 2/9/38 | 3.31% — Annually | US SOFR — Annually | (743) | |
124,800 | 1,777 E | (2) | 2/9/38 | 3.275% — Annually | US SOFR — Annually | (1,779) | |
1,727,600 | 72,715 E | (24) | 5/11/33 | 3.64% — Annually | US SOFR — Annually | (72,739) | |
4,372,600 | 141,454 E | (41) | 5/11/28 | US SOFR — Annually | 3.997% — Annually | 141,413 | |
2,087,000 | 36,982 | (17) | 3/14/28 | US SOFR — Annually | 3.7185% — Annually | 34,103 | |
126,000 | 2,933 | (2) | 3/14/33 | 3.4305% — Annually | US SOFR — Annually | (2,714) | |
48,000 | 272 | (2) | 3/14/53 | 3.0045% — Annually | US SOFR — Annually | (162) | |
536,000 | 3,618 | (7) | 3/15/33 | 3.234% — Annually | US SOFR — Annually | (2,564) | |
4,476,000 | 47,848 | (59) | 3/15/33 | 3.28091% — Annually | US SOFR — Annually | (39,319) | |
1,517,000 | 5,704 | (12) | 3/17/28 | US SOFR — Annually | 3.404% — Annually | 3,125 | |
150,000 | 168 | (5) | 3/17/53 | 2.9695% — Annually | US SOFR — Annually | 498 | |
255,000 | 1,035 | (3) | 3/20/33 | 3.2019% — Annually | US SOFR — Annually | (571) | |
331,000 | 1,582 | (4) | 3/20/33 | US SOFR — Annually | 3.2105% — Annually | 975 | |
44,140,000 | 267,930 E | 253,369 | 6/21/25 | 4.20% — Annually | US SOFR — Annually | (14,560) | |
934,000 | 24,153 E | 19,854 | 6/21/28 | 3.80% — Annually | US SOFR — Annually | (4,300) | |
33,519,000 | 799,093 E | 499,834 | 6/21/33 | 3.40% — Annually | US SOFR — Annually | (299,259) | |
7,159,000 | 213,553 E | 285,977 | 6/21/53 | US SOFR — Annually | 2.80% — Annually | 72,424 | |
354,500 | 422 | (3) | 3/21/28 | US SOFR — Annually | 3.2915% — Annually | (1,025) |
38 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$217,000 | $2,211 | $(7) | 3/22/53 | US SOFR — Annually | 2.9225% — Annually | $(2,667) | |
394,000 | 1,123 | (5) | 3/22/33 | 3.1875% — Annually | US SOFR — Annually | (430) | |
691,000 | 159 | (6) | 3/22/28 | US SOFR — Annually | 3.323% — Annually | (966) | |
1,399,000 | 13,710 | (11) | 3/23/28 | 3.5365% — Annually | US SOFR — Annually | (11,829) | |
1,268,000 | 12,452 | (10) | 3/23/28 | 3.537% — Annually | US SOFR — Annually | (10,747) | |
56,000 | 78 | (2) | 3/24/53 | US SOFR — Annually | 2.982% — Annually | (31) | |
67,000 | 9 | (2) | 3/24/53 | 2.9755% — Annually | US SOFR — Annually | 117 | |
345,000 | 4,185 | (5) | 3/24/33 | US SOFR — Annually | 3.2975% — Annually | 3,636 | |
1,375,000 | 14 | (11) | 3/24/28 | US SOFR — Annually | 3.317% — Annually | (2,164) | |
977,000 | 1,632 | (13) | 3/24/33 | 3.17535% — Annually | US SOFR — Annually | 24 | |
1,585,000 | 824 | (13) | 3/27/28 | US SOFR — Annually | 3.3045% — Annually | (3,145) | |
1,585,000 | 4,169 | (13) | 3/27/28 | US SOFR — Annually | 3.2575% — Annually | (6,562) | |
1,585,000 | 1,110 | (13) | 3/27/28 | 3.3005% — Annually | US SOFR — Annually | 3,411 | |
273,000 | 3,224 | (2) | 3/28/28 | US SOFR — Annually | 3.0525% — Annually | (3,683) | |
230,000 | 2,962 | (3) | 3/28/33 | 3.001% — Annually | US SOFR — Annually | 3,355 | |
1,977,900 | 13,885 E | (28) | 6/13/33 | 3.041% — Annually | US SOFR — Annually | 13,857 | |
5,187,000 | 36,776 E | (49) | 6/13/28 | 3.086% — Annually | US SOFR — Annually | 36,727 | |
1,774,000 | 13,411 | (23) | 4/4/33 | US SOFR — Annually | 3.064% — Annually | (15,053) | |
145,100 | 16 E | (3) | 3/27/40 | US SOFR — Annually | 3.1525% — Annually | 13 | |
484,000 | 1,036 | (4) | 3/29/28 | 3.363% — Annually | US SOFR — Annually | (391) | |
534,000 | 2,099 | (7) | 3/29/33 | US SOFR — Annually | 3.20% — Annually | 1,297 | |
237,000 | 1,652 | (3) | 3/30/33 | US SOFR — Annually | 3.236% — Annually | 1,315 | |
5,751,000 | 2,243 | (22) | 3/31/25 | 4.081% — Annually | US SOFR — Annually | 5,905 | |
1,703,000 | 14,952 | (58) | 3/31/53 | US SOFR — Annually | 3.0195% — Annually | 12,247 |
Global Income Trust 39 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$512,400 | $6,108 E | $(7) | 3/13/34 | US SOFR — Annually | 3.118% — Annually | $6,101 | |
3,588,000 | 789 | (13) | 3/31/25 | US SOFR — Annually | 4.0905% — Annually | (3,072) | |
1,402,000 | 13,698 | (19) | 3/31/33 | US SOFR — Annually | 3.269% — Annually | 11,801 | |
2,265,000 | 15,176 | (30) | 4/4/33 | US SOFR — Annually | 3.2325% — Annually | 12,451 | |
3,955,000 | 1,305 | (15) | 4/4/25 | US SOFR — Annually | 4.113% — Annually | (799) | |
1,525,000 | 7,122 | (20) | 4/4/33 | US SOFR — Annually | 3.2085% — Annually | 5,262 | |
365,000 | 916 | (5) | 4/4/33 | 3.1830% — Annually | US SOFR — Annually | (474) | |
240,000 | 799 | (3) | 4/5/33 | 3.114% — Annually | US SOFR — Annually | 1,091 | |
2,800,000 | 3,640 | (11) | 4/5/25 | US SOFR — Annually | 4.02% — Annually | (5,255) | |
1,491,000 | 2,624 | (20) | 4/5/33 | US SOFR — Annually | 3.1325% — Annually | (4,454) | |
216,000 | 1,862 | (3) | 4/6/33 | 3.0515% — Annually | US SOFR — Annually | 2,124 | |
647,000 | 5,933 | (9) | 4/6/33 | 3.45% — Annually | US SOFR — Annually | 6,720 | |
1,281,000 | 11,836 E | (18) | 9/13/33 | US SOFR — Annually | 2.955% — Annually | (11,855) | |
3,109,000 | 20,271 | (25) | 4/6/28 | 3.168% — Annually | US SOFR — Annually | 23,805 | |
2,392,000 | 22,078 | (19) | 4/7/28 | 3.1075% — Annually | US SOFR — Annually | 24,780 | |
272,000 | 3,381 | (4) | 4/7/33 | 3.0065% — Annually | US SOFR — Annually | 3,705 | |
220,000 | 1,111 | (3) | 4/11/33 | US SOFR — Annually | 3.0935% — Annually | (1,323) | |
4,779,000 | 3,106 | (18) | 4/13/25 | US SOFR — Annually | 4.043% — Annually | (4,952) | |
907,000 | 6,286 | (31) | 4/14/53 | US SOFR — Annually | 2.938% — Annually | (7,116) | |
2,051,000 | 8,101 | (27) | 4/17/33 | 3.1065% — Annually | US SOFR — Annually | 9,428 | |
1,079,000 | 6,409 | (14) | 4/17/33 | US SOFR — Annually | 3.083% — Annually | (7,146) | |
594,000 | 1,592 E | (8) | 8/9/33 | US SOFR — Annually | 3.055% — Annually | (1,600) | |
1,012,700 | 1,357 | (10) | 4/19/28 | 3.278% — Annually | US SOFR — Annually | 1,862 | |
621,000 | 6,856 | (8) | 4/20/33 | US SOFR — Annually | 3.283% — Annually | 6,559 |
40 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$1,369,000 | $15,470 | $(18) | 4/20/33 | US SOFR — Annually | 3.286% — Annually | $14,817 | |
4,039,000 | 15,429 | (15) | 4/21/25 | US SOFR — Annually | 4.2675% — Annually | 14,814 | |
1,810,000 | 27,078 | (24) | 4/21/33 | US SOFR — Annually | 3.329% — Annually | 26,313 | |
AUD | 9,400 | 1,098 E | — | 1/30/35 | 1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1,098 |
AUD | 32,200 | 4,141 E | — | 3/5/35 | 1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 4,140 |
AUD | 12,000 | 1,587 E | — | 3/25/35 | 1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1,587 |
AUD | 20,900 | 2,539 E | — | 3/28/40 | 1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 2,539 |
AUD | 76,000 | 10,141 E | (1) | 4/1/40 | 1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 10,140 |
AUD | 5,000 | 1,068 E | — | 7/2/45 | 1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1,068 |
AUD | 200,000 | 16,777 | (2) | 4/6/31 | 6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (16,951) |
AUD | 904,300 | 119,310 | 157,344 | 11/24/42 | 6 month AUD-BBR-BBSW — Semiannually | 2.50% — Semiannually | 35,029 |
AUD | 978,000 | 5,895 E | (575) | 6/21/25 | 3.94% — Quarterly | 3 month AUD-BBR-BBSW — Quarterly | (6,470) |
AUD | 1,719,000 | 39,151 E | (133) | 6/21/33 | 6 month AUD-BBR-BBSW — Semiannually | 4.22% — Semiannually | 39,019 |
AUD | 680,000 | 8,090 E | (4,745) | 6/21/28 | 6 month AUD-BBR-BBSW — Semiannually | 3.901% — Semiannually | 3,345 |
AUD | 870,000 | 14,052 E | (6,068) | 6/21/33 | 6 month AUD-BBR-BBSW — Semiannually | 4.101% — Semiannually | 7,985 |
CAD | 1,160,000 | 24,632 E | 5,009 | 6/21/33 | 3.62% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | (19,623) |
CAD | 620,000 | 1,222 E | (2,574) | 6/21/28 | 3 month CAD-BA-CDOR — Semiannually | 3.351% — Semiannually | (1,352) |
Global Income Trust 41 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
CAD | 730,000 | $5,437 E | $(8,247) | 6/21/33 | 3 month CAD-BA-CDOR — Semiannually | 3.401% — Semiannually | $(2,810) |
CAD | 590,000 | 11,453 E | (10,452) | 6/21/53 | 3 month CAD-BA-CDOR — Semiannually | 3.451% — Semiannually | 1,001 |
CAD | 940,000 | 513 E | (3,434) | 6/21/25 | 3 month CAD-BA-CDOR — Semiannually | 4.14% — Semiannually | (2,921) |
CNY | 103,492,000 | 69,311 E | — | 6/21/28 | China Fixing Repo Rates 7 day — Quarterly | 2.86% — Quarterly | 69,311 |
