|
|
|
|
|
|
|
|
MORTGAGE-BACKED
SECURITIES (39.6%)(a) |
| |
|
|
|
Principal
amount |
Value |
|
Agency
collateralized mortgage obligations (13.8%) |
|
Federal
Home Loan Mortgage Corporation |
|
|
|
|
|
|
REMICs
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 |
|
|
|
$892,996 |
$184,327 |
|
REMICs
Ser. 5091, Class IL, IO, 4.50%, 3/25/51 |
|
|
|
5,336,064 |
1,160,338 |
|
REMICs
Ser. 5093, Class YI, IO, 4.50%, 12/25/50 |
|
|
|
4,072,462 |
934,144 |
|
REMICs
Ser. 5024, Class HI, IO, 4.50%, 10/25/50 |
|
|
|
7,203,950 |
1,625,509 |
|
REMICs
Ser. 4984, Class IL, IO, 4.50%, 6/25/50 |
|
|
|
5,012,800 |
1,139,910 |
|
REMICs
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 |
|
|
|
351,146 |
54,059 |
|
REMICs
Ser. 5134, Class IC, IO, 4.00%, 8/25/51 |
|
|
|
8,199,692 |
1,559,795 |
|
REMICs
Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 |
|
|
|
4,564,858 |
943,848 |
|
REMICs
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 |
|
|
|
1,120,109 |
170,240 |
|
REMICs
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 |
|
|
|
493,775 |
36,260 |
|
Strips
Ser. 304, Class C37, IO, 3.50%, 12/15/27 |
|
|
|
256,127 |
8,169 |
|
REMICs
Ser. 23-5349, Class IA, IO, 3.00%, 12/15/42 |
|
|
|
2,465,107 |
228,296 |
|
REMICs
IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.815%, 9/25/50 |
|
|
|
8,193,581 |
791,500 |
|
REMICs
IFB Ser. 4742, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.765%, 12/15/47 |
|
|
|
1,379,515 |
122,474 |
|
REMICs
IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 8/15/56 |
|
|
|
4,836,139 |
424,661 |
|
REMICs
IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 7/25/50 |
|
|
|
7,670,555 |
680,697 |
|
REMICs
IFB Ser. 4678, Class MS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 4/15/47 |
|
|
|
988,152 |
88,207 |
|
REMICs
IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 1/25/50 |
|
|
|
4,930,401 |
356,526 |
|
Structured
Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.383%, 7/25/43(WAC) |
|
|
|
1,382,182 |
18,153 |
|
Federal
National Mortgage Association |
|
|
|
|
|
|
REMICs
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 |
|
|
|
1,773,365 |
295,540 |
|
Interest
Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 |
|
|
|
77,339 |
12,733 |
|
REMICs
Ser. 15-30, IO, 5.50%, 5/25/45 |
|
|
|
2,699,506 |
426,225 |
|
Interest
Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 |
|
|
|
234,773 |
32,917 |
|
REMICs
Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 |
|
|
|
7,432,990 |
1,370,272 |
|
REMICs
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 |
|
|
|
304,732 |
59,165 |
|
REMICs
Ser. 23-49, Class IC, IO, 4.00%, 11/25/49 |
|
|
|
197,385 |
35,263 |
|
REMICs
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 |
|
|
|
2,787,097 |
487,047 |
|
REMICs
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 |
|
|
|
849,105 |
122,857 |
|
REMICs
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 |
|
|
|
630,315 |
91,465 |
|
REMICs
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 |
|
|
|
450,376 |
51,507 |
|
REMICs
Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 |
|
|
|
15,254,197 |
2,119,087 |
|
REMICs
IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.965%, 4/25/40 |
|
|
|
618,156 |
50,540 |
|
REMICs
IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.815%, 3/25/48 |
|
|
|
3,057,474 |
203,016 |
|
REMICs
IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.765%, 6/25/48 |
|
|
|
5,406,507 |
463,359 |
|
Grantor
Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) |
|
|
|
825,022 |
3,337 |
|
REMICs
IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.715%, 5/25/47 |
|
|
|
6,673,553 |
487,503 |
|
REMICs
IFB Ser. 13-18, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.715%, 10/25/41 |
|
|
|
55,740 |
84 |
|
REMICs
IFB Ser. 16-96, Class ST, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 12/25/46 |
|
|
|
2,716,274 |
142,737 |
|
REMICs
IFB Ser. 20-12, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 3/25/50 |
|
|
|
4,450,487 |
357,063 |
|
REMICs
IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 8/25/49 |
|
|
|
2,888,307 |
194,141 |
|
REMICs
FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.565%, 11/25/49 |
|
|
|
5,703,467 |
480,151 |
|
REMICs
IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.465%, 10/25/41 |
|
|
|
1,335,268 |
83,404 |
|
Government
National Mortgage Association |
|
|
|
|
|
|
Ser.
16-42, IO, 5.00%, 2/20/46 |
|
|
|
1,871,508 |
352,247 |
|
Ser.
18-127, Class IC, IO, 5.00%, 10/20/44 |
|
|
|
3,194,657 |
719,309 |
|
Ser.
14-76, IO, 5.00%, 5/20/44 |
|
|
|
746,014 |
147,933 |
|
Ser.
12-146, IO, 5.00%, 12/20/42 |
|
|
|
536,636 |
103,657 |
|
Ser.
10-35, Class UI, IO, 5.00%, 3/20/40 |
|
|
|
756,471 |
154,841 |
|
Ser.
10-20, Class UI, IO, 5.00%, 2/20/40 |
|
|
|
549,531 |
110,581 |
|
Ser.
10-9, Class UI, IO, 5.00%, 1/20/40 |
|
|
|
2,443,495 |
510,080 |
|
Ser.
09-121, Class UI, IO, 5.00%, 12/20/39 |
|
|
|
1,253,451 |
253,435 |
|
Ser.
17-26, Class MI, IO, 5.00%, 11/20/39 |
|
|
|
2,537,691 |
498,363 |
|
Ser.
15-79, Class GI, IO, 5.00%, 10/20/39 |
|
|
|
451,632 |
88,139 |
|
Ser.
18-94, Class AI, IO, 4.50%, 7/20/48 |
|
|
|
1,366,829 |
273,756 |
|
Ser.
21-122, Class GI, IO, 4.50%, 11/20/47 |
|
|
|
7,780,748 |
1,610,741 |
|
Ser.
13-34, Class IH, IO, 4.50%, 3/20/43 |
|
|
|
1,038,376 |
202,241 |
|
Ser.
17-42, Class IC, IO, 4.50%, 8/20/41 |
|
|
|
921,222 |
179,219 |
|
Ser.
10-35, Class AI, IO, 4.50%, 3/20/40 |
|
|
|
1,006,570 |
172,973 |
|
Ser.
10-35, Class DI, IO, 4.50%, 3/20/40 |
|
|
|
1,632,120 |
303,721 |
|
Ser.
10-35, Class QI, IO, 4.50%, 3/20/40 |
|
|
|
878,745 |
152,364 |
|
Ser.
15-186, Class AI, IO, 4.00%, 12/20/45 |
|
|
|
2,058,984 |
357,501 |
|
Ser.
15-53, Class MI, IO, 4.00%, 4/16/45 |
|
|
|
1,800,167 |
329,002 |
|
Ser.
15-64, Class YI, IO, 4.00%, 11/20/44 |
|
|
|
1,181,542 |
155,822 |
|
Ser.
14-149, Class IP, IO, 4.00%, 7/16/44 |
|
|
|
3,941,141 |
588,512 |
|
Ser.
17-93, Class TI, IO, 4.00%, 3/20/44 |
|
|
|
734,562 |
27,269 |
|
Ser.
14-4, Class IC, IO, 4.00%, 1/20/44 |
|
|
|
475,223 |
78,490 |
|
Ser.
14-100, Class NI, IO, 4.00%, 6/20/43 |
|
|
|
992,550 |
61,516 |
|
Ser.
13-165, Class IL, IO, 4.00%, 3/20/43 |
|
|
|
458,928 |
70,790 |
|
Ser.
