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: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
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, 2018
Date of reporting period: April 30, 2018



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/18 (Unaudited)
MORTGAGE-BACKED SECURITIES (42.6%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.8%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 18.16%, 4/15/37 $81,338 $110,359
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 16.841%, 11/15/35 171,540 220,515
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 5,437,865 1,173,491
IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.753%, 4/15/40 5,427,218 656,476
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 2,675,575 613,895
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 1,471,664 300,044
Ser. 4024, Class PI, IO, 4.50%, 12/15/41 2,461,591 482,780
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.203%, 4/15/47 2,639,888 516,388
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 4,914,280 995,142
Ser. 4425, IO, 4.00%, 1/15/45 6,244,511 1,145,493
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 5,232,089 1,425,849
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 4,161,587 661,126
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 5,200,764 519,143
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 13,307,256 2,154,578
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 8,443,542 1,709,598
Ser. 4560, Class PI, IO, 3.50%, 5/15/45 3,146,262 556,007
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 5,899,213 992,720
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 2,345,656 256,676
Ser. 304, Class C37, IO, 3.50%, 12/15/27 2,480,726 217,225
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 10,058,055 1,004,548
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 4,729,409 428,484
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 2,786,833 182,510
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 7,972,159 804,064
FRB Ser. 57, Class 1AX, IO, 0.365%, 7/25/43(WAC) 2,825,136 30,511
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 2,204 1,566
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 28.517%, 7/25/36 122,054 193,847
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 17.244%, 6/25/37 143,590 187,227
IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 16.327%, 2/25/38 117,274 144,770
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 14.559%, 8/25/35 101,537 119,225
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 12.462%, 11/25/34 151,255 170,979
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%), 6.447%, 2/25/25 442,432 479,663
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 5,422,971 1,323,636
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 5,680,069 1,269,779
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 4,339,356 337,949
Ser. 374, Class 6, IO, 5.50%, 8/25/36 238,810 49,919
Ser. 378, Class 19, IO, 5.00%, 6/25/35 736,586 151,530
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 4.553%, 4/25/42 2,835,822 482,543
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 4.503%, 4/25/40 2,028,486 354,985
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 1,076,587 254,637
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 6,607,272 938,893
Ser. 366, Class 22, IO, 4.50%, 10/25/35 60,421 1,997
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.253%, 10/25/41 2,169,904 209,135
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 4.053%, 2/25/43 5,064,899 905,351
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 4.003%, 10/25/41 6,552,778 851,861
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 4,296,081 886,067
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 3,709,852 657,423
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 4,237,768 805,716
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 3,059,744 488,243
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 2,372,627 365,646
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 2,350,030 432,875
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 5,888,286 1,035,467
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 3,886,004 266,794
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 3,835,436 302,482
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 3,482,433 371,729
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 3,477,225 205,678
Ser. 99-51, Class N, PO, zero %, 9/17/29 16,005 14,604
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 1,968,641 41,735
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 2,488,653 568,782
Ser. 16-42, IO, 5.00%, 2/20/46 6,703,659 1,409,176
Ser. 16-168, Class AI, IO, 5.00%, 7/20/45 3,087,934 331,953
Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 2,030,842 445,303
Ser. 14-76, IO, 5.00%, 5/20/44 2,587,894 599,768
Ser. 14-25, Class MI, IO, 5.00%, 11/20/43 1,634,656 324,185
Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 5,412,755 584,215
Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 4,025,150 881,508
Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 3,628,070 715,455
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 2,025,237 444,134
Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 1,839,578 424,243
Ser. 12-146, IO, 5.00%, 12/20/42 1,804,192 408,198
Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 1,327,973 269,844
Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 592,730 38,010
Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 197,585 18,186
Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 473,851 33,871
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 617,766 135,538
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,883,253 425,446
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 8,476,391 1,861,416
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 4,332,833 987,583
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 1,613,171 371,484
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 3,380,502 726,808
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 8,589,001 1,354,142
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 2,431,501 554,407
Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 3,111,184 515,523
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 3,713,152 779,762
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 4,988,375 874,512
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 3,664,292 779,574
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 841,446 140,353
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 3,315,161 717,029
Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 123,543 14,330
Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 208,335 29,996
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 3,800,962 811,391
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 6,000,330 1,314,912
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 3,347,023 726,605
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 3,815,715 818,230
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 2,305,392 471,453
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,865,853 429,370
Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 685,634 69,873
Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 1,830,148 149,706
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.253%, 9/20/43 1,491,224 216,869
IFB Ser. 14-20, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.203%, 7/20/43 5,846,386 759,387
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 4,358,587 795,442
Ser. 16-29, IO, 4.00%, 2/16/46 3,131,339 630,182
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 8,430,604 1,642,282
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 4,792,006 1,070,055
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 5,606,766 1,064,736
Ser. 15-40, IO, 4.00%, 3/20/45 5,286,486 1,100,646
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 5,238,871 964,686
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 10,556,407 1,755,003
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,813,156 348,489
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 8,385,923 1,188,872
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,817,301 341,907
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,579,970 314,603
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 4,093,966 800,584
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.703%, 8/20/44 6,224,151 871,381
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 4,816,019 944,036
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 3,321,908 494,798
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 4,120,035 971,504
Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 5,125,433 916,171
Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 4,061,280 689,768
Ser. 13-76, IO, 3.50%, 5/20/43 6,557,224 1,122,400
Ser. 13-28, IO, 3.50%, 2/20/43 2,038,949 351,984
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 3,106,518 547,772
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 4,500,350 766,995
Ser. 13-14, IO, 3.50%, 12/20/42 10,197,031 1,591,247
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 3,171,665 530,524
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 4,167,574 847,076
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 5,148,643 1,063,365
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 2,364,718 512,952
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 6,948,886 886,400
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 7,042,954 946,573
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 5,062,010 515,551
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 4,171,711 491,428
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 12,174,538 1,244,359
Ser. 17-H16, Class FI, IO, 2.374%, 8/20/67(WAC) 8,198,641 1,024,830
Ser. 17-H16, Class JI, IO, 2.348%, 8/20/67(WAC) 20,883,155 2,923,642
Ser. 17-H02, Class BI, IO, 2.325%, 1/20/67(WAC) 6,825,496 877,076
Ser. 17-H06, Class BI, IO, 2.249%, 2/20/67(WAC) 11,158,870 1,431,683
Ser. 16-H16, Class EI, IO, 2.239%, 6/20/66(WAC) 8,053,144 944,634
Ser. 17-H12, Class QI, IO, 2.238%, 5/20/67(WAC) 9,679,676 1,136,375
Ser. 16-H22, Class AI, IO, 2.143%, 10/20/66(WAC) 11,199,680 1,381,839
Ser. 16-H23, Class NI, IO, 2.108%, 10/20/66(WAC) 29,374,462 3,751,119
Ser. 17-H08, Class NI, IO, 2.077%, 3/20/67(WAC) 14,414,974 1,773,042
Ser. 18-H03, Class XI, IO, 2.031%, 2/20/68(WAC) 10,483,110 1,511,665
Ser. 17-H19, Class MI, IO, 2.023%, 4/20/67(WAC) 5,308,408 617,899
Ser. 16-H03, Class DI, IO, 2.016%, 12/20/65(WAC) 9,775,670 928,689
Ser. 15-H10, Class BI, IO, 1.948%, 4/20/65(WAC) 6,649,014 613,212
Ser. 16-H17, Class KI, IO, 1.938%, 7/20/66(WAC) 5,491,782 631,555
Ser. 15-H15, Class BI, IO, 1.926%, 6/20/65(WAC) 5,850,651 602,576
Ser. 17-H09, IO, 1.923%, 4/20/67(WAC) 13,195,439 1,296,109
Ser. 16-H09, Class BI, IO, 1.906%, 4/20/66(WAC) 11,972,903 1,226,851
Ser. 17-H11, Class DI, IO, 1.889%, 5/20/67(WAC) 9,636,394 1,023,867
Ser. 15-H20, Class CI, IO, 1.861%, 8/20/65(WAC) 9,927,536 1,094,551
Ser. 16-H18, Class QI, IO, 1.859%, 6/20/66(WAC) 7,524,284 903,915
Ser. 16-H03, Class AI, IO, 1.845%, 1/20/66(WAC) 8,993,676 865,641
Ser. 15-H25, Class EI, IO, 1.844%, 10/20/65(WAC) 8,271,398 757,660
Ser. 17-H16, Class IH, IO, 1.841%, 7/20/67(WAC) 14,502,906 1,372,976
Ser. 15-H20, Class AI, IO, 1.819%, 8/20/65(WAC) 8,472,638 795,581
FRB Ser. 15-H08, Class CI, IO, 1.789%, 3/20/65(WAC) 6,943,144 635,228
Ser. 15-H24, Class AI, IO, 1.779%, 9/20/65(WAC) 8,961,961 907,004
Ser. 17-H16, Class IG, IO, 1.735%, 7/20/67(WAC) 19,577,085 1,859,823
Ser. 15-H23, Class BI, IO, 1.724%, 9/20/65(WAC) 10,230,873 893,155
Ser. 16-H24, Class CI, IO, 1.692%, 10/20/66(WAC) 7,388,622 730,535
Ser. 13-H08, Class CI, IO, 1.672%, 2/20/63(WAC) 12,985,967 738,902
Ser. 16-H14, IO, 1.67%, 6/20/66(WAC) 8,740,541 643,208
Ser. 16-H02, Class HI, IO, 1.632%, 1/20/66(WAC) 11,856,257 1,054,021
Ser. 16-H10, Class AI, IO, 1.618%, 4/20/66(WAC) 19,819,021 1,530,663
Ser. 16-H06, Class DI, IO, 1.614%, 7/20/65 13,522,235 1,154,921
Ser. 14-H21, Class BI, IO, 1.539%, 10/20/64(WAC) 11,745,146 837,429
Ser. 16-H06, Class CI, IO, 1.443%, 2/20/66(WAC) 12,569,454 921,303
Ser. 15-H26, Class CI, IO, 0.755%, 8/20/65(WAC) 27,059,127 389,651
Ser. 06-36, Class OD, PO, zero %, 7/16/36 4,730 3,829
125,104,533
Commercial mortgage-backed securities (9.7%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 26,621,333 266
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 1,339,000 1,218,490
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 1,026,000 1,016,633
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 1,195,772 1,198,761
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 07-T28, Class D, 5.835%, 9/11/42(WAC) 828,000 736,920
FRB Ser. 06-PW11, Class B, 5.283%, 3/11/39(WAC) 1,126,119 540,537
FRB Ser. 06-PW11, Class C, 5.283%, 3/11/39 (In default)(NON)(WAC) 1,554,000 155,400
FRB Ser. 06-PW14, Class XW, IO, 0.515%, 12/11/38(WAC) 1,409,931 7,332
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 4,349,213 170
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.946%, 12/15/47(WAC) 1,068,000 1,034,818
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,015,998
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 6.001%, 5/15/46(WAC) 1,225,925 1,241,875
COMM Mortgage Pass-Through Certificates 144A Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 1,183,618
COMM Mortgage Trust 144A
FRB Ser. 12-CR3, Class E, 4.913%, 10/15/45(WAC) 700,000 586,488
Ser. 13-LC13, Class E, 3.719%, 8/10/46(WAC) 1,331,000 896,886
Ser. 14-CR18, Class E, 3.60%, 7/15/47 1,371,000 867,938
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.876%, 12/15/39(WAC) 5,118,427 53,743
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 6.236%, 9/15/39(WAC) 650,262 658,980
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 684,546 708,163
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.94%, 4/15/50(WAC) 2,634,000 2,315,842
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG5, Class B, 5.611%, 4/10/37(WAC) 798,278 792,770
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 70,356 71,385
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.592%, 7/10/39(WAC) 892,119 1,784
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 915,000 851,768
FRB Ser. 13-GC12, Class D, 4.58%, 6/10/46(WAC) 270,000 233,807
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class D, 4.228%, 7/15/45(WAC) 778,000 683,560
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.974%, 2/15/47(WAC) 2,236,000 1,946,015
FRB Ser. 14-C19, Class D, 4.815%, 4/15/47(WAC) 1,125,000 994,949
FRB Ser. 13-C14, Class E, 4.722%, 8/15/46(WAC) 1,178,000 953,120
FRB Ser. C14, Class D, 4.722%, 8/15/46(WAC) 1,063,000 952,793
FRB Ser. 14-C18, Class E, 4.474%, 2/15/47(WAC) 914,000 651,200
FRB Ser. 14-C25, Class D, 4.094%, 11/15/47(WAC) 2,169,000 1,720,770
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,105,267
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class C, 6.441%, 2/12/51(WAC) 430,892 440,587
FRB Ser. 07-CB20, Class E, 6.441%, 2/12/51(WAC) 757,000 764,570
FRB Ser. 11-C3, Class F, 5.861%, 2/15/46(WAC) 1,113,000 1,075,109
FRB Ser. 12-C6, Class E, 5.306%, 5/15/45(WAC) 1,115,000 980,241
FRB Ser. 12-C8, Class E, 4.809%, 10/15/45(WAC) 173,000 162,450
FRB Ser. 12-LC9, Class E, 4.518%, 12/15/47(WAC) 2,041,000 1,886,592
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,249,000 872,297
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 6,515,786 65
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 73,056 72,948
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON)(WAC) 3,041,000 273,082
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.254%, 4/20/48(WAC) 977,000 847,118
Merrill Lynch Mortgage Trust Ser. 04-KEY2, Class D, 5.046%, 8/12/39(WAC) 540,012 540,858
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.56%, 2/12/51(WAC) 812,000 812,406
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.264%, 12/15/49(WAC) 763,206 33,581
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 2,190,703 2,152,366
Morgan Stanley Bank of America Merrill Lynch Trust 144A
Ser. 14-C17, Class D, 4.86%, 8/15/47(WAC) 2,403,000 2,044,639
FRB Ser. 12-C6, Class G, 4.50%, 11/15/45(WAC) 830,000 592,352
FRB Ser. 13-C10, Class E, 4.217%, 7/15/46(WAC) 2,860,000 2,272,962
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 656,019
Ser. 14-C18, Class D, 3.389%, 10/15/47 958,000 704,417
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 2,693,000 134,650
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,600,000 1,518,931
Morgan Stanley Capital I Trust 144A
FRB Ser. 08-T29, Class F, 6.367%, 1/11/43(WAC) 798,000 774,060
FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39(WAC) 583,561 578,822
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 1.198%, 3/24/19 (Cayman Islands) (In default)(NON)(WAC) 376,000 3,760
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 1,096,843 82,812
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 1,476,000 984,917
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 06-C26, Class AJ, 6.23%, 6/15/45(WAC) 711,362 679,351
FRB Ser. 07-C34, IO, 0.167%, 5/15/46(WAC) 5,408,667 2,704
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 1,500,000 679,350
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.426%, 7/15/46(WAC) 456,000 391,935
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,734,000 2,210,191
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 14-C19, Class E, 5.137%, 3/15/47(WAC) 2,131,000 1,546,541
Ser. 12-C6, Class E, 5.00%, 4/15/45(WAC) 764,000 667,689
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,166,000 1,835,557
FRB Ser. 12-C10, Class D, 4.595%, 12/15/45(WAC) 700,000 611,078
Ser. 13-C12, Class E, 3.50%, 3/15/48 1,038,000 760,964
58,046,017
Residential mortgage-backed securities (non-agency) (12.1%)
BCAP, LLC Trust 144A FRB Ser. 12-RR5, Class 4A8, (1 Month US LIBOR + 0.17%), 2.042%, 6/26/35 157,947 156,095
Bear Stearns Alt-A Trust
FRB Ser. 04-3, Class B, (1 Month US LIBOR + 2.93%), 4.822%, 4/25/34 648,370 669,149
FRB Ser. 05-7, Class 21A1, 3.684%, 9/25/35(WAC) 491,098 498,670
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.077%, 11/25/47 640,424 524,035
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.247%, 3/25/37 2,850,670 2,378,001
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.592%, 6/25/46(WAC) 1,713,789 1,522,359
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 2.338%, 8/25/46 618,291 536,102
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 2.318%, 6/25/46 1,034,610 918,214
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.247%, 9/25/35 1,499,113 1,451,669
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.237%, 2/25/37 982,356 620,394
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.227%, 11/20/35 2,639,930 2,588,399
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 2.107%, 4/25/47 1,025,413 927,357
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.19%), 2.087%, 8/25/46 931,469 777,776
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.087%, 8/25/46 1,223,478 1,039,956
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.087%, 8/25/46 5,885,894 4,961,455
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, Class A2, (1 Month US LIBOR + 0.19%), 2.087%, 12/25/36 1,072,133 653,674
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.397%, 5/25/28 830,375 1,150,324
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 11.872%, 7/25/28 2,033,489 2,737,010
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.247%, 4/25/28 1,492,768 1,991,500
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 9.447%, 12/25/27 1,042,681 1,273,216
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 7.047%, 11/25/28 1,744,200 2,080,792
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 6.847%, 7/25/29 570,000 630,202
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 6.547%, 10/25/28 320,000 366,632
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 5.747%, 3/25/29 640,000 718,966
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.147%, 9/25/28 2,317,941 3,488,124
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 13.647%, 10/25/28 1,299,898 1,873,607
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 13.647%, 8/25/28 1,210,634 1,774,464
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 12.647%, 1/25/29 269,848 354,902
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 7.797%, 10/25/28 4,285,000 5,026,261
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.597%, 4/25/28 4,441,132 5,162,623
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.447%, 4/25/28 670,591 755,620
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.397%, 9/25/29 1,059,000 1,185,728
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 6.897%, 7/25/25 3,989,942 4,547,477
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 6.897%, 7/25/25 1,567,442 1,745,553
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 6.747%, 10/25/29 1,810,000 1,981,376
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.147%, 4/25/29 240,000 272,479
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 6.147%, 1/25/29 550,000 626,830
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 5.897%, 5/25/25 151,992 166,694
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 5.897%, 5/25/25 287,092 309,532
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 5.547%, 9/25/29 500,000 547,542
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 5.497%, 1/25/30 450,000 455,960
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 4.697%, 2/25/30 310,000 322,327
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 4.497%, 5/25/24 120,000 127,360
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.207%, 5/25/37 1,205,636 907,383
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.097%, 6/25/37 1,060,590 659,886
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 2.692%, 8/25/35 387,520 341,550
Oaktown Re, Ltd. 144A FRB Ser. 17-1A, Class B1, (1 Month US LIBOR + 6.00%), 7.647%, 4/25/27 (Bermuda) 550,000 590,150
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 4.597%, 3/25/28 (Bermuda) 620,000 621,550
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.107%, 8/25/36 1,068,832 940,572
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 2.077%, 1/25/37 1,373,094 1,301,724
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 3.333%, 9/25/35(WAC) 1,240,784 1,250,315
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.362%, 10/25/45 2,210,536 2,219,695
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.297%, 12/25/45 841,911 826,210
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%), 2.247%, 12/25/45 571,951 558,800
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR5, Class 1A1, 4.182%, 4/25/36(WAC) 484,898 487,322
FRB Ser. 06-AR2, Class 1A1, 3.732%, 3/25/36(WAC) 476,253 478,635
73,080,198
Total mortgage-backed securities (cost $251,300,006) $256,230,748

