a_masterintermediateinc.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: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate 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: September 30, 2018
Date of reporting period: June 30, 2018



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/18 (Unaudited)
MORTGAGE-BACKED SECURITIES (42.8%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.5%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 17.451%, 4/15/37 $40,751 $55,159
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 16.195%, 11/15/35 70,881 91,057
IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 15.433%, 12/15/36 40,898 51,307
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 2,405,412 511,403
IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.577%, 4/15/40 2,436,217 295,651
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,133,207 259,125
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 598,527 121,385
Ser. 4016, Class KQ, 4.50%, 11/15/38(i) 122,421 125,724
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.027%, 4/15/47 1,160,112 226,025
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 2,352,611 499,930
Ser. 4425, IO, 4.00%, 1/15/45 3,130,084 665,519
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,148,688 579,267
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,549,281 239,497
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 2,437,525 232,565
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 5,957,247 954,113
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 3,408,035 676,536
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 2,951,475 482,448
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 971,211 103,521
Ser. 304, Class C37, IO, 3.50%, 12/15/27 1,022,899 88,238
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 4,163,588 409,406
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,834,674 162,369
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 1,090,860 71,293
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 3,446,609 334,910
FRB Ser. 57, Class 1AX, IO, 0.365%, 7/25/43(WAC) 1,478,952 15,956
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 1,115 816
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 27.353%, 7/25/36 62,175 98,372
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 16.533%, 6/25/37 58,778 76,496
IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 15.616%, 2/25/38 46,745 57,764
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 13.977%, 8/25/35 42,256 49,513
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 11.957%, 11/25/34 63,385 71,374
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%), 6.641%, 2/25/25 198,015 215,110
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,736,419 665,750
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 2,419,431 519,573
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 1,844,011 135,701
Ser. 374, Class 6, IO, 5.50%, 8/25/36 100,547 19,299
Ser. 378, Class 19, IO, 5.00%, 6/25/35 296,039 60,414
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 442,988 103,649
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 2,683,940 368,792
Ser. 366, Class 22, IO, 4.50%, 10/25/35 22,379 706
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 4.359%, 4/25/42 1,246,447 211,832
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 4.309%, 4/25/40 864,942 147,040
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.059%, 10/25/41 977,575 91,318
IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.009%, 12/25/46 3,504,893 473,161
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,729,596 376,187
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 1,665,934 285,541
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 1,888,628 350,874
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,234,815 194,483
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 982,391 151,241
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 983,113 176,665
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.859%, 2/25/43 2,179,394 375,945
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 3.809%, 10/25/41 2,951,441 383,687
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 2,698,007 464,046
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 1,541,743 102,748
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,551,999 119,582
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,398,740 145,731
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 1,284,091 73,347
Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 3,866,208 434,193
Ser. 99-51, Class N, PO, zero %, 9/17/29 7,823 7,139
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 1,060,858 243,043
Ser. 16-42, IO, 5.00%, 2/20/46 2,912,821 613,498
Ser. 16-168, Class AI, IO, 5.00%, 7/20/45 1,247,656 137,242
Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 825,126 180,917
Ser. 14-76, IO, 5.00%, 5/20/44 1,153,488 266,003
Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 2,386,203 252,784
Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 1,791,484 389,918
Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 1,598,810 314,568
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 841,685 183,973
Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 723,879 167,202
Ser. 12-146, IO, 5.00%, 12/20/42 730,058 165,059
Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 521,525 105,833
Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 237,369 15,063
Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 79,555 7,010
Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 185,586 12,625
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 250,278 57,363
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 787,991 177,629
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 3,521,267 767,851
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,809,291 411,903
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 636,955 146,400
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,388,505 296,793
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 3,739,026 586,990
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,045,148 237,813
Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 1,529,559 251,429
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,630,993 340,470
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 2,228,093 387,488
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,567,246 329,248
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 404,390 66,773
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,417,165 304,141
Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 48,938 5,514
Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 85,110 12,102
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,526,861 324,305
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 2,647,794 578,781
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,404,345 303,311
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,572,467 330,813
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 978,620 198,304
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 781,982 179,762
Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 270,471 27,080
Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 746,106 59,226
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 4.066%, 9/20/43 615,128 89,723
IFB Ser. 14-20, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.016%, 7/20/43 2,343,898 305,841
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 1,852,879 296,461
Ser. 16-29, IO, 4.00%, 2/16/46 1,351,411 270,282
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 4,147,067 805,443
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,075,905 460,251
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 2,608,168 485,427
Ser. 15-40, IO, 4.00%, 3/20/45 2,233,570 463,140
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 2,614,982 478,856
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 4,658,070 751,114
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 839,306 159,696
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 3,637,670 509,710
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 760,647 142,135
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 650,080 128,223
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,620,966 313,590
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.516%, 8/20/44 2,886,323 382,438
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 2,145,958 405,758
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 1,422,780 204,468
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,798,184 400,017
Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 2,258,671 395,267
Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 2,054,320 344,016
Ser. 13-76, IO, 3.50%, 5/20/43 2,688,553 449,499
Ser. 13-28, IO, 3.50%, 2/20/43 825,826 142,292
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,303,983 227,741
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,872,661 315,637
Ser. 13-14, IO, 3.50%, 12/20/42 4,464,694 647,559
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,340,872 222,236
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,824,404 371,368
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,190,614 447,893
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,108,062 238,227
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 3,100,650 389,101
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 3,472,091 457,500
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 1,932,245 183,565
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 1,858,494 212,437
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 5,444,423 556,334
Ser. 17-H16, Class JI, IO, 2.504%, 8/20/67(WAC) 9,225,230 1,337,658
Ser. 16-H16, Class EI, IO, 2.483%, 6/20/66(WAC) 4,670,911 549,766
Ser. 17-H16, Class FI, IO, 2.435%, 8/20/67(WAC) 3,587,472 443,950
Ser. 17-H02, Class BI, IO, 2.348%, 1/20/67(WAC) 3,001,832 384,835
Ser. 17-H06, Class BI, IO, 2.271%, 2/20/67(WAC) 4,855,799 608,432
Ser. 15-H10, Class BI, IO, 2.106%, 4/20/65(WAC) 2,961,781 269,620
Ser. 16-H17, Class KI, IO, 2.105%, 7/20/66(WAC) 3,207,050 364,802
Ser. 17-H08, Class NI, IO, 2.098%, 3/20/67(WAC) 6,316,598 763,045
Ser. 18-H03, Class XI, IO, 2.045%, 2/20/68(WAC) 4,744,741 678,498
Ser. 16-H09, Class BI, IO, 2.041%, 4/20/66(WAC) 5,330,967 541,146
Ser. 17-H19, Class MI, IO, 2.027%, 4/20/67(WAC) 2,364,624 280,917
Ser. 16-H03, Class DI, IO, 2.016%, 12/20/65(WAC) 4,340,290 417,753
Ser. 15-H15, Class BI, IO, 2.015%, 6/20/65(WAC) 2,803,588 281,503
Ser. 17-H16, Class IH, IO, 1.93%, 7/20/67(WAC) 6,393,304 604,436
Ser. 17-H12, Class QI, IO, 1.907%, 5/20/67(WAC) 4,275,908 529,729
Ser. 15-H25, Class EI, IO, 1.844%, 10/20/65(WAC) 3,621,809 324,876
Ser. 16-H22, Class AI, IO, 1.841%, 10/20/66(WAC) 4,729,976 564,962
Ser. 16-H18, Class QI, IO, 1.84%, 6/20/66(WAC) 3,278,555 418,685
Ser. 16-H23, Class NI, IO, 1.829%, 10/20/66(WAC) 11,781,780 1,458,584
Ser. 15-H20, Class AI, IO, 1.821%, 8/20/65(WAC) 4,010,793 371,801
Ser. 17-H16, Class IG, IO, 1.82%, 7/20/67(WAC) 8,557,675 845,070
Ser. 17-H11, Class DI, IO, 1.787%, 5/20/67(WAC) 4,263,287 495,607
FRB Ser. 15-H08, Class CI, IO, 1.787%, 3/20/65(WAC) 2,386,233 214,310
Ser. 15-H23, Class BI, IO, 1.722%, 9/20/65(WAC) 4,356,924 375,131
Ser. 17-H09, IO, 1.704%, 4/20/67(WAC) 5,765,334 612,474
Ser. 16-H24, Class CI, IO, 1.69%, 10/20/66(WAC) 3,036,697 265,769
Ser. 16-H14, IO, 1.67%, 6/20/66(WAC) 4,433,401 312,710
Ser. 13-H08, Class CI, IO, 1.667%, 2/20/63(WAC) 4,518,194 253,471
Ser. 15-H20, Class CI, IO, 1.587%, 8/20/65(WAC) 4,674,894 497,427
Ser. 16-H06, Class DI, IO, 1.578%, 7/20/65 6,027,690 493,336
Ser. 16-H03, Class AI, IO, 1.542%, 1/20/66(WAC) 4,017,440 386,679
Ser. 14-H21, Class BI, IO, 1.54%, 10/20/64(WAC) 6,339,043 449,438
Ser. 15-H24, Class AI, IO, 1.503%, 9/20/65(WAC) 4,033,876 402,448
Ser. 16-H10, Class AI, IO, 1.396%, 4/20/66(WAC) 10,360,178 782,753
Ser. 16-H02, Class HI, IO, 1.336%, 1/20/66(WAC) 5,533,129 473,083
Ser. 16-H06, Class CI, IO, 1.192%, 2/20/66(WAC) 5,683,902 400,198
Ser. 15-H26, Class CI, IO, 0.717%, 8/20/65(WAC) 11,951,805 151,788
Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,092 1,698
54,958,353
Commercial mortgage-backed securities (10.1%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 13,730,517 137
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 1,039,000 955,880
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 436,969
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 503,181 505,697
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.283%, 3/11/39(WAC) 494,365 321,325
FRB Ser. 06-PW14, Class XW, IO, 0.514%, 12/11/38(WAC) 605,801 3,150
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 2,155,918 84
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.947%, 12/15/47(WAC) 409,000 396,188
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 910,314
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 6.015%, 5/15/46(WAC) 326,734 331,177
COMM Mortgage Trust 144A
FRB Ser. 12-CR3, Class E, 4.914%, 10/15/45(WAC) 350,000 295,141
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 314,099
Ser. 13-LC13, Class E, 3.719%, 8/10/46(WAC) 574,000 389,962
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.877%, 12/15/39(WAC) 2,226,212 21,149
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 6.236%, 9/15/39(WAC) 296,168 300,139
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 227,379 234,201
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.94%, 4/15/50(WAC) 1,090,000 968,883
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG5, Class B, 5.607%, 4/10/37(WAC) 306,339 304,577
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.562%, 6/10/48(WAC) 1,809,126 1,834,205
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 25,108 25,475
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 1.104%, 12/10/41(WAC) 3,630,117 39,133
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.591%, 7/10/39(WAC) 410,762 513
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 392,000 366,734
FRB Ser. 13-GC10, Class E, 4.558%, 2/10/46(WAC) 583,000 447,637
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.974%, 2/15/47(WAC) 990,000 868,304
FRB Ser. C14, Class D, 4.717%, 8/15/46(WAC) 647,000 585,475
FRB Ser. 14-C18, Class E, 4.474%, 2/15/47(WAC) 407,000 292,308
FRB Ser. 14-C25, Class D, 4.094%, 11/15/47(WAC) 972,000 779,171
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 1,056,445
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 478,079
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class C, 6.441%, 2/12/51(WAC) 119,242 121,925
FRB Ser. 07-CB20, Class E, 6.441%, 2/12/51(WAC) 398,000 401,980
FRB Ser. 11-C3, Class F, 5.865%, 2/15/46(WAC) 410,000 397,197
FRB Ser. 12-C6, Class E, 5.312%, 5/15/45(WAC) 363,000 320,289
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 604,858
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 3,306,011 33
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON)(WAC) 1,219,000 109,466
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.624%, 9/15/39(WAC) 2,151,828 13,870
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.246%, 4/20/48(WAC) 443,000 386,048
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.594%, 2/12/51(WAC) 304,000 304,152
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.226%, 12/15/49(WAC) 373,911 16,340
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 918,976 902,774
Morgan Stanley Bank of America Merrill Lynch Trust 144A
Ser. 14-C17, Class D, 4.86%, 8/15/47(WAC) 1,323,000 1,128,883
FRB Ser. 13-C11, Class F, 4.503%, 8/15/46(WAC) 496,000 198,315
FRB Ser. 13-C10, Class D, 4.219%, 7/15/46(WAC) 654,000 594,348
FRB Ser. 13-C10, Class E, 4.219%, 7/15/46(WAC) 1,316,000 1,052,085
FRB Ser. 13-C10, Class F, 4.219%, 7/15/46(WAC) 609,000 483,424
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 286,468
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 407,504 101,870
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 700,000 662,238
Morgan Stanley Capital I Trust 144A
FRB Ser. 08-T29, Class D, 6.368%, 1/11/43(WAC) 600,000 601,440
FRB Ser. 08-T29, Class F, 6.368%, 1/11/43(WAC) 369,000 357,930
FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39(WAC) 280,920 278,638
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 1.198%, 3/24/19 (Cayman Islands) (In default)(NON)(WAC) 193,000 1,891
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 558,952 46,114
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 622,000 418,495
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 06-C26, Class AJ, 6.23%, 6/15/45(WAC) 371,551 349,258
FRB Ser. 07-C34, IO, 0.17%, 5/15/46(WAC) 2,701,611 1,351
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.423%, 7/15/46(WAC) 188,000 163,913
Ser. 14-LC16, Class D, 3.938%, 8/15/50 1,096,000 897,416
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 14-C19, Class E, 5.137%, 3/15/47(WAC) 946,000 693,178
Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,567,735
Ser. 13-C12, Class E, 3.50%, 3/15/48 318,000 234,727
27,161,200
Residential mortgage-backed securities (non-agency) (12.2%)
BCAP, LLC Trust 144A
FRB Ser. 11-RR3, Class 3A6, 3.653%, 11/27/36(WAC) 1,196,526 999,099
FRB Ser. 12-RR5, Class 4A8, (1 Month US LIBOR + 0.17%), 2.13%, 6/26/35 54,459 53,969
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, (1 Month US LIBOR + 2.93%), 5.016%, 4/25/34 234,853 243,051
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.271%, 11/25/47 244,144 203,241
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.441%, 3/25/37 1,237,551 1,029,037
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 3.058%, 9/25/35 371,290 372,150
FRB Ser. 06-OA7, Class 1A1, 2.663%, 6/25/46(WAC) 441,625 392,649
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 2.518%, 8/25/46 210,030 182,841
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 2.498%, 6/25/46 596,428 533,870
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.441%, 9/25/35 878,394 856,867
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.431%, 2/25/37 460,935 286,498
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.414%, 11/20/35 469,131 463,101
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.281%, 8/25/46 534,282 451,468
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.281%, 8/25/46 3,332,090 2,802,088
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), 2.271%, 6/25/47 627,868 506,284
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 4.016%, 9/28/36(WAC) 2,000,000 1,995,715
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 12.591%, 5/25/28 267,354 354,702
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 12.091%, 7/25/28 898,590 1,202,580
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.441%, 4/25/28 662,197 864,342
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 9.641%, 12/25/27 439,380 531,346
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 7.241%, 11/25/28 490,000 583,406
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 5.941%, 3/25/29 250,000 281,142
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.341%, 9/25/28 1,028,147 1,527,621
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 13.841%, 10/25/28 569,878 811,610
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 13.841%, 8/25/28 530,924 776,862
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 12.841%, 1/25/29 119,857 155,575
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 7.991%, 10/25/28 1,690,000 1,970,671
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.791%, 4/25/28 1,506,151 1,754,711
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.641%, 4/25/28 82,921 93,866
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 7.591%, 9/25/29 335,000 382,969
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 7.091%, 7/25/25 921,034 1,043,545
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.091%, 7/25/25 563,990 629,730
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 6.941%, 10/25/29 1,140,000 1,278,122
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.341%, 4/25/29 100,000 113,596
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 6.341%, 1/25/29 170,000 192,186
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.091%, 5/25/25 46,184 50,530
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 6.091%, 5/25/25 104,498 112,972
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 5.741%, 9/25/29 70,000 76,287
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 5.691%, 1/25/30 200,000 205,075
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 5.641%, 7/25/29 350,000 379,110
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 4.691%, 5/25/24 20,000 21,233
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.18%), 2.271%, 5/25/36 647,526 302,498
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.401%, 5/25/37 420,885 314,776
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.291%, 6/25/37 624,271 370,817
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 2.886%, 8/25/35 157,717 139,217
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 4.791%, 3/25/28 (Bermuda) 620,000 619,031
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 2.306%, 5/25/46 363,559 345,381
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.301%, 8/25/36 490,801 429,451
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 2.211%, 8/25/36 408,890 372,065
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR14, Class 1A2, 3.413%, 12/25/35(WAC) 200,533 200,539
FRB Ser. 05-AR10, Class 1A3, 3.359%, 9/25/35(WAC) 538,177 538,853
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.581%, 10/25/45 917,242 923,454
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.491%, 12/25/45 317,368 310,481
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%), 2.441%, 12/25/45 246,234 238,919
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR5, Class 1A1, 4.184%, 4/25/36(WAC) 443,986 443,986
FRB Ser. 06-AR2, Class 1A1, 3.821%, 3/25/36(WAC) 447,356 447,635
32,762,820
Total mortgage-backed securities (cost $112,532,870) $114,882,373

