SEC Form N-CSRS filed by Putnam Premier Income Trust

 

Putnam
Premier Income
Trust

Semiannual report
1 | 31 | 24

 

 

Message from the Trustees

March 21, 2024

Dear Fellow Shareholder:

We are pleased to report that on January 1, 2024, Franklin Resources, Inc., a leading global asset management firm operating as Franklin Templeton, acquired Putnam Investments. With complementary capabilities and an established infrastructure serving over 150 countries, Franklin Templeton enhances Putnam’s investment, risk management, operations, and technology platforms. Together, our firms are committed to delivering strong fund performance and more choices for our investors.

We are also excited to welcome Jane E. Trust as an interested trustee to your Board of Trustees. Ms. Trust contributes over 30 years of investment management experience to The Putnam Funds, and has served as Senior Vice President, Fund Board Management, at Franklin Templeton since 2020.

As we enter this new chapter, you can rest assured that your fund continues to be actively managed by the same experienced professionals. Your investment team is exploring new and attractive opportunities for your fund while monitoring changing market conditions.

Thank you for investing with Putnam.

 

Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/24. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Due to rounding, percentages may not equal 100%.

Cash and net other assets, if any, represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency.

 

 

Other information for shareholders

Important notice regarding share repurchase program

In September 2023, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 365 days beginning October 1, 2023, up to 10% of the fund’s common shares outstanding as of September 30, 2023.

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2023, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

 

 

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

 

 

Summary of Putnam closed-end funds’ amended and restated dividend reinvestment plans

Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you or your intermediary.

Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholder will be deemed to have elected to participate in that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.

If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.

To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.

How you acquire additional shares through a Plan If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.

If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.

How to withdraw from a Plan Participants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.

Plan administration The Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant

 

 

will be sent reasonably promptly a confirmation by the Agent of each acquisition made for their account.

About brokerage fees Each participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.

About taxes and Plan amendments Reinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the prior consent of a Fund and without prior notice to Plan participants.

If your shares are held in a broker or nominee name If your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.

In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.

 

 

Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover (not required for money market funds) in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

 

 

The fund’s portfolio 1/31/24 (Unaudited)

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (48.6%)*	Principal amount	Value
U.S. Government Guaranteed Mortgage Obligations (8.5%)
Government National Mortgage Association Pass-Through Certificates
5.50%, TBA, 2/1/54	$11,000,000	$11,084,803
5.50%, 5/20/49	38,568	39,546
5.00%, 5/20/49	116,982	117,512
4.50%, TBA, 2/1/54	12,000,000	11,704,746
4.50%, with due dates from 10/20/49 to 1/20/50	121,566	119,705
4.00%, TBA, 2/1/54	8,000,000	7,612,874
4.00%, with due dates from 8/20/49 to 12/20/49	75,171	71,827
3.50%, with due dates from 8/20/49 to 3/20/50	892,550	824,103
		31,575,116
U.S. Government Agency Mortgage Obligations (40.1%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49	123,579	123,269
4.50%, 5/1/49	18,522	18,190
Uniform Mortgage-Backed Securities
6.50%, TBA, 2/1/54	33,000,000	33,795,353
6.00%, TBA, 2/1/54	72,000,000	73,037,815
5.50%, TBA, 2/1/54	13,000,000	13,048,242
5.00%, TBA, 2/1/54	14,000,000	13,848,516
3.50%, TBA, 2/1/54	6,000,000	5,475,000
3.00%, TBA, 2/1/54	5,000,000	4,387,305
2.50%, TBA, 2/1/54	6,000,000	5,056,875
		148,790,565
Total U.S. government and agency mortgage obligations (cost $180,009,760)		$180,365,681

U.S. TREASURY OBLIGATIONS (0.3%)*	Principal amount	Value
U.S. Treasury Notes 1.625%, 5/15/31 i	$1,224,000	$1,053,289
Total U.S. treasury obligations (cost $1,053,289)		$1,053,289

MORTGAGE-BACKED SECURITIES (38.7%)*		Principal amount	Value
Agency collateralized mortgage obligations (13.7%)
Federal Home Loan Mortgage Corporation
Federal Home Loan Mortgage Corporation		$856,841	$173,234
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51		5,199,643	1,071,248
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50		3,954,376	872,352
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50		7,008,041	1,536,310
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50		4,916,451	1,093,866
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42		338,015	48,764
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51		8,024,639	1,469,504
REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46		4,461,215	886,872
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43		1,082,917	158,781
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41		471,365	32,257
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27		217,061	6,463
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.791%, 9/25/50		8,054,492	1,053,366

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 4742, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.74%, 12/15/47		$1,346,214	$159,916
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.641%, 7/25/50		7,491,011	860,239
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.64%, 8/15/56		4,763,085	628,299
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.591%, 1/25/50		4,851,429	515,073
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.379%, 7/25/43 W		1,353,081	18,277
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46		1,688,524	278,277
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36		75,435	12,406
REMICs Ser. 15-30, IO, 5.50%, 5/25/45		2,595,518	411,441
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35		223,239	31,139
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50		7,215,007	1,283,988
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42		285,493	55,133
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43		2,722,761	474,727
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43		810,963	115,530
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43		609,873	78,918
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42		432,936	46,952
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51		14,997,524	2,002,900
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.941%, 4/25/40		601,542	64,245
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.791%, 3/25/48		2,969,213	256,540
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.741%, 6/25/48		5,271,636	618,450
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40 W		802,491	2,778
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.691%, 5/25/47		6,495,903	681,810
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.691%, 10/25/41		27,793	29
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.591%, 3/25/50		4,318,466	489,541
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.591%, 8/25/49		2,874,728	253,635
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.541%, 11/25/49		5,584,541	710,091
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.441%, 10/25/41		1,300,564	108,067
Government National Mortgage Association
Ser. 16-42, IO, 5.00%, 2/20/46		1,814,563	341,613
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44		3,110,329	693,541
Ser. 14-76, IO, 5.00%, 5/20/44		725,101	144,325
Ser. 12-146, IO, 5.00%, 12/20/42		522,140	100,084
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40		733,490	150,505
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40		533,912	107,724
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39		1,216,357	251,774

