| 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: | (811–05452) |
| Exact name of registrant as specified in charter: | Putnam Premier Income Trust |
| Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
| Name and address of agent for service: | Robert T. Burns, 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 |
| Registrant's telephone number, including area code: | (617) 292–1000 |
| Date of fiscal year end: | July 31, 2020 |
| Date of reporting period: | August 1, 2019 — January 31, 2020 |
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
Premier Income
Trust
Semiannual report
1|31|20
IMPORTANT NOTICE: Delivery of paper fund reports
In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.
If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.
If you already receive these reports electronically, no action is required.
Message from the Trustees
March 19, 2020
Dear Fellow Shareholder:
After a period of gains and relative tranquility, global financial markets encountered considerable challenges in early 2020. The spread of the coronavirus into regions beyond China unnerved investors worldwide. In late February, largely in response to this issue, stock markets experienced their worst weekly performance since the 2008 financial crisis. As often happens when stocks decline sharply, bonds provided better results. As investors rushed to safe havens, the yield on the benchmark 10-year U.S. Treasury note fell below 1% for the first time in history.
While this is not the first time global financial markets have encountered such turbulence, it can be unsettling for investors. Markets that are usually rational can behave irrationally at times. Throughout history, however, markets have proven remarkably resilient, routinely recovering from short-term crisis events to move higher over longer time periods. For investors, we believe the most important course of action is to remain calm, stay focused on your long-term goals, and consult with your financial advisor. At Putnam, our investment professionals have experience in all types of market conditions and remain focused on actively managing fund portfolios with a research-intensive approach that includes risk management strategies.
Thank you for investing with Putnam.
When Putnam Premier Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative.
In the more than 25 years since then, the fixed-income landscape has undergone a dramatic transformation, but the spirit of ingenuity that helped launch the fund is still with it today.
A veteran portfolio management team
The fund’s managers strive to build a well-diversified portfolio that carefully balances risk and return, targeting opportunities in interest rates, credit, mortgages, and currencies from across the full spectrum of the global bond markets.
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Allocations are shown as a percentage of the fund’s net assets as of 1/31/20. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.
Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
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Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 11–12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.
Effective January 30, 2018, the ICE BofA U.S. Treasury Bill Index replaced the Bloomberg Barclays Government Bond Index as the fund’s primary benchmark. In Putnam Management’s opinion, the new index is more appropriate to the fund’s flexible multisector investment approach.
*The fund’s primary benchmark (ICE BofA U.S. Treasury Bill Index) was introduced on 6/30/92, which post-dates the inception of the fund’s class A shares.
†Returns for the six-month period are not annualized, but cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 1/31/20. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.
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Bill, how would you summarize the fund’s investment environment during the reporting period?
The U.S.–China trade conflict, signs of slowing global growth, and fears of a recession injected volatility and risk aversion into the market for risk assets during the first half of the period. However, as we moved through the final months of 2019 and into the new year, investors breathed a sigh of relief. Central banks eased monetary policies, the United States and China reached a phase-one trade deal, and the United Kingdom found a political path toward Brexit.
The United States and China are the two biggest drivers of global growth. January’s agreement marked a formal truce in the trade war between the two countries. In comments following the signing ceremony, President Trump stated that he would travel to Beijing at a later date to negotiate a broader pact. Overall, we think these developments represent a substantial improvement in the tone of trade discussions between the two countries.
In January, fresh economic risks, including heightened U.S.–Iran tensions and the coronavirus outbreak, sparked increased market volatility. “Safe haven” assets, such as U.S.
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Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/20. 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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.
Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.
Treasuries and developed-market bonds rallied as yields fell across the board and yield curves flattened. Major global central banks generally held policy rates steady. They emphasized that they will continue to monitor developments to see if further accommodation is warranted.
Within this environment, U.S. Treasury yields generally declined. The yield on the benchmark 10-year note began the period at 2.03% and ended at 1.51%. The yield curve stayed positively sloped except at the shortest maturities, with one-month and six-month yields slightly higher than 10-year yields as of January 31.In our view, this slight inversion resulted from uncertainty about the ultimate economic impact of the coronavirus.
The fund posted a solid gain for the six-month period. Which holdings and strategies aided performance?
Before I discuss performance, I think it’s important to highlight that the fund continuedto invest outside the constraints of traditional fixed-income benchmarks, such as the Bloomberg Barclays U.S. Aggregate Index. Our goal is to seek what we consider to be the best investment opportunities based on risk rather than asset class. These risks include interest rate, credit, prepayment, and liquidity.
In terms of specific strategies, our interest-rate and yield-curve positioning was the biggest contributor. A negative portfolio duration in the United States early in the period helped performance as yields spiked higher in September. As the period progressed and yields stabilized, we shifted to a positive duration, which proved beneficial as rates moved lower in January. Our positioning was also helped by a flattening of the yield curve, as short-term yields rose while longer-term yields declined.
Our mortgage-credit positions also aided results, led by our synthetic exposure to commercial mortgage-backed securities [CMBS] via CMBX. CMBX is an index that
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references a basket of CMBS issued in a particular year. The fund’s allocation to the BBB-rated tranche within CMBX added the most value.
Within strategies targeting prepayment risk, holdings of agency interest-only collateralized mortgage obligations [IO CMOs] and inverse IO securities added value. Despite a substantial decline in bond yields during January, prepayment speeds of our underlying holdings remained relatively subdued.
What about detractors?
Our allocation to emerging-market [EM] debt worked against performance this period. Rising prices during the middle of the period were not enough to offset the negative impact of our exposure to bonds issued by the government of Argentina. The prices of these securities dropped sharply in August in response to surprising results from the country’s presidential primary. Later in the period,Argentine voters went on to elect a president less friendly to financial markets.
Our active currency strategy modestly detracted, hampered by a long position in the Brazilian real early in the period. In August, the real weakened substantially versus the U.S. dollar.
How did you use derivatives during the period?
We used CMBX to gain access to the CMBS market. We used credit default swaps to hedge the fund’s credit and market risks. We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve, and to hedge the risk associated with the fund’s curve positioning. We employed interest-rate swaps to gain exposure to rates in various countries. We also utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our CMO holdings, and to help manage overall downside
This table shows the fund’s top holdings across three key sectors and the percentage of the fund’s net assets that each represented as of 1/31/20. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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risk. In addition, we used total return swaps as a hedging tool and to help manage the portfolio’s sector exposure as well as its inflation risk. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.
What is your near-term outlook?
Prior to the outbreak of the coronavirus, the global economy was stabilizing, in our view. Now, however, we think global business activity is likely to slow over the near term. Although the United States isn’t completely immune to the economic impact of the epidemic, we think the influence will be modest. As efforts to control the virus take hold, we believe the global economy will rebound sharply.
Within the United States, we think the key features of the economic backdrop may continue to trend in a positive direction. Theunemployment rate remains at a historic low, consumer spending during the critical holiday period appeared to be robust, and the service sector remains buoyant, in our view. U.S. gross domestic product — the value of all goods and services produced across the economy — grew 2.3% in 2019, after rising at a seasonally and inflation-adjusted annual rate of 2.1% in the fourth quarter. We think it’s likely that growth will continue near this pace during 2020.
What is your assessment of the various areas of the market in which the fund invests?
We continue to have a generally favorable outlook for mortgage credit, believing CMBX is more attractive on a relative value basis than cash bonds. We think negative sentiment toward the retail industry overstates the risk of the CMBX index. In our view, the index offers sufficient protection, even at the BBB-rated level, should the outlook for retail become more problematic.
This chart shows how the fund’s security type weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.
Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
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We have an overall positive outlook for both investment-grade and high-yield corporate credit. Although investment-grade corporate bonds appear fully valued to us, we believe the asset class will be supported by positive fundamentals and reasonable supply-and-demand dynamics.
In high yield, we think the fundamentals underlying U.S. issuers are slightly positive, buoyed by favorable corporate earnings. In our view, areas that have underperformed — such as lower-rated issuers in energy and other sectors — could rebound if economic growth remains steady and stocks continue to advance. Overall, we believe continued moderate economic growth should support growth in earnings and cash flow for corporate issuers.
Within prepayment-sensitive areas of the market, declining Treasury yields during most of 2019 triggered concern about the potential for increased residential refinancing. However, prepayment speeds for newer loans have thus far stayed within our range of expectations. Within this environment, we are focusing our selection efforts on securities backed by reverse mortgages and jumbo loan balances. We also like opportunities among loans backed by the Housing Finance Administration.
Despite concerns about global trade, EM debt benefited from accommodative central bank policy around the globe in 2019. As of January 31, 2020, we think hard-currency EM debt was trading close to fair value.
Thanks for your time and for bringing us up to date, Bill.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which isderivedfrom an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
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The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investmentstrategy and may vary in the future. Current and future portfolio holdings are subject to risk. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.
HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS
Closed-end funds and open-end funds share many common characteristics but also have some key differences that you should understand as you consider your portfolio strategies.
More assets at workOpen-end funds are subject to ongoing sales and redemptions that can generate transaction costs for long-term shareholders. Closed-end funds, however, are typically fixed pools of capital that do not need to hold cash in connection with sales and redemptions, allowing the funds to keep more assets actively invested.
Traded like stocksClosed-end fund shares are traded on stock exchanges and, as a result, their prices fluctuate because of the influence of several factors.
They have a market priceLike an open-end fund, a closed-end fund has a per-share net asset value (NAV). However, closed-end funds also have a “market price” for their shares — which is how much you pay when you buy shares of thefund, and how much you receive when you sell them.
When looking at a closed-end fund’s performance, you will usually see that the NAV and the market price differ. The market price can be influenced by several factors that cause it to vary from the NAV, including fund distributions, changes in supply and demand for the fund’s shares, changing market conditions, and investor perceptions of the fund or its investment manager. A fund’s performance at market price typically differs from its results at NAV.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended January 31, 2020, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.
Fund performanceTotal return for periods ended 1/31/20
| Annual | |||||||||
| average | |||||||||
| Life of | |||||||||
| fund (since | Annual | Annual | Annual | ||||||
| 2/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| NAV | 6.68% | 68.91% | 5.38% | 28.93% | 5.21% | 18.15% | 5.72% | 9.50% | 3.76% |
| Market price | 6.95 | 80.52 | 6.08 | 47.18 | 8.04 | 26.65 | 8.19 | 19.61 | 6.69 |
Performance assumes reinvestment of distributions and does not account for taxes.
Performance includes the deduction of management fees and administrative expenses.
Comparative index returnsFor periods ended 1/31/20
| Annual | |||||||||
| average | |||||||||
| Life of | |||||||||
| fund (since | Annual | Annual | Annual | ||||||
| 2/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| ICE BofA U.S. | |||||||||
| Treasury Bill Index | —* | 6.37% | 0.62% | 5.73% | 1.12% | 5.21% | 1.71% | 2.27% | 1.00% |
| Bloomberg Barclays | |||||||||
| Government Bond | 5.80% | 36.04 | 3.13 | 12.27 | 2.34 | 12.65 | 4.05 | 8.90 | 4.17 |
| Index | |||||||||
| Lipper General Bond | |||||||||
| Funds (closed-end) | 7.38 | 149.25 | 8.96 | 41.67 | 7.07 | 23.86 | 7.32 | 10.20 | 3.76 |
| category average† |
Index and Lipper results should be compared to fund performance at net asset value.
*The fund’s primary benchmark (ICE BofA U.S. Treasury Bill Index) was introduced on 6/30/92, which post-dates the inception of the fund’s class A shares.
Effective January 30, 2018, the ICE BofA U.S. Treasury Bill Index replaced the Bloomberg Barclays Government Bond Index as the fund’s primary benchmark. In Putnam Management’s opinion, the new index is more appropriate to the fund’s flexible multisector investment approach.
†Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 1/31/20, there were 45, 41, 30, 25, 15, and 3 funds, respectively, in this Lipper category.
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Fund price and distribution informationFor the six-month period ended 1/31/20
| Distributions | ||
| Number | 6 | |
| Income | $0.210 | |
| Capital gains | — | |
| Total | $0.210 | |
| Share value | NAV | Market price |
| 7/31/19 | $5.44 | $5.32 |
| 1/31/20 | 5.43 | 5.46 |
| Current dividend rate* | 7.73% | 7.69% |
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
*Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.
Fund performance as of most recent calendar quarterTotal return for periods ended 12/31/19
| Annual | |||||||||
| average | |||||||||
| Life of | |||||||||
| fund (since | Annual | Annual | Annual | ||||||
| 2/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| NAV | 6.70% | 72.69% | 5.62% | 25.89% | 4.71% | 20.54% | 6.43% | 13.72% | 5.50% |
| Market price | 6.93 | 79.30 | 6.01 | 43.11 | 7.43 | 33.36 | 10.07 | 25.37 | 10.05 |
See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.
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Consider these risks before investing
Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. International investing involves currency, economic, and political risks. You can lose money by investing in the fund. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.
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Terms and definitions
Important terms
Total returnshows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV)is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.
Market priceis the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.
Fixed-income terms
Current rateis the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
•Agency credit-risk transfer security (CRT)is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.
•Agency “pass-through”has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association(Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
•Collateralized mortgage obligation (CMO)represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
°Interest-only (IO) securityis a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
•Non-agency residential mortgage-backed security (RMBS)is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
•Commercial mortgage-backed security (CMBS)is secured by the loan on a commercial property.
Yield curveis a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Barclays Government Bond Indexis an unmanaged index of U.S. Treasury and agency securities.
Bloomberg Barclays U.S. Aggregate Bond Indexis an unmanaged index of U.S. investment-grade fixed-income securities.
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CMBX Indexis an unmanaged index that tracks the performance of a basket of CMBS issued in a particular year.
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Indexis an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
S&P 500 Indexis an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Lipperis a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
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Other information for shareholders
Important notice regarding share repurchase program
In September 2019, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 356 days beginning October 10, 2019, up to 10% of the fund’s common shares outstanding as of October 9, 2019.
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single 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, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual 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, 2019, are available in the Individual Investors section of putnam.comand 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.
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.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online 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 mutual funds. As of January 31, 2020, Putnam employees had approximately $466,000,000 and the Trustees had approximately $77,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
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Summary of Putnam Closed-End Funds’ Amended and Restated Dividend Reinvestment Plans
Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer adividend reinvestment plan(each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions areautomatically reinvestedin Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you.
Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholderwill be deemed to have elected to participatein that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.
If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.
To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.
How you acquire additional shares through a PlanIf the market price per share for your Fund’s shares (plus estimated brokeragecommissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.
If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.
How to withdraw from a PlanParticipants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.
Plan administrationThe Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant will
| Premier Income Trust 17 |
be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.
About brokerage feesEach participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.
About taxes and Plan amendmentsReinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the priorconsent of a Fund and without prior notice to Plan participants.
If your shares are held in a broker or nominee nameIf your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.
In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.
| 18 Premier Income Trust |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfoliolists 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 liabilitiesshows 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. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operationsshows 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 toor subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assetsshows 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 year.
Financial highlightsprovide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| Premier Income Trust 19 |
The fund’s portfolio1/31/20 (Unaudited)
| U.S. GOVERNMENT AND AGENCY | Principal | |
| MORTGAGE OBLIGATIONS (53.5%)* | amount | Value |
| U.S. Government Guaranteed Mortgage Obligations (4.8%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 5.50%, 5/20/49 | $190,337 | $211,269 |
| 5.00%, with due dates from 4/20/49 to 10/20/49 | 4,341,606 | 4,797,843 |
| 4.50%, TBA, 2/1/50 | 8,000,000 | 8,406,250 |
| 4.50%, with due dates from 10/20/49 to 1/20/50 | 448,876 | 490,651 |
| 4.00%, TBA, 2/1/50 | 9,000,000 | 9,330,469 |
| 4.00%, with due dates from 8/20/49 to 1/20/50 | 469,237 | 502,085 |
| 3.50%, with due dates from 8/20/49 to 11/20/49 | 790,556 | 831,458 |
| 3.50%, 8/20/45 i | 2,166,912 | 2,272,110 |
| 26,842,135 | ||
| U.S. Government Agency Mortgage Obligations (48.7%) | ||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
| 5.00%, 4/1/49 | 65,382 | 72,188 |
| 3.00%, 1/1/33 i | 333,621 | 345,794 |
| Federal National Mortgage Association Pass-Through Certificates | ||
| 5.00%, with due dates from 1/1/49 to 8/1/49 | 343,399 | 379,276 |
| 4.50%, 5/1/49 | 150,521 | 164,424 |
| 4.379%, 6/1/21 i | 527,543 | 536,497 |
| 3.82%, 10/1/31 i | 317,206 | 356,571 |
| Uniform Mortgage-Backed Securities | ||
| 5.50%, TBA, 2/1/50 | 5,000,000 | 5,390,625 |
| 4.00%, TBA, 2/1/50 | 64,000,000 | 66,855,002 |
| 3.50%, TBA, 3/1/50 | 99,000,000 | 102,186,563 |
| 3.50%, TBA, 2/1/50 | 99,000,000 | 51,617,190 |
| 3.00%, TBA, 3/1/50 | 10,000,000 | 10,219,531 |
| 3.00%, TBA, 2/1/50 | 27,000,000 | 19,431,954 |
| 2.50%, TBA, 2/1/50 | 16,000,000 | 16,126,250 |
| 273,681,865 | ||
| Total U.S. government and agency mortgage obligations (cost $299,562,445) | $300,524,000 | |
| Principal | ||
| U.S. TREASURY OBLIGATIONS (—%)* | amount | Value |
| U.S. Treasury Inflation Index Notes 0.125%, 7/15/22 i | $15,659 | $15,804 |
| U.S. Treasury Notes | ||
| 2.125%, 8/15/21 i | 130,000 | 132,665 |
| 1.75%, 2/28/22 i | 111,000 | 112,758 |
| Total U.S. treasury obligations (cost $261,227) | $261,227 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)* | amount | Value |
| Agency collateralized mortgage obligations (20.8%) | ||
| Federal Home Loan Mortgage Corporation | ||
| REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) | ||
| + 25.79%), 19.048%, 4/15/37 | $62,172 | $102,907 |
| REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) | ||
| + 23.80%), 17.65%, 11/15/35 | 129,471 | 208,177 |
| REMICs Ser. 4813, IO, 5.50%, 8/15/48 | 4,891,006 | 1,056,586 |
| REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 3,589,310 | 614,131 |
| 20 Premier Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Agency collateralized mortgage obligationscont. | ||
| Federal Home Loan Mortgage Corporation | ||
| REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.65%), 4.974%, 4/15/40 | $3,577,511 | $391,988 |
| REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.20%), 4.524%, 12/15/47 | 6,524,693 | 915,414 |
| REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 1,949,585 | 310,682 |
| REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 1,066,384 | 153,575 |
| REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 | 1,690,688 | 200,380 |
| REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 4.424%, 8/15/56 | 8,754,928 | 2,059,422 |
| REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 4.424%, 4/15/47 | 2,264,567 | 463,689 |
| REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 3,522,453 | 422,694 |
| REMICs Ser. 4425, IO, 4.00%, 1/15/45 | 4,214,128 | 566,294 |
| REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 4,049,285 | 782,593 |
| REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 2,654,156 | 318,716 |
| REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 | 2,851,864 | 103,565 |
| REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 | 9,834,626 | 1,147,897 |
| REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 | 6,271,301 | 743,425 |
| REMICs Ser. 4560, Class PI, IO, 3.50%, 5/15/45 | 2,149,271 | 231,541 |
| REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 | 4,031,199 | 246,409 |
| REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 1,539,217 | 117,740 |
| Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 1,494,864 | 107,486 |
| REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 6,978,755 | 515,695 |
| REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 3,376,526 | 213,059 |
| REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 1,549,932 | 56,371 |
| REMICs Ser. 4510, Class HI, IO, 3.00%, 3/15/40 | 5,379,317 | 230,568 |
| Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, | ||
| 0.373%, 7/25/43 W | 2,053,082 | 20,531 |
| REMICs Ser. 3326, Class WF, zero %, 10/15/35 W | 1,951 | 1,654 |
| Federal National Mortgage Association | ||
| REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) | ||
| + 39.90%), 29.935%, 7/25/36 | 89,228 | 160,744 |
| REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) | ||
| + 24.20%), 18.11%, 6/25/37 | 105,522 | 167,442 |
| REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) | ||
| + 23.28%), 17.193%, 2/25/38 | 79,041 | 103,557 |
| REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) | ||
| + 20.25%), 15.267%, 8/25/35 | 71,124 | 95,947 |
| REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) | ||
| + 17.39%), 13.076%, 11/25/34 | 97,096 | 112,854 |
| REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 3,993,312 | 849,560 |
| REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 | 3,856,430 | 772,298 |
| REMICs Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 | 1,517,447 | 50,429 |
| Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 170,604 | 30,531 |
| REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 6,512,989 | 1,305,398 |
| Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 537,398 | 93,932 |
| REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.45%), 4.789%, 4/25/42 | 2,065,117 | 381,421 |
| Premier Income Trust 21 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Agency collateralized mortgage obligationscont. | ||
| Federal National Mortgage Association | ||
| REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.40%), 4.739%, 4/25/40 | $1,531,782 | $294,868 |
| REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.25%), 4.589%, 3/25/48 | 7,911,712 | 1,437,558 |
| Interest Strip Ser. 366, Class 22, IO, 4.50%, 10/25/35 | 4,065 | 54 |
| REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 822,883 | 160,692 |
| REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 | 4,453,098 | 337,545 |
| REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.15%), 4.489%, 5/25/47 | 18,196,716 | 3,223,548 |
| REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.15%), 4.489%, 10/25/41 | 1,485,052 | 66,563 |
| REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 4.439%, 12/25/46 | 5,988,546 | 1,115,367 |
| REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 4.439%, 5/25/39 | 19,544,360 | 3,848,835 |
| REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.05%), 4.389%, 8/25/49 | 8,996,770 | 1,450,729 |
| REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 5.95%), 4.289%, 2/25/43 | 4,109,242 | 852,668 |
| REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 5.90%), 4.239%, 10/25/41 | 4,485,607 | 678,448 |
| REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 | 3,292,799 | 428,064 |
| REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 | 2,227,528 | 150,582 |
| REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 2,968,006 | 304,784 |
| REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 | 7,558,009 | 1,222,298 |
| REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 2,095,909 | 254,695 |
| REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 1,778,915 | 193,617 |
| REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 1,739,450 | 205,603 |
| REMICs Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 | 4,396,126 | 464,719 |
| REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 1,718,939 | 69,959 |
| REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 2,329,539 | 112,882 |
| REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 | 2,432,182 | 169,725 |
| REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 1,635,738 | 51,903 |
| Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40 W | 1,492,315 | 31,637 |
| REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 | 9,298 | 8,485 |
| Government National Mortgage Association | ||
| Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 | 1,820,484 | 363,241 |
| Ser. 16-42, IO, 5.00%, 2/20/46 | 4,799,372 | 901,453 |
| Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 6,824,190 | 1,011,618 |
| Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 7,664,866 | 1,643,271 |
| Ser. 14-76, IO, 5.00%, 5/20/44 | 1,867,439 | 371,346 |
| Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 1,456,475 | 283,867 |
| Ser. 12-146, IO, 5.00%, 12/20/42 | 1,306,362 | 268,719 |
| Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 1,954,830 | 387,053 |
| Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 1,372,823 | 275,324 |
| Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 6,116,610 | 1,206,807 |
| Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 3,151,139 | 653,861 |
| Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 6,283,596 | 1,226,731 |
| Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 1,156,954 | 229,834 |
| 22 Premier Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Agency collateralized mortgage obligationscont. | ||
| Government National Mortgage Association | ||
| IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), | ||
| 4.522%, 4/20/44 | $8,897,032 | $1,668,193 |
| Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 4,792,387 | 723,824 |
| Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 | 2,433,213 | 404,522 |
| Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 | 5,311,625 | 678,454 |
| Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 | 3,736,086 | 386,722 |
| Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | 1,818,281 | 379,984 |
| Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 | 2,695,645 | 515,542 |
| Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 | 3,373,092 | 473,818 |
| Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 2,660,833 | 476,465 |
| Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 541,582 | 59,742 |
| Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 2,390,564 | 428,580 |
| Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 2,727,002 | 325,157 |
| Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 4,334,120 | 796,395 |
| Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 2,440,781 | 423,850 |
| Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 2,723,713 | 487,940 |
| Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 1,667,622 | 300,672 |
| Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 1,458,280 | 304,985 |
| IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), | ||
| 4.492%, 9/20/43 | 1,030,964 | 194,234 |
| IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 4.442%, 8/20/49 | 15,394,996 | 2,710,905 |
| IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 4.442%, 7/20/49 | 16,025,897 | 2,396,993 |
| IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 4.392%, 9/20/49 | 15,919,882 | 2,557,188 |
| IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 4.392%, 8/20/49 | 1,094,717 | 136,840 |
| IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 4.392%, 6/20/49 | 1,071,243 | 171,399 |
| IFB Ser. 10-90, Class ES, IO, ((-1 x 1 Month US LIBOR) + 5.95%), | ||
| 4.292%, 7/20/40 | 10,212,273 | 1,863,199 |
| Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 | 2,543,710 | 235,293 |
| Ser. 16-29, IO, 4.00%, 2/16/46 | 2,320,407 | 408,972 |
| Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 5,959,447 | 959,113 |
| Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 3,714,066 | 710,501 |
| Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 3,982,158 | 604,018 |
| Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 3,766,091 | 510,343 |
| Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 | 10,742,342 | 1,672,368 |
| Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 | 7,888,695 | 709,983 |
| Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 1,324,366 | 209,313 |
| Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 5,639,755 | 528,868 |
| Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 1,338,802 | 202,127 |
| Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 1,153,479 | 192,541 |
| Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 | 2,986,927 | 474,261 |
| IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), | ||
| 3.942%, 8/20/44 | 4,362,245 | 714,318 |
| Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 | 3,152,119 | 245,955 |
| Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 | 2,460,695 | 162,529 |
| Premier Income Trust 23 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Agency collateralized mortgage obligationscont. | ||
| Government National Mortgage Association | ||
| Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 | $3,174,597 | $478,412 |
| Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 | 5,775,637 | 711,385 |
| Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 5,753,364 | 600,674 |
| Ser. 13-76, IO, 3.50%, 5/20/43 | 4,853,516 | 721,572 |
| Ser. 13-28, IO, 3.50%, 2/20/43 | 1,470,521 | 210,623 |
| Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 2,327,965 | 299,632 |
| Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 3,453,997 | 448,329 |
| Ser. 13-14, IO, 3.50%, 12/20/42 | 7,412,295 | 728,777 |
| Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 1,500,710 | 193,276 |
| Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 | 3,114,314 | 534,591 |
| Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 4,018,136 | 688,849 |
| Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 4,602,232 | 736,274 |
| Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 1,819,504 | 318,543 |
| Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 | 4,454,040 | 362,660 |
| Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 4,910,857 | 475,862 |
| Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 3,154,359 | 152,037 |
| Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 | 7,635,093 | 590,345 |
| Ser. 16-H18, Class QI, IO, 3.137%, 6/20/66 W | 7,094,450 | 800,956 |
| Ser. 15-H10, Class BI, IO, 2.783%, 4/20/65 W | 6,109,239 | 520,739 |
| Ser. 16-H09, Class BI, IO, 2.736%, 4/20/66 W | 10,711,638 | 1,001,892 |
| Ser. 15-H15, Class BI, IO, 2.679%, 6/20/65 W | 5,310,702 | 470,921 |
| Ser. 16-H17, Class KI, IO, 2.678%, 7/20/66 W | 4,961,091 | 514,713 |
| Ser. 17-H16, Class JI, IO, 2.636%, 8/20/67 W | 19,892,163 | 2,660,577 |
| Ser. 18-H15, Class KI, IO, 2.617%, 8/20/68 W | 8,744,179 | 1,093,022 |
| Ser. 17-H16, Class FI, IO, 2.596%, 8/20/67 W | 7,545,350 | 829,989 |
| Ser. 16-H23, Class NI, IO, 2.469%, 10/20/66 W | 27,503,115 | 2,964,836 |
| Ser. 16-H16, Class EI, IO, 2.399%, 6/20/66 W | 7,301,326 | 752,767 |
| Ser. 16-H22, Class AI, IO, 2.393%, 10/20/66 W | 9,845,479 | 1,032,033 |
| Ser. 15-H20, Class CI, IO, 2.34%, 8/20/65 W | 9,121,211 | 874,624 |
| Ser. 15-H24, Class AI, IO, 2.332%, 9/20/65 W | 7,560,207 | 677,183 |
| Ser. 17-H12, Class QI, IO, 2.314%, 5/20/67 W | 8,941,561 | 981,766 |
| Ser. 16-H06, Class DI, IO, 2.304%, 7/20/65 | 12,483,651 | 899,197 |
| Ser. 17-H06, Class BI, IO, 2.28%, 2/20/67 W | 10,015,527 | 1,095,699 |
| Ser. 17-H16, Class IH, IO, 2.276%, 7/20/67 W | 13,273,407 | 1,173,754 |
| Ser. 16-H03, Class AI, IO, 2.273%, 1/20/66 W | 7,990,642 | 689,193 |
| Ser. 16-H02, Class HI, IO, 2.241%, 1/20/66 W | 10,422,098 | 795,206 |
| Ser. 16-H10, Class AI, IO, 2.189%, 4/20/66 W | 17,924,411 | 1,169,586 |
| Ser. 17-H08, Class NI, IO, 2.167%, 3/20/67 W | 13,159,185 | 1,421,192 |
| Ser. 17-H16, Class IG, IO, 2.108%, 7/20/67 W | 18,132,350 | 1,609,246 |
| Ser. 18-H03, Class XI, IO, 2.06%, 2/20/68 W | 10,041,686 | 1,277,303 |
| Ser. 17-H19, Class MI, IO, 2.049%, 4/20/67 W | 5,143,947 | 541,658 |
| Ser. 16-H03, Class DI, IO, 2.012%, 12/20/65 W | 8,639,457 | 701,956 |
| Ser. 17-H11, Class DI, IO, 1.898%, 5/20/67 W | 9,382,622 | 996,904 |
| Ser. 18-H05, Class AI, IO, 1.883%, 2/20/68 W | 6,091,037 | 772,800 |
| Ser. 15-H25, Class EI, IO, 1.883%, 10/20/65 W | 7,028,108 | 583,333 |
| Ser. 17-H09, IO, 1.861%, 4/20/67 W | 12,225,614 | 1,131,750 |
| Ser. 15-H20, Class AI, IO, 1.857%, 8/20/65 W | 7,746,212 | 652,231 |
| FRB Ser. 15-H08, Class CI, IO, 1.827%, 3/20/65 W | 6,117,067 | 465,521 |
| 24 Premier Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Agency collateralized mortgage obligationscont. | ||
| Government National Mortgage Association | ||
| Ser. 17-H02, Class BI, IO, 1.804%, 1/20/67 W | $6,397,585 | $751,268 |
| Ser. 16-H06, Class CI, IO, 1.797%, 2/20/66 W | 11,494,055 | 709,861 |
| Ser. 15-H23, Class BI, IO, 1.773%, 9/20/65 W | 9,048,117 | 695,800 |
| Ser. 18-H05, Class BI, IO, 1.763%, 2/20/68 W | 10,542,258 | 1,324,371 |
| Ser. 16-H24, Class CI, IO, 1.724%, 10/20/66 W | 6,468,774 | 487,881 |
| Ser. 16-H14, IO, 1.711%, 6/20/66 W | 7,476,989 | 520,040 |
| Ser. 13-H08, Class CI, IO, 1.671%, 2/20/63 W | 10,283,730 | 479,222 |
| Ser. 14-H21, Class BI, IO, 1.568%, 10/20/64 W | 10,296,785 | 658,994 |
| Ser. 18-H02, Class EI, IO, 1.503%, 1/20/68 W | 14,947,486 | 1,877,778 |
| Ser. 15-H26, Class CI, IO, 0.355%, 8/20/65 W | 16,899,416 | 190,963 |
| Ser. 06-36, Class OD, PO, zero %, 7/16/36 | 3,456 | 3,014 |
| 116,895,941 | ||
| Commercial mortgage-backed securities (7.9%) | ||
| Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, | ||
| Class XW, IO, zero %, 2/10/51 W | 7,572,008 | 76 |
| Bear Stearns Commercial Mortgage Securities Trust | ||
| FRB Ser. 07-T26, Class AJ, 5.561%, 1/12/45 W | 1,882,000 | 1,618,520 |
| Ser. 05-PWR7, Class D, 5.304%, 2/11/41 W | 1,026,000 | 923,400 |
| Ser. 05-PWR7, Class B, 5.214%, 2/11/41 W | 478,959 | 481,354 |
| Bear Stearns Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 06-PW11, Class B, 5.802%, 3/11/39 W | 1,011,089 | 505,545 |
| FRB Ser. 06-PW11, Class C, 5.802%, 3/11/39 (In default) † W | 762,073 | 38,104 |
| FRB Ser. 07-T28, Class D, 5.718%, 9/11/42 W | 828,000 | 467,800 |
| FRB Ser. 06-PW14, Class XW, IO, 0.498%, 12/11/38 W | 1,068,071 | 4,424 |
| CD Commercial Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, | ||
| zero %, 11/15/44 W | 77,689 | 1 |
| CFCRE Commercial Mortgage Trust 144A | ||
| FRB Ser. 11-C2, Class E, 5.933%, 12/15/47 W | 1,068,000 | 1,081,551 |
| FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W | 2,275,000 | 2,229,950 |
| COMM Mortgage Trust 144A | ||
| FRB Ser. 14-CR17, Class E, 5.009%, 5/10/47 W | 682,000 | 641,080 |
| FRB Ser. 12-CR3, Class E, 4.91%, 10/15/45 W | 791,000 | 593,250 |
| FRB Ser. 14-CR19, Class D, 4.905%, 8/10/47 W | 773,000 | 794,267 |
| Ser. 12-CR3, Class F, 4.75%, 10/15/45 W | 1,755,510 | 1,095,811 |
| Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, | ||
| IO, 1.092%, 12/15/39 W | 2,179,825 | 10,003 |
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, | ||
| Class C, 5.91%, 9/15/39 W | 26,697 | 26,697 |
| Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 | ||
| (Cayman Islands) | 188,114 | 190,421 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, | ||
| 3.914%, 4/15/50 W | 1,390,000 | 1,362,592 |
| GS Mortgage Securities Corp., II 144A FRB Ser. 05-GG4, Class XC, IO, | ||
| 1.834%, 7/10/39 W | 606,467 | 61 |
| GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, | ||
| 4.665%, 9/10/47 W | 2,754,000 | 2,359,198 |
| JPMBB Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 14-C18, Class D, 4.97%, 2/15/47 W | 2,670,000 | 2,582,202 |
| FRB Ser. 13-C14, Class E, 4.859%, 8/15/46 W | 1,277,000 | 1,174,037 |
| Premier Income Trust 25 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Commercial mortgage-backed securitiescont. | ||
| JPMBB Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. C14, Class D, 4.859%, 8/15/46 W | $1,265,000 | $1,262,660 |
| FRB Ser. 14-C18, Class E, 4.47%, 2/15/47 W | 914,000 | 805,269 |
| FRB Ser. 14-C25, Class D, 4.099%, 11/15/47 W | 1,854,000 | 1,686,432 |
| Ser. 14-C25, Class E, 3.332%, 11/15/47 W | 1,823,000 | 1,325,283 |
| JPMorgan Chase Commercial Mortgage Securities Trust FRB | ||
| Ser. 13-LC11, Class D, 4.307%, 4/15/46 W | 1,312,000 | 1,205,225 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 07-CB20, Class E, 6.375%, 2/12/51 W | 757,000 | 632,896 |
| FRB Ser. 11-C3, Class F, 5.853%, 2/15/46 W | 1,113,000 | 1,066,195 |
| FRB Ser. 12-C6, Class E, 5.329%, 5/15/45 W | 1,115,000 | 1,082,790 |
| FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W | 1,807,000 | 1,611,873 |
| FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51 W | 4,311,060 | 43 |
| Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, | ||
| IO, 6.219%, 12/15/49 W | 473,964 | 735 |
| ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, | ||
| 5.324%, 12/12/49 W | 1,100,244 | 876,606 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| FRB Ser. 13-C11, Class D, 4.498%, 8/15/46 W | 1,900,000 | 988,000 |
| FRB Ser. 13-C10, Class E, 4.217%, 7/15/46 W | 2,860,000 | 2,662,400 |
| FRB Ser. 13-C10, Class F, 4.217%, 7/15/46 W | 1,988,000 | 1,717,910 |
| Ser. 14-C17, Class E, 3.50%, 8/15/47 | 1,025,000 | 852,429 |
| Morgan Stanley Capital I Trust | ||
| Ser. 07-HQ11, Class C, 5.558%, 2/12/44 W | 799,915 | 159,983 |
| Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 1,111,404 | 1,012,052 |
| STRIPs III, Ltd. 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/20 (Cayman | ||
| Islands) (In default) † W | 376,000 | 38 |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, | ||
| 8.00%, 12/28/38 | 1,081,996 | 32,722 |
| UBS-Barclays Commercial Mortgage Trust 144A | ||
| Ser. 12-C2, Class F, 5.00%, 5/10/63 W | 1,476,000 | 512,615 |
| FRB Ser. 12-C4, Class D, 4.625%, 12/10/45 W | 706,000 | 708,556 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 07-C34, IO, | ||
| zero %, 5/15/46 W | 309,125 | 3 |
| Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, | ||
| Class G, 5.395%, 10/15/41 W | 132,449 | 96,529 |
| Wells Fargo Commercial Mortgage Trust 144A | ||
| FRB Ser. 13-LC12, Class D, 4.42%, 7/15/46 W | 456,000 | 409,275 |
| Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 2,218,000 | 1,761,596 |
| WF-RBS Commercial Mortgage Trust 144A | ||
| Ser. 11-C4, Class F, 5.00%, 6/15/44 W | 2,560,000 | 2,071,639 |
| FRB Ser. 12-C9, Class E, 4.971%, 11/15/45 W | 739,000 | 681,789 |
| FRB Ser. 12-C10, Class D, 4.577%, 12/15/45 W | 1,141,000 | 1,005,835 |
| 44,409,722 | ||
| Residential mortgage-backed securities (non-agency) (13.5%) | ||
| American Home Mortgage Investment Trust FRB Ser. 07-1, | ||
| Class GA1C, (1 Month US LIBOR + 0.19%), 1.982%, 5/25/47 | 905,096 | 565,073 |
| Bear Stearns Alt-A Trust FRB Ser. 05-7, Class 21A1, | ||
| 4.267%, 9/25/35 W | 331,004 | 311,829 |
| 26 Premier Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Residential mortgage-backed securities (non-agency)cont. | ||
| Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class B1, (1 Month | ||
| US LIBOR + 3.85%), 5.511%, 10/25/29 (Bermuda) | $727,000 | $726,580 |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates | ||
| 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), | ||
| 1.841%, 11/25/47 | 1,024,651 | 882,726 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR5, Class 1A1A, | ||
| 4.34%, 4/25/37 W | 339,903 | 341,271 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, | ||
| (1 Month US LIBOR + 0.35%), 2.011%, 3/25/37 | 2,472,029 | 2,174,164 |
| Countrywide Alternative Loan Trust | ||
| FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), | ||
| 3.105%, 8/25/46 | 366,034 | 340,410 |
| FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), | ||
| 3.085%, 6/25/46 | 690,444 | 641,225 |
| FRB Ser. 06-OA7, Class 1A1, 2.956%, 6/25/46 W | 1,253,924 | 1,111,980 |
| FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), | ||
| 2.011%, 9/25/35 | 818,227 | 781,166 |
| FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), | ||
| 1.984%, 11/20/35 | 1,600,256 | 1,518,032 |
| FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), | ||
| 1.871%, 4/25/47 | 776,788 | 659,073 |
| FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.19%), | ||
| 1.851%, 8/25/46 | 651,216 | 618,655 |
| FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), | ||
| 1.851%, 8/25/46 | 854,596 | 794,774 |
| FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), | ||
| 1.851%, 8/25/46 | 4,367,672 | 3,950,890 |
| Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, | ||
| Class A2, (1 Month US LIBOR + 0.19%), 1.851%, 12/25/36 | 863,628 | 514,966 |
| Federal Home Loan Mortgage Corporation | ||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, | ||
| (1 Month US LIBOR + 10.50%), 12.161%, 5/25/28 | 828,772 | 1,086,730 |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, | ||
| (1 Month US LIBOR + 10.00%), 11.661%, 7/25/28 | 2,265,021 | 3,004,057 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, | ||
| (1 Month US LIBOR + 9.35%), 11.011%, 4/25/28 | 1,293,302 | 1,666,495 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, | ||
| (1 Month US LIBOR + 7.55%), 9.211%, 12/25/27 | 1,326,486 | 1,588,326 |
| Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, | ||
| (1 Month US LIBOR + 6.35%), 8.011%, 9/25/28 | 250,000 | 281,267 |
| Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, | ||
| (1 Month US LIBOR + 4.95%), 6.611%, 7/25/29 | 570,000 | 658,609 |
| Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, | ||
| (1 Month US LIBOR + 3.85%), 5.511%, 3/25/29 | 640,000 | 684,300 |
| Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, | ||
| (1 Month US LIBOR + 2.30%), 3.961%, 9/25/30 | 1,679,000 | 1,706,593 |
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, | ||
| (1 Month US LIBOR + 0.00%), 12.911%, 4/25/49 | 298,000 | 414,581 |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, | ||
| (1 Month US LIBOR + 11.00%), 12.661%, 10/25/48 | 327,000 | 442,335 |
| Premier Income Trust 27 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Residential mortgage-backed securities (non-agency)cont. | ||
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, | ||
| (1 Month US LIBOR + 10.75%), 12.542%, 1/25/49 | $315,000 | $432,987 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, | ||
| (1 Month US LIBOR + 10.50%), 12.161%, 3/25/49 | 252,000 | 344,980 |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, | ||
| (1 Month US LIBOR + 7.75%), 9.411%, 9/25/48 | 389,000 | 465,658 |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, | ||
| (1 Month US LIBOR + 4.25%), 5.911%, 10/25/48 | 618,000 | 688,732 |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, | ||
| (1 Month US LIBOR + 3.90%), 5.561%, 9/25/48 | 420,000 | 461,878 |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, | ||
| (1 Month US LIBOR + 3.70%), 5.361%, 12/25/30 | 1,500,000 | 1,604,911 |
| Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, | ||
| 4.75%, 8/25/58 W | 685,000 | 729,578 |
| Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, | ||
| 4.50%, 2/25/59 W | 346,000 | 354,287 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, | ||
| (1 Month US LIBOR + 2.65%), 4.442%, 1/25/49 | 440,000 | 450,249 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, | ||
| (1 Month US LIBOR + 2.45%), 4.111%, 3/25/49 | 460,494 | 467,221 |
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, | ||
| (1 Month US LIBOR + 2.35%), 4.011%, 2/25/49 | 167,000 | 169,113 |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, | ||
| (1 Month US LIBOR + 2.30%), 3.961%, 10/25/48 | 304,200 | 309,927 |
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, | ||
| (1 Month US LIBOR + 12.75%), 14.411%, 10/25/28 | 238,710 | 336,943 |
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, | ||
| (1 Month US LIBOR + 12.25%), 13.911%, 9/25/28 | 2,310,295 | 3,327,675 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, | ||
| (1 Month US LIBOR + 11.75%), 13.411%, 10/25/28 | 1,295,457 | 1,837,713 |
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, | ||
| (1 Month US LIBOR + 11.75%), 13.411%, 8/25/28 | 840,269 | 1,186,718 |
| Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, | ||
| (1 Month US LIBOR + 10.75%), 12.411%, 1/25/29 | 269,339 | 359,023 |
| Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, | ||
| (1 Month US LIBOR + 10.25%), 11.911%, 1/25/29 | 69,716 | 92,924 |
| Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, | ||
| (1 Month US LIBOR + 9.25%), 10.911%, 4/25/29 | 398,988 | 518,691 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, | ||
| (1 Month US LIBOR + 5.90%), 7.561%, 10/25/28 | 2,665,124 | 2,888,356 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | ||
| (1 Month US LIBOR + 5.70%), 7.361%, 4/25/28 | 3,168,291 | 3,517,462 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, | ||
| (1 Month US LIBOR + 5.55%), 7.211%, 4/25/28 | 420,654 | 447,187 |
| Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, | ||
| (1 Month US LIBOR + 5.50%), 7.161%, 9/25/29 | 1,459,000 | 1,735,158 |
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, | ||
| (1 Month US LIBOR + 5.00%), 6.661%, 7/25/25 | 2,817,220 | 3,074,983 |
| 28 Premier Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Residential mortgage-backed securities (non-agency)cont. | ||
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, | ||
| (1 Month US LIBOR + 5.00%), 6.661%, 7/25/25 | $600,592 | $636,451 |
| Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, | ||
| (1 Month US LIBOR + 4.85%), 6.511%, 10/25/29 | 2,230,000 | 2,565,396 |
| Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, | ||
| (1 Month US LIBOR + 4.45%), 6.111%, 5/25/30 | 180,000 | 201,530 |
| Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, | ||
| (1 Month US LIBOR + 4.45%), 6.111%, 2/25/30 | 110,000 | 122,598 |
| Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, | ||
| (1 Month US LIBOR + 4.25%), 5.911%, 1/25/31 | 630,000 | 708,409 |
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, | ||
| (1 Month US LIBOR + 4.00%), 5.661%, 5/25/25 | 58,296 | 62,287 |
| Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, | ||
| (1 Month US LIBOR + 3.65%), 5.311%, 9/25/29 | 500,000 | 528,619 |
| Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, | ||
| (1 Month US LIBOR + 3.60%), 5.261%, 1/25/30 | 314,000 | 333,340 |
| Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, | ||
| (1 Month US LIBOR + 3.55%), 5.211%, 7/25/30 | 1,772,000 | 1,903,707 |
| Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, | ||
| (1 Month US LIBOR + 2.80%), 4.461%, 2/25/30 | 281,400 | 289,017 |
| Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, | ||
| (1 Month US LIBOR + 2.55%), 4.211%, 12/25/30 | 536,000 | 548,262 |
| Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, | ||
| (1 Month US LIBOR + 2.50%), 4.161%, 5/25/30 | 1,300,910 | 1,323,380 |
| Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, | ||
| (1 Month US LIBOR + 2.25%), 3.911%, 7/25/30 | 172,000 | 175,427 |
| Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, | ||
| (1 Month US LIBOR + 2.10%), 3.761%, 3/25/31 | 251,000 | 253,749 |
| Federal National Mortgage Association 144A | ||
| Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, | ||
| (1 Month US LIBOR + 4.10%), 5.761%, 9/25/31 | 578,000 | 619,662 |
| Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2B1, | ||
| (1 Month US LIBOR + 3.75%), 5.411%, 9/25/39 | 300,000 | 314,160 |
| Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, | ||
| (1 Month US LIBOR + 0.00%), 4.942%, 1/25/40 | 459,000 | 464,028 |
| Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, | ||
| (1 Month US LIBOR + 2.45%), 4.111%, 7/25/31 | 185,000 | 188,081 |
| Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, | ||
| (1 Month US LIBOR + 2.30%), 3.961%, 8/25/31 | 283,476 | 286,286 |
| GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month | ||
| US LIBOR + 0.31%), 1.971%, 5/25/37 | 941,340 | 685,385 |
| HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month | ||
| US LIBOR + 0.52%), 2.174%, 5/19/35 | 536,506 | 325,735 |
| JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, | ||
| (1 Month US LIBOR + 0.20%), 1.861%, 6/25/37 | 854,634 | 489,868 |
| Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, | ||
| 4.25%, 1/25/59 | 730,000 | 728,905 |
| Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, | ||
| (1 Month US LIBOR + 0.23%), 2.43%, 2/26/37 | 775,683 | 705,909 |
| Premier Income Trust 29 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (42.2%)*cont. | amount | Value |
| Residential mortgage-backed securities (non-agency)cont. | ||
| MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + | ||
| 0.80%), 2.456%, 8/25/35 | $238,773 | $233,668 |
| Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month | ||
| US LIBOR + 2.85%), 4.511%, 7/25/28 (Bermuda) | 2,230,000 | 2,247,394 |
| Oaktown Re, Ltd. 144A FRB Ser. 17-1A, Class B1, (1 Month US LIBOR | ||
| + 6.00%), 7.411%, 4/25/27 (Bermuda) | 550,000 | 565,469 |
| Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR | ||
| + 2.70%), 4.361%, 3/25/28 (Bermuda) | 620,000 | 625,682 |
| Structured Asset Mortgage Investments II Trust | ||
| FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), | ||
| 1.871%, 8/25/36 | 949,174 | 887,478 |
| FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), | ||
| 1.841%, 1/25/37 | 1,092,571 | 998,264 |
| WaMu Mortgage Pass-Through Certificates Trust | ||
| FRB Ser. 05-AR10, Class 1A3, 4.131%, 9/25/35 W | 768,284 | 776,285 |
| FRB Ser. 05-AR14, Class 1A2, 3.841%, 12/25/35 W | 313,591 | 314,434 |
| FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), | ||
| 2.151%, 10/25/45 | 635,661 | 635,271 |
| FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), | ||
| 2.061%, 12/25/45 | 556,600 | 547,685 |
| Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, | ||
| Class 1A1, 5.154%, 4/25/36 W | 269,107 | 278,525 |
| 75,838,807 | ||
| Total mortgage-backed securities (cost $238,761,829) | $237,144,470 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)* | amount | Value |
| Basic materials (2.4%) | ||
| Allegheny Technologies, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | $25,000 | $25,496 |
| Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
| 7.875%, 8/15/23 | 459,000 | 502,697 |
| Axalta Coating Systems, LLC 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 8/15/24 | 720,000 | 741,600 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes | ||
| 4.50%, 11/15/26 | 105,000 | 107,888 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.875%, 11/1/25 | 212,000 | 210,876 |
| Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. | ||
| notes 7.25%, 9/1/25 | 498,000 | 523,005 |
| BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 587,000 | 604,610 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 9/1/24 | 547,000 | 567,513 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes | ||
| 5.625%, 9/1/24 | 233,000 | 241,668 |
| Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 | 195,000 | 213,564 |
| BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 | 122,000 | 125,717 |
| Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, | ||
| 4/1/24 (Mexico) | 315,000 | 322,481 |
| Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, | ||
| 1/11/25 (Mexico) | 200,000 | 205,250 |
| 30 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Basic materialscont. | ||
| Chemours Co. (The) company guaranty sr. unsec. notes | ||
| 5.375%, 5/15/27 | $84,000 | $72,870 |
| Chemours Co. (The) company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 5/15/25 | 136,000 | 130,152 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.75%, 12/1/27 | 385,000 | 412,347 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 4.875%, 7/15/24 | 140,000 | 138,950 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 6.875%, 3/1/26 (Canada) | 295,000 | 284,675 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. | ||
| notes 5.45%, 3/15/43 (Indonesia) | 65,000 | 66,300 |
| GCP Applied Technologies, Inc. 144A sr. unsec. notes | ||
| 5.50%, 4/15/26 | 590,000 | 613,600 |
| Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 | 441,000 | 474,900 |
| Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 | 458,000 | 462,580 |
| James Hardie International Finance DAC 144A sr. unsec. bonds | ||
| 5.00%, 1/15/28 (Ireland) | 400,000 | 416,880 |
| Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 141,000 | 148,050 |
| Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A | ||
| company guaranty sr. unsec. notes 7.00%, 4/15/25 | 79,000 | 80,383 |
| Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 9/15/24 | 283,000 | 291,844 |
| Mercer International, Inc. sr. unsec. notes 7.375%, | ||
| 1/15/25 (Canada) | 65,000 | 68,765 |
| Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) | 214,000 | 220,955 |
| Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 160,000 | 161,792 |
| Novelis Corp. 144A company guaranty sr. unsec. bonds | ||
| 5.875%, 9/30/26 | 325,000 | 344,500 |
| Novelis Corp. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 1/30/30 | 175,000 | 175,770 |
| PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 | 455,000 | 474,338 |
| Resideo Funding, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 11/1/26 | 180,000 | 176,841 |
| Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. | ||
| unsub. notes 7.50%, 11/20/25 (Ireland) | 403,000 | 500,728 |
| Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes | ||
| 8.00%, 10/1/26 (Netherlands) | 180,000 | 187,650 |
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 10/1/24 | 110,000 | 113,190 |
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.25%, 4/15/23 | 23,000 | 23,374 |
| Syngenta Finance NV 144A company guaranty sr. unsec. unsub. | ||
| notes 5.182%, 4/24/28 (Switzerland) | 575,000 | 645,637 |
| Syngenta Finance NV 144A company guaranty sr. unsec. unsub. | ||
| notes 4.892%, 4/24/25 (Switzerland) | 325,000 | 355,821 |
| Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | ||
| 3.75%, 2/1/23 (Canada) | 63,000 | 64,881 |
| TopBuild Corp. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 5/1/26 | 354,000 | 369,045 |
| Premier Income Trust 31 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Basic materialscont. | ||
| Tronox Finance PLC 144A company guaranty sr. unsec. notes | ||
| 5.75%, 10/1/25 (United Kingdom) | $225,000 | $222,188 |
| Tronox, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.50%, 4/15/26 | 90,000 | 89,550 |
| U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 6/1/24 | 324,000 | 335,340 |
| Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 12/1/27 | 445,000 | 461,688 |
| WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 10/1/24 | 270,000 | 297,635 |
| Zekelman Industries, Inc. 144A company guaranty sr. notes | ||
| 9.875%, 6/15/23 | 195,000 | 205,481 |
| 13,481,065 | ||
| Capital goods (2.2%) | ||
| Allison Transmission, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 10/1/27 | 757,000 | 784,441 |
| Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. | ||
| notes 5.625%, 7/1/27 | 260,000 | 276,394 |
| Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 250,000 | 253,125 |
| ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 | ||
| (Luxembourg) ‡‡ | 200,000 | 206,480 |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | ||
| company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) | 470,000 | 483,513 |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | ||
| company guaranty sr. unsec. notes 5.25%, 8/15/27 (Ireland) | 265,000 | 277,919 |
| Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 | 125,000 | 132,813 |
| Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 | 300,000 | 313,456 |
| Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 | 240,000 | 241,800 |
| Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 | 429,000 | 436,516 |
| Berry Global, Inc. 144A notes 4.50%, 2/15/26 | 85,000 | 86,275 |
| Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) | 48,000 | 51,420 |
| Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 | 100,000 | 106,500 |
| Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 | 175,000 | 184,170 |
| Crown Americas, LLC/Crown Americas Capital Corp. VI company | ||
| guaranty sr. unsec. notes 4.75%, 2/1/26 | 570,000 | 590,720 |
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds | ||
| 7.375%, 12/15/26 | 347,000 | 410,328 |
| GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 250,000 | 257,463 |
| Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. | ||
| notes 8.00%, 5/15/22 | 408,000 | 428,400 |
| Moog, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.25%, 12/15/27 | 105,000 | 107,641 |
| Oshkosh Corp. company guaranty sr. unsec. sub. notes | ||
| 5.375%, 3/1/25 | 215,000 | 219,494 |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A | ||
| company guaranty sr. notes 6.25%, 5/15/26 | 458,000 | 491,252 |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A | ||
| company guaranty sr. unsec. notes 8.50%, 5/15/27 | 250,000 | 268,750 |
| Park-Ohio Industries, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 4/15/27 | 379,000 | 384,734 |
| 32 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Capital goodscont. | ||
| RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes | ||
| 4.875%, 12/15/25 | $675,000 | $690,086 |
| Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 585,000 | 599,274 |
| Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 10/1/26 | 695,000 | 761,025 |
| Tennant Co. company guaranty sr. unsec. unsub. notes | ||
| 5.625%, 5/1/25 | 230,000 | 240,063 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.375%, 6/15/26 | 249,000 | 262,695 |
| TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 1,432,000 | 1,544,412 |
| TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 5.50%, 11/15/27 | 390,000 | 392,399 |
| Trivium Packaging Finance BV 144A company guaranty sr. notes | ||
| 5.50%, 8/15/26 (Netherlands) | 200,000 | 210,750 |
| Trivium Packaging Finance BV 144A company guaranty sr. unsec. | ||
| notes 8.50%, 8/15/27 (Netherlands) | 200,000 | 220,000 |
| Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 293,000 | 301,015 |
| 12,215,323 | ||
| Communication services (2.3%) | ||
| Altice Financing SA 144A company guaranty sr. notes 6.625%, | ||
| 2/15/23 (Luxembourg) | 400,000 | 407,000 |
| Altice France SA 144A company guaranty sr. notes 5.50%, | ||
| 1/15/28 (France) | 200,000 | 204,250 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
| guaranty sr. unsec. bonds 5.50%, 5/1/26 | 850,000 | 888,250 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| bonds 5.375%, 6/1/29 | 2,321,000 | 2,483,470 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| notes 5.00%, 2/1/28 | 444,000 | 464,535 |
| CommScope Technologies, LLC 144A company guaranty sr. unsec. | ||
| notes 6.00%, 6/15/25 | 213,000 | 203,948 |
| CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 270,000 | 291,600 |
| CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 | 220,000 | 236,504 |
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes | ||
| 5.875%, 11/15/24 | 314,000 | 317,746 |
| Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R | 197,000 | 213,509 |
| Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26 R | 85,000 | 90,194 |
| Frontier Communications Corp. 144A company guaranty notes | ||
| 8.50%, 4/1/26 | 112,000 | 114,800 |
| Intelsat Jackson Holdings SA 144A company guaranty sr. notes | ||
| 8.00%, 2/15/24 (Bermuda) | 15,000 | 15,350 |