EUR | 60,400 | 9,596 E | (2) | 11/29/58 | 1.484% — Annually | 6 month EUR-EURIBOR — Semiannually | 9,594 |
EUR | 82,300 | 22,386 | (3) | 2/19/50 | 6 month EUR-EURIBOR — Semiannually | 1.354% — Annually | (22,699) |
EUR | 91,000 | 26,460 | (3) | 3/11/50 | 1.267% — Annually | 6 month EUR-EURIBOR — Semiannually | 26,754 |
EUR | 91,800 | 27,747 | (4) | 3/12/50 | 1.2115% — Annually | 6 month EUR-EURIBOR — Semiannually | 28,051 |
EUR | 260,300 | 83,773 | (10) | 3/26/50 | 1.113% — Annually | 6 month EUR-EURIBOR — Semiannually | 84,353 |
EUR | 420,000 | 78,315 E | (16) | 11/29/58 | 6 month EUR-EURIBOR — Semiannually | 1.343% — Annually | (78,331) |
EUR | 283,000 | 94,674 | (11) | 2/19/50 | 1.051% — Annually | 6 month EUR-EURIBOR — Semiannually | 95,911 |
EUR | 87,500 | 27,509 E | (3) | 6/7/54 | 1.054% — Annually | 6 month EUR-EURIBOR — Semiannually | 27,505 |
EUR | 79,600 | 29,053 | (3) | 2/19/50 | 0.9035% — Annually | 6 month EUR-EURIBOR — Semiannually | 29,426 |
EUR | 211,200 | 81,611 | (8) | 2/21/50 | 0.80% — Annually | 6 month EUR-EURIBOR — Semiannually | 82,643 |
EUR | 258,600 | 111,940 E | (10) | 8/8/54 | 0.49% — Annually | 6 month EUR-EURIBOR — Semiannually | 111,930 |
EUR | 107,000 | 53,374 E | (4) | 6/6/54 | 6 month EUR-EURIBOR — Semiannually | 0.207% — Annually | (53,378) |
EUR | 312,300 | 157,202 | (12) | 2/19/50 | 0.233% — Annually | 6 month EUR-EURIBOR — Semiannually | 159,111 |
42 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 585,500 | $250,975 | $(22) | 2/19/50 | 6 month EUR-EURIBOR — Semiannually | 0.595% — Annually | $(254,147) |
EUR | 115,200 | 60,172 E | (4) | 3/4/54 | 0.134% — Annually | 6 month EUR-EURIBOR — Semiannually | 60,167 |
EUR | 81,200 | 48,774 E | (3) | 3/13/54 | — | 0.2275% plus 6 month EUR-EURIBOR — Semiannually | 48,771 |
EUR | 302,300 | 62,947 E | (6) | 5/13/40 | 6 month EUR-EURIBOR — Semiannually | 0.276% — Annually | (62,953) |
EUR | 55,900 | 11,412 E | (1) | 6/24/40 | 0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 11,411 |
EUR | 133,400 | 27,729 E | (3) | 1/16/40 | 0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 27,726 |
EUR | 52,200 | 10,757 E | (1) | 3/28/40 | 0.3175% — Annually | 6 month EUR-EURIBOR — Semiannually | 10,755 |
EUR | 238,200 | 107,824 | (10) | 5/21/51 | 6 month EUR-EURIBOR — Semiannually | 0.516% — Annually | (109,257) |
EUR | 51,000 | 11,306 | (1) | 6/14/31 | 0.171% — Annually | 6 month EUR-EURIBOR — Semiannually | 11,757 |
EUR | 377,200 | 87,304 | (6) | 7/15/31 | 0.0675% — Annually | 6 month EUR-EURIBOR — Semiannually | 90,483 |
EUR | 146,400 | 71,958 | (6) | 9/14/52 | 6 month EUR-EURIBOR — Semiannually | 0.374% — Annually | (72,337) |
EUR | 446,000 | 90,598 | (7) | 3/7/32 | 6 month EUR-EURIBOR — Semiannually | 0.60% — Annually | (92,658) |
EUR | 2,262,200 | 11,242 E | (36) | 2/2/36 | 2.875% — Annually | 6 month EUR-EURIBOR — Semiannually | 11,206 |
EUR | 1,286,300 | 43,046 | (19) | 9/8/32 | 2.615% — Annually | 6 month EUR-EURIBOR — Semiannually | 27,249 |
EUR | 3,113,800 | 111,270 E | (12) | 6/28/25 | 1.718% — Annually | 6 month EUR-EURIBOR — Semiannually | 111,259 |
EUR | 2,251,000 | 478,638 | (78) | 8/29/52 | 6 month EUR-EURIBOR — Semiannually | 1.636% — Annually | (466,256) |
Global Income Trust 43 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 475,600 | $25,752 E | $(5) | 9/12/29 | 1.71% — Annually | 6 month EUR-EURIBOR — Semiannually | $25,747 |
EUR | 4,691,000 | 353,922 | (45) | 9/2/27 | 6 month EUR-EURIBOR — Semiannually | 1.372% — Annually | (336,728) |
EUR | 55,700 | 5,985 E | (2) | 6/6/54 | 2.005% — Annually | 6 month EUR-EURIBOR — Semiannually | 5,983 |
EUR | 82,000 | 7,736 E | (3) | 6/7/54 | 2.065% — Annually | 6 month EUR-EURIBOR — Semiannually | 7,733 |
EUR | 10,846,000 | 130,388 | (40) | 10/10/24 | 2.7975% — Annually | 6 month EUR-EURIBOR — Semiannually | (26,399) |
EUR | 217,500 | 6,715 E | (3) | 2/18/36 | 6 month EUR-EURIBOR — Semiannually | 3.285% — Annually | 6,712 |
EUR | 55,700 | 732 E | (1) | 8/22/39 | 6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | 731 |
EUR | 2,766,100 | 25,390 E | (19) | 6/26/28 | 6 month EUR-EURIBOR — Semiannually | 3.26% — Annually | 25,371 |
EUR | 116,500 | 1,189 E | (2) | 3/28/40 | 6 month EUR-EURIBOR — Semiannually | 3.09% — Annually | 1,186 |
EUR | 1,138,000 | 8,389 | (10) | 2/24/28 | 3.206% — Annually | 6 month EUR-EURIBOR — Semiannually | (8,460) |
EUR | 776,000 | 7,756 | (11) | 2/24/33 | 6 month EUR-EURIBOR — Semiannually | 3.095% — Annually | 7,614 |
EUR | 527,000 | 5,319 | (7) | 2/24/33 | 3.096% — Annually | 6 month EUR-EURIBOR — Semiannually | (5,239) |
EUR | 1,492,000 | 26,716 | (13) | 3/2/28 | 3.4215% — Annually | 6 month EUR-EURIBOR — Semiannually | (27,057) |
EUR | 909,000 | 24,410 | (13) | 3/2/33 | 6 month EUR-EURIBOR — Semiannually | 3.2755% — Annually | 24,362 |
EUR | 96,000 | 3,350 | (3) | 3/2/53 | 2.7465% — Annually | 6 month EUR-EURIBOR — Semiannually | (3,260) |
EUR | 915,000 | 15,325 | (8) | 3/2/28 | 3.398% — Annually | 6 month EUR-EURIBOR — Semiannually | (15,496) |
EUR | 162,000 | 2,754 | (2) | 3/10/33 | 3.176% — Annually | 6 month EUR-EURIBOR — Semiannually | (2,680) |
44 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 980,000 | $20,993 E | $8,059 | 6/21/33 | 3.22% — Annually | 6 month EUR-EURIBOR — Semiannually | $(12,934) |
EUR | 1,218,000 | 11,247 E | (1,190) | 6/21/25 | 3.875% — Annually | 6 month EUR-EURIBOR — Semiannually | (12,437) |
EUR | 3,484,300 | 60,623 | (35) | 4/13/28 | 6 month EUR-EURIBOR — Semiannually | 3.395% — Annually | 60,696 |
EUR | 573,100 | 11,702 | (9) | 4/13/33 | 3.203% — Annually | 6 month EUR-EURIBOR — Semiannually | (11,667) |
EUR | 1,419,000 | 10,398 | (12) | 3/14/28 | 6 month EUR-EURIBOR — Semiannually | 3.214% — Annually | 9,739 |
EUR | 564,000 | 3,101 | (8) | 3/14/33 | 3.0525% — Annually | 6 month EUR-EURIBOR — Semiannually | (2,723) |
EUR | 40,000 | 285 | (1) | 3/14/53 | 2.5595% — Annually | 6 month EUR-EURIBOR — Semiannually | 339 |
EUR | 955,000 | 21 | (8) | 3/17/28 | 6 month EUR-EURIBOR — Semiannually | 3.075% — Annually | (72) |
EUR | 784,000 | 4,760 | (7) | 3/22/28 | 6 month EUR-EURIBOR — Semiannually | 2.909% — Annually | (4,975) |
EUR | 694,000 | 222 | (6) | 3/23/28 | 3.021% — Annually | 6 month EUR-EURIBOR — Semiannually | 340 |
EUR | 5,560,000 | 36,882 E | (52,777) | 6/21/25 | 6 month EUR-EURIBOR — Semiannually | 3.751% — Annually | (15,895) |
EUR | 2,640,000 | 26,588 E | (29,544) | 6/21/28 | 6 month EUR-EURIBOR — Semiannually | 3.251% — Annually | (2,956) |
EUR | 3,860,000 | 21,139 E | (35,091) | 6/21/33 | 6 month EUR-EURIBOR — Semiannually | 3.051% — Annually | (13,952) |
EUR | 450,000 | 2,088 E | (22,870) | 6/21/53 | 6 month EUR-EURIBOR — Semiannually | 2.601% — Annually | (20,782) |
EUR | 573,000 | 2,822 | (5) | 3/24/28 | 3.14% — Annually | 6 month EUR-EURIBOR — Semiannually | (2,818) |
EUR | 166,000 | 622 | (2) | 3/24/33 | 6 month EUR-EURIBOR — Semiannually | 3.0215% — Annually | 595 |
EUR | 268,000 | 24 | (2) | 3/27/28 | 6 month EUR-EURIBOR — Semiannually | 3.045% — Annually | (99) |
Global Income Trust 45 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 1,800,000 | $19,834 | $(16) | 3/28/28 | 6 month EUR-EURIBOR — Semiannually | 2.8235% — Annually | $(20,872) |
EUR | 197,000 | 11,859 | (7) | 3/28/53 | 2.3165% — Annually | 6 month EUR-EURIBOR — Semiannually | 12,063 |
EUR | 1,007,900 | 13,705 E | (15) | 6/13/33 | 2.85% — Annually | 6 month EUR-EURIBOR — Semiannually | 13,689 |
EUR | 3,695,600 | 34,166 E | (37) | 6/13/28 | 2.87% — Annually | 6 month EUR-EURIBOR — Semiannually | 34,128 |
EUR | 465,000 | 1,163 | (4) | 3/29/28 | 2.989% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,337 |
EUR | 273,000 | 1,309 | (4) | 3/29/33 | 6 month EUR-EURIBOR — Semiannually | 2.9295% — Annually | (1,433) |
EUR | 93,000 | 2,600 | (3) | 3/29/53 | 6 month EUR-EURIBOR — Semiannually | 2.459% — Annually | (2,687) |
EUR | 758,000 | 92 | (11) | 3/31/33 | 6 month EUR-EURIBOR — Semiannually | 2.9825% — Annually | (376) |
EUR | 254,000 | 1,013 | (4) | 4/3/33 | 6 month EUR-EURIBOR — Semiannually | 3.0285% — Annually | 953 |
EUR | 81,000 | 806 | (3) | 4/3/53 | 6 month EUR-EURIBOR — Semiannually | 2.542% — Annually | (861) |
EUR | 106,000 | 3,374 | (4) | 4/5/53 | 2.444% — Annually | 6 month EUR-EURIBOR — Semiannually | 3,446 |
EUR | 200,000 | 2,153 | (3) | 4/11/33 | 2.872% — Annually | 6 month EUR-EURIBOR — Semiannually | 2,207 |
