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Item 1. Report to Stockholders: | |
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| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |
Putnam
Premier Income
Trust
Semiannual report
1 | 31 | 23
Message from the Trustees
March 16, 2023
Dear Fellow Shareholder:
Stock and bond markets rose in early 2023 as inflation continued to ease and the U.S. Federal Reserve moderated its interest-rate increases. Investors showed optimism that the Fed might slow the economy and reduce inflation without causing a recession. Still, caution may be warranted. While the Fed has reduced the size of its interest-rate increases, it also signaled that more rate hikes are likely if concerns persist about a resurgence in inflation.
Putnam’s investment teams believe a recession is possible this year or next. However, they also are finding what they believe to be attractive investment opportunities in a range of asset classes, including stocks and taxable and tax-exempt bonds. As active researchers, our teams analyze interest-rate and credit risks as they seek out investments for your fund. They also consider how stocks and bonds are likely to perform in uncertain economic conditions.
Thank you for investing with Putnam.
When Putnam Premier Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative.
In the more than 30 years since then, the fixed income landscape has undergone a dramatic transformation, but the spirit of ingenuity that helped launch the fund is still with it today.
A veteran portfolio management team
The fund’s managers strive to build a well-diversified portfolio that carefully balances risk and return, targeting opportunities in interest rates, credit, mortgages, and currencies from across the full spectrum of the global bond markets.
*Mike Atkin will retire as a Portfolio Manager of the fund effective March 31, 2023.
Allocations are shown as a percentage of the fund’s net assets as of 1/31/23. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.
Allocations may not total 100% because the tables include the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value (NAV) will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 11–12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.
Returns for periods of less than one year are not annualized.
All Bloomberg indices are provided by Bloomberg Index Services Limited.
Lipper peer group median is provided by Lipper, a Refinitiv company.
* The fund’s primary 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 six months ended 1/31/23. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.
All Bloomberg indices are provided by Bloomberg Index Services Limited.
Please describe investing conditions during the reporting period.
Macro-driven headwinds, including high inflation, geopolitical impacts on energy supplies, and central bank monetary tightening challenged bond markets over the period. At the start of the period, the U.S. Federal Reserve and other world banks aggressively raised interest rates to combat stubborn inflation. Higher borrowing rates curtailed business spending, and U.S. home prices, which had soared during the pandemic, began to moderate. Recessionary concerns fueled investor uncertainty.
In November 2022, the pace of inflation, as measured by the Consumer Price Index [CPI], showed signs of easing. After making four consecutive interest-rate hikes of 0.75%, the Fed pared back its rate hike to 0.50% in December 2022. Investor optimism rose as the Fed indicated it would likely scale back its interest-rate hikes in calendar 2023. Still, inflation remained high. Shortly after the close of the period, the Fed raised rates by 0.25%. As of February 1, 2023, the federal funds rate reached 4.50%–4.75%, its highest level since October 2007.
Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/23. 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.
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. Data in the chart reflect a new calculation methodology put into effect on 6/30/22.
Credit spreads widened in the first half of the period and began to tighten as risk sentiment improved. [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 rose from 2.67% at the start of the period to 3.52% at period-end.
How did the fund perform for the six-month reporting period?
Putnam Premier Income Trust returned 0.20%, underperforming its primary benchmark, the ICE BofA U.S. Treasury Bill Index, which returned 1.54%, and the median return of its Lipper peer group, which was 2.00%. The fund outperformed its secondary benchmark, the Bloomberg Government Bond Index, which returned –2.75%.
What strategies helped performance during the reporting period?
Prepayment strategies were most additive to fund performance. The fund’s long mortgage basis positioning [a strategy that capitalizes on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages] benefited returns when the spread between mortgage rates and Treasuries tightened in November 2022. Higher mortgage rates and weaker home sales reduced borrowers’ ability to prepay their loans, which also provided a tailwind for our agency interest-only holdings.
Corporate credit strategies were another top contributor, led by our high-yield bond holdings. Optimism over global growth and an improved inflation outlook were supportive of the high-yield corporate credit sector. Over the period, high-yield corporate spreads, as measured by the JPMorgan Developed High Yield Index, tightened by 70 basis points [bps] to close the period at 469 bps.
Emerging market [EM] risk strategies also were a highlight. Higher interest rates, China’s willingness to relax some Covid-19 measures, and a weakening U.S. dollar tightened spreads across the EM sector during the period.
Mortgage credit strategies modestly contributed to fund performance. The fund’s exposure to commercial mortgage credit, via a mix of commercial mortgage-backed securities [CMBS] and CMBX cash bonds, helped fund performance. [CMBX is a group of tradable indexes that each reference a basket of 25 CMBS issued in a particular year.] During the period, technicals [supply/demand dynamics] continued to strengthen. Sector fundamentals also improved as forbearance deals were worked out on commercial properties. Our positions in agency credit risk transfer [CRT] securities also aided results. CRTs performed well as they were tendered by issuers and upgraded by rating agencies.
Which holdings and strategies detracted from the fund’s performance during the reporting period?
Term structure risk strategies were the only detractor for the period. In the first half of the period, interest rates rose meaningfully on the heels of more hawkish Fed policy. In August and September 2022, the portfolio was positioned with a positive duration, which had a negative impact on fund performance.
How did you use derivatives during the reporting period?
We used CMBX credit default swaps to hedge the fund’s CMBS credit and market risks, and to gain access to specific areas of the market. We used bond futures and interest-rate swaps to take tactical positions along the yield curve, and to hedge the risk associated with the fund’s yield curve positioning. We also employed interest-rate swaps to gain exposure to interest rates in various countries. We utilized options
This table shows the fund’s top holdings across three key sectors and the percentage of the fund’s net assets that each represented as of 1/31/23. Short-term investments, to-be-announced commitments, and derivatives, if any, are excluded. Holdings may vary over time.
to hedge duration and convexity, to isolate the prepayment risk associated with our holdings of collateralized mortgage obligations, and to help manage overall downside risk. We used total return swaps as a hedging tool and to help manage the portfolio’s sector exposure and inflation risk. Lastly, we used currency forward contracts to hedge the portfolio’s exposure to foreign currencies and to gain exposure to various currencies.
What are your current views on the various sectors in which the fund invests?
We have a cautious outlook for U.S. corporate credit with an expectation for elevated volatility. High inflation, geopolitical impacts on energy supplies, and central bank tightening will remain considerable headwinds to fundamentals and market technicals, in our view. However, we believe that we may be nearing a point in the coming months where the interest-rate hiking cycle will start to wind down.
We believe corporate fundamentals remain solid overall, but likely will weaken in the face of slower growth and margin pressure. Technicals have also turned more challenging after a highly supportive period during the pandemic. That said, valuations have improved.
Risks to our moderately constructive outlook for U.S. corporate credit include policy missteps from global central banks; a more severe economic slowdown or recession than expected; ongoing supply chain disruptions; commodity price volatility; heightened geopolitical tension; and the impact of Covid outbreaks.
Our outlook for commercial real estate is mixed. We expect fundamentals to improve as more people return to travel, offices, and retail stores. This view is tempered by the Fed’s hawkish interest-rate policy, which we believe could cause a recession. Property types that can pass along inflation costs, such as hotels and apartments, will perform well in this environment, in our view. We believe properties with longer leases, rising capital costs, or requiring large capital improvements will be more challenged. We continue to favor seasoned mezzanine tranches on high-quality deals. We believe
This chart shows how the fund’s security type weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.
Allocations may not total 100% because the chart includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
these investments offer attractive relative value and are more insulated from losses or a recession.
We expect home prices to decline modestly this year and to grow more slowly thereafter. After sharply rising during the pandemic, home price appreciation is slowing due to affordability constraints for many buyers and a gradual increase in supply. Within residential mortgage credit, we believe wider spreads have created better value across all credit tiers. We are finding attractive investment opportunities in higher-quality areas of the market, as well as seasoned collateral that can withstand declining home prices, in our view.
Within EM credit, we expect global economic conditions to be challenging, but some valuations and countries appear to be attractive. China’s reopening at the end of calendar 2022 has been a positive development for EM markets. We will continue to look for opportunities in countries that are less exposed to geopolitical turmoil or global and domestic policy risks.
We believe many prepayment-sensitive securities offer attractive risk-adjusted returns at current price levels and prepayment speeds. Many of these securities may offer meaningful upside potential if mortgage prepayment speeds slow below market expectations, which we believe is likely. We are maintaining a cautious mortgage basis positioning amid heightened interest-rate volatility. Given last year’s repricing of the fixed income sector, we are finding what we believe to be compelling investment opportunities across a variety of collateral types.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
What is the team’s outlook as of February 1, 2023?
In the near term, we expect uncertainty to remain high and market volatility to persist. The strength of the U.S. labor market will keep Fed policy hawkish, in our view. However, the labor market is highly sensitive to inflation data releases for risk demand and interest-rate changes. Therefore, the fund maintains a position at the lower end of the risk spectrum with lower spread duration across credit sectors.
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. Disclosures provide only a summary of certain changes that have occurred in the past fiscal period, which may not reflect all of the changes that have occurred since an investor purchased the fund. 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.
HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS
Closed-end funds and open-end funds share many common characteristics but also have some key differences that you should understand as you consider your portfolio strategies.