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.625%, 2/1/23 | 146,000 | 146,044 |
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.25%, 3/15/26 | 598,000 | 621,980 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.625%, 9/15/27 | 270,000 | 277,430 |
| Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, | ||
| 1/15/23 (Canada) | 88,000 | 95,040 |
| SFR Group SA 144A company guaranty sr. notes 7.375%, | ||
| 5/1/26 (France) | 200,000 | 213,016 |
| Premier Income Trust 33 |
| Principal | |||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value | |
| Communication servicescont. | |||
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes | |||
| 6.875%, 11/15/28 | $583,000 | $593,203 | |
| Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 | 280,000 | 292,222 | |
| Sprint Corp. company guaranty sr. unsec. sub. notes | |||
| 7.875%, 9/15/23 | 964,000 | 1,024,144 | |
| Sprint Corp. company guaranty sr. unsec. sub. notes | |||
| 7.25%, 9/15/21 | 420,000 | 440,475 | |
| Sprint Corp. 144A company guaranty sr. unsec. notes | |||
| 7.25%, 2/1/28 | 490,000 | 485,100 | |
| Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint | |||
| Spectrum Co. III, LLC 144A company guaranty sr. notes | |||
| 3.36%, 9/20/21 | 126,875 | 127,906 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 6.375%, 3/1/25 | 505,000 | 521,256 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 6.00%, 3/1/23 | 291,000 | 296,319 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 5.375%, 4/15/27 | 43,000 | 45,903 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 4.00%, 4/15/22 | 100,000 | 102,750 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds | |||
| 4.75%, 2/1/28 | 326,000 | 346,783 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 4.50%, 2/1/26 | 125,000 | 128,554 | |
| Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, | |||
| 7/15/22 (Canada) | 662,000 | 693,445 | |
| Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, | |||
| 4/15/27 (Canada) | 170,000 | 178,110 | |
| Virgin Media Secured Finance PLC 144A company guaranty sr. | |||
| bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 255,000 | 355,029 |
| Ziggo BV 144A company guaranty sr. notes 5.50%, | |||
| 1/15/27 (Netherlands) | $150,000 | 159,000 | |
| 13,074,865 | |||
| Consumer cyclicals (4.7%) | |||
| American Builders & Contractors Supply Co., Inc. 144A company | |||
| guaranty sr. unsec. notes 5.875%, 5/15/26 | 85,000 | 89,463 | |
| American Builders & Contractors Supply Co., Inc. 144A sr. notes | |||
| 4.00%, 1/15/28 | 130,000 | 131,071 | |
| Boyd Gaming Corp. company guaranty sr. unsec. notes | |||
| 6.00%, 8/15/26 | 135,000 | 143,438 | |
| Boyd Gaming Corp. 144A company guaranty sr. unsec. notes | |||
| 4.75%, 12/1/27 | 130,000 | 132,925 | |
| Brookfield Residential Properties, Inc./Brookfield Residential | |||
| US Corp. 144A company guaranty sr. unsec. notes 6.25%, | |||
| 9/15/27 (Canada) | 120,000 | 128,400 | |
| Brookfield Residential Properties, Inc./Brookfield Residential | |||
| US Corp. 144A company guaranty sr. unsec. notes 6.125%, | |||
| 7/1/22 (Canada) | 94,000 | 95,293 | |
| Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 | 125,000 | 133,125 | |
| Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
| 5.125%, 12/15/22 | 165,000 | 166,650 |
| 34 Premier Income Trust |
| Principal | |||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value | |
| Consumer cyclicalscont. | |||
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
| 4.875%, 6/1/23 | $420,000 | $425,250 | |
| Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. | |||
| notes 5.125%, 8/15/27 | 180,000 | 185,400 | |
| Codere Finance 2 Luxembourg SA company guaranty sr. notes | |||
| Ser. REGS, 6.75%, 11/1/21 (Luxembourg) | EUR | 200,000 | 212,119 |
| CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. | |||
| unsec. notes 5.25%, 10/15/25 | $465,000 | 471,929 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. | |||
| notes 5.375%, 8/15/26 | 526,000 | 523,950 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. | |||
| unsec. notes 6.625%, 8/15/27 | 553,000 | 517,055 | |
| eG Global Finance PLC 144A company guaranty sr. notes 6.75%, | |||
| 2/7/25 (United Kingdom) | 200,000 | 202,500 | |
| Eldorado Resorts, Inc. company guaranty sr. unsec. notes | |||
| 6.00%, 9/15/26 | 50,000 | 54,813 | |
| Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes | |||
| 7.00%, 8/1/23 | 163,000 | 168,534 | |
| Entercom Media Corp. 144A company guaranty notes | |||
| 6.50%, 5/1/27 | 625,000 | 669,003 | |
| Entercom Media Corp. 144A company guaranty sr. unsec. notes | |||
| 7.25%, 11/1/24 | 228,000 | 239,685 | |
| Garda World Security Corp. 144A sr. notes 4.625%, | |||
| 2/15/27 (Canada) | 50,000 | 49,493 | |
| Gartner, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.125%, 4/1/25 | 530,000 | 550,977 | |
| Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 | 519,000 | 565,087 | |
| GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, | |||
| 11/1/27 (Canada) | 185,000 | 197,488 | |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
| 4.625%, 5/15/24 | 320,000 | 335,200 | |
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. | |||
| company guaranty sr. unsec. notes 4.875%, 4/1/27 | 615,000 | 647,288 | |
| Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 | 388,000 | 399,640 | |
| iHeartCommunications, Inc. company guaranty sr. notes | |||
| 6.375%, 5/1/26 | 210,372 | 227,202 | |
| iHeartCommunications, Inc. company guaranty sr. unsec. notes | |||
| 8.375%, 5/1/27 | 614,739 | 668,523 | |
| IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 | |||
| (United Kingdom) | 145,000 | 166,206 | |
| IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 | |||
| (United Kingdom) | 600,000 | 663,750 | |
| IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, | |||
| 3/1/26 (United Kingdom) | 75,000 | 80,906 | |
| Installed Building Products, Inc. 144A company guaranty sr. unsec. | |||
| notes 5.75%, 2/1/28 | 50,000 | 53,125 | |
| Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds | |||
| 5.25%, 3/15/28 R | 428,000 | 447,260 | |
| Iron Mountain, Inc. 144A company guaranty sr. unsec. notes | |||
| 4.875%, 9/15/27 R | 591,000 | 605,775 |
| Premier Income Trust 35 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Consumer cyclicalscont. | ||
| JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds | ||
| 7.40%, 4/1/37 | $235,000 | $74,613 |
| Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 12/15/27 | 170,000 | 175,950 |
| Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.625%, 12/15/25 | 195,000 | 198,900 |
| L Brands, Inc. company guaranty sr. unsec. bonds 6.75%, | ||
| perpetual maturity | 132,000 | 130,984 |
| L Brands, Inc. company guaranty sr. unsec. notes 7.50%, | ||
| perpetual maturity | 230,000 | 247,106 |
| Lennar Corp. company guaranty sr. unsec. sub. notes | ||
| 5.875%, 11/15/24 | 180,000 | 202,725 |
| Lions Gate Capital Holdings, LLC 144A company guaranty sr. | ||
| unsec. notes 5.875%, 11/1/24 | 404,000 | 394,910 |
| Lions Gate Capital Holdings, LLC 144A sr. unsec. notes | ||
| 6.375%, 2/1/24 | 255,000 | 256,275 |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.75%, 10/15/27 | 80,000 | 82,304 |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 3/15/26 | 284,000 | 302,460 |
| Masonite International Corp. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 2/1/28 | 100,000 | 105,281 |
| Mattamy Group Corp. 144A sr. unsec. notes 6.50%, | ||
| 10/1/25 (Canada) | 257,000 | 273,705 |
| Mattamy Group Corp. 144A sr. unsec. notes 5.25%, | ||
| 12/15/27 (Canada) | 380,000 | 397,100 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.875%, 12/15/27 | 225,000 | 236,509 |
| Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 | 265,000 | 272,713 |
| Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 | 534,000 | 558,473 |
| NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. | ||
| notes 8.00%, 4/15/26 | 297,000 | 311,108 |
| Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.625%, 8/1/24 | 189,000 | 196,560 |
| Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 | 355,000 | 373,378 |
| Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. | ||
| unsec. notes 5.00%, 2/1/25 (Luxembourg) | 405,000 | 412,136 |
| Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty | ||
| sr. unsec. sub. notes 5.00%, 4/15/22 | 476,000 | 476,595 |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. | ||
| unsec. bonds 4.625%, 3/15/30 | 75,000 | 77,250 |
| Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 | 296,000 | 320,136 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.75%, 10/1/22 | 439,000 | 443,610 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.50%, 5/15/26 | 241,000 | 249,447 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.375%, 12/1/24 | 290,000 | 297,613 |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A | ||
| notes 6.25%, 1/15/28 | 255,000 | 251,876 |
| 36 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Consumer cyclicalscont. | ||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.875%, 6/15/32 | $264,000 | $353,844 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 3/1/26 | 400,000 | 447,000 |
| Refinitiv US Holdings, Inc. 144A company guaranty sr. notes | ||
| 6.25%, 5/15/26 | 224,000 | 242,211 |
| Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 | 339,000 | 344,933 |
| Scientific Games International, Inc. 144A company guaranty sr. | ||
| notes 5.00%, 10/15/25 | 345,000 | 354,819 |
| Scotts Miracle-Gro, Co. (The) 144A sr. unsec. notes 4.50%, 10/15/29 | 563,000 | 582,001 |
| Sinclair Television Group, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 3/1/30 | 255,000 | 260,738 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 | 310,000 | 333,607 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 819,000 | 859,950 |
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 4/15/27 | 665,000 | 688,375 |
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 7/31/24 | 451,000 | 460,584 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds | ||
| 5.00%, 10/1/29 | 125,000 | 129,894 |
| Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 | 583,000 | 608,506 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 410,000 | 421,275 |
| Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 25,000 | 25,641 |
| Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 250,000 | 249,615 |
| Univision Communications, Inc. 144A company guaranty sr. notes | ||
| 5.125%, 5/15/23 | 495,000 | 495,000 |
| Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes | ||
| 6.00%, 2/1/23 | 420,000 | 420,525 |
| WMG Acquisition Corp. 144A company guaranty sr. notes | ||
| 5.00%, 8/1/23 | 52,000 | 53,040 |
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.00%, 9/1/26 | 229,000 | 236,443 |
| Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 4/15/26 | 250,000 | 261,250 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company | ||
| guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 474,000 | 491,775 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. | ||
| unsec. bonds 5.125%, 10/1/29 | 320,000 | 332,000 |
| 26,321,266 | ||
| Consumer staples (1.3%) | ||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
| notes 5.00%, 10/15/25 (Canada) | 385,000 | 396,550 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
| notes 4.375%, 1/15/28 (Canada) | 182,000 | 182,437 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. | ||
| notes 3.875%, 1/15/28 (Canada) | 225,000 | 225,844 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, | ||
| LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 75,000 | 76,986 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, | ||
| LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 480,000 | 486,662 |
| Ashtead Capital, Inc. 144A bonds 4.25%, 11/1/29 | 200,000 | 208,000 |
| Premier Income Trust 37 |
| Principal | |||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value | |
| Consumer staplescont. | |||
| Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes | |||
| 7.75%, 1/15/27 | $25,000 | $27,564 | |
| Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. | |||
| notes 6.375%, 7/15/26 | 100,000 | 106,505 | |
| Europcar Mobility Group notes Ser. REGS, 4.125%, | |||
| 11/15/24 (France) | EUR | 160,000 | 168,576 |
| Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company | |||
| guaranty sr. unsec. notes 5.25%, 12/1/27 | $125,000 | 131,094 | |
| Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes | |||
| 8.75%, 10/1/25 | 229,000 | 240,626 | |
| Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 505,000 | 518,989 | |
| Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 | 737,000 | 766,480 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 295,000 | 309,013 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | 295,000 | 303,481 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 | 235,000 | 247,563 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.875%, 11/1/26 | 350,000 | 369,031 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.625%, 11/1/24 | 85,000 | 89,250 | |
| Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 | 776,000 | 814,800 | |
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | 265,000 | 283,550 | |
| Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 | 135,000 | 157,613 | |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 510,000 | 574,337 | |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 135,000 | 146,939 | |
| Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 | 75,000 | 78,234 | |
| Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 | 235,000 | 245,411 | |
| Prestige Brands, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.125%, 1/15/28 | 50,000 | 52,250 | |
| Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 | 125,000 | 133,594 | |
| 7,341,379 | |||
| Energy (4.6%) | |||
| Aker BP ASA 144A sr. unsec. notes 6.00%, 7/1/22 (Norway) | 300,000 | 308,250 | |
| Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) | 500,000 | 524,375 | |
| Aker BP ASA 144A sr. unsec. notes 4.75%, 6/15/24 (Norway) | 150,000 | 155,975 | |
| Aker BP ASA 144A sr. unsec. notes 3.75%, 1/15/30 (Norway) | 265,000 | 268,164 | |
| Antero Midstream Partners LP/Antero Midstream Finance Corp. | |||
| 144A sr. unsec. notes 5.75%, 1/15/28 | 245,000 | 190,537 | |
| Antero Resources Corp. company guaranty sr. unsec. sub. notes | |||
| 5.375%, 11/1/21 | 324,000 | 309,420 | |
| Antero Resources Corp. company guaranty sr. unsec. sub. notes | |||
| 5.125%, 12/1/22 | 199,000 | 171,638 | |
| Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 | 328,000 | 344,598 | |
| Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. | |||
| unsec. notes 10.00%, 4/1/22 | 268,000 | 262,640 | |
| Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. | |||
| unsec. notes 7.00%, 11/1/26 | 96,000 | 68,160 | |
| California Resources Corp. 144A company guaranty notes | |||
| 8.00%, 12/15/22 | 119,000 | 40,460 |
| 38 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Energycont. | ||
| Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | $214,000 | $268,410 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes | ||
| 5.875%, 3/31/25 | 293,000 | 332,174 |
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes | ||
| 5.125%, 6/30/27 | 995,000 | 1,108,667 |
| Covey Park Energy, LLC/Covey Park Finance Corp. 144A company | ||
| guaranty sr. unsec. notes 7.50%, 5/15/25 | 368,000 | 289,800 |
| DCP Midstream Operating LP 144A company guaranty sr. unsec. | ||
| unsub. bonds 6.75%, 9/15/37 | 118,000 | 127,145 |
| Denbury Resources, Inc. 144A company guaranty notes | ||
| 9.25%, 3/31/22 | 29,000 | 25,665 |
| Denbury Resources, Inc. 144A company guaranty notes | ||
| 9.00%, 5/15/21 | 611,000 | 574,340 |
| Diamondback Energy, Inc. company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 5/31/25 | 343,000 | 358,769 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
| bonds 5.75%, 1/30/28 | 639,000 | 664,560 |
| Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, | ||
| perpetual maturity | 870,000 | 822,150 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 2/15/26 | 594,000 | 621,743 |
| Hess Midstream Operations LP 144A sr. unsec. notes | ||
| 5.125%, 6/15/28 | 236,000 | 243,606 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 6.00%, 8/1/24 | 510,000 | 532,950 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 5.00%, 2/1/28 | 125,000 | 126,993 |
| Indigo Natural Resources, LLC 144A sr. unsec. notes | ||
| 6.875%, 2/15/26 | 159,000 | 145,485 |
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, | ||
| 3/31/24 (Canada) | 30,000 | 30,225 |
| MEG Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 6.375%, 1/30/23 (Canada) | 97,000 | 98,154 |
| MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 439,000 | 459,853 |
| MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) | 188,000 | 186,178 |
| Nabors Industries, Inc. company guaranty sr. unsec. notes | ||
| 5.75%, 2/1/25 | 403,000 | 330,460 |
| Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes | ||
| 7.50%, 1/15/28 | 125,000 | 123,750 |
| Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 1/15/26 | 125,000 | 124,856 |
| Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 | 130,000 | 110,175 |
| Noble Holding International, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 7.75%, 1/15/24 | 124,000 | 63,860 |
| Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 3/15/22 | 122,000 | 117,120 |
| Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 | 218,000 | 163,500 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, | ||
| 5/3/22 (Indonesia) | 270,000 | 283,824 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, | ||
| 5/20/23 (Indonesia) | 400,000 | 422,531 |
| Premier Income Trust 39 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Energycont. | ||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| bonds 7.375%, 1/17/27 (Brazil) | $3,117,000 | $3,872,405 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 6.125%, 1/17/22 (Brazil) | 3,254,000 | 3,493,983 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.999%, 1/27/28 (Brazil) | 378,000 | 441,788 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.299%, 1/27/25 (Brazil) | 300,000 | 333,000 |
| Petrobras Global Finance BV 144A company guaranty sr. unsec. | ||
| bonds 5.093%, 1/15/30 (Brazil) | 682,000 | 748,393 |
| Petroleos de Venezuela SA company guaranty sr. unsec. bonds | ||
| Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default) † | 689,000 | 55,120 |
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 4/12/27 (Venezuela) (In default) † | 972,000 | 77,760 |
| Petroleos de Venezuela SA 144A company guaranty sr. unsec. | ||
| notes 6.00%, 11/15/26 (Venezuela) (In default) † | 2,345,000 | 187,600 |
| Petroleos Mexicanos 144A company guaranty sr. unsec. bonds | ||
| 7.69%, 1/23/50 (Mexico) | 931,000 | 1,022,797 |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes | ||
| 7.125%, 1/15/26 (Canada) | 116,000 | 110,200 |
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. notes 5.00%, 10/1/22 | 195,000 | 206,934 |
| SESI, LLC company guaranty sr. unsec. unsub. notes | ||
| 7.125%, 12/15/21 | 188,000 | 165,440 |
| Seventy Seven Energy, Inc. escrow sr. unsec. notes | ||
| 6.50%, 7/15/22 F | 45,000 | 5 |
| SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 82,000 | 74,210 |
| SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 99,000 | 90,338 |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 133,000 | 120,771 |
| SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 211,000 | 208,890 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 5.50%, 1/15/28 | 600,000 | 600,000 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 | 80,000 | 88,150 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 | 410,000 | 446,900 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 | 100,000 | 101,750 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 | 75,000 | 77,351 |
| Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, | ||
| 8/1/25 (Cayman Islands) | 244,750 | 252,093 |
| Transocean Poseidon, Ltd. 144A company guaranty sr. notes | ||
| 6.875%, 2/1/27 | 190,000 | 198,550 |
| Transocean Sentry, Ltd. 144A company guaranty sr. notes 5.375%, | ||
| 5/15/23 (Cayman Islands) | 395,000 | 395,988 |
| Transocean, Inc. 144A company guaranty sr. unsec. notes | ||
| 9.00%, 7/15/23 | 10,000 | 10,744 |
| Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) | 127,000 | 64,135 |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes | ||
| 5.375%, 11/1/27 | 80,000 | 83,400 |
| 40 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Energycont. | ||
| WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | $60,000 | $69,225 |
| WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 | 225,000 | 235,688 |
| WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 | 100,000 | 100,622 |
| WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 | 225,000 | 235,125 |
| 25,570,515 | ||
| Financials (3.7%) | ||
| AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 75,000 | 75,000 |
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A | ||
| sr. unsec. notes 6.75%, 10/15/27 | 190,000 | 200,450 |
| Ally Financial, Inc. company guaranty sr. unsec. notes | ||
| 8.00%, 11/1/31 | 1,438,000 | 2,020,390 |
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 369,000 | 419,446 |
| American International Group, Inc. jr. unsec. sub. FRB | ||
| 8.175%, 5/15/58 | 163,000 | 227,385 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, | ||
| perpetual maturity | 148,000 | 165,575 |
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, | ||
| perpetual maturity | 185,000 | 209,050 |
| CBRE Services, Inc. company guaranty sr. unsec. notes | ||
| 5.25%, 3/15/25 | 175,000 | 199,253 |
| CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 195,000 | 209,869 |
| CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 | 578,000 | 634,355 |
| CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 | 82,000 | 87,125 |
| CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 | 225,000 | 253,688 |
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 678,000 | 760,208 |
| Credit Acceptance Corp. 144A company guaranty sr. unsec. notes | ||
| 6.625%, 3/15/26 | 125,000 | 134,688 |
| Credit Acceptance Corp. 144A sr. unsec. notes 5.125%, 12/31/24 | 125,000 | 130,625 |
| Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 | 500,000 | 683,125 |
| Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 200,000 | 273,250 |
| ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.25%, 5/1/25 R | 220,000 | 225,500 |
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, | ||
| 4/17/28 (Canada) | 170,000 | 190,737 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 | 120,000 | 119,400 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | ||
| notes 5.25%, 6/1/25 | 250,000 | 280,590 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | ||
| unsub. notes 5.375%, 4/15/26 | 185,000 | 209,920 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, | ||
| 12/1/24 (Canada) | 255,000 | 261,056 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.75%, 2/1/24 | 210,000 | 217,875 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.25%, 5/15/26 | 237,000 | 248,774 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 5.25%, 5/15/27 | 150,000 | 150,564 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 4.75%, 9/15/24 | 150,000 | 153,212 |
| International Lease Finance Corp. sr. unsec. unsub. notes | ||
| 5.875%, 8/15/22 | 20,000 | 21,895 |
| Premier Income Trust 41 |
| Principal | |||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value | |
| Financialscont. | |||
| Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB | |||
| 7.70%, perpetual maturity (Italy) | $200,000 | $225,425 | |
| iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R | 347,000 | 360,880 | |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R | 349,000 | 350,745 | |
| iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22 R | 125,000 | 127,578 | |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance | |||
| Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R | 250,000 | 249,503 | |
| Liberty Mutual Insurance Co. 144A unsec. sub. notes | |||
| 7.697%, 10/15/97 | 670,000 | 1,021,133 | |
| LPL Holdings, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.75%, 9/15/25 | 510,000 | 531,675 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance | |||
| Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28 R | 115,000 | 118,658 | |
| Miller Homes Group Holdings PLC company guaranty sr. notes | |||
| Ser. REGS, 5.50%, 10/15/24 (United Kingdom) | GBP | 175,000 | 239,370 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | |||
| unsec. notes 9.125%, 7/15/26 | $110,000 | 122,100 | |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | |||
| unsec. notes 8.125%, 7/15/23 | 220,000 | 232,650 | |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | |||
| unsec. notes 6.00%, 1/15/27 | 130,000 | 132,297 | |
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
| guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 | 188,000 | 188,094 | |
| Provident Funding Associates LP/PFG Finance Corp. 144A sr. | |||
| unsec. notes 6.375%, 6/15/25 | 300,000 | 297,000 | |
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, | |||
| perpetual maturity (United Kingdom) | 200,000 | 233,376 | |
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, | |||
| perpetual maturity (United Kingdom) | 306,000 | 442,162 | |
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, | |||
| perpetual maturity (United Kingdom) | 410,000 | 419,430 | |
| Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, | |||
| 9/12/23 (United Kingdom) | 235,000 | 248,650 | |
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | |||
| notes 6.875%, 3/15/25 | 603,000 | 679,883 | |
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | |||
| notes 5.375%, 11/15/29 | 265,000 | 275,574 | |
| Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R | 330,000 | 344,883 | |
| Taylor Morrison Communities, Inc. 144A sr. unsec. notes | |||
| 5.75%, 1/15/28 | 125,000 | 136,875 | |
| TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes | |||
| 11.125%, 4/1/23 | 178,000 | 166,208 | |
| UBS Group Funding Switzerland AG company guaranty jr. unsec. | |||
| sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) | 200,000 | 224,475 | |
| VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, | |||
| 10/17/22 (Russia) | 4,200,000 | 4,566,353 | |
| 20,697,982 | |||
| Health care (2.2%) | |||
| Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 | 611,000 | 689,666 | |
| Bausch Health Cos., Inc. company guaranty sr. unsec. notes | |||
| Ser. REGS, 4.50%, 5/15/23 | EUR | 270,000 | 301,138 |
| 42 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Health carecont. | ||
| Bausch Health Cos., Inc. 144A company guaranty sr. notes | ||
| 5.50%, 11/1/25 | $185,000 | $191,629 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds | ||
| 5.25%, 1/30/30 | 100,000 | 101,875 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 5/30/29 | 235,000 | 264,894 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 7.00%, 1/15/28 | 115,000 | 124,561 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 4/15/25 | 370,000 | 380,589 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 5.00%, 1/30/28 | 100,000 | 101,250 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes | ||
| 7.00%, 3/15/24 | 355,000 | 368,029 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes | ||
| 6.50%, 3/15/22 | 270,000 | 275,011 |
| Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | 305,000 | 310,349 |
| Centene Corp. 144A sr. unsec. bonds 4.625%, 12/15/29 | 560,000 | 601,944 |
| Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 | 110,000 | 116,875 |
| Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 | 165,000 | 170,981 |
| Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 | 135,000 | 143,606 |
| CHS/Community Health Systems, Inc. company guaranty sr. notes | ||
| 6.25%, 3/31/23 | 899,000 | 916,980 |
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. notes 6.875%, 2/1/22 | 235,000 | 213,850 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. | ||
| notes 8.00%, 3/15/26 | 665,000 | 693,063 |
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 256,000 | 292,548 |
| HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 | 155,000 | 167,740 |
| HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 | 270,000 | 298,918 |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 270,000 | 303,764 |
| HCA, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.50%, 2/15/22 | 128,000 | 140,640 |
| Jaguar Holding Co. II/Pharmaceutical Product Development, LLC | ||
| 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 | 370,000 | 380,175 |
| Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. | ||
| notes 12.50%, 11/1/21 | 233,000 | 238,256 |
| Molina Healthcare, Inc. company guaranty sr. unsec. notes | ||
| 5.375%, 11/15/22 | 270,000 | 285,890 |
| Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 6/15/25 | 70,000 | 71,400 |
| Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 350,000 | 372,715 |
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 100,000 | 104,565 |
| Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 | 1,075,000 | 1,101,539 |
| Tenet Healthcare Corp. company guaranty sr. notes | ||
| 4.625%, 7/15/24 | 660,000 | 676,500 |
| Tenet Healthcare Corp. 144A company guaranty notes | ||
| 6.25%, 2/1/27 | 125,000 | 132,200 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 5.125%, 11/1/27 | 525,000 | 552,563 |
| Premier Income Trust 43 |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Health carecont. | ||
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 4.875%, 1/1/26 | $755,000 | $782,841 |
| Teva Pharmaceutical Finance Netherlands III BV company | ||
| guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 385,000 | 400,978 |
| Teva Pharmaceutical Finance Netherlands III BV company | ||
| guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 250,000 | 253,408 |
| 12,522,930 | ||
| Technology (1.0%) | ||
| CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 160,000 | 167,800 |
| CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 | 230,000 | 236,325 |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | ||
| company guaranty sr. notes 6.02%, 6/15/26 | 1,275,000 | 1,488,858 |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 7.125%, 6/15/24 | 483,000 | 507,754 |
| Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 | 125,000 | 137,188 |
| Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 | 204,000 | 207,635 |
| Plantronics, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 5/31/23 | 823,000 | 794,195 |
| Qorvo, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 7/15/26 | 210,000 | 222,075 |
| SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 9/30/27 | 584,000 | 617,580 |
| Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. | ||
| unsec. notes 6.75%, 6/1/25 | 190,000 | 196,650 |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 10/1/25 | 626,000 | 651,666 |
| Western Digital Corp. company guaranty sr. unsec. notes | ||
| 4.75%, 2/15/26 | 400,000 | 427,000 |
| 5,654,726 | ||
| Transportation (0.1%) | ||
| Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. | ||
| unsec. notes 6.375%, 4/1/23 | 502,000 | 507,648 |
| 507,648 | ||
| Utilities and power (1.0%) | ||
| AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 | 965,000 | 995,156 |
| AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 | 135,000 | 142,520 |
| AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 | 138,000 | 139,725 |
| AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 | 135,000 | 137,635 |
| Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 | 76,000 | 70,662 |
| Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 152,000 | 149,916 |
| Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 188,000 | 194,129 |
| Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 380,000 | 378,100 |
| Colorado Interstate Gas Co., LLC company guaranty sr. unsec. | ||
| notes 6.85%, 6/15/37 | 615,000 | 739,368 |
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 7.25%, 5/15/26 | 206,000 | 222,480 |
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 1/15/27 | 62,000 | 66,650 |
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 5.75%, 1/15/28 | 320,000 | 344,416 |
| 44 Premier Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (25.5%)*cont. | amount | Value |
| Utilities and powercont. | ||
| NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 | $325,000 | $352,676 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 385,000 | 402,389 |
| NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 | 260,000 | 280,189 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. | ||
| escrow company guaranty sr. notes 11.50%, 10/1/20 F | 205,000 | 308 |