EUR | 148,000 | 369 | (2) | 4/14/33 | 6 month EUR-EURIBOR — Semiannually | 3.0165% — Annually | 340 |
EUR | 67,000 | 38 | (2) | 4/14/53 | 6 month EUR-EURIBOR — Semiannually | 2.59% — Annually | 8 |
EUR | 173,000 | 2,036 | (6) | 4/20/53 | 6 month EUR-EURIBOR — Semiannually | 2.6425% — Annually | 1,975 |
EUR | 251,974 | 3,093 E | (4) | 3/13/34 | 6 month EUR-EURIBOR — Semiannually | 3.062% — Annually | 3,089 |
46 Global Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
GBP | 83,100 | $21,162 | $(2) | 5/19/31 | Sterling Overnight Index Average — Annually | 0.754% — Annually | $(22,899) |
GBP | 19,660,400 | 352,092 | 16,286 | 9/15/23 | Sterling Overnight Index Average — Annually | 0.84% — Annually | (701,069) |
GBP | 19,660,400 | 366,670 | 24,456 | 9/15/23 | Sterling Overnight Index Average — Annually | 0.68% — Annually | (712,103) |
GBP | 19,660,400 | 381,248 | (38,182) | 9/15/23 | 0.52% — Annually | Sterling Overnight Index Average — Annually | 755,276 |
GBP | 7,864,200 | 132,733 | (41) | 9/15/23 | 1.065% — Annually | Sterling Overnight Index Average — Annually | 256,942 |
GBP | 2,874,000 | 47,930 | (43) | 9/21/32 | 3.522% — Annually | Sterling Overnight Index Average — Annually | 43,589 |
GBP | 89,000 | 1,106 E | (2) | 1/14/40 | 3.306% — Annually | Sterling Overnight Index Average — Annually | 1,104 |
GBP | 46,000 | 565 E | (1) | 8/20/39 | 3.299% — Annually | Sterling Overnight Index Average — Annually | 564 |
GBP | 9,694,000 | 142,175 | (41) | 11/7/24 | 5.495% — Annually | Sterling Overnight Index Average — Annually | (251,520) |
GBP | 3,665,000 | 238,360 | (57) | 11/9/32 | Sterling Overnight Index Average — Annually | 4.35% — Annually | 254,295 |
GBP | 65,300 | 1,888 E | (1) | 2/26/39 | Sterling Overnight Index Average — Annually | 3.778% — Annually | 1,887 |
GBP | 134,000 | 138 E | 4,873 | 6/21/33 | 3.675% — Annually | Sterling Overnight Index Average — Annually | 4,735 |
Global Income Trust 47 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
GBP | 330,000 | $788 E | $(8,190) | 6/21/28 | Sterling Overnight Index Average — Annually | 4.001% — Annually | $(7,402) |
GBP | 690,000 | 4,501 E | (20,685) | 6/21/33 | Sterling Overnight Index Average — Annually | 3.601% — Annually | (25,185) |
GBP | 40,000 | 103 E | (2,967) | 6/21/53 | Sterling Overnight Index Average — Annually | 3.501% — Annually | (2,864) |
NOK | 3,241,000 | 2,044 E | 722 | 6/21/33 | 6 month NOK-NIBOR-NIBR — Semiannually | 3.35% — Annually | 2,766 |
NZD | 517,000 | 12,578 E | (448) | 6/21/33 | 3 month NZD-BBR-FRA — Quarterly | 4.66% — Semiannually | 12,129 |
SEK | 14,666,000 | 35,767 E | (3,631) | 6/21/33 | 3.11% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | (39,398) |
Total | $945,433 | $472,860 | |||||
E Extended effective date. | |||||||
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/23 (Unaudited) | |||||||
Swap counterparty/ Notional amount | Value | Upfront premium received (paid) | Termination date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation) | |
Morgan Stanley & Co. International PLC | |||||||
$492,994 | $436,795 | $— | 9/29/25 | (0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020−01, 9/22/25 — Annually | $(44,988) | |
469,326 | 443,299 | — | 7/17/24 | 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019−01, 7/10/24 — Quarterly | (26,703) | |
Upfront premium received | — | Unrealized appreciation | — | ||||
Upfront premium (paid) | — | Unrealized (depreciation) | (71,691) | ||||
Total | $— | Total | $(71,691) | ||||
48 Global Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/23 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Citigroup Global Markets, Inc. | ||||||||
CMBX NA BB.11 Index | BB−/P | $40,115 | $71,000 | $28,869 | 11/18/54 | 500 bp — Monthly | $11,306 | |
CMBX NA BB.13 Index | BB−/P | 5,002 | 53,000 | 23,018 | 12/16/72 | 500 bp — Monthly | (17,972) | |
CMBX NA BB.14 Index | BB/P | 4,824 | 44,000 | 18,696 | 12/16/72 | 500 bp — Monthly | (13,835) | |
CMBX NA BB.6 Index | B+/P | 30,268 | 142,335 | 59,240 | 5/11/63 | 500 bp — Monthly | (28,853) | |
CMBX NA BB.7 Index | B-/P | 15,922 | 312,000 | 129,230 | 1/17/47 | 500 bp — Monthly | (113,048) | |
CMBX NA BB.9 Index | B/P | 407 | 2,000 | 838 | 9/17/58 | 500 bp — Monthly | (429) | |
CMBX NA BB.9 Index | B/P | 14,500 | 71,000 | 29,749 | 9/17/58 | 500 bp — Monthly | (15,190) | |
CMBX NA BBB−.10 Index | BB+/P | 3,722 | 30,000 | 8,673 | 11/17/59 | 300 bp — Monthly | (4,936) | |
CMBX NA BBB−.10 Index | BB+/P | 5,782 | 53,000 | 15,322 | 11/17/59 | 300 bp — Monthly | (9,514) | |
CMBX NA BBB−.14 Index | BBB−/P | 592 | 19,000 | 5,071 | 12/16/72 | 300 bp — Monthly | (4,470) | |
CMBX NA BBB−.14 Index | BBB−/P | 1,050 | 21,000 | 5,605 | 12/16/72 | 300 bp — Monthly | (4,544) | |
CMBX NA BBB−.15 Index | BBB−/P | 104 | 1,000 | 267 | 11/18/64 | 300 bp — Monthly | (162) | |
Credit Suisse International | ||||||||
CMBX NA BB.7 Index | B-/P | 8,159 | 61,000 | 25,266 | 1/17/47 | 500 bp — Monthly | (17,056) | |
Goldman Sachs International | ||||||||
CMBX NA A.13 Index | A-/P | (228) | 43,000 | 5,345 | 12/16/72 | 200 bp — Monthly | (5,558) | |
CMBX NA A.6 Index | A+/P | 99 | 769 | 124 | 5/11/63 | 200 bp — Monthly | (25) | |
CMBX NA A.6 Index | A+/P | 721 | 5,383 | 869 | 5/11/63 | 200 bp — Monthly | (146) | |
CMBX NA BB.13 Index | BB−/P | 1,250 | 13,000 | 5,646 | 12/16/72 | 500 bp — Monthly | (4,385) | |
CMBX NA BBB−.11 Index | BBB−/P | 64 | 1,000 | 255 | 11/18/54 | 300 bp — Monthly | (191) | |
CMBX NA BBB−.13 Index | BBB−/P | 296 | 5,000 | 1,469 | 12/16/72 | 300 bp — Monthly | (1,170) | |
CMBX NA BBB−.13 Index | BBB−/P | 298 | 5,000 | 1,469 | 12/16/72 | 300 bp — Monthly | (1,168) | |
CMBX NA BBB−.13 Index | BBB−/P | 2,325 | 37,000 | 10,867 | 12/16/72 | 300 bp — Monthly | (8,523) |
Global Income Trust 49 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Goldman Sachs International cont. | ||||||||
CMBX NA BBB−.15 Index | BBB−/P | $267 | $3,000 | $801 | 11/18/64 | 300 bp — Monthly | $(532) | |
CMBX NA BBB−.15 Index | BBB−/P | 277 | 3,000 | 801 | 11/18/64 | 300 bp — Monthly | (522) | |
JPMorgan Securities LLC | ||||||||
CMBX NA BB.10 Index | B/P | 2,648 | 33,000 | 14,642 | 5/11/63 | 500 bp — Monthly | (11,967) | |
CMBX NA BB.6 Index | B+/P | 51,480 | 67,457 | 28,076 | 5/11/63 | 500 bp — Monthly | 23,460 | |
CMBX NA BBB−.11 Index | BBB−/P | 10,133 | 92,000 | 23,432 | 11/18/54 | 300 bp — Monthly | (13,254) | |
CMBX NA BBB−.13 Index | BBB−/P | 7,799 | 59,000 | 17,328 | 12/16/72 | 300 bp — Monthly | (9,500) | |
CMBX NA BBB−.7 Index | BB−/P | 4,695 | 20,000 | 4,068 | 1/17/47 | 300 bp — Monthly | 637 | |
CMBX NA BBB−.8 Index | BB−/P | 4,054 | 26,000 | 5,242 | 10/17/57 | 300 bp — Monthly | (1,174) | |
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA A.13 Index | A-/P | 1,205 | 103,000 | 12,803 | 12/16/72 | 200 bp — Monthly | (11,564) | |
CMBX NA BB.13 Index | BB−/P | 377 | 4,000 | 1,737 | 12/16/72 | 500 bp — Monthly | (1,356) | |
CMBX NA BB.13 Index | BB−/P | 554 | 6,000 | 2,606 | 12/16/72 | 500 bp — Monthly | (2,047) | |
CMBX NA BB.6 Index | B+/P | 11,787 | 32,379 | 13,476 | 5/11/63 | 500 bp — Monthly | (1,662) | |
CMBX NA BB.6 Index | B+/P | 23,902 | 65,433 | 27,233 | 5/11/63 | 500 bp — Monthly | (3,277) | |
CMBX NA BBB−.13 Index | BBB−/P | 298 | 5,000 | 1,469 | 12/16/72 | 300 bp — Monthly | (1,169) | |
CMBX NA BBB−.13 Index | BBB−/P | 15,616 | 210,000 | 61,677 | 12/16/72 | 300 bp — Monthly | (46,091) | |
Upfront premium received | 270,592 | Unrealized appreciation | 35,403 | |||||
Upfront premium (paid) | (228) | Unrealized (depreciation) | (355,290) | |||||
Total | $270,364 | Total | $(319,887) | |||||
* 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 April 30, 2023. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications. | ||||||||
50 Global Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/23 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Citigroup Global Markets, Inc. | ||||||||
CMBX NA A.6 Index | $(664) | $3,076 | $496 | 5/11/63 | (200 bp) — Monthly | $(169) | ||
CMBX NA A.6 Index | (162) | 769 | 124 | 5/11/63 | (200 bp) — Monthly | (38) | ||
CMBX NA A.6 Index | (164) | 769 | 124 | 5/11/63 | (200 bp) — Monthly | (40) | ||
CMBX NA A.6 Index | (82) | 384 | 62 | 5/11/63 | (200 bp) — Monthly | (20) | ||
