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: | 100 Federal Street, Boston, Massachusetts 02110 |
Name and address of agent for service: | Stephen Tate, Vice President 100 Federal Street Boston, Massachusetts 02110 |
Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
James E. Thomas, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199 |
Registrant’s telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | September 30, 2023 |
Date of reporting period: | October 1 , 2022 – September 30, 2023 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam
Diversified Income
Trust
Annual report
9 | 30 | 23
Message from the Trustees
November 7, 2023
Dear Fellow Shareholder:
Equity markets have risen from the depths of the 2022 downturn over the past 12 months. At the same time, the U.S. economy has continued to grow. However, both stocks and bonds have encountered headwinds recently. With the rate of inflation above the Federal Reserve’s target of 2%, the Fed has made it clear that short-term interest rates will remain high heading into 2024. Many experts believe the Fed’s restrictive policy keeps the risk of a recession alive.
Turning to bond markets, performance has been mostly lackluster over the past 12 months. The rise in bond yields since July has challenged many fixed income assets. Against this backdrop, investors are weighing the impact of high borrowing costs and tighter lending conditions at banks.
As active managers, your investment team continues to research attractive opportunities for your fund while monitoring risks. This report offers an update on their efforts.
Thank you for investing with Putnam.
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 8–10 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.
Lipper peer group median is provided by Lipper, an LSEG company.
* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/23. See above and pages 8–10 for additional fund performance information. Index descriptions can be found on page 12.
All Bloomberg indices are provided by Bloomberg Index Services Limited.
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Mike, please describe investing conditions during the 12-month reporting period.
Bond market performance was mixed over the period. Stubborn inflation, banking turmoil, a U.S. debt ceiling crisis, and recessionary concerns weighed on financial markets. The U.S. Federal Reserve made a series of interest-rate hikes to bring the rate of inflation closer to its 2% target. At period-end, the federal funds rate reached a 22-year high of 5.25%–5.50%.
In December 2022, inflation eased enough for the Fed to begin reducing the size and pace of its interest-rate hikes. The U.S. economy, buoyed by a strong labor market, remained in expansion. Quarterly corporate earnings surpassed investors’ expectations. Risk appetite improved as recessionary fears declined.
In calendar 2023, new risks emerged. Sticky inflation caused the Fed to keep interest rates higher for longer than anticipated. The failure of several U.S. regional banks in March 2023 and concern over the federal deficit also weighed on investor sentiment. U.S. Treasury yields rose sharply in May 2023 following a resolution to the U.S. debt ceiling debate. After skipping a rate hike in June 2023, the Fed lifted
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Credit qualities are shown as a percentage of the fund’s net assets as of 9/30/23. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Due to rounding, percentages may not equal 100%.
Cash and net other assets, if any, represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency.
rates in July 2023. Treasury yields remained elevated after Fitch Ratings downgraded the U.S. government’s credit rating in August 2023. The Fed held interest rates steady in September 2023, but indicated another rate hike was possible before year-end.
Against this backdrop, high-yield bonds and floating-rate bank loans outperformed the broader fixed income market. Mortgage-backed securities and investment-grade [IG] corporate bonds, which are generally more sensitive to higher interest rates, were relative underperformers. Credit spreads largely tightened over the period. [Credit spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury note climbed from 3.83% at the start of the period to 4.59% at period-end.
How did the fund perform compared with its benchmark for the reporting period?
The fund’s class A shares returned 1.17%, underperforming the benchmark ICE BofA U.S. Treasury Bill Index, which returned 4.52%.
Which holdings and strategies detracted from fund performance during the reporting period?
Term structure risk strategies were the largest detractors from fund performance during the period. The period was marked by higher yields and an inverted yield curve, which happens when yields on longer-term bonds fall below those of shorter-term bonds. These conditions negatively impacted the fund, which is positioned with a structural positive duration that has settled around four years. Our structural duration positioning and discretionary relative value strategies drove the fund’s underperformance relative to its benchmark.
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Currency risk strategies modestly detracted from fund performance during the period. This strategy employs a hedge of safe-haven currencies that typically do well in risk-averse investing environments. We held a long position to the U.S. dollar, Japanese yen, and Swiss franc versus the remaining G10 currencies [the top 10 most-traded currencies in the world]. During the period, the Japanese yen weakened, the Swiss franc strengthened, and the U.S. dollar fluctuated relative to all G10 currencies, which led to the strategies’ underperformance.
Exposure to commercial mortgage-backed securities [CMBS] also detracted from fund performance. In the first quarter of calendar 2023, poor technicals [supply/demand metrics] and negative headlines surrounding office properties were a drag on the CMBS market.
What about contributors for the reporting period?
Corporate credit strategies were the fund’s largest contributors, led by high-yield bonds. High-yield spreads tightened by approximately 150 basis points [bps] during the period, as measured by the JPMorgan Developed High Yield Index.
Prepayment risk strategies, led by our mortgage basis positioning and exposure to agency interest-only [IO] securities, also contributed to the fund’s performance. We shifted to a long basis positioning in late calendar 2022, which was beneficial as the mortgage basis significantly tightened. The fund’s long mortgage basis positioning is a strategy that capitalizes on the difference between longer-term U.S. Treasury yields and the interest rates on
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 9/30/23. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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30-year home mortgages. Additionally, agency IO securities continued to benefit from low prepayment speeds.
Emerging market [EM] risk strategies and exposure to residential mortgage credit, led by our seasoned credit risk transfer [CRT] holdings, also helped results. CRTs performed well as they continued to be tendered by issuers and received some upgrades by rating agencies.
How did you use derivatives during the period?
We used credit default swaps to gain exposure to CMBS via CMBX, and also to hedge the fund’s credit and market risks. [CMBX is a group of tradable indexes that each reference a basket of 25 CMBS issued in a particular year.] We also used credit default swap contracts to gain exposure to specific sectors and individual names. We used bond futures contracts 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 also employed interest-rate swaps to gain exposure to rates in various countries. We utilized options to hedge the fund’s duration and convexity, to isolate the prepayment risk associated with our holdings of collateralized mortgage obligations, and to help manage overall downside 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 are your current views on the major sectors in which the fund invests?
A large budget deficit in an expanding U.S. economy, combined with stubborn inflation, contributed to rising interest rates year to date. Treasury yields have traded up since the resolution of the debt ceiling in May 2023. We expect interest rates to stay higher for longer on the back of increased Treasury supply and hawkish Fed rhetoric, in our view. We believe markets have priced in expectations for a U.S. recession in mid-2024.
We believe growth has been more resilient in the U.S. than in other major economies. We expect the U.S. dollar to appreciate given higher interest rates in the world’s reserve currency. In Europe, the central bank has signaled an end to its tightening cycle amid weak economic growth and tepid risk appetite, which we believe will put downward pressure on the euro. In our view, the Bank of Japan is far behind in the tightening cycle relative to other developed-market central banks. We expect the yen to continue to depreciate until a recession is more likely.
Healthy market technicals and supportive macroeconomic data have kept IG spread volatility low. Against this backdrop, the high-yield market has performed strongly along with other risk assets. Year to date, corporate fundamentals have been resilient; quarterly corporate earnings were largely better than expected. Technicals have been improving with a pick-up in inflows in recent months. Low new issuance in high yield, coupled with an increase in rising stars [companies showing the potential to improve in credit quality], also has created a supportive technical backdrop, in our view. Valuations are still somewhat attractive, in our view. Credit spreads are pricing in a continued increase in defaults along with slower growth. However, these conditions do not indicate a harsh recession, in our view. Year to date, spreads within IG have tightened 12 bps to 118 bps, leaving little room for error. Within high yield, valuation now sits at the 48th percentile over the past 10 years in terms of spread, while yield seems attractive versus historical averages, currently at the 92nd percentile. We believe risks to our outlook include macro forces of high inflation, central bank tightening, slowing growth, and heightened geopolitical tension.
Commercial real estate is facing meaningful headwinds and increased risks, in our view.
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These include the impact of a post-pandemic shift in office demand and rising costs of capital. Property values will likely face pressure over the medium term, with prices varying significantly by geography and property type, in our view. However, this scenario is more daunting for the equity investor, in our view. Debt holders only need the borrower to pay off the remaining interest and principal owed, which limits the impact on CMBS. We believe much of the risk has been priced into the market based on substantial spread widening over the past 12 months. The most attractive relative value opportunities require detailed loan-level analysis and security selection, in our view.
We believe U.S. homeowner balance sheets remain well positioned, supported by locked-in, ultra-low mortgage rates and substantial home price appreciation in recent years. We expect home prices to be flat for calendar 2023. However, certain geographies that became overheated may be susceptible to retractions. Spreads have narrowed compared with calendar 2022 but remain wider than the tights of calendar 2021. At current levels, we believe attractive risk-adjusted return opportunities can be found across the capital stack.
For EM credit, we have a cautious intermediate outlook. EM sovereigns appear overvalued across the quality spectrum. We see the risks of recession and inflation declining, which may be supportive of EM in the near term. We expect slightly more downside within the next three to nine months. We prefer to stay beta neutral [risk is not correlated to broader market volatility] and seek relative value opportunities. We remain very selective when adding high-yield risk exposure.
We maintain a neutral to slightly long position to the mortgage basis overall but remain tactical. The systemic risk posed by regional bank failures in March 2023 appears to be behind us, and market supply should taper down in the near term. However, the future of bank demand remains uncertain and may hinge upon regulatory changes.
We expect mortgage prepayment speeds will be stable going forward. The prepayment strategy may provide good protection against a recession scenario that negatively impacts home prices or unemployment. In our view, many prepayment-sensitive assets now offer an attractive risk-adjusted return at current price levels. We also believe they may offer significant upside potential if rates stabilize and volatility declines.
Thanks for your time and for bringing us up to date, Mike.
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.
Of special interest
The fund’s monthly dividend rate for class A shares increased from $0.025 to $0.029 per share in December 2022. The increase reflects Putnam Management’s earnings expectations in the current fixed income environment. Similar increases were made to other share classes of the fund.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended September 30, 2023, the end of its most recent 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 M, R, R6, and Y shares are not available to all investors.
Annualized fund performance Total return for periods ended 9/30/23
Life of fund | 10 years | 5 years | 3 years | 1 year | |
Class A (10/3/88) | |||||
Before sales charge | 5.06% | 1.06% | –0.98% | –1.91% | 1.17% |
After sales charge | 4.94 | 0.65 | –1.78 | –3.24 | –2.88 |
Class B (3/1/93) | |||||
Before CDSC | 4.87 | 0.46 | –1.72 | –2.65 | 0.36 |
After CDSC | 4.87 | 0.46 | –2.05 | –3.52 | –4.36 |
Class C (2/1/99) | |||||
Before CDSC | 4.88 | 0.47 | –1.71 | –2.64 | 0.45 |
After CDSC | 4.88 | 0.47 | –1.71 | –2.64 | –0.49 |
Class M (12/1/94) | |||||
Before sales charge | 4.78 | 0.82 | –1.24 | –2.17 | 0.79 |
After sales charge | 4.68 | 0.48 | –1.89 | –3.24 | –2.49 |
Class R (12/1/03) | |||||
Net asset value | 4.79 | 0.82 | –1.23 | –2.15 | 0.97 |
Class R6 (11/1/13) | |||||
Net asset value | 5.28 | 1.40 | –0.64 | –1.60 | 1.44 |
Class Y (7/1/96) | |||||
Net asset value | 5.26 | 1.32 | –0.71 | –1.67 | 1.41 |
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 and C share performance reflects conversion to class A shares after eight years.
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Comparative annualized index returns For periods ended 9/30/23
Life of fund | 10 years | 5 years | 3 years | 1 year | |
ICE BofA U.S. Treasury Bill | |||||
Index | —* | 1.12% | 1.73% | 1.67% | 4.52% |
Lipper Alternative Credit | |||||
Focus Funds category | |||||
median† | 5.07% | 1.44 | 1.07 | 0.11 | 4.61 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
Lipper peer group median is provided by Lipper, an LSEG company.
* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.
† Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/23, there were 106, 95, 85, 43, and 3 funds, respectively, in this Lipper category.
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and C shares would have been valued at $10,468 and $10,477, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,675 after sales charge) would have been valued at $10,493. A $10,000 investment in the fund’s class R, R6, and Y shares would have been valued at $10,849, $11,497, and $11,402, respectively.
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Fund price and distribution information For the 12-month period ended 9/30/23
Distributions | Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | ||
Number | 12 | 12 | 12 | 12 | 12 | 12 | 12 | ||
Income | $0.382 | $0.337 | $0.342 | $0.370 | $0.370 | $0.406 | $0.394 | ||
Capital gains | — | — | — | — | — | — | — | ||
Total | $0.382 | $0.337 | $0.342 | $0.370 | $0.370 | $0.406 | $0.394 | ||
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 |
9/30/22 | $5.59 | $5.82 | $5.52 | $5.46 | $5.45 | $5.63 | $5.49 | $5.52 | $5.53 |
9/30/23 | 5.28 | 5.50 | 5.21 | 5.15 | 5.13 | 5.30 | 5.18 | 5.20 | 5.22 |
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 | 6.59% | 6.33% | 5.99% | 6.06% | 6.55% | 6.34% | 6.49% | 7.15% | 6.90% |
Current 30-day | |||||||||
SEC yield 2 | N/A | 6.71 | 6.23 | 6.22 | N/A | 6.52 | 6.74 | 7.38 | 7.25 |
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.
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 9/30/22 | 1.01% | 1.76% | 1.76% | 1.26% | 1.26% | 0.66% | 0.76% |
Annualized expense ratio for the | |||||||
six-month period ended 9/30/23* | 1.05% | 1.80% | 1.80% | 1.30% | 1.30% | 0.68% | 0.80% |
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.
* Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.
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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 4/1/23 to 9/30/23. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
Expenses paid per $1,000*† | $5.21 | $8.92 | $8.92 | $6.45 | $6.45 | $3.38 | $3.97 |
Ending value (after expenses) | $980.40 | $976.10 | $976.20 | $978.70 | $978.90 | $982.20 | $981.20 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 9/30/23. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (183); and then dividing that result by the number of days in the year (365).
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 9/30/23, use the following calculation method. To find the value of your investment on 4/1/23, 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*† | $5.32 | $9.10 | $9.10 | $6.58 | $6.58 | $3.45 | $4.05 |
Ending value (after expenses) | $1,019.80 | $1,016.04 | $1,016.04 | $1,018.55 | $1,018.55 | $1,021.66 | $1,021.06 |
* 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 9/30/23. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (183); and then dividing that result by the number of days in the year (365).
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Comparative index definitions
Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed income securities.
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
JPMorgan Developed High Yield Index is an unmanaged index of high-yield fixed income securities issued in developed countries.
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.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Lipper, an LSEG company, is a third-party industry-ranking entity that ranks 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 medians reflect performance trends for funds within a category.
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Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577. We will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2023, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam funds. As of September 30, 2023, Putnam employees had approximately $477,000,000 and the Trustees had approximately $65,000,000 invested in Putnam funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
Liquidity risk management program
Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in May 2023. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2022 through December 2022. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2022. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.
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Important notice regarding Putnam’s privacy policy
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.
Under certain circumstances, we must 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. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
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Trustee approval of management contracts
Consideration of your fund’s new and interim management and sub-management contracts
At their meeting on June 23, 2023, the Board of Trustees of your fund, including all of the Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam mutual funds, closed-end funds and exchange-traded funds (collectively, the “funds”) (the “Independent Trustees”) approved, subject to approval by your fund’s shareholders, a new management contract with Putnam Investment Management (“Putnam Management”) and a new sub-management contract between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”) (collectively, the “New Management Contracts”). The Trustees considered the proposed New Management Contracts in connection with the planned acquisition of Putnam U.S. Holdings I, LLC (“Putnam Holdings”) by a subsidiary of Franklin Resources, Inc. (“Franklin Templeton”). The Trustees considered that, on May 31, 2023, Franklin Templeton and Great-West Lifeco Inc., the parent company of Putnam Holdings, announced that they had entered into a definitive agreement for a subsidiary of Franklin Templeton to acquire Putnam Holdings in a stock and cash transaction (the “Transaction”). The Trustees noted that Putnam Holdings was the parent company of Putnam Management and PIL. The Trustees were advised that the Transaction would result in a “change of control” of Putnam Management and PIL and would cause your fund’s current Management Contract with Putnam Management and Sub-Management Contract with PIL (collectively, the “Current Management Contracts”) to terminate in accordance with the 1940 Act. The Trustees considered that the New Management Contracts would take effect upon the closing of the Transaction, which was expected to occur in the fourth quarter of 2023.
In addition to the New Management Contracts, the Trustees also approved interim management and sub-management contracts with Putnam Management and PIL, respectively (the “Interim Management Contracts”), which would take effect in the event that for any reason shareholder approval of a New Management Contract was not received by the time of the Transaction closing. The Trustees considered that each Interim Management Contract that became effective would remain in effect until shareholders approved the proposed New Management Contract, or until 150 days elapse after the closing of the Transaction, whichever occurred first. The considerations and conclusions discussed in connection with the Trustees’ consideration of the New Management Contracts and the continuance of your fund’s Current Management Contracts also apply to the Trustees’ consideration of the Interim Management Contracts, supplemented by consideration of the terms, nature and reason for any Interim Management Contract.
The Independent Trustees met with their independent legal counsel, as defined in Rule 0 – 1(a)(6) under the 1940 Act (their “independent legal counsel”), and representatives of Putnam Management and its parent company, Power Corporation of Canada, to discuss the potential Transaction, including the timing and structure of the Transaction and its implications for Putnam Management and the funds, during their regular meeting on November 18, 2022, and the full Board of Trustees further discussed these matters with representatives of Putnam Management at its regular meeting on December 15, 2022. At a special meeting on December 20, 2022, the full Board of Trustees met with representatives of Putnam Management, Power Corporation of Canada and Franklin Templeton to further discuss the potential Transaction, including Franklin Templeton’s strategic plans for Putnam Management’s asset management business and the funds, potential sources of synergy between Franklin Templeton and Putnam Management, potential areas of partnership between Power Corporation of Canada and Franklin Templeton, Franklin Templeton’s distribution capabilities, Franklin Templeton’s existing service provider relationships and Franklin Templeton’s recent acquisitions of other asset management firms.
In order to assist the Independent Trustees in their consideration of the New Management Contracts and other anticipated impacts of the Transaction on the funds and their shareholders, independent legal counsel for the Independent Trustees furnished an initial information request to Franklin Templeton (the “Initial Franklin Request”). At a special meeting of the full Board of Trustees held on January 25, 2023, representatives of Franklin Templeton addressed the firm’s responses to the Initial Franklin Request. At the
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meeting, representatives of Franklin Templeton discussed, among other things, the business and financial condition of Franklin Templeton and its affiliates, Franklin Templeton’s U.S. registered fund operations, its recent acquisition history, Franklin Templeton’s intentions regarding the operation of Putnam Management and the funds following the completion of the potential Transaction and expected benefits to the funds and Putnam Management that might result from the Transaction.
The Board of Trustees actively monitored developments with respect to the potential Transaction throughout the period leading up to the public announcement of a final sale agreement on May 31, 2023. The Independent Trustees met to discuss these matters at their regular meetings on January 27, April 20 and May 19, 2023. The full Board of Trustees also discussed developments at their regular meeting on February 23, 2023. Following the public announcement of the Transaction on May 31, 2023, independent legal counsel for the Independent Trustees furnished a supplemental information request (the “Supplemental Franklin Request”) to Franklin Templeton. At the Board of Trustees’ regular in-person meeting held on June 22–23, 2023, representatives of Putnam Management and Power Corporation of Canada provided further information regarding, among other matters, the final terms of the Transaction and efforts undertaken to retain Putnam employees. The Contract Committee of the Board of Trustees also met on June 22, 2023 to discuss Franklin Templeton’s responses to the Supplemental Franklin Request. Mr. Reynolds, the only Trustee affiliated with Putnam Management, participated in portions of these meetings to provide the perspective of the Putnam organization, but did not otherwise participate in the deliberations of the Independent Trustees or the Contract Committee regarding the potential Transaction.
After the presentations and after reviewing the written materials provided, the Independent Trustees met at their in-person meeting on June 23, 2023 to consider the New Management Contracts for each fund, proposed to become effective upon the closing of the Transaction, and the filing of a preliminary proxy statement. At this meeting and throughout the process, the Independent Trustees also received advice from their independent legal counsel regarding their responsibilities in evaluating the potential Transaction and the New Management Contracts. The Independent Trustees reviewed the terms of the proposed New Management Contracts and the differences between the New Management Contracts and the Current Management Contracts. They noted that the terms of the proposed New Management Contracts were substantially identical to the Current Management Contracts, except for certain changes designed largely to address differences among various of the existing contracts, which had been developed and implemented at different times in the past.
In considering the approval of the proposed New Management Contracts, the Board of Trustees took into account a number of factors, including:1
(i) Franklin Templeton’s and Putnam Management’s belief that the Transaction would not adversely affect the funds or their shareholders and their belief that the Transaction was likely to result in certain benefits (described below) for the funds and their shareholders;
(ii) That Franklin Templeton did not intend to make any material change in Putnam Management’s senior investment professionals (other than certain changes related to reporting structure and organization of personnel discussed below), including the portfolio managers of the funds, or to the firm’s operating locations as a result of the Transaction;
(iii) That Franklin Templeton intended for Putnam Management’s equity investment professionals to continue to operate largely independently from Franklin Templeton, reporting to Franklin Templeton’s Head of Public Markets following the Transaction;
(iv) That, while Putnam Management’s organizational structure was not expected to change immediately following the Transaction, Franklin Templeton intended to revise Putnam Management’s reporting structure in order to include Putnam Management’s fixed income investment professionals in Franklin Templeton’s fixed income group and to include Putnam Management’s Global Asset Allocation (“GAA”) investment professionals in Franklin Templeton’s investment solutions group, with both Franklin Templeton groups reporting to Franklin Templeton’s Head of Public Markets;
1 All subsequent references to Putnam Management describing the Board of Trustees’ considerations should be deemed to include references to PIL as necessary or appropriate in the context.
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(v) Franklin Templeton’s expectation that there would not be any changes in the investment objectives, strategies or portfolio holdings of the funds as a result of the Transaction;
(vi) That neither Franklin Templeton nor Putnam Management had any current plans to propose changes to the funds’ existing management fees or expense limitations, or current plans to make changes to the funds’ existing distribution arrangements;
(vii) Franklin Templeton’s and Putnam Management’s representations that, following the Transaction, there was not expected to be any diminution in the nature, quality and extent of services provided to the funds and their shareholders by Putnam Management and PIL, including compliance and other non-advisory services;
(viii) That Franklin Templeton did not currently plan to change the branding of the funds or to change the lineup of funds in connection with the Transaction but would continue to evaluate how best to position the funds in the market;
(ix) The possible benefits accruing to the funds and their shareholders as a result of the Transaction, including:
a. That the scale of Franklin Templeton’s investment operations platform would increase the investment and operational resources available to the funds;
b. That the Putnam open-end funds would benefit from Franklin Templeton’s large retail and institutional global distribution capabilities and significant network of intermediary relationships, which may provide additional opportunities for the funds to increase assets and reduce expenses by spreading expenses over a larger asset base; and
c. Potential benefits to shareholders of the Putnam open-end funds that could result from the alignment of certain fund features and shareholder benefits with those of other funds sponsored by Franklin Templeton and its affiliates and access to a broader array of investment opportunities;
(x) The financial strength, reputation, experience and resources of Franklin Templeton and its investment advisory subsidiaries;
(xi) Franklin Templeton’s expectation that the Transaction would not impact the capabilities or responsibilities of Putnam Management’s Investment Division (other than any impact related to reporting structure changes for Putnam Management’s equity, fixed income and GAA investment groups and to including Putnam Management’s fixed income and GAA investment professionals in existing Franklin Templeton investment groups, as discussed above) and that any changes to the Investment Division over the longer term would be made in order to achieve perceived operational efficiencies or improvements to the portfolio management process;
(xii) Franklin Templeton’s commitment to maintaining competitive compensation arrangements to allow Putnam Management to continue to attract and retain highly qualified personnel and Putnam Management’s and Franklin Templeton’s efforts to retain personnel, including efforts implemented since the Transaction was announced;
(xiii) That the current senior management teams at Putnam Management and Power Corporation of Canada had indicated their strong support of the Transaction and that Putnam Management had recommended that the Board of Trustees approve the New Management Contracts; and
(xiv) Putnam Management’s and Great-West Lifeco Inc.’s commitment to bear all expenses incurred by the funds in connection with the Transaction, including all costs associated with the proxy solicitation in connection with seeking shareholder approval of the New Management Contracts.
Finally, in considering the proposed New Management Contracts, the Board of Trustees also took into account their concurrent deliberations and conclusions, as described below, in connection with their annual review of the funds’ Current Management Contracts and the approval of their continuance, effective July 1, 2023, and the extensive materials that they had reviewed in connection with that review process.
Based upon the foregoing considerations, on June 23, 2023, the Board of Trustees, including all of the Independent Trustees, unanimously approved the proposed New Management Contracts and determined to recommend their approval to the shareholders of the funds.
General conclusions — Current Management Contracts
The Board of Trustees oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of
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your fund’s management contract with Putnam Management and the sub-management contract with respect to your fund between Putnam Management and PIL. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees did not attempt to evaluate PIL as a separate entity.) The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Independent Trustees.
At the outset of the review process, members of the Board of Trustees’ independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2023, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board of Trustees’ independent staff and by independent legal counsel for the funds and the Independent Trustees.
At the Board of Trustees’ June 2023 meeting, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At that meeting, the Contract Committee also met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s Current Management Contracts, effective July 1, 2023, and the approval of your fund’s New Management Contracts and Interim Management Contracts, as discussed above.
The Independent Trustees’ approvals were based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund and the application of certain reductions and waivers noted below; and
• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam mutual funds and closed-end funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with certain exceptions primarily involving newer funds (including the exchange-traded funds) or repositioned funds, the current fee arrangements under the vast majority of the funds’ management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders. The Trustees also took into account their concurrent deliberations and conclusions, and the materials that they had reviewed, in connection with their approval on June 23, 2023 of the Interim Management Contracts and the New Management Contracts, which had been proposed in light of the Transaction (which would cause the fund’s Current Management Contracts to terminate in accordance with applicable law or the terms of each contract).
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Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all funds, including fee levels and any breakpoints. Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two mutual funds and each of the exchange-traded funds have implemented so-called “all-in” or unitary management fees covering substantially all routine fund operating costs.)
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee schedule for your fund would be appropriate at this time.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. The Trustees, Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2022. These expense limitations were: (i) a contractual expense limitation applicable to specified mutual funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified mutual funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2022. Putnam Management and PSERV have agreed to maintain these expense limitations until at least January 30, 2025. Putnam Management and PSERV’s commitment to these expense limitation arrangements, which were intended to support an effort to have the mutual fund expenses meet competitive standards, was an important factor in the Trustees’ decision to approve your fund’s New Management Contracts and Interim Management Contracts and the continuance of your fund’s Current Management Contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the first quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the second quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2022. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2022 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.
In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds, as applicable. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to (as applicable) the funds’ management, distribution and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability in 2022 for each of the applicable agreements separately and for the agreements taken together on a
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combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place for each of the funds, including the fee schedule for your fund, represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the funds at that time.
The information examined by the Trustees in connection with their annual contract review for the funds included information regarding services provided and fees charged by Putnam Management and its affiliates to other clients, including collective investment trusts offered in the defined contribution and defined benefit retirement plan markets, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, model-only separately managed accounts and Putnam Management’s manager-traded separately managed account programs. This information included, in cases where a product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the funds. The Trustees observed that the differences in fee rates between these clients and the funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for 1940 Act-registered funds than for other clients, and the Trustees also considered the differences between the services that Putnam Management provides to the funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of Putnam Management’s investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that, in the aggregate, peer-relative and benchmark-relative Putnam fund performance was generally encouraging in 2022 against a backdrop of volatile equity and fixed income markets, driven by factors such as Russia’s invasion of Ukraine, increased tensions with China, disruptions in energy markets and broader supply chains, rising inflation and the significant tightening of monetary policy by the Board of Governors of the Federal Reserve in an effort to combat inflation. The Trustees further noted that, in the face of these numerous economic headwinds, corporate earnings and employment data had been generally robust throughout 2022. For the one-year period ended December 31, 2022, the Trustees noted that the Putnam funds, on an asset-weighted basis, ranked in the 41st percentile of their peers as determined by Lipper Inc. (“Lipper”) and, on an asset-weighted-basis, outperformed their benchmarks by 1.3% gross of fees over the one-year period. The Committee also noted that the funds’ aggregate performance over longer-term periods continued to be strong, with the funds, on an asset-weighted basis, ranking in the 34th, 27th and 22nd percentiles of their Lipper peers over the three-year, five-year and ten-year periods ended December 31, 2022, respectively. The Trustees further noted that the funds, in the aggregate, outperformed their benchmarks on a gross basis for each of the three-year, five-year and ten-year periods. The Trustees also considered the Morningstar Inc. ratings assigned to the funds and that 40 funds were rated four or five stars at the
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end of 2022, which represented an increase of 15 funds year-over-year. The Trustees also considered that seven funds were five-star rated at the end of 2022, which was a year-over-year decrease of two funds, and that 83% of the funds’ aggregate assets were in four- or five-star rated funds at year end.