| Vistra Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 8.125%, 1/30/26 | 169,000 | 180,408 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes | ||
| 5.00%, 7/31/27 | 165,000 | 169,950 |
| Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 | 115,000 | 118,329 |
| Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 | 65,000 | 66,862 |
| Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 | 152,000 | 158,080 |
| Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 | 369,000 | 383,760 |
| 5,693,708 | ||
| Total corporate bonds and notes (cost $138,960,243) | $143,081,407 |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (12.0%)* | amount | Value | |
| Angola (Republic of) 144A sr. unsec. notes 8.00%, | |||
| 11/26/29 (Angola) | $2,250,000 | $2,378,295 | |
| Argentina (Republic of) sr. unsec. unsub. notes 7.50%, | |||
| 4/22/26 (Argentina) | 385,000 | 175,368 | |
| Argentina (Republic of) sr. unsec. unsub. notes 4.625%, | |||
| 1/11/23 (Argentina) | 650,000 | 296,563 | |
| Argentina (Republic of) 144A sr. unsec. notes 7.125%, | |||
| 8/1/27 (Argentina) | 2,375,000 | 1,615,000 | |
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, | |||
| 1/13/28 (Brazil) | 2,255,000 | 2,488,934 | |
| Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, | |||
| 1/7/25 (Brazil) | 1,370,000 | 1,479,600 | |
| Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 7.875%, 6/15/27 (Argentina) | 900,000 | 340,678 | |
| Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, | |||
| 6.50%, 2/15/23 (Argentina) | 700,000 | 262,563 | |
| Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates | |||
| BADLAR + 3.83%), 43.104%, 5/31/22 (Argentina) | ARS | 17,110,000 | 184,505 |
| Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, | |||
| 6/15/27 (Argentina) | $1,990,000 | 753,277 | |
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, | |||
| 1/26/21 (Argentina) | 33,333 | 16,918 | |
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, | |||
| 3/16/24 (Argentina) | 2,618,000 | 1,008,454 | |
| Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, | |||
| 9/1/24 (Argentina) | 2,664,000 | 1,904,693 | |
| Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, | |||
| 6/10/21 (Argentina) | 1,011,000 | 783,525 | |
| Costa Rica (Government of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 7.00%, 4/4/44 (Costa Rica) | 220,000 | 233,090 | |
| Costa Rica (Government of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 6.125%, 2/19/31 (Costa Rica) | 629,000 | 669,099 |
| Premier Income Trust 45 |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (12.0%)*cont. | amount | Value | |
| Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 | |||
| (Dominican Republic) | $116,667 | $120,750 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, | |||
| 4/20/27 (Dominican Republic) | 588,000 | 712,950 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, | |||
| 1/29/26 (Dominican Republic) | 1,405,000 | 1,598,188 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, | |||
| 7/19/28 (Dominican Republic) | 1,650,000 | 1,829,025 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, | |||
| 1/25/27 (Dominican Republic) | 308,000 | 338,030 | |
| Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 | |||
| (Dominican Republic) | 1,420,000 | 1,418,580 | |
| Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, | |||
| 1/27/25 (Dominican Republic) | 1,650,000 | 1,765,500 | |
| Ecuador (Republic of) 144A sr. unsec. notes 9.50%, | |||
| 3/27/30 (Ecuador) | 1,400,000 | 1,204,975 | |
| Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.053%, | |||
| 1/15/32 (Egypt) | 2,450,000 | 2,612,362 | |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 6.125%, | |||
| 1/31/22 (Egypt) | 635,000 | 665,950 | |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%, | |||
| 2/21/23 (Egypt) | 560,000 | 588,006 | |
| Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, | |||
| 6/11/25 (Egypt) | 880,000 | 951,482 | |
| Egypt (Arab Republic of) 144A sr. unsec. bonds 7.053%, | |||
| 1/15/32 (Egypt) | 1,030,000 | 1,095,982 | |
| Egypt (Arab Republic of) 144A sr. unsec. notes 4.55%, | |||
| 11/20/23 (Egypt) | 900,000 | 924,408 | |
| El Salvador (Republic of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 7.625%, 2/1/41 (El Salvador) | 475,000 | 552,188 | |
| El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, | |||
| 1/18/27 (El Salvador) | 140,000 | 153,300 | |
| El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, | |||
| 1/30/25 (El Salvador) | 700,000 | 750,750 | |
| Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) | EUR | 1,502,000 | 1,840,301 |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, | |||
| 1/8/26 (Indonesia) | $2,370,000 | 2,654,424 | |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, | |||
| 1/15/25 (Indonesia) | 760,000 | 820,804 | |
| Indonesia (Republic of) 144A sr. unsec. notes 4.75%, | |||
| 1/8/26 (Indonesia) | 300,000 | 336,004 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, | |||
| 2/17/37 (Indonesia) | 1,555,000 | 2,165,244 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, | |||
| 1/8/27 (Indonesia) | 1,265,000 | 1,397,824 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, | |||
| 4/15/23 (Indonesia) | 1,355,000 | 1,402,421 | |
| Ivory Coast (Government of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 5.75%, 12/31/32 (Ivory Coast) | 846,450 | 843,276 | |
| Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, | |||
| 6.125%, 6/15/33 (Ivory Coast) | 4,525,000 | 4,638,125 |
| 46 Premier Income Trust |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (12.0%)*cont. | amount | Value | |
| Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, | |||
| 3/3/28 (Ivory Coast) | $630,000 | $678,819 | |
| Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, | |||
| 7/23/24 (Ivory Coast) | 300,000 | 315,375 | |
| Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, | |||
| 3/13/28 (Senegal) | EUR | 140,000 | 165,324 |
| Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, | |||
| 3/22/30 (Ivory Coast) | EUR | 760,000 | 874,469 |
| Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, | |||
| 3/15/39 (Jamaica) | $127,000 | 174,625 | |
| Jamaica (Government of) sr. unsec. unsub. notes 6.75%, | |||
| 4/28/28 (Jamaica) | 230,000 | 272,897 | |
| Oman (Sultanate of) sr. unsec. bonds Ser. REGS, 6.75%, | |||
| 1/17/48 (Oman) | 840,000 | 836,816 | |
| Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, | |||
| 8/1/29 (Oman) | 1,730,000 | 1,810,722 | |
| Senegal (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.75%, | |||
| 3/13/48 (Senegal) | 3,900,000 | 3,992,625 | |
| Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, | |||
| 5/23/33 (Senegal) | 2,305,000 | 2,457,706 | |
| South Africa (Republic of) sr. unsec. unsub. bonds 6.30%, 6/22/48 | |||
| (South Africa) | 700,000 | 745,098 | |
| South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 | |||
| (South Africa) | 830,000 | 916,113 | |
| South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 | |||
| (South Africa) | 805,000 | 841,629 | |
| United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) | 1,040,000 | 1,104,262 | |
| United Mexican States sr. unsec. unsub. bonds 3.25%, | |||
| 4/16/30 (Mexico) | 3,340,000 | 3,398,450 | |
| Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, | |||
| 3/31/38 (Venezuela) | 650,000 | 79,625 | |
| Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) | |||
| (In default) † | 1,652,000 | 198,240 | |
| Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 | |||
| (Venezuela) (In default) † | 439,000 | 52,680 | |
| Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 | |||
| (Venezuela) (In default) † | 2,674,000 | 320,880 | |
| Total foreign government and agency bonds and notes (cost $72,500,326) | $67,207,766 | ||
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (3.9%)* | amount | Value |
| Capital goods (0.1%) | ||
| Fortive Corp. 144A cv. company guaranty sr. unsec. notes | ||
| 0.875%, 2/15/22 | $425,000 | $427,771 |
| II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 | 309,000 | 316,286 |
| 744,057 | ||
| Communication services (0.3%) | ||
| 8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24 | 191,000 | 192,519 |
| DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 622,000 | 603,759 |
| GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 | 404,000 | 584,681 |
| Vonage Holdings Corp. 144A cv. sr. unsec. notes 1.75%, 6/1/24 | 200,000 | 189,719 |
| 1,570,678 |
| Premier Income Trust 47 |
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (3.9%)*cont. | amount | Value |
| Consumer cyclicals (0.6%) | ||
| FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 | $216,000 | $284,824 |
| Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 | 47,000 | 37,175 |
| Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 254,000 | 342,296 |
| Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 | 196,000 | 263,090 |
| Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds | ||
| 2.75%, 12/1/49 | 166,000 | 173,189 |
| Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 | 425,000 | 505,432 |
| Marriott Vacations Worldwide Corp. cv. sr. unsec. notes | ||
| 1.50%, 9/15/22 | 261,000 | 272,237 |
| Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 | 497,000 | 546,997 |
| RH 144A cv. sr. unsec. notes zero %, 9/15/24 | 274,000 | 318,879 |
| Square, Inc. cv. sr. unsec. notes 0.50%, 5/15/23 | 230,000 | 277,632 |
| Winnebago Industries, Inc. 144A cv. sr. unsec. notes 1.50%, 4/1/25 | 128,000 | 141,094 |
| 3,162,845 | ||
| Consumer staples (0.3%) | ||
| Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 | 328,000 | 350,205 |
| Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 10/1/26 | 270,000 | 252,222 |
| IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes | ||
| 0.875%, 6/15/26 | 490,000 | 539,051 |
| Wayfair, Inc. cv. sr. unsec. notes 1.125%, 11/1/24 | 231,000 | 245,726 |
| Zillow Group, Inc. 144A cv. sr. unsec. sub. notes 1.375%, 9/1/26 | 352,000 | 436,260 |
| 1,823,464 | ||
| Energy (0.1%) | ||
| CHC Group, LLC/CHC Finance, Ltd. cv. notes Ser. AI, zero %, | ||
| 10/1/20, (acquired 2/2/17, cost $58,386) ∆∆ | 84,334 | 16,867 |
| Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 | 79,000 | 55,524 |
| Transocean, Inc. cv. company guaranty sr. unsec. sub. notes | ||
| 0.50%, 1/30/23 | 215,000 | 180,766 |
| 253,157 | ||
| Financials (0.2%) | ||
| Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes | ||
| 4.75%, 3/15/23, R | 222,000 | 238,600 |
| Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. | ||
| notes 3.25%, 3/15/22 | 183,000 | 185,289 |
| IH Merger Sub, LLC cv. company guaranty sr. unsec. notes | ||
| 3.50%, 1/15/22, R | 194,000 | 271,572 |
| JPMorgan Chase Financial Co., LLC cv. company guaranty sr. | ||
| unsec. notes 0.25%, 5/1/23 | 272,000 | 292,400 |
| Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 | 112,000 | 120,087 |
| 1,107,948 | ||
| Health care (0.5%) | ||
| BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes | ||
| 0.599%, 8/1/24 | 220,000 | 233,404 |
| CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 | 141,000 | 180,833 |
| DexCom, Inc. cv. sr. unsec. unsub. notes 0.75%, 12/1/23 | 273,000 | 433,217 |
| Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 | 310,000 | 348,750 |
| Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 | 90,000 | 94,500 |
| Insulet Corp. 144A cv. sr. unsec. notes 0.375%, 9/1/26 | 156,000 | 174,895 |
| Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes | ||
| 0.75%, 6/15/24 | 116,000 | 129,920 |
| 48 Premier Income Trust |
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (3.9%)*cont. | amount | Value |
| Health carecont. | ||
| Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes | ||
| 1.50%, 8/15/24, (Ireland) | $218,000 | $217,174 |
| Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 | 150,000 | 216,939 |
| Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes | ||
| 2.375%, 4/1/22 | 158,000 | 162,049 |
| Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23 | 192,000 | 174,549 |
| Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes | ||
| 1.75%, 2/15/26 | 157,000 | 173,484 |
| Teladoc Health, Inc. cv. sr. unsec. notes 1.375%, 5/15/25 | 127,000 | 257,354 |
| 2,797,068 | ||
| Technology (1.7%) | ||
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 431,000 | 496,675 |
| Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.375%, 9/1/27 | 247,000 | 253,061 |
| Blackline, Inc. 144A cv. sr. unsec. notes 0.125%, 8/1/24 | 112,000 | 120,667 |
| Cree, Inc. cv. sr. unsec. notes 0.875%, 9/1/23 | 218,000 | 231,625 |
| CyberArk Software, Ltd. 144A cv. sr. unsec. notes zero %, | ||
| 11/15/24, (Israel) | 168,000 | 187,642 |
| DocuSign, Inc. cv. sr. unsec. notes 0.50%, 9/15/23 | 224,000 | 287,684 |
| Envestnet, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 | 227,000 | 292,003 |
| Five9, Inc. cv. sr. unsec. notes 0.125%, 5/1/23 | 76,000 | 137,979 |
| Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 | 145,000 | 172,682 |
| Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 | 243,000 | 351,801 |
| j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 | 168,000 | 172,620 |
| LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 | 107,000 | 136,047 |
| Lumentum Holdings, Inc. cv. sr. unsec. unsub. notes | ||
| 0.25%, 3/15/24 | 185,000 | 261,284 |
| Lumentum Holdings, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/26 | 168,000 | 177,683 |
| Microchip Technology, Inc. cv. sr. unsec. sub. notes | ||
| 1.625%, 2/15/27 | 228,000 | 306,695 |
| New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 | 162,000 | 158,471 |
| Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 | 335,000 | 386,026 |
| ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. | ||
| notes 1.625%, 10/15/23 | 425,000 | 567,312 |
| Palo Alto Networks, Inc. cv. sr. unsec. notes 0.75%, 7/1/23 | 496,000 | 551,068 |
| Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 | 227,000 | 203,916 |
| Proofpoint, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/24 | 274,000 | 292,576 |
| Q2 Holdings, Inc. 144A cv. sr. unsec. unsub. notes 0.75%, 6/1/26 | 185,000 | 221,878 |
| Rapid7, Inc. cv. sr. unsec. notes 1.25%, 8/1/23 | 74,000 | 114,561 |
| RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22 | 79,000 | 116,905 |
| RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23 | 77,000 | 194,441 |
| SailPoint Technologies Holding, Inc. 144A cv. sr. unsec. notes | ||
| 0.125%, 9/15/24 | 133,000 | 149,212 |
| Silicon Laboratories, Inc. cv. sr. unsec. notes 1.375%, 3/1/22 | 105,000 | 126,263 |
| Snap, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/26 | 223,000 | 248,214 |
| Splunk, Inc. cv. sr. unsec. notes 1.125%, 9/15/25 | 585,000 | 736,734 |
| Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23, (acquired 12/24/19, | ||
| cost $114,280) ∆∆ | 73,000 | 133,727 |
| Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 | 337,000 | 329,139 |
| Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 | 195,000 | 213,093 |
| Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 239,000 | 296,063 |
| Premier Income Trust 49 |
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (3.9%)*cont. | amount | Value |
| Technologycont. | ||
| Wix.com, Ltd. cv. sr. unsec. notes zero %, 7/1/23, (Israel) | $200,000 | $246,961 |
| Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 | 172,000 | 235,827 |
| Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 | 265,000 | 393,971 |
| Zynga, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/24 | 214,000 | 218,850 |
| 9,721,356 | ||
| Transportation (—%) | ||
| Air Transport Services Group, Inc. cv. sr. unsec. notes | ||
| 1.125%, 10/15/24 | 173,000 | 164,420 |
| 164,420 | ||
| Utilities and power (0.1%) | ||
| NRG Energy, Inc. cv. company guaranty sr. unsec. bonds | ||
| 2.75%, 6/1/48 | 281,000 | 308,610 |
| 308,610 | ||
| Total convertible bonds and notes (cost $20,393,866) | $21,653,603 |
| PURCHASED SWAP OPTIONS OUTSTANDING (3.5%)* | |||
| Counterparty | Notional/ | ||
| Fixed right % to receive or (pay)/ | Expiration | Contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| Bank of America N.A. | |||
| 2.785/3 month USD-LIBOR-BBA/Jan-47 | Jan-27/2.785 | $8,145,400 | $1,572,795 |
| 2.3075/3 month USD-LIBOR-BBA/Jun-52 | Jun-22/2.3075 | 3,515,900 | 623,756 |
| (2.785)/3 month USD-LIBOR-BBA/Jan-47 | Jan-27/2.785 | 8,145,400 | 319,463 |
| (2.3075)/3 month USD-LIBOR-BBA/Jun-52 | Jun-22/2.3075 | 3,515,900 | 124,217 |
| Citibank, N.A. | |||
| 1.629/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.629 | 16,442,700 | 358,615 |
| 1.996/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.996 | 16,442,700 | 346,941 |
| 1.316/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.316 | 84,856,600 | 166,319 |
| (1.316)/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.316 | 84,856,600 | 136,619 |
| (1.996)/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.996 | 16,442,700 | 110,331 |
| (1.629)/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.629 | 16,442,700 | 99,314 |
| (2.18775)/3 month USD-LIBOR-BBA/Mar-25 | Mar-20/2.18775 | 51,694,400 | 13,957 |
| Goldman Sachs International | |||
| 2.988/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 | 7,048,900 | 839,594 |
| (2.988)/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 | 7,048,900 | 182,637 |
| (2.983)/3 month USD-LIBOR-BBA/May-52 | May-22/2.983 | 12,300,800 | 126,821 |
| JPMorgan Chase Bank N.A. | |||
| 2.795/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 | 6,980,300 | 754,221 |
| 2.7575/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 | 6,980,300 | 738,516 |
| (2.7575)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 | 6,980,300 | 196,705 |
| (2.795)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 | 6,980,300 | 190,492 |
| Morgan Stanley & Co. International PLC | |||
| 3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 | 6,990,700 | 1,961,522 |
| 3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 | 6,990,700 | 1,961,101 |
| 3.00/3 month USD-LIBOR-BBA/Feb-73 | Feb-48/3.00 | 6,990,700 | 1,955,788 |
| 2.75/3 month USD-LIBOR-BBA/May-73 | May-48/2.75 | 6,990,700 | 1,669,239 |
| 2.7725/3 month USD-LIBOR-BBA/Feb-31 | Feb-21/2.7725 | 13,275,300 | 1,601,267 |
| 2.764/3 month USD-LIBOR-BBA/Feb-31 | Feb-21/2.764 | 13,275,300 | 1,592,638 |
| (1.613)/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 | 8,725,000 | 465,741 |
| 1.613/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 | 8,725,000 | 398,994 |
| 50 Premier Income Trust |
| PURCHASED SWAP OPTIONS OUTSTANDING (3.5%)*cont. | ||||
| Counterparty | Notional/ | |||
| Fixed right % to receive or (pay)/ | Expiration | Contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
| Morgan Stanley & Co. International PLCcont. | ||||
| (2.904)/3 month USD-LIBOR-BBA/May-51 | May-21/2.904 | $5,271,800 | $26,886 | |
| (2.7725)/3 month USD-LIBOR-BBA/Feb-31 | Feb-21/2.7725 | 13,275,300 | 19,647 | |
| (2.764)/3 month USD-LIBOR-BBA/Feb-31 | Feb-21/2.764 | 13,275,300 | 18,851 | |
| UBS AG | ||||
| 0.153/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 13,220,400 | 311,276 |
| (0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 13,220,400 | 300,719 |
| 1.5025/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.5025 | $88,250,900 | 265,635 | |
| (1.5025)/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.5025 | 88,250,900 | 70,601 | |
| Total purchased swap options outstanding (cost $13,662,575) | $19,521,218 | |||
| Principal | ||
| SENIOR LOANS (3.3%)*c | amount | Value |
| Basic materials (0.3%) | ||
| Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month | ||
| + 3.00%), 4.945%, 1/31/24 | $282,571 | $282,453 |
| Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 3.00%), 4.777%, 9/6/24 | 71,398 | 69,256 |
| Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 2.50%), 4.445%, 3/1/26 | 237,369 | 237,270 |
| Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.75%), 5.434%, 4/12/25 | 109,444 | 108,852 |
| PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 2.50%), 4.277%, 2/8/25 | 76,158 | 76,269 |
| Solenis International LP bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.00%), 5.909%, 6/26/25 | 149,620 | 147,625 |
| Solenis International, LLC bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.50%), 10.831%, 6/26/26 | 127,000 | 120,968 |
| Solenis International, LLC bank term loan FRN (1 Month US LIBOR | ||
| + 4.00%), 5.655%, 6/26/25 | 170,000 | 187,596 |
| Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 3.00%), 4.699%, 10/1/25 | 412,071 | 411,659 |
| 1,641,948 | ||
| Capital goods (0.7%) | ||
| Berry Global, Inc. bank term loan FRN Ser. Y, (BBA LIBOR USD | ||
| 3 Month + 2.00%), 3.899%, 7/1/26 | 432,825 | 434,809 |
| BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 3.25%), 5.084%, 4/3/24 | 791,043 | 784,369 |
| Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.75%), 4.395%, 3/31/24 | 170,543 | 169,904 |
| GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 3.00%), 4.645%, 5/31/25 | 859,917 | 858,197 |
| Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 3.00%), 4.395%, 2/5/23 | 314,462 | 314,953 |
| Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 5.00%), 6.655%, 4/12/26 | 388,050 | 379,966 |
| Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN | ||
| Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.645%, 3/28/25 | 499,098 | 489,365 |
| Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 4.00%), 5.645%, 11/15/23 | 455,000 | 454,242 |
| 3,885,805 |
| Premier Income Trust 51 |
| Principal | ||
| SENIOR LOANS (3.3%)*ccont. | amount | Value |
| Communication services (0.6%) | ||
| Altice US Finance I Corp. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 2.25%), 3.926%, 1/15/26 | $402,965 | $403,972 |
| Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month | ||
| + 3.00%), 4.645%, 11/3/24 | 342,631 | 343,059 |
| Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, (BBA | ||
| LIBOR USD 3 Month + 3.75%), 5.682%, 11/27/23 | 615,000 | 611,156 |
| Sprint Communications, Inc. bank term loan FRN Ser. B, (BBA | ||
| LIBOR USD 3 Month + 3.00%), 4.688%, 2/3/24 | 1,749,759 | 1,723,513 |
| 3,081,700 | ||
| Consumer cyclicals (1.0%) | ||
| Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.50%), 5.145%, 8/21/26 | 189,525 | 190,236 |
| CPG International, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.75%), 5.933%, 5/5/24 | 377,975 | 378,092 |
| Diamond Sports Group, LLC bank term loan FRN Ser. B, (BBA | ||
| LIBOR USD 3 Month + 3.25%), 4.91%, 8/24/26 | 214,463 | 213,497 |
| Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 4.75%), 6.69%, 10/23/26 | 182,072 | 183,119 |
| Golden Nugget, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.75%), 4.401%, 10/4/23 | 193,268 | 193,469 |
| Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD | ||
| 3 Month + 2.50%), 4.281%, 11/2/25 | 179,322 | 180,031 |
| iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.00%), 5.655%, 5/1/26 | 241,089 | 241,491 |
| iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA | ||
| LIBOR USD 3 Month + 3.00%), 4.66%, 4/29/26 | 110,000 | 110,321 |
| Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 9.25%), 10.91%, 5/21/24 | 434,761 | 156,514 |
| Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 5.00%), 6.66%, 10/16/23 | 168,025 | 121,818 |
| Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 3.50%), 5.17%, 11/6/24 | 976,883 | 977,799 |
| Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 2.75%), 4.405%, 9/19/26 | 319,200 | 320,597 |
| PetSmart, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 4.00%), 5.67%, 3/11/22 | 211,749 | 211,176 |
| Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 3.25%), 4.895%, 10/1/25 | 713,790 | 720,571 |
| Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.00%), 9.688%, 2/28/26 | 220,000 | 176,000 |
| Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.25%), 4.938%, 2/28/25 | 519,039 | 480,111 |
| Scientific Games International, Inc. bank term loan FRN Ser. B5, | ||
| (BBA LIBOR USD 3 Month + 2.75%), 4.395%, 8/14/24 | 139,291 | 139,030 |
| Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 7.00%), 8.645%, 11/28/22 | 227,031 | 224,193 |
| Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 4.25%), 5.99%, 12/17/26 | 217,000 | 218,628 |
| Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 5.00%), 6.945%, 5/30/26 | 164,588 | 148,746 |
| Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 4.00%), 5.645%, 7/24/24 | 240,907 | 239,702 |
| 5,825,141 |
| 52 Premier Income Trust |
| Principal | ||
| SENIOR LOANS (3.3%)*ccont. | amount | Value |
| Consumer staples (0.5%) | ||
| Albertson’s, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD | ||
| 3 Month + 2.75%), 4.395%, 11/17/25 | $94,833 | $94,833 |
| Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.00%), 4.645%, 7/12/24 | 608,951 | 610,474 |
| Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 4.25%), 6.088%, 6/21/24 | 881,858 | 880,755 |
| CEC Entertainment, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 6.50%), 8.145%, 8/30/26 | 608,475 | 581,854 |
| IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.75%), 4.384%, 2/5/25 | 223,295 | 223,481 |
| Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA | ||
| LIBOR USD 3 Month + 3.50%), 5.409%, 9/7/23 | 206,313 | 160,114 |
| 2,551,511 | ||
| Energy (0.1%) | ||
| California Resources Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.75%), 6.40%, 12/31/22 | 94,000 | 84,718 |
| FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 4.75%), 6.395%, 4/16/21 | 12,488 | 10,974 |
| Lower Cadence Holdings, LLC bank term loan FRN Ser. B, (BBA | ||
| LIBOR USD 3 Month + 4.00%), 5.645%, 5/22/26 | 212,930 | 207,252 |
| 302,944 | ||
| Financials (—%) | ||
| HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 4.00%), 5.927%, 4/25/25 | 100,000 | 100,583 |
| 100,583 | ||
| Health care (—%) | ||
| Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA | ||
| LIBOR USD 3 Month + 3.25%), 4.905%, 6/1/25 | 258,308 | 254,972 |
| 254,972 | ||
| Technology (0.1%) | ||
| Kronos, Inc./MA bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.00%), 4.763%, 11/1/23 | 114,964 | 115,395 |
| Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.50%), 4.145%, 7/2/25 | 371,893 | 356,862 |
| Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.00%), 4.763%, 11/3/23 | 138,937 | 133,345 |
| 605,602 | ||
| Transportation (—%) | ||
| Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 2.00%), 3.774%, 11/5/26 | 150,000 | 151,031 |
| 151,031 | ||
| Total senior loans (cost $18,894,816) | $18,401,237 |
| Principal | ||
| ASSET-BACKED SECURITIES (1.8%)* | amount | Value |
| Mello Warehouse Securitization Trust 144A | ||
| FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), | ||
| 2.511%, 11/25/51 | $303,333 | $303,333 |
| FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), | ||
| 2.461%, 6/25/52 | 366,000 | 366,000 |
| Premier Income Trust 53 |
| Principal | ||
| ASSET-BACKED SECURITIES (1.8%)*cont. | amount | Value |
| Nationstar HECM Loan Trust 144A Ser. 19-2A, Class M4, | ||
| 5.682%, 11/26/29 W | $1,195,000 | $1,191,720 |
| RMF Buyout Issuance Trust 144A Ser. 19-1, Class M5, | ||
| 6.00%, 7/25/29 W | 544,000 | 541,231 |
| Station Place Securitization Trust 144A | ||
| FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), | ||
| 2.409%, 10/24/20 | 1,177,000 | 1,177,000 |
| FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), | ||
| 2.359%, 9/24/20 | 2,722,000 | 2,722,000 |
| FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), | ||
| 2.359%, 6/24/20 | 2,770,000 | 2,770,000 |
| FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), | ||
| 2.311%, 8/25/52 | 770,000 | 770,000 |
| Total asset-backed securities (cost $9,835,075) | $9,841,284 |
| PURCHASED OPTIONS | Expiration | ||||
| OUTSTANDING (0.3%)* | date/strike | Notional | Contract | ||
| Counterparty | price | amount | amount | Value | |
| Barclays Bank PLC | |||||
| GBP/USD (Call) | Apr-20/$1.34 | $9,396,645 | GBP | 7,115,975 | $61,050 |
| Citibank, N.A. | |||||
| GBP/USD (Call) | Apr-20/1.34 | 9,396,645 | GBP | 7,115,975 | 64,470 |
| Goldman Sachs International | |||||
| EUR/NOK (Put) | Apr-20/NOK 9.60 | 14,038,355 | EUR | 12,658,000 | 1,081 |
| JPMorgan Chase Bank N.A. | |||||
| Uniform Mortgage-Backed | |||||
| Securities 30 yr 3.00% TBA | |||||
| commitments (Call) | Feb-20/$101.70 | 158,000,000 | $158,000,000 | 939,942 | |
| Uniform Mortgage-Backed | |||||
| Securities 30 yr 3.50% TBA | |||||
| commitments (Put) | Feb-20/102.97 | 20,000,000 | 20,000,000 | 1,560 | |
| USD/JPY (Put) | Apr-20/JPY 107.00 | 23,606,300 | 23,606,300 | 180,612 | |
| USD/JPY (Put) | Apr-20/JPY 101.00 | 23,606,300 | 23,606,300 | 27,053 | |
| UBS AG | |||||
| GBP/USD (Call) | Apr-20/$41.34 | 9,396,645 | GBP | 7,115,975 | 64,470 |
| USD/JPY (Put) | Apr-20/JPY 107.00 | 23,606,300 | $23,606,300 | 170,107 | |
| USD/JPY (Put) | Apr-20/JPY 101.00 | 23,606,300 | 23,606,300 | 24,220 | |
| Total purchased options outstanding (cost $926,645) | $1,534,565 | ||||
| COMMON STOCKS (0.1%)* | Shares | Value |
| Advanz Pharma Corp., Ltd. (Canada) † | 1,070 | $6,538 |
| CHC Group, LLC (acquired 3/23/17, cost $23,780) † ∆∆ | 1,640 | 410 |
| Clear Channel Outdoor Holdings, Inc. † | 35,498 | 96,910 |
| iHeartMedia, Inc. Class A † | 15,096 | 266,897 |
| MWO Holdings, LLC (Units) F | 169 | 5,717 |
| Nine Point Energy F | 1,515 | 3,030 |
| Tervita Corp. (Canada) † | 449 | 2,514 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 21,073 | 21,073 |
| Tribune Media Co. Class 1C | 92,963 | 51,130 |
| Total common stocks (cost $1,048,296) | $454,219 |
| 54 Premier Income Trust |
| PREFERRED STOCKS (0.1%)* | Shares | Value |
| GMAC Capital Trust I Ser. 2, $1.91 cum. ARP | 16,265 | $433,462 |
| Total preferred stocks (cost $412,195) | $433,462 |
| CONVERTIBLE PREFERRED STOCKS (—%)* | Shares | Value |
| Nine Point Energy 6.75% cv. pfd. F | 32 | $6,400 |
| Total convertible preferred stocks (cost $32,000) | $6,400 |
| Principal amount/ | |||
| SHORT-TERM INVESTMENTS (11.1%)* | shares | Value | |
| Putnam Short Term Investment Fund 1.70% L | Shares | 36,409,973 | $36,409,973 |
| State Street Institutional U.S. Government Money Market Fund, | |||
| Premier Class 1.52% P | Shares | 1,708,000 | 1,708,000 |
| U.S. Treasury Bills 1.873%, 3/12/20 # ∆ | $6,643,000 | 6,632,244 | |
| U.S. Treasury Bills 1.655%, 2/20/20 ∆ | 246,000 | 245,829 | |
| U.S. Treasury Bills 1.649%, 4/2/20 ∆ § | 5,749,000 | 5,734,773 | |
| U.S. Treasury Bills 1.635%, 4/9/20 ∆ § | 1,493,000 | 1,488,798 | |
| U.S. Treasury Bills 1.581%, 6/18/20 § | 1,131,000 | 1,124,584 | |
| U.S. Treasury Bills 1.580%, 4/16/20 # ∆ § | 757,000 | 754,658 | |
| U.S. Treasury Bills 1.573%, 5/21/20 ∆ § | 3,115,000 | 3,100,732 | |
| U.S. Treasury Bills 1.563%, 6/11/20 ∆ § | 3,995,000 | 3,973,417 | |
| U.S. Treasury Bills 1.560%, 6/4/20 ∆ § | 738,000 | 734,211 | |
| U.S. Treasury Bills zero%, 7/16/20 i | 304,000 | 301,842 | |
| Total short-term investments (cost $62,203,172) | $62,209,061 | ||
| TOTAL INVESTMENTS | |
| Total investments (cost $877,454,710) | $882,273,919 |
Key to holding’s currency abbreviations
| ARS | Argentine Peso |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| USD/$ | United States Dollar |
Key to holding’s abbreviations
| ARP | Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period |
| bp | Basis Points |
| 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. |
| Premier Income Trust 55 |
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in |
| place at the close of the reporting period. | |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is |
| the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | |
| IO | Interest Only |
| OJSC | Open Joint Stock Company |
| 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. | |
| 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 August 1, 2019 through January 31, 2020 (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 820Fair Value Measurements and Disclosures.
*Percentages indicated are based on net assets of $561,812,489.
†This security is non-income-producing.
∆∆This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $151,004, or less than 0.1% of net assets.
‡‡Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
#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 $112,796 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
∆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 $8,537,566 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $8,910,411 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
cSenior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
FThis security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
iThis security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
LAffiliated 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.
PThis security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
| 56 Premier Income Trust |
RReal Estate Investment Trust.
WThe rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $465,546,745 to cover certain derivative contracts and delayed delivery securities.