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39		$2,464,099	$485,409
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39		439,141	87,240
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48		1,319,964	271,383
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47		7,594,592	1,526,266
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43		1,013,491	198,388
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41		897,870	175,828
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40		982,272	160,014
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40		1,590,366	299,434
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40		855,954	159,017
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45		2,004,661	351,598
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45		1,754,373	322,675
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44		1,140,912	147,292
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44		3,852,441	571,794
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44		638,061	18,882
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44		464,127	77,176
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43		922,851	52,131
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43		446,469	68,885
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42		428,245	73,194
Ser. 21-156, IO, 3.50%, 7/20/51		8,932,547	1,499,855
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50		5,083,964	948,285
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45		896,626	141,744
Ser. 13-28, IO, 3.50%, 2/20/43		301,630	39,517
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43		483,791	60,058
Ser. 13-14, IO, 3.50%, 12/20/42		1,776,998	211,498
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42		1,943,160	322,469
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42		1,899,784	299,909
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42		832,077	134,083
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40		778,237	44,037
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51		7,480,866	1,175,917
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50		6,003,307	948,063
Ser. 17-H19, Class MI, IO, 2.078%, 4/20/67 W		2,360,388	140,443
Ser. 16-H03, Class DI, IO, 2.053%, 12/20/65 W		4,933,923	194,258
Ser. 15-H25, Class EI, IO, 1.853%, 10/20/65 W		3,407,037	129,467
Ser. 15-H20, Class AI, IO, 1.819%, 8/20/65 W		4,689,356	156,624
FRB Ser. 15-H08, Class CI, IO, 1.796%, 3/20/65 W		3,201,250	95,717
Ser. 15-H23, Class BI, IO, 1.735%, 9/20/65 W		4,943,689	145,344
Ser. 16-H24, Class CI, IO, 1.663%, 10/20/66 W		3,647,847	108,706
Ser. 16-H14, IO, 1.662%, 6/20/66 W		3,492,111	95,286
Ser. 13-H08, Class CI, IO, 1.633%, 2/20/63 W		2,631,793	86,849
Ser. 14-H21, Class BI, IO, 1.533%, 10/20/64 W		5,226,407	154,179
IFB Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.105%, 2/20/53		15,243,198	1,164,390
Ser. 18-H02, Class EI, IO, 1.025%, 1/20/68 W		8,190,214	394,867
IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.849%, 6/20/51		10,406,117	1,349,569
IFB Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.849%, 5/20/51		6,538,979	787,471

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
IFB Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.849%, 4/20/51		$13,230,671	$1,392,859
IFB Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.849%, 4/20/51		4,501,126	530,635
IFB Ser. 20-133, Class CS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.849%, 9/20/50		5,904,674	737,624
Ser. 16-H22, Class AI, IO, 0.785%, 10/20/66 W		5,253,164	192,439
Ser. 16-H23, Class NI, IO, 0.767%, 10/20/66 W		13,792,878	588,956
FRB Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.752%, 11/20/47		7,008,160	893,367
IFB Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 0.729%, 4/20/44		3,519,865	367,577
IFB Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.699%, 7/20/50		3,525,471	447,327
IFB Ser. 19-5, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.699%, 1/20/49		3,024,260	308,157
Ser. 16-H16, Class EI, IO, 0.684%, 6/20/66 W		3,664,651	139,623
IFB Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.649%, 5/20/50		4,347,920	479,185
IFB Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.649%, 4/20/50		5,511,428	626,891
IFB Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.649%, 8/20/49		4,316,962	485,140
IFB Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.649%, 7/20/49		3,832,986	411,011
IFB Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.649%, 7/20/49		4,933,070	481,567
Ser. 17-H02, Class BI, IO, 0.621%, 1/20/67 W		3,455,817	114,360
IFB Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.599%, 12/20/49		2,642,814	272,662
IFB Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.599%, 9/20/49		4,239,874	458,237
Ser. 18-H05, Class BI, IO, 0.57%, 2/20/68 W		5,615,058	266,070
IFB Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.549%, 8/20/43		4,788,109	439,884
Ser. 17-H11, Class DI, IO, 0.545%, 5/20/67 W		4,584,813	242,451
Ser. 15-H20, Class CI, IO, 0.538%, 8/20/65 W		5,314,638	288,585
Ser. 16-H18, Class QI, IO, 0.50%, 6/20/66 W		3,026,978	159,970
Ser. 18-H05, Class AI, IO, 0.488%, 2/20/68 W		3,519,725	168,662
Ser. 16-H17, Class KI, IO, 0.393%, 7/20/66 W		2,218,863	97,991
Ser. 15-H24, Class AI, IO, 0.352%, 9/20/65 W		4,111,280	130,081
Ser. 17-H12, Class QI, IO, 0.344%, 5/20/67 W		4,120,634	161,974
Ser. 15-H15, Class BI, IO, 0.293%, 6/20/65 W		2,769,056	106,609
IFB Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.149%, 8/20/44		1,542,544	131,754
Ser. 17-H16, Class JI, IO, 0.124%, 8/20/67 W		11,969,481	595,332
Ser. 16-H09, Class BI, IO, 0.105%, 4/20/66 W		6,174,250	313,034
Ser. 15-H10, Class BI, IO, 0.048%, 4/20/65 W		3,276,292	149,399
Ser. 16-H03, Class AI, IO, 0.042%, 1/20/66 W		11,891,431	427,906