12-56, Class IB, IO, 4.00%, 4/20/42 |
|
|
|
439,297 |
74,716 |
|
Ser.
21-156, IO, 3.50%, 7/20/51 |
|
|
|
9,075,224 |
1,577,712 |
|
Ser.
20-167, Class PI, IO, 3.50%, 11/20/50 |
|
|
|
5,277,039 |
1,001,229 |
|
Ser.
16-75, Class EI, IO, 3.50%, 8/20/45 |
|
|
|
914,537 |
152,367 |
|
Ser.
13-28, IO, 3.50%, 2/20/43 |
|
|
|
306,889 |
45,444 |
|
Ser.
13-54, Class JI, IO, 3.50%, 2/20/43 |
|
|
|
491,953 |
56,284 |
|
Ser.
13-14, IO, 3.50%, 12/20/42 |
|
|
|
1,822,079 |
197,076 |
|
Ser.
12-140, Class IC, IO, 3.50%, 11/20/42 |
|
|
|
2,003,608 |
328,748 |
|
Ser.
12-128, Class IA, IO, 3.50%, 10/20/42 |
|
|
|
1,953,005 |
304,665 |
|
Ser.
12-113, Class ID, IO, 3.50%, 9/20/42 |
|
|
|
858,795 |
135,875 |
|
Ser.
15-52, Class KI, IO, 3.50%, 11/20/40 |
|
|
|
838,814 |
50,455 |
|
Ser.
21-59, Class IP, IO, 3.00%, 4/20/51 |
|
|
|
7,640,615 |
1,192,318 |
|
Ser.
20-175, Class NI, IO, 3.00%, 11/20/50 |
|
|
|
6,111,122 |
942,380 |
|
Ser.
17-H19, Class MI, IO, 2.069%, 4/20/67(WAC) |
|
|
|
2,458,613 |
133,257 |
|
Ser.
16-H03, Class DI, IO, 2.048%, 12/20/65(WAC) |
|
|
|
5,281,282 |
223,107 |
|
Ser.
15-H25, Class EI, IO, 1.863%, 10/20/65(WAC) |
|
|
|
3,756,060 |
140,477 |
|
Ser.
15-H20, Class AI, IO, 1.812%, 8/20/65(WAC) |
|
|
|
4,955,847 |
167,508 |
|
FRB
Ser. 15-H08, Class CI, IO, 1.782%, 3/20/65(WAC) |
|
|
|
3,536,769 |
105,396 |
|
Ser.
15-H23, Class BI, IO, 1.722%, 9/20/65(WAC) |
|
|
|
5,169,311 |
154,562 |
|
Ser.
16-H24, Class CI, IO, 1.657%, 10/20/66(WAC) |
|
|
|
3,855,087 |
117,966 |
|
Ser.
16-H14, IO, 1.652%, 6/20/66(WAC) |
|
|
|
3,767,286 |
96,902 |
|
Ser.
13-H08, Class CI, IO, 1.611%, 2/20/63(WAC) |
|
|
|
2,873,138 |
90,504 |
|
Ser.
14-H21, Class BI, IO, 1.516%, 10/20/64(WAC) |
|
|
|
5,448,380 |
160,727 |
|
IFB
Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.129%, 2/20/53 |
|
|
|
15,729,677 |
1,042,915 |
|
IFB
Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 6/20/51 |
|
|
|
10,644,499 |
987,916 |
|
IFB
Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 5/20/51 |
|
|
|
6,687,080 |
628,674 |
|
IFB
Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 4/20/51 |
|
|
|
13,606,346 |
1,137,300 |
|
IFB
Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 4/20/51 |
|
|
|
4,631,183 |
382,376 |
|
IFB
Ser. 20-133, Class CS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 9/20/50 |
|
|
|
6,051,583 |
589,926 |
|
FRB
Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.751%, 11/20/47 |
|
|
|
7,177,064 |
676,160 |
|
IFB
Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 0.726%, 4/20/44 |
|
|
|
3,612,722 |
281,162 |
|
IFB
Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.696%, 7/20/50 |
|
|
|
3,618,461 |
340,016 |
|
IFB
Ser. 19-5, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.696%, 1/20/49 |
|
|
|
3,186,803 |
240,601 |
|
Ser.
16-H16, Class EI, IO, 0.695%, 6/20/66(WAC) |
|
|
|
3,919,505 |
137,183 |
|
IFB
Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 5/20/50 |
|
|
|
4,450,099 |
367,109 |
|
IFB
Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 4/20/50 |
|
|
|
5,637,214 |
493,616 |
|
IFB
Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 8/20/49 |
|
|
|
4,405,891 |
359,521 |
|
IFB
Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 7/20/49 |
|
|
|
3,913,690 |
310,669 |
|
IFB
Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 7/20/49 |
|
|
|
5,088,538 |
369,949 |
|
IFB
Ser. 20-7, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.596%, 1/20/50 |
|
|
|
3,335,533 |
263,699 |
|
IFB
Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.596%, 12/20/49 |
|
|
|
2,722,229 |
208,233 |
|
IFB
Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.596%, 9/20/49 |
|
|
|
4,358,248 |
341,551 |
|
Ser.
16-H22, Class AI, IO, 0.577%, 10/20/66(WAC) |
|
|
|
5,531,406 |
198,793 |
|
IFB
Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.546%, 8/20/43 |
|
|
|
4,923,594 |
325,942 |
|
Ser.
15-H20, Class CI, IO, 0.538%, 8/20/65(WAC) |
|
|
|
5,557,933 |
272,895 |
|
Ser.
16-H18, Class QI, IO, 0.516%, 6/20/66(WAC) |
|
|
|
3,420,183 |
150,259 |
|
Ser.
17-H11, Class DI, IO, 0.502%, 5/20/67(WAC) |
|
|
|
4,758,561 |
237,645 |
|
Ser.
16-H23, Class NI, IO, 0.457%, 10/20/66(WAC) |
|
|
|
14,486,751 |
550,497 |
|
Ser.
16-H17, Class KI, IO, 0.411%, 7/20/66(WAC) |
|
|
|
2,298,919 |
95,372 |
|
Ser.
15-H15, Class BI, IO, 0.31%, 6/20/65(WAC) |
|
|
|
2,913,083 |
100,793 |
|
Ser.
15-H24, Class AI, IO, 0.292%, 9/20/65(WAC) |
|
|
|
4,389,923 |
113,379 |
|
Ser.
17-H12, Class QI, IO, 0.238%, 5/20/67(WAC) |
|
|
|
4,289,620 |
136,397 |
|
IFB
Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.146%, 8/20/44 |
|
|
|
1,568,045 |
95,401 |
|
Ser.
16-H09, Class BI, IO, 0.105%, 4/20/66(WAC) |
|
|
|
6,406,357 |
285,083 |
|
Ser.
17-H16, Class JI, IO, 0.069%, 8/20/67(WAC) |
|
|
|
12,468,493 |
569,929 |
|
Ser.
18-H02, Class EI, IO, 0.05%, 1/20/68(WAC) |
|
|
|
8,194,725 |
338,901 |
|
Ser.
15-H10, Class BI, IO, 0.047%, 4/20/65(WAC) |
|
|
|
3,437,632 |
133,036 |
|
Ser.
18-H05, Class AI, IO, 0.036%, 2/20/68(WAC) |
|
|
|
3,559,823 |
142,190 |
|
Ser.
18-H05, Class BI, IO, 0.036%, 2/20/68(WAC) |
|
|
|
5,663,988 |
223,240 |
|
Ser.
16-H03, Class AI, IO, 0.034%, 1/20/66(WAC) |
|
|
|
12,114,183 |
384,891 |
|
Ser.
17-H02, Class BI, IO, 0.031%, 1/20/67(WAC) |
|
|
|
3,540,266 |
98,487 |
|
Ser.
18-H03, Class XI, IO, 0.019%, 2/20/68(WAC) |
|
|
|
5,802,119 |
243,109 |
|
Ser.