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 | 87.9% | Senegal | 0.8% | |
| Brazil | 1.5 | Mexico | 0.7 | |
| Indonesia | 1.1 | Canada | 0.6 | |
| Dominican Republic | 0.9 | Russia | 0.5 | |
| Ivory Coast | 0.8 | Bermuda | 0.5 | |
| Argentina | 0.8 | Other | 3.1 | |
| Egypt | 0.8 | Total | 100.0% |
| FORWARD CURRENCY CONTRACTS at 1/31/20 (aggregate face value $169,131,341) (Unaudited) | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Bank of America N.A. | ||||||
| Australian Dollar | Buy | 4/15/20 | $1,157,119 | $1,183,948 | $(26,829) | |
| Brazilian Real | Buy | 2/4/20 | 4,468,033 | 4,632,813 | (164,780) | |
| Brazilian Real | Sell | 2/4/20 | 4,468,033 | 4,572,745 | 104,712 | |
| British Pound | Buy | 3/18/20 | 1,218,105 | 1,182,437 | 35,668 | |
| Canadian Dollar | Sell | 4/15/20 | 609,927 | 621,965 | 12,038 | |
| Chinese Yuan (Offshore) | Buy | 5/20/20 | 2,324,306 | 2,324,608 | (302) | |
| Czech Koruna | Buy | 3/18/20 | 783,109 | 774,440 | 8,669 | |
| Euro | Buy | 3/18/20 | 618,704 | 618,063 | 641 | |
| Hong Kong Dollar | Sell | 5/20/20 | 2,358,106 | 2,359,054 | 948 | |
| Japanese Yen | Sell | 2/19/20 | 1,189,509 | 1,179,975 | (9,534) | |
| Mexican Peso | Buy | 4/15/20 | 2,329,914 | 2,332,468 | (2,554) | |
| New Taiwan Dollar | Sell | 5/20/20 | 2,333,905 | 2,328,512 | (5,393) | |
| Norwegian Krone | Buy | 3/18/20 | 320,060 | 320,841 | (781) | |
| Swedish Krona | Sell | 3/18/20 | 1,804,416 | 1,829,192 | 24,776 | |
| Barclays Bank PLC | ||||||
| Australian Dollar | Sell | 4/15/20 | 1,149,478 | 1,180,743 | 31,265 | |
| Euro | Sell | 3/18/20 | 62,271 | 62,496 | 225 | |
| New Zealand Dollar | Sell | 4/15/20 | 577,509 | 590,592 | 13,083 | |
| Norwegian Krone | Buy | 3/18/20 | 2,886,230 | 2,821,437 | 64,793 | |
| Premier Income Trust 57 |
| FORWARD CURRENCY CONTRACTS at 1/31/20 (aggregate face value $169,131,341) (Unaudited)cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Barclays Bank PLCcont. | ||||||
| Russian Ruble | Buy | 3/18/20 | $2,298,047 | $2,306,645 | $(8,598) | |
| Swedish Krona | Sell | 3/18/20 | 576,453 | 590,550 | 14,097 | |
| Citibank, N.A. | ||||||
| Brazilian Real | Buy | 2/4/20 | 113,365 | 115,976 | (2,611) | |
| Brazilian Real | Sell | 2/4/20 | 113,366 | 116,455 | 3,089 | |
| Euro | Sell | 3/18/20 | 2,423,221 | 2,431,301 | 8,080 | |
| Mexican Peso | Buy | 4/15/20 | 1,164,546 | 1,164,749 | (203) | |
| New Zealand Dollar | Sell | 4/15/20 | 2,325,178 | 2,326,472 | 1,294 | |
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 4/15/20 | 574,571 | 593,116 | (18,545) | |
| Euro | Buy | 3/18/20 | 586,568 | 588,657 | (2,089) | |
| Goldman Sachs International | ||||||
| Australian Dollar | Buy | 4/15/20 | 442,592 | 457,126 | (14,534) | |
| Brazilian Real | Buy | 2/4/20 | 2,262,201 | 2,311,975 | (49,774) | |
| Brazilian Real | Sell | 2/4/20 | 2,262,201 | 2,342,592 | 80,391 | |
| British Pound | Sell | 3/18/20 | 1,951,956 | 1,916,364 | (35,592) | |
| Chinese Yuan (Offshore) | Buy | 5/20/20 | 2,324,292 | 2,325,388 | (1,096) | |
| Euro | Sell | 3/18/20 | 348,382 | 349,615 | 1,233 | |
| Japanese Yen | Sell | 2/19/20 | 592,430 | 586,787 | (5,643) | |
| New Taiwan Dollar | Sell | 5/20/20 | 2,333,901 | 2,325,848 | (8,053) | |
| New Zealand Dollar | Sell | 4/15/20 | 1,151,008 | 1,180,815 | 29,807 | |
| Norwegian Krone | Buy | 3/18/20 | 4,732,551 | 4,731,388 | 1,163 | |
| Russian Ruble | Buy | 3/18/20 | 4,546,364 | 4,712,478 | (166,114) | |
| Swedish Krona | Sell | 3/18/20 | 2,252,302 | 2,262,812 | 10,510 | |
| HSBC Bank USA, National Association | ||||||
| British Pound | Sell | 3/18/20 | 1,952,353 | 1,917,109 | (35,244) | |
| Euro | Sell | 3/18/20 | 1,115,758 | 1,120,965 | 5,207 | |
| Hong Kong Dollar | Sell | 5/20/20 | 3,537,178 | 3,537,669 | 491 | |
| Japanese Yen | Sell | 2/19/20 | 1,101,688 | 1,102,083 | 395 | |
| Norwegian Krone | Sell | 3/18/20 | 874,854 | 902,119 | 27,265 | |
| Swedish Krona | Sell | 3/18/20 | 3,158,804 | 3,167,366 | 8,562 | |
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Buy | 4/15/20 | 1,112,947 | 1,137,438 | (24,491) | |
| British Pound | Buy | 3/18/20 | 696,702 | 689,149 | 7,553 | |
| Euro | Buy | 3/18/20 | 13,145,683 | 13,218,356 | (72,673) | |
| Japanese Yen | Sell | 2/19/20 | 298,731 | 294,433 | (4,298) | |
| New Zealand Dollar | Sell | 4/15/20 | 2,474,958 | 2,493,174 | 18,216 | |
| Norwegian Krone | Sell | 3/18/20 | 2,827 | 2,721 | (106) | |
| Singapore Dollar | Sell | 5/20/20 | 4,674,622 | 4,674,590 | (32) | |
| Swedish Krona | Sell | 3/18/20 | 896,645 | 889,577 | (7,068) | |
| Swiss Franc | Buy | 3/18/20 | 96,426 | 93,523 | 2,903 | |
| NatWest Markets PLC | ||||||
| Australian Dollar | Buy | 4/15/20 | 432,001 | 442,991 | (10,990) | |
| British Pound | Buy | 3/18/20 | 1,188,757 | 1,165,408 | 23,349 | |
| 58 Premier Income Trust |
| FORWARD CURRENCY CONTRACTS at 1/31/20 (aggregate face value $169,131,341) (Unaudited)cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| NatWest Markets PLCcont. | ||||||
| Canadian Dollar | Sell | 4/15/20 | $580,685 | $586,876 | $6,191 | |
| Euro | Buy | 3/18/20 | 288,781 | 290,724 | (1,943) | |
| New Zealand Dollar | Buy | 4/15/20 | 859,859 | 871,339 | (11,480) | |
| Norwegian Krone | Buy | 3/18/20 | 3,477,406 | 3,488,070 | (10,664) | |
| Swedish Krona | Sell | 3/18/20 | 1,768,007 | 1,791,913 | 23,906 | |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Sell | 4/15/20 | 1,712,923 | 1,797,733 | 84,810 | |
| British Pound | Sell | 3/18/20 | 3,224,132 | 3,202,737 | (21,395) | |
| Canadian Dollar | Sell | 4/15/20 | 6,998,675 | 7,047,747 | 49,072 | |
| Euro | Sell | 3/18/20 | 683,088 | 652,956 | (30,132) | |
| Hong Kong Dollar | Sell | 5/20/20 | 4,716,224 | 4,717,531 | 1,307 | |
| Japanese Yen | Sell | 2/19/20 | 6,710,777 | 6,704,998 | (5,779) | |
| New Zealand Dollar | Buy | 4/15/20 | 2,058,291 | 2,119,258 | (60,967) | |
| Norwegian Krone | Buy | 3/18/20 | 1,757,645 | 1,725,739 | 31,906 | |
| Swedish Krona | Sell | 3/18/20 | 6,939,036 | 7,053,112 | 114,076 | |
| Swiss Franc | Buy | 3/18/20 | 234,193 | 232,717 | 1,476 | |
| Toronto-Dominion Bank | ||||||
| Canadian Dollar | Sell | 4/15/20 | 1,098,202 | 1,119,930 | 21,728 | |
| Euro | Buy | 3/18/20 | 588,236 | 590,393 | (2,157) | |
| Hong Kong Dollar | Sell | 5/20/20 | 1,179,046 | 1,179,170 | 124 | |
| Swedish Krona | Sell | 3/18/20 | 1,162,534 | 1,177,319 | 14,785 | |
| UBS AG | ||||||
| Australian Dollar | Sell | 4/15/20 | 3,624,854 | 3,738,987 | 114,133 | |
| British Pound | Sell | 3/18/20 | 1,193,780 | 1,181,031 | (12,749) | |
| Euro | Sell | 3/18/20 | 2,450,464 | 2,458,668 | 8,204 | |
| Hong Kong Dollar | Sell | 5/20/20 | 2,358,119 | 2,359,050 | 931 | |
| Japanese Yen | Sell | 2/19/20 | 286,581 | 295,701 | 9,120 | |
| Mexican Peso | Buy | 4/15/20 | 1,165,373 | 1,169,565 | (4,192) | |
| New Zealand Dollar | Buy | 4/15/20 | 2,132,761 | 2,200,627 | (67,866) | |
| Norwegian Krone | Sell | 3/18/20 | 575,671 | 579,132 | 3,461 | |
| Swedish Krona | Sell | 3/18/20 | 1,740,497 | 1,756,395 | 15,898 | |
| WestPac Banking Corp. | ||||||
| British Pound | Sell | 3/18/20 | 598,344 | 592,199 | (6,145) | |
| Euro | Buy | 3/18/20 | 1,179,363 | 1,182,469 | (3,106) | |
| Euro | Sell | 3/18/20 | 1,178,362 | 1,183,414 | 5,052 | |
| New Zealand Dollar | Buy | 4/15/20 | 576,345 | 581,732 | (5,387) | |
| Unrealized appreciation | 1,046,603 | |||||
| Unrealized (depreciation) | (921,889) | |||||
| Total | $124,714 | |||||
*The exchange currency for all contracts listed is the United States Dollar.
| Premier Income Trust 59 |
| FUTURES CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | |||||
| Unrealized | |||||
| Number of | Notional | Expiration | appreciation/ | ||
| contracts | amount | Value | date | (depreciation) | |
| Euro-Schatz 2 yr (Short) | 87 | $10,814,785 | $10,814,780 | Mar-20 | $(13,199) |
| U.S. Treasury Bond Ultra 30 yr (Long) | 19 | 3,680,063 | 3,680,063 | Mar-20 | 112,176 |
| U.S. Treasury Note 2 yr (Long) | 90 | 19,472,344 | 19,472,344 | Mar-20 | 63,782 |
| U.S. Treasury Note 5 yr (Short) | 187 | 22,499,899 | 22,499,899 | Mar-20 | (240,015) |
| Unrealized appreciation | 175,958 | ||||
| Unrealized (depreciation) | (253,214) | ||||
| Total | $(77,256) | ||||
| WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/20 (premiums $14,759,307) (Unaudited) | ||||
| Counterparty | Notional/ | |||
| Fixed Obligation % to receive or (pay)/ | Expiration | Contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
| Citibank, N.A. | ||||
| 1.999/3 month USD-LIBOR-BBA/Mar-25 | Mar-20/1.999 | $25,847,200 | $17,576 | |
| 1.805/3 month USD-LIBOR-BBA/Jan-31 | Jan-21/1.805 | 16,442,700 | 202,081 | |
| 1.865/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 | 8,485,700 | 528,150 | |
| (1.865)/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 | 8,485,700 | 530,441 | |
| (1.805)/3 month USD-LIBOR-BBA/Jan-31 | Jan-21/1.805 | 16,442,700 | 695,526 | |
| Goldman Sachs International | ||||
| 2.823/3 month USD-LIBOR-BBA/May-27 | May-22/2.823 | 49,203,000 | 99,882 | |
| 1.722/3 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 4,577,200 | 210,459 |
| (1.722)/3 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 4,577,200 | 641,168 |
| JPMorgan Chase Bank N.A. | ||||
| 1.667/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 10,069,900 | 173,328 |
| (1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 10,069,900 | 1,516,394 |
| Morgan Stanley & Co. International PLC | ||||
| 2.7225/3 month USD-LIBOR-BBA/Feb-30 | Feb-20/2.7225 | $9,654,800 | 10 | |
| 2.715/3 month USD-LIBOR-BBA/Feb-30 | Feb-20/2.715 | 9,654,800 | 10 | |
| 2.664/3 month USD-LIBOR-BBA/May-26 | May-21/2.664 | 21,087,000 | 14,128 | |
| 3.01/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 3,620,600 | 62,962 | |
| 2.97/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 3,620,600 | 65,135 | |
| (1.512)/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 8,725,000 | 311,919 | |
| 1.512/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 8,725,000 | 368,195 | |
| (2.97)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 3,620,600 | 440,410 | |
| (3.01)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 3,620,600 | 449,932 | |
| (2.715)/3 month USD-LIBOR-BBA/Feb-30 | Feb-20/2.715 | 9,654,800 | 1,138,687 | |
| (2.7225)/3 month USD-LIBOR-BBA/Feb-30 | Feb-20/2.7225 | 9,654,800 | 1,144,866 | |
| (2.75)/3 month USD-LIBOR-BBA/May-49 | May-25/2.75 | 6,990,700 | 1,535,437 | |
| (3.00)/3 month USD-LIBOR-BBA/Jan-49 | Jan-24/3.00 | 6,990,700 | 1,871,970 | |
| (3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 | 6,990,700 | 1,881,127 | |
| (3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 | 6,990,700 | 1,881,756 | |
| UBS AG | ||||
| 0.385/6 month EUR-EURIBOR-Reuters/Sep-34 | Sep-24/0.385 | EUR | 6,610,200 | 324,619 |
| (0.385)/6 month EUR-EURIBOR-Reuters/Sep-34 | Sep-24/0.385 | EUR | 6,610,200 | 326,671 |
| 60 Premier Income Trust |
| WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/20 (premiums $14,759,307) (Unaudited)cont. | |||
| Counterparty | Notional/ | ||
| Fixed Obligation % to receive or (pay)/ | Expiration | Contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| UBS AGcont. | |||
| 1.9875/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | $9,843,400 | $476,322 |
| (1.9875)/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 9,843,400 | 638,443 |
| Total | $17,547,604 | ||
| WRITTEN OPTIONS OUTSTANDING at 1/31/20 (premiums $680,405) (Unaudited) | |||||
| Expiration | Notional | Contract | |||
| Counterparty | date/strike price | amount | amount | Value | |
| Barclays Bank PLC | |||||
| GBP/USD (Call) | Apr-20/$1.37 | $14,094,984 | GBP | 10,673,975 | $27,105 |
| Citibank, N.A. | |||||
| GBP/USD (Call) | Apr-20/1.37 | 14,094,984 | GBP | 10,673,975 | 29,853 |
| JPMorgan Chase Bank N.A. | |||||
| Uniform Mortgage-Backed | |||||
| Securities 30 yr 3.00% TBA | |||||
| commitments (Put) | Feb-20/101.70 | 158,000,000 | $158,000,000 | 14,220 | |
| Uniform Mortgage-Backed | |||||
| Securities 30 yr 3.50% TBA | |||||
| commitments (Call) | Feb-20/102.97 | 20,000,000 | 20,000,000 | 57,800 | |
| USD/JPY (Put) | Apr-20/JPY 104.00 | 47,212,650 | 47,212,650 | 122,517 | |
| UBS AG | |||||
| GBP/USD (Call) | Apr-20/$1.37 | 14,094,984 | GBP | 10,673,975 | 29,853 |
| USD/JPY (Put) | Apr-20/JPY 104.00 | 47,212,650 | $47,212,650 | 110,950 | |
| Total | $392,298 | ||||
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | |||||
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | Contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Bank of America N.A. | |||||
| 1.304/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 4,782,000 | $(774,972) | $792,764 |
| 2.2275/3 month USD-LIBOR-BBA/ | |||||
| May-24 (Purchased) | May-22/2.2275 | $56,560,700 | (521,772) | 643,661 | |
| 1.053/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 2,528,950 | (576,785) | 379,031 |
| (1.053)/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 2,528,950 | (576,785) | (148,314) |
| (1.304)/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 4,782,000 | (387,486) | (203,654) |
| (2.2275)/3 month USD-LIBOR-BBA/ | |||||
| May-24 (Purchased) | May-22/2.2275 | $56,560,700 | (521,772) | (407,237) | |
| Barclays Bank PLC | |||||
| 1.11125/6 month JPY-LIBOR-BBA/ | |||||
| Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 264,236,800 | (133,657) | 279,661 |
| (1.11125)/6 month JPY-LIBOR-BBA/ | |||||
| Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 264,236,800 | (133,657) | (123,736) |
| Premier Income Trust 61 |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | Contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Citibank, N.A. | |||||
| 1.765/3 month USD-LIBOR-BBA/ | |||||
| Jun-25 (Purchased) | Jun-20/1.765 | $53,025,600 | $(710,543) | $564,192 | |
| 2.689/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.689 | 2,064,000 | (265,740) | 197,628 | |
| (2.689)/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.689 | 2,064,000 | (265,740) | (177,256) | |
| (1.765)/3 month USD-LIBOR-BBA/ | |||||
| Jun-25 (Purchased) | Jun-20/1.765 | 53,025,600 | (710,543) | (627,293) | |
| (1.245)/3 month USD-LIBOR-BBA/ | |||||
| Aug-24 (Written) | Aug-22/1.245 | 39,592,500 | 362,271 | 36,425 | |
| 1.245/3 month USD-LIBOR-BBA/ | |||||
| Aug-24 (Written) | Aug-22/1.245 | 39,592,500 | 362,271 | 10,294 | |
| Goldman Sachs International | |||||
| 1.755/3 month USD-LIBOR-BBA/ | |||||
| Jun-25 (Purchased) | Jun-20/1.755 | 53,025,600 | (713,194) | 540,861 | |
| 2.8175/3 month USD-LIBOR-BBA/ | |||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 1,629,100 | (205,674) | 131,648 | |
| 1.727/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/1.727 | 3,050,400 | (279,722) | 98,101 | |
| (1.4765)/3 month USD-LIBOR-BBA/ | |||||
| Feb-30 (Purchased) | Feb-20/1.4765 | 19,386,200 | (131,342) | (24,427) | |
| (1.727)/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/1.727 | 3,050,400 | (456,035) | (63,631) | |
| (2.13)/3 month USD-LIBOR-BBA/ | |||||
| Dec-30 (Purchased) | Dec-20/2.13 | 10,338,900 | (146,037) | (91,706) | |
| (2.8175)/3 month USD-LIBOR-BBA/ | |||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 1,629,100 | (205,674) | (126,174) | |
| (1.755)/3 month USD-LIBOR-BBA/ | |||||
| Jun-25 (Purchased) | Jun-20/1.755 | 53,025,600 | (713,194) | (625,172) | |
| JPMorgan Chase Bank N.A. | |||||
| 3.162/3 month USD-LIBOR-BBA/ | |||||
| Nov-33 (Purchased) | Nov-20/3.162 | 26,351,000 | (3,742,633) | 1,319,659 | |
| 2.8325/3 month USD-LIBOR-BBA/ | |||||
| Feb-52 (Purchased) | Feb-22/2.8325 | 8,145,400 | (1,137,301) | 1,167,887 | |
| 1.921/6 month EUR-EURIBOR- | |||||
| Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 2,828,800 | (361,757) | 596,366 |
| 2.902/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.902 | $2,064,000 | (319,094) | 215,750 | |
| 2.032/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/2.032 | 3,549,600 | (409,979) | 163,459 | |
| 2.50/3 month USD-LIBOR-BBA/ | |||||
| Nov-39 (Purchased) | Nov-29/2.50 | 3,439,600 | (198,809) | 139,304 | |
| 1.33/3 month USD-LIBOR-BBA/ | |||||
| Oct-21 (Purchased) | Oct-20/1.33 | 65,770,900 | (122,005) | 19,731 | |
| 1.692/6 month AUD-BBR-BBSW/ | |||||
| Jan-35 (Purchased) | Jan-25/1.692 | AUD | 3,098,200 | (96,660) | 12,464 |
| 62 Premier Income Trust |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | Contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| JPMorgan Chase Bank N.A.cont. | |||||
| (1.692)/6 month AUD-BBR-BBSW/ | |||||
| Jan-35 (Purchased) | Jan-25/1.692 | AUD | 3,098,200 | $(96,660) | $(10,909) |
| (3.162)/3 month USD-LIBOR-BBA/ | |||||
| Nov-33 (Purchased) | Nov-20/3.162 | $26,351,000 | (32,148) | (20,554) | |
| (2.032)/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/2.032 | 3,549,600 | (409,979) | (75,677) | |
| (2.902)/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.902 | 2,064,000 | (221,467) | (152,736) | |
| (2.50)/3 month USD-LIBOR-BBA/ | |||||
| Nov-39 (Purchased) | Nov-29/2.50 | 3,439,600 | (357,718) | (179,341) | |
| (1.921)/6 month EUR-EURIBOR- | |||||
| Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 2,828,800 | (361,757) | (257,257) |
| (2.8325)/3 month USD-LIBOR-BBA/ | |||||
| Feb-52 (Purchased) | Feb-22/2.8325 | $8,145,400 | (1,137,301) | (1,017,523) | |
| 3.229/3 month USD-LIBOR-BBA/ | |||||
| Nov-33 (Written) | Nov-23/3.229 | 26,351,000 | 289,070 | 97,235 | |
| 1.333/3 month USD-LIBOR-BBA/ | |||||
| Jan-24 (Written) | Jan-23/1.333 | 9,536,800 | 42,916 | 3,147 | |
| 2.975/3 month USD-LIBOR-BBA/ | |||||
| Nov-23 (Written) | Nov-20/2.975 | 26,351,000 | 2,635 | 2,372 | |
| (1.333)/3 month USD-LIBOR-BBA/ | |||||
| Jan-24 (Written) | Jan-23/1.333 | 9,536,800 | 42,916 | (2,384) | |
| (0.83)/3 month USD-LIBOR-BBA/ | |||||
| Oct-21 (Written) | Oct-20/0.83 | 65,770,900 | 36,174 | (9,208) | |
| (2.975)/3 month USD-LIBOR-BBA/ | |||||
| Nov-23 (Written) | Nov-20/2.975 | 26,351,000 | 1,016,622 | (329,651) | |
| (3.229)/3 month USD-LIBOR-BBA/ | |||||
| Nov-33 (Written) | Nov-23/3.229 | 26,351,000 | 2,990,839 | (922,285) | |
| Morgan Stanley & Co. International PLC | |||||
| 3.27/3 month USD-LIBOR-BBA/ | |||||
| Oct-53 (Purchased) | Oct-23/3.27 | 2,738,700 | (312,486) | 713,431 | |
| 2.505/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.505 | 2,064,000 | (222,086) | 183,345 | |
| 1.5775/3 month USD-LIBOR-BBA/ | |||||
| Sep-22 (Purchased) | Sep-20/1.5775 | 40,819,600 | (224,916) | 89,803 | |
| (0.01)/6 month EUR-EURIBOR- | |||||
| Reuters/Apr-30 (Purchased) | Apr-20/0.01 | EUR | 6,548,100 | (61,619) | (9,949) |
| (1.719)/3 month USD-LIBOR-BBA/ | |||||
| Apr-50 (Purchased) | Apr-20/1.719 | $3,128,500 | (101,131) | (10,606) | |
| (1.5775)/3 month USD-LIBOR-BBA/ | |||||
| Sep-22 (Purchased) | Sep-20/1.5775 | 40,819,600 | (224,916) | (172,259) | |
| (2.505)/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.505 | 2,064,000 | (316,205) | (206,297) | |
| (3.27)/3 month USD-LIBOR-BBA/ | |||||
| Oct-53 (Purchased) | Oct-23/3.27 | 2,738,700 | (312,486) | (263,244) | |
| 2.39/3 month USD-LIBOR-BBA/ | |||||
| Jun-34 (Written) | Jun-24/2.39 | 18,392,400 | 968,360 | 492,732 | |
| Premier Income Trust 63 |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | Contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Morgan Stanley & Co. International PLCcont. | |||||
| 1.529/3 month USD-LIBOR-BBA/ | |||||
| Apr-30 (Written) | Apr-20/1.529 | $8,003,300 | $99,314 | $15,526 | |
| 0.4285/6 month EUR-EURIBOR- | |||||
| Reuters/Apr-50 (Written) | Apr-20/0.4285 | EUR | 2,255,500 | 60,820 | 9,406 |
| (2.39)/3 month USD-LIBOR-BBA/ | |||||
| Jun-34 (Written) | Jun-24/2.39 | $18,392,400 | 968,360 | (650,171) | |
| UBS AG | |||||
| 1.6125/3 month USD-LIBOR-BBA/ | |||||
| Aug-34 (Purchased) | Aug-24/1.6125 | 8,725,000 | (239,327) | 164,205 | |
| 1.175/3 month GBP-LIBOR-BBA/ | |||||
| Jan-40 (Purchased) | Jan-30/1.175 | GBP | 4,426,000 | (402,344) | 67,680 |
| (0.762)/3 month GBP-LIBOR-BBA/ | |||||
| Aug-39 (Purchased) | Aug-29/0.762 | GBP | 1,894,900 | (174,759) | (3,103) |
| 0.762/3 month GBP-LIBOR-BBA/ | |||||
| Aug-39 (Purchased) | Aug-29/0.762 | GBP | 1,894,900 | (174,759) | (43,288) |
| (1.175)/3 month GBP-LIBOR-BBA/ | |||||
| Jan-40 (Purchased) | Jan-30/1.175 | GBP | 4,426,000 | (402,344) | (61,777) |
| (1.6125)/3 month USD-LIBOR-BBA/ | |||||
| Aug-34 (Purchased) | Aug-24/1.6125 | $8,725,000 | (638,016) | (159,493) | |
| 1.30/3 month USD-LIBOR-BBA/ | |||||
| Aug-26 (Written) | Aug-21/1.30 | 18,540,700 | 550,768 | 225,270 | |
| 1.01/6 month EUR-EURIBOR-Reuters/ | |||||
| Jan-40 (Written) | Jan-30/1.01 | EUR | 5,311,200 | 374,242 | 72,039 |
| (0.43)/6 month EUR-EURIBOR- | |||||
| Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 1,762,700 | 141,313 | 38,688 |
| 0.43/6 month EUR-EURIBOR-Reuters/ | |||||
| Aug-39 (Written) | Aug-29/0.43 | EUR | 1,762,700 | 141,313 | (8,621) |
| (1.01)/6 month EUR-EURIBOR- | |||||
| Reuters/Jan-40 (Written) | Jan-30/1.01 | EUR | 5,311,200 | 374,242 | (129,058) |
| (1.30)/3 month USD-LIBOR-BBA/ | |||||
| Aug-26 (Written) | Aug-21/1.30 | $18,540,700 | 148,217 | (141,280) | |
| Unrealized appreciation | 9,483,765 | ||||
| Unrealized (depreciation) | (7,455,271) | ||||
| Total | $2,028,494 | ||||
| TBA SALE COMMITMENTS OUTSTANDING at 1/31/20 (proceeds receivable $53,644,297) (Unaudited) | |||
| Principal | Settlement | ||
| Agency | amount | date | Value |
| Uniform Mortgage-Backed Securities, 3.50%, 2/1/50 | $50,000,000 | 2/12/20 | $51,617,190 |
| Uniform Mortgage-Backed Securities, 3.00%, 2/1/50 | 2,000,000 | 2/12/20 | 2,045,469 |
| Total | $53,662,659 | ||
| 64 Premier Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $4,357,000 | $1,671,916 | $(149) | 11/8/48 | 3 month USD- | 3.312% — | $1,685,448 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 26,351,000 | 3,617,729 | (373) | 1/3/29 | 3.065% — | 3 month USD- | (3,640,410) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 14,545,700 | 2,040,136 | (206) | 3/4/29 | 3 month USD- | 3.073% — | 2,177,154 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 21,080,800 | 3,185,794 | (465,375) | 12/3/29 | 3 month USD- | 3.096% — | 2,751,073 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,258,100 | 56,807E | (13) | 2/2/24 | 3 month USD- | 2.5725% — | 56,794 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,844,400 | 142,019E | (33) | 2/2/24 | 2.528% — | 3 month USD- | (142,051) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,794,500 | 401,492 | (50) | 2/13/29 | 2.6785% — | 3 month USD- | (432,912) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 12,234,100 | 457,017E | (2,476) | 12/2/23 | 3 month USD- | 2.536% — | 454,541 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 4,229,500 | 106,199E | (723) | 2/2/24 | 3 month USD- | 2.57% — | 105,476 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,191,046 | 149,797E | (17) | 3/5/30 | 3 month USD- | 2.806% — | 149,780 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 3,175,800 | 352,041E | (45) | 3/16/30 | 2.647% — | 3 month USD- | (352,086) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,450,500 | 556,607E | (84) | 3/28/52 | 2.67% — | 3 month USD- | (556,690) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 7,620,100 | 152,783E | (42) | 2/2/24 | 3 month USD- | 2.3075% — | 152,741 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,185,500 | 226,697E | (62) | 2/9/24 | 3 month USD- | 2.32% — | 226,634 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,997,900 | 733,232E | (102) | 11/29/53 | 2.793% — | 3 month USD- | (733,335) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,995,000 | 111,084E | (44) | 11/20/39 | 3 month USD- | 2.55% — | 111,039 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| Premier Income Trust 65 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $7,072,400 | $460,357E | $(100) | 12/7/30 | 2.184% — | 3 month USD- | $(460,457) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 4,598,100 | 140,316E | (52) | 6/5/29 | 3 month USD- | 2.2225% — | 140,264 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 384,600 | 53,892E | (13) | 6/22/52 | 2.3075% — | 3 month USD- | (53,905) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 8,603,800 | 477,924E | (122) | 6/22/30 | 2.0625% — | 3 month USD- | (478,046) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,293,600 | 106,558E | (32) | 7/6/30 | 1.9665% — | 3 month USD- | (106,591) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,815,900 | 229,448E | (62) | 7/5/52 | 2.25% — | 3 month USD- | (229,510) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 14,103,100 | 126,406E | (79) | 2/7/24 | 1.733% — | 3 month USD- | (126,485) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,173,400 | 110,015E | (31) | 1/22/31 | 2.035% — | 3 month USD- | (110,046) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 6,866,200 | 895,586E | (234) | 7/22/52 | 2.2685% — | 3 month USD- | (895,820) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,015,900 | 144,769E | (103) | 8/8/52 | 1.9185% — | 3 month USD- | (144,872) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 12,114,500 | 54,225 | (114) | 9/18/24 | 1.43125% — | 3 month USD- | (89,647) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 12,114,500 | 50,820 | (114) | 9/18/24 | 1.425% — | 3 month USD- | (85,963) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,082,800 | 64,628E | (105) | 9/12/52 | 1.626% — | 3 month USD- | 64,523 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 53,025,600 | 396,207 | (429) | 9/30/24 | 1.50% — | 3 month USD- | (568,680) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 53,025,600 | 472,776 | (429) | 10/1/24 | 1.53% — | 3 month USD- | (659,264) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 10,182,000 | 150,144 | (82) | 12/13/24 | 1.6445% — | 3 month USD- | (145,861) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 66 Premier Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $557,931,900 | $2,747,257E | $(475,697) | 3/18/22 | 1.60% — | 3 month USD- | $(3,222,953) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 13,814,300 | 1,063,038E | (222,377) | 3/18/50 | 3 month USD- | 2.00% — | 840,661 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 103,777,100 | 2,764,933E | 779,476 | 3/18/30 | 3 month USD- | 1.75% — | 3,544,409 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 9,017,000 | 301,916 | (120) | 12/17/29 | 1.8252% — | 3 month USD- | (300,264) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 10,182,000 | 144,096 | (82) | 12/17/24 | 1.632% — | 3 month USD- | (139,773) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 28,420,000 | 521,678E | (188,437) | 3/18/25 | 3 month USD- | 1.70% — | 333,240 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 52,111,000 | 1,632,846E | 150,180 | 3/18/30 | 1.80% — | 3 month USD- | (1,482,665) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 28,791,900 | 361,396E | 52,801 | 3/18/25 | 3 month USD- | 1.58% — | 414,196 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,417,200 | 823,043E | 489,355 | 3/18/50 | 1.98% — | 3 month USD- | (333,688) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,615,200 | 64,771E | 5,840 | 3/18/30 | 3 month USD- | 1.73% — | 70,610 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 13,941,000 | 427,027 | (185) | 12/18/29 | 3 month USD- | 1.7945% — | 423,640 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 10,182,000 | 167,993 | (82) | 12/18/24 | 1.6815% — | 3 month USD- | (164,362) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 242,419,400 | 3,570,595E | (696,412) | 3/18/25 | 1.625% — | 3 month USD- | (4,265,782) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,101,700 | 113,637E | (44) | 12/21/30 | 3 month USD- | 1.88% — | 113,593 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,786,500 | 149,639 | (77) | 1/8/30 | 1.744% — | 3 month USD- | (148,941) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 19,385,400 | 419,907 | (41,613) | 1/28/30 | 3 month USD- | 1.698% — | 377,170 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| Premier Income Trust 67 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| $389,100 | $25,553E | $(13) | 1/16/55 | 2.032% — | 3 month USD- | $(25,567) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 7,842,000 | 222,932 | (2,611) | 1/16/30 | 1.771% — | 3 month USD- | (224,908) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 14,439,500 | 384,611 | (191) | 1/31/30 | 1.7505% — | 3 month USD- | (384,089) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 11,345,300 | 299,527 | (150) | 1/31/30 | 1.748% — | 3 month USD- | (299,118) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 25,784,800 | 535,344 | (41,598) | 1/31/30 | 3 month USD- | 1.688% — | 492,474 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 126,560,010 | 2,837,475E | (580,537) | 3/18/27 | 3 month USD- | 1.70% — | 2,256,939 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 8,444,000 | 255,406 | (112) | 1/21/30 | 3 month USD- | 1.79% — | 254,799 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 23,888,000 | 116,215 | (90) | 1/21/22 | 1.646% — | 3 month USD- | (113,949) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 10,065,000 | 271,725 | (133) | 1/23/30 | 1.755% — | 3 month USD- | (271,239) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 183,000 | 9,728E | (6) | 1/24/55 | 3 month USD- | 1.977% — | 9,721 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 15,661,000 | 157,738E | (176) | 1/27/30 | 1.8315% — | 3 month USD- | (157,914) | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 144,450,000 | 145,895E | (82,280) | 3/18/22 | 3 month USD- | 1.40% — | 63,615 | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| AUD | 25,693,000 | 41,346 | (66) | 10/30/21 | 0.80% — | 3 month AUD- | (41,327) |
| Quarterly | BBR-BBSW — | ||||||
| Quarterly | |||||||
| AUD | 5,327,000 | 75,215 | (48) | 10/30/29 | 6 month AUD- | 1.305% — | 77,416 |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| AUD | 25,762,000 | 44,458 | (66) | 10/30/21 | 0.81% — | 3 month AUD- | (44,448) |
| Quarterly | BBR-BBSW — | ||||||
| Quarterly | |||||||
| AUD | 5,327,000 | 81,948 | (48) | 10/30/29 | 6 month AUD- | 1.325% — | 84,337 |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| 68 Premier Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| AUD | 17,368,000 | $335,228E | $(125,417) | 3/18/30 | 6 month AUD- | 1.40% — | $209,810 |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| AUD | 25,240,000 | 163,094E | (9,802) | 3/18/25 | 6 month AUD- | 1.00% — | 153,292 |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| AUD | 177,000 | 1,069E | (2) | 1/30/35 | 1.692% — | 6 month AUD- | (1,070) |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually | |||||||
