a_masterintermediate.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: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2019
Date of reporting period: December 31, 2018



Item 1. Schedule of Investments:


Putnam Master Intermediate Income Trust
The fund's portfolio
12/31/18 (Unaudited)



MORTGAGE-BACKED SECURITIES (46.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (23.7%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) + 25.79%), 15.914%, 4/15/37 $37,507 $53,921
IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 14.795%, 11/15/35 65,460 91,926
IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) + 22.28%), 14.173%, 12/15/36 37,096 47,527
Ser. 4813, IO, 5.50%, 8/15/48 2,633,435 581,525
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 2,082,395 407,941
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,037,398 218,920
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 554,425 104,395
IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 4.195%, 4/15/40 2,154,442 239,919
Ser. 4546, Class TI, IO, 4.00%, 12/15/45 2,186,196 429,041
Ser. 4425, IO, 4.00%, 1/15/45 2,926,093 588,408
Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,034,578 529,308
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,387,660 188,818
Ser. 4062, Class DI, IO, 4.00%, 9/15/39 2,136,246 173,696
IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.645%, 4/15/47 1,118,370 219,178
Ser. 4604, Class QI, IO, 3.50%, 7/15/46 5,532,855 886,142
Ser. 4580, Class ID, IO, 3.50%, 8/15/45 3,198,355 560,064
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 2,694,359 424,820
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 879,536 85,467
Ser. 304, Class C37, IO, 3.50%, 12/15/27 893,382 73,195
Ser. 4165, Class TI, IO, 3.00%, 12/15/42 3,814,943 344,379
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,677,972 141,285
Ser. 4210, Class PI, IO, 3.00%, 12/15/41 978,668 54,923
Ser. 4510, Class HI, IO, 3.00%, 3/15/40 3,210,131 274,938
FRB Ser. 57, Class 1AX, IO, 0.367%, 7/25/43(WAC) 1,335,448 13,354
Ser. 3326, Class WF, zero %, 10/15/35(WAC) 994 715
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) + 39.90%), 24.863%, 7/25/36 55,946 91,164
IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 15.01%, 6/25/37 54,460 75,275
IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) + 23.28%), 14.094%, 2/25/38 40,269 49,514
IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) + 20.25%), 12.731%, 8/25/35 37,352 46,451
IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) + 17.39%), 10.878%, 11/25/34 55,056 62,192
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,492,765 601,429
Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 2,153,200 459,514
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 1,404,296 82,868
Ser. 15-30, IO, 5.50%, 5/25/45 3,346,769 724,642
Ser. 374, Class 6, IO, 5.50%, 8/25/36 89,662 17,185
Ser. 378, Class 19, IO, 5.00%, 6/25/35 271,635 51,472
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 407,505 94,919
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 2,453,981 292,269
Ser. 366, Class 22, IO, 4.50%, 10/25/35 13,011 313
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 1,643,307 328,661
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 1,568,712 269,803
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 1,762,073 322,295
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 3,834,546 766,887
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,124,999 173,587
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 912,401 131,979
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 909,593 148,536
IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 3.944%, 4/25/42 1,151,576 183,223
IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 3.894%, 4/25/40 805,509 134,923
IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.644%, 10/25/41 895,392 76,780
IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.594%, 12/25/46 3,186,416 442,115
IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.594%, 5/25/39 10,062,554 1,440,353
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 2,516,340 381,603
Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 3.444%, 2/25/43 2,054,346 364,646
IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 3.394%, 10/25/41 2,706,354 355,209
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 1,350,907 81,873
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,395,315 94,881
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,285,163 118,711
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 1,098,665 56,065
Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 3,620,588 332,406
Ser. 99-51, Class N, PO, zero %, 9/17/29 6,856 6,256
Government National Mortgage Association
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 975,957 220,196
Ser. 16-42, IO, 5.00%, 2/20/46 2,638,792 568,765
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 3,957,144 544,661
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 4,578,304 1,012,904
Ser. 14-76, IO, 5.00%, 5/20/44 1,052,279 230,145
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 765,098 168,781
Ser. 12-146, IO, 5.00%, 12/20/42 664,371 151,011
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 1,015,456 223,694
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 719,822 160,945
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 3,212,305 707,992
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,647,167 375,949
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 3,282,278 708,356
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 580,104 128,003
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,282,135 251,619
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 3,317,107 502,475
