| | | | | | |
| CORPORATE BONDS AND NOTES (32.1%)(a) |
| | | | | Principal amount | Value |
| Basic materials (1.3%) |
| Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 | | | | $75,000 | $68,559 |
| Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany) | | | | 90,000 | 86,717 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.55%, 11/15/30 (Germany) | | | | 5,000 | 4,893 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | | | | 14,000 | 13,723 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | | | | 73,000 | 71,983 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) | | | | 12,000 | 11,802 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | | | | 65,000 | 56,599 |
| CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | | | | 227,000 | 184,083 |
| FMC Corp. sr. unsec. unsub. notes 5.65%, 5/18/33 | | | | 135,000 | 122,112 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 5.25%, 9/1/29 (Indonesia) | | | | 120,000 | 113,374 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 6.375%, 10/6/30 | | | | 70,000 | 69,812 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.125%, 3/12/24 | | | | 50,000 | 49,569 |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27 | | | | 124,000 | 116,393 |
| Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | | | | 150,000 | 135,646 |
| International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | | | | 75,000 | 68,876 |
| International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 | | | | 20,000 | 11,633 |
| International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 | | | | 35,000 | 26,329 |
| Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) | | | | 44,000 | 37,264 |
| Nutrien, Ltd. sr. unsec. notes 2.95%, 5/13/30 (Canada) | | | | 25,000 | 20,868 |
| Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) | | | | 95,000 | 87,987 |
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | | | | 135,000 | 125,693 |
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.30%, 5/15/50 | | | | 50,000 | 31,757 |
| Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 | | | | 198,000 | 187,039 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | | | | 105,000 | 115,581 |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 | | | | 39,000 | 42,696 |
| Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) | | | | 32,000 | 34,769 |
| | | | | |
|
| | | | | | 1,895,757 |
| Capital goods (1.5%) |
| Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 | | | | 6,000 | 5,743 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | | | | 168,000 | 144,399 |
| Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 | | | | 104,000 | 94,009 |
| Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | | | | 357,000 | 327,792 |
| Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 | | | | 95,000 | 60,534 |
| Boeing Co. (The) sr. unsec. unsub. notes 6.125%, 2/15/33 | | | | 55,000 | 55,374 |
| Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 | | | | 138,000 | 132,216 |
| L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | | | | 132,000 | 125,001 |
| L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 | | | | 73,000 | 69,077 |
| L3Harris Technologies, Inc. sr. unsec. unsub. bonds 5.40%, 7/31/33 | | | | 85,000 | 81,708 |
| Northrop Grumman Corp. sr. unsec. bonds 5.25%, 5/1/50 | | | | 45,000 | 41,495 |
| Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | | | | 240,000 | 220,100 |
| Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | | | | 125,000 | 119,444 |
| Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 | | | | 15,000 | 12,801 |
| RTX Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 | | | | 370,000 | 345,009 |
| RTX Corp. sr. unsec. notes 5.15%, 2/27/33 | | | | 30,000 | 28,409 |
| Waste Connections, Inc. sr. unsec. bonds 4.20%, 1/15/33 | | | | 25,000 | 22,329 |
| Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 | | | | 22,000 | 18,252 |
| Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 | | | | 110,000 | 99,866 |
| Waste Management, Inc. company guaranty sr. unsec. notes 4.875%, 2/15/29 | | | | 93,000 | 90,936 |
| | | | | |
|
| | | | | | 2,094,494 |
| Communication services (2.5%) |
| American Tower Corp. sr. unsec. bonds 5.55%, 7/15/33(R) | | | | 250,000 | 237,477 |
| American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) | | | | 48,000 | 39,879 |
| American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27(R) | | | | 118,000 | 108,384 |
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | | | | 166,000 | 146,984 |
| AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | | | | 162,000 | 118,987 |
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | | | | 335,000 | 264,631 |
| AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 | | | | 148,000 | 141,063 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 | | | | 83,000 | 67,693 |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | | | | 245,000 | 239,402 |
| Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 | | | | 135,000 | 91,277 |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 | | | | 172,000 | 155,784 |
| Cox Communications, Inc. 144A sr. unsec. bonds 4.50%, 6/30/43 | | | | 90,000 | 67,294 |
| Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27(R) | | | | 130,000 | 119,340 |
| Crown Castle, Inc. sr. unsec. notes 4.75%, 5/15/47(R) | | | | 25,000 | 19,425 |
| Crown Castle, Inc. sr. unsec. sub. bonds 3.30%, 7/1/30(R) | | | | 195,000 | 164,577 |
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) | | | | 193,000 | 165,273 |
| Equinix, Inc. sr. unsec. sub. notes 2.50%, 5/15/31(R) | | | | 70,000 | 54,642 |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | | | | 149,000 | 153,842 |
| T-Mobile USA, Inc. company guaranty sr. bonds 4.50%, 4/15/50 | | | | 261,000 | 200,143 |
| T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | | | | 7,000 | 6,202 |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.75%, 1/15/54 | | | | 115,000 | 105,975 |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.05%, 7/15/33 | | | | 255,000 | 235,936 |
| Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) | | | | 13,000 | 9,847 |
| Time Warner Cable Enterprises, LLC company guaranty sr. unsub. notes 8.375%, 7/15/33 | | | | 155,000 | 166,634 |
| Verizon Communications, Inc. sr. unsec. unsub. bonds 4.272%, 1/15/36 | | | | 150,000 | 127,801 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 | | | | 85,000 | 73,705 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | | | | 117,000 | 109,937 |
| Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 | | | | 250,000 | 214,735 |
| | | | | |
|
| | | | | | 3,606,869 |
| Consumer cyclicals (2.2%) |
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | | | | 260,000 | 240,175 |
| Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) | | | | 134,000 | 111,649 |
| Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | | | | 165,000 | 153,476 |
| Amazon.com, Inc. sr. unsec. unsub. bonds 2.70%, 6/3/60 | | | | 453,000 | 256,321 |
| Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31 | | | | 101,000 | 80,969 |
| Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 | | | | 16,000 | 15,449 |
| Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 | | | | 39,000 | 28,752 |
| Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | | | | 90,000 | 70,701 |
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 | | | | 104,000 | 97,254 |
| Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | | | | 120,000 | 113,916 |
| Discovery Communications, LLC company guaranty sr. unsec. unsub. notes 3.625%, 5/15/30 | | | | 18,000 | 15,236 |
| Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | | | | 49,000 | 41,121 |
| Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 | | | | 80,000 | 68,438 |
| Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | | | | 60,000 | 52,897 |
| Hyatt Hotels Corp. sr. unsec. notes 5.75%, 4/23/30 | | | | 140,000 | 135,723 |
| Hyatt Hotels Corp. sr. unsec. notes 5.75%, 1/30/27 | | | | 22,000 | 21,859 |
| Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 | | | | 150,000 | 141,418 |
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | | | | 176,000 | 169,548 |
| Moody's Corp. sr. unsec. bonds 5.25%, 7/15/44 | | | | 108,000 | 97,685 |
| Moody's Corp. sr. unsec. notes 3.25%, 1/15/28 | | | | 66,000 | 60,514 |
| Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 | | | | 100,000 | 96,414 |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | | | | 75,000 | 73,180 |
| Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 | | | | 50,000 | 43,092 |
| Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 | | | | 58,000 | 51,414 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 5/15/33 | | | | 95,000 | 95,448 |
| S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 | | | | 70,000 | 59,471 |
| S&P Global, Inc. company guaranty sr. unsec. notes 4.75%, 8/1/28 | | | | 65,000 | 63,396 |
| S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | | | | 41,000 | 31,296 |
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | | | | 200,000 | 173,943 |
| Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 4.279%, 3/15/32 | | | | 548,000 | 465,153 |
| | | | | |
|
| | | | | | 3,125,908 |
| Consumer staples (1.7%) |
| Ashtead Capital, Inc. 144A company guaranty sr. unsec. bonds 5.95%, 10/15/33 | | | | 200,000 | 189,871 |
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | | | | 335,000 | 311,362 |
| Coca-Cola Co. (The) sr. unsec. unsub. notes 1.65%, 6/1/30 | | | | 290,000 | 232,391 |
| Conagra Brands, Inc. sr. unsec. bonds 5.30%, 11/1/38 | | | | 65,000 | 57,163 |
| Constellation Brands, Inc. company guaranty sr. unsec. bonds 4.10%, 2/15/48 | | | | 150,000 | 111,878 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 | | | | 83,000 | 89,831 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | | | | 88,000 | 82,117 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 | | | | 5,000 | 4,883 |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 | | | | 40,000 | 37,086 |
| Haleon US Capital LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/29 | | | | 250,000 | 224,189 |
| JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL 144A company guaranty sr. unsec. bonds 6.75%, 3/15/34 | | | | 70,000 | 68,109 |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 5.75%, 4/1/33 | | | | 25,000 | 22,864 |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 | | | | 155,000 | 130,074 |
| Kenvue, Inc. 144A company guaranty sr. unsec. notes 4.90%, 3/22/33 | | | | 315,000 | 301,045 |
| Kenvue, Inc. 144A company guaranty sr. unsec. unsub. bonds 5.05%, 3/22/53 | | | | 24,000 | 21,800 |
| Kenvue, Inc. 144A company guaranty sr. unsec. unsub. notes 5.05%, 3/22/28 | | | | 21,000 | 20,722 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. bonds 3.35%, 3/15/51 | | | | 70,000 | 45,186 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. bonds 3.20%, 5/1/30 | | | | 38,000 | 32,770 |
| Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 | | | | 66,000 | 61,320 |
| McDonald's Corp. sr. unsec. unsub. bonds Ser. MTN, 6.30%, 10/15/37 | | | | 165,000 | 171,872 |
| Molson Coors Beverage Co. company guaranty sr. unsec. unsub. bonds 4.20%, 7/15/46 | | | | 120,000 | 90,246 |
| Mondelez International, Inc. sr. unsec. notes 2.625%, 3/17/27 | | | | 180,000 | 163,833 |
| | | | | |
|
| | | | | | 2,470,612 |
| Energy (1.3%) |
| Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 | | | | 195,000 | 176,567 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | | | | 89,000 | 70,737 |
| Columbia Pipelines Operating Co., LLC 144A sr. unsec. bonds 6.544%, 11/15/53 | | | | 45,000 | 43,962 |
| Columbia Pipelines Operating Co., LLC 144A sr. unsec. notes 5.927%, 8/15/30 | | | | 50,000 | 49,304 |
| DCP Midstream Operating LP company guaranty sr. unsec. notes 8.125%, 8/16/30 | | | | 85,000 | 94,177 |
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 6.25%, 3/15/33 | | | | 75,000 | 75,043 |
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 | | | | 90,000 | 84,146 |
| EQT Corp. sr. unsec. notes 5.00%, 1/15/29 | | | | 210,000 | 197,402 |
| Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | | | | 70,000 | 65,625 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 | | | | 109,000 | 116,719 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 7.50%, 5/1/31 | | | | 235,000 | 249,392 |
| ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 | | | | 205,000 | 202,409 |
| Ovintiv, Inc. company guaranty sr. unsec. bonds 6.25%, 7/15/33 | | | | 93,000 | 89,923 |
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28 | | | | 29,000 | 28,366 |
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/25 | | | | 23,000 | 22,868 |
| Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 | | | | 145,000 | 134,885 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | | | | 205,000 | 183,608 |
| | | | | |
|
| | | | | | 1,885,133 |
| Financials (10.9%) |
| ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) | | | | 200,000 | 193,732 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | | | | 245,000 | 194,753 |
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | | | | 40,000 | 37,061 |
| Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | | | | 260,000 | 221,199 |
| Aircastle, Ltd. 144A sr. unsec. notes 6.50%, 7/18/28 | | | | 75,000 | 73,551 |
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | | | | 145,000 | 146,397 |
| Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 | | | | 20,000 | 18,436 |
| American Express Co. sr. unsec. unsub. notes 3.375%, 5/3/24 | | | | 210,000 | 206,762 |
| Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | | | | 145,000 | 106,775 |
| Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 | | | | 35,000 | 35,000 |
| Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | | | | 175,000 | 163,750 |
| Australia and New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) | | | | 200,000 | 193,391 |
| Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) | | | | 200,000 | 184,641 |
| Banco Santander SA unsec. sub. bonds 6.921%, 8/8/33 (Spain) | | | | 200,000 | 191,097 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | | | | 245,000 | 239,913 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity | | | | 40,000 | 39,744 |
| Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 | | | | 195,000 | 156,281 |
| Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | | | | 550,000 | 447,345 |
| Bank of America Corp. unsec. sub. FRN (CME Term SOFR 3 Month + 1.02%), 6.431%, 9/15/26 | | | | 100,000 | 98,689 |
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | | | | 300,000 | 295,841 |
| Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 5.79%, 7/13/28 (France) | | | | 200,000 | 198,467 |
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | | | | 210,000 | 177,812 |
| BNP Paribas SA 144A jr. unsec. sub. FRN 4.625%, perpetual maturity (France) | | | | 200,000 | 142,015 |
| BPCE SA 144A sr. unsec. unsub. FRN 5.975%, 1/18/27 (France) | | | | 250,000 | 247,298 |
| BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | | | | 317,000 | 305,739 |
| Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 | | | | 225,000 | 154,183 |
| Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity | | | | 90,000 | 76,801 |
| Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 | | | | 105,000 | 103,932 |
| Citigroup, Inc. sr. unsec. FRN 3.106%, 4/8/26 | | | | 21,000 | 20,041 |
| Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 | | | | 64,000 | 59,660 |
| Citigroup, Inc. sub. unsec. bonds 6.174%, 5/25/34 | | | | 76,000 | 72,627 |
| Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | | | | 500,000 | 469,423 |
| Citizens Bank NA sr. unsec. unsub. FRN 5.284%, 1/26/26 | | | | 250,000 | 237,355 |
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | | | | 70,000 | 68,597 |
| Corebridge Financial, Inc. sr. unsec. notes 3.85%, 4/5/29 | | | | 100,000 | 89,828 |
| Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France) | | | | 400,000 | 354,519 |
