a_premierincometrust.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2019
Date of reporting period: October 31, 2018



Item 1. Schedule of Investments:


Putnam Premier Income Trust
The fund's portfolio
10/31/18 (Unaudited)

MORTGAGE-BACKED SECURITIES (46.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (24.0%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 16.621%, 4/15/37 $75,429 $101,301
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 15.438%, 11/15/35 157,269 207,581
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 6.931%, 10/25/28 320,000 366,836
Ser. 4813, IO, 5.50%, 8/15/48 6,097,085 1,406,622
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 4,839,667 1,080,557
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 2,480,762 583,756
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 1,349,482 277,622
Ser. 4024, Class PI, IO, 4.50%, 12/15/41 2,203,044 393,853
IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.371%, 4/15/40 4,818,041 514,711
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 4,610,947 1,025,936
Ser. 4425, IO, 4.00%, 1/15/45 5,790,920 1,281,241
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 4,892,026 1,403,141
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 3,705,568 537,997
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 4,529,999 433,437
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.821%, 4/15/47 2,536,163 462,495
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 12,352,589 2,136,627
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 7,895,120 1,567,789
Ser. 4560, Class PI, IO, 3.50%, 5/15/45 2,921,808 539,512
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 5,422,884 950,903
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 2,098,597 220,206
Ser. 304, Class C37, IO, 3.50%, 12/15/27 2,167,195 180,750
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 9,237,700 863,642
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 4,303,077 380,280
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 2,498,192 156,911
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 7,342,547 705,971
FRB Ser. 57, Class 1AX, IO, 0.37%, 7/25/43(WAC) 2,605,712 28,314
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 1,951 1,319
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 26.212%, 7/25/36 110,092 173,105
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 15.835%, 6/25/37 129,575 168,128
IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 14.918%, 2/25/38 98,677 117,256
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 13.406%, 8/25/35 89,630 106,954
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 11.462%, 11/25/34 129,969 143,083
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%), 6.831%, 2/25/25 378,035 407,139
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 6.281%, 5/25/25 254,909 274,611
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 4,900,262 1,211,302
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 5,043,036 1,112,040
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 3,244,719 211,361
Ser. 15-30, IO, 5.50%, 5/25/45 8,319,817 1,833,937
Ser. 374, Class 6, IO, 5.50%, 8/25/36 214,050 42,071
Ser. 378, Class 19, IO, 5.00%, 6/25/35 672,153 132,311
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 4.881%, 5/25/24 120,000 127,554
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 976,331 237,797
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 6,025,094 825,384
Ser. 366, Class 22, IO, 4.50%, 10/25/35 36,248 930
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 4.169%, 4/25/42 2,642,857 421,184
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 4.119%, 4/25/40 1,879,143 288,918
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 4,020,807 919,760
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 3,388,592 582,804
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 3,933,400 798,234
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 9,224,674 1,949,677
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 2,799,891 457,502
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 2,190,334 335,493
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 2,161,762 386,318
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.869%, 10/25/41 1,995,567 163,329
IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.819%, 12/25/46 7,400,546 915,818
IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.819%, 5/25/39 24,675,424 3,026,071
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.669%, 2/25/43 4,764,843 774,287
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 3.619%, 10/25/41 5,952,524 729,184
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 5,493,976 938,327
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 3,298,379 209,500
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 3,392,286 244,933
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 3,196,304 318,911
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 3,001,565 167,127
Ser. 99-51, Class N, PO, zero %, 9/17/29 13,978 12,755
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 1,786,822 37,970
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 2,272,286 529,465
Ser. 16-42, IO, 5.00%, 2/20/46 6,066,176 1,339,230
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 10,710,804 1,563,670
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 9,673,038 2,192,781
Ser. 14-76, IO, 5.00%, 5/20/44 2,352,393 561,126
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,831,015 414,066
Ser. 12-146, IO, 5.00%, 12/20/42 1,627,801 378,659
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 2,428,187 562,878
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,710,156 391,882
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 7,705,031 1,734,217
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 3,925,294 923,661
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 7,892,828 1,779,657
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 1,459,315 349,106
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 3,085,656 628,702
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 7,536,702 1,194,718
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 5,317,779 728,429
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 2,235,279 487,492
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 3,341,359 714,215
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 4,405,100 758,690
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 3,320,268 720,058
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 736,654 110,697
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 3,004,304 632,112
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 3,438,578 730,939
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 5,456,426 1,175,914
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 3,047,327 648,197
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 3,464,452 734,704
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 2,090,216 430,380
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,733,085 405,507
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 4,030,071 695,187
Ser. 16-29, IO, 4.00%, 2/16/46 2,863,516 572,703
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 7,622,986 1,441,202
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 4,444,056 956,645
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 5,058,736 959,189
Ser. 15-40, IO, 4.00%, 3/20/45 4,838,547 986,599
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 4,737,837 863,294
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 13,083,329 2,394,380
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 9,853,712 1,490,374
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,647,506 323,750
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 7,487,343 1,066,198
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,661,531 318,067
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,435,965 293,191
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 3,735,111 749,695
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.87%, 9/20/43 1,362,559 178,359
IFB Ser. 10-90, Class ES, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.67%, 7/20/40 12,871,497 1,646,689
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 4,557,716 857,215
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 3,137,280 431,251
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 3,805,582 740,992
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 8,039,110 1,352,419
Ser. 15-111, Class IJ, IO, 3.50%, 8/20/45 5,243,191 940,393
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 8,065,959 1,403,486
Ser. 13-76, IO, 3.50%, 5/20/43 5,978,490 1,114,450
Ser. 13-28, IO, 3.50%, 2/20/43 1,837,057 328,135
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 2,888,597 507,411
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 4,244,665 752,452
Ser. 13-14, IO, 3.50%, 12/20/42 9,277,812 1,400,393
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 2,930,205 511,057
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 3,798,010 740,574
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 4,773,524 893,398
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 5,669,394 1,075,422
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 2,160,868 417,189
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 6,160,692 781,484
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 6,365,243 755,955
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 4,485,972 345,411
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 3,746,666 401,871
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 10,690,493 999,668
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.32%, 8/20/44 5,625,451 646,927
Ser. 16-H22, Class AI, IO, 2.579%, 10/20/66(WAC) 10,623,699 1,187,549
Ser. 16-H23, Class NI, IO, 2.483%, 10/20/66(WAC) 28,776,095 3,245,944
Ser. 17-H02, Class BI, IO, 2.397%, 1/20/67(WAC) 6,697,012 843,824
Ser. 15-H20, Class CI, IO, 2.364%, 8/20/65(WAC) 9,760,882 977,367
Ser. 16-H17, Class KI, IO, 2.334%, 7/20/66(WAC) 5,249,082 564,276
Ser. 17-H06, Class BI, IO, 2.327%, 2/20/67(WAC) 10,887,205 1,281,424
Ser. 15-H15, Class BI, IO, 2.30%, 6/20/65(WAC) 5,585,066 518,864
Ser. 16-H18, Class QI, IO, 2.254%, 6/20/66(WAC) 7,364,686 900,377
Ser. 15-H24, Class AI, IO, 2.222%, 9/20/65(WAC) 8,584,851 807,792
Ser. 16-H16, Class EI, IO, 2.205%, 6/20/66(WAC) 7,736,501 848,694
Ser. 17-H08, Class NI, IO, 2.151%, 3/20/67(WAC) 14,147,798 1,607,190
Ser. 17-H16, Class FI, IO, 2.111%, 8/20/67(WAC) 7,849,402 932,117
Ser. 18-H03, Class XI, IO, 2.075%, 2/20/68(WAC) 10,511,170 1,432,672
Ser. 17-H19, Class MI, IO, 2.039%, 4/20/67(WAC) 5,358,786 617,332
Ser. 16-H03, Class DI, IO, 2.01%, 12/20/65(WAC) 9,278,881 869,895
Ser. 17-H16, Class JI, IO, 1.998%, 8/20/67(WAC) 20,719,612 2,848,947
Ser. 18-H02, Class EI, IO, 1.967%, 1/20/68(WAC) 15,310,142 2,100,360
Ser. 17-H12, Class QI, IO, 1.955%, 5/20/67(WAC) 9,512,290 1,120,966
Ser. 16-H06, Class DI, IO, 1.921%, 7/20/65 13,388,434 1,045,476
Ser. 15-H10, Class BI, IO, 1.906%, 4/20/65(WAC) 6,478,024 549,758
Ser. 16-H09, Class BI, IO, 1.849%, 4/20/66(WAC) 11,522,471 1,100,742
Ser. 18-H15, Class KI, IO, 1.847%, 8/20/68(WAC) 9,327,308 1,294,164
Ser. 15-H25, Class EI, IO, 1.847%, 10/20/65(WAC) 7,760,813 655,013
Ser. 15-H20, Class AI, IO, 1.826%, 8/20/65(WAC) 8,243,880 717,218
Ser. 17-H11, Class DI, IO, 1.811%, 5/20/67(WAC) 9,703,866 1,079,555
Ser. 18-H05, Class AI, IO, 1.804%, 2/20/68(WAC) 6,276,640 855,192
Ser. 18-H05, Class BI, IO, 1.804%, 2/20/68(WAC) 10,916,603 1,480,564
FRB Ser. 15-H08, Class CI, IO, 1.791%, 3/20/65(WAC) 6,580,941 551,680
Ser. 15-H23, Class BI, IO, 1.731%, 9/20/65(WAC) 9,761,542 791,661
Ser. 17-H09, IO, 1.706%, 4/20/67(WAC) 12,859,157 1,299,958
Ser. 16-H24, Class CI, IO, 1.692%, 10/20/66(WAC) 7,034,545 580,019
Ser. 16-H14, IO, 1.676%, 6/20/66(WAC) 8,315,604 555,274
Ser. 13-H08, Class CI, IO, 1.676%, 2/20/63(WAC) 12,392,255 646,876
Ser. 14-H21, Class BI, IO, 1.545%, 10/20/64(WAC) 11,199,600 749,253
Ser. 17-H16, Class IG, IO, 1.484%, 7/20/67(WAC) 19,117,326 1,840,043
Ser. 17-H16, Class IH, IO, 1.423%, 7/20/67(WAC) 14,473,979 1,341,651
Ser. 16-H03, Class AI, IO, 1.355%, 1/20/66(WAC) 8,671,711 791,294
Ser. 16-H10, Class AI, IO, 1.314%, 4/20/66(WAC) 19,051,249 1,387,864
Ser. 16-H06, Class CI, IO, 1.272%, 2/20/66(WAC) 12,304,539 821,968
Ser. 16-H02, Class HI, IO, 1.182%, 1/20/66(WAC) 11,513,867 923,412
Ser. 15-H26, Class CI, IO, 0.88%, 8/20/65(WAC) 24,006,040 285,672
Ser. 06-36, Class OD, PO, zero %, 7/16/36 3,954 3,146
137,819,645
Commercial mortgage-backed securities (8.7%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 25,053,868 251
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.465%, 1/12/45(WAC) 1,339,000 1,251,965
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 1,026,000 1,026,000
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 1,137,481 1,143,169
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 07-T28, Class D, 5.545%, 9/11/42(WAC) 828,000 741,060
FRB Ser. 06-PW11, Class B, 5.27%, 3/11/39(WAC) 1,091,922 764,345
FRB Ser. 06-PW11, Class C, 5.27%, 3/11/39 (In default)(NON)(WAC) 1,554,000 186,480
FRB Ser. 06-PW14, Class XW, IO, 0.315%, 12/11/38(WAC) 1,149,189 7,923
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 3,650,777 143
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.756%, 12/15/47(WAC) 1,068,000 1,032,949
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,026,452
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.82%, 5/15/46(WAC) 1,063,379 1,067,677
COMM Mortgage Trust 144A
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 1,270,736
FRB Ser. 12-CR3, Class E, 4.755%, 10/15/45(WAC) 613,000 518,463
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.756%, 12/15/39(WAC) 3,023,351 24,468
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.985%, 9/15/39(WAC) 463,650 469,868
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 348,469 359,620
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.796%, 4/15/50(WAC) 2,386,000 2,135,979
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 34,556 34,556
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.37%, 7/10/39(WAC) 883,923 796
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.529%, 9/10/47(WAC) 2,127,000 1,866,278
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.814%, 2/15/47(WAC) 2,670,000 2,390,318
FRB Ser. 13-C14, Class E, 4.566%, 8/15/46(WAC) 1,178,000 959,402
FRB Ser. C14, Class D, 4.566%, 8/15/46(WAC) 1,335,000 1,199,016
FRB Ser. 14-C18, Class E, 4.314%, 2/15/47(WAC) 914,000 659,781
FRB Ser. 14-C25, Class D, 3.945%, 11/15/47(WAC) 3,086,000 2,464,267
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,115,935
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.163%, 4/15/46(WAC) 948,000 821,638
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class C, 6.233%, 2/12/51(WAC) 400,590 401,591
FRB Ser. 07-CB20, Class E, 6.233%, 2/12/51(WAC) 757,000 757,000
FRB Ser. 11-C3, Class F, 5.676%, 2/15/46(WAC) 1,113,000 1,075,404
FRB Ser. 12-C6, Class E, 5.14%, 5/15/45(WAC) 1,115,000 985,174
FRB Ser. 12-C8, Class E, 4.651%, 10/15/45(WAC) 173,000 162,423
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,807,000 1,364,981
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 6,452,904 65
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.072%, 4/20/48(WAC) 977,000 850,947
Merrill Lynch Mortgage Trust Ser. 04-KEY2, Class D, 5.046%, 8/12/39(WAC) 401,408 401,028
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.529%, 2/12/51(WAC) 812,000 811,838
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.787%, 12/15/49(WAC) 647,138 428
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 1,470,559 1,446,883
Morgan Stanley Bank of America Merrill Lynch Trust 144A
Ser. 14-C17, Class D, 4.703%, 8/15/47(WAC) 569,000 511,769
FRB Ser. 13-C10, Class E, 4.082%, 7/15/46(WAC) 2,860,000 2,292,739
FRB Ser. 13-C10, Class F, 4.082%, 7/15/46(WAC) 1,164,000 926,863
Ser. 14-C15, Class F, 4.00%, 4/15/47 520,000 415,440
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 719,373
Ser. 14-C18, Class D, 3.389%, 10/15/47 551,000 437,040
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 995,834 268,875
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,600,000 1,511,616
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.107%, 1/11/43(WAC) 467,420 461,578
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/19 (Cayman Islands) (In default)(NON)(WAC) 376,000 3,572
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 1,081,996 90,347
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.893%, 5/10/63(WAC) 1,476,000 1,013,717
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 06-C26, Class AJ, 6.076%, 6/15/45(WAC) 523,367 474,485
FRB Ser. 07-C34, IO, 0.108%, 5/15/46(WAC) 4,747,301 1,543
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 1,500,000 1,080,000
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.287%, 7/15/46(WAC) 456,000 398,352
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 1,810,463
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 1,854,354
FRB Ser. 12-C9, Class E, 4.78%, 11/15/45(WAC) 787,000 666,768
FRB Ser. 12-C10, Class D, 4.442%, 12/15/45(WAC) 1,141,000 998,549
Ser. 13-C12, Class E, 3.50%, 3/15/48 412,000 315,264
50,050,004
Residential mortgage-backed securities (non-agency) (13.5%)
BCAP, LLC Trust 144A FRB Ser. 12-RR5, Class 4A8, (1 Month US LIBOR + 0.17%), 2.386%, 6/26/35 68,402 68,057
Bear Stearns Alt-A Trust
FRB Ser. 04-3, Class B, (1 Month US LIBOR + 2.93%), 5.206%, 4/25/34 562,892 594,614
FRB Ser. 05-7, Class 21A1, 4.38%, 9/25/35(WAC) 439,201 413,000
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.461%, 11/25/47 571,726 482,829
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AR5, Class 1A1A, 3.848%, 4/25/37(WAC) 437,581 435,686
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.631%, 3/25/37 2,685,405 2,297,686
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 2.906%, 8/25/46 523,038 465,626
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 2.886%, 6/25/46 933,788 869,429
FRB Ser. 06-OA7, Class 1A1, 2.809%, 6/25/46(WAC) 1,578,020 1,396,705
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.631%, 9/25/35 981,675 947,440
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.621%, 2/25/37 894,972 575,526
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.61%, 11/20/35 2,457,879 2,377,661
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 2.491%, 4/25/47 932,290 851,889
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.19%), 2.471%, 8/25/46 803,162 678,672
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.471%, 8/25/46 1,105,750 984,117
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.471%, 8/25/46 5,452,471 4,719,114
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, Class A2, (1 Month US LIBOR + 0.19%), 2.471%, 12/25/36 1,009,430 603,248
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.781%, 5/25/28 830,274 1,089,902
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 12.287%, 7/25/28 2,027,812 2,684,512
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.631%, 4/25/28 1,490,273 1,925,016
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 9.831%, 12/25/27 1,041,675 1,284,733
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 7.431%, 11/25/28 1,744,200 2,047,920
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 7.231%, 7/25/29 570,000 659,482
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 6.131%, 3/25/29 640,000 717,987
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.581%, 9/25/30 2,843,000 2,839,491
Federal Home Loan Mortgage Corporation 144A Structured Agency Credit Risk Debt FRN Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 5.981%, 12/25/30 1,500,000 1,516,172
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.531%, 9/25/28 2,314,200 3,391,205
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 14.031%, 10/25/28 1,299,396 1,828,031
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 14.031%, 8/25/28 1,207,425 1,726,906
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 13.031%, 1/25/29 269,408 355,939
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 8.181%, 10/25/28 4,285,000 4,915,835
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.981%, 4/25/28 4,095,028 4,735,431
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.831%, 4/25/28 593,979 672,954
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.781%, 9/25/29 1,659,000 1,923,992
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 7.281%, 7/25/25 3,621,686 4,072,537
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.281%, 7/25/25 1,371,085 1,524,144
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 7.131%, 10/25/29 1,810,000 2,054,292
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.531%, 4/25/29 167,000 189,043
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 6.531%, 1/25/29 180,000 202,024
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.281%, 5/25/25 137,866 151,281
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 5.931%, 9/25/29 500,000 547,335
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 5.881%, 1/25/30 314,000 329,106
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 5.831%, 7/25/30 736,000 739,842
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 5.831%, 7/25/29 370,000 401,152
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 5.081%, 2/25/30 310,000 322,142
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 4.831%, 12/25/30 650,000 658,522
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 4.274%, 3/25/31 530,000 527,532
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.591%, 5/25/37 1,120,458 849,970
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 2.802%, 5/19/35 595,372 389,597
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.481%, 6/25/37 951,849 559,276
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 3.076%, 8/25/35 328,555 309,824
Oaktown Re, Ltd. 144A
FRB Ser. 17-1A, Class B1, (1 Month US LIBOR + 6.00%), 8.031%, 4/25/27 (Bermuda) 550,000 574,750
FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 5.131%, 7/25/28 (Bermuda) 2,230,000 2,230,000
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 4.981%, 3/25/28 (Bermuda) 620,000 628,501
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.491%, 8/25/36 1,111,835 978,414
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 2.461%, 1/25/37 1,313,238 1,233,519
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 4.131%, 9/25/35(WAC) 1,030,311 1,039,958
FRB Ser. 05-AR14, Class 1A2, 3.757%, 12/25/35(WAC) 457,420 458,371
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.771%, 10/25/45 1,977,051 1,959,772
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.681%, 12/25/45 740,324 731,847
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%), 2.631%, 12/25/45 502,938 479,905
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR5, Class 1A1, 4.197%, 4/25/36(WAC) 399,010 403,000
FRB Ser. 06-AR2, Class 1A1, 4.145%, 3/25/36(WAC) 402,783 404,496
78,026,959
Total mortgage-backed securities (cost $261,444,426) $265,896,608