In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes, as reported in the Barron’s/Lipper Fund Families survey (the “Survey”). The Trustees noted that the Survey ranks mutual fund companies based on their performance across a variety of asset types, and that The Putnam Fund complex had performed exceptionally well in 2022. In this regard, the Trustees considered that the funds had ranked 9th out of 49 fund companies, 3rd out of 49 fund companies and 2nd out of 47 fund companies for the one-year, five-year and ten-year periods, respectively. The Trustees also noted that The Putnam Fund complex had been the only fund family to rank in the top ten in all three time periods. They also noted, however, the disappointing investment performance of some Putnam funds for periods ended December 31, 2022 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and, where relevant, actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor the performance of those funds.
For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper Alternative Credit Focus Funds) for the one-year, three-year and five-year periods ended December 31, 2022 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):
One-year period | 2nd |
Three-year period | 3rd |
Five-year period | 3rd |
Over the one-year, three-year and five-year periods ended December 31, 2022, there were 98, 93 and 82 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
The Trustees also considered Putnam Management’s continued efforts to support fund performance through certain initiatives, including structuring compensation for portfolio managers to enhance accountability for fund performance, emphasizing accountability in the portfolio management process and affirming its commitment to a fundamental-driven approach to investing.
Brokerage and soft-dollar allocations; distribution and investor servicing
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments made to Putnam Management’s
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affiliates by the mutual funds for distribution services and investor services. In conjunction with the review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contract and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the mutual funds to PSERV and PRM for such services were fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds and the costs incurred by PSERV and PRM in providing such services. Furthermore, the Trustees were of the view that the investor services provided by PSERV were required for the operation of the mutual funds, and that they were of a quality at least equal to those provided by other providers.
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Audited financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited 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.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover (not required for money market funds) in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Putnam Diversified Income Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam Diversified Income Trust (the “Fund”) as of September 30, 2023, the related statement of operations for the year ended September 30, 2023, the statement of changes in net assets for each of the two years in the period ended September 30, 2023, including the related notes, and the financial highlights for each of the four years in the period ended September 30, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2023 and the financial highlights for each of the four years in the period ended September 30, 2023 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended September 30, 2019 and the financial highlights for each of the periods ended on or prior to September 30, 2019 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated November 12, 2019 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 7, 2023
We have served as the auditor of one or more investment companies in the Putnam Investments family of funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.
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The fund’s portfolio 9/30/23 | ||
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (68.1%)* | Principal amount | Value |
U.S. Government Guaranteed Mortgage Obligations (8.1%) | ||
Government National Mortgage Association Pass-Through Certificates | ||
6.50%, 11/20/38 | $82,581 | $85,070 |
5.50%, TBA, 10/1/53 | 32,000,000 | 31,056,112 |
4.50%, TBA, 10/1/53 | 45,000,000 | 41,564,880 |
4.00%, TBA, 10/1/53 | 30,000,000 | 27,029,178 |
3.50%, with due dates from 9/20/49 to 11/20/49 | 74,462 | 65,149 |
99,800,389 | ||
U.S. Government Agency Mortgage Obligations (60.0%) | ||
Uniform Mortgage-Backed Securities | ||
6.50%, TBA, 10/1/53 | 206,000,000 | 206,984,639 |
6.00%, TBA, 10/1/53 | 266,000,000 | 262,560,567 |
5.50%, TBA, 10/1/53 | 167,000,000 | 161,416,021 |
5.00%, TBA, 10/1/53 | 5,000,000 | 4,718,167 |
3.50%, TBA, 10/1/53 | 31,000,000 | 26,655,152 |
3.00%, TBA, 10/1/53 | 36,000,000 | 29,763,295 |
2.50%, TBA, 10/1/53 | 64,000,000 | 50,762,464 |
742,860,305 | ||
Total U.S. government and agency mortgage obligations (cost $854,514,724) | $842,660,694 | |
U.S. TREASURY OBLIGATIONS (1.1%)* | Principal amount | Value |
U.S. Treasury Bonds 1.875%, 2/15/51 i | $18,000 | $10,132 |
U.S. Treasury Notes | ||
3.25%, 6/30/27 i | 1,107,000 | 1,060,705 |
3.125%, 11/15/28 i | 354,000 | 333,723 |
1.875%, 2/28/27 i | 138,000 | 125,809 |
1.625%, 5/15/31 i | 6,440,000 | 5,267,791 |
1.625%, 8/15/29 i | 149,000 | 126,738 |
0.625%, 8/15/30 i | 8,264,000 | 6,349,231 |
0.375%, 11/30/25 i | 338,000 | 306,613 |
0.25%, 7/31/25 i | 452,000 | 414,045 |
Total U.S. treasury obligations (cost $13,994,787) | $13,994,787 | |
MORTGAGE-BACKED SECURITIES (36.0%)* | Principal amount | Value | |
Agency collateralized mortgage obligations (14.2%) | |||
Federal Home Loan Mortgage Corporation | |||
REMICs Ser. 4509, Class CI, IO, 6.00%, 9/15/45 | $8,663,642 | $1,890,130 | |
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 2,366,125 | 486,475 | |
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 | 20,021,538 | 4,514,399 | |
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 | 4,337,937 | 964,271 | |
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 | 2,211,371 | 490,141 | |
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 3,014,572 | 462,053 | |
REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 | 4,600,000 | 848,226 | |
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 11,279,861 | 1,696,151 | |
REMICs Ser. 4020, Class IA, IO, 4.00%, 3/15/27 | 1,129,843 | 39,985 | |
REMICs Ser. 4484, Class TI, IO, 3.50%, 11/15/44 | 857,759 | 73,593 | |
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 1,597,043 | 117,342 |
Diversified Income Trust 25 |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Federal Home Loan Mortgage Corporation | |||
REMICs Ser. 23-5349, Class IA, IO, 3.00%, 12/15/42 | $5,300,000 | $461,837 | |
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.821%, 9/25/50 | 3,397,637 | 351,316 | |
REMICs IFB Ser. 4742, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.772%, 12/15/47 | 9,865,900 | 966,858 | |
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.672%, 8/15/56 | 1,777,726 | 169,293 | |
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.672%, 4/15/47 | 6,253,174 | 587,083 | |
REMICs IFB Ser. 4265, Class SD, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.672%, 1/15/35 | 17,339,932 | 851,819 | |
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.671%, 7/25/50 | 30,550,861 | 2,845,981 | |
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 1/25/50 | 2,092,848 | 162,084 | |
Strips IFB Ser. 326, Class S2, IO, ((-1 x US 30 Day Average SOFR) + 5.84%), 0.522%, 3/15/44 | 3,753,591 | 289,391 | |
Strips IFB Ser. 311, Class S1, IO, ((-1 x US 30 Day Average SOFR) + 5.84%), 0.522%, 8/15/43 | 6,634,914 | 558,511 | |
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.384%, 7/25/43 W | 5,376,976 | 71,063 | |
Federal National Mortgage Association | |||
Grantor Trust Ser. 98-T2, Class A4, IO, 6.50%, 10/25/36 | 3,928 | 313 | |
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 6,966,818 | 1,166,610 | |
REMICs Ser. 15-69, IO, 6.00%, 9/25/45 | 8,268,947 | 1,882,550 | |
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37 | 12,085,381 | 2,109,479 | |
Interest Strip Ser. 399, Class 2, IO, 5.50%, 11/25/39 | 11,826 | 2,480 | |
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 488,857 | 80,525 | |
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 877,104 | 137,565 | |
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 539,189 | 75,848 | |
REMICs Ser. 12-151, Class IN, IO, 5.00%, 1/25/43 | 5,662,377 | 1,083,383 | |
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 | 2,837,903 | 517,043 | |
REMICs Ser. 18-58, Class AI, IO, 4.50%, 8/25/48 | 15,985,431 | 2,437,492 | |
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 2,831,880 | 547,699 | |
Interest Strip Ser. 405, Class 2, IO, 4.00%, 10/25/40 | 39,918 | 6,777 | |
REMICs Ser. 23-49, Class IC, IO, 4.00%, 11/25/49 | 7,100,000 | 1,147,126 | |
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 6,518,759 | 940,135 | |
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 2,346,992 | 335,573 | |
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 1,961,896 | 234,643 | |
REMICs Ser. 23-49, Class IB, IO, 3.50%, 3/25/47 | 17,000,000 | 2,582,912 | |
REMICs Ser. 23-49, Class IA, IO, 3.00%, 8/25/46 | 15,500,000 | 1,760,149 | |
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.971%, 4/25/40 | 3,662,409 | 312,056 | |
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.771%, 6/25/48 | 22,647,305 | 2,069,477 | |
REMICs IFB Ser. 18-44, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.771%, 6/25/48 | 26,952,688 | 2,502,557 | |
REMICs IFB Ser. 15-42, Class LS, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.771%, 6/25/45 | 1,553,084 | 63,826 |
26 Diversified Income Trust |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Federal National Mortgage Association | |||
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.721%, 10/25/41 | $396,821 | $704 | |
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40 W | 2,109,631 | 8,905 | |
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.671%, 12/25/46 | 24,833,045 | 1,358,601 | |
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 3/25/50 | 1,703,031 | 150,412 | |
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 8/25/49 | 978,117 | 67,426 | |
REMICs IFB Ser. 19-47, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 8/25/49 | 10,552,836 | 886,436 | |
REMICs IFB Ser. 19-34, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.621%, 7/25/49 | 12,310,512 | 1,040,329 | |
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.471%, 10/25/41 | 6,845,399 | 440,826 | |
FRB Ser. 02-W8, Class 1, IO, 0.296%, 6/25/42 W | 3,611,819 | 20,495 | |
Government National Mortgage Association | |||
Ser. 17-104, Class MI, IO, 5.50%, 7/16/47 | 8,250,185 | 1,807,687 | |
Ser. 19-119, Class IN, IO, 5.00%, 9/20/49 | 15,533,186 | 3,349,095 | |
Ser. 18-37, IO, 5.00%, 3/20/48 | 6,511,458 | 1,382,640 | |
Ser. 17-179, Class WI, IO, 5.00%, 12/20/47 | 3,886,196 | 843,201 | |
Ser. 16-126, Class PI, IO, 5.00%, 2/20/46 | 6,488,295 | 1,166,855 | |
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45 | 11,037,696 | 2,156,578 | |
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 1,450,705 | 326,583 | |
Ser. 14-132, IO, 5.00%, 9/20/44 | 4,545,748 | 1,016,566 | |
Ser. 12-146, IO, 5.00%, 12/20/42 | 3,217,838 | 610,874 | |
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 12,791,249 | 2,614,786 | |
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 3,979,715 | 799,596 | |
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 21,739,327 | 4,476,998 | |
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 11,932,437 | 2,439,587 | |
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 875,497 | 171,778 | |
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 | 5,797,952 | 1,119,294 | |
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 5,253,494 | 1,023,842 | |
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 1,442,774 | 284,716 | |
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45 | 7,262,253 | 1,359,153 | |
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 5,154,737 | 1,002,413 | |
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 11,802,099 | 2,290,482 | |
Ser. 13-167, IO, 4.50%, 9/20/40 | 2,251,390 | 398,528 | |
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 2,871,305 | 487,366 | |
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 8,249,936 | 1,429,565 | |
Ser. 10-20, Class BI, IO, 4.50%, 2/16/40 | 7,059,534 | 1,258,009 | |
Ser. 14-71, Class PI, IO, 4.50%, 12/20/39 | 4,116,439 | 390,897 | |
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45 | 11,629,266 | 1,587,940 | |
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 6,768,068 | 883,572 | |
Ser. 14-4, Class BI, IO, 4.00%, 1/20/44 | 5,513,277 | 995,391 | |
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 3,588,748 | 591,507 | |
Ser. 14-163, Class PI, IO, 4.00%, 10/20/43 | 430,727 | 6,528 | |
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 2,269,552 | 349,406 |
Diversified Income Trust 27 |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
Ser. 13-27, Class IJ, IO, 4.00%, 2/20/43 | $2,731,855 | $421,935 | |
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 1,677,233 | 284,671 | |
Ser. 21-8, Class VI, IO, 3.50%, 12/20/50 | 25,418,849 | 4,026,361 | |
Ser. 19-110, Class PI, IO, 3.50%, 9/20/49 | 8,629,249 | 1,499,764 | |
Ser. 18-21, Class AI, IO, 3.50%, 2/20/48 | 1,284,118 | 138,223 | |
Ser. 15-131, Class CI, IO, 3.50%, 9/20/45 | 3,374,893 | 511,331 | |
Ser. 15-131, Class MI, IO, 3.50%, 9/20/45 | 5,304,497 | 911,923 | |
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 6,257,707 | 1,029,284 | |
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 | 3,631,566 | 472,023 | |
Ser. 13-28, IO, 3.50%, 2/20/43 | 1,358,057 | 196,769 | |
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 3,212,208 | 366,898 | |
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 14,753,466 | 2,419,273 | |
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 9,728,869 | 1,514,264 | |
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 4,491,377 | 279,812 | |
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 | 29,022,832 | 4,448,078 | |
Ser. 16-H04, Class HI, IO, 2.357%, 7/20/65 W | 23,149,003 | 618,079 | |
Ser. 18-H15, Class EI, IO, 2.03%, 8/20/68 W | 39,857,989 | 2,088,558 | |
Ser. 15-H23, Class DI, IO, 1.854%, 9/20/65 W | 22,899,750 | 1,035,068 | |
Ser. 15-H15, Class AI, IO, 1.807%, 6/20/65 W | 27,709,021 | 1,169,321 | |
Ser. 15-H12, Class AI, IO, 1.793%, 5/20/65 W | 48,498,415 | 1,532,550 | |
FRB Ser. 15-H08, Class CI, IO, 1.744%, 3/20/65 W | 36,639,964 | 1,143,167 | |
Ser. 17-H06, Class DI, IO, 1.705%, 2/20/67 W | 20,440,763 | 625,488 | |
Ser. 15-H23, Class BI, IO, 1.687%, 9/20/65 W | 41,197,472 | 1,256,523 | |
Ser. 15-H03, Class CI, IO, 1.632%, 1/20/65 W | 41,660,002 | 1,320,622 | |
Ser. 16-H18, IO, 1.615%, 8/20/66 W | 26,606,856 | 733,631 | |
Ser. 16-H14, IO, 1.613%, 6/20/66 W | 24,961,667 | 663,506 | |
Ser. 14-H25, Class BI, IO, 1.608%, 12/20/64 W | 27,509,524 | 713,542 | |
Ser. 17-H03, Class HI, IO, 1.589%, 1/20/67 W | 40,806,811 | 1,185,167 | |
Ser. 17-H18, Class FI, IO, 1.588%, 9/20/67 W | 27,033,829 | 1,448,168 | |
Ser. 15-H01, Class BI, IO, 1.499%, 1/20/65 W | 21,295,647 | 543,188 | |
IFB Ser. 13-9, Class S, IO, ((-1 x CME Term SOFR 1 Month) + 6.64%), 1.311%, 1/20/43 | 13,827,124 | 1,391,830 | |
IFB Ser. 20-61, Class SF, IO, ((-1 x CME Term SOFR 1 Month) + 6.33%), 1.001%, 7/20/43 | 17,581,840 | 1,324,103 | |
IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.861%, 6/20/51 | 5,953,715 | 595,848 | |
IFB Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.861%, 5/20/51 | 31,646,704 | 3,116,175 | |
IFB Ser. 21-42, Class SG, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.861%, 3/20/51 | 31,340,117 | 2,079,699 | |
IFB Ser. 18-105, Class SG, IO, ((-1 x CME Term SOFR 1 Month) + 6.14%), 0.811%, 8/20/48 | 13,962,627 | 1,094,917 | |
IFB Ser. 18-67, Class SC, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.761%, 5/20/48 | 9,106,908 | 707,153 | |
IFB Ser. 17-160, Class S, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.761%, 10/20/43 | 15,660,181 | 1,104,340 | |
Ser. 17-H20, Class HI, IO, 0.735%, 10/20/67 W | 24,476,384 | 1,233,397 | |
Ser. 15-H18, Class BI, IO, 0.719%, 7/20/65 W | 22,149,553 | 854,973 |
28 Diversified Income Trust |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
IFB Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.711%, 7/20/50 | $2,333,294 | $230,376 | |
IFB Ser. 18-139, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.711%, 10/20/48 | 1,320,341 | 95,860 | |
IFB Ser. 13-152, Class SJ, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.711%, 5/20/41 | 11,799,625 | 894,279 | |
IFB Ser. 10-20, Class SC, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.711%, 2/20/40 | 2,928,483 | 219,636 | |
Ser. 16-H16, Class EI, IO, 0.704%, 6/20/66 W | 22,812,539 | 800,720 | |
IFB Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 4/20/50 | 2,583,736 | 237,571 | |
IFB Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 8/20/49 | 1,347,794 | 115,506 | |
IFB Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 7/20/49 | 1,394,905 | 115,456 | |
IFB Ser. 18-164, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 12/20/48 | 21,394,722 | 1,665,966 | |
IFB Ser. 14-46, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 3/20/44 | 5,912,548 | 453,197 | |
IFB Ser. 14-4, Class SG, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.661%, 1/20/44 | 9,315,689 | 734,539 | |
Ser. 16-H17, Class KI, IO, 0.617%, 7/20/66 W | 13,157,158 | 540,158 | |
Ser. 15-H20, Class BI, IO, 0.617%, 8/20/65 W | 25,510,588 | 854,605 | |
IFB Ser. 20-7, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.611%, 1/20/50 | 26,350,651 | 2,171,691 | |
IFB Ser. 19-125, Class SG, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.611%, 10/20/49 | 7,838,915 | 810,002 | |
IFB Ser. 19-6, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.611%, 1/20/49 | 12,487,437 | 852,075 | |
Ser. 15-H15, Class BI, IO, 0.529%, 6/20/65 W | 39,554,323 | 1,376,491 | |
Ser. 17-H11, Class DI, IO, 0.496%, 5/20/67 W | 16,418,649 | 807,860 | |
Ser. 15-H24, Class AI, IO, 0.43%, 9/20/65 W | 20,503,759 | 522,026 | |
Ser. 17-H12, Class QI, IO, 0.22%, 5/20/67 W | 25,987,680 | 814,610 | |
IFB Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.161%, 8/20/44 | 8,063,287 | 519,713 | |
Ser. 17-H16, IO, 0.16%, 8/20/67 W | 24,915,580 | 1,295,211 | |
Ser. 17-H11, Class TI, IO, 0.133%, 4/20/67 W | 16,944,380 | 908,219 | |
Ser. 17-H03, Class EI, IO, 0.117%, 1/20/67 W | 17,495,355 | 855,126 | |
Ser. 18-H01, Class XI, IO, 0.107%, 1/20/68 W | 26,375,211 | 1,578,798 | |
Ser. 16-H24, Class JI, IO, 0.091%, 11/20/66 W | 13,673,893 | 632,217 | |
Ser. 17-H16, Class JI, IO, 0.069%, 8/20/67 W | 27,315,931 | 1,234,496 | |
Ser. 17-H06, Class MI, IO, 0.064%, 2/20/67 W | 23,810,589 | 742,486 | |
Ser. 18-H02, Class HI, IO, 0.051%, 1/20/68 W | 39,338,907 | 1,601,762 | |
Ser. 18-H02, Class EI, IO, 0.05%, 1/20/68 W | 48,045,499 | 1,968,664 | |
Ser. 18-H04, IO, 0.049%, 2/20/68 W | 30,500,206 | 1,272,895 | |
Ser. 15-H10, Class BI, IO, 0.047%, 4/20/65 W | 20,599,448 | 801,318 | |
Ser. 18-H05, Class AI, IO, 0.036%, 2/20/68 W | 37,926,409 | 1,505,375 | |
Ser. 18-H05, Class BI, IO, 0.036%, 2/20/68 W | 44,786,446 | 1,765,526 | |
Ser. 18-H01, IO, 0.035%, 12/20/67 W | 16,592,977 | 643,028 |
Diversified Income Trust 29 |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
Ser. 17-H02, Class BI, IO, 0.031%, 1/20/67 W | $14,481,885 | $396,804 | |
Ser. 16-H22, Class AI, IO, 0.03%, 10/20/66 W | 24,812,952 | 781,013 | |
Ser. 16-H23, Class NI, IO, 0.03%, 10/20/66 W | 58,995,374 | 2,212,327 | |
Ser. 16-H27, Class EI, IO, 0.024%, 12/20/66 W | 19,263,727 | 488,027 | |
Ser. 17-H10, Class MI, IO, 0.021%, 4/20/67 W | 51,825,654 | 1,363,015 | |
Ser. 18-H03, Class XI, IO, 0.019%, 2/20/68 W | 59,760,105 | 2,444,188 | |
Ser. 17-H08, Class NI, IO, 0.019%, 3/20/67 W | 32,102,199 | 947,015 | |
Ser. 17-H06, Class BI, IO, 0.015%, 2/20/67 W | 31,530,779 | 888,352 | |
Ser. 17-H09, IO, 0.014%, 4/20/67 W | 27,338,757 | 644,375 | |
Ser. 16-H06, Class CI, IO, 0.002%, 2/20/66 W | 23,462,374 | 327,511 | |
Ser. 20-H12, Class IH, IO, zero %, 7/20/70 W | 40,902,100 | 2,333,342 | |
176,052,836 | |||
Commercial mortgage-backed securities (11.7%) | |||
Barclays Commercial Mortgage Trust 144A | |||
FRB Ser. 19-C5, Class F, 2.729%, 11/15/52 W | 415,000 | 206,465 | |
Ser. 19-C5, Class D, 2.50%, 11/15/52 | 442,000 | 261,192 | |
Benchmark Mortgage Trust FRB Ser. 18-B1, Class C, 4.329%, 1/15/51 W | 501,000 | 349,636 | |
Benchmark Mortgage Trust 144A FRB Ser. 18-B3, Class D, 3.176%, 4/10/51 W | 4,712,000 | 2,556,859 | |
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44 W | 5,376,000 | 3,200,693 | |
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.696%, 2/10/50 W | 551,000 | 296,654 | |
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50 | 4,998,000 | 2,237,448 | |
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.08%, 12/15/47 W | 7,980,000 | 6,523,801 | |
Citigroup Commercial Mortgage Trust 144A | |||
FRB Ser. 15-GC27, Class D, 4.566%, 2/10/48 W | 242,000 | 206,939 | |
Ser. 15-P1, Class D, 3.225%, 9/15/48 | 2,618,000 | 2,091,906 | |
Ser. 15-GC27, Class E, 3.00%, 2/10/48 | 476,000 | 302,188 | |
COMM Mortgage Trust | |||
FRB Ser. 14-CR16, Class C, 5.08%, 4/10/47 W | 389,000 | 327,400 | |
Ser. 12-LC4, Class B, 4.934%, 12/10/44 W | 199,358 | 179,422 | |
Ser. 13-CR12, Class AM, 4.30%, 10/10/46 | 4,154,100 | 3,616,809 | |
Ser. 15-DC1, Class B, 4.035%, 2/10/48 W | 2,646,000 | 2,297,042 | |
COMM Mortgage Trust 144A | |||
FRB Ser. 14-CR17, Class D, 5.006%, 5/10/47 W | 326,000 | 295,058 | |
FRB Ser. 14-CR17, Class E, 5.006%, 5/10/47 W | 360,000 | 239,544 | |
FRB Ser. 13-CR13, Class D, 4.95%, 11/10/46 W | 1,583,000 | 1,233,085 | |
FRB Ser. 14-UBS3, Class D, 4.923%, 6/10/47 W | 165,000 | 107,272 | |
FRB Ser. 13-CR7, Class D, 4.398%, 3/10/46 W | 170,850 | 147,785 | |
FRB Ser. 15-LC19, Class E, 4.354%, 2/10/48 W | 3,181,000 | 2,389,225 | |
Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 10,009,000 | 1,851,676 | |
Ser. 12-CR4, Class B, 3.703%, 10/15/45 | 2,026,000 | 1,238,522 | |
Ser. 15-LC19, Class D, 2.867%, 2/10/48 | 312,000 | 272,930 |
30 Diversified Income Trust |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41 W | $10,781,406 | $3,281,246 | |
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.475%, 9/9/24 | 2,015,000 | 2,030,015 | |
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.892%, 4/15/50 W | 272,000 | 165,920 | |
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.537%, 8/10/44 W | 252,837 | 224,138 | |
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.315%, 11/25/51 | 5,326,000 | 5,054,240 | |
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.688%, 2/10/46 W | 273,000 | 236,122 | |
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W | 401,000 | 333,522 | |
GS Mortgage Securities Trust 144A | |||
FRB Ser. 11-GC5, Class B, 5.299%, 8/10/44 W | 290,000 | 240,886 | |
FRB Ser. 14-GC24, Class D, 4.657%, 9/10/47 W | 15,515,000 | 6,675,510 | |
Ser. 19-GC38, Class D, 3.00%, 2/10/52 | 600,000 | 377,780 | |
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.70%, 9/15/47 W | 530,000 | 459,649 | |
JPMBB Commercial Mortgage Securities Trust 144A | |||
FRB Ser. 14-C18, Class D, 4.893%, 2/15/47 W | 9,906,000 | 6,143,929 | |
FRB Ser. 14-C19, Class C19, 4.781%, 4/15/47 W | 3,346,000 | 3,111,773 | |
FRB Ser. 14-C18, Class E, 4.393%, 2/15/47 W | 7,852,000 | 4,610,349 | |
FRB Ser. 14-C23, Class D, 4.129%, 9/15/47 W | 301,000 | 249,169 | |
FRB Ser. 14-C25, Class D, 4.081%, 11/15/47 W | 7,740,000 | 3,998,848 | |
Ser. 14-C25, Class E, 3.332%, 11/15/47 W | 15,725,000 | 3,940,355 | |
JPMDB Commercial Mortgage Securities Trust | |||
FRB Ser. 18-C8, Class C, 4.923%, 6/15/51 W | 1,098,000 | 878,400 | |
Ser. 17-C5, Class C, 4.512%, 3/15/50 W | 254,000 | 178,990 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
FRB Ser. 13-LC11, Class D, 4.261%, 4/15/46 W | 431,000 | 265,594 | |
Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 180,000 | 157,231 | |
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W | 9,371,809 | 3,993,150 | |
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49 W | 60,277 | 1 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Ser. 12-C6, Class C, 4.536%, 11/15/45 W | 2,598,485 | 2,392,508 | |
FRB Ser. 15-C22, Class C, 4.341%, 4/15/48 W | 2,362,000 | 2,068,959 | |
Ser. 14-C19, Class C, 4.00%, 12/15/47 | 1,678,000 | 1,515,966 | |
Morgan Stanley Bank of America Merrill Lynch Trust 144A | |||
FRB Ser. 13-C12, Class D, 5.074%, 10/15/46 W | 534,000 | 442,832 | |
FRB Ser. 12-C6, Class E, 4.531%, 11/15/45 W | 2,446,000 | 1,589,900 | |
FRB Ser. 15-C23, Class D, 4.276%, 7/15/50 W | 2,330,000 | 1,959,115 | |
FRB Ser. 13-C11, Class D, 4.22%, 8/15/46 W | 650,000 | 5,850 | |
FRB Ser. 13-C10, Class F, 4.095%, 7/15/46 W | 254,000 | 12,755 | |
FRB Ser. 13-C9, Class D, 3.972%, 5/15/46 W | 389,000 | 287,860 | |
Ser. 14-C17, Class E, 3.50%, 8/15/47 | 9,096,000 | 7,271,770 | |
Ser. 14-C18, Class D, 3.389%, 10/15/47 | 427,000 | 351,895 | |
Ser. 14-C19, Class D, 3.25%, 12/15/47 | 3,933,000 | 3,248,300 |
Diversified Income Trust 31 |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
Morgan Stanley Capital I Trust | |||
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | $1,336,155 | $1,114,086 | |