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association
Ser. 16-H06, Class DI, IO, 0.031%, 7/20/65 W		$9,462,333	$236,984
Ser. 18-H15, Class KI, IO, 0.021%, 8/20/68 W		4,615,860	195,150
Ser. 18-H03, Class XI, IO, 0.021%, 2/20/68 W		5,623,941	275,011
Ser. 17-H08, Class NI, IO, 0.02%, 3/20/67 W		6,460,990	244,225
Ser. 17-H06, Class BI, IO, 0.015%, 2/20/67 W		5,130,255	149,242
Ser. 17-H09, IO, 0.014%, 4/20/67 W		6,824,965	216,740
Ser. 17-H16, Class IG, IO, 0.009%, 7/20/67 W		10,680,426	282,531
Ser. 16-H06, Class CI, IO, 0.002%, 2/20/66 W		5,679,071	110,526
Ser. 16-H10, Class AI, IO, zero %, 4/20/66 W		9,163,274	198,220
			50,742,143
Commercial mortgage-backed securities (13.1%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52		802,000	483,474
Benchmark Mortgage Trust FRB Ser. 18-B1, Class C, 4.316%, 1/15/51 W		735,000	501,913
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.172%, 4/10/51 W		1,213,000	717,130
Ser. 19-B13, Class D, 2.50%, 8/15/57		792,000	444,866
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44 W		1,247,000	782,951
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50		1,337,000	501,375
Ser. 19-CD8, Class D, 3.00%, 8/15/57		814,000	444,119
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.249%, 12/15/47 W		1,068,000	918,523
FRB Ser. 11-C2, Class F, 5.249%, 12/15/47 W		2,121,000	1,306,231
Citigroup Commercial Mortgage Trust 144A
Ser. 15-P1, Class D, 3.225%, 9/15/48		920,000	777,754
Ser. 15-GC27, Class E, 3.00%, 2/10/48		886,000	649,840
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 5.084%, 4/10/47 W		912,000	846,069
Ser. 13-CR12, Class AM, 4.30%, 10/10/46		1,123,000	999,511
Ser. 15-DC1, Class B, 4.035%, 2/10/48 W		906,000	824,928
FRB Ser. 15-CR26, Class D, 3.613%, 10/10/48 W		658,000	501,538
COMM Mortgage Trust 144A
FRB Ser. 13-CR13, Class D, 5.097%, 11/10/46 W		1,081,000	728,853
FRB Ser. 14-CR17, Class D, 4.955%, 5/10/47 W		617,000	527,479
FRB Ser. 14-CR17, Class E, 4.955%, 5/10/47 W		919,000	611,686
FRB Ser. 14-UBS3, Class D, 4.917%, 6/10/47 W		481,000	259,400
FRB Ser. 14-CR19, Class D, 4.783%, 8/10/47 W		507,000	471,232
Ser. 12-CR3, Class F, 4.75%, 10/15/45 (In default) † W		353,402	18,391
FRB Ser. 15-LC19, Class E, 4.353%, 2/10/48 W		781,000	582,394
FRB Ser. 18-COR3, Class D, 2.961%, 5/10/51 W		672,000	386,572
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.476%, 9/9/24		511,000	513,874
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.891%, 4/15/50 W		1,179,000	835,642

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.536%, 8/10/44 W		$460,497	$425,732
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.345%, 11/25/51		1,746,000	1,665,960
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.688%, 2/10/46 W		1,423,000	1,284,226
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W		160,505	150,566
GS Mortgage Securities Trust 144A
FRB Ser. 11-GC5, Class B, 5.298%, 8/10/44 W		533,000	469,124
FRB Ser. 14-GC24, Class D, 4.65%, 9/10/47 W		2,019,000	924,410
Ser. 19-GC38, Class D, 3.00%, 2/10/52		1,109,000	818,439
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C19, Class C19, 4.792%, 4/15/47 W		814,000	781,050
FRB Ser. 14-C18, Class D, 4.792%, 2/15/47 W		1,964,000	1,392,492
FRB Ser. 14-C18, Class E, 4.292%, 2/15/47 W		914,000	490,318
FRB Ser. C14, Class D, 4.248%, 8/15/46 W		1,265,000	797,554
FRB Ser. 14-C23, Class D, 4.132%, 9/15/47 W		574,000	510,121
FRB Ser. 14-C25, Class D, 4.08%, 11/15/47 W		1,404,000	883,724
Ser. 14-C25, Class E, 3.332%, 11/15/47 W		1,823,000	485,527
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.53%, 9/15/50 W		577,000	413,167
JPMDB Commercial Mortgage Securities Trust
FRB Ser. 18-C8, Class C, 4.923%, 6/15/51 W		559,000	451,805
Ser. 18-C8, Class B, 4.522%, 6/15/51		504,000	443,966
Ser. 17-C5, Class C, 4.512%, 3/15/50 W		567,000	417,134
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.299%, 4/15/46 W		574,000	239,333
Ser. 13-LC11, Class B, 3.499%, 4/15/46		508,000	435,986
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.71%, 2/15/46 W		1,113,000	267,131
FRB Ser. 12-C6, Class E, 5.129%, 5/15/45 W		659,000	550,208
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 (In default) † W		1,390,000	347,500
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49 W		26,213	—
Morgan Stanley Bank of America Merrill Lynch Trust
Ser. 12-C6, Class C, 4.536%, 11/15/45 W		651,817	585,055
FRB Ser. 15-C22, Class C, 4.34%, 4/15/48 W		1,227,000	1,110,181
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C12, Class D, 6.236%, 10/15/46 W		929,000	775,752
FRB Ser. 12-C6, Class E, 4.572%, 11/15/45 W		619,000	377,664
FRB Ser. 15-C23, Class D, 4.276%, 7/15/50 W		833,000	761,007
FRB Ser. 13-C10, Class E, 4.13%, 7/15/46 W		2,187,000	556,666
FRB Ser. 13-C10, Class F, 4.13%, 7/15/46 W		1,988,000	123,125
Ser. 14-C17, Class E, 3.50%, 8/15/47		1,025,000	902,033
Ser. 14-C19, Class D, 3.25%, 12/15/47		1,493,000	1,305,315
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W		384,505	318,678
FRB Ser. 18-H3, Class C, 5.012%, 7/15/51 W		576,000	513,517

