| 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: | (811-05635) |
| Exact name of registrant as specified in charter: | Putnam Diversified Income Trust |
| Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
| Name and address of agent for service: | Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109 |
| 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: | September 30, 2017 |
| Date of reporting period: | October 1, 2016 — March 31, 2017 |
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
Diversified Income
Trust
Semiannual report
3 | 31 | 17
Consider these risks before investing: International investing involves currency, economic, and political risks. 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 greater for longer-term bonds, and credit risk is 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. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions including perceptions about the risk of default and expectations about monetary policy or interest rates, changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio. You can lose money by investing in the fund.
Message from the Trustees
May 11, 2017
Dear Fellow Shareholder:
The early months of 2017 have been generally positive for investor sentiment and financial market performance. Many market indexes have achieved new record highs with relatively low volatility, in contrast to the bouts of uncertainty and turbulence that tested global financial markets in 2016. It is worth noting, however, that the exuberance that greeted the new year calmed somewhat as investors reconsidered a number of ongoing macroeconomic and political risks. In addition, many bond investors remained cautious as the potential for inflation increased.
As always, we believe investors should continue to focus on time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and do not overreact to short-term market fluctuations. To help ensure that your portfolio is aligned with your goals, we also believe it is a good idea to speak regularly with your financial advisor. In the following pages, you will find an overview of your fund’s performance for the reporting period as well as an outlook for the coming months.
We would like to take this opportunity to announce the arrival of Catharine Bond Hill and Manoj P. Singh to your fund’s Board of Trustees. Dr. Hill and Mr. Singh bring extensive professional and directorship experience to their role as Trustees, and we are pleased to welcome them.
Thank you for investing with Putnam.
The opportunities in today’s fixed-income markets are far from uniform. That’s why Putnam Diversified Income Trust’s managers actively position the portfolio in securities from a broad range of sectors that the team believes offer the most compelling risk/return profiles — including areas beyond those in the benchmark index.
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Allocations are shown as a percentage of the fund’s and/or benchmark’s net assets as of 3/31/17. 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. For more information on current fund holdings, see pages 19–70.
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Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 4.00%; had they, returns would have been lower. See below and pages 11–12 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* 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 3/31/17. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on page 16.
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Bill Kohli is Chief Investment Officer, Fixed Income, at Putnam. He has an M.B.A. from the Haas School of Business, University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1988.
In addition to Bill, your fund’s portfolio managers are Michael J. Atkin; Robert L. Davis, CFA; Brett S. Kozlowski, CFA; Michael V. Salm; and Paul D. Scanlon, CFA.
Bill, what was the fund’s investment environment like during the six-month reporting period ended March 31, 2017?
The environment was generally supportive for riskier assets, but with interest rates rising, it was challenging for U.S. Treasuries and other rate-sensitive categories.
In the months immediately after the U.S. presidential election, investors were optimistic about the potential for tax cuts and increases in infrastructure and defense spending under the incoming Trump administration. Later in the period, however, the administration delayed a vote on a bill that could have repealed and replaced the Affordable Care Act. This delay triggered uncertainty about the administration’s ability to get its tax-reform and fiscal-stimulus plans passed by Congress.
Economic data in both the United States and globally were positive overall. In particular, fourth-quarter U.S. gross domestic product [GDP] was revised upward from a 1.9% to a 2.1% annual rate, according to the Commerce Department. This follows growth of 3.5% in the third quarter. In February, the Federal Reserve’s preferred inflation gauge, the Personal Consumption Expenditures Price Index, rose
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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/17. 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.
2.1% from a year earlier, the first time inflation exceeded the central bank’s target in nearly five years. The jobless rate in the 19-country eurozone declined to 9.5% in February, the lowest level since 2009.
The Fed increased its target for short-term interest rates by a quarter percentage point twice during the period, raising the federal funds rate to a range of 0.75% to 1%. At the central bank’s mid-March policy meeting, Fed Chair Janet Yellen expressed confidence in the economy and reaffirmed that the board may implement two more increases this year.
After reaching a 14-year high in early January, the U.S. dollar declined by 3.5% in the first quarter of 2017, reflecting increased investor caution toward the currency amid uncertainties surrounding the Trump administration’s policy platform.
The fund topped its benchmark by a sizable margin during the six-month period, and also outpaced its Lipper peer group average. What factors bolstered its relative performance?
With respect to relative performance, I think it’s important to point out that the fund’s benchmark comprises a mix of U.S. Treasury, government-agency, and investment-grade corporate securities. Treasuries and other government securities were hampered by rising interest rates during the period. Meanwhile, the fund’s interest-rate and yield-curve strategies, along with out-of-benchmark credit holdings, performed well and fueled its strong performance. In fact, all of the fund’s major strategy segments contributed to results — there were no detractors on an absolute basis.
Looking at individual strategies, our interest-rate and yield-curve positioning in the United States and overseas was the biggest contributor to performance. We continued our efforts to de-emphasize interest-rate risk by keeping the
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portfolio’s duration — a key measure of interest-rate sensitivity — close to or below zero. This strategy was particularly helpful in November when intermediate- and long-term Treasury yields rose sharply in response to the U.S. presidential election outcome and President-elect Trump’s proposed fiscal policy.
Internationally, interest rates also rose in Europe, particularly in the United Kingdom, so our duration positioning aided performance there. Our holdings of Greek government debt provided a further boost. The country’s bonds rallied on increased investor optimism that the securities might be included in the European Central Bank’s bond purchase program.
An out-of-benchmark stake in high-yield bonds was another leading contributor, despite modest spread widening in March [bond prices decline as yield spreads widen]. After a strong 2016, the sector continued to post positive returns in the early months of 2017, as the search for yield continued. Optimistic sentiment toward the asset class was fueled by investor expectations that economic growth could potentially accelerate if the Trump administration is successful at implementing tax cuts and more-robust fiscal policy. Relatively stable global oil prices during most of the period also provided a tailwind.
How did the fund’s mortgage credit holdings influence performance?
Mortgage credit was another bright spot. In January, our positions in mezzanine commercial mortgage-backed securities [CMBS] that were issued before the 2008 financial crisis performed particularly well. However, gains
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/17. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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from the sector were pared in February when headlines concerning retail store closures prompted some investors to express a bearish view on certain parts of the CMBS market due to the sector’s exposure to retail properties. Although we agree that retailers face challenges amid evolving shopper preferences and a shift from traditional brick-and-mortar to online commerce, we believe the CMBS held by the fund have enough credit protection to withstand the changes that are occurring in retail.
Within non-agency residential mortgage-backed securities [RMBS], our investments in agency credit risk-transfer securities [CRTS] aided results, as did pay-option adjustable-rate mortgage-backed securities [pay-option ARMS]. With CRTS, a combination of relatively high yields and high-quality collateral continued to attract investors to what we believe is a growing market. Furthermore, CRTS provided investors with a productive alternative to deploy their capital as other parts of the non-agency RMBS market continued to shrink. Pay-option ARMS benefited from the generally favorable risk environment during the period, as well as the fact that there was no new supply of these bonds coming to market.
What about the fund’s holdings of emerging-market debt?
They also contributed. Positions in Russia, Venezuela, Brazil, and Mexico were the most productive, partly helped by stable oil prices and persistent investor demand for high-yielding securities. Brazil’s bonds also received a boost when the country’s central bank cut its benchmark interest rate by more than investors were expecting, as Brazil continues its efforts to recover from a deep recession.
Elsewhere, our active-currency and prepayment strategies were modest contributors for the period.
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. 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. Holdings and allocations may vary over time.
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How did you use derivatives during the period?
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 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 outlook for the coming months?
As we look at the world today, we see economic activity picking up and inflation levels beginning to rise. Higher commodity prices appear to be leading to fairly persistent pricing pressures in the United States and elsewhere. In our view, global economies appear to be normalizing, and we think this is particularly true in the United States. Given this apparent normalization, we think the level of interest rates remains too low.
Within this environment, we think the Fed’s tone has changed somewhat. For some time now, the central bank has emphasized that its policy was data-dependent — particularly data related to employment and inflation levels. After years of employing stimulative monetary policy in an effort to ward off deflation, we believe the Fed has now shifted its focus to inflation. This new phase of monetary policy
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from 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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is driven, in our view, by a central bank that is becoming more concerned with the possibility that the economy could outperform forecasts. Consequently, we expect the Fed to increase rates at least twice more this year, and we believe these increases could occur sooner than the market is currently forecasting.
We also believe the Fed could soon begin the process of reducing its holdings of U.S. Treasuries and mortgage-backed securities. In our view, the central bank may want to move toward a smaller portfolio for several reasons. For one, the economy appears to be on stronger footing, which may lead the Fed to see less need for support from a large bond portfolio. Additionally, the Fed’s reduction of its bond portfolio could relieve pressure on possible new leadership in 2018, in our view, when Janet Yellen’s term ends. Finally, we believe Fed officials may want room to ramp the portfolio back up in a crisis if needed.
How do you plan to position the fund in light of this outlook?
Despite positive duration positioning in the United States, our non-U.S., quantitatively driven, negative-duration strategies have kept the fund’s total duration close to zero. We plan to keep these strategies in place for now. We also extended our strategy of seeking to capitalize on potentially steeper global yield curves. We think this overall positioning could benefit the fund if interest rates continue to trend higher in the months ahead.
We plan to continue seeking opportunities in corporate and mortgage credit that we believe offer relative value. Within those market areas, we continue to have a constructive outlook for high-yield bonds, based on what we think is a generally supportive fundamental and technical backdrop for the asset class. We also continue to like CMBS due to what we believe are attractive spreads available there.
We plan to maintain the fund’s exposure to select emerging-market countries, seeking to benefit from the relatively high income levels available in markets in which we believe we’re being adequately compensated for risk.
Lastly, we will seek to maintain a sufficient cash allocation to provide a cushion against bouts of market volatility, as well as any disruptions in the global market’s supply/demand environment.
Thanks for your time and for bringing us up to date, Bill.
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 investment strategy 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.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2017, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. 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 and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 3/31/17
| Annual | |||||||||
| average | Annual | Annual | Annual | ||||||
| (life of fund) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Class A (10/3/88) | |||||||||
| Before sales charge | 6.19% | 43.70% | 3.69% | 20.90% | 3.87% | 2.85% | 0.94% | 12.77% | 6.02% |
| After sales charge | 6.04 | 37.95 | 3.27 | 16.07 | 3.02 | –1.26 | –0.42 | 8.25 | 1.78 |
| Class B (3/1/93) | |||||||||
| Before CDSC | 5.95 | 35.54 | 3.09 | 16.57 | 3.11 | 0.58 | 0.19 | 11.89 | 5.68 |
| After CDSC | 5.95 | 35.54 | 3.09 | 14.72 | 2.78 | –2.07 | –0.69 | 6.89 | 0.68 |
| Class C (2/1/99) | |||||||||
| Before CDSC | 5.38 | 32.98 | 2.89 | 16.56 | 3.11 | 0.60 | 0.20 | 11.98 | 5.57 |
| After CDSC | 5.38 | 32.98 | 2.89 | 16.56 | 3.11 | 0.60 | 0.20 | 10.98 | 4.57 |
| Class M (12/1/94) | |||||||||
| Before sales charge | 5.90 | 40.39 | 3.45 | 19.58 | 3.64 | 2.21 | 0.73 | 12.61 | 5.86 |
| After sales charge | 5.78 | 35.82 | 3.11 | 15.69 | 2.96 | –1.11 | –0.37 | 8.95 | 2.42 |
| Class R (12/1/03) | |||||||||
| Net asset value | 5.91 | 39.57 | 3.39 | 19.57 | 3.64 | 2.13 | 0.71 | 12.50 | 5.97 |
| Class R6 (11/1/13) | |||||||||
| Net asset value | 6.38 | 47.25 | 3.95 | 22.92 | 4.21 | 4.06 | 1.34 | 13.28 | 6.25 |
| Class Y (7/1/96) | |||||||||
| Net asset value | 6.37 | 46.74 | 3.91 | 22.50 | 4.14 | 3.71 | 1.22 | 13.17 | 6.06 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Performance for class R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R6 shares; had it, returns would have been higher.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Class B share performance reflects conversion to class A shares after eight years.
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Comparative index returns For periods ended 3/31/17
| Annual | |||||||||
| average | Annual | Annual | Annual | ||||||
| (life of fund) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| Bloomberg Barclays | |||||||||
| U.S. Aggregate Bond | 6.30% | 51.97% | 4.27% | 12.25% | 2.34% | 8.27% | 2.68% | 0.44% | –2.18% |
| Index | |||||||||
| Lipper Multi-Sector | |||||||||
| Income Funds | 6.58 | 65.82 | 5.07 | 21.30 | 3.90 | 8.93 | 2.88 | 7.17 | 1.56 |
| category average* | |||||||||
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/17, there were 339, 326, 242, 184, 100, and 6 funds, respectively, in this Lipper category.
Fund price and distribution information For the six-month period ended 3/31/17
| Distributions | Class A | Class B | Class C | Class M | Class R | ClassR6 | Class Y | ||
| Number | 6 | 6 | 6 | 6 | 6 | 6 | 6 | ||
| Income | $0.198 | $0.172 | $0.172 | $0.191 | $0.190 | $0.210 | $0.207 | ||
| Capital gains | — | — | — | — | — | — | — | ||
| Total | $0.198 | $0.172 | $0.172 | $0.191 | $0.190 | $0.210 | $0.207 | ||
| Before | After | Net | Net | Before | After | Net | Net | Net | |
| sales | sales | asset | asset | sales | sales | asset | asset | asset | |
| Share value | charge | charge | value | value | charge | charge | value | value | value |
| 9/30/16 | $6.86 | $7.15 | $6.79 | $6.75 | $6.75 | $6.98 | $6.78 | $6.80 | $6.80 |
| 3/31/17 | 7.07 | 7.36 | 7.00 | 6.95 | 6.95 | 7.18 | 6.99 | 7.01 | 7.00 |
| Before | After | Net | Net | Before | After | Net | Net | Net | |
| Current rate | sales | sales | asset | asset | sales | sales | asset | asset | asset |
| (end of period) | charge | charge | value | value | charge | charge | value | value | value |
| Current dividend rate1 | 5.60% | 5.38% | 4.97% | 5.01% | 5.53% | 5.35% | 5.49% | 5.99% | 6.00% |
| Current 30-day SEC yield2 | N/A | 4.18 | 3.60 | 3.60 | N/A | 3.97 | 4.10 | 4.70 | 4.61 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (4.00% for class A shares and 3.25% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.
2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.
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Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| Total annual operating expenses for the | |||||||
| fiscal year ended 9/30/16 | 1.00% | 1.75% | 1.75% | 1.25% | 1.25% | 0.65% | 0.75% |
| Annualized expense ratio for the | |||||||
| six-month period ended 3/31/17 | 0.99% | 1.74% | 1.74% | 1.24% | 1.24% | 0.64% | 0.74% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 10/1/16 to 3/31/17. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $5.09 | $8.92 | $8.92 | $6.36 | $6.37 | $3.29 | $3.80 |
| Ending value (after expenses) | $1,060.20 | $1,056.80 | $1,055.70 | $1,058.60 | $1,059.70 | $1,062.50 | $1,060.60 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
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Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 3/31/17, use the following calculation method. To find the value of your investment on 10/1/16, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $4.99 | $8.75 | $8.75 | $6.24 | $6.24 | $3.23 | $3.73 |
| Ending value (after expenses) | $1,020.00 | $1,016.26 | $1,016.26 | $1,018.75 | $1,018.75 | $1,021.74 | $1,021.24 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
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Terms and definitions
Important terms
Total return shows 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.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 4.00% maximum sales charge for class A shares and 3.25% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are closed to new investments and are only available by exchange from another Putnam fund. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed-income terms
Current rate is 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 “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,
| Diversified Income Trust 15 |
refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
• Interest-only (IO) security is 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 curve is 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 U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
S&P 500 Index is 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.
Lipper is 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.
| 16 Diversified Income Trust |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single 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, 2016, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
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-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
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 March 31, 2017, Putnam employees had approximately $486,000,000 and the Trustees had approximately $137,000,000 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.
| Diversified Income Trust 17 |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide 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.
| 18 Diversified Income Trust |
The fund’s portfolio 3/31/17 (Unaudited)
| U.S. GOVERNMENT AND AGENCY | Principal | |
| MORTGAGE OBLIGATIONS (78.2%)* | amount | Value |
| U.S. Government Guaranteed Mortgage Obligations (—%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 6.50%, 11/20/38 | $285,430 | $325,964 |
| 325,964 | ||
| U.S. Government Agency Mortgage Obligations (78.2%) | ||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
| 4.00%, TBA, 4/1/47 | 44,000,000 | 46,155,314 |
| Federal National Mortgage Association Pass-Through Certificates | ||
| 5.50%, TBA, 4/1/47 | 23,000,000 | 25,551,563 |
| 4.50%, TBA, 4/1/47 | 32,000,000 | 34,317,501 |
| 4.00%, TBA, 4/1/47 | 27,000,000 | 28,322,579 |
| 3.50%, TBA, 5/1/47 | 790,000,000 | 806,509,736 |
| 3.50%, TBA, 4/1/47 | 962,000,000 | 984,095,986 |
| 3.00%, TBA, 4/1/47 | 637,000,000 | 631,625,313 |
| 2.50%, TBA, 4/1/47 | 91,000,000 | 86,762,813 |
| 2,643,340,805 | ||
| Total U.S. government and agency mortgage obligations (cost $2,637,911,799) | $2,643,666,769 | |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* | amount | Value |
| Agency collateralized mortgage obligations (17.8%) | ||
| Federal Home Loan Mortgage Corporation | ||
| IFB Ser. 3408, Class EK, 22.122%, 4/15/37 | $267,277 | $408,517 |
| IFB Ser. 2979, Class AS, 20.929%, 3/15/34 | 2,904 | 2,916 |
| IFB Ser. 4104, Class S, IO, 5.188%, 9/15/42 | 10,534,319 | 2,083,015 |
| IFB Ser. 326, Class S2, IO, 5.038%, 3/15/44 | 17,788,455 | 3,612,216 |
| IFB Ser. 311, Class S1, IO, 5.038%, 8/15/43 | 16,035,023 | 3,231,009 |
| Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 18,773,442 | 3,906,340 |
| Ser. 3687, Class CI, IO, 5.00%, 11/15/38 | 8,443,344 | 916,804 |
| Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 11,353,256 | 2,408,026 |
| Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 15,282,363 | 2,845,576 |
| Ser. 4024, Class PI, IO, 4.50%, 12/15/41 | 19,839,948 | 3,701,023 |
| Ser. 4635, Class PI, IO, 4.00%, 12/15/46 | 38,962,760 | 6,987,581 |
| Ser. 4462, IO, 4.00%, 4/15/45 | 19,114,364 | 3,846,766 |
| Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 52,483,471 | 8,467,368 |
| Ser. 4213, Class GI, IO, 4.00%, 11/15/41 | 28,797,511 | 4,218,835 |