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (34.4%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (7.6%)
Government National Mortgage Association Pass-Through Certificates
4.50%, TBA, 12/1/48 $17,000,000 $17,409,727
4.50%, TBA, 11/1/48 17,000,000 17,435,625
4.00%, TBA, 11/1/48 9,000,000 9,055,547
43,900,899
U.S. Government Agency Mortgage Obligations (26.8%)
Federal National Mortgage Association Pass-Through Certificates
5.50%, TBA, 11/1/48 5,000,000 5,300,391
4.00%, TBA, 11/1/48 23,000,000 22,998,204
3.50%, TBA, 12/1/48 30,000,000 29,165,625
3.50%, TBA, 11/1/48 70,000,000 68,129,684
3.00%, TBA, 11/1/48 30,000,000 28,371,093
153,964,997
Total U.S. government and agency mortgage obligations (cost $198,967,578) $197,865,896









U.S. TREASURY OBLIGATIONS (0.1%)(a)
        Principal amount Value
U.S. Treasury Notes
2.25%, 7/31/21(i) $186,000 $183,751
1.75%, 9/30/19(i) 131,000 130,080
1.625%, 6/30/19(i) 160,000 159,867
Total U.S. treasury obligations (cost $473,698) $473,698









CORPORATE BONDS AND NOTES (33.0%)(a)
        Principal amount Value
Basic materials (4.1%)
Alcoa Nederland Holding BV 144A company guaranty sr. unsec. unsub. notes 6.125%, 5/15/28 (Netherlands) $400,000 $399,000
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 629,000 663,595
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 85,000 85,213
Alpha 2 BV 144A sr. unsec. notes 8.75%, 6/1/23 (Netherlands)(PIK) 260,000 259,350
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 440,000 420,750
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 207,000 221,231
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) 305,000 337,511
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 720,000 679,500
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 612,000 549,270
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 242,000 244,420
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 498,000 519,165
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 402,000 376,875
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 547,000 537,428
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 525,000 489,563
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 360,000 345,600
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 690,000 655,500
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 485,000 483,909
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) 200,000 195,750
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 533,000 450,385
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 122,000 113,460
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 136,000 140,080
Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes 5.75%, 3/1/25 101,000 95,445
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 761,000 677,290
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (Netherlands) 500,000 469,375
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) 425,000 406,406
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 147,000 142,774
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 222,000 222,000
Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 315,000 297,281
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 495,000 526,904
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) $485,000 434,075
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) 295,000 255,175
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 242,000 226,270
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 340,000 356,065
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 151,000 127,973
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 769,000 744,008
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 320,000 321,600
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 448,000 417,760
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 181,500
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 141,000 150,870
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 339,000 317,813
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 468,000 455,130
MEG Energy Corp. 144A sr. unsec. notes 7.875%, 7/15/26 224,000 216,227
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 106,000 110,108
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 214,000 216,140
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 160,000 155,152
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 197,000 171,390
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 90,000 72,113
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 95,000 85,738
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 1,015,000 997,238
Pisces Midco, Inc. 144A sr. notes 8.00%, 4/15/26 304,000 294,880
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 365,000 351,769
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 403,000 471,510
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 365,000 354,050
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 812,000 793,730
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 95,000 88,825
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 110,000 110,688
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 45,000 45,113
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 575,000 543,917
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 4.892%, 4/24/25 (Switzerland) 325,000 312,991
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 137,000 131,863
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 385,000 383,075
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 354,000 337,185
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 114,000 105,450
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 125,000 109,531
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 83,000 75,738
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 454,000 422,788
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 271,000 278,453
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 379,000 379,829
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 218,000 220,180
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 270,000 274,725
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 489,000 520,785
23,624,450
Capital goods (2.0%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 757,000 695,494
ARD Securities Finance SARL 144A sr. notes 8.75% (8.75%), 1/31/23 (Luxembourg)(PIK) 209,138 199,727
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 630,000 633,150
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 500,000 515,000
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 240,000 240,000
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 154,000 153,230
Berry Global, Inc. 144A notes 4.50%, 2/15/26 85,000 79,475
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 110,000 118,525
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 604,000 613,815
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 553,000 582,033
Covanta Holding Corp. sr. unsec. notes 6.00%, 1/1/27 125,000 120,625
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 371,290
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 343,000 340,428
GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 190,000 173,375
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 669,000 682,380
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 753,000 696,525
Novafives SAS sr. notes Ser. REGS, 5.00%, 6/15/25 (France) EUR 200,000 206,158
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $215,000 218,225
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 187,000 185,598
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 675,000 632,813
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 180,000 180,941
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 695,000 692,477
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 230,000 228,850
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 178,000 157,975
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 630,000 524,475
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 115,000 114,569
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 382,000 374,360
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 395,000 399,282
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 209,000 196,983
Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24 273,000 271,635
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 120,000 117,000
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 872,000 784,800
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 207,000 222,008
11,723,221
Communication services (3.8%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 400,000 395,000
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 188,000
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 200,000 206,142
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $800,000 745,000
Altice SA 144A company guaranty sr. unsec. notes 7.625%, 2/15/25 (Luxembourg) 710,000 605,275
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 400,000 418,500
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 655,000 638,625
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 743,000 749,501
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 112,000 110,880
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 815,000 810,925
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. notes 7.75%, 7/15/25 435,000 460,013
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. notes 7.50%, 4/1/28 310,000 321,306
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. notes 5.125%, 12/15/21 666,000 664,188
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 958,000 931,655
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 183,000 163,359
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 795,000 766,181
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 329,000 343,805
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 860,000 935,594
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 1,110,000 893,550
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 624,000 530,400
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 195,000 193,050
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 85,000 86,488
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 103,000 75,448
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 264,000 219,780
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 520,000 482,950
Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 945,000 907,200
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 15,000 15,694
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 593,000 618,203
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 227,000 227,851
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 598,000 574,080
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 88,220
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 450,000 430,875
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 543,000 534,176
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 238,000 246,628
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 243,000 243,486
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 929,000 991,708
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 465,000 485,925
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 217,500 215,325
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 1,035,000 1,067,344
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 291,000 298,374
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 74,000 72,335
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 100,000 98,750
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 295,000 272,875
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 125,000 116,993
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 639,000 813,993
UPC Holding BV 144A sr. notes 5.50%, 1/15/28 (Netherlands) $200,000 185,000
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 662,000 660,345
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 170,000 161,075
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 129,847
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 320,591
Windstream Services, LLC/Windstream Finance Corp. 144A company guaranty sub. notes 9.00%, 6/30/25 $294,000 211,592
Ziggo Bond Finance BV 144A sr. unsec. bonds 4.625%, 1/15/25 (Netherlands) EUR 115,000 127,631
22,051,731
Consumer cyclicals (5.6%)
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 $618,000 565,470
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 120,000 110,100
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 355,000 328,375
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 85,000 82,450
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 483,000 478,774
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 350,000 338,188
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 344,000 357,330
Boyne USA, Inc. 144A company guaranty notes 7.25%, 5/1/25 121,000 126,143
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 94,000 91,533
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 275,000 275,344
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 654,000 615,578
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 165,000 165,413
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 420,000 410,025
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 186,000 185,535
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 280,000 284,256
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 200,000 213,140
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 $884,000 849,745
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 465,000 432,741
Delta Merger Sub., Inc. 144A sr. unsec. notes 6.00%, 9/15/26 50,000 48,970
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 250,000 255,938
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 163,000 171,150
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 530,000 526,025
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 137,000 131,478
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 541,000 419,943
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 $320,000 306,400
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 450,000 429,750
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 826,000 792,960
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 674,000 485,280
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 145,000 141,556
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 600,000 594,000
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 75,000 70,500
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 140,000 125,650
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 751,000 670,268
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 854,000 929,793
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 505,000 518,256
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 120,000 126,450
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds 7.40%, 4/1/37 235,000 94,000
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 170,000 147,900
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 195,000 174,769
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 180,000 180,900
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 404,000 406,020
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 313,000 299,698
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 679,000 677,303
Masaria Investments SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 200,000 210,281
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $85,000 82,769
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 525,000 493,500
Meredith Corp. 144A sr. unsec. notes 6.875%, 2/1/26 445,000 445,000
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 337,000 352,165
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 614,000 626,280
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 159,000 124,020
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 313,815 189,858
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 220,000 132,000
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 957,000 913,935
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 177,000 172,078
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 476,000 463,505
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 315,000 316,181
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 322,000 322,000
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 296,000 291,361
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 240,000 223,200
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 439,000 445,036
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 241,000 228,950
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 290,000 281,663
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 125,000 87,500
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 272,000 286,960
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 400,000 392,000
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 745,000 741,275
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 515,000 511,781
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 339,000 339,000
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 1,063,000 1,110,835
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 564,000 540,030
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. unsub. notes 5.125%, 2/15/27 228,000 205,200
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 263,000 268,918
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 819,000 767,813
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 495,000 469,631
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 600,000 567,000
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 240,000 233,400
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 25,000 25,594
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 333,000 327,589
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 410,000 393,600
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 22,344
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 275,000 259,531
Takko Luxembourg 2 SCA company guaranty sr. notes Ser. REGS, 5.375%, 11/15/23 (Luxembourg) EUR 100,000 82,497
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 $314,000 293,198
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 282,000 285,525
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 495,000 466,290
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 216,000 197,424
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 420,000 403,200
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 394,000 367,405
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 52,000 51,350
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 395,000 385,125
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 221,558
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 250,000 242,500
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 612,000 553,860
32,048,812
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 385,000 360,938
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 170,000 168,513
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 275,000 258,500
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 362,000 360,190
Ashtead Capital, Inc. 144A notes 4.125%, 8/15/25 355,000 329,263
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 870,000 856,950
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 241,000 216,298
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 330,000 303,600
Europcar Groupe SA sr. notes Ser. REGS, 4.125%, 11/15/24 (France) EUR 200,000 220,645
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $264,000 192,720
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 629,000 646,298
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 425,000 423,938
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 737,000 686,331
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 289,838
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 295,000 290,944
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 180,000 169,200
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 350,000 337,750
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 85,000 83,255
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 315,000 300,038
Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29 135,000 135,689
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 265,000 243,138
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 270,000 265,275
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 470,000 399,206
7,538,517
Energy (7.5%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 1,292,000 1,156,340
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 213,000 213,000
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 324,000 324,405
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 38,000 37,739
Apergy Corp. 144A sr. unsec. notes 6.375%, 5/1/26 674,000 682,425
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 141,000 155,276
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 151,000 146,470
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 365,000 327,588
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 210,000 197,400
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 171,000 152,190
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 618,000 636,540
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 370,000 362,600
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 114,000 113,288
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 486,000 492,075
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 58,000 55,100
Comstock Escrow Corp. 144A sr. unsec. notes 9.75%, 8/15/26 388,000 374,420
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 607,000 565,063
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 1,048,000 1,012,254
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 187,000 187,331
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 793,000 779,123
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 310,000 294,888
DCP Midstream Operating LP company guaranty sr. unsec. unsub. notes 5.375%, 7/15/25 225,000 228,161
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 169,000 175,760
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 63,000 58,590
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 506,000 526,873
Denbury Resources, Inc. 144A notes 7.50%, 2/15/24 133,000 130,008
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 714,000 710,430
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 140,000 136,150
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 499,000 513,970
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 135,000 138,375
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 691,000 635,720
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 238,000 221,935
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 220,000 211,200
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 551,000 418,760
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 195,000 131,138
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 103,000 99,395
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 275,000 275,000
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 753,000 754,883
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 475,000 477,375
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 386,000 364,770
Jagged Peak Energy, LLC 144A company guaranty sr. unsec. notes 5.875%, 5/1/26 519,000 506,025
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 50,000 49,125
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 72,000 69,480
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 493,000 510,255
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 450,000 415,317
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 40,000 37,595
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 67,000 69,010
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 859,000 867,057
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 130,000 132,113
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 124,000 115,785
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 190,000 188,575
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 196,000 197,470
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 168,000 169,050
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 275,000 268,813
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 273,779
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 390,536
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 4,720,000 4,891,572
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.25%, 3/17/44 (Brazil) 375,000 361,875
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 1,981,000 1,998,334
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 3,254,000 3,371,958
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 4,723,000 4,510,465
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 689,000 118,853
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 1,411,000 250,453
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 2,345,000 404,513
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,216,000 1,239,663
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.875%, 1/24/22 (Mexico) 1,552,000 1,530,272
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 302,000 306,530
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 195,000 200,933
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 575,000 564,938
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 123,000 122,078
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 190,000 177,175
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 45,000 5
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 110,000 110,550
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 110,000 104,775
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 211,000 213,638
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 280,000 276,797
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 210,000 204,225
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 473,000 448,168
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 215,000 213,656
Transocean, Inc. company guaranty sr. unsec. unsub. bonds 7.50%, 4/15/31 320,000 296,000
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 65,000 68,169
Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) 478,000 478,000
USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 4/1/26 250,000 252,500
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 46,000 44,620
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 583,000 454,740
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 70,000 53,375
Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26 190,000 189,763
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 78,000 102,114
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.75%, 6/15/31 118,000 140,828
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 60,000 67,425
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 238,000 236,810
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 320,000 327,200
43,066,963
Financials (3.9%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 778,000 780,918
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 5,000 5,168
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 1,028,000 1,236,170
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 369,000 377,303
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 163,000 200,083
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 148,000 151,515
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 185,000 196,183
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 175,000 181,159
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 670,000 671,675
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 578,000 581,613
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 82,000 82,308
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 233,000 225,453
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 678,000 683,933
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 332,000 332,764
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 500,000 620,000
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 248,000
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 360,000 340,650
Fairfax Financial Holdings, Ltd. 144A sr. unsec. notes 4.85%, 4/17/28 (Canada) 170,000 165,596
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 249,000 230,325
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 581,000 537,425
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 250,000 250,313
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 185,000 183,844
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 214,000 220,420
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 331,000 323,056
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 210,000 211,050
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 205,000 206,960
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 51,000 51,446
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 440,000 440,044
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 21,050
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 200,000 180,611
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 360,000 360,000
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 125,000 120,938
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 670,000 871,428
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 242,000 245,175
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 450,000 437,063
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 115,000 102,206
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 175,000 220,679
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 $284,000 283,849
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 375,000 369,375
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) 200,000 206,375
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 306,000 381,928
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 410,000 416,765
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 235,000 226,073
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 135,000 127,913
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 745,000 713,338
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 160,000 160,800
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 123,000 124,230
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 330,000 314,325
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 513,000 481,579
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 793,000 794,983
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 200,000 197,310
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 315,000 308,700
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 4,200,000 4,116,000
Wand Merger Corp. 144A sr. unsec. notes 9.125%, 7/15/26 80,000 81,200
Wand Merger Corp. 144A sr. unsec. notes 8.125%, 7/15/23 255,000 258,188
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 524,000 480,770
22,338,225
Health care (2.4%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 475,000 427,500
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 300,000 225,000
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 90,000 88,200
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 305,000 319,869
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 255,000 265,838
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 603,000 554,579
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 826,000 787,798
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 90,000 88,538
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 355,000 371,752
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 270,000 279,450
Bausch Health Cos., Inc. 144A sr. unsec. notes 8.50%, 1/31/27 275,000 281,188
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 410,000 386,425
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 395,000 412,775
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 305,000 305,381
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 135,000 137,025
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 956,000 879,233
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 752,000 380,136
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 415,000 327,850
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6.00%, 2/1/25 (Ireland) 200,000 167,500
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 247,000 210,568
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 256,000 260,480
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 629,000 649,443
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 575,000 565,800
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 128,000 138,880
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 370,000 369,889
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 408,000 440,640
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 329,000 264,845
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 270,000 270,000
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 70,000 66,850
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 563,000 541,043
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 100,000 93,750
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 1,075,000 1,087,094
Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 220,000 215,050
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 393,000 402,452
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 257,000 267,601
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Netherlands) 385,000 393,650
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Netherlands) 250,000 248,212
Unilabs Subholding AB company guaranty sr. unsec. notes Ser. REGS, 5.75%, 5/15/25 (Sweden) EUR 200,000 220,810
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 $165,000 164,588
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 110,000 109,725
13,667,407
Technology (1.3%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 1,318,000 —
Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 499,000 479,040
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 895,000 927,443
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 293,000 310,086
Energizer Gamma Acquisition, Inc. 144A company guaranty sr. unsec. notes 6.375%, 7/15/26 100,000 100,000
First Data Corp. 144A notes 5.75%, 1/15/24 761,000 765,756
First Data Corp. 144A sr. notes 5.375%, 8/15/23 375,000 378,281
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 640,000 601,600
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 557,000 555,608
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 503,000 501,743
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 132,000 133,485
Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26 110,000 110,275
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 675,000 732,395
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 718,000 683,680
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 797,000 777,075
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 400,000 369,500
7,425,967
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 502,000 508,903
508,903
Utilities and power (1.0%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 965,000 967,413
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 160,000 158,400
AES Corp./Virginia (The) sr. unsec. notes 4.50%, 3/15/23 135,000 133,144
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 364,000 359,450
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 584,000 521,833
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 188,000 172,725
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 85,000 84,788
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 661,938
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 504,000 532,980
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 169,000 182,943
Energy Transfer LP sr. sub. notes 5.875%, 1/15/24 356,000 374,245
Energy Transfer LP sr. sub. notes 5.50%, 6/1/27 139,000 141,300
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 329,000 224,543
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 272,000 289,680
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 393,000 406,755
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 125,000 124,688
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 205,000 1,538
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 369,000 363,465
5,701,828
Total corporate bonds and notes (cost $196,923,581) $189,696,024