CORPORATE BONDS AND NOTES (31.4%)(a)
Principal amount Value
Basic materials (3.9%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $161,000 $169,008
AK Steel Corp. company guaranty sr. unsec. notes 6.375%, 10/15/25 123,000 115,237
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 344,000 372,741
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 85,000 86,275
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 400,000 402,000
American Woodmark Corp. 144A company guaranty sr. unsec. notes 4.875%, 3/15/26 404,000 389,355
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 207,000 224,078
ArcelorMittal SA sr. unsec. unsub. notes 7.25%, 10/15/39 (France) 369,000 437,265
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 420,000 423,150
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 380,000 359,100
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 517,000 541,558
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 455,000 474,338
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 507,000 502,564
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 639,000 646,988
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 170,000 169,150
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 360,000 361,800
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 950,000 975,128
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 485,000 498,580
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 533,000 446,388
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 122,000 120,780
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 136,000 146,370
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 761,000 732,463
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (Netherlands) 500,000 495,000
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) 425,000 420,219
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 662,000 655,380
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 222,000 227,550
Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 170,000 164,050
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 485,000 477,725
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 200,000 201,240
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) 295,000 280,250
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 401,000 403,005
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 340,000 364,650
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 270,000 268,650
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 280,000 296,800
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 311,000 299,726
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 194,000
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 178,000 197,135
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 208,000 230,100
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 339,000 350,018
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 265,000 263,013
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 106,000 111,565
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 389,000 404,560
Mercer International, Inc. 144A sr. unsec. notes 5.50%, 1/15/26 (Canada) 195,000 191,588
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 264,000 269,280
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 90,000 91,688
Northwest Acquisitions ULC/Dominion Finco, Inc. 144A notes 7.125%, 11/1/22 135,000 137,025
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 360,000 346,500
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 205,000 198,338
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 39,000 38,708
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 935,000 952,531
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 45,000 49,950
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 370,000 383,875
Pisces Midco, Inc. 144A sr. notes 8.00%, 4/15/26 304,000 304,000
Platform Specialty Products Corp. 144A company guaranty sr. unsec. notes 5.875%, 12/1/25 600,000 585,000
Smurfit Kappa Acquisitions 144A company guaranty sr. unsec. notes 4.875%, 9/15/18 (Ireland) 200,000 200,250
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 358,000 428,705
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 527,000 521,730
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 95,000 90,666
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 110,000 113,025
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 45,000 45,675
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 148,000 150,220
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 132,000 127,668
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 385,000 398,475
TopBuild Escrow Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 410,000 411,538
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 225,000 221,625
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 125,000 121,563
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 270,000 267,975
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 292,000 301,855
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 259,000 266,770
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 379,000 379,000
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 218,000 227,810
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 125,000 123,438
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 232,000 239,540
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 489,000 537,900
23,622,863
Capital goods (1.8%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 451,000 455,510
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 84,000 79,065
Apergy Corp. 144A sr. unsec. notes 6.375%, 5/1/26 120,000 121,800
ARD Finance SA sr. notes 6.625%, 9/15/23 (Luxembourg)(PIK) EUR 200,000 253,625
ARD Securities Finance SARL 144A sr. notes 8.75%, 1/31/23 (Luxembourg)(PIK) $200,000 209,000
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 630,000 666,225
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 6.00%, 2/15/25 (Ireland) 265,000 267,981
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 250,000 261,063
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 240,000 246,151
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 154,000 154,963
Berry Global, Inc. 144A notes 4.50%, 2/15/26 120,000 114,600
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 562,000 625,225
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 295,000 310,488
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 553,000 593,093
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 347,000 386,038
FXI Holdings, Inc. 144A sr. notes 7.875%, 11/1/24 343,000 338,713
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 343,000 347,288
GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 170,000 168,300
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 699,000 712,980
Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France) EUR 100,000 122,759
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $215,000 221,988
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 270,000 260,550
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 260,000 264,922
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 277,000 272,153
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 17,000 15,895
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 257,000 269,850
Titan Acquisition, Ltd./Titan Co-Borrower, LLC. 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 498,000 496,133
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 115,000 117,013
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 242,000 243,210
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 395,000 401,666
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 518,000 506,345
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 300,000 292,500
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 246,000 243,466
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 442,000 435,370
10,475,928
Communication services (3.5%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 400,000 399,500
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 197,000
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 200,000 234,226
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $800,000 764,000
Altice SA 144A company guaranty sr. unsec. notes 7.625%, 2/15/25 (Luxembourg) 710,000 639,888
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 400,000 424,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 655,000 637,774
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 563,000 571,445
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 112,000 111,160
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/27 230,000 215,503
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 815,000 818,831
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 348,000 345,390
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 95,000 96,306
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. sub. notes 7.75%, 7/15/25 435,000 456,750
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. notes 7.50%, 4/1/28 310,000 313,875
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 469,000 463,630
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 197,000 195,030
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 693,000 712,058
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 308,000 294,910
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 795,000 744,816
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 124,000 130,355
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 860,000 953,525
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 1,110,000 1,017,038
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 305,000 259,631
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 103,000 79,053
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 264,000 232,241
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 435,000 423,038
Inmarsat Finance PLC company guaranty sr. unsec. unsub. notes Ser. REGS, 4.875%, 5/15/22 (United Kingdom) 259,000 249,935
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 65,000 61,506
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 15,000 15,844
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 893,000 875,140
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 90,200
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 775,000 769,188
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 450,000 428,625
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 38,000 38,760
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 238,000 251,090
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 243,000 249,834
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 929,000 996,353
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 465,000 493,481
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 253,750 252,829
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 745,000 782,250
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 291,000 301,549
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 180,000 182,025
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 100,000 100,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 295,000 283,879
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 125,000 120,313
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 710,000 973,534
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $662,000 673,585
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 170,000 166,600
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 140,569
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 347,355
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $536,000 313,560
Ziggo Bond Finance BV 144A sr. unsec. bonds 4.625%, 1/15/25 (Netherlands) EUR 115,000 140,670
21,029,647
Consumer cyclicals (4.9%)
ADT Corp. (The) company guaranty sr. unsub. notes 4.125%, 6/15/23 $233,000 218,002
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 120,000 116,850
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 159,000 160,988
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 355,000 344,350
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 377,000 388,781
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 543,000 286,433
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 344,000 361,200
Boyne USA, Inc. 144A company guaranty notes 7.25%, 5/1/25 125,000 129,100
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 175,000 178,063
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 489,000 496,335
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 165,000 167,681
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 140,000 138,250
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 186,000 186,465
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 280,000 286,650
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 200,000 252,678
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 $1,039,000 1,013,025
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 465,000 444,075
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 750,000 808,125
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 210,000 234,150
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 163,000 172,169
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 340,000 340,748
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 278,000 284,172
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 165,000 166,238
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 250,000 240,625
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 541,000 432,417
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $390,000 407,550
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 320,000 308,800
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 375,000 362,813
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 500,000 498,750
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 674,000 539,200
IHO Verwaltungs GmbH 144A sr. notes 4.75%, 9/15/26 (Germany)(PIK) 340,000 325,550
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 230,000 231,150
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 75,000 71,625
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 924,000 1,011,780
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 625,000 645,313
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 120,000 124,950
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds 7.40%, 4/1/37 235,000 156,275
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 170,000 160,225
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 195,000 186,713
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 60,000 60,075
Lennar Corp. 144A company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 195,000 201,338
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 165,000 161,494
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 190,000 189,525
Masaria Investments SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 200,000 243,327
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $85,000 87,338
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 230,000 229,425
Meredith Corp. 144A sr. unsec. notes 6.875%, 2/1/26 340,000 343,808
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 337,000 359,748
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 554,000 574,775
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 260,000 205,400
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, (9.50%) 10/15/21(PIK) 313,815 213,394
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 220,000 148,500
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 832,000 819,520
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 190,000 187,150
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 246,000 247,870
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 315,000 322,875
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 167,000 168,461
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 296,000 294,806
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 240,000 229,800
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 439,000 450,798
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 241,000 233,770
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 290,000 287,825
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 125,000 72,500
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 290,000 343,650
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 400,000 406,480
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 580,000 562,600
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 395,000 398,832
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 1,063,000 1,145,701
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 729,000 721,710
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. unsub. notes 5.125%, 2/15/27 228,000 211,470
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 263,000 270,561
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 484,000 461,010
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 495,000 491,288
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 540,000 527,688
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 240,000 239,772
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 25,000 25,875
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 106,000 109,975
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 410,000 415,381
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 25,000 23,313
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 275,000 263,656
Takko Luxembourg 2 SCA company guaranty sr. notes Ser. REGS, 5.375%, 11/15/23 (Luxembourg) EUR 200,000 230,466
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 $314,000 318,318
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%, 5/15/23 495,000 470,250
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 216,000 199,800
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 678,000 691,560
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 52,000 51,675
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 90,000 90,450
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 218,981
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 250,000 252,500
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 468,000 463,166
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 612,000 592,294
29,695,733
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 385,000 371,525
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 170,000 170,425
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 275,000 261,594
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 362,000 368,335
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 300,000 283,125
Ashtead Capital, Inc. 144A notes 4.125%, 8/15/25 355,000 337,250
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 818,000 869,902
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 870,000 898,275
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 241,000 187,980
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 1,061,000 1,092,830
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 330,000 316,388
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 495,000 570,898
Europcar Groupe SA sr. notes Ser. REGS, 4.125%, 11/15/24 (France) EUR 200,000 241,102
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $264,000 145,200
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 754,000 787,930
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 725,000 735,875
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 377,000 370,403
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 296,475
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 295,000 295,000
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 180,000 171,900
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 350,000 346,938
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 85,000 84,256
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 315,000 308,700
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 265,000 250,094
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 270,000 269,325
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 728,000 436,800
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 131,000 95,630
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 439,000 445,036
11,009,191
Energy (7.5%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 989,000 1,023,615
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 123,000 125,614
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 324,000 327,742
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 38,000 38,190
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 187,000 201,025
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 260,000 257,400
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 210,000 186,900
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 171,000 147,060
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 738,000 760,848
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 275,000 268,125
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 58,000 53,505
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 190,000 201,400
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 114,000 109,725
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 486,000 471,177
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 607,000 594,860
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 1,048,000 1,021,800
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 187,000 189,338
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 458,000 460,290
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 310,000 306,125
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 63,000 57,015
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 321,000 335,445
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 384,000 388,800
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 140,000 139,258
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 344,000 345,720
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 135,000 135,338
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 750,000 709,275
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 238,000 224,315
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 136,000 128,180
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 551,000 421,515
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 195,000 137,475
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 103,000 106,605
Extraction Oil & Gas, Inc. 144A sr. unsec. notes 5.625%, 2/1/26 365,000 355,072
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 368,000 371,680
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 475,000 477,969
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 290,000 278,400
Jagged Peak Energy, LLC 144A company guaranty sr. unsec. notes 5.875%, 5/1/26 254,000 254,953
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 224,000 179,200
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 50,000 44,875
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 305,000 275,263
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 243,000 243,049
Murray Energy Corp. 144A notes 11.25%, 4/15/21 451,000 196,185
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/25 410,000 388,475
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 67,000 70,350
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 859,000 890,139
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 150,000 140,625
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 120,000 120,900
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 196,000 201,390
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 177,000 182,310
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 275,000 275,000
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 276,551
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 399,784
Petrobras Global Finance BV company guaranty sr. unsec. notes Ser. REGS, 5.299%, 1/27/25 (Brazil) 1,703,000 1,674,901
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 3,635,000 3,898,538
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.25%, 3/17/44 (Brazil) 695,000 690,100
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 5.75%, 2/1/29 (Brazil) 570,000 541,500
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 5.625%, 5/20/43 (Brazil) 438,000 365,730
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 2,423,000 2,837,939
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 1,727,000 1,813,350
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 493,000 520,731
Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.999%, 1/27/28 (Brazil) 2,354,000 2,295,150
Petrobras Global Finance BV 144A company guaranty sr. unsec. notes 5.299%, 1/27/25 (Brazil) 1,020,000 1,003,170
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 1,255,000 314,880
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,606,000 942,969
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 2,345,000 588,361
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.625%, 6/15/35 (Mexico) 340,000 337,790
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,216,000 1,270,392
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.875%, 8/4/26 (Mexico) 205,000 220,017
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 5,014,000 4,725,444
QEP Resources, Inc. sr. unsec. notes 5.625%, 3/1/26 265,000 253,738
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 302,000 309,550
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 195,000 201,360
SemGroup Corp. company guaranty sr. unsec. notes 6.375%, 3/15/25 150,000 142,875
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 123,000 125,153
SESI, LLC 144A company guaranty sr. unsec. notes 7.75%, 9/15/24 280,000 289,800
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 230,000 223,675
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 45,000 5
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 332,000 336,980
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 65,000 65,325
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 281,000 283,810
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 245,000 244,388
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 210,000 201,075
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 630,000 582,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.875%, 4/15/26 100,000 99,270
Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) 287,000 275,161
USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 4/1/26 160,000 163,200
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 247,000 246,383
Weatherford International, LLC 144A company guaranty sr. unsec. notes 9.875%, 3/1/25 140,000 133,700
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 653,000 628,513
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 70,000 65,800
Whiting Petroleum Corp. 144A sr. unsec. notes 6.625%, 1/15/26 190,000 194,750
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 60,000 68,100
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 405,000 422,213
45,094,386
Financials (3.5%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 778,000 781,890
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 5,000 5,184
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 608,000 738,842
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 369,000 381,454
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 163,000 213,530
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 148,000 153,365
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 185,000 196,100
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 175,000 186,122
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 315,000 321,300
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 178,000 181,783
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 82,000 83,845
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 233,000 230,670
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 443,000 446,323
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 332,000 333,660
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 500,000 636,060
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 254,424
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 360,000 351,900
Fairfax Financial Holdings, Ltd. 144A sr. unsec. notes 4.85%, 4/17/28 (Canada) 170,000 167,436
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 249,000 249,000
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 574,000 574,000
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 214,000 226,840
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 161,000 161,483
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 475,000 495,045
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 331,000 331,414
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 210,000 214,725
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 205,000 209,100
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 51,000 52,084
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 440,000 444,950
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 18,000 15,750
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 21,400
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 200,000 211,500
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 130,000 130,000
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 125,000 121,250
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 670,000 918,760
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 353,000 361,384
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 242,000 261,965
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 450,000 436,500
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 115,000 105,800
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 175,000 241,067
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 $284,000 287,550
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 375,000 377,093
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) 200,000 218,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 306,000 387,855
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 410,000 430,603
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 235,000 231,110
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 270,000 272,700
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 123,000 124,535
Starwood Property Trust, Inc. 144A sr. unsec. notes 4.75%, 3/15/25(R) 330,000 318,450
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 325,000 319,763
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 4.892%, 4/24/25 (Switzerland) 325,000 321,630
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 158,000 150,448
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 190,000 194,275
UBS Group AG jr. unsec. sub. FRN 6.875%, perpetual maturity (Switzerland) 200,000 210,432
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 315,000 315,000
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, 5/29/18 (Russia) 786,000 786,450
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 4,200,000 4,320,750
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 524,000 508,935
21,224,234
Health care (2.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 475,000 454,813
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 354,000 317,715
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 410,000 393,600
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 395,000 413,763
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 94,000 91,415
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 305,000 308,050
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 326,000 297,475
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 824,000 447,267
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 272,000 214,880
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) (In default)(NON) 298,000 17,880
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6.00%, 2/1/25 (Ireland) 200,000 140,500
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 540,000 388,800
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 295,000 213,138
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 256,000 257,280
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 629,000 658,091
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 575,000 543,375
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 128,000 140,480
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 370,000 374,625
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 408,000 456,960
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 329,000 247,573
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 66,500
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 563,000 557,370
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 100,000 97,780
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 1,075,000 1,104,831
Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 220,000 220,000
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 393,000 405,596
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 182,000 189,508
Teva Pharmaceutical Finance Netherlands III BV 144A company guaranty sr. unsec. notes 6.75%, 3/1/28 (Netherlands) 385,000 380,189
Teva Pharmaceutical Finance Netherlands III BV 144A company guaranty sr. unsec. notes 6.00%, 4/15/24 (Netherlands) 250,000 242,500
Unilabs Subholding AB company guaranty sr. unsec. notes Ser. REGS, 5.75%, 5/15/25 (Sweden) EUR 200,000 239,187
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $90,000 89,550
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 305,000 311,100
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 255,000 258,188
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 603,000 543,888
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 466,000 428,138
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 90,000 87,075
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 195,000 175,988
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 355,000 374,525
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 270,000 280,125
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 165,000 165,842
12,865,560
Technology (1.3%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 1,318,000 —
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 1,063,000 1,132,095
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 440,000 462,790
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 335,000 350,537
First Data Corp. 144A notes 5.75%, 1/15/24 581,000 588,263
First Data Corp. 144A sr. notes 5.375%, 8/15/23 375,000 382,425
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 640,000 648,800
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 717,000 722,378
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 503,000 510,545
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 132,000 134,640
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 140,000 131,775
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 481,000 452,741
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 1/15/24 198,000 206,019
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 675,000 750,938
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 423,000 418,770
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 597,000 585,060
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 400,000 394,000
7,871,776
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 484,000 497,915
497,915
Utilities and power (0.9%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 965,000 989,125
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 160,000 161,000
AES Corp./Virginia (The) sr. unsec. notes 4.50%, 3/15/23 135,000 135,675
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 364,000 369,460
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 584,000 535,878
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 188,000 179,893
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 85,000 85,319
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 671,866
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 516,000 554,700
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 169,000 185,478
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 356,000 363,565
Energy Transfer Equity LP sr. sub. notes 5.50%, 6/1/27 139,000 139,000
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 329,000 268,958
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 272,000 290,020
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 393,000 404,299
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/28 125,000 123,438
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 205,000 1,538
5,459,212
Total corporate bonds and notes (cost $192,594,844) $188,846,445