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 2,412,356 301,979
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 963,671 209,146
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 1,479,612 308,869
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 1,985,485 327,287
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,420,845 298,076
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 347,949 49,611
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,289,853 258,977
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,383,361 284,682
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 2,419,865 503,550
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,281,930 264,590
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,435,275 295,596
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 891,571 178,314
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 731,583 169,837
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 1,704,199 262,021
Ser. 16-29, IO, 4.00%, 2/16/46 1,239,675 241,737
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 3,774,636 686,795
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,931,176 394,153
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 2,361,891 430,837
Ser. 15-40, IO, 4.00%, 3/20/45 2,050,937 403,214
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 2,370,661 380,420
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 5,600,546 975,111
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 4,381,448 591,496
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 766,999 144,018
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 3,261,386 439,994
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 697,496 128,702
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 595,399 116,109
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,484,756 283,642
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.68%, 11/20/43 3,206,391 476,951
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.68%, 9/20/43 548,049 81,199
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 2,028,173 335,054
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 1,337,648 164,277
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 1,666,107 252,082
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 3,967,143 628,237
Ser. 15-111, Class IJ, IO, 3.50%, 8/20/45 2,200,533 343,552
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 3,357,574 562,642
Ser. 13-76, IO, 3.50%, 5/20/43 2,503,398 443,477
Ser. 13-28, IO, 3.50%, 2/20/43 766,387 126,454
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,213,724 200,932
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,754,992 291,153
Ser. 13-14, IO, 3.50%, 12/20/42 4,127,677 577,214
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,219,885 198,902
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 1,668,484 301,373
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,034,429 357,490
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 2,400,508 430,603
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,019,524 190,381
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 2,804,698 322,063
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 3,144,878 342,163
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 1,710,762 138,312
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 1,645,667 153,870
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 4,787,536 425,564
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 3.13%, 8/20/44 2,603,479 331,944
Ser. 16-H22, Class AI, IO, 2.524%, 10/20/66(WAC) 4,511,820 499,756
Ser. 17-H02, Class BI, IO, 2.504%, 1/20/67(WAC) 2,923,068 364,214
Ser. 16-H23, Class NI, IO, 2.464%, 10/20/66(WAC) 11,572,523 1,306,362
Ser. 17-H06, Class BI, IO, 2.373%, 2/20/67(WAC) 4,744,058 561,723
Ser. 18-H02, Class EI, IO, 2.295%, 1/20/68(WAC) 6,443,465 876,915
Ser. 16-H16, Class EI, IO, 2.209%, 6/20/66(WAC) 4,540,491 502,194
Ser. 17-H16, Class FI, IO, 2.204%, 8/20/67(WAC) 3,450,929 418,425
Ser. 18-H05, Class BI, IO, 2.191%, 2/20/68(WAC) 4,651,628 625,789
Ser. 17-H08, Class NI, IO, 2.188%, 3/20/67(WAC) 6,203,204 709,054
Ser. 15-H20, Class CI, IO, 2.18%, 8/20/65(WAC) 4,541,097 473,886
Ser. 16-H18, Class QI, IO, 2.159%, 6/20/66(WAC) 3,218,312 395,283
Ser. 16-H17, Class KI, IO, 2.141%, 7/20/66(WAC) 3,074,722 338,219
Ser. 18-H03, Class XI, IO, 2.125%, 2/20/68(WAC) 4,755,612 653,897
Ser. 15-H15, Class BI, IO, 2.106%, 6/20/65(WAC) 2,684,009 259,350
Ser. 17-H16, Class JI, IO, 2.055%, 8/20/67(WAC) 9,127,356 1,289,239
Ser. 15-H24, Class AI, IO, 2.054%, 9/20/65(WAC) 3,851,021 359,385
Ser. 17-H19, Class MI, IO, 2.038%, 4/20/67(WAC) 2,350,510 268,957
Ser. 16-H03, Class DI, IO, 2.005%, 12/20/65(WAC) 4,131,701 387,347
Ser. 17-H12, Class QI, IO, 1.988%, 5/20/67(WAC) 4,212,069 495,226
Ser. 18-H15, Class KI, IO, 1.987%, 8/20/68(WAC) 4,068,981 574,744
Ser. 18-H05, Class AI, IO, 1.983%, 2/20/68(WAC) 2,242,943 303,148
Ser. 16-H06, Class DI, IO, 1.847%, 7/20/65 5,959,951 460,216
Ser. 15-H25, Class EI, IO, 1.842%, 10/20/65(WAC) 3,457,736 297,025
Ser. 17-H11, Class DI, IO, 1.832%, 5/20/67(WAC) 4,278,855 492,068
Ser. 15-H20, Class AI, IO, 1.819%, 8/20/65(WAC) 3,925,334 345,715
FRB Ser. 15-H08, Class CI, IO, 1.781%, 3/20/65(WAC) 2,290,267 194,934
Ser. 15-H23, Class BI, IO, 1.721%, 9/20/65(WAC) 4,173,610 340,051
Ser. 15-H10, Class BI, IO, 1.713%, 4/20/65(WAC) 2,920,247 262,851
Ser. 17-H09, IO, 1.706%, 4/20/67(WAC) 5,623,320 565,234
Ser. 16-H24, Class CI, IO, 1.681%, 10/20/66(WAC) 2,881,660 234,651
Ser. 16-H14, IO, 1.664%, 6/20/66(WAC) 4,265,066 282,292
Ser. 16-H09, Class BI, IO, 1.662%, 4/20/66(WAC) 5,232,969 529,786
Ser. 13-H08, Class CI, IO, 1.662%, 2/20/63(WAC) 4,278,546 223,553
Ser. 17-H16, Class IG, IO, 1.548%, 7/20/67(WAC) 8,401,646 829,663
Ser. 14-H21, Class BI, IO, 1.536%, 10/20/64(WAC) 6,039,874 404,806