CMBX NA A.6 Index | (82) | 384 | 62 | 5/11/63 | (200 bp) — Monthly | (20) | ||
CMBX NA A.6 Index | (101) | 384 | 62 | 5/11/63 | (200 bp) — Monthly | (39) | ||
CMBX NA A.6 Index | (81) | 384 | 62 | 5/11/63 | (200 bp) — Monthly | (19) | ||
CMBX NA BB.10 Index | (20,735) | 86,000 | 38,158 | 11/17/59 | (500 bp) — Monthly | 17,352 | ||
CMBX NA BB.10 Index | (18,870) | 74,000 | 32,834 | 11/17/59 | (500 bp) — Monthly | 13,902 | ||
CMBX NA BB.10 Index | (3,861) | 37,000 | 16,417 | 11/17/59 | (500 bp) — Monthly | 12,525 | ||
CMBX NA BB.10 Index | (3,399) | 31,000 | 13,755 | 11/17/59 | (500 bp) — Monthly | 10,330 | ||
CMBX NA BB.11 Index | (5,127) | 71,000 | 28,869 | 11/18/54 | (500 bp) — Monthly | 23,683 | ||
CMBX NA BB.8 Index | (2,607) | 20,294 | 9,447 | 10/17/57 | (500 bp) — Monthly | 6,822 | ||
CMBX NA BB.8 Index | (5,168) | 14,495 | 6,748 | 10/17/57 | (500 bp) — Monthly | 1,567 | ||
CMBX NA BB.8 Index | (527) | 2,899 | 1,350 | 10/17/57 | (500 bp) — Monthly | 820 | ||
CMBX NA BBB−.10 Index | (4,334) | 34,000 | 9,829 | 11/17/59 | (300 bp) — Monthly | 5,478 | ||
CMBX NA BBB−.10 Index | (8,640) | 29,000 | 8,384 | 11/17/59 | (300 bp) — Monthly | (270) | ||
CMBX NA BBB−.10 Index | (4,875) | 21,000 | 6,071 | 11/17/59 | (300 bp) — Monthly | 1,186 | ||
CMBX NA BBB−.10 Index | (2,953) | 12,000 | 3,469 | 11/17/59 | (300 bp) — Monthly | 510 | ||
CMBX NA BBB−.10 Index | (1,431) | 6,000 | 1,735 | 11/17/59 | (300 bp) — Monthly | 300 | ||
CMBX NA BBB−.10 Index | (789) | 5,000 | 1,446 | 11/17/59 | (300 bp) — Monthly | 654 | ||
CMBX NA BBB−.11 Index | (5,028) | 35,000 | 8,915 | 11/18/54 | (300 bp) — Monthly | 3,869 | ||
CMBX NA BBB−.11 Index | (2,881) | 9,000 | 2,292 | 11/18/54 | (300 bp) — Monthly | (593) |
Global Income Trust 51 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/23 (Unaudited) cont. | ||||||||
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. cont. | ||||||||
CMBX NA BBB−.11 Index | $(147) | $1,000 | $255 | 11/18/54 | (300 bp) — Monthly | $107 | ||
CMBX NA BBB−.12 Index | (31,283) | 90,000 | 26,217 | 8/17/61 | (300 bp) — Monthly | (5,111) | ||
CMBX NA BBB−.12 Index | (9,667) | 55,000 | 16,022 | 8/17/61 | (300 bp) — Monthly | 6,327 | ||
CMBX NA BBB−.12 Index | (3,276) | 48,000 | 13,982 | 8/17/61 | (300 bp) — Monthly | 10,683 | ||
CMBX NA BBB−.12 Index | (15,365) | 46,000 | 13,400 | 8/17/61 | (300 bp) — Monthly | (1,988) | ||
CMBX NA BBB−.12 Index | (15,466) | 44,000 | 12,817 | 8/17/61 | (300 bp) — Monthly | (2,671) | ||
CMBX NA BBB−.12 Index | (14,368) | 43,000 | 12,526 | 8/17/61 | (300 bp) — Monthly | (1,864) | ||
CMBX NA BBB−.12 Index | (5,096) | 30,000 | 8,739 | 8/17/61 | (300 bp) — Monthly | 3,628 | ||
CMBX NA BBB−.12 Index | (5,641) | 25,000 | 7,283 | 8/17/61 | (300 bp) — Monthly | 1,629 | ||
CMBX NA BBB−.12 Index | (4,065) | 24,000 | 6,991 | 8/17/61 | (300 bp) — Monthly | 2,914 | ||
CMBX NA BBB−.12 Index | (5,639) | 16,000 | 4,661 | 8/17/61 | (300 bp) — Monthly | (986) | ||
CMBX NA BBB−.13 Index | (7,199) | 95,000 | 27,902 | 12/16/72 | (300 bp) — Monthly | 20,655 | ||
CMBX NA BBB−.14 Index | (336) | 3,000 | 801 | 12/16/72 | (300 bp) — Monthly | 463 | ||
CMBX NA BBB−.7 Index | (656) | 3,000 | 610 | 1/17/47 | (300 bp) — Monthly | (48) | ||
CMBX NA BBB−.8 Index | (15,300) | 102,000 | 20,563 | 10/17/57 | (300 bp) — Monthly | 5,212 | ||
CMBX NA BBB−.8 Index | (8,325) | 60,000 | 12,096 | 10/17/57 | (300 bp) — Monthly | 3,741 | ||
CMBX NA BBB−.8 Index | (6,523) | 49,000 | 9,878 | 10/17/57 | (300 bp) — Monthly | 3,331 | ||
CMBX NA BBB−.8 Index | (4,163) | 30,000 | 6,048 | 10/17/57 | (300 bp) — Monthly | 1,871 | ||
CMBX NA BBB−.8 Index | (1,431) | 10,000 | 2,016 | 10/17/57 | (300 bp) — Monthly | 580 | ||
CMBX NA BBB−.9 Index | (946) | 4,000 | 906 | 9/17/58 | (300 bp) — Monthly | (42) | ||
Credit Suisse International | ||||||||
CMBX NA BB.10 Index | (10,274) | 77,000 | 34,165 | 11/17/59 | (500 bp) — Monthly | 23,827 | ||
CMBX NA BB.10 Index | (9,157) | 77,000 | 34,165 | 11/17/59 | (500 bp) — Monthly | 24,944 | ||
CMBX NA BB.10 Index | (5,096) | 41,000 | 18,192 | 11/17/59 | (500 bp) — Monthly | 13,061 |
52 Global Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Credit Suisse International cont. | ||||||||
CMBX NA BB.7 Index | $(8,049) | $307,605 | $128,025 | 5/11/63 | (500 bp) — Monthly | $119,720 | ||
CMBX NA BB.7 Index | (29,146) | 158,000 | 65,444 | 1/17/47 | (500 bp) — Monthly | 36,166 | ||
CMBX NA BB.7 Index | (2,467) | 15,000 | 6,213 | 1/17/47 | (500 bp) — Monthly | 3,733 | ||
Goldman Sachs International | ||||||||
CMBX NA BB.7 Index | (16,057) | 98,000 | 40,592 | 1/17/47 | (500 bp) — Monthly | 24,453 | ||
CMBX NA BB.7 Index | (19,290) | 95,000 | 39,349 | 1/17/47 | (500 bp) — Monthly | 19,980 | ||
CMBX NA BB.8 Index | (4,557) | 12,563 | 5,848 | 10/17/57 | (500 bp) — Monthly | 1,281 | ||
CMBX NA BB.9 Index | (602) | 5,000 | 2,095 | 9/17/58 | (500 bp) — Monthly | 1,489 | ||
CMBX NA BB.9 Index | (313) | 3,000 | 1,257 | 9/17/58 | (500 bp) — Monthly | 941 | ||
CMBX NA BB.9 Index | (319) | 2,000 | 838 | 9/17/58 | (500 bp) — Monthly | 518 | ||
CMBX NA BB.9 Index | (158) | 1,000 | 419 | 9/17/58 | (500 bp) — Monthly | 260 | ||
CMBX NA BBB−.12 Index | (40,540) | 227,000 | 66,125 | 8/17/61 | (300 bp) — Monthly | 25,472 | ||
CMBX NA BBB−.12 Index | (34,234) | 191,000 | 55,638 | 8/17/61 | (300 bp) — Monthly | 21,308 | ||
CMBX NA BBB−.12 Index | (11,145) | 33,000 | 9,613 | 8/17/61 | (300 bp) — Monthly | (1,548) | ||
CMBX NA BBB−.13 Index | (3,107) | 41,000 | 12,042 | 12/16/72 | (300 bp) — Monthly | 8,914 | ||
CMBX NA BBB−.14 Index | (284) | 3,000 | 801 | 12/16/72 | (300 bp) — Monthly | 515 | ||
CMBX NA BBB−.14 Index | (276) | 3,000 | 801 | 12/16/72 | (300 bp) — Monthly | 523 | ||
CMBX NA BBB−.14 Index | (217) | 2,000 | 534 | 12/16/72 | (300 bp) — Monthly | 316 | ||
CMBX NA BBB−.14 Index | (206) | 2,000 | 534 | 12/16/72 | (300 bp) — Monthly | 327 | ||
CMBX NA BBB−.14 Index | (126) | 2,000 | 534 | 12/16/72 | (300 bp) — Monthly | 407 | ||
CMBX NA BBB−.8 Index | (8,487) | 55,000 | 11,088 | 10/17/57 | (300 bp) — Monthly | 2,573 | ||
CMBX NA BBB−.8 Index | (3,105) | 24,000 | 4,838 | 10/17/57 | (300 bp) — Monthly | 1,721 |
Global Income Trust 53 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
JPMorgan Securities LLC | ||||||||
CMBX NA BBB−.10 Index | $(4,413) | $35,000 | $10,119 | 11/17/59 | (300 bp) — Monthly | $5,688 | ||
CMBX NA BBB−.14 Index | (1,138) | 13,000 | 3,470 | 12/16/72 | (300 bp) — Monthly | 2,325 | ||
CMBX NA BBB−.14 Index | (305) | 5,000 | 1,335 | 12/16/72 | (300 bp) — Monthly | 1,027 | ||
Merrill Lynch International | ||||||||
CMBX NA BB.10 Index | (4,211) | 74,000 | 32,834 | 11/17/59 | (500 bp) — Monthly | 28,562 | ||
CMBX NA BB.7 Index | (5,378) | 31,000 | 12,840 | 1/17/47 | (500 bp) — Monthly | 7,436 | ||
CMBX NA BBB−.10 Index | (13,217) | 61,000 | 17,635 | 11/17/59 | (300 bp) — Monthly | 4,388 | ||
CMBX NA BBB−.7 Index | (1,311) | 16,000 | 3,254 | 1/17/47 | (300 bp) — Monthly | 1,935 | ||
CMBX NA BBB−.9 Index | (4,261) | 23,000 | 5,212 | 9/17/58 | (300 bp) — Monthly | 940 | ||
CMBX NA BBB−.9 Index | (1,667) | 9,000 | 2,039 | 9/17/58 | (300 bp) — Monthly | 368 | ||
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA BB.10 Index | (3,880) | 37,000 | 16,417 | 11/17/59 | (500 bp) — Monthly | 12,506 | ||
CMBX NA BB.10 Index | (10,024) | 33,000 | 14,642 | 11/17/59 | (500 bp) — Monthly | 4,591 | ||
CMBX NA BB.10 Index | (7,515) | 32,000 | 14,198 | 11/17/59 | (500 bp) — Monthly | 6,656 | ||
CMBX NA BB.7 Index | (3,278) | 17,000 | 7,041 | 1/17/47 | (500 bp) — Monthly | 3,749 | ||
CMBX NA BB.9 Index | (352) | 4,000 | 1,676 | 9/17/58 | (500 bp) — Monthly | 1,321 | ||
CMBX NA BB.9 Index | (123) | 2,000 | 838 | 9/17/58 | (500 bp) — Monthly | 713 | ||
CMBX NA BBB−.10 Index | (8,117) | 64,000 | 18,502 | 11/17/59 | (300 bp) — Monthly | 10,354 | ||
CMBX NA BBB−.10 Index | (3,954) | 33,000 | 9,540 | 11/17/59 | (300 bp) — Monthly | 5,570 | ||
CMBX NA BBB−.10 Index | (7,314) | 30,000 | 8,673 | 11/17/59 | (300 bp) — Monthly | 1,344 | ||
CMBX NA BBB−.10 Index | (4,553) | 21,000 | 6,071 | 11/17/59 | (300 bp) — Monthly | 1,507 | ||
CMBX NA BBB−.10 Index | (4,109) | 19,000 | 5,493 | 11/17/59 | (300 bp) — Monthly | 1,375 | ||
CMBX NA BBB−.10 Index | (1,727) | 14,000 | 4,047 | 11/17/59 | (300 bp) — Monthly | 2,313 | ||
CMBX NA BBB−.10 Index | (433) | 5,000 | 1,446 | 11/17/59 | (300 bp) — Monthly | 1,010 |