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (30.0%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.5%)
Government National Mortgage Association Pass-Through Certificates
4.50%, TBA, 5/1/48 $17,000,000 $17,641,485
4.00%, TBA, 5/1/48 9,000,000 9,206,015
26,847,500
U.S. Government Agency Mortgage Obligations (25.5%)
Federal National Mortgage Association Pass-Through Certificates
5.50%, TBA, 5/1/48 5,000,000 5,406,250
4.00%, TBA, 5/1/48 23,000,000 23,427,657
3.50%, TBA, 6/1/48 63,000,000 62,470,901
3.50%, TBA, 5/1/48 63,000,000 62,557,034
153,861,842
Total U.S. government and agency mortgage obligations (cost $181,205,274) $180,709,342

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 1.375%, 8/31/23(i) $121,000 $112,655
Total U.S. treasury obligations (cost $112,655) $112,655

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.8%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. bonds 7.625%, 4/22/46 (Argentina) $4,685,000 $4,532,738
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%, 7/6/28 (Argentina) 460,000 444,130
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) 1,140,000 1,194,720
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 3,493,000 3,479,063
Argentina (Republic of) sr. unsec. unsub. notes 5.875%, 1/11/28 (Argentina) 650,000 595,817
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,255,000 2,174,314
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 900,000 916,830
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 26.667%, 5/31/22 (Argentina) ARS 17,110,000 873,918
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $1,990,000 2,024,805
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 100,000 109,485
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 1,788,000 1,982,058
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 2,408,000 2,511,833
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 175,000 185,063
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 445,000 520,650
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,661,451
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 6.125%, 1/31/22 (Egypt) 635,000 652,463
Egypt (Arab Republic of) 144A sr. unsec. notes 5.577%, 2/21/23 (Egypt) 1,010,000 1,013,138
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 700,000 686,000
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 2,332,000 3,000,691
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 65,832
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 468,000 512,908
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)(STP) EUR 141,000 156,636
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)(STP) EUR 178,000 200,347
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)(STP) EUR 468,000 527,958
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 4,446,885
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 137,295 161,921
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 4,885,847
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)(STP) EUR 398,000 476,025
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 1,875,776
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 114,000 137,388
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 1,577,842
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) $760,000 757,150
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 309,375
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 1,555,000 1,852,394
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/8/46 (Indonesia) 200,000 226,750
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,266,830
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,317,738
Ivory Coast (Republic of) 144A sr. unsec. notes 5.25%, 3/22/30 (Ivory Coast) EUR 760,000 930,303
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) $1,385,000 1,308,968
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 265,000 268,851
Russia (Federation of) 144A sr. unsec. notes 4.375%, 3/21/29 (Russia) 200,000 193,756
United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 1,040,000 1,051,062
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 190,125
Total foreign government and agency bonds and notes (cost $50,411,011) $53,257,834

PURCHASED SWAP OPTIONS OUTSTANDING (2.0%)(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.
    (1.9325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 $135,756,500 $1,369,782
    (2.2625)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 61,090,400 545,537
    2.2625/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 61,090,400 130,733
    1.9325/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 135,756,500 136
Citibank, N.A.
    (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 5,973,300 686,452
    2.884/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.884 44,597,800 257,329
    2.84/3 month USD-LIBOR-BBA/May-28 May-18/2.84 83,839,700 123,244
    2.81/3 month USD-LIBOR-BBA/May-28 May-18/2.81 20,959,900 8,594
    2.47/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.47 54,302,600 6,516
    2.75/3 month USD-LIBOR-BBA/May-28 May-18/2.75 20,959,900 2,934
    2.715/3 month USD-LIBOR-BBA/May-28 May-18/2.715 41,919,900 419
    (1.091)/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.091 EUR 9,307,100 225
Credit Suisse International
    (2.8675)/3 month USD-LIBOR-BBA/May-28 May-18/2.8675 $44,597,800 464,263
    (3.0925)/3 month USD-LIBOR-BBA/May-28 May-18/3.0925 89,195,500 100,791
    2.80/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.80 59,463,700 85,628
Goldman Sachs International
    (2.7575)/3 month USD-LIBOR-BBA/Jan-38 Jan-28/2.7575 6,980,300 466,005
    1.673/3 month GBP-LIBOR-BBA/Oct-48 Oct-18/1.673 GBP 6,701,000 306,187
    2.7575/3 month USD-LIBOR-BBA/Jan-38 Jan-28/2.7575 $6,980,300 305,877
    1.522/3 month GBP-LIBOR-BBA/Oct-28 Oct-18/1.522 GBP 17,218,000 226,847
    (2.79375)/3 month USD-LIBOR-BBA/Jun-19 Jun-18/2.79375 $86,326,300 151,934
    2.695/3 month USD-LIBOR-BBA/Oct-23 Oct-18/2.695 11,403,500 24,746
    2.666/3 month USD-LIBOR-BBA/May-28 May-18/2.666 41,919,900 3,773
    2.51125/3 month USD-LIBOR-BBA/May-20 May-18/2.51125 59,463,700 59
    1.9175/3 month USD-LIBOR-BBA/Oct-19 Oct-18/1.9175 49,415,400 49
JPMorgan Chase Bank N.A.
    (1.919)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 135,756,500 1,386,074
    1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 6,794,000 567,665
    (2.25)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 $61,090,400 550,425
    1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 17,032,000 511,111
    (2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 $6,980,300 465,935
    (2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 455,674
    2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 6,980,300 313,066
    2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 6,980,300 305,528
    (2.68)/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.68 54,302,600 167,252
    2.25/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 61,090,400 128,901
    2.875/3 month USD-LIBOR-BBA/May-28 May-18/2.875 83,249,100 84,082
    0.882/3 month GBP-LIBOR-BBA/Nov-19 Nov-18/0.882 GBP 46,535,500 23,064
    1.919/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 $135,756,500 136
Morgan Stanley & Co. International PLC
    3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 738,637
    3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 6,990,700 738,567
    (2.8225)/3 month USD-LIBOR-BBA/Oct-20 Oct-18/2.8225 118,927,300 341,321
    (2.8375)/3 month USD-LIBOR-BBA/Aug-20 Aug-18/2.8375 57,550,800 117,979
    2.78/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.78 59,463,700 73,140
    2.355/3 month USD-LIBOR-BBA/May-19 May-18/2.355 54,302,600 54
Wells Fargo Bank, N.A.
    2.50/3 month USD-LIBOR-BBA/May-20 May-18/2.50 89,195,500 89
Total purchased swap options outstanding (cost $12,395,006) $12,236,760

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Counterparty Expiration date/
strike price		 Notional amount Contract amount Value
JPMorgan Chase Bank N.A.
    Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) May-18/93.93 $31,000,000 $31,000,000 $11,997
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jun-18/96.29 48,000,000 48,000,000 250,272
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jul-18/96.69 31,000,000 31,000,000 138,136
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jul-18/96.84 31,000,000 31,000,000 119,226
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jul-18/97.00 31,000,000 31,000,000 102,269
    Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Jul-18/98.69 93,000,00093,000,000 690,432
Total purchased options outstanding (cost $1,670,859) $1,312,332

SENIOR LOANS (1.7%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 7/2/22 $228,536 $180,829
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.802%, 4/21/24 181,936 182,437
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.647%, 12/15/24 563,588 569,488
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.611%, 6/21/24 477,393 481,835
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.588%, 4/3/24 143,913 144,662
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.647%, 11/17/22 345,000 350,175
Casella Waste Systems, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.396%, 10/17/23 962,813 969,432
CCC Information Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.75%), 8.651%, 3/30/25 144,000 145,920
Chesapeake Energy Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.50%), 9.444%, 8/23/21 380,000 402,088
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.593%, 5/5/24 80,641 81,078
Forterra Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.901%, 10/25/23 419,621 385,461
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.651%, 4/16/21 364,713 365,929
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.052%, 3/31/24 173,596 174,600
Getty Images, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.802%, 10/18/19 87,389 83,020
iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA LIBOR USD 3 Month + 6.75%), 9.052%, 1/30/19 (In default)(NON) 743,000 586,970
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.509%, 10/16/23 175,000 174,016
KCA Deutag Alpha, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.75%), 9.021%, 3/21/23 (United Kingdom) 210,000 210,525
KCA Deutag US Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.25%), 7.654%, 5/16/20 309,573 309,573
Kronos, Inc./MA bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 10.023%, 11/1/24 220,000 227,920
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.40%, 11/6/24 750,000 754,375
Neiman Marcus Group, Ltd., Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.141%, 10/25/20 307,489 270,261
Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.267%, 2/26/25 235,000 235,196
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.787%, 11/3/23 326,735 325,827
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.401%, 9/7/23 602,790 469,800
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.651%, 2/5/23 320,135 322,063
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.873%, 2/15/26 220,000 220,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 5.373%, 2/15/25 230,000 231,725
Solenis International LP bank term loan FRN (BBA LIBOR USD 3 Month + 6.75%), 8.734%, 7/31/22 84,000 80,535
Talbots, Inc. (The) bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.401%, 3/19/21 150,913 146,197
Talbots, Inc. (The) bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 6.401%, 3/19/20 237,261 234,295
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.202%, 3/16/25 580,000 580,544
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.877%, 7/24/24 169,574 170,210
Total senior loans (cost $10,272,296) $10,066,986