17-H08, Class NI, IO, 0.019%, 3/20/67(WAC) |
|
|
|
6,784,257 |
207,598 |
|
Ser.
17-H06, Class BI, IO, 0.015%, 2/20/67(WAC) |
|
|
|
5,290,947 |
149,700 |
|
Ser.
17-H09, IO, 0.014%, 4/20/67(WAC) |
|
|
|
7,086,146 |
171,903 |
|
Ser.
16-H06, Class DI, IO, 0.01%, 7/20/65(WAC) |
|
|
|
10,224,464 |
217,802 |
|
Ser.
17-H16, Class IG, IO, 0.009%, 7/20/67(WAC) |
|
|
|
11,021,383 |
263,222 |
|
Ser.
18-H15, Class KI, IO, 0.003%, 8/20/68(WAC) |
|
|
|
4,742,895 |
181,920 |
|
Ser.
16-H06, Class CI, IO, 0.002%, 2/20/66(WAC) |
|
|
|
6,030,550 |
86,563 |
|
Ser.
16-H10, Class AI, IO, zero %, 4/20/66(WAC) |
|
|
|
9,708,141 |
147,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
48,329,964 |
|
Commercial
mortgage-backed securities (14.0%) |
|
Barclays
Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 |
|
|
|
802,000 |
452,947 |
|
Benchmark
Mortgage Trust FRB Ser. 18-B1, Class C, 4.189%, 1/15/51(WAC) |
|
|
|
735,000 |
507,308 |
|
Benchmark
Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 18-B3, Class D, 3.025%, 4/10/51(WAC) |
|
|
|
1,213,000 |
652,881 |
|
Ser.
19-B13, Class D, 2.50%, 8/15/57 |
|
|
|
792,000 |
436,788 |
|
BWAY
Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44(WAC) |
|
|
|
1,247,000 |
732,788 |
|
CD
Commercial Mortgage Trust 144A |
|
|
|
|
|
|
Ser.
17-CD3, Class D, 3.25%, 2/10/50 |
|
|
|
1,337,000 |
534,503 |
|
Ser.
19-CD8, Class D, 3.00%, 8/15/57 |
|
|
|
814,000 |
390,720 |
|
CFCRE
Commercial Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) |
|
|
|
1,068,000 |
872,042 |
|
FRB
Ser. 11-C2, Class F, 5.249%, 12/15/47(WAC) |
|
|
|
2,121,000 |
1,336,803 |
|
Citigroup
Commercial Mortgage Trust 144A |
|
|
|
|
|
|
Ser.
15-P1, Class D, 3.225%, 9/15/48 |
|
|
|
1,273,000 |
1,019,311 |
|
Ser.
15-GC27, Class E, 3.00%, 2/10/48 |
|
|
|
886,000 |
576,744 |
|
COMM
Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 14-CR16, Class C, 4.916%, 4/10/47(WAC) |
|
|
|
912,000 |
758,565 |
|
Ser.
13-CR12, Class AM, 4.30%, 10/10/46 |
|
|
|
1,123,000 |
932,090 |
|
Ser.
15-DC1, Class B, 4.035%, 2/10/48(WAC) |
|
|
|
906,000 |
789,912 |
|
FRB
Ser. 15-CR26, Class D, 3.465%, 10/10/48(WAC) |
|
|
|
658,000 |
421,054 |
|
COMM
Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 13-CR13, Class D, 5.01%, 11/10/46(WAC) |
|
|
|
1,081,000 |
720,008 |
|
FRB
Ser. 14-CR17, Class D, 4.824%, 5/10/47(WAC) |
|
|
|
617,000 |
495,597 |
|
FRB
Ser. 14-CR17, Class E, 4.824%, 5/10/47(WAC) |
|
|
|
919,000 |
611,503 |
|
FRB
Ser. 14-UBS3, Class D, 4.764%, 6/10/47(WAC) |
|
|
|
481,000 |
284,279 |
|
Ser.
12-CR3, Class F, 4.75%, 10/15/45 (In default)(NON)(WAC) |
|
|
|
194,678 |
9,830 |
|
FRB
Ser. 14-CR19, Class D, 4.629%, 8/10/47(WAC) |
|
|
|
507,000 |
455,708 |
|
FRB
Ser. 15-LC19, Class E, 4.213%, 2/10/48(WAC) |
|
|
|
781,000 |
583,339 |
|
FRB
Ser. 18-COR3, Class D, 2.809%, 5/10/51(WAC) |
|
|
|
672,000 |
339,014 |
|
Credit
Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.478%, 9/9/24 |
|
|
|
511,000 |
514,159 |
|
CSAIL
Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.75%, 4/15/50(WAC) |
|
|
|
1,390,000 |
848,207 |
|
DBUBS
Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.359%, 8/10/44(WAC) |
|
|
|
465,259 |
415,103 |
|
Federal
Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.321%, 11/25/51 |
|
|
|
1,746,000 |
1,657,697 |
|
GS
Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.537%, 2/10/46(WAC) |
|
|
|
1,423,000 |
1,241,491 |
|
GS
Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) |
|
|
|
357,000 |
326,748 |
|
GS
Mortgage Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 11-GC5, Class B, 5.153%, 8/10/44(WAC) |
|
|
|
533,000 |
441,222 |
|
FRB
Ser. 14-GC24, Class D, 4.523%, 9/10/47(WAC) |
|
|
|
2,827,000 |
1,076,219 |
|
Ser.
19-GC38, Class D, 3.00%, 2/10/52 |
|
|
|
1,109,000 |
686,516 |
|
JPMBB
Commercial Mortgage Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 14-C18, Class D, 4.733%, 2/15/47(WAC) |
|
|
|
2,173,000 |
1,485,482 |
|
FRB
Ser. 14-C19, Class C19, 4.627%, 4/15/47(WAC) |
|
|
|
814,000 |
754,473 |
|
FRB
Ser. 14-C18, Class E, 4.233%, 2/15/47(WAC) |
|
|
|
914,000 |
599,036 |
|
FRB
Ser. C14, Class D, 4.15%, 8/15/46(WAC) |
|
|
|
1,265,000 |
646,182 |
|
FRB
Ser. 14-C23, Class D, 3.983%, 9/15/47(WAC) |
|
|
|
574,000 |
481,270 |
|
FRB
Ser. 14-C25, Class D, 3.933%, 11/15/47(WAC) |
|
|
|
1,404,000 |
759,577 |
|
Ser.
14-C25, Class E, 3.332%, 11/15/47(WAC) |
|
|
|
1,823,000 |
456,492 |
|
JPMCC
Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.382%, 9/15/50(WAC) |
|
|
|
577,000 |
392,955 |
|
JPMDB
Commercial Mortgage Securities Trust |
|
|
|
|
|
|
FRB
Ser. 18-C8, Class C, 4.764%, 6/15/51(WAC) |
|
|
|
448,000 |
351,191 |
|
Ser.
17-C5, Class C, 4.512%, 3/15/50(WAC) |
|
|
|
680,000 |
477,385 |
|
JPMorgan
Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
|
FRB
Ser. 13-LC11, Class D, 4.167%, 4/15/46(WAC) |
|
|
|
574,000 |
200,900 |
|
Ser.
13-LC11, Class B, 3.499%, 4/15/46 |
|
|
|
508,000 |
424,130 |
|
JPMorgan
Chase Commercial Mortgage Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 11-C3, Class F, 5.526%, 2/15/46(WAC) |
|
|
|
1,113,000 |
255,703 |
|
FRB
Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) |
|
|
|
659,000 |
539,715 |
|
FRB
Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) |
|
|
|
1,390,000 |
347,500 |
|
Mezz
Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) |
|
|
|
26,213 |
— |
|
Morgan
Stanley Bank of America Merrill Lynch Trust |
|
|
|
|
|
|
Ser.