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (32.2%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.6%)
Government National Mortgage Association Pass-Through Certificates
4.50%, TBA, 7/1/48 $8,000,000 $8,314,375
4.00%, TBA, 7/1/48 4,000,000 4,098,750
12,413,125
U.S. Government Agency Mortgage Obligations (27.6%)
Federal National Mortgage Association Pass-Through Certificates
5.50%, TBA, 7/1/48 3,000,000 3,215,156
4.00%, TBA, 7/1/48 11,000,000 11,214,843
3.50%, TBA, 8/1/48 27,000,000 26,837,579
3.50%, TBA, 7/1/48 27,000,000 26,869,217
3.00%, TBA, 7/1/48 6,000,000 5,811,563
73,948,358
Total U.S. government and agency mortgage obligations (cost $86,257,501) $86,361,483

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Notes
1.50%, 10/31/19(i) $144,000 $142,582
1.50%, 12/31/18(i) 20,000 20,083
Total U.S. treasury obligations (cost $162,665) $162,665

CORPORATE BONDS AND NOTES (31.1%)(a)
Principal amount Value
Basic materials (4.1%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $75,000 $78,975
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 156,000 167,895
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 40,000 40,200
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 415,000 409,813
American Woodmark Corp. 144A company guaranty sr. unsec. notes 4.875%, 3/15/26 195,000 185,250
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 86,000 92,558
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 297,750
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 147,000 135,152
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 148,000 152,810
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 226,000 232,238
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 298,000 290,550
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 352,000 352,880
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 225,000 218,813
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 160,000 156,000
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 434,000 423,150
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 490,000 496,125
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 56,000 54,180
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 63,000 67,568
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 144,000 151,020
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 339,000 315,270
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (Netherlands) 250,000 241,250
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) 250,000 242,813
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 240,000 235,200
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 99,000 100,238
Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 150,000 142,500
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 200,000 197,000
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 238,000 240,380
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 182,000 175,175
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 150,000 158,055
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 176,000 172,920
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 145,000 151,888
IHS Markit, Ltd. 144A sr. unsec. notes 7.875%, 7/15/26 60,000 59,766
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 202,000 190,385
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 83,000 91,300
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 153,000 158,355
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 242,000 237,765
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 53,000 55,650
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 120,000 121,500
Mercer International, Inc. 144A sr. unsec. notes 5.50%, 1/15/26 (Canada) 75,000 72,750
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 116,000 117,160
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 40,000 39,600
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 134,000 124,871
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 18,000 17,235
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 455,000 454,431
Pisces Midco, Inc. 144A sr. notes 8.00%, 4/15/26 138,000 132,653
Platform Specialty Products Corp. 144A company guaranty sr. unsec. notes 5.875%, 12/1/25 63,000 61,583
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 95,000 93,575
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 259,000 309,181
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 236,000 236,000
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 45,000 43,144
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 50,938
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 20,175
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 66,000 66,138
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 64,000 60,720
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 175,000 178,938
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 185,000 177,600
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 105,000 104,213
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 55,000 53,419
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 120,000 119,250
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 238,000 238,595
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 119,000 122,719
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 172,000 175,870
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 94,000 96,585
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 55,000 53,556
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 122,000 127,185
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 220,000 240,900
10,879,321
Capital goods (2.0%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 131,000 130,345
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 38,000 35,435
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 280,000 291,200
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 112,000 114,766
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 105,000 105,935
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 67,000 66,414
Berry Global, Inc. 144A notes 4.50%, 2/15/26 55,000 51,288
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 251,000 276,414
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 213,000 223,916
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 235,000 249,688
Cortes NP Acquisition Corp. 144A sr. unsec. notes 9.25%, 10/15/24 122,000 119,560
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 162,000
FXI Holdings, Inc. 144A sr. notes 7.875%, 11/1/24 121,000 118,278
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 202,000 204,525
GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 85,000 78,625
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 315,000 322,088
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 235,000 223,838
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 121,000 117,144
Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France) EUR 100,000 118,107
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $95,000 97,375
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 195,000 197,438
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 175,000 164,500
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 135,000 133,988
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 125,000 119,063
Titan Acquisition, Ltd./Titan Co-Borrower, LLC. 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 224,000 208,880
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 55,000 55,619
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 174,000 172,695
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 175,000 178,063
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 232,000 228,230
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22 160,000 155,200
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 240,000 230,400
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 123,000 118,234
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 198,000 187,110
5,256,361
Communication services (3.7%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 196,500
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 193,440
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 100,000 112,109
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $280,000 270,900
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 150,000 157,455
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 276,000 267,637
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 249,000 249,623
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 49,000 48,143
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/27 103,000 96,369
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 360,000 355,392
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 152,000 152,760
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 40,000 40,450
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. sub. notes 7.75%, 7/15/25 200,000 209,000
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 210,000 208,711
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 121,000 120,244
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 314,000 320,673
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 139,000 130,834
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 310,000 292,950
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 120,000 125,700
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 340,000 374,850
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 615,000 513,525
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 280,000 236,950
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 46,000 36,786
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 119,000 107,993
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 233,000 224,845
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 4,000 3,949
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 27,000 26,798
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,300
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 301,000 317,555
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 80,000 80,000
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 40,850
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 600,000 603,750
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 200,000 194,250
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 108,675
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 99,000 100,980
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 883,000 915,561
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 301,600
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 345,000 357,144
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 161,148
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 80,000 77,800
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 44,541
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 135,000 125,044
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 51,356
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 288,900 377,072
UPC Holding BV 144A sr. notes 5.50%, 1/15/28 (Netherlands) $200,000 180,000
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 363,000 367,991
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 72,765
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 133,951
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 147,820
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $290,000 171,100
10,011,839
Consumer cyclicals (5.1%)
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 188,000 182,360
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 57,000 54,863
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 38,000 38,665
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 155,000 151,900
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 38,000 37,383
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 164,000 167,895
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 150,000 157,125
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/15/26 60,000 59,400
Boyne USA, Inc. 144A company guaranty notes 7.25%, 5/1/25 55,000 57,338
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 120,000 120,450
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 125,000 126,250
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 218,000 207,645
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 72,630
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 25,000 24,497
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 84,000 83,475
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 127,000 129,540
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 100,000 110,128
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 $398,000 378,598
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 215,000 203,444
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 325,000 340,028
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 95,000 101,859
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 85,000 89,250
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 155,000 154,225
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 115,000 114,713
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 70,000 69,300
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 115,000 109,394
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 260,000 202,261
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $175,000 179,375
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 145,000 141,375
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 200,000 193,000
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 231,000 226,669
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 288,000 218,160
IHO Verwaltungs GmbH 144A sr. notes 4.75%, 9/15/26 (Germany)(PIK) 200,000 188,250
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 105,000 103,950
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 35,000 33,163
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 384,000 415,680
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 227,000 233,810
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 55,000 57,475
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 100,000 93,750
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 75,000 69,750
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 85,000 80,963
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 85,000 87,966
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 89,000 89,000
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 159,000 160,938
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 75,000 72,563
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 85,000 84,363
Masaria Investments SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 100,000 109,696
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $40,000 40,544
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 105,000 102,769
Meredith Corp. 144A sr. unsec. notes 6.875%, 2/1/26 200,000 197,250
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 175,000 183,313
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 147,000 154,718
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 269,000 276,398
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 185,435 123,314
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 95,000 62,819
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 377,000 364,748
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 85,000 80,963
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 110,000 108,086
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 135,000 136,100
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 75,000 75,469
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 127,289
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 110,000 103,675
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 194,400
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 104,860
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 121,830
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 60,000 40,278
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 180,000 178,200
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 233,000 230,670
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 171,000 172,710
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 480,000 512,146
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 337,000 334,473
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. unsub. notes 5.125%, 2/15/27 103,000 94,760
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 117,000 119,194
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 297,000 276,953
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 225,000 218,466
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 270,000 262,913
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 105,000 103,688
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 10,000 10,313
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 98,000 98,245
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 244,000 240,950
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 9,175
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 125,000 117,500
Takko Luxembourg 2 SCA company guaranty sr. notes Ser. REGS, 5.375%, 11/15/23 (Luxembourg) EUR 100,000 105,267
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 $141,000 139,943
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 125,000 126,156
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 211,200
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 87,756
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 200,000 194,250
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 122,385
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 60,000 59,475
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 95,950
Wyndham Destinations, Inc. sr. unsec. unsub. bonds 4.50%, 4/1/27 209,000 203,253
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 110,000 109,313
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 276,000 258,060
13,676,699
Consumer staples (1.6%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 175,000 165,375
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 125,000 124,844
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 125,000 118,438
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 160,000 161,400
Ashtead Capital, Inc. 144A notes 4.125%, 8/15/25 200,000 186,500
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 370,000 393,643
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 389,000 393,863
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 105,000 92,400
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 145,000 139,200
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 335,000 350,128
Europcar Groupe SA sr. notes Ser. REGS, 4.125%, 11/15/24 (France) EUR 100,000 115,660
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $120,000 76,500
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 283,000 290,700
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 192,000 192,035
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 191,000 181,393
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 128,050
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 128,336
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 80,000 75,600
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 152,683
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 35,983
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 141,000 131,130
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 120,000 114,380
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 120,000 121,164
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 328,000 183,680
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 200,000 202,800
4,255,885
Energy (7.4%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 445,000 471,144
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 68,000 68,850
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 194,400
Apergy Corp. 144A sr. unsec. notes 6.375%, 5/1/26 187,000 190,039
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 99,000 108,900
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 93,000 89,978
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 77,000 69,878
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 279,000 290,160
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 165,000 163,556
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 54,000 54,945
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 218,000 222,022
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 26,000 24,570
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 88,000 92,374
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 498,000 485,819
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 84,000 85,242
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 238,000 242,760
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 140,000 135,100
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 27,000 25,853
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 237,000 250,556
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 335,000 335,000
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 65,000 63,375
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 154,000 150,150
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 60,000 58,200
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 105,000 99,194
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 99,000 97,515
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 249,000 204,180
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 90,000 69,750
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 45,000 45,450
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 125,000 127,813
Extraction Oil & Gas, Inc. 144A sr. unsec. notes 5.625%, 2/1/26 142,000 135,974
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 210,000 209,475
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 217,000 219,170
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 194,000 187,210
Jagged Peak Energy, LLC 144A company guaranty sr. unsec. notes 5.875%, 5/1/26 113,000 110,740
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 65,000 52,488
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 22,000 20,515
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 139,000 129,270
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 110,000 109,725
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/25 185,000 174,825
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 221,000 230,393
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 144,000 147,240
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 67,000 63,483
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 55,000 56,650
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 33,000 33,578
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 191,000 194,287
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 125,000 126,406
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 939,252
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 197,619
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 3,426,000 3,421,718
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 352,000 349,360
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 222,000 226,163
Petrobras Global Finance BV 144A company guaranty sr. unsec. notes 5.299%, 1/27/25 (Brazil) 664,000 613,536
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 727,000 152,670
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,054,000 685,623
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,297,000 1,344,509
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5.375%, 3/13/22 (Mexico) 269,000 275,996
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 2,171,000 2,036,832
QEP Resources, Inc. sr. unsec. notes 5.625%, 3/1/26 120,000 114,900
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 137,000 140,425
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 87,986
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 186,665
SemGroup Corp. company guaranty sr. unsec. notes 6.375%, 3/15/25 70,000 66,500
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 175,000 179,594
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 58,000 59,015
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 105,000 100,669
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 150,000 153,450
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 72,000 68,130
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 28,000 28,280
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 128,000 131,200
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 125,000 122,813
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 95,000 92,150
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 215,000 199,950
Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) 154,000 148,225
USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 4/1/26 110,000 113,850
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 125,000 124,063
Weatherford International, LLC 144A company guaranty sr. unsec. notes 9.875%, 3/1/25 65,000 65,325
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 290,000 292,807
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 33,000 32,739
Whiting Petroleum Corp. 144A sr. unsec. notes 6.625%, 1/15/26 85,000 87,550
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 27,000 30,578
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 95,000 94,733
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 30,000 31,200
19,714,279
Financials (2.5%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 336,000 337,638
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 96,000 99,108
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 489,000 498,169
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 200,000 188,884
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 78,937
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 160,000 161,600
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 243,815
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 34,000 34,383
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 105,000 104,213
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 294,000 291,795
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 227,649
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 149,000 149,559
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 160,000 154,400
Fairfax Financial Holdings, Ltd. 144A sr. unsec. notes 4.85%, 4/17/28 (Canada) 75,000 74,171
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 110,000 107,800
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 156,000 151,320
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 95,000 100,463
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 156,000 154,050
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 95,713
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 95,000 96,900
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 23,000 23,288
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 215,000 215,269
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 15,919
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 181,533
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 165,000 165,000
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 55,000 53,247
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 200,000 194,500
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 50,000 45,375
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 100,000 131,398
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 $80,000 80,300
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 48,000 47,880
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 170,000 165,504
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 100,867
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 202,000 200,485
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 74,000 75,480
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 55,000 55,688
Starwood Property Trust, Inc. 144A sr. unsec. notes 4.75%, 3/15/25(R) 150,000 144,750
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 185,000 185,000
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 305,000 294,577
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 233,000 236,495
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 170,000 171,275
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 140,000 139,300
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 204,500
Wand Merger Corp. 144A sr. unsec. notes 9.125%, 7/15/26 35,000 35,438
Wand Merger Corp. 144A sr. unsec. notes 8.125%, 7/15/23 50,000 50,688
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 236,000 225,970
6,790,293
Health care (2.4%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 205,000 189,625
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 188,000 156,040
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 189,000 180,495
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 175,000 184,406
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 130,813
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 60,000 60,788
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 368,000 337,180
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 354,000 180,540
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 160,000 131,900
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) (In default)(NON) 274,000 16,440
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 400,000 329,000
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 165,000 134,475
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 113,000 112,232
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 283,000 294,320
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 59,950
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 159,232
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 185,000 204,425
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 143,000 115,115
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 120,750
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 30,000 29,100
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 240,000 234,600
Service Corp. International sr. unsec. notes 5.375%, 1/15/22 249,000 251,490
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 45,000 42,507
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 509,205
Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 96,000 97,920
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 231,000 237,353
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 81,000 84,687
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Netherlands) 200,000 203,846
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Netherlands) 200,000 198,065
Unilabs Subholding AB company guaranty sr. unsec. notes Ser. REGS, 5.75%, 5/15/25 (Sweden) EUR 100,000 111,275
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $40,000 39,420
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 140,000 145,425
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 115,000 119,163
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 265,000 244,131
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 377,000 354,144
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 35,000 34,431
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 167,752
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 125,000 129,375
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 125,000 126,563
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 75,000 74,625
6,532,803
Technology (1.4%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 571,000 —
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 901,000 954,546
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 195,000 204,094
Energizer Gamma Acquisition, Inc. 144A company guaranty sr. unsec. notes 6.375%, 7/15/26 45,000 45,759
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 150,000 156,237
First Data Corp. 144A notes 5.75%, 1/15/24 258,000 258,005
First Data Corp. 144A sr. notes 5.375%, 8/15/23 165,000 166,526
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 288,000 289,440
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 254,000 254,635
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 228,000 228,285
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 57,000 57,713
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 65,000 60,151
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 218,000 200,833
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 308,000 342,074
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 190,000 182,400
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 268,000 261,300
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 180,000 175,050
3,837,048
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 229,000 232,721
232,721
Utilities and power (0.8%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 665,000 668,325
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 70,000 70,000
AES Corp./Virginia (The) sr. unsec. notes 4.50%, 3/15/23 60,000 59,475
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 163,000 162,593
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 252,000 230,423
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 86,000 81,001
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 34,738
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 146,000 155,673
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 78,000 84,825
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 164,000 168,100
Energy Transfer Equity LP sr. sub. notes 5.50%, 6/1/27 62,000 62,000
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 142,000 129,220
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 122,000 129,930
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 176,000 180,840
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/28 55,000 54,313
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 90,000 675
2,272,131
Total corporate bonds and notes (cost $86,157,865) $83,459,380