Ser. 17-H16, Class IH, IO, 1.444%, 7/20/67(WAC) 6,399,887 593,410
Ser. 16-H06, Class CI, IO, 1.366%, 2/20/66(WAC) 5,511,790 362,736
Ser. 16-H03, Class AI, IO, 1.252%, 1/20/66(WAC) 3,916,191 376,933
Ser. 16-H10, Class AI, IO, 1.202%, 4/20/66(WAC) 9,982,974 718,155
Ser. 16-H02, Class HI, IO, 1.091%, 1/20/66(WAC) 5,385,965 435,422
Ser. 15-H26, Class CI, IO, 0.856%, 8/20/65(WAC) 10,468,935 125,961
Ser. 06-36, Class OD, PO, zero %, 7/16/36 1,747 1,431
57,893,958
Commercial mortgage-backed securities (8.9%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, zero %, 2/10/51(WAC) 12,918,811 129
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.465%, 1/12/45(WAC) 1,039,000 935,100
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 441,000 441,763
Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 478,188 478,188
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.27%, 3/11/39(WAC) 494,365 350,925
FRB Ser. 06-PW14, Class XW, IO, 0.314%, 12/11/38(WAC) 494,225 3,301
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 1,872,605 73
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.756%, 12/15/47(WAC) 409,000 398,460
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 1,025,000 930,100
COMM Mortgage Trust 144A
FRB Ser. 12-CR3, Class E, 4.753%, 10/15/45(WAC) 233,000 201,932
Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 322,335
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.872%, 12/15/39(WAC) 999,576 4,504
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, Class C, 5.985%, 9/15/39(WAC) 41,989 41,989
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 147,197 150,289
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.796%, 4/15/50(WAC) 987,000 872,162
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.415%, 6/10/48(WAC) 1,547,941 1,361,445
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 9,442 9,493
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 0.902%, 12/10/41(WAC) 3,557,270 26,308
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.369%, 7/10/39(WAC) 406,930 244
GS Mortgage Securities Trust 144A
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 286,000 275,269
FRB Ser. 14-GC24, Class D, 4.529%, 9/10/47(WAC) 976,000 853,433
FRB Ser. 13-GC10, Class E, 4.397%, 2/10/46(WAC) 583,000 463,544
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.811%, 2/15/47(WAC) 1,183,000 1,054,304
FRB Ser. C14, Class D, 4.566%, 8/15/46(WAC) 647,000 580,417
FRB Ser. 14-C18, Class E, 4.311%, 2/15/47(WAC) 407,000 300,584
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 1,500,000 1,062,188
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 788,000 495,718
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.169%, 4/15/46(WAC) 417,000 348,491
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class C, 6.233%, 2/12/51(WAC) 111,043 111,043
FRB Ser. 07-CB20, Class E, 6.233%, 2/12/51(WAC) 398,000 396,508
FRB Ser. 11-C3, Class F, 5.66%, 2/15/46(WAC) 410,000 400,454
FRB Ser. 12-C6, Class E, 5.14%, 5/15/45(WAC) 363,000 324,443
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 841,000 654,445
FRB Ser. 07-CB20, Class X1, IO, zero %, 2/12/51(WAC) 3,275,122 33
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.685%, 9/15/39(WAC) 858,199 11,691
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.128%, 4/20/48(WAC) 443,000 398,913
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.787%, 12/15/49(WAC) 332,947 245
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 579,854 564,419
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class F, 4.337%, 8/15/46(WAC) 496,000 178,257
FRB Ser. 13-C10, Class D, 4.082%, 7/15/46(WAC) 654,000 594,628
FRB Ser. 13-C10, Class E, 4.082%, 7/15/46(WAC) 1,316,000 1,067,781
FRB Ser. 13-C10, Class F, 4.082%, 7/15/46(WAC) 609,000 488,359
Ser. 14-C15, Class F, 4.00%, 4/15/47 250,000 198,493
Ser. 14-C17, Class E, 3.50%, 8/15/47 443,000 318,524
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 407,504 111,925
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 700,000 661,840
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.107%, 1/11/43(WAC) 216,138 213,350
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/19 (Cayman Islands)(WAC) (In default)(NON) 193,000 1,834
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 558,952 42,144
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.892%, 5/10/63(WAC) 622,000 436,535
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 06-C26, Class AJ, 6.076%, 6/15/45(WAC) 8,286 7,478
FRB Ser. 07-C34, IO, 0.107%, 5/15/46(WAC) 2,398,992 777
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 13-LC12, Class D, 4.287%, 7/15/46(WAC) 188,000 166,676
Ser. 14-LC16, Class D, 3.938%, 8/15/50 889,000 716,907
WF-RBS Commercial Mortgage Trust 144A
Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 2,524,000 1,651,880
Ser. 13-C12, Class E, 3.50%, 3/15/48 126,000 99,220
21,781,490
Residential mortgage-backed securities (non-agency) (13.6%)
BCAP, LLC Trust 144A
FRB Ser. 11-RR3, Class 3A6, 4.086%, 11/27/36(WAC) 1,189,733 993,427
FRB Ser. 12-RR5, Class 4A8, (1 Month US LIBOR + 0.17%), 2.485%, 6/26/35 18,247 18,174
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, (1 Month US LIBOR + 2.93%), 5.431%, 4/25/34 191,303 204,238
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 2.686%, 11/25/47 219,588 179,648
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.856%, 3/25/37 1,181,333 1,001,594
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 3.657%, 9/25/35 340,374 333,343
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 3.117%, 8/25/46 185,619 163,025
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 3.097%, 6/25/46 540,649 496,491
FRB Ser. 06-OA7, Class 1A1, 2.923%, 6/25/46(WAC) 406,871 349,218