FRB Ser. 18-H3, Class C, 5.013%, 7/15/51 W | 2,271,437 | 1,822,458 | |
Morgan Stanley Capital I Trust 144A | |||
FRB Ser. 12-C4, Class D, 5.336%, 3/15/45 W | 1,255,323 | 1,156,320 | |
FRB Ser. 12-C4, Class E, 5.336%, 3/15/45 W | 7,066,000 | 5,102,359 | |
Multifamily Connecticut Avenue Securities Trust 144A | |||
FRB Ser. 20-01, Class M10, 9.179%, 3/25/50 | 566,757 | 551,375 | |
FRB Ser. 19-01, Class M10, 8.679%, 10/25/49 | 450,890 | 439,192 | |
PFP, Ltd. 144A FRB Ser. 21-8, Class A, 6.446%, 8/9/37 (Cayman Islands) | 134,128 | 132,176 | |
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.787%, 6/25/37 | 3,038,053 | 3,035,732 | |
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 8.581%, 1/19/37 (Bermuda) | 2,575,000 | 2,459,125 | |
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) † | 4,414,162 | 44 | |
UBS-Barclays Commercial Mortgage Trust 144A Ser. 13-C6, Class E, 3.50%, 4/10/46 | 7,734,000 | 3,332,650 | |
Wells Fargo Commercial Mortgage Trust FRB Ser. 15-C29, Class D, 4.359%, 6/15/48 W | 3,205,000 | 2,748,462 | |
Wells Fargo Commercial Mortgage Trust 144A | |||
FRB Ser. 15-C30, Class D, 4.648%, 9/15/58 W | 140,000 | 104,474 | |
FRB Ser. 13-LC12, Class D, 4.087%, 7/15/46 W | 11,277,111 | 2,847,788 | |
Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 11,010,000 | 838,938 | |
Ser. 16-C33, Class D, 3.123%, 3/15/59 | 699,000 | 497,801 | |
Ser. 19-C53, Class D, 2.50%, 10/15/52 | 395,000 | 215,844 | |
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47 W | 180,000 | 150,999 | |
WF-RBS Commercial Mortgage Trust 144A | |||
FRB Ser. 13-UBS1, Class D, 5.206%, 3/15/46 W | 1,796,000 | 1,736,375 | |
FRB Ser. 13-UBS1, Class E, 5.206%, 3/15/46 W | 2,518,000 | 2,436,979 | |
FRB Ser. 12-C9, Class E, 4.876%, 11/15/45 W | 265,000 | 228,808 | |
FRB Ser. 12-C10, Class D, 4.549%, 12/15/45 W | 12,891,000 | 7,028,904 | |
FRB Ser. 13-C15, Class D, 4.352%, 8/15/46 W | 24,207,996 | 5,991,480 | |
144,156,447 | |||
Residential mortgage-backed securities (non-agency) (10.1%) | |||
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.624%, 5/25/47 | 2,768,608 | 1,615,774 | |
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 5.501%, 11/27/36 W | 4,746,951 | 3,275,396 | |
Bear Stearns Alt-A Trust FRB Ser. 05-8, Class 21A1, 4.749%, 10/25/35 W | 44,741 | 36,786 | |
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (CME Term SOFR 1 Month + 2.06%), 7.384%, 8/25/35 | 280,702 | 272,990 | |
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1, (CME Term SOFR 1 Month + 0.57%), 5.894%, 9/25/46 | 3,525,900 | 2,998,605 | |
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.614%, 11/25/47 | 1,849,223 | 1,362,437 |
32 Diversified Income Trust |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Citigroup Mortgage Loan Trust, Inc. | |||
FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.784%, 3/25/37 | $5,249,562 | $4,267,118 | |
FRB Ser. 07-AMC3, Class A2B, (CME Term SOFR 1 Month + 0.29%), 5.614%, 3/25/37 | 902,305 | 733,457 | |
Citigroup Mortgage Loan Trust, Inc. 144A Ser. 22-A, Class A1, 6.17%, 9/25/62 | 190,209 | 183,187 | |
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W | 410,000 | 376,761 | |
Countrywide Alternative Loan Trust | |||
FRB Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 6.134%, 9/25/35 | 457,428 | 401,299 | |
FRB Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 6.099%, 11/20/35 | 445,009 | 391,277 | |
FRB Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.814%, 8/25/46 | 3,553,725 | 3,091,649 | |
FRB Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.814%, 8/25/46 | 7,465,493 | 6,086,379 | |
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 5.586%, 8/25/46 | 2,202,492 | 1,960,398 | |
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 5.566%, 6/25/46 | 223,295 | 185,769 | |
FRB Ser. 05-65CB, Class 2A1, (CME Term SOFR 1 Month + 0.54%), 5.50%, 12/25/35 | 325,228 | 218,909 | |
FRB Ser. 06-OA7, Class 1A1, 3.46%, 6/25/46 W | 1,989,703 | 1,745,367 | |
Federal Home Loan Mortgage Corporation | |||
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.929%, 5/25/28 | 6,314,753 | 6,824,577 | |
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.429%, 7/25/28 | 2,083,655 | 2,318,308 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.779%, 4/25/28 | 4,555,421 | 4,969,935 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 12.979%, 12/25/27 | 7,219,464 | 7,615,608 | |
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58 W | 1,710,000 | 1,555,542 | |
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.679%, 2/25/49 | 841,000 | 1,039,926 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.815%, 10/25/50 | 256,000 | 329,170 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.429%, 10/25/48 | 2,017,000 | 2,477,875 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class B2, (US 30 Day Average SOFR + 11.00%), 16.315%, 3/25/42 | 4,969,000 | 5,503,168 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.179%, 1/25/49 | 111,000 | 135,699 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.929%, 3/25/49 | 242,000 | 284,123 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.429%, 8/25/50 | 448,000 | 573,160 |
Diversified Income Trust 33 |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.429%, 7/25/50 | $3,318,000 | $4,143,352 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA3, Class B2, (US 30 Day Average SOFR + 9.46%), 14.779%, 6/25/50 | 239,000 | 297,256 | |
Structured Agency Credit Risk Trust FRB Ser. 19-FTR1, Class B2, (US 30 Day Average SOFR + 8.46%), 13.779%, 1/25/48 | 700,000 | 780,938 | |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.179%, 9/25/48 | 408,000 | 452,154 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B2, (US 30 Day Average SOFR + 7.71%), 13.029%, 3/25/50 | 500,000 | 549,652 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (US 30 Day Average SOFR + 5.86%), 11.179%, 7/25/50 | 306,726 | 334,103 | |
Structured Agency Credit Risk Trust FRB Ser. 19-FTR3, Class FTR3, (US 30 Day Average SOFR + 4.91%), 10.202%, 9/25/47 | 468,000 | 461,565 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.115%, 10/25/50 | 870,000 | 946,261 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (US 30 Day Average SOFR + 3.21%), 8.529%, 3/25/50 | 371,945 | 383,539 | |
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W | 5,008,000 | 4,445,530 | |
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56 W | 538,000 | 502,458 | |
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56 W | 132,830 | 129,990 | |
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.679%, 9/25/28 | 12,323,190 | 14,476,883 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.179%, 10/25/28 | 7,683,624 | 8,950,597 | |
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.179%, 8/25/28 | 4,973,398 | 5,732,154 | |
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 16.179%, 1/25/29 | 443,875 | 504,415 | |
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (US 30 Day Average SOFR + 10.36%), 15.679%, 1/25/29 | 148,259 | 167,748 | |
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.679%, 4/25/29 | 415,916 | 463,799 | |
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (US 30 Day Average SOFR + 5.61%), 10.929%, 9/25/29 | 395,000 | 436,903 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (US 30 Day Average SOFR + 5.41%), 10.729%, 10/25/28 | 73,800 | 78,171 | |
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (US 30 Day Average SOFR + 4.61%), 9.929%, 12/25/30 | 368,000 | 403,391 | |
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (US 30 Day Average SOFR + 4.56%), 9.879%, 5/25/30 | 28,000 | 30,306 | |
Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (US 30 Day Average SOFR + 3.86%), 9.179%, 3/25/31 | 313,000 | 335,081 |
34 Diversified Income Trust |
MORTGAGE-BACKED SECURITIES (36.0%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (US 30 Day Average SOFR + 6.86%), 12.179%, 2/25/40 | $1,645,000 | $1,683,979 | |
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1B2, (US 30 Day Average SOFR + 6.00%), 11.315%, 10/25/41 | 185,000 | 186,388 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2B1, (US 30 Day Average SOFR + 5.36%), 10.679%, 6/25/39 | 486,029 | 513,065 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.815%, 1/25/42 | 1,471,000 | 1,504,098 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2B1, (US 30 Day Average SOFR + 4.46%), 9.779%, 7/25/31 | 163,000 | 172,882 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.529%, 9/25/31 | 314,000 | 329,839 | |
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (US 30 Day Average SOFR + 3.76%), 9.079%, 2/25/40 | 239,000 | 248,693 | |
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (US 30 Day Average SOFR + 3.11%), 8.429%, 1/25/40 | 126,000 | 126,124 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.315%, 1/25/42 | 3,600,000 | 3,625,877 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.879%, 7/25/31 | 38,665 | 38,821 | |
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (CME Term SOFR 1 Month + 0.47%), 5.794%, 5/25/36 | 9,106,789 | 2,178,178 | |
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.744%, 5/25/37 | 3,885,359 | 2,223,295 | |
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.962%, 5/19/35 | 10,386,208 | 3,172,261 | |
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 2.696%, 2/26/37 | 126,483 | 102,505 | |
Oaktown Re III, Ltd. 144A | |||
FRB Ser. 19-1A, Class B1B, (US 30 Day Average SOFR + 4.46%), 9.779%, 7/25/29 (Bermuda) | 383,000 | 379,845 | |
FRB Ser. 19-1A, Class B1A, (US 30 Day Average SOFR + 3.61%), 8.929%, 7/25/29 (Bermuda) | 317,000 | 313,661 | |
Towd Point Mortgage Trust 144A | |||
Ser. 19-2, Class A2, 3.75%, 12/25/58 W | 256,000 | 218,881 | |
Ser. 18-5, Class M1, 3.25%, 7/25/58 W | 240,000 | 179,878 | |
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 6.414%, 10/25/45 | 85,110 | 77,654 | |
125,112,819 | |||
Total mortgage-backed securities (cost $548,663,822) | $445,322,102 | ||
CORPORATE BONDS AND NOTES (16.9%)* | Principal amount | Value | |
Basic materials (2.0%) | |||
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) | $1,035,000 | $1,035,326 | |
ATI, Inc. sr. unsec. notes 7.25%, 8/15/30 | 455,000 | 451,588 | |
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 | 1,035,000 | 910,523 | |
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 | 3,306,000 | 2,752,548 |
Diversified Income Trust 35 |
CORPORATE BONDS AND NOTES (16.9%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | $1,470,000 | $1,282,785 | |
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | 1,375,000 | 1,294,299 | |
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 | 615,000 | 504,340 | |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 985,000 | 965,508 | |
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 1,536,000 | 1,288,312 | |
Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) | EUR | 980,000 | 876,079 |
HTA Group, Ltd./Mauritius company guaranty sr. unsec. notes Ser. REGS, 7.00%, 12/18/25 (Tanzania) | $1,970,000 | 1,891,200 | |
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) | 1,435,000 | 1,327,739 | |
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 3,250,000 | 2,457,814 | |
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada) ‡‡ | 223,000 | 184,533 | |
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) | 750,000 | 655,528 | |
Olympus Water US Holding Corp. 144A sr. notes 9.75%, 11/15/28 | 1,875,000 | 1,870,947 | |
Resideo Funding, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 9/1/29 | 1,625,000 | 1,335,067 | |
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 | 1,000,000 | 856,907 | |
Stillwater Mining Co. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 11/16/29 (South Africa) | 270,000 | 207,641 | |
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 | 1,410,000 | 1,385,326 | |
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 | 1,000,000 | 808,750 | |
24,342,760 | |||
Capital goods (1.5%) | |||
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) | 2,980,000 | 3,002,350 | |
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 | EUR | 1,265,000 | 1,282,908 |
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 | $138,000 | 140,070 | |
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | 1,542,000 | 1,370,697 | |
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 3,120,000 | 2,559,016 | |
Howmet Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37 | 920,000 | 863,821 | |
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 | 1,500,000 | 1,207,863 | |
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 | 1,269,000 | 1,044,353 | |
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27 | 1,530,000 | 1,357,875 | |
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 | 1,309,000 | 1,326,999 | |
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 1,545,000 | 1,328,950 | |
Spirit AeroSystems, Inc. company guaranty sr. unsec. unsub. notes 4.60%, 6/15/28 | 1,000,000 | 779,211 |
36 Diversified Income Trust |
CORPORATE BONDS AND NOTES (16.9%)* cont. | Principal amount | Value | |
Capital goods cont. | |||
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 | $1,491,000 | $1,335,228 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 | 110,000 | 96,645 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 | 940,000 | 820,968 | |
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 | 625,000 | 612,840 | |
19,129,794 | |||
Communication services (0.8%) | |||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 | 3,840,000 | 3,072,000 | |
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.50%, 4/15/27 | 1,565,000 | 1,341,323 | |
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 | 1,500,000 | 845,625 | |
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 | 1,250,000 | 778,792 | |
SBA Communications Corp. sr. unsec. notes 3.125%, 2/1/29 R | 1,635,000 | 1,363,709 | |
Viasat, Inc. 144A sr. unsec. notes 7.50%, 5/30/31 | 1,000,000 | 660,000 | |
Vmed O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom) | EUR | 1,490,000 | 1,287,353 |
9,348,802 | |||
Consumer cyclicals (5.0%) | |||
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | $3,189,000 | 2,989,719 | |
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26 | 1,500,000 | 962,509 | |
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 1,665,000 | 1,307,959 | |
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | 1,545,000 | 1,314,758 | |
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 | 1,659,000 | 1,614,309 | |
Carnival Corp. 144A notes 9.875%, 8/1/27 | 1,330,000 | 1,388,420 | |
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 | 750,000 | 678,918 | |
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 1,570,000 | 1,393,626 | |
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31 | 1,695,000 | 1,311,413 | |
Dufry One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands) | EUR | 1,345,000 | 1,272,620 |
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 9.00%, perpetual maturity | $1,320,000 | 1,252,350 | |
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 | 1,630,000 | 1,404,546 | |
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 1,500,000 | 1,076,046 | |
IHO Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany) ‡‡ | EUR | 2,720,000 | 2,973,524 |
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 | $1,535,000 | 1,354,453 | |
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 1,610,000 | 1,336,300 | |
Las Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29 | 1,535,000 | 1,310,020 | |
Levi Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 | EUR | 1,004,000 | 993,980 |
Diversified Income Trust 37 |
CORPORATE BONDS AND NOTES (16.9%)* cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | $3,115,000 | $3,052,700 | |
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32 | 734,000 | 605,763 | |
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 1,625,000 | 1,320,355 | |
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) | 3,525,000 | 3,000,055 | |
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 1,550,000 | 1,349,173 | |
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 2,155,000 | 1,859,227 | |
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 | 1,000,000 | 867,500 | |
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 1,534,000 | 1,388,748 | |
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 1,565,000 | 1,345,900 | |
Nexstar Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28 | 1,565,000 | 1,295,365 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 | 1,485,000 | 1,308,406 | |
Penn Entertainment, Inc. 144A sr. unsec. notes 4.125%, 7/1/29 | 1,670,000 | 1,364,699 | |
PetSmart, Inc./PetSmart Finance Corp. 144A company guaranty sr. unsec. notes 7.75%, 2/15/29 | 970,000 | 903,932 | |
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 | 1,350,000 | 1,426,190 | |
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.125%, 7/1/30 | 1,695,000 | 1,357,034 | |
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26 | 690,000 | 461,553 | |
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 1,497,000 | 1,356,432 | |
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 | EUR | 1,474,000 | 1,372,315 |
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | $1,650,000 | 1,319,807 | |
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 | 3,416,000 | 2,984,730 | |
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 | 788,000 | 734,022 | |
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 1,427,000 | 1,304,130 | |
Verisure Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden) | EUR | 3,240,000 | 3,007,820 |
Via Celere Desarrollos Inmobiliarios SA company guaranty sr. notes Ser. REGS, 5.25%, 4/1/26 (Spain) | EUR | 246,000 | 244,489 |
Warnermedia Holdings, Inc. company guaranty sr. unsec. bonds 5.141%, 3/15/52 | $1,160,000 | 861,927 | |
62,027,742 | |||
Consumer staples (1.1%) | |||
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) | 1,625,000 | 1,350,332 | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 | 1,583,000 | 1,349,643 | |
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 1,481,000 | 1,369,678 | |
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 | EUR | 420,000 | 440,701 |
38 Diversified Income Trust |
CORPORATE BONDS AND NOTES (16.9%)* cont. | Principal amount | Value | |
Consumer staples cont. | |||
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | $1,450,000 | $1,371,198 | |
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.375%, 1/31/32 | 1,550,000 | 1,298,493 | |
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 | 1,050,000 | 897,906 | |
Loxam SAS company guaranty sr. notes Ser. EMTN, 6.375%, 5/15/28 (France) | EUR | 1,330,000 | 1,375,334 |
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | $1,607,000 | 1,326,033 | |
US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 | 1,485,000 | 1,327,246 | |
VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 | 1,491,000 | 1,341,906 | |
13,448,470 | |||
Energy (3.4%) | |||
Antero Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 | 1,425,000 | 1,311,952 | |
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 | 1,422,000 | 1,378,739 | |
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 2,828,000 | 2,787,624 | |
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 | 1,235,000 | 1,256,613 | |
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 | 3,000,000 | 3,064,407 | |
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 | 801,000 | 813,738 | |
Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) | 1,870,000 | 1,826,600 | |
Ecopetrol SA sr. unsec. unsub. notes 6.875%, 4/29/30 (Colombia) | 1,800,000 | 1,643,506 | |
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 | 1,000,000 | 960,170 | |
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 1,429,000 | 1,378,933 | |
EnLink Midstream, LLC 144A company guaranty sr. unsec. unsub. notes 6.50%, 9/1/30 | 1,385,000 | 1,343,494 | |
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 | 1,560,000 | 1,315,452 | |
KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 5.375%, 4/24/30 (Kazakhstan) | 450,000 | 410,175 | |
KazMunayGas National Co. JSC sr. unsec. unsub. bonds Ser. REGS, 6.375%, 10/24/48 (Kazakhstan) | 980,000 | 796,250 | |
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 1,450,000 | 1,359,376 | |
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 1,350,000 | 1,286,827 | |
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 | 2,485,000 | 2,265,271 | |
Pertamina Persero PT sr. unsec. unsub. bonds Ser. REGS, 6.00%, 5/3/42 (Indonesia) | 890,000 | 806,646 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) | 1,011,000 | 964,497 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 208,000 | 207,204 |
Diversified Income Trust 39 |
CORPORATE BONDS AND NOTES (16.9%)* cont. | Principal amount | Value | |
Energy cont. | |||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) | $138,000 | $135,455 | |
Petroleos del Peru SA sr. unsec. unsub. bonds Ser. REGS, 4.75%, 6/19/32 (Peru) | 1,330,000 | 936,402 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 1,918,000 | 1,372,809 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.84%, 1/23/30 (Mexico) | 2,220,000 | 1,734,268 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 836,000 | 620,454 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) | 550,000 | 488,040 | |
Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) | 170,000 | 150,875 | |
Petronas Capital, Ltd. company guaranty sr. unsec. bonds Ser. REGS, 4.55%, 4/21/50 (Malaysia) | 876,000 | 710,344 | |
Petronas Capital, Ltd. company guaranty sr. unsec. unsub. bonds Ser. REGS, 2.48%, 1/28/32 (Malaysia) | 1,980,000 | 1,570,752 | |
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 1,499,000 | 1,349,049 | |
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 1,425,000 | 1,368,000 | |
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 | 1,475,000 | 1,358,457 | |
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 | 3,080,000 | 3,027,831 | |
42,000,210 | |||
Financials (0.2%) | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 | 1,489,000 | 1,333,161 | |
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 | 750,000 | 555,000 | |
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) | 1,400,000 | 1,092,687 | |
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 100,000 | 106,000 | |
3,086,848 | |||
Health care (1.1%) | |||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 | 1,563,000 | 1,318,781 | |
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 50,000 | 43,063 | |
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29 | 1,000,000 | 531,020 | |
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 | 1,385,000 | 1,346,913 | |
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 | 1,570,000 | 1,327,313 | |
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 | 1,510,000 | 1,312,052 | |
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 1,625,000 | 1,334,094 | |
Tenet Healthcare Corp. 144A company guaranty sr. notes 6.75%, 5/15/31 | 3,140,000 | 3,028,437 | |
Teva Pharmaceutical Finance Netherlands II BV company guaranty sr. unsec. unsub. notes 4.375%, 5/9/30 (Israel) | EUR | 930,000 | 838,952 |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) | $2,035,000 | 2,096,050 | |
13,176,675 |
40 Diversified Income Trust |
CORPORATE BONDS AND NOTES (16.9%)* cont. | Principal amount | Value | |
Technology (1.0%) | |||
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | $1,600,000 | $1,364,148 | |
Cloud Software Group, Inc. 144A notes 9.00%, 9/30/29 | 500,000 | 435,000 | |
Cloud Software Group, Inc. 144A sr. notes. 6.50%, 3/31/29 | 500,000 | 442,165 | |
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | 750,000 | 713,965 | |
CommScope, Inc. 144A company guaranty sr. notes 4.75%, 9/1/29 | 500,000 | 367,772 | |
CrowdStrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 | 1,603,000 | 1,350,170 | |
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 1,576,000 | 1,381,208 | |
NCR Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 | 1,545,000 | 1,361,235 | |
RingCentral, Inc. 144A sr. unsec. notes 8.50%, 8/15/30 | 1,000,000 | 966,250 | |
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 | 1,000,000 | 825,000 | |
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 1,595,000 | 1,335,244 | |
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 | 1,728,000 | 1,440,193 | |
11,982,350 | |||
Transportation (0.1%) | |||
Air France-KLM sr. unsec. notes 8.125%, 5/31/28 (France) | EUR | 1,200,000 | 1,320,932 |
1,320,932 | |||
Utilities and power (0.7%) | |||
Aegea Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Luxembourg) | $1,450,000 | 1,457,250 | |
Diamond II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) | 2,440,000 | 2,397,300 | |
Electricite De France SA 144A jr. unsec. sub. FRB 9.125%, perpetual maturity (France) | 1,280,000 | 1,326,400 | |
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 | 1,771,000 | 1,329,472 | |
PG&E Corp. sr. sub. notes 5.25%, 7/1/30 | 1,560,000 | 1,355,737 | |
Vistra Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29 | 1,560,000 | 1,341,026 | |
9,207,185 | |||
Total corporate bonds and notes (cost $221,151,549) | $209,071,768 | ||
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.3%)* | Principal amount | Value | |
Angola (Republic of) sr. unsec. notes Ser. REGS, 8.00%, 11/26/29 (Angola) | $500,000 | $410,000 | |
Angola (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.75%, 4/14/32 (Angola) | 1,090,000 | 873,363 | |
Argentine (Republic of) sr. unsec. unsub. bonds 3.625%, 7/9/35 (Argentina) | 1,850,000 | 456,313 | |