More assets at work Open-end funds are subject to ongoing sales and redemptions that can generate transaction costs for long-term shareholders. Closed-end funds, however, are typically fixed pools of capital that do not need to hold cash in connection with sales and redemptions, allowing the funds to keep more assets actively invested.
Traded like stocks Closed-end fund shares are traded on stock exchanges and, as a result, their prices fluctuate because of the influence of several factors.
They have a market price Like an open-end fund, a closed-end fund has a per-share net asset value (NAV). However, closed-end funds also have a “market price” for their shares — which is how much you pay when you buy shares of the fund, and how much you receive when you sell them.
When looking at a closed-end fund’s performance, you will usually see that the NAV and the market price differ. The market price can be influenced by several factors that cause it to vary from the NAV, including fund distributions, changes in supply and demand for the fund’s shares, changing market conditions, and investor perceptions of the fund or its investment manager. A fund’s performance at market price typically differs from its results at NAV.
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended January 31, 2023, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.
Annualized fund performance Total return for periods ended 1/31/23
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Life of fund |
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(since 2/29/88) |
10 years |
5 years |
3 years |
1 year |
6 months |
Net asset value |
5.83% |
2.31% |
0.20% |
–2.83% |
–1.95% |
0.20% |
Market price |
5.96 |
3.06 |
1.37 |
–4.02 |
–0.22 |
2.36 |
Returns for periods of less than one year are not annualized.
Performance assumes reinvestment of distributions and does not account for taxes.
Performance includes the deduction of management fees and administrative expenses.
Comparative annualized index returns For periods ended 1/31/23
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Life of fund |
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(since 2/29/88) |
10 years |
5 years |
3 years |
1 year |
6 months |
ICE BofA U.S. Treasury |
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Bill Index |
—* |
0.81% |
1.31% |
0.77% |
1.69% |
1.54% |
Bloomberg Government |
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Bond Index |
5.06% |
0.93 |
0.70 |
–2.55 |
–8.43 |
–2.75 |
Lipper General Bond |
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Funds (closed-end) |
7.01 |
3.97 |
3.10 |
0.60 |
–4.22 |
2.00 |
category median† |
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Index and Lipper results should be compared to fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund’s monthly reinvestment net asset value.
Returns for periods of less than one year are not annualized.
All Bloomberg indices are provided by Bloomberg Index Services Limited.
Lipper peer group median is provided by Lipper, a Refinitiv company.
* The fund’s primary 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 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 1/31/23, there were 65, 62, 46, 37, 22, and 4 funds, respectively, in this Lipper category.
Fund price and distribution information For the six-month period ended 1/31/23
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Distributions |
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Number |
6 |
Income |
$0.156 |
Capital gains |
— |
Total |
$0.156 |
Share value |
NAV |
Market price |
7/31/22 |
$4.12 |
$3.89 |
1/31/23 |
3.97 |
3.82 |
Current dividend rate* |
7.86% |
8.17% |
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
* Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.
Annualized fund performance as of most recent calendar quarter
Total return for periods ended 12/31/22
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Life of fund |
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(since 2/29/88) |
10 years |
5 years |
3 years |
1 year |
6 months |
Net asset value |
5.81% |
2.44% |
0.40% |
–3.16% |
–1.58% |
1.16% |
Market price |
5.80 |
2.68 |
–0.18 |
–5.47 |
–7.88 |
–0.45 |
See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.
Returns for periods of less than one year are not annualized.
Consider these risks before investing
Emerging market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments).
Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses.
The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. International investing involves currency, economic, and political risks. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.
Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV) is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.
Market price is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.
Fixed income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency credit risk transfer (CRT) security is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.
• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Government Bond Index is an unmanaged index of U.S. Treasury and government agency securities.
Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed income securities.
CMBX Index is an unmanaged index that tracks the performance of a basket of CMBS issued in a particular year.
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill 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, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category medians reflect performance trends for funds within a category.
Other information for shareholders
Important notice regarding share repurchase program
In September 2022, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 365 days beginning October 1, 2022, up to 10% of the fund’s common shares outstanding as of September 30, 2022.
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, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2022, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of January 31, 2023, Putnam employees had approximately $478,000,000 and the Trustees had approximately $64,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
Summary of Putnam closed-end funds’ amended and restated dividend reinvestment plans
Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you or your intermediary.
Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholder will be deemed to have elected to participate in that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.
If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.
To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.
How you acquire additional shares through a Plan If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.
If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.
How to withdraw from a Plan Participants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.
Plan administration The Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant will
be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.
About brokerage fees Each participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.
About taxes and Plan amendments Reinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the prior consent of a Fund and without prior notice to Plan participants.
If your shares are held in a broker or nominee name If your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.
In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
|
|
|
The fund’s portfolio 1/31/23 (Unaudited) |
|
|
|
|
|
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (125.4%)* |
Principal amount |
Value |
U.S. Government Guaranteed Mortgage Obligations (7.6%) |
|
|
Government National Mortgage Association Pass-Through Certificates |
|
|
5.50%, 5/20/49 |
$75,366 |
$77,608 |
5.00%, with due dates from 5/20/49 to 3/20/50 |
275,097 |
279,297 |
4.50%, TBA, 2/1/53 |
12,000,000 |
11,915,360 |
4.50%, with due dates from 10/20/49 to 1/20/50 |
140,063 |
139,698 |
4.00%, TBA, 2/1/53 |
8,000,000 |
7,774,306 |
4.00%, with due dates from 8/20/49 to 1/20/50 |
99,311 |
97,159 |
3.50%, with due dates from 8/20/49 to 3/20/50 |
997,156 |
947,649 |
3.00%, TBA, 2/1/53 |
9,000,000 |
8,268,161 |
|
|
29,499,238 |
U.S. Government Agency Mortgage Obligations (117.8%) |
|
|
Federal National Mortgage Association Pass-Through Certificates |
|
|
5.00%, with due dates from 1/1/49 to 8/1/49 |
132,303 |
133,382 |
4.50%, 5/1/49 |
18,879 |
18,905 |
Uniform Mortgage-Backed Securities |
|
|
6.00%, TBA, 3/1/53 |
19,000,000 |
19,483,907 |
6.00%, TBA, 2/1/53 |
19,000,000 |
19,521,016 |
5.50%, TBA, 3/1/53 |
29,000,000 |
29,438,413 |
5.50%, TBA, 2/1/53 |
69,000,000 |
70,099,722 |
5.00%, TBA, 3/1/53 |
68,000,000 |
68,231,091 |
5.00%, TBA, 2/1/53 |
174,000,000 |
174,693,285 |
4.50%, TBA, 2/1/53 |
63,000,000 |
62,227,267 |
3.50%, TBA, 2/1/53 |
8,000,000 |
7,508,125 |
2.50%, TBA, 2/1/53 |
5,000,000 |
4,376,170 |
2.00%, TBA, 2/1/53 |
4,000,000 |
3,366,627 |
|
|
459,097,910 |
Total U.S. government and agency mortgage obligations (cost $483,492,694) |
$488,597,148 |
|
|
|
|
U.S. TREASURY OBLIGATIONS (0.1%)* |
Principal amount |
Value |
U.S. Treasury Bonds 3.125%, 5/15/48 i |
$116,000 |
$105,486 |
U.S. Treasury Notes 1.625%, 5/15/31 i |
432,000 |
377,369 |
Total U.S. treasury obligations (cost $482,855) |
$482,855 |
|
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* |
Principal amount |
Value |
Agency collateralized mortgage obligations (14.4%) |
Federal Home Loan Mortgage Corporation |
|
|
|
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 |
|
$995,338 |
$186,924 |
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 |
|
5,965,569 |
1,032,796 |
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 |
|
4,425,293 |
903,611 |
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 |
|
7,917,232 |
1,611,671 |
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 |
|
5,523,554 |
1,154,430 |
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 |
|
424,855 |
62,013 |
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 |
|
564,791 |
64,635 |
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 |
|
8,934,244 |
1,609,397 |
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 |
|
1,283,122 |
229,592 |
REMICs Ser. 4425, IO, 4.00%, 1/15/45 |
|
1,389,232 |
211,802 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Agency collateralized mortgage obligations cont. |
Federal Home Loan Mortgage Corporation |
|
|
|
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 |
|
$1,836,564 |
$371,996 |
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 |
|
1,247,160 |
184,262 |
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 |
|
1,787,419 |
226,019 |
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 |
|
1,115,408 |
139,268 |
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 |
|
602,224 |
44,907 |
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 |