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.6%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $165,000 $152,213
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 750,000 660,000
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,125,000 1,917,966
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 400,000 351,000
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 35.19%, 5/31/22 (Argentina) ARS 7,745,000 226,258
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $2,140,000 1,861,800
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 1,399,000 1,444,188
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 1,891,000 1,822,041
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,067,000 1,008,315
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 170,000 178,585
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 105,000 117,716
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 715,938
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 280,467
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 1,054,000 1,297,291
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 446,000 517,589
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece)(STP) EUR 3,716,744 4,336,464
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 2,427,822 2,850,294
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) $360,000 353,250
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 202,750
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 640,460
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 540,400
Russia (Federation of) sr. unsec. unsub. notes Ser. REGS, 4.50%, 4/4/22 (Russia) 1,400,000 1,424,500
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 203,352
Total foreign government and agency bonds and notes (cost $23,720,313) $23,102,837

PURCHASED SWAP OPTIONS OUTSTANDING (2.4%)(a)
Counterparty Fixed right % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike Notional/
Contract amount		 Value
Bank of America N.A.
    (1.9325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 $61,632,500 $628,035
    (2.2625)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 27,734,600 243,510
    2.2625/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 27,734,600 71,278
    1.9325/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 61,632,500 62
Barclays Bank PLC
    2.89/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.89 37,896,100 129,226
    2.655/3 month USD-LIBOR-BBA/Sep-28 Sep-18/2.655 13,885,000 22,771
    (3.255)/3 month USD-LIBOR-BBA/Sep-28 Sep-18/3.255 13,885,000 18,051
Citibank, N.A.
    2.945/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.945 37,784,200 128,088
    (3.031)/3 month USD-LIBOR-BBA/Jun-49 Jun-19/3.031 3,024,300 124,571
    2.826/3 month USD-LIBOR-BBA/Aug-28 Aug-18/2.826 18,948,000 49,075
    2.884/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.884 20,098,900 47,634
    (3.115)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.115 37,784,200 1,889
    2.47/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.47 24,653,000 986
    (1.091)/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.091 EUR 4,225,300 5
Credit Suisse International
    3.056/3 month USD-LIBOR-BBA/Sep-20 Sep-18/3.056 $33,603,800 107,196
    2.8475/3 month USD-LIBOR-BBA/Aug-28 Aug-18/2.8475 20,098,900 80,195
    2.895/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.895 33,603,800 72,584
    (3.056)/3 month USD-LIBOR-BBA/Sep-20 Sep-18/3.056 33,603,800 48,726
    (2.895)/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.895 33,603,800 46,373
    2.85/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.85 18,948,000 43,959
    2.80/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.80 26,798,600 22,243
Goldman Sachs International
    2.965/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.965 37,896,100 200,849
    1.673/3 month GBP-LIBOR-BBA/Oct-48 Oct-18/1.673 GBP 3,042,000 130,196
    1.522/3 month GBP-LIBOR-BBA/Oct-28 Oct-18/1.522 GBP 7,817,000 101,927
    3.04375/3 month USD-LIBOR-BBA/Sep-19 Sep-18/3.04375 $53,597,200 73,428
    3.005/3 month USD-LIBOR-BBA/Sep-19 Sep-18/3.005 53,597,200 60,565
    (3.005)/3 month USD-LIBOR-BBA/Sep-19 Sep-18/3.005 53,597,200 58,957
    (3.04375)/3 month USD-LIBOR-BBA/Sep-19 Sep-18/3.04375 53,597,200 52,525
    2.73375/3 month USD-LIBOR-BBA/Sep-19 Sep-18/2.73375 53,597,200 39,662
    2.70/3 month USD-LIBOR-BBA/Sep-19 Sep-18/2.70 53,597,200 31,622
    (2.70)/3 month USD-LIBOR-BBA/Sep-19 Sep-18/2.70 53,597,200 30,014
    (2.73375)/3 month USD-LIBOR-BBA/Sep-19 Sep-18/2.73375 53,597,200 26,799
    2.695/3 month USD-LIBOR-BBA/Oct-23 Oct-18/2.695 5,177,100 7,196
    (3.135)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.135 37,896,100 6,442
    1.9175/3 month USD-LIBOR-BBA/Oct-19 Oct-18/1.9175 22,434,200 22
JPMorgan Chase Bank N.A.
    (1.919)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 61,632,500 635,431
    1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 7,733,000 304,963
    1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 3,085,000 284,106
    (2.25)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 $27,734,600 245,729
    (2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 209,059
    (2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 204,466
    2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 155,091
    2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 151,510
    2.25/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 27,734,600 70,446
    (2.68)/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.68 24,653,000 62,372
    (2.895)/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.895 40,324,500 55,648
    2.865/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.865 12,632,000 38,401
    0.882/3 month GBP-LIBOR-BBA/Nov-19 Nov-18/0.882 GBP 21,126,500 14,498
    (3.115)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.115 $12,632,000 12,632
    1.919/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 61,632,500 62
Morgan Stanley & Co. International PLC
    3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 $3,150,300 362,568
    3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 362,411
    2.9125/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.9125 50,528,100 197,565
    2.89/3 month USD-LIBOR-BBA/Sep-28 Sep-18/2.89 25,264,000 197,059
    (2.8225)/3 month USD-LIBOR-BBA/Oct-20 Oct-18/2.8225 53,597,200 139,353
    (2.92875)/3 month USD-LIBOR-BBA/Nov-20 Nov-18/2.92875 26,798,600 68,336
    2.745/3 month USD-LIBOR-BBA/Aug-28 Aug-18/2.745 18,892,100 49,119
    2.78/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.78 26,798,600 15,543
    (2.9525)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.9525 13,885,000 6,804
Total purchased swap options outstanding (cost $6,801,287) $6,549,833

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Counterparty Expiration date/strike price Notional amount Contract amount Value
Barclays Bank PLC
    NOK/SEK (Put) Jul-18/SEK 1.08 $2,216,626 $18,052,975 $541
Goldman Sachs International
    NOK/SEK (Put) Jul-18/SEK 1.08 2,216,626 18,052,975 541
HSBC Bank USA, National Association
    EUR/SEK (Put) Aug-18/SEK 10.00 8,872,594 7,597,700 1,969
    NOK/SEK (Put) Jul-18/SEK 1.07 2,216,626 18,052,975 430
JPMorgan Chase Bank N.A.
    Federal National Mortgage Association
30 yr 2.50% TBA commitments (Call)		 Jul-18/93.22 15,000,000 15,000,000 85,560
    Federal National Mortgage Association
30 yr 3.00% TBA commitments (Call)		 Jul-18/96.48 19,000,000 19,000,000 81,757
    Federal National Mortgage Association
30 yr 3.50% TBA commitments (Put)		 Sep-18/98.84 13,000,000 13,000,000 46,124
    Federal National Mortgage Association
30 yr 3.50% TBA commitments (Put)		 Sep-18/98.68 13,000,000 13,000,000 39,611
    Federal National Mortgage Association
30 yr 3.50% TBA commitments (Put)		 Sep-18/98.52 13,000,000 13,000,000 33,904
    Federal National Mortgage Association
30 yr 3.50% TBA commitments (Put)		 Jul-18/98.91 13,000,000 13,000,000 936
    Federal National Mortgage Association
30 yr 3.50% TBA commitments (Put)		 Jul-18/98.75 13,000,000 13,000,000 338
    Federal National Mortgage Association
30 yr 3.50% TBA commitments (Put)		 Jul-18/98.59 13,000,000 13,000,000 104
Total purchased options outstanding (cost $665,775) $291,815

SENIOR LOANS (1.8%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.988%, 7/2/22 $99,951 $83,147
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.28%, 4/28/22 49,120 47,594
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.834%, 4/21/24 83,592 80,014
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.323%, 12/15/24 253,725 254,201
Azek Co., LLC (The) bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.75%, 5/5/24 50,000 49,969
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.611%, 6/21/24 216,810 216,933
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.588%, 4/3/24 64,513 64,513
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.838%, 11/17/22 155,000 157,519
CCC Information Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.75%), 8.844%, 3/30/25 64,000 64,160
Chesapeake Energy Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.50%), 9.594%, 8/23/21 175,000 182,547
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 6.251%, 5/5/24 36,059 36,036
Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.421%, 6/30/24 134,660 131,714
Forterra Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.094%, 10/25/23 200,470 186,520
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.844%, 4/16/21 133,774 134,332
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.084%, 3/31/24 81,165 81,063
HFOTCO, LLC bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 2.75%), 2.75%, 6/19/25 200,000 199,833
iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA LIBOR USD 3 Month + 6.75%), 8.844%, 1/30/19 (In default)(NON) 323,000 245,749
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.604%, 5/21/24 260,000 256,750
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.509%, 10/16/23 79,794 79,129
KCA Deutag Alpha, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.75%), 9.021%, 3/21/23 150,096 149,345
Kronos, Inc./MA bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 10.608%, 11/1/24 95,000 98,088
Murray Energy Corp. bank term loan FRN Ser. B2, (BBA LIBOR USD 3 Month + 7.25%), 9.344%, 4/17/20 103,000 97,078
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.53%, 11/6/24 339,150 339,856
Neiman Marcus Group, Ltd., Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.263%, 10/25/20 148,720 131,543
Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.267%, 2/28/25 104,738 103,559
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.363%, 11/3/23 146,600 144,584
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.594%, 9/7/23 248,103 192,280
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.844%, 2/5/23 142,468 142,151
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.873%, 2/28/26 100,000 98,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 5.373%, 2/28/25 114,738 114,451
Talbots, Inc. (The) bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.594%, 3/19/21 66,961 64,785
Talbots, Inc. (The) bank term loan FRN (BBA LIBOR USD 3 Month + 4.50%), 6.594%, 3/19/20 105,175 103,597
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.202%, 3/28/25 259,350 255,280
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.001%, 11/15/23 55,000 54,244
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.983%, 7/24/24 74,812 74,812
Total senior loans (cost $4,862,078) $4,715,376

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) $22,000 $22,067
Patrick Industries, Inc. 144A cv. sr. unsec. notes 1.00%, 2/1/23 26,000 24,258
46,325
Capital goods (0.1%)
Aerojet Rocketdyne Holdings, Inc. cv. sr. unsec. sub. notes 2.25%, 12/15/23 22,000 28,425
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 34,000 39,373
Greenbrier Cos., Inc. (The) cv. sr. unsec. notes 2.875%, 2/1/24 21,000 24,166
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 14,678
II-VI, Inc. 144A cv. sr. unsec. notes 0.25%, 9/1/22 16,000 17,867
Kaman Corp. cv. sr. unsec. notes 3.25%, 5/1/24 30,000 36,180
160,689
Communication services (—%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 66,000 63,927
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/15/23 16,000 16,945
80,872
Consumer cyclicals (0.1%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 14,381 24,596
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 22,000 26,961
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 52,000 56,669
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 56,000 69,662
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 5,000 5,848
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 2.50%, 3/15/23 26,000 26,921
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 20,000 17,737
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 16,000 16,489
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 0.35%, 6/15/20 46,000 71,215
Square, Inc. cv. sr. unsec. unsub. notes 0.375%, 3/1/22 8,000 21,599
Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23 27,000 28,873
366,570
Consumer staples (0.1%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.25%, 5/15/23 13,000 15,391
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 19,000 22,112
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 53,000 52,339
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 27,000 28,415
Wayfair, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 9/1/22 20,000 25,765
144,022
Energy (0.1%)
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 (acquired 2/2/17, cost $24,845) (Cayman Islands)(RES) 35,887 35,887
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 37,000 37,603
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 27,000 35,032
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 44,000 41,995
150,517
Financials (—%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 18,000 17,445
Heritage Insurance Holdings, Inc. 144A cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 15,000 18,880
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22,(R) 38,000 42,317
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 26,000 24,894
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19,(R) 22,000 24,488
128,024
Health care (0.2%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 44,000 44,449
Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25 30,000 27,627
Exact Sciences Corp. cv. sr. unsec. notes 1.00%, 1/15/25 11,000 11,569
Insmed, Inc. cv. sr. unsec. sub. notes 1.75%, 1/15/25 20,000 18,360
Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24 16,000 17,972
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 17,000 22,544
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21, (Ireland) 72,000 78,271
Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22 49,000 59,535
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 16,000 23,092
Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 17,000 18,459
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 31,000 28,733
Supernus Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.625%, 4/1/23 21,000 25,592
Teladoc, Inc. 144A cv. sr. unsec. notes 1.375%, 5/15/25 27,000 33,970
Wright Medical Group, Inc. cv. sr. unsec. notes 2.00%, 2/15/20 27,000 29,211
439,384
Technology (0.4%)
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25 23,000 23,031
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 14,000 20,755
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 13,000 18,876
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 1/15/23 25,000 37,401
Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 26,000 34,467
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 16,000 23,990
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 21,000 19,061
HubSpot, Inc. cv. sr. unsec. notes 0.25%, 6/1/22 25,000 35,714
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 23,000 21,492
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 31,000 35,327
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 28,000 37,838
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 6,000 13,241
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 102,000 118,601
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 45,000 81,039
Nice Systems, Inc. cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 26,000 34,451
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 19,000 17,862
Nutanix, Inc. 144A cv. sr. unsec. notes zero %, 1/15/23 23,000 28,398
Okta, Inc. 144A cv. sr. unsec. notes 0.25%, 2/15/23 24,000 29,624
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 25,000 31,639
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 20,000 26,312
OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22 31,000 29,995
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 29,000 42,535
RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22 35,000 49,594
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 23,000 41,906
ServiceNow, Inc. cv. sr. unsec. unsub. bonds zero %, 11/1/18 4,000 9,315
ServiceNow, Inc. cv. sr. unsec. unsub. notes zero %, 6/1/22 28,000 37,930
Teradyne, Inc. cv. sr. unsec. notes 1.25%, 12/15/23 24,000 31,946
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 15,000 27,951
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 31,000 29,996
Twitter, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/24 13,000 13,429
Vocera Communications, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/23 16,000 17,764
Western Digital Corp. 144A cv. company guaranty sr. unsec. notes 1.50%, 2/1/24 21,000 21,231
Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23, (Israel) 16,000 15,781
Workday, Inc. 144A cv. sr. unsec. notes 0.25%, 10/1/22 26,000 27,294
1,085,786
Transportation (—%)
Air Transport Services Group, Inc. 144A cv. sr. unsec. notes 1.125%, 10/15/24 37,000 36,049
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 19,000 18,410
54,459
Total convertible bonds and notes (cost $2,480,791) $2,656,648