Argentine (Republic of) sr. unsec. unsub. notes 0.75%, 7/9/30 (Argentina) | 1,740,000 | 494,738 | |
Bahrain (Kingdom of) sr. unsec. notes Ser. REGS, 7.375%, 5/14/30 (Bahrain) | 1,462,000 | 1,465,655 | |
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) | EUR | 300,000 | 216,761 |
Benin (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin) | EUR | 1,290,000 | 1,008,037 |
Diversified Income Trust 41 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Brazil (Federal Republic of) sr. unsec. unsub. bonds 8.25%, 1/20/34 (Brazil) | $1,030,000 | $1,126,563 | |
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) | 1,320,000 | 976,800 | |
Cameroon (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 7/7/32 (Cameroon) | EUR | 1,100,000 | 770,029 |
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | $2,150,000 | 1,741,500 | |
Chile (Republic of) sr. unsec. unsub. notes 3.24%, 2/6/28 (Chile) | 880,000 | 806,430 | |
Colombia (Republic of) sr. unsec. unsub. bonds 7.375%, 9/18/37 (Colombia) | 990,000 | 911,730 | |
Colombia (Republic of) sr. unsec. unsub. notes 7.50%, 2/2/34 (Colombia) | 810,000 | 764,818 | |
Colombia (Republic of) sr. unsec. unsub. notes 4.50%, 3/15/29 (Colombia) | 950,000 | 824,943 | |
Costa Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica) | 635,000 | 612,350 | |
Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d’lvoire) | EUR | 530,000 | 461,526 |
Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d’lvoire) | EUR | 6,850,000 | 5,490,211 |
Cote d’lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’lvoire) | $6,372,000 | 5,272,830 | |
Cote d’lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’lvoire) | 250,000 | 244,063 | |
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) | 1,290,000 | 1,283,550 | |
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | 3,559,000 | 2,891,688 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 6,113,000 | 6,092,993 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) | 1,050,000 | 995,829 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) | 300,000 | 297,000 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.50%, 1/30/30 (Dominican Republic) | 950,000 | 803,884 | |
Ecuador (Republic of) sr. unsec. notes Ser. REGS, 6.00%, 7/31/30 (Ecuador) | 230,000 | 117,098 | |
Ecuador (Republic of) sr. unsec. unsub. bonds Ser. REGS, 3.50%, 7/31/35 (Ecuador) | 1,030,000 | 386,250 | |
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) | 350,000 | 193,813 | |
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.053%, 1/15/32 (Egypt) | 2,448,000 | 1,404,540 | |
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) | 4,020,000 | 2,572,800 | |
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 2/28/29 (El Salvador) | 720,000 | 590,400 | |
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) | 1,590,000 | 1,180,575 | |
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana) (In default) † | 1,820,000 | 800,800 |
42 Diversified Income Trust |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana) (In default) † | $2,500,000 | $1,103,125 | |
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default) † | 4,810,000 | 2,248,675 | |
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.75%, 4/7/29 (Ghana) (In default) † | 1,500,000 | 663,750 | |
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default) † | 2,440,000 | 1,082,751 | |
Guatemala (Republic of) 144A sr. unsec. notes 7.05%, 10/4/32 (Guatemala) | 840,000 | 842,100 | |
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) | 337,000 | 285,832 | |
Indonesia (Republic of) sr. unsec. unsub. bonds Ser. REGS, 7.75%, 1/17/38 (Indonesia) | 1,320,000 | 1,539,674 | |
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) | 5,545,000 | 5,168,683 | |
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) | 550,000 | 491,632 | |
Indonesia (Republic of) sr. unsec. unsub. notes 3.55%, 3/31/32 (Indonesia) | 1,745,000 | 1,505,172 | |
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) | 2,280,000 | 2,238,483 | |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 1,200,000 | 1,156,608 | |
Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, 3/15/39 (Jamaica) | 730,000 | 832,028 | |
Jordan (Kingdom of) sr. unsec. notes Ser. REGS, 5.85%, 7/7/30 (Jordan) | 1,436,000 | 1,272,655 | |
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) | 770,000 | 780,349 | |
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) | 720,000 | 608,400 | |
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) | 2,770,000 | 2,562,250 | |
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) | 560,000 | 522,901 | |
Mongolia (Government of) sr. unsec. notes Ser. REGS, 4.45%, 7/7/31 (Mongolia) | 1,097,000 | 842,496 | |
Mongolia (Government of) sr. unsec. unsub. notes Ser. REGS, 8.75%, 3/9/24 (Mongolia) | 379,000 | 380,422 | |
Mongolia (Government of) 144A sr. unsec. notes 8.65%, 1/19/28 (Mongolia) | 400,000 | 397,500 | |
Morocco (Kingdom of) sr. unsec. bonds Ser. REGS, 3.00%, 12/15/32 (Morocco) | 3,084,000 | 2,343,840 | |
Morocco (Kingdom of) sr. unsec. unsub. bonds Ser. REGS, 5.50%, 12/11/42 (Morocco) | 539,000 | 435,916 | |
Mozambique (Republic of) unsec. notes Ser. REGS, 9.00%, 9/15/31 (Mozambique) | 1,630,000 | 1,279,550 | |
Nigeria (Government of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 11/28/27 (Nigeria) | 1,490,000 | 1,240,425 | |
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman) | 2,447,000 | 2,395,001 |
Diversified Income Trust 43 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Panama (Republic of) sr. unsec. unsub. bonds 3.87%, 7/23/60 (Panama) | $1,400,000 | $812,000 | |
Panama Government International Bond sr. unsec. unsub. bonds 3.75%, 3/16/25 (Panama) | 1,560,000 | 1,509,300 | |
Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay) | 800,000 | 657,000 | |
Philippines (Republic of) sr. unsec. unsub. bonds 4.20%, 3/29/47 (Philippines) | 924,000 | 713,132 | |
Philippines (Republic of) sr. unsec. unsub. notes 3.75%, 1/14/29 (Philippines) | 2,790,000 | 2,578,850 | |
Philippines (Republic of) sr. unsec. unsub. notes 3.229%, 3/29/27 (Philippines) | 830,000 | 770,042 | |
Romania (Government of) sr. unsec. notes Ser. REGS, 3.00%, 2/14/31 (Romania) | 1,550,000 | 1,243,705 | |
Romania (Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania) | 1,370,000 | 1,399,166 | |
Romania (Government of) sr. unsec. unsub. notes 6.125%, 1/22/44 (Romania) | 430,000 | 383,637 | |
Romania (Government of) unsec. bonds Ser. REGS, 6.00%, 5/25/34 (Romania) | 860,000 | 806,499 | |
Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) | 1,430,000 | 1,401,400 | |
Serbia (Republic of) sr. unsec. unsub. notes Ser. REGS, 2.125%, 12/1/30 (Serbia) | 2,850,000 | 2,091,188 | |
Serbia (Republic of) 144A sr. unsec. notes 6.50%, 9/26/33 (Serbia) | 700,000 | 665,000 | |
Serbia (Republic of) 144A sr. unsec. notes 6.25%, 5/26/28 (Serbia) | 1,150,000 | 1,125,563 | |
South Africa (Republic of) sr. unsec. unsub. bonds 6.25%, 3/8/41 (South Africa) | 510,000 | 391,425 | |
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa) | 1,330,000 | 1,173,725 | |
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) | 850,000 | 783,063 | |
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) | 5,350,000 | 3,676,152 | |
Turkey (Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey) | 3,230,000 | 3,238,075 | |
Ukraine (Government of) sr. unsec. notes Ser. REGS, 6.876%, 5/21/31 (Ukraine) (In default) † | 2,350,000 | 623,768 | |
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | 2,600,000 | 1,916,775 | |
United Mexican States sr. unsec. unsub. notes 6.338%, 5/4/53 (Mexico) | 2,880,000 | 2,620,994 | |
United Mexican States sr. unsec. unsub. notes 3.75%, 1/11/28 (Mexico) | 2,580,000 | 2,387,092 | |
Uruguay (Oriental Republic of) sr. unsec. bonds 5.10%, 6/18/50 (Uruguay) | 1,200,000 | 1,061,386 | |
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) | 2,350,000 | 2,304,127 | |
Total foreign government and agency bonds and notes (cost $132,991,485) | $115,093,162 | ||
44 Diversified Income Trust |
CONVERTIBLE BONDS AND NOTES (6.3%)* | Principal amount | Value | |
Basic materials (—%) | |||
MP Materials Corp. 144A cv. sr. unsec. notes 0.25%, 4/1/26 | $469,000 | $402,777 | |
402,777 | |||
Capital goods (0.3%) | |||
Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 | 919,000 | 978,735 | |
Granite Construction, Inc. 144A cv. sr. unsec. notes 3.75%, 5/15/28 | 213,000 | 223,345 | |
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 | 274,000 | 245,778 | |
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 | 664,000 | 743,349 | |
Prysmian SpA cv. sr. unsec. unsub. notes zero %, 2/2/26 (Italy) | EUR | 500,000 | 562,483 |
Schneider Electric SE cv. sr. unsec. unsub. notes zero %, 6/15/26 (Units) (France) | EUR | 2,571 | 486,837 |
Tetra Tech, Inc. 144A cv. sr. unsec. notes 2.25%, 8/15/28 | $636,000 | 626,460 | |
3,866,987 | |||
Communication services (0.2%) | |||
America Movil BV company guaranty cv. sr. unsec. notes zero %, 3/2/24 (Netherlands) | EUR | 700,000 | 755,800 |
Cellnex Telecom SA cv. sr. unsec. unsub. notes 0.50%, 7/5/28 (Spain) | EUR | 800,000 | 840,468 |
DISH Network Corp. cv. sr. unsec. notes zero %, 12/15/25 | $379,000 | 252,983 | |
Liberty Broadband Corp. 144A cv. sr. unsec. notes 3.125%, 3/31/53 | 421,000 | 438,472 | |
2,287,723 | |||
Consumer cyclicals (1.1%) | |||
Accor SA cv. sr. unsec. notes 0.70%, 12/7/27 (Units) (France) | EUR | 10,051 | 484,321 |
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 | $508,000 | 438,912 | |
Amadeus IT Group SA cv. sr. unsec. notes 1.50%, 4/9/25 (Spain) | EUR | 300,000 | 363,992 |
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 | $722,000 | 541,948 | |
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 | 633,000 | 528,555 | |
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 | 619,000 | 1,033,730 | |
Carnival Corp. 144A company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27 | 761,000 | 1,015,935 | |
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 | 849,000 | 642,270 | |
Dufry One BV company guaranty cv. sr. unsec. unsub. notes 0.75%, 3/30/26 (Netherlands) | CHF | 200,000 | 197,858 |
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 | $537,000 | 466,545 | |
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 | 1,229,000 | 1,207,493 | |
Liberty Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27 | 666,000 | 648,018 | |
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 | 774,000 | 629,649 | |
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 | 1,449,000 | 1,502,613 | |
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 | 246,000 | 285,976 | |
NCL Corp., Ltd. company guaranty cv. sr. unsec. unsub. notes 2.50%, 2/15/27 | 418,000 | 360,316 | |
Nexi SpA cv. sr. unsec. notes Ser. REGS, zero %, 2/24/28 (Italy) | EUR | 600,000 | 482,095 |
Nexity SA cv. sr. unsec. notes 0.25%, 3/2/25 (Units) (France) | EUR | 2,850 | 177,355 |
Patrick Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28 | $245,000 | 231,158 |
Diversified Income Trust 45 |
CONVERTIBLE BONDS AND NOTES (6.3%)* cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
Royal Caribbean Cruises, Ltd. cv. sr. unsec. unsub. notes 6.00%, 8/15/25 | $337,000 | $664,396 | |
Shift4 Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27 | 918,000 | 784,339 | |
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 | 856,000 | 753,280 | |
13,440,754 | |||
Consumer staples (0.9%) | |||
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | 946,000 | 832,480 | |
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 | 422,000 | 328,106 | |
Chefs’ Warehouse, Inc. (The) 144A cv. sr. unsec. unsub. notes 2.375%, 12/15/28 | 701,000 | 566,899 | |
Delivery Hero AG cv. sr. unsec. notes 1.50%, 1/15/28 (Germany) | EUR | 800,000 | 612,992 |
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 | $1,121,000 | 846,916 | |
Etsy, Inc. cv. sr. unsec. notes 0.125%, 9/1/27 | 212,000 | 169,600 | |
Fiverr International, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Israel) | 224,000 | 194,186 | |
Fomento Econmico Mexicano, S.A.B. de C.V. cv. sr. unsec. notes Ser. REGS, 2.625%, 2/24/26 (Mexico) | EUR | 300,000 | 312,728 |
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 | $215,000 | 197,585 | |
Match Group Financeco 3, Inc. 144A company guaranty cv. sr. unsec. notes 2.00%, 1/15/30 | 494,000 | 430,062 | |
MGP Ingredients, Inc. company guaranty cv. sr. unsec. bonds 1.875%, 11/15/41 | 181,000 | 222,087 | |
Post Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.50%, 8/15/27 | 326,000 | 323,230 | |
Sea, Ltd. cv. sr. unsec. notes 2.375%, 12/1/25 (Singapore) | 469,000 | 447,192 | |
Sea, Ltd. cv. sr. unsec. unsub. notes 0.25%, 9/15/26 (Singapore) | 322,000 | 256,795 | |
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 507,000 | 375,814 | |
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 | 534,000 | 498,177 | |
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 | 774,000 | 635,085 | |
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 | 1,019,000 | 877,664 | |
Wayfair, Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27 | 456,000 | 549,024 | |
Zalando SE cv. sr. unsec. notes 0.05%, 8/6/25 (Germany) | EUR | 500,000 | 476,353 |
Zillow Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26 | $1,074,000 | 1,279,672 | |
10,432,647 | |||
Energy (0.1%) | |||
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 594,000 | 491,536 | |
Nabors Industries, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 | 285,000 | 250,658 | |
Northern Oil and Gas, Inc. 144A cv. sr. unsec. notes 3.625%, 4/15/29 | 827,000 | 1,021,585 | |
1,763,779 | |||
Financials (0.1%) | |||
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 | 726,304 | 559,980 | |
Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28 R | 886,000 | 904,194 | |
1,464,174 | |||
Health care (1.1%) | |||
Alnylam Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27 | 961,000 | 886,523 | |
Ascendis Pharma A/S cv. sr. unsec. notes 2.25%, 4/1/28 (Denmark) | 209,000 | 190,713 |
46 Diversified Income Trust |
CONVERTIBLE BONDS AND NOTES (6.3%)* cont. | Principal amount | Value | |
Health care cont. | |||
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 | $732,000 | $725,119 | |
BridgeBio Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27 | 342,000 | 326,610 | |
CONMED Corp. cv. sr. unsec. notes 2.25%, 6/15/27 | 642,000 | 611,184 | |
Cytokinetics, Inc. cv. sr. unsec. unsub. notes 3.50%, 7/1/27 | 421,000 | 357,050 | |
Dexcom, Inc. 144A cv. sr. unsec. unsub. notes 0.375%, 5/15/28 | 1,992,000 | 1,766,904 | |
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 | 1,759,000 | 1,518,194 | |
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 1.00%, 8/15/28 | 155,000 | 144,731 | |
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 | 844,000 | 712,168 | |
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 639,000 | 624,942 | |
Integer Holdings Corp. 144A cv. sr. unsec. unsub. notes 2.125%, 2/15/28 | 541,000 | 587,797 | |
Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, 8/15/25 | 253,000 | 230,736 | |
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) | 1,255,000 | 1,209,194 | |
Lantheus Holdings, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27 | 651,000 | 754,770 | |
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 | 185,000 | 274,448 | |
QIAGEN NV cv. sr. unsec. notes zero %, 12/17/27 (Netherlands) | 200,000 | 176,097 | |
QIAGEN NV cv. sr. unsec. unsub. notes Ser. REGS, 1.00%, 11/13/24 (Netherlands) | 400,000 | 405,645 | |
Sarepta Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27 | 806,000 | 900,222 | |
Shockwave Medical, Inc. 144A cv. sr. unsec. notes 1.00%, 8/15/28 | 497,000 | 475,629 | |
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 511,000 | 407,216 | |
13,285,892 | |||
Technology (2.1%) | |||
3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 | 138,000 | 99,636 | |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 1,029,000 | 1,071,704 | |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 943,000 | 1,112,174 | |
Altair Engineering, Inc. cv. sr. unsec. sub. notes 1.75%, 6/15/27 | 254,000 | 268,732 | |
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 | 807,000 | 697,248 | |
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 | 1,062,000 | 859,556 | |
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 | 246,000 | 265,312 | |
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 | 852,000 | 749,248 | |
Cloudflare, Inc. cv. sr. unsec. notes zero %, 8/15/26 | 483,000 | 410,550 | |
Confluent, Inc. cv. sr. unsec. unsub. notes zero %, 1/15/27 | 684,000 | 557,870 | |
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 | 652,000 | 765,123 | |
DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 | 765,000 | 584,766 | |
Dropbox, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 629,000 | 595,663 | |
Envestnet, Inc. 144A company guaranty cv. sr. unsec. notes 2.625%, 12/1/27 | 675,000 | 615,263 | |
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 196,000 | 164,640 | |
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 | 514,000 | 479,562 | |
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 470,000 | 837,540 | |
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 | 310,000 | 268,739 | |
Kingsoft Corp., Ltd. cv. sr. unsec. notes 0.625%, 4/29/25 (China) | HKD | 2,000,000 | 266,507 |
Lenovo Group, Ltd. cv. sr. unsec. bonds 2.50%, 8/26/29 (China) | $679,000 | 771,316 | |
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 852,000 | 713,976 |
Diversified Income Trust 47 |
CONVERTIBLE BONDS AND NOTES (6.3%)* cont. | Principal amount | Value | |
Technology cont. | |||
Lumentum Holdings, Inc. 144A cv. sr. unsec. notes 1.50%, 12/15/29 | $277,000 | $251,793 | |
Meituan cv. sr. unsec. unsub. notes zero %, 4/27/28 (China) | 600,000 | 495,599 | |
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 | 374,000 | 639,166 | |
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 819,000 | 712,940 | |
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 | 166,000 | 298,800 | |
ON Semiconductor Corp. 144A company guaranty cv. sr. unsec. notes 0.50%, 3/1/29 | 922,000 | 1,012,356 | |
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 192,000 | 452,257 | |
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 61,000 | 55,754 | |
Progress Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26 | 488,000 | 502,152 | |
Seagate HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands) | 523,000 | 536,378 | |
SK Hynix, Inc. cv. sr. unsec. unsub. notes 1.75%, 4/11/30 (South Korea) | 600,000 | 723,900 | |
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 | 1,042,000 | 772,122 | |
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 | 1,426,000 | 1,345,431 | |
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 1,086,000 | 923,643 | |
STMicroelectronics NV cv. sr. unsec. notes zero %, 8/4/27 (France) | 600,000 | 663,527 | |
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 | 751,000 | 725,091 | |
Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 | 702,000 | 555,634 | |
Wix.com, Ltd. cv. sr. unsec. sub. notes zero %, 8/15/25 (Israel) | 439,000 | 388,740 | |
Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 | 1,021,000 | 664,161 | |
Workiva, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 8/15/28 | 384,000 | 378,816 | |
Xero Investments, Ltd. company guaranty cv. sr. unsec. unsub. notes zero %, 12/2/25 (New Zealand) | 333,000 | 291,375 | |
Ziff Davis, Inc. cv. sr. unsec. notes 1.75%, 11/1/26 | 732,000 | 673,075 | |
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 | 734,000 | 881,534 | |
26,099,369 | |||
Transportation (0.2%) | |||
Deutsche Post AG cv. sr. unsec. notes 0.05%, 6/30/25 (Germany) | EUR | 400,000 | 397,850 |
International Consolidated Airlines Group SA cv. sr. unsec. unsub. notes Ser. REGS, 1.125%, 5/18/28 (Spain) | EUR | 600,000 | 520,685 |
Jet2 PLC company guaranty cv. sr. unsec. unsub. notes Ser. REGS, 1.625%, 6/10/26 (United Kingdom) | GBP | 400,000 | 442,247 |
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | $1,033,000 | 1,025,253 | |
2,386,035 | |||
Utilities and power (0.2%) | |||
CMS Energy Corp. 144A cv. sr. unsec. notes 3.375%, 5/1/28 | 818,000 | 766,876 | |
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. unsub. notes 2.50%, 6/15/26 | 907,000 | 769,136 | |
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 | 740,000 | 782,920 | |
Southern Co. (The) 144A cv. sr. unsec. notes 3.875%, 12/15/25 | 475,000 | 461,700 | |
2,780,632 | |||
Total convertible bonds and notes (cost $86,124,823) | $78,210,769 | ||
48 Diversified Income Trust |
SENIOR LOANS (1.7%)*c | Principal amount | Value | |
Ahead DB Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.019%, 10/16/27 | $1,406,403 | $1,392,339 | |
Chart Industries, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.174%, 12/8/29 | 2,148,207 | 2,148,207 | |
Cloud Software Group, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.99%, 3/30/29 | 1,426,857 | 1,370,083 | |
CQP Holdco LP bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 9.048%, 5/27/28 | 2,442,708 | 2,442,147 | |
DIRECTV Financing, LLC bank term loan FRN (CME Term SOFR 3 Month + 5.00%), 10.431%, 7/22/27 | 1,351,576 | 1,319,287 | |
Gray Television, Inc. bank term loan FRN Ser. D, (CME Term SOFR 1 Month + 3.00%), 8.429%, 10/27/28 | 1,396,447 | 1,359,790 | |
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 8.416%, 12/15/27 | 1,388,578 | 1,382,163 | |
Neptune Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 10.399%, 4/11/29 | 1,000,000 | 897,920 | |
Nouryon Finance BV bank term loan FRN (EURIBOR 3 Month ACT/360 + 4.25%), 7.949%, 4/3/28 (Netherlands) | EUR | 1,160,000 | 1,217,850 |
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 9.427%, 12/17/28 | $997,462 | 796,633 | |
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.166%, 1/29/28 | 2,449,179 | 2,439,113 | |
Phoenix Newco, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.25%), 8.681%, 8/11/28 | 1,391,468 | 1,380,406 | |
Polaris Newco, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.00%), 9.298%, 6/3/28 | 1,446,311 | 1,382,774 | |
Proofpoint, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.519%, 6/9/28 | 1,401,434 | 1,388,387 | |
Robertshaw US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.49%, 2/28/27 | 1,002,000 | 220,440 | |
Vibrantz Technologies, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.25%), 9.699%, 4/21/29 | 498,741 | 469,609 | |
Total senior loans (cost $22,390,917) | $21,607,148 | ||
ASSET-BACKED SECURITIES (0.8%)* | Principal amount | Value | |
Mello Warehouse Securitization Trust 144A | |||
FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.684%, 10/22/24 | $4,649,000 | $4,590,888 | |
FRB Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.434%, 10/22/24 | 3,851,000 | 3,800,456 | |
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class F, (CME Term SOFR 1 Month + 5.36%), 10.684%, 5/7/24 | 1,395,334 | 1,395,334 | |
Total asset-backed securities (cost $9,372,695) | $9,786,678 | ||
SHORT-TERM INVESTMENTS (28.0%)* | Principal amount | Value | |
Alimentation Couche-Tard, Inc. commercial paper 5.623%, 10/23/23 (Canada) | $2,500,000 | $2,490,682 | |
Alimentation Couche-Tard, Inc. commercial paper 5.557%, 10/5/23 (Canada) | 3,275,000 | 3,271,993 | |
American Honda Finance Corp. commercial paper 5.741%, 11/7/23 | 2,500,000 | 2,484,925 |
Diversified Income Trust 49 |
SHORT-TERM INVESTMENTS (28.0%)* cont. | Principal amount/ shares | Value | |
American Honda Finance Corp. commercial paper 5.590%, 10/24/23 | $2,500,000 | $2,490,438 | |
Aviation Capital Group, LLC commercial paper 5.873%, 10/2/23 | 12,000,000 | 11,994,466 | |
Chariot Funding, LLC asset-backed commercial paper 5.683%, 12/11/23 | 5,000,000 | 4,944,449 | |
Conagra Brands, Inc. commercial paper 5.763%, 10/5/23 | 7,500,000 | 7,492,899 | |
Constellation Brands, Inc. commercial paper 5.718%, 10/10/23 | 3,500,000 | 3,493,831 | |
Crown Castle, Inc. commercial paper 6.038%, 10/12/23 | 3,500,000 | 3,492,704 | |
Energy Transfer LP commercial paper 5.753%, 10/2/23 | 13,000,000 | 12,993,808 | |
Fidelity National Information Services, Inc. commercial paper 5.575%, 10/13/23 | 3,000,000 | 2,993,627 | |
Fidelity National Information Services, Inc. commercial paper 5.571%, 10/3/23 | 3,826,000 | 3,823,693 | |
FMC Corp. commercial paper 5.953%, 10/2/23 | 10,000,000 | 9,994,959 | |
Glencore Funding, LLC commercial paper 5.784%, 10/20/23 | 5,000,000 | 4,983,556 | |
Haleon UK Capital PLC commercial paper 5.584%, 10/24/23 (United Kingdom) | 2,500,000 | 2,490,215 | |
Hewlett Packard Enterprise Co. commercial paper 5.595%, 10/27/23 | 5,000,000 | 4,978,494 | |
Humana, Inc. commercial paper 5.575%, 10/26/23 | 6,175,000 | 6,148,852 | |
Intercontinental Exchange, Inc. commercial paper 5.596%, 11/2/23 | 5,000,000 | 4,973,135 | |
Microchip Technology, Inc. commercial paper 5.576%, 10/17/23 | 2,500,000 | 2,492,890 | |
Nutrien Financial US, LLC commercial paper 5.720%, 11/21/23 | 2,500,000 | 2,479,488 | |
Nutrien Financial US, LLC commercial paper 5.674%, 10/25/23 | 5,000,000 | 4,980,009 | |
O’Reilly Automotive, Inc. commercial paper 5.579%, 10/18/23 | 2,500,000 | 2,496,600 | |
O’Reilly Automotive, Inc. commercial paper 5.559%, 10/16/23 | 2,500,000 | 2,493,533 | |
Ovintiv, Inc. commercial paper 6.286%, 10/17/23 | 2,000,000 | 1,994,202 | |
Ovintiv, Inc. commercial paper 6.170%, 10/18/23 | 2,000,000 | 1,993,876 | |
Ovintiv, Inc. commercial paper 6.130%, 10/10/23 | 1,480,000 | 1,477,392 | |
Putnam Short Term Investment Fund Class P 5.57% L | Shares | 130,826,948 | 130,826,948 |
Sempra commercial paper 5.555%, 10/19/23 | $4,500,000 | 4,486,230 | |