| Danske Bank A/S 144A sr. unsec. FRN 6.466%, 1/9/26 (Denmark) | | | | 200,000 | 199,752 |
| Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) | | | | 200,000 | 192,410 |
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) | | | | 150,000 | 130,618 |
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | | | | 220,000 | 208,477 |
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 | | | | 25,000 | 24,623 |
| Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 | | | | 89,000 | 49,001 |
| Fifth Third Bancorp sr. unsec. unsub. FRN 6.339%, 7/27/29 | | | | 115,000 | 113,605 |
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | | | | 107,000 | 106,278 |
| Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 | | | | 235,000 | 234,538 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 3.35%, 9/1/24(R) | | | | 92,000 | 89,375 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | | | | 88,000 | 85,323 |
| Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | | | | 353,000 | 326,535 |
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 5.70%, 11/1/24 | | | | 115,000 | 114,561 |
| Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 | | | | 314,000 | 317,971 |
| ING Groep NV sr. unsec. unsub. FRN 6.083%, 9/11/27 (Netherlands) | | | | 200,000 | 199,111 |
| Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 | | | | 118,000 | 86,307 |
| Intercontinental Exchange, Inc. sr. unsec. notes 4.35%, 6/15/29 | | | | 49,000 | 46,076 |
| Intercontinental Exchange, Inc. sr. unsec. notes 4.00%, 9/15/27 | | | | 200,000 | 189,028 |
| Intercontinental Exchange, Inc. sr. unsec. notes 3.65%, 5/23/25 | | | | 20,000 | 19,297 |
| Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) | | | | 210,000 | 154,738 |
| JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | | | | 87,000 | 85,976 |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity | | | | 429,000 | 401,325 |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (CME Term SOFR 3 Month + 1.26%), 6.626%, 5/15/47 | | | | 63,000 | 54,269 |
| JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity | | | | 87,000 | 75,937 |
| JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | | | | 235,000 | 171,462 |
| JPMorgan Chase & Co. unsec. sub. FRB 2.956%, 5/13/31 | | | | 300,000 | 246,487 |
| JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 | | | | 46,000 | 43,720 |
| KeyCorp sr. unsec. unsub. FRN Ser. MTN, 3.878%, 5/23/25 | | | | 103,000 | 99,291 |
| KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 | | | | 110,000 | 97,232 |
| Liberty Mutual Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 6/15/52 | | | | 200,000 | 170,663 |
| Lloyds Banking Group PLC unsec. sub. FRB 3.369%, 12/14/46 (United Kingdom) | | | | 305,000 | 185,912 |
| Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 | | | | 194,000 | 183,989 |
| Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 | | | | 36,000 | 21,912 |
| Morgan Stanley unsec. unsub. notes 3.95%, 4/23/27 | | | | 760,000 | 705,907 |
| Mutual of Omaha Cos. Global Funding 144A notes 5.80%, 7/27/26 | | | | 125,000 | 123,771 |
| Nasdaq, Inc. sr. unsec. bonds 5.95%, 8/15/53 | | | | 24,000 | 22,418 |
| Nasdaq, Inc. sr. unsec. sub. bonds 5.55%, 2/15/34 | | | | 21,000 | 20,044 |
| NatWest Group PLC sr. unsec. unsub. FRN 5.847%, 3/2/27 (United Kingdom) | | | | 200,000 | 196,574 |
| Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 | | | | 75,000 | 55,804 |
| PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | | | | 350,000 | 301,934 |
| Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) | | | | 54,000 | 44,069 |
| Royal Bank of Canada sr. unsec. notes Ser. GMTN, 5.20%, 8/1/28 (Canada) | | | | 140,000 | 136,263 |
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | | | | 140,000 | 136,219 |
| Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) | | | | 200,000 | 142,615 |
| Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 | | | | 173,000 | 181,931 |
| Toronto-Dominion Bank (The) jr. sub. unsec. FRB 8.125%, 10/31/82 (Canada) | | | | 200,000 | 198,971 |
| Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) | | | | 180,000 | 166,538 |
| Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26 | | | | 105,000 | 101,084 |
| UBS Group AG 144A sr. unsec. FRB 9.016%, 11/15/33 (Switzerland) | | | | 370,000 | 427,281 |
| UBS Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | | | | 250,000 | 232,515 |
| UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) | | | | 247,000 | 232,634 |
| US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | | | | 260,000 | 183,169 |
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) | | | | 58,000 | 54,246 |
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 4.50%, 9/1/26(R) | | | | 145,000 | 136,221 |
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) | | | | 22,000 | 19,963 |
| Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity | | | | 50,000 | 43,667 |
| Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 | | | | 610,000 | 618,252 |
| Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) | | | | 185,000 | 140,841 |
| | | | | |
|
| | | | | | 15,371,385 |
| Health care (3.7%) |
| Amgen, Inc. sr. unsec. sub. notes 3.20%, 11/2/27 | | | | 218,000 | 200,234 |
| Amgen, Inc. sr. unsec. unsub. bonds 5.75%, 3/2/63 | | | | 75,000 | 69,186 |
| Amgen, Inc. sr. unsec. unsub. bonds 5.65%, 3/2/53 | | | | 98,000 | 91,087 |
| Amgen, Inc. sr. unsec. unsub. notes 5.25%, 3/2/30 | | | | 273,000 | 266,594 |
| Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 | | | | 100,000 | 92,295 |
| Becton, Dickinson and Co. sr. unsec. bonds 4.669%, 6/6/47 | | | | 55,000 | 45,772 |
| Becton, Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27 | | | | 146,000 | 136,822 |
| Becton, Dickinson and Co. sr. unsec. notes 2.823%, 5/20/30 | | | | 60,000 | 50,514 |
| Biogen, Inc. sr. unsec. bonds 3.25%, 2/15/51 | | | | 105,000 | 65,195 |
| Biogen, Inc. sr. unsec. sub. notes 2.25%, 5/1/30 | | | | 145,000 | 115,815 |
| CVS Health Corp. sr. unsec. notes 3.25%, 8/15/29 | | | | 125,000 | 109,365 |
| CVS Health Corp. sr. unsec. notes 1.30%, 8/21/27 | | | | 446,000 | 379,069 |
| CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 | | | | 14,515 | 14,341 |
| CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 | | | | 92,141 | 82,713 |
| DH Europe Finance II SARL company guaranty sr. unsec. notes 2.60%, 11/15/29 (Luxembourg) | | | | 335,000 | 287,849 |
| Elevance Health, Inc. sr. unsec. unsub. bonds 5.125%, 2/15/53 | | | | 65,000 | 57,386 |
| Elevance Health, Inc. sr. unsec. unsub. notes 2.25%, 5/15/30 | | | | 215,000 | 174,915 |
| Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 | | | | 70,000 | 64,303 |
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | | | | 35,000 | 34,265 |
| HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 | | | | 66,000 | 63,004 |
| HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 | | | | 30,000 | 27,158 |
| HCA, Inc. company guaranty sr. unsec. sub. notes 3.625%, 3/15/32 | | | | 50,000 | 41,444 |
| HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 | | | | 95,000 | 93,995 |
| Humana, Inc. sr. unsec. unsub. bonds 5.50%, 3/15/53 | | | | 75,000 | 67,799 |
| Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | | | | 165,000 | 165,587 |
| Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 | | | | 205,000 | 156,811 |
| Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 | | | | 265,000 | 213,839 |
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 5.30%, 5/19/53 (Singapore) | | | | 120,000 | 111,498 |
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.75%, 5/19/33 (Singapore) | | | | 240,000 | 226,867 |
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.45%, 5/19/28 (Singapore) | | | | 57,000 | 54,955 |
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.45%, 5/19/26 (Singapore) | | | | 120,000 | 117,229 |
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | | | | 25,000 | 23,169 |
| Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | | | | 15,000 | 12,090 |