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (11.2%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%, 7/6/28 (Argentina) $460,000 $363,860
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) 385,000 334,565
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 3,493,000 2,895,697
Argentina (Republic of) sr. unsec. unsub. notes 4.625%, 1/11/23 (Argentina) 650,000 549,283
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) 1,675,000 1,289,750
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) 200,000 167,000
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,255,000 2,117,199
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 900,000 710,280
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 700,000 593,250
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 50.315%, 5/31/22 (Argentina) ARS 17,110,000 475,410
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $1,990,000 1,570,508
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 100,000 100,930
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 3,308,000 2,956,620
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 5,860,000 4,929,725
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,233,000 1,140,525
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 175,000 180,775
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 445,000 501,181
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 1,150,000 1,208,880
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,626,900
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 6.125%, 1/31/22 (Egypt) 635,000 627,856
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%, 2/21/23 (Egypt) 310,000 297,600
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 880,000 822,800
Egypt (Arab Republic of) 144A sr. unsec. notes 5.577%, 2/21/23 (Egypt) 1,010,000 967,576
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 700,000 626,500
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 2,332,000 2,756,926
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.00%, 2/24/20), 2/24/40 (Greece)(STP) EUR 61,000 56,679
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 468,000 442,490
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)(STP) EUR 141,000 140,787
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)(STP) EUR 178,000 181,725
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)(STP) EUR 468,000 484,091
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)(STP) EUR 3,840,211 3,966,241
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 137,295 144,149
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 4,094,435 4,349,895
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)(STP) EUR 398,000 426,772
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 1,556,500 1,690,530
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 114,000 125,410
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 1,269,807 1,415,955
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) $2,370,000 2,343,338
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 731,500
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 296,625
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 1,555,000 1,743,544
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/8/46 (Indonesia) 200,000 210,000
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,215,981
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,294,025
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 840,000 727,650
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) 1,385,000 1,198,666
Ivory Coast (Republic of) 144A sr. unsec. notes 5.25%, 3/22/30 (Ivory Coast) EUR 760,000 788,067
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $5,014,000 4,937,045
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 265,000 267,335
Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) 200,000 189,750
Turkey (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 625,000 540,625
United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 1,040,000 1,026,871
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 3,080,000 2,934,549
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 159,250
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 787,000 197,734
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) 439,000 107,555
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,022,000 258,055
Total foreign government and agency bonds and notes (cost $67,405,625) $64,404,485









CONVERTIBLE BONDS AND NOTES (1.9%)(a)
        Principal amount Value
Basic materials (—%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20 (Mexico) $95,000 $93,326
Patrick Industries, Inc. 144A cv. sr. unsec. notes 1.00%, 2/1/23 111,000 93,587
186,913
Capital goods (0.1%)
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 165,000 166,207
Greenbrier Cos., Inc. (The) cv. sr. unsec. notes 2.875%, 2/1/24 73,000 76,713
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 47,000 33,758
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 82,000 84,132
Kaman Corp. cv. sr. unsec. notes 3.25%, 5/1/24 105,000 119,410
480,220
Communication services (0.1%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 265,000 236,102
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 18,000 19,371
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/15/23 113,000 127,667
383,140
Consumer cyclicals (0.3%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 75,977 108,501
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 116,000 129,511
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 303,000 349,389
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 130,000 140,225
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 2.50%, 3/15/23 135,000 144,200
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 69,000 61,413
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 71,000 71,032
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 0.35%, 6/15/20 205,000 296,003
Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23 199,000 238,369
1,538,643
Consumer staples (0.1%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.25%, 5/15/23 66,000 77,867
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 84,000 117,367
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 237,000 235,673
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 59,000 60,395
Wayfair, Inc. cv. sr. unsec. sub. notes 0.375%, 9/1/22 86,000 105,952
597,254
Energy (0.1%)
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20, (acquired 2/2/17, cost $58,386) (Cayman Islands)(RES) 84,334 80,117
Cheniere Energy, Inc. cv. sr. unsec. unsub. notes 4.25%, 3/15/45 67,000 51,263
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 161,000 151,360
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 135,000 152,147
Weatherford International, Ltd. cv. company guaranty sr. unsec. notes 5.875%, 7/1/21 110,000 84,428
519,315
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 95,000 93,359
Heritage Insurance Holdings, Inc. cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 35,000 39,536
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22,(R) 170,000 181,815
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 162,000 150,255
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 103,000 113,704
578,669
Health care (0.4%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 195,000 202,426
Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25 23,000 14,089
Exact Sciences Corp. cv. sr. unsec. notes 1.00%, 1/15/25 98,000 114,464
Illumina, Inc. 144A cv. sr. unsec. notes zero %, 8/15/23 229,000 239,689
Insmed, Inc. cv. sr. unsec. sub. notes 1.75%, 1/15/25 88,000 66,212
Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24 83,000 93,685
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 76,000 80,161
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland) 254,000 266,938
Ligand Pharmaceuticals, Inc. 144A cv. sr. sub. unsec. notes 0.75%, 5/15/23 90,000 85,976
Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22 221,000 213,294
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 71,000 109,407
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 138,000 144,412
Supernus Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.625%, 4/1/23 110,000 118,890
Teladoc, Inc. 144A cv. sr. unsec. notes 1.375%, 5/15/25 107,000 155,618
Wright Medical Group, Inc. 144A cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 143,000 144,697
2,049,958
Technology (0.7%)
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25 120,000 117,075
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 61,000 88,834
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 29,000 41,086
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 1/15/23 91,000 140,595
Cypress Semiconductor Corp. 144A cv. sr. unsec. notes 2.00%, 2/1/23 29,000 27,528
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 71,000 114,096
HubSpot, Inc. cv. sr. unsec. notes 0.25%, 6/1/22 116,000 175,974
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 85,000 78,838
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 32,000 47,951
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 92,000 208,895
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 97,000 114,504
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 363,000 343,594
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 74,000 96,422
Nice Systems, Inc. cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 113,000 152,479
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 24,000 102,857
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 122,000 122,334
Nutanix, Inc. 144A cv. sr. unsec. notes zero %, 1/15/23 107,000 117,869
Okta, Inc. 144A cv. sr. unsec. notes 0.25%, 2/15/23 79,000 107,664
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 167,000 181,677
OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22 135,000 123,263
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.75%, 7/1/23 234,000 227,325
RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22 198,000 273,305
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 64,000 148,822
ServiceNow, Inc. cv. sr. unsec. unsub. notes zero %, 6/1/22 136,000 192,345
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 9/15/25 142,000 134,414
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 65,000 85,963
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 139,000 129,469
Vocera Communications, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/23 36,000 43,687
Western Digital Corp. 144A cv. company guaranty sr. unsec. notes 1.50%, 2/1/24 93,000 78,390
Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23 (Israel) 97,000 95,885
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 121,000 134,398
4,047,538
Transportation (—%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 167,000 151,992
151,992
Utilities and power (—%)
NRG Energy, Inc. 144A cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 259,000 269,555
269,555
Total convertible bonds and notes (cost $11,060,336) $10,803,197









SENIOR LOANS (1.7%)(a)(c)
        Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.259%, 7/2/22 $102,618 $76,450
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.886%, 4/21/24 181,936 163,970
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.53%, 12/15/24 560,763 562,164
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.732%, 6/21/24 474,988 476,637
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.658%, 4/3/24 143,188 142,248
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 7.037%, 11/17/22 345,000 350,031
CCC Information Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.75%), 8.992%, 3/31/25 144,000 144,840
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 6.251%, 5/5/24 194,653 195,626
Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.492%, 6/30/24 306,448 302,235
Forterra Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.242%, 10/25/23 387,567 355,996
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 7.172%, 4/16/21 183,016 182,864
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.992%, 3/31/24 172,724 172,817
HFOTCO, LLC bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 2.75%), 5.00%, 6/26/25 443,888 445,552
iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA LIBOR USD 3 Month + 6.75%), 8.992%, 1/30/19 (In default)(NON) 743,000 537,127
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.604%, 5/21/24 575,000 566,375
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.477%, 10/16/23 173,646 173,719
KCA Deutag Alpha, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.75%), 9.021%, 3/21/23 154,333 150,667
Kronos, Inc./MA bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 10.593%, 11/1/24 220,000 222,338
Murray Energy Corp. bank term loan FRN Ser. B2, (BBA LIBOR USD 3 Month + 7.25%), 9.585%, 10/17/22 226,819 205,838
Navistar Financial Corp. Owner Trust bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 6.06% 7/30/25 85,000 85,159
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.78%, 11/6/24 684,250 684,250
Neiman Marcus Group, Ltd., Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.531%, 10/25/20 305,883 277,971
Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.267%, 2/28/25 233,825 230,123
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.348%, 11/3/23 325,089 315,417
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.088%, 9/18/25 195,000 193,120
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.813%, 9/7/23 208,979 152,241
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.992%, 2/5/23 318,514 318,564
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.873%, 2/28/26 220,000 211,200
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 5.373%, 2/28/25 548,700 540,470
Talbots, Inc. (The) bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.742%, 3/19/21 121,913 120,694
Talbots, Inc. (The) bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 6.742%, 3/19/20 236,025 233,665
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.202%, 3/28/25 522,238 490,904
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.313%, 11/15/23 290,000 286,375
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.256%, 7/24/24 168,722 166,613
Total senior loans (cost $10,099,631) $9,734,260









PURCHASED SWAP OPTIONS OUTSTANDING (1.4%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
3.1165/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.1165 $85,050,900 $22,113
Citibank, N.A.
(3.031)/3 month USD-LIBOR-BBA/Jun-49 Jun-19/3.031 6,710,700 470,152
(3.23)/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.23 15,094,600 395,629
(3.29)/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.29 15,094,600 304,911
(3.296)/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.296 85,050,900 261,106
3.1905/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.1905 69,670,500 208,315
3.126/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.126 85,050,900 193,916
(3.3745)/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.3745 69,670,500 45,286
Goldman Sachs International
(3.0325)/3 month USD-LIBOR-BBA/Dec-20 Dec-18/3.0325 120,756,900 427,479
(3.01)/3 month USD-LIBOR-BBA/Dec-20 Dec-18/3.01 120,756,900 315,176
3.2775/3 month USD-LIBOR-BBA/Jan-20 Jan-19/3.2775 120,756,900 132,833
3.0325/3 month USD-LIBOR-BBA/Dec-20 Dec-18/3.0325 120,756,900 100,228
0.025/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.025 EUR 74,867,100 93,278
3.01/3 month USD-LIBOR-BBA/Dec-20 Dec-18/3.01 $120,756,900 62,794
2.99375/3 month USD-LIBOR-BBA/Jan-20 Jan-19/2.99375 120,756,900 61,586
-0.065/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/-0.065 EUR 74,867,100 43,247
JPMorgan Chase Bank N.A.
1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 17,032,000 556,940
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 $6,980,300 554,166
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 542,998
(3.25)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.25 60,378,400 505,971
1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 6,794,000 482,798
(2.925)/3 month USD-LIBOR-BBA/Nov-20 Nov-18/2.925 $90,567,700 334,195
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 257,224
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 251,151
3.11/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.11 45,283,800 9,510
0.882/3 month GBP-LIBOR-BBA/Nov-19 Nov-18/0.882 GBP 46,535,500 595
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 $6,990,700 590,504
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 589,875
(2.92875)/3 month USD-LIBOR-BBA/Nov-20 Nov-18/2.92875 59,463,700 214,069
3.02/3 month USD-LIBOR-BBA/Aug-20 Aug-19/3.02 176,157,900 204,343
Total purchased swap options outstanding (cost $9,458,735) $8,232,388