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.29% P | Shares | 51,614,000 | 51,614,000 |
Suncor Energy, Inc. commercial paper 5.695%, 10/3/23 (Canada) | $2,500,000 | 2,498,493 | |
Suncor Energy, Inc. commercial paper 5.692%, 11/6/23 (Canada) | 2,500,000 | 2,485,333 | |
Suncor Energy, Inc. commercial paper 5.670%, 10/26/23 (Canada) | 2,500,000 | 2,489,624 | |
Targa Resources Corp. commercial paper 6.003%, 10/2/23 | 10,000,000 | 9,995,737 | |
U.S. Treasury Bills 5.453%, 10/26/23 # ∆ Φ | 17,100,000 | 17,039,770 | |
UDR, Inc. commercial paper 5.575%, 10/12/23 | 4,262,000 | 4,253,595 | |
WRKCo., Inc. commercial paper 5.578%, 10/11/23 | 5,000,000 | 4,990,909 | |
Total short-term investments (cost $346,661,943) | $346,625,355 | ||
TOTAL INVESTMENTS | ||
Total investments (cost $2,235,866,745) | $2,082,372,463 | |
50 Diversified Income Trust |
Key to holding’s currency abbreviations | |||
AUD | Australian Dollar | ||
BRL | Brazilian Real | ||
CAD | Canadian Dollar | ||
CHF | Swiss Franc | ||
CLP | Chilean Peso | ||
CNY | Chinese Yuan (Onshore) | ||
COP | Colombian Peso | ||
CZK | Czech Koruna | ||
EUR | Euro | ||
GBP | British Pound | ||
HKD | Hong Kong Dollar | ||
HUF | Hungarian Forint | ||
ILS | Israeli Shekel | ||
INR | Indian Rupee | ||
KRW | South Korean Won | ||
MXN | Mexican Peso | ||
MYR | Malaysian Ringgit | ||
NOK | Norwegian Krone | ||
NZD | New Zealand Dollar | ||
PLN | Polish Zloty | ||
SEK | Swedish Krona | ||
SGD | Singapore Dollar | ||
THB | Thai Baht | ||
USD /$ | United States Dollar | ||
ZAR | South African Rand | ||
Key to holding’s abbreviations | |||
bp | Basis Points | ||
CME | Chicago Mercantile Exchange | ||
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. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
ICE | Intercontinental Exchange | ||
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | ||
IO | Interest Only | ||
JSC | Joint Stock Company | ||
LIBOR | London Interbank Offered Rate | ||
OTC | Over-the-counter | ||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | ||
REMICs | Real Estate Mortgage Investment Conduits | ||
SOFR | Secured Overnight Financing Rate | ||
TBA | To Be Announced Commitments | ||
Diversified Income Trust 51 |
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, 2022 through September 30, 2023 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |||
* | Percentages indicated are based on net assets of $1,238,289,477. | ||
† | This security is non-income-producing. | ||
‡‡ | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | ||
# | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $499,992 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
∆ | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $5,605,488 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
Φ | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $2,834,616 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
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). | ||
i | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1). | ||
L | Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
P | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
R | Real Estate Investment Trust. | ||
W | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | ||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | |||
Debt obligations are considered secured unless otherwise indicated. | |||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||
See Note 1 to the financial statements regarding TBA commitments. | |||
The dates shown on debt obligations are the original maturity dates. | |||
52 Diversified Income Trust |
FORWARD CURRENCY CONTRACTS at 9/30/23 (aggregate face value $145,609,374) | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Bank of America N.A. | ||||||
Canadian Dollar | Sell | 10/18/23 | $17,305 | $17,728 | $423 | |
Euro | Sell | 12/20/23 | 711,273 | 722,031 | 10,758 | |
Japanese Yen | Buy | 11/15/23 | 2,439,855 | 2,514,644 | (74,789) | |
New Zealand Dollar | Sell | 10/18/23 | 99,193 | 100,877 | 1,684 | |
Swedish Krona | Sell | 12/20/23 | 1,511,423 | 1,480,786 | (30,637) | |
Barclays Bank PLC | ||||||
Canadian Dollar | Sell | 10/18/23 | 436,388 | 446,959 | 10,571 | |
Euro | Sell | 12/20/23 | 1,075,982 | 1,094,569 | 18,587 | |
New Taiwan Dollar | Buy | 11/15/23 | 451,380 | 460,918 | (9,538) | |
Norwegian Krone | Sell | 12/20/23 | 79,693 | 79,660 | (33) | |
Citibank, N.A. | ||||||
Australian Dollar | Sell | 10/18/23 | 1,856,190 | 1,920,725 | 64,535 | |
Canadian Dollar | Sell | 10/18/23 | 294,117 | 301,323 | 7,206 | |
Euro | Sell | 12/20/23 | 5,305,949 | 5,396,574 | 90,625 | |
Norwegian Krone | Sell | 12/20/23 | 730,391 | 729,884 | (507) | |
Goldman Sachs International | ||||||
Australian Dollar | Buy | 10/18/23 | 127,494 | 131,910 | (4,416) | |
Canadian Dollar | Sell | 10/18/23 | 48,455 | 49,643 | 1,188 | |
Euro | Sell | 12/20/23 | 3,891,362 | 3,958,094 | 66,732 | |
Swiss Franc | Buy | 12/20/23 | 6,741,248 | 6,951,136 | (209,888) | |
HSBC Bank USA, National Association | ||||||
Australian Dollar | Sell | 10/18/23 | 3,016,695 | 3,048,697 | 32,002 | |
British Pound | Sell | 12/20/23 | 4,944,092 | 5,045,583 | 101,491 | |
Canadian Dollar | Sell | 10/18/23 | 148,237 | 150,207 | 1,970 | |
Euro | Buy | 12/20/23 | 854,100 | 860,911 | (6,811) | |
Japanese Yen | Buy | 11/15/23 | 3,169,401 | 3,341,045 | (171,644) | |
New Zealand Dollar | Sell | 10/18/23 | 94,518 | 96,122 | 1,604 | |
Norwegian Krone | Buy | 12/20/23 | 419,020 | 419,205 | (185) | |
Singapore Dollar | Buy | 11/15/23 | 239,227 | 244,439 | (5,212) | |
Swedish Krona | Sell | 12/20/23 | 315,471 | 312,040 | (3,431) | |
Swiss Franc | Sell | 12/20/23 | 10,798 | 11,689 | 891 | |
JPMorgan Chase Bank N.A. | ||||||
British Pound | Sell | 12/20/23 | 2,407,468 | 2,456,929 | 49,461 | |
Canadian Dollar | Sell | 10/18/23 | 1,014,533 | 1,039,385 | 24,852 | |
Norwegian Krone | Sell | 12/20/23 | 75,739 | 75,679 | (60) | |
Swiss Franc | Buy | 12/20/23 | 93,896 | 96,808 | (2,912) | |
Morgan Stanley & Co. International PLC | ||||||
Australian Dollar | Buy | 10/18/23 | 88,255 | 90,992 | (2,737) | |
British Pound | Buy | 12/20/23 | 12,086 | 12,346 | (260) | |
Canadian Dollar | Buy | 10/18/23 | 196,912 | 197,360 | (448) | |
Euro | Sell | 12/20/23 | 10,710,584 | 10,878,101 | 167,517 | |
Japanese Yen | Buy | 11/15/23 | 4,414,727 | 4,657,094 | (242,367) | |
New Zealand Dollar | Sell | 10/18/23 | 7,660,242 | 7,748,307 | 88,065 |
Diversified Income Trust 53 |
FORWARD CURRENCY CONTRACTS at 9/30/23 (aggregate face value $145,609,374) cont. | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
Norwegian Krone | Sell | 12/20/23 | $2,997,617 | $2,996,483 | $(1,134) | |
Swedish Krona | Sell | 12/20/23 | 1,923,154 | 1,895,145 | (28,009) | |
NatWest Markets PLC | ||||||
British Pound | Sell | 12/20/23 | 3,052 | 3,122 | 70 | |
Euro | Buy | 12/20/23 | 708,938 | 726,406 | (17,468) | |
Japanese Yen | Buy | 11/15/23 | 2,444,931 | 2,578,970 | (134,039) | |
New Zealand Dollar | Sell | 10/18/23 | 342,888 | 339,540 | (3,348) | |
Norwegian Krone | Sell | 12/20/23 | 78,278 | 78,153 | (125) | |
State Street Bank and Trust Co. | ||||||
Australian Dollar | Sell | 10/18/23 | 7,328,015 | 7,580,715 | 252,700 | |
Canadian Dollar | Sell | 10/18/23 | 12,618,146 | 12,928,182 | 310,036 | |
Euro | Sell | 12/20/23 | 15,134,949 | 15,393,052 | 258,103 | |
New Zealand Dollar | Sell | 10/18/23 | 156,790 | 159,431 | 2,641 | |
Norwegian Krone | Sell | 12/20/23 | 1,997,793 | 1,996,470 | (1,323) | |
Swedish Krona | Sell | 12/20/23 | 2,275,221 | 2,241,215 | (34,006) | |
Swiss Franc | Buy | 12/20/23 | 630,813 | 650,213 | (19,400) | |
Toronto-Dominion Bank | ||||||
Australian Dollar | Buy | 10/18/23 | 60,788 | 60,639 | 149 | |
British Pound | Sell | 12/20/23 | 99,981 | 102,036 | 2,055 | |
Canadian Dollar | Sell | 10/18/23 | 46,246 | 47,381 | 1,135 | |
Euro | Sell | 12/20/23 | 7,322,726 | 7,447,658 | 124,932 | |
Japanese Yen | Buy | 11/15/23 | 58,232 | 61,395 | (3,163) | |
Norwegian Krone | Sell | 12/20/23 | 982,941 | 982,507 | (434) | |
Swedish Krona | Sell | 12/20/23 | 2,212,197 | 2,179,718 | (32,479) | |
UBS AG | ||||||
Australian Dollar | Sell | 10/18/23 | 44,128 | 43,985 | (143) | |
Canadian Dollar | Sell | 10/18/23 | 104,053 | 106,606 | 2,553 | |
Euro | Sell | 12/20/23 | 2,095,088 | 2,125,593 | 30,505 | |
Hong Kong Dollar | Buy | 11/15/23 | 515,641 | 517,693 | (2,052) | |
Japanese Yen | Buy | 11/15/23 | 8,536,478 | 8,998,878 | (462,400) | |
New Zealand Dollar | Sell | 10/18/23 | 346,964 | 352,895 | 5,931 | |
Swedish Krona | Sell | 12/20/23 | 50,123 | 49,383 | (740) | |
WestPac Banking Corp. | ||||||
Australian Dollar | Sell | 10/18/23 | 1,386,353 | 1,434,322 | 47,969 | |
British Pound | Sell | 12/20/23 | 2,670,664 | 2,725,524 | 54,860 | |
Euro | Sell | 12/20/23 | 1,101,980 | 1,118,914 | 16,934 | |
New Zealand Dollar | Sell | 10/18/23 | 537,617 | 546,750 | 9,133 | |
Unrealized appreciation | 1,859,868 | |||||
Unrealized (depreciation) | (1,506,138) | |||||
Total | $353,730 | |||||
* The exchange currency for all contracts listed is the United States Dollar. | ||||||
54 Diversified Income Trust |
FUTURES CONTRACTS OUTSTANDING at 9/30/23 | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
U.S. Treasury Note Ultra 10 yr (Short) | 167 | $18,630,938 | $18,630,938 | Dec-23 | $547,749 | |
Unrealized appreciation | 547,749 | |||||
Unrealized (depreciation) | — | |||||
Total | $547,749 | |||||
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/23 | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Bank of America N.A. | ||||||
(0.7988)/US SOFR/Apr-34 (Written) | Apr-24/0.7988 | $373,987,700 | $461,796 | $441,305 | ||
1.8838/US SOFR/Apr-34 (Purchased) | Apr-24/1.8838 | 186,994,200 | (1,367,701) | (1,271,561) | ||
(3.63)/US SOFR/Mar-26 (Written) | Mar-24/3.63 | 185,441,200 | 2,308,743 | 1,943,424 | ||
3.63/US SOFR/Mar-26 (Written) | Mar-24/3.63 | 185,441,200 | 2,308,743 | (1,413,062) | ||
(2.063)/US SOFR/Apr-56 (Purchased) | Apr-26/2.063 | 99,263,300 | (20,788,610) | 10,083,166 | ||
2.063/US SOFR/Apr-56 (Purchased) | Apr-26/2.063 | 99,263,300 | (4,701,062) | (2,813,122) | ||
(1.0035)/US SOFR/Mar-34 (Written) | Mar-24/1.0035 | 93,496,900 | 141,638 | 136,505 | ||
(3.1625)/US SOFR/Mar-37 (Written) | Mar-27/3.1625 | 89,145,700 | 6,151,053 | 3,012,233 | ||
3.1625/US SOFR/Mar-37 (Written) | Mar-27/3.1625 | 89,145,700 | 6,151,053 | (3,129,014) | ||
(3.095)/US SOFR/Mar-36 (Written) | Mar-26/3.095 | 74,297,500 | 4,918,495 | 2,876,799 | ||
3.095/US SOFR/Mar-36 (Written) | Mar-26/3.095 | 74,297,500 | 4,918,495 | (2,595,955) | ||
2.0035/US SOFR/Mar-34 (Purchased) | Mar-24/2.0035 | 65,447,700 | (508,283) | (483,004) | ||
(0.6385)/US SOFR/Mar-40 (Purchased) | Mar-30/0.6385 | 54,490,500 | (12,627,229) | 2,630,256 | ||
0.6385/US SOFR/Mar-40 (Purchased) | Mar-30/0.6385 | 54,490,500 | (532,752) | (202,160) | ||
(3.03)/US SOFR/Mar-36 (Purchased) | Mar-26/3.03 | 36,457,600 | (3,881,925) | 1,472,158 | ||
3.03/US SOFR/Mar-36 (Purchased) | Mar-26/3.03 | 36,457,600 | (3,881,925) | (1,386,118) | ||
(0.5644)/US SOFR/Mar-40 (Purchased) | Mar-30/0.5644 | 27,749,600 | (6,588,814) | 1,339,196 | ||
0.5644/US SOFR/Mar-40 (Purchased) | Mar-30/0.5644 | 27,749,600 | (253,883) | (96,291) | ||
(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 24,372,300 | (1,580,544) | 538,384 | ||
3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 24,372,300 | (1,580,544) | (815,010) | ||
(0.9876)/US SOFR/Mar-50 (Purchased) | Mar-30/0.9876 | 24,024,100 | (7,758,799) | 1,663,188 | ||
0.9876/US SOFR/Mar-50 (Purchased) | Mar-30/0.9876 | 24,024,100 | (521,844) | (219,340) | ||
(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 | 23,106,300 | (1,201,528) | 972,082 | ||
2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 | 23,106,300 | (1,178,421) | (786,538) | ||
(3.03)/US SOFR/Feb-33 (Written) | Feb-28/3.03 | 19,001,000 | 722,038 | 277,605 | ||
3.03/US SOFR/Feb-33 (Written) | Feb-28/3.03 | 19,001,000 | 722,038 | (484,906) | ||
(3.857)/US SOFR/Sep-38 (Written) | Sep-28/3.857 | 18,988,200 | 1,307,338 | 162,919 | ||
(3.887)/US SOFR/Sep-40 (Written) | Sep-30/3.887 | 18,988,200 | 1,427,913 | 143,741 | ||
3.887/US SOFR/Sep-40 (Written) | Sep-30/3.887 | 18,988,200 | 1,427,913 | (233,555) | ||
3.857/US SOFR/Sep-38 (Written) | Sep-28/3.857 | 18,988,200 | 1,307,338 | (261,088) | ||
(3.49)/US SOFR/May-40 (Purchased) | May-30/3.49 | 15,275,300 | (1,138,010) | 390,437 | ||
3.49/US SOFR/May-40 (Purchased) | May-30/3.49 | 15,275,300 | (1,138,010) | (288,245) | ||
(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 12,300,800 | (1,818,058) | 1,141,883 | ||
2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 12,300,800 | (1,818,058) | (1,048,889) |
Diversified Income Trust 55 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/23 cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Bank of America N.A. cont. | ||||||
(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 | $7,501,700 | $545,749 | $283,114 | ||
3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 7,501,700 | 545,749 | (280,639) | ||
(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 2,970,700 | 232,012 | 99,786 | ||
3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 2,970,700 | 232,012 | (109,738) | ||
(2.406)/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.406 | EUR | 16,733,700 | 907,913 | 802,850 | |
2.406/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.406 | EUR | 16,733,700 | 907,913 | (529,159) | |
(2.396)/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.396 | EUR | 8,295,200 | 447,997 | 397,022 | |
2.396/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.396 | EUR | 8,295,200 | 447,997 | (270,558) | |
Citibank, N.A. | ||||||
(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | $55,459,800 | (4,095,706) | 5,289,201 | ||
1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 55,459,800 | (4,095,706) | (2,273,297) | ||
(3.49)/US SOFR/Oct-33 (Purchased) | Oct-23/3.49 | 27,040,100 | (478,610) | 1,205,988 | ||
4.05/US SOFR/Oct-33 (Written) | Oct-23/4.05 | 27,040,100 | 108,160 | (419,662) | ||
3.77/US SOFR/Oct-33 (Written) | Oct-23/3.77 | 27,040,100 | 232,545 | (849,870) | ||
(1.34)/US SOFR/Jan-61 (Purchased) | Jan-41/1.34 | 25,233,100 | (5,898,489) | 940,942 | ||
1.34/US SOFR/Jan-61 (Purchased) | Jan-41/1.34 | 25,233,100 | (2,106,964) | (424,168) | ||
(2.14)/US SOFR/Jun-41 (Purchased) | Jun-31/2.14 | 9,949,800 | (1,283,922) | 422,668 | ||
2.14/US SOFR/Jun-41 (Purchased) | Jun-31/2.14 | 9,949,800 | (386,052) | (139,297) | ||
(3.28)/US SOFR/Jul-36 (Written) | Jul-26/3.28 | 3,156,900 | 176,786 | 72,830 | ||
3.28/US SOFR/Jul-36 (Written) | Jul-26/3.28 | 3,156,900 | 176,786 | (117,500) | ||
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) | Mar-24/0.055 | EUR | 716,475,000 | 2,298,753 | 2,196,730 | |
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 358,237,500 | (2,259,791) | (2,158,856) | |
(3.18)/6 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-24/3.18 | EUR | 78,969,100 | (1,727,673) | (466,710) | |
3.18/6 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-24/3.18 | EUR | 78,969,100 | (1,727,673) | (955,961) | |
Deutsche Bank AG | ||||||
(3.19)/US SOFR/Mar-38 (Written) | Mar-28/3.19 | $28,228,900 | 1,966,143 | 824,566 | ||
3.19/US SOFR/Mar-38 (Written) | Mar-28/3.19 | 28,228,900 | 1,966,143 | (1,059,713) | ||
(2.98)/US SOFR/Mar-35 (Written) | Mar-30/2.98 | 681,000 | 31,530 | 12,612 | ||
2.98/US SOFR/Mar-35 (Written) | Mar-30/2.98 | 681,000 | 31,530 | (15,663) | ||
(2.818)/3 month EUR-EURIBOR/Mar-29 (Written) | Mar-28/2.818 | EUR | 112,741,300 | 1,088,608 | 251,503 | |
2.818/3 month EUR-EURIBOR/Mar-29 (Written) | Mar-28/2.818 | EUR | 112,741,300 | 1,088,608 | (101,316) | |
Goldman Sachs International | ||||||
(2.525)/US SOFR/Mar-47 (Purchased) | Mar-27/2.525 | $8,348,800 | (1,177,181) | 636,679 | ||
2.525/US SOFR/Mar-47 (Purchased) | Mar-27/2.525 | 8,348,800 | (491,327) | (246,791) |
56 Diversified Income Trust |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/23 cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Goldman Sachs International cont. | ||||||
(2.85)/3 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-28/2.85 | EUR | 112,454,200 | $(1,057,790) | $86,791 | |
2.85/3 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-28/2.85 | EUR | 112,454,200 | (1,057,790) | (240,162) | |
JPMorgan Chase Bank N.A. | ||||||
(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 | $81,387,600 | 1,736,608 | 1,707,512 | ||
1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 81,387,600 | 1,736,608 | (7,512,889) | ||
(3.115)/US SOFR/Mar-43 (Written) | Mar-33/3.115 | 54,340,500 | 4,586,338 | 1,509,036 | ||
3.115/US SOFR/Mar-43 (Written) | Mar-33/3.115 | 54,340,500 | 4,586,338 | (1,624,238) | ||
(3.3225)/US SOFR/Jul-38 (Written) | Jul-28/3.3225 | 47,053,400 | 3,180,810 | 1,100,108 | ||
3.3225/US SOFR/Jul-38 (Written) | Jul-28/3.3225 | 47,053,400 | 3,180,810 | (1,613,461) | ||
(3.0925)/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 26,845,700 | 2,255,039 | 750,069 | ||
3.0925/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 26,845,700 | 2,255,039 | (830,874) | ||
(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 24,601,500 | (2,072,676) | 836,205 | ||
3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 24,601,500 | (2,072,676) | (742,965) | ||
(3.1525)/US SOFR/Mar-40 (Written) | Mar-30/3.1525 | 23,338,100 | 1,849,544 | 719,747 | ||
3.1525/US SOFR/Mar-40 (Written) | Mar-30/3.1525 | 23,338,100 | 1,849,544 | (809,599) | ||
(2.317)/US SOFR/Apr-42 (Written) | Apr-32/2.317 | 23,236,600 | 1,968,140 | 998,941 | ||
2.317/US SOFR/Apr-42 (Written) | Apr-32/2.317 | 23,236,600 | 1,968,140 | (1,484,586) | ||
(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 13,645,200 | 806,431 | 607,211 | ||
1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 13,645,200 | 806,431 | (1,632,512) | ||
(4.178)/6 month AUD-BBR-BBSW/Apr-40 (Purchased) | Apr-33/4.178 | AUD | 38,380,600 | (1,375,580) | 542,396 | |
4.178/6 month AUD-BBR-BBSW/Apr-40 (Purchased) | Apr-33/4.178 | AUD | 38,380,600 | (1,375,580) | (382,491) | |
(4.344)/6 month AUD-BBR-BBSW/Mar-33 (Purchased) | Mar-28/4.344 | AUD | 26,824,100 | (669,462) | 216,099 | |
4.344/6 month AUD-BBR-BBSW/Mar-33 (Purchased) | Mar-28/4.344 | AUD | 26,824,100 | (669,462) | (225,757) | |
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 25,226,900 | (945,635) | 2,793,994 | |
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 25,226,900 | (945,635) | (719,016) | |
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 19,590,000 | (611,186) | 2,475,246 | |
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 19,590,000 | (611,186) | (546,262) | |
(4.565)/6 month AUD-BBR-BBSW/Mar-38 (Purchased) | Mar-28/4.565 | AUD | 17,126,000 | (704,633) | 207,560 | |
4.565/6 month AUD-BBR-BBSW/Mar-38 (Purchased) | Mar-28/4.565 | AUD | 17,126,000 | (704,633) | (203,486) | |
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 13,662,300 | (849,629) | 1,759,558 | |
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 13,662,300 | (849,629) | (616,649) |
Diversified Income Trust 57 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/23 cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
JPMorgan Chase Bank N.A. cont. | ||||||
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 12,083,500 | $(714,644) | $2,538,471 | |
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 12,083,500 | (714,644) | (617,798) | |
Mizuho Capital Markets LLC | ||||||
(4.0475)/US SOFR/Aug-36 (Purchased) | Aug-26/4.0475 | $20,124,200 | (1,046,458) | 200,035 | ||
3.5475/US SOFR/Aug-36 (Purchased) | Aug-26/3.5475 | 20,124,200 | (1,007,216) | (209,090) | ||
Morgan Stanley & Co. International PLC | ||||||
(2.509)/US SOFR/Jun-55 (Purchased) | Jun-25/2.509 | 33,000,000 | (3,667,125) | 4,281,750 | ||
(2.3825)/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 | 17,896,800 | (2,268,419) | 2,368,641 | ||
2.3825/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 | 17,896,800 | (2,268,419) | (1,587,625) | ||
2.509/US SOFR/Jun-55 (Purchased) | Jun-25/2.509 | 33,000,000 | (3,667,125) | (2,844,270) | ||
Toronto-Dominion Bank | ||||||
(2.118)/US SOFR/Mar-41 (Purchased) | Mar-31/2.118 | 9,114,500 | (1,208,473) | 376,520 | ||
2.118/US SOFR/Mar-41 (Purchased) | Mar-31/2.118 | 9,114,500 | (303,513) | (95,976) | ||
UBS AG | ||||||
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 21,121,500 | (1,124,193) | 1,133,664 | |
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 21,121,500 | (1,124,193) | (432,525) | |
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 10,843,500 | (658,399) | 347,685 | |
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 10,843,500 | (658,399) | (211,037) | |
(2.60)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.60 | EUR | 26,314,900 | 923,300 | 526,381 | |
(2.65)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.65 | EUR | 26,314,900 | 926,655 | 506,072 | |
(2.675)/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.675 | EUR | 26,314,900 | 923,300 | 495,778 | |
2.675/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.675 | EUR | 26,314,900 | 923,300 | (106,000) | |
2.65/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.65 | EUR | 26,314,900 | 926,655 | (125,753) | |
2.60/6 month EUR-EURIBOR/Jun-30 (Written) | Jun-25/2.60 | EUR | 26,314,900 | 923,300 | (165,816) | |
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 22,869,000 | (1,794,123) | 3,823,790 | |
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 22,869,000 | (1,794,123) | (1,076,657) | |
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 15,491,000 | (2,147,726) | 2,240,819 | |
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 15,491,000 | (2,147,726) | (1,392,118) |
58 Diversified Income Trust |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/23 cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
UBS AG cont. | ||||||
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 7,622,900 | $(1,153,465) | $1,885,959 | |
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 7,622,900 | (1,153,465) | (709,616) | |
Unrealized appreciation | 79,697,810 | |||||
Unrealized (depreciation) | (56,705,984) | |||||
Total | $22,991,826 | |||||
TBA SALE COMMITMENTS OUTSTANDING at 9/30/23 (proceeds receivable $169,870,469) | |||
Agency | Principal amount | Settlement date | Value |
Government National Mortgage Association, 3.50%, 10/1/53 | $3,000,000 | 10/23/23 | $2,628,161 |
Uniform Mortgage-Backed Securities, 5.50%, 10/1/53 | 101,000,000 | 10/12/23 | 97,622,863 |
Uniform Mortgage-Backed Securities, 5.00%, 10/1/53 | 42,000,000 | 10/12/23 | 39,632,603 |
Uniform Mortgage-Backed Securities, 4.50%, 10/1/53 | 11,000,000 | 10/12/23 | 10,101,519 |
Uniform Mortgage-Backed Securities, 4.00%, 10/1/53 | 20,000,000 | 10/12/23 | 17,812,492 |
Total | $167,797,638 | ||
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 | ||||||||
Swap counterparty/ Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | ||
JPMorgan Chase Bank N.A. | ||||||||
MYR | 57,060,000 | $59,184 E | $6,100 | 12/20/28 | Bank Negara Malaysia Klibor Interbank Offered Rate Fixing 3 month — Quarterly | 3.79% — Quarterly | $(53,084) | |
Morgan Stanley & Co. International PLC | ||||||||
$1,650,000,000 | 32,026,500 | 7,751,295 | 9/21/24 | 3.40% — Annually | US SOFR — Annually | 40,655,424 | ||
Upfront premium received | 7,757,395 | Unrealized appreciation | 40,655,424 | |||||
Upfront premium (paid) | — | Unrealized (depreciation) | (53,084) | |||||
Total | $7,757,395 | Total | $40,602,340 | |||||
E Extended effective date. | ||||||||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$1,640,000 | $410,525 | $(31) | 12/31/34 | 1.4425% — Annually | US SOFR — Annually | $453,674 | |
8,150,000 | 276,285 | (66) | 1/6/28 | 3.5615% — Annually | US SOFR — Annually | 361,264 |
Diversified Income Trust 59 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$5,018,000 | $402,745 | $(66) | 3/15/33 | 3.234% — Annually | US SOFR — Annually | $454,739 | |
3,213,000 | 242,710 | (42) | 3/24/33 | US SOFR — Annually | 3.2975% — Annually | (273,842) | |
6,030,000 | 574,538 | (80) | 4/6/33 | 3.45% — Annually | US SOFR — Annually | 637,211 | |
5,778,000 | 445,657 | (76) | 4/20/33 | US SOFR — Annually | 3.283% — Annually | (495,321) | |
4,811,000 | 383,340 | (64) | 5/3/33 | 3.253% — Annually | US SOFR — Annually | 422,519 | |
5,247,000 | 249,705 | (42) | 5/17/28 | US SOFR — Annually | 3.261% — Annually | (288,745) | |
6,150,000 | 317,832 | (70) | 5/23/30 | US SOFR — Annually | 3.4095% — Annually | (358,355) | |
581,196,000 | 4,713,500 | (178,450) | 6/23/25 | US SOFR — Annually | 4.625% — Annually | (5,887,183) | |
741,865,000 | 20,364,194 | 393,345 | 6/23/28 | 3.753% — Annually | US SOFR — Annually | 23,824,863 | |
385,644,000 | 24,326,424 | (650,448) | 6/23/33 | US SOFR — Annually | 3.475% — Annually | (26,869,163) | |
5,317,000 | 764,319 | (23,919) | 6/23/53 | US SOFR — Annually | 3.17% — Annually | (818,832) | |
7,525,000 | 444,201 | (99) | 6/26/33 | 3.527% — Annually | US SOFR — Annually | 478,939 | |
6,899,000 | 267,957 | (91) | 8/4/33 | US SOFR — Annually | 3.7865% — Annually | (285,149) | |
5,054,000 | 103,455 | (67) | 8/21/33 | US SOFR — Annually | 4.018% — Annually | (111,008) | |
10,343,000 | 156,490 | (97) | 9/5/28 | 4.041% — Annually | US SOFR — Annually | 165,902 | |
24,580,000 | 22,859 E | (97,560) | 12/20/25 | US SOFR — Annually | 4.86% — Annually | (74,701) | |
4,587,000 | 109,400 E | 17,962 | 12/20/33 | 3.94% — Annually | US SOFR — Annually | 127,362 | |
4,460,000 | 45,269 E | 6,240 | 12/20/28 | 4.08% — Annually | US SOFR — Annually | 51,509 | |