|
399,100 |
15,184 |
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 |
|
2,809,918 |
215,538 |
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 |
|
168,026 |
1,734 |
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 2.191%, 4/15/40 |
|
804,400 |
23,464 |
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.744%, 9/25/50 |
|
8,802,621 |
1,042,935 |
REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 12/15/47 |
|
1,499,303 |
171,070 |
REMICs IFB Ser. 4752, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 11/15/47 |
|
257,954 |
30,953 |
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.641%, 8/15/56 |
|
5,110,029 |
635,739 |
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.641%, 4/15/47 |
|
1,056,841 |
133,945 |
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.594%, 7/25/50 |
|
8,335,681 |
1,050,715 |
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 1/25/50 |
|
5,470,831 |
561,846 |
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.395%, 7/25/43 W |
|
1,490,063 |
14,901 |
Federal National Mortgage Association |
|
|
|
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 |
|
2,021,208 |
354,780 |
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 |
|
1,873,202 |
344,825 |
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 |
|
86,877 |
14,289 |
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 |
|
3,055,840 |
492,388 |
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 |
|
265,352 |
40,861 |
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 |
|
8,228,790 |
1,492,327 |
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 |
|
329,755 |
63,272 |
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 |
|
483,426 |
30,862 |
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 |
|
3,021,918 |
529,019 |
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 |
|
949,976 |
124,352 |
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 |
|
697,450 |
88,925 |
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 |
|
508,455 |
59,438 |
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 |
|
442,002 |
15,784 |
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 |
|
16,048,481 |
2,037,524 |
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 1.894%, 4/25/40 |
|
691,055 |
80,438 |
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.744%, 3/25/48 |
|
3,372,767 |
340,987 |
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.694%, 6/25/48 |
|
5,884,074 |
684,965 |
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.644%, 5/25/47 |
|
7,190,593 |
690,153 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Agency collateralized mortgage obligations cont. |
Federal National Mortgage Association |
|
|
|
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.644%, 10/25/41 |
|
$112,189 |
$733 |
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.594%, 12/25/46 |
|
3,112,369 |
255,799 |
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.594%, 5/25/39 |
|
10,044,552 |
858,518 |
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 3/25/50 |
|
4,866,328 |
537,583 |
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.544%, 8/25/49 |
|
3,157,421 |
262,763 |
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.494%, 11/25/49 |
|
6,150,965 |
701,825 |
REMICs Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 1.444%, 2/25/43 |
|
2,373,739 |
276,148 |
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 1.394%, 10/25/41 |
|
1,460,188 |
134,733 |
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40 W |
|
902,563 |
5,415 |
Government National Mortgage Association |
|
|
|
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 |
|
844,611 |
161,895 |
Ser. 16-42, IO, 5.00%, 2/20/46 |
|
2,046,032 |
385,771 |
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 |
|
3,484,304 |
733,028 |
Ser. 14-76, IO, 5.00%, 5/20/44 |
|
814,328 |
162,306 |
Ser. 12-146, IO, 5.00%, 12/20/42 |
|
582,766 |
113,639 |
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 |
|
828,012 |
170,757 |
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 |
|
600,107 |
121,318 |
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 |
|
2,667,249 |
546,786 |
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 |
|
1,364,159 |
279,816 |
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 |
|
2,765,504 |
547,525 |
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 |
|
491,782 |
96,622 |
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 |
|
1,470,571 |
272,279 |
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 |
|
1,122,909 |
210,983 |
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 |
|
999,073 |
195,097 |
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 |
|
1,101,916 |
183,178 |
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 |
|
1,765,338 |
323,904 |
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 |
|
963,853 |
168,338 |
Ser. 16-29, IO, 4.00%, 2/16/46 |
|
940,523 |
159,402 |
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 |
|
2,240,559 |
363,307 |
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 |
|
1,967,303 |
360,607 |
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 |
|
1,301,660 |
153,960 |
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 |
|
4,313,561 |
640,315 |
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 |
|
1,056,694 |
41,229 |
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 |
|
518,462 |
86,346 |
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 |
|
1,229,868 |
76,692 |
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 |
|
501,598 |
77,759 |
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 |
|
475,955 |
81,088 |
Ser. 18-H02, Class EI, IO, 3.876%, 1/20/68 W |
|
8,731,888 |
447,509 |
Ser. 17-H02, Class BI, IO, 3.561%, 1/20/67 W |
|
4,000,340 |
135,712 |
Ser. 21-156, IO, 3.50%, 7/20/51 |
|
9,681,884 |
1,624,440 |
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 |
|
5,698,696 |
1,035,560 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Agency collateralized mortgage obligations cont. |
Government National Mortgage Association |
|
|
|
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 |
|
$71,015 |
$2,231 |
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 |
|
982,192 |
113,858 |
Ser. 13-28, IO, 3.50%, 2/20/43 |
|
343,454 |
42,636 |
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 |
|
529,581 |
57,777 |
Ser. 13-14, IO, 3.50%, 12/20/42 |
|
1,991,706 |
206,719 |
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 |
|
2,174,994 |
362,317 |
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 |
|
2,122,515 |
334,196 |
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 |
|
936,079 |
153,577 |
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 |
|
1,110,516 |
79,957 |
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 |
|
8,326,520 |
1,187,861 |
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 |
|
6,513,034 |
997,861 |
Ser. 18-H05, Class BI, IO, 2.945%, 2/20/68 W |
|
6,121,816 |
325,221 |
Ser. 18-H05, Class AI, IO, 2.829%, 2/20/68 W |
|
3,737,189 |
207,297 |
Ser. 18-H03, Class XI, IO, 2.786%, 2/20/68 W |
|
6,212,782 |
284,545 |
Ser. 17-H06, Class BI, IO, 2.55%, 2/20/67 W |
|
5,846,295 |
205,205 |
Ser. 17-H08, Class NI, IO, 2.14%, 3/20/67 W |
|
7,622,169 |
266,014 |
Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67 W |
|
2,652,319 |
151,182 |
Ser. 16-H03, Class DI, IO, 2.041%, 12/20/65 W |
|
5,639,241 |
259,505 |
Ser. 15-H25, Class EI, IO, 1.819%, 10/20/65 W |
|
4,262,884 |
196,945 |
IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.814%, 6/20/51 |
|
11,693,709 |
1,527,432 |
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.814%, 5/20/51 |
|
7,292,370 |
931,018 |
IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.814%, 4/20/51 |
|
5,137,517 |
571,299 |
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.814%, 9/20/50 |
|
6,488,602 |
876,565 |
Ser. 17-H09, IO, 1.764%, 4/20/67 W |
|
7,559,438 |
221,930 |
Ser. 15-H20, Class AI, IO, 1.757%, 8/20/65 W |
|
5,305,665 |
226,021 |
FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.741%, 11/20/47 |
|
7,674,866 |
1,158,393 |
FRB Ser. 15-H08, Class CI, IO, 1.73%, 3/20/65 W |
|
4,065,544 |
167,094 |
IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 1.694%, 4/20/44 |
|
3,918,396 |
433,173 |
Ser. 15-H23, Class BI, IO, 1.683%, 9/20/65 W |
|
5,747,494 |
221,279 |
IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.664%, 7/20/50 |
|
3,947,358 |
556,430 |
IFB Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.664%, 1/20/49 |
|
3,628,013 |
361,052 |
Ser. 16-H16, Class EI, IO, 1.638%, 6/20/66 W |
|
4,530,313 |
212,925 |
Ser. 16-H24, Class CI, IO, 1.619%, 10/20/66 W |
|
4,207,237 |
179,228 |
IFB Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 5/20/50 |
|
4,779,977 |
530,919 |
IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 4/20/50 |
|
6,149,176 |
753,246 |
IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 8/20/49 |
|
4,838,413 |
502,953 |
IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 7/20/49 |
|
4,316,590 |
422,206 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Agency collateralized mortgage obligations cont. |
Government National Mortgage Association |
|
|
|
IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.614%, 7/20/49 |
|
$5,734,963 |
$531,253 |
Ser. 17-H11, Class DI, IO, 1.609%, 5/20/67 W |
|
5,121,111 |
267,962 |
Ser. 16-H14, IO, 1.601%, 6/20/66 W |
|
4,360,561 |
150,771 |
IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 1/20/50 |
|
3,590,440 |
375,477 |
IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 12/20/49 |
|
3,007,744 |
293,960 |
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.564%, 9/20/49 |
|
4,799,870 |
518,195 |
Ser. 13-H08, Class CI, IO, 1.529%, 2/20/63 W |
|
4,100,219 |
127,927 |
IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.514%, 8/20/43 |
|
5,377,073 |
551,419 |
Ser. 17-H12, Class QI, IO, 1.471%, 5/20/67 W |
|
4,792,731 |
182,963 |
IFB Ser. 10-90, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 1.464%, 7/20/40 |
|
4,332,195 |
409,501 |
Ser. 14-H21, Class BI, IO, 1.462%, 10/20/64 W |
|
6,293,052 |
218,369 |
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 1.114%, 8/20/44 |
|
1,719,676 |
149,227 |
Ser. 17-H16, Class FI, IO, 0.797%, 8/20/67 W |
|
4,308,579 |
172,710 |
Ser. 17-H16, Class JI, IO, 0.571%, 8/20/67 W |
|
12,916,819 |
716,835 |
Ser. 18-H15, Class KI, IO, 0.419%, 8/20/68 W |
|
5,138,702 |
244,860 |
Ser. 16-H22, Class AI, IO, 0.407%, 10/20/66 W |
|
6,100,259 |
220,884 |
Ser. 16-H23, Class NI, IO, 0.36%, 10/20/66 W |
|
16,181,945 |
656,987 |
Ser. 17-H16, Class IG, IO, 0.181%, 7/20/67 W |
|
11,820,405 |
359,231 |
Ser. 15-H20, Class CI, IO, 0.114%, 8/20/65 W |
|
6,040,536 |
322,565 |
Ser. 16-H18, Class QI, IO, 0.078%, 6/20/66 W |
|
4,050,485 |
201,609 |
Ser. 16-H09, Class BI, IO, 0.067%, 4/20/66 W |
|
7,087,778 |
345,175 |
Ser. 16-H17, Class KI, IO, 0.049%, 7/20/66 W |