| Ser. 4020, Class IA, IO, 4.00%, 3/15/27 | 16,916,435 | 1,883,983 |
| Ser. 4484, Class TI, IO, 3.50%, 11/15/44 | 20,556,095 | 3,560,316 |
| Ser. 4122, Class CI, IO, 3.50%, 10/15/42 | 19,259,429 | 2,554,879 |
| Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 9,115,966 | 1,070,444 |
| Ser. 4199, Class CI, IO, 3.50%, 12/15/37 | 47,276,452 | 4,004,315 |
| Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 24,127,462 | 2,504,431 |
| Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 17,726,716 | 1,312,885 |
| FRB Ser. 57, Class 1AX, IO, 0.372%, 7/25/43 | 12,187,512 | 133,514 |
| Ser. 3314, PO, zero %, 11/15/36 | 43,262 | 42,255 |
| Ser. 3326, Class WF, zero %, 10/15/35 | 35,784 | 26,937 |
| Ser. 1208, Class F, PO, zero %, 2/15/22 | 18,116 | 16,455 |
| Diversified Income Trust 19 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Agency collateralized mortgage obligations cont. | ||
| Federal National Mortgage Association | ||
| IFB Ser. 06-8, Class HP, 20.967%, 3/25/36 | $764,503 | $1,203,259 |
| IFB Ser. 05-83, Class QP, 14.842%, 11/25/34 | 218,238 | 269,270 |
| Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 25,840,756 | 6,215,575 |
| Ser. 399, Class 2, IO, 5.50%, 11/25/39 | 49,163 | 11,021 |
| Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 1,859,439 | 359,438 |
| IFB Ser. 12-36, Class SN, IO, 5.468%, 4/25/42 | 11,622,551 | 2,153,659 |
| IFB Ser. 13-18, Class SB, IO, 5.168%, 10/25/41 | 17,820,491 | 2,313,100 |
| Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 2,105,967 | 384,339 |
| IFB Ser. 13-103, Class SK, IO, 4.938%, 10/25/43 | 20,047,728 | 4,289,769 |
| IFB Ser. 11-101, Class SA, IO, 4.918%, 10/25/41 | 44,117,321 | 6,783,038 |
| Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 12,853,049 | 3,062,603 |
| Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 | 16,390,808 | 2,068,356 |
| Ser. 404, Class 2, IO, 4.50%, 5/25/40 | 169,546 | 36,778 |
| Ser. 366, Class 22, IO, 4.50%, 10/25/35 | 906,295 | 38,418 |
| Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 16,496,554 | 2,574,896 |
| Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 28,900,468 | 4,883,601 |
| Ser. 13-115, Class CI, IO, 4.00%, 2/25/43 | 23,878,651 | 3,358,222 |
| Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 10,788,434 | 1,691,593 |
| Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 12,549,702 | 2,175,152 |
| Ser. 12-96, Class PI, IO, 4.00%, 7/25/41 | 4,140,037 | 648,287 |
| Ser. 405, Class 2, IO, 4.00%, 10/25/40 | 188,296 | 39,918 |
| Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 | 58,990,495 | 9,551,151 |
| Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 | 40,534,684 | 5,933,386 |
| Ser. 13-70, Class CI, IO, 3.50%, 1/25/43 | 11,260,732 | 1,343,405 |
| Ser. 13-49, Class IP, IO, 3.50%, 12/25/42 | 29,387,388 | 3,388,366 |
| Ser. 13-40, Class YI, IO, 3.50%, 6/25/42 | 27,451,213 | 3,797,060 |
| Ser. 12-123, Class DI, IO, 3.50%, 5/25/41 | 38,227,571 | 6,082,007 |
| Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 | 52,714,739 | 6,088,552 |
| Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 19,108,162 | 1,484,704 |
| Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 13,347,422 | 1,134,531 |
| Ser. 13-35, Class PI, IO, 3.00%, 2/25/42 | 40,039,545 | 3,459,417 |
| Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 | 25,651,852 | 2,780,661 |
| Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 | 22,054,083 | 1,576,205 |
| FRB Ser. 01-50, Class B1, IO, 0.402%, 10/25/41 | 239,032 | 2,839 |
| FRB Ser. 02-W8, Class 1, IO, 0.302%, 6/25/42 | 8,833,473 | 104,897 |
| Ser. 99-51, Class N, PO, zero %, 9/17/29 | 62,189 | 52,861 |
| Federal National Mortgage Association Grantor Trust | ||
| Ser. 98-T2, Class A4, IO, 6.50%, 10/25/36 | 33,205 | 4,551 |
| Ser. 00-T6, IO, 0.716%, 3/30/30 | 5,812,854 | 123,523 |
| Government National Mortgage Association | ||
| IFB Ser. 13-129, Class SN, IO, 5.172%, 9/20/43 | 13,096,735 | 2,068,367 |
| IFB Ser. 13-99, Class VS, IO, 5.172%, 7/16/43 | 15,620,072 | 2,518,112 |
| IFB Ser. 10-20, Class SC, IO, 5.172%, 2/20/40 | 10,339,891 | 1,790,869 |
| IFB Ser. 16-77, Class SC, IO, 5.122%, 10/20/45 | 37,136,556 | 6,999,056 |
| IFB Ser. 14-60, Class SE, IO, 5.122%, 4/20/44 | 23,081,245 | 3,667,610 |
| IFB Ser. 13-182, Class SY, IO, 5.122%, 12/20/43 | 14,766,675 | 2,926,755 |
| Ser. 16-126, Class PI, IO, 5.00%, 2/20/46 | 29,580,395 | 6,366,589 |
| Ser. 14-132, IO, 5.00%, 9/20/44 | 20,126,040 | 4,119,549 |
| 20 Diversified Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 | $20,931,872 | $4,050,359 |
| Ser. 14-4, Class PI, IO, 5.00%, 12/16/43 | 12,866,692 | 2,485,330 |
| Ser. 14-25, Class MI, IO, 5.00%, 11/20/43 | 14,629,696 | 2,725,951 |
| Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 7,656,213 | 1,623,799 |
| Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 | 6,405,211 | 1,347,336 |
| Ser. 12-146, IO, 5.00%, 12/20/42 | 13,810,784 | 2,953,160 |
| Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 | 4,682,071 | 896,382 |
| Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 | 8,024,198 | 551,227 |
| Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 | 3,286,214 | 192,933 |
| Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 | 5,483,032 | 440,791 |
| Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 22,857,510 | 4,831,506 |
| Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 17,456,341 | 3,657,627 |
| Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 85,557,638 | 18,185,618 |
| Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 53,085,723 | 11,330,617 |
| Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 | 27,280,348 | 5,834,448 |
| Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 24,367,618 | 5,207,189 |
| IFB Ser. 14-119, Class SA, IO, 4.622%, 8/20/44 | 39,671,329 | 6,149,056 |
| Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 | 21,570,651 | 4,395,020 |
| Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 23,226,601 | 4,842,677 |
| Ser. 13-183, Class JI, IO, 4.50%, 2/16/43 | 21,740,466 | 2,968,595 |
| Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 5,441,836 | 943,614 |
| Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 28,238,616 | 5,761,773 |
| Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 | 3,304,352 | 194,895 |
| Ser. 13-167, IO, 4.50%, 9/20/40 | 13,062,553 | 2,133,401 |
| Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 13,637,280 | 2,695,818 |
| Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 33,206,886 | 6,687,834 |
| Ser. 10-20, Class BI, IO, 4.50%, 2/16/40 | 27,130,234 | 5,800,173 |
| Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 20,651,022 | 4,135,718 |
| Ser. 14-71, Class PI, IO, 4.50%, 12/20/39 | 28,906,591 | 4,916,433 |
| Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 | 8,132,609 | 868,563 |
| Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 | 10,457,997 | 908,591 |
| Ser. 10-98, Class PI, IO, 4.50%, 10/20/37 | 1,271,236 | 22,247 |
| Ser. 16-138, Class DI, IO, 4.00%, 10/20/46 | 30,928,022 | 5,629,828 |
| Ser. 15-60, Class PI, IO, 4.00%, 4/20/45 | 18,383,688 | 3,699,717 |
| Ser. 15-89, Class IP, IO, 4.00%, 2/20/45 | 65,415,995 | 10,130,321 |
| Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 36,660,175 | 6,743,639 |
| Ser. 15-79, Class MI, IO, 4.00%, 5/20/44 | 14,970,966 | 2,406,134 |
| Ser. 14-4, Class BI, IO, 4.00%, 1/20/44 | 18,180,753 | 3,853,298 |
| Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 17,024,468 | 3,130,709 |
| Ser. 14-163, Class PI, IO, 4.00%, 10/20/43 | 19,644,697 | 2,511,195 |
| Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 11,127,781 | 1,938,571 |
| Ser. 13-27, Class IJ, IO, 4.00%, 2/20/43 | 12,261,261 | 2,260,731 |
| Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 | 6,785,094 | 1,110,737 |
| Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 | 20,602,880 | 3,284,593 |
| Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 7,580,952 | 1,373,789 |
| Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 | 26,408,558 | 3,974,686 |
| Ser. 16-156, Class PI, IO, 3.50%, 11/20/46 | 57,735,459 | 7,533,554 |
| Ser. 17-17, Class DI, IO, 3.50%, 9/20/43 | 22,917,603 | 3,339,608 |
| Diversified Income Trust 21 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 | $15,269,443 | $1,877,851 |
| Ser. 13-76, IO, 3.50%, 5/20/43 | 40,475,799 | 6,778,077 |
| Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 | 31,031,813 | 5,036,215 |
| Ser. 13-28, IO, 3.50%, 2/20/43 | 11,352,701 | 1,679,401 |
| Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 25,765,936 | 4,128,476 |
| Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 23,528,870 | 3,785,795 |
| Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 17,838,745 | 2,882,028 |
| Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 41,984,941 | 8,632,398 |
| Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 33,715,307 | 6,700,715 |
| Ser. 12-92, Class AI, IO, 3.50%, 4/20/42 | 17,444,842 | 1,712,079 |
| Ser. 14-62, Class CI, IO, 3.50%, 2/20/42 | 26,998,647 | 3,081,761 |
| Ser. 13-37, Class LI, IO, 3.50%, 1/20/42 | 32,232,856 | 4,311,725 |
| Ser. 15-131, Class BI, IO, 3.50%, 6/20/41 | 39,685,709 | 5,059,928 |
| Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 45,692,075 | 6,504,632 |
| Ser. 15-17, Class LI, IO, 3.50%, 5/16/40 | 34,173,920 | 3,841,149 |
| Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 | 38,364,580 | 5,123,781 |
| Ser. 12-48, Class AI, IO, 3.50%, 2/20/36 | 15,152,161 | 1,710,865 |
| Ser. 13-37, Class UI, IO, 3.00%, 2/20/42 | 20,148,927 | 2,618,555 |
| Ser. 13-41, Class MI, IO, 3.00%, 11/20/41 | 18,753,301 | 2,270,087 |
| Ser. 16-H23, Class NI, IO, 2.591%, 10/20/66 | 120,434,954 | 16,716,372 |
| Ser. 16-H24, Class JI, IO, 2.496%, 11/20/66 | 25,216,828 | 3,325,469 |
| Ser. 16-H04, Class HI, IO, 2.36%, 7/20/65 | 67,149,947 | 7,312,629 |
| Ser. 15-H18, Class BI, IO, 2.204%, 7/20/65 | 57,009,345 | 6,259,626 |
| Ser. 16-H17, Class KI, IO, 2.197%, 7/20/66 | 32,811,593 | 3,998,913 |
| Ser. 16-H16, Class EI, IO, 2.175%, 6/20/66 | 47,229,222 | 6,007,557 |
| Ser. 17-H06, Class MI, IO, 2.17%, 2/20/67 | 51,937,647 | 6,611,662 |
| Ser. 15-H15, Class BI, IO, 2.147%, 6/20/65 | 88,005,760 | 10,034,593 |
| Ser. 15-H24, Class AI, IO, 2.141%, 9/20/65 | 47,770,680 | 4,843,947 |
| Ser. 15-H20, Class BI, IO, 2.085%, 8/20/65 | 61,239,174 | 6,638,326 |
| Ser. 15-H10, Class BI, IO, 2.008%, 4/20/65 | 42,549,862 | 4,637,722 |
| Ser. 16-H06, Class CI, IO, 1.906%, 2/20/66 | 53,630,510 | 4,140,275 |
| Ser. 15-H12, Class AI, IO, 1.843%, 5/20/65 | 99,649,303 | 9,379,391 |
| Ser. 15-H23, Class DI, IO, 1.831%, 9/20/65 | 48,567,373 | 4,714,872 |
| Ser. 15-H15, Class AI, IO, 1.791%, 6/20/65 | 54,748,753 | 5,173,757 |
| FRB Ser. 15-H08, Class CI, IO, 1.78%, 3/20/65 | 77,809,852 | 7,215,152 |
| Ser. 15-H23, Class BI, IO, 1.715%, 9/20/65 | 89,610,488 | 8,038,061 |
| Ser. 15-H03, Class CI, IO, 1.711%, 1/20/65 | 83,434,956 | 7,346,281 |
| Ser. 14-H25, Class BI, IO, 1.676%, 12/20/64 | 58,865,493 | 5,033,000 |
| Ser. 16-H14, IO, 1.66%, 6/20/66 | 65,151,524 | 5,375,001 |
| Ser. 16-H12, Class AI, IO, 1.651%, 7/20/65 | 70,395,328 | 5,995,500 |
| Ser. 16-H18, IO, 1.632%, 8/20/66 | 73,589,570 | 5,850,371 |
| Ser. 15-H01, Class BI, IO, 1.555%, 1/20/65 | 52,888,756 | 3,728,657 |
| Ser. 14-H06, Class BI, IO, 1.47%, 2/20/64 | 53,277,175 | 3,271,219 |
| Ser. 12-H29, Class AI, IO, 1.461%, 10/20/62 | 35,320,029 | 1,836,642 |
| Ser. 12-H29, Class FI, IO, 1.461%, 10/20/62 | 35,320,029 | 1,836,642 |
| Ser. 06-36, Class OD, PO, zero %, 7/16/36 | 14,549 | 12,196 |
| Ser. 06-64, PO, zero %, 4/16/34 | 15,592 | 15,391 |
| 601,416,254 | ||
| 22 Diversified Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Commercial mortgage-backed securities (16.9%) | ||
| Banc of America Commercial Mortgage Trust | ||
| FRB Ser. 07-3, Class AJ, 5.761%, 6/10/49 | $9,003,000 | $9,138,045 |
| Ser. 06-4, Class AJ, 5.695%, 7/10/46 | 7,033,011 | 7,019,249 |
| Ser. 06-1, Class B, 5.49%, 9/10/45 | 1,407,989 | 1,401,090 |
| Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, | ||
| Class XW, IO, 0.339%, 2/10/51 | 125,734,470 | 158,752 |
| Banc of America Merrill Lynch Commercial Mortgage, Inc. | ||
| FRB Ser. 05-1, Class B, 5.28%, 11/10/42 | 7,045,000 | 6,029,322 |
| FRB Ser. 05-1, Class C, 5.28%, 11/10/42 | 8,629,000 | 5,210,708 |
| Bear Stearns Commercial Mortgage Securities Trust | ||
| FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 | 11,024,000 | 10,693,280 |
| Ser. 05-PWR7, Class D, 5.304%, 2/11/41 | 4,190,000 | 4,105,949 |
| Ser. 05-PWR7, Class C, 5.235%, 2/11/41 | 4,945,000 | 4,926,209 |
| Ser. 05-PWR7, Class B, 5.214%, 2/11/41 | 6,277,097 | 6,283,374 |
| Ser. 05-PWR9, Class C, 5.055%, 9/11/42 | 3,639,228 | 3,675,329 |
| Bear Stearns Commercial Mortgage Securities Trust 144A FRB | ||
| Ser. 06-PW11, Class C, 5.693%, 3/11/39 | 8,260,000 | 4,170,061 |
| CD Mortgage Trust 144A | ||
| FRB Ser. 07-CD5, Class E, 6.159%, 11/15/44 | 8,486,000 | 8,235,184 |
| FRB Ser. 07-CD5, Class XS, IO, 0.151%, 11/15/44 | 76,152,492 | 9,570 |
| CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, | ||
| 5.755%, 12/15/47 | 13,980,000 | 13,909,124 |
| Citigroup Commercial Mortgage Trust FRB Ser. 06-C4, Class B, | ||
| 5.995%, 3/15/49 | 2,528,369 | 2,510,190 |
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC21, | ||
| Class D, 4.836%, 5/10/47 | 7,280,000 | 6,014,008 |
| COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, | ||
| Class AJ, 5.88%, 5/15/46 | 5,019,000 | 5,063,857 |
| COMM Mortgage Trust Ser. 06-C8, Class AJ, 5.377%, 12/10/46 | 7,262,471 | 7,267,555 |
| COMM Mortgage Trust 144A | ||
| FRB Ser. 14-CR18, Class D, 4.737%, 7/15/47 | 17,857,000 | 14,464,170 |
| FRB Ser. 13-CR9, Class D, 4.256%, 7/10/45 | 5,143,000 | 4,517,611 |
| Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 10,009,000 | 7,575,812 |
| Ser. 13-LC13, Class E, 3.719%, 8/10/46 | 11,140,000 | 7,658,750 |
| Ser. 14-CR18, Class E, 3.60%, 7/15/47 | 11,801,000 | 7,527,858 |
| Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, | ||
| IO, 0.652%, 12/15/39 | 23,250,900 | 81,378 |
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, | ||
| Class AJ, 6.062%, 2/15/41 | 10,825,000 | 9,850,750 |
| Credit Suisse First Boston Mortgage Securities Corp. | ||
| Ser. 05-C5, Class F, 5.10%, 8/15/38 | 4,760,000 | 4,742,756 |
| Ser. 05-C3, Class B, 4.882%, 7/15/37 | 4,276,355 | 4,258,822 |
| Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 | ||
| (Cayman Islands) | 5,365,083 | 5,469,702 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, | ||
| 3.80%, 4/15/50 | 11,242,000 | 9,476,624 |
| GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, | ||
| Class B, 4.965%, 12/10/41 | 579,328 | 581,420 |
| Diversified Income Trust 23 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Commercial mortgage-backed securities cont. | ||
| GS Mortgage Securities Corp. II 144A | ||
| FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46 | $1,693,000 | $1,583,632 |
| FRB Ser. 05-GG4, Class XC, IO, 1.477%, 7/10/39 | 2,693,559 | 3,502 |
| GS Mortgage Securities Trust 144A | ||
| FRB Ser. 12-GC6, Class D, 5.653%, 1/10/45 | 1,316,248 | 1,283,868 |
| Ser. 11-GC3, Class E, 5.00%, 3/10/44 | 8,510,000 | 7,864,942 |
| JPMBB Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 13-C15, Class D, 5.047%, 11/15/45 | 2,970,000 | 2,809,434 |
| FRB Ser. 14-C18, Class E, 4.314%, 2/15/47 | 7,852,000 | 5,498,756 |
| FRB Ser. 14-C25, Class D, 3.948%, 11/15/47 | 9,103,000 | 6,989,283 |
| FRB Ser. 14-C26, Class D, 3.926%, 1/15/48 | 19,738,000 | 16,072,397 |
| Ser. 14-C25, Class E, 3.332%, 11/15/47 | 15,725,000 | 9,603,258 |
| JPMorgan Chase Commercial Mortgage Securities Trust | ||
| FRB Ser. 07-CB20, Class AJ, 6.178%, 2/12/51 | 3,877,500 | 3,970,948 |
| FRB Ser. 06-LDP7, Class B, 5.939%, 4/17/45 | 9,729,000 | 1,769,705 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 07-CB20, Class B, 6.278%, 2/12/51 | 9,775,000 | 9,181,658 |
| FRB Ser. 07-CB20, Class C, 6.278%, 2/12/51 | 9,324,000 | 8,205,120 |
| FRB Ser. 11-C3, Class E, 5.622%, 2/15/46 | 10,985,000 | 11,168,450 |
| FRB Ser. 12-C8, Class E, 4.677%, 10/15/45 | 3,743,999 | 3,432,907 |
| FRB Ser. 13-C13, Class D, 4.053%, 1/15/46 | 2,509,000 | 2,353,405 |
| Ser. 13-C13, Class E, 3.986%, 1/15/46 | 13,925,000 | 9,567,868 |
| Ser. 13-C10, Class E, 3.50%, 12/15/47 | 14,081,000 | 10,265,049 |
| FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 | 9,312,000 | 6,280,944 |
| LB Commercial Mortgage Trust 144A | ||
| Ser. 99-C1, Class G, 6.41%, 6/15/31 | 1,481,777 | 1,519,679 |
| Ser. 98-C4, Class J, 5.60%, 10/15/35 | 3,535,000 | 3,608,175 |
| LB-UBS Commercial Mortgage Trust | ||
| Ser. 06-C6, Class D, 5.502%, 9/15/39 | 3,660,000 | 801,796 |
| FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 | 25,155,000 | 7,591,276 |
| LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, | ||
| 3.229%, 4/20/48 | 9,081,000 | 7,573,009 |
| Merrill Lynch Mortgage Trust | ||
| FRB Ser. 08-C1, Class AJ, 6.301%, 2/12/51 | 2,001,000 | 2,037,618 |
| Ser. 04-KEY2, Class D, 5.046%, 8/12/39 | 2,973,642 | 2,944,864 |
| Mezz Cap Commercial Mortgage Trust 144A | ||
| FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37 | 148,064 | 10,764 |
| FRB Ser. 07-C5, Class X, IO, 4.546%, 12/15/49 | 2,780,325 | 16,682 |
| ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, | ||
| 5.147%, 12/12/49 | 314,369 | 314,903 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| Ser. 14-C17, Class D, 4.698%, 8/15/47 | 24,488,000 | 20,525,873 |
| FRB Ser. 12-C6, Class G, 4.50%, 11/15/45 | 4,901,000 | 3,680,161 |
| FRB Ser. 13-C7, Class D, 4.264%, 2/15/46 | 2,611,000 | 2,378,196 |
| Ser. 14-C15, Class F, 4.00%, 4/15/47 | 8,998,000 | 6,068,959 |
| Ser. 13-C13, Class F, 3.707%, 11/15/46 | 7,659,000 | 5,377,251 |
| Ser. 14-C17, Class E, 3.50%, 8/15/47 | 14,427,000 | 9,024,089 |
| Ser. 15-C24, Class D, 3.257%, 5/15/48 | 17,620,000 | 12,193,792 |
| 24 Diversified Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Commercial mortgage-backed securities cont. | ||
| Morgan Stanley Capital I Trust | ||
| FRB Ser. 07-T27, Class AJ, 5.791%, 6/11/42 | $2,776,000 | $2,870,939 |
| Ser. 07-HQ11, Class C, 5.558%, 2/12/44 | 21,393,000 | 9,440,089 |
| Ser. 06-HQ10, Class B, 5.448%, 11/12/41 | 5,060,000 | 5,055,006 |
| FRB Ser. 06-HQ8, Class D, 5.399%, 3/12/44 | 8,329,000 | 3,367,665 |
| Morgan Stanley Capital I Trust 144A | ||
| FRB Ser. 08-T29, Class F, 6.301%, 1/11/43 | 7,212,000 | 7,155,025 |
| FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39 | 3,912,273 | 3,842,595 |
| STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18 | ||
| (Cayman Islands) | 1,590,000 | 35,775 |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, | ||
| 8.00%, 12/28/38 | 4,487,377 | 336,553 |
| UBS-Barclays Commercial Mortgage Trust 144A | ||
| Ser. 12-C2, Class F, 4.885%, 5/10/63 | 6,674,000 | 4,795,269 |
| FRB Ser. 13-C6, Class D, 4.345%, 4/10/46 | 1,362,000 | 1,212,861 |
| Ser. 13-C6, Class E, 3.50%, 4/10/46 | 18,360,000 | 12,668,400 |
| Wachovia Bank Commercial Mortgage Trust | ||
| FRB Ser. 06-C26, Class AJ, 6.087%, 6/15/45 | 20,649,000 | 15,412,414 |
| Ser. 07-C30, Class AJ, 5.413%, 12/15/43 | 6,568,714 | 6,597,132 |
| FRB Ser. 05-C21, Class D, 5.294%, 10/15/44 | 17,760,000 | 17,632,087 |
| FRB Ser. 07-C34, IO, 0.40%, 5/15/46 | 40,996,653 | 61,495 |
| Wells Fargo Commercial Mortgage Trust 144A | ||
| Ser. 12-LC5, Class E, 4.777%, 10/15/45 | 8,280,000 | 6,607,440 |
| FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46 | 14,132,111 | 12,829,936 |
| Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 11,962,000 | 9,935,612 |
| Ser. 13-LC12, Class E, 3.50%, 7/15/46 | 15,829,000 | 10,556,360 |
| WF-RBS Commercial Mortgage Trust 144A | ||
| FRB Ser. 11-C5, Class E, 5.673%, 11/15/44 | 508,000 | 514,248 |
| Ser. 12-C6, Class E, 5.00%, 4/15/45 | 7,840,000 | 6,183,408 |
| Ser. 11-C3, Class E, 5.00%, 3/15/44 | 8,644,000 | 7,143,402 |
| FRB Ser. 14-C19, Class E, 4.97%, 3/15/47 | 6,483,000 | 4,755,929 |
| FRB Ser. 13-UBS1, Class E, 4.627%, 3/15/46 | 11,752,000 | 8,548,405 |
| FRB Ser. 13-C15, Class D, 4.48%, 8/15/46 | 9,609,996 | 8,480,246 |
| FRB Ser. 12-C10, Class D, 4.455%, 12/15/45 | 6,987,000 | 6,157,294 |
| Ser. 14-C19, Class D, 4.234%, 3/15/47 | 3,448,000 | 2,889,752 |
| Ser. 13-C12, Class E, 3.50%, 3/15/48 | 15,114,000 | 11,479,083 |
| 572,163,142 | ||
| Residential mortgage-backed securities (non-agency) (11.2%) | ||
| BCAP, LLC Trust 144A | ||
| FRB Ser. 11-RR3, Class 3A6, 3.072%, 11/27/36 | 11,661,747 | 7,929,988 |
| FRB Ser. 12-RR5, Class 4A8, 0.948%, 6/26/35 | 8,282,853 | 7,996,677 |
| Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, | ||
| Class M6, 5.857%, 9/25/34 | 256,410 | 119,472 |
| Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 5.282%, | ||
| 7/25/25 (Bermuda) | 9,438,261 | 9,627,026 |
| Countrywide Alternative Loan Trust | ||
| FRB Ser. 06-OA7, Class 1A1, 2.28%, 6/25/46 | 2,755,008 | 2,618,635 |
| FRB Ser. 06-OA7, Class 1A2, 1.578%, 6/25/46 | 17,960,045 | 15,789,573 |
| FRB Ser. 05-38, Class A3, 1.332%, 9/25/35 | 39,454,389 | 34,268,425 |
| Diversified Income Trust 25 |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Residential mortgage-backed securities (non-agency) cont. | ||
| Countrywide Alternative Loan Trust | ||
| FRB Ser. 05-59, Class 1A1, 1.306%, 11/20/35 | $33,280,089 | $29,439,487 |
| FRB Ser. 06-OA10, Class 4A1, 1.172%, 8/25/46 | 14,081,308 | 11,969,111 |
| Federal Home Loan Mortgage Corporation | ||
| Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, | ||
| 12.482%, 1/25/25 | 15,602,022 | 20,037,735 |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, | ||
| 11.482%, 10/25/28 | 2,529,742 | 2,986,066 |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, | ||
| 10.982%, 7/25/28 | 765,779 | 888,073 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, | ||
| 10.332%, 4/25/28 | 11,978,735 | 13,927,569 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, | ||
| 8.532%, 12/25/27 | 11,460,960 | 12,921,687 |
| Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, | ||
| 6.132%, 11/25/28 | 2,950,000 | 3,273,029 |
| Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, | ||
| 5.932%, 7/25/29 | 5,110,000 | 5,101,109 |
| FRB Ser. 17-HQA1, Class M2, 4.532%, 8/25/29 | 2,010,000 | 2,011,568 |
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, | ||
| 13.232%, 9/25/28 | 13,999,424 | 18,100,779 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, | ||
| 12.732%, 10/25/28 | 7,745,000 | 9,726,372 |
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, | ||
| 12.732%, 8/25/28 | 11,787,000 | 14,851,395 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, | ||
| 6.882%, 10/25/28 | 9,077,000 | 10,329,276 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | ||
| 6.682%, 4/25/28 | 26,931,500 | 30,445,864 |
| Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, | ||
| 6.477%, 9/25/29 | 3,949,000 | 3,984,227 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, | ||
| 6.282%, 10/25/28 | 1,320,000 | 1,482,135 |
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, | ||
| 5.982%, 7/25/25 | 18,823,000 | 20,694,627 |
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, | ||
| 5.982%, 7/25/25 | 9,376,364 | 10,230,985 |
| Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, | ||
| 5.532%, 2/25/25 | 6,245,342 | 6,631,928 |
| Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, | ||
| 5.332%, 4/25/29 | 3,300,000 | 3,486,866 |
| Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, | ||
| 5.282%, 2/25/25 | 6,650,748 | 7,054,305 |
| Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, | ||
| 5.232%, 4/25/29 | 510,000 | 539,121 |
| Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, | ||
| 5.232%, 1/25/29 | 1,680,000 | 1,775,424 |