| Thermo Fisher Scientific, Inc. sr. unsec. notes 4.80%, 11/21/27 | | | | 170,000 | 168,028 |
| Thermo Fisher Scientific, Inc. sr. unsec. notes 2.60%, 10/1/29 | | | | 135,000 | 116,110 |
| UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.75%, 7/15/45 | | | | 50,000 | 43,400 |
| UnitedHealth Group, Inc. sr. unsec. unsub. bonds 2.90%, 5/15/50 | | | | 160,000 | 98,240 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 | | | | 370,000 | 349,099 |
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 5.25%, 2/15/28 | | | | 185,000 | 185,314 |
| Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 | | | | 110,000 | 94,648 |
| Wyeth, LLC company guaranty sr. unsec. bonds 5.95%, 4/1/37 | | | | 225,000 | 231,174 |
| Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | | | | 211,000 | 198,251 |
| Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | | | | 74,000 | 59,235 |
| | | | | |
|
| | | | | | 5,256,664 |
| Technology (2.8%) |
| Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 | | | | 115,000 | 61,422 |
| Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 | | | | 120,000 | 110,414 |
| Apple, Inc. sr. unsec. bonds 3.95%, 8/8/52 | | | | 143,000 | 112,146 |
| Apple, Inc. sr. unsec. notes 4.30%, 5/10/33 | | | | 102,000 | 96,285 |
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | | | | 468,000 | 404,513 |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | | | | 122,000 | 114,632 |
| Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 | | | | 158,000 | 139,946 |
| Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | | | | 400,000 | 344,771 |
| Dell International, LLC/EMC Corp. company guaranty sr. bonds 8.35%, 7/15/46 | | | | 11,000 | 12,857 |
| Fidelity National Information Services, Inc. sr. unsec. bonds 3.10%, 3/1/41 | | | | 34,000 | 22,541 |
| Fidelity National Information Services, Inc. sr. unsec. notes 2.25%, 3/1/31 | | | | 16,000 | 12,514 |
| Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5.10%, 7/15/32 | | | | 26,000 | 24,555 |
| Marvell Technology, Inc. sr. unsec. notes 5.95%, 9/15/33 | | | | 67,000 | 65,761 |
| Marvell Technology, Inc. sr. unsec. notes 5.75%, 2/15/29 | | | | 68,000 | 67,377 |
| Meta Platforms, Inc. sr. unsec. bonds 5.60%, 5/15/53 | | | | 128,000 | 121,147 |
| Meta Platforms, Inc. sr. unsec. notes 4.95%, 5/15/33 | | | | 273,000 | 261,629 |
| Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | | | | 105,000 | 83,114 |
| Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 | | | | 58,000 | 54,700 |
| Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 | | | | 251,000 | 164,633 |
| Microsoft Corp. sr. unsec. unsub. bonds 2.675%, 6/1/60 | | | | 260,000 | 152,671 |
| MSCI, Inc. 144A company guaranty sr. unsec. bonds 3.25%, 8/15/33 | | | | 250,000 | 192,412 |
| MSCI, Inc. 144A company guaranty sr. unsec. notes 3.625%, 9/1/30 | | | | 44,000 | 36,878 |
| Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | | | | 55,000 | 37,705 |
| Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | | | | 475,000 | 338,952 |
| Oracle Corp. sr. unsec. notes 2.95%, 4/1/30 | | | | 45,000 | 37,867 |
| Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 | | | | 130,000 | 117,752 |
| Oracle Corp. sr. unsec. unsub. bonds 4.30%, 7/8/34 | | | | 80,000 | 68,804 |
| Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 | | | | 110,000 | 77,308 |
| salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | | | | 127,000 | 75,912 |
| salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | | | | 128,000 | 79,929 |
| Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | | | | 110,000 | 89,026 |
| ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | | | | 240,000 | 184,237 |
| Xilinx, Inc. company guaranty sr. unsec. sub. notes 2.375%, 6/1/30 | | | | 320,000 | 264,927 |
| | | | | |
|
| | | | | | 4,029,337 |
| Transportation (0.2%) |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 | | | | 133,000 | 122,591 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | | | | 110,000 | 103,085 |
| | | | | |
|
| | | | | | 225,676 |
| Utilities and power (4.0%) |
| AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 | | | | 140,000 | 124,672 |
| Alexander Funding Trust II 144A sr. notes 7.467%, 7/31/28 | | | | 100,000 | 100,131 |
| American Electric Power Co., Inc. sr. unsec. unsub. bonds 5.625%, 3/1/33 | | | | 45,000 | 43,546 |
| American Electric Power Co., Inc. sr. unsec. unsub. bonds 3.25%, 3/1/50 | | | | 100,000 | 61,426 |
| American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | | | | 210,000 | 197,582 |
| American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | | | | 65,000 | 51,383 |
| Berkshire Hathaway Energy Co. sr. unsec. bonds 6.50%, 9/15/37 | | | | 3,000 | 3,068 |
| Berkshire Hathaway Energy Co. sr. unsec. bonds 4.25%, 10/15/50 | | | | 100,000 | 74,070 |
| Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 | | | | 2,000 | 1,981 |
| Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | | | | 85,000 | 66,845 |
| Constellation Energy Generation, LLC sr. unsec. bonds 6.50%, 10/1/53 | | | | 106,000 | 106,248 |
| Constellation Energy Generation, LLC sr. unsec. bonds 6.125%, 1/15/34 | | | | 44,000 | 43,930 |
| Dominion Energy, Inc. sr. unsec. unsub. bonds 4.90%, 8/1/41 | | | | 135,000 | 112,813 |
| Duke Energy Carolinas, LLC sr. notes 4.95%, 1/15/33 | | | | 90,000 | 85,516 |
| Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 | | | | 65,000 | 47,236 |
| Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 | | | | 180,000 | 164,011 |
| Duke Energy Ohio, Inc. sr. bonds 5.25%, 4/1/33 | | | | 65,000 | 62,752 |
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | | | | 195,000 | 178,855 |
| El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 | | | | 200,000 | 219,236 |
| Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) | | | | 90,000 | 69,389 |
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | | | | 95,000 | 90,633 |
| Energy Transfer LP company guaranty sr. unsec. notes 5.875%, 1/15/24 | | | | 84,000 | 83,948 |
| Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 | | | | 182,000 | 179,142 |
| Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 | | | | 37,000 | 35,151 |
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | | | | 125,000 | 99,621 |
| Energy Transfer LP sr. unsec. unsub. notes 6.50%, 2/1/42 | | | | 20,000 | 19,122 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 | | | | 84,000 | 71,305 |
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | | | | 315,000 | 246,601 |
| Evergy Kansas Central, Inc. sr. bonds 5.70%, 3/15/53 | | | | 60,000 | 56,519 |
| Evergy Missouri West, Inc. 144A sr. notes 5.15%, 12/15/27 | | | | 165,000 | 160,555 |
| Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 | | | | 165,000 | 163,088 |
| Eversource Energy sr. unsec. unsub. notes 5.125%, 5/15/33 | | | | 90,000 | 83,711 |
| Florida Power & Light Co. sr. bonds 4.125%, 2/1/42 | | | | 203,000 | 163,642 |
| Georgia Power Co. sr. unsec. unsub. notes 4.95%, 5/17/33 | | | | 270,000 | 253,081 |
| IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 | | | | 105,000 | 92,088 |
| IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | | | | 30,000 | 29,301 |
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 | | | | 86,000 | 72,437 |
| NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.051%, 3/1/25 | | | | 70,000 | 70,106 |
| NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 3.55%, 5/1/27 | | | | 100,000 | 93,120 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | | | | 120,000 | 117,506 |
| Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29 | | | | 161,000 | 163,411 |
| Oncor Electric Delivery Co., LLC sr. notes 3.70%, 11/15/28 | | | | 90,000 | 83,384 |
| Oncor Electric Delivery Co., LLC 144A sr. bonds 4.95%, 9/15/52 | | | | 95,000 | 82,756 |
| Pacific Gas and Electric Co. notes 2.10%, 8/1/27 | | | | 100,000 | 85,507 |
| Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 | | | | 64,000 | 59,770 |
| Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 | | | | 145,000 | 108,078 |