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), 2.856%, 9/25/35 574,247 521,941
FRB Ser. 06-45T1, Class 2A7, (1 Month US LIBOR + 0.34%), 2.846%, 2/25/37 437,159 253,362
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), 2.80%, 11/20/35 435,201 409,734
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), 2.696%, 8/25/46 490,698 439,175
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), 2.696%, 8/25/46 3,007,341 2,558,496
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), 2.686%, 6/25/47 570,220 443,299
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 4.084%, 9/28/36(WAC) 2,000,000 1,991,371
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 13.006%, 5/25/28 267,323 352,313
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 12.506%, 7/25/28 896,120 1,158,433
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 11.856%, 4/25/28 661,140 832,300
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 10.056%, 12/25/27 439,116 509,003
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, (1 Month US LIBOR + 3.85%), 6.356%, 3/25/29 250,000 272,493
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.806%, 9/25/30 1,300,000 1,270,224
Federal Home Loan Mortgage Corporation 144A Structured Agency Credit Risk Debt FRN Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 6.206%, 12/25/30 650,000 619,839
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.756%, 9/25/28 1,027,447 1,460,788
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 14.256%, 10/25/28 569,717 780,096
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 14.256%, 8/25/28 529,848 744,015
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 13.256%, 1/25/29 119,756 157,342
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 8.406%, 10/25/28 1,664,944 1,882,959
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 8.206%, 4/25/28 1,391,524 1,566,537
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 8.056%, 4/25/28 73,753 82,155
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 8.006%, 9/25/29 542,000 607,290
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 7.506%, 7/25/25 839,696 925,986
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.506%, 7/25/25 495,236 541,380
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 7.356%, 10/25/29 1,140,000 1,237,661
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.756%, 4/25/29 69,000 75,797
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.506%, 5/25/25 42,126 45,398
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 6.156%, 9/25/29 70,000 74,349
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 6.106%, 1/25/30 140,000 139,455
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 6.056%, 7/25/30 180,000 172,060
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 6.056%, 7/25/29 350,000 370,861
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, (1 Month US LIBOR + 2.55%), 5.056%, 12/25/30 250,000 246,945
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 4.606%, 3/25/31 210,000 202,224
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.18%), 2.686%, 5/25/36 616,377 266,505
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 2.816%, 5/25/37 390,921 287,701
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 2.99%, 5/19/35 353,974 223,170
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 2.706%, 6/25/37 597,546 339,107
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 3.301%, 8/25/35 131,382 123,941
Oaktown Re, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month US LIBOR + 2.85%), 5.356%, 7/25/28 (Bermuda) 800,000 796,000
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 5.206%, 3/25/28 (Bermuda) 620,000 615,350
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 2.721%, 5/25/46 335,068 314,964
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 2.716%, 8/25/36 456,793 404,262
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 2.626%, 8/25/36 381,195 347,116
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR14, Class 1A2, 4.215%, 12/25/35(WAC) 171,036 166,911
FRB Ser. 05-AR10, Class 1A3, 4.126%, 9/25/35(WAC) 450,423 444,649
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), 2.996%, 10/25/45 837,212 795,750
FRB Ser. 05-AR19, Class A1C4, (1 Month US LIBOR + 0.40%), 2.906%, 12/25/45 281,013 275,800
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%), 2.856%, 12/25/45 218,027 205,441
Wells Fargo Mortgage Backed Securities Trust
FRB Ser. 06-AR2, Class 1A1, 4.595%, 3/25/36(WAC) 368,555 364,870
FRB Ser. 06-AR5, Class 1A1, 4.214%, 4/25/36(WAC) 385,084 388,935
33,044,911
Total mortgage-backed securities (cost $113,085,791) $112,720,359









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (32.4%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (5.1%)
Government National Mortgage Association Pass-Through Certificates
4.50%, TBA, 1/1/49 $8,000,000 $8,273,750
4.00%, TBA, 1/1/49 4,000,000 4,095,938
12,369,688
U.S. Government Agency Mortgage Obligations (27.3%)
Federal National Mortgage Association Pass-Through Certificates
5.50%, TBA, 1/1/49 3,000,000 3,173,203
4.00%, TBA, 1/1/49 29,000,000 29,559,610
3.50%, TBA, 1/1/49 34,000,000 33,984,061
66,716,874
Total U.S. government and agency mortgage obligations (cost $77,991,017) $79,086,562









CORPORATE BONDS AND NOTES (32.0%)(a)
        Principal amount Value
Basic materials (3.7%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $191,000 $194,820
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 40,000 39,200
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 415,000 390,619
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 26,000 27,138
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 283,500
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 137,000 120,389
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 108,000 106,920