CONVERTIBLE BONDS AND NOTES (1.0%)(a)
Principal amount Value
Basic materials (—%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20, (Mexico) $54,000 $55,485
Patrick Industries, Inc. 144A cv. sr. unsec. notes 1.00%, 2/1/23 59,000 56,584
112,069
Capital goods (0.1%)
Aerojet Rocketdyne Holdings, Inc. cv. sr. unsec. sub. notes 2.25%, 12/15/23 58,000 73,358
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 76,000 93,813
Greenbrier Cos., Inc. (The) cv. sr. unsec. notes 2.875%, 2/1/24 61,000 65,675
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 47,000 37,880
II-VI, Inc. 144A cv. sr. unsec. notes 0.25%, 9/1/22 36,000 38,322
Kaman Corp. 144A cv. sr. unsec. notes 3.25%, 5/1/24 69,000 77,374
386,422
Communication services (—%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 174,000 158,558
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/15/23 35,000 36,435
194,993
Consumer cyclicals (0.1%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 27,492 48,215
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 57,000 67,482
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 116,000 121,336
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 124,000 142,240
Liberty Media Corp. cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 57,000 59,733
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 2.50%, 3/15/23 53,000 52,179
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 57,000 51,094
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 36,000 36,982
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 0.35%, 6/15/20 103,000 172,210
Square, Inc. cv. sr. unsec. unsub. notes 0.375%, 3/1/22 43,000 90,992
842,463
Consumer staples (0.1%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.25%, 5/15/23 29,000 31,453
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 83,000 101,635
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 118,000 115,419
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 59,000 62,570
Wayfair, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 9/1/22 44,000 40,860
351,937
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 91,081
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 82,000 71,635
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 41,000 48,286
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 97,000 92,393
303,395
Financials (—%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 41,000 39,960
Heritage Insurance Holdings, Inc. 144A cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 35,000 42,469
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22(R) 85,000 96,191
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 52,000 55,651
234,271
Health care (0.2%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 98,000 94,259
Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25 60,000 54,046
Insmed, Inc. cv. sr. unsec. sub. notes 1.75%, 1/15/25 45,000 41,953
Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24 31,000 35,069
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 39,000 50,968
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21, (Ireland) 160,000 166,909
Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22 109,000 119,513
Neurocrine Biosciences, Inc. 144A cv. sr. unsec. notes 2.25%, 5/15/24 36,000 46,548
Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 39,000 45,495
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 69,000 64,816
Supernus Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.625%, 4/1/23 48,000 52,068
Teladoc, Inc. 144A cv. sr. unsec. notes 3.00%, 12/15/22 43,000 53,049
Wright Medical Group, Inc. cv. sr. unsec. notes 2.00%, 2/15/20 60,000 60,300
884,993
Technology (0.4%)
Apptio, Inc. 144A cv. sr. unsec. notes 0.875%, 4/1/23 42,000 42,630
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22, (acquired various dates from 9/22/17 to 9/25/17, cost $36,063)(RES) 33,000 45,381
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 29,000 41,629
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 1/15/23 60,000 73,040
Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 65,000 83,535
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 43,000 54,289
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 70,000 62,995
HubSpot, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/22 51,000 64,961
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 62,000 57,036
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 67,000 72,313
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 67,000 166,857
j2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 79,000 100,855
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 14,000 36,309
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 237,000 266,696
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 109,000 172,554
Nice Systems, Inc. cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 63,000 78,832
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 32,000 176,713
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 18,000 17,687
Nutanix, Inc. 144A cv. sr. unsec. notes zero %, 1/15/23 51,000 63,005
Okta, Inc. 144A cv. sr. unsec. notes 0.25%, 2/15/23 54,000 61,777
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 56,000 72,170
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 54,000 71,408
OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22 82,000 74,005
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 63,000 95,054
RealPage, Inc. 144A cv. sr. unsec. notes 1.50%, 11/15/22 78,000 108,908
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 51,000 112,933
ServiceNow, Inc. cv. sr. unsec. unsub. bonds zero %, 11/1/18 32,000 71,667
ServiceNow, Inc. 144A cv. sr. unsec. unsub. notes zero %, 6/1/22 26,000 34,819
Teradyne, Inc. cv. sr. unsec. notes 1.25%, 12/15/23 55,000 67,098
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 33,000 50,670
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 52,000 48,793
Western Digital Corp. 144A cv. company guaranty sr. unsec. notes 1.50%, 2/1/24 36,000 37,566
Workday, Inc. 144A cv. sr. unsec. notes 0.25%, 10/1/22 59,000 63,661
2,647,846
Transportation (—%)
Air Transport Services Group, Inc. 144A cv. sr. unsec. notes 1.125%, 10/15/24 74,000 70,104
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 43,000 41,280
111,384
Total convertible bonds and notes (cost $5,735,157) $6,069,773

COMMON STOCKS (0.3%)(a)
Shares Value
Avaya Holdings Corp.(NON) 47,064 $1,077,295
Caesars Entertainment Corp.(NON) 8,988 102,014
CHC Group, LLC (acquired 3/23/17, cost $23,780) (Cayman Islands)(NON)(RES) 1,640 11,890
Halcon Resources Corp.(NON) 24,782 133,079
Milagro Oil & Gas, Inc. (Units)(F) 169 13,689
Nine Point Energy 1,515 20,846
SandRidge Energy, Inc.(NON) 8,217 119,475
Tervita Corp. Class A (Canada) 449 3,147
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 10,958
Tribune Media Co. Class 1C(F) 92,963 14,874
Total common stocks (cost $1,455,117) $1,507,267

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 $748,748
Total asset-backed securities (cost $749,268) $748,748

PREFERRED STOCKS (0.1%)(a)
Shares Value
GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 16,265 $432,486
Total preferred stocks (cost $412,195) $432,486

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
Nine Point Energy 6.75% cv. pfd. 32 $35,312
Total convertible preferred stocks (cost $32,000) $35,312

WARRANTS (—%)(a)(NON)
Expiration date   Strike Price Warrants Value
Halcon Resources Corp. 9/9/20    $14.04 6,732 $3,703
Total warrants (cost $—) $3,703

SHORT-TERM INVESTMENTS (16.2%)(a)
Principal amount/shares Value
Argentina (Republic of) Treasury Bills with effective yields ranging from 1.901% to 3.607%, 8/15/18 (Argentina) ARS 42,442,000 $1,918,500
Argentina (Republic of) Treasury Bills with effective yields ranging from 8.712% to 9.836%, 9/19/18 (Argentina) ARS 60,565,000 2,671,181
Putnam Short Term Investment Fund 1.88%(AFF) Shares 50,542,667 50,542,667
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.63%(P) Shares 1,084,000 1,084,000
U.S. Treasury Bills 1.453%, 5/10/18(SEGSF)(SEGCCS) $5,255,000 5,252,983
U.S. Treasury Bills 1.486%, 5/3/18(SEGSF) 6,189,000 6,188,464
U.S. Treasury Bills 1.496%, 6/7/18(SEG)(SEGSF)(SEGCCS) 4,173,000 4,165,972
U.S. Treasury Bills 1.508%, 6/14/18(SEG)(SEGSF)(SEGCCS) 15,983,000 15,950,816
U.S. Treasury Bills 1.523%, 6/21/18(SEG)(SEGSF)(SEGCCS) 4,864,000 4,852,372
U.S. Treasury Bills 1.735%, 7/12/18(SEGSF)(SEGCCS) 5,005,000 4,987,595
Total short-term investments (cost $98,204,421) $97,614,550

TOTAL INVESTMENTS
Total investments (cost $806,550,109) $809,184,941













FORWARD CURRENCY CONTRACTS at 4/30/18 (aggregate face value $302,545,633) (Unaudited)


Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 7/18/18 8,312,789 8,478,406 (165,617)
British Pound Buy 6/20/18 2,036,642 2,062,341 (25,699)
Canadian Dollar Buy 7/18/18 13,889 14,148 (259)
Euro Buy 6/20/18 3,981,548 4,149,832 (168,284)
Japanese Yen Sell 5/16/18 4,909,357 5,010,918 101,561
New Zealand Dollar Sell 7/18/18 68,525 70,453 1,928
Norwegian Krone Buy 6/20/18 4,876,293 5,081,064 (204,771)
Russian Ruble Buy 6/20/18 2,660,046 2,971,701 (311,655)
Russian Ruble Sell 6/20/18 2,660,046 2,922,573 262,527
Swedish Krona Sell 6/20/18 4,260,909 4,559,457 298,548
Barclays Bank PLC
Australian Dollar Buy 7/18/18 4,288,864 4,387,863 (98,999)
British Pound Sell 6/20/18 757,721 562,846 (194,875)
Canadian Dollar Sell 7/18/18 7,094,939 7,082,700 (12,239)
Euro Sell 6/20/18 85,446 154,026 68,580
Japanese Yen Sell 5/16/18 81,527 66,788 (14,739)
Swedish Krona Sell 6/20/18 7,277,268 7,569,888 292,620
Citibank, N.A.
Australian Dollar Buy 7/18/18 5,532,445 5,680,401 (147,956)
Brazilian Real Buy 7/3/18 2,748,787 2,957,140 (208,353)
Brazilian Real Sell 7/3/18 2,748,787 2,954,525 205,738
British Pound Sell 6/20/18 1,079,384 1,044,799 (34,585)
Euro Buy 6/20/18 5,926,326 5,980,516 (54,190)
Japanese Yen Sell 5/16/18 54,510 61,297 6,787
New Zealand Dollar Sell 7/18/18 663,228 699,349 36,121
Swedish Krona Sell 6/20/18 5,141,145 5,489,923 348,778
Credit Suisse International
Australian Dollar Buy 7/18/18 6,043,946 6,169,364 (125,418)
British Pound Sell 6/20/18 2,949,744 2,845,764 (103,980)
Canadian Dollar Sell 7/18/18 2,472,785 2,525,480 52,695
Euro Buy 6/20/18 1,714,619 1,758,192 (43,573)
Japanese Yen Sell 5/16/18 2,965,588 2,953,599 (11,989)
Swedish Krona Sell 6/20/18 5,797,836 6,195,352 397,516
Goldman Sachs International
Australian Dollar Buy 7/18/18 6,848,626 7,108,346 (259,720)
Brazilian Real Sell 7/3/18 259,981 356,531 96,550
British Pound Sell 6/20/18 2,072,659 1,983,119 (89,540)
Canadian Dollar Buy 7/18/18 15,293 5,005 10,288
Chinese Yuan (Offshore) Buy 5/16/18 2,971,228 2,997,149 (25,921)
Chinese Yuan (Offshore) Sell 5/16/18 2,971,228 2,968,812 (2,416)
Euro Buy 6/20/18 4,185,042 4,260,902 (75,860)
Japanese Yen Buy 5/16/18 1,256,221 1,535,457 (279,236)
New Zealand Dollar Sell 7/18/18 4,198,872 4,348,026 149,154
Norwegian Krone Buy 6/20/18 5,102,725 5,309,259 (206,534)
South African Rand Buy 7/18/18 404,789 425,603 (20,814)
Swedish Krona Sell 6/20/18 5,039,475 5,307,595 268,120
HSBC Bank USA, National Association
Australian Dollar Buy 7/18/18 5,369,401 5,477,465 (108,064)
British Pound Sell 6/20/18 2,985,209 2,983,980 (1,229)
Euro Sell 6/20/18 2,268,989 2,246,842 (22,147)
Japanese Yen Sell 5/16/18 2,459,995 2,506,139 46,144
Mexican Peso Buy 7/18/18 825,416 843,733 (18,317)
Swedish Krona Sell 6/20/18 5,957,515 6,198,657 241,142
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/18/18 5,248,304 5,384,133 (135,829)
British Pound Sell 6/20/18 2,765,523 2,865,105 99,582
Canadian Dollar Sell 7/18/18 2,487,688 2,491,745 4,057
Euro Buy 6/20/18 2,451,759 2,498,531 (46,772)
Japanese Yen Sell 5/16/18 279,864 215,651 (64,213)
New Zealand Dollar Sell 7/18/18 3,795,110 3,902,048 106,938
Norwegian Krone Buy 6/20/18 4,667,030 4,822,524 (155,494)
Russian Ruble Buy 6/20/18 2,660,045 2,974,402 (314,357)
Russian Ruble Sell 6/20/18 2,660,046 2,914,609 254,563
Swedish Krona Sell 6/20/18 6,798,734 7,085,574 286,840
Swiss Franc Buy 6/20/18 513,133 536,698 (23,565)
NatWest Market PLC
Euro Buy 6/20/18 5,997,834 6,081,111 (83,277)
Euro Sell 6/20/18 5,997,834 6,133,209 135,375
Japanese Yen Buy 5/16/18 5,803,068 5,868,557 (65,489)
Japanese Yen Sell 5/16/18 5,803,068 5,885,532 82,464
Swedish Krona Sell 6/20/18 4,025,900 4,282,815 256,915
State Street Bank and Trust Co.
Australian Dollar Buy 7/18/18 6,070,982 6,291,508 (220,526)
British Pound Sell 6/20/18 4,058,935 4,020,296 (38,639)
Canadian Dollar Sell 7/18/18 3,566,157 3,626,993 60,836
Euro Buy 6/20/18 4,368,297 4,436,405 (68,108)
Japanese Yen Buy 5/16/18 1,256,221 1,435,495 (179,274)
New Zealand Dollar Sell 7/18/18 377,379 387,971 10,592
Norwegian Krone Buy 6/20/18 7,187,863 7,327,963 (140,100)
Swedish Krona Sell 6/20/18 8,521,909 9,080,555 558,646
UBS AG
Australian Dollar Buy 7/18/18 3,264,808 3,346,674 (81,866)
British Pound Sell 6/20/18 5,110,995 5,106,592 (4,403)
Canadian Dollar Sell 7/18/18 2,500,406 2,513,087 12,681
Euro Buy 6/20/18 6,288,594 6,375,221 (86,627)
Japanese Yen Sell 5/16/18 2,466,534 2,395,876 (70,658)
New Zealand Dollar Sell 7/18/18 5,939,009 6,100,399 161,390
Norwegian Krone Buy 6/20/18 2,220,480 2,317,660 (97,180)
Swedish Krona Buy 6/20/18 635,611 732,537 (96,926)
WestPac Banking Corp.
Australian Dollar Buy 7/18/18 5,811,768 5,924,456 (112,688)
British Pound Buy 6/20/18 2,472,150 2,501,414 (29,264)
Euro Buy 6/20/18 3,424,027 3,465,210 (41,183)
Japanese Yen Sell 5/16/18 1,850,056 1,893,752 43,696
Unrealized appreciation 4,959,372
Unrealized (depreciation) (5,193,417)
Total $(234,045)

* The exchange currency for all contracts listed is the United States Dollar.