794,260,000 | 1,358,185 E | (6,764,332) | 12/20/28 | US SOFR — Annually | 4.35% — Annually | (5,406,147) | |
70,090,000 | 218,681 E | (638,063) | 12/20/30 | US SOFR — Annually | 4.20% — Annually | (856,744) | |
145,120,000 | 2,186,958 E | (869,090) | 12/20/33 | US SOFR — Annually | 4.05% — Annually | (3,056,048) | |
136,737,000 | 25,980 E | (102,413) | 12/20/25 | 4.80% — Annually | US SOFR — Annually | (76,433) | |
556,805,000 | 105,793 E | 419,652 | 12/20/25 | US SOFR — Annually | 4.80% — Annually | 313,859 | |
823,178,000 | 3,218,626 E | 3,450,848 | 12/20/28 | 4.40% — Annually | US SOFR — Annually | 232,221 |
60 Diversified Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$105,420,000 | $2,009,305 E | $(1,700,970) | 12/20/33 | 4.00% — Annually | US SOFR — Annually | $308,336 | |
46,859,000 | 3,054,738 E | (2,773,298) | 12/20/53 | 3.60% — Annually | US SOFR — Annually | 281,441 | |
6,258,000 | 407,959 E | 370,098 | 12/20/53 | US SOFR — Annually | 3.60% — Annually | (37,861) | |
3,918,000 | 29,816 | (133) | 9/27/53 | US SOFR — Annually | 3.965% — Annually | (30,531) | |
44,714,000 | 18,780 | (360) | 9/28/28 | 4.3715% — Annually | US SOFR — Annually | 21,919 | |
9,470,000 | 84,188 | (322) | 9/28/53 | US SOFR — Annually | 3.9575% — Annually | (85,578) | |
2,052,000 | 11,450 | (27) | 9/29/33 | 4.2035% — Annually | US SOFR — Annually | 11,549 | |
189,990,000 | 146,292 | (712) | 9/29/25 | 5.0185% — Annually | US SOFR — Annually | (143,928) | |
89,940,000 | 59,360 | (724) | 9/29/28 | US SOFR — Annually | 4.3955% — Annually | 54,067 | |
43,300,000 | 152,416 | 2,947 | 9/29/28 | 4.46% — Annually | US SOFR — Annually | (147,424) | |
17,800,000 | 54,824 | 3,655 | 9/29/33 | 4.311% — Annually | US SOFR — Annually | (50,181) | |
11,900,000 | 29,274 | 4,094 | 9/29/53 | 4.024% — Annually | US SOFR — Annually | (24,329) | |
2,505,000 | 19,238 | (33) | 10/2/33 | 4.367% — Annually | US SOFR — Annually | (19,271) | |
8,188,000 | 21,534 | (108) | 10/3/33 | 4.2385% — Annually | US SOFR — Annually | 21,426 | |
AUD | 1,119,500 | 172,604 E | (11) | 1/30/35 | 1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 172,593 |
AUD | 3,719,600 | 612,611 E | (37) | 3/5/35 | 1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 612,574 |
AUD | 1,399,700 | 234,974 E | (12) | 3/25/35 | 1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 234,961 |
AUD | 2,018,200 | 290,780 E | (24) | 3/28/40 | 1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 290,756 |
AUD | 7,680,600 | 1,187,697 E | (92) | 4/1/40 | 1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 1,187,604 |
AUD | 483,400 | 129,163 E | (11) | 7/2/45 | 1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 129,152 |
AUD | 24,600,000 | 2,781,818 | (271) | 4/6/31 | 6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (2,931,191) |
Diversified Income Trust 61 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
AUD | 20,000,000 | $370,082 | $(170) | 10/7/32 | 6 month AUD-BBR-BBSW — Semiannually | 4.319% — Semiannually | $(337,111) |
AUD | 8,470,500 | 1,651,369 | 1,473,828 | 11/24/42 | 6 month AUD-BBR-BBSW — Semiannually | 2.50% — Semiannually | (197,340) |
AUD | 14,036,000 | 26,261 E | (7,724) | 12/20/25 | 3 month AUD-BBR-BBSW — Quarterly | 4.17% — Quarterly | (33,985) |
AUD | 22,063,000 | 355,203 E | (30,390) | 12/20/33 | 6 month AUD-BBR-BBSW — Semiannually | 4.46% — Semiannually | (385,592) |
AUD | 11,815,607 | 30,767 E | (256) | 5/12/52 | 4.59% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 30,511 |
BRL | 9,100,000 | 71,003 | 121,663 | 1/2/29 | 0.0000% — At maturity | Brazil Cetip DI Interbank Deposit Rate — At maturity | 74,047 |
CAD | 36,906,000 | 31,519 E | (266) | 12/20/25 | Canadian Overnight Repo Rate Average — Semiannually | 4.83% — Semiannually | (31,785) |
CAD | 18,593,000 | 331,820 E | (57,895) | 12/20/33 | 3.83% — Semiannually | Canadian Overnight Repo Rate Average — Semiannually | 273,926 |
CHF | 7,277,000 | 19,716 E | (13,442) | 12/20/33 | Swiss Average Rate Overnight — Annually | 1.78% — Annually | (33,158) |
CLP | 3,300,970,000 | 75,332 E | 1,949 | 12/20/28 | 5.12% — Semiannually | CLICP (Chilean Pesos Indice Camara Promedio) — Semiannually | 77,281 |
CNY | 78,360,000 | 23,602 E | 13,101 | 12/20/28 | China Fixing Repo Rates 7 Day — Quarterly | 2.39% — Quarterly | (10,502) |
COP | 15,994,040,000 | 85,810 E | 84,695 | 12/20/28 | 8.18% — Quarterly | Colombia IBR Overnight Rate — Quarterly | 170,505 |
CZK | 21,070,000 | 13,935 E | (4,509) | 12/20/28 | 6 month CZK-PRIBOR — Semiannually | 4.135% — Annually | (18,444) |
EUR | 7,235,600 | 1,750,206 E | (277) | 11/29/58 | 1.484% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,749,929 |
EUR | 9,840,300 | 3,315,333 | (381) | 2/19/50 | 6 month EUR-EURIBOR — Semiannually | 1.354% — Annually | (3,274,660) |
62 Diversified Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 10,864,000 | $3,835,508 | $(415) | 3/11/50 | 1.267% — Annually | 6 month EUR-EURIBOR — Semiannually | $3,778,037 |
EUR | 11,002,000 | 3,998,453 | (420) | 3/12/50 | 1.2115% — Annually | 6 month EUR-EURIBOR — Semiannually | 3,942,674 |
EUR | 13,678,600 | 5,232,243 | (528) | 3/26/50 | 1.113% — Annually | 6 month EUR-EURIBOR — Semiannually | 5,155,193 |
EUR | 13,443,000 | 3,578,878 E | (509) | 11/29/58 | 6 month EUR-EURIBOR — Semiannually | 1.343% — Annually | (3,579,387) |
EUR | 14,233,000 | 5,593,131 | (541) | 2/19/50 | 1.051% — Annually | 6 month EUR-EURIBOR — Semiannually | 5,561,921 |
EUR | 10,466,600 | 4,099,552 E | (401) | 6/7/54 | 1.054% — Annually | 6 month EUR-EURIBOR — Semiannually | 4,099,151 |
EUR | 9,550,400 | 4,013,722 | (367) | 2/19/50 | 0.9035% — Annually | 6 month EUR-EURIBOR — Semiannually | 4,002,154 |
EUR | 8,829,000 | 3,879,495 | (337) | 2/21/50 | 0.80% — Annually | 6 month EUR-EURIBOR — Semiannually | 3,875,098 |
EUR | 22,091,800 | 11,001,171 E | (840) | 8/8/54 | 0.49% — Annually | 6 month EUR-EURIBOR — Semiannually | 11,000,331 |
EUR | 12,792,500 | 7,147,624 E | (483) | 6/6/54 | 6 month EUR-EURIBOR — Semiannually | 0.207% — Annually | (7,148,106) |
EUR | 20,383,200 | 11,095,089 | (766) | 2/19/50 | 0.233% — Annually | 6 month EUR-EURIBOR — Semiannually | 11,161,407 |
EUR | 70,039,500 | 33,433,242 | (2,643) | 2/19/50 | 6 month EUR-EURIBOR — Semiannually | 0.595% — Annually | (33,497,594) |
EUR | 8,796,100 | 5,114,357 E | (329) | 3/4/54 | 0.134% — Annually | 6 month EUR-EURIBOR — Semiannually | 5,114,029 |
EUR | 4,363,500 | 2,846,597 E | (168) | 3/13/54 | — | 0.2275% plus 6 month EUR-EURIBOR — Semiannually | 2,846,429 |
EUR | 23,312,400 | 5,306,014 E | (494) | 5/13/40 | 6 month EUR-EURIBOR — Semiannually | 0.276% — Annually | (5,306,508) |
EUR | 10,527,400 | 2,355,907 E | (230) | 6/24/40 | 0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 2,355,677 |
Diversified Income Trust 63 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 15,952,000 | $3,628,559 E | $(369) | 1/16/40 | 0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | $3,628,190 |
EUR | 5,045,400 | 1,138,702 E | (117) | 3/28/40 | 0.3175% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,138,585 |
EUR | 17,295,900 | 8,674,007 | (705) | 5/21/51 | 6 month EUR-EURIBOR — Semiannually | 0.516% — Annually | (8,892,865) |
EUR | 16,158,000 | 3,661,067 | (277) | 6/14/31 | 0.171% — Annually | 6 month EUR-EURIBOR — Semiannually | 3,852,258 |
EUR | 15,809,000 | 3,736,596 | (271) | 7/15/31 | 0.0675% — Annually | 6 month EUR-EURIBOR — Semiannually | 3,877,294 |
EUR | 3,168,200 | 1,707,582 | (127) | 9/14/52 | 6 month EUR-EURIBOR — Semiannually | 0.374% — Annually | (1,713,431) |
EUR | 43,853,000 | 9,325,571 | (706) | 3/7/32 | 6 month EUR-EURIBOR — Semiannually | 0.60% — Annually | (9,287,522) |
EUR | 83,000,000 | 5,320,389 | (836) | 7/7/27 | 6 month EUR-EURIBOR — Semiannually | 1.725% — Annually | (5,796,719) |
EUR | 21,514,400 | 830,005 E | (341) | 2/2/36 | 2.875% — Annually | 6 month EUR-EURIBOR — Semiannually | 829,664 |
EUR | 23,850,000 | 1,455,181 | (355) | 9/8/32 | 2.615% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,476,305 |
EUR | 189,696,100 | 7,113,728 | (717) | 6/28/25 | 1.718% — Annually | 6 month EUR-EURIBOR — Semiannually | 8,339,883 |
EUR | 18,770,000 | 5,450,513 | (647) | 8/29/52 | 6 month EUR-EURIBOR — Semiannually | 1.636% — Annually | (5,494,359) |
EUR | 56,885,000 | 4,002,428 E | (647) | 9/12/29 | 1.71% — Annually | 6 month EUR-EURIBOR — Semiannually | 4,001,781 |
EUR | 99,896,000 | 7,960,206 | (958) | 9/2/27 | 6 month EUR-EURIBOR — Semiannually | 1.372% — Annually | (8,167,709) |
EUR | 6,656,000 | 1,359,841 E | (228) | 6/6/54 | 2.005% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,359,613 |
EUR | 9,833,000 | 1,892,061 E | (333) | 6/7/54 | 2.065% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,891,728 |
EUR | 93,894,000 | 1,294,473 | (347) | 10/10/24 | 2.7975% — Annually | 6 month EUR-EURIBOR — Semiannually | 204,607 |
64 Diversified Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 26,019,200 | $124,890 E | $(384) | 2/18/36 | 6 month EUR-EURIBOR — Semiannually | 3.285% — Annually | $(125,274) |
EUR | 6,656,100 | 154,606 E | (128) | 8/22/39 | 6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | (154,734) |
EUR | 168,519,400 | 452,545 E | (1,145) | 6/26/28 | 6 month EUR-EURIBOR — Semiannually | 3.26% — Annually | 451,399 |
EUR | 11,248,400 | 294,574 E | (216) | 3/28/40 | 6 month EUR-EURIBOR — Semiannually | 3.09% — Annually | (294,790) |
EUR | 92,840,000 | 1,304,481 | (348) | 11/1/24 | 2.8085% — Annually | 6 month EUR-EURIBOR — Semiannually | 289,019 |
EUR | 20,639,000 | 191,803 | (177) | 2/24/28 | 3.206% — Annually | 6 month EUR-EURIBOR — Semiannually | (149,069) |
EUR | 14,063,000 | 337,506 | (197) | 2/24/33 | 6 month EUR-EURIBOR — Semiannually | 3.095% — Annually | (115,768) |
EUR | 9,551,000 | 228,412 | (134) | 2/24/33 | 3.096% — Annually | 6 month EUR-EURIBOR — Semiannually | 77,487 |
EUR | 27,055,000 | 3,146 | (231) | 3/2/28 | 3.4215% — Annually | 6 month EUR-EURIBOR — Semiannually | (494,999) |
EUR | 16,483,000 | 144,293 | (231) | 3/2/33 | 6 month EUR-EURIBOR — Semiannually | 3.2755% — Annually | 143,656 |
EUR | 1,732,000 | 123,365 | (62) | 3/2/53 | 2.7465% — Annually | 6 month EUR-EURIBOR — Semiannually | 98,797 |
EUR | 16,601,000 | 18,604 | (142) | 3/2/28 | 3.398% — Annually | 6 month EUR-EURIBOR — Semiannually | (284,599) |
EUR | 2,945,000 | 50,004 | (41) | 3/10/33 | 3.176% — Annually | 6 month EUR-EURIBOR — Semiannually | 52 |
EUR | 63,181,100 | 88,174 | (628) | 4/13/28 | 6 month EUR-EURIBOR — Semiannually | 3.395% — Annually | (89,976) |
EUR | 10,391,600 | 161,941 | (155) | 4/13/33 | 3.203% — Annually | 6 month EUR-EURIBOR — Semiannually | 172,114 |
EUR | 4,074,800 | 74,358 | (114,830) | 9/13/33 | 6 month EUR-EURIBOR — Semiannually | 3.18% — Annually | (190,861) |
EUR | 26,811,000 | 236,689 | (228) | 3/14/28 | 6 month EUR-EURIBOR — Semiannually | 3.214% — Annually | 222,349 |
Diversified Income Trust 65 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 10,300,000 | $284,438 | $(144) | 3/14/33 | 3.0525% — Annually | 6 month EUR-EURIBOR — Semiannually | $117,756 |
EUR | 823,000 | 89,048 | (30) | 3/14/53 | 2.5595% — Annually | 6 month EUR-EURIBOR — Semiannually | 78,125 |
EUR | 18,044,000 | 302,752 | (156) | 3/17/28 | 6 month EUR-EURIBOR — Semiannually | 3.075% — Annually | (9,353) |
EUR | 14,772,000 | 332,188 | (127) | 3/22/28 | 6 month EUR-EURIBOR — Semiannually | 2.909% — Annually | (102,759) |
EUR | 12,863,000 | 226,974 | (111) | 3/23/28 | 3.021% — Annually | 6 month EUR-EURIBOR — Semiannually | 15,255 |
EUR | 10,958,000 | 137,055 | (95) | 3/24/28 | 3.14% — Annually | 6 month EUR-EURIBOR — Semiannually | (49,682) |
EUR | 3,103,000 | 95,729 | (44) | 3/24/33 | 6 month EUR-EURIBOR — Semiannually | 3.0215% — Annually | (45,000) |
EUR | 5,162,500 | 87,220 | (45) | 3/27/28 | 6 month EUR-EURIBOR — Semiannually | 3.045% — Annually | (2,288) |
EUR | 33,807,000 | 889,630 | (296) | 3/28/28 | 6 month EUR-EURIBOR — Semiannually | 2.8235% — Annually | (374,025) |
EUR | 3,668,000 | 575,960 | (136) | 3/28/53 | 2.3165% — Annually | 6 month EUR-EURIBOR — Semiannually | 530,139 |
EUR | 18,988,100 | 874,876 | (292) | 6/13/33 | 2.85% — Annually | 6 month EUR-EURIBOR — Semiannually | 935,178 |
EUR | 69,622,700 | 1,687,845 | (704) | 6/13/28 | 2.87% — Annually | 6 month EUR-EURIBOR — Semiannually | 1,904,770 |
EUR | 8,758,000 | 169,262 | (76) | 3/29/28 | 2.989% — Annually | 6 month EUR-EURIBOR — Semiannually | 27,232 |
EUR | 5,149,000 | 200,494 | (73) | 3/29/33 | 6 month EUR-EURIBOR — Semiannually | 2.9295% — Annually | (118,796) |
EUR | 1,747,000 | 224,911 | (64) | 3/29/53 | 6 month EUR-EURIBOR — Semiannually | 2.459% — Annually | (201,754) |
EUR | 25,597,000 | 883,318 | (366) | 3/31/33 | 6 month EUR-EURIBOR — Semiannually | 2.9825% — Annually | (474,298) |
EUR | 4,781,000 | 146,536 | (68) | 4/3/33 | 6 month EUR-EURIBOR — Semiannually | 3.0285% — Annually | (154,761) |
66 Diversified Income Trust |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 1,528,000 | $171,645 | $(56) | 4/3/53 | 6 month EUR-EURIBOR — Semiannually | 2.542% — Annually | $(178,309) |
EUR | 1,993,000 | 262,650 | (74) | 4/5/53 | 2.444% — Annually | 6 month EUR-EURIBOR — Semiannually | 272,695 |
EUR | 3,765,000 | 165,312 | (55) | 4/11/33 | 2.872% — Annually | 6 month EUR-EURIBOR — Semiannually | 175,436 |
EUR | 2,782,000 | 87,650 | (40) | 4/14/33 | 6 month EUR-EURIBOR — Semiannually | 3.0165% — Annually | (93,306) |
EUR | 1,269,000 | 129,992 | (47) | 4/14/53 | 6 month EUR-EURIBOR — Semiannually | 2.59% — Annually | (135,334) |
EUR | 3,177,000 | 292,021 | (117) | 4/20/53 | 6 month EUR-EURIBOR — Semiannually | 2.6425% — Annually | (307,638) |
EUR | 4,747,008 | 122,458 E | (73) | 3/13/34 | 6 month EUR-EURIBOR — Semiannually | 3.062% — Annually | (122,531) |
EUR | 16,581,000 | 28,399 E | (40,591) | 12/20/25 | 6 month EUR-EURIBOR — Semiannually | 3.77% — Annually | (12,192) |
EUR | 2,961,000 | 48,523 E | 12,121 | 12/20/33 | 6 month EUR-EURIBOR — Semiannually | 3.19% — Annually | (36,402) |
EUR | 11,370,000 | 97,971 E | (1,862) | 12/20/28 | 3.18% — Annually | 6 month EUR-EURIBOR — Semiannually | 96,108 |
GBP | 8,867,000 | 50,848 E | 38,777 | 12/20/33 | 4.27% — Annually | Sterling Overnight Index Average — Annually | 89,625 |
HUF | 1,925,550,000 | 113,814 E | (4,148) | 12/20/28 | 6.62% — Annually | 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY — Semiannually | 109,666 |
ILS | 33,430,000 | 166,173 E | 6,948 | 12/20/28 | Israeili Shekel 3 month TELIBOR — Quarterly | 3.85% — Annually | (159,225) |
INR | 496,830,000 | 10,291 E | 4,279 | 12/20/28 | INR-FBIL-MIBOR-OIS-COMPOUND — Semiannually | 6.76% — Semiannually | (6,012) |
KRW | 8,866,300,000 | 15,178 E | (8,764) | 12/20/28 | 3 month KRW-CD-KSDA-BLOOMBERG — Quarterly | 3.75% — Quarterly | (23,942) |
Diversified Income Trust 67 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/23 cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
MXN | 36,850,000 | $21,335 E | $(18) | 12/20/28 | 9.1953% — 28 Days | Mexico Interbank TIIE 28 Day — 28 Days | $21,317 |
NOK | 114,012,000 | 67,150 E | 30,681 | 12/20/33 | 4.12% — Annually | 6 month NOK-NIBOR-NIBR — Semiannually | 97,831 |
NZD | 16,224,000 | 261,280 E | (16,880) | 12/20/33 | 3 month NZD-BBR-FRA — Quarterly | 4.82% — Semiannually | (278,160) |
PLN | 19,440,000 | 36,178 E | (12,041) | 12/20/28 | 6 month WIBOR — Semiannually | 4.25% — Annually | (48,219) |
SEK | 258,586,000 | 212,539 E | 35,453 | 12/20/33 | 3.32% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 247,992 |
SGD | 6,660,000 | 33,178 E | 12,458 | 12/20/28 | 3.32% — Semiannually | Compounded Singapore Overnight Rate Average — Semiannually | 45,637 |
THB | 103,520,000 | 13,220 E | 5,181 | 12/20/28 | Thailand Overnight Repo Rate ON — Quarterly | 2.78% — Quarterly | (8,039) |
ZAR | 45,870,000 | 43,075 E | (2,356) | 12/20/28 | 3 month ZAR-JIBAR-SAFEX — Quarterly | 8.52% — Quarterly | (45,431) |
Total | $(7,634,324) | $(13,483,985) | |||||
E Extended effective date. | |||||||
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/23 | |||||||
Swap counterparty/ Notional amount | Value | Upfront premium received (paid) | Termination date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation) | |
Morgan Stanley & Co. International PLC | |||||||
$13,562,248 | $11,822,879 | $— | 9/29/25 | (0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020−01, 9/22/25 — Annually | $(1,724,018) | |
13,597,326 | 12,695,727 | — | 7/17/24 | 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019−01, 7/10/24 — Quarterly | (904,579) | |
Upfront premium received | — | Unrealized appreciation | — | ||||
Upfront premium (paid) | — | Unrealized (depreciation) | (2,628,597) | ||||
Total | $— | Total | $(2,628,597) | ||||
68 Diversified Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/23 | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Bank of America N.A. | ||||||||
CMBX NA BBB−.6 Index | BB+/P | $39,713 | $283,964 | $41,004 | 5/11/63 | 300 bp — Monthly | $(1,149) | |
CMBX NA BBB−.6 Index | BB+/P | 79,608 | 645,639 | 93,230 | 5/11/63 | 300 bp — Monthly | (13,300) | |
CMBX NA BBB−.6 Index | BB+/P | 163,473 | 1,294,211 | 186,884 | 5/11/63 | 300 bp — Monthly | (22,764) | |
CMBX NA BBB−.6 Index | BB+/P | 155,838 | 1,336,244 | 192,954 | 5/11/63 | 300 bp — Monthly | (36,448) | |
Citigroup Global Markets, Inc. | ||||||||
CMBX NA A.6 Index | A+/P | 1,843 | 3,267 | 524 | 5/11/63 | 200 bp — Monthly | 1,320 | |
CMBX NA A.6 Index | A+/P | 2,723 | 5,345 | 857 | 5/11/63 | 200 bp — Monthly | 1,867 | |
CMBX NA A.6 Index | A+/P | 6,851 | 16,036 | 2,572 | 5/11/63 | 200 bp — Monthly | 4,284 | |
CMBX NA A.6 Index | A+/P | 9,975 | 17,818 | 2,858 | 5/11/63 | 200 bp — Monthly | 7,123 | |
CMBX NA A.6 Index | A+/P | 13,865 | 35,041 | 5,621 | 5/11/63 | 200 bp — Monthly | 8,256 | |
CMBX NA A.6 Index | A+/P | 21,048 | 35,338 | 5,668 | 5/11/63 | 200 bp — Monthly | 15,392 | |
CMBX NA A.6 Index | A+/P | 33,180 | 70,379 | 11,289 | 5/11/63 | 200 bp — Monthly | 21,915 | |
CMBX NA BB.11 Index | BB−/P | 877,445 | 1,553,000 | 591,227 | 11/18/54 | 500 bp — Monthly | 287,512 | |
CMBX NA BB.13 Index | BB−/P | 12,597 | 126,000 | 51,030 | 12/16/72 | 500 bp — Monthly | (38,328) | |
CMBX NA BB.13 Index | BB−/P | 12,757 | 140,000 | 56,700 | 12/16/72 | 500 bp — Monthly | (43,827) | |
CMBX NA BB.13 Index | BB−/P | 20,857 | 221,000 | 89,505 | 12/16/72 | 500 bp — Monthly | (68,464) | |
CMBX NA BB.13 Index | BB−/P | 50,236 | 551,000 | 223,155 | 12/16/72 | 500 bp — Monthly | (172,459) | |
CMBX NA BB.13 Index | BB−/P | 382,951 | 1,480,000 | 599,400 | 12/16/27 | 500 bp — Monthly | (215,217) | |
CMBX NA BB.14 Index | BB/P | 21,489 | 196,000 | 77,479 | 12/16/72 | 500 bp — Monthly | (55,826) | |
CMBX NA BB.6 Index | B/P | 84,138 | 125,446 | 39,829 | 5/11/63 | 500 bp — Monthly | 44,413 | |
CMBX NA BB.6 Index | B/P | 1,291,491 | 5,378,043 | 1,707,529 | 5/11/63 | 500 bp — Monthly | (411,556) | |
CMBX NA BB.7 Index | B-/P | 578,211 | 11,074,484 | 4,063,228 | 1/17/47 | 500 bp — Monthly | (3,475,789) | |
CMBX NA BB.9 Index | B/P | 60,061 | 295,000 | 116,791 | 9/17/58 | 500 bp — Monthly | (56,483) | |
CMBX NA BB.9 Index | B/P | 381,487 | 1,868,000 | 739,541 | 9/17/58 | 500 bp — Monthly | (356,497) |
Diversified Income Trust 69 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Citigroup Global Markets, Inc. cont. | ||||||||
CMBX NA BBB−.10 Index | BB+/P | $48,888 | $394,000 | $108,823 | 11/17/59 | 300 bp — Monthly | $(59,737) | |
CMBX NA BBB−.10 Index | BB+/P | 94,147 | 863,000 | 238,361 | 11/17/59 | 300 bp — Monthly | (143,782) | |
CMBX NA BBB−.11 Index | BBB−/P | 197,118 | 3,147,000 | 630,974 | 11/18/54 | 300 bp — Monthly | (432,282) | |
CMBX NA BBB−.12 Index | BBB−/P | 36,007 | 611,000 | 169,919 | 8/17/61 | 300 bp — Monthly | (133,607) | |
CMBX NA BBB−.12 Index | BBB−/P | 28,903 | 693,000 | 192,723 | 8/17/61 | 300 bp — Monthly | (163,474) | |
CMBX NA BBB−.13 Index | BBB−/P | 52,918 | 1,130,000 | 314,253 | 12/16/72 | 300 bp — Monthly | (260,771) | |
CMBX NA BBB−.16 Index | BBB−/P | 265,276 | 1,167,000 | 277,513 | 4/17/65 | 300 bp — Monthly | (11,653) | |
Credit Suisse International | ||||||||
CMBX NA BB.7 Index | B-/P | 369,046 | 2,696,779 | 989,448 | 1/17/47 | 500 bp — Monthly | (618,155) | |
CMBX NA BBB−.7 Index | BB/P | 1,788,740 | 20,938,766 | 3,978,366 | 1/17/47 | 300 bp — Monthly | (2,179,156) | |
Goldman Sachs International | ||||||||
CMBX NA BB.6 Index | B/P | 47,424 | 83,033 | 26,363 | 5/11/63 | 500 bp — Monthly | 21,130 | |
CMBX NA BB.6 Index | B/P | 664,734 | 964,738 | 306,304 | 5/11/63 | 500 bp — Monthly | 359,233 | |
CMBX NA BB.9 Index | B/P | 1,088,578 | 2,692,000 | 1,065,763 | 9/17/58 | 500 bp — Monthly | 25,058 | |
CMBX NA BBB−.13 Index | BBB−/P | 3,957 | 86,000 | 23,917 | 12/16/72 | 300 bp — Monthly | (19,917) | |
CMBX NA BBB−.16 Index | BBB−/P | 193,440 | 744,000 | 176,923 | 4/17/65 | 300 bp — Monthly | 16,889 | |
CMBX NA BBB−.16 Index | BBB−/P | 188,681 | 784,000 | 186,435 | 4/17/65 | 300 bp — Monthly | 2,638 | |
CMBX NA BBB−.7 Index | BB/P | 77,611 | 908,500 | 172,615 | 1/17/47 | 300 bp — Monthly | (94,550) | |
CMBX NA BBB−.7 Index | BB/P | 398,239 | 2,978,150 | 565,849 | 1/17/47 | 300 bp — Monthly | (166,120) | |
JPMorgan Securities LLC | ||||||||
CMBX NA BB.10 Index | B/P | 47,420 | 591,000 | 264,650 | 5/11/63 | 500 bp — Monthly | (216,737) | |
CMBX NA BBB−.12 Index | BBB−/P | 4,085 | 34,000 | 9,455 | 8/17/61 | 300 bp — Monthly | (5,353) | |
CMBX NA BBB−.13 Index | BBB−/P | 87,238 | 660,000 | 183,546 | 12/16/72 | 300 bp — Monthly | (95,978) | |
CMBX NA BBB−.8 Index | BB−/P | 133,327 | 855,000 | 162,707 | 10/17/57 | 300 bp — Monthly | (28,953) |
70 Diversified Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Merrill Lynch International | ||||||||
CMBX NA A.13 Index | A-/P | $133,465 | $1,024,000 | $105,779 | 12/16/72 | 200 bp — Monthly | $28,027 | |
CMBX NA A.13 Index | A-/P | 136,310 | 1,024,000 | 105,779 | 12/16/72 | 200 bp — Monthly | 30,872 | |
CMBX NA BB.6 Index | B/P | 1,226 | 3,584 | 1,138 | 5/11/63 | 500 bp — Monthly | 91 | |
CMBX NA BB.6 Index | B/P | 75,365 | 402,621 | 127,832 | 5/11/63 | 500 bp — Monthly | (52,132) | |
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA BB.13 Index | BB−/P | 18,044 | 194,000 | 78,570 | 12/16/72 | 500 bp — Monthly | (60,364) | |
CMBX NA BB.13 Index | BB−/P | 21,553 | 235,000 | 95,175 | 12/16/72 | 500 bp — Monthly | (73,426) | |
CMBX NA BB.13 Index | BB−/P | 37,958 | 396,000 | 160,380 | 12/16/72 | 500 bp — Monthly | (122,091) | |
CMBX NA BB.13 Index | BB−/P | 52,313 | 544,000 | 220,320 | 12/16/72 | 500 bp — Monthly | (167,554) | |
CMBX NA BB.13 Index | BB−/P | 86,457 | 936,000 | 379,080 | 12/16/72 | 500 bp — Monthly | (291,843) | |
CMBX NA BB.13 Index | BB−/P | 278,363 | 2,973,000 | 1,204,065 | 12/16/72 | 500 bp — Monthly | (923,225) | |
CMBX NA BB.6 Index | B/P | 5,423 | 17,921 | 5,690 | 5/11/63 | 500 bp — Monthly | (252) | |
CMBX NA BB.6 Index | B/P | 16,168 | 79,449 | 25,225 | 5/11/63 | 500 bp — Monthly | (8,991) | |
CMBX NA BB.6 Index | B/P | 75,114 | 105,733 | 33,570 | 5/11/63 | 500 bp — Monthly | 41,632 | |
CMBX NA BB.6 Index | B/P | 103,320 | 146,951 | 46,657 | 5/11/63 | 500 bp — Monthly | 56,786 | |
CMBX NA BB.6 Index | B/P | 611,836 | 1,079,432 | 342,720 | 5/11/63 | 500 bp — Monthly | 270,017 | |
CMBX NA BB.8 Index | CCC+/P | 12,950 | 35,756 | 15,686 | 10/17/57 | 500 bp — Monthly | (2,707) | |
CMBX NA BBB−.12 Index | BBB−/P | 40,531 | 944,000 | 262,526 | 8/17/61 | 300 bp — Monthly | (220,180) | |
CMBX NA BBB−.13 Index | BBB−/P | 643 | 7,000 | 1,947 | 12/16/72 | 300 bp — Monthly | (1,300) | |
CMBX NA BBB−.13 Index | BBB−/P | 2,834 | 51,000 | 14,183 | 12/16/72 | 300 bp — Monthly | (11,324) | |
CMBX NA BBB−.13 Index | BBB−/P | 10,328 | 113,000 | 31,425 | 12/16/72 | 300 bp — Monthly | (21,041) | |
CMBX NA BBB−.15 Index | BBB−/P | 18,604 | 118,000 | 28,167 | 11/18/64 | 300 bp — Monthly | (9,503) | |
CMBX NA BBB−.15 Index | BBB−/P | 9,835 | 166,000 | 39,624 | 11/18/64 | 300 bp — Monthly | (29,706) | |
CMBX NA BBB−.15 Index | BBB−/P | 269,320 | 1,066,000 | 254,454 | 11/18/64 | 300 bp — Monthly | 15,399 |
Diversified Income Trust 71 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BBB−.16 Index | BBB−/P | $32,506 | $143,000 | $34,005 | 4/17/65 | 300 bp — Monthly | $(1,428) | |
CMBX NA BBB−.9 Index | BB/P | 22,232 | 229,000 | 49,510 | 9/17/58 | 300 bp — Monthly | (27,162) | |
Upfront premium received | 12,190,312 | Unrealized appreciation | 1,259,854 | |||||
Upfront premium (paid) | — | Unrealized (depreciation) | (11,622,561) | |||||
Total | $12,190,312 | Total | $(10,362,707) | |||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2023. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications. | ||||||||
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Citigroup Global Markets, Inc. | ||||||||
CMBX NA BB.10 Index | $(1,135,828) | $4,711,000 | $2,109,586 | 11/17/59 | (500 bp) — Monthly | $969,832 | ||
CMBX NA BB.10 Index | (166,877) | 1,599,000 | 716,032 | 11/17/59 | (500 bp) — Monthly | 547,823 | ||
CMBX NA BB.10 Index | (138,486) | 1,263,000 | 565,571 | 11/17/59 | (500 bp) — Monthly | 426,033 | ||
CMBX NA BB.10 Index | (304,980) | 1,196,000 | 535,569 | 11/17/59 | (500 bp) — Monthly | 229,592 | ||
CMBX NA BB.11 Index | (148,735) | 1,148,000 | 437,044 | 11/18/54 | (500 bp) — Monthly | 287,352 | ||
CMBX NA BB.11 Index | (14,231) | 279,000 | 106,215 | 11/18/54 | (500 bp) — Monthly | 91,752 | ||
CMBX NA BB.11 Index | (4,098) | 79,000 | 30,075 | 11/18/54 | (500 bp) — Monthly | 25,911 | ||
CMBX NA BB.11 Index | (2,612) | 38,000 | 14,467 | 11/18/54 | (500 bp) — Monthly | 11,823 | ||
CMBX NA BB.11 Index | (650) | 9,000 | 3,426 | 11/18/54 | (500 bp) — Monthly | 2,769 | ||