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 226,000 224,305
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 178,000 165,985
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 242,000 226,875
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 175,000 162,313
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 160,000 150,400
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 309,000 277,328
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 490,000 486,933
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 56,000 50,400
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 63,000 63,473
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 144,000 145,440
Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes 5.75%, 3/1/25 45,000 40,500
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 339,000 305,100
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (Netherlands) 250,000 225,313
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) 250,000 230,625
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 29,000 25,448
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 99,000 96,030
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 335,000 326,014
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) $200,000 164,000
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 108,000 96,120
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 150,000 154,688
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 345,000 336,375
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 145,000 141,738
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 167,000 151,135
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 66,000 66,495
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 124,000 119,660
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 53,000 54,590
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 94,000 91,885
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 75,000 67,125
Mercer International, Inc. 144A sr. unsec. notes 7.375%, 1/15/25 (Canada) 30,000 29,925
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 53,000 44,388
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 455,000 427,700
Pisces Midco, Inc. 144A sr. notes 8.00%, 4/15/26 138,000 125,580
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 163,000 150,979
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 259,000 301,088
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 165,000 155,100
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 361,000 342,048
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 45,000 41,344
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 49,500
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 19,725
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 305,000 282,842
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 30,000 28,575
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 175,000 163,625
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 160,000 146,400
Transocean Pontus, Ltd. 144A sr. unsec. notes 7.875%, 7/15/26 100,000 90,000
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 55,000 44,550
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 205,000 188,600
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 119,000 117,810
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 172,000 173,290
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 94,000 94,705
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 122,000 121,390
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 220,000 231,550
9,179,593
Capital goods (1.8%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 339,000 301,710
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 280,000 277,900
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 105,000 104,475
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 67,000 66,266
Berry Global, Inc. 144A notes 4.50%, 2/15/26 39,000 35,685
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 49,000 50,348
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 272,000 256,360
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 235,000 238,819
Covanta Holding Corp. sr. unsec. notes 6.00%, 1/1/27 55,000 49,225
Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 150,000 141,375
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 150,000 159,750
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 202,000 196,193
GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 85,000 74,800
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 295,000 299,794
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 340,000 295,800
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 121,000 117,370
Novafives SAS sr. notes Ser. REGS, 5.00%, 6/15/25 (France) EUR 100,000 91,627
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $95,000 94,763
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 84,000 79,800
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 300,000 272,250
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 80,000 78,800
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 310,000 305,350
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 105,000 98,963
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 49,000 41,895
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 55,000 52,525
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 174,000 161,820
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 94,000 83,660
Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24 122,000 112,240
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 50,000 46,000
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 390,000 333,938
4,519,501
Communication services (3.9%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 191,750