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, | ||
| 4.982%, 5/25/25 | 1,964,567 | 2,066,955 |
| 26 Diversified Income Trust |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (45.9%)* cont. | amount | Value |
| Residential mortgage-backed securities (non-agency) cont. | ||
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, | ||
| 4.982%, 5/25/25 | $3,114,896 | $3,273,027 |
| Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, | ||
| 4.627%, 9/25/29 | 5,667,000 | 5,703,536 |
| Connecticut Avenue Securities FRB Ser. 14-C03, Class 1M2, | ||
| 3.982%, 7/25/24 | 2,097,000 | 2,162,459 |
| Federal National Mortgage Association 144A Connecticut Avenue | ||
| Securities FRB Ser. 17-C01, Class 1B1, 6.732%, 7/25/29 | 10,840,000 | 11,448,124 |
| Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, | ||
| 7.45%, 9/15/25 | 288 | 288 |
| GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 1.162%, 5/25/36 | 13,804,395 | 7,048,524 |
| Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, | ||
| Class A1A, 1.192%, 8/25/36 | 3,479,281 | 2,922,596 |
| WaMu Mortgage Pass-Through Certificates Trust | ||
| FRB Ser. 05-AR10, Class 1A3, 2.784%, 9/25/35 | 2,288,823 | 2,264,344 |
| FRB Ser. 05-AR13, Class A1C3, 1.472%, 10/25/45 | 17,662,266 | 16,483,801 |
| FRB Ser. 05-AR19, Class A1C4, 1.382%, 12/25/45 | 4,287,634 | 3,724,024 |
| 377,336,212 | ||
| Total mortgage-backed securities (cost $1,614,213,608) | $1,550,915,608 | |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* | amount | Value |
| Basic materials (3.5%) | ||
| A Schulman, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 6/1/23 | $1,104,000 | $1,145,400 |
| Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
| 9.375%, 6/1/19 | 2,255,000 | 2,469,225 |
| Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. | ||
| notes 6.25%, 2/1/25 (Netherlands) | 2,980,000 | 3,002,350 |
| ArcelorMittal SA sr. unsec. unsub. bonds 10.60%, 6/1/19 (France) | 890,000 | 1,054,650 |
| ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) | 1,760,000 | 1,951,400 |
| ArcelorMittal SA sr. unsec. unsub. notes 7.75%, 10/15/39 (France) | 404,000 | 458,540 |
| Axalta Coating Systems, LLC 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 8/15/24 | 1,465,000 | 1,501,625 |
| Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. | ||
| notes 6.375%, 10/1/23 | 2,021,000 | 2,152,365 |
| Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes | ||
| 9.75%, 10/15/23 | 1,316,000 | 1,575,910 |
| BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 2,570,000 | 2,614,975 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 9/1/24 | 2,921,000 | 2,964,815 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes | ||
| 10.75%, 8/15/23 | 3,853,000 | 4,479,113 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes | ||
| 5.625%, 9/1/24 | 1,900,000 | 1,928,500 |
| BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 | 2,020,000 | 2,036,423 |
| BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 | 2,535,000 | 2,535,000 |
| Cemex Finance, LLC 144A company guaranty sr. notes 9.375%, | ||
| 10/12/22 (Mexico) | 955,000 | 1,026,625 |
| Diversified Income Trust 27 |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Basic materials cont. | ||
| Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, | ||
| 4/1/24 (Mexico) | $1,200,000 | $1,261,800 |
| Cemex SAB de CV 144A company guaranty sr. notes 6.125%, | ||
| 5/5/25 (Mexico) | 800,000 | 853,760 |
| Chemours Co. (The) company guaranty sr. unsec. unsub. notes | ||
| 7.00%, 5/15/25 | 2,938,000 | 3,162,757 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 4.875%, 7/15/24 | 4,364,000 | 4,271,265 |
| Constellium NV 144A company guaranty sr. unsec. notes 5.75%, | ||
| 5/15/24 (Netherlands) | 2,370,000 | 2,186,325 |
| Coveris Holdings SA 144A company guaranty sr. unsec. notes | ||
| 7.875%, 11/1/19 (Luxembourg) | 2,340,000 | 2,304,900 |
| CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes | ||
| 8.00%, 10/1/21 | 1,596,000 | 1,671,810 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 7.25%, 4/1/23 (Canada) | 460,000 | 465,175 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 7.25%, 5/15/22 (Canada) | 1,725,000 | 1,778,906 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 7.25%, 10/15/19 (Canada) | 980,000 | 1,016,554 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 7.00%, 2/15/21 (Canada) | 2,841,000 | 2,926,230 |
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | ||
| notes 7.50%, 4/1/25 (Canada) | 2,255,000 | 2,271,913 |
| Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 | 2,570,000 | 2,625,512 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes | ||
| 3.55%, 3/1/22 (Indonesia) | 201,000 | 186,428 |
| Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.75%, 2/1/22 (Indonesia) | 1,263,000 | 1,294,575 |
| Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 6.875%, 2/15/23 (Indonesia) | 1,943,000 | 2,006,148 |
| GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. | ||
| notes 9.50%, 2/1/23 | 2,170,000 | 2,462,950 |
| Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. | ||
| notes 7.375%, 12/15/23 | 510,000 | 535,500 |
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.625%, 1/15/25 (Canada) | 915,000 | 992,775 |
| Huntsman International, LLC company guaranty sr. unsec. notes | ||
| 5.125%, 11/15/22 | 868,000 | 907,060 |
| Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 2,383,000 | 2,680,875 |
| Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A | ||
| company guaranty sr. unsec. notes 10.50%, 4/15/23 | 2,171,000 | 2,491,223 |
| Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A | ||
| company guaranty sr. unsec. notes 7.00%, 4/15/25 | 1,532,000 | 1,553,065 |
| Mercer International, Inc. company guaranty sr. unsec. notes | ||
| 7.75%, 12/1/22 (Canada) | 3,146,000 | 3,367,164 |
| Mercer International, Inc. 144A sr. unsec. notes 6.50%, | ||
| 2/1/24 (Canada) | 1,568,000 | 1,571,920 |
| New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 6.25%, 11/15/22 (Canada) | 2,813,000 | 2,823,549 |
| 28 Diversified Income Trust |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Basic materials cont. | |||
| Norbord, Inc. 144A company guaranty sr. notes 6.25%, | |||
| 4/15/23 (Canada) | $2,755,000 | $2,906,525 | |
| Novelis Corp. 144A company guaranty sr. unsec. bonds | |||
| 5.875%, 9/30/26 | 2,740,000 | 2,798,225 | |
| Novelis Corp. 144A company guaranty sr. unsec. notes | |||
| 6.25%, 8/15/24 | 3,000,000 | 3,120,000 | |
| Olin Corp. sr. unsec. bonds 5.125%, 9/15/27 | 915,000 | 930,464 | |
| Platform Specialty Products Corp. 144A sr. unsec. notes | |||
| 10.375%, 5/1/21 | 296,000 | 329,300 | |
| PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 | 625,000 | 664,063 | |
| Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. | |||
| unsub. notes 7.50%, 11/20/25 (Ireland) | 2,446,000 | 2,867,935 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6.375%, 8/15/22 | 305,000 | 317,581 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
| 5.50%, 10/1/24 | 1,985,000 | 2,074,325 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
| 5.25%, 4/15/23 | 1,557,000 | 1,615,388 | |
| Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26 | 620,000 | 627,750 | |
| Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | |||
| 4.75%, 1/15/22 (Canada) | 763,000 | 787,950 | |
| Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes | |||
| 3.75%, 2/1/23 (Canada) | 672,000 | 652,680 | |
| TMS International Corp. 144A company guaranty sr. unsec. sub. | |||
| notes 7.625%, 10/15/21 | 3,112,000 | 3,139,230 | |
| Tronox Finance, LLC 144A company guaranty sr. unsec. notes | |||
| 7.50%, 3/15/22 | 671,000 | 694,485 | |
| U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6.375%, 6/1/24 | 660,000 | 683,100 | |
| U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
| 6.375%, 6/1/24 | 860,000 | 890,100 | |
| Univar USA, Inc. 144A company guaranty sr. unsec. notes | |||
| 6.75%, 7/15/23 | 359,000 | 372,463 | |
| USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 | 2,621,000 | 2,725,840 | |
| Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes | |||
| 6.00%, 2/1/23 | 1,745,000 | 1,692,650 | |
| WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes | |||
| 5.625%, 10/1/24 | 4,805,000 | 5,063,269 | |
| 117,520,378 | |||
| Capital goods (1.9%) | |||
| Advanced Disposal Services, Inc. 144A sr. unsec. notes | |||
| 5.625%, 11/15/24 | 3,310,000 | 3,343,100 | |
| ARD Finance SA sr. notes Ser. REGS, 6.625%, 9/15/23 | |||
| (Luxembourg) ‡‡ | EUR | 600,000 | 659,410 |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | |||
| company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) | $3,765,000 | 4,023,844 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | |||
| company guaranty sr. unsec. notes 6.00%, 2/15/25 (Ireland) | 1,390,000 | 1,405,638 | |
| ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, | |||
| 6/15/23 (Canada) | 2,699,000 | 2,806,960 | |
| Diversified Income Trust 29 |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Capital goods cont. | |||
| Belden, Inc. 144A company guaranty sr. unsec. sub. notes | |||
| 5.50%, 9/1/22 | $690,000 | $703,800 | |
| Belden, Inc. 144A company guaranty sr. unsec. sub. notes | |||
| 5.25%, 7/15/24 | 3,012,000 | 3,004,470 | |
| Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) | 2,679,000 | 2,940,203 | |
| Briggs & Stratton Corp. company guaranty sr. unsec. notes | |||
| 6.875%, 12/15/20 | 2,780,000 | 3,044,100 | |
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds | |||
| 7.375%, 12/15/26 | 2,765,000 | 3,172,838 | |
| Gates Global, LLC/Gates Global Co. 144A company guaranty sr. | |||
| unsec. notes 6.00%, 7/15/22 | 6,114,000 | 6,228,638 | |
| KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 | 2,330,000 | 2,402,813 | |
| Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) | 1,150,000 | 1,488,373 | |
| MasTec, Inc. company guaranty sr. unsec. unsub. notes | |||
| 4.875%, 3/15/23 | 3,298,000 | 3,256,775 | |
| Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France) | EUR | 600,000 | 620,698 |
| Oshkosh Corp. company guaranty sr. unsec. sub. notes | |||
| 5.375%, 3/1/25 | $1,865,000 | 1,925,613 | |
| Oshkosh Corp. company guaranty sr. unsec. sub. notes | |||
| 5.375%, 3/1/22 | 2,444,000 | 2,538,705 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds | |||
| Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes | |||
| 7.00%, 7/15/24 | 1,838,000 | 1,967,809 | |
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes | |||
| 5.375%, 12/15/24 | 2,920,000 | 2,998,460 | |
| TI Group Automotive Systems, LLC 144A sr. unsec. notes | |||
| 8.75%, 7/15/23 | 4,034,000 | 4,279,388 | |
| TransDigm, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6.50%, 7/15/24 | 2,155,000 | 2,184,631 | |
| TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes | |||
| 6.50%, 5/15/25 | 645,000 | 650,644 | |
| Welbilt, Inc. sr. unsec. notes 9.50%, 2/15/24 | 3,000,000 | 3,457,500 | |
| ZF North America Capital, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.75%, 4/29/25 | 3,676,000 | 3,804,660 | |
| 62,909,070 | |||
| Communication services (3.8%) | |||
| Altice Financing SA 144A company guaranty sr. notes 6.625%, | |||
| 2/15/23 (Luxembourg) | 1,050,000 | 1,092,000 | |
| Altice Financing SA 144A company guaranty sr. unsub. notes | |||
| 7.50%, 5/15/26 (Luxembourg) | 670,000 | 711,875 | |
| Altice Finco SA 144A company guaranty sr. unsec. unsub. notes | |||
| 7.625%, 2/15/25 (Luxembourg) | 540,000 | 571,050 | |
| Altice SA 144A company guaranty sr. unsec. notes 7.75%, | |||
| 5/15/22 (Luxembourg) | 5,005,000 | 5,305,300 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | |||
| guaranty sr. unsec. bonds 5.50%, 5/1/26 | 2,830,000 | 2,929,050 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | |||
| guaranty sr. unsec. notes 5.875%, 4/1/24 | 2,520,000 | 2,658,600 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | |||
| notes 5.75%, 2/15/26 | 527,000 | 553,350 | |
| 30 Diversified Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Communication services cont. | ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| unsub. notes 5.125%, 5/1/23 | $5,387,000 | $5,548,610 |
| CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 | 661,000 | 689,093 |
| CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 | 380,000 | 398,392 |
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
| 144A sr. sub. notes 7.75%, 7/15/25 | 2,220,000 | 2,454,488 |
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
| 144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 1,610,000 | 1,632,138 |
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. | ||
| 144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 1,212,000 | 1,230,180 |
| CommScope Technologies Finance, LLC 144A sr. unsec. notes | ||
| 6.00%, 6/15/25 | 1,160,000 | 1,215,100 |
| CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 5,050,000 | 5,031,063 |
| CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 | 2,060,000 | 2,229,950 |
| CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 | 2,010,000 | 2,331,600 |
| Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica) | 1,456,000 | 1,251,286 |
| Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, | ||
| 3/1/23 (Jamaica) | 5,175,000 | 4,625,156 |
| Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 | 890,000 | 865,525 |
| Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 | 2,251,000 | 2,279,138 |
| Frontier Communications Corp. sr. unsec. unsub. notes | ||
| 7.625%, 4/15/24 | 475,000 | 406,125 |
| Inmarsat Finance PLC company guaranty sr. unsec. unsub. notes | ||
| Ser. REGS, 4.875%, 5/15/22 (United Kingdom) | 1,396,000 | 1,382,040 |
| Intelsat Luxembourg SA company guaranty sr. unsec. bonds | ||
| 7.75%, 6/1/21 (Luxembourg) | 962,000 | 577,200 |
| Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds | ||
| 8.125%, 6/1/23 (Luxembourg) | 4,316,000 | 2,608,483 |
| Neptune Finco Corp. 144A sr. unsec. unsub. notes | ||
| 10.875%, 10/15/25 | 1,765,000 | 2,122,413 |
| SFR Group SA 144A company guaranty sr. notes 7.375%, | ||
| 5/1/26 (France) | 670,000 | 690,100 |
| SFR Group SA 144A company guaranty sr. notes 6.00%, | ||
| 5/15/22 (France) | 3,679,000 | 3,812,364 |
| SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) | 4,231,000 | 4,262,733 |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 11/15/28 | 955,000 | 1,008,719 |
| Sprint Communications, Inc. 144A company guaranty sr. unsec. | ||
| notes 9.00%, 11/15/18 | 2,303,000 | 2,507,391 |
| Sprint Corp. company guaranty sr. unsec. sub. notes | ||
| 7.875%, 9/15/23 | 10,036,000 | 11,114,870 |
| Sprint Corp. company guaranty sr. unsec. sub. notes | ||
| 7.25%, 9/15/21 | 3,845,000 | 4,150,678 |
| Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/ | ||
| Sprint Spectrum Co. III, LL 144A company guaranty sr. notes | ||
| 3.36%, 9/20/21 | 1,485,000 | 1,481,288 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 4/1/23 | 2,443,000 | 2,601,795 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | ||
| 6.375%, 3/1/25 | 3,740,000 | 4,029,850 |
| Diversified Income Trust 31 |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Communication services cont. | |||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 6.00%, 3/1/23 | $1,889,000 | $2,017,074 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 5.375%, 4/15/27 | 1,010,000 | 1,042,825 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 4.00%, 4/15/22 | 555,000 | 564,019 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6.125%, 1/15/22 | 4,357,000 | 4,585,743 | |
| Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, | |||
| 8/15/24 (Luxembourg) | EUR | 2,690,000 | 3,158,180 |
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
| company guaranty sr. notes 5.625%, 4/15/23 (Germany) | EUR | 1,220,000 | 1,378,826 |
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
| company guaranty sr. notes Ser. REGS, 5.75%, 1/15/23 (Germany) | EUR | 542,700 | 609,750 |
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A | |||
| company guaranty sr. notes 5.125%, 1/21/23 (Germany) | EUR | 1,725,300 | 1,922,233 |
| Videotron Ltd./Videotron Ltee. 144A sr. unsec. bonds 5.125%, | |||
| 4/15/27 (Canada) | $955,000 | 964,550 | |
| Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, | |||
| 7/15/22 (Canada) | 3,535,000 | 3,685,238 | |
| Virgin Media Finance PLC 144A company guaranty sr. unsec. | |||
| unsub. notes 4.50%, 1/15/25 (United Kingdom) | EUR | 3,165,000 | 3,480,618 |
| Virgin Media Secured Finance PLC 144A company guaranty sr. | |||
| bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 1,350,000 | 1,704,627 |
| West Corp. 144A company guaranty sr. unsec. sub. notes | |||
| 5.375%, 7/15/22 | $2,307,000 | 2,266,628 | |
| WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | |||
| company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 | 1,937,000 | 2,016,901 | |
| Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
| 4.00%, 7/15/20 (Luxembourg) | EUR | 2,375,000 | 2,574,821 |
| Windstream Services, LLC company guaranty sr. unsec. notes | |||
| 6.375%, 8/1/23 | $6,072,000 | 5,388,900 | |
| Ziggo Bond Finance BV 144A sr. unsec. bonds 4.625%, | |||
| 1/15/25 (Netherlands) | EUR | 1,025,000 | 1,134,333 |
| 126,854,259 | |||
| Consumer cyclicals (4.7%) | |||
| ADT Corp. (The) company guaranty sr. unsub. notes | |||
| 4.125%, 6/15/23 | $671,000 | 640,805 | |
| AMC Entertainment Holdings, Inc. company guaranty sr. unsec. | |||
| sub. notes 5.875%, 2/15/22 | 1,707,000 | 1,781,681 | |
| AMC Entertainment Holdings, Inc. company guaranty sr. unsec. | |||
| sub. notes 5.75%, 6/15/25 | 939,000 | 962,475 | |
| AMC Entertainment Holdings, Inc. 144A company guaranty sr. | |||
| unsec. sub. bonds 6.125%, 5/15/27 | 671,000 | 676,871 | |
| AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds | |||
| 5.875%, 11/15/26 | 605,000 | 611,050 | |
| American Builders & Contractors Supply Co., Inc. 144A sr. unsec. | |||
| notes 5.75%, 12/15/23 | 1,977,000 | 2,051,138 | |
| American Tire Distributors, Inc. 144A sr. unsec. sub. notes | |||
| 10.25%, 3/1/22 | 2,540,000 | 2,584,450 | |
| 32 Diversified Income Trust |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Consumer cyclicals cont. | |||
| Bon-Ton Department Stores, Inc. (The) company guaranty notes | |||
| 8.00%, 6/15/21 | $2,336,000 | $934,400 | |
| Boyd Gaming Corp. company guaranty sr. unsec. sub. notes | |||
| 6.875%, 5/15/23 | 936,000 | 1,008,540 | |
| Brookfield Residential Properties, Inc. 144A company guaranty sr. | |||
| unsec. notes 6.50%, 12/15/20 (Canada) | 1,030,000 | 1,064,763 | |
| Brookfield Residential Properties, Inc./Brookfield Residential | |||
| US Corp. 144A company guaranty sr. unsec. notes 6.125%, | |||
| 7/1/22 (Canada) | 2,485,000 | 2,572,472 | |
| Caesars Growth Properties Holdings, LLC/Caesars Growth | |||
| Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 | 1,720,000 | 1,849,000 | |
| CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes | |||
| 6.25%, 12/15/21 | 2,966,000 | 3,240,355 | |
| CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes | |||
| 5.875%, 11/15/24 | 835,000 | 876,750 | |
| CBS Radio, Inc. 144A company guaranty sr. unsec. notes | |||
| 7.25%, 11/1/24 | 545,000 | 572,250 | |
| CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 | 660,000 | 673,200 | |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
| Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 | 945,000 | 968,625 | |
| Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
| 5.125%, 12/15/22 | 916,000 | 934,320 | |
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
| 4.875%, 6/1/23 | 2,061,000 | 2,082,641 | |
| Cirsa Funding Luxembourg SA company guaranty sr. unsec. notes | |||
| Ser. REGS, 5.875%, 5/15/23 (Luxembourg) | EUR | 600,000 | 674,084 |
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. | |||
| unsec. sub. notes 7.625%, 3/15/20 | $978,000 | 985,335 | |
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. | |||
| unsec. unsub. notes 6.50%, 11/15/22 | 4,577,000 | 4,760,080 | |
| Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 | 2,770,000 | 2,894,650 | |
| Diamond Resorts International, Inc. 144A sr. unsec. notes | |||
| 10.75%, 9/1/24 | 1,110,000 | 1,154,400 | |
| Eagle II Acquisition Co., LLC 144A sr. unsec. unsub. notes | |||
| 6.00%, 4/1/25 | 535,000 | 551,050 | |
| Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes | |||
| 7.00%, 8/1/23 | 3,775,000 | 4,048,688 | |
| Gartner, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.125%, 4/1/25 | 1,075,000 | 1,095,156 | |
| General Motors Financial Co., Inc. company guaranty sr. unsec. | |||
| notes 4.00%, 10/6/26 | 1,425,000 | 1,404,370 | |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | |||
| sub. notes 4.875%, 11/1/20 | 3,321,000 | 3,476,091 | |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | |||
| unsub. notes 5.375%, 4/15/26 | 1,000,000 | 1,032,500 | |
| Gray Television, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.875%, 7/15/26 | 935,000 | 951,363 | |
| Great Canadian Gaming Corp. 144A company guaranty sr. unsec. | |||
| notes 6.625%, 7/25/22 (Canada) | CAD | 3,471,000 | 2,698,159 |
| Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, | |||
| 1/15/40 (Mexico) | $900,000 | 980,166 | |
| Diversified Income Trust 33 |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Consumer cyclicals cont. | |||
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
| 4.625%, 5/15/24 | $1,375,000 | $1,356,094 | |
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. | |||
| 144A sr. unsec. bonds 4.875%, 4/1/27 | 2,080,000 | 2,100,800 | |
| Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 | 1,775,000 | 1,757,250 | |
| iHeartCommunications, Inc. company guaranty sr. notes | |||
| 9.00%, 12/15/19 | 581,000 | 497,046 | |
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes | |||
| 5.875%, 3/15/21 | 1,346,000 | 1,388,264 | |
| Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company | |||
| guaranty notes 10.25%, 11/15/22 | 3,305,000 | 3,543,588 | |
| Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company | |||
| guaranty sr. notes 6.75%, 11/15/21 | 4,415,000 | 4,569,525 | |
| Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 | 645,000 | 663,544 | |
| JC Penney Corp., Inc. company guaranty sr. unsec. bonds | |||
| 8.125%, 10/1/19 | 1,425,000 | 1,539,000 | |
| JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes | |||
| 5.65%, 6/1/20 | 603,000 | 596,970 | |
| Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, | |||
| 10/15/19 ‡‡ | 700,000 | 677,250 | |
| Lamar Media Corp. company guaranty sr. unsec. sub. notes | |||
| 5.875%, 2/1/22 | 2,337,000 | 2,414,822 | |
| Lamar Media Corp. company guaranty sr. unsec. sub. notes | |||
| 5.375%, 1/15/24 | 1,180,000 | 1,218,350 | |
| Lennar Corp. company guaranty sr. unsec. unsub. bonds | |||
| 4.50%, 11/15/19 | 1,000,000 | 1,028,750 | |
| Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes | |||
| 5.875%, 11/1/24 | 1,817,000 | 1,882,866 | |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | |||
| notes 4.875%, 11/1/24 | 845,000 | 845,000 | |
| Masonite International Corp. 144A company guaranty sr. unsec. | |||
| notes 5.625%, 3/15/23 | 2,627,000 | 2,680,826 | |
| Matalan Finance PLC sub. notes Ser. REGS, 6.875%, 6/1/19 | |||
| (United Kingdom) | GBP | 600,000 | 635,371 |
| Mattamy Group Corp. 144A sr. unsec. notes 6.875%, | |||
| 12/15/23 (Canada) | $455,000 | 472,063 | |
| Mattamy Group Corp. 144A sr. unsec. notes 6.50%, | |||
| 11/15/20 (Canada) | 2,586,000 | 2,637,720 | |