| Pacific Gas and Electric Co. sr. notes 6.10%, 1/15/29 | | | | 45,000 | 43,953 |
| Pacific Gas and Electric Co. sr. notes 3.30%, 12/1/27 | | | | 190,000 | 167,873 |
| PacifiCorp sr. bonds 2.70%, 9/15/30 | | | | 133,000 | 108,566 |
| Puget Sound Energy, Inc. sr. bonds 5.448%, 6/1/53 | | | | 160,000 | 146,606 |
| Sempra Energy sr. unsec. unsub. bonds 5.50%, 8/1/33 | | | | 50,000 | 47,833 |
| Southern Co. (The) sr. unsec. bonds 5.70%, 3/15/34 | | | | 65,000 | 63,657 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | | | | 82,000 | 71,695 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | | | | 98,000 | 95,576 |
| WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (CME Term SOFR 3 Month + 2.37%), 7.739%, 5/15/67 | | | | 305,000 | 272,979 |
| Xcel Energy, Inc. sr. unsec. bonds 5.45%, 8/15/33 | | | | 170,000 | 162,236 |
| | | | | |
|
| | | | | | 5,759,247 |
| | | | | |
|
| Total corporate bonds and notes (cost $51,097,042) | | | | | $45,721,082 |
| | | | | | |
| MORTGAGE-BACKED SECURITIES (31.8%)(a) |
| | | | | Principal amount | Value |
| Agency collateralized mortgage obligations (7.0%) |
| Federal Home Loan Mortgage Corporation | | | | | |
| REMICs Ser. 4132, Class IP, IO, 4.50%, 11/15/42 | | | | $180,690 | $19,623 |
| REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 | | | | 64,156 | 3,722 |
| REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 | | | | 500,000 | 92,199 |
| REMICs IFB Ser. 3408, Class EK, ((-4.024 x US 30 Day Average SOFR) + 25.33%), 3.952%, 4/15/37 | | | | 74,941 | 80,809 |
| REMICs IFB Ser. 3065, Class DC, ((-3 x US 30 Day Average SOFR) + 19.52%), 3.577%, 3/15/35 | | | | 99,301 | 96,004 |
| REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 | | | | 4,110,329 | 750,784 |
| REMICs Ser. 23-5349, Class IA, IO, 3.00%, 12/15/42 | | | | 1,400,000 | 121,995 |
| REMICs IFB Ser. 4738, Class QS, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.772%, 12/15/47 | | | | 748,656 | 70,181 |
| REMICs IFB Ser. 4839, Class AS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.622%, 6/15/42 | | | | 2,671,794 | 97,798 |
| REMICs IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 1/25/50 | | | | 3,924,024 | 303,903 |
| REMICs IFB Ser. 4994, Class SD, IO, ((-1 x US 30 Day Average SOFR) + 5.49%), 0.171%, 2/25/49 | | | | 1,686,371 | 85,179 |
| REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 | | | | 1,922 | 1,477 |
| REMICs Ser. 3391, PO, zero %, 4/15/37 | | | | 12,515 | 10,124 |
| REMICs Ser. 3210, PO, zero %, 5/15/36 | | | | 1,078 | 1,048 |
| REMICs FRB Ser. 3117, Class AF, zero %, 2/15/36 | | | | 4,033 | 3,360 |
| Federal National Mortgage Association | | | | | |
| REMICs Ser. 15-33, Class AI, IO, 5.00%, 6/25/45 | | | | 808,700 | 123,766 |
| REMICs Ser. 23-49, Class IB, IO, 3.50%, 3/25/47 | | | | 300,000 | 45,581 |
| REMICs Ser. 23-49, Class IA, IO, 3.00%, 8/25/46 | | | | 900,000 | 102,202 |
| REMICs Ser. 21-12, Class NI, IO, 2.50%, 3/25/51 | | | | 3,757,492 | 608,977 |
| REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.971%, 4/25/40 | | | | 256,985 | 21,896 |
| REMICs IFB Ser. 19-3, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.671%, 2/25/49 | | | | 2,221,715 | 130,792 |
| REMICs IFB Ser. 18-94, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.671%, 1/25/49 | | | | 519,002 | 30,955 |
| REMICs IFB Ser. 14-83, Class SX, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.671%, 12/25/44 | | | | 7,722,449 | 664,393 |
| REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 3/25/50 | | | | 971,472 | 85,800 |
| REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 3/25/46 | | | | 1,929,887 | 159,366 |
| Interest Strip Ser. 372, Class 1, PO, zero %, 8/25/36 | | | | 7,725 | 6,030 |
| Government National Mortgage Association | | | | | |
| Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 | | | | 307,440 | 41,864 |
| Ser. 14-180, IO, 5.00%, 12/20/44 | | | | 859,234 | 169,467 |
| Ser. 14-76, IO, 5.00%, 5/20/44 | | | | 249,621 | 49,414 |
| Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | | | | 130,750 | 26,728 |
| Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | | | | 1,057,593 | 217,801 |
| Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | | | | 555,598 | 113,592 |
| Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | | | | 192,604 | 33,375 |
| Ser. 20-46, Class MI, IO, 4.00%, 4/20/50 | | | | 773,048 | 142,419 |
| Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 | | | | 538,686 | 91,221 |
| Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | | | | 705,902 | 130,098 |
| Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 | | | | 702,348 | 115,787 |
| Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | | | | 419,347 | 71,174 |
| Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 | | | | 1,517,534 | 255,902 |
| Ser. 19-158, Class PI, IO, 3.50%, 12/20/49 | | | | 1,227,924 | 217,048 |
| Ser. 12-136, IO, 3.50%, 11/20/42 | | | | 644,418 | 92,292 |
| Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | | | | 458,999 | 72,700 |
| Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | | | | 226,790 | 14,129 |
| Ser. 14-100, Class JI, IO, 3.50%, 7/16/29 | | | | 416,089 | 19,711 |
| Ser. 20-186, Class DI, IO, 3.00%, 12/20/50 | | | | 4,752,858 | 734,630 |
| Ser. 17-H18, Class CI, IO, 2.251%, 9/20/67(WAC) | | | | 1,497,470 | 105,119 |
| IFB Ser. 23-66, Class PS, ((-2.5 x US 30 Day Average SOFR) + 15.38%), 2.089%, 5/20/53 | | | | 479,999 | 451,248 |
| Ser. 16-H11, Class HI, IO, 2.082%, 1/20/66(WAC) | | | | 1,614,562 | 47,708 |
| Ser. 15-H12, Class AI, IO, 1.793%, 5/20/65(WAC) | | | | 1,661,424 | 52,501 |
| Ser. 15-H12, Class GI, IO, 1.775%, 5/20/65(WAC) | | | | 1,774,297 | 72,036 |
| Ser. 15-H20, Class AI, IO, 1.771%, 8/20/65(WAC) | | | | 890,614 | 30,815 |
| Ser. 15-H10, Class CI, IO, 1.746%, 4/20/65(WAC) | | | | 1,073,523 | 39,076 |
| Ser. 15-H12, Class EI, IO, 1.633%, 4/20/65(WAC) | | | | 2,204,809 | 70,333 |
| Ser. 16-H14, IO, 1.613%, 6/20/66(WAC) | | | | 2,012,144 | 53,485 |
| Ser. 15-H25, Class AI, IO, 1.54%, 9/20/65(WAC) | | | | 1,786,291 | 48,944 |
| Ser. 15-H01, Class CI, IO, 1.502%, 12/20/64(WAC) | | | | 636,832 | 12,346 |
| Ser. 14-H11, Class GI, IO, 1.456%, 6/20/64(WAC) | | | | 3,610,734 | 105,130 |
| Ser. 10-H19, Class GI, IO, 1.387%, 8/20/60(WAC) | | | | 1,224,334 | 37,707 |
| IFB Ser. 23-84, Class UA, ((-2 x US 30 Day Average SOFR) + 12.00%), 1.371%, 6/20/53 | | | | 244,152 | 199,635 |
| IFB Ser. 20-112, Class MS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.861%, 8/20/50 | | | | 4,114,132 | 421,740 |
| IFB Ser. 12-149, Class GS, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.761%, 12/20/42 | | | | 1,108,044 | 79,081 |
| IFB Ser. 14-131, Class BS, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.755%, 9/16/44 | | | | 664,752 | 71,256 |
| FRB Ser. 15-H16, Class XI, IO, 0.724%, 7/20/65(WAC) | | | | 897,523 | 42,543 |
| IFB Ser. 19-123, Class SL, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.711%, 10/20/49 | | | | 1,134,633 | 80,571 |
| IFB Ser. 18-168, Class KS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.711%, 12/20/48 | | | | 1,135,905 | 92,538 |
| IFB Ser. 20-32, Class GS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 3/20/50 | | | | 884,626 | 76,448 |
| IFB Ser. 20-11, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 1/20/50 | | | | 744,654 | 61,665 |
| IFB Ser. 19-83, Class JS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 7/20/49 | | | | 888,219 | 72,692 |
| IFB Ser. 19-83, Class SW, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 7/20/49 | | | | 908,676 | 77,946 |
| IFB Ser. 19-20, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 2/20/49 | | | | 972,938 | 78,099 |
| IFB Ser. 18-155, Class SE, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 11/20/48 | | | | 598,606 | 47,649 |
| IFB Ser. 20-55, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.611%, 4/20/50 | | | | 1,710,907 | 140,414 |
| IFB Ser. 19-44, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.611%, 4/20/49 | | | | 786,331 | 44,451 |