FUTURES CONTRACTS OUTSTANDING at 4/30/18 (Unaudited)


Number of contracts Notional amount Value Expiration date Unrealized appreciation/
(depreciation)
Euro-Bund 10 yr (Short) 60 $11,501,665 $11,501,662 Jun-18 $(165,381)
Euro-OAT 10 yr (Short) 16 2,971,855 2,971,854 Jun-18 (46,034)
U.S. Treasury Note 2 yr (Short) 299 63,402,016 63,402,016 Jun-18 190,952
U.S. Treasury Note Ultra 10 yr (Long) 63 8,057,109 8,057,109 Jun-18 (26,703)
Unrealized appreciation 190,952
Unrealized (depreciation) (238,118)
Total $(47,166)












WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/18 (premiums $12,344,715) (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.
(2.2625)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 $61,090,400 $3,055
(1.9325)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 135,756,500 23,079
2.2625/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 61,090,400 417,858
1.9325/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 135,756,500 1,392,862

Barclays Bank PLC
2.813/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.813 60,592,000 287,812

Citibank, N.A.
1.291/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.291 EUR 14,798,000 179
(2.6325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.6325 $54,302,600 11,404
(2.87)/3 month USD-LIBOR-BBA/May-28 May-18/2.87 20,959,900 22,427
3.015/3 month USD-LIBOR-BBA/May-28 May-18/3.015 41,919,900 61,203
(2.739)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.739 44,597,800 112,386
(2.93)/3 month USD-LIBOR-BBA/May-28 May-18/2.93 41,919,900 154,684
3.029/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.029 44,597,800 339,389
2.663/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.663 60,592,000 401,119
2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208 27,151,300 1,030,120

Credit Suisse International
(2.915)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.915 13,379,300 96,866
2.9675/3 month USD-LIBOR-BBA/May-28 May-18/2.9675 133,793,300 619,463

Goldman Sachs International
(2.3025)/3 month USD-LIBOR-BBA/Oct-19 Oct-18/2.3025 108,605,200 20,635
2.75125/3 month USD-LIBOR-BBA/May-20 May-18/2.75125 59,463,700 33,894
3.01375/3 month USD-LIBOR-BBA/Jun-19 Jun-18/3.01375 86,326,300 36,257
3.066/3 month USD-LIBOR-BBA/May-28 May-18/3.066 41,919,900 71,264
2.90375/3 month USD-LIBOR-BBA/Jun-19 Jun-18/2.90375 86,326,300 83,737
(2.036)/6 month EUR-EURIBOR-Reuters/Jan-38 Jan-28/2.036 EUR 4,653,600 367,134
2.036/6 month EUR-EURIBOR-Reuters/Jan-38 Jan-28/2.036 EUR 4,653,600 376,744
(1.6975)/3 month GBP-LIBOR-BBA/Oct-38 Oct-18/1.6975 GBP 18,614,000 595,802
(2.01)/6 month EUR-EURIBOR-Reuters/Dec-37 Dec-27/2.01 EUR 9,307,100 718,750
2.01/6 month EUR-EURIBOR-Reuters/Dec-37 Dec-27/2.01 EUR 9,307,100 764,382

JPMorgan Chase Bank N.A.
(2.25)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 $61,090,400 3,055
(1.919)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 135,756,500 21,721
(2.945)/3 month USD-LIBOR-BBA/May-28 May-18/2.945 41,624,600 115,716
(1.106)/3 month GBP-LIBOR-BBA/Nov-27 Nov-22/1.106 GBP 10,237,800 190,133
2.25/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 $61,090,400 424,578
2.77/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.77 108,605,200 560,403
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 18,614,000 1,064,795
1.919/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 $135,756,500 1,407,795

Morgan Stanley & Co. International PLC
(2.71375)/3 month USD-LIBOR-BBA/May-19 May-18/2.71375 54,302,600 54
(2.8525)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.8525 13,379,300 66,094
2.646/3 month USD-LIBOR-BBA/May-20 May-18/2.646 57,550,800 138,122
2.655/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.655 118,927,300 377,000
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 6,990,700 631,470
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-24/3.00 6,990,700 632,239

Wells Fargo Bank, N.A.
2.74/3 month USD-LIBOR-BBA/May-20 May-18/2.74 89,195,500 49,949
Total $13,725,629












WRITTEN OPTIONS OUTSTANDING at 4/30/18 (premiums $1,670,859) (Unaudited)


Counterparty Expiration date/
strike price		 Notional amountContract amountValue
JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put)May-18/$93.93$31,000,000$31,000,000$231,198
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call)Jul-18/97.2331,000,00031,000,00080,972
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call)Jul-18/97.3831,000,00031,000,00068,448
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call)Jul-18/97.5431,000,00031,000,00057,505
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call)Jul-18/97.7731,000,00031,000,00044,268
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call)Jul-18/97.9231,000,00031,000,00036,704
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call)Jul-18/98.0831,000,00031,000,00030,256
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put)Jun-18/96.2948,000,00048,000,000200,592
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call)Jul-18/99.1193,000,00093,000,000461,745
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call)Jul-18/99.5493,000,00093,000,000286,812
Total $1,498,500













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/18 (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.
(2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 $13,575,700 $(271,514) $254,680
(2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 13,575,700 (530,810) 52,538
(2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 8,145,400 (287,125)(7,901)
(2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 8,145,400 (874,001)(35,432)
2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 13,575,700 (530,810)(174,176)
2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 13,575,700 (271,514)(238,661)
2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 8,145,400 (287,125)(242,326)
2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 8,145,400 (874,001)(270,997)
(2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 8,145,400 735,937580,360
(2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 13,575,700 521,986428,585
2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 8,145,400 735,937114,036
2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 13,575,700 521,986(288,484)

Barclays Bank PLC
(2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 13,575,700 (271,514)253,594
(2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 8,145,400 (113,628)23,947
2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 8,145,400 (113,628)(102,143)
2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 13,575,700 (271,514)(238,525)

Citibank, N.A.
(2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810)50,230
(2.34)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.34 2,064,000 (38,287)34,655
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740)28,875
2.9225/3 month USD-LIBOR-BBA/May-28 (Purchased) May-18/2.9225 56,420,900 (153,747)7,899
2.34/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.34 2,064,000 (38,287)(27,699)
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 2,064,000 (265,740)(71,373)
2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810)(172,547)
(2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 13,575,700 522,664427,770
(2.615)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.615 2,064,000 165,12097,173
(2.995)/3 month USD-LIBOR-BBA/May-28 (Written) May-18/2.995 28,210,500 145,989(18,337)
2.615/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.615 2,064,000 165,120(63,654)
2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 13,575,700 519,949(283,732)

Goldman Sachs International
(2.47)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.47 3,439,600 (122,106)83,410
(2.7725)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.7725 3,439,600 (87,710)55,756
(2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 3,439,600 (275,684)21,945
2.902/3 month USD-LIBOR-BBA/May-28 (Purchased) May-18/2.902 56,420,900 (160,800)17,490
(3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 3,439,600 (238,364)15,306
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674)(2,411)
(3.082)/3 month USD-LIBOR-BBA/May-28 (Purchased) May-18/3.082 56,420,900 (163,621)(37,238)
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674)(42,471)
3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 3,439,600 (313,004)(54,002)
2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 3,439,600 (275,684)(54,655)
2.47/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.47 3,439,600 (122,106)(82,791)
2.7725/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.7725 3,439,600 (165,101)(97,375)
(2.875)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.875 3,439,600 282,391152,477
(2.584)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.584 3,439,600 205,860129,776
2.992/3 month USD-LIBOR-BBA/May-28 (Written) May-18/2.992 28,210,500 161,50522,851
(2.992)/3 month USD-LIBOR-BBA/May-28 (Written) May-18/2.992 28,210,500 161,505(25,389)
2.875/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.875 3,439,600 145,151(71,647)
2.584/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.584 3,439,600 205,860(111,477)

JPMorgan Chase Bank N.A.
(2.2525)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.2525 3,439,600 (213,255)46,159
(2.553)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.553 2,064,000 (27,451)29,928
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (221,467)27,492
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (357,718)(8,496)
2.2525/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.2525 3,439,600 (41,275)(17,026)
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 3,439,600 (198,809)(17,404)
2.553/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.553 2,064,000 (50,568)(35,005)
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 2,064,000 (319,094)(87,142)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301)(160,301)
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301)(403,523)
(2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 8,145,400 773,406554,294
2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 8,145,400 773,406201,680
(2.826)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.826 2,064,000 227,246126,957
(2.36)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.36 3,439,600 56,75310,904
2.36/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.36 3,439,600 374,916(38,145)
2.826/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.826 2,064,000 115,790(54,304)

Morgan Stanley & Co. International PLC
3.005/3 month USD-LIBOR-BBA/May-28 (Purchased) May-18/3.005 84,631,400 (499,325)106,636
(2.155)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.155 2,064,000 (51,600)36,141
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (316,205)23,076
2.155/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.155 2,064,000 (27,038)(19,670)
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 2,064,000 (222,086)(56,450)
(3.005)/3 month USD-LIBOR-BBA/May-28 (Purchased) May-18/3.005 84,631,400 (499,325)(137,949)
3.02/3 month USD-LIBOR-BBA/Jul-28 (Written) Jul-18/3.02 84,631,400 875,935140,488
(2.43)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.43 2,064,000 114,75867,760
2.43/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.43 2,064,000 226,214(61,900)
(3.02)/3 month USD-LIBOR-BBA/Jul-28 (Written) Jul-18/3.02 84,631,400 875,935(122,716)
Unrealized appreciation 4,224,868
Unrealized (depreciation) (4,035,474)
Total $189,394












TBA SALE COMMITMENTS OUTSTANDING at 4/30/18 (proceeds receivable $84,470,820) (Unaudited)


Agency Principal amount Settlement date Value
Federal National Mortgage Association, 4.50%, 5/1/48 $8,000,000 5/14/18 $8,333,125
Federal National Mortgage Association, 3.50%, 5/1/48 63,000,000 5/14/18 62,557,034
Federal National Mortgage Association, 3.00%, 5/1/48 14,000,000 5/14/18 13,508,907
Total $84,399,066






  OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/18 (Unaudited)
   
  Swap counterparty/notional amount Value   Upfront premium received (paid)   Termination date Payments made by fund   Payments received by fund Unrealized depreciation
                       
  JPMorgan Chase Bank N.A.
  MYR  8,395,000  $2,953   $—    12/12/22 3.925% — Quarterly   3 month MYR-KLIBOR-BNM  — Quarterly  $(3,647)
   Upfront premium received    —         Unrealized appreciation  — 
   Upfront premium (paid)    —         Unrealized (depreciation)  (3,647)
      Total   $—          Total $(3,647)


















  CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/18 (Unaudited)
   
  Notional amount   Value   Upfront premium received (paid)   Termination date Payments made by fund   Payments received by fund Unrealized appreciation/
(depreciation)
                       