PURCHASED OPTIONS OUTSTANDING (0.3%)(a)
  Counterparty Expiration date/
strike price		 Notional amount   Contract amount Value
Citibank, N.A.
USD/JPY (Put) Jan-19/JPY 108.00 $38,496,400 $38,496,400 $165,496
Goldman Sachs International
EUR/USD (Call) Nov-18/$1.16 38,294,217 EUR 33,809,400 4,557
USD/CNH (Call) Apr-19/CNH 7.00 $19,627,700 $19,627,700 359,305
HSBC Bank USA, National Association
EUR/USD (Call) Nov-18/$1.16 38,294,217 EUR 33,809,400 4,557
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Nov-18/91.78 $31,000,000 $31,000,000 27,466
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Nov-18/95.68 48,000,000 48,000,000 3,264
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.02 29,000,000 29,000,000 65,424
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.17 29,000,000 29,000,000 53,708
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.33 29,000,000 29,000,000 43,732
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/99.56 29,000,000 29,000,000 29
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/99.19 29,000,000 29,000,000 29
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/99.38 29,000,000 29,000,000 29
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.75 29,000,000 29,000,000 316,448
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.59 29,000,000 29,000,000 288,579
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.44 29,000,000 29,000,000 262,421
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Nov-18/97.71 30,000,000 30,000,000 132,750
Total purchased options outstanding (cost $2,525,623) $1,727,794









ASSET-BACKED SECURITIES (0.1%)(a)
        Principal amount Value
Nationstar HECM Loan Trust 144A Ser. 18-1A, Class M5, 6.00%, 2/25/28(WAC) $770,000 $745,976
Total asset-backed securities (cost $749,268) $745,976









COMMON STOCKS (0.1%)(a)
        Shares Value
Avaya Holdings Corp.(NON) 14,008 $230,009
Caesars Entertainment Corp.(NON) 8,988 77,207
CHC Group, LLC (Units) (acquired 3/23/17, cost $23,780) (Cayman Islands)(NON)(RES) 1,640 12,710
Concordia International Corp. (Canada)(NON) 1,070 21,734
Halcon Resources Corp.(NON) 24,782 82,276
MWO Holdings, LLC (Units)(F) 169 5,717
Nine Point Energy(F) 1,515 21,877
SandRidge Energy, Inc.(NON) 8,217 73,542
Tervita Corp. (Canada)(NON) 449 2,555
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 16,648
Tribune Media Co. Class 1C 92,963 32,537
Total common stocks (cost $1,225,496) $576,812









PREFERRED STOCKS (0.1%)(a)
        Shares Value
GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 16,265 $427,119
Total preferred stocks (cost $412,195) $427,119









CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
        Shares Value
Nine Point Energy 6.75% cv. pfd. 32 $37,644
Total convertible preferred stocks (cost $32,000) $37,644









WARRANTS (0.0%)(a)(NON)
    Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 6,732 $298
Total warrants (cost $—) $298









SHORT-TERM INVESTMENTS (8.2%)(a)
        Principal amount/shares Value
Putnam Short Term Investment Fund 2.33%(AFF) Shares 9,994,453 $9,994,453
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.09%(P) Shares 130,000 130,000
U.S. Treasury Bills 2.146%, 12/13/18(SEG)(SEGSF)(SEGCCS) $10,214,000 10,188,439
U.S. Treasury Bills 2.060%, 11/15/18(SEG)(SEGSF)(SEGCCS) 8,723,000 8,715,834
U.S. Treasury Bills 2.085%, 11/8/18(SEG)(SEGSF)(SEGCCS)(SEGTBA) 7,534,000 7,530,938
U.S. Treasury Bills 2.300%, 1/17/19(SEGSF)(SEGCCS)(SEGTBA) 3,040,000 3,025,427
U.S. Treasury Bills 2.120%, 11/1/18(SEGSF) 2,489,000 2,489,000
U.S. Treasury Bills 2.318%, 1/24/19(SEG)(SEGSF)(SEGCCS) 2,362,000 2,349,565
U.S. Treasury Bills 2.154%, 12/6/18(SEGCCS) 981,000 978,966
U.S. Treasury Bills 2.163%, 12/18/18 940,000 937,390
U.S. Treasury Bills 2.209%, 12/11/18(SEGSF)(SEGCCS)(SEGTBA) 771,000 769,156
Total short-term investments (cost $47,109,804) $47,109,168
TOTAL INVESTMENTS
Total investments (cost $807,887,996) $797,731,367









FORWARD CURRENCY CONTRACTS at 10/31/18 (aggregate face value $334,529,278) (Unaudited)
  Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/16/19 $3,104,167 $3,178,268 $(74,101)
British Pound Sell 12/19/18 130,690 131,190 500
Canadian Dollar Sell 1/16/19 76,540 78,819 2,279
Euro Sell 12/19/18 3,653,544 3,762,794 109,250
Japanese Yen Sell 11/19/18 1,316,749 1,351,238 34,489
Norwegian Krone Buy 12/19/18 7,001,867 7,035,791 (33,924)
South Korean Won Sell 2/20/19 2,412,440 2,405,916 (6,524)
Swedish Krona Sell 12/19/18 1,824,616 1,848,132 23,516
Barclays Bank PLC
Australian Dollar Buy 1/16/19 2,409,422 2,450,220 (40,798)
British Pound Sell 12/19/18 2,413,666 2,452,274 38,608
Euro Sell 12/19/18 1,375,497 1,394,003 18,506
Hong Kong Dollar Sell 11/19/18 321,934 322,192 258
Japanese Yen Buy 11/19/18 2,419,244 2,435,330 (16,086)
Japanese Yen Sell 11/19/18 2,419,244 2,443,941 24,697
Norwegian Krone Buy 12/19/18 5,632,136 5,630,359 1,777
Swedish Krona Sell 12/19/18 3,251,840 3,291,801 39,961
Citibank, N.A.
Australian Dollar Buy 1/16/19 4,754,486 4,823,247 (68,761)
British Pound Sell 12/19/18 1,657,457 1,676,732 19,275
Canadian Dollar Buy 1/16/19 2,617,203 2,661,220 (44,017)
Euro Sell 12/19/18 363,069 410,261 47,192
Japanese Yen Buy 11/19/18 1,206,813 1,225,373 (18,560)
Japanese Yen Sell 11/19/18 1,206,813 1,210,284 3,471
Norwegian Krone Buy 12/19/18 1,240,644 1,246,635 (5,991)
Swedish Krona Sell 12/19/18 3,840,298 3,890,450 50,152
Credit Suisse International
Australian Dollar Buy 1/16/19 3,180,857 3,226,061 (45,204)
British Pound Buy 12/19/18 2,378,046 2,458,645 (80,599)
Canadian Dollar Buy 1/16/19 4,678,691 4,764,520 (85,829)
Euro Sell 12/19/18 8,423,819 8,679,794 255,975
Japanese Yen Sell 11/19/18 14,725 45,297 30,572
New Zealand Dollar Sell 1/16/19 2,396,179 2,428,477 32,298
Swedish Krona Sell 12/19/18 5,552,454 5,623,868 71,414
Swiss Franc Sell 12/19/18 28,731 69,822 41,091
Goldman Sachs International
Australian Dollar Sell 1/16/19 1,992,022 1,995,331 3,309
Brazilian Real Sell 1/3/19 244,968 222,023 (22,945)
Canadian Dollar Sell 1/16/19 2,411,016 2,456,217 45,201
Euro Sell 12/19/18 10,096,982 10,351,486 254,504
Indian Rupee Buy 11/19/18 2,406,006 2,460,243 (54,237)
Indian Rupee Sell 11/19/18 2,406,006 2,425,929 19,923
Japanese Yen Buy 11/19/18 1,206,812 1,225,366 (18,554)
Japanese Yen Sell 11/19/18 1,206,812 1,210,262 3,450
New Taiwan Dollar Sell 2/20/19 2,430,734 2,421,106 (9,628)
New Zealand Dollar Sell 1/16/19 6,236,896 6,218,063 (18,833)
Norwegian Krone Buy 12/19/18 11,238,782 11,136,583 102,199
South African Rand Sell 1/16/19 853,664 859,766 6,102
Swedish Krona Buy 12/19/18 25,590,722 26,030,459 (439,737)
HSBC Bank USA, National Association
Australian Dollar Buy 1/16/19 6,235,692 6,336,723 (101,031)
Australian Dollar Sell 1/16/19 6,892,942 6,924,568 31,626
British Pound Buy 12/19/18 2,378,175 2,458,534 (80,359)
British Pound Sell 12/19/18 2,381,250 2,446,223 64,973
Euro Buy 12/19/18 4,396,174 4,501,254 (105,080)
Euro Sell 12/19/18 9,566,938 9,810,819 243,881
Indonesian Rupiah Buy 12/19/18 2,390,308 2,433,341 (43,033)
Indonesian Rupiah Sell 12/19/18 2,390,308 2,415,920 25,612
Japanese Yen Sell 11/19/18 2,411,241 2,450,486 39,245
Mexican Peso Buy 1/16/19 1,826,452 1,924,263 (97,811)
Mexican Peso Sell 1/16/19 14,333 15,366 1,033
New Zealand Dollar Buy 1/16/19 6,075,252 6,139,388 (64,136)
New Zealand Dollar Sell 1/16/19 1,210,988 1,216,631 5,643
Norwegian Krone Buy 12/19/18 22,826 23,278 (452)
Norwegian Krone Sell 12/19/18 2,373,422 2,454,660 81,238
Swedish Krona Buy 12/19/18 4,793,995 4,930,861 (136,866)
Swedish Krona Sell 12/19/18 5,696,165 5,769,484 73,319
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/16/19 1,624,662 1,633,892 (9,230)
British Pound Buy 12/19/18 2,347,040 2,394,796 (47,756)
Canadian Dollar Sell 1/16/19 2,327,857 2,336,475 8,618
Euro Sell 12/19/18 6,047,725 6,185,205 137,480
Japanese Yen Buy 11/19/18 2,445,735 2,452,922 (7,187)
Japanese Yen Sell 11/19/18 2,445,735 2,459,001 13,266
New Zealand Dollar Buy 1/16/19 2,396,048 2,457,086 (61,038)
Norwegian Krone Buy 12/19/18 4,874,124 4,899,826 (25,702)
Singapore Dollar Sell 2/20/19 2,403,559 2,406,145 2,586
Swedish Krona Sell 12/19/18 5,487,897 5,548,662 60,765
Swiss Franc Sell 12/19/18 275,736 286,737 11,001
NatWest Markets PLC
Australian Dollar Buy 1/16/19 297,687 308,348 (10,661)
Canadian Dollar Sell 1/16/19 1,319,824 1,311,734 (8,090)
Euro Buy 12/19/18 182,899 188,490 (5,591)
Japanese Yen Buy 11/19/18 2,475,224 2,459,514 15,710
Japanese Yen Sell 11/19/18 2,475,224 2,488,586 13,362
New Zealand Dollar Sell 1/16/19 2,422,368 2,446,137 23,769
Norwegian Krone Sell 12/19/18 8,678,042 8,680,539 2,497
Swedish Krona Sell 12/19/18 2,618,069 2,652,320 34,251
State Street Bank and Trust Co.
Australian Dollar Sell 1/16/19 2,038,447 2,024,244 (14,203)
British Pound Sell 12/19/18 3,540,675 3,598,642 57,967
Canadian Dollar Sell 1/16/19 3,750,166 3,790,990 40,824
Euro Sell 12/19/18 9,156,439 9,462,275 305,836
Japanese Yen Sell 11/19/18 1,354,280 1,420,546 66,266
New Zealand Dollar Sell 1/16/19 2,464,298 2,431,609 (32,689)
Norwegian Krone Buy 12/19/18 4,006,833 3,991,794 15,039
Swedish Krona Sell 12/19/18 7,305,466 7,384,970 79,504
UBS AG
Australian Dollar Buy 1/16/19 1,832,901 1,859,282 (26,381)
British Pound Sell 12/19/18 2,408,284 2,481,897 73,613
Euro Sell 12/19/18 11,152,177 11,498,472 346,295
Japanese Yen Buy 11/19/18 2,530,108 2,546,501 (16,393)
Japanese Yen Sell 11/19/18 2,530,108 2,549,228 19,120
New Zealand Dollar Buy 1/16/19 1,141,432 1,145,706 (4,274)
Norwegian Krone Buy 12/19/18 3,245,707 3,295,976 (50,269)
Swedish Krona Buy 12/19/18 635,220 683,450 (48,230)
WestPac Banking Corp.
Australian Dollar Buy 1/16/19 4,308,310 4,369,499 (61,189)
Euro Sell 12/19/18 465,551 480,195 14,644
             
Unrealized appreciation 3,188,952
         
Unrealized (depreciation) (2,141,979)
Total $1,046,973
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 10/31/18 (Unaudited)
    Number of contracts Notional amount Value Expiration date Unrealized appreciation/
(depreciation)
Euro-BTP Italian Government Bond (Short) 7 $964,429 $964,429 Dec-18 $923
Euro-Bund 10 yr (Short) 53 9,620,480 9,620,483 Dec-18 (36,940)
Euro-OAT 10 yr (Short) 16 2,753,880 2,753,881 Dec-18 11,009
Euro-Schatz 2 yr (Short) 175 22,194,985 22,194,991 Dec-18 (41,761)
U.S. Treasury Note Ultra 10 yr (Long) 31 3,878,391 3,878,391 Dec-18 (81,921)
           
Unrealized appreciation 11,932
           
Unrealized (depreciation) (160,622)
Total $(148,690)









WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/18 (premiums $7,610,956) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Value
Bank of America N.A.
(3.204)/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.204 $42,525,500 $79,523
Barclays Bank PLC
2.813/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.813 60,592,000 408,996
Citibank, N.A.
3.2825/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.2825 34,835,200 76,986
3.50/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.50 15,094,600 96,002
3.43/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.43 15,094,600 139,323
3.395/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.395 15,094,600 176,758
(3.211)/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.211 42,525,500 205,823
3.33/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.33 15,094,600 243,023
(3.2825)/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.2825 34,835,200 254,645
3.211/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.211 42,525,500 265,784
3.09/3 month USD-LIBOR-BBA/Jun-24 Jun-19/3.09 29,825,500 362,976
2.663/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.663 60,592,000 565,323
Goldman Sachs International
(3.02125)/3 month USD-LIBOR-BBA/Dec-22 Dec-18/3.02125 120,756,900 159,399
(0.115)/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.115 EUR 74,867,100 167,053
(3.1325)/3 month USD-LIBOR-BBA/Jan-21 Jan-19/3.1325 $120,756,900 184,758
3.02125/3 month USD-LIBOR-BBA/Dec-22 Dec-18/3.02125 120,756,900 732,994
JPMorgan Chase Bank N.A.
3.41/3 month USD-LIBOR-BBA/Nov-28 Nov-18/3.41 45,283,800 906
3.085/3 month USD-LIBOR-BBA/Nov-20 Nov-18/3.085 90,567,700 120,455
3.005/3 month USD-LIBOR-BBA/Nov-20 Nov-18/3.005 90,567,700 216,457
3.18/3 month USD-LIBOR-BBA/Jan-24 Jan-19/3.18 56,453,800 246,139
3.26/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.26 13,162,500 300,368
2.77/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.77 108,605,200 799,334
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 18,614,000 952,117
Morgan Stanley & Co. International PLC
(2.58)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.58 $176,157,900 70,463
(2.80)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.80 176,157,900 119,787
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-25/3.00 6,990,700 491,446
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-25/3.00 6,990,700 492,075
Total $7,928,913









WRITTEN OPTIONS OUTSTANDING at 10/31/18 (premiums $2,181,055) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional amount   Contract amount Value
Citibank, N.A.
USD/JPY (Put) Jan-19/JPY 105.00 $38,496,400 $38,496,400 $69,909
Goldman Sachs International
USD/CNH (Call) Apr-19/CNH 7.20 19,627,700 19,627,700 183,205
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Nov-18/$91.78 31,000,000 31,000,000 150,970
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Nov-18/95.68 48,000,000 48,000,000 528,144
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.36 29,000,000 29,000,000 42,166
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.51 29,000,000 29,000,000 34,046
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.67 29,000,000 29,000,000 27,318
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.70 29,000,000 29,000,000 26,245
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/97.71 30,000,000 30,000,000 23,790
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/98.85 29,000,000 29,000,000 20,851
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Dec-18/99.01 29,000,000 29,000,000 16,385
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/99.91 29,000,000 29,000,000 29
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/99.54 29,000,000 29,000,000 29
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Nov-18/99.72 29,000,000 29,000,000 29
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.27 29,000,000 29,000,000 235,596
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.11 29,000,000 29,000,000 212,976
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.95 29,000,000 29,000,000 192,067
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.78 29,000,000 29,000,000 170,955
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.63 29,000,000 29,000,000 153,468
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.47 29,000,000 29,000,000 137,518
Total $2,225,696