| IFB Ser. 19-119, Class KS, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.605%, 9/16/49 | | | | 1,358,975 | 141,833 |
| IFB Ser. 19-121, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.561%, 10/20/49 | | | | 135,179 | 14,465 |
| Ser. 15-H13, Class AI, IO, 0.246%, 6/20/65(WAC) | | | | 2,004,066 | 77,297 |
| Ser. 17-H12, Class QI, IO, 0.22%, 5/20/67(WAC) | | | | 1,560,249 | 48,908 |
| Ser. 16-H23, Class MI, IO, 0.116%, 10/20/66(WAC) | | | | 5,973,083 | 182,742 |
| Ser. 16-H24, Class JI, IO, 0.091%, 11/20/66(WAC) | | | | 789,208 | 36,489 |
| Ser. 15-H25, Class CI, IO, 0.042%, 10/20/65(WAC) | | | | 1,184,217 | 40,145 |
| Ser. 16-H23, Class NI, IO, 0.03%, 10/20/66(WAC) | | | | 3,586,121 | 134,480 |
| Ser. 15-H04, Class AI, IO, 0.023%, 12/20/64(WAC) | | | | 1,644,045 | 42,310 |
| Ser. 17-H10, Class MI, IO, 0.021%, 4/20/67(WAC) | | | | 1,967,071 | 51,734 |
| Ser. 17-H08, Class NI, IO, 0.019%, 3/20/67(WAC) | | | | 1,937,832 | 57,166 |
| Ser. 19-H02, Class DI, IO, zero %, 11/20/68(WAC) | | | | 2,314,578 | 102,942 |
| | | | | |
|
| | | | | | 9,971,003 |
| Commercial mortgage-backed securities (16.0%) |
| ACRES Commercial Realty, Ltd. 144A FRB Ser. 21-FL1, Class A, (CME Term SOFR 1 Month + 1.31%), 6.647%, 6/15/36 | | | | 319,338 | 313,958 |
| Arbor Realty Commercial Real Estate CLO, Ltd. 144A FRN Ser. 21-FL2, Class A, (CME Term SOFR 1 Month + 1.21%), 6.547%, 5/15/36 (Cayman Islands) | | | | 115,000 | 113,577 |
| Banc of America Commercial Mortgage Trust | | | | | |
| FRB Ser. 15-UBS7, Class B, 4.488%, 9/15/48(WAC) | | | | 483,000 | 435,601 |
| FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49(WAC) | | | | 54,337 | 98 |
| BANK FRB Ser. 18-BN13, Class XA, IO, 0.582%, 8/15/61(WAC) | | | | 7,084,971 | 134,494 |
| Barclays Commercial Mortgage Trust 144A FRB Ser. 19-C5, Class F, 2.729%, 11/15/52(WAC) | | | | 234,000 | 116,416 |
| BDS Ltd. 144A FRB Ser. 21-FL8, Class A, 6.365%, 1/18/36 (Cayman Islands) | | | | 208,318 | 205,010 |
| BDS, Ltd. 144A | | | | | |
| FRB Ser. 21-FL10, Class A, (CME Term SOFR 1 Month + 1.46%), 6.795%, 12/16/36 (Cayman Islands) | | | | 316,000 | 311,260 |
| FRB Ser. 21-FL9, Class A, (CME Term SOFR 1 Month + 1.18%), 6.515%, 11/16/38 (Cayman Islands) | | | | 141,000 | 137,535 |
| Benchmark Mortgage Trust FRB Ser. 18-B1, Class C, 4.329%, 1/15/51(WAC) | | | | 225,000 | 157,022 |
| Benchmark Mortgage Trust 144A Ser. 19-B13, Class D, 2.50%, 8/15/57 | | | | 221,000 | 121,882 |
| CFCRE Commercial Mortgage Trust 144A | | | | | |
| FRB Ser. 11-C2, Class D, 5.08%, 12/15/47(WAC) | | | | 72,758 | 68,393 |
| FRB Ser. 11-C2, Class E, 5.08%, 12/15/47(WAC) | | | | 597,000 | 488,059 |
| Citigroup Commercial Mortgage Trust | | | | | |
| FRB Ser. 15-P1, Class C, 4.514%, 9/15/48(WAC) | | | | 585,000 | 517,814 |
| FRB Ser. 14-GC19, Class XA, IO, 1.244%, 3/11/47(WAC) | | | | 6,727,363 | 5,934 |
| FRB Ser. 14-GC23, Class XA, IO, 1.043%, 7/10/47(WAC) | | | | 15,650,537 | 72,129 |
| FRB Ser. 13-GC17, Class XA, IO, 0.965%, 11/10/46(WAC) | | | | 1,444,372 | 62 |
| COMM Mortgage Trust | | | | | |
| FRB Ser. 14-CR17, Class C, 4.942%, 5/10/47(WAC) | | | | 492,000 | 446,179 |
| Ser. 12-LC4, Class B, 4.934%, 12/10/44(WAC) | | | | 159,906 | 143,915 |
| FRB Ser. 14-UBS4, Class C, 4.806%, 8/10/47(WAC) | | | | 246,000 | 196,698 |
| FRB Ser. 18-COR3, Class C, 4.711%, 5/10/51(WAC) | | | | 630,000 | 431,270 |
| FRB Ser. 14-UBS6, Class C, 4.581%, 12/10/47(WAC) | | | | 83,000 | 70,211 |
| FRB Ser. 15-CR23, Class C, 4.443%, 5/10/48(WAC) | | | | 293,000 | 252,721 |
| Ser. 13-CR12, Class AM, 4.30%, 10/10/46 | | | | 191,000 | 166,296 |
| FRB Ser. 14-LC15, Class XA, IO, 1.203%, 4/10/47(WAC) | | | | 5,444,593 | 7,078 |
| FRB Ser. 15-CR23, Class XA, IO, 0.999%, 5/10/48(WAC) | | | | 4,177,736 | 39,630 |
| FRB Ser. 14-UBS6, Class XA, IO, 0.975%, 12/10/47(WAC) | | | | 6,910,399 | 40,474 |
| COMM Mortgage Trust 144A | | | | | |
| FRB Ser. 12-CR1, Class D, 5.308%, 5/15/45(WAC) | | | | 89,293 | 60,755 |
| FRB Ser. 14-CR17, Class D, 5.006%, 5/10/47(WAC) | | | | 198,000 | 179,207 |
| FRB Ser. 13-CR13, Class D, 4.95%, 11/10/46(WAC) | | | | 389,000 | 303,013 |
| FRB Ser. 13-CR13, Class E, 4.95%, 11/10/46(WAC) | | | | 123,000 | 67,023 |
| FRB Ser. 14-CR19, Class D, 4.853%, 8/10/47(WAC) | | | | 178,000 | 159,002 |
| FRB Ser. 13-CR6, Class D, 3.988%, 3/10/46(WAC) | | | | 205,000 | 143,522 |
| Ser. 13-LC6, Class E, 3.50%, 1/10/46 | | | | 161,000 | 126,318 |
| Ser. 17-COR2, Class D, 3.00%, 9/10/50 | | | | 389,000 | 264,520 |
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.047%, 1/15/49(WAC) | | | | 3,118,488 | 2 |
| CSAIL Commercial Mortgage Trust | | | | | |
| FRB Ser. 15-C1, Class C, 4.392%, 4/15/50(WAC) | | | | 276,000 | 208,456 |
| FRB Ser. 15-C3, Class XA, IO, 0.81%, 8/15/48(WAC) | | | | 13,799,877 | 121,584 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.892%, 4/15/50(WAC) | | | | 502,000 | 306,220 |
| CSMC Trust FRB Ser. 16-NXSR, Class XA, IO, 0.827%, 12/15/49(WAC) | | | | 5,778,482 | 92,526 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.537%, 8/10/44(WAC) | | | | 283,440 | 251,267 |
| Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.315%, 11/25/51 | | | | 337,000 | 319,805 |
| GS Mortgage Securities Corp., II 144A Ser. 13-GC10, Class C, 4.285%, 2/10/46(WAC) | | | | 228,667 | 219,192 |
| GS Mortgage Securities Trust | | | | | |
| FRB Ser. 14-GC18, Class C, 5.234%, 1/10/47(WAC) | | | | 584,000 | 321,200 |
| FRB Ser. 14-GC18, Class XA, IO, 1.156%, 1/10/47(WAC) | | | | 3,287,182 | 329 |
| FRB Ser. 14-GC22, Class XA, IO, 1.087%, 6/10/47(WAC) | | | | 13,177,418 | 33,318 |
| FRB Ser. 15-GS1, Class XA, IO, 0.903%, 11/10/48(WAC) | | | | 19,154,595 | 249,964 |
| FRB Ser. 13-GC13, Class XA, IO, zero %, 7/10/46(WAC) | | | | 7,809,137 | 78 |
| GS Mortgage Securities Trust 144A | | | | | |
| FRB Ser. 10-C1, Class D, 6.57%, 8/10/43(WAC) | | | | 414,000 | 328,502 |
| FRB Ser. 14-GC24, Class D, 4.657%, 9/10/47(WAC) | | | | 510,000 | 219,433 |
| FRB Ser. 11-GC5, Class XA, IO, 0.09%, 8/10/44(WAC) | | | | 673,853 | 7 |
| JPMBB Commercial Mortgage Securities Trust | | | | | |
| FRB Ser. 13-C15, Class C, 5.171%, 11/15/45(WAC) | | | | 246,000 | 241,080 |
| FRB Ser. 14-C22, Class C, 4.70%, 9/15/47(WAC) | | | | 287,000 | 248,904 |
| FRB Ser. 13-C12, Class C, 4.101%, 7/15/45(WAC) | | | | 188,893 | 169,332 |
| FRB Ser. 14-C25, Class XA, IO, 0.945%, 11/15/47(WAC) | | | | 2,698,350 | 14,895 |
| FRB Ser. 14-C22, Class XA, IO, 0.943%, 9/15/47(WAC) | | | | 13,065,353 | 54,148 |
| FRB Ser. 13-C17, Class XA, IO, 0.777%, 1/15/47(WAC) | | | | 1,251,469 | 80 |
| JPMBB Commercial Mortgage Securities Trust 144A | | | | | |
| FRB Ser. 13-C14, Class E, 4.385%, 8/15/46(WAC) | | | | 441,000 | 112,256 |
| FRB Ser. C14, Class D, 4.385%, 8/15/46(WAC) | | | | 715,000 | 371,395 |
| Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) | | | | 517,000 | 129,549 |
| JPMDB Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class C, 4.923%, 6/15/51(WAC) | | | | 106,000 | 84,800 |
| JPMorgan Chase Commercial Mortgage Securities Trust | | | | | |
| Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 | | | | 220,630 | 207,812 |
| Ser. 13-LC11, Class B, 3.499%, 4/15/46 | | | | 289,000 | 252,443 |
| FRB Ser. 13-LC11, Class XA, IO, 1.045%, 4/15/46(WAC) | | | | 175,296 | 9 |
| FRB Ser. 13-C16, Class XA, IO, 0.729%, 12/15/46(WAC) | | | | 854,986 | 20 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | | | | | |
| FRB Ser. 11-C3, Class D, 5.71%, 2/15/46(WAC) | | | | 148,000 | 100,680 |
| FRB Ser. 11-C3, Class F, 5.71%, 2/15/46(WAC) | | | | 635,000 | 145,906 |
| FRB Ser. 12-C6, Class E, 5.129%, 5/15/45(WAC) | | | | 288,000 | 234,479 |
| FRB Ser. 11-C3, Class B, 5.013%, 2/15/46(WAC) | | | | 279,613 | 259,892 |
| FRB Ser. 12-LC9, Class D, 3.91%, 12/15/47(WAC) | | | | 127,000 | 102,233 |
| FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) | | | | 498,000 | 212,188 |
| FRB Ser. 21-1MEM, Class D, 2.742%, 10/9/42(WAC) | | | | 650,000 | 387,305 |