     $10,543,000  $124,386 (E) $(76)   10/27/27 3 month USD-LIBOR-BBA — Quarterly   2.74875%  — Semiannually   $(124,463)
     45,604,800  258,169   (431)   3/21/23 3 month USD-LIBOR-BBA — Quarterly   2.7725%  — Semiannually   (233,545)
     9,011,000  27,384 (E) (101)   2/27/28 3 month USD-LIBOR-BBA — Quarterly   3.11%  — Semiannually   27,283
     9,939,000  24,301 (E) 6,929    6/20/28 3 month USD-LIBOR-BBA — Quarterly   2.95%  — Semiannually   (17,372)
     36,137,800  200,782   233,351    4/9/28 2.903% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   421,492
     10,713,000  5,560 (E) (120)   3/7/28 3 month USD-LIBOR-BBA — Quarterly   3.05125%  — Semiannually   5,440
     155,462,000  874,474 (E) 53,770    6/20/23 2.80% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   928,244
     19,929,000  133,644   99,381    4/11/28 2.89% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   226,905
     10,128,900  52,893   (143)   4/17/28 2.9075% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   50,565
     23,117,550  101,763   125,642    4/19/28 2.917% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   223,077
     1,676,800  6,501   (24)   4/19/28 2.923% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   6,160
     89,195,500  960,636   (215,252)   4/10/28 3 month USD-LIBOR-BBA — Quarterly   2.8435%  — Semiannually   (1,149,558)
     44,597,800  191,860   213,478    4/10/28 2.9175% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   390,248
     37,083,800  252,986 (E) 304,067    6/20/28 3 month USD-LIBOR-BBA — Quarterly   2.90%  — Semiannually   51,081
     1,956,300  17,695   (28)   4/19/28 3 month USD-LIBOR-BBA — Quarterly   2.864%  — Semiannually   (17,391)
     19,929,000  284,746   128,278    5/1/28 3 month USD-LIBOR-BBA — Quarterly   2.805%  — Semiannually   (156,468)
     39,857,900  236,796   (125,417)   5/1/28 2.90% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   111,379
     407,343,300  1,497,394 (E) (184,476)   6/20/20 2.605% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   1,312,918
     7,071,200  207,922 (E) (31,235)   6/20/48 2.85% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   176,687
     355,006,300  2,824,430 (E) (794,867)   6/20/23 2.75% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   2,029,562
     29,731,900  478,327   79,882    4/9/28 3 month USD-LIBOR-BBA — Quarterly   2.7825%  — Semiannually   (390,235)
     17,393,100  279,594   (246)   5/2/28 2.785% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   279,348
     44,597,800  123,982   84,144    5/2/28 3 month USD-LIBOR-BBA — Quarterly   2.935%  — Semiannually   (39,837)
     1,993,000  55,744   (68)   4/4/48 3 month USD-LIBOR-BBA — Quarterly   2.854%  — Semiannually   (55,002)
     3,448,500  50,921   (46)   4/4/28 2.797% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   49,620
     6,854,000  100,740   (91)   4/5/28 2.798% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   98,287
     4,397,000  63,669   (58)   4/5/28 2.8005% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   62,087
     25,569,400  75,737 (E) (96)   7/6/20 3 month USD-LIBOR-BBA — Quarterly   2.655%  — Semiannually   (75,833)
     7,642,500  121,416   (101)   4/6/28 3 month USD-LIBOR-BBA — Quarterly   2.7845%  — Semiannually   (119,077)
     9,705,000  90,897   (129)   4/9/28 3 month USD-LIBOR-BBA — Quarterly   2.85941%  — Semiannually   (87,890)
     12,855,400  119,684 (E) (182)   5/22/28 2.866% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   119,502
     15,650,100  143,793 (E) (222)   5/10/28 2.865% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   143,572
     8,303,400  79,264   (110)   4/10/28 3 month USD-LIBOR-BBA — Quarterly   2.8575%  — Semiannually   (76,855)
     7,870,500  78,233   (104)   4/10/28 3 month USD-LIBOR-BBA — Quarterly   2.853%  — Semiannually   (75,970)
     8,867,400  88,523   (118)   4/10/28 3 month USD-LIBOR-BBA — Quarterly   2.8525%  — Semiannually   (85,977)
     5,912,000  59,280   (78)   4/10/28 3 month USD-LIBOR-BBA — Quarterly   2.852%  — Semiannually   (57,584)
     62,970,000  174,742   (238)   4/10/20 2.59634% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   164,995
     31,485,000  87,025   (119)   4/10/20 2.59696% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   82,140
     31,485,000  86,836   (119)   4/10/20 2.59727% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   81,945
     16,060,600  122,109   (130)   4/10/23 2.7375% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   118,231
     16,060,600  120,198   (130)   4/10/23 2.74007% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   116,296
     16,060,600  117,114   (130)   4/10/23 2.74421% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   113,173
     34,370,000  92,936 (E) (130)   5/10/20 2.62% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   92,807
     10,831,000  140,532   (144)   4/11/28 3 month USD-LIBOR-BBA — Quarterly   2.8183%  — Semiannually   (137,782)
     8,756,000  116,516   (116)   4/11/28 3 month USD-LIBOR-BBA — Quarterly   2.8145%  — Semiannually   (114,311)
     13,139,000  180,175   (174)   4/12/28 3 month USD-LIBOR-BBA — Quarterly   2.81%  — Semiannually   (177,083)
     18,882,000  81,721   (119)   4/12/21 2.6915% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   78,090
     5,693,500  79,851   (75)   4/13/28 3 month USD-LIBOR-BBA — Quarterly   2.8065%  — Semiannually   (78,603)
     6,562,000  93,463   (87)   4/13/28 3 month USD-LIBOR-BBA — Quarterly   2.804%  — Semiannually   (92,033)
     11,485,000  163,386   (152)   4/13/28 3 month USD-LIBOR-BBA — Quarterly   2.8042%  — Semiannually   (160,882)
     19,623,000  50,019 (E) (74)   5/15/20 2.63125% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   49,945
     9,142,000  138,264   (121)   4/13/28 3 month USD-LIBOR-BBA — Quarterly   2.79393%  — Semiannually   (136,317)
     13,283,000  49,067   (84)   4/16/21 2.71529% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   46,949
     1,439,000  3,369   (9)   4/17/21 2.764% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   3,130
     4,251,500  36,185   (56)   4/18/28 3 month USD-LIBOR-BBA — Quarterly   2.87%  — Semiannually   (35,450)
     19,928,950  87,588   95,501    4/18/28 2.917% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   179,045
     1,257,600  11,129 (E) (18)   5/16/28 2.87% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   11,111
     31,143,500  124,917   (252)   4/18/23 2.81623% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   119,479
     55,276,500  63,015   (208)   4/18/20 3 month USD-LIBOR-BBA — Quarterly   2.6865%  — Semiannually   (56,608)
     3,685,500  66,354   (126)   4/18/48 3 month USD-LIBOR-BBA — Quarterly   2.902%  — Semiannually   (65,752)
     176,000  1,607   (2)   4/19/28 2.863% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   1,575
     22,298,900  195,160 (E) (316)   7/19/28 2.884% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   194,844
     4,162,500  38,112 (E) (59)   5/21/28 2.8675% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   38,053
     9,367,000  83,741   (124)   4/19/28 3 month USD-LIBOR-BBA — Quarterly   2.8652%  — Semiannually   (82,273)
     352,000  3,195   (5)   4/19/28 3 month USD-LIBOR-BBA — Quarterly   2.86365%  — Semiannually   (3,140)
     8,634,000  80,037   (114)   4/20/28 3 month USD-LIBOR-BBA — Quarterly   2.8615%  — Semiannually   (78,825)
     13,562,300  51,591   (180)   4/23/28 2.92406% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   49,716
     3,633,100  13,577 (E) (51)   5/29/28 2.93% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   13,525
     4,340,800  9,745 (E) (61)   5/15/28 2.945% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   9,684
     14,412,500  35,224   (191)   4/23/28 3 month USD-LIBOR-BBA — Quarterly   2.93957%  — Semiannually   (33,564)
     14,412,500  36,449   (191)   4/23/28 3 month USD-LIBOR-BBA — Quarterly   2.9386%  — Semiannually   (34,792)
     13,122,500  26,639   (174)   4/24/28 2.94422% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   24,972
     13,122,500  24,067   (174)   4/24/28 2.94645% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   22,394
     94,166,000  59,136   (2,502)   4/24/20 3 month USD-LIBOR-BBA — Quarterly   2.715%  — Semiannually   (55,124)
     27,300,000  60,715   (1,975)   4/24/28 2.942% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   55,646
     81,964,000  82   (198)   4/25/19 3 month USD-LIBOR-BBA — Quarterly   2.547%  — Semiannually   2,444
     7,774,800  31,107   (103)   4/25/28 3.013% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (32,057)
     7,774,800  22,423   (103)   4/25/28 3.00026% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (23,356)
     3,888,000  11,124   (52)   4/25/28 3.00% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (11,590)
     22,896,500  27,293   (185)   4/25/23 2.9285% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (29,649)
     204,910,000  3,074   (496)   4/26/19 3 month USD-LIBOR-BBA — Quarterly   2.55%  — Semiannually   7,938
     8,544,000  44,976   (113)   4/26/28 3.0275% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (45,879)
     19,611,000  38,928   (159)   4/27/23 2.9459% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (40,351)
     8,354,000  65,178   (111)   4/27/28 3.0565% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (65,930)
     21,195,000  25,837   (171)   4/30/23 3 month USD-LIBOR-BBA — Quarterly   2.9275%  — Semiannually   26,000
     10,520,500  50,793   (140)   4/30/28 3.0215% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (51,126)
     10,520,500  52,087   (140)   4/30/28 3.0229% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (52,421)
     21,041,000  106,215   7,891    4/30/28 3 month USD-LIBOR-BBA — Quarterly   3.024%  — Semiannually   114,494
     40,982,000  5,123   (99)   5/1/19 3 month USD-LIBOR-BBA — Quarterly   2.5371%  — Semiannually   (5,222)
     3,103,200  6,225 (E) (44)   5/22/28 2.995% — Semiannually   3 month USD-LIBOR-BBA  — Quarterly   (6,269)
     43,607,200  7,762   (353)   5/1/23 3 month USD-LIBOR-BBA — Quarterly   2.907%  — Semiannually   7,409
     4,596,500  20,914   (157)   5/2/48 3 month USD-LIBOR-BBA — Quarterly   3.009%  — Semiannually   20,757
     4,596,500  22,845   (157)   5/2/48 3 month USD-LIBOR-BBA — Quarterly   3.011%  — Semiannually   22,688
  AUD  11,872,000  54,279   (37)   11/3/22 2.427% — Semiannually   6 month AUD-BBR-BBSW  — Semiannually   29,545
  AUD  11,872,000  45,243   (37)   11/15/22 2.4525% — Semiannually   6 month AUD-BBR-BBSW  — Semiannually   21,289
  AUD  13,623,000  45,937 (E) (118)   3/7/28 3.395% — Semiannually   6 month AUD-BBR-BBSW  — Semiannually   (46,055)
  AUD  70,015,000  351,476 (E) (393,275)   6/20/23 2.50% — Semiannually   6 month AUD-BBR-BBSW  — Semiannually   (41,799)
  AUD  180,000  1,267 (E) (2,029)   6/20/28 2.85% — Semiannually   6 month AUD-BBR-BBSW  — Semiannually   (762)
  BRL  20,713,797  300,596   (57)   1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00%  — At maturity   297,771
  BRL  10,522,963  167,276   (42)   1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate  — At maturity   (166,148)
  BRL  17,500,724  158,142   (54)   1/4/21 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00%  — At maturity   158,088
  BRL  46,136,402  114,524   (2)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate  — At maturity   (110,040)
  BRL  14,390,799  194,546   (49)   1/4/21 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00%  — At maturity   194,497
  BRL  40,295,670  99,543   (49)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate  — At maturity   (96,093)
  CAD  11,645,000  185,330   (37)   11/2/22 3 month CAD-BA-CDOR — Semiannually   2.02%  — Semiannually   (164,105)
  CAD  11,645,000  173,739   (37)   11/14/22 3 month CAD-BA-CDOR — Semiannually   2.0525%  — Semiannually   (151,567)
  CAD  53,410,000  182,325 (E) 103,795    6/20/23 3 month CAD-BA-CDOR — Semiannually   2.45%  — Semiannually   (78,530)
  CAD  6,116,000  14,829 (E) (15,140)   6/20/28 2.65% — Semiannually   3 month CAD-BA-CDOR  — Semiannually   (312)
  CHF  23,375,000  9,529 (E) (41,156)   6/20/23 6 month CHF-LIBOR-BBA — Semiannually   0.05%  — Annually   (31,626)
  CHF  24,559,000  316,814 (E) 352,112    6/20/28 6 month CHF-LIBOR-BBA — Semiannually   0.40%  — Annually   35,299
  EUR  8,503,000  10,854 (E) (34)   2/18/20 —   0.124% plus 1 Day Euribor rate  — Annually   (10,887)
  EUR  8,503,000  12,938 (E) (34)   2/18/20 —   0.104% plus 1 Day Euribor rate  — Annually   (12,972)
  EUR  27,544,000  17,396   (242)   5/4/22 0.21% — Annually   6 month EUR-EURIBOR-REUTERS  — Semiannually   (95,841)
  EUR  7,933,000  30,857 (E) (67)   10/27/27 1.61375% — Annually   6 month EUR-EURIBOR-REUTERS  — Semiannually   (30,924)
  EUR  14,264,000  25,907   (140)   1/24/23 6 month EUR-EURIBOR-REUTERS — Semiannually   0.378%  — Annually   56,792
  EUR  3,664,000  2,929   (59)   1/24/28 0.976% — Annually   6 month EUR-EURIBOR-REUTERS  — Semiannually   (18,234)
  EUR  17,710,000  17,024   (81)   1/24/20 —   0.14% plus 6 month EUR-EURIBOR-REUTERS  — Semiannually   (25,165)
  EUR  17,815,000  22,180   (84)   1/30/20 —   0.1249% plus 6 month EUR-EURIBOR-REUTERS  — Semiannually   (30,760)
  EUR  14,334,000  76,890   (144)   1/30/23 6 month EUR-EURIBOR-REUTERS — Semiannually   0.4419%  — Annually   108,881
  EUR  3,673,000  11,980   (61)   1/30/28 0.9987% — Annually   6 month EUR-EURIBOR-REUTERS  — Semiannually   (26,644)
  EUR  36,297,700  283,337   (420)   3/21/23 0.503% — Annually   6 month EUR-EURIBOR-REUTERS  — Semiannually   (322,526)
  EUR  7,207,000  88,285 (E) (99)   2/27/28 1.815% — Annually   6 month EUR-EURIBOR-REUTERS  — Semiannually   (88,384)
  EUR  69,119,000  504,231 (E) (347,221)   6/20/23 6 month EUR-EURIBOR-REUTERS — Semiannually   0.55%  — Annually   157,010
  EUR  75,322,000  1,115,701 (E) (327,689)   6/20/28 6 month EUR-EURIBOR-REUTERS — Semiannually   1.15%  — Annually   788,012
  GBP  3,856,000  49,964 (E) (72)   1/19/32 1.912% — Semiannually   6 month GBP-LIBOR-BBA  — Semiannually   (50,036)
  GBP  17,538,000  55,412   (54)   9/15/19 6 month GBP-LIBOR-BBA — Semiannually   0.766%  — Semiannually   (53,747)
  GBP  3,508,000  17,343 (E) (43)   9/22/32 1.863% — Semiannually   6 month GBP-LIBOR-BBA  — Semiannually   (17,386)
  GBP  17,538,000  52,201   21,775    12/20/19 6 month GBP-LIBOR-BBA — Semiannually   0.85%  — Semiannually   (5,930)
  GBP  11,936,000  103,918 (E) (69,297)   6/20/28 6 month GBP-LIBOR-BBA — Semiannually   1.65%  — Semiannually   34,622
  GBP  38,524,000  186,952 (E) (82,581)   6/20/23 6 month GBP-LIBOR-BBA — Semiannually   1.45%  — Semiannually   104,372
  HKD  646,533,000  47,778   (157)   4/23/19 1.955% — Quarterly   3 month HKD-HIBOR-HKAB  — Quarterly   (65,182)
  HKD  161,879,000  11,220   (50)   4/24/19 1.965% — Quarterly   3 month HKD-HIBOR-HKAB  — Quarterly   (15,088)
  HKD  647,517,000  45,870   (198)   4/24/19 1.96625% — Quarterly   3 month HKD-HIBOR-HKAB  — Quarterly   (61,360)
  HKD  808,986,000  43,188   (248)   4/25/19 1.972% — Quarterly   3 month HKD-HIBOR-HKAB  — Quarterly   (51,107)
  HKD  323,758,000  4,868   (99)   4/27/19 1.96% — Quarterly   3 month HKD-HIBOR-HKAB  — Quarterly   (9,307)
  INR  141,940,000  8,122   —    12/22/22 6.715% — Semiannually   INR-FBIL-MIBOR-OIS-Compound  — Semiannually   1,498
  JPY  794,000,000  8,294   (28)   12/19/22 6 month JPY-LIBOR-BBA — Semiannually   0.09%  — Semiannually   (6,429)
  JPY  398,000,000  3,353   (26)   12/19/27 0.29% — Semiannually   6 month JPY-LIBOR-BBA  — Semiannually   (293)
  JPY  794,000,000  6,130   (58)   1/15/23 6 month JPY-LIBOR-BBA — Semiannually   0.135%  — Semiannually   8,404
  JPY  398,000,000  21,815   (47)   1/15/28 0.365% — Semiannually   6 month JPY-LIBOR-BBA  — Semiannually   (25,502)
  JPY  794,000,000  10,539   (60)   2/16/23 6 month JPY-LIBOR-BBA — Semiannually   0.148%  — Semiannually   12,756
  JPY  398,000,000  21,364   (49)   2/16/28 0.366% — Semiannually   6 month JPY-LIBOR-BBA  — Semiannually   (24,201)
  MXN  84,723,000  398,653   —    1/1/26 1 month MXN-TIIE-BANXICO — 28 Days   6.16%  — 28 Days   (404,262)
  MXN  90,430,000  233,110   —    10/6/21 1 month MXN-TIIE-BANXICO — 28 Days   5.93%  — 28 Days   (234,642)
  MXN  21,470,000  31,501   (14)   12/24/26 8.12% — 28 Days   1 month MXN-TIIE-BANXICO  — 28 Days   (31,560)
  MXN  25,900,000  45,133   (17)   1/7/27 8.20% — 28 Days   1 month MXN-TIIE-BANXICO  — 28 Days   (45,419)
  NOK  264,448,000  95,167 (E) 6,200    6/20/23 2.00% — Annually   6 month NOK-NIBOR-NIBR  — Semiannually   (88,967)
  NOK  99,135,000  131,582 (E) (15,589)   6/20/28 6 month NOK-NIBOR-NIBR — Semiannually   2.40%  — Annually   115,993
  NZD  10,245,000  8,852 (E) 40,248    6/20/23 2.80% — Semiannually   3 month NZD-BBR-FRA  — Quarterly   31,396
  NZD  33,023,000  115,455 (E) (83,065)   6/20/28 3 month NZD-BBR-FRA — Quarterly   3.30%  — Semiannually   32,390
  SEK  178,598,000  7,893   (48)   11/10/19 —   0.245% plus 3 month SEK-STIBOR-SIDE  — Quarterly   (3,491)
  SEK  36,591,000  28,920   (31)   11/10/27 3 month SEK-STIBOR-SIDE — Quarterly   1.125%  — Annually   (1,040)
  SEK  178,598,000  7,587   (48)   11/10/19 —   0.246% plus 3 month SEK-STIBOR-SIDE  — Quarterly   (3,082)
  SEK  36,591,000  27,007   (31)   11/10/27 3 month SEK-STIBOR-SIDE — Quarterly   1.13%  — Annually   979
  SEK  178,598,000  14,909   (48)   11/13/19 —   0.2225% plus 3 month SEK-STIBOR-SIDE  — Quarterly   (13,131)
  SEK  36,591,000  16,075   (31)   11/13/27 3 month SEK-STIBOR-SIDE — Quarterly   1.16%  — Annually   12,114
  SEK  36,591,000  17,032   (31)   11/13/27 3 month SEK-STIBOR-SIDE — Quarterly   1.1575%  — Annually   11,105
  SEK  178,598,000  12,564   (48)   11/13/19 —   0.23% plus 3 month SEK-STIBOR-SIDE  — Quarterly   (10,028)
  SEK  36,624,000  43,217   (60)   1/24/28 3 month SEK-STIBOR-SIDE — Quarterly   1.3325%  — Annually   59,448
  SEK  141,157,000  104,828   (141)   1/24/23 0.6075% — Annually   3 month SEK-STIBOR-SIDE  — Quarterly   (134,223)
  SEK  174,483,000  46,387   (81)   1/24/20 0.0925% plus 3 month SEK-STIBOR-SIDE — Quarterly   —  42,436
  SEK  171,857,000  47,769   (82)   1/30/20 0.085% plus  3 month SEK-STIBOR-SIDE — Quarterly   —  43,441
  SEK  139,150,000  147,673   (143)   1/30/23 0.66875% — Annually   3 month SEK-STIBOR-SIDE  — Quarterly   (176,570)
  SEK  36,240,000  59,773   (61)   1/30/28 3 month SEK-STIBOR-SIDE — Quarterly   1.3775%  — Annually   75,085
  SEK  52,475,000  62,736   (54)   2/5/23 0.6975% — Annually   3 month SEK-STIBOR-SIDE  — Quarterly   (81,285)
  SEK  116,527,000  146,792 (E) 25,378    6/20/28 3 month SEK-STIBOR-SIDE — Quarterly   1.40%  — Annually   172,170
  SEK  140,365,000  98,309 (E) 32,050    6/20/23 0.70% — Annually   3 month SEK-STIBOR-SIDE  — Quarterly   (66,260)
  ZAR  91,635,000  96,362   (15)   10/31/20 3 month ZAR-JIBAR-SAFEX — Quarterly   7.48%  — Quarterly   96,418
  ZAR  35,250,000  130,701   (18)   10/31/27 8.365% — Quarterly   3 month ZAR-JIBAR-SAFEX  — Quarterly   (130,815)
  ZAR  76,590,000  18,697   (40)   1/25/21 3 month ZAR-JIBAR-SAFEX — Quarterly   7.06%  — Quarterly   18,820
  ZAR  29,335,000  35,343   (33)   1/25/28 7.92% — Quarterly   3 month ZAR-JIBAR-SAFEX  — Quarterly   (35,774)
  Total       $(732,948)            $3,438,626
                       
(E)  Extended effective date.












  OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/18 (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
     $141,183  $142,025 $—   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  $1,965
     214,285  212,954 —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly  (1,107)
     121,097  122,460 —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  2,696
     151,376  150,435 —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly  (782)
     16,921  17,022 —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  288
     271,274  270,762 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly  (118)
     1,263,806  1,255,954 —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly  (6,528)
     1,013,463  1,008,509 —   1/12/40 4.50% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly  (3,685)
     608,300  612,126 —   1/12/39 (6.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly  (4,941)
     185,716  186,903 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  3,007
     111,797  112,512 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  1,810
     141,779  142,685 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  2,296
     250,480  251,988 —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  4,268
     35,943  36,160 —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  612
     533,980  541,281 —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  (12,372)
     207,362  209,142 —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  3,326
     719,088  725,535 —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (12,429)
     2,010,561  2,000,373 —   1/12/40 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  (7,282)
     17,112,537  17,028,422 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  (59,435)
     10,478,261  10,459,858 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (2,201)
                     
  Citibank, N.A.
     1,007,215  1,002,264 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  (3,499)
     2,291,730  2,280,465 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  (7,961)
     350,062  348,341 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  (1,216)
                     
  Credit Suisse International
     763,910  760,155 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  (2,654)
     770,690  769,336 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (162)
     296,401  298,296 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  4,799
     326,918  331,388 —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  (7,575)
     358,815  363,721 —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  (8,314)
     316,529  318,553 —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly  5,125
     184,797  186,454 —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  3,194
     14,811  14,943 —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  256
     14,666  14,770 —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  212
     128,681  129,591 —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  1,857
     244,076  246,171 —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  3,915
     67,260  67,838 —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  1,079
     38,476  38,807 —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  617
     1,053,478  1,072,302 —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  27,191
     377,769  384,520 —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  9,751
     366,973  373,736 —   1/12/45 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  9,470
     643,688  649,459 —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (11,125)
                     
  Deutsche Bank AG
     770,690  769,336 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (162)
                     
  Goldman Sachs International
     176,729  178,718 —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  3,934
     78,801  79,275 —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  1,343
     350,298  352,387 —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  4,875
     350,298  352,387 —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  4,875
     488,155  487,298 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (103)
     183,386  183,064 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (39)
     84,843  85,798 —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  1,889
     12,760  12,904 —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  284
     198,835  200,708 —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  3,621
     85,361  86,322 —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  1,900
     170,713  172,635 —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  3,801
     5,669  5,703 —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  97
     344,113  343,509 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (72)
     668,766  667,592 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (140)
     412,897  412,172 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (87)
     31,637  31,581 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (7)
     84,391  84,242 —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  (18)
     797,334  802,089 —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  11,097
     690,022  694,138 —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  9,604
     511,812  518,810 —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  (11,859)
     621,877  626,275 —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  8,976
     492,605  496,089 —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  7,110
     259,963  261,802 —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  3,752
     374,868  381,567 —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  9,676
     417,856  421,443 —   1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (6,703)
     1,313,167  1,336,632 —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  33,894
     454,376  460,526 —   1/12/44 (3.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly  (9,362)
     1,135,278  1,145,456 —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (19,622)
                     
  JPMorgan Chase Bank N.A.
     994,288  1,003,202 —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  17,185
     576,896  582,068 —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  9,971
     191,770  193,489 —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  3,314
     535,493  540,294 —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  9,255
     511,812  518,810 —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  (11,859)
                     
  JPMorgan Securities LLC
     616,639  623,855 —   1/12/44 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  12,017
     139,318  140,514 —   1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (2,235)
     2,329,135  2,343,026 —   1/12/42 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (32,417)
     685,507  689,890 —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly  (11,100)
     1,517,792  1,528,526 —   1/12/44 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (21,907)
   Upfront premium received  —      Unrealized appreciation   250,204
   Upfront premium (paid)  —      Unrealized (depreciation)   (281,078)
      Total $—         Total  $(30,874)












  CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/18 (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  $275,322 $—    7/15/27 (1.40%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  $275,322
  EUR  17,671,000  297,131 —    7/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (297,131)
  EUR  6,627,000  105,084 (86)   8/15/27 (1.42%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  104,998
  EUR  6,627,000  132,614 (160)   8/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (132,774)
  EUR  11,045,000  164,550 (142)   8/15/27 (1.4275%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  164,408
  EUR  11,045,000  210,419 (264)   8/15/37 1.7138% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (210,686)
  EUR  8,836,000  117,854 (114)   9/15/27 (1.4475%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  117,740
  EUR  8,836,000  132,078 (214)   9/15/37 1.735% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (132,291)
  GBP  5,308,000  19,811 (74)   2/15/23 (3.19%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (19,883)
  GBP  5,308,000  60,557 (124)   2/15/28 3.34% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  60,433
  GBP  6,900,000  55,153 (115)   3/15/23 (3.325%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (55,268)
  GBP  6,900,000  104,568 (160)   3/15/28 3.4025% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  104,408
  GBP  2,477,000  14,261 (35)   3/15/23 (3.295%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (14,296)
  GBP  2,477,000  31,424 (58)   3/15/28 3.3875% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  31,366
  GBP  4,954,000  10,094 (70)   3/15/23 (3.245%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (10,164)
  GBP  4,954,000  11,935 (70)   3/15/23 (3.25%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (12,006)
  GBP  9,908,000  48,423 (234)   3/15/28 3.34% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  48,190
     $7,142,000  136,826 —    7/3/22 (1.9225%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  136,826
     7,142,000  201,190 —    7/3/27 2.085% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (201,190)
     8,217,000  171,259 —    7/5/22 (1.89%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  171,259
     8,217,000  259,731 —    7/5/27 2.05% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (259,731)
     7,952,000  97,364 (49)   12/21/22 (2.068%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  97,316
     7,952,000  145,402 (86)   12/21/27 2.1939% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (145,488)
     7,952,000  100,068 (49)   12/6/22 (2.05%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  100,019
     7,952,000  143,931 (86)   12/6/27 2.19% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (144,017)
  Total     $(2,190)            $(222,640)












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/18 (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  $18,235   5/11/63   300 bp — Monthly  $(8,183)
  CMBX NA BBB-.6 Index BBB-/P 19,586  325,000  40,593   5/11/63   300 bp — Monthly  (20,844)
  CMBX NA BBB-.6 Index BBB-/P 40,127  650,000  81,185   5/11/63   300 bp — Monthly  (40,733)
  CMBX NA BBB-.6 Index BBB-/P 38,247  671,000  83,808   5/11/63   300 bp — Monthly  (45,225)
                     
  Citigroup Global Markets, Inc.
  CMBX NA BBB-.6 Index BBB-/P 1,141  8,000  999   5/11/63   300 bp — Monthly  146
  CMBX NA BBB-.6 Index BBB-/P 40,886  288,000  35,971   5/11/63   300 bp — Monthly  5,059
  CMBX NA BB.6 Index BB/P 317,017  1,288,000  275,117   5/11/63   500 bp — Monthly  42,974
  CMBX NA BBB-.6 Index BBB-/P 64,272  473,000  59,078   5/11/63   300 bp — Monthly  5,431
  CMBX NA BBB-.6 Index BBB-/P 218,669  1,489,000  185,976   5/11/63   300 bp — Monthly  33,438
                     
  Credit Suisse International
  CMBX NA BBB-.6 Index BBB-/P 58,297  376,000  46,962   5/11/63   300 bp — Monthly  11,523
  CMBX NA BBB-.6 Index BBB-/P 81,330  582,000  72,692   5/11/63   300 bp — Monthly  8,929
  CMBX NA BBB-.6 Index BBB-/P 85,335  585,000  73,067   5/11/63   300 bp — Monthly  12,561
  CMBX NA BBB-.6 Index BBB-/P 170,816  1,171,000  146,258   5/11/63   300 bp — Monthly  25,144
  CMBX NA BBB-.6 Index BBB-/P 35,881  212,000  26,479   5/11/63   300 bp — Monthly  9,508
  CMBX NA BBB-.6 Index BBB-/P 142,278  943,000  117,781   5/11/63   300 bp — Monthly  24,969
  CMBX NA BBB-.6 Index BBB-/P 124,926  1,090,000  136,141   5/11/63   300 bp — Monthly  (10,670)
  CMBX NA BBB-.6 Index BBB-/P 151,088  1,317,000  164,493   5/11/63   300 bp — Monthly  (12,747)
  CMBX NA BBB-.6 Index BBB-/P 143,661  1,359,000  169,739   5/11/63   300 bp — Monthly  (25,399)
  CMBX NA BBB-.6 Index BBB-/P 185,042  1,710,000  213,579   5/11/63   300 bp — Monthly  (27,682)
  CMBX NA BBB-.6 Index BBB-/P 355,922  2,359,000  294,639   5/11/63   300 bp — Monthly  62,463
  CMBX NA BBB-.6 Index BBB-/P 930,638  8,704,000  1,087,130   5/11/63   300 bp — Monthly  (151,792)
  CMBX NA BBB-.7 Index BBB-/P 27,745  351,000  32,397   1/17/47   300 bp — Monthly  (4,477)
  CMBX NA BBB-.7 Index BBB-/P 143,170  2,180,000  201,214   1/17/47   300 bp — Monthly  (56,954)
  CMBX NA BBB-.7 Index BBB-/P 1,652,884  22,362,000  2,064,013   1/17/47   300 bp — Monthly  (399,947)
                     
  Goldman Sachs International
  CMBX NA BBB-.6 Index BBB-/P 14,630  88,000  10,991   5/11/63   300 bp — Monthly  3,683
  CMBX NA BBB-.6 Index BBB-/P 17,848  206,000  25,729   5/11/63   300 bp — Monthly  (7,778)
  CMBX NA BBB-.6 Index BBB-/P 24,541  223,000  27,853   5/11/63   300 bp — Monthly  (3,201)
  CMBX NA BBB-.6 Index BBB-/P 17,962  227,000  28,352   5/11/63   300 bp — Monthly  (10,277)
  CMBX NA BBB-.6 Index BBB-/P 27,421  245,000  30,601   5/11/63   300 bp — Monthly  (3,057)
  CMBX NA BBB-.6 Index BBB-/P 24,979  296,000  36,970   5/11/63   300 bp — Monthly  (11,844)
  CMBX NA BBB-.6 Index BBB-/P 58,232  389,000  48,586   5/11/63   300 bp — Monthly  9,841
  CMBX NA BBB-.6 Index BBB-/P 57,641  392,000  48,961   5/11/63   300 bp — Monthly  8,876
  CMBX NA BBB-.6 Index BBB-/P 44,904  403,000  50,335   5/11/63   300 bp — Monthly  (5,229)
  CMBX NA BBB-.6 Index BBB-/P 34,559  417,000  52,083   5/11/63   300 bp — Monthly  (17,315)
  CMBX NA BBB-.6 Index BBB-/P 45,403  418,000  52,208   5/11/63   300 bp — Monthly  (6,596)
  CMBX NA BBB-.6 Index BBB-/P 45,228  418,000  52,208   5/11/63   300 bp — Monthly  (6,771)
  CMBX NA BBB-.6 Index BBB-/P 37,046  439,000  54,831   5/11/63   300 bp — Monthly  (17,565)
  CMBX NA BBB-.6 Index BBB-/P 30,861  453,000  56,580   5/11/63   300 bp — Monthly  (25,492)
  CMBX NA BBB-.6 Index BBB-/P 51,553  462,000  57,704   5/11/63   300 bp — Monthly  (5,920)
  CMBX NA BBB-.6 Index BBB-/P 51,553  462,000  57,704   5/11/63   300 bp — Monthly  (5,920)
  CMBX NA BBB-.6 Index BBB-/P 73,722  531,000  66,322   5/11/63   300 bp — Monthly  7,666
  CMBX NA BBB-.6 Index BBB-/P 48,875  566,000  70,693   5/11/63   300 bp — Monthly  (21,536)
  CMBX NA BBB-.6 Index BBB-/P 86,808  576,000  71,942   5/11/63   300 bp — Monthly  15,154
  CMBX NA BBB-.6 Index BBB-/P 31,646  638,000  79,686   5/11/63   300 bp — Monthly  (47,721)
  CMBX NA BBB-.6 Index BBB-/P 31,103  638,000  79,686   5/11/63   300 bp — Monthly  (48,265)
  CMBX NA BBB-.6 Index BBB-/P 34,009  652,000  81,435   5/11/63   300 bp — Monthly  (47,100)
  CMBX NA BBB-.6 Index BBB-/P 84,497  694,000  86,681   5/11/63   300 bp — Monthly  (1,837)
  CMBX NA BBB-.6 Index BBB-/P 76,544  707,000  88,304   5/11/63   300 bp — Monthly  (11,407)
  CMBX NA BBB-.6 Index BBB-/P 69,759  928,000  115,907   5/11/63   300 bp — Monthly  (45,684)
  CMBX NA BBB-.6 Index BBB-/P 134,739  961,000  120,029   5/11/63   300 bp — Monthly  15,191
  CMBX NA BBB-.6 Index BBB-/P 124,607  1,193,000  149,006   5/11/63   300 bp — Monthly  (23,802)
  CMBX NA BBB-.6 Index BBB-/P 155,880  1,414,000  176,609   5/11/63   300 bp — Monthly  (20,022)
  CMBX NA BBB-.6 Index BBB-/P 184,707  1,551,000  193,720   5/11/63   300 bp — Monthly  (8,238)
  CMBX NA BBB-.6 Index BBB-/P 93,617  1,935,000  241,682   5/11/63   300 bp — Monthly  (147,097)
  CMBX NA BBB-.6 Index BBB-/P 320,704  2,144,000  267,786   5/11/63   300 bp — Monthly  53,991
  CMBX NA BBB-.7 Index BBB-/P 104,272  1,496,000  138,081   1/17/47   300 bp — Monthly  (33,061)
  CMBX NA BBB-.7 Index BBB-/P 260,919  3,530,000  325,819   1/17/47   300 bp — Monthly  (63,135)
                     