12-C6, Class C, 4.536%, 11/15/45(WAC) |
|
|
|
663,370 |
627,113 |
|
FRB
Ser. 15-C22, Class C, 4.20%, 4/15/48(WAC) |
|
|
|
1,227,000 |
1,077,967 |
|
Morgan
Stanley Bank of America Merrill Lynch Trust 144A |
|
|
|
|
|
|
FRB
Ser. 13-C12, Class D, 4.862%, 10/15/46(WAC) |
|
|
|
929,000 |
769,907 |
|
FRB
Ser. 12-C6, Class E, 4.425%, 11/15/45(WAC) |
|
|
|
619,000 |
401,418 |
|
FRB
Ser. 15-C23, Class D, 4.138%, 7/15/50(WAC) |
|
|
|
833,000 |
702,836 |
|
FRB
Ser. 13-C10, Class E, 3.962%, 7/15/46(WAC) |
|
|
|
2,187,000 |
509,613 |
|
FRB
Ser. 13-C10, Class F, 3.962%, 7/15/46(WAC) |
|
|
|
1,988,000 |
100,001 |
|
Ser.
14-C17, Class E, 3.50%, 8/15/47 |
|
|
|
1,025,000 |
838,105 |
|
Ser.
14-C19, Class D, 3.25%, 12/15/47 |
|
|
|
1,493,000 |
1,248,457 |
|
Morgan
Stanley Capital I Trust |
|
|
|
|
|
|
Ser.
06-HQ10, Class B, 5.448%, 11/12/41(WAC) |
|
|
|
384,505 |
320,350 |
|
FRB
Ser. 18-H3, Class C, 4.851%, 7/15/51(WAC) |
|
|
|
576,000 |
460,114 |
|
Multifamily
Connecticut Avenue Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 20-01, Class M10, 9.185%, 3/25/50 |
|
|
|
1,554,263 |
1,484,425 |
|
FRB
Ser. 19-01, Class M10, 8.685%, 10/25/49 |
|
|
|
1,173,860 |
1,130,327 |
|
Ready
Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.791%, 6/25/37 |
|
|
|
828,051 |
827,434 |
|
RIAL
Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 8.585%, 1/19/37 (Bermuda) |
|
|
|
1,046,000 |
992,937 |
|
TIAA
Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) |
|
|
|
1,081,996 |
11 |
|
UBS
Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.388%, 8/15/50(WAC) |
|
|
|
629,000 |
502,484 |
|
Wachovia
Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) |
|
|
|
12,873 |
11,582 |
|
Wells
Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 15-SG1, Class B, 4.453%, 9/15/48(WAC) |
|
|
|
710,000 |
621,001 |
|
FRB
Ser. 15-C29, Class D, 4.218%, 6/15/48(WAC) |
|
|
|
819,000 |
702,436 |
|
Wells
Fargo Commercial Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 15-C30, Class D, 4.498%, 9/15/58(WAC) |
|
|
|
265,000 |
198,995 |
|
FRB
Ser. 13-LC12, Class D, 3.955%, 7/15/46(WAC) |
|
|
|
356,000 |
89,021 |
|
Ser.
14-LC16, Class D, 3.938%, 8/15/50 |
|
|
|
2,218,000 |
145,077 |
|
Ser.
16-C33, Class D, 3.123%, 3/15/59 |
|
|
|
1,544,000 |
1,109,847 |
|
WF-RBS
Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) |
|
|
|
514,000 |
434,215 |
|
WF-RBS
Commercial Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 13-UBS1, Class D, 5.052%, 3/15/46(WAC) |
|
|
|
457,000 |
440,983 |
|
FRB
Ser. 13-UBS1, Class E, 5.052%, 3/15/46(WAC) |
|
|
|
616,000 |
596,453 |
|
Ser.
11-C4, Class F, 5.00%, 6/15/44(WAC) |
|
|
|
2,560,000 |
1,671,027 |
|
FRB
Ser. 12-C9, Class E, 4.719%, 11/15/45(WAC) |
|
|
|
537,000 |
497,578 |
|
FRB
Ser. 12-C10, Class D, 4.394%, 12/15/45(WAC) |
|
|
|
687,000 |
382,086 |
|
FRB
Ser. 13-C15, Class D, 4.213%, 8/15/46(WAC) |
|
|
|
2,693,000 |
646,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
48,833,207 |
|
Residential
mortgage-backed securities (non-agency) (11.8%) |
|
American
Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.629%, 5/25/47 |
|
|
|
622,451 |
368,789 |
|
Bear
Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.939%, 1/25/36 |
|
|
|
108,779 |
95,203 |
|
Chevy
Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.619%, 11/25/47 |
|
|
|
496,233 |
364,933 |
|
Citigroup
Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.789%, 3/25/37 |
|
|
|
1,580,794 |
1,256,621 |
|
Countrywide
Alternative Loan Trust |
|
|
|
|
|
|
FRB
Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 6.139%, 9/25/35 |
|
|
|
412,908 |
350,133 |
|
FRB
Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 6.114%, 11/20/35 |
|
|
|
1,064,667 |
926,570 |
|
FRB
Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.819%, 8/25/46 |
|
|
|
513,651 |
441,974 |
|
FRB
Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.819%, 8/25/46 |
|
|
|
2,650,776 |
2,127,487 |
|
FRB
Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 5.76%, 8/25/46 |
|
|
|
204,136 |
178,403 |
|
FRB
Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 5.74%, 6/25/46 |
|
|
|
328,355 |
268,199 |
|
FRB
Ser. 07-OH1, Class A1D, (CME Term SOFR 1 Month + 0.32%), 5.649%, 4/25/47 |
|
|
|
401,843 |
316,408 |
|
FRB
Ser. 06-OA7, Class 1A1, 3.476%, 6/25/46(WAC) |
|
|
|
872,823 |
765,029 |
|
Federal
Home Loan Mortgage Corporation |
|
|
|
|
|
|
Structured
Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (US 30 Day Average SOFR + 11.36%), 16.685%, 12/25/28 |
|
|
|
482,295 |
551,960 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.935%, 5/25/28 |
|
|
|
826,498 |
892,035 |
|
Structured
Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.435%, 7/25/28 |
|
|
|
2,794,711 |
3,093,442 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.785%, 4/25/28 |
|
|
|
1,283,554 |
1,393,682 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 14.635%, 10/25/27 |
|
|
|
727,737 |
767,878 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 12.985%, 12/25/27 |
|
|
|
1,148,815 |
1,211,488 |
|
Federal
Home Loan Mortgage Corporation 144A |
|
|
|
|
|
|
Structured
Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.685%, 2/25/49 |
|
|
|
254,000 |
315,101 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.821%, 10/25/50 |
|
|
|
491,000 |
631,338 |
|
Structured
Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 16.685%, 4/25/49 |
|
|
|
298,000 |
358,201 |
|
Structured
Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.435%, 10/25/48 |
|
|
|
1,619,000 |
1,985,793 |
|
Structured
Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.185%, 1/25/49 |
|
|
|
315,000 |
381,570 |
|
Structured
Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.935%, 3/25/49 |
|
|
|
252,000 |
296,430 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.435%, 8/25/50 |
|
|
|
966,000 |
1,231,158 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.435%, 7/25/50 |
|
|
|
1,027,000 |
1,272,423 |
|
Structured
Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.185%, 9/25/48 |
|
|
|
389,000 |
427,379 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B2, (US 30 Day Average SOFR + 7.71%), 13.035%, 3/25/50 |
|
|
|
625,000 |
677,675 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (US 30 Day Average SOFR + 5.86%), 11.185%, 7/25/50 |
|
|
|
551,458 |
602,064 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.685%, 9/25/50 |
|
|
|
768,656 |
828,729 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.121%, 10/25/50 |
|
|
|
900,000 |
978,890 |
|
Structured
Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M2, (US 30 Day Average SOFR + 3.75%), 9.071%, 2/25/42 |
|
|
|
450,000 |
456,750 |
|
Structured
Agency Credit risk Debt FRN Class M1B, (US 30 Day Average SOFR + 3.35%), 8.671%, 6/25/43 |
|
|
|
700,000 |
716,625 |
|
Seasoned
Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) |
|
|
|
685,000 |
581,291 |
|
Seasoned
Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) |
|
|
|
879,000 |
808,431 |
|
Seasoned
Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) |
|
|
|
346,000 |
291,636 |
|
Federal
National Mortgage Association |
|
|
|
|
|
|
Connecticut
Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 18.185%, 10/25/28 |
|
|
|
238,434 |
279,206 |
|
Connecticut
Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.685%, 9/25/28 |
|
|
|
2,301,715 |
2,682,896 |
|
Connecticut
Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.185%, 10/25/28 |
|
|
|
1,289,648 |
1,493,187 |
|
Connecticut
Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.185%, 8/25/28 |
|
|
|
833,135 |
960,711 |
|
Connecticut
Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 16.185%, 1/25/29 |
|
|
|
268,634 |
302,801 |
|
Connecticut
Avenue Securities FRB Ser. 16-C04, Class 1B, (US 30 Day Average SOFR + 10.36%), 15.685%, 1/25/29 |
|
|
|
266,837 |
300,312 |
|
Connecticut
Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.685%, 4/25/29 |
|
|
|
396,103 |
439,309 |
|
Federal
National Mortgage Association 144A |
|
|
|
|
|
|
Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.821%, 1/25/42 |
|
|
|
402,000 |
410,040 |
|
Connecticut
Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.535%, 9/25/31 |
|
|
|
572,139 |
598,495 |
|
Connecticut
Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (US 30 Day Average SOFR + 3.36%), 8.685%, 1/25/40 |
|
|
|
459,000 |
463,907 |
|
Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.321%, 1/25/42 |
|
|
|
840,000 |
840,525 |
|
Connecticut
Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.885%, 7/25/31 |
|
|
|
8,023 |
8,053 |
|
Connecticut
Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (US 30 Day Average SOFR + 2.16%), 7.485%, 1/25/40 |
|
|
|
214,553 |
216,870 |
|
GSR
Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.749%, 5/25/37 |
|
|
|
534,564 |
291,750 |
|
HarborView
Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.968%, 5/19/35 |
|
|
|
401,012 |
125,018 |
|
Home
Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 9.471%, 1/25/34 (Bermuda) |
|
|
|
300,000 |
286,507 |
|
LHOME
Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28 |
|
|
|
786,000 |
778,883 |
|
Morgan
Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 2.831%, 2/26/37 |
|
|
|
418,188 |
334,973 |
|
MortgageIT
Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 6.234%, 8/25/35 |
|
|
|
78,107 |
72,177 |
|
Structured
Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.29%), 5.619%, 1/25/37 |
|
|
|
532,082 |
449,210 |
|
Towd