|
2,680,932 |
111,312 |
Ser. 15-H15, Class BI, IO, 0.037%, 6/20/65 W |
|
3,349,286 |
126,603 |
Ser. 15-H10, Class BI, IO, 0.03%, 4/20/65 W |
|
3,846,789 |
153,102 |
Ser. 16-H03, Class AI, IO, 0.028%, 1/20/66 W |
|
4,660,810 |
162,244 |
Ser. 16-H02, Class HI, IO, 0.02%, 1/20/66 W |
|
6,449,122 |
203,792 |
Ser. 15-H24, Class AI, IO, 0.014%, 9/20/65 W |
|
4,828,962 |
141,619 |
Ser. 16-H06, Class DI, IO, 0.007%, 7/20/65 W |
|
7,734,410 |
164,843 |
Ser. 16-H06, Class CI, IO, 0.001%, 2/20/66 W |
|
7,074,285 |
129,544 |
Ser. 16-H10, Class AI, IO, zero %, 4/20/66 W |
|
11,137,992 |
223,127 |
|
|
|
56,129,354 |
Commercial mortgage-backed securities (12.6%) |
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 |
|
802,000 |
561,681 |
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W |
|
20,215 |
19,507 |
Benchmark Mortgage Trust 144A |
|
|
|
FRB Ser. 18-B3, Class D, 3.029%, 4/10/51 W |
|
842,000 |
573,693 |
Ser. 19-B13, Class D, 2.50%, 8/15/57 |
|
689,000 |
449,710 |
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44 W |
|
1,247,000 |
856,336 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Commercial mortgage-backed securities cont. |
CD Commercial Mortgage Trust 144A |
|
|
|
Ser. 17-CD3, Class D, 3.25%, 2/10/50 |
|
$1,279,000 |
$923,481 |
Ser. 19-CD8, Class D, 3.00%, 8/15/57 |
|
597,000 |
394,617 |
CFCRE Commercial Mortgage Trust 144A |
|
|
|
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W |
|
2,275,000 |
1,082,445 |
FRB Ser. 11-C2, Class E, 5.08%, 12/15/47 W |
|
1,068,000 |
875,760 |
Citigroup Commercial Mortgage Trust Ser. 13-GC11, Class C, 4.134%, 4/10/46 W |
|
703,000 |
690,269 |
Citigroup Commercial Mortgage Trust 144A |
|
|
|
Ser. 15-P1, Class D, 3.225%, 9/15/48 |
|
863,000 |
713,464 |
Ser. 15-GC27, Class E, 3.00%, 2/10/48 |
|
1,182,000 |
895,720 |
COMM Mortgage Trust |
|
|
|
FRB Ser. 14-CR16, Class C, 4.926%, 4/10/47 W |
|
912,000 |
813,553 |
FRB Ser. 15-CR26, Class D, 3.467%, 10/10/48 W |
|
658,000 |
539,870 |
COMM Mortgage Trust 144A |
|
|
|
FRB Ser. 14-CR17, Class E, 4.845%, 5/10/47 W |
|
919,000 |
628,265 |
FRB Ser. 14-UBS3, Class D, 4.766%, 6/10/47 W |
|
481,000 |
433,913 |
Ser. 12-CR3, Class F, 4.75%, 10/15/45 W |
|
1,755,510 |
782,014 |
FRB Ser. 14-CR19, Class D, 4.697%, 8/10/47 W |
|
810,000 |
733,338 |
FRB Ser. 15-LC19, Class E, 4.215%, 2/10/48 W |
|
781,000 |
640,685 |
FRB Ser. 18-COR3, Class D, 2.81%, 5/10/51 W |
|
672,000 |
449,671 |
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 7.621%, 9/9/24 |
|
511,000 |
509,403 |
CSAIL Commercial Mortgage Trust FRB Ser. 20-C19, Class C, 3.614%, 3/15/53 W |
|
520,000 |
406,836 |
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.758%, 4/15/50 W |
|
1,390,000 |
943,964 |
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 8.31%, 11/25/51 |
|
1,421,000 |
1,273,271 |
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.505%, 2/10/46 W |
|
1,423,000 |
1,410,678 |
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W |
|
700,000 |
645,018 |
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.525%, 9/10/47 W |
|
2,827,000 |
1,671,211 |
JPMBB Commercial Mortgage Securities Trust 144A |
|
|
|
FRB Ser. 14-C18, Class D, 4.735%, 2/15/47 W |
|
2,173,000 |
1,558,321 |
FRB Ser. 14-C19, Class C19, 4.653%, 4/15/47 W |
|
581,000 |
534,571 |
FRB Ser. 13-C14, Class E, 4.548%, 8/15/46 W |
|
1,277,000 |
271,363 |
FRB Ser. C14, Class D, 4.548%, 8/15/46 W |
|
1,265,000 |
671,770 |
FRB Ser. 14-C18, Class E, 4.235%, 2/15/47 W |
|
914,000 |
530,664 |
FRB Ser. 14-C23, Class D, 3.984%, 9/15/47 W |
|
574,000 |
495,755 |
FRB Ser. 14-C25, Class D, 3.935%, 11/15/47 W |
|
1,404,000 |
876,839 |
Ser. 14-C25, Class E, 3.332%, 11/15/47 W |
|
1,823,000 |
1,127,137 |
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.383%, 9/15/50 W |
|
577,000 |
476,022 |
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50 W |
|
680,000 |
531,651 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Commercial mortgage-backed securities cont. |
JPMorgan Chase Commercial Mortgage Securities Trust |
|
|
|
FRB Ser. 13-LC11, Class D, 4.261%, 4/15/46 W |
|
$1,312,000 |
$859,240 |
Ser. 13-LC11, Class B, 3.499%, 4/15/46 |
|
508,000 |
436,068 |
JPMorgan Chase Commercial Mortgage Securities Trust 144A |
|
|
|
FRB Ser. 11-C3, Class F, 5.525%, 2/15/46 W |
|
1,113,000 |
203,926 |
FRB Ser. 12-C6, Class E, 4.964%, 5/15/45 W |
|
659,000 |
513,427 |
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W |
|
1,807,000 |
849,290 |
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49 W |
|
26,213 |
— |
Morgan Stanley Bank of America Merrill Lynch Trust |
|
|
|
Ser. 12-C6, Class C, 4.536%, 11/15/45 W |
|
663,000 |
633,239 |
FRB Ser. 15-C22, Class C, 4.202%, 4/15/48 W |
|
510,000 |
465,750 |
Morgan Stanley Bank of America Merrill Lynch Trust 144A |
|
|
|
FRB Ser. 13-C11, Class D, 4.398%, 8/15/46 W |
|
1,900,000 |
133,960 |
FRB Ser. 15-C23, Class D, 4.142%, 7/15/50 W |
|
1,499,000 |
1,277,628 |
FRB Ser. 13-C10, Class E, 4.07%, 7/15/46 W |
|
2,187,000 |
748,829 |
FRB Ser. 13-C10, Class F, 4.07%, 7/15/46 W |
|
1,988,000 |
405,919 |
Ser. 14-C17, Class E, 3.50%, 8/15/47 |
|
1,025,000 |
752,822 |
Ser. 14-C19, Class D, 3.25%, 12/15/47 |
|
1,493,000 |
1,306,126 |
Morgan Stanley Capital I Trust |
|
|
|
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W |
|
384,505 |
354,025 |
FRB Ser. 18-H3, Class C, 4.863%, 7/15/51 W |
|
576,000 |
505,033 |
Multifamily Connecticut Avenue Securities Trust 144A |
|
|
|
FRB Ser. 20-01, Class M10, 8.256%, 3/25/50 |
|
1,558,000 |
1,470,353 |
FRB Ser. 19-01, Class M10, 7.756%, 10/25/49 |
|
1,198,603 |
1,134,499 |
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.997%, 6/25/37 |
|
982,545 |
983,682 |
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 7.733%, 1/19/37 |
|
1,046,000 |
1,012,005 |
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) † |
|
1,081,996 |
11 |
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.391%, 8/15/50 W |
|
629,000 |
523,269 |
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63 W |
|
1,476,000 |
15 |
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41 W |
|
36,328 |
32,779 |
Wells Fargo Commercial Mortgage Trust |
|
|
|
FRB Ser. 15-SG1, Class B, 4.453%, 9/15/48 W |
|
446,000 |
397,451 |
FRB Ser. 15-C29, Class D, 4.218%, 6/15/48 W |
|
689,000 |
592,808 |
Wells Fargo Commercial Mortgage Trust 144A |
|
|
|
FRB Ser. 15-C30, Class D, 4.498%, 9/15/58 W |
|
534,000 |
446,656 |
FRB Ser. 13-LC12, Class D, 4.291%, 7/15/46 W |
|
356,000 |
147,398 |
Ser. 14-LC16, Class D, 3.938%, 8/15/50 |
|
2,218,000 |
370,464 |
Ser. 16-C33, Class D, 3.123%, 3/15/59 |
|
1,087,000 |
872,810 |
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47 W |
|
514,000 |
450,217 |
WF-RBS Commercial Mortgage Trust 144A |
|
|
|
FRB Ser. 13-UBS1, Class D, 5.024%, 3/15/46 W |
|
457,000 |
437,389 |
FRB Ser. 13-UBS1, Class E, 5.024%, 3/15/46 W |
|
616,000 |
587,545 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Commercial mortgage-backed securities cont. |
WF-RBS Commercial Mortgage Trust 144A |
|
|
|
Ser. 11-C4, Class F, 5.00%, 6/15/44 W |
|
$2,560,000 |
$1,602,048 |
FRB Ser. 12-C9, Class E, 4.915%, 11/15/45 W |
|
537,000 |
536,853 |
FRB Ser. 12-C10, Class D, 4.392%, 12/15/45 W |
|
687,000 |
430,678 |
Ser. 13-C12, Class E, 3.50%, 3/15/48 |
|
425,000 |
406,938 |
|
|
|
48,873,616 |
Residential mortgage-backed securities (non-agency) (12.4%) |
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 |
|
649,447 |
347,957 |
Bear Stearns Alt-A Trust |
|
|
|
FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 5.006%, 1/25/36 |
|
127,962 |
162,517 |
FRB Ser. 05-7, Class 21A1, 4.004%, 9/25/35 W |
|
170,645 |
138,533 |
Cascade Funding Mortgage Trust, LLC 144A Ser. 20-HB4, Class M4, 4.948%, 12/26/30 W |
|
595,000 |
499,800 |
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 4.686%, 11/25/47 |
|
541,295 |
449,320 |
Citigroup Mortgage Loan Trust, Inc. |
|
|
|
FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 4.856%, 3/25/37 |
|
1,655,755 |
1,369,438 |
FRB Ser. 07-AR5, Class 1A1A, 3.647%, 4/25/37 W |
|
182,825 |
155,472 |
Countrywide Alternative Loan Trust |
|
|
|
FRB Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 5.206%, 9/25/35 |
|
438,285 |
381,728 |
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.146%, 11/20/35 |
|
1,127,762 |
1,009,467 |
FRB Ser. 06-OA10, Class 2A1, (ICE LIBOR USD 1 Month + 0.38%), 4.886%, 8/25/46 |
|
376,086 |
314,620 |
FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 4.886%, 8/25/46 |
|
528,795 |
454,677 |
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 4.886%, 8/25/46 |
|
2,744,242 |
2,216,619 |
FRB Ser. 07-OH1, Class A1D, (ICE LIBOR USD 1 Month + 0.21%), 4.716%, 4/25/47 |
|
435,585 |
351,716 |
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 3.387%, 8/25/46 |
|
219,928 |
193,276 |
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 3.367%, 6/25/46 |
|
370,999 |
312,497 |
FRB Ser. 06-OA7, Class 1A1, 2.834%, 6/25/46 W |
|
922,828 |
851,863 |
Federal Home Loan Mortgage Corporation |
|
|
|
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (ICE LIBOR USD 1 Month + 11.25%), 15.756%, 12/25/28 |
|
483,462 |
530,665 |
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 15.006%, 5/25/28 |
|
826,714 |
857,177 |
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/28 |
|
2,796,282 |
2,960,564 |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 13.856%, 4/25/28 |
|
1,284,838 |
1,334,644 |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 13.706%, 10/25/27 |
|
727,845 |
750,097 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Residential mortgage-backed securities (non-agency) cont. |
Federal Home Loan Mortgage Corporation |
|
|
|
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 12.056%, 12/25/27 |
|
$1,241,031 |
$1,238,313 |
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 10.856%, 9/25/28 |
|
97,184 |
102,631 |
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (ICE LIBOR USD 1 Month + 4.95%), 9.456%, 7/25/29 |
|
570,000 |
604,455 |
Federal Home Loan Mortgage Corporation 144A |
|
|
|
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 15.81%, 10/25/50 |
|
491,000 |
556,799 |
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 15.756%, 4/25/49 |
|
298,000 |
321,523 |
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 15.506%, 10/25/48 |
|
1,619,000 |
1,818,499 |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 15.256%, 1/25/49 |
|
315,000 |
357,772 |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 15.006%, 3/25/49 |
|
252,000 |
279,384 |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.506%, 8/25/50 |
|
966,000 |
1,062,600 |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.506%, 7/25/50 |
|
1,027,000 |
1,125,959 |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 12.256%, 9/25/48 |
|
389,000 |
399,846 |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 10.256%, 7/25/50 |
|
623,259 |