COMMON STOCKS (0.1%)(a)
Shares Value
Avaya Holdings Corp.(NON) 6,262 $125,741
Caesars Entertainment Corp.(NON) 3,910 41,837
CHC Group, LLC (Units) (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 5,053
Halcon Resources Corp.(NON) 11,307 49,638
MWO Holdings, LLC (Units)(F) 73 5,913
Nine Point Energy(F) 648 8,916
SandRidge Energy, Inc.(NON) 3,589 63,669
Tervita Corp. Class A (Canada) 191 1,453
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 5,303
Tribune Media Co. Class 1C 40,066 14,023
Total common stocks (cost $412,106) $321,546

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
Nine Point Energy 6.75% cv. pfd. 13 $14,345
Total convertible preferred stocks (cost $13,000) $14,345

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 3,071 $1,225
Total warrants (cost $—) $1,225

SHORT-TERM INVESTMENTS (15.9%)(a)
Principal amount/shares Value
Argentina (Republic of) Central bank letters with effective yields ranging from 28.01% to 29.31%, 8/15/18 (Argentina) ARS 19,088,000 $628,628
Argentina (Republic of) Treasury bills with effective yields ranging from 24.66% to 25.05%, 9/19/18 (Argentina) ARS 27,240,000 863,272
Putnam Short Term Investment Fund 2.04%(AFF) Shares 25,332,152 25,332,152
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.82%(P) Shares 923,000 923,000
U.S. Treasury Bills 1.932%, 9/13/18(SEGSF)(SEGCCS) $7,063,000 $7,036,074
U.S. Treasury Bills 1.908%, 9/6/18(SEGSF)(SEGCCS) 3,414,000 3,402,249
U.S. Treasury Bills 1.741%, 7/12/18(SEG)(SEGSF)(SEGCCS) 1,698,000 1,697,209
U.S. Treasury Bills 1.880%, 8/9/18(SEG)(SEGSF)(SEGCCS) 1,424,000 1,421,260
U.S. Treasury Bills 1.850%, 8/2/18(SEG)(SEGSF)(SEGCCS) 1,068,000 1,066,336
U.S. Treasury Bills 1.838%, 7/19/18(SEGSF)(SEGCCS) 232,000 231,810
U.S. Treasury Bills 1.900%, 9/20/18(SEGCCS) 147,000 146,388
Total short-term investments (cost $43,653,116) $42,748,378

TOTAL INVESTMENTS
Total investments (cost $367,719,367) $365,267,904













FORWARD CURRENCY CONTRACTS at 6/30/18 (aggregate face value $159,707,473) (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 $3,781,906 $3,965,416 $(183,510)
British Pound Sell 9/19/18 1,124,463 1,115,605 (8,858)
Canadian Dollar Buy 7/18/18 9,739 9,793 (54)
Euro Sell 9/19/18 1,691,681 1,700,338 8,657
Japanese Yen Sell 8/16/18 1,056,258 1,075,622 19,364
New Taiwan Dollar Buy 8/16/18 1,115,955 1,125,837 (9,882)
New Taiwan Dollar Sell 8/16/18 1,102,775 1,126,900 24,125
New Zealand Dollar Sell 7/18/18 1,104,202 1,149,699 45,497
Norwegian Krone Buy 9/19/18 3,813,479 3,804,965 8,514
Swedish Krona Sell 9/19/18 1,935,942 1,970,491 34,549
Barclays Bank PLC
Australian Dollar Buy 7/18/18 3,400,326 3,532,289 (131,963)
British Pound Buy 9/19/18 1,577,638 1,599,291 (21,653)
Canadian Dollar Sell 7/18/18 919,206 925,152 5,946
Euro Sell 9/19/18 2,456,942 2,463,921 6,979
Hong Kong Dollar Sell 8/16/18 289,862 289,842 (20)
Japanese Yen Sell 8/16/18 34,372 26,556 (7,816)
Norwegian Krone Buy 9/19/18 1,682,392 1,679,639 2,753
Swedish Krona Sell 9/19/18 1,999,553 2,039,972 40,419
Citibank, N.A.
Australian Dollar Buy 7/18/18 3,101,189 3,235,438 (134,249)
Brazilian Real Buy 7/3/18 1,126,879 1,333,261 (206,382)
Brazilian Real Sell 7/3/18 1,126,879 1,332,083 205,204
British Pound Sell 9/19/18 196,526 199,437 2,911
Canadian Dollar Buy 7/18/18 1,471,445 1,493,847 (22,402)
Canadian Dollar Sell 7/18/18 1,471,445 1,454,159 (17,286)
Euro Sell 9/19/18 1,128,688 1,130,064 1,376
Japanese Yen Buy 8/16/18 534,853 545,260 (10,407)
New Zealand Dollar Sell 7/18/18 554,641 580,830 26,189
Norwegian Krone Buy 9/19/18 583,854 582,908 946
Swedish Krona Sell 9/19/18 2,271,385 2,325,767 54,382
Credit Suisse International
Australian Dollar Buy 7/18/18 2,958,726 3,063,182 (104,456)
British Pound Sell 9/19/18 94,422 99,460 5,038
Canadian Dollar Buy 7/18/18 1,102,195 1,137,260 (35,065)
Canadian Dollar Sell 7/18/18 1,102,195 1,153,417 51,222
Euro Sell 9/19/18 1,691,563 1,700,273 8,710
Japanese Yen Sell 8/16/18 1,305,007 1,321,306 16,299
New Zealand Dollar Buy 7/18/18 1,114,023 1,133,371 (19,348)
New Zealand Dollar Sell 7/18/18 1,114,023 1,137,716 23,693
Swedish Krona Sell 9/19/18 2,635,939 2,683,487 47,548
Goldman Sachs International
Australian Dollar Buy 7/18/18 1,574,943 1,787,867 (212,924)
Brazilian Real Buy 7/3/18 2,009,366 2,298,193 (288,827)
Brazilian Real Sell 7/3/18 2,114,494 2,456,658 342,164
British Pound Sell 9/19/18 750,878 759,444 8,566
Canadian Dollar Buy 7/18/18 362,250 375,432 (13,182)
Chinese Yuan (Offshore) Buy 8/16/18 1,079,126 1,129,882 (50,756)
Chinese Yuan (Offshore) Sell 8/16/18 1,092,282 1,114,772 22,490
Euro Sell 9/19/18 1,593,718 1,589,364 (4,354)
Japanese Yen Buy 8/16/18 560,031 567,012 (6,981)
New Taiwan Dollar Buy 8/16/18 11,424 7,817 3,607
New Zealand Dollar Sell 7/18/18 5,658,637 5,903,146 244,509
Norwegian Krone Buy 9/19/18 13,439,062 13,430,542 8,520
South African Rand Buy 7/18/18 162,491 212,185 (49,694)
Swedish Krona Sell 9/19/18 1,191,673 1,256,312 64,639
HSBC Bank USA, National Association
Australian Dollar Buy 7/18/18 1,819,906 1,911,056 (91,150)
British Pound Buy 9/19/18 1,112,014 1,124,837 (12,823)
Chinese Yuan (Offshore) Buy 8/16/18 1,079,141 1,129,150 (50,009)
Chinese Yuan (Offshore) Sell 8/16/18 1,092,282 1,114,379 22,097
Japanese Yen Sell 8/16/18 1,110,891 1,110,694 (197)
Mexican Peso Buy 7/18/18 274,443 296,228 (21,785)
New Zealand Dollar Sell 7/18/18 1,267,769 1,300,296 32,527
Swedish Krona Sell 9/19/18 2,621,294 2,669,637 48,343
JPMorgan Chase Bank N.A.
Australian Dollar Sell 7/18/18 444,486 350,394 (94,092)
British Pound Buy 9/19/18 557,927 561,222 (3,295)
Canadian Dollar Sell 7/18/18 399,913 428,287 28,374
Euro Sell 9/19/18 1,142,078 1,140,132 (1,946)
Japanese Yen Sell 8/16/18 755,620 738,731 (16,889)
New Zealand Dollar Sell 7/18/18 1,696,365 1,811,740 115,375
Norwegian Krone Buy 9/19/18 3,214,329 3,207,031 7,298
Russian Ruble Buy 9/19/18 1,107,024 1,120,350 (13,326)
Russian Ruble Sell 9/19/18 1,107,024 1,114,609 7,585
Swedish Krona Sell 9/19/18 3,641,853 3,703,613 61,760
Swiss Franc Sell 9/19/18 140,082 141,002 920
NatWest Markets PLC
Canadian Dollar Buy 7/18/18 1,126,999 1,113,841 13,158
Canadian Dollar Sell 7/18/18 1,126,999 1,121,982 (5,017)
Euro Sell 9/19/18 1,012,283 1,006,614 (5,669)
Japanese Yen Buy 8/16/18 1,111,622 1,114,377 (2,755)
Swedish Krona Sell 9/19/18 1,704,855 1,749,445 44,590
State Street Bank and Trust Co.
Australian Dollar Buy 7/18/18 1,364,097 1,477,606 (113,509)
British Pound Sell 9/19/18 611,562 617,994 6,432
Canadian Dollar Sell 7/18/18 336,152 326,671 (9,481)
Euro Sell 9/19/18 5,490,146 5,492,083 1,937
Japanese Yen Buy 8/16/18 552,391 556,167 (3,776)
New Zealand Dollar Sell 7/18/18 1,747,908 1,818,510 70,602
Norwegian Krone Buy 9/19/18 4,322,080 4,317,935 4,145
Swedish Krona Sell 9/19/18 6,447,153 6,588,077 140,924
UBS AG
Australian Dollar Buy 7/18/18 1,537,644 1,586,656 (49,012)
British Pound Sell 9/19/18 875,097 885,545 10,448
Canadian Dollar Buy 7/18/18 1,110,032 1,119,668 (9,636)
Canadian Dollar Sell 7/18/18 1,110,032 1,143,584 33,552
Euro Sell 9/19/18 2,002,131 2,003,964 1,833
Japanese Yen Sell 8/16/18 1,062,098 1,069,506 7,408
New Zealand Dollar Sell 7/18/18 2,546,715 2,717,241 170,526
Norwegian Krone Buy 9/19/18 2,114,127 2,109,099 5,028
Swedish Krona Sell 9/19/18 1,383,148 1,431,831 48,683
WestPac Banking Corp.
Australian Dollar Buy 7/18/18 2,016,469 2,113,169 (96,700)
Canadian Dollar Buy 7/18/18 58,435 58,230 205
Canadian Dollar Sell 7/18/18 58,435 58,700 265
Japanese Yen Sell 8/16/18 990,850 1,003,110 12,260
Unrealized appreciation 2,231,091
Unrealized (depreciation) (2,141,136)
Total $89,955

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












FUTURES CONTRACTS OUTSTANDING at 6/30/18 (Unaudited)


Number of contracts Notional amount Value Expiration date Unrealized appreciation/
(depreciation)
Euro-BTP Italian Government Bond (Long) 21 $3,120,408 $3,120,408 Sep-18 $24,217
Euro-Bund 10 yr (Short) 48 9,111,643 9,111,643 Sep-18 (64,603)
Euro-OAT 10 yr (Short) 7 1,263,303 1,263,303 Sep-18 (11,138)
U.S. Treasury Note Ultra 10 yr (Long) 28 3,590,563 3,590,563 Sep-18 42,632
Unrealized appreciation 66,849
Unrealized (depreciation) (75,741)
Total $(8,892)












WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/18 (premiums $7,344,048) (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 $27,734,600 $277
(1.9325)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 61,632,500 16,024
2.2625/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 27,734,600 172,232
1.9325/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 61,632,500 644,060

Barclays Bank PLC
2.9425/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.9425 5,554,000 4,277
(2.9425)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.9425 5,554,000 9,831
2.813/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.813 27,421,000 131,347
(2.98)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.98 18,948,000 138,320

Citibank, N.A.
1.291/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.291 EUR 6,718,000 8
(2.6325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.6325 $24,653,000 2,465
(2.739)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.739 20,098,900 7,035
3.03/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.03 18,892,100 7,746
3.126/3 month USD-LIBOR-BBA/Aug-28 Aug-18/3.126 18,948,000 23,306
3.029/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.029 20,098,900 25,727
3.09/3 month USD-LIBOR-BBA/Jun-24 Jun-19/3.09 13,441,500 123,527
(3.03)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.03 18,892,100 169,840
2.663/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.663 27,421,000 183,446

Credit Suisse International
3.3575/3 month USD-LIBOR-BBA/Aug-28 Aug-18/3.3575 20,098,900 5,226
3.10/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.10 18,948,000 17,622
(2.915)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.915 6,029,700 25,867
2.973/3 month USD-LIBOR-BBA/Sep-22 Sep-18/2.973 33,603,800 94,091
(2.973)/3 month USD-LIBOR-BBA/Sep-22 Sep-18/2.973 33,603,800 178,100