| Navistar International Corp. company guaranty sr. unsec. notes | |||
| 8.25%, 11/1/21 | 4,117,000 | 4,117,000 | |
| Neiman Marcus Group, LLC (The) company guaranty sr. notes | |||
| 7.125%, 6/1/28 | 1,317,000 | 1,009,151 | |
| Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. | |||
| notes 8.75%, 10/15/21 ‡‡ | 1,462,000 | 822,375 | |
| Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. | |||
| notes 8.00%, 10/15/21 | 1,280,000 | 770,714 | |
| Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. | |||
| notes 5.625%, 8/1/24 | 490,000 | 497,350 | |
| Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. | |||
| unsec. notes 5.00%, 2/1/25 (Luxembourg) | 1,020,000 | 1,016,175 | |
| 34 Diversified Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Consumer cyclicals cont. | ||
| Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. | ||
| unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) | $735,000 | $760,725 |
| Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty | ||
| sr. unsec. sub. notes 5.00%, 4/15/22 | 1,272,000 | 1,300,620 |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. | ||
| company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 | 2,510,000 | 2,629,225 |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. | ||
| company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 | 307,000 | 316,978 |
| Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 | 2,207,000 | 2,276,240 |
| Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 1,260,000 | 1,250,550 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.75%, 10/1/22 | 4,243,000 | 4,391,505 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.50%, 5/15/26 | 733,000 | 718,340 |
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. | ||
| notes 5.375%, 12/1/24 | 1,901,000 | 1,905,753 |
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.875%, 6/15/32 | 1,625,000 | 1,824,063 |
| Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 | 2,845,000 | 2,948,131 |
| Ritchie Bros Auctioneers, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 1/15/25 (Canada) | 345,000 | 352,763 |
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. | ||
| 144A sr. notes 6.125%, 8/15/21 | 2,360,000 | 2,395,400 |
| Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 | 2,410,000 | 2,464,225 |
| Scientific Games International, Inc. company guaranty sr. unsec. | ||
| notes 10.00%, 12/1/22 | 6,707,000 | 7,151,339 |
| Scientific Games International, Inc. company guaranty sr. unsec. | ||
| sub. notes 6.25%, 9/1/20 | 1,000,000 | 947,500 |
| Scientific Games International, Inc. 144A company guaranty sr. | ||
| notes 7.00%, 1/1/22 | 4,046,000 | 4,319,105 |
| Sinclair Television Group, Inc. 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 8/1/24 | 4,682,000 | 4,740,525 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 6.00%, 7/15/24 | 1,848,000 | 1,981,980 |
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 4/15/27 | 2,425,000 | 2,418,938 |
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. | ||
| unsub. notes 4.875%, 7/31/24 | 3,030,000 | 2,999,700 |
| Spectrum Brands, Inc. company guaranty sr. unsec. notes | ||
| 5.75%, 7/15/25 | 2,045,000 | 2,162,588 |
| Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.625%, 11/15/22 | 90,000 | 94,613 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 2,127,000 | 2,154,906 |
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming | ||
| Finance Corp. 144A sr. notes 6.375%, 6/1/21 | 3,699,000 | 3,726,743 |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
| 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 | 1,170,000 | 1,209,488 |
| Tempur Sealy International, Inc. company guaranty sr. unsec. | ||
| unsub. bonds 5.50%, 6/15/26 | 671,000 | 661,606 |
| Townsquare Media, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.50%, 4/1/23 | 671,000 | 670,161 |
| Diversified Income Trust 35 |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Consumer cyclicals cont. | |||
| Tribune Media Co. company guaranty sr. unsec. notes | |||
| 5.875%, 7/15/22 | $2,725,000 | $2,840,813 | |
| Univision Communications, Inc. 144A company guaranty sr. sub. | |||
| notes 5.125%, 2/15/25 | 2,853,000 | 2,806,639 | |
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | |||
| bonds 5.00%, 9/1/26 | 1,220,000 | 1,146,800 | |
| 161,097,704 | |||
| Consumer staples (1.5%) | |||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | |||
| notes 6.00%, 4/1/22 (Canada) | 5,710,000 | 5,924,125 | |
| Ashtead Capital, Inc. 144A company guaranty notes | |||
| 6.50%, 7/15/22 | 3,536,000 | 3,677,440 | |
| BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A | |||
| company guaranty sub. notes 9.25%, 3/15/24 | 3,921,000 | 4,014,124 | |
| CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes | |||
| 8.00%, 2/15/22 | 1,892,000 | 1,970,045 | |
| Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 | 6,489,000 | 6,837,459 | |
| Dean Foods Co. 144A company guaranty sr. unsec. notes | |||
| 6.50%, 3/15/23 | 2,870,000 | 2,999,150 | |
| Europcar Groupe SA sub. notes Ser. REGS, 5.75%, 6/15/22 (France) | EUR | 600,000 | 670,272 |
| Fresh Market, Inc. (The) 144A company guaranty sr. notes | |||
| 9.75%, 5/1/23 | $1,388,000 | 1,120,810 | |
| High Ridge Brands Co. 144A company guaranty sr. unsec. notes | |||
| 8.875%, 3/15/25 | 1,705,000 | 1,739,100 | |
| JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%, | |||
| 2/1/20 (Brazil) | 680,000 | 697,000 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 1,680,000 | 1,709,400 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | 1,680,000 | 1,715,700 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.875%, 11/1/26 | 1,799,000 | 1,834,980 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.625%, 11/1/24 | 440,000 | 448,800 | |
| Landry’s, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 1,115,000 | 1,156,813 | |
| Pilgrim’s Pride Corp. 144A company guaranty sr. unsec. notes | |||
| 5.75%, 3/15/25 | 1,000,000 | 1,007,500 | |
| Pizzaexpress Financing 2 PLC company guaranty sr. notes | |||
| Ser. REGS, 6.625%, 8/1/21 (United Kingdom) | GBP | 600,000 | 770,962 |
| Prestige Brands, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.375%, 12/15/21 | $1,443,000 | 1,468,253 | |
| Revlon Consumer Products Corp. company guaranty sr. unsec. | |||
| notes 6.25%, 8/1/24 | 882,000 | 879,795 | |
| Revlon Consumer Products Corp. company guaranty sr. unsec. | |||
| sub. notes 5.75%, 2/15/21 | 3,428,000 | 3,423,715 | |
| Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes | |||
| 6.125%, 4/1/23 | 3,982,000 | 3,947,158 | |
| WhiteWave Foods Co. (The) company guaranty sr. unsec. notes | |||
| 5.375%, 10/1/22 | 2,208,000 | 2,398,440 | |
| 50,411,041 | |||
| 36 Diversified Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Energy (5.0%) | ||
| Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A | ||
| company guaranty sr. unsec. notes 7.875%, 12/15/24 | $5,891,000 | $6,141,368 |
| Antero Resources Corp. company guaranty sr. unsec. notes | ||
| 5.625%, 6/1/23 | 1,553,000 | 1,587,943 |
| Antero Resources Finance Corp. company guaranty sr. unsec. sub. | ||
| notes 5.375%, 11/1/21 | 2,529,000 | 2,597,511 |
| Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. | ||
| unsec. notes 10.00%, 4/1/22 | 1,064,000 | 1,101,240 |
| Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes | ||
| 5.625%, 6/1/24 (Canada) | 588,000 | 517,440 |
| Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes | ||
| 5.125%, 6/1/21 (Canada) | 407,000 | 366,809 |
| California Resources Corp. company guaranty sr. unsec. sub. notes | ||
| 5.00%, 1/15/20 | 1,042,000 | 858,348 |
| California Resources Corp. 144A company guaranty notes | ||
| 8.00%, 12/15/22 | 3,873,000 | 3,146,813 |
| Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 2,250,000 | 2,570,625 |
| Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. | ||
| notes 5.875%, 3/31/25 | 3,982,000 | 4,151,235 |
| Chesapeake Energy Corp. company guaranty sr. unsec. notes | ||
| 5.75%, 3/15/23 | 302,000 | 274,820 |
| Chesapeake Energy Corp. 144A company guaranty notes | ||
| 8.00%, 12/15/22 | 2,744,000 | 2,874,340 |
| Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 8.00%, 1/15/25 | 1,429,000 | 1,429,000 |
| Concho Resources, Inc. company guaranty sr. unsec. notes | ||
| 5.50%, 4/1/23 | 3,770,000 | 3,901,950 |
| Concho Resources, Inc. company guaranty sr. unsec. notes | ||
| 4.375%, 1/15/25 | 950,000 | 955,938 |
| Concho Resources, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.50%, 10/1/22 | 215,000 | 222,256 |
| Continental Resources, Inc. company guaranty sr. unsec. bonds | ||
| 4.90%, 6/1/44 | 1,327,000 | 1,141,220 |
| Continental Resources, Inc. company guaranty sr. unsec. notes | ||
| 3.80%, 6/1/24 | 5,536,000 | 5,148,480 |
| Continental Resources, Inc. company guaranty sr. unsec. unsub. | ||
| notes 4.50%, 4/15/23 | 1,152,000 | 1,121,034 |
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.375%, 8/15/21 | 473,000 | 387,860 |
| Denbury Resources, Inc. 144A company guaranty notes | ||
| 9.00%, 5/15/21 | 1,758,000 | 1,854,690 |
| Diamondback Energy, Inc. 144A company guaranty sr. unsec. | ||
| notes 5.375%, 5/31/25 | 2,756,000 | 2,824,900 |
| Diamondback Energy, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.75%, 11/1/24 | 720,000 | 724,248 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
| notes 8.125%, 9/15/23 | 2,159,000 | 2,293,938 |
| EP Energy, LLC/Everest Acquisition Finance, Inc. company | ||
| guaranty sr. unsec. sub. notes 9.375%, 5/1/20 | 4,835,000 | 4,556,988 |
| EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company | ||
| guaranty notes 8.00%, 2/15/25 | 1,940,000 | 1,804,200 |
| Diversified Income Trust 37 |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Energy cont. | ||
| EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company | ||
| guaranty sr. notes 8.00%, 11/29/24 | $1,151,000 | $1,208,550 |
| FTS International, Inc. company guaranty sr. notes 6.25%, 5/1/22 | 671,000 | 587,125 |
| Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes | ||
| 9.25%, 4/23/19 (Russia) | 1,042,000 | 1,170,948 |
| Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 | 1,280,000 | 1,508,087 |
| KCA Deutag UK Finance PLC 144A company guaranty sr. notes | ||
| 9.875%, 4/1/22 (United Kingdom) ## | 1,565,000 | 1,604,125 |
| Laredo Petroleum, Inc. company guaranty sr. unsec. notes | ||
| 7.375%, 5/1/22 | 133,000 | 137,988 |
| Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes | ||
| 5.625%, 1/15/22 | 315,000 | 314,213 |
| Lukoil International Finance BV 144A company guaranty sr. unsec. | ||
| notes 4.563%, 4/24/23 (Russia) | 1,700,000 | 1,744,625 |
| Lukoil International Finance BV 144A company guaranty sr. unsec. | ||
| unsub. bonds 6.656%, 6/7/22 (Russia) | 2,380,000 | 2,679,809 |
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, | ||
| 3/31/24 (Canada) | 253,000 | 226,435 |
| MEG Energy Corp. 144A company guaranty sr. unsec. notes | ||
| 6.375%, 1/30/23 (Canada) | 1,051,000 | 939,331 |
| MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 575,000 | 575,000 |
| Murray Energy Corp. 144A notes 11.25%, 4/15/21 | 671,000 | 518,348 |
| Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 2,983,000 | 3,165,709 |
| Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 | 2,095,000 | 2,188,018 |
| Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.875%, 1/15/23 | 818,000 | 830,270 |
| Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 3/15/22 | 2,553,000 | 2,616,825 |
| Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty | ||
| sr. unsec. sub. notes 5.375%, 1/15/25 | 635,000 | 642,938 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| bonds 7.25%, 3/17/44 (Brazil) | 4,580,000 | 4,522,750 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 8.75%, 5/23/26 (Brazil) | 3,804,000 | 4,403,130 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 8.375%, 5/23/21 (Brazil) | 8,989,000 | 10,153,076 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 6.25%, 3/17/24 (Brazil) | 7,055,000 | 7,240,194 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 6.125%, 1/17/22 (Brazil) | 2,119,000 | 2,224,950 |
| Petroleos de Venezuela SA company guaranty sr. unsec. bonds | ||
| Ser. REGS, 6.00%, 11/15/26 (Venezuela) | 2,797,000 | 979,230 |
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 4/12/27 (Venezuela) | 11,169,000 | 3,808,629 |
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | ||
| notes Ser. REGS, 9.00%, perpetual maturity (Venezuela) | 3,968,000 | 1,929,440 |
| Petroleos de Venezuela SA 144A company guaranty sr. unsec. | ||
| notes 6.00%, 11/15/26 (Venezuela) | 24,565,000 | 8,600,207 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds | ||
| 5.625%, 1/23/46 (Mexico) | 13,745,000 | 12,289,405 |
| 38 Diversified Income Trust |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Energy cont. | ||
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 6.625%, 6/15/38 (Mexico) | $760,000 | $773,300 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 6.50%, 6/2/41 (Mexico) | 1,000,000 | 996,000 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 6.375%, 1/23/45 (Mexico) | 1,865,000 | 1,818,785 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 4.875%, 1/18/24 (Mexico) | 1,665,000 | 1,679,985 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes | ||
| 4.50%, 1/23/26 (Mexico) | 3,060,000 | 2,933,010 |
| Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, | ||
| 11/15/24 (Canada) | 83,000 | 78,643 |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes | ||
| 7.75%, 12/15/23 (Canada) | 660,000 | 694,650 |
| Range Resources Corp. 144A company guaranty sr. unsec. sub. | ||
| notes 5.75%, 6/1/21 | 3,330,000 | 3,413,250 |
| Rose Rock Midstream LP/Rose Rock Finance Corp. company | ||
| guaranty sr. unsec. sub. notes 5.625%, 11/15/23 | 1,639,000 | 1,606,220 |
| Rose Rock Midstream LP/Rose Rock Finance Corp. company | ||
| guaranty sr. unsec. sub. notes 5.625%, 7/15/22 | 802,000 | 792,480 |
| Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 | 775,000 | 844,596 |
| Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 | 851,000 | 889,582 |
| SemGroup Corp. 144A company guaranty sr. unsec. notes | ||
| 6.375%, 3/15/25 | 1,320,000 | 1,296,900 |
| Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, | ||
| 5/15/20 (Canada) | 1,635,000 | 1,708,575 |
| Seventy Seven Energy, Inc. escrow sr. unsec. notes | ||
| 6.50%, 7/15/22 F | 3,730,000 | 373 |
| SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 | 1,526,000 | 1,564,150 |
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 | 3,520,000 | 3,581,600 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 | 1,100,000 | 1,138,500 |
| Targa Resources Partners LP/Targa Resources Partners Finance | ||
| Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 | 555,000 | 571,650 |
| Tesoro Logistics LP/Tesoro Logistics Finance Corp. company | ||
| guaranty sr. unsec. notes 5.25%, 1/15/25 | 620,000 | 647,900 |
| Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. | ||
| notes 6.75%, 7/15/22 (In default) † | 1,655,000 | 479,950 |
| Weatherford International, Ltd. company guaranty sr. unsec. | ||
| unsub. notes 8.25%, 6/15/23 | 388,000 | 421,950 |
| Weatherford International, Ltd. 144A company guaranty sr. unsec. | ||
| sub. notes 9.875%, 2/15/24 | 720,000 | 833,400 |
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | ||
| notes 5.75%, 3/15/21 | 1,360,000 | 1,351,500 |
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | ||
| notes 5.00%, 3/15/19 | 776,000 | 774,060 |
| WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 565,000 | 628,563 |
| WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 | 2,283,000 | 2,419,980 |
| WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 | 4,387,000 | 4,463,773 |
| 171,767,874 | ||
| Diversified Income Trust 39 |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Financials (4.8%) | |||
| Alliance Data Systems Corp. 144A company guaranty sr. unsec. | |||
| notes 5.375%, 8/1/22 | $2,006,000 | $2,021,045 | |
| Ally Financial, Inc. company guaranty sr. unsec. notes | |||
| 8.00%, 11/1/31 | 5,718,000 | 6,790,125 | |
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 1,193,000 | 1,221,334 | |
| American International Group, Inc. jr. unsec. sub. FRB | |||
| 8.175%, 5/15/58 | 1,221,000 | 1,587,300 | |
| Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB 9.00%, | |||
| perpetual maturity (Spain) | 600,000 | 627,750 | |
| Banco Nacional de Costa Rica 144A sr. unsec. unsub. notes 4.875%, | |||
| 11/1/18 (Costa Rica) | 2,200,000 | 2,232,340 | |
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, | |||
| perpetual maturity | 1,685,000 | 1,838,756 | |
| CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 4,170,000 | 4,352,438 | |
| CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 | 1,415,000 | 1,481,321 | |
| CNG Holdings, Inc./OH 144A sr. notes 9.375%, 5/15/20 | 3,291,000 | 3,003,038 | |
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 2,320,000 | 2,379,462 | |
| Commerzbank AG 144A unsec. sub. notes 8.125%, | |||
| 9/19/23 (Germany) | 785,000 | 919,329 | |
| Credit Acceptance Corp. company guaranty sr. unsec. notes | |||
| 6.125%, 2/15/21 | 1,433,000 | 1,429,418 | |
| Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual | |||
| maturity (Switzerland) | 1,285,000 | 1,304,275 | |
| DFC Finance Corp. 144A company guaranty sr. notes | |||
| 10.50%, 6/15/20 | 1,422,000 | 874,530 | |
| Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 | 3,250,000 | 3,843,125 | |
| Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 3,782,000 | 4,472,215 | |
| ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.25%, 5/1/25 R | 1,335,000 | 1,345,840 | |
| Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. | |||
| notes 8.125%, 7/15/19 ‡‡ | 2,425,000 | 2,425,000 | |
| HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 | 950,000 | 990,375 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | |||
| guaranty sr. unsec. notes 5.875%, 2/1/22 | 3,267,000 | 3,316,005 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. | |||
| unsec. notes 6.75%, 2/1/24 | 1,110,000 | 1,144,688 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. | |||
| unsec. notes 6.25%, 2/1/22 | 1,075,000 | 1,091,125 | |
| Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB | |||
| 7.70%, perpetual maturity (Italy) | 670,000 | 639,850 | |
| iStar, Inc. sr. unsec. notes 6.00%, 4/1/22 R | 725,000 | 735,875 | |
| iStar, Inc. sr. unsec. notes 5.00%, 7/1/19 R | 2,413,000 | 2,428,081 | |
| Liberty Mutual Insurance Co. 144A unsec. sub. notes | |||
| 7.697%, 10/15/97 | 2,775,000 | 3,577,932 | |
| Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13.00%, perpetual | |||
| maturity (United Kingdom) | GBP | 100,000 | 226,838 |
| Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, | |||
| perpetual maturity (United Kingdom) | $2,300,000 | 2,501,250 | |
| LPL Holdings, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.75%, 9/15/25 | 1,930,000 | 1,949,300 | |
| MetLife, Inc. 144A jr. unsec. sub. bonds 9.25%, 4/8/38 | 935,000 | 1,291,469 | |
| 40 Diversified Income Trust |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Financials cont. | |||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
| guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 | $1,255,000 | $1,301,278 | |
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
| guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 | 3,743,000 | 3,789,788 | |
| OneMain Financial Holdings, LLC 144A company guaranty sr. | |||
| unsec. sub. notes 6.75%, 12/15/19 | 892,000 | 932,140 | |
| OneMain Financial Holdings, LLC 144A company guaranty sr. | |||
| unsec. unsub. notes 7.25%, 12/15/21 | 1,480,000 | 1,542,900 | |
| Provident Funding Associates LP/PFG Finance Corp. 144A | |||
| company guaranty sr. unsec. notes 6.75%, 6/15/21 | 2,283,000 | 2,328,660 | |
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, | |||
| perpetual maturity (United Kingdom) | 670,000 | 666,576 | |
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, | |||
| perpetual maturity (United Kingdom) | 2,445,000 | 2,872,875 | |
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, | |||
| perpetual maturity (United Kingdom) | 3,515,000 | 3,466,669 | |
| Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, | |||
| 9/12/23 (United Kingdom) | 1,580,000 | 1,557,185 | |
| Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. | |||
| unsec. unsub. notes 5.298%, 12/27/17 (Russia) | 2,500,000 | 2,549,548 | |
| Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, | |||
| 2/7/22 (Russia) | 2,100,000 | 2,299,500 | |
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | |||
| notes 8.25%, 12/15/20 | 680,000 | 742,900 | |
| Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 | 640,000 | 645,600 | |
| Stearns Holdings, Inc. 144A company guaranty sr. notes | |||
| 9.375%, 8/15/20 | 2,671,000 | 2,697,710 | |
| TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty | |||
| sr. notes 8.50%, 9/15/18 | 2,178,000 | 2,003,760 | |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty | |||
| sr. unsec. unsub. notes 5.875%, 6/15/24 | 1,980,000 | 2,039,400 | |
| UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152%, perpetual | |||
| maturity (Jersey) | EUR | 2,000,000 | 2,232,654 |
| USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21 | $3,620,000 | 3,683,350 | |
| Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
| notes 6.902%, 7/9/20 (Russia) | 3,060,000 | 3,354,525 | |
| Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
| notes 6.80%, 11/22/25 (Russia) | 1,956,000 | 2,180,620 | |
| Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
| notes 5.942%, 11/21/23 (Russia) | 2,200,000 | 2,353,142 | |
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, | |||
| 5/29/18 (Russia) | 22,451,000 | 23,544,992 | |
| VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, | |||
| 10/17/22 (Russia) | 27,040,000 | 29,372,157 | |
| VTB Bank PJSC via VTB Eurasia DAC 144A unsec. sub. FRN 9.50%, | |||
| perpetual maturity (Russia) | 1,110,000 | 1,252,913 | |
| 163,452,271 | |||
| Health care (2.1%) | |||
| AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. | |||
| notes 7.875%, 9/1/23 | 2,780,000 | 2,634,050 | |
| Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 | 2,705,000 | 2,904,494 | |
| Diversified Income Trust 41 |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Health care cont. | ||
| Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 | $482,000 | $484,714 |
| Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | 1,466,000 | 1,506,315 |
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. notes 6.875%, 2/1/22 | 3,438,000 | 2,956,680 |
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. unsub. notes 8.00%, 11/15/19 | 261,000 | 256,106 |
| CHS/Community Health Systems, Inc. company guaranty sr. | ||
| unsec. unsub. notes 7.125%, 7/15/20 | 652,000 | 597,395 |
| Concordia International Corp. 144A company guaranty sr. unsec. | ||
| notes 7.00%, 4/15/23 (Canada) | 2,557,000 | 498,615 |
| Concordia International Corp. 144A sr. notes 9.00%, | ||
| 4/1/22 (Canada) | 325,000 | 232,375 |
| DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, | ||
| 2/1/22 (Netherlands) | 2,673,000 | 2,821,686 |
| Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. | ||
| unsec. unsub. notes 5.375%, 1/15/23 | 4,173,000 | 3,588,780 |
| Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company | ||
| guaranty sr. unsec. notes 6.00%, 2/1/25 (Ireland) | 500,000 | 426,250 |
| Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company | ||
| guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) | 1,965,000 | 1,719,375 |
| Halyard Health, Inc. company guaranty sr. unsec. unsub. notes | ||
| 6.25%, 10/15/22 | 2,717,000 | 2,798,510 |
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 1,642,000 | 1,728,205 |
| HCA, Inc. company guaranty sr. sub. notes 5.875%, 3/15/22 | 2,000,000 | 2,200,000 |
| HCA, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.50%, 2/15/22 | 741,000 | 849,371 |
| Jaguar Holding Co. II/Pharmaceutical Product Development, LLC | ||
| 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 | 3,165,000 | 3,299,513 |
| Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. | ||
| notes 12.50%, 11/1/21 | 1,591,000 | 1,762,033 |
| Mallinckrodt International Finance SA/Mallinckrodt CB, | ||
| LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, | ||
| 4/15/25 (Luxembourg) | 2,404,000 | 2,211,680 |
| Molina Healthcare, Inc. company guaranty sr. unsec. notes | ||
| 5.375%, 11/15/22 | 2,175,000 | 2,255,192 |
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. | ||
| unsub. notes 4.95%, 4/1/24 R | 1,443,000 | 1,485,294 |
| Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics | ||
| SA 144A sr. unsec. notes 6.625%, 5/15/22 | 2,396,000 | 2,228,280 |
| Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 | 2,587,000 | 2,671,078 |
| Service Corp. International/US sr. unsec. unsub. notes | ||
| 5.375%, 5/15/24 | 4,990,000 | 5,191,347 |
| Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes | ||
| 6.50%, 5/15/23 | 1,831,000 | 1,872,198 |
| Tenet Healthcare Corp. company guaranty sr. FRN 4.631%, 6/15/20 | 3,355,000 | 3,371,775 |
| Tenet Healthcare Corp. company guaranty sr. notes | ||
| 6.25%, 11/1/18 | 810,000 | 849,488 |
| Tenet Healthcare Corp. company guaranty sr. sub. notes | ||
| 6.00%, 10/1/20 | 4,416,000 | 4,669,920 |
| Valeant Pharmaceuticals International, Inc. 144A company | ||
| guaranty sr. unsec. notes 6.125%, 4/15/25 | 3,185,000 | 2,452,450 |
| 42 Diversified Income Trust |
| Principal | |||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value | |
| Health care cont. | |||
| Valeant Pharmaceuticals International, Inc. 144A company | |||
| guaranty sr. unsec. notes 5.875%, 5/15/23 | $3,777,000 | $2,931,896 | |
| Valeant Pharmaceuticals International, Inc. 144A company | |||
| guaranty sr. unsec. notes 5.625%, 12/1/21 | 1,062,000 | 854,910 | |
| Valeant Pharmaceuticals International, Inc. 144A company | |||
| guaranty sr. unsec. notes 5.50%, 3/1/23 | 1,705,000 | 1,312,850 | |
| Valeant Pharmaceuticals International, Inc. 144A company | |||
| guaranty sr. unsub. notes 7.00%, 3/15/24 | 1,985,000 | 2,037,106 | |
| Valeant Pharmaceuticals International, Inc. 144A company | |||
| guaranty sr. unsub. notes 6.50%, 3/15/22 | 660,000 | 678,975 | |
| 70,338,906 | |||
| Technology (1.5%) | |||
| Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 | |||
| (In default) † | 3,407,000 | 2,691,530 | |
| Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc. | |||
| company guaranty sr. unsec. notes 5.75%, 4/15/23 | 3,068,000 | 3,217,565 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | |||
| company guaranty sr. unsec. notes 7.125%, 6/15/24 | 5,466,000 | 6,042,548 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes | |||
| 5.45%, 6/15/23 | 2,550,000 | 2,751,483 | |
| First Data Corp. 144A company guaranty sr. unsec. unsub. notes | |||
| 7.00%, 12/1/23 | 2,670,000 | 2,863,575 | |
| First Data Corp. 144A notes 5.75%, 1/15/24 | 2,785,000 | 2,872,728 | |
| First Data Corp. 144A sr. notes 5.375%, 8/15/23 | 1,705,000 | 1,775,331 | |
| Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. | |||
| notes 8.625%, 11/15/24 | 2,235,000 | 2,355,020 | |
| Infor Software Parent LLC/Infor Software Parent, Inc. 144A | |||
| company guaranty sr. unsec. notes 7.125%, 5/1/21 ‡‡ | 4,165,000 | 4,258,713 | |
| Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 | 2,564,000 | 2,634,766 | |
| Iron Mountain, Inc. company guaranty sr. unsec. notes | |||
| 6.00%, 8/15/23 R | 3,445,000 | 3,625,863 | |
| Micron Technology, Inc. company guaranty sr. unsec. unsub. notes | |||
| 5.875%, 2/15/22 | 2,454,000 | 2,564,430 | |
| Solera, LLC /Solera Finance, Inc. 144A sr. unsec. notes | |||
| 10.50%, 3/1/24 | 3,523,000 | 4,025,028 | |
| Techem Energy Metering Service GmbH & Co. KG 144A company | |||
| guaranty sr. unsec. sub. notes 7.875%, 10/1/20 (Germany) | EUR | 1,550,000 | 1,721,136 |
| Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. | |||
| notes 6.875%, 4/30/21 (Germany) | EUR | 3,425,000 | 3,792,633 |
| Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 | $2,922,000 | 3,159,413 | |
| 50,351,762 | |||
| Transportation (0.2%) | |||
| Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 | 4,120,000 | 3,975,800 | |
| Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. | |||
| unsec. notes 6.375%, 4/1/23 | 3,607,000 | 3,661,105 | |
| 7,636,905 | |||
| Utilities and power (1.3%) | |||
| AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 | 2,779,000 | 3,188,903 | |
| AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 | 2,629,000 | 2,668,435 | |
| AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 | 965,000 | 957,763 | |
| AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 | 1,960,000 | 2,214,800 | |
| Diversified Income Trust 43 |
| Principal | ||
| CORPORATE BONDS AND NOTES (30.3%)* cont. | amount | Value |
| Utilities and power cont. | ||
| Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 | $2,635,000 | $2,618,531 |
| Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 | 2,105,000 | 2,202,356 |
| Calpine Corp. 144A company guaranty sr. sub. notes | ||
| 5.875%, 1/15/24 | 510,000 | 538,688 |
| Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. | ||
| unsub. notes 5.75%, 10/27/21 (Brazil) | 500,000 | 508,750 |
| Colorado Interstate Gas Co., LLC company guaranty sr. unsec. | ||
| notes 6.85%, 6/15/37 | 2,495,000 | 2,628,008 |
| Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 | 3,157,000 | 3,125,430 |
| Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 | 1,641,000 | 1,686,128 |
| Dynegy, Inc. company guaranty sr. unsec. unsub. notes | ||
| 7.625%, 11/1/24 | 1,191,000 | 1,137,405 |
| Energy Transfer Equity LP company guaranty sr. notes | ||
| 7.50%, 10/15/20 | 2,415,000 | 2,692,725 |
| Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 | 785,000 | 834,063 |
| GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 | 1,666,000 | 1,087,065 |
| Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A | ||
| company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 | 780,000 | 811,200 |
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 7.25%, 5/15/26 | 1,216,000 | 1,249,440 |
| NRG Energy, Inc. company guaranty sr. unsec. sub. notes | ||
| 7.875%, 5/15/21 | 1,479,000 | 1,519,673 |
| NRG Energy, Inc. 144A company guaranty sr. unsec. bonds | ||
| 6.625%, 1/15/27 | 2,804,000 | 2,796,990 |
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. notes 5.00%, 10/1/22 | 1,655,000 | 1,759,882 |
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 6.50%, 7/15/21 | 499,000 | 515,551 |
| Regency Energy Partners LP/Regency Energy Finance Corp. | ||
| company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 | 2,443,000 | 2,685,067 |
| Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 | 3,692,000 | 3,701,230 |
| 43,128,083 | ||
| Total corporate bonds and notes (cost $1,028,698,110) | $1,025,468,253 | |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (7.1%)* | amount | Value | |
| Argentina (Republic of) sr. unsec. bonds Ser. REGS, 7.625%, | |||
| 4/22/46 (Argentina) | $1,205,000 | $1,218,255 | |
| Argentina (Republic of) 144A sr. unsec. bonds 7.125%, | |||
| 7/6/36 (Argentina) | 24,884,000 | 24,117,548 | |
| Argentina (Republic of) 144A sr. unsec. unsub. bonds 6.625%, | |||
| 7/6/28 (Argentina) | 2,500,000 | 2,450,000 | |
| Argentina (Republic of) 144A sr. unsec. unsub. notes 6.875%, | |||
| 1/26/27 (Argentina) | 10,119,000 | 10,261,911 | |
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.875%, | |||
| 1/22/21 (Brazil) | 3,755,000 | 3,952,138 | |
| Brazil (Federal Republic of) unsec. notes Ser. NTNF, 10.00%, 1/1/23 | |||
| (Brazil) (Units) | BRL | 40,990 | 13,452,229 |
| Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, | |||
| 6/15/27 (Argentina) | $8,610,000 | 8,674,575 | |
| 44 Diversified Income Trust |
| FOREIGN GOVERNMENT AND AGENCY | Principal | ||
| BONDS AND NOTES (7.1%)* cont. | amount | Value | |
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, | |||
| 1/26/21 (Argentina) | $9,195,000 | $10,528,275 | |
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, | |||
| 3/16/24 (Argentina) | 15,559,000 | 17,248,448 | |
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 6.50%, | |||
| 2/15/23 (Argentina) | 3,890,000 | 3,898,558 | |
| Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, | |||
| 6/10/21 (Argentina) | 2,225,000 | 2,305,968 | |
| Costa Rica (Republic of) 144A sr. unsec. unsub. notes 7.00%, 4/4/44 | |||
| (Costa Rica) | 1,500,000 | 1,521,990 | |
| Croatia (Republic of) 144A sr. unsec. unsub. notes 6.00%, | |||
| 1/26/24 (Croatia) | 10,550,000 | 11,670,938 | |
| Egypt (Government of) 144A sr. unsec. bonds 8.50%, | |||
| 1/31/47 (Egypt) | 2,920,000 | 3,142,650 | |
| Egypt (Government of) 144A sr. unsec. notes 6.125%, | |||
| 1/31/22 (Egypt) | 6,415,000 | 6,664,191 | |
| Hellenic (Republic of) sr. unsec. notes 3.375%, 7/17/17 (Greece) | EUR | 5,222,000 | 5,467,713 |
| Hellenic (Republic of) sr. unsec. unsub. bonds 4.75%, | |||
| 4/17/19 (Greece) | EUR | 12,085,000 | 12,182,556 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, 3.00%, | |||
| 2/24/40 (Greece) | EUR | 248,000 | 171,907 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/38 (Greece) †† | EUR | 644,642 | 446,506 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece) †† | EUR | 2,664,000 | 1,869,864 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece) †† | EUR | 814,000 | 592,049 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece) †† | EUR | 6,076,694 | 4,485,516 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece) †† | EUR | 6,508,000 | 4,957,042 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece) †† | EUR | 18,266,966 | 14,150,043 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece) †† | EUR | 12,552,512 | 10,015,544 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece) †† | EUR | 2,477,876 | 2,050,801 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece) †† | EUR | 5,016,500 | 4,196,619 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece) †† | EUR | 13,441,696 | 11,382,487 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece) †† | EUR | 1,141,483 | 982,894 |
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece) †† | EUR | 7,535,000 | 6,612,416 |
| Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, | |||
| 2/17/37 (Indonesia) | $3,255,000 | 4,003,650 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, | |||
| 1/8/46 (Indonesia) | 3,250,000 | 3,818,750 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.125%, | |||
| 1/15/45 (Indonesia) | 6,310,000 | 6,696,488 | |
| Diversified Income Trust 45 |
| FOREIGN GOVERNMENT AND AGENCY | Principal | |
| BONDS AND NOTES (7.1%)* cont. | amount | Value |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, | ||
| 4/15/23 (Indonesia) | $5,860,000 | $5,852,675 |
| Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) | 1,925,000 | 2,041,647 |
| Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, | ||
| 6/24/28 (Russia) | 3,715,000 | 6,538,400 |
| Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, | ||
| 4/4/42 (Russia) | 6,600,000 | 7,251,750 |
| United Mexican States sr. unsec. unsub. notes Ser. MTN, 4.75%, | ||
| 3/8/44 (Mexico) | 150,000 | 146,067 |
| Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, | ||
| 3/31/38 (Venezuela) | 2,900,000 | 1,160,000 |
| Vietnam (Republic of) 144A sr. unsec. bonds 4.80%, | ||
| 11/19/24 (Vietnam) | 600,000 | 611,518 |
| Total foreign government and agency bonds and notes (cost $238,093,898) | $238,792,576 | |
| Principal | ||
| SENIOR LOANS (1.8%)*c | amount | Value |
| Academy, Ltd. bank term loan FRN Ser. B, 5.055%, 7/2/22 | $2,475,246 | $1,825,494 |
| Asurion, LLC bank term loan FRN 8.50%, 3/3/21 | 2,397,000 | 2,420,222 |
| Avaya, Inc. bank term loan FRN Ser. B6, 6.532%, 3/31/18 | ||
| (In default) † | 2,165,986 | 1,709,505 |
| Avaya, Inc. bank term loan FRN Ser. B7, 6.282%, 5/29/20 | ||
| (In default) † | 2,345,156 | 1,863,813 |
| BWAY Corp. bank term loan FRN Ser. B, 3.25%, 3/22/24 | 815,000 | 813,302 |
| Caesars Entertainment Operating Co., Inc. bank term loan FRN | ||
| Ser. B6, 11.75%, 3/1/18 (In default) † | 4,010,095 | 4,624,963 |
| Caesars Growth Properties Holdings, LLC bank term loan FRN | ||
| 6.25%, 5/8/21 | 4,589,704 | 4,609,784 |
| Capital Automotive LP bank term loan FRN 7.00%, 3/24/25 | 671,000 | 677,710 |
| Casella Waste Systems, Inc. bank term loan FRN Ser. B, | ||
| 4.00%, 10/17/23 | 5,017,425 | 5,051,920 |
| Chesapeake Energy Corp. bank term loan FRN 8.553%, 8/23/21 | 3,300,000 | 3,498,000 |
| Del Monte Foods, Inc. bank term loan FRN 8.31%, 8/18/21 | 1,435,000 | 941,719 |
| DPx Holdings BV bank term loan FRN Ser. B, 4.25%, 3/10/21 | 1,534,569 | 1,534,569 |
| First Data Corp. bank term loan FRN 3.984%, 3/24/21 | 649,537 | 654,137 |
| FTS International, Inc. bank term loan FRN Ser. B, 5.75%, 4/16/21 | 2,205,000 | 1,911,459 |
| Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 | 3,621,939 | 3,160,142 |
| iHeartCommunications, Inc. bank term loan FRN Ser. D, | ||
| 7.732%, 1/30/19 | 2,744,000 | 2,355,266 |
| Kronos, Inc./MA bank term loan FRN 9.284%, 11/1/24 | 1,125,000 | 1,158,047 |
| Kronos, Inc./MA bank term loan FRN 5.034%, 11/1/23 | 621,443 | 624,453 |
| MEG Energy Corp. bank term loan FRN 4.54%, 12/31/23 | 2,320,000 | 2,318,756 |
| Navistar, Inc. bank term loan FRN Ser. B, 5.00%, 8/7/20 | 3,184,688 | 3,216,534 |
| Neiman Marcus Group, Ltd., Inc. bank term loan FRN | ||
| 4.25%, 10/25/20 | 2,209,531 | 1,771,768 |
| Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, | ||
| 4.75%, 6/30/21 | 1,397,694 | 1,384,940 |
| Rackspace Hosting, Inc. bank term loan FRN Ser. B, | ||
| 4.535%, 11/3/23 | 649,373 | 653,702 |
| Revlon Consumer Products Corp. bank term loan FRN Ser. B, | ||
| 4.482%, 9/7/23 | 2,268,600 | 2,268,285 |
| Reynolds Group Holdings, Inc. bank term loan FRN 3.982%, 2/5/23 | 1,676,586 | 1,683,134 |
| 46 Diversified Income Trust |
| Principal | ||
| SENIOR LOANS (1.8%)*c cont. | amount | Value |
| Solenis International LP bank term loan FRN 7.804%, 7/31/22 | $435,000 | $428,693 |
| Talbots, Inc. (The) bank term loan FRN 9.50%, 3/19/21 | 2,088,649 | 1,775,351 |
| Talbots, Inc. (The) bank term loan FRN 5.50%, 3/19/20 | 2,287,245 | 2,039,461 |
| Valeant Pharmaceuticals International, Inc. bank term loan FRN | ||
| Ser. BF1, 5.74%, 4/1/22 | 671,000 | 672,491 |
| Valeant Pharmaceuticals International, Inc. bank term loan FRN | ||
| Ser. BF3, 5.75%, 4/1/22 | 739,342 | 740,985 |
| Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, | ||
| 5.03%, 11/30/23 | 1,176,228 | 1,186,520 |
| Total senior loans (cost $62,516,250) | $59,575,125 | |
| PURCHASED SWAP OPTIONS OUTSTANDING (0.3%)* | ||||
| Counterparty | ||||
| Fixed right % to receive or (pay)/ | Expiration | Contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
| Bank of America N.A. | ||||
| 2.3125/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.3125 | $278,289,600 | $470,309 | |
| 1.54/3 month USD-LIBOR-BBA/Jun-18 | Jun-17/1.54 | 417,434,400 | 375,691 | |
| (1.495)/3 month USD-LIBOR-BBA/Jul-18 | Jul-17/1.495 | 417,434,400 | 350,645 | |
| 1.495/3 month USD-LIBOR-BBA/Jul-18 | Jul-17/1.495 | 417,434,400 | 229,589 | |
| 1.698/3 month USD-LIBOR-BBA/Jun-18 | Jun-17/1.698 | 417,434,400 | 100,184 | |
| 2.265/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.265 | 208,716,900 | 96,010 | |
| Barclays Bank PLC | ||||
| 2.62/3 month USD-LIBOR-BBA/May-37 | May-17/2.62 | 139,144,800 | 1,576,511 | |
| (0.51)/3 month GBP-LIBOR-BBA/Sep-18 | Sep-17/0.51 | GBP | 338,648,000 | 271,547 |
| 1.425/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.425 | $417,434,400 | 154,451 | |
| (2.60)/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.60 | 208,716,900 | 62,615 | |
| Citibank, N.A. | ||||
| 2.25/3 month USD-LIBOR-BBA/Sep-27 | Sep-17/2.25 | 278,289,600 | 2,576,962 | |
| 1.6125/3 month USD-LIBOR-BBA/Aug-18 | Aug-17/1.6125 | 556,579,200 | 612,237 | |
| 2.297/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.297 | 208,716,900 | 285,942 | |
| (1.34)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.34 | 417,434,400 | 204,543 | |
| 2.163/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.163 | 208,716,900 | 91,835 | |
| 1.34/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.34 | 417,434,400 | 417 | |
| Credit Suisse International | ||||
| (2.58)/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.58 | 278,289,600 | 41,743 | |
| Goldman Sachs International | ||||
| 1.86375/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.86375 | 417,434,400 | 116,882 | |
| JPMorgan Chase Bank N.A. | ||||
| 2.4427/3 month USD-LIBOR-BBA/May-27 | May-17/2.4427 | 139,144,800 | 1,249,520 | |
| 2.9498/3 month USD-LIBOR-BBA/May-27 | May-17/2.9498 | 139,144,800 | 964,273 | |
| 0.843/6 month EUR-EURIBOR-Reuters/Jun-27 | Jun-17/0.843 | EUR | 47,696,800 | 599,910 |
| 2.3525/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.3525 | $139,144,800 | 386,823 | |
| 1.426/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.426 | 417,434,400 | 141,928 | |
| Total purchased swap options outstanding (cost $24,992,219) | $10,960,567 | |||
| Diversified Income Trust 47 |
| PURCHASED OPTIONS OUTSTANDING (0.3%)* | |||
| Expiration | |||
| date/strike | Contract | ||
| price | amount | Value | |
| EUR/JPY (Call) | Jun-17/JPY 127.50 | EUR 63,117,400 | $84,975 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/$100.95 | $176,000,000 | 256,432 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/100.83 | 176,000,000 | 220,176 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/100.71 | 176,000,000 | 188,320 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | May-17/98.95 | 418,000,000 | 2,483,756 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/98.76 | 176,000,000 | 1,441,088 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/98.63 | 176,000,000 | 1,558,480 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/98.51 | 176,000,000 | 1,681,504 |
| Federal National Mortgage Association 30 yr 2.50% | |||
| TBA commitments (Call) | Apr-17/94.23 | 64,000,000 | 723,776 |
| USD/MXN (Put) | Apr-17/MXN 19.00 | 66,610,400 | 1,188,596 |
| Total purchased options outstanding (cost $12,574,204) | $9,827,103 | ||
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (—%)* | amount | Value |
| CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 9/15/20 | ||
| (Cayman Islands) | $566,658 | $1,019,984 |
| Total convertible bonds and notes (cost $394,257) | $1,019,984 | |
| Principal amount/ | |||
| SHORT-TERM INVESTMENTS (15.6%)* | shares | Value | |
| Federal Home Loan Banks unsec. discount notes 0.767%, 5/12/17 | $40,000,000 | $39,968,360 | |
| Federal Home Loan Banks unsec. discount notes 0.761%, 5/16/17 | 21,540,000 | 21,521,217 | |
| Federal Home Loan Banks unsec. discount notes 0.750%, 4/21/17 | 26,000,000 | 25,991,030 | |
| Federal Home Loan Banks unsec. discount notes 0.750%, 4/12/17 | 23,500,000 | 23,495,935 | |
| Interest in $43,201,000 tri-party repurchase agreement dated | |||
| 3/31/17 with Merrill Lynch, Pierce, Fenner and Smith, Inc. due | |||
| 4/3/17 — maturity value of $43,203,844 for an effective yield | |||
| of 0.790% (collateralized by a mortgage backed security with | |||
| a coupon rate of 4.000% and a due date of 10/1/45, valued | |||
| at $44,065,020) | 43,201,000 | 43,201,000 | |
| Putnam Short Term Investment Fund 0.87% L | Shares | 246,029,562 | 246,029,562 |
| State Street Institutional U.S. Government Money Market Fund, | |||
| Premier Class 0.62% P | Shares | 6,985,000 | 6,985,000 |
| U.S. Treasury Bills 0.769%, 7/13/17 # ∆ § | $97,503,000 | 97,291,028 | |
| U.S. Treasury Bills 0.593%, 4/6/17 # ∆ | 13,635,000 | 13,634,305 | |
| U.S. Treasury Bills 0.523%, 5/18/17 § | 7,647,000 | 7,640,095 | |
| U.S. Treasury Bills 0.509%, 5/11/17 ∆ | 1,412,000 | 1,410,928 | |
| U.S. Treasury Bills 0.509%, 5/4/17 # ∆ | 139,000 | 138,917 | |
| Total short-term investments (cost $527,301,858) | $527,307,377 | ||
| TOTAL INVESTMENTS | |||
| Total investments (cost $6,146,696,203) | $6,067,533,362 | ||
| 48 Diversified Income Trust |
Key to holding’s currency abbreviations
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| HUF | Hungarian Forint |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| USD /$ | United States Dollar |
| ZAR | South African Rand |
Key to holding’s abbreviations
| bp | Basis Points |
| DAC | Designated Activity Company |
| EMTN | Euro Medium Term Notes |
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period |
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period |
| 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. | |
| IO | Interest Only |
| MTN | Medium Term Notes |
| OAO | Open Joint Stock Company |
| OJSC | Open Joint Stock Company |
| OTC | Over-the-counter |
| PJSC | Public Joint Stock Company |
| 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 October 1, 2016 through March 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $3,381,190,264.
† This security is non-income-producing.
†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
# 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.
∆ 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.
| Diversified Income Trust 49 |
§ 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.
## Forward commitment, in part or in entirety (Note 1).
c Senior 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).
F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).
R Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $2,250,489,711 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
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 | 90.7% | Canada | 0.9% | |
| Russia | 1.5 | Brazil | 0.8 | |
| Argentina | 1.3 | Other | 3.5 | |
| Greece | 1.3 | Total | 100.0% | |
| FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $2,208,428,023) (Unaudited) | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
| Bank of America N.A. | ||||||
| Australian Dollar | Buy | 4/19/17 | $22,149,811 | $21,034,048 | $1,115,763 | |
| Brazilian Real | Buy | 4/3/17 | 16,082,316 | 15,501,016 | 581,300 | |
| Brazilian Real | Sell | 4/3/17 | 16,082,316 | 16,241,065 | 158,749 | |
| Brazilian Real | Buy | 7/3/17 | 32,266,139 | 32,422,981 | (156,842) | |
| British Pound | Sell | 6/21/17 | 9,128,734 | 8,896,942 | (231,792) | |
| Canadian Dollar | Buy | 4/19/17 | 19,239,223 | 19,051,492 | 187,731 | |
| Canadian Dollar | Sell | 4/19/17 | 19,239,223 | 19,247,195 | 7,972 | |
| Chilean Peso | Buy | 7/19/17 | 33,524,599 | 33,440,815 | 83,784 | |
| Euro | Buy | 6/21/17 | 13,953,079 | 13,706,114 | 246,965 | |
| 50 Diversified Income Trust |
| FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $2,208,428,023) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
| Bank of America N.A. cont. | ||||||
| Hong Kong Dollar | Buy | 5/17/17 | $632,343 | $633,901 | $(1,558) | |
| Indian Rupee | Buy | 5/17/17 | 16,640,686 | 15,995,921 | 644,765 | |
| Japanese Yen | Buy | 5/17/17 | 9,249 | 109,487 | (100,238) | |
| Mexican Peso | Buy | 7/19/17 | 16,595,267 | 16,479,302 | 115,965 | |