| FRB Ser. 21-1MEM, Class E, 2.742%, 10/9/42(WAC) | | | | 250,000 | 140,584 |
| Ladder Capital Commercial Mortgage Trust 144A FRB Ser. 17-LC26, Class XA, IO, 1.683%, 7/12/50(WAC) | | | | 6,017,345 | 247,641 |
| MF1 Multifamily Housing Mortgage Loan Trust 144A FRB Ser. 21-FL5, Class A, 6.297%, 7/15/36 | | | | 293,745 | 289,786 |
| MF1 Multifamily Housing Mortgage Loan, Ltd. 144A FRB Ser. 21-FL7, Class C, IO, (CME Term SOFR 1 Month + 2.16%), 7.495%, 10/16/36 (Cayman Islands) | | | | 112,000 | 106,986 |
| MF1 Multifamily Housing Mortgage, Ltd. 144A FRB Ser. 21-FL6, Class A, (CME Term SOFR 1 Month + 1.21%), 6.545%, 7/16/36 (Cayman Islands) | | | | 526,462 | 514,245 |
| Morgan Stanley Bank of America Merrill Lynch Trust | | | | | |
| FRB Ser. 15-C27, Class C, 4.643%, 12/15/47(WAC) | | | | 587,000 | 506,432 |
| FRB Ser. 14-C16, Class B, 4.438%, 6/15/47(WAC) | | | | 376,000 | 343,664 |
| FRB Ser. 15-C23, Class B, 4.276%, 7/15/50(WAC) | | | | 339,000 | 306,829 |
| FRB Ser. 14-C17, Class XA, IO, 1.188%, 8/15/47(WAC) | | | | 2,488,476 | 6,420 |
| FRB Ser. 15-C25, Class XA, IO, 1.179%, 10/15/48(WAC) | | | | 4,651,337 | 61,537 |
| FRB Ser. 15-C26, Class XA, IO, 1.109%, 10/15/48(WAC) | | | | 3,958,123 | 42,175 |
| FRB Ser. 13-C12, Class XA, IO, 0.679%, 10/15/46(WAC) | | | | 1,754,737 | 32 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | | | | | |
| FRB Ser. 14-C14, Class D, 5.222%, 2/15/47(WAC) | | | | 235,000 | 224,370 |
| FRB Ser. 12-C6, Class E, 4.531%, 11/15/45(WAC) | | | | 138,000 | 89,700 |
| FRB Ser. 15-C23, Class D, 4.276%, 7/15/50(WAC) | | | | 366,000 | 307,741 |
| FRB Ser. 13-C11, Class D, 4.22%, 8/15/46(WAC) | | | | 319,000 | 2,871 |
| FRB Ser. 13-C10, Class E, 4.095%, 7/15/46(WAC) | | | | 683,000 | 154,930 |
| FRB Ser. 13-C10, Class F, 4.095%, 7/15/46(WAC) | | | | 273,000 | 13,709 |
| Ser. 14-C17, Class E, 3.50%, 8/15/47 | | | | 290,000 | 231,840 |
| Ser. 14-C19, Class D, 3.25%, 12/15/47 | | | | 261,000 | 215,562 |
| FRB Ser. 13-C13, Class XB, IO, 0.152%, 11/15/46(WAC) | | | | 55,988,000 | 5,599 |
| Morgan Stanley Capital I Trust | | | | | |
| FRB Ser. 18-L1, Class C, 4.942%, 10/15/51(WAC) | | | | 244,000 | 193,980 |
| Ser. 15-UBS8, Class B, 4.315%, 12/15/48(WAC) | | | | 412,000 | 353,268 |
| FRB Ser. 16-BNK2, Class XA, IO, 1.086%, 11/15/49(WAC) | | | | 3,254,245 | 73,178 |
| FRB Ser. 16-UB12, Class XA, IO, 0.787%, 12/15/49(WAC) | | | | 8,598,190 | 142,182 |
| Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class E, 5.109%, 7/15/49(WAC) | | | | 90,403 | 84,392 |
| Multifamily Connecticut Avenue Securities Trust 144A | | | | | |
| FRB Ser. 20-01, Class M10, 9.179%, 3/25/50 | | | | 402,118 | 391,205 |
| FRB Ser. 19-01, Class M10, 8.679%, 10/25/49 | | | | 764,110 | 744,287 |
| PFP, Ltd. 144A FRB Ser. 21-8, Class C, 7.246%, 8/9/37 (Cayman Islands) | | | | 129,000 | 123,891 |
| Ready Capital Mortgage Financing, LLC 144A | | | | | |
| FRB Ser. 22-FL10, Class AS, 8.39%, 10/25/39 | | | | 243,000 | 242,883 |
| FRB Ser. 22-FL8, Class AS, 7.415%, 1/25/37 | | | | 379,000 | 378,354 |
| FRB Ser. 22-FL8, Class A, 6.965%, 1/25/37 | | | | 105,443 | 104,226 |
| FRB Ser. 21-FL7, Class A, 6.634%, 11/25/36 | | | | 240,888 | 237,825 |
| RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 8.581%, 1/19/37 (Bermuda) | | | | 345,000 | 329,475 |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) | | | | 859,373 | 9 |
| UBS Commercial Mortgage Trust | | | | | |
| FRB Ser. 19-C17, Class XA, IO, 1.602%, 10/15/52(WAC) | | | | 4,240,028 | 266,285 |
| FRB Ser. 17-C7, Class XA, IO, 1.154%, 12/15/50(WAC) | | | | 4,492,468 | 140,753 |
| FRB Ser. 18-C12, Class XA, IO, 1.033%, 8/15/51(WAC) | | | | 4,298,317 | 149,074 |
| UBS-Barclays Commercial Mortgage Trust 144A | | | | | |
| Ser. 13-C6, Class E, 3.50%, 4/10/46 | | | | 150,000 | 64,636 |
| FRB Ser. 12-C2, Class XA, IO, 0.91%, 5/10/63(WAC) | | | | 817,327 | 34 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.452%, 11/15/48(WAC) | | | | 155,659 | 235 |
| Wells Fargo Commercial Mortgage Trust | | | | | |
| Ser. 19-C49, Class B, 4.546%, 3/15/52 | | | | 148,000 | 125,889 |
| FRB Ser. 20-C57, Class C, 4.157%, 8/15/53(WAC) | | | | 122,000 | 95,827 |
| Ser. 15-LC20, Class C, 4.056%, 4/15/50(WAC) | | | | 162,000 | 147,710 |
| FRB Ser. 19-C50, Class XA, IO, 1.577%, 5/15/52(WAC) | | | | 2,299,151 | 129,178 |
| FRB Ser. 17-C41, Class XA, IO, 1.302%, 11/15/50(WAC) | | | | 3,191,392 | 118,434 |
| FRB Ser. 14-LC16, Class XA, IO, 1.209%, 8/15/50(WAC) | | | | 5,481,045 | 15,478 |
| FRB Ser. 18-C43, Class XA, IO, 0.738%, 3/15/51(WAC) | | | | 13,764,718 | 296,818 |
| FRB Ser. 15-LC20, Class XB, IO, 0.627%, 4/15/50(WAC) | | | | 13,766,000 | 86,863 |
| Wells Fargo Commercial Mortgage Trust 144A | | | | | |
| Ser. 14-LC16, Class D, 3.938%, 8/15/50 | | | | 247,000 | 18,821 |
| Ser. 16-C33, Class D, 3.123%, 3/15/59 | | | | 288,000 | 205,102 |
| Ser. 19-C53, Class D, 2.50%, 10/15/52 | | | | 218,000 | 119,124 |
| WF-RBS Commercial Mortgage Trust | | | | | |
| Ser. 13-C11, Class B, 3.714%, 3/15/45(WAC) | | | | 119,548 | 104,903 |
| FRB Ser. 14-C24, Class XA, IO, 0.982%, 11/15/47(WAC) | | | | 5,862,737 | 32,170 |
| FRB Ser. 14-C22, Class XA, IO, 0.91%, 9/15/57(WAC) | | | | 12,887,588 | 52,349 |
| FRB Ser. 13-C14, Class XA, IO, 0.476%, 6/15/46(WAC) | | | | 600,328 | 11 |
| WF-RBS Commercial Mortgage Trust 144A | | | | | |
| Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) | | | | 402,000 | 258,505 |
| Ser. 11-C4, Class E, 4.993%, 6/15/44(WAC) | | | | 55,000 | 37,383 |
| FRB Ser. 11-C4, Class C, 4.993%, 6/15/44(WAC) | | | | 131,235 | 121,692 |
| FRB Ser. 12-C10, Class D, 4.549%, 12/15/45(WAC) | | | | 768,000 | 418,757 |
| FRB Ser. 13-C15, Class D, 4.352%, 8/15/46(WAC) | | | | 919,000 | 227,453 |
| | | | | |
|
| | | | | | 22,743,657 |
| Residential mortgage-backed securities (non-agency) (8.8%) |
| Angel Oak Mortgage Trust 144A Ser. 23-3, Class A1, 4.80%, 9/26/67 | | | | 106,789 | 99,627 |
| Arroyo Mortgage Trust 144A Ser. 19-3, Class M1, 4.204%, 10/25/48(WAC) | | | | 330,000 | 269,984 |
| Bellemeade Re, Ltd. 144A FRB Ser. 20-2A, Class B1, (US 30 Day Average SOFR + 8.50%), 13.934%, 8/26/30 (Bermuda) | | | | 151,000 | 152,910 |
| BRAVO Residential Funding Trust 144A Ser. 20-RPL1, Class M1, 3.25%, 5/26/59(WAC) | | | | 353,000 | 309,771 |
| Bunker Hill Loan Depositary Trust 144A FRB Ser. 20-1, Class A3, 3.253%, 2/25/55(WAC) | | | | 332,000 | 280,830 |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 04-3A, Class A2, (CME Term SOFR 1 Month + 0.41%), 5.738%, 8/25/35 | | | | 50,420 | 44,949 |
| Citigroup Mortgage Loan Trust, Inc. 144A Ser. 22-A, Class A1, 6.17%, 9/25/62 | | | | 143,346 | 138,054 |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A2, 3.094%, 3/25/65(WAC) | | | | 224,000 | 211,846 |
| Credit Suisse Mortgage Trust 144A FRB Ser. 20-RPL3, Class A1, 2.691%, 3/25/60(WAC) | | | | 154,411 | 151,290 |
| Deephaven Residential Mortgage Trust 144A Ser. 20-2, Class A2, 2.594%, 5/25/65 | | | | 23,131 | 23,002 |
| Eagle Re, Ltd. 144A FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 7.129%, 11/25/28 (Bermuda) | | | | 216,801 | 216,801 |
| Ellington Financial Mortgage Trust 144A FRB Ser. 20-1, Class A2, 3.149%, 5/25/65(WAC) | | | | 179,000 | 162,807 |
| Federal Home Loan Mortgage Corporation | | | | | |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (US 30 Day Average SOFR + 5.11%), 10.429%, 12/25/28 | | | | 255,343 | 272,587 |
| Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58(WAC) | | | | 370,000 | 336,579 |
| Federal Home Loan Mortgage Corporation 144A | | | | | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 10.565%, 3/25/42 | | | | 911,000 | 958,828 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.115%, 10/25/50 | | | | 405,000 | 440,501 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (US 30 Day Average SOFR + 3.21%), 8.529%, 3/25/50 | | | | 143,423 | 147,894 |