CMBX NA BB.8 Index | (12,436) | 34,789 | 15,262 | 10/17/57 | (500 bp) — Monthly | 2,797 | ||
CMBX NA BB.8 Index | (176) | 966 | 424 | 10/17/57 | (500 bp) — Monthly | 248 | ||
CMBX NA BBB−.10 Index | (172,625) | 1,004,000 | 277,305 | 11/17/59 | (300 bp) — Monthly | 104,178 | ||
CMBX NA BBB−.10 Index | (35,821) | 281,000 | 77,612 | 11/17/59 | (300 bp) — Monthly | 41,651 |
72 Diversified Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Citigroup Global Markets, Inc. cont. | ||||||||
CMBX NA BBB−.10 Index | $(18,118) | $83,000 | $22,925 | 11/17/59 | (300 bp) — Monthly | $4,765 | ||
CMBX NA BBB−.10 Index | (16,758) | 77,000 | 21,267 | 11/17/59 | (300 bp) — Monthly | 4,471 | ||
CMBX NA BBB−.10 Index | (3,915) | 32,000 | 8,838 | 11/17/59 | (300 bp) — Monthly | 4,908 | ||
CMBX NA BBB−.11 Index | (182,977) | 560,000 | 112,280 | 11/18/54 | (300 bp) — Monthly | (70,977) | ||
CMBX NA BBB−.11 Index | (9,714) | 66,000 | 13,233 | 11/18/54 | (300 bp) — Monthly | 3,486 | ||
CMBX NA BBB−.11 Index | (3,201) | 10,000 | 2,005 | 11/18/54 | (300 bp) — Monthly | (1,201) | ||
CMBX NA BBB−.12 Index | (546,451) | 1,636,000 | 454,972 | 8/17/61 | (300 bp) — Monthly | (92,298) | ||
CMBX NA BBB−.12 Index | (108,797) | 313,000 | 87,045 | 8/17/61 | (300 bp) — Monthly | (21,908) | ||
CMBX NA BBB−.12 Index | (88,549) | 265,000 | 73,697 | 8/17/61 | (300 bp) — Monthly | (14,985) | ||
CMBX NA BBB−.12 Index | (50,318) | 223,000 | 62,016 | 8/17/61 | (300 bp) — Monthly | 11,587 | ||
CMBX NA BBB−.12 Index | (23,376) | 133,000 | 36,987 | 8/17/61 | (300 bp) — Monthly | 13,545 | ||
CMBX NA BBB−.12 Index | (20,216) | 119,000 | 33,094 | 8/17/61 | (300 bp) — Monthly | 12,819 | ||
CMBX NA BBB−.12 Index | (6,402) | 93,000 | 25,863 | 8/17/61 | (300 bp) — Monthly | 19,414 | ||
CMBX NA BBB−.12 Index | (31,987) | 91,000 | 25,307 | 8/17/61 | (300 bp) — Monthly | (6,726) | ||
CMBX NA BBB−.12 Index | (2,760) | 46,000 | 12,793 | 8/17/61 | (300 bp) — Monthly | 10,009 | ||
CMBX NA BBB−.12 Index | (11,274) | 33,000 | 9,177 | 8/17/61 | (300 bp) — Monthly | (2,113) | ||
CMBX NA BBB−.13 Index | (30,154) | 598,000 | 166,304 | 12/16/72 | (300 bp) — Monthly | 135,850 | ||
CMBX NA BBB−.13 Index | (13,627) | 233,000 | 64,797 | 12/16/72 | (300 bp) — Monthly | 51,054 | ||
CMBX NA BBB−.13 Index | (9,929) | 195,000 | 54,230 | 12/16/72 | (300 bp) — Monthly | 44,203 | ||
CMBX NA BBB−.13 Index | (7,775) | 142,000 | 39,490 | 12/16/72 | (300 bp) — Monthly | 31,644 | ||
CMBX NA BBB−.6 Index | (1,220,251) | 2,606,995 | 376,450 | 5/11/63 | (300 bp) — Monthly | (845,105) | ||
CMBX NA BBB−.6 Index | (479,944) | 953,064 | 137,622 | 5/11/63 | (300 bp) — Monthly | (342,798) | ||
CMBX NA BBB−.7 Index | (39,813) | 157,473 | 29,920 | 1/17/47 | (300 bp) — Monthly | (9,971) |
Diversified Income Trust 73 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Citigroup Global Markets, Inc. cont. | ||||||||
CMBX NA BBB−.8 Index | $(490,950) | $3,137,000 | $596,971 | 10/17/57 | (300 bp) — Monthly | $104,453 | ||
CMBX NA BBB−.8 Index | (273,906) | 1,753,000 | 333,596 | 10/17/57 | (300 bp) — Monthly | 58,813 | ||
CMBX NA BBB−.8 Index | (256,603) | 1,617,000 | 307,715 | 10/17/57 | (300 bp) — Monthly | 50,304 | ||
CMBX NA BBB−.8 Index | (195,079) | 1,363,000 | 259,379 | 10/17/57 | (300 bp) — Monthly | 63,618 | ||
CMBX NA BBB−.8 Index | (82,001) | 591,000 | 112,467 | 10/17/57 | (300 bp) — Monthly | 30,171 | ||
CMBX NA BBB−.8 Index | (40,931) | 295,000 | 56,139 | 10/17/57 | (300 bp) — Monthly | 15,060 | ||
CMBX NA BBB−.8 Index | (14,777) | 111,000 | 21,123 | 10/17/57 | (300 bp) — Monthly | 6,291 | ||
CMBX NA BBB−.8 Index | (12,900) | 86,000 | 16,366 | 10/17/57 | (300 bp) — Monthly | 3,423 | ||
CMBX NA BBB−.9 Index | (119,951) | 507,000 | 109,613 | 9/17/58 | (300 bp) — Monthly | (10,591) | ||
Credit Suisse International | ||||||||
CMBX NA BB.10 Index | (467,516) | 3,504,000 | 1,569,091 | 11/17/59 | (500 bp) — Monthly | 1,098,654 | ||
CMBX NA BB.10 Index | (415,378) | 3,493,000 | 1,564,165 | 11/17/59 | (500 bp) — Monthly | 1,145,876 | ||
CMBX NA BB.10 Index | (227,964) | 1,834,000 | 821,265 | 11/17/59 | (500 bp) — Monthly | 591,773 | ||
CMBX NA BBB−.7 Index | (83,041) | 916,287 | 174,095 | 1/17/47 | (300 bp) — Monthly | 90,595 | ||
Goldman Sachs International | ||||||||
CMBX NA A.6 Index | (10,136) | 45,435 | 7,288 | 5/11/63 | (200 bp) — Monthly | (2,864) | ||
CMBX NA A.6 Index | (5,070) | 15,442 | 2,477 | 5/11/63 | (200 bp) — Monthly | (2,598) | ||
CMBX NA A.6 Index | (4,773) | 13,957 | 2,239 | 5/11/63 | (200 bp) — Monthly | (2,539) | ||
CMBX NA A.6 Index | (3,488) | 10,691 | 1,715 | 5/11/63 | (200 bp) — Monthly | (1,776) | ||
CMBX NA A.6 Index | (2,713) | 8,315 | 1,334 | 5/11/63 | (200 bp) — Monthly | (1,382) | ||
CMBX NA A.6 Index | (2,713) | 8,315 | 1,334 | 5/11/63 | (200 bp) — Monthly | (1,382) | ||
CMBX NA A.6 Index | (944) | 3,564 | 572 | 5/11/63 | (200 bp) — Monthly | (373) | ||
CMBX NA A.6 Index | (872) | 2,970 | 476 | 5/11/63 | (200 bp) — Monthly | (397) | ||
CMBX NA A.6 Index | (417) | 1,485 | 238 | 5/11/63 | (200 bp) — Monthly | (179) |
74 Diversified Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Goldman Sachs International cont. | ||||||||
CMBX NA A.6 Index | $(413) | $1,485 | $238 | 5/11/63 | (200 bp) — Monthly | $(175) | ||
CMBX NA A.6 Index | (413) | 1,485 | 238 | 5/11/63 | (200 bp) — Monthly | (175) | ||
CMBX NA A.6 Index | (407) | 1,485 | 238 | 5/11/63 | (200 bp) — Monthly | (169) | ||
CMBX NA A.6 Index | (245) | 891 | 143 | 5/11/63 | (200 bp) — Monthly | (102) | ||
CMBX NA A.6 Index | (96) | 297 | 48 | 5/11/63 | (200 bp) — Monthly | (49) | ||
CMBX NA BB.10 Index | (29,639) | 131,000 | 58,662 | 11/17/59 | (500 bp) — Monthly | 28,914 | ||
CMBX NA BB.9 Index | (78,324) | 492,000 | 194,783 | 9/17/58 | (500 bp) — Monthly | 116,048 | ||
CMBX NA BB.9 Index | (10,382) | 65,000 | 25,734 | 9/17/58 | (500 bp) — Monthly | 15,297 | ||
CMBX NA BB.9 Index | (2,380) | 20,000 | 7,918 | 9/17/58 | (500 bp) — Monthly | 5,521 | ||
CMBX NA BB.9 Index | (505) | 13,000 | 5,147 | 9/17/58 | (500 bp) — Monthly | 4,631 | ||
CMBX NA BBB−.12 Index | (10,715) | 60,000 | 16,686 | 8/17/61 | (300 bp) — Monthly | 5,941 | ||
CMBX NA BBB−.12 Index | (7,408) | 38,000 | 10,568 | 8/17/61 | (300 bp) — Monthly | 3,141 | ||
CMBX NA BBB−.12 Index | (9,118) | 27,000 | 7,509 | 8/17/61 | (300 bp) — Monthly | (1,623) | ||
CMBX NA BBB−.13 Index | (1,212) | 16,000 | 4,450 | 12/16/72 | (300 bp) — Monthly | 3,229 | ||
CMBX NA BBB−.7 Index | (363,442) | 3,834,736 | 728,600 | 1/17/47 | (300 bp) — Monthly | 363,241 | ||
JPMorgan Securities LLC | ||||||||
CMBX NA A.6 Index | (163) | 594 | 95 | 5/11/63 | (200 bp) — Monthly | (68) | ||
CMBX NA A.6 Index | (162) | 594 | 95 | 5/11/63 | (200 bp) — Monthly | (67) | ||
CMBX NA BB.7 Index | (6,148,112) | 12,272,835 | 4,502,903 | 1/17/47 | (500 bp) — Monthly | (1,655,436) | ||
CMBX NA BB.9 Index | (1,074,893) | 2,175,000 | 861,083 | 9/17/58 | (500 bp) — Monthly | (215,623) | ||
CMBX NA BBB−.11 Index | (22,028) | 200,000 | 40,100 | 11/18/54 | (300 bp) — Monthly | 17,972 | ||
CMBX NA BBB−.12 Index | (1,802) | 15,000 | 4,172 | 8/17/61 | (300 bp) — Monthly | 2,362 | ||
CMBX NA BBB−.7 Index | (4,366,588) | 16,093,432 | 3,057,752 | 1/17/47 | (300 bp) — Monthly | (1,316,884) |
Diversified Income Trust 75 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Merrill Lynch International | ||||||||
CMBX NA BB.10 Index | $(181,851) | $3,196,000 | $1,431,169 | 11/17/59 | (500 bp) — Monthly | $1,246,655 | ||
CMBX NA BB.7 Index | (9,888) | 55,715 | 20,442 | 1/17/47 | (500 bp) — Monthly | 10,507 | ||
CMBX NA BBB−.7 Index | (89,077) | 940,514 | 178,698 | 1/17/47 | (300 bp) — Monthly | 89,150 | ||
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA A.6 Index | (10,140) | 30,884 | 4,954 | 5/11/63 | (200 bp) — Monthly | (5,197) | ||
CMBX NA A.6 Index | (3,488) | 10,691 | 1,715 | 5/11/63 | (200 bp) — Monthly | (1,776) | ||
CMBX NA A.6 Index | (1,931) | 5,939 | 953 | 5/11/63 | (200 bp) — Monthly | (981) | ||
CMBX NA A.6 Index | (1,817) | 5,642 | 905 | 5/11/63 | (200 bp) — Monthly | (914) | ||
CMBX NA A.6 Index | (1,370) | 4,751 | 762 | 5/11/63 | (200 bp) — Monthly | (609) | ||
CMBX NA A.6 Index | (1,178) | 3,860 | 619 | 5/11/63 | (200 bp) — Monthly | (560) | ||
CMBX NA A.6 Index | (735) | 2,673 | 429 | 5/11/63 | (200 bp) — Monthly | (307) | ||
CMBX NA A.6 Index | (503) | 1,782 | 286 | 5/11/63 | (200 bp) — Monthly | (217) | ||
CMBX NA BB.10 Index | (422,820) | 1,392,000 | 623,338 | 11/17/59 | (500 bp) — Monthly | 199,358 | ||
CMBX NA BB.10 Index | (108,547) | 1,035,000 | 463,473 | 11/17/59 | (500 bp) — Monthly | 354,063 | ||
CMBX NA BB.10 Index | (37,576) | 160,000 | 71,648 | 11/17/59 | (500 bp) — Monthly | 33,938 | ||
CMBX NA BB.7 Index | (192,058) | 973,538 | 357,191 | 1/17/47 | (500 bp) — Monthly | 164,322 | ||
CMBX NA BB.7 Index | (158,631) | 768,274 | 281,880 | 1/17/47 | (500 bp) — Monthly | 122,609 | ||
CMBX NA BB.7 Index | (131,172) | 685,191 | 251,397 | 1/17/47 | (500 bp) — Monthly | 119,654 | ||
CMBX NA BB.7 Index | (134,942) | 655,867 | 240,638 | 1/17/47 | (500 bp) — Monthly | 105,150 | ||
CMBX NA BB.9 Index | (141,628) | 1,064,000 | 421,238 | 9/17/58 | (500 bp) — Monthly | 278,723 | ||
CMBX NA BB.9 Index | (128,586) | 855,000 | 338,495 | 9/17/58 | (500 bp) — Monthly | 209,196 | ||
CMBX NA BB.9 Index | (2,505) | 71,000 | 28,109 | 9/17/58 | (500 bp) — Monthly | 25,545 | ||
CMBX NA BB.9 Index | (2,339) | 38,000 | 15,044 | 9/17/58 | (500 bp) — Monthly | 12,674 | ||
CMBX NA BB.9 Index | (2,461) | 18,000 | 7,126 | 9/17/58 | (500 bp) — Monthly | 4,650 |
76 Diversified Income Trust |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BB.9 Index | $(547) | $14,000 | $5,543 | 9/17/58 | (500 bp) — Monthly | $4,984 | ||
CMBX NA BB.9 Index | (1,514) | 10,000 | 3,959 | 9/17/58 | (500 bp) — Monthly | 2,437 | ||
CMBX NA BB.9 Index | (431) | 7,000 | 2,771 | 9/17/58 | (500 bp) — Monthly | 2,335 | ||
CMBX NA BB.9 Index | (347) | 7,000 | 2,771 | 9/17/58 | (500 bp) — Monthly | 2,419 | ||
CMBX NA BB.9 Index | (757) | 5,000 | 1,980 | 9/17/58 | (500 bp) — Monthly | 1,219 | ||
CMBX NA BB.9 Index | (54) | 1,000 | 396 | 9/17/58 | (500 bp) — Monthly | 341 | ||
CMBX NA BBB−.10 Index | (83,477) | 385,000 | 106,337 | 11/17/59 | (300 bp) — Monthly | 22,667 | ||
CMBX NA BBB−.10 Index | (49,056) | 291,000 | 80,374 | 11/17/59 | (300 bp) — Monthly | 31,173 | ||
CMBX NA BBB−.10 Index | (26,774) | 217,000 | 59,935 | 11/17/59 | (300 bp) — Monthly | 33,052 | ||
CMBX NA BBB−.10 Index | (16,361) | 129,000 | 35,630 | 11/17/59 | (300 bp) — Monthly | 19,205 | ||
CMBX NA BBB−.10 Index | (16,090) | 66,000 | 18,229 | 11/17/59 | (300 bp) — Monthly | 2,106 | ||
CMBX NA BBB−.10 Index | (7,309) | 61,000 | 16,848 | 11/17/59 | (300 bp) — Monthly | 9,509 | ||
CMBX NA BBB−.10 Index | (5,109) | 59,000 | 16,296 | 11/17/59 | (300 bp) — Monthly | 11,157 | ||
CMBX NA BBB−.10 Index | (2,537) | 20,000 | 5,524 | 11/17/59 | (300 bp) — Monthly | 2,977 | ||
CMBX NA BBB−.10 Index | (2,811) | 13,000 | 3,591 | 11/17/59 | (300 bp) — Monthly | 773 | ||
CMBX NA BBB−.10 Index | (218) | 1,000 | 276 | 11/17/59 | (300 bp) — Monthly | 57 | ||
CMBX NA BBB−.11 Index | (191,080) | 1,214,000 | 243,407 | 11/18/54 | (300 bp) — Monthly | 51,720 | ||
CMBX NA BBB−.11 Index | (6,355) | 112,000 | 22,456 | 11/18/54 | (300 bp) — Monthly | 16,045 | ||
CMBX NA BBB−.12 Index | (1,154) | 28,000 | 7,787 | 8/17/61 | (300 bp) — Monthly | 6,618 | ||
CMBX NA BBB−.12 Index | (4,999) | 22,000 | 6,118 | 8/17/61 | (300 bp) — Monthly | 1,108 | ||
CMBX NA BBB−.7 Index | (187,298) | 2,552,453 | 484,966 | 1/17/47 | (300 bp) — Monthly | 296,392 | ||
CMBX NA BBB−.7 Index | (7,132) | 60,567 | 11,508 | 1/17/47 | (300 bp) — Monthly | 4,345 |
Diversified Income Trust 77 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/23 cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BBB−.8 Index | $(25,906) | $181,000 | $34,444 | 10/17/57 | (300 bp) — Monthly | $8,448 | ||
CMBX NA BBB−.8 Index | (17,812) | 114,000 | 21,694 | 10/17/57 | (300 bp) — Monthly | 3,823 | ||
Upfront premium received | — | Unrealized appreciation | 10,425,948 | |||||
Upfront premium (paid) | (22,324,802) | Unrealized (depreciation) | (4,633,095) | |||||
Total | $(22,324,802) | Total | $5,792,853 | |||||
* 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. | ||||||||
CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/23 | ||||||||
Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
CDX NA HY Series 40 Index | B+/P | $(282,530) | $9,397,000 | $143,022 | 6/20/28 | 500 bp — Quarterly | $(125,151) | |
Total | $(282,530) | $(125,151) | ||||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2023. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications. | ||||||||
78 Diversified Income Trust |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
Valuation inputs | |||
Investments in securities: | Level 1 | Level 2 | Level 3 |
Asset-backed securities | $— | $9,786,678 | $— |
Convertible bonds and notes | 971,158 | 77,239,611 | — |
Corporate bonds and notes | — | 209,071,768 | — |
Foreign government and agency bonds and notes | — | 115,093,162 | — |
Mortgage-backed securities | — | 445,322,102 | — |
Senior loans | — | 21,607,148 | — |
U.S. government and agency mortgage obligations | — | 842,660,694 | — |
U.S. treasury obligations | — | 13,994,787 | — |
Short-term investments | 51,614,000 | 295,011,355 | — |
Totals by level | $52,585,158 | $2,029,787,305 | $— |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Forward currency contracts | $— | $353,730 | $— |
Futures contracts | 547,749 | — | — |
Forward premium swap option contracts | — | 22,991,826 | — |
TBA sale commitments | — | (167,797,638) | — |
Interest rate swap contracts | — | 26,995,284 | — |
Total return swap contracts | — | (2,628,597) | — |
Credit default contracts | — | 5,722,015 | — |
Totals by level | $547,749 | $(114,363,380) | $— |
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.
Diversified Income Trust 79 |
Statement of assets and liabilities 9/30/23
ASSETS | |
Investment in securities, at value (Notes 1 and 9): | |
Unaffiliated issuers (identified cost $2,105,039,797) | $1,951,545,515 |
Affiliated issuers (identified cost $130,826,948) (Note 5) | 130,826,948 |
Cash | 200,443 |
Foreign currency (cost $1,220,025) (Note 1) | 1,217,176 |
Interest and other receivables | 12,197,767 |
Receivable for shares of the fund sold | 639,458 |
Receivable for investments sold | 3,744,433 |
Receivable for sales of TBA securities (Note 1) | 170,150,358 |
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 8,428,534 |
Unrealized appreciation on forward currency contracts (Note 1) | 1,859,868 |
Unrealized appreciation on forward premium swap option contracts (Note 1) | 79,697,810 |
Unrealized appreciation on OTC swap contracts (Note 1) | 52,341,226 |
Premium paid on OTC swap contracts (Note 1) | 22,324,802 |
Deposits with broker (Note 1) | 11,663,229 |
Receivable from broker (Note 1) | 255,750 |
Prepaid assets | 45,233 |
Total assets | 2,447,138,550 |
LIABILITIES | |
Payable for investments purchased | 8,089,062 |
Payable for purchases of TBA securities (Note 1) | 855,954,290 |
Payable for shares of the fund repurchased | 912,405 |
Payable for compensation of Manager (Note 2) | 561,810 |
Payable for custodian fees (Note 2) | 50,705 |
Payable for investor servicing fees (Note 2) | 546,054 |
Payable for Trustee compensation and expenses (Note 2) | 689,727 |
Payable for administrative services (Note 2) | 4,719 |
Payable for distribution fees (Note 2) | 443,887 |
Payable for variation margin on futures contracts (Note 1) | 39,118 |
Payable for variation margin on centrally cleared swap contracts (Note 1) | 10,685,938 |
Unrealized depreciation on forward currency contracts (Note 1) | 1,506,138 |
Unrealized depreciation on forward premium swap option contracts (Note 1) | 56,705,984 |
TBA sale commitments, at value (proceeds receivable $169,870,469) (Note 1) | 167,797,638 |
Unrealized depreciation on OTC swap contracts (Note 1) | 18,937,337 |
Premium received on OTC swap contracts (Note 1) | 19,947,707 |
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 65,608,787 |
Other accrued expenses | 367,767 |
Total liabilities | 1,208,849,073 |
Net assets | $1,238,289,477 |
(Continued on next page)
80 Diversified Income Trust |
Statement of assets and liabilities cont.
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $2,966,262,104 |
Total distributable earnings (Note 1) | (1,727,972,627) |
Total — Representing net assets applicable to capital shares outstanding | $1,238,289,477 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share | |
($545,289,030 divided by 103,297,249 shares) | $5.28 |
Offering price per class A share (100/96.00 of $5.28)* | $5.50 |
Net asset value and offering price per class B share ($1,411,253 divided by 270,833 shares)** | $5.21 |
Net asset value and offering price per class C share ($70,547,321 divided by 13,698,900 shares)** | $5.15 |
Net asset value and redemption price per class M share | |
($52,472,999 divided by 10,225,910 shares) | $5.13 |
Offering price per class M share (100/96.75 of $5.13)† | $5.30 |
Net asset value, offering price and redemption price per class R share | |
($1,642,130 divided by 317,165 shares) | $5.18 |
Net asset value, offering price and redemption price per class R6 share | |
($37,044,621 divided by 7,124,861 shares) | $5.20 |
Net asset value, offering price and redemption price per class Y share | |
($529,882,123 divided by 101,564,314 shares) | $5.22 |
*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.
Diversified Income Trust 81 |
Statement of operations Year ended 9/30/23
INVESTMENT INCOME | |
Interest (net of foreign tax of $2,006) (including interest income of $7,657,215 from investments | |
in affiliated issuers) (Note 5) | $93,545,582 |
Total investment income | 93,545,582 |
EXPENSES | |
Compensation of Manager (Note 2) | 7,788,772 |
Investor servicing fees (Note 2) | 2,383,032 |
Custodian fees (Note 2) | 229,585 |
Trustee compensation and expenses (Note 2) | 65,055 |
Distribution fees (Note 2) | 2,735,955 |
Administrative services (Note 2) | 47,614 |
Other | 818,021 |
Total expenses | 14,068,034 |
Expense reduction (Note 2) | (63,928) |
Net expenses | 14,004,106 |
Net investment income | 79,541,476 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Securities from unaffiliated issuers (Notes 1 and 3) | (95,764,082) |
Net increase from payments by affiliates (Note 2) | 14,420 |
Foreign currency transactions (Note 1) | 9,070 |
Forward currency contracts (Note 1) | (1,362,804) |
Futures contracts (Note 1) | 2,234,557 |
Swap contracts (Note 1) | 19,872,265 |
Written options (Note 1) | (91,241,998) |
Total net realized loss | (166,238,572) |
Change in net unrealized appreciation (depreciation) on: | |
Securities from unaffiliated issuers and TBA sale commitments | 63,061,610 |
Assets and liabilities in foreign currencies | 10,446 |
Forward currency contracts | (2,636,023) |
Futures contracts | (820,650) |
Swap contracts | (30,365,992) |
Written options | 81,536,632 |
Total change in net unrealized appreciation | 110,786,023 |
Net loss on investments | (55,452,549) |
Net increase in net assets resulting from operations | $24,088,927 |
The accompanying notes are an integral part of these financial statements.
82 Diversified Income Trust |
Statement of changes in net assets
DECREASE IN NET ASSETS | Year ended 9/30/23 | Year ended 9/30/22 |
Operations | ||
Net investment income | $79,541,476 | $93,444,563 |
Net realized loss on investments | ||
and foreign currency transactions | (166,238,572) | (353,628,937) |
Change in net unrealized appreciation of investments | ||
and assets and liabilities in foreign currencies | 110,786,023 | 72,442,057 |
Net increase (decrease) in net assets resulting | ||
from operations | 24,088,927 | (187,742,317) |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class A | (41,399,807) | (27,509,438) |
Class B | (145,359) | (170,607) |
Class C | (5,786,126) | (5,029,913) |
Class M | (3,907,623) | (2,652,897) |
Class R | (122,768) | (75,111) |
Class R6 | (2,505,420) | (1,258,413) |
Class Y | (46,818,212) | (39,848,571) |
Decrease from capital share transactions (Note 4) | (276,048,603) | (618,360,225) |
Total decrease in net assets | (352,644,991) | (882,647,492) |
NET ASSETS | ||
Beginning of year | 1,590,934,468 | 2,473,581,960 |
End of year | $1,238,289,477 | $1,590,934,468 |
The accompanying notes are an integral part of these financial statements.
Diversified Income Trust 83 |
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 | From net | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | investment | 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 | income | return of capital | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)d |
Class A | |||||||||||||
September 30, 2023 | $5.59 | .30 | (.23) | .07 | (.38) | — | (.38) | $5.28 | 1.17 | $545,289 | 1.04 | 5.42 | 1,325 |
September 30, 2022 | 6.41 | .29 | (.87) | (.58) | (.24) | — | (.24) | 5.59 | (9.29) | 617,526 | 1.01 | 4.78 | 1,163 |
September 30, 2021 | 6.45 | .25 | (.06) | .19 | (.20) | (.03) | (.23) | 6.41 | 2.83 | 817,914 | .97 | 3.80 | 1,277 |
September 30, 2020 | 6.99 | .25 | (. 52) | (.27) | (.27) | — | (.27) | 6.45 | (3.91) | 890,025 | .99 | 3.78 | 1,110 |
September 30, 2019 | 6.96 | .28 | .06 | .34 | (.31) | — | (.31) | 6.99 | 5.00 | 1,109,333 | .98 | 4.05 | 701 |
Class B | |||||||||||||
September 30, 2023 | $5.52 | .23e | (.20) | .03 | (.34) | — | (.34) | $5.21 | .36 | $1,411 | 1.79 | 4.24e | 1,325 |
September 30, 2022 | 6.33 | .23e | (.85) | (.62) | (.19) | — | (.19) | 5.52 | (9.96) | 3,614 | 1.76 | 3.77e | 1,163 |
September 30, 2021 | 6.37 | .20 | (.06) | .14 | (.16) | (.02) | (.18) | 6.33 | 2.09 | 7,974 | 1.72 | 2.96 | 1,277 |
September 30, 2020 | 6.91 | .20 | (. 52) | (.32) | (.22) | — | (.22) | 6.37 | (4.67) | 12,991 | 1.74 | 2.99 | 1,110 |
September 30, 2019 | 6.88 | .23 | .05 | .28 | (.25) | — | (.25) | 6.91 | 4.26 | 19,923 | 1.73 | 3.31 | 701 |
Class C | |||||||||||||
September 30, 2023 | $5.46 | .25 | (.22) | .03 | (.34) | — | (.34) | $5.15 | .45 | $70,547 | 1.79 | 4.66 | 1,325 |
September 30, 2022 | 6.27 | .23 | (.85) | (.62) | (.19) | — | (.19) | 5.46 | (10.04) | 114,682 | 1.76 | 3.97 | 1,163 |
September 30, 2021 | 6.31 | .20 | (.06) | .14 | (.16) | (.02) | (.18) | 6.27 | 2.13 | 218,082 | 1.72 | 3.05 | 1,277 |
September 30, 2020 | 6.85 | .20 | (. 52) | (.32) | (.22) | — | (.22) | 6.31 | (4.70) | 325,092 | 1.74 | 3.04 | 1,110 |
September 30, 2019 | 6.82 | .22 | .07 | .29 | (.26) | — | (.26) | 6.85 | 4.31 | 484,676 | 1.73 | 3.33 | 701 |
Class M | |||||||||||||
September 30, 2023 | $5.45 | .28 | (.23) | .05 | (.37) | — | (.37) | $5.13 | .79 | $52,473 | 1.29 | 5.11 | 1,325 |
September 30, 2022 | 6.25 | .26 | (.83) | (.57) | (.23) | — | (.23) | 5.45 | (9.39) | 59,808 | 1.26 | 4.48 | 1,163 |
September 30, 2021 | 6.30 | .23 | (.06) | .17 | (.19) | (.03) | (.22) | 6.25 | 2.53 | 78,270 | 1.22 | 3.51 | 1,277 |
September 30, 2020 | 6.84 | .23 | (. 51) | (.28) | (.26) | — | (.26) | 6.30 | (4.19) | 86,104 | 1.24 | 3.49 | 1,110 |
September 30, 2019 | 6.82 | .25 | .06 | .31 | (.29) | — | (.29) | 6.84 | 4.75 | 111,949 | 1.23 | 3.76 | 701 |
Class R | |||||||||||||
September 30, 2023 | $5.49 | .28 | (.22) | .06 | (.37) | — | (.37) | $5.18 | .97 | $1,642 | 1.29 | 5.16 | 1,325 |
September 30, 2022 | 6.31 | .27 | (.86) | (.59) | (.23) | — | (.23) | 5.49 | (9.62) | 1,860 | 1.26 | 4.56 | 1,163 |
September 30, 2021 | 6.35 | .23 | (.05) | .18 | (.19) | (.03) | (.22) | 6.31 | 2.67 | 2,120 | 1.22 | 3.56 | 1,277 |
September 30, 2020 | 6.89 | .23 | (. 52) | (.29) | (.25) | — | (.25) | 6.35 | (4.18) | 2,120 | 1.24 | 3.52 | 1,110 |
September 30, 2019 | 6.87 | .25 | .06 | .31 | (.29) | — | (.29) | 6.89 | 4.70 | 2,423 | 1.23 | 3.74 | 701 |
Class R6 | |||||||||||||
September 30, 2023 | $5.52 | .32 | (.23) | .09 | (.41) | — | (.41) | $5.20 | 1.44 | $37,045 | .67 | 5.88 | 1,325 |
September 30, 2022 | 6.33 | .31 | (.86) | (.55) | (.26) | — | (.26) | 5.52 | (8.88) | 25,839 | .66 | 5.23 | 1,163 |
September 30, 2021 | 6.38 | .27 | (.07) | .20 | (.22) | (.03) | (.25) | 6.33 | 3.07 | 24,944 | .63 | 4.16 | 1,277 |
September 30, 2020 | 6.92 | .27 | (. 52) | (.25) | (.29) | — | (.29) | 6.38 | (3.60) | 36,162 | .64 | 4.14 | 1,110 |
September 30, 2019 | 6.89 | .30 | .06 | .36 | (.33) | — | (.33) | 6.92 | 5.42 | 17,243 | .64 | 4.38 | 701 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
84 Diversified Income Trust | Diversified Income Trust 85 |
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 | From net | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | investment | 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 | income | return of capital | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)d |
Class Y | |||||||||||||
September 30, 2023 | $5.53 | .32 | (.24) | .08 | (.39) | — | (.39) | $5.22 | 1.41 | $529,882 | .79 | 5.77 | 1,325 |
September 30, 2022 | 6.34 | .30 | (.86) | (.56) | (.25) | — | (.25) | 5.53 | (9.04) | 767,605 | .76 | 5.06 | 1,163 |
September 30, 2021 | 6.38 | .27 | (.07) | .20 | (.21) | (.03) | (.24) | 6.34 | 3.08 | 1,324,278 | .72 | 4.10 | 1,277 |
September 30, 2020 | 6.91 | .27 | (. 52) | (.25) | (.28) | — | (.28) | 6.38 | (3.60) | 1,674,889 | .74 | 4.07 | 1,110 |
September 30, 2019 | 6.88 | .29 | .06 | .35 | (.32) | — | (.32) | 6.91 | 5.30 | 2,529,128 | .73 | 4.33 | 701 |
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 The net investment income ratio and per share amount shown for the period ending may not correspond with the expected class differences for the period due to the timing of subscriptions into the class or redemptions out of the class.