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/18 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized appreciation/
(depreciation)
Bank of America N.A.
(2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 $13,575,700 $(530,810) $157,342
(2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 8,145,400 (874,001) 143,440
2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 13,575,700 (530,810) (216,940)
2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 8,145,400 (874,001) (401,731)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) (632)
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 264,236,800 (133,657) (15,386)
Citibank, N.A.
(2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 $13,575,700 (530,810) 154,763
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) 88,442
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740) (106,833)
2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810) (215,718)
Goldman Sachs International
(2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 3,439,600 (275,684) 67,760
(3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 3,439,600 (238,364) 57,820
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) 36,215
3.169/3 month USD-LIBOR-BBA/Nov-28 (Purchased) Nov-18/3.169 85,050,900 (345,307) (5,954)
(1.98)/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/1.98 GBP 8,807,900 (47,245) (20,603)
1.18/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/1.18 GBP 8,807,900 (38,334) (23,868)
1.234/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/1.234 GBP 17,615,800 (64,511) (26,119)
(2.034)/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/2.034 GBP 17,615,800 (91,634) (53,364)
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 $1,629,100 (205,674) (65,962)
2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 3,439,600 (275,684) (74,949)
3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 3,439,600 (313,004) (79,008)
(3.229)/3 month USD-LIBOR-BBA/Nov-28 (Written) Nov-18/3.229 42,525,500 260,823 (3,402)
3.379/3 month USD-LIBOR-BBA/Nov-28 (Written) Nov-18/3.379 42,525,500 76,546 (3,402)
JPMorgan Chase Bank N.A.
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (221,467) 83,055
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301) 78,685
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (357,718) 40,312
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) 22,460
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 2,828,800 (361,757) (8,363)
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 $3,439,600 (198,809) (35,084)
3.062/3 month USD-LIBOR-BBA/Dec-28 (Purchased) Dec-18/3.062 39,526,400 (47,432)
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (319,094) (129,743)
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301) (605,855)
3.302/3 month USD-LIBOR-BBA/Dec-28 (Written) Dec-18/3.302 39,526,400 (45,851)
Morgan Stanley & Co. International PLC
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (316,205) 85,429
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) 12,379
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 2,738,700 (312,486) (1,999)
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (222,086) (86,415)
           
Unrealized appreciation 1,028,102
           
Unrealized (depreciation) (2,274,613)
Total $(1,246,511)









TBA SALE COMMITMENTS OUTSTANDING at 10/31/18 (proceeds receivable $130,699,336) (Unaudited)
  Agency Principal amount Settlement date Value
Federal National Mortgage Association, 4.50%, 11/1/48 $8,000,000 11/13/18 $8,189,375
Federal National Mortgage Association, 3.50%, 11/1/48 32,000,000 11/13/18 31,144,998
Federal National Mortgage Association, 3.00%, 12/1/48 30,000,000 12/13/18 28,339,452
Federal National Mortgage Association, 3.00%, 11/1/48 48,000,000 11/13/18 45,393,749
Government National Mortgage Association, 4.50%, 11/1/48 17,000,000 11/19/18 17,435,625
Total $130,503,199









CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/18 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized appreciation/
(depreciation)
$22,802,800 $325,487 $(215) 3/21/23 3 month USD-LIBOR-BBA — Quarterly 2.7725% — Semiannually $(316,574)
9,011,000 66,943 (E) (101) 2/27/28 3 month USD-LIBOR-BBA — Quarterly 3.11% — Semiannually (67,044)
10,713,000 106,723 (E) (120) 3/7/28 3 month USD-LIBOR-BBA — Quarterly 3.05125% — Semiannually (106,843)
118,927,300 541,714 (248,709) 10/5/20 2.8225% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 265,380
81,964,000 66,555 (198) 4/25/19 3 month USD-LIBOR-BBA — Quarterly 2.547% — Semiannually (71,642)
204,910,000 172,739 (496) 4/26/19 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually (186,315)
40,982,000 42,293 (99) 5/1/19 3 month USD-LIBOR-BBA — Quarterly 2.5371% — Semiannually 232,084
28,350,300 691,237 160,512 9/25/28 3 month USD-LIBOR-BBA — Quarterly 2.936% — Semiannually (516,622)
56,700,600 944,575 (156,679) 9/25/28 3.026% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 754,587
45,283,800 237,604 42,419 10/11/28 3 month USD-LIBOR-BBA — Quarterly 3.16% — Semiannually (179,624)
42,525,500 918,126 226,948 10/9/28 3 month USD-LIBOR-BBA — Quarterly 2.97% — Semiannually (679,419)
85,050,900 1,250,333 (230,765) 10/9/28 3.05% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 991,892
28,350,300 504,323 161,221 10/16/28 3 month USD-LIBOR-BBA — Quarterly 3.015% — Semiannually (338,187)
56,700,600 592,975 (165,184) 10/16/28 3.10% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 415,952
49,304,000 586,126 (E) 157,901 12/19/28 3 month USD-LIBOR-BBA — Quarterly 3.10% — Semiannually (428,225)
96,483,000 465,627 (E) (13,647) 12/19/23 3.05% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 451,980
389,786,900 619,761 (E) (148,234) 12/19/20 3.05% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 471,527
271,692,000 683,305 (E) (694,960) 12/19/23 3.10% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (11,655)
89,623,500 679,077 (E) 67,080 12/19/28 3 month USD-LIBOR-BBA — Quarterly 3.15% — Semiannually (611,997)
1,180,100 23,024 (E) (6,425) 12/19/48 3 month USD-LIBOR-BBA — Quarterly 3.20% — Semiannually (29,448)
1,190,700 5,738 (17) 10/30/28 3.167% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 5,783
43,376,000 369,217 (575) 10/2/28 3.1215% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 346,264
20,085,000 72,326 (162) 10/2/23 3.051% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 62,943
1,086,800 15,060 (E) (37) 1/7/49 3.23% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 15,023
2,438,100 4,901 (E) (35) 11/7/28 3.204% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 4,866
3,320,800 2,969 (47) 10/22/28 3.2325% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,422)
905,700 1,830 (E) (31) 1/11/49 3.29% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,799
9,400,000 43,964 (125) 10/9/28 3 month USD-LIBOR-BBA — Quarterly 3.275% — Semiannually 48,190
9,400,000 30,823 (125) 10/9/28 3 month USD-LIBOR-BBA — Quarterly 3.25877% — Semiannually 34,956
9,400,000 27,570 (125) 10/9/28 3 month USD-LIBOR-BBA — Quarterly 3.25475% — Semiannually 31,681
9,400,000 27,175 (125) 10/9/28 3 month USD-LIBOR-BBA — Quarterly 3.25427% — Semiannually 31,283
9,400,000 35,306 (125) 10/9/28 3 month USD-LIBOR-BBA — Quarterly 3.26431% — Semiannually 39,472
15,396,500 43,649 (E) (218) 11/7/28 3.26% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (43,867)
2,695,000 8,611 (36) 10/11/28 3 month USD-LIBOR-BBA — Quarterly 3.258% — Semiannually 9,648
26,798,500 29,988 (217) 10/15/23 3.15468% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (36,947)
25,707,000 4,242 (208) 10/15/23 3.13395% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (10,681)
12,068,000 4,393 (160) 10/16/28 3.214703% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,124
10,304,000 3,586 (137) 10/18/28 3.2255% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (5,929)
14,033,000 7,353 (186) 10/19/28 3 month USD-LIBOR-BBA — Quarterly 3.2155% — Semiannually (4,912)
10,953,500 25,522 (145) 10/19/28 3 month USD-LIBOR-BBA — Quarterly 3.24857% — Semiannually 27,548
10,953,500 24,985 (145) 10/19/28 3 month USD-LIBOR-BBA — Quarterly 3.248% — Semiannually 27,009
1,699,000 7,097 (23) 10/22/28 3 month USD-LIBOR-BBA — Quarterly 3.2705% — Semiannually 7,298
13,212,000 22,460 (175) 10/23/28 3.242% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (23,972)
11,751,000 43,831 (156) 10/23/28 3 month USD-LIBOR-BBA — Quarterly 3.2655% — Semiannually 44,925
8,617,000 9,832 (114) 10/25/28 3.2095% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 9,280
8,488,000 23,597 (113) 10/26/28 3.191% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 23,270
6,999,500 11,745 (93) 10/29/28 3.203% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 11,870
7,560,000 41,013 (100) 10/30/28 3.16% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 41,308
12,152,500 86,210 (161) 10/30/28 3.14072% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 86,690
12,152,500 86,392 (161) 10/30/28 3.14054% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 86,872
11,476,000 66,572 (152) 10/31/28 3.155% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 67,224
20,711,900 94,032 (E) (293) 12/6/28 3.182% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 93,739
13,889,000 5,833 (184) 11/2/28 3 month USD-LIBOR-BBA — Quarterly 3.21469% — Semiannually (6,018)
25,515,300 1,021 (E) (361) 12/4/28 3.229% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 659
AUD 11,872,000 27,348 (37) 11/3/22 2.427% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (41,095)
AUD 11,872,000 34,999 (37) 11/15/22 2.4525% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (50,945)
AUD 13,623,000 92,989 (E) (118) 3/7/28 3.395% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (93,107)
AUD 54,198,000 62,713 (E) (2,138) 12/19/23 2.50% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (64,850)
AUD 6,626,000 27,276 (E) (29,068) 12/19/28 6 month AUD-BBR-BBSW — Semiannually 2.90% — Semiannually (1,792)
BRL 20,713,797 329,334 (57) 1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity 0.00% — At maturity 326,508
BRL 10,522,963 180,772 (42) 1/2/23 0.00% — At maturity Brazil Cetip DI Interbank Deposit Rate — At maturity (179,644)
BRL 11,433,703 88,689 — 1/2/23 0.00% — At maturity Brazil Cetip DI Interbank Deposit Rate — At maturity (86,352)
CAD 11,645,000 256,615 (37) 11/2/22 3 month CAD-BA-CDOR — Semiannually 2.02% — Semiannually (248,771)
CAD 11,645,000 246,876 (37) 11/14/22 3 month CAD-BA-CDOR — Semiannually 2.0525% — Semiannually (238,301)
CAD 25,589,000 160,985 (E) 126,106 12/19/23 3 month CAD-BA-CDOR — Semiannually 2.65% — Semiannually (34,878)
CAD 6,614,000 75,673 (E) (7,166) 12/19/28 2.75% — Semiannually 3 month CAD-BA-CDOR — Semiannually 68,506
CHF 21,000 92 (E) (34) 12/19/23 6 month CHF-LIBOR-BBA — Semiannually 0.05% — Annually 59
CHF 19,393,000 63,292 (E) (28,502) 12/19/28 6 month CHF-LIBOR-BBA — Semiannually 0.55% — Annually 34,791
CHF 23,906,000 14,171 (E) (93) 9/21/21 — 0.046% plus 6 month CHF-LIBOR-BBA — Semiannually (14,264)
EUR 8,503,000 18,260 (E) (34) 2/18/20 — 0.124% plus 1 Day Euribor rate — Annually (18,294)
EUR 8,503,000 20,225 (E) (34) 2/18/20 — 0.104% plus 1 Day Euribor rate — Annually (20,259)
EUR 27,544,000 99,302 (242) 5/4/22 0.21% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (176,018)
EUR 7,933,000 94,175 (E) (67) 10/27/27 1.61375% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (94,243)
EUR 14,264,000 98,229 (140) 1/24/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.378% — Annually 159,728
EUR 3,664,000 36,583 (59) 1/24/28 0.976% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (72,511)
EUR 17,710,000 20,440 (81) 1/24/20 — 0.14% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (13,163)
EUR 17,815,000 24,234 (84) 1/30/20 — 0.1249% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (18,902)
EUR 14,334,000 141,865 (144) 1/30/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.4419% — Annually 209,979
EUR 3,673,000 44,756 (61) 1/30/28 0.9987% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (80,586)
EUR 36,297,700 443,276 (420) 3/21/23 0.503% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (587,723)
EUR 7,207,000 137,751 (E) (99) 2/27/28 1.815% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (137,850)
EUR 12,514,000 9,624 (E) (11,331) 12/19/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.40% — Annually (1,707)
EUR 66,881,000 117,114 (E) 153,780 12/19/28 6 month EUR-EURIBOR-REUTERS — Semiannually 1.00% — Annually 270,894
EUR 21,457,000 9,575 (E) (94) 9/21/21 6 month EUR-EURIBOR-REUTERS — Semiannually 0.354% — Annually 9,482
EUR 5,671,000 899 (24) 10/23/20 0.119% plus 6 month EUR-EURIBOR-REUTERS — Annually — (1,176)
EUR 4,563,000 9,877 (42) 10/23/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.385% — Annually 10,621
EUR 1,169,000 7,285 (18) 10/23/28 1.009% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (7,689)
GBP 3,856,000 44,773 (E) (72) 1/19/32 1.912% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (44,844)
GBP 17,538,000 40,239 (54) 9/15/19 6 month GBP-LIBOR-BBA — Semiannually 0.766% — Semiannually (43,866)
GBP 3,508,000 11,537 (E) (43) 9/22/32 1.863% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (11,580)
GBP 17,538,000 37,930 21,775 12/20/19 6 month GBP-LIBOR-BBA — Semiannually 0.85% — Semiannually (7,935)
GBP 14,017,000 42,140 (E) 87,862 12/19/23 6 month GBP-LIBOR-BBA — Semiannually 1.45% — Semiannually 130,001
GBP 6,987,000 38,527 (E) (5,522) 12/19/28 6 month GBP-LIBOR-BBA — Semiannually 1.65% — Semiannually 33,005
HKD 646,533,000 128,285 (157) 4/23/19 1.955% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 131,251
HKD 161,879,000 31,501 (50) 4/24/19 1.965% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 32,103
HKD 647,517,000 125,508 (198) 4/24/19 1.96625% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 127,892
HKD 808,986,000 162,479 (248) 4/25/19 1.972% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 165,506
HKD 323,758,000 70,557 (99) 4/27/19 1.96% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 71,075
JPY 794,000,000 3,786 (28) 12/19/22 6 month JPY-LIBOR-BBA — Semiannually 0.09% — Semiannually (1,869)
JPY 398,000,000 3,245 (26) 12/19/27 0.29% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (393)
JPY 794,000,000 8,789 (58) 1/15/23 6 month JPY-LIBOR-BBA — Semiannually 0.135% — Semiannually 11,228
JPY 398,000,000 19,862 (47) 1/15/28 0.365% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (23,560)
JPY 794,000,000 11,808 (60) 2/16/23 6 month JPY-LIBOR-BBA — Semiannually 0.148% — Semiannually 13,516
JPY 398,000,000 18,977 (49) 2/16/28 0.366% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (21,546)
MXN 84,723,000 634,712 — 1/1/26 1 month MXN-TIIE-BANXICO — 28 Days 6.16% — 28 Days (638,032)
MXN 90,430,000 340,899 — 10/6/21 1 month MXN-TIIE-BANXICO — 28 Days 5.93% — 28 Days (347,171)
MXN 21,470,000 55,762 (14) 12/24/26 8.12% — 28 Days 1 month MXN-TIIE-BANXICO — 28 Days 55,748
MXN 25,900,000 61,519 (17) 1/7/27 8.20% — 28 Days 1 month MXN-TIIE-BANXICO — 28 Days 61,480
MXN 315,000 509 — 6/16/23 1 month MXN-TIIE-BANXICO — 28 Days 8.005% — 28 Days 510
MXN 30,640,000 48,665 (13) 6/16/23 1 month MXN-TIIE-BANXICO — 28 Days 8.02% — 28 Days 48,736
MXN 36,645,000 76,037 (16) 6/26/23 1 month MXN-TIIE-BANXICO — 28 Days 7.77% — 28 Days (76,229)
NOK 227,912,000 69,943 (E) 29,004 12/19/23 2.05% — Annually 6 month NOK-NIBOR-NIBR — Semiannually (40,940)
NOK 362,000 131 (E) (113) 12/19/28 6 month NOK-NIBOR-NIBR — Semiannually 2.35% — Annually 18
NZD 70,491,000 81,280 (E) 19,703 12/19/23 2.40% — Semiannually 3 month NZD-BBR-FRA — Quarterly (61,578)
NZD 8,420,000 21,027 (E) (5,996) 12/19/28 3 month NZD-BBR-FRA — Quarterly 2.90% — Semiannually 15,031
SEK 178,598,000 6,967 (48) 11/10/19 — 0.245% plus 3 month SEK-STIBOR-SIDE — Quarterly 40,631
SEK 36,591,000 9,492 (31) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.125% — Annually 40,581
SEK 178,598,000 7,163 (48) 11/10/19 — 0.246% plus 3 month SEK-STIBOR-SIDE — Quarterly 41,030
SEK 36,591,000 7,753 (31) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.13% — Annually 42,528
SEK 178,598,000 2,537 (48) 11/13/19 — 0.2225% plus 3 month SEK-STIBOR-SIDE — Quarterly 31,764
SEK 36,591,000 2,147 (31) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.16% — Annually 53,141
SEK 36,591,000 1,276 (31) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.1575% — Annually 52,166
SEK 178,598,000 4,059 (48) 11/13/19 — 0.23% plus 3 month SEK-STIBOR-SIDE — Quarterly 34,796
SEK 36,624,000 56,218 (60) 1/24/28 3 month SEK-STIBOR-SIDE — Quarterly 1.3325% — Annually 99,987
SEK 141,157,000 103,194 (141) 1/24/23 0.6075% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (181,266)
SEK 174,483,000 18,094 (81) 1/24/20 0.0925% plus 3 month SEK-STIBOR-SIDE — Quarterly — 5,737
SEK 171,857,000 19,155 (82) 1/30/20 0.085% plus 3 month SEK-STIBOR-SIDE — Quarterly — 6,901
SEK 139,150,000 140,014 (143) 1/30/23 0.66875% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (221,383)
SEK 36,240,000 71,073 (61) 1/30/28 3 month SEK-STIBOR-SIDE — Quarterly 1.3775% — Annually 114,471
SEK 52,475,000 58,742 (54) 2/5/23 0.6975% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (94,851)
SEK 26,388,000 1,958 (E) 25,767 12/19/28 3 month SEK-STIBOR-SIDE — Quarterly 1.30% — Annually 27,725
SEK 490,135,000 30,101 (E) (26,804) 12/19/23 0.65% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (56,907)
SEK 58,888,000 4,826 (25) 10/23/20 3 month SEK-STIBOR-SIDE — Quarterly 0.035% — Annually 5,704
SEK 47,983,000 20,953 (43) 10/23/23 0.6625% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (22,466)
SEK 12,214,000 9,201 (18) 10/23/28 3 month SEK-STIBOR-SIDE — Quarterly 1.325% — Annually 9,756
ZAR 76,590,000 64,750 (40) 1/25/21 3 month ZAR-JIBAR-SAFEX — Quarterly 7.06% — Quarterly (64,748)
ZAR 29,335,000 88,917 (33) 1/25/28 7.92% — Quarterly 3 month ZAR-JIBAR-SAFEX — Quarterly 88,541
Total $(511,942) $(497,374)
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/18 (Unaudited)
  Swap counterparty/notional amount Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$128,234 $128,147 $— 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly $922
193,810 193,419 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (230)
106,079 105,371 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 462
136,911 136,636 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (163)
14,417 14,318 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 64
242,491 241,920 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (275)
1,143,045 1,140,744 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (1,357)
911,638 910,674 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly (25)
535,017 535,475 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (1,325)
170,508 171,690 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 2,780
102,643 103,354 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 1,674
130,169 131,072 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 2,123
213,418 211,955 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 944
30,625 30,415 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 135
488,043 488,946 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (5,370)
186,767 186,490 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,124
664,193 665,115 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (6,308)
1,788,267 1,785,361 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (709)
15,212,640 15,187,952 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (6,048)
9,117,966 9,117,966 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (16,100)
Citibank, N.A.
895,391 893,937 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (356)
2,037,294 2,033,987 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (810)
311,197 310,692 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (124)
Credit Suisse International
679,098 677,996 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (270)
670,638 670,638 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,184)
272,131 274,017 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 4,438
298,795 299,347 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (3,288)
327,947 328,554 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (3,608)
290,611 292,625 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 4,739
170,690 170,927 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,621
13,680 13,699 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 130
13,221 13,211 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 88
116,000 115,915 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 770
219,835 219,509 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,323
60,580 60,490 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 365
34,655 34,604 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 209
958,370 957,731 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 6,785
343,664 343,435 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,433
337,977 337,977 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,428
594,549 595,374 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,647)
Deutsche Bank AG
670,638 670,638 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,184)
Goldman Sachs International
154,811 153,779 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 674
67,141 66,681 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 297
318,170 317,955 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,289
318,170 317,955 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,289
424,782 424,782 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (750)
159,578 159,578 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (282)
74,321 73,826 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 324
11,178 11,103 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 49
182,591 181,926 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 902
74,775 74,276 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 326
149,542 148,544 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 651
4,830 4,797 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly 21
299,440 299,440 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (529)
581,946 581,946 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,028)
359,295 359,295 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (634)
27,530 27,530 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (49)
73,435 73,435 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (130)
724,207 723,717 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,209
626,737 626,313 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,508
467,783 468,648 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (5,147)
560,596 560,186 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 3,722
444,063 443,738 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,948
234,346 234,175 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,556
341,025 340,798 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,414
376,356 375,798 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,266)
1,194,615 1,193,818 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 8,458
404,546 405,567 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly (3,956)
1,048,611 1,050,067 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (9,959)
JPMorgan Chase Bank N.A.
918,384 919,659 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 8,723
532,856 533,595 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,061
177,130 177,376 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,682
494,614 495,300 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,698
467,783 468,648 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (5,147)
JPMorgan Securities LLC
551,170 545,633 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,248)
125,482 125,295 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (755)
2,115,518 2,114,088 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (15,219)
629,375 633,737 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (10,263)
1,368,225 1,367,225 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (9,083)
Upfront premium received — Unrealized appreciation 92,358
Upfront premium (paid) — Unrealized (depreciation) (120,826)
Total $— Total $(28,468)