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Commercial mortgage-backed securities cont.
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 9.209%, 3/25/50		$1,553,320	$1,526,147
FRB Ser. 19-01, Class M10, 8.709%, 10/25/49		1,172,238	1,148,805
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.803%, 6/25/37		774,986	774,434
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 8.583%, 1/19/37 (Bermuda)		1,046,000	1,002,934
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) †		1,081,996	11
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.533%, 8/15/50 W		498,000	414,575
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41 W		4,845	4,360
Wells Fargo Commercial Mortgage Trust
FRB Ser. 15-SG1, Class B, 4.601%, 9/15/48 W		559,000	514,432
FRB Ser. 15-C29, Class D, 4.359%, 6/15/48 W		819,000	701,314
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C30, Class D, 4.648%, 9/15/58 W		265,000	216,983
FRB Ser. 13-LC12, Class D, 4.085%, 7/15/46 W		356,000	94,344
Ser. 14-LC16, Class D, 3.938%, 8/15/50		2,218,000	79,069
Ser. 16-C33, Class D, 3.123%, 3/15/59		1,544,000	1,165,615
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47 W		365,000	328,868
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class F, 5.00%, 6/15/44 W		2,560,000	1,748,603
FRB Ser. 12-C9, Class E, 4.876%, 11/15/45 W		537,000	497,842
FRB Ser. 12-C10, Class D, 4.543%, 12/15/45 W		687,000	301,271
FRB Ser. 13-C15, Class D, 4.344%, 8/15/46 W		2,693,000	653,807
			48,783,625
Residential mortgage-backed securities (non-agency) (11.9%)
A&D Mortgage Trust 144A Ser. 24-NQM1, Class A1, 6.195%, 2/25/69		1,847,000	1,850,182
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.64%, 5/25/47		616,846	342,605
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.95%, 1/25/36		105,380	96,341
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.63%, 11/25/47		479,036	349,216
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.80%, 3/25/37		1,538,857	1,255,791
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 6.15%, 9/25/35		400,302	353,210
FRB Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 6.111%, 11/20/35		1,046,385	956,313
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 6.018%, 8/25/46		196,724	168,669
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 5.998%, 6/25/46		320,488	274,401

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.83%, 8/25/46		$495,445	$446,764
FRB Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.83%, 8/25/46		2,580,103	2,199,752
FRB Ser. 07-OH1, Class A1D, (CME Term SOFR 1 Month + 0.32%), 5.66%, 4/25/47		370,088	301,135
FRB Ser. 06-OA7, Class 1A1, 0.168%, 6/25/46 W		874,786	775,451
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (US 30 Day Average SOFR + 11.36%), 16.709%, 12/25/28		481,068	556,467
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.959%, 5/25/28		826,182	894,346
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.459%, 7/25/28		2,789,087	3,112,306
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.809%, 4/25/28		1,281,491	1,406,052
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 14.659%, 10/25/27		727,738	779,612
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 13.009%, 12/25/27		1,121,499	1,185,499
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.709%, 2/25/49		254,000	320,635
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.845%, 10/25/50		491,000	646,637
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 16.709%, 4/25/49		298,000	365,007
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.459%, 10/25/48		1,619,000	2,070,325
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.209%, 1/25/49		315,000	397,295
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.959%, 3/25/49		252,000	305,811
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.459%, 8/25/50		966,000	1,253,036
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.459%, 7/25/50		1,027,000	1,303,327
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.209%, 9/25/48		389,000	453,939
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B2, (US 30 Day Average SOFR + 7.71%), 13.059%, 3/25/50		625,000	717,054
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class B2, (US 30 Day Average SOFR + 6.25%), 11.595%, 10/25/33		299,000	338,726
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (US 30 Day Average SOFR + 5.86%), 11.209%, 7/25/50		532,553	591,541
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.709%, 9/25/50		742,505	819,384
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.145%, 10/25/50		900,000	1,015,313

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M2, (US 30 Day Average SOFR + 3.75%), 9.095%, 2/25/42		$450,000	$468,281
Structured Agency Credit risk Debt FRN Class M1B, (US 30 Day Average SOFR + 3.35%), 8.695%, 6/25/43		700,000	736,750
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W		685,000	636,405
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56 W		879,000	830,076
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59 W		346,000	308,619
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 18.209%, 10/25/28		238,675	281,342
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.709%, 9/25/28		2,300,829	2,706,402
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.209%, 10/25/28		1,288,941	1,499,689
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.209%, 8/25/28		832,887	962,671
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 16.209%, 1/25/29		268,672	308,089
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (US 30 Day Average SOFR + 10.36%), 15.709%, 1/25/29		266,868	304,431
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.709%, 4/25/29		396,006	451,602
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.845%, 1/25/42		402,000	424,487
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.559%, 9/25/31		550,650	586,243
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (US 30 Day Average SOFR + 3.36%), 8.709%, 1/25/40		459,000	470,513
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.345%, 1/25/42		840,000	864,150
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.909%, 7/25/31		5,562	5,585
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (US 30 Day Average SOFR + 2.16%), 7.509%, 1/25/40		200,115	203,076
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.76%, 5/25/37		522,909	289,430
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.969%, 5/19/35		401,042	124,619
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 9.495%, 1/25/34 (Bermuda)		300,000	287,325
LHOME Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28		786,000	790,075
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 2.288%, 2/26/37		411,886	350,633
MortgageIT Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 6.245%, 8/25/35		74,820	70,313