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 182,500
Altice Luxembourg SA company guaranty sr. unsec. sub. notes Ser. REGS, 6.25%, 2/15/25 (Luxembourg) EUR 100,000 90,954
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $280,000 255,150
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 150,000 151,875
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 276,000 265,305
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 109,000 108,455
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 49,000 48,020
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 360,000 350,100
CommScope Technologies, LLC 144A sr. unsec. notes 6.00%, 6/15/25 384,000 349,440
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 82,000 66,420
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 310,000 284,038
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 360,000 370,800
CSC Holdings, LLC 144A sr. unsec. notes 7.75%, 7/15/25 200,000 203,000
CSC Holdings, LLC 144A sr. unsec. notes 5.125%, 12/15/21 331,000 324,380
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 340,000 365,925
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 615,000 482,006
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 440,000 354,200
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 169,000 165,198
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 40,000 40,300
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 93,000 57,888
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 119,000 82,705
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 233,000 203,875
Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 422,000 362,920
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,180
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 265,000 265,663
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 70,000 68,775
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 264,000 241,560
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 40,200
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 540,000 503,550
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 107,363
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 883,000 906,179
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 296,815
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 200,000 202,000
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 156,738
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 32,000 30,880
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 43,875
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 135,000 122,175
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 55,000 50,463
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 288,900 362,074
UPC Holding BV 144A sr. notes 5.50%, 1/15/28 (Netherlands) $200,000 179,500
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 363,000 363,000
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 70,875
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 126,165
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 138,346
9,639,580
Consumer cyclicals (5.6%)
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 $281,000 240,255
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 57,000 48,878
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 155,000 136,400
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 38,000 36,005
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 90,000 89,100
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 155,000 144,925
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 64,000 60,640
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 125,000 122,500
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 347,000 322,710
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 70,920
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 190,000 182,400
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 127,000 127,000
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 100,000 98,892
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 $398,000 357,205
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 215,000 184,900
Delta Merger Sub., Inc. 144A sr. unsec. notes 6.00%, 9/15/26 20,000 18,900
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 112,000 107,520
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 85,000 87,338
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 235,000 228,098
Gray Escrow, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 187,000 181,983
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 101,000 94,162
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 145,000 135,938
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 200,000 187,500
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 266,000 250,040
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 288,000 192,960
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 65,000 63,453
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 265,000 261,688
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 35,000 32,813
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 65,000 57,363
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 333,000 289,710
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 384,000 407,040
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 227,000 229,270
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 55,000 56,650
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 100,000 80,500
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 75,000 63,375
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 85,000 74,375
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 74,000 74,000
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 181,000 178,738
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 141,000 133,950