Goldman Sachs International
(2.3025)/3 month USD-LIBOR-BBA/Oct-19 Oct-18/2.3025 49,306,000 6,903
3.05/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.05 18,948,000 13,643
2.8875/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.8875 53,597,200 76,108
2.85/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.85 53,597,200 86,827
(2.85)/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.85 53,597,200 88,435
(2.8875)/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.8875 53,597,200 110,946
(3.05)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.05 18,948,000 207,481
(1.6975)/3 month GBP-LIBOR-BBA/Oct-38 Oct-18/1.6975 GBP 8,451,000 260,093
2.01/6 month EUR-EURIBOR-Reuters/Dec-37 Dec-27/2.01 EUR 4,225,300 328,279
(2.01)/6 month EUR-EURIBOR-Reuters/Dec-37 Dec-27/2.01 EUR 4,225,300 332,523

JPMorgan Chase Bank N.A.
(2.25)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 $27,734,600 277
(1.919)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 61,632,500 15,408
3.055/3 month USD-LIBOR-BBA/Sep-20 Sep-18/3.055 40,324,500 17,340
2.975/3 month USD-LIBOR-BBA/Sep-20 Sep-18/2.975 40,324,500 32,260
(1.106)/3 month GBP-LIBOR-BBA/Nov-27 Nov-22/1.106 GBP 4,647,800 84,955
2.25/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 $27,734,600 175,283
2.77/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.77 49,306,000 255,898
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 8,451,000 561,254
1.919/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 $61,632,500 651,456

Morgan Stanley & Co. International PLC


3.0625/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.0625 13,885,000 14
(2.8425)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.8425 13,885,000 139
(2.8525)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.8525 6,029,700 10,552
3.1225/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.1225 25,264,000 14,653
3.255/3 month USD-LIBOR-BBA/Aug-28 Aug-18/3.255 18,892,100 20,215
3.24/3 month USD-LIBOR-BBA/Sep-28 Sep-18/3.24 12,632,000 28,296
2.75/3 month USD-LIBOR-BBA/Aug-20 Aug-18/2.75 26,798,600 69,408
3.02/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.02 38,141,000 95,734
2.655/3 month USD-LIBOR-BBA/Jul-20 Jul-18/2.655 53,597,200 144,711
(2.99)/3 month USD-LIBOR-BBA/Sep-28 Sep-18/2.99 12,632,000 151,963
(2.9725)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/2.9725 25,264,000 167,500
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-25/3.00 3,150,300 313,423
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-25/3.00 3,150,300 313,738
(3.02)/3 month USD-LIBOR-BBA/Jul-28 Jul-18/3.02 38,141,000 378,740
Total $6,994,829












WRITTEN OPTIONS OUTSTANDING at 6/30/18 (premiums $595,469) (Unaudited)


Counterparty Expiration date/
strike price		 Notional amount Contract amountValue

JPMorgan Chase Bank N.A.
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put)Jul-18/$93.22$15,000,000$15,000,000$4,695
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put)Jul-18/96.4819,000,00019,000,0006,061
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Sep-18/98.2713,000,00013,000,00026,065
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Sep-18/98.1113,000,00013,000,00022,165
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Sep-18/97.9513,000,00013,000,00018,811
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Sep-18/97.7013,000,00013,000,00014,274
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Sep-18/97.5413,000,00013,000,00012,038
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Sep-18/97.3813,000,00013,000,00010,114
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Jul-18/98.5513,000,00013,000,00065
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Jul-18/97.8813,000,00013,000,00013
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Jul-18/98.1913,000,00013,000,00013
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Jul-18/98.3913,000,00013,000,00013
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Jul-18/98.0313,000,00013,000,00013
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put)Jul-18/98.2313,000,00013,000,00013
Total $114,353













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/18 (Unaudited)
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity dateExpiration 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 $6,163,300 $(123,266) $104,899
    (2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) 19,230
    (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 3,698,000 (130,355) (16,308)
    (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (18,231)
    2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) (70,262)
    2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (97,701)
    2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 6,163,300 (123,266) (105,947)
    2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 3,698,000 (130,355) (109,831)
    (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 3,698,000 334,114 263,852
    (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 6,163,300 236,979 193,158
    2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 3,698,000 334,114 92,376
    2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 6,163,300 236,979 (105,947)

Barclays Bank PLC
    (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 6,163,300 (123,266) 104,406
    (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 3,698,000 (51,587) 9,467
    2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 3,698,000 (51,587) (45,596)
    2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 6,163,300 (123,266) (105,885)

Citibank, N.A.
    (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) 18,182
    (2.34)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.34 934,000 (17,326) 14,094
    (2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 11,507
    2.34/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.34 934,000 (17,326) (11,796)
    2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (25,536)
    2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) (69,522)
    (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 6,163,300 237,287 192,788
    (2.615)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.615 934,000 74,720 41,806
    2.615/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.615 934,000 74,720 (20,389)
    2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 6,163,300 236,054 (103,790)

Goldman Sachs International
    (2.47)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.47 1,556,600 (55,259) 31,801
    (2.7725)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.7725 1,556,600 (39,693) 19,520
    (2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,556,600 (124,761) 8,733
    (3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,556,600 (107,872) 6,195
    (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (1,649)
    2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (14,348)
    3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,556,600 (141,651) (17,574)
    2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,556,600 (124,761) (18,446)
    2.47/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.47 1,556,600 (55,259) (36,300)
    2.7725/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.7725 1,556,600 (74,717) (42,557)
    (2.875)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.875 1,556,600 127,797 64,957
    (2.584)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.584 1,556,600 93,163 55,851
    2.875/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.875 1,556,600 65,689 (21,652)
    2.584/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.584 1,556,600 93,163 (38,806)

JPMorgan Chase Bank N.A.
    (2.2525)/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.2525 1,556,600 (96,509) 14,803
    (2.553)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.553 934,000 (12,422) 12,049
    (2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (100,218) 11,255
    2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) (1,930)
    (1.045)/6 month EUR-EURIBOR-Reuters/Jul-28 (Purchased) Jul-18/1.045 EUR 19,847,300 (12,658) (3,013)
    (2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 $1,556,600 $(161,886) $(5,495)
    2.2525/3 month USD-LIBOR-BBA/Nov-29 (Purchased) Nov-19/2.2525 1,556,600 (18,679) (6,600)
    2.553/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.553 934,000 (22,883) (15,000)
    2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 (144,396) (32,186)
    (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (91,304)
    2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (158,385)
    (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 3,698,000 351,125 250,281
    2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 3,698,000 351,125 132,240
    (2.826)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.826 934,000 102,833 54,695
    (2.36)/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.36 1,556,600 25,684 2,428
    (0.745)/6 month EUR-EURIBOR-Reuters/Jul-28 (Written) Jul-18/0.745 EUR 19,847,300 8,055 (464)
    2.36/3 month USD-LIBOR-BBA/Nov-39 (Written) Nov-19/2.36 $1,556,600 $169,669 $(5,152)
    2.826/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.826 934,000 52,397 (16,550)

Morgan Stanley & Co. International PLC
    (2.155)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.155 934,000 (23,350) 14,673
    (2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) 8,555
    2.155/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-19/2.155 934,000 (12,235) (8,238)
    2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) (19,196)
    (2.43)/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.43 934,000 51,930 28,805
    2.43/3 month USD-LIBOR-BBA/Nov-49 (Written) Nov-19/2.43 934,000 102,366 (19,418)
Unrealized appreciation 1,782,606
Unrealized (depreciation) (1,481,004)
Total $301,602












TBA SALE COMMITMENTS OUTSTANDING at 6/30/18 (proceeds receivable $41,513,750) (Unaudited)


Agency Principal amountSettlement date Value
Federal National Mortgage Association, 4.50%, 7/1/48 $3,000,0007/12/18 $3,123,750
Federal National Mortgage Association, 3.50%, 7/1/48 27,000,000      7/12/18 26,869,217
Federal National Mortgage Association, 3.00%, 8/1/48 6,000,0008/13/18 5,805,469
Federal National Mortgage Association, 3.00%, 7/1/48 6,000,0007/12/18 5,811,563
Total $41,609,999








                     
  OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/18 (Unaudited)
   
  Swap counterparty/notional amount   Value   Upfront premium received (paid)   Termination
  date		 Payments made by fund   Payments received by fund Unrealized appreciation/
(depreciation)
                     
  JPMorgan Chase Bank N.A.                
  MYR  3,705,000  $2,522   $—   12/12/22 3.925% — Quarterly   3 month MYR-KLIBOR-BNM — Quarterly  $(2,635)
   Upfront premium received    —    Unrealized appreciation  — 
   Upfront premium (paid)    —    Unrealized (depreciation)  (2,635)
      Total   $—       Total $(2,635)








  CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/18 (Unaudited)
   
  Notional amount   Value   Upfront premium received (paid)   Termination date Payments made by fund   Payments received by fund Unrealized appreciation/
(depreciation)
                       