667,526 |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (ICE LIBOR USD 1 Month + 5.25%), 9.756%, 9/25/50 |
|
864,700 |
910,878 |
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class HQA1, (ICE LIBOR USD 1 Month + 4.40%), 8.906%, 2/25/49 |
|
410,000 |
430,404 |
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 8.756%, 10/25/48 |
|
1,548,000 |
1,613,292 |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 8.406%, 9/25/48 |
|
420,000 |
433,354 |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.206%, 12/25/30 |
|
599,000 |
610,980 |
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W |
|
685,000 |
596,478 |
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59 W |
|
346,000 |
302,098 |
Federal National Mortgage Association |
|
|
|
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 17.256%, 10/25/28 |
|
238,596 |
272,178 |
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 16.756%, 9/25/28 |
|
2,299,432 |
2,588,308 |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.256%, 10/25/28 |
|
1,289,914 |
1,437,619 |
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.256%, 8/25/28 |
|
833,891 |
925,017 |
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 15.256%, 1/25/29 |
|
268,925 |
293,176 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Residential mortgage-backed securities (non-agency) cont. |
Federal National Mortgage Association |
|
|
|
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (ICE LIBOR USD 1 Month + 10.25%), 14.756%, 1/25/29 |
|
$266,883 |
$287,737 |
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 13.756%, 4/25/29 |
|
396,484 |
417,119 |
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 10.006%, 9/25/29 |
|
872,000 |
950,209 |
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 9.356%, 10/25/29 |
|
2,039,000 |
2,173,659 |
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 9.006%, 12/25/30 |
|
699,000 |
739,407 |
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.956%, 5/25/30 |
|
180,000 |
190,199 |
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.956%, 2/25/30 |
|
110,000 |
115,638 |
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (ICE LIBOR USD 1 Month + 4.25%), 8.756%, 1/25/31 |
|
322,000 |
340,204 |
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.506%, 5/25/25 |
|
14,344 |
14,633 |
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 8.106%, 1/25/30 |
|
427,000 |
437,148 |
Federal National Mortgage Association 144A |
|
|
|
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 8.81%, 1/25/42 |
|
402,000 |
390,694 |
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 8.606%, 9/25/31 |
|
578,000 |
591,362 |
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 7.756%, 1/25/40 |
|
459,000 |
441,989 |
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.956%, 7/25/31 |
|
16,495 |
16,516 |
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 6.556%, 1/25/40 |
|
262,235 |
262,561 |
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 4.816%, 5/25/37 |
|
562,546 |
408,191 |
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.99%, 5/19/35 |
|
408,837 |
139,956 |
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.46%, 1/25/34 (Bermuda) |
|
300,000 |
252,485 |
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 4.906%, 6/25/37 |
|
663,964 |
280,198 |
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 2.702%, 2/26/37 |
|
452,753 |
391,771 |
MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 5.301%, 8/25/35 |
|
90,467 |
83,597 |
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (ICE LIBOR USD 1 Month + 2.85%), 7.356%, 7/25/28 (Bermuda) |
|
1,230,000 |
1,247,249 |
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 7.206%, 3/25/28 (Bermuda) |
|
593,058 |
598,729 |
|
|
|
|
MORTGAGE-BACKED SECURITIES (39.4%)* cont. |
Principal amount |
Value |
Residential mortgage-backed securities (non-agency) cont. |
Structured Asset Mortgage Investments II Trust |
|
|
|
FRB Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 4.926%, 8/25/36 |
|
$412,279 |
$319,516 |
FRB Ser. 07-AR1, Class 2A1, (ICE LIBOR USD 1 Month + 0.18%), 4.686%, 1/25/37 |
|
588,921 |
503,874 |
Toorak Mortgage Corp., Ltd. 144A Ser. 20-1, Class A1, 2.734%, 3/25/23 W |
|
454,454 |
437,955 |
Towd Point Mortgage Trust 144A |
|
|
|
Ser. 19-2, Class A2, 3.75%, 12/25/58 W |
|
1,033,000 |
930,858 |
Ser. 18-5, Class M1, 3.25%, 7/25/58 W |
|
815,000 |
653,925 |
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 5.486%, 10/25/45 |
|
275,112 |
257,673 |
|
|
|
48,466,788 |
Total mortgage-backed securities (cost $175,346,574) |
$153,469,758 |
|
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* |
Principal amount |
Value |
Basic materials (2.1%) |
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 |
|
$45,000 |
$45,335 |
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 |
|
150,000 |
129,000 |
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 |
|
90,000 |
85,794 |
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 |
|
200,000 |
196,158 |
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 |
|
680,000 |
611,525 |
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 |
|
70,000 |
68,532 |
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 |
|
165,000 |
141,941 |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) |
|
200,000 |
202,826 |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) |
|
85,000 |
86,097 |
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 |
|
1,110,000 |
1,010,221 |
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) |
|
130,000 |
124,860 |
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) |
|
130,000 |
123,861 |
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) |
|
670,000 |
650,906 |
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |
|
1,640,000 |
1,346,850 |
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) |
EUR |
260,000 |
158,524 |
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 |
|
$345,000 |
298,658 |
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 |
|
260,000 |
213,355 |
Mauser Packaging Solutions Holding Co. 144A sr. notes 7.875%, 8/15/26 |
|
250,000 |
252,188 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Basic materials cont. |
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 |
|
$40,000 |
$39,972 |
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) |
|
164,000 |
158,673 |
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) |
|
190,000 |
162,488 |
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 |
|
255,000 |
215,220 |
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 |
|
175,000 |
158,375 |
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 |
|
693,000 |
627,387 |
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 |
|
455,000 |
433,956 |
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 |
|
185,000 |
158,175 |
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 |
|
283,000 |
281,585 |
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 |
|
140,000 |
129,892 |
|
|
|
8,112,354 |
Capital goods (2.2%) |
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 |
|
350,000 |
295,971 |
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 |
|
75,000 |
71,117 |
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 |
|
260,000 |
255,510 |
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 |
|
65,000 |
58,244 |
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 |
|
300,000 |
306,750 |
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 |
|
158,000 |
158,959 |
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 |
EUR |
895,000 |
925,206 |
Clean Harbors, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 2/1/31 |
|
$105,000 |
106,964 |
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 |
|
347,000 |
362,471 |
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) |
|
250,000 |
243,188 |
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 |
|
505,000 |
425,589 |
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 |
|
603,000 |
526,118 |
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 |
|
270,000 |
243,289 |
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 |
|
700,000 |
628,250 |
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 |
|
50,000 |
49,063 |
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 |
|
785,000 |
697,512 |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 |
|
1,100,000 |
1,050,473 |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 |
|
265,000 |
239,111 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Capital goods cont. |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 |
|
$175,000 |
$157,878 |
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 |
|
390,000 |
389,863 |
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 |
|
753,000 |
652,956 |
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 |
|
315,000 |
292,950 |
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 |
|
245,000 |
251,046 |
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 |
|
298,000 |
302,768 |
|
|
|
8,691,246 |
Communication services (1.3%) |
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) |
|
200,000 |
166,104 |
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 |
|
1,643,000 |
1,519,775 |
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 |
|
197,000 |
178,444 |
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 |
|
285,000 |
268,990 |
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 |
|
62,000 |
50,727 |
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 |
|
80,000 |
68,950 |
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 |
|
1,275,000 |
1,217,523 |
Lumen Technologies, Inc. 144A sr. unsec. unsub. notes 4.50%, 1/15/29 |
|
550,000 |
369,875 |
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 |
|
280,000 |
296,147 |
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 |
|
579,000 |
587,611 |
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 |
|
175,000 |
149,610 |
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 |
|
43,000 |
43,134 |
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) |
GBP |
255,000 |
288,189 |
|
|
|
5,205,079 |
Consumer cyclicals (3.4%) |
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 |
|
$150,000 |
133,538 |
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity |
|
719,000 |
729,418 |
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 |
|
29,000 |
31,040 |
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 |
|
120,000 |
117,262 |
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 |
|
165,000 |
137,778 |
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 |
|
130,000 |
123,587 |
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 |
|
25,000 |
25,438 |
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 |
|
625,000 |
625,106 |
Carnival Corp. notes 10.125%, 2/1/26 |
|
465,000 |
525,286 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Consumer cyclicals cont. |