| AUD | 26,465,000 | 4,783E | (67) | 2/3/22 | 0.5875% — | 3 month AUD- | (4,850) |
| Quarterly | BBR-BBSW — | ||||||
| Quarterly | |||||||
| AUD | 26,324,000 | 4,229E | (66) | 2/3/22 | 0.585% — | 3 month AUD- | (4,295) |
| Quarterly | BBR-BBSW — | ||||||
| Quarterly | |||||||
| CAD | 48,165,000 | 72,608 | (136) | 8/15/21 | 3 month CAD- | 1.61 % — | (134,023) |
| BA-CDOR — | Semiannually | ||||||
| Semiannually | |||||||
| CAD | 5,059,000 | 68,064 | (50) | 8/15/29 | 1.4925% — | 3 month CAD- | 76,560 |
| Semiannually | BA-CDOR — | ||||||
| Semiannually | |||||||
| CAD | 16,094,000 | 207 | (114) | 9/18/24 | 3 month CAD- | 1.638% — | (16,298) |
| BA-CDOR — | Semiannually | ||||||
| Semiannually | |||||||
| CAD | 16,094,000 | 4,560 | (114) | 9/18/24 | 3 month CAD- | 1.63 % — | (21,016) |
| BA-CDOR — | Semiannually | ||||||
| Semiannually | |||||||
| CAD | 2,494,000 | 1,624 | (25) | 10/9/29 | 1.6875% — | 3 month CAD- | 3,404 |
| Semiannually | BA-CDOR — | ||||||
| Semiannually | |||||||
| CAD | 39,000 | 1,094E | 209 | 3/18/30 | 2.10% — | 3 month CAD- | (885) |
| Semiannually | BA-CDOR — | ||||||
| Semiannually | |||||||
| CAD | 81,601,000 | 1,116,171E | (89,885) | 3/18/25 | 3 month CAD- | 2.00% — | 1,026,288 |
| BA-CDOR — | Semiannually | ||||||
| Semiannually | |||||||
| CHF | 7,125,000 | 65,377 | (59) | 8/9/24 | 0.8475% plus | — | (67,329) |
| 6 month CHF- | |||||||
| LIBOR-BBA — | |||||||
| Semiannually | |||||||
| CHF | 3,463,000 | 18,325 | (28) | 9/13/24 | 0.765% plus 6 | — | (17,442) |
| month CHF- | |||||||
| LIBOR-BBA — | |||||||
| Semiannually | |||||||
| CHF | 13,007,000 | 162,223E | 120,672 | 3/18/25 | — | 0.40% plus 6 | (41,551) |
| month CHF- | |||||||
| LIBOR-BBA — | |||||||
| Semiannually | |||||||
| Premier Income Trust 69 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| CHF | 2,678,000 | $83,176E | $45,148 | 3/18/30 | — | 0.10% plus 6 | $(38,027) |
| month CHF- | |||||||
| LIBOR-BBA — | |||||||
| Semiannually | |||||||
| CZK | 215,585,000 | 345,898 | (125) | 3/19/29 | 1.948% — | 6 month CZK- | (432,118) |
| Annually | PRIBOR — | ||||||
| Semiannually | |||||||
| CZK | 508,186,000 | 165,250 | (83) | 8/9/21 | 6 month CZK- | 1.6625% — | (222,046) |
| PRIBOR — | Annually | ||||||
| Semiannually | |||||||
| CZK | 205,903,000 | 217,007 | (72) | 8/9/24 | 6 month CZK- | 1.28 % — | (256,699) |
| PRIBOR — | Annually | ||||||
| Semiannually | |||||||
| EUR | 1,144,400 | 389,727E | (44) | 11/29/58 | 1.484% — | 6 month EUR- | (389,771) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,556,300 | 522,375E | (60) | 2/19/50 | 6 month | 1.354% — | 522,315 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,719,000 | 527,112E | (66) | 3/11/50 | 1.267% — | 6 month EUR- | (527,178) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,739,200 | 501,716E | (66) | 3/12/50 | 1.2115% — | 6 month EUR- | (501,782) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 2,008,000 | 513,825E | (77) | 3/26/50 | 1.113% — | 6 month EUR- | (513,902) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,798,800 | 531,669E | (68) | 11/29/58 | 6 month | 1.343% — | 531,600 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 2,077,000 | 490,712E | (79) | 2/19/50 | 1.051% — | 6 month EUR- | (490,790) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,655,300 | 344,367E | (63) | 6/7/54 | 1.054% — | 6 month EUR- | (344,430) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,510,500 | 283,787E | (58) | 2/19/50 | 0.9035% — | 6 month EUR- | (283,845) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| 70 Premier Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| EUR | 904,900 | $139,224E | $(35) | 2/21/50 | 0.80% — | 6 month EUR- | $(139,258) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 3,288,600 | 80,903E | (125) | 8/8/54 | 0.49% — | 6 month EUR- | (81,028) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 2,023,200 | 134,295E | (76) | 6/6/54 | 6 month | 0.207% — | (134,372) |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 2,735,100 | 87,701E | (102) | 2/19/50 | 0.233% — | 6 month EUR- | 87,598 |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 10,688,000 | 50,176 | (94) | 10/11/24 | — | 0.4047 plus 6 | 50,451 |
| month EUR- | |||||||
| EURIBOR- | |||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 32,494,000 | 931,965E | 303,731 | 3/18/30 | 0.20% — | 6 month EUR- | (628,234) |
| Annually | EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 12,466,000 | 138,821E | 50,306 | 3/18/25 | — | 0.10% plus 6 | (88,515) |
| month EUR- | |||||||
| EURIBOR- | |||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 11,076,900 | 960,146E | (418) | 2/19/50 | 6 month | 0.595% — | 959,728 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 12,495,000 | 127,601E | (155) | 1/27/30 | 6 month | 0.352% — | 127,446 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| GBP | 33,242,000 | 523,680E | (33,983) | 3/18/25 | 6 month GBP- | 0.90% — | 489,697 |
| LIBOR-BBA — | Semiannually | ||||||
| Semiannually | |||||||
| GBP | 3,021,000 | 146,477E | (140,260) | 3/18/30 | 6 month GBP- | 1.10% — | 6,217 |
| LIBOR-BBA — | Semiannually | ||||||
| Semiannually | |||||||
| GBP | 14,531,000 | 78,883E | (106) | 1/10/24 | 6 month GBP- | 0.855% — | 78,777 |
| LIBOR-BBA — | Semiannually | ||||||
| Semiannually | |||||||
| GBP | 14,671,000 | 105,525E | (132) | 1/10/26 | 0.965% — | 6 month GBP- | (105,658) |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| Premier Income Trust 71 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| GBP | 27,377,000 | $105,960E | $(199) | 1/13/24 | 6 month GBP- | 0.795% — | $105,760 |
| LIBOR-BBA — | Semiannually | ||||||
| Semiannually | |||||||
| GBP | 27,798,000 | 171,239E | (251) | 1/15/26 | 0.926% — | 6 month GBP- | (171,491) |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| JPY | 110,098,700 | 89,545E | (32) | 8/29/43 | 0.7495% — | 6 month JPY- | (89,577) |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| JPY | 1,645,000,000 | 112,647E | (168) | 1/16/30 | 6 month JPY- | 0.245% — | 112,479 |
| LIBOR-BBA — | Semiannually | ||||||
| Semiannually | |||||||
| JPY | 845,000,000 | 128,846E | (150) | 1/16/40 | 0.565% — | 6 month JPY- | (128,996) |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| NOK | 133,879,000 | 29,576 | (127) | 7/1/24 | 1.735% — | 6 month NOK- | (156,037) |
| Annually | NIBOR-NIBR — | ||||||
| Semiannually | |||||||
| NOK | 70,225,000 | 71,607 | (109) | 7/1/29 | 6 month NOK- | 1.82% — | 141,647 |
| NIBOR-NIBR — | Annually | ||||||
| Semiannually | |||||||
| NOK | 154,527,000 | 229,154E | 66,130 | 3/18/25 | 1.95% — | 6 month NOK- | (163,024) |
| Annually | NIBOR-NIBR — | ||||||
| Semiannually | |||||||
| NOK | 121,921,000 | 343,244E | 12,285 | 3/18/30 | 2.00% — | 6 month NOK- | (330,960) |
| Annually | NIBOR-NIBR — | ||||||
| Semiannually | |||||||
| NOK | 161,105,000 | 32,281E | (68) | 1/21/22 | 1.805% — | 3 month NOK- | (32,349) |
| Annually | NIBOR-NIBR — | ||||||
| Quarterly | |||||||
| NOK | 326,422,000 | 66,896E | (136) | 1/25/22 | 1.8075% — | 3 month NOK- | (67,032) |
| Annually | NIBOR-NIBR — | ||||||
| Quarterly | |||||||
| NOK | 195,299,000 | 24,375E | (81) | 1/28/22 | 1.73% — | 3 month NOK- | (24,457) |
| Annually | NIBOR-NIBR — | ||||||
| Quarterly | |||||||
| NZD | 32,992,000 | 7,635 | (81) | 8/7/21 | 3 month NZD- | 1.15 % — | 69,467 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| NZD | 11,700,000 | 69,889 | (62) | 12/13/24 | 3 month NZD- | 1.3625% — | 71,022 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| NZD | 11,700,000 | 79,645 | (62) | 12/17/24 | 3 month NZD- | 1.39% — | 80,659 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| NZD | 31,019,000 | 216,447E | (59,538) | 3/18/25 | 1.40% — | 3 month NZD- | (275,985) |
| Semiannually | BBR-FRA — | ||||||
| Quarterly | |||||||
| 72 Premier Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| NZD | 16,645,000 | $317,820E | $(47,045) | 3/18/30 | 1.75% — | 3 month NZD- | $(364,864) |
| Semiannually | BBR-FRA — | ||||||
| Quarterly | |||||||
| NZD | 11,700,000 | 68,747 | (62) | 12/18/24 | 3 month NZD- | 1.36% — | 69,401 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| NZD | 27,728,000 | 1,346E | (67) | 2/4/22 | 3 month NZD- | 1.0475% — | 1,279 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| NZD | 27,518,000 | 28E | (67) | 2/4/22 | 3 month NZD- | 1.04% — | (39) |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| SEK | 358,234,000 | 229,597E | 2,405 | 3/18/25 | 0.35% — | 3 month SEK- | (227,191) |
| Annually | STIBOR-SIDE — | ||||||
| Quarterly | |||||||
| SEK | 101,941,000 | 220,636E | 33,977 | 3/18/30 | 0.65% — | 3 month SEK- | (186,660) |
| Annually | STIBOR-SIDE — | ||||||
| Quarterly | |||||||
| SEK | 164,965,000 | 12,149E | (65) | 1/21/22 | 3 month SEK- | 0.24% — | 12,084 |
| STIBOR-SIDE — | Annually | ||||||
| Quarterly | |||||||
| SEK | 329,930,000 | 26,800E | (130) | 1/25/22 | 3 month SEK- | 0.2475% — | 26,670 |
| STIBOR-SIDE — | Annually | ||||||
| Quarterly | |||||||
| SEK | 201,216,000 | 12,144E | (79) | 1/28/22 | 3 month SEK- | 0.2275% — | 12,065 |
| STIBOR-SIDE — | Annually | ||||||
| Quarterly | |||||||
| Total | $(1,203,322) | $(6,880,689) | |||||
EExtended effective date.
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Barclays Bank PLC | ||||||
| $983,427 | $985,165 | $— | 1/12/40 | 4.00% (1 month | Synthetic MBX | $2,776 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 166,746 | 167,040 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | 471 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 117,793 | 118,001 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | 332 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Premier Income Trust 73 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Barclays Bank PLCcont. | ||||||
| $766,639 | $768,646 | $— | 1/12/40 | 4.50% (1 month | Synthetic MBX | $2,985 |
| USD-LIBOR) — | Index 4.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 12,527,038 | 12,571,803 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 63,289 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 1,477,104 | 1,480,696 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX | 5,780 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 196,339 | 196,907 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 863 |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 441,519 | 442,557 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX | (1,861) |
| USD-LIBOR — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 7,564,124 | 7,592,374 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (43,334) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 129,037 | 124,254 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (3,525) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 82,346 | 79,482 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (1,974) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 427,842 | 408,894 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 14,228 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 306,013 | 300,248 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 1,994 |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 113,196 | 111,486 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (372) |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 86,416 | 85,111 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (284) |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 74 Premier Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Barclays Bank PLCcont. | ||||||
| $68,142 | $67,113 | $— | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | $(224) |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 83,090 | 82,575 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 451 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 171,296 | 170,514 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 1,203 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 24,580 | 24,468 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 173 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 11,571 | 11,519 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 81 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Citibank, N.A. | ||||||
| 1,677,635 | 1,683,630 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 8,476 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 737,320 | 739,955 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 3,725 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 256,259 | 257,174 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 1,295 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Credit Suisse International | ||||||
| 559,212 | 561,210 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 2,825 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 192,929 | 190,015 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (634) |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 556,351 | 558,429 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (3,187) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Premier Income Trust 75 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Credit Suisse Internationalcont. | ||||||
| $204,775 | $192,821 | $— | 1/12/45 | 3.50% (1 month | Synthetic TRS | $(9,828) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 151,884 | 146,254 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (4,149) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 76,492 | 73,231 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (2,494) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 41,855 | 40,303 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (1,143) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 23,943 | 23,056 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (654) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 8,718 | 8,346 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (284) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 572,754 | 546,766 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (19,639) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 205,385 | 196,066 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (7,042) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 109,950 | 105,081 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (3,656) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 8,812 | 8,422 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (293) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 382,980 | 366,019 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 12,736 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 187,350 | 183,821 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 1,221 |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 76 Premier Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Credit Suisse Internationalcont. | ||||||
| $205,630 | $201,756 | $— | 1/12/41 | (5.00%) 1 month | Synthetic TRS | $1,340 |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 180,661 | 177,932 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (593) |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| Deutsche Bank AG | ||||||
| 556,351 | 558,429 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (3,187) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Goldman Sachs International | ||||||
| 22,838 | 22,924 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (131) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 60,920 | 61,148 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (349) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 132,384 | 132,878 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (758) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 248,411 | 249,339 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1,423) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 298,065 | 299,178 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1,707) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 352,393 | 353,709 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (2,019) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 482,774 | 484,577 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (2,765) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 286,469 | 277,105 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS | 6,666 |
| USD-LIBOR — | Index 3.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Premier Income Trust 77 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Goldman Sachs Internationalcont. | ||||||
| $369,664 | $353,905 | $— | 1/12/44 | 3.50% (1 month | Synthetic TRS | $(12,055) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 292,821 | 280,337 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (9,549) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 154,531 | 147,943 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (5,039) |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 260,024 | 250,385 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 7,103 |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 713,941 | 681,547 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (24,480) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 465,052 | 448,876 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (11,147) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 402,462 | 388,463 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (9,647) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 204,314 | 197,208 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (4,897) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 204,314 | 197,208 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (4,897) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 203,808 | 194,560 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (6,988) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 122,385 | 119,006 | — | 1/12/40 | 4.00% (1 month | Synthetic TRS | (2,020) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 675,466 | 645,551 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 22,463 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 78 Premier Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Goldman Sachs Internationalcont. | ||||||
| $293,309 | $287,784 | $— | 1/12/41 | (5.00%) 1 month | Synthetic TRS | $1,912 |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 121,261 | 120,510 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 658 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 117,133 | 116,408 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 636 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 58,570 | 58,207 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 318 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 58,215 | 57,854 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 316 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 8,755 | 8,701 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 48 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 53,890 | 53,644 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 379 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 3,877 | 3,859 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 27 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| JPMorgan Chase Bank N.A. | ||||||
| 591,580 | 565,380 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (19,673) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 343,240 | 328,039 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (11,414) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 318,607 | 304,497 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (10,595) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Premier Income Trust 79 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| JPMorgan Chase Bank N.A.cont. | ||||||
| $114,099 | $109,046 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS | $(3,794) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 293,309 | 287,784 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 1,912 |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| JPMorgan Securities LLC | ||||||
| 417,826 | 411,515 | — | 1/12/41 | (5.00%) 1 month | Synthetic MBX Index | 1,373 |
| USD-LIBOR — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 86,695 | 83,481 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 2,368 |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 902,225 | 863,761 | — | 1/12/44 | (3.50%) 1 month | Synthetic TRS | 29,422 |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 341,331 | 326,971 | — | 1/12/44 | 4.00% (1 month | Synthetic TRS | (10,637) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 1,358,489 | 1,311,237 | — | 1/12/42 | (4.00%) 1 month | Synthetic TRS | 32,562 |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Upfront premium received | — | Unrealized appreciation | 234,407 | |||
| Upfront premium (paid) | — | Unrealized (depreciation) | (264,341) | |||
| Total | $— | Total | $(29,934) | |||
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited) | |||||||
| Upfront | |||||||
| premium | Termina- | Payments | Total return | Unrealized | |||
| received | tion | received (paid) | received by | appreciation/ | |||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) | |
| EUR | 11,045,000 | $1,267,696 | $(264) | 8/15/37 | 1.7138% — At | Eurostat Eurozone | $1,267,429 |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 4,375,000 | 513,677 | — | 7/15/37 | 1.71% — At | Eurostat Eurozone | 513,677 |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| 80 Premier Income Trust |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termina- | Payments | Total return | Unrealized | |||
| received | tion | received (paid) | received by | appreciation/ | |||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) | |
| EUR | 4,375,000 | $165,490 | $ — | 7/15/27 | (1.40%) — At | Eurostat Eurozone | $(165,490) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 14,401,000 | 382,404 | (169) | 9/15/23 | (1.4375%) — At | Eurostat Eurozone | (382,573) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 14,401,000 | 385,630 | (169) | 9/15/23 | (1.44125%) — At | Eurostat Eurozone | (385,799) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 14,401,000 | 386,700 | (170) | 9/15/23 | (1.4425%) — At | Eurostat Eurozone | (386,870) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 14,401,000 | 387,786 | (170) | 9/15/23 | (1.44375%) — At | Eurostat Eurozone | (387,956) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 11,045,000 | 424,823 | (142) | 8/15/27 | (1.4275%) — At | Eurostat Eurozone | (424,966) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| GBP | 8,846,000 | 634,940 | (189) | 12/15/28 | 3.665% — At | GBP Non-revised UK | 634,751 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 6,900,000 | 208,242 | (160) | 3/15/28 | 3.4025% — At | GBP Non-revised UK | 208,083 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 9,908,000 | 193,047 | (234) | 3/15/28 | 3.34% — At | GBP Non-revised UK | 192,814 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 9,486,000 | 146,394 | (124) | 11/15/24 | 3.385% — At | GBP Non-revised UK | 146,271 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 5,308,000 | 121,210 | (124) | 2/15/28 | 3.34% — At | GBP Non-revised UK | 121,086 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 4,743,000 | 71,801 | (62) | 11/15/24 | 3.381% — At | GBP Non-revised UK | 71,739 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 2,477,000 | 68,384 | (58) | 3/15/28 | 3.3875% — At | GBP Non-revised UK | 68,327 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 4,743,000 | 62,468 | — | 12/15/24 | 3.42% — At | GBP Non-revised UK | 62,468 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| Premier Income Trust 81 |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termina- | Payments | Total return | Unrealized | |||
| received | tion | received (paid) | received by | appreciation/ | |||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) | |
| GBP | 2,661,000 | $847,207 | $(140) | 7/15/49 | (3.4425%) — At | GBP Non-revised UK | $(847,347) |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| $6,825,000 | 2,976 | (69) | 11/29/24 | (1.703%) — At | USA Non Revised | 2,907 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 13,649,000 | 464 | (138) | 11/21/24 | (1.71%) — At | USA Non Revised | (602) | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 6,825,000 | 22,195 | (69) | 12/10/24 | (1.7625%) — At | USA Non Revised | (22,264) | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| Total | $(2,451) | $285,685 | |||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited) | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Bank of America N.A. | |||||||
| CMBX NA BBB–.6 | BBB–/P | $9,980 | $146,000 | $9,110 | 5/11/63 | 300 bp — | $954 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 19,586 | 325,000 | 20,280 | 5/11/63 | 300 bp — | (505) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 40,127 | 650,000 | 40,560 | 5/11/63 | 300 bp — | (53) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 38,247 | 671,000 | 41,870 | 5/11/63 | 300 bp — | (3,232) |
| Index | Monthly | ||||||
| Citigroup Global Markets, Inc. | |||||||
| CMBX NA BB.6 | BB–/P | 1,470 | 7,000 | 979 | 5/11/63 | 500 bp — | 498 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 19,866 | 163,000 | 22,787 | 5/11/63 | 500 bp — | (2,763) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 50,350 | 265,000 | 37,047 | 5/11/63 | 500 bp — | 13,561 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 82,680 | 416,000 | 58,157 | 5/11/63 | 500 bp — | 24,928 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 166,139 | 675,000 | 94,365 | 5/11/63 | 500 bp — | 72,430 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 149,573 | 924,000 | 129,175 | 5/11/63 | 500 bp — | 21,296 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 175,851 | 928,000 | 129,734 | 5/11/63 | 500 bp — | 47,018 |
| Index | Monthly | ||||||
| 82 Premier Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc.cont. | |||||||
| CMBX NA BB.7 | BB/P | $11,367 | $125,000 | $6,813 | 1/17/47 | 500 bp — | $4,676 |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB/P | 14,637 | 287,000 | 15,642 | 1/17/47 | 500 bp — | (885) |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB/P | 41,933 | 302,000 | 16,459 | 1/17/47 | 500 bp — | 25,768 |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB/P | 22,139 | 587,000 | 31,992 | 1/17/47 | 500 bp — | (9,282) |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB/P | 81,233 | 632,000 | 34,444 | 1/17/47 | 500 bp — | 47,403 |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB/P | 105,809 | 876,000 | 47,742 | 1/17/47 | 500 bp — | 58,918 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 3,002 | 39,000 | 2,434 | 5/11/63 | 300 bp — | 591 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 3,617 | 40,000 | 2,496 | 5/11/63 | 300 bp — | 1,145 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 4,274 | 50,000 | 3,120 | 5/11/63 | 300 bp — | 1,183 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 5,411 | 60,000 | 3,744 | 5/11/63 | 300 bp — | 1,702 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 5,419 | 61,000 | 3,806 | 5/11/63 | 300 bp — | 1,648 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 7,904 | 89,000 | 5,554 | 5/11/63 | 300 bp — | 2,402 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 10,390 | 172,000 | 10,733 | 5/11/63 | 300 bp — | (243) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 18,584 | 191,000 | 11,918 | 5/11/63 | 300 bp — | 6,777 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 9,608 | 194,000 | 12,106 | 5/11/63 | 300 bp — | (2,385) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 9,700 | 194,000 | 12,106 | 5/11/63 | 300 bp — | (2,292) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 17,399 | 203,000 | 12,667 | 5/11/63 | 300 bp — | 4,850 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 19,078 | 210,000 | 13,104 | 5/11/63 | 300 bp — | 6,097 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 17,628 | 222,000 | 13,853 | 5/11/63 | 300 bp — | 3,905 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 29,875 | 292,000 | 18,221 | 5/11/63 | 300 bp — | 11,824 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 27,693 | 304,000 | 18,970 | 5/11/63 | 300 bp — | 8,901 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 27,597 | 323,000 | 20,155 | 5/11/63 | 300 bp — | 7,631 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 36,939 | 363,000 | 22,651 | 5/11/63 | 300 bp — | 14,500 |
| Index | Monthly | ||||||
| Premier Income Trust 83 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc.cont. | |||||||
| CMBX NA BBB–.6 | BBB–/P | $72,785 | $798,000 | $49,795 | 5/11/63 | 300 bp — | $23,456 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 74,081 | 810,000 | 50,544 | 5/11/63 | 300 bp — | 24,010 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 118,399 | 1,266,000 | 78,998 | 5/11/63 | 300 bp — | 40,139 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 116,159 | 1,283,000 | 80,059 | 5/11/63 | 300 bp — | 36,848 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 69,343 | 1,362,000 | 84,989 | 5/11/63 | 300 bp — | (14,851) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 399,658 | 4,221,000 | 263,390 | 5/11/63 | 300 bp — | 138,730 |
| Index | Monthly | ||||||
| Credit Suisse International | |||||||
| CMBX NA BB.7 | BB/P | 63,938 | 478,000 | 26,051 | 1/17/47 | 500 bp — | 38,351 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 108,504 | 982,000 | 61,277 | 5/11/63 | 300 bp — | 47,800 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 251,482 | 2,276,000 | 142,022 | 5/11/63 | 300 bp — | 110,787 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 2,334,309 | 24,843,000 | 1,550,203 | 5/11/63 | 300 bp — | 798,598 |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BBB–/P | 27,745 | 351,000 | 1,264 | 1/17/47 | 300 bp — | 26,686 |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BBB–/P | 143,170 | 2,180,000 | 7,848 | 1/17/47 | 300 bp — | 136,594 |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BBB–/P | 551,479 | 7,461,000 | 26,860 | 1/17/47 | 300 bp — | 528,971 |
| Index | Monthly | ||||||
| Goldman Sachs International | |||||||