54 Global Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BBB−.11 Index | $(15,363) | $48,000 | $12,226 | 11/18/54 | (300 bp) — Monthly | $(3,162) | ||
CMBX NA BBB−.12 Index | (7,943) | 61,000 | 17,769 | 8/17/61 | (300 bp) — Monthly | 9,795 | ||
CMBX NA BBB−.12 Index | (4,382) | 21,000 | 6,117 | 8/17/61 | (300 bp) — Monthly | 1,725 | ||
CMBX NA BBB−.12 Index | (4,320) | 13,000 | 3,787 | 8/17/61 | (300 bp) — Monthly | (540) | ||
CMBX NA BBB−.13 Index | (11,402) | 185,000 | 54,335 | 12/16/72 | (300 bp) — Monthly | 42,840 | ||
CMBX NA BBB−.14 Index | (962) | 6,000 | 1,601 | 12/16/72 | (300 bp) — Monthly | 637 | ||
CMBX NA BBB−.14 Index | (158) | 1,000 | 267 | 12/16/72 | (300 bp) — Monthly | 108 | ||
CMBX NA BBB−.7 Index | (41) | 1,000 | 203 | 1/17/47 | (300 bp) — Monthly | 162 | ||
CMBX NA BBB−.8 Index | (44,741) | 292,000 | 58,867 | 10/17/57 | (300 bp) — Monthly | 13,980 | ||
CMBX NA BBB−.8 Index | (25,875) | 167,000 | 33,667 | 10/17/57 | (300 bp) — Monthly | 7,709 | ||
CMBX NA BBB−.8 Index | (7,504) | 59,000 | 11,894 | 10/17/57 | (300 bp) — Monthly | 4,361 | ||
CMBX NA BBB−.8 Index | (5,963) | 47,000 | 9,475 | 10/17/57 | (300 bp) — Monthly | 3,489 | ||
CMBX NA BBB−.8 Index | (6,859) | 44,000 | 8,870 | 10/17/57 | (300 bp) — Monthly | 1,990 | ||
CMBX NA BBB−.8 Index | (4,531) | 29,000 | 5,846 | 10/17/57 | (300 bp) — Monthly | 1,301 | ||
CMBX NA BBB−.8 Index | (4,063) | 25,000 | 5,040 | 10/17/57 | (300 bp) — Monthly | 965 | ||
CMBX NA BBB−.8 Index | (3,119) | 23,000 | 4,637 | 10/17/57 | (300 bp) — Monthly | 1,506 | ||
CMBX NA BBB−.8 Index | (3,149) | 22,000 | 4,435 | 10/17/57 | (300 bp) — Monthly | 1,275 | ||
CMBX NA BBB−.8 Index | (2,043) | 15,000 | 3,024 | 10/17/57 | (300 bp) — Monthly | 973 | ||
Upfront premium received | — | Unrealized appreciation | 691,082 | |||||
Upfront premium (paid) | (698,363) | Unrealized (depreciation) | (19,168) | |||||
Total | $(698,363) | Total | $671,914 | |||||
* 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. | ||||||||
Global Income Trust 55 |
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 | $— | $819,556 | $— |
Collateralized loan obligations | — | 6,115,707 | — |
Corporate bonds and notes | — | 31,139,837 | — |
Foreign government and agency bonds and notes | — | 44,315,360 | — |
Mortgage-backed securities | — | 43,094,527 | — |
U.S. government and agency mortgage obligations | — | 88,166,319 | — |
U.S. treasury obligations | — | 619,084 | — |
Short-term investments | 911,000 | 8,459,337 | — |
Totals by level | $911,000 | $222,729,727 | $— |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Forward currency contracts | $— | $(556,397) | $— |
Futures contracts | 286,982 | — | — |
Forward premium swap option contracts | — | 620,088 | — |
TBA sale commitments | — | (30,095,842) | — |
Interest rate swap contracts | — | (472,573) | — |
Total return swap contracts | — | (71,691) | — |
Credit default contracts | — | 780,026 | — |
Totals by level | $286,982 | $(29,796,389) | $— |
The accompanying notes are an integral part of these financial statements.
56 Global Income Trust |
Statement of assets and liabilities 4/30/23 (Unaudited)
ASSETS | |
Investment in securities, at value (Notes 1 and 8): | |
Unaffiliated issuers (identified cost $231,742,285) | $218,776,015 |
Affiliated issuers (identified cost $4,864,712) (Note 5) | 4,864,712 |
Cash | 414,070 |
Foreign currency (cost $7,103) (Note 1) | 3,341 |
Interest and other receivables | 1,226,169 |
Receivable for shares of the fund sold | 47,502 |
Receivable for investments sold | 654,921 |
Receivable for sales of TBA securities (Note 1) | 26,112,355 |
Receivable from Manager (Note 2) | 73,838 |
Receivable for variation margin on futures contracts (Note 1) | 134,562 |
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 1,408,392 |
Unrealized appreciation on forward currency contracts (Note 1) | 1,150,493 |
Unrealized appreciation on forward premium swap option contracts (Note 1) | 2,673,228 |
Unrealized appreciation on OTC swap contracts (Note 1) | 726,485 |
Premium paid on OTC swap contracts (Note 1) | 698,591 |
Deposits with broker (Note 1) | 1,394,621 |
Prepaid assets | 54,615 |
Total assets | 260,413,910 |
LIABILITIES | |
Payable for investments purchased | 773,715 |
Payable for purchases of TBA securities (Note 1) | 84,306,786 |
Payable for shares of the fund repurchased | 121,621 |
Payable for custodian fees (Note 2) | 47,726 |
Payable for investor servicing fees (Note 2) | 51,120 |
Payable for Trustee compensation and expenses (Note 2) | 120,987 |
Payable for administrative services (Note 2) | 862 |
Payable for distribution fees (Note 2) | 18,273 |
Payable for variation margin on futures contracts (Note 1) | 49,384 |
Payable for variation margin on centrally cleared swap contracts (Note 1) | 1,357,644 |
Unrealized depreciation on forward currency contracts (Note 1) | 1,706,890 |
Unrealized depreciation on forward premium swap option contracts (Note 1) | 2,053,140 |
TBA sale commitments, at value (proceeds receivable $30,047,129) (Note 1) | 30,095,842 |
Unrealized depreciation on OTC swap contracts (Note 1) | 446,149 |
Premium received on OTC swap contracts (Note 1) | 270,592 |
Collateral on certain derivative contracts, at value (Notes 1 and 8) | 1,530,084 |
Other accrued expenses | 103,172 |
Total liabilities | 123,053,987 |
Net assets | $137,359,923 |
(Continued on next page)
Global Income Trust 57 |
Statement of assets and liabilities cont.
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $176,818,003 |
Total distributable earnings (Note 1) | (39,458,080) |
Total — Representing net assets applicable to capital shares outstanding | $137,359,923 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share ($78,145,116 divided by 7,803,952 shares) | $10.01 |
Offering price per class A share (100/96.00 of $10.01)* | $10.43 |
Net asset value and offering price per class B share ($112,856 divided by 11,322 shares)** | $9.97 |
Net asset value and offering price per class C share ($1,827,454 divided by 183,411 shares)** | $9.96 |
Net asset value, offering price and redemption price per class R share | |
($1,365,637 divided by 136,464 shares) | $10.01 |
Net asset value, offering price and redemption price per class R5 share | |
($28,578 divided by 2,855 shares) | $10.01 |
Net asset value, offering price and redemption price per class R6 share | |
($20,864,927 divided by 2,084,267 shares) | $10.01 |
Net asset value, offering price and redemption price per class Y share | |
($35,015,355 divided by 3,498,700 shares) | $10.01 |
* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
58 Global Income Trust |
Statement of operations Six months ended 4/30/23 (Unaudited)
INVESTMENT INCOME | |
Interest (including interest income of $167,541 from investments in affiliated issuers) (Note 5) | $2,927,355 |
Total investment income | 2,927,355 |
EXPENSES | |
Compensation of Manager (Note 2) | 392,424 |
Investor servicing fees (Note 2) | 161,246 |
Custodian fees (Note 2) | 41,557 |
Trustee compensation and expenses (Note 2) | 3,194 |
Distribution fees (Note 2) | 113,246 |
Administrative services (Note 2) | 3,249 |
Auditing and tax fees | 70,121 |
Blue sky expense | 50,505 |
Other | 33,323 |
Fees waived and reimbursed by Manager (Note 2) | (282,517) |
Total expenses | 586,348 |
Expense reduction (Note 2) | (1,428) |
Net expenses | 584,920 |
Net investment income | 2,342,435 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Securities from unaffiliated issuers (Notes 1 and 3) | 735,017 |
Foreign currency transactions (Note 1) | 17,123 |
Forward currency contracts (Note 1) | 215,072 |
Futures contracts (Note 1) | (863,951) |
Swap contracts (Note 1) | (584,553) |
Written options (Note 1) | (409,797) |
Total net realized loss | (891,089) |
Change in net unrealized appreciation (depreciation) on: | |
Securities from unaffiliated issuers and TBA sale commitments | 7,316,431 |
Assets and liabilities in foreign currencies | (7,615) |
Forward currency contracts | 123,325 |
Futures contracts | 1,426,964 |
Swap contracts | (1,020,422) |
Written options | 651,711 |
Total change in net unrealized appreciation | 8,490,394 |
Net gain on investments | 7,599,305 |
Net increase in net assets resulting from operations | $9,941,740 |
The accompanying notes are an integral part of these financial statements.