     $4,771,000  $41,427 (E) $(35)   10/27/27 3 month USD-LIBOR-BBA — Quarterly   2.74875% — Semiannually   $(41,461)
     20,704,000  96,874   (195)    3/21/23 3 month USD-LIBOR-BBA — Quarterly   2.7725% — Semiannually   48,979
     4,078,000  24,692 (E) (46)   2/27/28 3 month USD-LIBOR-BBA — Quarterly   3.11% — Semiannually   24,646
     38,926,700  68,239 (E) (48,805)   6/7/20 3 month USD-LIBOR-BBA — Semiannually   2.79375% — Quarterly   19,433
     38,926,700  27,015 (E) 32,941    6/7/20 3 month USD-LIBOR-BBA — Quarterly   2.90375% — Semiannually   5,926
     4,849,000  17,020 (E) (55)   3/7/28 3 month USD-LIBOR-BBA — Quarterly   3.05125% — Semiannually   16,965
     154,293,100  937,793   (308,861)   6/20/23 2.75% — Semiannually   3 month USD-LIBOR-BBA — Quarterly   608,882
     36,933,000  2,031   (89)   4/25/19 3 month USD-LIBOR-BBA — Quarterly   2.547% — Semiannually   8,152
     92,333,000  3,970   (223)   4/26/19 3 month USD-LIBOR-BBA — Quarterly   2.55% — Semiannually   21,146
     18,467,000  3,195   (45)   5/1/19 3 month USD-LIBOR-BBA — Quarterly   2.5371% — Semiannually   1,062
     18,892,100  52,331   122,296    7/3/28 3 month USD-LIBOR-BBA — Quarterly   2.899% — Semiannually   69,965
     68,664,000  140,075 (E) (72,550)   9/19/23 3 month USD-LIBOR-BBA — Semiannually   2.95% — Quarterly   (212,625)
     3,896,000  20,080 (E) (9,620)   9/19/28 3 month USD-LIBOR-BBA — Quarterly   3.00% — Semiannually   10,460
     189,845,400  42,525 (E) 69,156    9/19/20 2.875% — Semiannually   3 month USD-LIBOR-BBA — Quarterly   26,631
     3,675,200  50,336 (E) (27,368)   9/19/48 3 month USD-LIBOR-BBA — Quarterly   3.00% — Semiannually   22,967
     7,750,000  2,201 (E) (6,451)   9/19/23 2.90% — Semiannually   3 month USD-LIBOR-BBA — Quarterly   (4,250)
     15,266,500  11,969 (E) (19,458)   9/19/28 2.95% — Semiannually   3 month USD-LIBOR-BBA — Quarterly   (31,427)
     3,275,000  13,405   (43)   6/26/28 3 month USD-LIBOR-BBA — Semiannually   2.9715% — Quarterly   (13,736)
     8,147,700  30,994 (E) (115)   8/7/28 3 month USD-LIBOR-BBA — Semiannually   2.976% — Quarterly   (31,109)
     8,438,200  33,019 (E) (119)   7/27/28 3 month USD-LIBOR-BBA — Semiannually   2.975% — Quarterly   (33,138)
     1,465,300  6,376 (E) (21)   7/27/28 3 month USD-LIBOR-BBA — Semiannually   2.98% — Quarterly   (6,396)
     11,090,000  11,523   (90)   6/27/23 3 month USD-LIBOR-BBA — Semiannually   2.9035% — Quarterly   (12,310)
     4,704,000  6,205   (62)   6/28/28 3 month USD-LIBOR-BBA — Semiannually   2.9398% — Quarterly   (6,504)
     4,922,000  8,712   (65)   7/2/28 3 month USD-LIBOR-BBA — Semiannually   2.91024% — Quarterly   8,647
     5,225,000  2,142   (69)   7/3/28 3 month USD-LIBOR-BBA — Semiannually   2.92594% — Quarterly   2,073
     5,933,200  4,035   (79)   7/3/28 3 month USD-LIBOR-BBA — Semiannually   2.92287% — Quarterly   3,956
  AUD  5,347,000  1,895   (17)   11/3/22 2.427% — Semiannually   6 month AUD-BBR-BBSW — Semiannually   (3,646)
  AUD  5,347,000  7,170   (17)   11/15/22 2.4525% — Semiannually   6 month AUD-BBR-BBSW — Semiannually   (9,216)
  AUD  6,166,000  43,026 (E) (54)   3/7/28 3.395% — Semiannually   6 month AUD-BBR-BBSW — Semiannually   (43,079)
  AUD  39,037,000  37,816 (E) (58,669)   9/19/23 6 month AUD-BBR-BBSW — Semiannually   2.55% — Semiannually   (96,485)
  AUD  2,581,000  8,853 (E) (2,203)   9/19/28 6 month AUD-BBR-BBSW — Semiannually   2.90% — Semiannually   (11,057)
  BRL  9,366,135  51,406   (26)   1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity   (52,683)
  BRL  4,758,157  19,680   (19)   1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity   20,190
  BRL  5,169,965  59,378   —    1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity   60,435
  CAD  5,244,000  66,726   (17)   11/2/22 3 month CAD-BA-CDOR — Semiannually   2.02% — Semiannually   (64,887)
  CAD  5,244,000  61,991   (17)   11/14/22 3 month CAD-BA-CDOR — Semiannually   2.0525% — Semiannually   (60,397)
  CAD  22,699,000  13,191 (E) 8,582    9/19/23 3 month CAD-BA-CDOR — Semiannually   2.50% — Semiannually   21,773
  CAD  2,902,000  1,996 (E) (7,335)   9/19/28 3 month CAD-BA-CDOR — Semiannually   2.60% — Semiannually   (9,331)
  CHF  10,534,000  12,477 (E) (2,069)   9/19/23 0.05% plus 6 month CHF-LIBOR-BBA — Semiannually   —  10,408
  CHF  9,412,000  52,710 (E) (32,552)   9/19/28 6 month CHF-LIBOR-BBA — Semiannually   0.50% — Annually   20,159
  EUR  3,849,000  8,734 (E) (15)   2/18/20 —   0.124% plus 1 Day Euribor rate — Annually   (8,749)
  EUR  3,849,000  9,650 (E) (15)   2/18/20 —   0.104% plus 1 Day Euribor rate — Annually   (9,666)
  EUR  12,463,000  67,415   (110)   5/4/22 0.21% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually   (78,731)
  EUR  3,590,000  46,599 (E) (31)   10/27/27 1.61375% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually   (46,629)
  EUR  6,424,000  61,531   (63)   1/24/23 6 month EUR-EURIBOR-REUTERS — Semiannually   0.378% — Annually   83,741
  EUR  1,650,000  26,082   (27)   1/24/28 0.976% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually   (37,039)
  EUR  7,976,000  11,671   (37)   1/24/20 —   0.14% plus 6 month EUR-EURIBOR-REUTERS — Semiannually   (17,549)
  EUR  8,024,000  13,915   (38)   1/30/20 —   0.1249% plus 6 month EUR-EURIBOR-REUTERS — Semiannually   (20,258)
  EUR  6,456,000  83,551   (65)   1/30/23 6 month EUR-EURIBOR-REUTERS — Semiannually   0.4419% — Annually   107,122
  EUR  1,654,000  30,063   (27)   1/30/28 0.9987% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually   (40,817)
  EUR  16,478,700  256,867   (191)   3/21/23 0.503% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually   (299,820)
  EUR  3,262,000  66,885 (E) (45)   2/27/28 1.815% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually   (66,930)
  EUR  10,847,000  11,958 (E) (15,411)   9/19/23 6 month EUR-EURIBOR-REUTERS — Annually   0.30% — Semiannually   (3,453)
  EUR  28,366,000  88,413 (E) 43,198    9/19/28 6 month EUR-EURIBOR-REUTERS — Semiannually   0.95% — Annually   131,611
  EUR  2,778,600  383 (E) (45)   8/1/28 6 month EUR-EURIBOR-REUTERS — Semiannually   0.895% — Annually   337
  GBP  1,747,000  31,146 (E) (32)   1/19/32 1.912% — Semiannually   6 month GBP-LIBOR-BBA — Semiannually   (31,179)
  GBP  7,946,000  16,768   (24)   9/15/19 6 month GBP-LIBOR-BBA — Semiannually   0.766% — Semiannually   (15,052)
  GBP  1,589,000  15,646 (E) (19)   9/22/32 1.863% — Semiannually   6 month GBP-LIBOR-BBA — Semiannually   (15,666)
  GBP  7,946,000  13,507   9,866    12/20/19 6 month GBP-LIBOR-BBA — Semiannually   0.85% — Semiannually   (3,332)
  GBP  12,066,000  6,051 (E) 8,438    9/19/23 6 month GBP-LIBOR-BBA — Semiannually   1.35% — Semiannually   14,489
  GBP  8,720,000  162,761 (E) (134,287)   9/19/28 6 month GBP-LIBOR-BBA — Semiannually   1.70% — Semiannually   28,472
  HKD  291,326,000  56,144   (71)   4/23/19 1.955% — Quarterly   3 month HKD-HIBOR-HKAB — Quarterly   16,049
  HKD  72,942,000  13,565   (22)   4/24/19 1.965% — Quarterly   3 month HKD-HIBOR-HKAB — Quarterly   4,445
  HKD  291,769,000  53,887   (89)   4/24/19 1.96625% — Quarterly   3 month HKD-HIBOR-HKAB — Quarterly   17,323
  HKD  364,527,000  67,371   (112)   4/25/19 1.972% — Quarterly   3 month HKD-HIBOR-HKAB — Quarterly   28,661
  HKD  145,885,000  29,807   (45)   4/27/19 1.96% — Quarterly   3 month HKD-HIBOR-HKAB — Quarterly   17,030
  INR  62,700,000  16,366   —    12/22/22 6.715% — Semiannually   INR-FBIL-MIBOR-OIS-Compound — Semiannually   16,276
  JPY  511,900,000  103,527   (30)   2/19/20 6 month JPY-LIBOR-BBA — Semiannually   1.3975% — Semiannually   127,478
  JPY  351,000,000  929   (13)   12/19/22 6 month JPY-LIBOR-BBA — Semiannually   0.09% — Semiannually   (864)
  JPY  176,000,000  3,481   (12)   12/19/27 0.29% — Semiannually   6 month JPY-LIBOR-BBA — Semiannually   (3,637)
  JPY  351,000,000  5,374   (26)   1/15/23 6 month JPY-LIBOR-BBA — Semiannually   0.135% — Semiannually   6,960
  JPY  176,000,000  14,444   (21)   1/15/28 0.365% — Semiannually   6 month JPY-LIBOR-BBA — Semiannually   (16,981)
  JPY  351,000,000  7,127   (26)   2/16/23 6 month JPY-LIBOR-BBA — Semiannually   0.148% — Semiannually   8,914
  JPY  176,000,000  14,229   (22)   2/16/28 0.366% — Semiannually   6 month JPY-LIBOR-BBA — Semiannually   (16,472)
  MXN  37,435,000  196,000   —    1/1/26 1 month MXN-TIIE-BANXICO — 28 Days   6.16% — 28 Days   (196,304)
  MXN  40,660,000  120,652   —    10/6/21 1 month MXN-TIIE-BANXICO — 28 Days   5.93% — 28 Days   (121,870)
  MXN  9,710,000  4,500   (6)   12/24/26 8.12% — 28 Days   1 month MXN-TIIE-BANXICO — 28 Days   (4,536)
  MXN  11,645,000  8,325   (7)   1/7/27 8.20% — 28 Days   1 month MXN-TIIE-BANXICO — 28 Days   (8,461)
  MXN  145,000  39   —    6/16/23 1 month MXN-TIIE-BANXICO — 28 Days   8.005% — 28 Days   (39)
  MXN  13,760,000  4,134   (6)   6/16/23 1 month MXN-TIIE-BANXICO — 28 Days   8.02% — 28 Days   (4,161)
  MXN  16,450,000  3,661   (7)   6/26/23 1 month MXN-TIIE-BANXICO — 28 Days   7.77% — 28 Days   (3,668)
  NOK  57,419,000  11,464 (E) 4,579    9/19/28 6 month NOK-NIBOR-NIBR — Semiannually   2.20% — Annually   16,042
  NOK  72,895,000  26,108 (E) (21,938)   9/19/23 6 month NOK-NIBOR-NIBR — Annually   1.80% — Semiannually   4,170
  NZD  11,319,000  40,570 (E) (905)   9/19/23 3 month NZD-BBR-FRA — Semiannually   2.70% — Quarterly   (41,475)
  NZD  8,926,000  47,476 (E) 12,481    9/19/28 3 month NZD-BBR-FRA — Quarterly   3.15% — Semiannually   59,957
  SEK  80,438,000  2,982   (21)   11/10/19 —   0.245% plus 3 month SEK-STIBOR-SIDE — Quarterly   7,352
  SEK  16,480,000  11,897   (14)   11/10/27 3 month SEK-STIBOR-SIDE — Quarterly   1.125% — Annually   27,050
  SEK  80,438,000  2,856   (21)   11/10/19 —   0.246% plus 3 month SEK-STIBOR-SIDE — Quarterly   7,540
  SEK  16,480,000  12,731   (14)   11/10/27 3 month SEK-STIBOR-SIDE — Quarterly   1.13% — Annually   27,946
  SEK  80,438,000  5,721   (22)   11/13/19 —   0.2225% plus 3 month SEK-STIBOR-SIDE — Quarterly   3,356
  SEK  16,480,000  17,494   (14)   11/13/27 3 month SEK-STIBOR-SIDE — Quarterly   1.16% — Annually   32,833
  SEK  16,480,000  17,077   (14)   11/13/27 3 month SEK-STIBOR-SIDE — Quarterly   1.1575% — Annually   32,384
  SEK  80,438,000  4,796   (22)   11/13/19 —   0.23% plus 3 month SEK-STIBOR-SIDE — Quarterly   4,737
  SEK  16,495,000  43,567   (27)   1/24/28 3 month SEK-STIBOR-SIDE — Quarterly   1.3325% — Annually   56,202
  SEK  63,575,000  89,186   (64)   1/24/23 0.6075% — Annually   3 month SEK-STIBOR-SIDE — Quarterly   (114,191)
  SEK  78,585,000  19,627   (37)   1/24/20 0.0925% plus 3 month SEK-STIBOR-SIDE — Quarterly   —  21,944
  SEK  77,402,000  20,230   (37)   1/30/20 0.085% plus  3 month SEK-STIBOR-SIDE — Quarterly   —  22,485
  SEK  62,672,000  107,064   (64)   1/30/23 0.66875% — Annually   3 month SEK-STIBOR-SIDE — Quarterly   (132,454)
  SEK  16,322,000  50,531   (27)   1/30/28 3 month SEK-STIBOR-SIDE — Quarterly   1.3775% — Annually   62,847
  SEK  23,558,000  43,351   (24)   2/5/23 0.6975% — Annually   3 month SEK-STIBOR-SIDE — Quarterly   (52,751)
  SEK  25,030,000  2,029 (E) 1,509    9/19/23 3 month SEK-STIBOR-SIDE — Annually   0.50% — Quarterly   (520)
  SEK  65,951,000  13,652 (E) (105)   9/19/28 3 month SEK-STIBOR-SIDE — Quarterly   1.20% — Annually   13,546
  ZAR  41,435,000  6,657   (7)   10/31/20 3 month ZAR-JIBAR-SAFEX — Quarterly   7.48% — Quarterly   9,823
  ZAR  15,940,000  9,059   (8)   10/31/27 8.365% — Quarterly   3 month ZAR-JIBAR-SAFEX — Quarterly   (12,150)
  ZAR  34,635,000  21,030   (18)   1/25/21 3 month ZAR-JIBAR-SAFEX — Quarterly   7.06% — Quarterly   (20,255)
  ZAR  13,265,000  22,113   (15)   1/25/28 7.92% — Quarterly   3 month ZAR-JIBAR-SAFEX — Quarterly   20,162
  Total       $(458,828)            $(117,257)
                       
(E) Extended effective date.












  OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/18 (Unaudited)
   
  Swap counterparty/notional amount   Value   Upfront premium received (paid)   Termi-
nation date		 Payments received (paid) by fund   Total return received by or paid by fund Unrealized appreciation/
(depreciation)
                       
  Barclays Bank PLC
     $57,477  $56,139   $—   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  $(883)
     91,312  91,661   —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly  439
     53,056  51,218   —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  (1,252)
     60,829  61,062   —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly  293
     6,468  6,307   —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  (87)
     112,086  111,874   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly  (58)
     541,910  543,982   —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly  2,606
     423,336  424,220   —   1/12/40 4.50% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly  1,387
     254,806  253,917   —   1/12/39 (6.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly  443
     73,869  70,731   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  (2,427)
     44,493  42,603   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  (1,462)
     56,400  54,004   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  (1,853)
     96,906  94,507   —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  (1,307)
     13,901  13,557   —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  (187)
     222,143  206,412   —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  13,681
     183,073  179,233   —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  2,364
     366,959  359,262   —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  4,738
     31,493  30,556   —   1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  707
     834,412  835,388   —   1/12/40 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  2,132
     6,868,608  6,968,792   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  109,686
     4,337,207  4,324,828   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  4,121
                       
  Citibank, N.A.
     426,761  432,986   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  6,815
     914,619  927,960   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  14,606
     85,425  86,671   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  1,364
                       
  Credit Suisse International
     365,848  371,184   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly  5,842
     293,478  292,641   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  279
     124,297  119,016   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly  (4,084)
     138,539  128,728   —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  8,532
     153,573  142,697   —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  9,458
     129,336  123,841   —   1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly  (4,249)
     49,690  48,648   —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (642)
     42,754  41,294   —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (1,154)
     111,191  107,884   —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (2,496)
     37,192  36,086   —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (835)
     68,009  65,986   —   1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (1,527)
     482,355  458,379   —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (20,232)
     124,676  118,479   —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (5,230)
     123,384  117,837   —   1/12/45 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (4,671)
     240,128  235,091   —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  3,101
                       
  Deutsche Bank AG
     293,478  292,641   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  279
                       
  Goldman Sachs International
     73,235  70,699   —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  (1,729)
     31,974  31,183   —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  (431)
     142,677  139,357   —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (2,193)
     142,677  139,357   —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (2,193)
     201,656  201,081   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  192
     75,754  75,538   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  72
     130,575  127,325   —   1/12/41 4.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly  (2,124)
     3,952  3,815   —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  (93)
     33,686  32,520   —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  (795)
     82,438  80,619   —   1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (1,115)
     35,411  34,185   —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  (836)
     70,822  68,369   —   1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly  (1,672)
     2,401  2,342   —   1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly  (32)
     142,337  141,931   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  135
     276,237  275,448   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  262
     170,768  170,280   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  162
     13,133  13,096   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  12
     34,997  34,897   —   1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly  33
     332,873  325,127   —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (5,116)
     289,965  283,217   —   1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (4,456)
     220,745  205,112   —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  13,595
     305,368  294,941   —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (8,241)
     241,296  233,057   —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (6,512)
     111,629  107,817   —   1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  (3,013)
     123,727  117,577   —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (5,190)
     138,626  134,503   —   1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  3,112
     654,497  621,964   —   1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (27,456)
     203,317  199,979   —   1/12/44 (3.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly  1,947
     545,823  534,375   —   1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  7,048
                       
  JPMorgan Chase Bank N.A.
     430,087  421,067   —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (5,554)
     245,962  240,803   —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (3,176)
     376,763  368,860   —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (4,865)
     233,480  228,583   —   1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (3,015)
     220,745  205,112   —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly  13,595
                       
  JPMorgan Securities LLC
     309,439  292,326   —   1/12/44 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  (14,727)
     46,273  44,897   —   1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  1,039
     965,670  943,197   —   1/12/42 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly  14,840
     279,090  267,233   —   1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly  9,170
     701,047  677,109   —   1/12/44 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly  18,920
   Upfront premium received    —          Unrealized appreciation   277,007
   Upfront premium (paid)    —          Unrealized (depreciation)   (159,170)
      Total   $—         Total  $117,837
                       
                       
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.
                       












  CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/18 (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  7,997,000  $156,221   $—    7/15/27 (1.40%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  $156,221
  EUR  7,997,000  194,492   —    7/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (194,492)
  EUR  2,999,000  59,366   (39)   8/15/27 (1.42%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  59,327
  EUR  2,999,000  82,499   (72)   8/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (82,571)
  EUR  4,998,000  94,239   (64)   8/15/27 (1.4275%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  94,174
  EUR  4,998,000  132,749   (121)   8/15/37 1.7138% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (132,870)
  EUR  3,999,000  69,149   (51)   9/15/27 (1.4475%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  69,098
  EUR  3,999,000  90,029   (97)   9/15/37 1.735% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity  (90,126)
  GBP  2,402,000  6,622   (34)   2/15/23 (3.19%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (6,656)
  GBP  2,402,000  22,853   (56)   2/15/28 3.34% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  22,796
  GBP  3,123,000  20,962   (52)   3/15/23 (3.325%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (21,014)
  GBP  3,123,000  40,779   (72)   3/15/28 3.4025% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  40,707
  GBP  1,121,000  5,113   (16)   3/15/23 (3.295%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (5,129)
  GBP  1,121,000  11,970   (26)   3/15/28 3.3875% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  11,944
  GBP  2,242,000  2,201   (32)   3/15/23 (3.245%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (2,233)
  GBP  2,242,000  3,003   (32)   3/15/23 (3.25%) — At maturity   GBP Non-revised UK Retail Price Index — At maturity  (3,035)
  GBP  4,484,000  14,173   (106)   3/15/28 3.34% — At maturity   GBP Non-revised UK Retail Price Index — At maturity  14,068
     $3,232,000  66,392   —    7/3/22 (1.9225%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  66,392
     3,232,000  89,103   —    7/3/27 2.085% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (89,103)
     3,719,000  82,766   —    7/5/22 (1.89%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  82,766
     3,719,000  115,460   —    7/5/27 2.05% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (115,460)
     3,599,000  49,666   (22)   12/21/22 (2.068%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  49,644
     3,599,000  63,040   (39)   12/21/27 2.1939% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (63,079)
     3,599,000  51,286   (22)   12/6/22 (2.05%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  51,264
     3,599,000  62,849   (39)   12/6/27 2.19% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity  (62,888)
  Total       $(992)            $(150,255)
                       
                       
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/18 (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 $4,375  $64,000  $6,637   5/11/63   300 bp — Monthly  $(2,230)
  CMBX NA BBB-.6 Index BBB-/P 8,497  141,000  14,622   5/11/63   300 bp — Monthly  (6,054)
  CMBX NA BBB-.6 Index BBB-/P 17,409  282,000  29,243   5/11/63   300 bp — Monthly  (11,693)
  CMBX NA BBB-.6 Index BBB-/P 16,587  291,000  30,177   5/11/63   300 bp — Monthly  (13,444)
                     
  Citigroup Global Markets, Inc.
  CMBX NA BB.6 Index BB/P 28,424  150,000  28,815   5/11/63   500 bp — Monthly  (266)
  CMBX NA BB.6 Index BB/P 150,632  612,000  117,565   5/11/63   500 bp — Monthly  33,577
  CMBX NA BBB-.6 Index BBB-/P 1,286  12,000  1,244   5/11/63   300 bp — Monthly  48
  CMBX NA BBB-.6 Index BBB-/P 1,274  12,000  1,244   5/11/63   300 bp — Monthly  36
  CMBX NA BBB-.6 Index BBB-/P 3,627  34,000  3,526   5/11/63   300 bp — Monthly  118
  CMBX NA BBB-.6 Index BBB-/P 20,660  209,000  21,673   5/11/63   300 bp — Monthly  (909)
  CMBX NA BBB-.6 Index BBB-/P 29,533  286,000  29,658   5/11/63   300 bp — Monthly  17
  CMBX NA BBB-.6 Index BBB-/P 137,311  935,000  96,960   5/11/63   300 bp — Monthly  40,819
                     
  Credit Suisse International
  CMBX NA BBB-.6 Index BBB-/P 20,776  134,000  13,896   5/11/63   300 bp — Monthly  6,947
  CMBX NA BBB-.6 Index BBB-/P 34,516  247,000  25,614   5/11/63   300 bp — Monthly  9,026
  CMBX NA BBB-.6 Index BBB-/P 38,364  263,000  27,273   5/11/63   300 bp — Monthly  11,223
  CMBX NA BBB-.6 Index BBB-/P 76,729  526,000  54,546   5/11/63   300 bp — Monthly  22,445
  CMBX NA BBB-.6 Index BBB-/P 3,502  35,000  3,630   5/11/63   300 bp — Monthly  (110)
  CMBX NA BBB-.6 Index BBB-/P 21,326  126,000  13,066   5/11/63   300 bp — Monthly  8,322
  CMBX NA BBB-.6 Index BBB-/P 36,978  292,000  30,280   5/11/63   300 bp — Monthly  6,844
  CMBX NA BBB-.6 Index BBB-/P 41,680  359,000  37,228   5/11/63   300 bp — Monthly  4,631
  CMBX NA BBB-.6 Index BBB-/P 55,222  366,000  37,954   5/11/63   300 bp — Monthly  17,450
  CMBX NA BBB-.6 Index BBB-/P 51,002  445,000  46,147   5/11/63   300 bp — Monthly  5,078
  CMBX NA BBB-.6 Index BBB-/P 53,345  465,000  48,221   5/11/63   300 bp — Monthly  5,357
  CMBX NA BBB-.6 Index BBB-/P 82,454  780,000  80,886   5/11/63   300 bp — Monthly  1,958
  CMBX NA BBB-.6 Index BBB-/P 137,903  914,000  94,782   5/11/63   300 bp — Monthly  43,578
  CMBX NA BBB-.6 Index BBB-/P 106,372  983,000  101,937   5/11/63   300 bp — Monthly  4,926
  CMBX NA BBB-.6 Index BBB-/P 201,982  1,857,000  192,571   5/11/63   300 bp — Monthly  10,339
  CMBX NA BBB-.6 Index BBB-/P 399,884  3,740,000  387,838   5/11/63   300 bp — Monthly  13,916
  CMBX NA BBB-.7 Index BBB-/P 51,226  780,000  55,224   1/17/47   300 bp — Monthly  (3,608)
  CMBX NA BBB-.7 Index BBB-/P 413,110  5,589,000  395,701   1/17/47   300 bp — Monthly  20,204
                     
  Goldman Sachs International
  CMBX NA BBB-.6 Index BBB-/P 6,450  46,000  4,770   5/11/63   300 bp — Monthly  1,702
  CMBX NA BBB-.6 Index BBB-/P 6,758  78,000  8,089   5/11/63   300 bp — Monthly  (1,292)
  CMBX NA BBB-.6 Index BBB-/P 7,858  91,000  9,437   5/11/63   300 bp — Monthly  (1,533)
  CMBX NA BBB-.6 Index BBB-/P 12,871  115,000  11,926   5/11/63   300 bp — Monthly  1,003
  CMBX NA BBB-.6 Index BBB-/P 10,295  122,000  12,651   5/11/63   300 bp — Monthly  (2,295)
  CMBX NA BBB-.6 Index BBB-/P 9,733  123,000  12,755   5/11/63   300 bp — Monthly  (2,961)
  CMBX NA BBB-.6 Index BBB-/P 22,777  137,000  14,207   5/11/63   300 bp — Monthly  8,638
  CMBX NA BBB-.6 Index BBB-/P 23,502  157,000  16,281   5/11/63   300 bp — Monthly  7,300
  CMBX NA BBB-.6 Index BBB-/P 23,233  158,000  16,385   5/11/63   300 bp — Monthly  6,927
  CMBX NA BBB-.6 Index BBB-/P 18,496  166,000  17,214   5/11/63   300 bp — Monthly  1,365
  CMBX NA BBB-.6 Index BBB-/P 18,286  169,000  17,525   5/11/63   300 bp — Monthly  845
  CMBX NA BBB-.6 Index BBB-/P 18,357  169,000  17,525   5/11/63   300 bp — Monthly  916
  CMBX NA BBB-.6 Index BBB-/P 20,534  175,000  18,148   5/11/63   300 bp — Monthly  2,474
  CMBX NA BBB-.6 Index BBB-/P 15,274  181,000  18,770   5/11/63   300 bp — Monthly  (3,405)
  CMBX NA BBB-.6 Index BBB-/P 15,166  183,000  18,977   5/11/63   300 bp — Monthly  (3,719)
  CMBX NA BBB-.6 Index BBB-/P 24,103  216,000  22,399   5/11/63   300 bp — Monthly  1,811
  CMBX NA BBB-.6 Index BBB-/P 24,103  216,000  22,399   5/11/63   300 bp — Monthly  1,811
  CMBX NA BBB-.6 Index BBB-/P 11,095  226,000  23,436   5/11/63   300 bp — Monthly  (12,228)
  CMBX NA BBB-.6 Index BBB-/P 16,691  245,000  25,407   5/11/63   300 bp — Monthly  (8,593)
  CMBX NA BBB-.6 Index BBB-/P 40,089  266,000  27,584   5/11/63   300 bp — Monthly  12,637
  CMBX NA BBB-.6 Index BBB-/P 13,211  271,000  28,103   5/11/63   300 bp — Monthly  (14,756)
  CMBX NA BBB-.6 Index BBB-/P 13,442  271,000  28,103   5/11/63   300 bp — Monthly  (14,525)
  CMBX NA BBB-.6 Index BBB-/P 14,449  277,000  28,725   5/11/63   300 bp — Monthly  (14,138)
  CMBX NA BBB-.6 Index BBB-/P 36,039  296,000  30,695   5/11/63   300 bp — Monthly  5,492
  CMBX NA BBB-.6 Index BBB-/P 33,021  305,000  31,629   5/11/63   300 bp — Monthly  1,545
  CMBX NA BBB-.6 Index BBB-/P 32,527  324,000  33,599   5/11/63   300 bp — Monthly  (910)
  CMBX NA BBB-.6 Index BBB-/P 47,211  452,000  46,872   5/11/63   300 bp — Monthly  564
  CMBX NA BBB-.6 Index BBB-/P 71,741  605,000  62,739   5/11/63   300 bp — Monthly  9,305
  CMBX NA BBB-.6 Index BBB-/P 71,494  605,000  62,739   5/11/63   300 bp — Monthly  9,058
  CMBX NA BBB-.6 Index BBB-/P 67,357  611,000  63,361   5/11/63   300 bp — Monthly  4,302
  CMBX NA BBB-.6 Index BBB-/P 37,011  765,000  79,331   5/11/63   300 bp — Monthly  (41,937)
  CMBX NA BBB-.6 Index BBB-/P 155,865  1,042,000  108,055   5/11/63   300 bp — Monthly  48,330
  CMBX NA BBB-.7 Index BBB-/P 34,850  500,000  35,400   1/17/47   300 bp — Monthly  (300)
  CMBX NA BBB-.7 Index BBB-/P 51,111  600,000  42,480   1/17/47   300 bp — Monthly  8,931
  CMBX NA BBB-.7 Index BBB-/P 61,571  833,000  58,976   1/17/47   300 bp — Monthly  3,011
  CMBX NA BBB-.7 Index BBB-/P 90,359  1,040,000  73,632   1/17/47   300 bp — Monthly  17,247
                     
  JPMorgan Securities LLC
  CMBX NA BB.6 Index BB/P 38,131  180,000  34,578   5/11/63   500 bp — Monthly  3,703
  CMBX NA BB.6 Index BB/P 41,272  195,000  37,460   5/11/63   500 bp — Monthly  3,975
  CMBX NA BBB-.6 Index BBB-/P 22,107  149,000  15,451   5/11/63   300 bp — Monthly  6,730
  CMBX NA BBB-.6 Index BBB-/P 38,320  263,000  27,273   5/11/63   300 bp — Monthly  11,178
  CMBX NA BB.6 Index BB/P 32,840  156,000  29,968   5/11/63   500 bp — Monthly  3,002
  CMBX NA BBB-.6 Index BBB-/P 4,432  44,000  4,563   5/11/63   300 bp — Monthly  (109)
  CMBX NA BBB-.6 Index BBB-/P 7,789  49,000  5,081   5/11/63   300 bp — Monthly  2,732
  CMBX NA BBB-.6 Index BBB-/P 7,754  49,000  5,081   5/11/63   300 bp — Monthly  2,697
  CMBX NA BBB-.6 Index BBB-/P 5,726  56,000  5,807   5/11/63   300 bp — Monthly  (53)
  CMBX NA BBB-.6 Index BBB-/P 9,265  62,000  6,429   5/11/63   300 bp — Monthly  2,867
  CMBX NA BBB-.6 Index BBB-/P 7,862  69,000  7,155   5/11/63   300 bp — Monthly  741
  CMBX NA BBB-.6 Index BBB-/P 9,194  93,000  9,644   5/11/63   300 bp — Monthly  (404)
  CMBX NA BBB-.6 Index BBB-/P 15,421  98,000  10,163   5/11/63   300 bp — Monthly  5,308
  CMBX NA BBB-.6 Index BBB-/P 14,055  126,000  13,066   5/11/63   300 bp — Monthly  1,052
  CMBX NA BBB-.6 Index BBB-/P 17,625  141,000  14,622   5/11/63   300 bp — Monthly  3,074
  CMBX NA BBB-.6 Index BBB-/P 25,483  164,000  17,007   5/11/63   300 bp — Monthly  8,558
  CMBX NA BBB-.6 Index BBB-/P 19,054  174,000  18,044   5/11/63   300 bp — Monthly  1,097
  CMBX NA BBB-.6 Index BBB-/P 18,332  182,000  18,873   5/11/63   300 bp — Monthly  (450)
  CMBX NA BBB-.6 Index BBB-/P 24,925  190,000  19,703   5/11/63   300 bp — Monthly  5,317
  CMBX NA BBB-.6 Index BBB-/P 28,716  194,000  20,118   5/11/63   300 bp — Monthly  8,695
  CMBX NA BBB-.6 Index BBB-/P 27,466  211,000  21,881   5/11/63   300 bp — Monthly  5,691
  CMBX NA BBB-.6 Index BBB-/P 31,450  213,000  22,088   5/11/63   300 bp — Monthly  9,468
  CMBX NA BBB-.6 Index BBB-/P 27,649  214,000  22,192   5/11/63   300 bp — Monthly  5,564
  CMBX NA BBB-.6 Index BBB-/P 26,741  240,000  24,888   5/11/63   300 bp — Monthly  1,973
  CMBX NA BBB-.6 Index BBB-/P 36,750  249,000  25,821   5/11/63   300 bp — Monthly  11,053
  CMBX NA BBB-.6 Index BBB-/P 27,894  251,000  26,029   5/11/63   300 bp — Monthly  1,991
  CMBX NA BBB-.6 Index BBB-/P 47,498  277,000  28,725   5/11/63   300 bp — Monthly  18,911
  CMBX NA BBB-.6 Index BBB-/P 47,108  277,000  28,725   5/11/63   300 bp — Monthly  18,521
  CMBX NA BBB-.6 Index BBB-/P 34,097  304,000  31,525   5/11/63   300 bp — Monthly  2,724
  CMBX NA BBB-.6 Index BBB-/P 44,125  313,000  32,458   5/11/63   300 bp — Monthly  11,823
  CMBX NA BBB-.6 Index BBB-/P 50,619  318,000  32,977   5/11/63   300 bp — Monthly  17,802
  CMBX NA BBB-.6 Index BBB-/P 36,897  343,000  35,569   5/11/63   300 bp — Monthly  1,500
  CMBX NA BBB-.6 Index BBB-/P 36,897  343,000  35,569   5/11/63   300 bp — Monthly  1,500
  CMBX NA BBB-.6 Index BBB-/P 38,852  350,000  36,295   5/11/63   300 bp — Monthly  2,732
  CMBX NA BBB-.6 Index BBB-/P 55,500  366,000  37,954   5/11/63   300 bp — Monthly  17,729
  CMBX NA BBB-.6 Index BBB-/P 41,549  395,000  40,962   5/11/63   300 bp — Monthly  785
  CMBX NA BBB-.6 Index BBB-/P 49,635  420,000  43,554   5/11/63   300 bp — Monthly  6,291
  CMBX NA BBB-.6 Index BBB-/P 55,426  422,000  43,761   5/11/63   300 bp — Monthly  11,876
  CMBX NA BBB-.6 Index BBB-/P 47,402  452,000  46,872   5/11/63   300 bp — Monthly  756
  CMBX NA BBB-.6 Index BBB-/P 50,405  458,000  47,495   5/11/63   300 bp — Monthly  3,140
  CMBX NA BBB-.6 Index BBB-/P 52,876  480,000  49,776   5/11/63   300 bp — Monthly  3,340
  CMBX NA BBB-.6 Index BBB-/P 58,829  533,000  55,272   5/11/63   300 bp — Monthly  3,823
  CMBX NA BBB-.6 Index BBB-/P 70,597  671,000  69,583   5/11/63   300 bp — Monthly  1,350
  CMBX NA BBB-.6 Index BBB-/P 112,851  746,000  77,360   5/11/63   300 bp — Monthly  35,864
  CMBX NA BBB-.6 Index BBB-/P 132,291  871,000  90,323   5/11/63   300 bp — Monthly  42,404
  CMBX NA BBB-.6 Index BBB-/P 122,768  886,000  91,878   5/11/63   300 bp — Monthly  31,333
  CMBX NA BBB-.6 Index BBB-/P 210,953  2,013,000  208,748   5/11/63   300 bp — Monthly  3,210
  CMBX NA BBB-.6 Index BBB-/P 261,664  2,495,000  258,732   5/11/63   300 bp — Monthly  4,180
                     