| New Zealand Dollar | Sell | 4/19/17 | 21,850,212 | 21,555,008 | (295,204) | |
| Norwegian Krone | Sell | 6/21/17 | 15,914,989 | 16,163,960 | 248,971 | |
| Singapore Dollar | Sell | 5/17/17 | 16,056,098 | 15,677,443 | (378,655) | |
| Swedish Krona | Buy | 6/21/17 | 16,154,352 | 16,020,118 | 134,234 | |
| Barclays Bank PLC | ||||||
| Australian Dollar | Buy | 4/19/17 | 28,355,163 | 28,631,497 | (276,334) | |
| British Pound | Buy | 6/21/17 | 16,607,456 | 16,151,737 | 455,719 | |
| British Pound | Sell | 6/21/17 | 16,542,058 | 16,234,608 | (307,450) | |
| Canadian Dollar | Buy | 4/19/17 | 7,992,575 | 7,913,195 | 79,380 | |
| Canadian Dollar | Sell | 4/19/17 | 7,992,575 | 7,996,990 | 4,415 | |
| Euro | Sell | 6/21/17 | 1,765,857 | 1,815,876 | 50,019 | |
| Japanese Yen | Sell | 5/17/17 | 20,069,636 | 19,493,906 | (575,730) | |
| New Zealand Dollar | Sell | 4/19/17 | 9,525,685 | 9,312,980 | (212,705) | |
| Swedish Krona | Buy | 6/21/17 | 16,166,517 | 16,027,437 | 139,080 | |
| Swiss Franc | Buy | 6/21/17 | 1,142,391 | 1,133,410 | 8,981 | |
| Citibank, N.A. | ||||||
| Australian Dollar | Buy | 4/19/17 | 2,837,105 | 1,868,794 | 968,311 | |
| Brazilian Real | Buy | 4/3/17 | 16,577,653 | 16,410,435 | 167,218 | |
| Brazilian Real | Sell | 4/3/17 | 16,577,653 | 15,414,727 | (1,162,926) | |
| Brazilian Real | Buy | 7/3/17 | 3,943,201 | 3,988,129 | (44,928) | |
| British Pound | Sell | 6/21/17 | 14,527,397 | 14,267,165 | (260,232) | |
| Canadian Dollar | Buy | 4/19/17 | 32,212,717 | 32,280,141 | (67,423) | |
| Canadian Dollar | Sell | 4/19/17 | 32,244,909 | 31,960,571 | (284,338) | |
| Euro | Sell | 6/21/17 | 14,391,011 | 14,269,144 | (121,867) | |
| Indonesian Rupiah | Buy | 5/17/17 | 15,544,032 | 15,437,265 | 106,767 | |
| Japanese Yen | Buy | 5/17/17 | 929,970 | 913,842 | 16,128 | |
| Mexican Peso | Buy | 4/19/17 | 6,831,973 | 6,093,237 | 738,736 | |
| New Zealand Dollar | Sell | 4/19/17 | 37,791,683 | 38,096,205 | 304,522 | |
| Norwegian Krone | Sell | 6/21/17 | 24,510,447 | 25,002,471 | 492,024 | |
| South African Rand | Sell | 4/19/17 | 213,274 | 744,910 | 531,636 | |
| South African Rand | Sell | 7/19/17 | 15,751,795 | 15,867,561 | 115,766 | |
| Swedish Krona | Buy | 6/21/17 | 33,900,056 | 33,274,587 | 625,469 | |
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 4/19/17 | 22,166,386 | 22,000,877 | 165,509 | |
| British Pound | Sell | 6/21/17 | 286,822 | 282,192 | (4,630) | |
| Canadian Dollar | Buy | 4/19/17 | 140,801 | 140,875 | (74) | |
| Canadian Dollar | Sell | 4/19/17 | 140,801 | 139,385 | (1,416) | |
| Euro | Sell | 6/21/17 | 17,204,155 | 17,111,657 | (92,498) | |
| Hong Kong Dollar | Sell | 5/17/17 | 708,015 | 706,333 | (1,682) | |
| New Zealand Dollar | Sell | 4/19/17 | 24,173,823 | 24,593,738 | 419,915 | |
| Diversified Income Trust 51 |
| FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $2,208,428,023) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
| Credit Suisse International cont. | ||||||
| Norwegian Krone | Sell | 6/21/17 | $16,707,976 | $16,887,200 | $179,224 | |
| Swedish Krona | Buy | 6/21/17 | 16,288,115 | 16,148,070 | 140,045 | |
| Goldman Sachs International | ||||||
| Australian Dollar | Buy | 4/19/17 | 173,839 | 9,186 | 164,653 | |
| British Pound | Sell | 6/21/17 | 1,942,987 | 1,911,919 | (31,068) | |
| Canadian Dollar | Buy | 4/19/17 | 13,924,353 | 13,503,933 | 420,420 | |
| Euro | Sell | 6/21/17 | 13,459,685 | 13,347,294 | (112,391) | |
| Indian Rupee | Buy | 5/17/17 | 33,335,616 | 32,516,571 | 819,045 | |
| Japanese Yen | Sell | 5/17/17 | 11,821,405 | 11,817,343 | (4,062) | |
| New Zealand Dollar | Sell | 4/19/17 | 38,010,101 | 38,248,242 | 238,141 | |
| Norwegian Krone | Buy | 6/21/17 | 712,035 | 723,772 | (11,737) | |
| South African Rand | Sell | 7/19/17 | 15,580,009 | 16,085,938 | 505,929 | |
| South Korean Won | Buy | 5/17/17 | 32,967,867 | 31,974,037 | 993,830 | |
| South Korean Won | Sell | 5/17/17 | 33,183,207 | 31,682,743 | (1,500,464) | |
| Swedish Krona | Buy | 6/21/17 | 49,867,403 | 49,569,623 | 297,780 | |
| HSBC Bank USA, National Association | ||||||
| Australian Dollar | Buy | 4/19/17 | 1,703,561 | 1,999,997 | (296,436) | |
| Canadian Dollar | Buy | 4/19/17 | 24,103,484 | 23,951,613 | 151,871 | |
| Canadian Dollar | Sell | 4/19/17 | 24,103,484 | 24,105,833 | 2,349 | |
| Euro | Sell | 6/21/17 | 8,429,261 | 8,358,647 | (70,614) | |
| Hong Kong Dollar | Buy | 5/17/17 | 426,658 | 428,425 | (1,767) | |
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Buy | 4/19/17 | 72,358,434 | 70,807,971 | 1,550,463 | |
| Brazilian Real | Buy | 4/3/17 | 16,062,895 | 15,326,917 | 735,978 | |
| Brazilian Real | Sell | 4/3/17 | 16,062,895 | 15,798,461 | (264,434) | |
| Brazilian Real | Sell | 7/3/17 | 5,947 | 6,009 | 62 | |
| British Pound | Sell | 6/21/17 | 2,616,674 | 2,575,230 | (41,444) | |
| Canadian Dollar | Buy | 4/19/17 | 18,434,130 | 18,253,390 | 180,740 | |
| Canadian Dollar | Sell | 4/19/17 | 18,434,130 | 18,456,605 | 22,475 | |
| Czech Koruna | Buy | 7/19/17 | 16,939,513 | 17,056,079 | (116,566) | |
| Czech Koruna | Sell | 7/19/17 | 16,939,513 | 16,811,985 | (127,528) | |
| Euro | Sell | 6/21/17 | 14,815,557 | 14,634,958 | (180,599) | |
| Euro | Buy | 7/19/17 | 16,810,385 | 16,762,732 | 47,653 | |
| Euro | Sell | 7/19/17 | 16,810,385 | 16,920,142 | 109,757 | |
| Hong Kong Dollar | Sell | 5/17/17 | 38,190 | 35,436 | (2,754) | |
| Indonesian Rupiah | Buy | 5/17/17 | 15,547,923 | 15,404,904 | 143,020 | |
| Indonesian Rupiah | Sell | 5/17/17 | 15,568,418 | 15,370,835 | (197,583) | |
| Japanese Yen | Buy | 5/17/17 | 6,935,694 | 7,047,080 | (111,386) | |
| New Zealand Dollar | Sell | 4/19/17 | 37,848,933 | 38,031,346 | 182,413 | |
| Norwegian Krone | Buy | 6/21/17 | 247,023 | 250,793 | (3,770) | |
| South Korean Won | Buy | 5/17/17 | 2,575,619 | 3,580,767 | (1,005,148) | |
| Swedish Krona | Buy | 6/21/17 | 25,731,186 | 25,987,108 | (255,922) | |
| Swiss Franc | Buy | 6/21/17 | 557,856 | 554,634 | 3,222 | |
| 52 Diversified Income Trust |
| FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $2,208,428,023) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
| Royal Bank of Scotland PLC (The) | ||||||
| Australian Dollar | Buy | 4/19/17 | $8,166,845 | $7,750,459 | $416,386 | |
| British Pound | Buy | 6/21/17 | 3,422,538 | 3,168,298 | 254,240 | |
| Canadian Dollar | Buy | 4/19/17 | 26,708,909 | 26,821,942 | (113,033) | |
| Canadian Dollar | Sell | 4/19/17 | 26,708,909 | 26,684,070 | (24,839) | |
| Czech Koruna | Buy | 7/19/17 | 16,939,513 | 17,049,796 | (110,283) | |
| Czech Koruna | Sell | 7/19/17 | 16,939,513 | 16,828,815 | (110,698) | |
| Euro | Sell | 6/21/17 | 21,087,177 | 20,908,182 | (178,995) | |
| Euro | Buy | 7/19/17 | 16,808,563 | 16,760,366 | 48,197 | |
| Euro | Sell | 7/19/17 | 16,808,563 | 16,885,070 | 76,507 | |
| Japanese Yen | Sell | 5/17/17 | 16,584,522 | 16,477,380 | (107,142) | |
| New Zealand Dollar | Buy | 4/19/17 | 24,200,732 | 24,527,947 | (327,215) | |
| New Zealand Dollar | Sell | 4/19/17 | 24,347,674 | 24,162,021 | (185,653) | |
| Norwegian Krone | Buy | 6/21/17 | 7,604,263 | 7,728,987 | (124,724) | |
| Swedish Krona | Buy | 6/21/17 | 25,854,307 | 25,727,153 | 127,154 | |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Buy | 4/19/17 | 16,423,206 | 16,766,682 | (343,476) | |
| British Pound | Sell | 6/21/17 | 19,256,515 | 18,941,988 | (314,527) | |
| Canadian Dollar | Buy | 4/19/17 | 16,995,731 | 16,836,196 | 159,535 | |
| Canadian Dollar | Sell | 4/19/17 | 16,995,731 | 16,910,005 | (85,726) | |
| Euro | Sell | 6/21/17 | 42,786,281 | 42,693,663 | (92,618) | |
| Japanese Yen | Sell | 5/17/17 | 690,151 | 350,236 | (339,915) | |
| New Zealand Dollar | Sell | 4/19/17 | 19,574,251 | 19,419,218 | (155,033) | |
| Singapore Dollar | Sell | 5/17/17 | 16,056,027 | 15,712,010 | (344,017) | |
| Swedish Krona | Buy | 6/21/17 | 34,025,697 | 33,740,377 | 285,320 | |
| UBS AG | ||||||
| Australian Dollar | Buy | 4/19/17 | 17,208,613 | 16,986,523 | 222,090 | |
| British Pound | Sell | 6/21/17 | 12,249,137 | 12,052,405 | (196,732) | |
| Canadian Dollar | Buy | 4/19/17 | 42,702,860 | 42,873,022 | (170,162) | |
| Canadian Dollar | Sell | 4/19/17 | 42,702,860 | 42,336,029 | (366,831) | |
| Euro | Sell | 6/21/17 | 73,964,609 | 73,300,445 | (664,164) | |
| Japanese Yen | Buy | 5/17/17 | 8,402,257 | 8,487,926 | (85,669) | |
| New Zealand Dollar | Sell | 4/19/17 | 48,379,811 | 48,205,380 | (174,431) | |
| Norwegian Krone | Buy | 6/21/17 | 15,769,104 | 16,028,011 | (258,907) | |
| Swedish Krona | Buy | 6/21/17 | 49,544,752 | 49,148,076 | 396,676 | |
| WestPac Banking Corp. | ||||||
| Australian Dollar | Buy | 4/19/17 | 13,773,077 | 13,829,823 | (56,746) | |
| Canadian Dollar | Buy | 4/19/17 | 9,460,458 | 9,466,417 | (5,959) | |
| Canadian Dollar | Sell | 4/19/17 | 9,460,458 | 9,430,008 | (30,450) | |
| Euro | Sell | 6/21/17 | 16,102,903 | 15,966,110 | (136,793) | |
| New Zealand Dollar | Sell | 4/19/17 | 16,444,454 | 16,770,535 | 326,081 | |
| Total | $4,098,116 | |||||
| Diversified Income Trust 53 |
| FUTURES CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | |||||
| Unrealized | |||||
| Number of | Expiration | appreciation/ | |||
| contracts | Value | date | (depreciation) | ||
| Euro-OAT 10 yr (Short) | 211 | $33,097,933 | Jun-17 | $(430,200) | |
| Total | $(430,200) | ||||
| WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/17 (premiums $72,405,484) (Unaudited) | ||||
| Counterparty | ||||
| Fixed Obligation % to receive or (pay)/ | Expiration | Contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
| Bank of America N.A. | ||||
| 2.8625/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.8625 | $208,716,900 | $209 | |
| (1.728)/3 month USD-LIBOR-BBA/Jul-20 | Jul-17/1.728 | 139,144,800 | 192,020 | |
| (2.6475)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.6475 | 278,289,600 | 203,151 | |
| 2.082/3 month USD-LIBOR-BBA/Jul-20 | Jul-17/2.082 | 139,144,800 | 214,283 | |
| (2.01)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.01 | 278,289,600 | 342,296 | |
| (1.993)/3 month USD-LIBOR-BBA/Jun-18 | Jun-17/1.993 | 417,434,400 | 571,885 | |
| Barclays Bank PLC | ||||
| 2.83/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.83 | 208,716,900 | 835 | |
| 2.715/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.715 | 208,716,900 | 8,349 | |
| (2.13975)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/2.13975 | 417,434,400 | 12,523 | |
| 1.736/3 month USD-LIBOR-BBA/Sep-18 | Sep-17/1.736 | 417,347,000 | 250,408 | |
| (2.905)/3 month USD-LIBOR-BBA/May-27 | May-17/2.905 | 139,144,800 | 715,204 | |
| (2.40)/3 month USD-LIBOR-BBA/May-27 | May-17/2.40 | 139,144,800 | 939,227 | |
| (2.435)/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.435 | 208,716,900 | 1,342,050 | |
| Citibank, N.A. | ||||
| 1.942/3 month USD-LIBOR-BBA/Apr-20 | Apr-17/1.942 | 139,144,800 | 139 | |
| (1.652)/3 month USD-LIBOR-BBA/Apr-20 | Apr-17/1.652 | 139,144,800 | 139 | |
| 2.8945/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.8945 | 208,716,900 | 4,174 | |
| 2.7655/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.7655 | 208,716,900 | 16,697 | |
| (2.0625)/3 month USD-LIBOR-BBA/Aug-18 | Aug-17/2.0625 | 556,579,200 | 562,145 | |
| (2.206)/3 month USD-LIBOR-BBA/Jun-27 | Jun-17/2.206 | 278,289,600 | 1,090,895 | |
| Credit Suisse International | ||||
| 2.81/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.81 | 278,289,600 | 278 | |
| 2.695/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.695 | 278,289,600 | 2,783 | |
| (2.43)/3 month USD-LIBOR-BBA/Apr-27 | Apr-17/2.43 | 278,289,600 | 1,538,941 | |
| Goldman Sachs International | ||||
| (1.63875)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.63875 | 417,434,400 | 417 | |
| (1.75125)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/1.75125 | 417,434,400 | 8,349 | |
| JPMorgan Chase Bank N.A. | ||||
| (2.06)/3 month USD-LIBOR-BBA/Apr-18 | Apr-17/2.06 | 417,434,400 | 91,836 | |
| (2.69)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.69 | 139,144,800 | 164,191 | |
| (2.05)/3 month USD-LIBOR-BBA/Apr-22 | Apr-17/2.05 | 139,144,800 | 272,724 | |
| (1.389)/6 month EUR-EURIBOR-Reuters/Jun-47 | Jun-17/1.389 | EUR | 18,363,300 | 556,551 |
| (2.6657)/3 month USD-LIBOR-BBA/May-37 | May-17/2.6657 | $139,144,800 | 2,156,746 | |
| (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 | Mar-18/6.00 | 270,610,000 | 12,752,767 | |
| Total | $24,012,212 | |||
| 54 Diversified Income Trust |
| WRITTEN OPTIONS OUTSTANDING at 3/31/17 (premiums $11,942,537) (Unaudited) | |||
| Expiration | Contract | ||
| date/strike price | amount | Value | |
| EUR/JPY (Put) | Jun-17/JPY 115.30 | EUR 63,117,400 | $673,134 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/$100.38 | $176,000,000 | 124,784 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/100.26 | 176,000,000 | 105,776 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/100.13 | 176,000,000 | 89,408 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/99.81 | 176,000,000 | 57,728 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/99.69 | 176,000,000 | 48,400 |
| Federal National Mortgage Association 30 yr 3.50% | |||
| TBA commitments (Put) | May-17/99.56 | 176,000,000 | 40,656 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/100.13 | 176,000,000 | 512,688 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/100.01 | 176,000,000 | 570,944 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/99.88 | 176,000,000 | 634,128 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/99.45 | 176,000,000 | 895,136 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/99.32 | 176,000,000 | 981,728 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Call) | Jun-17/99.20 | 176,000,000 | 1,073,952 |
| Federal National Mortgage Association 30 yr 3.00% | |||
| TBA commitments (Put) | May-17/98.95 | 418,000,000 | 2,320,737 |
| Federal National Mortgage Association 30 yr 2.50% | |||
| TBA commitments (Put) | Apr-17/94.23 | 64,000,000 | 1,344 |
| USD/MXN (Put) | Apr-17/MXN 18.25 | 66,610,400 | 155,002 |
| Total | $8,285,545 | ||
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | ||||
| Counterparty | ||||
| Fixed right or obligation % to receive | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | Contract | receivable/ | appreciation/ |
| Maturity date | date/strike | amount | (payable) | (depreciation) |
| Bank of America N.A. | ||||
| (2.785)/3 month USD-LIBOR-BBA/ | ||||
| Jan-47 (Purchased) | Jan-27/2.785 | $41,743,200 | $(4,479,045) | $(84,739) |
| 2.5925/3 month USD-LIBOR-BBA/ | ||||
| Jan-27 (Purchased) | Jan-19/2.5925 | 41,743,200 | (1,471,448) | (160,294) |
| (2.5925)/3 month USD-LIBOR-BBA/ | ||||
| Jan-27 (Purchased) | Jan-19/2.5925 | 41,743,200 | (1,471,448) | (187,844) |
| 2.785/3 month USD-LIBOR-BBA/ | ||||
| Jan-47 (Purchased) | Jan-27/2.785 | 41,743,200 | (4,479,045) | (371,014) |
| (2.7175)/3 month USD-LIBOR-BBA/ | ||||
| Jan-47 (Written) | Jan-19/2.7175 | 41,743,200 | 3,771,498 | 538,070 |
| 2.7175/3 month USD-LIBOR-BBA/ | ||||
| Jan-47 (Written) | Jan-19/2.7175 | 41,743,200 | 3,771,498 | 272,166 |
| Diversified Income Trust 55 |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | ||||
| Counterparty | ||||
| Fixed right or obligation % to receive | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | Contract | receivable/ | appreciation/ |
| Maturity date | date/strike | amount | (payable) | (depreciation) |
| Barclays Bank PLC | ||||
| 2.43/3 month USD-LIBOR-BBA/ | ||||
| Feb-22 (Purchased) | Feb-19/2.43 | $41,743,200 | $(582,318) | $(9,601) |
| (2.43)/3 month USD-LIBOR-BBA/ | ||||
| Feb-22 (Purchased) | Feb-19/2.43 | 41,743,200 | (582,318) | (115,629) |
| Goldman Sachs International | ||||
| (2.8175)/3 month USD-LIBOR-BBA/ | ||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 8,348,800 | (1,054,036) | 12,523 |
| 2.8175/3 month USD-LIBOR-BBA/ | ||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 8,348,800 | (1,054,036) | (11,939) |
| JPMorgan Chase Bank N.A. | ||||
| 2.8325/3 month USD-LIBOR-BBA/ | ||||
| Feb-52 (Purchased) | Feb-22/2.8325 | 41,743,200 | (5,828,394) | (143,597) |
| (2.8325)/3 month USD-LIBOR-BBA/ | ||||
| Feb-52 (Purchased) | Feb-22/2.8325 | 41,743,200 | (5,828,394) | (456,671) |
| 2.79/3 month USD-LIBOR-BBA/ | ||||
| Feb-49 (Written) | Feb-19/2.79 | 41,743,200 | 3,963,517 | 563,117 |
| (2.79)/3 month USD-LIBOR-BBA/ | ||||
| Feb-49 (Written) | Feb-19/2.79 | 41,743,200 | 3,963,517 | 179,496 |
| Total | $(11,360,452) | $24,044 | ||
| TBA SALE COMMITMENTS OUTSTANDING at 3/31/17 (proceeds receivable $2,244,681,172) (Unaudited) | ||||
| Principal | Settlement | |||
| Agency | amount | date | Value | |
| Federal National Mortgage Association, 3.50%, 4/1/47 | $962,000,000 | 4/12/17 | $984,095,985 | |
| Federal National Mortgage Association, 3.00%, 5/1/47 | 637,000,000 | 5/11/17 | 630,480,687 | |
| Federal National Mortgage Association, 3.00%, 4/1/47 | 637,000,000 | 4/12/17 | 631,625,313 | |
| Government National Mortgage Association, 4.50%, 4/1/47 | 13,000,000 | 4/20/17 | 13,884,610 | |
| Total | $2,260,086,595 | |||
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| Swap counterparty/ | premium | Termination | made by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| JPMorgan Chase Bank N.A. | |||||||
| MXN | 603,433,000 | $— | 1/1/26 | 1 month MXN-TIIE- | 6.16% | $(2,641,240) | |
| BANXICO | |||||||
| MXN | 470,245,000 | — | 10/6/21 | 1 month MXN-TIIE- | 5.93% | (1,241,769) | |
| BANXICO | |||||||
| MXN | 190,014,000 | — | 10/8/21 | 1 month MXN-TIIE- | 5.895% | (516,100) | |
| BANXICO | |||||||
| MXN | 196,974,000 | — | 10/26/21 | 1 month MXN-TIIE- | 6.09% | (459,839) | |
| BANXICO | |||||||
| Total | $— | $(4,858,948) | |||||
| 56 Diversified Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| $2,257,459,200 E | $(206,358) | 6/21/19 | 1.75% | 3 month USD- | $(1,145,461) | ||
| LIBOR-BBA | |||||||
| 430,246,300 E | 298,403 | 6/21/22 | 2.20% | 3 month USD- | (1,351,162) | ||
| LIBOR-BBA | |||||||
| 68,300 E | (50) | 6/21/27 | 3 month USD- | 2.50% | 381 | ||
| LIBOR-BBA | |||||||
| 175,241,600 E | 120,278 | 6/21/27 | 2.50% | 3 month USD- | (983,920) | ||
| LIBOR-BBA | |||||||
| 63,209,900 E | 449,842 | 6/21/47 | 3 month USD- | 2.70% | 861,212 | ||
| LIBOR-BBA | |||||||
| 2,250,000 E | (5,335) | 6/21/27 | 3 month USD- | 2.65% | 39,357 | ||
| LIBOR-BBA | |||||||
| 199,398,000 E | 1,328,892 | 6/21/22 | 2.30% | 3 month USD- | (386,727) | ||
| LIBOR-BBA | |||||||
| 81,315,500 E | (1,078) | 4/4/27 | 3 month USD- | 2.39859% | 54,135 | ||
| LIBOR-BBA | |||||||
| AUD | 43,741,000 E | (125) | 2/13/20 | 3 month AUD- | 2.388% | 16,250 | |
| BBR-BBSW | |||||||
| AUD | 43,796,000 E | (125) | 2/15/20 | 3 month AUD- | 2.446% | 34,372 | |
| BBR-BBSW | |||||||
| AUD | 43,741,000 E | (125) | 2/15/20 | 3 month AUD- | 2.475% | 43,653 | |
| BBR-BBSW | |||||||
| AUD | 43,796,000 E | (109) | 2/16/20 | 3 month AUD- | 2.516% | 56,104 | |
| BBR-BBSW | |||||||
| AUD | 209,041,000 E | (174,002) | 6/28/22 | 2.60% | 6 month AUD- | (278,450) | |
| BBR-BBSW | |||||||
| AUD | 31,588,000 E | (52,865) | 6/28/27 | 3.00% | 6 month AUD- | (43,453) | |
| BBR-BBSW | |||||||
| CAD | 148,858,000 E | (182,242) | 6/21/22 | 3 month CAD- | 1.70% | 832,345 | |
| BA-CDOR | |||||||
| CAD | 73,436,000 E | (622,431) | 6/21/27 | 3 month CAD- | 2.15% | 379,724 | |
| BA-CDOR | |||||||
| CHF | 37,053,000 E | 656,820 | 6/21/27 | 6 month CHF- | 0.10% | 415,114 | |
| LIBOR-BBA | |||||||
| CHF | 45,767,000 E | 448,596 | 6/21/22 | 0.40% | 6 month CHF- | 203,048 | |
| LIBOR-BBA | |||||||
| EUR | 22,326,000 E | (466) | 1/24/32 | 6 month EUR- | 1.665% | 58,101 | |
| EURIBOR-REUTERS | |||||||
| EUR | 46,104,000 E | (183) | 2/18/20 | 1 day EUR- | 0.124% | 13,047 | |
| EURIBOR-REUTERS | |||||||
| EUR | 46,104,000 E | (183) | 2/18/20 | 1 day EUR- | 0.104% | 3,014 | |
| EURIBOR-REUTERS | |||||||
| EUR | 534,563,000 E | (5,355) | 6/21/22 | 0.40% | 6 month EUR- | (4,694,701) | |
| EURIBOR- | |||||||
| REUTERS | |||||||
| EUR | 573,000 E | (3,464) | 6/21/27 | 6 month EUR- | 1.00% | 7,519 | |
| EURIBOR-REUTERS | |||||||
| Diversified Income Trust 57 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| EUR | 184,416,000 E | $(743) | 3/22/20 | 0.028% | 1 day EUR- | $(229,349) | |
| EURIBOR- | |||||||
| REUTERS | |||||||
| GBP | 20,294,000 E | (377) | 1/19/32 | 1.912% | 6 month GBP- | (579,234) | |
| LIBOR-BBA | |||||||
| GBP | 38,733,000 E | (183) | 2/11/20 | 0.918% | 6 month GBP- | (37,210) | |
| LIBOR-BBA | |||||||
| GBP | 38,733,000 E | (182) | 2/14/20 | 0.955% | 6 month GBP- | (54,388) | |
| LIBOR-BBA | |||||||
| GBP | 131,006,000 E | (1,249,658) | 6/21/22 | 0.80% | 6 month GBP- | (527,782) | |
| LIBOR-BBA | |||||||
| GBP | 109,000 E | 634 | 6/21/27 | 6 month GBP- | 1.25% | 970 | |
| LIBOR-BBA | |||||||
| HUF | 3,047,000,000 | (138) | 2/28/27 | 6 month HUF- | 2.65% | 133,366 | |
| BUBOR-NATIONAL | |||||||
| BANK OF HUNGARY | |||||||
| HUF | 14,068,300,000 | (181) | 2/28/19 | 0.715% | 6 month | (249,845) | |
| HUF-BUBOR- | |||||||
| NATIONAL BANK | |||||||
| OF HUNGARY | |||||||
| HUF | 8,724,120,000 | (112) | 3/1/19 | 0.69% | 6 month | (138,995) | |
| HUF-BUBOR- | |||||||
| NATIONAL BANK | |||||||
| OF HUNGARY | |||||||
| HUF | 1,978,490,000 | (90) | 3/1/27 | 6 month HUF- | 2.60% | 53,650 | |
| BUBOR-NATIONAL | |||||||
| BANK OF HUNGARY | |||||||
| HUF | 6,659,130,000 | (86) | 3/20/19 | 0.745% | 6 month | (126,915) | |
| HUF-BUBOR- | |||||||
| NATIONAL BANK | |||||||
| OF HUNGARY | |||||||
| HUF | 1,482,360,000 | (67) | 3/20/27 | 6 month HUF- | 2.905% | 171,125 | |
| BUBOR-NATIONAL | |||||||
| BANK OF HUNGARY | |||||||
| MXN | 160,220,000 | (111) | 12/3/26 | 7.715% | 1 month MXN- | (203,294) | |
| TIIE-BANXICO | |||||||
| MXN | 112,370,000 | (74) | 12/24/26 | 8.12% | 1 month MXN- | (317,341) | |
| TIIE-BANXICO | |||||||
| MXN | 134,710,000 | (87) | 1/7/27 | 8.20% | 1 month MXN- | (427,125) | |
| TIIE-BANXICO | |||||||
| MXN | 175,550,000 | (186) | 3/9/32 | 1 month MXN-TIIE- | 7.67% | 35,395 | |
| BANXICO | |||||||
| MXN | 85,575,000 | (91) | 3/12/32 | 1 month MXN-TIIE- | 7.67% | 16,628 | |
| BANXICO | |||||||
| NOK | 6,805,000 E | (1,733) | 6/21/22 | 6 month NOK- | 1.75% | 6,461 | |
| NIBOR-NIBR | |||||||
| NOK | 287,362,000 E | 81,064 | 6/21/27 | 6 month NOK- | 2.10% | 547,539 | |
| NIBOR-NIBR | |||||||
| NZD | 118,061,000 E | (324) | 2/13/20 | 3 month NZD- | 3.14% | 125,969 | |
| BBR-FRA | |||||||
| 58 Diversified Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| NZD | 147,259,000 E | $(959) | 6/21/22 | 3 month NZD- | 3.20% | $941,105 | |
| BBR-FRA | |||||||
| NZD | 134,086,000 E | (1,036,885) | 6/21/27 | 3 month NZD- | 3.75% | 940,190 | |
| BBR-FRA | |||||||
| NZD | 118,061,000 E | (312) | 3/29/20 | 3 month NZD- | 3.0475% | 17,234 | |
| BBR-FRA | |||||||
| SEK | 324,663,000 E | (27,646) | 6/21/22 | 0.55% | 3 month SEK- | (283,481) | |
| STIBOR-SIDE | |||||||
| SEK | 422,700,000 E | (253,210) | 6/21/27 | 3 month SEK- | 1.35% | 577,884 | |
| STIBOR-SIDE | |||||||
| SEK | 894,418,000 E | (380) | 3/22/20 | 3 month SEK- | 0.513% | 167,910 | |
| STIBOR-SIDE | |||||||
| ZAR | 86,586,000 | (80) | 10/11/26 | 8.32625% | 3 month ZAR- | (105,457) | |
| JIBAR-SAFEX | |||||||
| ZAR | 345,070,000 | (99) | 3/9/19 | 3 month ZAR- | 7.305% | (23,307) | |
| JIBAR-SAFEX | |||||||
| ZAR | 696,970,000 | (209) | 3/24/19 | 3 month ZAR- | 7.11% | (223,674) | |
| JIBAR-SAFEX | |||||||
| ZAR | 159,610,000 | (168) | 3/24/27 | 7.785% | 3 month ZAR- | 301,956 | |
| JIBAR-SAFEX | |||||||
| Total | $(444,338) | $(5,356,513) | |||||
E Extended effective date.