Global Income Trust 59 |
Statement of changes in net assets
DECREASE IN NET ASSETS | Six months ended 4/30/23* | Year ended 10/31/22 |
Operations | ||
Net investment income | $2,342,435 | $4,895,691 |
Net realized loss on investments | ||
and foreign currency transactions | (891,089) | (24,427,940) |
Change in net unrealized appreciation (depreciation) | ||
of investments and assets and liabilities | ||
in foreign currencies | 8,490,394 | (20,548,430) |
Net increase (decrease) in net assets resulting | ||
from operations | 9,941,740 | (40,080,679) |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class A | (814,097) | (541,529) |
Class B | (842) | (985) |
Class C | (12,973) | (10,132) |
Class R | (13,286) | (9,055) |
Class R5 | (389) | (245) |
Class R6 | (264,622) | (185,764) |
Class Y | (467,975) | (425,059) |
From return of capital | ||
Class A | — | (1,248,030) |
Class B | — | (2,271) |
Class C | — | (23,350) |
Class R | — | (20,870) |
Class R5 | — | (564) |
Class R6 | — | (428,118) |
Class Y | — | (979,606) |
Decrease from capital share transactions (Note 4) | (18,737,618) | (45,207,557) |
Total decrease in net assets | (10,370,062) | (89,163,814) |
NET ASSETS | ||
Beginning of period | 147,729,985 | 236,893,799 |
End of period | $137,359,923 | $147,729,985 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
60 Global Income Trust |
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Global Income Trust 61 |
Financial highlights
(For a common share outstanding throughout the period)
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
Ratio | Ratio of net | ||||||||||||
Net asset | Net realized | of expenses | investment | ||||||||||
value, | and unrealized | Total from | From net | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | investment | From return | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | income | of capital | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%)e |
Class A | |||||||||||||
April 30, 2023** | $9.47 | .15 | .49 | .64 | (.10) | — | (.10) | $10.01 | 6.79* | $78,145 | .46* | 1.54* | 436* |
October 31, 2022 | 11.95 | .26 | (2.54) | (2.28) | (.06) | (.14) | (.20) | 9.47 | (19.23) | 78,619 | .91 | 2.38 | 989 |
October 31, 2021 | 12.45 | .24 | (.54) | (.30) | (.20) | — | (.20) | 11.95 | (2.43) | 110,713 | .88 | 1.91 | 838 |
October 31, 2020 | 12.35 | .22 | .10 | .32 | (.07) | (.15) | (.22) | 12.45 | 2.64 | 114,466 | 1.09 | 1.76 | 590 |
October 31, 2019 | 11.50 | .26 | .84 | 1.10 | (.19) | (.06) | (.25) | 12.35 | 9.68 | 114,345 | 1.22 | 2.19 | 408 |
October 31, 2018 | 12.05 | .27 | (.52) | (.25) | (.19) | (.11) | (.30) | 11.50 | (2.14) | 116,014 | 1.22 | 2.25 | 451 |
Class B | |||||||||||||
April 30, 2023** | $9.43 | .05f | .55 | .60 | (.06) | — | (.06) | $9.97 | 6.41* | $113 | .83* | .48* f | 436* |
October 31, 2022 | 11.89 | .14f | (2.48) | (2.34) | (.04) | (.08) | (.12) | 9.43 | (19.78) | 148 | 1.66 | 1.23f | 989 |
October 31, 2021 | 12.39 | .13 | (.52) | (.39) | (.11) | — | (.11) | 11.89 | (3.18) | 516 | 1.63 | 1.04 | 838 |
October 31, 2020 | 12.29 | .12 | .11 | .23 | (.04) | (.09) | (.13) | 12.39 | 1.84 | 934 | 1.84 | .97 | 590 |
October 31, 2019 | 11.45 | .17 | .83 | 1.00 | (.12) | (.04) | (.16) | 12.29 | 8.80 | 1,508 | 1.97 | 1.42 | 408 |
October 31, 2018 | 12.00 | .18 | (.53) | (.35) | (.13) | (.07) | (.20) | 11.45 | (2.90) | 2,362 | 1.97 | 1.48 | 451 |
Class C | |||||||||||||
April 30, 2023** | $9.43 | .11 | .49 | .60 | (.07) | — | (.07) | $9.96 | 6.32* | $1,827 | .83* | 1.10* | 436* |
October 31, 2022 | 11.89 | .17 | (2.50) | (2.33) | (.04) | (.09) | (.13) | 9.43 | (19.77) | 2,143 | 1.66 | 1.55 | 989 |
October 31, 2021 | 12.39 | .14 | (.53) | (.39) | (.11) | — | (.11) | 11.89 | (3.19) | 3,833 | 1.63 | 1.14 | 838 |
October 31, 2020 | 12.29 | .12 | .11 | .23 | (.04) | (.09) | (.13) | 12.39 | 1.88 | 6,508 | 1.84 | 1.03 | 590 |
October 31, 2019 | 11.45 | .17 | .83 | 1.00 | (.12) | (.04) | (.16) | 12.29 | 8.81 | 9,591 | 1.97 | 1.44 | 408 |
October 31, 2018 | 12.00 | .18 | (.52) | (.34) | (.14) | (.07) | (.21) | 11.45 | (2.89) | 12,444 | 1.97 | 1.49 | 451 |
Class R | |||||||||||||
April 30, 2023** | $9.47 | .14 | .49 | .63 | (.09) | — | (.09) | $10.01 | 6.66* | $1,366 | .59* | 1.45* | 436* |
October 31, 2022 | 11.94 | .24 | (2.54) | (2.30) | (.05) | (.12) | (.17) | 9.47 | (19.35) | 1,460 | 1.16 | 2.18 | 989 |
October 31, 2021 | 12.45 | .21 | (.55) | (.34) | (.17) | — | (.17) | 11.94 | (2.76) | 1,963 | 1.13 | 1.69 | 838 |
October 31, 2020 | 12.35 | .19 | .10 | .29 | (.06) | (.13) | (.19) | 12.45 | 2.39 | 2,475 | 1.34 | 1.52 | 590 |
October 31, 2019 | 11.50 | .23 | .84 | 1.07 | (.16) | (.06) | (.22) | 12.35 | 9.40 | 1,955 | 1.47 | 1.97 | 408 |
October 31, 2018 | 12.05 | .24 | (.52) | (.28) | (.17) | (.10) | (.27) | 11.50 | (2.39) | 2,014 | 1.47 | 2.02 | 451 |
Class R5 | |||||||||||||
April 30, 2023** | $9.47 | .18 | .48 | .66 | (.12) | — | (.12) | $10.01 | 6.98* | $29 | .27* | 1.77* | 436* |
October 31, 2022 | 11.94 | .30 | (2.53) | (2.23) | (.07) | (.17) | (.24) | 9.47 | (18.88) | 32 | .55 | 2.76 | 989 |
October 31, 2021 | 12.44 | .28 | (.54) | (.26) | (.24) | — | (.24) | 11.94 | (2.12) | 44 | .55 | 2.25 | 838 |
October 31, 2020 | 12.35 | .26 | .09 | .35 | (.08) | (.18) | (.26) | 12.44 | 2.91 | 33 | .75 | 2.10 | 590 |
October 31, 2019 | 11.50 | .31 | .83 | 1.14 | (.22) | (.07) | (.29) | 12.35 | 10.06 | 24 | .86 | 2.60 | 408 |
October 31, 2018 | 12.05 | .31 | (.52) | (.21) | (.22) | (.12) | (.34) | 11.50 | (1.77) | 31 | .86 | 2.63 | 451 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
62 Global Income Trust | Global Income Trust 63 |
Financial highlights cont.
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
Ratio | Ratio of net | ||||||||||||
Net asset | Net realized | of expenses | investment | ||||||||||
value, | and unrealized | Total from | From net | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | investment | From return | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | income | of capital | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%)e |
Class R6 | |||||||||||||
April 30, 2023** | $9.47 | .18 | .49 | .67 | (.13) | — | (.13) | $10.01 | 7.05* | $20,865 | .24* | 1.77* | 436* |
October 31, 2022 | 11.95 | .31 | (2.53) | (2.22) | (.08) | (.18) | (.26) | 9.47 | (18.88) | 20,822 | .48 | 2.80 | 989 |
October 31, 2021 | 12.45 | .29 | (.54) | (.25) | (.25) | — | (.25) | 11.95 | (2.05) | 30,989 | .48 | 2.31 | 838 |
October 31, 2020 | 12.35 | .26 | .11 | .37 | (.08) | (.19) | (.27) | 12.45 | 3.05 | 35,357 | .68 | 2.14 | 590 |
October 31, 2019 | 11.50 | .31 | .84 | 1.15 | (.22) | (.08) | (.30) | 12.35 | 10.15 | 25,712 | .79 | 2.61 | 408 |
October 31, 2018 | 12.05 | .32 | (.51) | (.19) | (.23) | (.13) | (.36) | 11.50 | (1.72) | 24,177 | .80 | 2.65 | 451 |
Class Y | |||||||||||||
April 30, 2023** | $9.47 | .17 | .48 | .65 | (.11) | — | (.11) | $10.01 | 6.92* | $35,015 | .34* | 1.67* | 436* |
October 31, 2022 | 11.94 | .28 | (2.52) | (2.24) | (.07) | (.16) | (.23) | 9.47 | (18.98) | 44,507 | .66 | 2.59 | 989 |
October 31, 2021 | 12.44 | .27 | (.53) | (.26) | (.24) | — | (.24) | 11.94 | (2.19) | 88,836 | .63 | 2.17 | 838 |
October 31, 2020 | 12.35 | .24 | .11 | .35 | (.08) | (.18) | (.26) | 12.44 | 2.83 | 91,059 | .84 | 1.99 | 590 |
October 31, 2019 | 11.50 | .29 | .84 | 1.13 | (.21) | (.07) | (.28) | 12.35 | 9.96 | 71,288 | .97 | 2.43 | 408 |
October 31, 2018 | 12.05 | .30 | (.52) | (.22) | (.21) | (.12) | (.33) | 11.50 | (1.90) | 62,181 | .97 | 2.50 | 451 |
* Not annualized.