The accompanying notes are an integral part of these financial statements.
86 Diversified Income Trust | Diversified Income Trust 87 |
Notes to financial statements 9/30/23
Unless otherwise noted, the “reporting period” represents the period from October 1, 2022 through September 30, 2023. The following table defines commonly used references within the Notes to financial statements:
References to | Represent |
Putnam Management | Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned |
subsidiary of Putnam Investments, LLC | |
State Street | State Street Bank and Trust Company |
JPMorgan | JPMorgan Chase Bank, N.A. |
the SEC | the Securities and Exchange Commission |
OTC | over-the-counter |
PIL | Putnam Investments Limited, an affiliate of Putnam Management |
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 related derivative instruments, and other obligations of companies and governments worldwide, including bank loans, that 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). The fund currently has significant investment exposure to residential and commercial mortgage-backed securities. Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses to a significant extent derivatives, including credit default swaps, interest rate swaps, total return swaps, to-be-announced (TBA) commitments, futures, options and swaptions on mortgage-backed securities and indices, and certain foreign currency transactions and credit default, total return and interest rate swap contracts for both hedging and non-hedging purposes, including to obtain or adjust exposure to mortgage-backed investments.
The fund offers the following share classes. The expenses for each class of shares may differ based on the distribution and investor servicing fees of each class, which are identified in Note 2.
Share class | Sales charge | Contingent deferred sales charge | Conversion feature |
1.00% on certain redemptions of shares | |||
Class A | Up to 4.00% | bought with no initial sales charge | None |
Converts to class A shares | |||
Class B* | None | 5.00% phased out over six years | after 8 years |
Converts to class A shares | |||
Class C | None | 1.00% eliminated after one year | after 8 years |
Class M† | Up to 3.25% | None | None |
Class R† | None | None | None |
Class R6† | None | None | None |
Class Y† | None | None | None |
* Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment.
† Not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and
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these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted by a shareholder against or on behalf of the fund, 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.
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.
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To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a–5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
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, if any, is recorded on the accrual basis. Amortization and accretion of premiums and discounts on debt securities, if any, is recorded on the accrual basis.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from
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changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
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.
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An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
At close of the reporting period, the fund has deposited cash valued at $10,855,688 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
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In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
At close of the reporting period, the fund has deposited cash valued at $807,541 in a segregated account to cover margin requirements on open centrally cleared credit default contracts.
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.
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Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral pledged to the fund which cannot be sold or repledged totaled $428,289 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $5,016,236 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $5,605,488 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 $320 million syndicated unsecured committed line of credit, provided by State Street ($160 million) and JPMorgan ($160 million), and a $235.5 million unsecured uncommitted line of credit, provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds and a $75,000 fee has been paid by the participating funds to State Street as agent of the syndicated committed line of credit. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
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The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At September 30, 2023, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
Loss carryover | ||
Short-term | Long-term | Total |
$896,115,658 | $488,006,921 | $1,384,122,579 |
Distributions to shareholders Distributions to shareholders from net investment income, if any, 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. These differences include temporary and/or permanent differences from foreign currency gains and losses, from income on swap contracts and from interest-only securities. 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. At the close of the reporting period, the fund reclassified $549,188 to increase undistributed net investment income, $81,490 to decrease paid-in capital and $467,698 to increase accumulated net realized loss.
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
Unrealized appreciation | $295,105,492 |
Unrealized depreciation | (718,416,610) |
Net unrealized depreciation | (423,311,118) |
Undistributed ordinary income | 80,716,112 |
Capital loss carryforward | (1,384,122,579) |
Cost for federal income tax purposes | $2,391,867,950 |
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. |
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For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.541% of the fund’s average net assets.
Putnam Management has contractually agreed, through January 30, 2025, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
PIL 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. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.20% of the average net assets of the portion of the fund managed by PIL.
Putnam Management voluntarily reimbursed the fund $14,420 for trading errors which occurred during the reporting period. The effect of the losses incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.
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%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
Class A | $1,013,573 | Class R | 3,050 | |
Class B | 3,956 | Class R6 | 16,972 | |
Class C | 153,575 | Class Y | 1,095,902 | |
Class M | 96,004 | Total | $2,383,032 |
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 $63,928 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $1,149, 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.
96 Diversified Income Trust |
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
Maximum % | Approved % | Amount | |
Class A | 0.35% | 0.25% | $1,504,743 |
Class B | 1.00% | 1.00% | 23,571 |
Class C | 1.00% | 1.00% | 913,444 |
Class M | 1.00% | 0.50% | 285,143 |
Class R | 1.00% | 0.50% | 9,054 |
Total | $2,735,955 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $22,758 and no monies from the sale of class A and class M shares, respectively, and received $294 and $40 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 $39 on class A redemptions.
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) | $24,726,725,544 | $23 594,430,091 |
U.S. government securities (Long-term) | — | — |
Total | $24,726,725,544 | $23,594,430,091 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 15,054,798 | $84,533,356 | 13,190,640 | $79,686,427 |
Shares issued in connection with | ||||
reinvestment of distributions | 6,785,041 | 37,627,687 | 4,140,396 | 24,877,407 |
21,839,839 | 122,161,043 | 17,331,036 | 104,563,834 | |
Shares repurchased | (29,003,751) | (161,313,448) | (34,443,062) | (209,188,297) |
Net decrease | (7,163,912) | $(39,152,405) | (17,112,026) | $(104,624,463) |
Diversified Income Trust 97 |
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class B | Shares | Amount | Shares | Amount |
Shares sold | 16,413 | $91,079 | 9,117 | $54,597 |
Shares issued in connection with | ||||
reinvestment of distributions | 25,920 | 142,526 | 27,353 | 162,901 |
42,333 | 233,605 | 36,470 | 217,498 | |
Shares repurchased | (426,338) | (2,354,040) | (641,757) | (3,854,520) |
Net decrease | (384,005) | $(2,120,435) | (605,287) | $(3,637,022) |
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class C | Shares | Amount | Shares | Amount |
Shares sold | 621,058 | $3,393,826 | 744,597 | $4,431,252 |
Shares issued in connection with | ||||
reinvestment of distributions | 959,993 | 5,208,579 | 771,774 | 4,545,649 |
1,581,051 | 8,602,405 | 1,516,371 | 8,976,901 | |
Shares repurchased | (8,871,458) | (48,311,228) | (15,314,559) | (91,107,398) |
Net decrease | (7,290,407) | $(39,708,823) | (13,798,188) | $(82,130,497) |
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class M | Shares | Amount | Shares | Amount |
Shares sold | — | $— | — | $— |
Shares issued in connection with | ||||
reinvestment of distributions | — | — | — | — |
— | — | — | — | |
Shares repurchased | (755,790) | (4,080,685) | (1,531,890) | (8,966,080) |
Net decrease | (755,790) | $(4,080,685) | (1,531,890) | $(8,966,080) |
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class R | Shares | Amount | Shares | Amount |
Shares sold | 20,252 | $110,334 | 20,606 | $122,551 |
Shares issued in connection with | ||||
reinvestment of distributions | 21,931 | 119,378 | 12,371 | 73,007 |
42,183 | 229,712 | 32,977 | 195,558 | |
Shares repurchased | (63,742) | (345,641) | (30,420) | (182,293) |
Net increase (decrease) | (21,559) | $(115,929) | 2,557 | $13,265 |
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class R6 | Shares | Amount | Shares | Amount |
Shares sold | 4,343,908 | $23,798,839 | 2,965,288 | $18,039,717 |
Shares issued in connection with | ||||
reinvestment of distributions | 275,188 | 1,501,259 | 163,900 | 971,483 |
4,619,096 | 25,300,098 | 3,129,188 | 19,011,200 | |
Shares repurchased | (2,178,230) | (11,892,816) | (2,383,571) | (14,255,753) |
Net increase | 2,440,866 | $13,407,282 | 745,617 | $4,755,447 |
98 Diversified Income Trust |
YEAR ENDED 9/30/23 | YEAR ENDED 9/30/22 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 26,211,279 | $144,706,907 | 48,881,906 | $292,320,580 |
Shares issued in connection with | ||||
reinvestment of distributions | 7,247,270 | 39,749,231 | 5,519,823 | 32,842,999 |
33,458,549 | 184,456,138 | 54,401,729 | 325,163,579 | |
Shares repurchased | (70,754,563) | (388,733,746) | (124,448,434) | (748,934,454) |
Net decrease | (37,296,014) | $(204,277,608) | (70,046,705) | $(423,770,875) |
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
Shares | |||||
outstanding | |||||
and fair | |||||
Fair value as | Purchase | Sale | Investment | value as | |
Name of affiliate | of 9/30/22 | cost | proceeds | income | of 9/30/23 |
Short-term investments | |||||
Putnam Short Term | |||||
Investment Fund** | $125,491,507 | $758,160,477 | $752,825,036 | $7,657,215 | $130,826,948 |
Total Short-term | |||||
investments | $125,491,507 | $758,160,477 | $752,825,036 | $7,657,215 | $130,826,948 |
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and ceased publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as
Diversified Income Trust 99 |
hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.
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) | $11,500,000 |
Purchased swap option contracts (contract amount) | $3,493,600,000 |
Written TBA commitment option contracts (contract amount) | $11,500,000 |
Written swap option contracts (contract amount) | $3,092,600,000 |
Futures contracts (number of contracts) | 200 |
Forward currency contracts (contract amount) | $177,900,000 |
OTC interest rate swap contracts (notional) | $1,659,700,000 |
Centrally cleared interest rate swap contracts (notional) | $12,736,800,000 |
OTC total return swap contracts (notional) | $27,200,000 |
OTC credit default contracts (notional) | $206,600,000 |
Centrally cleared credit default contracts (notional) | $8,500,000 |
Warrants (number of warrants) | 100 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period | ||||
ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
Derivatives not | ||||
accounted for as | Statement of | Statement of | ||
hedging instruments | assets and | assets and | ||
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
Receivables, Net | ||||
assets — Unrealized | ||||
Credit contracts | appreciation | $28,275,034* | Payables | $25,181,616 |
Foreign exchange | ||||
contracts | Receivables | 1,859,868 | Payables | 1,506,138 |
Receivables, Net | ||||
assets — Unrealized | Payables, Net assets — | |||
Interest rate contracts | appreciation | 250,835,650* | Unrealized depreciation | 200,300,791* |
Total | $280,970,552 | $226,988,545 |
* 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.
100 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 for as | ||||||
hedging | Forward | |||||
instruments under | currency | |||||
ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $— | $(6,053,400) | $(6,053,400) |
Foreign exchange | ||||||
contracts | — | — | — | (1,362,804) | — | $(1,362,804) |
Equity contracts | (18) | — | — | — | — | $(18) |
Interest rate | ||||||
contracts | — | (75,191,585) | 2,234,557 | — | 25,925,665 | $(47,031,363) |
Total | $(18) | $(75,191,585) | $2,234,557 | $(1,362,804) | $19,872,265 | $(54,447,585) |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | ||||||
on investments | ||||||
Derivatives not | ||||||
accounted for as | ||||||
hedging | Forward | |||||
instruments under | currency | |||||
ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $— | $9,077,991 | $9,077,991 |
Foreign exchange | ||||||
contracts | — | — | — | (2,636,023) | — | $(2,636,023) |
Equity contracts | 7 | — | — | — | — | $7 |
Interest rate | ||||||
contracts | — | 73,858,931 | (820,650) | — | (39,443,983) | $33,594,298 |
Total | $7 | $73,858,931 | $(820,650) | $(2,636,023) | $(30,365,992) | $40,036,273 |
Diversified Income Trust 101 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Mizuho Capital Markets LLC | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto-Dominion Bank | UBS AG | WestPac Banking Corp. | Total | |
Assets: | |||||||||||||||||||||
OTC Interest rate | |||||||||||||||||||||
swap contracts*# | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $32,904,129 | $— | $— | $— | $— | $— | $32,904,129 |
Centrally cleared | |||||||||||||||||||||
interest rate swap | |||||||||||||||||||||
contracts§ | — | — | 8,428,534 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 8,428,534 |
OTC Total return | |||||||||||||||||||||
swap contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection | |||||||||||||||||||||
purchased*# | — | — | — | — | — | 8,553,935 | 4,120,797 | — | 1,076,005 | — | — | 8,446,004 | 1,627,128 | — | 4,293,786 | — | — | — | — | — | 28,117,655 |
Centrally cleared | |||||||||||||||||||||
credit default | |||||||||||||||||||||
contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Forward currency | |||||||||||||||||||||
contracts# | 12,865 | 29,158 | — | — | 162,366 | — | — | — | 67,920 | 137,958 | 74,313 | — | — | — | 255,582 | 70 | 823,480 | 128,271 | 38,989 | 128,896 | 1,859,868 |
Forward premium | |||||||||||||||||||||
swap option | |||||||||||||||||||||
contracts# | 30,808,053 | — | — | — | 10,128,359 | — | — | 1,088,681 | 723,470 | — | 18,762,153 | — | — | 200,035 | 6,650,391 | — | — | 376,520 | 10,960,148 | — | 79,697,810 |
Total Assets | $30,820,918 | $29,158 | $8,428,534 | $— | $10,290,725 | $8,553,935 | $4,120,797 | $1,088,681 | $1,867,395 | $137,958 | $18,836,466 | $8,446,004 | $1,627,128 | $200,035 | $44,103,888 | $70 | $823,480 | $504,791 | $10,999,137 | $128,896 | $151,007,996 |
Liabilities: | |||||||||||||||||||||
OTC Interest rate | |||||||||||||||||||||
swap contracts*# | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $59,184 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $59,184 |
Centrally cleared | |||||||||||||||||||||
interest rate swap | |||||||||||||||||||||
contracts§ | — | — | 10,656,395 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 10,656,395 |
OTC Total return | |||||||||||||||||||||
swap contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,628,597 | — | — | — | — | — | 2,628,597 |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection sold*# | 512,293 | — | — | — | — | 10,294,132 | 4,955,097 | — | 2,518,303 | — | — | 619,091 | 339,508 | — | 3,314,595 | — | — | — | — | — | 22,553,019 |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection | |||||||||||||||||||||
purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
102 Diversified Income Trust | Diversified Income Trust 103 |
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Mizuho Capital Markets LLC | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto-Dominion Bank | UBS AG | WestPac Banking Corp. | Total | |
Centrally cleared | |||||||||||||||||||||
credit default | |||||||||||||||||||||
contracts§ | $— | $— | $29,543 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $29,543 |
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | 39,118 | — | — | — | — | — | — | — | — | 39,118 |
Forward currency | |||||||||||||||||||||
contracts# | 105,426 | 9,571 | — | — | 507 | — | — | — | 214,304 | 187,283 | 2,972 | — | — | — | 274,955 | 154,980 | 54,729 | 36,076 | 465,335 | — | 1,506,138 |
Forward premium | |||||||||||||||||||||
swap option | |||||||||||||||||||||
contracts# | 18,717,952 | — | — | — | 7,805,321 | — | — | 1,176,692 | 486,953 | — | 19,562,583 | — | — | 209,090 | 4,431,895 | — | — | 95,976 | 4,219,522 | — | 56,705,984 |
Total Liabilities | $19,335,671 | $9,571 | 10,685,938 | $— | $7,805,828 | $10,294,132 | $4,955,097 | $1,176,692 | $3,219,560 | $187,283 | $19,624,739 | $658,209 | $339,508 | $209,090 | $10,650,042 | $154,980 | $54,729 | $132,052 | $4,684,857 | $— | $94,177,978 |
Total Financial | |||||||||||||||||||||
and Derivative | |||||||||||||||||||||
Net Assets | $11,485,247 | $19,587 | $(2,257,404) | $— | $2,484,897 | $(1,740,197) | $(834,300) | $(88,011) | $(1,352,165) | $(49,325) | $(788,273) | $7,787,795 | $1,287,620 | $(9,055) | $33,453,846 | $(154,910) | $768,751 | $372,739 | $6,314,280 | $128,896 | $56,830,018 |
Total collateral | |||||||||||||||||||||
received | |||||||||||||||||||||
(pledged)†## | $11,485,247 | $— | $— | $— | $1,966,000 | $(1,740,197) | $(834,300) | $(88,011) | $(1,268,904) | $— | $(788,273) | $7,787,795 | $1,287,620 | $— | $33,453,846 | $(111,552) | $751,213 | $372,739 | $6,242,289 | $— | |
Net amount | $— | $19,587 | $(2,257,404) | $— | $518,897 | $— | $— | $— | $(83,261) | $(49,325) | $— | $— | $— | $(9,055) | $— | $(43,358) | $17,538 | $— | $71,991 | $128,896 | |
Controlled | |||||||||||||||||||||
collateral received | |||||||||||||||||||||
(including TBA | |||||||||||||||||||||
commitments)** | $11,950,745 | $— | $— | $847,000 | $1,966,000 | $— | $— | $— | $— | $— | $— | $7,959,000 | $1,292,829 | $— | $34,638,000 | $— | $751,213 | $390,000 | $5,814,000 | $— | $65,608,787 |
Uncontrolled | |||||||||||||||||||||
collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $428,289 | $— | $428,289 |
Collateral | |||||||||||||||||||||
(pledged) | |||||||||||||||||||||
(including TBA | |||||||||||||||||||||
commitments)** | $— | $— | $— | $— | $— | $(4,683,192) | $(869,508) | $(161,352) | $(1,268,904) | $— | $(1,345,596) | $— | $— | $— | $— | $(111,552) | $— | $— | $— | $— | $(8,440,104) |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $499,992 and $11,663,229, respectively.
104 Diversified Income Trust | Diversified Income Trust 105 |
Note 10: Of special note
On May 31, 2023, Franklin Resources, Inc. (“Franklin Resources”) and Great-West Lifeco Inc., the parent company of Putnam U.S. Holdings I, LLC (“Putnam Holdings”), announced that they have entered into a definitive agreement for a subsidiary of Franklin Resources to acquire Putnam Holdings in a stock and cash transaction.
As part of this transaction, Putnam Management, a wholly-owned subsidiary of Putnam Holdings and investment manager to the Putnam family of funds (the “Putnam Funds”), would become an indirect wholly-owned subsidiary of Franklin Resources.
The transaction is subject to customary closing conditions, including receipt of applicable regulatory approvals. Subject to such approvals and the satisfaction of these conditions, the transaction is currently expected to be consummated in the fourth quarter of 2023.
Under the Investment Company Act of 1940, as amended, consummation of the transaction will result in the automatic termination of the investment management contract between each Putnam Fund and Putnam Management and any related sub-management and sub-advisory contracts, where applicable. In anticipation of this automatic termination, on June 23, 2023, the Board of Trustees of the Putnam Funds approved a new investment management contract between each Putnam Fund and Putnam Management (and new sub-management and sub-advisory contracts, if applicable), which will be presented to the shareholders of each Putnam Fund for their approval at shareholder meetings in October 2023 or at any adjourned sessions of such meetings. Proxy solicitation materials related to these meetings have been made available to shareholders that held shares of the fund at the close of business on July 24, 2023.
106 Diversified Income Trust |
Federal tax information (Unaudited)
For the reporting period, pursuant to §871(k) of the Internal Revenue Code, the fund hereby designates $71,312,861 of distributions paid as qualifying to be taxed as interest-related dividends, and no monies to be taxed as short-term capital gain dividends for nonresident alien shareholders.
The Form 1099 that will be mailed to you in January 2024 will show the tax status of all distributions paid to your account in calendar 2023.
Diversified Income Trust 107 |
108 Diversified Income Trust |
* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is 100 Federal Street, Boston, MA 02110.
As of September 30, 2023, there were 89 mutual funds, 4 closed-end funds, and 12 exchange-traded funds in the Putnam funds complex. Each Trustee serves as Trustee of all funds in the Putnam funds complex.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
Diversified Income Trust 109 |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
James F. Clark (Born 1974) | Alan G. McCormack (Born 1964) |
Vice President and Chief Compliance Officer | Vice President and Derivatives Risk Manager |
Since 2016 | Since 2022 |
Chief Compliance Officer and Chief Risk Officer, | Head of Quantitative Equities and Risk, |
Putnam Investments, and Chief Compliance Officer, | Putnam Investments |
Putnam Management | |
Denere P. Poulack (Born 1968) | |
Michael J. Higgins (Born 1976) | Assistant Vice President, Assistant Clerk, |
Vice President, Treasurer, and Clerk | and Assistant Treasurer |
Since 2010 | Since 2004 |
Jonathan S. Horwitz (Born 1955) | Janet C. Smith (Born 1965) |
Executive Vice President, Principal Executive Officer, | Vice President, Principal Financial Officer, Principal |
and Compliance Liaison | Accounting Officer, and Assistant Treasurer |
Since 2004 | Since 2007 |
Head of Fund Administration Services, | |
Richard T. Kircher (Born 1962) | Putnam Investments and Putnam Management |
Vice President and BSA Compliance Officer | |
Since 2019 | Stephen J. Tate (Born 1974) |
Assistant Director, Operational Compliance, Putnam | Vice President and Chief Legal Officer |
Investments and Putnam Retail Management | Since 2021 |
General Counsel, Putnam Investments, | |
Martin Lemaire (Born 1984) | Putnam Management, and Putnam Retail Management |
Vice President and Derivatives Risk Manager | |
Since 2022 | Mark C. Trenchard (Born 1962) |
Risk Manager and Risk Analyst, Putnam Investments | Vice President |
Since 2002 | |
Susan G. Malloy (Born 1957) | Director of Operational Compliance, Putnam |
Vice President and Assistant Treasurer | Investments and Putnam Retail Management |
Since 2007 | |
Head of Accounting and Middle Office Services, | |
Putnam Investments and Putnam Management |
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.
110 Diversified Income Trust |
Fund information
Founded over 85 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, and asset allocation categories.
Investment Manager | Trustees | Richard T. Kircher |
Putnam Investment | Kenneth R. Leibler, Chair | Vice President and |
Management, LLC | Barbara M. Baumann, Vice Chair | BSA Compliance Officer |
100 Federal Street | Liaquat Ahamed | |
Boston, MA 02110 | Katinka Domotorffy | Martin Lemaire |
Catharine Bond Hill | Vice President and | |
Investment Sub-Advisor | Jennifer Williams Murphy | Derivatives Risk Manager |
Putnam Investments Limited | Marie Pillai | |
16 St James’s Street | George Putnam III | Susan G. Malloy |
London, England SW1A 1ER | Robert L. Reynolds | Vice President and |
Manoj P. Singh | Assistant Treasurer | |
Marketing Services | Mona K. Sutphen | |
Putnam Retail Management | Alan G. McCormack | |
Limited Partnership | Officers | Vice President and |
100 Federal Street | Robert L. Reynolds | Derivatives Risk Manager |
Boston, MA 02110 | President | |
Denere P. Poulack | ||
Custodian | James F. Clark | Assistant Vice President, |
State Street Bank | Vice President and | Assistant Clerk, and |
and Trust Company | Chief Compliance Officer | Assistant Treasurer |
Legal Counsel | Michael J. Higgins | Janet C. Smith |
Ropes & Gray LLP | Vice President, Treasurer, | Vice President, |
and Clerk | Principal Financial Officer, | |
Independent Registered | Principal Accounting Officer, | |
Public Accounting Firm | Jonathan S. Horwitz | and Assistant Treasurer |
PricewaterhouseCoopers LLP | Executive Vice President, | |
Principal Executive Officer, | Stephen J. Tate | |
and Compliance Liaison | Vice President and | |
Chief Legal Officer | ||
Mark C. Trenchard | ||
Vice President |
This report is for the information of shareholders of Putnam 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.
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Item 2. Code of Ethics: |
(a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
(c) In January 2023, the Code of Ethics of Putnam Investments and Code of Ethics of Putnam Funds were amended. The key changes to the Putnam Investments Code of Ethics are as follows: (i) Prohibition on investments in a single stock ETFs and (ii) Revision to the 7-day blackout rule for Analysts. The key change to the Putnam Funds Code of Ethics was that the provisions of the Code of Ethics for employees of PanAgora Asset Management, inc. and any of its subsidiaries are excluded from the Putnam Funds’ Code of Ethics. |
Item 3. Audit Committee Financial Expert: |
The Funds’ Audit, Compliance and Risk Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each member of the Audit, Compliance and Risk Committee also possesses a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualifies him or her for service on the Committee. In addition, the Trustees have determined that each of Dr. Hill, Ms. Murphy and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education.The SEC has stated, and the funds’ amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Risk Committee and the Board of Trustees in the absence of such designation or identification. |
Item 4. Principal Accountant Fees and Services: |
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor: |
Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
September 30, 2023 | $225,386 | $ — | $16,943 | $ — | |
September 30, 2022 | $220,803 | $ — | $14,993 | $ — |
For the fiscal years ended September 30, 2023 and September 30, 2022, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $235,575 and $313,276 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
Pre-Approval Policies of the Audit, Compliance and Risk Committee. The Audit, Compliance and Risk Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
The Audit, Compliance and Risk Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2–01 of Regulation S-X. |
Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
September 30, 2023 | $ — | $220,632 | $ — | $ — | |
September 30, 2022 | $ — | $298,283 | $ — | $ — |
Item 5. Audit Committee of Listed Registrants |
Not applicable |
Item 6. Schedule of Investments: |
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. Controls and Procedures: |
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(b) Changes in internal control over financial reporting: Not applicable |
Item 12. Disclosures of Securities Lending Activities for Closed-End Management Investment Companies: |
Not Applicable |
Item 13. Exhibits: |
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is 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: November 27, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: November 27, 2023 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: November 27, 2023 |