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | ||||||
| Upfront | Payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| Bank of America N.A. | ||||||
| $7,323,844 | $— | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | $(48,707) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| Barclays Bank PLC | ||||||
| 1,610,980 | — | 1/12/41 | 3.50% (1 month | Synthetic TRS Index | (8,265) | |
| USD-LIBOR) | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,128,073 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (8,442) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,061,734 | — | 1/12/41 | 4.50% (1 month | Synthetic MBX Index | 9,264 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 4,388,285 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (33,781) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 5,124,672 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 52,239 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| Diversified Income Trust 59 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | ||||||
| Upfront | Payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| Barclays Bank PLC cont. | ||||||
| $1,464,498 | $— | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | $14,929 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 734,367 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | 6,408 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,472,097 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (4,826) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,903,909 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 29,602 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 390,329 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (1,273) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,428,515 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 5,905 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 9,572,964 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 97,584 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 7,766,051 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | 67,766 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 42,318 | — | 1/12/39 | (6.00%)1 month | Synthetic TRS Index | (83) | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,236,024 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (10,789) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 3,602,239 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | (14,456) | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 5,141,036 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (44,873) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 3,095,015 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (27,015) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 3,925,434 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (34,263) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 5,345,921 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (17,438) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 767,049 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (2,502) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 60 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | |||||||
| Upfront | Payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
| Barclays Bank PLC cont. | |||||||
| $9,476,260 | $— | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | $70,917 | ||
| USD-LIBOR | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 17,655,793 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 130,357 | ||
| USD-LIBOR | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 42,125,183 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 311,021 | ||
| USD-LIBOR | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 542,219 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (3,141) | ||
| USD-LIBOR | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
| 16,021,906 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 68,703 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 97,196,533 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 856,911 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 59,256,018 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (299,228) | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
| EUR | 57,000,000 | — | 9/15/17 | (0.4975%) | Eurostat Eurozone | 249,007 | |
| HICP excluding | |||||||
| tobacco | |||||||
| EUR | 28,497,000 | — | 9/15/17 | (0.46%) | Eurostat Eurozone | 147,413 | |
| HICP excluding | |||||||
| tobacco | |||||||
| EUR | 40,541,000 | — | 9/15/17 | (0.435%) | Eurostat Eurozone | 231,469 | |
| HICP excluding | |||||||
| tobacco | |||||||
| GBP | 24,138,000 | — | 11/3/26 | 3.4531% | GBP Non-revised UK | (138,964) | |
| Retail Price Index | |||||||
| Citibank, N.A. | |||||||
| $1,533,051 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 13,516 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 513,950 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 4,531 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| Credit Suisse International | |||||||
| 5,414,748 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 47,738 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 26,667,798 | — | 1/12/41 | 4.50% (1 month | Synthetic MBX Index | 228,456 | ||
| USD-LIBOR) | 4.50% 30 year Ginnie | ||||||
| Mae II pools | |||||||
| 1,128,073 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 9,945 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| Diversified Income Trust 61 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | ||||||
| Upfront | Payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| Credit Suisse International cont. | ||||||
| $5,234,043 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $(26,431) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 70,420 | — | 1/12/40 | 5.00% (1 month | Synthetic TRS Index | (483) | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,466,494 | — | 1/12/42 | 4.50% (1 month | Synthetic TRS Index | (16,408) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 3,241,388 | — | 1/12/43 | 3.00% (1 month | Synthetic TRS Index | (18,980) | |
| USD-LIBOR) | 3.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 9,128,949 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (79,681) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 9,696,235 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 72,564 | |
| USD-LIBOR | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 11,893,043 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 89,004 | |
| USD-LIBOR | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 15,051,877 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (131,379) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 3,522,016 | — | 1/12/44 | 3.00% (1 month | Synthetic TRS Index | (26,136) | |
| USD-LIBOR) | 3.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 19,646,713 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (145,056) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 3,212,154 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (23,716) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,462,033 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (18,178) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,816,087 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | (24,753) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 29,903,973 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | (265,835) | |
| USD-LIBOR) | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 5,275,265 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS Index | (46,895) | |
| USD-LIBOR) | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 49,948,931 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | (439,037) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 62 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | ||||||
| Upfront | Payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| Credit Suisse International cont. | ||||||
| $31,483,850 | $— | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | $(276,734) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 31,432,725 | — | 1/12/45 | 3.50% (1 month | Synthetic TRS Index | (362,861) | |
| USD-LIBOR) | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 21,197,268 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | 156,505 | |
| USD-LIBOR | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| Deutsche Bank AG | ||||||
| 825,255 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | 8,412 | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 5,234,043 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (26,431) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| Goldman Sachs International | ||||||
| 5,194,014 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (10,139) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,270,530 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (9,381) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,061,734 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (7,061) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,818,394 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (5,932) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 10,967,335 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (84,425) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 10,967,335 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (84,425) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,632,157 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (13,292) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 988,842 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (4,993) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 7,972,563 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (53,022) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,819,655 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (3,552) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| Diversified Income Trust 63 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | ||||||
| Upfront | Payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| Goldman Sachs International cont. | ||||||
| $654,255 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $(3,304) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 6,823,708 | — | 1/12/40 | 4.00% (1 month | Synthetic TRS Index | (31,126) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 579,285 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (1,131) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 3,625,980 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (7,078) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 825,192 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | (3,312) | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,134,043 | — | 1/12/38 | 6.50% (1 month | Synthetic MBX Index | 5,727 | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,708,811 | — | 1/12/40 | (5.00%) 1 month | Synthetic MBX Index | (7,328) | |
| USD-LIBOR | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 709,923 | — | 1/12/39 | 5.50% (1 month | Synthetic MBX Index | 4,113 | |
| USD-LIBOR) | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,396,086 | — | 1/12/40 | (4.50%) 1 month | Synthetic MBX Index | (12,182) | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,874,701 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (21,225) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,959,713 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (9,896) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 3,605,776 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (18,208) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 202,196 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (1,765) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
| 2,351,743 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (11,876) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,215,737 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (3,966) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 179,571 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (907) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 64 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | ||||||
| Upfront | Payments | Total return | Unrealized | |||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | |
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |
| Goldman Sachs International cont. | ||||||
| $479,046 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $(2,419) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 163,607 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (826) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 6,966 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (23) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,359,899 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (7,698) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 11,947,515 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (91,971) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 1,352,128 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (6,828) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 2,357,469 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (4,602) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 15,567,681 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (119,838) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 123,496 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (912) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 7,459,027 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (55,072) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 25,092,459 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (185,264) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 23,050,131 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 172,500 | |
| USD-LIBOR | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 31,388,666 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | (275,898) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 35,179,238 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS Index | 312,731 | |
| USD-LIBOR | 3.50% 30 year Fannie | |||||
| Mae pools | ||||||
| 21,360,581 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS Index | (187,754) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
| 13,112,465 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS Index | 97,305 | |
| USD-LIBOR | 3.00% 30 year Fannie | |||||
| Mae pools | ||||||
| Diversified Income Trust 65 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | |||||||
| Upfront | Payments | Total return | Unrealized | ||||
| Swap counterparty/ | premium | Termination | received (paid) by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
| Goldman Sachs International cont. | |||||||
| EUR | 205,198,000 | $— | 8/10/17 | (0.63%) | Eurostat Eurozone | $193,293 | |
| HICP excluding | |||||||
| tobacco | |||||||
| EUR | 67,760,000 | — | 8/11/17 | (0.63%) | Eurostat Eurozone | 63,829 | |
| HICP excluding | |||||||
| tobacco | |||||||
| EUR | 57,000,000 | — | 8/31/17 | (0.27%) | Eurostat Eurozone | 494,184 | |
| HICP excluding | |||||||
| tobacco | |||||||
| EUR | 57,000,000 | — | 9/1/17 | (0.37%) | Eurostat Eurozone | 371,960 | |
| HICP excluding | |||||||
| tobacco | |||||||
| GBP | 12,069,000 | — | 11/10/26 | 3.56% | GBP Non-revised UK | 133,158 | |
| Retail Price Index | |||||||
| GBP | 12,069,000 | — | 11/18/26 | 3.52% | GBP Non-revised UK | 57,128 | |
| Retail Price Index | |||||||
| JPMorgan Chase Bank N.A. | |||||||
| $16,715,346 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (123,413) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 2,121,785 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (15,666) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 23,050,131 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 172,500 | ||
| USD-LIBOR | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| JPMorgan Securities LLC | |||||||
| 8,846,380 | — | 1/12/44 | 4.00% (1 month | Synthetic TRS Index | (65,306) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| 53,838,151 | — | 1/12/42 | (4.00%) 1 month | Synthetic TRS Index | 414,440 | ||
| USD-LIBOR | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
| Total | $— | $1,292,978 | |||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
| Bank of America N.A. | |||||||
| CMBX NA BBB– Index | BBB–/P | $39,713 | $581,000 | 5/11/63 | 300 bp | $(34,258) | |
| CMBX NA BBB– Index | BBB–/P | 79,608 | 1,321,000 | 5/11/63 | 300 bp | (88,578) | |
| CMBX NA BBB– Index | BBB–/P | 163,473 | 2,648,000 | 5/11/63 | 300 bp | (173,662) | |
| CMBX NA BBB– Index | BBB–/P | 155,838 | 2,734,000 | 5/11/63 | 300 bp | (192,246) | |
| Credit Suisse International | |||||||
| CMBX NA BBB– Index | — | (226,273) | 3,359,000 | 1/17/47 | (300 bp) | 78,444 | |
| CMBX NA BB Index | — | (311,136) | 2,217,000 | 1/17/47 | (500 bp) | 77,344 | |
| 66 Diversified Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
| Credit Suisse International cont. | |||||||
| CMBX NA BB Index | — | $(881,360) | $49,934,000 | 5/11/63 | (500 bp) | $9,261,623 | |
| CMBX NA BB Index | — | (27,128) | 2,794,000 | 1/17/47 | (500 bp) | 462,458 | |
| CMBX NA BB Index | — | (385,589) | 2,033,000 | 1/17/47 | (500 bp) | (29,351) | |
| CMBX NA BBB– Index | BBB–/P | 119,192 | 2,435,000 | 5/11/63 | 300 bp | (190,825) | |
| CMBX NA BBB– Index | BBB–/P | 285,554 | 3,086,000 | 5/11/63 | 300 bp | (107,345) | |
| CMBX NA BBB– Index | BBB–/P | 407,508 | 3,342,000 | 5/11/63 | 300 bp | (19,377) | |
| CMBX NA BBB– Index | BBB–/P | 279,422 | 3,359,000 | 5/11/63 | 300 bp | (148,235) | |
| CMBX NA BBB– Index | BBB–/P | 445,132 | 3,643,000 | 5/11/63 | 300 bp | (18,683) | |
| CMBX NA BBB– Index | BBB–/P | 481,496 | 3,645,000 | 5/11/63 | 300 bp | 17,427 | |
| CMBX NA BBB– Index | BBB–/P | 631,254 | 4,348,000 | 5/11/63 | 300 bp | 77,681 | |
| CMBX NA BBB– Index | BBB–/P | 571,145 | 4,691,000 | 5/11/63 | 300 bp | (26,098) | |
| CMBX NA BBB– Index | BBB–/P | 398,004 | 5,059,000 | 5/11/63 | 300 bp | (246,092) | |
| CMBX NA BBB– Index | BBB–/P | 719,689 | 8,483,000 | 5/11/63 | 300 bp | (360,339) | |
| CMBX NA BBB– Index | BBB–/P | 856,756 | 9,259,000 | 5/11/63 | 300 bp | (322,069) | |
| CMBX NA BBB– Index | BBB–/P | 525,357 | 10,709,000 | 5/11/63 | 300 bp | (838,077) | |
| CMBX NA BBB– Index | BBB–/P | 12,523,247 | 169,428,000 | 1/17/47 | 300 bp | (2,846,695) | |
| Goldman Sachs International | |||||||
| CMBX NA BB Index | — | (2,223,065) | 21,731,000 | 5/11/63 | (500 bp) | 2,191,106 | |
| CMBX NA BB Index | — | (638,451) | 4,219,000 | 1/17/47 | (500 bp) | 100,835 | |
| CMBX NA BB Index | — | (349,448) | 1,721,000 | 1/17/47 | (500 bp) | (47,881) | |
| CMBX NA BBB– Index | BBB–/P | 101,718 | 1,174,000 | 5/11/63 | 300 bp | (47,752) | |
| CMBX NA BBB– Index | BBB–/P | 105,653 | 1,252,000 | 5/11/63 | 300 bp | (53,747) | |
| CMBX NA BBB– Index | BBB–/P | 156,201 | 1,851,000 | 5/11/63 | 300 bp | (79,462) | |
| CMBX NA BBB– Index | BBB–/P | 153,735 | 1,855,000 | 5/11/63 | 300 bp | (82,437) | |
| CMBX NA BBB– Index | BBB–/P | 111,130 | 2,297,000 | 5/11/63 | 300 bp | (181,316) | |
| CMBX NA BBB– Index | BBB–/P | 267,527 | 2,431,000 | 5/11/63 | 300 bp | (41,980) | |
| CMBX NA BBB– Index | BBB–/P | 193,626 | 2,447,000 | 5/11/63 | 300 bp | (117,918) | |
| CMBX NA BBB– Index | BBB–/P | 153,612 | 3,151,000 | 5/11/63 | 300 bp | (247,563) | |
| CMBX NA BBB– Index | BBB–/P | 156,347 | 3,152,000 | 5/11/63 | 300 bp | (244,955) | |
| CMBX NA BBB– Index | BBB–/P | 164,933 | 3,162,000 | 5/11/63 | 300 bp | (237,643) | |
| CMBX NA BBB– Index | BBB–/P | 284,354 | 3,293,000 | 5/11/63 | 300 bp | (134,900) | |
| CMBX NA BBB– Index | BBB–/P | 179,679 | 3,660,000 | 5/11/63 | 300 bp | (286,300) | |
| CMBX NA BBB– Index | BBB–/P | 531,088 | 4,362,000 | 5/11/63 | 300 bp | (24,268) | |
| CMBX NA BBB– Index | BBB–/P | 612,545 | 4,412,000 | 5/11/63 | 300 bp | 50,824 | |
| CMBX NA BBB– Index | BBB–/P | 333,479 | 4,895,000 | 5/11/63 | 300 bp | (289,736) | |
| CMBX NA BBB– Index | — | (223,604) | 3,293,000 | 1/17/47 | (300 bp) | 75,126 | |
| CMBX NA BBB– Index | — | (165,005) | 1,589,000 | 1/17/47 | (300 bp) | (20,856) | |
| CMBX NA BBB– Index | — | (67,274) | 975,000 | 1/17/47 | (300 bp) | 21,175 | |
| CMBX NA BBB– Index | — | (50,096) | 616,000 | 1/17/47 | (300 bp) | 5,786 | |
| CMBX NA BBB– Index | BBB–/P | 1,264,370 | 18,140,000 | 1/17/47 | 300 bp | (381,229) | |
| CMBX NA BBB– Index | BBB–/P | 1,704,032 | 23,054,000 | 1/17/47 | 300 bp | (387,349) | |
| Diversified Income Trust 67 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
| JPMorgan Securities LLC | |||||||
| CMBX NA BB Index | — | $(594,743) | $4,102,000 | 5/11/63 | (500 bp) | $238,487 | |
| CMBX NA BB Index | — | (193,608) | 1,377,000 | 5/11/63 | (500 bp) | 86,099 | |
| CMBX NA BB Index | — | (98,384) | 740,000 | 5/11/63 | (500 bp) | 51,931 | |
| CMBX NA BB Index | — | (95,931) | 667,000 | 5/11/63 | (500 bp) | 39,555 | |
| CMBX NA BB Index | — | (1,084,804) | 6,944,000 | 1/17/47 | (500 bp) | 131,978 | |
| CMBX NA BB Index | — | (819,751) | 4,986,000 | 1/17/47 | (500 bp) | 53,935 | |
| CMBX NA BB Index | — | (744,943) | 4,662,000 | 1/17/47 | (500 bp) | 71,969 | |
| CMBX NA BB Index | — | (175,583) | 1,156,000 | 1/17/47 | (500 bp) | 26,980 | |
| CMBX NA BBB– Index | BBB–/P | 175,705 | 1,419,000 | 5/11/63 | 300 bp | (5,548) | |
| CMBX NA BBB– Index | BBB–/P | 66,488 | 1,505,000 | 5/11/63 | 300 bp | (125,124) | |
| CMBX NA BBB– Index | BBB–/P | 97,275 | 1,577,000 | 5/11/63 | 300 bp | (103,503) | |
| CMBX NA BBB– Index | BBB–/P | 135,355 | 1,587,000 | 5/11/63 | 300 bp | (66,696) | |
| CMBX NA BBB– Index | BBB–/P | 231,995 | 1,589,000 | 5/11/63 | 300 bp | 29,689 | |
| CMBX NA BBB– Index | BBB–/P | 157,917 | 1,855,000 | 5/11/63 | 300 bp | (78,256) | |
| CMBX NA BBB– Index | BBB–/P | 316,808 | 2,176,000 | 5/11/63 | 300 bp | 39,766 | |
| CMBX NA BBB– Index | BBB–/P | 323,531 | 2,245,000 | 5/11/63 | 300 bp | 37,705 | |
| CMBX NA BBB– Index | BBB–/P | 168,962 | 2,447,000 | 5/11/63 | 300 bp | (142,582) | |
| CMBX NA BBB– Index | BBB–/P | 366,513 | 3,140,000 | 5/11/63 | 300 bp | (33,261) | |
| CMBX NA BBB– Index | BBB–/P | 363,808 | 3,140,000 | 5/11/63 | 300 bp | (35,967) | |
| CMBX NA BBB– Index | BBB–/P | 168,107 | 3,155,000 | 5/11/63 | 300 bp | (233,578) | |
| CMBX NA BBB– Index | BBB–/P | 160,683 | 3,155,000 | 5/11/63 | 300 bp | (241,001) | |
| CMBX NA BBB– Index | BBB–/P | 202,097 | 3,157,000 | 5/11/63 | 300 bp | (199,842) | |
| CMBX NA BBB– Index | BBB–/P | 370,449 | 3,258,000 | 5/11/63 | 300 bp | (44,349) | |
| CMBX NA BBB– Index | BBB–/P | 527,611 | 4,261,000 | 5/11/63 | 300 bp | (16,661) | |
| CMBX NA BBB– Index | BBB–/P | 526,470 | 5,364,000 | 5/11/63 | 300 bp | (156,456) | |
| CMBX NA BBB– Index | BBB–/P | 661,446 | 5,642,000 | 5/11/63 | 300 bp | (56,874) | |
| CMBX NA BBB– Index | BBB–/P | 601,067 | 7,343,000 | 5/11/63 | 300 bp | (333,819) | |
| CMBX NA BBB– Index | BBB–/P | 894,182 | 16,860,000 | 5/11/63 | 300 bp | (1,252,377) | |
| CMBX NA BBB– Index | — | (1,192,740) | 12,950,000 | 1/17/47 | (300 bp) | (17,959) | |
| CMBX NA BBB– Index | — | (431,022) | 5,181,000 | 1/17/47 | (300 bp) | 38,981 | |
| CMBX NA BBB– Index | — | (206,776) | 2,614,000 | 1/17/47 | (300 bp) | 30,357 | |
| CMBX NA BBB– Index | — | (84,838) | 1,577,000 | 1/17/47 | (300 bp) | 58,223 | |
| CMBX NA BBB– Index | BBB–/P | 34,364 | 421,000 | 1/17/47 | 300 bp | (3,828) | |
| Total | $20,435,698 | $1,658,581 | |||||
* 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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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 March 31, 2017. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| 68 Diversified Income Trust |
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| received | Notional | nation | (paid) by fund | appreciation/ | |||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
| NA HY Series 27 Index | B+/P | $12,816,854 | $181,209,600 | 12/20/21 | 500 bp | $(1,736,935) | |
| Total | $12,816,854 | $(1,736,935) | |||||
* 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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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 March 31, 2017. “ Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| Diversified Income Trust 69 |
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 | |||
| Convertible bonds and notes | $— | $1,019,984 | $— | |||
| Corporate bonds and notes | — | 1,025,467,880 | 373 | |||
| Foreign government and agency bonds and notes | — | 238,792,576 | — | |||
| Mortgage-backed securities | — | 1,550,915,608 | — | |||
| Purchased options outstanding | — | 9,827,103 | — | |||
| Purchased swap options outstanding | — | 10,960,567 | — | |||
| Senior loans | — | 59,575,125 | — | |||
| U.S. government and agency mortgage obligations | — | 2,643,666,769 | — | |||
| Short-term investments | 253,014,562 | 274,292,815 | — | |||
| Totals by level | $253,014,562 | $5,814,518,427 | $373 | |||
| Valuation inputs | ||||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |||
| Forward currency contracts | $— | $4,098,116 | $— | |||
| Futures contracts | (430,200) | — | — | |||
| Written options outstanding | — | (8,285,545) | — | |||
| Written swap options outstanding | — | (24,012,212) | — | |||
| Forward premium swap option contracts | — | 24,044 | — | |||
| TBA sale commitments | — | (2,260,086,595) | — | |||
| Interest rate swap contracts | — | (9,771,123) | — | |||
| Total return swap contracts | — | 1,292,978 | — | |||
| Credit default contracts | — | (33,330,906) | — | |||
| Totals by level | $(430,200) | $(2,330,071,243) | $— | |||
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
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.
| 70 Diversified Income Trust |
Statement of assets and liabilities 3/31/17 (Unaudited)
| ASSETS | |
| Investment in securities, at value (Note 1): | |
| Unaffiliated issuers (identified cost $5,900,666,641) | $5,821,503,800 |
| Affiliated issuers (identified cost $246,029,562) (Note 5) | 246,029,562 |
| Cash | 830,976 |
| Foreign currency (cost $636,148) (Note 1) | 636,018 |
| Interest and other receivables | 39,168,394 |
| Receivable for shares of the fund sold | 17,350,732 |
| Receivable for investments sold | 24,355,905 |
| Receivable for sales of delayed delivery securities (Note 1) | 1,544,837,988 |
| Receivable for variation margin (Note 1) | 13,164,019 |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 1,565,372 |
| Unrealized appreciation on forward currency contracts (Note 1) | 18,117,050 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 18,828,518 |
| Premium paid on OTC swap contracts (Note 1) | 11,271,552 |
| Prepaid assets | 115,867 |
| Total assets | 7,757,775,753 |
| LIABILITIES | |
| Payable for investments purchased | 44,497,585 |
| Payable for purchases of delayed delivery securities (Note 1) | 1,939,521,713 |
| Payable for shares of the fund repurchased | 5,330,839 |
| Payable for compensation of Manager (Note 2) | 1,554,502 |
| Payable for custodian fees (Note 2) | 215,792 |
| Payable for investor servicing fees (Note 2) | 812,645 |
| Payable for Trustee compensation and expenses (Note 2) | 1,039,470 |
| Payable for administrative services (Note 2) | 11,795 |
| Payable for distribution fees (Note 2) | 1,401,071 |
| Payable for variation margin (Note 1) | 14,369,704 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 20,735,907 |
| Premium received on OTC swap contracts (Note 1) | 31,707,250 |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 1,541,328 |
| Unrealized depreciation on forward currency contracts (Note 1) | 14,018,934 |
| Written options outstanding, at value (premiums $84,348,021) (Notes 1 and 3) | 32,297,757 |
| TBA sale commitments, at value (proceeds receivable $2,244,681,172) (Note 1) | 2,260,086,595 |
| Collateral on certain derivative contracts, at value (Note 1) | 6,985,000 |
| Other accrued expenses | 457,602 |
| Total liabilities | 4,376,585,489 |
| Net assets | $3,381,190,264 |
(Continued on next page)
| Diversified Income Trust 71 |
Statement of assets and liabilities cont.
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $4,643,302,247 |
| Undistributed net investment income (Note 1) | 57,765,269 |
| Accumulated net realized loss on investments and foreign currency transactions (Note 1) | (1,271,976,595) |
| Net unrealized depreciation of investments and assets and liabilities in foreign currencies | (47,900,657) |
| Total — Representing net assets applicable to capital shares outstanding | $3,381,190,264 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share | |
| ($1,196,299,276 divided by 169,123,965 shares) | $7.07 |
| Offering price per class A share (100/96.00 of $7.07)* | $7.36 |
| Net asset value and offering price per class B share ($50,371,681 divided by 7,195,441 shares)** | $7.00 |
| Net asset value and offering price per class C share ($616,380,928 divided by 88,700,315 shares)** | $6.95 |
| Net asset value and redemption price per class M share | |
| ($134,662,921 divided by 19,385,240 shares) | $6.95 |
| Offering price per class M share (100/96.75 of $6.95)† | $7.18 |
| Net asset value, offering price and redemption price per class R share | |
| ($2,980,737 divided by 426,505 shares) | $6.99 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($11,074,811 divided by 1,580,284 shares) | $7.01 |
| Net asset value, offering price and redemption price per class Y share | |
| ($1,369,419,910 divided by 195,606,500 shares) | $7.00 |
* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
† On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
The accompanying notes are an integral part of these financial statements.
| 72 Diversified Income Trust |
Statement of operations Six months ended 3/31/17 (Unaudited)
| INVESTMENT INCOME | |
| Interest (including interest income of $706,648 from investments in affiliated issuers) (Note 5) | $89,607,854 |
| Dividends | 119,837 |
| Total investment income | 89,727,691 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 8,646,864 |
| Investor servicing fees (Note 2) | 2,323,641 |
| Custodian fees (Note 2) | 115,757 |
| Trustee compensation and expenses (Note 2) | 80,254 |
| Distribution fees (Note 2) | 5,282,772 |
| Administrative services (Note 2) | 54,027 |
| Other | 519,285 |
| Total expenses | 17,022,600 |
| Expense reduction (Note 2) | (4,970) |
| Net expenses | 17,017,630 |
| Net investment income | 72,710,061 |
| Net realized loss on investments (Notes 1 and 3) | (52,109,698) |
| Net realized gain on swap contracts (Note 1) | 93,659,634 |
| Net realized gain on futures contracts (Note 1) | 10,623,052 |
| Net realized gain on foreign currency transactions (Note 1) | 25,774,441 |
| Net realized loss on written options (Notes 1 and 3) | (14,453,665) |
| Net unrealized depreciation of assets and liabilities in foreign currencies during the period | (6,133,232) |
| Net unrealized appreciation of investments, futures contracts, swap contracts, written options | |
| and TBA sale commitments during the period | 52,078,815 |
| Net gain on investments | 109,439,347 |
| Net increase in net assets resulting from operations | $182,149,408 |
The accompanying notes are an integral part of these financial statements.
| Diversified Income Trust 73 |
Statement of changes in net assets
| INCREASE (DECREASE) IN NET ASSETS | Six months ended 3/31/17* | Year ended 9/30/16 |
| Operations | ||
| Net investment income | $72,710,061 | $208,375,822 |
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | 63,493,764 | (449,126,964) |
| Net unrealized appreciation of investments and assets | ||
| and liabilities in foreign currencies | 45,945,583 | 274,157,427 |
| Net increase in net assets resulting from operations | 182,149,408 | 33,406,285 |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
| Class A | (35,351,599) | (79,465,976) |
| Class B | (1,294,109) | (2,799,573) |
| Class C | (15,647,562) | (36,629,237) |
| Class M | (3,796,334) | (7,589,775) |
| Class R | (87,071) | (199,829) |
| Class R5 | — | (183) |
| Class R6 | (315,756) | (578,854) |
| Class Y | (32,620,062) | (77,550,610) |
| Increase (decrease) from capital share transactions (Note 4) | 227,811,421 | (2,021,967,004) |
| Total increase (decrease) in net assets | 320,848,336 | (2,193,374,756) |
| NET ASSETS | ||
| Beginning of period | 3,060,341,928 | 5,253,716,684 |
| End of period (including undistributed net investment | ||
| income of $57,765,269 and $74,167,701, respectively) | $3,381,190,264 | $3,060,341,928 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
| 74 Diversified Income Trust |
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| Diversified Income Trust 75 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
| Ratio of net | |||||||||||||
| Net asset | Net realized | Ratio | investment | ||||||||||
| value, | and unrealized | Total from | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | |||||
| beginning | Net investment | gain (loss) | investment | From net | From | Total | value, end | at net asset | end of period | to average | to average | turnover | |
| Period ended | of period | income (loss)a | on investments | operations | investment income | return of capital | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%) |
| Class A | |||||||||||||
| March 31, 2017** | $6.86 | .16 | .25 | .41 | (.20) | — | (.20) | $7.07 | 6.02* | $1,196,299 | .49* | 2.32* | 279*d |
| September 30, 2016 | 7.08 | .37 | (.22) | .15 | (.37) | — | (.37) | 6.86 | 2.25 | 1,238,618 | 1.00e | 5.48e | 835d |
| September 30, 2015 | 7.89 | .32 | (.79) | (.47) | (.34) | — | (.34) | 7.08 | (6.16) | 1,834,125 | .97 | 4.22 | 725d |
| September 30, 2014 | 7.74 | .37 | .20 | .57 | (.42) | — | (.42) | 7.89 | 7.49 | 2,454,923 | .97 | 4.73 | 257d |
| September 30, 2013 | 7.59 | .44 | .15 | .59 | (.44) | — | (.44) | 7.74 | 7.93 | 2,286,977 | .99 | 5.58 | 180f |
| September 30, 2012 | 7.35 | .42 | .27 | .69 | (.15) | (.30) | (.45) | 7.59 | 9.58 | 1,788,786 | .99 | 5.67 | 120f |
| Class B | |||||||||||||
| March 31, 2017** | $6.79 | .14 | .24 | .38 | (.17) | — | (.17) | $7.00 | 5.68* | $50,372 | .87* | 1.95* | 279*d |
| September 30, 2016 | 7.01 | .32 | (.22) | .10 | (.32) | — | (.32) | 6.79 | 1.52 | 54,180 | 1.75e | 4.74e | 835d |
| September 30, 2015 | 7.81 | .26 | (.78) | (.52) | (.28) | — | (.28) | 7.01 | (6.81) | 67,948 | 1.72 | 3.47 | 725d |
| September 30, 2014 | 7.67 | .31 | .19 | .50 | (.36) | — | (.36) | 7.81 | 6.60 | 83,980 | 1.72 | 3.97 | 257d |
| September 30, 2013 | 7.53 | .38 | .14 | .52 | (.38) | — | (.38) | 7.67 | 7.03 | 79,540 | 1.74 | 4.85 | 180f |
| September 30, 2012 | 7.29 | .37 | .26 | .63 | (.13) | (.26) | (.39) | 7.53 | 8.82 | 75,534 | 1.74 | 4.92 | 120f |
| Class C | |||||||||||||
| March 31, 2017** | $6.75 | .13 | .24 | .37 | (.17) | — | (.17) | $6.95 | 5.57* | $616,381 | .87* | 1.96* | 279*d |
| September 30, 2016 | 6.96 | .32 | (.21) | .11 | (.32) | — | (.32) | 6.75 | 1.68 | 649,723 | 1.75e | 4.74e | 835d |
| September 30, 2015 | 7.76 | .26 | (.78) | (.52) | (.28) | — | (.28) | 6.96 | (6.85) | 954,682 | 1.72 | 3.48 | 725d |
| September 30, 2014 | 7.62 | .31 | .19 | .50 | (.36) | — | (.36) | 7.76 | 6.65 | 1,106,389 | 1.72 | 3.95 | 257d |
| September 30, 2013 | 7.48 | .37 | .16 | .53 | (.39) | — | (.39) | 7.62 | 7.09 | 749,897 | 1.74 | 4.84 | 180f |
| September 30, 2012 | 7.25 | .36 | .26 | .62 | (.13) | (.26) | (.39) | 7.48 | 8.73 | 644,638 | 1.74 | 4.93 | 120f |
| Class M | |||||||||||||
| March 31, 2017** | $6.75 | .15 | .24 | .39 | (.19) | — | (.19) | $6.95 | 5.86* | $134,663 | .62* | 2.17* | 279*d |
| September 30, 2016 | 6.97 | .35 | (.22) | .13 | (.35) | — | (.35) | 6.75 | 2.11 | 137,777 | 1.25e | 5.21e | 835d |
| September 30, 2015 | 7.77 | .29 | (.77) | (.48) | (.32) | — | (.32) | 6.97 | (6.37) | 163,795 | 1.22 | 3.95 | 725d |
| September 30, 2014 | 7.62 | .35 | .20 | .55 | (.40) | — | (.40) | 7.77 | 7.30 | 216,512 | 1.22 | 4.46 | 257d |
| September 30, 2013 | 7.48 | .41 | .15 | .56 | (.42) | — | (.42) | 7.62 | 7.60 | 233,513 | 1.24 | 5.35 | 180f |
| September 30, 2012 | 7.25 | .40 | .25 | .65 | (.14) | (.28) | (.42) | 7.48 | 9.29 | 260,630 | 1.24 | 5.43 | 120f |
| Class R | |||||||||||||
| March 31, 2017** | $6.78 | .15 | .25 | .40 | (.19) | — | (.19) | $6.99 | 5.97* | $2,981 | .62* | 2.20* | 279*d |
| September 30, 2016 | 7.00 | .35 | (.22) | .13 | (.35) | — | (.35) | 6.78 | 2.08 | 3,398 | 1.25e | 5.26e | 835d |
| September 30, 2015 | 7.80 | .30 | (.79) | (.49) | (.31) | — | (.31) | 7.00 | (6.38) | 3,786 | 1.22 | 3.98 | 725d |
| September 30, 2014 | 7.66 | .35 | .19 | .54 | (.40) | — | (.40) | 7.80 | 7.16 | 6,444 | 1.22 | 4.45 | 257d |
| September 30, 2013 | 7.52 | .41 | .15 | .56 | (.42) | — | (.42) | 7.66 | 7.55 | 4,611 | 1.24 | 5.35 | 180f |
| September 30, 2012 | 7.28 | .40 | .26 | .66 | (.14) | (.28) | (.42) | 7.52 | 9.38 | 4,307 | 1.24 | 5.44 | 120f |
| Class R6 | |||||||||||||
| March 31, 2017** | $6.80 | .17 | .25 | .42 | (.21) | — | (.21) | $7.01 | 6.25* | $11,075 | .32* | 2.52* | 279*d |
| September 30, 2016 | 7.02 | .40 | (.23) | .17 | (.39) | — | (.39) | 6.80 | 2.64 | 10,097 | .65e | 5.88e | 835d |
| September 30, 2015 | 7.82 | .34 | (.78) | (.44) | (.36) | — | (.36) | 7.02 | (5.79) | 10,357 | .63 | 4.58 | 725d |
| September 30, 2014† | 7.77 | .36 | .10 | .46 | (.41) | — | (.41) | 7.82 | 5.97* | 13,592 | .59* | 4.52* | 257d |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 76 Diversified Income Trust | Diversified Income Trust 77 |
Financial highlights cont.