| Structured Agency Credit Risk Trust FRB Ser. 19-FTR2, Class M2, (US 30 Day Average SOFR + 2.26%), 7.579%, 11/25/48 | | | | 686,000 | 692,860 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (US 30 Day Average SOFR + 2.01%), 7.329%, 1/25/50 | | | | 137,752 | 138,264 |
| Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) | | | | 235,000 | 208,606 |
| Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) | | | | 764,000 | 713,527 |
| Federal National Mortgage Association | | | | | |
| Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (US 30 Day Average SOFR + 5.61%), 10.929%, 9/25/29 | | | | 200,000 | 221,216 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (US 30 Day Average SOFR + 5.41%), 10.729%, 10/25/28 | | | | 160,940 | 170,472 |
| Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (US 30 Day Average SOFR + 4.61%), 9.929%, 12/25/30 | | | | 297,000 | 325,563 |
| Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (US 30 Day Average SOFR + 4.11%), 9.429%, 5/25/30 | | | | 250,000 | 268,060 |
| Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (US 30 Day Average SOFR + 1.36%), 6.679%, 7/25/29 | | | | 20,314 | 20,323 |
| Connecticut Avenue Securities FRB Ser. 17-C07, Class 1EB2, (US 30 Day Average SOFR + 1.11%), 6.429%, 5/25/30 | | | | 135,593 | 135,707 |
| Federal National Mortgage Association 144A | | | | | |
| Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1B1, (US 30 Day Average SOFR + 4.26%), 9.579%, 8/25/31 | | | | 57,609 | 60,507 |
| Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.315%, 1/25/42 | | | | 1,084,000 | 1,091,792 |
| Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.879%, 7/25/31 | | | | 8,071 | 8,104 |
| Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (US 30 Day Average SOFR + 2.26%), 7.579%, 11/25/39 | | | | 88,597 | 89,020 |
| Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (US 30 Day Average SOFR + 2.16%), 7.479%, 1/25/40 | | | | 123,723 | 124,808 |
| Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (US 30 Day Average SOFR + 2.11%), 7.429%, 1/25/40 | | | | 104,483 | 105,005 |
| Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 8/1/32(WAC) | | | | 175,605 | 168,233 |
| FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) | | | | 77,731 | 8 |
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | | | | 41,133 | 37,951 |
| Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 4.418%, 8/26/47(WAC) | | | | 102,994 | 98,208 |
| New Residential Mortgage Loan Trust 144A FRB Ser. 20-NQM2, Class A2, 2.891%, 5/24/60(WAC) | | | | 212,000 | 182,547 |
| NYMT Loan Trust 144A Ser. 22-SP1, Class A1, 5.25%, 7/25/62 | | | | 153,485 | 148,117 |
| OBX Trust 144A Ser. 23-NQM7, Class A1, 6.844%, 4/25/63 | | | | 491,000 | 491,037 |
| Onslow Bay Financial, LLC Trust 144A Ser. 22-NQM7, Class A1, 5.35%, 8/25/62 | | | | 272,689 | 263,751 |
| PRKCM Trust 144A Ser. 23-AFC2, Class A1, 6.482%, 6/25/58 | | | | 731,615 | 731,615 |
| Residential Mortgage Loan Trust 144A Ser. 20-2, Class A3, 2.911%, 5/25/60(WAC) | | | | 464,000 | 410,599 |
| RMF Proprietary Issuance Trust 144A Ser. 22-3, Class A, 4.00%, 8/25/62(WAC) | | | | 116,000 | 91,048 |
| Towd Point Mortgage Trust 144A Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) | | | | 153,000 | 114,672 |
| Verus Securitization Trust 144A Ser. 20-INV1, Class A3, 3.889%, 3/25/60(WAC) | | | | 100,000 | 94,042 |
| Visio Trust 144A Ser. 22-1, Class A2, 5.85%, 8/25/57 | | | | 134,509 | 130,933 |
| WaMu Mortgage Pass-Through Certificates Trust | | | | | |
| FRB Ser. 05-AR13, Class A1C4, (CME Term SOFR 1 Month + 0.97%), 6.294%, 10/25/45 | | | | 675,981 | 616,700 |
| FRB Ser. 05-AR17, Class A1B2, (CME Term SOFR 1 Month + 0.93%), 5.844%, 12/25/45 | | | | 518,689 | 448,303 |
| | | | | |
|
| | | | | | 12,619,858 |
| | | | | |
|
| Total mortgage-backed securities (cost $53,692,324) | | | | | $45,334,518 |
| | | | | | |
| Key to holding's abbreviations |
| BKNT | Bank Note |
| 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 |
| MTN | Medium Term Notes |
| OTC | Over-the-counter |
| PO | Principal Only |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMICs | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate |
| 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 January 1, 2023 through September 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, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. |
| (a) | Percentages indicated are based on net assets of $142,654,973. |
| (NON) | This security is non-income-producing. |
| (AFF) | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: |
| Name of affiliate | Fair value
as of
12/31/22 | Purchase
cost | Sale
proceeds | Investment
income | Shares outstanding
and fair
value as of
9/30/23 |
| Short-term investments | | | | | |
| Putnam Short Term Investment Fund* | $34,399,865 | $36,776,332 | $40,159,536 | $1,292,484 | $31,016,661 |
| |
|
|
|
|
|
| Total Short-term investments | $34,399,865 | $36,776,332 | $40,159,536 | $1,292,484 | $31,016,661 |
| * Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| (SEG) | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,196,883. |
| (SEGSF) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $146,202. |
| (SEGTBA) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $251,059. |
| (FWC) | Forward commitment, in part or in entirety (Note 1). |
| (i) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| (P) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| (R) | Real Estate Investment Trust. |
| (WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
| Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
| Debt obligations are considered secured unless otherwise indicated. |
| 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| The dates shown on debt obligations are the original maturity dates. |
| Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
| Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
| Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
| To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
| To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
| Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
| Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. |
| The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
| Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
| Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
| For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
| Futures contracts: The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning. |
| The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
| Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. |
| For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
| Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge term structure risk and for yield curve positioning. |
| An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
| The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
| For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
| At close of the reporting period, the fund has deposited cash valued at $1,091,899 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts. |
| Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to gain liquid exposure to individual names, to hedge market risk and to gain exposure to specific sectors. |
| In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
| In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
| For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
| TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
| The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
| TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
| Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
| Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
| Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. |
| With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. |
| At the close of the reporting period, the fund had a net liability position of $211,260 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $146,202 and may include amounts related to unsettled agreements. |