  JPMorgan Securities LLC
  CMBX NA BBB-.6 Index BBB-/P 85,236  585,000  73,067   5/11/63   300 bp — Monthly  12,462
  CMBX NA BBB-.6 Index BBB-/P 173,296  1,168,000  145,883   5/11/63   300 bp — Monthly  27,997
  CMBX NA BBB-.6 Index BBB-/P 7,279  46,000  5,745   5/11/63   300 bp — Monthly  1,557
  CMBX NA BBB-.6 Index BBB-/P 7,312  46,000  5,745   5/11/63   300 bp — Monthly  1,590
  CMBX NA BBB-.6 Index BBB-/P 14,477  92,000  11,491   5/11/63   300 bp — Monthly  3,032
  CMBX NA BBB-.6 Index BBB-/P 15,040  132,000  16,487   5/11/63   300 bp — Monthly  (1,380)
  CMBX NA BBB-.6 Index BBB-/P 20,772  139,000  17,361   5/11/63   300 bp — Monthly  3,480
  CMBX NA BBB-.6 Index BBB-/P 36,031  323,000  40,343   5/11/63   300 bp — Monthly  (4,150)
  CMBX NA BBB-.6 Index BBB-/P 36,027  329,000  41,092   5/11/63   300 bp — Monthly  (4,901)
  CMBX NA BBB-.6 Index BBB-/P 55,360  374,000  46,713   5/11/63   300 bp — Monthly  8,834
  CMBX NA BBB-.6 Index BBB-/P 58,890  379,000  47,337   5/11/63   300 bp — Monthly  11,742
  CMBX NA BBB-.6 Index BBB-/P 60,685  411,000  51,334   5/11/63   300 bp — Monthly  9,556
  CMBX NA BBB-.6 Index BBB-/P 56,672  432,000  53,957   5/11/63   300 bp — Monthly  2,932
  CMBX NA BBB-.6 Index BBB-/P 58,915  456,000  56,954   5/11/63   300 bp — Monthly  2,189
  CMBX NA BBB-.6 Index BBB-/P 60,399  464,000  57,954   5/11/63   300 bp — Monthly  2,677
  CMBX NA BBB-.6 Index BBB-/P 82,992  484,000  60,452   5/11/63   300 bp — Monthly  22,782
  CMBX NA BBB-.6 Index BBB-/P 82,311  484,000  60,452   5/11/63   300 bp — Monthly  22,101
  CMBX NA BBB-.6 Index BBB-/P 81,912  555,000  69,320   5/11/63   300 bp — Monthly  12,870
  CMBX NA BBB-.6 Index BBB-/P 71,979  646,000  80,685   5/11/63   300 bp — Monthly  (8,384)
  CMBX NA BBB-.6 Index BBB-/P 71,792  646,000  80,685   5/11/63   300 bp — Monthly  (8,571)
  CMBX NA BBB-.6 Index BBB-/P 79,783  703,000  87,805   5/11/63   300 bp — Monthly  (7,670)
  CMBX NA BBB-.6 Index BBB-/P 78,962  704,000  87,930   5/11/63   300 bp — Monthly  (8,616)
  CMBX NA BBB-.6 Index BBB-/P 77,653  707,000  88,304   5/11/63   300 bp — Monthly  (10,297)
  CMBX NA BBB-.6 Index BBB-/P 102,206  725,000  90,553   5/11/63   300 bp — Monthly  12,016
  CMBX NA BBB-.6 Index BBB-/P 120,499  757,000  94,549   5/11/63   300 bp — Monthly  26,328
  CMBX NA BBB-.6 Index BBB-/P 98,087  830,000  103,667   5/11/63   300 bp — Monthly  (5,165)
  CMBX NA BBB-.6 Index BBB-/P 99,018  892,000  111,411   5/11/63   300 bp — Monthly  (11,947)
  CMBX NA BBB-.6 Index BBB-/P 121,754  927,000  115,782   5/11/63   300 bp — Monthly  6,436
  CMBX NA BBB-.6 Index BBB-/P 156,038  1,029,000  128,522   5/11/63   300 bp — Monthly  28,030
  CMBX NA BBB-.6 Index BBB-/P 110,130  1,047,000  130,770   5/11/63   300 bp — Monthly  (20,117)
  CMBX NA BBB-.6 Index BBB-/P 116,769  1,061,000  132,519   5/11/63   300 bp — Monthly  (15,219)
  CMBX NA BBB-.6 Index BBB-/P 125,112  1,193,000  149,006   5/11/63   300 bp — Monthly  (23,297)
  CMBX NA BBB-.6 Index BBB-/P 142,215  1,291,000  161,246   5/11/63   300 bp — Monthly  (18,385)
  CMBX NA BBB-.6 Index BBB-/P 178,079  1,487,000  185,726   5/11/63   300 bp — Monthly  (6,534)
  CMBX NA BBB-.6 Index BBB-/P 195,139  1,768,000  220,823   5/11/63   300 bp — Monthly  (24,800)
  CMBX NA BBB-.6 Index BBB-/P 268,987  1,771,000  221,198   5/11/63   300 bp — Monthly  48,674
  CMBX NA BBB-.6 Index BBB-/P 188,751  1,794,000  224,071   5/11/63   300 bp — Monthly  (34,423)
  CMBX NA BBB-.6 Index BBB-/P 265,627  1,917,000  239,433   5/11/63   300 bp — Monthly  27,153
  CMBX NA BBB-.6 Index BBB-/P 312,079  2,063,000  257,669   5/11/63   300 bp — Monthly  55,442
  CMBX NA BBB-.6 Index BBB-/P 525,740  5,013,000  626,124   5/11/63   300 bp — Monthly  (97,877)
  CMBX NA BBB-.6 Index BBB-/P 563,902  5,381,000  672,087   5/11/63   300 bp — Monthly  (105,495)
                     
  Merrill Lynch International
  CMBX NA BBB-.6 Index BBB-/P 134,029  914,000  114,159   5/11/63   300 bp — Monthly  20,328
                     
  Morgan Stanley & Co. International PLC
  CMBX NA BBB-.6 Index BBB-/P 32,411  230,000  28,727   5/11/63   300 bp — Monthly  3,799
  CMBX NA BBB-.6 Index BBB-/P 86,440  584,000  72,942   5/11/63   300 bp — Monthly  13,790
  CMBX NA BBB-.6 Index BBB-/P 86,313  584,000  72,942   5/11/63   300 bp — Monthly  13,663
  CMBX NA BBB-.6 Index BBB-/P 85,231  585,000  73,067   5/11/63   300 bp — Monthly  12,457
  CMBX NA BBB-.6 Index BBB-/P 173,042  1,168,000  145,883   5/11/63   300 bp — Monthly  27,743
  CMBX NA BBB-.6 Index BBB-/P 172,880  1,168,000  145,883   5/11/63   300 bp — Monthly  27,581
  CMBX NA BBB-.6 Index BBB-/P 171,233  1,171,000  146,258   5/11/63   300 bp — Monthly  25,561
  CMBX NA BBB-.6 Index BBB-/P 212,053  1,533,000  191,472   5/11/63   300 bp — Monthly  21,347
  CMBX NA BBB-.6 Index BBB-/P 258,148  1,753,000  218,950   5/11/63   300 bp — Monthly  40,074
  CMBX NA BBB-.6 Index BBB-/P 255,855  1,756,000  219,324   5/11/63   300 bp — Monthly  37,408
  CMBX NA BBB-.6 Index BBB-/P 344,982  2,337,000  291,891   5/11/63   300 bp — Monthly  54,259
  CMBX NA BB.6 Index BB/P 101,667  414,000  88,430   5/11/63   500 bp — Monthly  13,581
  CMBX NA BB.6 Index BB/P 204,028  828,000  176,861   5/11/63   500 bp — Monthly  27,857
  CMBX NA BBB-.6 Index BBB-/P 49,325  291,000  36,346   5/11/63   300 bp — Monthly  13,124
  CMBX NA BBB-.6 Index BBB-/P 64,507  433,000  54,082   5/11/63   300 bp — Monthly  10,642
   Upfront premium received    15,035,758        Unrealized appreciation   1,069,641
   Upfront premium (paid)    —        Unrealized (depreciation)   (1,867,751)
  Total   $15,035,758           Total  $(798,110)
                     
*  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 April 30, 2018. 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 4/30/18 (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 BB.7 Index $(259,945)    $1,288,000  $207,110   1/17/47   (500 bp) — Monthly  $(53,908)
  CMBX NA BB.7 Index (42,091)    268,000  43,094   1/17/47   (500 bp) — Monthly  780
  CMBX NA BB.7 Index (43,761)    268,000  43,094   1/17/47   (500 bp) — Monthly  (890)
                     
  Credit Suisse International
  CMBX NA BB.7 Index (43,332)    2,455,000  524,388   5/11/63   (500 bp) — Monthly  479,010
  CMBX NA BB.7 Index (507,935)    3,088,000  496,550   1/17/47   (500 bp) — Monthly  (13,958)
  CMBX NA BB.7 Index (99,427)    539,000  86,671   1/17/47   (500 bp) — Monthly  (13,205)
                     
  Goldman Sachs International
  CMBX NA BB.6 Index (104,038)    1,017,000  217,231   5/11/63   (500 bp) — Monthly  112,345
  CMBX NA BB.7 Index (71,729)    474,000  76,219   1/17/47   (500 bp) — Monthly  4,095
  CMBX NA BB.6 Index (19,578)    134,000  28,622   5/11/63   (500 bp) — Monthly  8,932
  CMBX NA BB.7 Index (135,933)    804,000  129,283   1/17/47   (500 bp) — Monthly  (7,319)
  CMBX NA BB.7 Index (84,052)    513,000  82,490   1/17/47   (500 bp) — Monthly  (1,989)
  CMBX NA BB.7 Index (57,666)    284,000  45,667   1/17/47   (500 bp) — Monthly  (12,236)
  CMBX NA BB.7 Index (31,765)    174,000  27,979   1/17/47   (500 bp) — Monthly  (3,931)
                     
  JPMorgan Securities LLC
  CMBX NA BB.7 Index (34,507)    178,000  28,622   1/17/47   (500 bp) — Monthly  (6,033)
  CMBX NA BB.6 Index (84,642)    602,000  128,587   5/11/63   (500 bp) — Monthly  43,444
  CMBX NA BB.6 Index (64,085)    442,000  94,411   5/11/63   (500 bp) — Monthly  29,958
  CMBX NA BB.6 Index (26,464)    184,000  39,302   5/11/63   (500 bp) — Monthly  12,685
  CMBX NA BB.6 Index (133)    1,000  214   5/11/63   (500 bp) — Monthly  80
  CMBX NA BB.7 Index (216,992)    1,389,000  223,351   1/17/47   (500 bp) — Monthly  5,202
  CMBX NA BB.7 Index (153,231)    932,000  149,866   1/17/47   (500 bp) — Monthly  (4,142)
  CMBX NA BB.7 Index (146,528)    917,000  147,454   1/17/47   (500 bp) — Monthly  162
  CMBX NA BB.7 Index (117,583)    724,000  116,419   1/17/47   (500 bp) — Monthly  (1,767)
  CMBX NA BB.7 Index (84,373)    539,000  86,671   1/17/47   (500 bp) — Monthly  1,849
  CMBX NA BB.7 Index (73,546)    378,000  60,782   1/17/47   (500 bp) — Monthly  (13,079)
  CMBX NA BB.7 Index (55,615)    309,000  49,687   1/17/47   (500 bp) — Monthly  (6,185)
  CMBX NA BB.7 Index (42,091)    268,000  43,094   1/17/47   (500 bp) — Monthly  780
  CMBX NA BB.7 Index (45,479)    229,000  36,823   1/17/47   (500 bp) — Monthly  (8,846)
  CMBX NA BB.7 Index (34,479)    227,000  36,502   1/17/47   (500 bp) — Monthly  1,834
  CMBX NA BB.7 Index (32,108)    174,000  27,979   1/17/47   (500 bp) — Monthly  (4,274)
  CMBX NA BB.7 Index (27,140)    138,000  22,190   1/17/47   (500 bp) — Monthly  (5,064)
  CMBX NA BBB-.7 Index (123,050)    1,336,000  123,313   1/17/47   (300 bp) — Monthly  (405)
  CMBX NA BBB-.7 Index (93,842)    1,128,000  104,114   1/17/47   (300 bp) — Monthly  9,709
  CMBX NA BBB-.7 Index (80,904)    725,000  66,918   1/17/47   (300 bp) — Monthly  (14,349)
  CMBX NA BBB-.7 Index (39,630)    501,000  46,242   1/17/47   (300 bp) — Monthly  6,362
  CMBX NA BBB-.7 Index (39,703)    379,000  34,982   1/17/47   (300 bp) — Monthly  (4,911)
  CMBX NA BBB-.7 Index (15,493)    288,000  26,582   1/17/47   (300 bp) — Monthly  10,945
                     
  Merrill Lynch International
  CMBX NA BB.7 Index (331,175)    1,909,000  306,967   1/17/47   (500 bp) — Monthly  (25,798)
                     
  Morgan Stanley & Co. International PLC
  CMBX NA BBB-.7 Index (117,174)    1,150,000  106,145   1/17/47   (300 bp) — Monthly  (11,604)
  CMBX NA BB.7 Index (166,515)    828,000  133,142   1/17/47   (500 bp) — Monthly  (34,063)
  CMBX NA BB.7 Index (142,886)    741,000  119,153   1/17/47   (500 bp) — Monthly  (24,351)
  CMBX NA BB.7 Index (131,385)    651,000  104,681   1/17/47   (500 bp) — Monthly  (27,247)
  CMBX NA BB.7 Index (57,259)    306,000  49,205   1/17/47   (500 bp) — Monthly  (8,309)
   Upfront premium received  —           Unrealized appreciation   728,172
   Upfront premium (paid)  (4,079,264)          Unrealized (depreciation)   (307,863)
  Total $(4,079,264)             Total  $420,309
                     
*  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 4/30/18 (Unaudited)
   
  Referenced debt* Upfront premium received (paid)**   Notional amount Value   Termination date   Payments (paid) by fund Unrealized depreciation
                     
  NA HY Series 30 Index  $1,043,312    $16,720,000  $1,156,439   6/20/23   (500 bp) — Quarterly  $(192,083)
  Total  $1,043,312                $(192,083)
                     
*  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
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
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
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, 2017 through April 30, 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 $602,177,121.
(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 $148,352, 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 7/31/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 4/30/18
Short-term investments
Putnam Short Term Investment Fund* $23,582,059 $184,910,707 $157,950,099 $320,677 $50,542,667
Total Short-term investments $23,582,059 $184,910,707 $157,950,099 $320,677 $50,542,667
* 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 $338,326.
(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 $16,045,719.
(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 $19,029,665.
(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 $142,983,065 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 85.2%
Argentina 2.9
Greece 2.2
Brazil 2.2
Canada 1.2
Mexico 1.0
Indonesia 0.8
Russia 0.7
Luxembourg 0.5
United Kingdom 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 to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
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, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded 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 to hedge credit risk, for gaining liquid exposure to individual names, to hedge 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 $156,602 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 $14,940,283 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $16,045,719 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*:
    Consumer cyclicals $102,014 $— $14,874
    Energy 252,554 23,993 13,689
    Technology 1,077,295 — —
    Transportation — 11,890 —
    Utilities and power — 10,958 —
Total common stocks 1,431,863 46,841 28,563
Asset-backed securities — 748,748 —
Convertible bonds and notes — 6,069,773 —
Convertible preferred stocks — 35,312 —
Corporate bonds and notes — 188,846,440 5
Foreign government and agency bonds and notes — 53,257,834 —
Mortgage-backed securities — 256,230,748 —
Preferred stocks 432,486 — —
Purchased options outstanding — 1,312,332 —
Purchased swap options outstanding — 12,236,760 —
Senior loans — 10,066,986 —
U.S. government and agency mortgage obligations — 180,709,342 —
U.S. treasury obligations — 112,655 —
Warrants 3,703 — —
Short-term investments 51,626,667 45,987,883 —
Totals by level $53,494,719 $755,661,654 $28,568



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(234,045) $—
Futures contracts (47,166) — —
Written options outstanding — (1,498,500) —
Written swap options outstanding — (13,725,629) —
Forward premium swap option contracts — 189,394 —
TBA sale commitments — (84,399,066) —
Interest rate swap contracts — 4,167,927 —
Total return swap contracts — (251,324) —
Credit default contracts — (12,569,690) —
Totals by level $(47,166) $(108,320,933) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
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 $4,499,573 $17,069,263
Foreign exchange contracts 4,959,372 5,193,417
Equity contracts 3,703 —
Interest rate contracts 32,406,727 30,022,933
Total $41,869,375 $52,285,613

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)$327,700,000
Purchased swap option contracts (contract amount)$3,515,300,000
Written TBA commitment option contracts (contract amount)$510,600,000
Written swap option contracts (contract amount)$3,038,500,000
Futures contracts (number of contracts)200
Forward currency contracts (contract amount)$604,000,000
OTC interest rate swap contracts (notional)$1,300,000
Centrally cleared interest rate swap contracts (notional)$3,393,400,000
OTC total return swap contracts (notional)$82,600,000
Centrally cleared total return swap contracts (notional)$172,100,000
OTC credit default contracts (notional)$152,400,000
Centrally cleared credit default contracts (notional)$22,500,000
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: June 29, 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: June 29, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: June 29, 2018