Carnival Corp. 144A notes 10.50%, 2/1/26 |
|
$100,000 |
$104,591 |
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 |
|
50,000 |
50,923 |
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 |
|
526,000 |
38,793 |
Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31 |
|
220,000 |
235,984 |
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 |
|
200,000 |
196,574 |
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 |
|
260,000 |
242,993 |
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 |
|
425,000 |
371,085 |
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 |
|
300,000 |
265,875 |
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 |
|
45,000 |
40,410 |
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 |
|
270,000 |
265,294 |
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 |
|
422,000 |
397,828 |
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 |
|
68,000 |
65,147 |
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 |
|
142,000 |
116,027 |
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) |
EUR |
200,000 |
190,484 |
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 |
|
$127,000 |
106,045 |
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 |
|
100,000 |
93,602 |
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 |
|
130,000 |
107,306 |
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 |
|
380,000 |
379,050 |
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |
|
195,000 |
175,188 |
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 |
|
55,000 |
51,288 |
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 |
|
210,000 |
184,513 |
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 |
|
1,509,000 |
1,466,793 |
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 |
|
20,000 |
18,830 |
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 |
|
200,000 |
178,956 |
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 |
|
125,000 |
110,919 |
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 |
|
155,000 |
178,169 |
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 |
|
765,000 |
806,976 |
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 |
|
438,000 |
449,368 |
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 |
|
368,000 |
317,400 |
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 |
|
221,000 |
209,296 |
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 |
|
537,000 |
442,692 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Consumer cyclicals cont. |
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 |
|
$275,000 |
$244,778 |
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 |
|
125,000 |
110,145 |
Standard Industries, Inc. sr. unsec. notes 2.25%, 11/21/26 |
|
370,000 |
348,059 |
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 |
|
95,000 |
75,451 |
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 |
|
868,000 |
822,549 |
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 |
|
25,000 |
23,429 |
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 |
|
250,000 |
225,063 |
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 |
|
45,000 |
44,129 |
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 |
|
100,000 |
82,750 |
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 |
|
153,000 |
144,536 |
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 |
|
270,000 |
240,975 |
|
|
|
12,668,716 |
Consumer staples (0.9%) |
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) |
|
225,000 |
205,031 |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 |
|
75,000 |
68,988 |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 |
|
590,000 |
508,875 |
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 |
|
40,000 |
34,648 |
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 |
|
235,000 |
227,950 |
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 |
|
185,000 |
178,926 |
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 |
|
190,000 |
171,238 |
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 |
|
80,000 |
76,709 |
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 |
|
70,000 |
56,175 |
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 |
|
55,000 |
47,300 |
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 |
|
130,000 |
119,570 |
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 5.625%, 2/15/29 |
|
430,000 |
404,246 |
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 |
EUR |
100,000 |
106,087 |
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 |
|
$95,000 |
94,644 |
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 |
|
544,000 |
564,361 |
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 |
|
135,000 |
136,921 |
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 |
|
143,000 |
139,818 |
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 |
|
235,000 |
223,259 |
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 |
|
125,000 |
106,553 |
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 |
|
125,000 |
116,906 |
|
|
|
3,588,205 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Energy (5.6%) |
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 |
|
$150,000 |
$153,938 |
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 |
|
893,000 |
779,812 |
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 |
|
83,000 |
76,750 |
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 |
|
525,000 |
507,938 |
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) |
|
96,000 |
104,995 |
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 |
|
877,000 |
859,364 |
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 |
|
200,000 |
179,432 |
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 |
|
15,000 |
12,522 |
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 |
|
175,000 |
150,063 |
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 |
|
249,000 |
236,917 |
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 |
|
212,000 |
208,153 |
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 |
|
124,000 |
125,850 |
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 |
|
118,000 |
129,263 |
Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) |
|
1,300,000 |
1,333,410 |
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 |
|
624,000 |
581,762 |
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 |
|
1,133,000 |
1,110,340 |
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 |
|
109,000 |
106,548 |
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 |
|
25,000 |
24,234 |
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 |
|
236,000 |
222,249 |
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 |
|
65,000 |
56,927 |
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 |
|
773,000 |
765,363 |
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 |
|
433,000 |
403,231 |
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 |
|
435,000 |
413,250 |
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 |
|
160,671 |
163,435 |
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 |
|
1,045,000 |
1,046,359 |
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 |
|
60,000 |
63,699 |
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 |
|
248,000 |
250,594 |
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 |
|
1,857,000 |
1,952,877 |
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 |
|
53,000 |
53,646 |
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 |
|
430,000 |
478,844 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Energy cont. |
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 |
|
$155,000 |
$163,382 |
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 |
|
638,000 |
596,049 |
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) |
|
400,000 |
398,000 |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) |
|
473,000 |
455,012 |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) |
|
300,000 |
299,055 |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |
|
425,000 |
352,778 |
Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) |
|
2,840,000 |
2,774,680 |
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) |
|
510,000 |
504,737 |
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 |
|
882,000 |
838,994 |
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 |
|
137,000 |
133,143 |
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 |
|
263,000 |
258,885 |
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 |
|
39,000 |
37,098 |
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 |
|
340,000 |
333,200 |
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 |
|
397,000 |
349,963 |
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 |
|
757,000 |
704,956 |
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 |
|
505,000 |
474,521 |
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) |
|
72,800 |
74,984 |
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 |
|
166,250 |
165,859 |
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 6.25%, 1/15/30 |
|
30,000 |
30,563 |
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 |
|
80,000 |
77,435 |
|
|
|
21,575,059 |
Financials (1.8%) |
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 |
|
235,000 |
222,075 |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 |
|
60,000 |
54,987 |
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 |
|
1,216,000 |
1,339,237 |
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) |
EUR |
230,000 |
229,243 |
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity |
|
$148,000 |
148,059 |
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 |
|
225,000 |
219,433 |
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) |
|
300,000 |
284,250 |
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) |
|
200,000 |
181,531 |
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 |
|
200,000 |
216,000 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Financials cont. |
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 |
|
$295,000 |
$280,496 |
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 |
|
120,000 |
116,104 |
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) |
|
75,000 |
71,789 |
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) |
|
150,000 |
133,864 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 |
|
55,000 |
51,210 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 |
|
136,000 |
118,431 |
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R |
|
425,000 |
427,848 |
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R |
|
160,000 |
159,080 |
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) |
|
1,030,000 |
947,260 |
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R |
|
379,000 |
314,885 |
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R |
|
55,000 |
52,938 |
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R |
|
250,000 |
220,313 |
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 |
|
285,000 |
229,425 |