Point Mortgage Trust 144A |
|
|
|
|
|
|
Ser.
19-2, Class A2, 3.75%, 12/25/58(WAC) |
|
|
|
1,033,000 |
857,389 |
|
Ser.
18-5, Class M1, 3.25%, 7/25/58(WAC) |
|
|
|
815,000 |
582,904 |
|
WaMu
Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 6.419%, 10/25/45 |
|
|
|
246,463 |
222,933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
41,209,774 |
|
|
|
|
|
|
|
|
Total
mortgage-backed securities (cost $164,968,762) |
|
|
|
|
$138,372,945 |
|
|
|
|
|
|
|
|
CORPORATE
BONDS AND NOTES (20.8%)(a) |
| |
|
|
|
Principal
amount |
Value |
|
Basic
materials (2.3%) |
|
ArcelorMittal
SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) |
|
|
|
$515,000 |
$487,538 |
|
ATI,
Inc. sr. unsec. notes 4.875%, 10/1/29 |
|
|
|
565,000 |
481,164 |
|
Axalta
Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 |
|
|
|
1,248,000 |
1,025,814 |
|
Boise
Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 |
|
|
|
570,000 |
490,331 |
|
Builders
FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 |
|
|
|
530,000 |
485,093 |
|
Builders
FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 |
|
|
|
165,000 |
131,316 |
|
Celanese
US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) |
|
|
|
669,000 |
644,874 |
|
Commercial
Metals Co. sr. unsec. notes 4.375%, 3/15/32 |
|
|
|
595,000 |
478,504 |
|
Constellium
SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) |
|
|
EUR |
650,000 |
564,923 |
|
HTA
Group, Ltd./Mauritius company guaranty sr. unsec. notes Ser. REGS, 7.00%, 12/18/25 (Tanzania) |
|
|
|
$440,000 |
422,950 |
|
HudBay
Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) |
|
|
|
545,000 |
487,670 |
|
IHS
Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |
|
|
|
1,100,000 |
808,500 |
|
Olympus
Water US Holding Corp. 144A sr. notes 9.75%, 11/15/28 |
|
|
|
560,000 |
546,953 |
|
Resideo
Funding, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 9/1/29 |
|
|
|
615,000 |
493,538 |
|
WR
Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 |
|
|
|
510,000 |
471,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
8,020,918 |
|
Capital
goods (1.8%) |
|
Benteler
International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) |
|
|
|
1,150,000 |
1,157,188 |
|
Clarios
Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 |
|
|
EUR |
530,000 |
535,939 |
|
Crown
Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 |
|
|
|
$347,000 |
352,222 |
|
GFL
Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) |
|
|
|
581,000 |
508,609 |
|
Great
Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 |
|
|
|
520,000 |
425,100 |
|
Howmet
Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37 |
|
|
|
520,000 |
475,024 |
|
Pactiv
Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27 |
|
|
|
580,000 |
506,006 |
|
Ritchie
Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 |
|
|
|
497,000 |
497,621 |
|
Roller
Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 |
|
|
|
585,000 |
496,086 |
|
Terex
Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 |
|
|
|
563,000 |
492,820 |
|
TransDigm,
Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 |
|
|
|
265,000 |
229,592 |
|
TransDigm,
Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 |
|
|
|
175,000 |
150,892 |
|
TransDigm,
Inc. 144A sr. notes 6.875%, 12/15/30 |
|
|
|
420,000 |
405,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6,232,634 |
|
Communication
services (0.9%) |
|
CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 |
|
|
|
1,455,000 |
1,135,715 |
|
CSC
Holdings, LLC 144A company guaranty sr. unsec. notes 5.50%, 4/15/27 |
|
|
|
655,000 |
547,338 |
|
DIRECTV
Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 |
|
|
|
377,000 |
330,341 |
|
SBA
Communications Corp. sr. unsec. notes 3.125%, 2/1/29(R) |
|
|
|
620,000 |
512,618 |
|
Vmed
O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom) |
|
|
EUR |
610,000 |
531,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,057,436 |
|
Consumer
cyclicals (6.3%) |
|
Bath
& Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 |
|
|
|
$1,211,000 |
1,121,138 |
|
Block,
Inc. sr. unsec. notes 3.50%, 6/1/31 |
|
|
|
630,000 |
486,205 |
|
Boyd
Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 |
|
|
|
585,000 |
485,491 |
|
Caesars
Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 |
|
|
|
509,000 |
491,232 |
|
Carnival
Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) |
|
|
|
568,000 |
605,610 |
|
Cinemark
USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 |
|
|
|
595,000 |
513,888 |
|
Crocs,
Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31 |
|
|
|
640,000 |
486,373 |
|
Dufry
One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands) |
|
|
EUR |
560,000 |
526,901 |
|
Hanesbrands,
Inc. 144A company guaranty sr. unsec. unsub. notes 9.00%, perpetual maturity |
|
|
|
$500,000 |
465,000 |
|
iHeartCommunications,
Inc. company guaranty sr. notes 6.375%, 5/1/26 |
|
|
|
620,000 |
505,364 |
|
IHO
Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany)(PIK) |
|
|
EUR |
1,085,000 |
1,184,087 |
|
JELD-WEN,
Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 |
|
|
|
$585,000 |
495,871 |
|
Kontoor
Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 |
|
|
|
610,000 |
501,725 |
|
Las
Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29 |
|
|
|
580,000 |
500,769 |
|
Levi
Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 |
|
|
EUR |
668,000 |
658,606 |
|
Light
& Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 |
|
|
|
$1,180,000 |
1,144,329 |
|
Masonite
International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 |
|
|
|
615,000 |
486,971 |
|
Mattamy
Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) |
|
|
|
1,335,000 |
1,089,972 |
|
Mattel,
Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |
|
|
|
630,000 |
538,926 |
|
McGraw-Hill
Education, Inc. 144A sr. notes 5.75%, 8/1/28 |
|
|
|
600,000 |
505,680 |
|
Neptune
Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 |
|
|
|
562,000 |
495,992 |
|
News
Corp. 144A sr. unsec. notes 3.875%, 5/15/29 |
|
|
|
590,000 |
505,028 |
|
Nexstar
Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28 |
|
|
|
595,000 |
499,734 |
|
Outfront
Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 |
|
|
|
565,000 |
501,878 |
|
Penn
Entertainment, Inc. 144A sr. unsec. notes 4.125%, 7/1/29 |
|
|
|
635,000 |
493,370 |
|
PetSmart,
Inc./PetSmart Finance Corp. 144A company guaranty sr. unsec. notes 7.75%, 2/15/29 |
|
|
|
560,000 |
515,560 |
|
Royal
Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 |
|
|
|
490,000 |
511,481 |
|
Sirius
XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.125%, 7/1/30 |
|
|
|
645,000 |
512,140 |
|
Spectrum
Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 |
|
|
|
574,000 |
514,930 |
|
Standard
Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 |
|
|
EUR |
560,000 |
517,130 |
|
Station
Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 |
|
|
|
$625,000 |
493,475 |
|
Taylor
Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 |
|
|
|
1,301,000 |
1,093,365 |
|
Taylor
Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 |
|
|
|
482,000 |
437,488 |
|
Univision
Communications, Inc. 144A sr. notes 7.375%, 6/30/30 |
|
|
|
540,000 |
475,475 |
|
Verisure
Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden) |
|
|
EUR |
1,310,000 |
1,195,050 |
|
Via
Celere Desarrollos Inmobiliarios SA company guaranty sr. notes Ser. REGS, 5.25%, 4/1/26 (Spain) |
|
|
EUR |
100,000 |
98,696 |
|
Warnermedia
Holdings, Inc. company guaranty sr. unsec. bonds 5.141%, 3/15/52 |
|
|
|
$690,000 |
488,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
22,143,185 |
|
Consumer
staples (1.5%) |
|
1011778
BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) |
|
|
|
615,000 |
503,699 |
|
Albertsons
Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 |
|
|
|
600,000 |
511,561 |
|
Aramark
Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 |
|
|
|
559,000 |
512,686 |
|
Avis
Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 |
|
|
EUR |
245,000 |
252,961 |
|
Herc
Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 |
|
|
|
$550,000 |
516,990 |
|
Lamb
Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.375%, 1/31/32 |
|
|
|
605,000 |
500,557 |
|
Lamb
Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 |
|
|
|
625,000 |
530,202 |
|
Loxam
SAS company guaranty sr. notes Ser. EMTN, 6.375%, 5/15/28 (France) |
|
|
EUR |
510,000 |
524,446 |
|
Match
Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 |
|
|
|
$610,000 |
495,643 |
|
US
Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 |
|
|
|
564,000 |
497,537 |
|
VM
Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 |
|
|
|
560,000 |
495,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5,342,201 |
|
Energy
(4.3%) |
|
Antero
Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 |
|
|
|
555,000 |
506,449 |
|
Callon
Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 |
|
|
|
536,000 |
519,150 |
|
Centennial
Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 |
|
|
|
517,000 |
507,249 |
|
Civitas
Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 |
|
|
|
730,000 |
734,498 |
|
Civitas
Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 |
|
|
|
1,155,000 |
1,165,689 |
|
DCP
Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 |
|
|
|
658,000 |
650,476 |
|
Ecopetrol
SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) |
|
|
|
1,300,000 |
1,248,522 |
|
Endeavor
Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 |