** Unaudited.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts (Note 2):
Percentage of average net assets | |||
April 30, 2023 | 0.19% | ||
October 31, 2022 | 0.35 | ||
October 31, 2021 | 0.30 | ||
October 31, 2020 | 0.11 | ||
October 31, 2019 | 0.02 | ||
October 31, 2018 | 0.02 |
e Portfolio turnover includes TBA purchase and sale commitments.
f The net investment income ratio and per share amount shown for the period ending may not correspond with the expected class differences for the period due to the timing of subscriptions into the class or redemptions out of the class.
The accompanying notes are an integral part of these financial statements.
64 Global Income Trust | Global Income Trust 65 |
Notes to financial statements 4/30/23 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Additionally, references to “OTC”, if any, represent over-the-counter and references to “ESG”, if any, represent environmental, social and governance. Unless otherwise noted, the “reporting period” represents the period from November 1, 2022 through April 30, 2023.
Putnam Global Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a non-diversified open-end management investment company. The goal of the fund is to seek high current income. Preservation of capital and long-term total return are secondary objectives, but only to the extent consistent with the objective of seeking high current income. The fund invests mainly in bonds and securitized debt instruments (such as mortgage-backed investments) that are obligations of companies and governments worldwide; that are investment-grade in quality; and that have intermediate- to long-term maturities (three years or longer). The fund currently has significant investment exposure to residential and commercial mortgage-backed securities. Under normal circumstances, Putnam Management invests at least 80% of the fund’s net assets in investment-grade securities. This policy may be changed only after 60 days’ notice to shareholders. The fund may also invest in bonds that are below investment-grade in quality (sometimes referred to as “junk bonds”). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses to a significant extent derivatives, including credit default swaps, interest rate swaps, total return swaps, to-be-announced (TBA) commitments, futures, options and swaptions on mortgage-backed securities and indices, and certain foreign currency transactions, for both hedging and non-hedging purposes, including to obtain or adjust exposure to mortgage-backed investments.
The fund offers the following share classes. The expenses for each class of shares may differ based on the distribution and investor servicing fees of each class, which are identified in Note 2.
Share class | Sales charge | Contingent deferred sales charge | Conversion feature |
1.00% on certain redemptions of shares | |||
Class A | Up to 4.00% | bought with no initial sales charge | None |
Converts to class A shares | |||
Class B* | None | 5.00% phased out over six years | after 8 years |
Converts to class A shares | |||
Class C | None | 1.00% eliminated after one year | after 8 years |
Class R† | None | None | None |
Class R5† | None | None | None |
Class R6† | None | None | None |
Class Y† | None | None | None |
* Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment.
† Not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
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Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
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 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.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, is recorded on the accrual basis. Amortization and accretion of premiums and discounts on debt securities, if any, is recorded on the accrual basis.
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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.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option 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.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses 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. Risks may exceed amounts recognized on the Statement of assets and liabilities. 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.”
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Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
At the close of the reporting period, the fund has deposited cash valued at $1,394,621 in a segregated account to cover margin requirements on open futures.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
At the close of the reporting period, the fund has deposited cash valued at $1,394,621 in a segregated account to cover margin requirements on open centrally cleared swap contracts.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return
Global Income Trust 69 |
swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and 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. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. 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.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
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
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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.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
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 pledged 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 to the fund which cannot be sold or repledged totaled $223,664 at the close of the reporting period.
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 $1,180,096 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $761,738 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
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Lines of credit The fund participates, along with other Putnam funds, in a $320 million syndicated unsecured committed line of credit, provided by State Street ($160 million) and JPMorgan Chase Bank, N.A. ($160 million), and a $235.5 million unsecured uncommitted line of credit, provided by State Street. Prior to May 2, 2023, the fund participated, along with other Putnam funds, in a $100 million ($317.5 million prior to October 14, 2022) unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds and a $75,000 fee has been paid by the participating funds to State Street as agent of the syndicated committed line of credit. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At October 31, 2022, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
Loss carryover | ||
Short-term | Long-term | Total |
$15,138,567 | $8,630,793 | $23,769,360 |
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $209,685,033, resulting in gross unrealized appreciation and depreciation of $14,060,648 and $29,614,361, respectively, or net unrealized depreciation of $15,553,713.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
72 Global Income Trust |
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
0.700% | of the first $5 billion, | 0.500% | of the next $50 billion, | |
0.650% | of the next $5 billion, | 0.480% | of the next $50 billion, | |
0.600% | of the next $10 billion, | 0.470% | of the next $100 billion and | |
0.550% | of the next $10 billion, | 0.465% | of any excess thereafter. |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.269% of the fund’s average net assets.
Putnam Management has contractually agreed, through February 28, 2024, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were reduced by $56,785 as a result of this limit.
Putnam Management has also contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through February 28, 2024, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.43% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $225,732 as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.20% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
Global Income Trust 73 |
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
Class A | $99,654 | Class R5 | 20 | |
Class B | 164 | Class R6 | 5,256 | |
Class C | 2,488 | Class Y | 51,825 | |
Class R | 1,839 | Total | $161,246 |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $1,428 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $125, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
Maximum % | Approved % | Amount | |
Class A | 0.35% | 0.25% | $99,034 |
Class B | 1.00% | 1.00% | 655 |
Class C | 1.00% | 1.00% | 9,902 |
Class R | 1.00% | 0.50% | 3,655 |
Total | $113,246 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $2,379 from the sale of class A shares and received no monies and $4 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received less than $1 on class A redemptions.
74 Global Income Trust |
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
Cost of purchases | Proceeds from sales | |
Investments in securities, including TBA commitments (Long-term) | $991,499,290 | $912,770,300 |
U.S. government securities (Long-term) | — | — |
Total | $991,499,290 | $912,770,300 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 264,162 | $2,632,814 | 596,605 | $6,703,654 |
Shares issued in connection with | ||||
reinvestment of distributions | 76,915 | 765,036 | 155,305 | 1,668,265 |
341,077 | 3,397,850 | 751,910 | 8,371,919 | |
Shares repurchased | (836,412) | (8,331,326) | (1,720,306) | (18,796,560) |
Net decrease | (495,335) | $(4,933,476) | (968,396) | $(10,424,641) |
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class B | Shares | Amount | Shares | Amount |
Shares sold | —* | $2 | 10 | $119 |
Shares issued in connection with | ||||
reinvestment of distributions | 85 | 842 | 283 | 3,072 |
85 | 844 | 293 | 3,191 | |
Shares repurchased | (4,508) | (44,530) | (27,939) | (307,679) |
Net decrease | (4,423) | $(43,686) | (27,646) | $(304,488) |
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class C | Shares | Amount | Shares | Amount |
Shares sold | 2,723 | $26,884 | 3,870 | $42,398 |
Shares issued in connection with | ||||
reinvestment of distributions | 1,281 | 12,684 | 3,042 | 32,652 |
4,004 | 39,568 | 6,912 | 75,050 | |
Shares repurchased | (47,892) | (472,475) | (102,061) | (1,100,049) |
Net decrease | (43,888) | $(432,907) | (95,149) | $(1,024,999) |
Global Income Trust 75 |
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class R | Shares | Amount | Shares | Amount |
Shares sold | 7,933 | $78,922 | 19,411 | $215,165 |
Shares issued in connection with | ||||
reinvestment of distributions | 1,336 | 13,286 | 2,798 | 29,925 |
9,269 | 92,208 | 22,209 | 245,090 | |
Shares repurchased | (26,963) | (269,383) | (32,423) | (333,900) |
Net decrease | (17,694) | $(177,175) | (10,214) | $(88,810) |
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class R5 | Shares | Amount | Shares | Amount |
Shares sold | 244 | $2,422 | 873 | $9,725 |
Shares issued in connection with | ||||
reinvestment of distributions | 39 | 389 | 75 | 809 |
283 | 2,811 | 948 | 10,534 | |
Shares repurchased | (769) | (7,698) | (1,334) | (15,476) |
Net decrease | (486) | $(4,887) | (386) | $(4,942) |
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class R6 | Shares | Amount | Shares | Amount |
Shares sold | 157,010 | $1,566,213 | 499,948 | $5,612,390 |
Shares issued in connection with | ||||
reinvestment of distributions | 26,090 | 259,464 | 56,119 | 604,571 |
183,100 | 1,825,677 | 556,067 | 6,216,961 | |
Shares repurchased | (297,091) | (2,955,059) | (951,785) | (10,360,107) |
Net decrease | (113,991) | $(1,129,382) | (395,718) | $(4,143,146) |
SIX MONTHS ENDED 4/30/23 | YEAR ENDED 10/31/22 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 531,525 | $5,281,759 | 1,389,065 | $15,818,242 |
Shares issued in connection with | ||||
reinvestment of distributions | 43,260 | 430,134 | 117,978 | 1,277,039 |
574,785 | 5,711,893 | 1,507,043 | 17,095,281 | |
Shares repurchased | (1,776,941) | (17,727,998) | (4,247,288) | (46,311,812) |
Net decrease | (1,202,156) | $(12,016,105) | (2,740,245) | $(29,216,531) |
* Amount represents less than one rounded share.
At the close of the reporting period, Putnam Investments, LLC owned 1,096 class R5 shares of the fund (38.39% of class R5 shares outstanding), valued at $10,971.
76 Global Income Trust |
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
Shares | |||||
outstanding | |||||
and fair | |||||
Fair value as | Purchase | Sale | Investment | value as | |
Name of affiliate | of 10/31/22 | cost | proceeds | income | of 4/30/23 |
Short-term investments | |||||
Putnam Short Term | |||||
Investment Fund** | $6,603,751 | $35,345,316 | $37,084,355 | $167,541 | $4,864,712 |