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 |
|
203,000 |
177,363 |
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 |
|
448,000 |
392,269 |
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 |
|
240,000 |
223,200 |
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R |
|
88,000 |
86,530 |
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 6.50%, perpetual maturity (Netherlands) |
EUR |
252,125 |
273,755 |
|
|
|
7,171,575 |
Health care (1.4%) |
Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 |
|
$49,000 |
38,338 |
Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 |
|
9,000 |
5,618 |
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 |
|
120,000 |
102,600 |
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 |
|
349,000 |
331,571 |
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 |
|
125,000 |
110,156 |
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 |
|
120,000 |
106,650 |
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 |
|
585,000 |
571,077 |
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 |
|
155,000 |
147,331 |
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 |
|
540,000 |
543,181 |
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 |
|
125,000 |
112,041 |
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) |
|
200,000 |
182,468 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Health care cont. |
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) |
EUR |
250,000 |
$208,573 |
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 |
|
$270,000 |
244,202 |
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 |
|
130,000 |
105,897 |
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 |
|
350,000 |
335,161 |
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 |
|
95,000 |
79,832 |
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 |
|
90,000 |
78,703 |
Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 |
|
300,000 |
288,750 |
Tenet Healthcare Corp. company guaranty sr. notes 4.875%, 1/1/26 |
|
282,000 |
274,660 |
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 |
|
272,000 |
268,260 |
Tenet Healthcare Corp. company guaranty sr. notes 4.25%, 6/1/29 |
|
120,000 |
106,849 |
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 |
|
190,000 |
184,435 |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) |
|
435,000 |
437,488 |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) |
|
505,000 |
465,703 |
|
|
|
5,329,544 |
Technology (0.8%) |
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 |
|
421,000 |
353,640 |
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 |
|
542,000 |
465,079 |
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 |
|
818,000 |
711,660 |
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 |
|
444,000 |
389,650 |
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 |
|
232,000 |
203,000 |
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 |
|
140,000 |
115,568 |
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 |
|
695,000 |
590,093 |
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 |
|
478,000 |
412,275 |
|
|
|
3,240,965 |
Transportation (0.1%) |
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 |
|
324,000 |
315,677 |
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 |
|
100,000 |
91,211 |
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 |
|
100,000 |
94,933 |
|
|
|
501,821 |
Utilities and power (0.6%) |
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 |
|
122,000 |
93,330 |
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 |
|
67,000 |
61,321 |
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 |
|
76,000 |
69,369 |
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 |
|
62,000 |
59,965 |
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 |
|
380,000 |
350,649 |
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity |
|
41,000 |
34,242 |
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 |
|
19,000 |
18,913 |
|
|
|
|
CORPORATE BONDS AND NOTES (20.2%)* cont. |
Principal amount |
Value |
Utilities and power cont. |
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 |
|
$385,000 |
$372,807 |
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 |
|
395,000 |
307,469 |
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 |
|
116,000 |
104,690 |
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 |
|
122,000 |
113,926 |
ReNew Wind Energy AP2/ReNew Power Pvt, Ltd. other 9 Subsidiaries company guaranty sr. notes Ser. REGS, 4.50%, 7/14/28 (India) |
|
279,000 |
238,256 |
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 |
|
115,000 |
106,311 |
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 |
|
369,000 |
359,385 |
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 |
|
165,000 |
155,278 |
|
|
|
2,445,911 |
Total corporate bonds and notes (cost $84,101,541) |
$78,530,475 |
|
|
|
|
|
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.4%)* |
Principal amount |
Value |
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) |
EUR |
470,000 |
$372,076 |
Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d’lvoire) |
EUR |
760,000 |
694,318 |
Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d’lvoire) |
EUR |
2,060,000 |
1,752,118 |
Cote d’lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’lvoire) |
|
$2,765,000 |
2,457,394 |
Cote d’lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’lvoire) |
|
300,000 |
291,375 |
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |
|
690,000 |
586,803 |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) |
|
715,000 |
735,716 |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) |
|
1,350,000 |
1,323,381 |
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) |
|
230,000 |
199,493 |
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) |
|
1,650,000 |
1,643,930 |
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) |
|
810,000 |
596,347 |
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) |
|
2,480,000 |
2,049,090 |
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana) (In default) † |
|
1,310,000 |
484,700 |
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default) † |
|
3,040,000 |
1,216,000 |
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default) † |
|
1,300,000 |
492,375 |
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) |
|
2,670,000 |
2,671,864 |
|
|
|
|
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.4%)* cont. |
Principal amount |
Value |
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) |
|
$760,000 |
$754,513 |
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) |
|
640,000 |
737,670 |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) |
|
1,265,000 |
1,257,903 |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) |
|
1,355,000 |
1,350,556 |
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) |
|
670,000 |
628,125 |
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) |
|
3,710,000 |
2,430,987 |
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) |
|
2,780,000 |
2,279,232 |
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) |
|
1,720,000 |
1,694,200 |
Total foreign government and agency bonds and notes (cost $32,439,756) |
$28,700,166 |
|
|
|
|
|
CONVERTIBLE BONDS AND NOTES (3.7%)* |
Principal amount |
Value |
Capital goods (0.1%) |
Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 |
|
$36,000 |
$38,664 |
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 |
|
183,000 |
168,635 |
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 |
|
93,000 |
121,319 |
|
|
|
328,618 |
Communication services (0.2%) |
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 |
|
381,000 |
249,285 |
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 |
|
84,000 |
109,830 |
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 |
|
328,000 |
303,072 |
|
|
|
662,187 |
Consumer cyclicals (0.8%) |
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 |
|
139,000 |
116,496 |
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 |
|
217,000 |
173,871 |
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 |
|
95,000 |
79,990 |
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 |
|
181,000 |
257,708 |
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 |
|
113,000 |
139,979 |
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 |
|
182,000 |
123,760 |
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 |
|
217,000 |
197,470 |
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 |
|
303,000 |
307,545 |
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 |
|
212,000 |
168,964 |
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 |
|
377,000 |
404,333 |
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 |
|
81,000 |
116,033 |
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 |
|
81,000 |
92,664 |
NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 |
|
181,000 |
142,538 |
|
|
|
|
CONVERTIBLE BONDS AND NOTES (3.7%)* cont. |
Principal amount |
Value |
Consumer cyclicals cont. |
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 |
|
$215,000 |
$328,198 |
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 |
|
164,000 |
175,070 |
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 |
|
272,000 |
257,380 |
|
|
|
3,081,999 |
Consumer staples (0.4%) |
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 |
|
80,000 |
68,680 |
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 |
|
144,000 |
117,810 |
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 |
|
148,000 |
128,668 |
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 |
|
172,000 |
135,123 |
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 |
|
400,000 |
359,760 |
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 |
|
107,000 |
98,012 |
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 |
|
162,000 |
120,457 |
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 |
|
206,000 |
181,022 |
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 |
|
160,000 |
125,808 |
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 |
|
192,000 |
148,320 |
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 |
|
100,000 |
102,450 |
|
|
|
1,586,110 |
Energy (0.2%) |
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 |
|
204,000 |
219,358 |
Northern Oil and Gas, Inc. 144A cv. sr. unsec. notes 3.625%, 4/15/29 |
|
223,000 |
252,994 |
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 |
|
59,000 |
138,798 |
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) |
|
115,000 |
154,388 |
|
|
|
765,538 |
Financials (—%) |
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 |
|
176,000 |
131,824 |
|
|
|
131,824 |
Health care (0.6%) |
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 |
|
144,000 |
162,000 |
CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 |
|
84,000 |
79,926 |
Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 |
|
190,000 |
200,070 |
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 |
|
308,000 |
274,890 |