| CMBX NA BB.6 | BB–/P | 25,015 | 209,000 | 29,218 | 5/11/63 | 500 bp — | (4,000) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 39,738 | 340,000 | 47,532 | 5/11/63 | 500 bp — | (7,464) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 78,625 | 680,000 | 95,064 | 5/11/63 | 500 bp — | (15,778) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 657 | 13,000 | 811 | 5/11/63 | 300 bp — | (147) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 14,630 | 88,000 | 5,491 | 5/11/63 | 300 bp — | 9,190 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 20,235 | 183,000 | 11,419 | 5/11/63 | 300 bp — | 8,923 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 25,594 | 188,000 | 11,731 | 5/11/63 | 300 bp — | 13,972 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 9,360 | 192,000 | 11,981 | 5/11/63 | 300 bp — | (2,509) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 21,361 | 203,000 | 12,667 | 5/11/63 | 300 bp — | 8,813 |
| Index | Monthly | ||||||
| 84 Premier Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs Internationalcont. | |||||||
| CMBX NA BBB–.6 | BBB–/P | $17,848 | $206,000 | $12,854 | 5/11/63 | 300 bp — | $5,114 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 24,541 | 223,000 | 13,915 | 5/11/63 | 300 bp — | 10,756 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 17,962 | 227,000 | 14,165 | 5/11/63 | 300 bp — | 3,930 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 27,421 | 245,000 | 15,288 | 5/11/63 | 300 bp — | 12,276 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 29,178 | 261,000 | 16,286 | 5/11/63 | 300 bp — | 13,044 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 13,938 | 269,000 | 16,786 | 5/11/63 | 300 bp — | (2,691) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 24,979 | 296,000 | 18,470 | 5/11/63 | 300 bp — | 6,681 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 39,813 | 327,000 | 20,405 | 5/11/63 | 300 bp — | 19,599 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 18,186 | 355,000 | 22,152 | 5/11/63 | 300 bp — | (3,759) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 58,232 | 389,000 | 24,274 | 5/11/63 | 300 bp — | 34,185 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 57,641 | 392,000 | 24,461 | 5/11/63 | 300 bp — | 33,409 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 44,904 | 403,000 | 25,147 | 5/11/63 | 300 bp — | 19,992 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 34,559 | 417,000 | 26,021 | 5/11/63 | 300 bp — | 8,782 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 45,228 | 418,000 | 26,083 | 5/11/63 | 300 bp — | 19,389 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 45,403 | 418,000 | 26,083 | 5/11/63 | 300 bp — | 19,564 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 35,949 | 426,000 | 26,582 | 5/11/63 | 300 bp — | 9,615 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 23,107 | 443,000 | 27,643 | 5/11/63 | 300 bp — | (4,278) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 51,553 | 462,000 | 28,829 | 5/11/63 | 300 bp — | 22,994 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 51,553 | 462,000 | 28,829 | 5/11/63 | 300 bp — | 22,994 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 73,722 | 531,000 | 33,134 | 5/11/63 | 300 bp — | 40,897 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 48,875 | 566,000 | 35,318 | 5/11/63 | 300 bp — | 13,886 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 86,808 | 576,000 | 35,942 | 5/11/63 | 300 bp — | 51,202 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 59,933 | 597,000 | 37,253 | 5/11/63 | 300 bp — | 23,029 |
| Index | Monthly | ||||||
| Premier Income Trust 85 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs Internationalcont. | |||||||
| CMBX NA BBB–.6 | BBB–/P | $31,646 | $638,000 | $39,811 | 5/11/63 | 300 bp — | $(7,793) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 76,544 | 707,000 | 44,117 | 5/11/63 | 300 bp — | 32,839 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 69,759 | 928,000 | 57,907 | 5/11/63 | 300 bp — | 12,393 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 134,739 | 961,000 | 59,966 | 5/11/63 | 300 bp — | 75,333 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 118,398 | 1,074,000 | 67,018 | 5/11/63 | 300 bp — | 52,007 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 124,607 | 1,193,000 | 74,443 | 5/11/63 | 300 bp — | 50,860 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 184,707 | 1,551,000 | 96,782 | 5/11/63 | 300 bp — | 88,829 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 93,617 | 1,935,000 | 120,744 | 5/11/63 | 300 bp — | (25,999) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 320,704 | 2,144,000 | 133,786 | 5/11/63 | 300 bp — | 188,169 |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BBB–/P | 46,909 | 673,000 | 2,423 | 1/17/47 | 300 bp — | 44,878 |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BBB–/P | 107,990 | 1,461,000 | 5,260 | 1/17/47 | 300 bp — | 103,582 |
| Index | Monthly | ||||||
| JPMorgan Securities LLC | |||||||
| CMBX NA BB.6 | BB–/P | 79,440 | 375,000 | 52,425 | 5/11/63 | 500 bp — | 27,379 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 86,142 | 407,000 | 56,899 | 5/11/63 | 500 bp — | 29,639 |
| Index | Monthly | ||||||
| CMBX NA BB.10 | BB–/P | 50,149 | 625,000 | 40,938 | 5/11/63 | 500 bp — | 9,819 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 51,792 | 346,000 | 48,371 | 5/11/63 | 500 bp — | 3,757 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 109,255 | 519,000 | 72,556 | 5/11/63 | 500 bp — | 37,203 |
| Index | Monthly | ||||||
| CMBX NA BB.7 | BB/P | 26,181 | 504,000 | 27,468 | 1/17/47 | 500 bp — | (1,077) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 3,292 | 37,000 | 2,309 | 5/11/63 | 300 bp — | 1,005 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 4,225 | 42,000 | 2,621 | 5/11/63 | 300 bp — | 1,628 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 6,613 | 67,000 | 4,181 | 5/11/63 | 300 bp — | 2,471 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 7,147 | 115,000 | 7,176 | 5/11/63 | 300 bp — | 38 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 8,709 | 138,000 | 8,611 | 5/11/63 | 300 bp — | 178 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 16,167 | 162,000 | 10,109 | 5/11/63 | 300 bp — | 6,153 |
| Index | Monthly | ||||||
| 86 Premier Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| JPMorgan Securities LLCcont. | |||||||
| CMBX NA BBB–.6 | BBB–/P | $22,052 | $221,000 | $13,790 | 5/11/63 | 300 bp — | $8,391 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 27,693 | 304,000 | 18,970 | 5/11/63 | 300 bp — | 8,901 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 30,010 | 312,000 | 19,469 | 5/11/63 | 300 bp — | 10,723 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 5,480,289 | 41,425,000 | 2,584,920 | 5/11/63 | 300 bp — | 2,919,543 |
| Index | Monthly | ||||||
| Merrill Lynch International | |||||||
| CMBX NA BB.6 | BB–/P | 75,142 | 672,000 | 93,946 | 5/11/63 | 500 bp — | (18,150) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 35,738 | 395,000 | 24,648 | 5/11/63 | 300 bp — | 11,320 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 35,163 | 461,000 | 28,766 | 5/11/63 | 300 bp — | 6,665 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 329,304 | 3,688,000 | 230,131 | 5/11/63 | 300 bp — | 101,324 |
| Index | Monthly | ||||||
| Morgan Stanley & Co. International PLC | |||||||
| CMBX NA BBB–.6 | BBB–/P | 32,411 | 230,000 | 14,352 | 5/11/63 | 300 bp — | 18,193 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 86,440 | 584,000 | 36,442 | 5/11/63 | 300 bp — | 50,339 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 86,313 | 584,000 | 36,442 | 5/11/63 | 300 bp — | 50,212 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 85,231 | 585,000 | 36,504 | 5/11/63 | 300 bp — | 49,068 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 172,880 | 1,168,000 | 72,883 | 5/11/63 | 300 bp — | 100,678 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 173,042 | 1,168,000 | 72,883 | 5/11/63 | 300 bp — | 100,840 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 171,233 | 1,171,000 | 73,070 | 5/11/63 | 300 bp — | 98,846 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 208,733 | 1,509,000 | 94,162 | 5/11/63 | 300 bp — | 115,451 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 258,148 | 1,753,000 | 109,387 | 5/11/63 | 300 bp — | 149,783 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 255,855 | 1,756,000 | 109,574 | 5/11/63 | 300 bp — | 147,305 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 344,982 | 2,337,000 | 145,829 | 5/11/63 | 300 bp — | 200,516 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A/P | 61 | 6,000 | 56 | 5/11/63 | 200 bp — | 119 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 8,315 | 46,000 | 6,431 | 5/11/63 | 500 bp — | 1,928 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 22,611 | 186,000 | 26,003 | 5/11/63 | 500 bp — | (3,211) |
| Index | Monthly | ||||||
| Premier Income Trust 87 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | |||||||
| CMBX NA BB.6 | BB–/P | $101,667 | $414,000 | $57,877 | 5/11/63 | 500 bp — | $44,192 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | BB–/P | 204,028 | 828,000 | 115,754 | 5/11/63 | 500 bp — | 89,079 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 620 | 5,000 | 312 | 5/11/63 | 300 bp — | 311 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 1,175 | 11,000 | 686 | 5/11/63 | 300 bp — | 496 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 2,117 | 20,000 | 1,248 | 5/11/63 | 300 bp — | 880 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 3,029 | 25,000 | 1,560 | 5/11/63 | 300 bp — | 1,484 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 4,605 | 38,000 | 2,371 | 5/11/63 | 300 bp — | 2,256 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 5,923 | 50,000 | 3,120 | 5/11/63 | 300 bp — | 2,832 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 12,211 | 94,000 | 5,866 | 5/11/63 | 300 bp — | 6,400 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 9,936 | 104,000 | 6,490 | 5/11/63 | 300 bp — | 3,507 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 13,353 | 109,000 | 6,802 | 5/11/63 | 300 bp — | 6,615 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 17,740 | 118,000 | 7,363 | 5/11/63 | 300 bp — | 10,445 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 6,993 | 119,000 | 7,426 | 5/11/63 | 300 bp — | (363) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 18,054 | 141,000 | 8,798 | 5/11/63 | 300 bp — | 9,338 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 18,684 | 164,000 | 10,234 | 5/11/63 | 300 bp — | 8,546 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 19,950 | 170,000 | 10,608 | 5/11/63 | 300 bp — | 9,442 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 19,918 | 204,000 | 12,730 | 5/11/63 | 300 bp — | 7,307 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 24,251 | 206,000 | 12,854 | 5/11/63 | 300 bp — | 11,517 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 25,446 | 215,000 | 13,416 | 5/11/63 | 300 bp — | 12,156 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 13,553 | 216,000 | 13,478 | 5/11/63 | 300 bp — | 200 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 24,997 | 218,000 | 13,603 | 5/11/63 | 300 bp — | 11,521 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 24,104 | 270,000 | 16,848 | 5/11/63 | 300 bp — | 7,413 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 49,325 | 291,000 | 18,158 | 5/11/63 | 300 bp — | 31,336 |
| Index | Monthly | ||||||
| 88 Premier Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/20 (Unaudited)cont. | |||||||
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | |||||||
| CMBX NA BBB–.6 | BBB–/P | $27,490 | $323,000 | $20,155 | 5/11/63 | 300 bp — | $7,523 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 25,251 | 330,000 | 20,592 | 5/11/63 | 300 bp — | 4,852 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 48,789 | 348,000 | 21,715 | 5/11/63 | 300 bp — | 27,277 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 64,507 | 433,000 | 27,019 | 5/11/63 | 300 bp — | 37,740 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 41,997 | 449,000 | 28,018 | 5/11/63 | 300 bp — | 14,241 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 61,333 | 542,000 | 33,821 | 5/11/63 | 300 bp — | 27,828 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 76,220 | 629,000 | 39,250 | 5/11/63 | 300 bp — | 37,337 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BBB–/P | 131,387 | 1,239,000 | 77,314 | 5/11/63 | 300 bp — | 54,796 |
| Index | Monthly | ||||||
| Upfront premium received | 17,581,736 | Unrealized appreciation | 8,180,984 | ||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (133,710) | ||||
| Total | $17,581,736 | Total | $8,047,274 | ||||
*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 January 31, 2020.Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/20 (Unaudited) | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. | ||||||
| CMBX NA A.6 Index | $(56) | $6,000 | $56 | 5/11/63 | (200 bp) — | $(114) |
| Monthly | ||||||
| CMBX NA BB.10 Index | (30,474) | 292,000 | 19,126 | 11/17/59 | (500 bp) — | (11,632) |
| Monthly | ||||||
| CMBX NA BB.10 Index | (26,425) | 241,000 | 15,786 | 11/17/59 | (500 bp) — | (10,874) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (113,495) | 876,000 | 46,165 | 11/18/54 | (500 bp) — | (68,181) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (28,279) | 300,000 | 15,810 | 11/18/54 | (500 bp) — | (12,760) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (20,651) | 286,000 | 15,072 | 11/18/54 | (500 bp) — | (5,857) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (9,895) | 194,000 | 10,224 | 11/18/54 | (500 bp) — | 140 |
| Monthly | ||||||
| Premier Income Trust 89 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc.cont. | ||||||
| CMBX NA BB.11 Index | $(10,064) | $194,000 | $10,224 | 11/18/54 | (500 bp) — | $(29) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (10,655) | 155,000 | 8,169 | 11/18/54 | (500 bp) — | (2,638) |
| Monthly | ||||||
| CMBX NA BB.6 Index | (17,710) | 154,000 | 21,529 | 5/11/63 | (500 bp) — | 3,669 |
| Monthly | ||||||
| CMBX NA BB.8 Index | (17,507) | 141,000 | 16,709 | 10/17/57 | (500 bp) — | (936) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (451,690) | 4,376,000 | 189,043 | 9/17/58 | (500 bp) — | (266,901) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (39,744) | 616,000 | 26,611 | 9/17/58 | (500 bp) — | (13,732) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (23,664) | 587,000 | 25,358 | 9/17/58 | (500 bp) — | 1,124 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (16,453) | 255,000 | 11,016 | 9/17/58 | (500 bp) — | (5,684) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (7,301) | 186,000 | 8,035 | 9/17/58 | (500 bp) — | 657 |
| Monthly | ||||||
| Credit Suisse International | ||||||
| CMBX NA BB.10 Index | (80,855) | 606,000 | 39,693 | 11/17/59 | (500 bp) — | (41,751) |
| Monthly | ||||||
| CMBX NA BB.10 Index | (71,945) | 605,000 | 39,628 | 11/17/59 | (500 bp) — | (32,906) |
| Monthly | ||||||
| CMBX NA BB.10 Index | (39,651) | 319,000 | 20,895 | 11/17/59 | (500 bp) — | (19,067) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (21,534) | 1,220,000 | 170,556 | 5/11/63 | (500 bp) — | 147,836 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (54,048) | 293,000 | 15,969 | 1/17/47 | (500 bp) — | (38,365) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (286,506) | 2,858,000 | 123,466 | 9/17/58 | (500 bp) — | (165,819) |
| Monthly | ||||||
| Goldman Sachs International | ||||||
| CMBX NA BB.6 Index | (13,197) | 129,000 | 18,034 | 5/11/63 | (500 bp) — | 4,712 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (71,729) | 474,000 | 25,833 | 1/17/47 | (500 bp) — | (46,357) |
| Monthly | ||||||
| CMBX NA BB.6 Index | (27,101) | 219,000 | 30,616 | 5/11/63 | (500 bp) — | 3,302 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (84,052) | 513,000 | 27,959 | 1/17/47 | (500 bp) — | (56,592) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (57,666) | 284,000 | 15,478 | 1/17/47 | (500 bp) — | (42,464) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (31,785) | 188,000 | 10,246 | 1/17/47 | (500 bp) — | (21,722) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (31,765) | 174,000 | 9,483 | 1/17/47 | (500 bp) — | (22,451) |
| Monthly | ||||||
| 90 Premier Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs Internationalcont. | ||||||
| CMBX NA BB.9 Index | $(5,864) | $151,000 | $6,523 | 9/17/58 | (500 bp) — | $575 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (18,626) | 117,000 | 5,054 | 9/17/58 | (500 bp) — | (13,685) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (8,847) | 56,000 | 2,419 | 9/17/58 | (500 bp) — | (6,482) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (8,945) | 56,000 | 2,419 | 9/17/58 | (500 bp) — | (6,580) |
| Monthly | ||||||
| JPMorgan Securities LLC | ||||||
| CMBX NA BB.11 Index | (29,791) | 437,000 | 23,030 | 11/18/54 | (500 bp) — | (7,186) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (19,838) | 291,000 | 15,336 | 11/18/54 | (500 bp) — | (4,785) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (9,466) | 187,000 | 9,855 | 11/18/54 | (500 bp) — | 207 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (56,992) | 625,000 | 38,813 | 8/17/61 | (500 bp) — | (18,787) |
| Monthly | ||||||
| CMBX NA BB.6 Index | (84,642) | 602,000 | 84,160 | 5/11/63 | (500 bp) — | (1,068) |
| Monthly | ||||||
| CMBX NA BB.6 Index | (863) | 6,000 | 839 | 5/11/63 | (500 bp) — | (30) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (532,899) | 4,211,000 | 229,500 | 1/17/47 | (500 bp) — | (307,489) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (18,424) | 435,000 | 18,792 | 9/17/58 | (500 bp) — | (55) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (20,526) | 356,000 | 15,379 | 9/17/58 | (500 bp) — | (5,493) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (39,347) | 278,000 | 12,010 | 9/17/58 | (500 bp) — | (27,608) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (26,674) | 169,000 | 7,301 | 9/17/58 | (500 bp) — | (19,538) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (19,207) | 136,000 | 5,875 | 9/17/58 | (500 bp) — | (13,464) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (13,261) | 85,000 | 3,672 | 9/17/58 | (500 bp) — | (9,672) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (1,840) | 12,000 | 518 | 9/17/58 | (500 bp) — | (1,333) |
| Monthly | ||||||
| CMBX NA BBB–.6 Index | (38,446) | 620,000 | 38,688 | 5/11/63 | (300 bp) — | 35 |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (138,115) | 3,640,000 | 13,104 | 1/17/47 | (300 bp) — | (127,134) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (35,762) | 756,000 | 2,722 | 1/17/47 | (300 bp) — | (33,481) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (11,036) | 304,000 | 1,094 | 1/17/47 | (300 bp) — | (10,118) |
| Monthly | ||||||
| Premier Income Trust 91 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Merrill Lynch International | ||||||
| CMBX NA BB.10 Index | $(33,229) | $584,000 | $38,252 | 11/17/59 | (500 bp) — | $4,455 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (29,644) | 553,000 | 29,143 | 11/18/54 | (500 bp) — | (1,039) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (130,818) | 3,358,000 | 145,066 | 9/17/58 | (500 bp) — | 10,983 |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (75,310) | 919,000 | 3,308 | 1/17/47 | (300 bp) — | (72,538) |
| Monthly | ||||||
| Morgan Stanley & Co. International PLC | ||||||
| CMBX NA BBB–.7 Index | (34,235) | 336,000 | 1,210 | 1/17/47 | (300 bp) — | (33,221) |
| Monthly | ||||||
| CMBX NA BB.10 Index | (30,624) | 292,000 | 19,126 | 11/17/59 | (500 bp) — | (11,782) |
| Monthly | ||||||
| CMBX NA BB.11 Index | (5,908) | 62,000 | 3,267 | 11/18/54 | (500 bp) — | (2,701) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (23,594) | 330,000 | 20,493 | 8/17/61 | (500 bp) — | (3,422) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (16,575) | 227,000 | 14,097 | 8/17/61 | (500 bp) — | (2,699) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (5,718) | 70,000 | 4,347 | 9/17/58 | (500 bp) — | (1,439) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (75,213) | 374,000 | 20,383 | 1/17/47 | (500 bp) — | (55,194) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (57,259) | 306,000 | 16,677 | 1/17/47 | (500 bp) — | (40,880) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (36,252) | 188,000 | 10,246 | 1/17/47 | (500 bp) — | (26,189) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (8,476) | 42,000 | 2,289 | 1/17/47 | (500 bp) — | (6,228) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (17,813) | 293,000 | 12,658 | 9/17/58 | (500 bp) — | (5,441) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (18,021) | 293,000 | 12,658 | 9/17/58 | (500 bp) — | (5,648) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (11,738) | 292,000 | 12,614 | 9/17/58 | (500 bp) — | 795 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (16,927) | 275,000 | 11,880 | 9/17/58 | (500 bp) — | (5,314) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (19,384) | 258,000 | 11,146 | 9/17/58 | (500 bp) — | (8,489) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (11,499) | 232,000 | 10,022 | 9/17/58 | (500 bp) — | (1,702) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (29,533) | 205,000 | 8,856 | 9/17/58 | (500 bp) — | (20,876) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (10,746) | 199,000 | 8,597 | 9/17/58 | (500 bp) — | (2,342) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (22,495) | 169,000 | 7,301 | 9/17/58 | (500 bp) — | (15,359) |
| Monthly | ||||||
| 92 Premier Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/20 (Unaudited)cont. | ||||||
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLCcont. | ||||||
| CMBX NA BB.9 Index | $(22,550) | $166,000 | $7,171 | 9/17/58 | (500 bp) — | $(15,540) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (22,012) | 161,000 | 6,955 | 9/17/58 | (500 bp) — | (15,214) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (24,292) | 161,000 | 6,955 | 9/17/58 | (500 bp) — | (17,494) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (17,446) | 116,000 | 5,011 | 9/17/58 | (500 bp) — | (12,547) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (9,056) | 103,000 | 4,450 | 9/17/58 | (500 bp) — | (4,706) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (15,719) | 101,000 | 4,363 | 9/17/58 | (500 bp) — | (11,454) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (8,125) | 95,000 | 4,104 | 9/17/58 | (500 bp) — | (4,113) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (11,806) | 78,000 | 3,370 | 9/17/58 | (500 bp) — | (8,513) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (11,806) | 78,000 | 3,370 | 9/17/58 | (500 bp) — | (8,513) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (30,222) | 476,000 | 1,714 | 1/17/47 | (300 bp) — | (28,786) |
| Monthly | ||||||
| Upfront premium received | — | Unrealized appreciation | 178,490 | |||
| Upfront premium (paid) | (3,729,353) | Unrealized (depreciation) | (1,950,203) | |||
| Total | $(3,729,353) | Total | $(1,771,713) | |||
*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.
| Premier Income Trust 93 |
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 | ||
| Common stocks*: | |||||
| Capital goods | $2,514 | $— | $— | ||
| Consumer cyclicals | 363,807 | 51,130 | — | ||
| Energy | — | 410 | 8,747 | ||
| Health care | 6,538 | — | — | ||
| Utilities and power | — | 21,073 | — | ||
| Total common stocks | 372,859 | 72,613 | 8,747 | ||
| Asset-backed securities | — | 9,841,284 | — | ||
| Convertible bonds and notes | — | 21,653,603 | — | ||
| Convertible preferred stocks | — | — | 6,400 | ||
| Corporate bonds and notes | — | 143,081,094 | 313 | ||
| Foreign government and agency bonds and notes | — | 67,207,766 | — | ||
| Mortgage-backed securities | — | 237,144,470 | — | ||
| Preferred stocks | — | 433,462 | — | ||
| Purchased options outstanding | — | 1,534,565 | — | ||
| Purchased swap options outstanding | — | 19,521,218 | — | ||
| Senior loans | — | 18,401,237 | — | ||
| U.S. government and agency mortgage obligations | — | 300,524,000 | — | ||
| U.S. treasury obligations | — | 261,227 | — | ||
| Short-term investments | 38,117,973 | 24,091,088 | — | ||
| Totals by level | $38,490,832 | $843,767,627 | $15,460 | ||
| Valuation inputs | |||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | ||
| Forward currency contracts | $— | $124,714 | $— | ||
| Futures contracts | (77,256) | — | — | ||
| Written options outstanding | — | (392,298) | — | ||
| Written swap options outstanding | — | (17,547,604) | — | ||
| Forward premium swap option contracts | — | 2,028,494 | — | ||
| TBA sale commitments | — | (53,662,659) | — | ||
| Interest rate swap contracts | — | (5,677,367) | — | ||
| Total return swap contracts | — | 258,202 | — | ||
| Credit default contracts | — | (7,576,822) | — | ||
| Totals by level | $(77,256) | $(82,445,340) | $— | ||
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.
The accompanying notes are an integral part of these financial statements.
| 94 Premier Income Trust |
Statement of assets and liabilities1/31/20 (Unaudited)
| ASSETS | |
| Investment in securities, at value (Notes 1 and 9): | |
| Unaffiliated issuers (identified cost $841,044,737) | $845,863,946 |
| Affiliated issuers (identified cost $36,409,973) (Notes 1 and 5) | 36,409,973 |
| Cash | 29,384 |
| Foreign currency (cost $4,388) (Note 1) | 4,416 |
| Dividends, interest and other receivables | 6,421,211 |
| Receivable for investments sold | 2,394,968 |
| Receivable for sales of TBA securities (Note 1) | 53,752,571 |
| Receivable for variation margin on futures contracts (Note 1) | 30,000 |
| Receivable for variation margin on centrally cleared swap contracts (Note 1) | 21,428,033 |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 9,483,765 |
| Unrealized appreciation on forward currency contracts (Note 1) | 1,046,603 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 8,593,881 |
| Premium paid on OTC swap contracts (Note 1) | 3,729,353 |
| Total assets | 989,188,104 |
| LIABILITIES | |
| Payable for investments purchased | 4,425,188 |
| Payable for purchases of TBA securities (Note 1) | 288,866,977 |
| Payable for compensation of Manager (Note 2) | 1,034,661 |
| Payable for custodian fees (Note 2) | 155,392 |
| Payable for investor servicing fees (Note 2) | 47,002 |
| Payable for Trustee compensation and expenses (Note 2) | 231,486 |
| Payable for administrative services (Note 2) | 5,377 |
| Payable for variation margin on futures contracts (Note 1) | 301,963 |
| Payable for variation margin on centrally cleared swap contracts (Note 1) | 22,806,069 |
| Distributions payable to shareholders | 3,620,978 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 2,348,254 |
| Premium received on OTC swap contracts (Note 1) | 17,581,736 |
| Unrealized depreciation on forward currency contracts (Note 1) | 921,889 |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 7,455,271 |
| Written options outstanding, at value (premiums $15,439,712) (Note 1) | 17,939,902 |
| TBA sale commitments, at value (proceeds receivable $53,644,297) (Note 1) | 53,662,659 |
| Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 5,782,041 |
| Other accrued expenses | 188,770 |
| Total liabilities | 427,375,615 |
| Net assets | $561,812,489 |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $697,616,865 |
| Total distributable earnings (Note 1) | (135,804,376) |
| Total — Representing net assets applicable to capital shares outstanding | $561,812,489 |
| COMPUTATION OF NET ASSET VALUE | |
| Net asset value per share | |
| ($561,812,489 divided by 103,456,503 shares) | $5.43 |
The accompanying notes are an integral part of these financial statements.
| Premier Income Trust 95 |
Statement of operationsSix months ended 1/31/20 (Unaudited)
| INVESTMENT INCOME | |
| Interest (including interest income of $325,936 from investments in affiliated issuers) (Note 5) | $16,071,312 |
| Dividends | 16,882 |
| Total investment income | 16,088,194 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 2,093,909 |
| Investor servicing fees (Note 2) | 139,917 |
| Custodian fees (Note 2) | 67,637 |
| Trustee compensation and expenses (Note 2) | 5,705 |
| Administrative services (Note 2) | 8,940 |
| Other | 240,640 |
| Total expenses | 2,556,748 |
| Expense reduction (Note 2) | (1,389) |
| Net expenses | 2,555,359 |
| Net investment income | 13,532,835 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 6,196,619 |
| Foreign currency transactions (Note 1) | (110,819) |
| Forward currency contracts (Note 1) | (1,272,013) |
| Futures contracts (Note 1) | 609,910 |
| Swap contracts (Note 1) | 17,618,495 |
| Written options (Note 1) | (4,384,529) |
| Total net realized gain | 18,657,663 |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers and TBA sale commitments | (1,009,021) |
| Assets and liabilities in foreign currencies | 11,650 |
| Forward currency contracts | 120,535 |
| Futures contracts | 81,263 |
| Swap contracts | (10,705,670) |
| Written options | 274,352 |
| Total change in net unrealized depreciation | (11,226,891) |
| Net gain on investments | 7,430,772 |
| Net increase in net assets resulting from operations | $20,963,607 |
The accompanying notes are an integral part of these financial statements.
| 96 Premier Income Trust |
Statement of changes in net assets
| DECREASE IN NET ASSETS | Six months ended 1/31/20* | Year ended 7/31/19 |
| Operations | ||
| Net investment income | $13,532,835 | $27,864,407 |
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | 18,657,663 | (19,355,944) |
| Change in net unrealized appreciation (depreciation) | ||
| of investments and assets and liabilities | ||
| in foreign currencies | (11,226,891) | 13,634,374 |
| Net increase in net assets resulting from operations | 20,963,607 | 22,142,837 |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | (21,711,520) | (40,044,270) |
| Increase (decrease) from capital share transactions (Note 4) | 496,197 | (16,176,164) |
| Total decrease in net assets | (251,716) | (34,077,597) |
| NET ASSETS | ||
| Beginning of period | 562,064,205 | 596,141,802 |
| End of period | $561,812,489 | $562,064,205 |
| NUMBER OF FUND SHARES | ||
| Shares outstanding at beginning of period | 103,365,372 | 106,664,383 |
| Shares issued in connection with reinvestment | ||
| of distributions | 91,131 | — |
| Shares repurchased (Note 4) | — | (3,299,011) |
| Shares outstanding at end of period | 103,456,503 | 103,365,372 |
*Unaudited.