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/18 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized appreciation/
(depreciation)
EUR 17,671,000 $292,400 $— 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $292,400
EUR 17,671,000 256,853 — 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (256,853)
EUR 6,627,000 111,615 (86) 8/15/27 (1.42%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 111,529
EUR 6,627,000 117,312 (160) 8/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (117,472)
EUR 11,045,000 176,005 (142) 8/15/27 (1.4275%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 175,863
EUR 11,045,000 185,463 (267) 8/15/37 1.7138% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (185,729)
EUR 8,836,000 125,752 (114) 9/15/27 (1.4475%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 125,638
EUR 8,836,000 112,931 (214) 9/15/37 1.735% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (113,145)
EUR 14,401,000 7,079 (169) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 6,911
EUR 14,401,000 10,292 (169) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 10,124
EUR 14,401,000 6,003 (170) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 5,833
EUR 14,401,000 4,942 (170) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 4,773
GBP 5,308,000 80,724 (74) 2/15/23 (3.19%) — At maturity GBP Non-revised UK Retail Price Index — At maturity 80,650
GBP 5,308,000 126,236 (124) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (126,360)
GBP 6,900,000 77,780 (115) 3/15/23 (3.325%) — At maturity GBP Non-revised UK Retail Price Index — At maturity 77,665
GBP 6,900,000 139,349 (160) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity (139,509)
GBP 2,477,000 33,079 (35) 3/15/23 (3.295%) — At maturity GBP Non-revised UK Retail Price Index — At maturity 33,045
GBP 2,477,000 55,711 (58) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity (55,768)
GBP 4,954,000 83,332 (70) 3/15/23 (3.245%) — At maturity GBP Non-revised UK Retail Price Index — At maturity 83,262
GBP 4,954,000 81,616 (70) 3/15/23 (3.25%) — At maturity GBP Non-revised UK Retail Price Index — At maturity 81,545
GBP 9,908,000 294,663 (231) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (294,901)
$7,142,000 100,374 — 7/3/22 (1.9225%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 100,374
7,142,000 123,071 — 7/3/27 2.085% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (123,071)
8,217,000 129,410 — 7/5/22 (1.89%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 129,410
8,217,000 169,550 — 7/5/27 2.05% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (169,550)
7,952,000 52,205 (49) 12/21/22 (2.068%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 52,156
7,952,000 55,823 (86) 12/21/27 2.1939% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (55,909)
7,952,000 55,648 (49) 12/6/22 (2.05%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 55,600
7,952,000 55,068 (86) 12/6/27 2.19% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (55,153)
Total $(2,868) $(266,642)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 10/31/18 (Unaudited)
  Swap counterparty/referenced debt* Rating*** Upfront premium received (paid)**   Notional amount Value   Termination
date		   Payments received
by fund		 Unrealized appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $9,980 $146,000 $20,323 5/11/63 300 bp — Monthly $(10,258)
CMBX NA BBB-.6 Index BBB-/P 19,586 325,000 45,240 5/11/63 300 bp — Monthly (25,465)
CMBX NA BBB-.6 Index BBB-/P 40,127 650,000 90,480 5/11/63 300 bp — Monthly (49,973)
CMBX NA BBB-.6 Index BBB-/P 38,247 671,000 93,403 5/11/63 300 bp — Monthly (54,765)
Citigroup Global Markets, Inc.
CMBX NA BBB-.6 Index BBB-/P 1,141 8,000 1,114 5/11/63 300 bp — Monthly 32
CMBX NA BBB-.6 Index BBB-/P 9,654 68,000 9,466 5/11/63 300 bp — Monthly 228
CMBX NA BB.6 Index BB/P 175,851 928,000 227,174 5/11/63 500 bp — Monthly (50,422)
CMBX NA BB.6 Index BB/P 317,017 1,288,000 315,302 5/11/63 500 bp — Monthly 2,967
CMBX NA BB.7 Index BB/P 81,233 632,000 92,778 1/17/47 500 bp — Monthly (10,930)
CMBX NA BBB-.6 Index BBB-/P 382 4,000 557 5/11/63 300 bp — Monthly (173)
CMBX NA BBB-.6 Index BBB-/P 2,251 21,000 2,923 5/11/63 300 bp — Monthly (660)
CMBX NA BBB-.6 Index BBB-/P 2,230 21,000 2,923 5/11/63 300 bp — Monthly (681)
CMBX NA BBB-.6 Index BBB-/P 5,733 58,000 8,074 5/11/63 300 bp — Monthly (2,306)
CMBX NA BBB-.6 Index BBB-/P 13,565 103,000 14,338 5/11/63 300 bp — Monthly (712)
CMBX NA BBB-.6 Index BBB-/P 10,023 105,000 14,616 5/11/63 300 bp — Monthly (4,531)
CMBX NA BBB-.6 Index BBB-/P 19,220 168,000 23,386 5/11/63 300 bp — Monthly (4,067)
CMBX NA BBB-.6 Index BBB-/P 19,311 190,000 26,448 5/11/63 300 bp — Monthly (7,026)
CMBX NA BBB-.6 Index BBB-/P 22,001 200,000 27,840 5/11/63 300 bp — Monthly (5,722)
CMBX NA BBB-.6 Index BBB-/P 33,001 300,000 41,760 5/11/63 300 bp — Monthly (8,584)
CMBX NA BBB-.6 Index BBB-/P 38,805 336,000 46,771 5/11/63 300 bp — Monthly (7,770)
CMBX NA BBB-.6 Index BBB-/P 40,862 365,000 50,808 5/11/63 300 bp — Monthly (9,733)
CMBX NA BBB-.6 Index BBB-/P 51,837 502,000 69,878 5/11/63 300 bp — Monthly (17,749)
CMBX NA BBB-.6 Index BBB-/P 77,334 701,000 97,579 5/11/63 300 bp — Monthly (19,836)
CMBX NA BBB-.6 Index BBB-/P 218,669 1,489,000 207,269 5/11/63 300 bp — Monthly 12,269
Credit Suisse International
CMBX NA BBB-.6 Index BBB-/P 58,297 376,000 52,339 5/11/63 300 bp — Monthly 6,177
CMBX NA BBB-.6 Index BBB-/P 81,330 582,000 81,014 5/11/63 300 bp — Monthly 655
CMBX NA BBB-.6 Index BBB-/P 85,335 585,000 81,432 5/11/63 300 bp — Monthly 4,244
CMBX NA BBB-.6 Index BBB-/P 170,816 1,171,000 163,003 5/11/63 300 bp — Monthly 8,496
CMBX NA BBB-.6 Index BBB-/P 8,504 85,000 11,832 5/11/63 300 bp — Monthly (3,278)
CMBX NA BBB-.6 Index BBB-/P 9,537 90,000 12,528 5/11/63 300 bp — Monthly (2,938)
CMBX NA BBB-.6 Index BBB-/P 10,314 106,000 14,755 5/11/63 300 bp — Monthly (4,379)
CMBX NA BBB-.6 Index BBB-/P 14,440 143,000 19,906 5/11/63 300 bp — Monthly (5,383)
CMBX NA BBB-.6 Index BBB-/P 35,881 212,000 29,510 5/11/63 300 bp — Monthly 6,495
CMBX NA BBB-.6 Index BBB-/P 21,056 222,000 30,902 5/11/63 300 bp — Monthly (9,717)
CMBX NA BBB-.6 Index BBB-/P 27,946 285,000 39,672 5/11/63 300 bp — Monthly (11,560)
CMBX NA BBB-.6 Index BBB-/P 27,616 291,000 40,507 5/11/63 300 bp — Monthly (12,721)
CMBX NA BBB-.6 Index BBB-/P 35,352 316,000 43,987 5/11/63 300 bp — Monthly (8,451)
CMBX NA BBB-.6 Index BBB-/P 32,187 336,000 46,771 5/11/63 300 bp — Monthly (14,388)
CMBX NA BBB-.6 Index BBB-/P 43,994 391,000 54,427 5/11/63 300 bp — Monthly (10,205)
CMBX NA BBB-.6 Index BBB-/P 54,922 461,000 64,171 5/11/63 300 bp — Monthly (8,980)
CMBX NA BBB-.6 Index BBB-/P 52,114 474,000 65,981 5/11/63 300 bp — Monthly (13,590)
CMBX NA BBB-.6 Index BBB-/P 142,278 943,000 131,266 5/11/63 300 bp — Monthly 11,563
CMBX NA BBB-.6 Index BBB-/P 124,926 1,090,000 151,728 5/11/63 300 bp — Monthly (26,166)
CMBX NA BBB-.6 Index BBB-/P 127,067 1,150,000 160,080 5/11/63 300 bp — Monthly (32,342)
CMBX NA BBB-.6 Index BBB-/P 151,088 1,317,000 183,326 5/11/63 300 bp — Monthly (31,471)
CMBX NA BBB-.6 Index BBB-/P 143,661 1,359,000 189,173 5/11/63 300 bp — Monthly (44,719)
CMBX NA BBB-.6 Index BBB-/P 185,042 1,710,000 238,032 5/11/63 300 bp — Monthly (51,993)
CMBX NA BBB-.6 Index BBB-/P 355,922 2,359,000 328,373 5/11/63 300 bp — Monthly 28,926
CMBX NA BBB-.6 Index BBB-/P 265,073 2,399,000 333,941 5/11/63 300 bp — Monthly (67,469)
CMBX NA BBB-.6 Index BBB-/P 417,777 3,841,000 534,667 5/11/63 300 bp — Monthly (114,650)
CMBX NA BBB-.6 Index BBB-/P 775,069 7,249,000 1,009,061 5/11/63 300 bp — Monthly (229,764)
CMBX NA BBB-.7 Index BBB-/P 27,745 351,000 22,008 1/17/47 300 bp — Monthly 5,942
CMBX NA BBB-.7 Index BBB-/P 143,170 2,180,000 136,686 1/17/47 300 bp — Monthly 7,756
CMBX NA BBB-.7 Index BBB-/P 968,063 13,097,000 821,182 1/17/47 300 bp — Monthly 154,521
Goldman Sachs International
CMBX NA BBB-.6 Index BBB-/P 14,630 88,000 12,250 5/11/63 300 bp — Monthly 2,432
CMBX NA BBB-.6 Index BBB-/P 20,235 183,000 25,474 5/11/63 300 bp — Monthly (5,131)
CMBX NA BBB-.6 Index BBB-/P 25,594 188,000 26,170 5/11/63 300 bp — Monthly (466)
CMBX NA BBB-.6 Index BBB-/P 21,361 203,000 28,258 5/11/63 300 bp — Monthly (6,778)
CMBX NA BBB-.6 Index BBB-/P 17,848 206,000 28,675 5/11/63 300 bp — Monthly (10,707)
CMBX NA BBB-.6 Index BBB-/P 24,541 223,000 31,042 5/11/63 300 bp — Monthly (6,371)
CMBX NA BBB-.6 Index BBB-/P 17,962 227,000 31,598 5/11/63 300 bp — Monthly (13,504)
CMBX NA BBB-.6 Index BBB-/P 27,421 245,000 34,104 5/11/63 300 bp — Monthly (6,540)
CMBX NA BBB-.6 Index BBB-/P 24,979 296,000 41,203 5/11/63 300 bp — Monthly (16,052)
CMBX NA BBB-.6 Index BBB-/P 33,986 304,000 42,317 5/11/63 300 bp — Monthly (8,154)
CMBX NA BBB-.6 Index BBB-/P 37,886 326,000 45,379 5/11/63 300 bp — Monthly (7,303)
CMBX NA BBB-.6 Index BBB-/P 58,232 389,000 54,149 5/11/63 300 bp — Monthly 4,310
CMBX NA BBB-.6 Index BBB-/P 57,641 392,000 54,566 5/11/63 300 bp — Monthly 3,303
CMBX NA BBB-.6 Index BBB-/P 44,904 403,000 56,098 5/11/63 300 bp — Monthly (10,959)
CMBX NA BBB-.6 Index BBB-/P 34,559 417,000 58,046 5/11/63 300 bp — Monthly (23,244)
CMBX NA BBB-.6 Index BBB-/P 45,403 418,000 58,186 5/11/63 300 bp — Monthly (12,538)
CMBX NA BBB-.6 Index BBB-/P 45,228 418,000 58,186 5/11/63 300 bp — Monthly (12,714)
CMBX NA BBB-.6 Index BBB-/P 37,046 439,000 61,109 5/11/63 300 bp — Monthly (23,807)
CMBX NA BBB-.6 Index BBB-/P 30,861 453,000 63,058 5/11/63 300 bp — Monthly (31,932)
CMBX NA BBB-.6 Index BBB-/P 51,553 462,000 64,310 5/11/63 300 bp — Monthly (12,488)
CMBX NA BBB-.6 Index BBB-/P 51,553 462,000 64,310 5/11/63 300 bp — Monthly (12,488)
CMBX NA BBB-.6 Index BBB-/P 73,722 531,000 73,915 5/11/63 300 bp — Monthly 117
CMBX NA BBB-.6 Index BBB-/P 48,875 566,000 78,787 5/11/63 300 bp — Monthly (29,582)
CMBX NA BBB-.6 Index BBB-/P 86,808 576,000 80,179 5/11/63 300 bp — Monthly 6,965
CMBX NA BBB-.6 Index BBB-/P 59,933 597,000 83,102 5/11/63 300 bp — Monthly (22,821)
CMBX NA BBB-.6 Index BBB-/P 31,103 638,000 88,810 5/11/63 300 bp — Monthly (57,335)
CMBX NA BBB-.6 Index BBB-/P 31,646 638,000 88,810 5/11/63 300 bp — Monthly (56,791)
CMBX NA BBB-.6 Index BBB-/P 34,009 652,000 90,758 5/11/63 300 bp — Monthly (56,369)
CMBX NA BBB-.6 Index BBB-/P 84,497 694,000 96,605 5/11/63 300 bp — Monthly (11,703)
CMBX NA BBB-.6 Index BBB-/P 76,544 707,000 98,414 5/11/63 300 bp — Monthly (21,458)
CMBX NA BBB-.6 Index BBB-/P 69,759 928,000 129,178 5/11/63 300 bp — Monthly (58,877)
CMBX NA BBB-.6 Index BBB-/P 134,739 961,000 133,771 5/11/63 300 bp — Monthly 1,529
CMBX NA BBB-.6 Index BBB-/P 124,607 1,193,000 166,066 5/11/63 300 bp — Monthly (40,762)
CMBX NA BBB-.6 Index BBB-/P 155,880 1,414,000 196,829 5/11/63 300 bp — Monthly (40,124)
CMBX NA BBB-.6 Index BBB-/P 184,707 1,551,000 215,899 5/11/63 300 bp — Monthly (30,288)
CMBX NA BBB-.6 Index BBB-/P 93,617 1,935,000 269,352 5/11/63 300 bp — Monthly (174,607)
CMBX NA BBB-.6 Index BBB-/P 320,704 2,144,000 298,445 5/11/63 300 bp — Monthly 23,510
CMBX NA BBB-.7 Index BBB-/P 46,909 673,000 42,197 1/17/47 300 bp — Monthly 5,104
CMBX NA BBB-.7 Index BBB-/P 143,321 1,939,000 121,575 1/17/47 300 bp — Monthly 22,877
JPMorgan Securities LLC
CMBX NA BB.6 Index BB/P 79,440 375,000 91,800 5/11/63 500 bp — Monthly (11,996)
CMBX NA BB.6 Index BB/P 86,142 407,000 99,634 5/11/63 500 bp — Monthly (13,096)
CMBX NA BBB-.6 Index BBB-/P 85,236 585,000 81,432 5/11/63 300 bp — Monthly 4,146
CMBX NA BBB-.6 Index BBB-/P 173,296 1,168,000 162,586 5/11/63 300 bp — Monthly 11,391
CMBX NA BB.6 Index BB/P 109,255 519,000 127,051 5/11/63 500 bp — Monthly (17,292)
CMBX NA BBB-.6 Index BBB-/P 1,933 18,000 2,506 5/11/63 300 bp — Monthly (562)
CMBX NA BBB-.6 Index BBB-/P 7,312 46,000 6,403 5/11/63 300 bp — Monthly 936
CMBX NA BBB-.6 Index BBB-/P 7,279 46,000 6,403 5/11/63 300 bp — Monthly 903
CMBX NA BBB-.6 Index BBB-/P 7,938 69,000 9,605 5/11/63 300 bp — Monthly (1,627)
CMBX NA BBB-.6 Index BBB-/P 14,477 92,000 12,806 5/11/63 300 bp — Monthly 1,725
CMBX NA BBB-.6 Index BBB-/P 8,910 93,000 12,946 5/11/63 300 bp — Monthly (3,981)
CMBX NA BBB-.6 Index BBB-/P 9,394 95,000 13,224 5/11/63 300 bp — Monthly (3,774)
CMBX NA BBB-.6 Index BBB-/P 10,677 106,000 14,755 5/11/63 300 bp — Monthly (4,016)
CMBX NA BBB-.6 Index BBB-/P 14,290 110,000 15,312 5/11/63 300 bp — Monthly (958)
CMBX NA BBB-.6 Index BBB-/P 14,488 110,000 15,312 5/11/63 300 bp — Monthly (760)
CMBX NA BBB-.6 Index BBB-/P 15,040 132,000 18,374 5/11/63 300 bp — Monthly (3,257)
CMBX NA BBB-.6 Index BBB-/P 13,702 134,000 18,653 5/11/63 300 bp — Monthly (4,872)
CMBX NA BBB-.6 Index BBB-/P 20,772 139,000 19,349 5/11/63 300 bp — Monthly 1,504
CMBX NA BBB-.6 Index BBB-/P 15,706 146,000 20,323 5/11/63 300 bp — Monthly (4,532)
CMBX NA BBB-.6 Index BBB-/P 18,764 166,000 23,107 5/11/63 300 bp — Monthly (4,246)
CMBX NA BBB-.6 Index BBB-/P 17,004 172,000 23,942 5/11/63 300 bp — Monthly (6,838)
CMBX NA BBB-.6 Index BBB-/P 20,912 175,000 24,360 5/11/63 300 bp — Monthly (3,346)
CMBX NA BBB-.6 Index BBB-/P 20,335 175,000 24,360 5/11/63 300 bp — Monthly (3,922)
CMBX NA BBB-.6 Index BBB-/P 21,413 189,000 26,309 5/11/63 300 bp — Monthly (4,786)
CMBX NA BBB-.6 Index BBB-/P 18,219 189,000 26,309 5/11/63 300 bp — Monthly (7,980)
CMBX NA BBB-.6 Index BBB-/P 25,147 217,000 30,206 5/11/63 300 bp — Monthly (4,933)
CMBX NA BBB-.6 Index BBB-/P 28,314 220,000 30,624 5/11/63 300 bp — Monthly (2,182)
CMBX NA BBB-.6 Index BBB-/P 21,139 224,000 31,181 5/11/63 300 bp — Monthly (9,911)
CMBX NA BBB-.6 Index BBB-/P 30,117 254,000 35,357 5/11/63 300 bp — Monthly (5,092)
CMBX NA BBB-.6 Index BBB-/P 36,031 323,000 44,962 5/11/63 300 bp — Monthly (8,742)
CMBX NA BBB-.6 Index BBB-/P 36,027 329,000 45,797 5/11/63 300 bp — Monthly (9,578)
CMBX NA BBB-.6 Index BBB-/P 33,844 336,000 46,771 5/11/63 300 bp — Monthly (12,731)