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 |
|
331,000 |
309,899 |
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 |
|
152,000 |
209,836 |
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 |
|
111,000 |
116,717 |
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) |
|
252,000 |
247,433 |
Lantheus Holdings, Inc. 144A cv. company guaranty sr. unsec. unsub. notes 2.625%, 12/15/27 |
|
239,000 |
254,989 |
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 |
|
92,000 |
134,734 |
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 |
|
209,000 |
190,974 |
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 |
|
155,000 |
124,295 |
|
|
|
2,305,763 |
|
|
|
|
CONVERTIBLE BONDS AND NOTES (3.7%)* cont. |
Principal amount |
Value |
Technology (1.2%) |
3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 |
|
$97,000 |
$71,962 |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 |
|
379,000 |
375,210 |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 |
|
164,000 |
175,726 |
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 |
|
201,000 |
167,835 |
Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 |
|
196,000 |
157,192 |
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 |
|
138,000 |
184,989 |
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 |
|
152,000 |
137,940 |
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) |
|
115,000 |
126,431 |
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 |
|
135,000 |
147,825 |
DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 |
|
131,000 |
100,543 |
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 |
|
153,000 |
129,193 |
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 |
|
104,000 |
98,228 |
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 |
|
128,000 |
175,206 |
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 |
|
304,000 |
275,880 |
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 |
|
103,000 |
126,175 |
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 |
|
263,000 |
223,024 |
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 |
|
104,000 |
155,948 |
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 |
|
112,000 |
183,568 |
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 |
|
159,000 |
138,628 |
Perficient, Inc. cv. sr. unsec. notes 0.125%, 11/15/26 |
|
78,000 |
63,133 |
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 |
|
199,000 |
174,001 |
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 |
|
215,000 |
158,670 |
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 |
|
326,000 |
280,556 |
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 |
|
152,000 |
126,768 |
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 |
|
95,000 |
90,203 |
Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 |
|
177,000 |
136,467 |
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 |
|
109,000 |
113,088 |
Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 |
|
145,000 |
140,813 |
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 |
|
157,000 |
165,792 |
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 |
|
96,000 |
104,880 |
|
|
|
4,705,874 |
Transportation (0.1%) |
JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 |
|
163,000 |
128,852 |
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 |
|
258,000 |
309,342 |
|
|
|
438,194 |
Utilities and power (0.1%) |
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 |
|
234,000 |
239,382 |
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 |
|
200,000 |
204,300 |
|
|
|
443,682 |
Total convertible bonds and notes (cost $15,943,360) |
$14,449,789 |
|
|
|
|
|
SENIOR LOANS (2.3%)*c |
Principal amount |
Value |
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.82%, 4/1/28 |
|
$172,375 |
$171,729 |
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 9.558%, 4/20/28 |
|
120,000 |
123,131 |
|
|
|
|
SENIOR LOANS (2.3%)*c cont. |
Principal amount |
Value |
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 8.311%, 10/19/27 |
|
$465,033 |
$460,467 |
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 7.82%, 7/31/27 |
|
68,947 |
65,019 |
Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.506%, 12/7/29 |
|
545,000 |
547,044 |
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 9.065%, 6/21/24 |
|
571,468 |
532,385 |
BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.816%, 4/3/24 |
|
344,090 |
340,649 |
BWAY Holding Co. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 8.568%, 8/15/26 |
|
85,000 |
84,150 |
Cengage Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 9.88%, 6/29/26 |
|
370,313 |
352,352 |
Chart Industries, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.033%, 12/8/29 |
|
1,079,000 |
1,079,453 |
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 8.325%, 8/21/26 |
|
497,344 |
472,243 |
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 8.48%, 5/27/28 |
|
206,850 |
207,057 |
CSC Holdings, LLC bank term loan FRN Ser. B6, (CME Term SOFR 1 Month + 4.50%), 8.823%, 1/14/28 |
|
391,771 |
370,960 |
Diamond Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 8.026%, 8/24/26 |
|
208,061 |
15,692 |
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 9.57%, 7/22/27 |
|
560,052 |
549,959 |
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 6.316%, 2/4/27 |
|
131,629 |
129,490 |
Envision Healthcare Corp. bank term loan FRN (US SOFR + 4.25%), 8.83%, 3/31/27 |
|
61,232 |
24,340 |
Envision Healthcare Corp. bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 8.33%, 3/31/27 |
|
149,923 |
36,731 |
Forest City Enterprises LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 8.047%, 12/7/25 |
|
185,143 |
173,942 |
GFL Environmental, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.00%), 7.825%, 5/31/25 |
|
428,813 |
429,529 |
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 8.651%, 10/2/25 |
|
160,491 |
118,362 |
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 8.57%, 12/1/27 |
|
396,900 |
389,212 |
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 10.375%, 4/22/27 |
|
148,581 |
123,508 |
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.411%, 1/29/28 |
|
119,093 |
118,126 |
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 10.985%, 8/31/29 |
|
115,000 |
110,400 |
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 12.75%, 2/28/26 |
|
162,000 |
75,735 |
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 7.755%, 5/3/26 |
|
555,469 |
547,137 |
Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 8.23%, 12/17/26 |
|
264,164 |
250,076 |
|
|
|
|
SENIOR LOANS (2.3%)*c cont. |
Principal amount |
Value |
TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.18%, 3/30/29 |
|
$288,000 |
$265,320 |
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.568%, 4/21/28 |
|
250,538 |
249,976 |
Vision Solutions, Inc. bank term loan FRN (US SOFR + 4.00%), 8.818%, 4/24/28 |
|
448,864 |
393,429 |
Werner Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 8.73%, 7/24/24 |
|
76,628 |
69,252 |
Total senior loans (cost $9,321,724) |
$8,876,855 |
|
|
|
|
|
ASSET-BACKED SECURITIES (0.8%)* |
Principal amount |
Value |
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 |
|
$477,807 |
$471,834 |
Mello Warehouse Securitization Trust 144A |
|
|
|
FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 7.756%, 11/25/55 |
|
1,286,000 |
1,250,635 |
FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 11/25/55 |
|
936,000 |
845,356 |
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class F, (ICE LIBOR USD 1 Month + 5.25%), 9.756%, 5/25/55 |
|
480,000 |
470,400 |
Total asset-backed securities (cost $3,038,576) |
$3,038,225 |
|
|
|
|
COMMON STOCKS (—%)* |
Shares |
Value |
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) |
21,073 |
$24,234 |
Total common stocks (cost $21,953) |
$24,234 |
|
|
|
|
|
SHORT-TERM INVESTMENTS (26.0%)* |
Principal amount/ shares |
Value |
ABN AMRO Funding USA, LLC commercial paper 4.367%, 2/13/23 |
|
$2,000,000 |
$1,996,728 |
Banco Santander SA commercial paper 4.864%, 5/25/23 (Spain) |
|
2,000,000 |
1,969,043 |
ING (U.S.) Funding, LLC commercial paper 5.057%, 9/1/23 |
|
2,000,000 |
1,941,591 |
Interest in $385,600,000 joint tri-party repurchase agreement dated 1/31/2023 with Royal Bank of Canada due 2/1/2023 — maturity value of $16,307,948 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities and U.S. Treasuries (including strips) with coupon rates ranging from 0.000% to 6.500% and due dates ranging from 2/28/2023 to 12/20/2052, valued at $393,359,048) |
|
16,306,000 |
16,306,000 |
Mitsubishi UFJ Trust & Banking Corp./NY commercial paper 4.469%, 2/6/23 |
|
2,000,000 |
1,998,516 |
Mizuho Bank, Ltd./New York, NY commercial paper 4.374%, 2/6/23 |
|
2,000,000 |
1,998,516 |
NRW.Bank commercial paper 4.444%, 2/21/23 (Germany) |
|
2,000,000 |
1,994,836 |
Putnam Short Term Investment Fund Class P 4.58% L |
Shares |
51,546,233 |
51,546,233 |
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18% P |
Shares |
7,795,000 |
7,795,000 |
Sumitomo Mitsui Trust Bank, Ltd./Singapore commercial paper 4.431%, 2/2/23 (Singapore) |
|
$2,000,000 |
1,999,522 |
TotalEnergies Capital Canada, Ltd. commercial paper 4.435%, 2/13/23 (Canada) |
|
2,000,000 |
1,996,733 |
U.S. Treasury Bills 4.492%, 3/16/23 ∆ § Φ |
|
1,400,000 |
1,392,528 |
|
|
|
|
SHORT-TERM INVESTMENTS (26.0%)* cont. |
Principal amount/ shares |
Value |
U.S. Treasury Bills 4.412%, 2/23/23 # ∆ § |
|
$8,100,000 |
$8,077,960 |
U.S. Treasury Bills 3.848%, 2/2/23 ∆ |
|
200,000 |
199,978 |
Total short-term investments (cost $101,217,094) |
$101,213,184 |
|
|
|
TOTAL INVESTMENTS |
Total investments (cost $905,406,127) |
$877,382,689 |
|
|
|
Key to holding’s currency abbreviations |
AUD |
Australian Dollar |
CAD |
Canadian Dollar |
CHF |
Swiss Franc |
EUR |
Euro |
GBP |
British Pound |
NOK |
Norwegian Krone |
NZD |
New Zealand Dollar |
SEK |
Swedish Krona |
USD/$ |
United States Dollar |
|
|
|
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 |
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 |
|
|
|
|
|
Notes to the fund’s portfolio |
|
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from August 1, 2022 through January 31, 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 $389,515,781. |
† |
This security is non-income-producing. |
# |
This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,195,523 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 $2,901,035 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 $138,236 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). |
§ |
This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,817,694 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. |
|
|
|
|
|
|
DIVERSIFICATION BY COUNTRY |
|
|
|
|
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): |
United States |
93.9% |
|
Dominican Republic |
0.5% |
Indonesia |
0.9 |
|
Other |
3.5 |
Mexico |
0.6 |
|
Total |
100.0% |
Cote d’lvoire |
0.6 |
|
|
|
|