|
|
|
543,000 |
520,894 |
|
Energo-Pro
a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic) |
|
|
|
700,000 |
700,801 |
|
EnLink
Midstream, LLC 144A company guaranty sr. unsec. unsub. notes 6.50%, 9/1/30 |
|
|
|
540,000 |
518,330 |
|
Hess
Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 |
|
|
|
590,000 |
504,849 |
|
Kinetik
Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 |
|
|
|
550,000 |
504,652 |
|
Patterson-UTI
Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 |
|
|
|
1,321,000 |
1,181,298 |
|
Petrobras
Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) |
|
|
|
473,000 |
440,440 |
|
Petrobras
Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) |
|
|
|
300,000 |
295,289 |
|
Petroleos
Mexicanos company guaranty sr. unsec. notes Ser. REGS, 10.00%, 2/7/33 (Mexico) |
|
|
|
330,000 |
291,803 |
|
Petroleos
Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) |
|
|
|
790,000 |
565,245 |
|
Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |
|
|
|
425,000 |
313,359 |
|
Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) |
|
|
|
1,250,000 |
1,107,031 |
|
Rockcliff
Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 |
|
|
|
571,000 |
515,375 |
|
SM
Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 |
|
|
|
541,000 |
520,829 |
|
Southwestern
Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 |
|
|
|
560,000 |
517,316 |
|
Venture
Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 |
|
|
|
1,170,000 |
1,116,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
14,946,022 |
|
Financials
(0.2%) |
|
Alliant
Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 |
|
|
|
571,000 |
502,000 |
|
Deutsche
Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) |
|
|
|
200,000 |
161,031 |
|
Dresdner
Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 |
|
|
|
200,000 |
208,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
871,781 |
|
Health
care (1.4%) |
|
Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 |
|
|
|
603,000 |
492,953 |
|
Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 |
|
|
|
120,000 |
100,950 |
|
Elanco
Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 |
|
|
|
525,000 |
501,375 |
|
Mozart
Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 |
|
|
|
595,000 |
502,398 |
|
Organon
Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 |
|
|
|
635,000 |
548,488 |
|
Service
Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 |
|
|
|
615,000 |
497,787 |
|
Tenet
Healthcare Corp. 144A company guaranty sr. notes 6.75%, 5/15/31 |
|
|
|
1,190,000 |
1,130,064 |
|
Teva
Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) |
|
|
|
1,185,000 |
1,167,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4,941,240 |
|
Technology
(0.9%) |
|
Arches
Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 |
|
|
|
610,000 |
505,262 |
|
CrowdStrike
Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 |
|
|
|
602,000 |
503,193 |
|
Imola
Merger Corp. 144A sr. notes 4.75%, 5/15/29 |
|
|
|
598,000 |
521,332 |
|
NCR
Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 |
|
|
|
585,000 |
503,051 |
|
Twilio,
Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 |
|
|
|
605,000 |
502,968 |
|
ZoomInfo
Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 |
|
|
|
618,000 |
510,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,046,006 |
|
Transportation
(0.1%) |
|
Air
France-KLM sr. unsec. notes 8.125%, 5/31/28 (France) |
|
|
EUR |
500,000 |
554,582 |
|
|
|
|
|
|
|
|
|
|
|
|
|
554,582 |
|
Utilities
and power (1.1%) |
|
Aegea
Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil) |
|
|
|
$500,000 |
496,875 |
|
Diamond
II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) |
|
|
|
1,220,000 |
1,186,450 |
|
Electricite
De France SA 144A jr. unsec. sub. FRB 9.125%, perpetual maturity (France) |
|
|
|
535,000 |
546,369 |
|
NRG
Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 |
|
|
|
672,000 |
499,407 |
|
PG&E
Corp. sr. sub. notes 5.25%, 7/1/30 |
|
|
|
590,000 |
516,782 |
|
Vistra
Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29 |
|
|
|
590,000 |
501,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,747,026 |
|
|
|
|
|
|
|
|
Total corporate bonds and notes (cost $77,111,022) |
$72,903,031 |
|
|
|
|
|
|
|
|
CONVERTIBLE
BONDS AND NOTES (4.5%)(a) |
| |
|
|
|
Principal
amount |
Value |
|
Basic
materials (—%) |
|
MP
Materials Corp. 144A cv. sr. unsec. notes 0.25%, 4/1/26 |
|
|
|
$113,000 |
$93,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
93,120 |
|
Capital
goods (0.3%) |
|
Axon
Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 |
|
|
|
321,000 |
344,594 |
|
Granite
Construction, Inc. 144A cv. sr. unsec. notes 3.75%, 5/15/28 |
|
|
|
166,000 |
177,454 |
|
John
Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 |
|
|
|
192,000 |
170,880 |
|
Middleby
Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 |
|
|
|
220,000 |
227,920 |
|
Tetra
Tech, Inc. 144A cv. sr. unsec. notes 2.25%, 8/15/28 |
|
|
|
205,000 |
198,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,119,185 |
|
Communication
services (0.1%) |
|
Liberty
Broadband Corp. 144A cv. sr. unsec. notes 3.125%, 3/31/53 |
|
|
|
254,000 |
251,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
251,945 |
|
Consumer
cyclicals (0.8%) |
|
Alarm.com
Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 |
|
|
|
242,000 |
206,910 |
|
Block,
Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 |
|
|
|
183,000 |
136,793 |
|
Booking
Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 |
|
|
|
153,000 |
233,151 |
|
Carnival
Corp. 144A company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27 |
|
|
|
197,000 |
233,226 |
|
DraftKings,
Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 |
|
|
|
182,000 |
135,226 |
|
Liberty
Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27 |
|
|
|
260,000 |
260,578 |
|
Liberty
TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 |
|
|
|
212,000 |
166,420 |
|
Live
Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 |
|
|
|
270,000 |
271,080 |
|
NCL
Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 |
|
|
|
88,000 |
93,060 |
|
Patrick
Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28 |
|
|
|
192,000 |
180,576 |
|
Rivian
Automotive, Inc. 144A cv. sr. unsec. sub. notes 4.625%, 3/15/29 |
|
|
|
122,000 |
128,283 |
|
Royal
Caribbean Cruises, Ltd. cv. sr. unsec. unsub. notes 6.00%, 8/15/25 |
|
|
|
141,000 |
257,396 |
|
Shift4
Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27 |
|
|
|
158,000 |
123,388 |
|
Vail
Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 |
|
|
|
298,000 |
259,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,685,161 |
|
Consumer
staples (0.5%) |
|
Airbnb,
Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 |
|
|
|
132,000 |
114,114 |
|
Etsy,
Inc. cv. sr. unsec. notes 0.25%, 6/15/28 |
|
|
|
291,000 |
214,322 |
|
Lyft,
Inc. cv. sr. unsec. notes 1.50%, 5/15/25 |
|
|
|
107,000 |
97,584 |
|
MGP
Ingredients, Inc. company guaranty cv. sr. unsec. bonds 1.875%, 11/15/41 |
|
|
|
145,000 |
163,701 |
|
Post
Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.50%, 8/15/27 |
|
|
|
239,000 |
226,692 |
|
Shake
Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 |
|
|
|
137,000 |
99,668 |
|
Uber
Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 |
|
|
|
122,000 |
110,871 |
|
Upwork,
Inc. cv. sr. unsec. notes 0.25%, 8/15/26 |
|
|
|
199,000 |
162,782 |
|
Wayfair,
Inc. cv. sr. unsec. notes 0.625%, 10/1/25 |
|
|
|
263,000 |
223,534 |
|
Wayfair,
Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27 |
|
|
|
176,000 |
168,520 |
|
Zillow
Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26 |
|
|
|
318,000 |
334,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,916,642 |
|
Energy
(0.1%) |
|
Enphase
Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 |
|
|
|
263,000 |
195,222 |
|
Nabors
Industries, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 |
|
|
|
138,000 |
102,189 |
|
Northern
Oil and Gas, Inc. cv. sr.unsec. notes 3.625%, 4/15/29 |
|
|
|
157,000 |
184,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
482,357 |
|
Financials
(0.2%) |
|
SoFi
Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 |
|
|
|
257,000 |
193,393 |
|
Welltower
OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28(R) |
|
|
|
335,000 |
343,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
536,768 |
|
Health
care (0.7%) |
|
Alnylam
Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27 |
|
|
|
122,000 |
105,474 |
|
BioMarin
Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 |
|
|
|
126,000 |
121,142 |
|
BridgeBio
Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27 |
|
|
|
105,000 |
99,262 |
|
CONMED
Corp. cv. sr. unsec. notes 2.25%, 6/15/27 |
|
|
|
203,000 |
189,095 |
|
Cytokinetics,
Inc. cv. sr. unsec. unsub. notes 3.50%, 7/1/27 |
|
|
|
113,000 |
103,621 |
|
Dexcom,
Inc. 144A cv. sr. unsec. unsub. notes 0.375%, 5/15/28 |
|
|
|
327,000 |
287,433 |
|
Exact
Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 |
|
|
|
300,000 |
247,877 |
|
Halozyme
Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 |
|
|
|
370,000 |
301,586 |
|
Insulet
Corp. cv. sr. unsec. notes 0.375%, 9/1/26 |
|
|
|
174,000 |
160,341 |
|
Integer
Holdings Corp. 144A cv. sr. unsec. unsub. notes 2.125%, 2/15/28 |
|
|
|
135,000 |
148,062 |
|
Lantheus
Holdings, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27 |
|
|
|
222,000 |
246,070 |
|
Neurocrine
Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 |
|
|
|
92,000 |
134,780 |
|
Sarepta
Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27 |
|
|
|
114,000 |
97,080 |
|
Shockwave
Medical, Inc. 144A cv. sr. unsec. notes 1.00%, 8/15/28 |
|
|
|
111,000 |
107,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,349,049 |
|
Technology
(1.5%) |
|
3D
Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 |
|
|
|
97,000 |
66,688 |
|
Akamai
Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 |
|
|
|
307,000 |
312,066 |
|
Akamai
Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 |
|
|
|
202,000 |
233,778 |
|
Altair
Engineering, Inc. cv. sr. unsec. sub. notes 1.75%, 6/15/27 |
|
|
|
189,000 |
196,749 |
|
Bentley
Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 |
|
|
|
136,000 |
115,396 |
|
Ceridian
HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 |
|
|
|
157,000 |
136,660 |
|
Cloudflare,
Inc. cv. sr. unsec. notes zero %, 8/15/26 |
|
|
|
174,000 |
145,464 |
|
Confluent,
Inc. cv. sr. unsec. unsub. notes zero %, 1/15/27 |
|
|
|
196,000 |
157,711 |
|
Datadog,
Inc. cv. sr. unsec. notes 0.125%, 6/15/25 |
|
|
|
120,000 |
132,120 |
|
DigitalOcean
Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 |
|
|
|
211,000 |
157,834 |
|
Dropbox,
Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 |
|
|
|
161,000 |
148,824 |
|
Envestnet,
Inc. 144A company guaranty cv. sr. unsec. notes 2.625%, 12/1/27 |
|
|
|
181,000 |
154,755 |
|
Everbridge,
Inc. cv. sr. unsec. notes zero %, 3/15/26 |
|
|
|
138,000 |
115,920 |
|
HubSpot,
Inc. cv. sr. unsec. notes 0.375%, 6/1/25 |
|
|
|
106,000 |
165,572 |
|
Impinj,
Inc. cv. sr. unsec. notes 1.125%, 5/15/27 |
|
|
|
180,000 |
165,822 |
|
Lumentum
Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 |
|
|
|
302,000 |
246,136 |
|
Lumentum
Holdings, Inc. 144A cv. sr. unsec. notes 1.50%, 12/15/29 |
|
|
|
69,000 |
57,132 |
|
MongoDB,
Inc. cv. sr. unsec. notes 0.25%, 1/15/26 |
|
|
|
116,000 |
197,606 |
|
Okta,
Inc. cv. sr. unsec. notes 0.375%, 6/15/26 |
|
|
|
260,000 |
222,950 |
|
ON
Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 |
|
|
|
47,000 |
61,382 |
|
ON
Semiconductor Corp. 144A company guaranty cv. sr. unsec. notes 0.50%, 3/1/29 |
|
|
|
329,000 |
287,875 |
|
Palo
Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 |
|
|
|
33,000 |
80,586 |
|
Pegasystems,
Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 |
|
|
|
159,000 |
145,485 |
|
Progress
Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26 |
|
|
|
167,000 |
168,837 |
|
Seagate
HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands) |
|
|
|
416,000 |
431,184 |
|
Snap,
Inc. cv. sr. unsec. notes zero %, 5/1/27 |
|
|
|
170,000 |
126,735 |
|
Spotify
USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 |
|
|
|
138,000 |
118,059 |
|
Tyler
Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 |
|
|
|
214,000 |
203,091 |
|
Wolfspeed,
Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 |
|
|
|
182,000 |
108,290 |
|
Workiva,
Inc. 144A cv. sr. unsec. sub. notes 1.25%, 8/15/28 |
|
|
|
207,000 |
187,232 |
|
Ziff
Davis, Inc. cv. sr. unsec. notes 1.75%, 11/1/26 |
|
|
|
182,000 |
163,709 |
|
Zscaler,
Inc. cv. sr. unsec. notes 0.125%, 7/1/25 |
|
|
|
102,000 |
124,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5,335,884 |
|
Transportation
(0.1%) |
|
Southwest
Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 |
|
|
|
356,000 |
337,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
337,666 |
|
Utilities
and power (0.2%) |
|
CMS
Energy Corp. 144A cv. sr. unsec. notes 3.375%, 5/1/28 |
|
|
|
221,000 |
208,624 |
|
NRG
Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 |
|
|
|
210,000 |
234,570 |
|
Southern
Co. (The) 144A cv. sr. unsec. notes 3.875%, 12/15/25 |
|
|
|
332,000 |
325,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
768,886 |
|
|
|
|
|
|
|
|
Total
convertible bonds and notes (cost $18,043,192) |
|
|
|
|
$15,876,663 |
|
|
|
|
|
|
|
|
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, 2023
through October 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, references
to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC",
if any, represent over-the-counter. |
| (a) |
Percentages
indicated are based on net assets of $349,815,871. |
| (NON) |
This
security is non-income-producing. |
| (PIK) |
Income
may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind,
if applicable. |
| (AFF) |
Affiliated
company. For investments in Putnam Short Term Investment Fund and Putnam Government Money Market Fund, the rate quoted in the security
description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company
which is under common ownership or control were as follows: |
|
Name
of affiliate |
Fair
value
as of
7/31/23 |
Purchase
cost |
Sale
proceeds |
Investment
income |
Shares
outstanding
and fair
value as of
10/31/23 |
|
Short-term
investments |
|
|
|
|
|
|
Putnam
Government Money Market Fund* |
$— |
$15,553,199 |
$— |
$6,383 |
$15,553,199 |
|
Putnam
Short Term Investment Fund** |
36,793,801 |
10,980,096 |
10,000,000 |
525,258 |
37,773,897 |
|
|
|
|
|
|
|
|
Total
Short-term investments |
$36,793,801 |
$26,533,295 |
$10,000,000 |
$531,641 |
$53,327,096 |
|
*
Management fees incurred through investment in Putnam Government Money Market Fund have been waived by the fund. There were no realized
or unrealized gains or losses during the period. |
|
**
Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized
gains or losses during the period. |
| (SEG) |
This
security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the
close of the reporting period. Collateral at period end totaled $967,750. |
| (SEGSF) |
This
security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the
close of the reporting period. Collateral at period end totaled $1,131,799. |
| (SEGTBA) |
This
security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close
of the reporting period. Collateral at period end totaled $1,321,681. |
| (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. Senior loans are purchased
or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can
delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. |
|
Senior
loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s
portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant
between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the
loan may default on its obligations. |
| (i) |
This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| (P) |
This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted
in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| (R) |
Real
Estate Investment Trust. |
| (WAC) |
The
rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|
Unless
otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|
Debt
obligations are considered secured unless otherwise indicated. |
|
144A
after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended.
These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|
The
dates shown on debt obligations are the original maturity dates. |
|
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 |
89.6% |
|
|
|
|
|
Canada |
1.1 |
|
|
|
|
|
Indonesia |
0.8 |
|
|
|
|
|
Cote
d'lvoire |
0.8 |
|
|
|
|
|
France |
0.8 |
|
|
|
|
|
Dominican
Republic |
0.7 |
|
|
|
|
|
Mexico |
0.7 |
|
|
|
|
|
Other |
5.5 |
|
|
|
|
|
|
|
|
|
|
|
|
Total |
100.0% |
|
|
|
|
|
Security
valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees.
The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for
valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal
Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of
the fund and reporting to the Pricing Committee. |
|
Investments
for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official
closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of
some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. |
|
Investments
in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities,
are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less
their liabilities and divided by the number of their outstanding shares. |
|
Market
quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities
of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing
service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size
trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally
recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings).
These securities will generally be categorized as Level 2. |
|
Many
securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before
the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities
taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation
of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be
classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The
number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will
be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the
current exchange rate. |
|
To
the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe
accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated
as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved
by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value
following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events
such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap
and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities
are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|
To
assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations