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
| Ratio of net | |||||||||||||
| Net asset | Net realized | Ratio | investment | ||||||||||
| value, | and unrealized | Total from | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | |||||
| beginning | Net investment | gain (loss) | investment | From net | From | Total | value, end | at net asset | end of period | to average | to average | turnover | |
| Period ended | of period | income (loss)a | on investments | operations | investment income | return of capital | distributions | of period | value (%)b | (in thousands) | neta ssets (%)c | net assets (%) | (%) |
| Class Y | |||||||||||||
| March 31, 2017** | $6.80 | .17 | .24 | .41 | (.21) | — | (.21) | $7.00 | 6.06* | $1,369,420 | .37* | 2.47* | 279*d |
| September 30, 2016 | 7.01 | .39 | (.22) | .17 | (.38) | — | (.38) | 6.80 | 2.66 | 966,548 | .75e | 5.73e | 835d |
| September 30, 2015 | 7.82 | .34 | (.79) | (.45) | (.36) | — | (.36) | 7.01 | (5.94) | 2,219,013 | .72 | 4.50 | 725d |
| September 30, 2014 | 7.68 | .39 | .19 | .58 | (.44) | — | (.44) | 7.82 | 7.74 | 3,084,286 | .72 | 4.93 | 257d |
| September 30, 2013 | 7.54 | .45 | .16 | .61 | (.47) | — | (.47) | 7.68 | 8.18 | 1,241,380 | .74 | 5.79 | 180f |
| September 30, 2012 | 7.30 | .44 | .27 | .71 | (.16) | (.31) | (.47) | 7.54 | 9.98 | 547,313 | .74 | 5.92 | 120f |
* Not annualized.
† For the period November 1, 2013 (commencement of operations) to September 30, 2014.
** Unaudited.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Portfolio turnover includes TBA purchase and sale commitments.
e Reflects a voluntary waiver of certain fund expenses in effect during the period. As a result of such waiver, the expenses of each class reflect a reduction of less than 0.01% as a percentage of average net assets.
f Portfolio turnover excludes TBA purchase and sale commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:
| Portfolio turnover % | |
| September 30, 2013 | 466% |
| September 30, 2012 | 225 |
The accompanying notes are an integral part of these financial statements.
| 78 Diversified Income Trust | Diversified Income Trust 79 |
Notes to financial statements 3/31/17 (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 October 1, 2016 through March 31, 2017.
Putnam Diversified Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The goal of the fund is to seek as high a level of current income as Putnam Management believes is consistent with preservation of capital. The fund invests mainly in bonds that are securitized debt instruments (such as mortgage-backed investments) and other obligations of companies and governments worldwide, are either investment-grade or below-investment-grade in quality (sometimes referred to as “junk bonds”) and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses to a significant extent derivatives, such as futures, options, certain foreign currency transactions and swap contracts, for both hedging and non-hedging purposes.
The fund offers class A, class B, class C, class M, class R, class R6 and class Y shares. The fund registered class T shares in February 2017, however, as of the date of this report, class T shares had not commenced operations and are not available for purchase. Effective April 1, 2017, purchases of class B shares will be closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A and class M shares are sold with a maximum front-end sales charge of 4.00% and 3.25%, respectively. Class A shares generally are not subject to a contingent deferred sales charge, and class M, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s 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.
| 80 Diversified Income Trust |
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
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 820 Fair 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 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.
| Diversified Income Trust 81 |
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, 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.
All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, 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 open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are
| 82 Diversified Income Trust |
included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
| Diversified Income Trust 83 |
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 contracts The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC 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 is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty
| 84 Diversified Income Trust |
risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral 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 posted to the fund which cannot be sold or repledged totaled $996,532 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs
| Diversified Income Trust 85 |
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 $35,230,542 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $37,114,404 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the higher of (1) the Federal Funds rate and (2) the overnight LIBOR plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit plus a $25,000 flat fee and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
At September 30, 2016, the fund had a capital loss carryover of $1,219,891,363 available to the extent allowed by the Code to offset future net capital gain, if any. For any carryover, the amount of the carryover and that carryover’s expiration date is:
| Loss carryover | |||
| Short-term | Long-term | Total | Expiration |
| $709,825,337 | $200,761,321 | $910,586,658 | * |
| 146,525,581 | N/A | 146,525,581 | September 30, 2017 |
| 162,779,124 | N/A | 162,779,124 | September 30, 2018 |
* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
| 86 Diversified Income Trust |
The aggregate identified cost on a tax basis is $6,259,895,774, resulting in gross unrealized appreciation and depreciation of $25,282,982 and $217,645,394, respectively, or net unrealized depreciation of $192,362,412.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
| 0.700% | of the first $5 billion, | 0.500% | of the next $50 billion, | |
| 0.650% | of the next $5 billion, | 0.480% | of the next $50 billion, | |
| 0.600% | of the next $10 billion, | 0.470% | of the next $100 billion and | |
| 0.550% | of the next $10 billion, | 0.465% | of any excess thereafter. | |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.272% of the fund’s average net assets.
Putnam Management has contractually agreed, through January 30, 2018, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
| Diversified Income Trust 87 |
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $919,835 | Class R | 2,319 | |
| Class B | 38,245 | Class R6 | 2,614 | |
| Class C | 458,790 | Class Y | 801,754 | |
| Class M | 100,084 | Total | $2,323,641 | |
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 $4,970 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $2,427, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following class shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (“Maximum %”) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (“Approved %”) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| Maximum % | Approved % | Amount | |
| Class A | 0.35% | 0.25% | $1,558,691 |
| Class B | 1.00% | 1.00% | 259,796 |
| Class C | 1.00% | 1.00% | 3,116,560 |
| Class M | 1.00% | 0.50% | 339,849 |
| Class R | 1.00% | 0.50% | 7,876 |
| Total | $5,282,772 | ||
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $96,219 and $256 from the sale of class A and class M shares, respectively, and received $6,143 and $143 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $64 on class A redemptions.
| 88 Diversified Income Trust |
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
| Investments in securities, including TBA commitments (Long-term) | $10,281,230,927 | $19,322,413,504 |
| U.S. government securities (Long-term) | — | — |
| Total | $10,281,230,927 | $19,322,413,504 |
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.
Written option transactions during the reporting period are summarized as follows:
| Written swap | Written swap | Written option | |||
| option contract | option | contract | Written option | ||
| amounts | premiums | amounts | premiums | ||
| Written options | USD | $4,853,568,900 | $68,893,078 | $482,000,000 | $1,586,250 |
| outstanding at the | EUR | — | $— | — | $— |
| beginning of the | |||||
| reporting period | |||||
| Options opened | USD | 20,495,927,000 | 60,797,506 | 7,843,987,200 | 39,307,708 |
| EUR | 18,363,300 | 585,758 | 63,117,400 | 565,197 | |
| Options exercised | USD | (765,296,100) | (3,717,669) | — | — |
| EUR | — | — | — | — | |
| Options expired | USD | (7,646,487,450) | (17,742,501) | — | — |
| EUR | — | — | — | — | |
| Options closed | USD | (9,264,689,150) | (34,410,688) | (5,665,376,800) | (29,516,618) |
| EUR | — | — | — | — | |
| Written options | USD | $7,673,023,200 | $71,819,726 | $2,660,610,400 | $11,377,340 |
| outstanding at the end of | EUR | 18,363,300 | $585,758 | 63,117,400 | $565,197 |
| the reporting period | |||||
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 29,586,875 | $207,363,519 | 20,123,801 | $138,430,149 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 4,420,578 | 30,881,108 | 10,120,964 | 68,742,408 |
| 34,007,453 | 238,244,627 | 30,244,765 | 207,172,557 | |
| Shares repurchased | (45,347,406) | (318,837,230) | (108,893,173) | (741,704,692) |
| Net decrease | (11,339,953) | $(80,592,603) | (78,648,408) | $(534,532,135) |
| Diversified Income Trust 89 |
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class B | Shares | Amount | Shares | Amount |
| Shares sold | 262,025 | $1,816,655 | 562,704 | $3,832,226 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 160,483 | 1,109,564 | 348,450 | 2,340,620 |
| 422,508 | 2,926,219 | 911,154 | 6,172,846 | |
| Shares repurchased | (1,201,451) | (8,311,633) | (2,627,980) | (17,716,018) |
| Net decrease | (778,943) | $(5,385,414) | (1,716,826) | $(11,543,172) |
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class C | Shares | Amount | Shares | Amount |
| Shares sold | 6,393,475 | $44,188,086 | 6,472,364 | $43,745,904 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 1,874,052 | 12,863,942 | 4,428,924 | 29,566,625 |
| 8,267,527 | 57,052,028 | 10,901,288 | 73,312,529 | |
| Shares repurchased | (15,885,153) | (109,068,494) | (51,683,032) | (345,924,151) |
| Net decrease | (7,617,626) | $(52,016,466) | (40,781,744) | $(272,611,622) |
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class M | Shares | Amount | Shares | Amount |
| Shares sold | 46,886 | $322,115 | 116,524 | $782,762 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 59,379 | 407,558 | 127,834 | 853,067 |
| 106,265 | 729,673 | 244,358 | 1,635,829 | |
| Shares repurchased | (1,146,846) | (7,870,035) | (3,326,577) | (22,724,521) |
| Net decrease | (1,040,581) | $(7,140,362) | (3,082,219) | $(21,088,692) |
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | 62,573 | $431,689 | 195,522 | $1,341,805 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 8,717 | 60,152 | 22,443 | 150,404 |
| 71,290 | 491,841 | 217,965 | 1,492,209 | |
| Shares repurchased | (145,671) | (1,006,333) | (257,748) | (1,728,447) |
| Net decrease | (74,381) | $(514,492) | (39,783) | $(236,238) |
| PERIOD ENDED 9/30/16* | ||
| Class R5 | Shares | Amount |
| Shares sold | — | $— |
| Shares issued in connection with reinvestment of distributions | 26 | 183 |
| 26 | 183 | |
| Shares repurchased | (1,448) | (9,565) |
| Net decrease | (1,422) | $(9,382) |
| 90 Diversified Income Trust |
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 199,992 | $1,398,428 | 234,910 | $1,568,225 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 45,596 | 315,756 | 86,155 | 578,854 |
| 245,588 | 1,714,184 | 321,065 | 2,147,079 | |
| Shares repurchased | (149,668) | (1,041,830) | (312,361) | (2,092,577) |
| Net increase | 95,920 | $672,354 | 8,704 | $54,502 |
| SIX MONTHS ENDED 3/31/17 | YEAR ENDED 9/30/16 | |||
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | 85,272,991 | $593,488,862 | 62,759,923 | $427,241,433 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 3,839,323 | 26,579,359 | 9,206,988 | 62,097,723 |
| 89,112,314 | 620,068,221 | 71,966,911 | 489,339,156 | |
| Shares repurchased | (35,744,313) | (247,279,817) | (246,317,299) | (1,671,339,421) |
| Net increase (decrease) | 53,368,001 | $372,788,404 | (174,350,388) | $(1,182,000,265) |
* Effective February 1, 2016, the fund terminated its class R5 shares.
At the close of the reporting period, Putnam Investments, LLC owned 1,553 class R6 shares of the fund (0.10% of class R6 shares outstanding), valued at $10,887.
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| Fair value at the | Fair value at the | ||||
| beginning of | end of the | ||||
| the reporting | Investment | reporting | |||
| Name of affiliate | period | Purchase cost | Sale proceeds | income | period |
| Putnam Short Term | |||||
| Investment Fund** | $187,111,979 | $510,965,446 | $452,047,863 | $706,648 | $246,029,562 |
| Totals | $187,111,979 | $510,965,446 | $452,047,863 | $706,648 | $246,029,562 |
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
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.
| Diversified Income Trust 91 |
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.
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) | $1,037,900,000 |
| Purchased currency options (contract amount) | $83,300,000 |
| Purchased swap option contracts (contract amount) | $4,222,900,000 |
| Written TBA commitment option contracts (contract amount) (Note 3) | $1,593,700,000 |
| Written currency options (contract amount) (Note 3) | $83,300,000 |
| Written swap option contracts (contract amount) (Note 3) | $5,269,000,000 |
| Futures contracts (number of contracts) | 500 |
| Forward currency contracts (contract amount) | $2,744,600,000 |
| OTC interest rate swap contracts (notional) | $70,800,000 |
| Centrally cleared interest rate swap contracts (notional) | $5,931,700,000 |
| OTC total return swap contracts (notional) | $1,749,500,000 |
| OTC credit default contracts (notional) | $459,400,000 |
| Centrally cleared credit default contracts (notional) | $77,700,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| Fair value of derivative instruments as of the close of the reporting period | ||||
| ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
| Derivatives not | ||||
| accounted for as | ||||
| hedging instruments | Statement of assets and | Statement of assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Receivables, Net assets — | Payables, Net assets — | |||
| Credit contracts | Unrealized appreciation | $24,257,897 | Unrealized depreciation | $57,588,803* |
| Foreign exchange | ||||
| contracts | Investments, Receivables | 19,204,968 | Payables | 14,661,417 |
| Investments, Receivables, | ||||
| Net assets — Unrealized | Payables, Net assets — | |||
| Interest rate contracts | appreciation | 35,299,308* | Unrealized depreciation | 56,139,131* |
| Total | $78,762,173 | $128,389,351 | ||
* 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.
| 92 Diversified 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 | $— | $— | $— | $1,616,343 | $1,616,343 |
| Foreign exchange contracts | 4,062,392 | — | 25,734,877 | — | $29,797,269 |
| Interest rate contracts | (34,565,598) | 10,623,052 | — | 92,043,291 | $68,100,745 |
| Total | $(30,503,206) | $10,623,052 | $25,734,877 | $93,659,634 | $99,514,357 |
| 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 | $— | $— | $— | $(6,215,985) | $(6,215,985) |
| Foreign exchange contracts | (186,232) | — | (6,135,645) | — | $(6,321,877) |
| Interest rate contracts | 6,539,445 | (405,983) | — | (688,218) | $5,445,244 |
| Total | $6,353,213 | $(405,983) | $(6,135,645) | $(6,904,203) | $(7,092,618) |
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.
| Diversified Income Trust 93 |
| Bank of America N.A. | Barclays Bank PLC | Barclays Capital Inc. (clearing broker) | Citibank, N.A. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | JPMorgan Futures, Inc. | Merrill Lynch, Pierce, Fenner & Smith, Inc. | Royal Bank of Scotland PLC (The) | State Street Bank and Trust Co. | UBS AG | WestPac Banking Corp. | Total | ||||||||||||||||||
| Assets: | ||||||||||||||||||||||||||||||||||
| OTC Interest rate | ||||||||||||||||||||||||||||||||||
| swap contracts*# | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | |||||||||||||||||
| Centrally cleared interest | ||||||||||||||||||||||||||||||||||
| rate swap contracts§ | — | — | 13,075,284 | — | — | — | — | — | — | — | — | — | — | — | — | — | 13,075,284 | |||||||||||||||||
| OTC Total return | ||||||||||||||||||||||||||||||||||
| swap contracts*# | — | 2,349,495 | — | 18,047 | 604,212 | 8,412 | 1,905,928 | — | 172,500 | 414,440 | — | — | — | — | — | — | 5,473,034 | |||||||||||||||||
| OTC Credit | ||||||||||||||||||||||||||||||||||
| default contracts*# | — | — | — | — | 11,682,004 | — | 6,042,234 | — | — | 6,533,659 | — | — | — | — | — | — | 24,257,897 | |||||||||||||||||
| Centrally cleared credit | ||||||||||||||||||||||||||||||||||
| default contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 88,735 | — | — | — | — | — | 88,735 | |||||||||||||||||
| Forward currency | ||||||||||||||||||||||||||||||||||
| contracts# | 3,526,199 | 737,594 | — | 4,066,577 | 904,693 | — | 3,439,798 | 154,220 | 2,975,783 | — | — | — | 922,484 | 444,855 | 618,766 | 326,081 | 18,117,050 | |||||||||||||||||
| Forward premium swap | ||||||||||||||||||||||||||||||||||
| option contracts# | 810,236 | — | — | — | — | — | 12,523 | — | 742,613 | — | — | — | — | — | — | — | 1,565,372 | |||||||||||||||||
| Purchased swap options**# | 1,622,428 | 2,065,124 | — | 3,771,936 | 41,743 | — | 116,882 | — | 3,342,454 | — | — | — | — | — | — | — | 10,960,567 | |||||||||||||||||
| Purchased options**# | 84,975 | — | — | — | — | — | 1,188,596 | — | 8,553,532 | — | — | — | — | — | — | — | 9,827,103 | |||||||||||||||||
| Repurchase agreements** | — | — | — | — | — | — | — | — | — | — | — | 43,201,000 | — | — | — | — | 43,201,000 | |||||||||||||||||
| Total Assets | $6,043,838 | $5,152,213 | $13,075,284 | $7,856,560 | $13,232,652 | $8,412 | $12,705,961 | $154,220 | $15,786,882 | $6,948,099 | $88,735 | $43,201,000 | $922,484 | $444,855 | $618,766 | $326,081 | $126,566,042 | |||||||||||||||||
| Liabilities: | ||||||||||||||||||||||||||||||||||
| OTC Interest rate | ||||||||||||||||||||||||||||||||||
| swap contracts*# | $— | $— | $— | $— | $— | $— | $— | $— | $4,858,948 | $— | $— | $— | $— | $— | $— | $— | $4,858,948 | |||||||||||||||||
| Centrally cleared interest | ||||||||||||||||||||||||||||||||||
| rate swap contracts§ | — | — | 14,366,378 | — | — | — | — | — | — | — | — | — | — | — | — | — | 14,366,378 | |||||||||||||||||
| OTC Total return | ||||||||||||||||||||||||||||||||||
| swap contracts*# | 48,707 | 649,339 | — | — | 1,902,563 | 26,431 | 1,348,631 | — | 139,079 | 65,306 | — | — | — | — | — | — | 4,180,056 | |||||||||||||||||
| OTC Credit | ||||||||||||||||||||||||||||||||||
| default contracts*# | 927,376 | — | — | — | 23,272,483 | — | 9,261,760 | — | — | 9,573,395 | — | — | — | — | — | — | 43,035,014 | |||||||||||||||||
| Centrally cleared credit | ||||||||||||||||||||||||||||||||||
| default contracts§ | — | — | 2,432 | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,432 | |||||||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 894 | — | — | — | — | — | 894 | |||||||||||||||||
| Forward currency | ||||||||||||||||||||||||||||||||||
| contracts# | 1,164,289 | 1,372,219 | — | 1,941,715 | 100,300 | — | 1,659,722 | 368,817 | 2,307,134 | — | — | — | 1,282,582 | 1,675,312 | 1,916,896 | 229,948 | 14,018,934 | |||||||||||||||||
| Forward premium swap | ||||||||||||||||||||||||||||||||||
| option contracts# | 803,891 | 125,230 | — | — | — | — | 11,939 | — | 600,268 | — | — | — | — | — | — | — | 1,541,328 | |||||||||||||||||
| Written swap options# | 1,523,844 | 3,268,596 | — | 1,674,189 | 1,542,002 | — | 8,766 | — | 15,994,815 | — | — | — | — | — | — | — | 24,012,212 | |||||||||||||||||
| Written options# | 673,134 | — | — | — | — | — | 155,002 | — | 7,457,409 | — | — | — | — | — | — | — | 8,285,545 | |||||||||||||||||
| Total Liabilities | $5,141,241 | $5,415,384 | $14,368,810 | $3,615,904 | $26,817,348 | $26,431 | $12,445,820 | $368,817 | $31,357,653 | $9,638,701 | $894 | $— | $1,282,582 | $1,675,312 | $1,916,896 | $229,948 | $114,301,741 | |||||||||||||||||
| Total Financial and | ||||||||||||||||||||||||||||||||||
| Derivative Net Assets | $902,597 | $(263,171) | $(1,293,526) | $4,240,656 | $(13,584,696) | $(18,019) | $260,142 | $(214,597) | $(15,570,772) | $(2,690,602) | $87,841 | $43,201,000 | $(360,098) | $(1,230,457) | $(1,298,130) | $96,133 | $12,264,301 | |||||||||||||||||
| Total collateral | ||||||||||||||||||||||||||||||||||
| received (pledged)†## | $902,597 | $(263,171) | $— | $4,240,656 | $(13,584,696) | $— | $260,142 | $(214,597) | $(15,570,772) | $(1,894,277) | $— | $43,201,000 | $(360,098) | $(1,196,555) | $(1,203,304) | $— | ||||||||||||||||||
| Net amount | $— | $— | $(1,293,526) | $— | $— | $(18,019) | $— | $— | $— | $(796,325) | $87,841 | $— | $— | $(33,902) | $(94,826) | $96,133 | ||||||||||||||||||
| 94 Diversified Income Trust | Diversified Income Trust 95 |
* 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.
Note 10: New pronouncements
In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.
| 96 Diversified Income Trust |
Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.
| Growth | Income |
| Growth Opportunities Fund | American Government Income Fund |
| International Growth Fund | Diversified Income Trust |
| Multi-Cap Growth Fund | Emerging Markets Income Fund |
| Small Cap Growth Fund | Floating Rate Income Fund |
| Global Income Trust | |
| Blend | Government Money Market Fund* |
| Capital Opportunities Fund | High Yield Advantage Fund |
| Capital Spectrum Fund | High Yield Trust |
| Emerging Markets Equity Fund | Income Fund |
| Equity Spectrum Fund | Money Market Fund† |
| Europe Equity Fund | Short Duration Income Fund |
| Global Equity Fund | U.S. Government Income Trust |
| International Capital Opportunities Fund | |
| International Equity Fund | Tax-free Income |
| Investors Fund | AMT-Free Municipal Fund |
| Low Volatility Equity Fund | Intermediate-Term Municipal Income Fund |
| Multi-Cap Core Fund | Short-Term Municipal Income Fund |
| Research Fund | Tax Exempt Income Fund |
| Tax-Free High Yield Fund | |
| Value | |
| Convertible Securities Fund | State tax-free income funds‡: |
| Equity Income Fund | Arizona, California, Massachusetts, Michigan, |
| Global Dividend Fund | Minnesota, New Jersey, New York, Ohio, |
| The Putnam Fund for Growth and Income | and Pennsylvania. |
| International Value Fund | |
| Multi-Cap Value Fund | |
| Small Cap Value Fund |
| Diversified Income Trust 97 |
| Absolute Return | Retirement Income Fund Lifestyle 1 — a portfolio |
| Absolute Return 100 Fund® | with managed allocations to stocks, bonds, |
| Absolute Return 300 Fund® | and money market investments to generate |
| Absolute Return 500 Fund® | retirement income. |
| Absolute Return 700 Fund® | |
| RetirementReady® Funds — portfolios with | |
| Global Sector | adjusting allocations to stocks, bonds, and |
| Global Consumer Fund | money market instruments, becoming more |
| Global Energy Fund | conservative over time. |
| Global Financials Fund | |
| Global Health Care Fund | RetirementReady® 2060 Fund |
| Global Industrials Fund | RetirementReady® 2055 Fund |
| Global Natural Resources Fund | RetirementReady® 2050 Fund |
| Global Sector Fund | RetirementReady® 2045 Fund |
| Global Technology Fund | RetirementReady® 2040 Fund |
| Global Telecommunications Fund | RetirementReady® 2035 Fund |
| Global Utilities Fund | RetirementReady® 2030 Fund |
| RetirementReady® 2025 Fund | |
| Asset Allocation | RetirementReady® 2020 Fund |
| George Putnam Balanced Fund | |
| Global Asset Allocation Funds — four | |
| investment portfolios that spread your money | |
| across a variety of stocks, bonds, and money | |
| market instruments. | |
| Dynamic Asset Allocation Balanced Fund | |
| Dynamic Asset Allocation Conservative Fund | |
| Dynamic Asset Allocation Growth Fund | |
| Dynamic Risk Allocation Fund |
* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
† You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors.
An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
‡ Not available in all states.
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
| 98 Diversified Income Trust |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| Diversified Income Trust 99 |
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 it to 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.
| 100 Diversified Income Trust |
Fund information
Founded over 75 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 over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | James F. Clark |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
| Management, LLC | Kenneth R. Leibler, Vice Chair | Chief Compliance Officer |
| One Post Office Square | Liaquat Ahamed | |
| Boston, MA 02109 | Ravi Akhoury | Michael J. Higgins |
| Barbara M. Baumann | Vice President, Treasurer, | |
| Investment Sub-Advisor | Robert J. Darretta | and Clerk |
| Putnam Investments Limited | Katinka Domotorffy | |
| 57–59 St James’s Street | Catharine Bond Hill | Janet C. Smith |
| London, England SW1A 1LD | John A. Hill | Vice President, |
| Paul L. Joskow | Principal Financial Officer, | |
| Marketing Services | Robert E. Patterson | Principal Accounting Officer, |
| Putnam Retail Management | George Putnam, III | and Assistant Treasurer |
| One Post Office Square | Robert L. Reynolds | |
| Boston, MA 02109 | Manoj P. Singh | Susan G. Malloy |
| W. Thomas Stephens | Vice President and | |
| Custodian | Assistant Treasurer | |
| State Street Bank | Officers | |
| and Trust Company | Robert L. Reynolds | Mark C. Trenchard |
| President | Vice President and | |
| Legal Counsel | BSA Compliance Officer | |
| Ropes & Gray LLP | Jonathan S. Horwitz | |
| Executive Vice President, | Nancy E. Florek | |
| Principal Executive Officer, | Vice President, Director of | |
| and Compliance Liaison | Proxy Voting and Corporate | |
| Governance, Assistant Clerk, | ||
| Robert T. Burns | and Associate Treasurer | |
| Vice President and | ||
| Chief Legal Officer |
This report is for the information of shareholders of Putnam Diversified Income Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| Not applicable |
| Item 3. Audit Committee Financial Expert: |
| Not applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not applicable |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
| Item 6. Schedule of Investments: |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
| Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
| Item 11. Controls and Procedures: |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
| (b) Changes in internal control over financial reporting: Not applicable |
| Item 12. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| (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 Diversified Income Trust |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: May 26, 2017 |
| 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: May 26, 2017 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: May 26, 2017 |