MORTGAGE-BACKED SECURITIES (38.7%)* cont.		Principal amount	Value
Residential mortgage-backed securities (non-agency) cont.
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.29%), 5.63%, 1/25/37		$523,616	$455,798
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58 W		1,033,000	943,820
Ser. 18-5, Class M1, 3.25%, 7/25/58 W		815,000	671,690
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 6.43%, 10/25/45		234,117	223,624
			44,157,880
Total mortgage-backed securities (cost $159,365,605)			$143,683,648

CORPORATE BONDS AND NOTES (24.8%)*		Principal amount	Value
Basic materials (2.4%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France)		$515,000	$560,812
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29		565,000	522,026
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29		1,248,000	1,109,022
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30		570,000	528,648
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32		530,000	540,541
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany)		429,000	447,064
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32		595,000	531,267
Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France)	EUR	650,000	646,146
HTA Group, Ltd./Mauritius company guaranty sr. unsec. notes Ser. REGS, 7.00%, 12/18/25 (Tanzania)		$440,000	433,950
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada)		545,000	538,051
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)		1,100,000	928,125
Olympus Water US Holding Corp. 144A sr. notes 9.75%, 11/15/28		560,000	592,466
Resideo Funding, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 9/1/29		615,000	532,908
Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31		440,000	462,000
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31		510,000	517,650
			8,890,676
Capital goods (2.0%)
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria)		1,150,000	1,231,938
Boeing Co. (The) sr. unsec. notes 2.70%, 2/1/27		303,000	283,662
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26	EUR	530,000	568,504
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26		$347,000	363,486
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)		581,000	545,412
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29		520,000	447,217
Howmet Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37		520,000	535,522

CORPORATE BONDS AND NOTES (24.8%)* cont.		Principal amount	Value
Capital goods cont.
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27		$580,000	$540,850
Republic Services, Inc. sr. unsec. unsub. notes 4.875%, 4/1/29		870,000	880,934
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31		497,000	521,850
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29		585,000	537,698
Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29		206,000	223,196
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29		265,000	247,670
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29		175,000	163,637
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30		420,000	429,832
			7,521,408
Communication services (1.7%)
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R		910,000	858,260
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28		910,000	890,474
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32		1,455,000	1,248,041
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.50%, 4/15/27		655,000	588,507
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27		377,000	358,410
SBA Communications Corp. sr. unsec. notes 3.125%, 2/1/29 R		137,000	122,099
T-Mobile USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29		1,820,000	1,688,438
Vmed O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom)	EUR	610,000	598,769
			6,352,998
Consumer cyclicals (6.4%)
Banijay Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France)		$420,000	434,279
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30		1,211,000	1,226,911
Block, Inc. sr. unsec. notes 3.50%, 6/1/31		630,000	542,728
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31		585,000	537,398
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30		509,000	523,073
Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda)		568,000	621,369
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28		595,000	548,888
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31		640,000	545,516
Dufry One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands)	EUR	560,000	581,668
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26		$620,000	532,489
IHO Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany)‡‡	EUR	1,085,000	1,266,564
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27		$585,000	554,707

CORPORATE BONDS AND NOTES (24.8%)* cont.		Principal amount	Value
Consumer cyclicals cont.
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29		$610,000	$545,950
Las Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29		580,000	535,346
Levi Strauss & Co. sr. unsec. notes 3.375%, 3/15/27	EUR	668,000	706,957
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29		$1,180,000	1,211,730
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30		615,000	529,078
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada)		1,335,000	1,217,116
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29		585,000	534,642
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28		600,000	567,792
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29		562,000	536,828
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29		590,000	542,358
Nexstar Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28		595,000	544,995
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27		565,000	540,821
Penn Entertainment, Inc. 144A sr. unsec. notes 4.125%, 7/1/29		635,000	542,915
PetSmart, Inc./PetSmart Finance Corp. 144A company guaranty sr. unsec. notes 7.75%, 2/15/29		560,000	541,342
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29		490,000	526,321
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.125%, 7/1/30		645,000	564,375
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29		302,000	289,920
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26	EUR	560,000	567,616
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31		$625,000	560,938
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30		1,301,000	1,239,127
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28		253,000	251,163
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30		540,000	529,417
Verisure Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden)	EUR	1,310,000	1,353,780
Via Celere Desarrollos Inmobiliarios SA company guaranty sr. notes Ser. REGS, 5.25%, 4/1/26 (Spain)	EUR	100,000	105,859
Warnermedia Holdings, Inc. company guaranty sr. unsec. bonds 5.141%, 3/15/52		$690,000	593,102
			23,595,078
Consumer staples (1.6%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada)		615,000	549,681
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29		600,000	542,103
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28		559,000	540,178
Avis Budget Finance PLC company guaranty sr. unsec. notes Ser. REGS, 7.25%, 7/31/30	EUR	410,000	463,766