on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed
periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of
securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such
securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in
a current sale and does not reflect an actual market price, which may be different by a material amount. |
|
Stripped
securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes
with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only
securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal,
the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value
if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities
is highly sensitive to changes in interest rates. |
|
Options
contracts: The fund used options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside
risks. |
|
The
potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains
and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised,
the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally
received is recorded as a reduction to the cost of investments. |
|
Exchange-traded
options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price
for written options. OTC traded options are valued using prices supplied by dealers. |
|
Options
on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously
agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement
dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate
cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified
rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|
For
the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|
Futures
contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. |
|
The
potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures,
there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty
to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain
or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|
Futures
contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree
to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known
as “variation margin”. |
|
For
the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|
Forward
currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies. |
|
The
U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service.
The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the
change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery
of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts
are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. |
|
For
the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. |
|
Interest
rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between
two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning
and for gaining exposure to rates in various countries. |
|
An
OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts,
an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded
as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations
from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps.
Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded
as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset
date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates.
Payments related to these swap contracts are accrued based on the terms of the contract. |
|
The
fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty
defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally
cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss
from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap
contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts
through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap
contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|
For
the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|
At
the close of the reporting period, the fund has deposited cash valued at $2,120,474 in a segregated account to cover margin requirements
on open centrally cleared interest rate swap contracts. |
|
Total
return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to
exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining
exposure to specific sectors, for hedging inflation and for gaining exposure to inflation. |
|
To
the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short
of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally
cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker.
Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared
total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made
are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective
dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or
market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the
possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The
fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be
mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally
cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to
centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event
of a clearing member default. |
|
For
the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. |
|
Credit
default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining
liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors . |
|
In
OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty,
the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference
obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy,
failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund
is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s
books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between
parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic
payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses
at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon
quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an
unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain
or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net
of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|
In
addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in
interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position
at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund
may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s
maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract.
This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty
and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated
with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are
available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future
payments the fund may be required to make is equal to the notional amount. |
|
For
the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|
At
the close of the reporting period, the fund has deposited cash valued at $1,224,924 in a segregated account to cover margin requirements
on open centrally cleared credit default contracts. |
|
TBA
commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been
specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The
fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price,
or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be
earned until settlement date. |
|
The
fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed
delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until
the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an
offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other
liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed
through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under
the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date
the commitment was entered into. |
|
TBA
commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of
loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction
will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|
Unsettled
TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is
marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances,
Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to
settlement. |
|
Master
agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC
derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed
and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from
time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations,
agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with
the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect
to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be
sold or repledged totaled $345,390 at the close of the reporting period. |
|
Collateral
pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the
form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the
applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. |
|
With
respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets
below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in
the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party
may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment
of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one
or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. |
|
At
the close of the reporting period, the fund had a net liability position of $1,098,746 on open derivative contracts subject to the Master
Agreements. Collateral posted by the fund at period end for these agreements totaled $1,131,799 and may include amounts related to unsettled
agreements. |