CMBX NA BBB-.6 Index BBB-/P 55,360 374,000 52,061 5/11/63 300 bp — Monthly 3,517
CMBX NA BBB-.6 Index BBB-/P 58,890 379,000 52,757 5/11/63 300 bp — Monthly 6,354
CMBX NA BBB-.6 Index BBB-/P 60,685 411,000 57,211 5/11/63 300 bp — Monthly 3,713
CMBX NA BBB-.6 Index BBB-/P 56,672 432,000 60,134 5/11/63 300 bp — Monthly (3,210)
CMBX NA BBB-.6 Index BBB-/P 58,915 456,000 63,475 5/11/63 300 bp — Monthly (4,294)
CMBX NA BBB-.6 Index BBB-/P 60,399 464,000 64,589 5/11/63 300 bp — Monthly (3,919)
CMBX NA BBB-.6 Index BBB-/P 82,311 484,000 67,373 5/11/63 300 bp — Monthly 15,220
CMBX NA BBB-.6 Index BBB-/P 82,992 484,000 67,373 5/11/63 300 bp — Monthly 15,902
CMBX NA BBB-.6 Index BBB-/P 83,888 527,000 73,358 5/11/63 300 bp — Monthly 10,837
CMBX NA BBB-.6 Index BBB-/P 81,912 555,000 77,256 5/11/63 300 bp — Monthly 4,980
CMBX NA BBB-.6 Index BBB-/P 78,942 637,000 88,670 5/11/63 300 bp — Monthly (9,357)
CMBX NA BBB-.6 Index BBB-/P 71,979 646,000 89,923 5/11/63 300 bp — Monthly (17,568)
CMBX NA BBB-.6 Index BBB-/P 71,792 646,000 89,923 5/11/63 300 bp — Monthly (17,755)
CMBX NA BBB-.6 Index BBB-/P 79,783 703,000 97,858 5/11/63 300 bp — Monthly (17,665)
CMBX NA BBB-.6 Index BBB-/P 78,962 704,000 97,997 5/11/63 300 bp — Monthly (18,624)
CMBX NA BBB-.6 Index BBB-/P 102,206 725,000 100,920 5/11/63 300 bp — Monthly 1,709
CMBX NA BBB-.6 Index BBB-/P 88,997 755,000 105,096 5/11/63 300 bp — Monthly (15,659)
CMBX NA BBB-.6 Index BBB-/P 85,520 795,000 110,664 5/11/63 300 bp — Monthly (24,680)
CMBX NA BBB-.6 Index BBB-/P 98,087 830,000 115,536 5/11/63 300 bp — Monthly (16,965)
CMBX NA BBB-.6 Index BBB-/P 99,018 892,000 124,166 5/11/63 300 bp — Monthly (24,628)
CMBX NA BBB-.6 Index BBB-/P 121,754 927,000 129,038 5/11/63 300 bp — Monthly (6,743)
CMBX NA BBB-.6 Index BBB-/P 156,038 1,029,000 143,237 5/11/63 300 bp — Monthly 13,401
CMBX NA BBB-.6 Index BBB-/P 110,130 1,047,000 145,742 5/11/63 300 bp — Monthly (35,002)
CMBX NA BBB-.6 Index BBB-/P 116,769 1,061,000 147,691 5/11/63 300 bp — Monthly (30,303)
CMBX NA BBB-.6 Index BBB-/P 126,690 1,149,000 159,941 5/11/63 300 bp — Monthly (32,581)
CMBX NA BBB-.6 Index BBB-/P 130,147 1,188,000 165,370 5/11/63 300 bp — Monthly (34,529)
CMBX NA BBB-.6 Index BBB-/P 125,112 1,193,000 166,066 5/11/63 300 bp — Monthly (40,257)
CMBX NA BBB-.6 Index BBB-/P 142,215 1,291,000 179,707 5/11/63 300 bp — Monthly (36,739)
CMBX NA BBB-.6 Index BBB-/P 146,906 1,331,000 185,275 5/11/63 300 bp — Monthly (37,593)
CMBX NA BBB-.6 Index BBB-/P 160,795 1,696,000 236,083 5/11/63 300 bp — Monthly (74,299)
CMBX NA BBB-.6 Index BBB-/P 268,987 1,771,000 246,523 5/11/63 300 bp — Monthly 23,496
CMBX NA BBB-.6 Index BBB-/P 188,751 1,794,000 249,725 5/11/63 300 bp — Monthly (59,928)
CMBX NA BBB-.6 Index BBB-/P 265,627 1,917,000 266,846 5/11/63 300 bp — Monthly (101)
CMBX NA BBB-.6 Index BBB-/P 312,079 2,063,000 287,170 5/11/63 300 bp — Monthly 26,113
CMBX NA BBB-.6 Index BBB-/P 405,340 3,700,000 515,040 5/11/63 300 bp — Monthly (107,542)
CMBX NA BBB-.6 Index BBB-/P 525,740 5,013,000 697,810 5/11/63 300 bp — Monthly (169,146)
CMBX NA BBB-.6 Index BBB-/P 563,900 5,381,000 749,035 5/11/63 300 bp — Monthly (181,996)
Merrill Lynch International
CMBX NA BBB-.6 Index BBB-/P 6,485 49,000 6,821 5/11/63 300 bp — Monthly (308)
CMBX NA BBB-.6 Index BBB-/P 20,789 184,000 25,613 5/11/63 300 bp — Monthly (4,717)
CMBX NA BBB-.6 Index BBB-/P 50,283 428,000 59,578 5/11/63 300 bp — Monthly (9,045)
CMBX NA BBB-.6 Index BBB-/P 57,709 488,000 67,930 5/11/63 300 bp — Monthly (9,936)
CMBX NA BBB-.6 Index BBB-/P 278,522 2,486,000 346,051 5/11/63 300 bp — Monthly (66,079)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 32,411 230,000 32,016 5/11/63 300 bp — Monthly 529
CMBX NA BBB-.6 Index BBB-/P 86,313 584,000 81,293 5/11/63 300 bp — Monthly 5,361
CMBX NA BBB-.6 Index BBB-/P 86,440 584,000 81,293 5/11/63 300 bp — Monthly 5,488
CMBX NA BBB-.6 Index BBB-/P 85,231 585,000 81,432 5/11/63 300 bp — Monthly 4,140
CMBX NA BBB-.6 Index BBB-/P 172,880 1,168,000 162,586 5/11/63 300 bp — Monthly 10,976
CMBX NA BBB-.6 Index BBB-/P 173,042 1,168,000 162,586 5/11/63 300 bp — Monthly 11,138
CMBX NA BBB-.6 Index BBB-/P 171,233 1,171,000 163,003 5/11/63 300 bp — Monthly 8,913
CMBX NA BBB-.6 Index BBB-/P 212,053 1,533,000 213,394 5/11/63 300 bp — Monthly (447)
CMBX NA BBB-.6 Index BBB-/P 258,148 1,753,000 244,018 5/11/63 300 bp — Monthly 15,153
CMBX NA BBB-.6 Index BBB-/P 255,855 1,756,000 244,435 5/11/63 300 bp — Monthly 12,444
CMBX NA BBB-.6 Index BBB-/P 344,982 2,337,000 325,310 5/11/63 300 bp — Monthly 21,035
CMBX NA A.6 Index A/P 61 6,000 137 5/11/63 200 bp — Monthly (74)
CMBX NA BB.6 Index BB/P 101,667 414,000 101,347 5/11/63 500 bp — Monthly 722
CMBX NA BB.6 Index BB/P 204,028 828,000 202,694 5/11/63 500 bp — Monthly 2,139
CMBX NA BBB-.6 Index BBB-/P 620 5,000 696 5/11/63 300 bp — Monthly (73)
CMBX NA BBB-.6 Index BBB-/P 1,175 11,000 1,531 5/11/63 300 bp — Monthly (349)
CMBX NA BBB-.6 Index BBB-/P 2,117 20,000 2,784 5/11/63 300 bp — Monthly (656)
CMBX NA BBB-.6 Index BBB-/P 3,029 25,000 3,480 5/11/63 300 bp — Monthly (436)
CMBX NA BBB-.6 Index BBB-/P 4,605 38,000 5,290 5/11/63 300 bp — Monthly (663)
CMBX NA BBB-.6 Index BBB-/P 5,923 50,000 6,960 5/11/63 300 bp — Monthly (1,008)
CMBX NA BBB-.6 Index BBB-/P 8,313 65,000 9,048 5/11/63 300 bp — Monthly (697)
CMBX NA BBB-.6 Index BBB-/P 12,211 94,000 13,085 5/11/63 300 bp — Monthly (819)
CMBX NA BBB-.6 Index BBB-/P 9,936 104,000 14,477 5/11/63 300 bp — Monthly (4,480)
CMBX NA BBB-.6 Index BBB-/P 13,353 109,000 15,173 5/11/63 300 bp — Monthly (1,756)
CMBX NA BBB-.6 Index BBB-/P 18,054 141,000 19,627 5/11/63 300 bp — Monthly (1,491)
CMBX NA BBB-.6 Index BBB-/P 18,684 164,000 22,829 5/11/63 300 bp — Monthly (4,049)
CMBX NA BBB-.6 Index BBB-/P 19,950 170,000 23,664 5/11/63 300 bp — Monthly (3,614)
CMBX NA BBB-.6 Index BBB-/P 19,918 204,000 28,397 5/11/63 300 bp — Monthly (8,360)
CMBX NA BBB-.6 Index BBB-/P 24,251 206,000 28,675 5/11/63 300 bp — Monthly (4,304)
CMBX NA BBB-.6 Index BBB-/P 25,446 215,000 29,928 5/11/63 300 bp — Monthly (4,356)
CMBX NA BBB-.6 Index BBB-/P 24,997 218,000 30,346 5/11/63 300 bp — Monthly (5,222)
CMBX NA BBB-.6 Index BBB-/P 49,325 291,000 40,507 5/11/63 300 bp — Monthly 8,987
CMBX NA BBB-.6 Index BBB-/P 64,507 433,000 60,274 5/11/63 300 bp — Monthly 4,486
CMBX NA BBB-.6 Index BBB-/P 41,997 449,000 62,501 5/11/63 300 bp — Monthly (20,242)
CMBX NA BBB-.6 Index BBB-/P 61,333 542,000 75,446 5/11/63 300 bp — Monthly (13,797)
CMBX NA BBB-.6 Index BBB-/P 76,220 629,000 87,557 5/11/63 300 bp — Monthly (10,970)
Upfront premium received 17,900,324 Unrealized appreciation 577,776
Upfront premium (paid) — Unrealized (depreciation) (3,171,461)
Total $17,900,324 Total $(2,593,685)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at October 31, 2018. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 10/31/18 (Unaudited)
  Swap counterparty/referenced debt* Upfront premium received (paid)**   Notional amount Value   Termination
date		   Payments (paid) by fund Unrealized appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(56) $6,000 $137 5/11/63 (200 bp) — Monthly $79
CMBX NA BB.7 Index (67,812) 336,000 49,325 1/17/47 (500 bp) — Monthly (18,814)
CMBX NA BB.7 Index (42,091) 268,000 39,342 1/17/47 (500 bp) — Monthly (3,009)
CMBX NA BB.7 Index (43,761) 268,000 39,342 1/17/47 (500 bp) — Monthly (4,680)
CMBX NA BB.7 Index (31,728) 249,000 36,553 1/17/47 (500 bp) — Monthly 4,583
CMBX NA BB.9 Index (97,972) 636,000 97,308 9/17/58 (500 bp) — Monthly (1,283)
CMBX NA BB.9 Index (98,414) 636,000 97,308 9/17/58 (500 bp) — Monthly (1,724)
CMBX NA BB.9 Index (97,309) 632,000 96,696 9/17/58 (500 bp) — Monthly (1,228)
CMBX NA BB.9 Index (49,471) 316,000 48,348 9/17/58 (500 bp) — Monthly (1,430)
CMBX NA BB.9 Index (17,878) 112,000 17,136 9/17/58 (500 bp) — Monthly (851)
Credit Suisse International
CMBX NA BB.7 Index (43,155) 2,445,000 598,536 5/11/63 (500 bp) — Monthly 553,004
CMBX NA BB.7 Index (286,536) 1,742,000 255,726 1/17/47 (500 bp) — Monthly (32,504)
CMBX NA BB.7 Index (99,427) 539,000 79,125 1/17/47 (500 bp) — Monthly (20,826)
CMBX NA BB.9 Index (156,273) 979,000 149,787 9/17/58 (500 bp) — Monthly (7,438)
CMBX NA BB.9 Index (56,515) 367,000 56,151 9/17/58 (500 bp) — Monthly (720)
CMBX NA BB.9 Index (34,410) 220,000 33,660 9/17/58 (500 bp) — Monthly (964)
CMBX NA BB.9 Index (27,140) 174,000 26,622 9/17/58 (500 bp) — Monthly (687)
CMBX NA BB.9 Index (27,140) 174,000 26,622 9/17/58 (500 bp) — Monthly (687)
Goldman Sachs International
CMBX NA BB.6 Index (104,038) 1,017,000 248,962 5/11/63 (500 bp) — Monthly 143,935
CMBX NA BB.7 Index (71,729) 474,000 69,583 1/17/47 (500 bp) — Monthly (2,607)
CMBX NA BB.6 Index (19,578) 134,000 32,803 5/11/63 (500 bp) — Monthly 13,095
CMBX NA BB.7 Index (135,933) 804,000 118,027 1/17/47 (500 bp) — Monthly (18,687)
CMBX NA BB.7 Index (84,052) 513,000 75,308 1/17/47 (500 bp) — Monthly (9,242)
CMBX NA BB.7 Index (57,666) 284,000 41,691 1/17/47 (500 bp) — Monthly (16,251)
CMBX NA BB.7 Index (31,765) 174,000 25,543 1/17/47 (500 bp) — Monthly (6,391)
CMBX NA BB.9 Index (18,626) 117,000 17,901 9/17/58 (500 bp) — Monthly (839)
CMBX NA BB.9 Index (8,847) 56,000 8,568 9/17/58 (500 bp) — Monthly (334)
CMBX NA BB.9 Index (8,945) 56,000 8,568 9/17/58 (500 bp) — Monthly (431)
JPMorgan Securities LLC
CMBX NA BB.7 Index (65,000) 407,000 59,748 1/17/47 (500 bp) — Monthly (5,648)
CMBX NA BB.7 Index (59,948) 375,000 55,050 1/17/47 (500 bp) — Monthly (5,263)
CMBX NA BB.7 Index (34,507) 178,000 26,130 1/17/47 (500 bp) — Monthly (8,550)
CMBX NA BB.6 Index (84,642) 602,000 147,370 5/11/63 (500 bp) — Monthly 62,142
CMBX NA BB.6 Index (64,085) 442,000 108,202 5/11/63 (500 bp) — Monthly 43,687
CMBX NA BB.6 Index (26,464) 184,000 45,043 5/11/63 (500 bp) — Monthly 18,400
CMBX NA BB.6 Index (133) 1,000 245 5/11/63 (500 bp) — Monthly 111
CMBX NA BB.7 Index (216,992) 1,389,000 203,905 1/17/47 (500 bp) — Monthly (14,437)
CMBX NA BB.7 Index (153,231) 932,000 136,818 1/17/47 (500 bp) — Monthly (17,319)
CMBX NA BB.7 Index (146,528) 917,000 134,616 1/17/47 (500 bp) — Monthly (12,804)
CMBX NA BB.7 Index (117,583) 724,000 106,283 1/17/47 (500 bp) — Monthly (12,003)
CMBX NA BB.7 Index (73,546) 378,000 55,490 1/17/47 (500 bp) — Monthly (18,424)
CMBX NA BB.7 Index (55,615) 309,000 45,361 1/17/47 (500 bp) — Monthly (10,554)
CMBX NA BB.7 Index (42,091) 268,000 39,342 1/17/47 (500 bp) — Monthly (3,009)
CMBX NA BB.7 Index (45,479) 229,000 33,617 1/17/47 (500 bp) — Monthly (12,084)
CMBX NA BB.7 Index (34,479) 227,000 33,324 1/17/47 (500 bp) — Monthly (1,376)
CMBX NA BB.7 Index (34,907) 223,000 32,736 1/17/47 (500 bp) — Monthly (2,388)
CMBX NA BB.7 Index (28,220) 208,000 30,534 1/17/47 (500 bp) — Monthly 2,112
CMBX NA BB.7 Index (32,108) 174,000 25,543 1/17/47 (500 bp) — Monthly (6,734)
CMBX NA BB.7 Index (27,140) 138,000 20,258 1/17/47 (500 bp) — Monthly (7,015)
CMBX NA BB.9 Index (26,674) 169,000 25,857 9/17/58 (500 bp) — Monthly (981)
CMBX NA BB.9 Index (19,207) 136,000 20,808 9/17/58 (500 bp) — Monthly 1,469
CMBX NA BB.9 Index (13,261) 85,000 13,005 9/17/58 (500 bp) — Monthly (339)
CMBX NA BB.9 Index (1,840) 12,000 1,836 9/17/58 (500 bp) — Monthly (16)
CMBX NA BBB-.7 Index (93,842) 1,128,000 70,726 1/17/47 (300 bp) — Monthly (23,774)
CMBX NA BBB-.7 Index (58,493) 795,000 49,847 1/17/47 (300 bp) — Monthly (9,110)
CMBX NA BBB-.7 Index (50,565) 549,000 34,422 1/17/47 (300 bp) — Monthly (16,463)
CMBX NA BBB-.7 Index (39,631) 501,000 31,413 1/17/47 (300 bp) — Monthly (8,510)
CMBX NA BBB-.7 Index (39,703) 379,000 23,763 1/17/47 (300 bp) — Monthly (16,160)
CMBX NA BBB-.7 Index (15,493) 288,000 18,058 1/17/47 (300 bp) — Monthly 2,396
Merrill Lynch International
CMBX NA BB.7 Index (207,483) 1,196,000 175,573 1/17/47 (500 bp) — Monthly (33,073)
CMBX NA BB.9 Index (126,691) 810,000 123,930 9/17/58 (500 bp) — Monthly (3,548)
CMBX NA BB.9 Index (43,313) 276,000 42,228 9/17/58 (500 bp) — Monthly (1,162)
CMBX NA BB.9 Index (39,475) 258,000 39,474 9/17/58 (500 bp) — Monthly (252)
CMBX NA BBB-.7 Index (75,310) 919,000 57,621 1/17/47 (300 bp) — Monthly (18,225)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (34,235) 336,000 21,067 1/17/47 (300 bp) — Monthly (13,364)
CMBX NA BB.7 Index (166,515) 828,000 121,550 1/17/47 (500 bp) — Monthly (45,770)
CMBX NA BB.7 Index (142,887) 741,000 108,779 1/17/47 (500 bp) — Monthly (34,828)
CMBX NA BB.7 Index (131,385) 651,000 95,567 1/17/47 (500 bp) — Monthly (36,451)
CMBX NA BB.7 Index (57,259) 306,000 44,921 1/17/47 (500 bp) — Monthly (12,636)
CMBX NA BB.9 Index (22,495) 169,000 25,857 9/17/58 (500 bp) — Monthly 3,197
CMBX NA BB.9 Index (22,550) 166,000 25,398 9/17/58 (500 bp) — Monthly 2,687
CMBX NA BB.9 Index (22,012) 161,000 24,633 9/17/58 (500 bp) — Monthly 2,464
CMBX NA BB.9 Index (24,292) 161,000 24,633 9/17/58 (500 bp) — Monthly 184
CMBX NA BB.9 Index (17,446) 116,000 17,748 9/17/58 (500 bp) — Monthly 190
CMBX NA BB.9 Index (15,719) 101,000 15,453 9/17/58 (500 bp) — Monthly (364)
CMBX NA BB.9 Index (11,806) 78,000 11,934 9/17/58 (500 bp) — Monthly 52
CMBX NA BB.9 Index (11,806) 78,000 11,934 9/17/58 (500 bp) — Monthly 52
CMBX NA BBB-.7 Index (30,222) 476,000 29,845 1/17/47 (300 bp) — Monthly (654)
Upfront premium received — Unrealized appreciation 853,839
Upfront premium (paid) (4,722,575) Unrealized (depreciation) (564,915)
Total $(4,722,575) Total $288,924
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 10/31/18 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional amount Value   Termination
date		   Payments (paid) by fund Unrealized appreciation/
(depreciation)
NA HY Series 31 Index $1,200,563 $16,720,000 $881,244 12/20/23 (500 bp) — Quarterly $240,363
Total $1,200,563 $240,363
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.








Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CNH Chinese Yuan (Offshore)
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
USD / $ United States Dollar
ZAR South African Rand
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2018 through October 31, 2018 (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 $575,058,535.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $92,827, or less than 0.1% of net assets.
(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, 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 7/31/18 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 10/31/18
Short-term investments
Putnam Short Term Investment Fund** $58,463,800 $29,878,914 $78,348,261 $247,385 $9,994,453
Total Short-term investments $58,463,800 $29,878,914 $78,348,261 $247,385 $9,994,453
** 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 $320,575.
(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 $16,784,155.
(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 $484,497.
(SEGCCS) 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 $16,622,251.
(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.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(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.
At the close of the reporting period, the fund maintained liquid assets totaling $179,576,958 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
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 84.8%
Argentina 2.2
Brazil 2.2
Greece 2.0
Mexico 1.6
Canada 1.2
Indonesia 1.1
Russia 0.6
Luxembourg 0.5
United Kingdom 0.5
Bermuda 0.5
Other 2.8
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 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 are used for hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
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.
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.
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 $147,771 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 $16,782,215 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $16,784,155 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
   
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Capital goods $2,555 $— $—
Consumer cyclicals 77,207 32,537 —
Energy 155,818 12,710 27,594
Health care 21,734 — —
Technology 230,009 — —
Utilities and power — 16,648 —
Total common stocks 487,323 61,895 27,594
Asset-backed securities — 745,976 —
Convertible bonds and notes — 10,803,197 —
Convertible preferred stocks — 37,644 —
Corporate bonds and notes — 189,696,019 5
Foreign government and agency bonds and notes — 64,404,485 —
Mortgage-backed securities — 265,896,608 —
Preferred stocks 427,119 — —
Purchased options outstanding — 1,727,794 —
Purchased swap options outstanding — 8,232,388 —
Senior loans — 9,734,260 —
U.S. government and agency mortgage obligations — 197,865,896 —
U.S. treasury obligations — 473,698 —
Warrants 298 — —
Short-term investments 10,124,453 36,984,715 —
Totals by level $11,039,193 $786,664,575 $27,599
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $1,046,973 $—
Futures contracts (148,690) — —
Written options outstanding — (2,225,696) —
Written swap options outstanding — (7,928,913) —
Forward premium swap option contracts — (1,246,511) —
TBA sale commitments — (130,503,199) —
Interest rate swap contracts — 14,568 —
Total return swap contracts — (292,242) —
Credit default contracts — (16,442,710) —
Totals by level $(148,690) $(157,577,730) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
   
 
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $5,011,499 $21,454,209
Foreign exchange contracts 3,722,867 2,395,093
Equity contracts 298 —
Interest rate contracts 20,883,380 23,031,483
Total $29,618,044 $46,880,785
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $319,000,000
Purchased currency option contracts (contract amount) $106,000,000
Purchased swap option contracts (contract amount) $2,587,000,000
Written TBA commitment option contracts (contract amount) $471,300,000
Written currency option contracts (contract amount) $43,600,000
Written swap option contracts (contract amount) $2,024,600,000
Futures contracts (number of contracts) 300
Forward currency contracts (contract amount) $544,100,000
Centrally cleared interest rate swap contracts (notional) $3,573,400,000
OTC total return swap contracts (notional) $58,600,000
Centrally cleared total return swap contracts (notional) $275,600,000
OTC credit default contracts (notional) $184,700,000
Centrally cleared credit default contracts (notional) $16,700,000
Warrants (number of warrants) 7,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com








Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 27, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: December 27, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: December 27, 2018