CORPORATE BONDS AND NOTES (24.8%)* cont.		Principal amount	Value
Consumer staples cont.
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30	EUR	245,000	$276,154
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27		$550,000	540,061
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29		244,000	215,792
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.375%, 1/31/32		413,000	370,634
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30		196,000	178,855
Loxam SAS company guaranty sr. notes Ser. EMTN, 6.375%, 5/15/28 (France)	EUR	510,000	571,396
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30		$610,000	548,854
US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29		564,000	535,105
VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29		560,000	534,139
			5,866,718
Energy (3.8%)
Antero Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30		555,000	529,225
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27		517,000	513,881
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28		595,000	625,769
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31		1,155,000	1,227,885
Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia)		1,570,000	1,657,799
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28		543,000	540,480
Energo-Pro a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic)		700,000	732,780
EnLink Midstream, LLC 144A company guaranty sr. unsec. unsub. notes 6.50%, 9/1/30		540,000	551,053
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30		590,000	542,713
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30		550,000	540,240
Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28		443,000	450,729
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29		1,321,000	1,278,204
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil)		683,000	677,797
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil)		300,000	298,042
Petroleos Mexicanos company guaranty sr. unsec. notes Ser. REGS, 10.00%, 2/7/33 (Mexico)		330,000	326,353
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico)		790,000	623,369
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)		425,000	347,004
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29		571,000	531,621
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28		541,000	541,000

CORPORATE BONDS AND NOTES (24.8%)* cont.		Principal amount	Value
Energy cont.
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29		$560,000	$546,784
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31		1,170,000	1,181,509
			14,264,237
Financials (2.6%)
Air Lease Corp. sr. unsec. sub. notes 5.85%, 12/15/27		1,000,000	1,021,722
Aircastle, Ltd. 144A sr. unsec. notes 5.25%, 8/11/25		455,000	450,873
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27		571,000	531,164
Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27		905,000	928,645
Bank of America Corp. sr. unsec. notes 6.204%, 11/10/28		955,000	998,452
Bank of Nova Scotia (The) sr. unsec. unsub. notes 5.35%, 12/7/26 (Canada)		570,000	578,176
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31		200,000	221,769
Ford Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27		200,000	201,278
Ford Motor Co. sr. unsec. unsub. notes 4.125%, 8/17/27		290,000	275,450
JPMorgan Chase & Co. sr. unsec. unsub. notes 6.07%, 10/22/27		1,810,000	1,864,443
Morgan Stanley sr. unsec. notes 5.123%, 2/1/29		895,000	898,271
Protective Life Global Funding 144A 5.467%, 12/8/28		585,000	601,048
Toronto-Dominion Bank (The) sr. unsec. notes 5.264%, 12/11/26 (Canada)		325,000	330,519
UBS Group AG 144A sr. unsec. bonds 5.428%, 2/8/30 (Switzerland)		375,000	377,896
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 5.574%, 7/25/29		450,000	459,907
			9,739,613
Health care (1.7%)
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31		603,000	533,655
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29		120,000	109,050
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28		525,000	532,875
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29		595,000	538,715
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28		635,000	580,993
Pharmacia, LLC company guaranty sr. unsec. notes 6.60%, 12/1/28		955,000	1,037,498
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31		615,000	547,418
Tenet Healthcare Corp. 144A company guaranty sr. notes 6.75%, 5/15/31		1,190,000	1,217,177
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel)		989,000	1,085,428
			6,182,809
Technology (1.1%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28		610,000	545,561
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27		455,000	443,209
CrowdStrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29		424,000	378,942
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29		598,000	556,827
NCR Voyix Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29		585,000	547,342
Seagate HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands)		339,000	389,453

CORPORATE BONDS AND NOTES (24.8%)* cont.		Principal amount	Value
Technology cont.
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29		$605,000	$546,619
UKG, Inc. 144A sr. notes 6.875%, 2/1/31		260,000	262,925
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29		472,000	419,377
			4,090,255
Transportation (0.2%)
Air France-KLM sr. unsec. notes 8.125%, 5/31/28 (France)	EUR	500,000	612,271
			612,271
Utilities and power (1.3%)
Aegea Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil)		$500,000	525,000
Ameren Corp. sr. unsec. unsub. notes 5.00%, 1/15/29		325,000	326,853
Buffalo Energy Mexico Holdings/Buffalo Energy Infrastructure/Buffalo Energy 144A company guaranty sr. FRN 7.875%, 2/15/39 (Mexico)		530,000	547,967
Diamond II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India)		1,220,000	1,235,250
Electricite De France SA 144A jr. unsec. sub. FRB 9.125%, perpetual maturity (France)		535,000	596,525
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/1/29		555,000	556,437
PG&E Corp. sr. sub. notes 5.25%, 7/1/30		590,000	563,385
Vistra Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29		590,000	541,743
			4,893,160
Total corporate bonds and notes (cost $90,249,816)			$92,009,223

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.0%)*		Principal amount	Value
Argentine (Republic of) sr. unsec. unsub. bonds 3.625%, 7/9/35 (Argentina)		$1,010,000	$337,024
Argentine (Republic of) sr. unsec. unsub. notes 0.75%, 7/9/30 (Argentina)		840,000	339,414
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin)	EUR	470,000	398,125
Benin (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin)	EUR	690,000	605,040
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.125%, 3/15/34 (Brazil)		$2,360,000	2,338,975
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 10/20/33 (Brazil)		430,000	424,373
Cameroon (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 7/7/32 (Cameroon)	EUR	760,000	601,897
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile)		$1,440,000	1,278,009
Colombia (Republic of) sr. unsec. unsub. notes 8.75%, 11/14/53 (Colombia)		490,000	534,043
Colombia (Republic of) sr. unsec. unsub. notes 8.00%, 11/14/35 (Colombia)		740,000	779,135
Costa Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica)		710,000	718,620