Total Short-term | |||||
investments | $6,603,751 | $35,345,316 | $37,084,355 | $167,541 | $4,864,712 |
** 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.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.
Global Income Trust 77 |
Note 7: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
Purchased swap option contracts (contract amount) | $240,100,000 |
Written swap option contracts (contract amount) | $154,200,000 |
Futures contracts (number of contracts) | 300 |
Forward currency contracts (contract amount) | $139,500,000 |
Centrally cleared interest rate swap contracts (notional) | $711,300,000 |
OTC total return swap contracts (notional) | $960,000 |
OTC credit default contracts (notional) | $6,700,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period | ||||
ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
Derivatives not | ||||
accounted for as | Statement of | Statement of | ||
hedging instruments | assets and | assets and | ||
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
Credit contracts | Receivables | $1,370,277 | Payables | $661,942 |
Foreign exchange | ||||
contracts | Receivables | 1,150,493 | Payables | 1,706,890 |
Investments, | ||||
Receivables, Net | ||||
assets — Unrealized | Payables, Net assets — | |||
Interest rate contracts | appreciation | 14,540,717* | Unrealized depreciation | 14,106,220* |
Total | $17,061,487 | $16,475,052 |
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
78 Global Income Trust |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | |||||
Derivatives not accounted | Forward | ||||
for as hedging instruments | currency | ||||
under ASC 815 | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $(150,019) | $(150,019) |
Foreign exchange contracts | — | — | 215,072 | — | $215,072 |
Interest rate contracts | 505,347 | (863,951) | — | (434,534) | $(793,138) |
Total | $505,347 | $(863,951) | $215,072 | $(584,553) | $(728,085) |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | |||||
on investments | |||||
Derivatives not accounted | Forward | ||||
for as hedging instruments | currency | ||||
under ASC 815 | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $338,319 | $338,319 |
Foreign exchange contracts | — | — | 123,325 | — | $123,325 |
Interest rate contracts | (1,904,117) | 1,426,964 | — | (1,358,741) | $(1,835,894) |
Total | $(1,904,117) | $1,426,964 | $123,325 | $(1,020,422) | $(1,374,250) |
Global Income Trust 79 |
Note 8: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto- Dominion Bank | UBS AG | WestPac Banking Corp. | Total | |
Assets: | |||||||||||||||||||
Centrally cleared interest rate | |||||||||||||||||||
swap contracts§ | $— | $— | $1,408,392 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $1,408,392 |
OTC Total return | |||||||||||||||||||
swap contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
OTC Credit default contracts — | |||||||||||||||||||
protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
OTC Credit default contracts — | |||||||||||||||||||
protection purchased*# | — | — | — | — | 393,674 | 285,640 | — | 252,473 | — | — | 14,896 | 73,674 | 349,920 | — | — | — | — | — | 1,370,277 |
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 134,562 | — | — | — | — | — | — | — | 134,562 |
Forward currency contracts# | 234,845 | 1,870 | — | 5,605 | — | — | — | 64,242 | 5,914 | 366,415 | — | — | 154,735 | 14,520 | 26,152 | 2,638 | 215,324 | 58,233 | 1,150,493 |
Forward premium swap | |||||||||||||||||||
option contracts# | 906,863 | 229 | — | 373,892 | — | — | 40,256 | 168,903 | — | 373,269 | — | — | 13,518 | — | — | 267 | 796,031 | — | 2,673,228 |
Total Assets | $1,141,708 | $2,099 | $1,408,392 | $379,497 | $393,674 | $285,640 | $40,256 | $485,618 | $5,914 | $739,684 | $149,458 | $73,674 | $518,173 | $14,520 | $26,152 | $2,905 | $1,011,355 | $58,233 | $6,736,952 |
Liabilities: | |||||||||||||||||||
Centrally cleared interest rate | |||||||||||||||||||
swap contracts§ | $— | $— | $1,357,644 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $1,357,644 |
OTC Total return | |||||||||||||||||||
swap contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | 71,691 | — | — | — | — | — | 71,691 |
OTC Credit default contracts — | |||||||||||||||||||
protection sold*# | — | — | — | — | 323,935 | 25,215 | — | 27,589 | — | — | 92,607 | — | 120,905 | — | — | — | — | — | 590,251 |
OTC Credit default contracts — | |||||||||||||||||||
protection purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 49,384 | — | — | — | — | — | — | — | 49,384 |
Forward currency contracts# | 2,539 | 13,642 | — | 99,102 | — | — | — | 8,979 | 604,064 | 172,142 | — | — | 293,490 | 177,534 | 140,309 | 54,361 | 140,676 | 52 | 1,706,890 |
Forward premium swap | |||||||||||||||||||
option contracts# | 619,990 | 15,600 | — | 428,423 | — | — | 7,047 | 202,868 | — | 412,918 | — | — | 23,995 | — | — | 437 | 341,862 | — | 2,053,140 |
Total Liabilities | $622,529 | $29,242 | $1,357,644 | $527,525 | $323,935 | $25,215 | $7,047 | $239,436 | $604,064 | $585,060 | $141,991 | $— | $510,081 | $177,534 | $140,309 | $54,798 | $482,538 | $52 | $5,829,000 |
Total Financial and Derivative | |||||||||||||||||||
Net Assets | $519,179 | $(27,143) | $50,748 | $(148,028) | $69,739 | $260,425 | $33,209 | $246,182 | $(598,150) | $154,624 | $7,467 | $73,674 | $8,092 | $(163,014) | $(114,157) | $(51,893) | $528,817 | $58,181 | $907,952 |
Total collateral | |||||||||||||||||||
received (pledged)†## | $519,179 | $— | $— | $(111,574) | $— | $260,000 | $— | $200,000 | $(519,229) | $130,000 | $— | $— | $— | $(130,935) | $— | $— | $528,817 | $— | |
Net amount | $— | $(27,143) | $50,748 | $(36,454) | $69,739 | $425 | $33,209 | $46,182 | $(78,921) | $24,624 | $7,467 | $73,674 | $8,092 | $(32,079) | $(114,157) | $(51,893) | $— | $58,181 | |
Controlled collateral received | |||||||||||||||||||
(including TBA commitments)** | $619,084 | $— | $— | $— | $— | $260,000 | $— | $200,000 | $— | $130,000 | $— | $— | $— | $— | $— | $— | $321,000 | $— | $1,530,084 |
Uncontrolled collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $223,664 | $— | $223,664 |
Collateral (pledged) (including | |||||||||||||||||||
TBA commitments)** | $— | $— | $— | $(111,574) | $— | $— | $— | $— | $(519,229) | $— | $— | $— | $— | $(130,935) | $— | $— | $— | $— | $(761,738) |
80 Global Income Trust | Global Income Trust 81 |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $736,893 and $1,394,621, respectively.
Note 9: Subsequent event
On May 31, 2023, Franklin Resources, Inc. (“Franklin Resources”) and Great-West Lifeco Inc., the parent company of Putnam U.S. Holdings I, LLC (“Putnam Holdings”), announced that they have entered into a definitive agreement for a subsidiary of Franklin Resources to acquire Putnam Holdings in a stock and cash transaction.
As part of this transaction, Putnam Management, a wholly owned subsidiary of Putnam Holdings and investment manager to the Putnam family of funds (the “Putnam Funds”), would become an indirect wholly owned subsidiary of Franklin Resources.
The transaction is subject to customary closing conditions, including receipt of applicable regulatory approvals. Subject to such approvals and the satisfaction of these conditions, the transaction is currently expected to be consummated in the fourth quarter of 2023.
Under the Investment Company Act of 1940, as amended, consummation of the transaction will result in the automatic termination of the investment management contract between each Putnam Fund and Putnam Management and any related sub-management and sub-advisory contracts, where applicable. Therefore, the Board of Trustees of the Putnam Funds will be asked to approve a new investment management contract between each Putnam Fund and Putnam Management (and new sub-management and sub-advisory contracts, if applicable). If approved by the Board of Trustees, the new investment management contract will be presented to the shareholders of each Putnam Fund for their approval.
82 Global Income Trust |
Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.
Blend | Income |
Core Equity Fund | Convertible Securities Fund |
Emerging Markets Equity Fund | Core Bond Fund |
Focused Equity Fund | Diversified Income Trust |
Focused International Equity Fund | Floating Rate Income Fund |
International Capital Opportunities Fund | Global Income Trust |
International Equity Fund | Government Money Market Fund* |
Research Fund | High Yield Fund |
Income Fund | |
Global Sector | Money Market Fund† |
Global Health Care Fund | Mortgage Opportunities Fund |
Global Technology Fund | Mortgage Securities Fund |
Short Duration Bond Fund | |
Growth | Ultra Short Duration Income Fund |
Large Cap Growth Fund | |
Small Cap Growth Fund | Tax-free Income |
Sustainable Future Fund | Intermediate-Term Municipal Income Fund |
Sustainable Leaders Fund | Short-Term Municipal Income Fund |
Strategic Intermediate Municipal Fund | |
Value | Tax Exempt Income Fund |
International Value Fund | Tax-Free High Yield Fund |
Large Cap Value Fund | |
Small Cap Value Fund | State tax-free income funds:‡ |
California, Massachusetts, Minnesota, | |
New Jersey, New York, Ohio, and Pennsylvania |
Global Income Trust 83 |
Asset Allocation | Asset Allocation (cont.) |
George Putnam Balanced Fund | Retirement Advantage Maturity Fund |
Retirement Advantage 2065 Fund | |
Dynamic Asset Allocation Balanced Fund | Retirement Advantage 2060 Fund |
Dynamic Asset Allocation Conservative Fund | Retirement Advantage 2055 Fund |
Dynamic Asset Allocation Growth Fund | Retirement Advantage 2050 Fund |
Retirement Advantage 2045 Fund | |
Multi-Asset Income Fund | Retirement Advantage 2040 Fund |
Retirement Advantage 2035 Fund | |
Retirement Advantage 2030 Fund | |
Retirement Advantage 2025 Fund | |
Sustainable Retirement Maturity Fund | |
Sustainable Retirement 2065 Fund | |
Sustainable Retirement 2060 Fund | |
Sustainable Retirement 2055 Fund | |
Sustainable Retirement 2050 Fund | |
Sustainable Retirement 2045 Fund | |
Sustainable Retirement 2040 Fund | |
Sustainable Retirement 2035 Fund | |
Sustainable Retirement 2030 Fund | |
Sustainable Retirement 2025 Fund |
* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
† You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
‡ Not available in all states.
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
84 Global Income Trust |
Fund information
Founded over 85 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, and asset allocation categories.
Investment Manager | Trustees | Richard T. Kircher |
Putnam Investment | Kenneth R. Leibler, Chair | Vice President and |
Management, LLC | Barbara M. Baumann, Vice Chair | BSA Compliance Officer |
100 Federal Street | Liaquat Ahamed | |
Boston, MA 02110 | Katinka Domotorffy | Martin Lemaire |
Catharine Bond Hill | Vice President and | |
Investment Sub-Advisor | Jennifer Williams Murphy | Derivatives Risk Manager |
Putnam Investments Limited | Marie Pillai | |
16 St James’s Street | George Putnam III | Susan G. Malloy |
London, England SW1A 1ER | Robert L. Reynolds | Vice President and |
Manoj P. Singh | Assistant Treasurer | |
Marketing Services | Mona K. Sutphen | |
Putnam Retail Management | Alan G. McCormack | |
Limited Partnership | Officers | Vice President and |
100 Federal Street | Robert L. Reynolds | Derivatives Risk Manager |
Boston, MA 02110 | President | |
Denere P. Poulack | ||
Custodian | James F. Clark | Assistant Vice President, |
State Street Bank | Vice President, Chief Compliance | Assistant Clerk, and |
and Trust Company | Officer, and Chief Risk Officer | Assistant Treasurer |
Legal Counsel | Michael J. Higgins | Janet C. Smith |
Ropes & Gray LLP | Vice President, Treasurer, | Vice President, |
and Clerk | Principal Financial Officer, | |
Principal Accounting Officer, | ||
Jonathan S. Horwitz | and Assistant Treasurer | |
Executive Vice President, | ||
Principal Executive Officer, | Stephen J. Tate | |
and Compliance Liaison | Vice President and | |
Chief Legal Officer | ||
Mark C. Trenchard | ||
Vice President |
This report is for the information of shareholders of Putnam Global Income Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
Item 2. Code of Ethics: |
Not applicable |
Item 3. Audit Committee Financial Expert: |
Not applicable |
Item 4. Principal Accountant Fees and Services: |
Not applicable |
Item 5. Audit Committee of Listed Registrants |
Not applicable |
Item 6. Schedule of Investments: |
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. Controls and Procedures: |
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(b) Changes in internal control over financial reporting: Not applicable |
Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
Not Applicable |
Item 13. Exhibits: |
(a)(1) Not applicable |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Putnam Global Income Trust |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: June 28, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: June 28, 2023 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: June 28, 2023 |