  Merrill Lynch International
  CMBX NA BBB-.6 Index BBB-/P 44,056  396,000  41,065   5/11/63   300 bp — Monthly  3,189
  CMBX NA BBB-.6 Index BBB-/P 59,389  405,000  41,999   5/11/63   300 bp — Monthly  17,593
                     
  Morgan Stanley & Co. International PLC
  CMBX NA BBB-.6 Index BBB-/P 10,005  71,000  7,363   5/11/63   300 bp — Monthly  2,678
  CMBX NA BBB-.6 Index BBB-/P 38,928  263,000  27,273   5/11/63   300 bp — Monthly  11,786
  CMBX NA BBB-.6 Index BBB-/P 38,318  263,000  27,273   5/11/63   300 bp — Monthly  11,176
  CMBX NA BBB-.6 Index BBB-/P 38,870  263,000  27,273   5/11/63   300 bp — Monthly  11,729
   CMBX NA BBB-.6 Index BBB-/P 77,707  525,000  54,443   5/11/63   300 bp — Monthly  23,527
  CMBX NA BBB-.6 Index BBB-/P 77,780  525,000  54,443   5/11/63   300 bp — Monthly  23,600
  CMBX NA BBB-.6 Index BBB-/P 76,916  526,000  54,546   5/11/63   300 bp — Monthly  22,633
  CMBX NA BBB-.6 Index BBB-/P 116,041  788,000  81,716   5/11/63   300 bp — Monthly  34,720
  CMBX NA BBB-.6 Index BBB-/P 115,105  790,000  81,923   5/11/63   300 bp — Monthly  33,577
  CMBX NA BBB-.6 Index BBB-/P 155,146  1,051,000  108,989   5/11/63   300 bp — Monthly  46,688
  CMBX NA A.6 Index A/P 41  4,000  21   5/11/63   200 bp — Monthly  21
  CMBX NA BB.6 Index BB/P 48,378  197,000  37,844   5/11/63   500 bp — Monthly  10,698
  CMBX NA BB.6 Index BB/P 97,086  394,000  75,687   5/11/63   500 bp — Monthly  21,727
  CMBX NA BBB-.6 Index BBB-/P 496  4,000  415   5/11/63   300 bp — Monthly  83
  CMBX NA BBB-.6 Index BBB-/P 641  6,000  622   5/11/63   300 bp — Monthly  22
  CMBX NA BBB-.6 Index BBB-/P 1,164  11,000  1,141   5/11/63   300 bp — Monthly  29
  CMBX NA BBB-.6 Index BBB-/P 1,696  14,000  1,452   5/11/63   300 bp — Monthly  252
  CMBX NA BBB-.6 Index BBB-/P 2,666  22,000  2,281   5/11/63   300 bp — Monthly  395
  CMBX NA BBB-.6 Index BBB-/P 28,646  169,000  17,525   5/11/63   300 bp — Monthly  11,205
  CMBX NA BBB-.6 Index BBB-/P 37,244  250,000  25,925   5/11/63   300 bp — Monthly  11,444
  CMBX NA BBB-.6 Index BBB-/P 41,442  342,000  35,465   5/11/63   300 bp — Monthly  6,148
  CMBX NA BBB-.7 Index BBB-/P 20,363  306,000  21,665   1/17/47   300 bp — Monthly  (1,148)
   Upfront premium received    6,776,132        Unrealized appreciation   1,075,053
   Upfront premium (paid)    —        Unrealized (depreciation)   (163,070)
  Total   $6,776,132           Total  $911,983
                     
*  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 June 30, 2018.  Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 6/30/18 (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 A.6 Index   $(37)  $4,000  $21   5/11/63   (200 bp) — Monthly  $(18)
  CMBX NA BB.7 Index   (31,080)  154,000  22,407   1/17/47   (500 bp) — Monthly  (8,802)
  CMBX NA BB.7 Index   (18,533)  118,000  17,169   1/17/47   (500 bp) — Monthly  (1,462)
  CMBX NA BB.7 Index   (19,268)  118,000  17,169   1/17/47   (500 bp) — Monthly  (2,197)
  CMBX NA BB.9 Index   (47,138)  306,000  51,224   9/17/58   (500 bp) — Monthly  3,832
  CMBX NA BB.9 Index   (47,350)  306,000  51,224   9/17/58   (500 bp) — Monthly  3,619
  CMBX NA BB.9 Index   (23,796)  152,000  25,445   9/17/58   (500 bp) — Monthly  1,522
                     
  Credit Suisse International
  CMBX NA BB.7 Index   (185,541)  1,128,000  164,124   1/17/47   (500 bp) — Monthly  (22,357)
  CMBX NA BB.7 Index   (14,279)  809,000  155,409   5/11/63   (500 bp) — Monthly  140,455
  CMBX NA BB.7 Index   (61,796)  335,000  48,743   1/17/47   (500 bp) — Monthly  (13,333)
  CMBX NA BB.9 Index   (75,024)  470,000  78,678   9/17/58   (500 bp) — Monthly  3,262
                     
  Goldman Sachs International
  CMBX NA BB.6 Index   (50,331)  492,000  94,513   5/11/63   (500 bp) — Monthly  43,772
  CMBX NA BB.7 Index   (32,233)  213,000  30,992   1/17/47   (500 bp) — Monthly  (1,419)
  CMBX NA BB.6 Index   (8,913)  61,000  11,718   5/11/63   (500 bp) — Monthly  2,755
  CMBX NA BB.7 Index   (75,236)  445,000  64,748   1/17/47   (500 bp) — Monthly  (10,860)
  CMBX NA BB.7 Index   (38,667)  236,000  34,338   1/17/47   (500 bp) — Monthly  (4,526)
  CMBX NA BB.7 Index   (25,381)  125,000  18,188   1/17/47   (500 bp) — Monthly  (7,298)
  CMBX NA BB.7 Index   (18,621)  102,000  14,841   1/17/47   (500 bp) — Monthly  (3,865)
                     
  JPMorgan Securities LLC
  CMBX NA BB.7 Index   (31,143)  195,000  28,373   1/17/47   (500 bp) — Monthly  (2,933)
  CMBX NA BB.7 Index   (28,775)  180,000  26,190   1/17/47   (500 bp) — Monthly  (2,735)
  CMBX NA BB.7 Index   (18,804)  97,000  14,114   1/17/47   (500 bp) — Monthly  (4,772)
  CMBX NA BB.6 Index   (38,525)  274,000  52,635   5/11/63   (500 bp) — Monthly  13,882
  CMBX NA BB.6 Index   (26,533)  183,000  35,154   5/11/63   (500 bp) — Monthly  8,469
  CMBX NA BB.6 Index   (11,075)  77,000  14,792   5/11/63   (500 bp) — Monthly  3,653
  CMBX NA BB.7 Index   (89,046)  570,000  82,935   1/17/47   (500 bp) — Monthly  (6,586)
  CMBX NA BB.7 Index   (63,627)  387,000  56,309   1/17/47   (500 bp) — Monthly  (7,641)
  CMBX NA BB.7 Index   (59,921)  375,000  54,563   1/17/47   (500 bp) — Monthly  (5,671)
  CMBX NA BB.7 Index   (52,295)  322,000  46,851   1/17/47   (500 bp) — Monthly  (5,712)
  CMBX NA BB.7 Index   (35,411)  182,000  26,481   1/17/47   (500 bp) — Monthly  (9,082)
  CMBX NA BB.7 Index   (23,398)  130,000  18,915   1/17/47   (500 bp) — Monthly  (4,591)
  CMBX NA BB.7 Index   (24,825)  125,000  18,188   1/17/47   (500 bp) — Monthly  (6,741)
  CMBX NA BB.7 Index   (18,533)  118,000  17,169   1/17/47   (500 bp) — Monthly  (1,462)
  CMBX NA BB.7 Index   (18,822)  102,000  14,841   1/17/47   (500 bp) — Monthly  (4,066)
  CMBX NA BB.7 Index   (14,429)  95,000  13,823   1/17/47   (500 bp) — Monthly  (686)
  CMBX NA BB.7 Index   (13,462)  86,000  12,513   1/17/47   (500 bp) — Monthly  (1,021)
  CMBX NA BB.7 Index   (15,733)  80,000  11,640   1/17/47   (500 bp) — Monthly  (4,160)
  CMBX NA BBB-.7 Index   (42,678)  513,000  36,320   1/17/47   (300 bp) — Monthly  (6,614)
  CMBX NA BBB-.7 Index   (44,394)  482,000  34,126   1/17/47   (300 bp) — Monthly  (10,509)
  CMBX NA BBB-.7 Index   (25,237)  343,000  24,284   1/17/47   (300 bp) — Monthly  (1,124)
  CMBX NA BBB-.7 Index   (25,237)  343,000  24,284   1/17/47   (300 bp) — Monthly  (1,124)
  CMBX NA BBB-.7 Index   (34,928)  313,000  22,160   1/17/47   (300 bp) — Monthly  (12,922)
  CMBX NA BBB-.7 Index   (18,115)  229,000  16,213   1/17/47   (300 bp) — Monthly  (2,016)
  CMBX NA BBB-.7 Index   (17,078)  189,000  13,381   1/17/47   (300 bp) — Monthly  (3,791)
  CMBX NA BBB-.7 Index   (17,180)  164,000  11,611   1/17/47   (300 bp) — Monthly  (5,651)
  CMBX NA BBB-.7 Index   (8,285)  154,000  10,903   1/17/47   (300 bp) — Monthly  2,541
                     
  Merrill Lynch International
  CMBX NA BB.7 Index   (161,336)  930,000  135,315   1/17/47   (500 bp) — Monthly  (26,797)
  CMBX NA BB.9 Index   (23,787)  153,000  25,612   9/17/58   (500 bp) — Monthly  1,697
  CMBX NA BB.9 Index   (23,575)  153,000  25,612   9/17/58   (500 bp) — Monthly  1,910
  CMBX NA BBB-.7 Index   (32,451)  396,000  28,037   1/17/47   (300 bp) — Monthly  (4,613)
                     
  Morgan Stanley & Co. International PLC
  CMBX NA BBB-.7 Index   (22,620)  222,000  15,718   1/17/47   (300 bp) — Monthly  (7,013)
  CMBX NA BB.7 Index   (79,236)  394,000  57,327   1/17/47   (500 bp) — Monthly  (22,237)
  CMBX NA BB.7 Index   (68,647)  356,000  51,798   1/17/47   (500 bp) — Monthly  (17,146)
  CMBX NA BB.7 Index   (65,793)  326,000  47,433   1/17/47   (500 bp) — Monthly  (18,632)
  CMBX NA BB.7 Index   (33,495)  179,000  26,045   1/17/47   (500 bp) — Monthly  (7,599)
   Upfront premium received    —         Unrealized appreciation   231,369
   Upfront premium (paid)    (2,101,653)        Unrealized (depreciation)   (291,784)
  Total   $(2,101,653)           Total  $(60,415)
                     
* 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 6/30/18 (Unaudited)
   
  Referenced debt* Upfront premium received (paid)**   Notional amount Value   Termination date   Payments (paid) by fund Unrealized appreciation/(depreciation)
                     
  NA HY Series 30 Index  $472,111    $7,566,000  $444,805   6/20/23   (500 bp) — Quarterly  $15,747
  Total  $472,111                $15,747
                     
* 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
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2017 through June 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 $268,356,601.
(NON) This security is non-income-producing.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income 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 $40,940, 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 9/30/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 06/30/18
Short-term investments
Putnam Short Term Investment Fund* 11,607,286 85,032,282 71,307,416 202,874 25,332,152
Total Short-term investments $11,607,286 $85,032,282 $71,307,416 $202,874 $25,332,152
* 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 $230,627.
(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 $5,478,847.
(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 $9,054,756.
(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 $62,897,254 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 86.3%
Argentina 2.5
Greece 2.5
Brazil 1.8
Canada 1.3
Mexico 1.1
Indonesia 0.8
Russia 0.5
Other 3.2
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 contract 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 $578,178 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 $5,244,802 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $5,478,847 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 $41,837 $14,023 $—
    Energy 113,307 1,453 14,829
    Technology 125,741 — —
    Transportation — 5,053 —
    Utilities and power — 5,303 —
Total common stocks 280,885 25,832 14,829
Convertible bonds and notes — 2,656,648 —
Convertible preferred stocks — 14,345 —
Corporate bonds and notes — 83,459,378 2
Foreign government and agency bonds and notes 23,102,837
Mortgage-backed securities — 114,882,373 —
Purchased options outstanding — 288,334 —
Purchased swap options outstanding — 6,553,314 —
Senior loans — 4,715,376 —
U.S. government and agency mortgage obligations — 86,361,483 —
U.S. treasury obligations — 162,665 —
Warrants 1,225 — —
Short-term investments 26,255,152 16,493,226 —
Totals by level $26,537,262 $338,715,811 $14,831



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $89,955 $—
Futures contracts (8,892) — —
Written options outstanding — (114,353) —
Written swap options outstanding — (6,994,829) —
Forward premium swap option contracts — 301,602 —
TBA sale commitments — (41,609,999) —
Interest rate swap contracts — 338,936 —
Total return swap contracts — (31,426) —
Credit default contracts — (4,279,275) —
Totals by level $(8,892) $(52,299,389) $—
* 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, 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 $2,041,238 $6,320,513
Foreign exchange contracts 2,184,563 2,091,127
Equity contracts 1,225 —
Interest rate contracts 12,177,362 11,848,157
Total $16,404,388 $20,259,797

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)$135,800,000
Purchased currency options (contract amount)$32,800,000
Purchased swap option contracts (contract amount)$1,531,200,000
Written TBA commitment option contracts (contract amount)$173,400,000
Written currecny options (contract amount)$14,300,000
Written swap option contracts (contract amount)$1,265,700,000
Futures contracts (number of contracts)100
Forward currency contracts (contract amount)$295,800,000
OTC interest rate swap contracts (notional)$840,000
Centrally cleared interest rate swap contracts (notional)$1,058,500,000
OTC total return swap contracts (notional)$29,100,000
Centrally cleared total return swap contracts (notional)$97,200,000
OTC credit default contracts (notional)$72,400,000
Centrally cleared credit default contracts (notional)$7,600,000
Warrants (number of warrants)3,000

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 Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 28, 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: August 28, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: August 28, 2018