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.0%)* cont.		Principal amount	Value
Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d’lvoire)	EUR	2,060,000	$1,862,897
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic)		$920,000	821,100
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic)		715,000	724,796
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic)		1,350,000	1,354,455
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt)		1,920,000	1,408,800
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon)		810,000	660,150
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana) (In default) †		1,310,000	578,038
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default) †		1,670,000	793,250
Guatemala (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.60%, 6/13/36 (Guatemala)		1,480,000	1,498,500
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia)		530,000	522,073
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)		1,265,000	1,248,353
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya)		890,000	864,413
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia)		670,000	645,713
Mozambique (Republic of) unsec. notes Ser. REGS, 9.00%, 9/15/31 (Mozambique)		550,000	474,375
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 3.849%, 6/28/33 (Paraguay)		970,000	839,860
Philippines (Republic of) sr. unsec. unsub. bonds 4.20%, 3/29/47 (Philippines)		980,000	833,275
Romania (Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania)		910,000	981,471
Romania (Government of) 144A sr. unsec. notes 6.375%, 1/30/34 (Romania)		1,170,000	1,194,848
Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia)		950,000	965,438
Serbia (Republic of) sr. unsec. notes Ser. REGS, 6.50%, 9/26/33 (Serbia)		830,000	843,488
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa)		1,340,000	1,259,600
Turkey (Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey)		660,000	702,900
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico)		1,390,000	1,123,265
United Mexican States sr. unsec. unsub. notes 6.338%, 5/4/53 (Mexico)		1,150,000	1,146,325
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam)		1,720,000	1,701,080
Total foreign government and agency bonds and notes (cost $34,632,341)			$33,403,118

CONVERTIBLE BONDS AND NOTES (2.9%)*		Principal amount	Value
Basic materials (—%)
MP Materials Corp. 144A cv. sr. unsec. notes 0.25%, 4/1/26		$86,000	$73,797
			73,797
Capital goods (0.2%)
Axon Enterprise, Inc. company guaranty cv. sr. unsec. notes 0.50%, 12/15/27		204,000	250,002
Granite Construction, Inc. 144A cv. sr. unsec. notes 3.75%, 5/15/28		85,000	99,892
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26		139,000	125,531
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25		165,000	194,591
Tetra Tech, Inc. 144A cv. sr. unsec. notes 2.25%, 8/15/28		205,000	208,342
			878,358
Communication services (0.1%)
Liberty Broadband Corp. 144A cv. sr. unsec. notes 3.125%, 3/31/53		227,000	223,028
			223,028
Consumer cyclicals (0.4%)
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27		136,000	111,044
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25		122,000	228,213
Carnival Corp. company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27		159,000	241,601
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28		182,000	151,970
Liberty Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27		213,000	224,096
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29		270,000	297,209
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25		88,000	105,512
Patrick Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28		91,000	103,112
Rivian Automotive, Inc. 144A cv. sr. unsec. sub. notes 4.625%, 3/15/29		122,000	129,902
Shift4 Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27		158,000	146,450
			1,739,109
Consumer staples (0.3%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26		93,000	84,398
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28		266,000	209,156
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28		137,000	112,169
Uber Technologies, Inc. 144A cv. sr. unsec. notes 0.875%, 12/1/28		198,000	220,572
Wayfair, Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27		176,000	192,614
Zillow Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26		221,000	300,632
			1,119,541
Energy (0.1%)
Nabors Industries, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29		138,000	100,478
Northern Oil and Gas, Inc. cv. sr. unsec. notes 3.625%, 4/15/29		157,000	173,799
			274,277
Financials (0.1%)
Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28 R		243,000	261,978
			261,978

CONVERTIBLE BONDS AND NOTES (2.9%)* cont.		Principal amount	Value
Health care (0.5%)
Alnylam Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27		$122,000	$117,279
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27		126,000	125,446
BridgeBio Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27		78,000	86,934
CONMED Corp. cv. sr. unsec. notes 2.25%, 6/15/27		171,000	162,450
Dexcom, Inc. 144A cv. sr. unsec. unsub. notes 0.375%, 5/15/28		312,000	313,404
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28		300,000	263,640
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26		159,000	169,335
Integer Holdings Corp. 144A cv. sr. unsec. unsub. notes 2.125%, 2/15/28		135,000	175,365
Lantheus Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27		181,000	187,335
Sarepta Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27		45,000	50,625
Shockwave Medical, Inc. 144A cv. sr. unsec. notes 1.00%, 8/15/28		111,000	116,328
			1,768,141
Technology (1.0%)
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27		307,000	350,441
Altair Engineering, Inc. cv. sr. unsec. sub. notes 1.75%, 6/15/27		113,000	146,335
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27		161,000	142,163
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26		94,000	85,014
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25		120,000	169,860
Dropbox, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28		161,000	168,245
Envestnet, Inc. company guaranty cv. sr. unsec. notes 2.625%, 12/1/27		144,000	142,560
Evolent Health, Inc. 144A cv. sr. unsec. notes 3.50%, 12/1/29		36,000	39,312
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25		88,000	191,840
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27		79,000	90,258
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26		217,000	195,517
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26		70,000	135,205
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26		260,000	231,010
ON Semiconductor Corp. 144A company guaranty cv. sr. unsec. notes 0.50%, 3/1/29		194,000	188,083
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25		33,000	112,202
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25		159,000	150,255
Progress Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26		105,000	113,610
Seagate HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands)		242,000	290,884
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27		170,000	136,748
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26		113,000	100,994
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26		214,000	215,177
Wolfspeed, Inc. cv. sr. unsec. notes 1.875%, 12/1/29		182,000	104,650
Workiva, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 8/15/28		207,000	198,927
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25		102,000	163,047
			3,862,337