The accompanying notes are an integral part of these financial statements.
| Premier Income Trust 97 |
Financial highlights(For a common share outstanding throughout the period)
| PER-SHARE OPERATING PERFORMANCE | ||||||
| Six months | Year ended | |||||
| ended** | ||||||
| 1/31/20 | 7/31/19 | 7/31/18 | 7/31/17 | 7/31/16 | 7/31/15 | |
| Net asset value, beginning of period | $5.44 | $5.59 | $5.56 | $5.28 | $5.72 | $6.20 |
| Investment operations: | ||||||
| Net investment incomea | .13 | .27 | .31 | .28 | .31 | .28 |
| Net realized and unrealized | ||||||
| gain (loss) on investments | .07 | (.05) | .03 | .30 | (.48) | (.49) |
| Total from investment operations | .20 | .22 | .34 | .58 | (.17) | (.21) |
| Less distributions: | ||||||
| From net investment income | (.21) | (.38) | (.31) | (.31) | (.31) | (.31) |
| From return of capital | — | — | — | — | — | — |
| Total distributions | (.21) | (.38) | (.31) | (.31) | (.31) | (.31) |
| Increase from shares repurchased | — | .01 | —e | .01 | .04 | .04 |
| Net asset value, end of period | $5.43 | $5.44 | $5.59 | $5.56 | $5.28 | $5.72 |
| Market price, end of period | $5.46 | $5.32 | $5.25 | $5.39 | $4.72 | $5.10 |
| Total return at market price (%)b | 6.69* | 9.18 | 3.26 | 21.30 | (1.31) | (1.14) |
| RATIOS AND SUPPLEMENTAL DATA | ||||||
| Net assets, end of period | ||||||
| (in thousands) | $561,812 | $562,064 | $596,142 | $596,641 | $577,236 | $669,894 |
| Ratio of expenses to average | ||||||
| net assets (%)c | .46* | .93 | .92 | .92 | .91 | .87 |
| Ratio of net investment income | ||||||
| to average net assets (%) | 2.42* | 4.94 | 5.53 | 5.20 | 5.75 | 4.74 |
| Portfolio turnover (%)d | 469* | 854 | 785 | 1,055 | 808 | 654 |
*Not annualized.
**Unaudited.
aPer share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period.
bTotal return assumes dividend reinvestment.
cIncludes amounts paid through expense offset arrangements, if any (Note 2).
dPortfolio turnover includes TBA purchase and sale commitments.
eAmount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial statements.
| 98 Premier Income Trust |
Notes to financial statements1/31/20 (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 and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from August 1, 2019 through January 31, 2020.
Putnam Premier 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 closed-end management investment company. The fund is currently operating as a diversified fund. In the future, the fund may operate as a non-diversified fund to the extent permitted by applicable law. Under current law, shareholder approval would be required before the fund could operate as a non-diversified fund. The goal of the fund is to seek high current income consistent with the preservation of capital by allocating its investments among the U.S. government sector, high yield sector and international sector of the fixed-income securities market.
The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.
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, transfer 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.
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.
Security valuationPortfolio 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.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820Fair Value Measurements and Disclosures(ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
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.
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
| Premier Income Trust 99 |
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.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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 incomeSecurity 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 and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Stripped securitiesThe 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 translationThe 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
| 100 Premier Income Trust |
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 contractsThe fund uses options contracts for hedging 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 contractsThe 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.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contractsThe 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 for gaining 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.
| Premier Income Trust 101 |
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contractsThe 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.
Total return swap contractsThe 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, for hedging 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 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 contractsThe fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors.
| 102 Premier Income Trust |
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 commitmentsThe 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.
| Premier Income Trust 103 |
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 agreementsThe 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 $8,253,469 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $8,537,566 and may include amounts related to unsettled agreements.
Interfund lendingThe 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 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.
Federal taxesIt 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 740Income 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 July 31, 2019, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
| 104 Premier Income Trust |
| Loss carryover | ||
| Short-term | Long-term | Total |
| $89,953,634 | $37,442,017 | $127,395,651 |
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 $819,974,138, resulting in gross unrealized appreciation and depreciation of $63,841,772 and $84,064,587, respectively, or net unrealized depreciation of $20,222,815.
Distributions to shareholdersDistributions 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 fund uses targeted distribution rates, whose principal source of the distribution is ordinary income. However, the balance of the distribution, if any, comes first from capital gain and then will constitute a return of capital. A return of capital is not taxable; rather it reduces a shareholder’s tax basis in their shares of the fund. The fund may make return of capital distributions to achieve the targeted distribution rates. 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.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates:
| of the first $500 million of average | of the next $5 billion of average | |||
| 0.750% | net assets, | 0.480% | net assets, | |
| of the next $500 million of average | of the next $5 billion of average | |||
| 0.650% | net assets, | 0.470% | net assets, | |
| of the next $500 million of average | of the next $5 billion of average | |||
| 0.600% | net assets, | 0.460% | net assets, | |
| of the next $5 billion of average | of the next $5 billion of average | |||
| 0.550% | net assets, | 0.450% | net assets, | |
| of the next $5 billion of average | of the next $5 billion of average | |||
| 0.525% | net assets, | 0.440% | net assets, | |
| of the next $5 billion of average | of the next $8.5 billion of average net | |||
| 0.505% | net assets, | 0.430% | assets and | |
| of the next $5 billion of average | 0.420% | of any excess thereafter. | ||
| 0.490% | net assets, |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.374% of the fund’s average net assets.
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 0.40% of the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) 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.
| Premier Income Trust 105 |
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. was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund’s average daily net assets. The amounts incurred for investor servicing agent functions during the reporting period are included in Investor servicing fees in the Statement of operations.
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 $1,389 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $385, 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.
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) | $3,553,721,451 | $3,565,390,792 |
| U.S. government securities (Long-term) | — | — |
| Total | $3,553,721,451 | $3,565,390,792 |
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: Shares repurchased
In September 2019, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 356 day period ending September 30, 2020 (based on shares outstanding as of October 9, 2019). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 9, 2019 (based on shares outstanding as of October 9, 2018). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees.
For the reporting period, the fund did not repurchase any of its outstanding common shares.
| 106 Premier Income Trust |
For the previous fiscal year, the fund repurchased 3,299,011 common shares for an aggregate purchase price of $16,176,164, which reflected a weighted-average discount from net asset value per share of 8.25%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.
At the close of the reporting period, Putnam Investments, LLC owned approximately 3,645 shares of the fund (less than 0.01% of the fund’s shares outstanding), valued at $19,792 based on net asset value.
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 7/31/19 | cost | proceeds | income | of 1/31/20 |
| Short-term investments | |||||
| Putnam Short Term | |||||
| Investment Fund* | $42,110,406 | $90,697,253 | $96,397,686 | $325,936 | $36,409,973 |
| Total Short-term | |||||
| investments | $42,110,406 | $90,697,253 | $96,397,686 | $325,936 | $36,409,973 |
*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.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
| Premier Income Trust 107 |
Note 8: 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 TBA commitment option contracts (contract amount) | $205,100,000 |
| Purchased currency option contracts (contract amount) | $117,700,000 |
| Purchased swap option contracts (contract amount) | $1,404,300,000 |
| Written TBA commitment option contracts (contract amount) | $248,000,000 |
| Written currency option contracts (contract amount) | $107,000,000 |
| Written swap option contracts (contract amount) | $835,800,000 |
| Futures contracts (number of contracts) | 1,000 |
| Forward currency contracts (contract amount) | $282,300,000 |
| OTC interest rate swap contracts (notional) | $—* |
| Centrally cleared interest rate swap contracts (notional) | $2,543,600,000 |
| OTC total return swap contracts (notional) | $46,000,000 |
| Centrally cleared total return swap contracts (notional) | $104,800,000 |
| OTC credit default contracts (notional) | $191,000,000 |
| Centrally cleared credit default contracts (notional) | $12,100,000 |
*For the reporting period, there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.
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 |
| Payables, Net assets — | ||||
| Credit contracts | Receivables | $1,957,756 | Unrealized depreciation | $9,534,578 |
| Foreign exchange | ||||
| contracts | Investments, Receivables | 1,639,666 | Payables | 1,242,167 |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Interest rate contracts | appreciation | 57,295,658* | Unrealized depreciation | 57,920,489* |
| Total | $60,893,080 | $68,697,234 | ||
*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.
| 108 Premier 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 | $— | $— | $— | $585,660 | $585,660 |
| Foreign exchange contracts | (208,689) | — | (1,272,013) | — | $(1,480,702) |
| Interest rate contracts | (525,896) | 609,910 | — | 17,032,835 | $17,116,849 |
| Total | $(734,585) | $609,910 | $(1,272,013) | $17,618,495 | $16,221,807 |
| 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 | $— | $— | $— | $3,580,580 | $3,580,580 |
| Foreign exchange contracts | 90,855 | — | 120,535 | — | $211,390 |
| Interest rate contracts | 3,184,218 | 81,263 | — | (14,286,250) | $(11,020,769) |
| Total | $3,275,073 | $81,263 | $120,535 | $(10,705,670) | $(7,228,799) |
| Premier Income Trust 109 |
Note 9: 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§ | $— | $— | $21,133,012 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $21,133,012 |
| OTC Total return swap | |||||||||||||||||||
| contracts*# | — | 94,626 | — | 13,496 | — | 18,122 | — | 40,526 | — | 1,912 | 65,725 | — | — | — | — | — | — | — | 234,407 |
| Centrally cleared total return | |||||||||||||||||||
| swap contracts§ | — | — | 295,021 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 295,021 |
| OTC Credit default | |||||||||||||||||||
| contracts — protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | 58 | — | — | — | — | — | 58 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection purchased*# | — | — | — | — | 430,373 | 404,467 | — | 151,833 | — | — | 510,130 | 210,862 | 250,033 | — | — | — | — | — | 1,957,698 |
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 30,000 | — | — | — | — | — | — | — | 30,000 |
| Forward currency contracts# | 187,452 | 123,463 | — | 12,463 | — | — | — | 123,104 | 41,920 | 28,672 | — | — | — | 53,446 | 282,647 | 36,637 | 151,747 | 5,052 | 1,046,603 |
| Forward premium swap | |||||||||||||||||||
| option contracts# | 1,815,456 | 279,661 | — | 808,539 | — | — | — | 770,610 | — | 3,737,374 | — | — | 1,504,243 | — | — | — | 567,882 | — | 9,483,765 |
| Purchased swap options**# | 2,640,231 | — | — | 1,232,096 | — | — | — | 1,149,052 | — | 1,879,934 | — | — | 11,671,674 | — | — | — | 948,231 | — | 19,521,218 |
| Purchased options**# | — | 61,050 | — | 64,470 | — | — | — | 1,081 | — | 1,149,167 | — | — | — | — | — | — | 258,797 | — | 1,534,565 |
| Total Assets | $4,643,139 | $558,800 | $21,428,033 | $2,131,064 | $430,373 | $422,589 | $— | $2,236,206 | $41,920 | $6,797,059 | $605,855 | $210,862 | $13,426,008 | $53,446 | $282,647 | $36,637 | $1,926,657 | $5,052 | $55,236,347 |
| Liabilities: | |||||||||||||||||||
| Centrally cleared interest rate | |||||||||||||||||||
| swap contracts§ | — | — | 22,670,411 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 22,670,411 |
| OTC Total return swap | |||||||||||||||||||
| contracts*# | — | 51,574 | — | — | — | 53,596 | 3,187 | 99,871 | — | 45,476 | 10,637 | — | — | — | — | — | — | — | 264,341 |
| Centrally cleared total return | |||||||||||||||||||
| swap contracts§ | — | — | 135,658 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 135,658 |
| OTC Credit default | |||||||||||||||||||
| contracts — protection sold*# | 110,776 | — | — | — | 1,407,456 | 1,792,840 | — | 1,469,460 | — | — | 2,943,405 | 374,188 | 1,436,395 | — | — | — | — | — | 9,534,520 |
| OTC Credit default contracts — | |||||||||||||||||||
| protection purchased*# | — | — | — | — | 58 | — | — | — | — | — | — | — | — | — | — | — | — | — | 58 |
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 301,963 | — | — | — | — | — | — | — | 301,963 |
| Forward currency contracts# | 210,173 | 8,598 | — | 2,814 | — | 20,634 | — | 280,806 | 35,244 | 108,668 | — | — | — | 35,077 | 118,273 | 2,157 | 84,807 | 14,638 | 921,889 |
| Forward premium swap | |||||||||||||||||||
| option contracts# | 759,205 | 123,736 | — | 804,549 | — | — | — | 931,110 | — | 2,977,525 | — | — | 1,312,526 | — | — | — | 546,620 | — | 7,455,271 |
| Written swap options# | — | — | — | 1,973,774 | — | — | — | 951,509 | — | 1,689,722 | — | — | 11,166,544 | — | — | — | 1,766,055 | — | 17,547,604 |
| Written options# | — | 27,105 | — | 29,853 | — | — | — | — | — | 194,537 | — | — | — | — | — | — | 140,803 | — | 392,298 |
| Total Liabilities | $1,080,154 | $211,013 | $22,806,069 | $2,810,990 | $1,407,514 | $1,867,070 | $3,187 | $3,732,756 | $35,244 | $5,015,928 | $3,256,005 | $374,188 | $13,915,465 | $35,077 | $118,273 | $2,157 | $2,538,285 | $14,638 | $59,224,013 |
| 110 Premier Income Trust | Premier Income Trust 111 |
| 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 | |
| Total Financial and | |||||||||||||||||||
| Derivative Net Assets | $3,562,985 | $347,787 | $(1,378,036) | $(679,926) | $(977,141) | $(1,444,481) | $(3,187) | $(1,496,550) | $6,676 | $1,781,131 | $(2,650,150) | $(163,326) | $(489,457) | $18,369 | $164,374 | $34,480 | $(611,628) | $(9,586) | $(3,987,666) |
| Total collateral received | |||||||||||||||||||
| (pledged)†## | $3,510,972 | $301,842 | $— | $(679,926) | $(973,600) | $(1,444,481) | $— | $(1,494,853) | $— | $1,405,000 | $(2,440,826) | $(143,582) | $(489,457) | $15,804 | $164,374 | $— | $(611,628) | $— | |
| Net amount | $52,013 | $45,945 | $(1,378,036) | $— | $(3,541) | $— | $(3,187) | $(1,697) | $6,676 | $376,131 | $(209,324) | $(19,744) | $— | $2,565 | $— | $34,480 | $— | $(9,586) | |
| Controlled collateral | |||||||||||||||||||
| received (including TBA | |||||||||||||||||||
| commitments)** | $3,510,972 | $301,842 | $— | $— | $— | $— | $— | $— | $— | $1,405,000 | $303,000 | $— | $— | $15,804 | $245,423 | $— | $— | $— | $5,782,041 |
| Uncontrolled collateral | |||||||||||||||||||
| received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Collateral (pledged) (including | |||||||||||||||||||
| TBA commitments)** | $— | $— | $— | $(793,627) | $(973,600) | $(1,460,337) | $— | $(1,494,853) | $— | $— | $(2,440,826) | $(143,582) | $(528,063) | $— | $— | $— | $(702,678) | $— | $(8,537,566) |
*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 $112,796 and $8,910,411, respectively.
Note 10: New accounting pronouncements
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017 -08,Receivables — Nonrefundable Fees and Other Costs(Subtopic 310 -20):Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. The adoption of these amendments is not material to the financial statements.
| 112 Premier Income Trust | Premier Income Trust 113 |
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 |
| Capital Spectrum Fund | Convertible Securities Fund |
| Emerging Markets Equity Fund | Diversified Income Trust |
| Equity Spectrum Fund | Floating Rate Income Fund |
| Focused Equity Fund | Global Income Trust |
| Global Equity Fund | Government Money Market Fund* |
| International Capital Opportunities Fund | High Yield Fund |
| International Equity Fund | Income Fund |
| Multi-Cap Core Fund | Money Market Fund† |
| Research Fund | Mortgage Opportunities Fund |
| Mortgage Securities Fund | |
| Global Sector | Short Duration Bond Fund |
| Global Health Care Fund | Ultra Short Duration Income Fund |
| Global Technology Fund | |
| Tax-free Income | |
| Growth | AMT-Free Municipal Fund |
| Growth Opportunities Fund | Intermediate-Term Municipal Income Fund |
| International Growth Fund | Short-Term Municipal Income Fund |
| Small Cap Growth Fund | Tax Exempt Income Fund |
| Sustainable Future Fund | Tax-Free High Yield Fund |
| Sustainable Leaders Fund | |
| State tax-free income funds‡: | |
| Value | California, Massachusetts, Minnesota, |
| Equity Income Fund | New Jersey, New York, Ohio, and Pennsylvania. |
| International Value Fund | |
| Small Cap Value Fund |
| 114 Premier Income Trust |
| Absolute Return | Asset Allocation |
| Fixed Income Absolute Return Fund | Dynamic Risk Allocation Fund |
| Multi-Asset Absolute Return Fund | George Putnam Balanced Fund |
| Putnam PanAgora** | Dynamic Asset Allocation Balanced Fund |
| Putnam PanAgora Managed Futures Strategy | Dynamic Asset Allocation Conservative Fund |
| Putnam PanAgora Market Neutral Fund | Dynamic Asset Allocation Growth Fund |
| Putnam PanAgora Risk Parity Fund | |
| Retirement Income Fund Lifestyle 1 | |
| RetirementReady® 2060 Fund | |
| RetirementReady® 2055 Fund | |
| RetirementReady® 2050 Fund | |
| RetirementReady® 2045 Fund | |
| RetirementReady® 2040 Fund | |
| RetirementReady® 2035 Fund | |
| RetirementReady® 2030 Fund | |
| RetirementReady® 2025 Fund | |
| RetirementReady® 2020 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.
**Sub-advised by PanAgora Asset Management.
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
| Premier Income Trust 115 |
Putnam’s commitment to confidentiality
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Within the Putnam organization, your information is shared with those who need itto service your account or provide you with information about other Putnam products or services. Under certain circumstances, we must also share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. It is also our policy to share account information with your financial advisor, if you've provided us with information about your advisor and that person is listed on your Putnam account.
If you would like clarification about our confidentiality policies or have any questions or concerns, please don't hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:00 a.m. to 8:00 p.m. Eastern Time.
| 116 Premier Income Trust |
Fund information
Founded over 80 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, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Michael J. Higgins |
| Putnam Investment | Kenneth R. Leibler,Chair | Vice President, Treasurer, |
| Management, LLC | Liaquat Ahamed | and Clerk |
| 100 Federal Street | Ravi Akhoury | |
| Boston, MA 02110 | Barbara M. Baumann | Jonathan S. Horwitz |
| Katinka Domotorffy | Executive Vice President, | |
| Investment Sub-Advisor | Catharine Bond Hill | Principal Executive Officer, |
| Putnam Investments Limited | Paul L. Joskow | and Compliance Liaison |
| 16 St James’s Street | Robert E. Patterson | |
| London, England SW1A 1ER | George Putnam, III | Richard T. Kircher |
| Robert L. Reynolds | Vice President and BSA | |
| Marketing Services | Manoj P. Singh | Compliance Officer |
| Putnam Retail Management | ||
| 100 Federal Street | Officers | Susan G. Malloy |
| Boston, MA 02110 | Robert L. Reynolds | Vice President and |
| President | Assistant Treasurer | |
| Custodian | ||
| State Street Bank | Robert T. Burns | Denere P. Poulack |
| and Trust Company | Vice President and | Assistant Vice President, Assistant |
| Chief Legal Officer | Clerk, and Assistant Treasurer | |
| Legal Counsel | ||
| Ropes & Gray LLP | James F. Clark | Janet C. Smith |
| Vice President, Chief Compliance | Vice President, | |
| Officer, and Chief Risk Officer | Principal Financial Officer, | |
| Principal Accounting Officer, | ||
| Nancy E. Florek | and Assistant Treasurer | |
| Vice President, Director of | ||
| Proxy Voting and Corporate | Mark C. Trenchard | |
| Governance, Assistant Clerk, | Vice President | |
| and Assistant Treasurer |
Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com anytime for up-to-date information about the fund’s NAV.
| 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 |
| 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 Management Investment Companies |
| (a) Not applicable |
| (b) During the period, Albert Chan was added as a Portfolio Manger of the fund. |
| (a)(1) Portfolio Managers. The officers of Putnam Management identified below are primarily responsible for the day-to-day management of the fund's portfolio as of the filing date of this report. |
| Portfolio managers | Joined Fund | Employer | Positions Over Past Five Years | |
| D. William Kohli | 2002 | Putnam Management 1994-Present | Chief Investment Officer, Fixed Income, Previously, Co-Head Fixed Income | |
| Michael Atkin | 2007 | Putnam Management 1997-Present | Portfolio Manager | |
| Albert Chan | 2020 | Putnam Management 2002-Present | Portfolio Manager, Previously, Analyst | |
| Robert Davis | 2017 | Putnam Management 1999-Present | Portfolio Manager, Previously, Analyst | |
| Brett Kozlowski | 2017 | Putnam Management 2008-Present | Portfolio Manager | |
| Michael Salm | 2011 | Putnam Management 1997-Present | Co-Head of Fixed Income |
| (a)(2) Other Accounts Managed by the Fund's Portfolio Managers. |
| The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that the fund's Portfolio Managers managed as of the fund's most recent fiscal year-end. Unless noted, none of the other accounts pays a fee based on the account's performance. |
| Portfolio Leader or Member | Other SEC-registered open-end and closed-end funds | Other accounts that pool assets from more than one client | Other accounts (including separate accounts, managed account programs and single-sponsor defined contribution plan offerings) | ||||
| Number of accounts | Assets | Number of accounts | Assets | Number of accounts | Assets | ||
| William Kohli | 15* | $7,924,800,000 | 17 | $4,359,700,000 | 17** | $10,836,000,000 | |
| Michael Salm | 32*** | $31,979,900,000 | 35 | $11,978,600,000 | 28** | $5,196,100,000 | |
| Michael Atkin | 5 | $4,913,000,000 | 5 | $2,704,600,000 | 8** | $1,344,800,000 | |
| Paul Scanlon | 22*** | $10,644,900,000 | 26 | $9,359,400,000 | 26 | $12,946,000,000 | |
| Brett Kozlowski | 23**** | $12,407,100,000 | 22 | $6,723,600,000 | 16 | $3,478,200,000 | |
| Robert Davis | 13***** | $5,179,200,000 | 10 | $2,708,200,000 | 14** | $1,104,000,000 | |
| Albert Chan | 8****** | $3,004,300,000 | 11 | $1,589,300,000 | 5 | $570,200,000 | |
| * | 3 accounts, with total assets of $2,139,000,000, pay an advisory fee based on account performance. |
| ** | 1 account, with total assets of $524,700,000 pay an advisory fee based on account performance. |
| *** | 2 accounts, with total assets of $851,900,000 pay an advisory fee based on account performance. |
| **** | 2 accounts, with total assets of $1,563,300,000 pay an advisory fee based on account performance |
| ***** | 1 account, with total assets of $276,300,000 pay an advisory fee based on account performance |
| ****** | 1 account, with total assets of $1,862,800,000 pay an advisory fee based on account performance |
| Potential conflicts of interest in managing multiple accounts. Like other investment professionals with multiple clients, the fund's Portfolio Managers may face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under “Other Accounts Managed by the Fund's Portfolio Managers” at the same time. The paragraphs below describe some of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential conflicts. |
| The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (“performance fee accounts”), may raise potential conflicts of interest by creating an incentive to favor higher-fee accounts. These potential conflicts may include, among others: |
| • | The most attractive investments could be allocated to higher-fee accounts or performance fee accounts. |
| • | The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune time. |
| • | The trading of other accounts could be used to benefit higher-fee accounts (front-running). |
| • | The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation. |
| Putnam Management attempts to address these potential conflicts of interest relating to higher-fee accounts through various compliance policies that are generally intended to place all accounts, regardless of fee structure, on the same footing for investment management purposes. For example, under Putnam Management's policies: |
| • | Performance fee accounts must be included in all standard trading and allocation procedures with all other accounts. |
| • | All accounts must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures generally applicable to all accounts in those groups (e.g., based on relative risk budgets of accounts). |
| • | All trading must be effected through Putnam's trading desks and normal queues and procedures must be followed (i.e., no special treatment is permitted for performance fee accounts or higher-fee accounts based on account fee structure). |
| • | Front running is strictly prohibited. |
| • | The fund's Portfolio Manager(s) may not be guaranteed or specifically allocated any portion of a performance fee. |
| As part of these policies, Putnam Management has also implemented trade oversight and review procedures in order to monitor whether particular accounts (including higher-fee accounts or performance fee accounts) are being favored over time. |
| Potential conflicts of interest may also arise when the Portfolio Manager(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter and subject to limited exceptions, Putnam Management's investment professionals do not have the opportunity to invest in client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons may from time to time establish “pilot” or “incubator” funds for the purpose of testing proposed investment strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered investment companies, private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or an affiliate supplies the funding for these accounts. Putnam employees, including the fund's Portfolio Manager(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Manager(s) will benefit from the favorable investment performance of those funds and accounts. Pilot funds and accounts may, and frequently do, invest in the same securities as the client accounts. Putnam Management's policy is to treat pilot accounts in the same manner as client accounts for purposes of trading allocation — neither favoring nor disfavoring them except as is legally required. For example, pilot accounts are normally included in Putnam Management's daily block trades to the same extent as client accounts (except that pilot accounts do not participate in initial public offerings). |
| A potential conflict of interest may arise when the fund and other accounts purchase or sell the same securities. On occasions when the Portfolio Manager(s) consider the purchase or sale of a security to be in the best interests of the fund as well as other accounts, Putnam Management's trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or purchased in order to obtain the best execution and lower brokerage commissions, if any. Aggregation of trades may create the potential for unfairness to the fund or another account if one account is favored over another in allocating the securities purchased or sold — for example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. Putnam Management's trade allocation policies generally provide that each day's transactions in securities that are purchased or sold by multiple accounts are, insofar as possible, averaged as to price and allocated between such accounts (including the fund) in a manner which in Putnam Management's opinion is equitable to each account and in accordance with the amount being purchased or sold by each account. Certain exceptions exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam Management's trade oversight procedures in an attempt to ensure fairness over time across accounts. |
| “Cross trades,” in which one Putnam account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict of interest. Cross trades may be seen to involve a potential conflict of interest if, for example, one account is permitted to sell a security to another account at a higher price than an independent third party would pay, or if such trades result in more attractive investments being allocated to higher-fee accounts. Putnam Management and the fund's Trustees have adopted compliance procedures that provide that any transactions between the fund and another Putnam-advised account are to be made at an independent current market price, as required by law. |
| Another potential conflict of interest may arise based on the different investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment horizon or different investment objectives, policies or restrictions than the fund. Depending on another account's objectives or other factors, the Portfolio Manager(s) may give advice and make decisions that may differ from advice given, or the timing or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition to basic suitability for the particular account involved. Thus, a particular security may be bought or sold for certain accounts even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought for one or more accounts managed by the Portfolio Manager(s) when one or more other accounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. As noted above, Putnam Management has implemented trade oversight and review procedures to monitor whether any account is systematically favored over time. |
| The fund's Portfolio Manager(s) may also face other potential conflicts of interest in managing the fund, and the description above is not a complete description of every conflict that could be deemed to exist in managing both the fund and other accounts. |
| (a)(3) Compensation of portfolio managers. Putnam's goal for our products and investors is to deliver strong performance versus peers or performance ahead of the applicable benchmark, depending on the product, over a rolling 3-year period. Portfolio managers are evaluated and compensated, in part, based on their performance relative to this goal across the products they manage. In addition to their individual performance, evaluations take into account the performance of their group and a subjective component. |
| Each portfolio manager is assigned an industry competitive incentive compensation target consistent with this goal and evaluation framework. Actual incentive compensation may be higher or lower than the target, based on individual, group, and subjective performance, and may also reflect the performance of Putnam as a firm. Typically, performance is measured over the lesser of three years or the length of time a portfolio manager has managed a product. |
| Incentive compensation includes a cash bonus and may also include grants of deferred cash, stock or options. In addition to incentive compensation, portfolio managers receive fixed annual salaries typically based on level of responsibility and experience. |
| For this fund, the peer group Putnam compares fund performance against is its broad investment category as determined by Lipper Inc. and identified in the shareholder report included in Item 1. |
| (a)(4) Fund ownership. The following table shows the dollar ranges of shares of the fund owned by the professionals listed above at the end of the fund's last fiscal year and current period end, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans. |
| Year | $0 | $0-$10,000 | $10,001-$50,000 | $50,001-$100,000 | $100,001-$500,000 | $500,001-$1,000,000 | $1,000,001 and over | ||
| William Kohli | 2020 | * | |||||||
| 2019 | * | ||||||||
| Michael Atkin | 2020 | * | |||||||
| 2019 | * | ||||||||
| Robert Davis | 2020 | * | |||||||
| 2019 | * | ||||||||
| Brett Kozlowski | 2020 | * | |||||||
| 2019 | * | ||||||||
| Michael Salm | 2020 | * | |||||||
| 2019 | * | ||||||||
| Paul Scanlon | 2020 | * | |||||||
| 2019 | * | ||||||||
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Registrant Purchase of Equity Securities | |||||
| Maximum | |||||
| Total Number | Number (or | ||||
| of Shares | Approximate | ||||
| Purchased | Dollar Value) | ||||
| as Part | of Shares | ||||
| of Publicly | that May Yet Be | ||||
| Total Number | Average | Announced | Purchased | ||
| of Shares | Price Paid | Plans or | under the Plans | ||
| Period | Purchased | per Share | Programs* | or Programs** | |
| August 1 — August 31, 2019 | — | — | — | 7,367,427 | |
| September 1 — September 30, 2019 | — | — | — | 7,367,427 | |
| October 1 — October 9, 2019 | — | — | — | 7,367,427 | |
| October 10 — October 31, 2019 | — | — | — | 7,367,427 | |
| November 1 — November 30, 2019 | — | — | — | 7,367,427 | |
| December 1 — December 31, 2019 | — | — | — | 7,367,427 | |
| January 1 — January | — | — | — | 7,367,427 | |
| * | In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share repurchase program, which, as subsequently amended, authorized the fund to repurchase of up to 10% of its fund's outstanding common shares over the two-years ending October 5, 2007. The Trustees have subsequently renewed the program on an annual basis. The program renewed by the Board in September 2018, which was in effect between October 10, 2018 and October 9, 2019, allowed the fund to repurchase up to 10,725,432 of its shares. The program renewed by the Board in September 2019, which is in effect between October 10, 2019 and September 30, 2020, allows the fund to repurchase up to 10,666,438 of its shares. | |||||
| ** | Information prior to October 10, 2019 is based on the total number of shares eligible for repurchase under the program, as amended through September 2018. Information from October 10, 2019 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2019. | |||||
| 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 180 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 |
(a)(4) Change in registrant's independent public accountant. |
| (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 Premier Income Trust |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: April 6, 2020 |
| 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: April 6, 2020 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: April 6, 2020 |