CONVERTIBLE BONDS AND NOTES (2.9%)* cont.		Principal amount	Value
Utilities and power (0.2%)
CMS Energy Corp. 144A cv. sr. unsec. notes 3.375%, 5/1/28		$112,000	$109,704
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48		210,000	276,675
PG&E Corp. 144A cv. sr. notes 4.25%, 12/1/27		107,000	108,873
Southern Co. (The) 144A cv. sr. unsec. notes 3.875%, 12/15/25		183,000	182,177
			677,429
Total convertible bonds and notes (cost $11,217,550)			$10,877,995

SENIOR LOANS (2.9%)*c		Principal amount	Value
Ahead DB Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.198%, 10/16/27		$532,270	$527,805
American Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 10.329%, 4/20/28		415,556	425,192
Banijay Group US Holding, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.58%, 4/25/28 (France)		195,000	195,000
Caesars Entertainment, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.087%, 1/24/31		495,000	493,763
Chart Industries, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.698%, 3/17/30		983,184	983,430
Cloud Software Group, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.948%, 3/30/29		539,562	529,110
CQP Holdco LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 8.348%, 12/31/30		1,529,429	1,526,829
DIRECTV Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.83%, 8/2/29		190,223	189,985
Dun & Bradstreet Corp. (The) bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 0.00%), 8.07%, 1/18/29		100,000	99,900
Gray Television, Inc. bank term loan FRN Ser. D, (CME Term SOFR 1 Month + 3.00%), 8.443%, 10/27/28		527,310	522,443
Hunter Douglas, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 8.88%, 2/25/29		445,000	436,972
IRB Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 8.087%, 12/15/27		525,294	523,833
Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.701%, 6/15/28		445,000	441,209
Nouryon Finance BV bank term loan FRN (EURIBOR 3 Month ACT/360 + 4.25%), 8.182%, 4/3/28 (Netherlands)	EUR	440,000	475,508
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.183%, 1/29/28		$1,350,245	1,342,373
Phoenix Newco, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.25%), 8.697%, 8/11/28		567,114	565,282
Proofpoint, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.697%, 6/9/28		527,310	523,355
Robertshaw US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.448%, 2/28/27		162,000	16,200
UKG, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.83%, 1/31/31		195,000	195,244

SENIOR LOANS (2.9%)*c cont.		Principal amount	Value
WEC US Holdings, Ltd. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.086%, 1/20/31		$445,000	$442,357
WestJet Loyalty LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.08%, 2/1/31 (Canada)		375,000	371,250
Total senior loans (cost $10,961,373)			$10,827,040

ASSET-BACKED SECURITIES (0.7%)*		Principal amount	Value
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.70%, 10/22/24		$1,286,000	$1,281,178
FRB Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.45%, 10/22/24		1,086,000	1,071,193
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class F, (CME Term SOFR 1 Month + 5.36%), 10.70%, 5/7/24		416,000	415,933
Total asset-backed securities (cost $2,645,424)			$2,768,304

COMMON STOCKS (—%)*	Shares	Value
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights)	21,073	$24,234
Total common stocks (cost $21,953)		$24,234

SHORT-TERM INVESTMENTS (19.8%)*		Principal amount/ shares	Value
Putnam Government Money Market Fund Class G 5.06% L	Shares	31,987,863	$31,987,863
Putnam Short Term Investment Fund Class P 5.47% L	Shares	36,252,967	36,252,967
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.30% P	Shares	2,809,000	2,809,000
U.S. Treasury Bills 5.356%, 4/25/24 # ∆ Φ		$2,500,000	2,469,637
Total short-term investments (cost $73,519,510)			$73,519,467

TOTAL INVESTMENTS
Total investments (cost $563,676,621)	$548,531,999

Key to holding’s currency abbreviations
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNY	Chinese Yuan (Onshore)
CLP	Chilean Peso
COP	Colombian Peso
CZK	Czech Koruna
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
ILS	Israeli Shekel
INR	Indian Rupee
KRW	South Korean Won
MXN	Mexican Peso
MYR	Malaysian Ringgit

NOK	Norwegian Krone
NZD	New Zealand Dollar
PLN	Polish Zloty
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
ZAR	South African Rand

Key to holding’s abbreviations
bp	Basis Points
CME	Chicago Mercantile Exchange
DAC	Designated Activity Company
EMTN	Euro Medium Term Notes
FRB	Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN	Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
ICE	Intercontinental Exchange
IFB	Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO	Interest Only
LIBOR	London Interbank Offered Rate
MTN	Medium Term Notes
OTC	Over-the-counter
REGS	Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REMICs	Real Estate Mortgage Investment Conduits
SOFR	Secured Overnight Financing Rate
TBA	To Be Announced Commitments

Notes to the fund’s portfolio
	Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from August 1, 2023 through January 31, 2024 (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 Franklin Resources, Inc., and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.
*	Percentages indicated are based on net assets of $371,135,932.
†	This security is non-income-producing.
‡‡	Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
#	This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $913,530 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
∆	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $796,006 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

Φ	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $111,599 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
c	Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
i	This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L	Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P	This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R	Real Estate Investment Trust.
W	The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
	Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
	Debt obligations are considered secured unless otherwise indicated.
	144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
	See Note 1 to the financial statements regarding TBA commitments.
	The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States	89.1%		Colombia	0.5%
Brazil	0.8		Dominican Republic	0.5
Canada	0.8		Other	6.8
Mexico	0.8		Total	100.0%
France	0.7