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 304,000 297,160
Masaria Investments SAU sr. notes Ser. REGS, 5.00%, 9/15/24 (Spain) EUR 100,000 104,676
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $158,000 147,533
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 112,000 101,780
Meredith Corp. 144A sr. unsec. notes 6.875%, 2/1/26 200,000 195,500
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 175,000 179,813
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 147,000 150,491
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 278,000 268,270
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21 185,435 77,883
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 95,000 39,188
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 512,000 478,720
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 81,000 75,735
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 215,000 205,325
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 135,000 132,638
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 150,000 148,500
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 125,369
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 110,000 98,450
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 191,520
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 99,510
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 116,095
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 60,000 34,950
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 320,000 308,000
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 98,000 94,570
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 233,000 226,010
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 147,000 146,265
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 480,000 487,200
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 202,000 189,375
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. unsub. notes 5.125%, 2/15/27 103,000 90,898
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 117,000 117,293
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 367,000 335,346
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 225,000 212,063
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 270,000 254,475
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 105,000 99,719
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 10,000 10,163
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 98,000 93,992
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 244,000 229,055
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 8,400
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 125,000 116,875
Takko Luxembourg 2 SCA company guaranty sr. notes Ser. REGS, 5.375%, 11/15/23 (Luxembourg) EUR 100,000 81,313
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 $141,000 125,843
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 125,000 125,625
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 197,450
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 83,363
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 190,000 177,650
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 178,000 158,865
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 119,618
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 78,000 74,490
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 93,425
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 110,000 105,600
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 276,000 242,880
13,585,021
Consumer staples (1.4%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 175,000 159,250
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 125,000 120,625
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 125,000 115,000
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 160,000 153,200
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 389,000 331,623
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 105,000 91,875
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 145,000 116,725
EI Group PLC sr. unsec. notes 7.50%, 3/15/24 (United Kingdom) GBP 100,000 127,451
Europcar Groupe SA sr. notes Ser. REGS, 4.125%, 11/15/24 (France) EUR 100,000 108,804
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $120,000 86,400
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 283,000 271,680
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 192,000 180,960
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 326,000 298,290
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 125,775
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 125,450
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 74,400
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 150,720
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%, 12/15/27 223,000 204,603
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 120,000 109,500
Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29 60,000 59,175
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 120,000 116,604
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 212,000 167,480
3,331,573
Energy (7.7%)
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 34,000 33,915
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 368,000 228,160
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 68,000 64,600
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 185,280
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 302,000 292,940
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 64,000 65,459
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 68,000 61,540
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 163,000 140,995
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 93,000 81,840
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 215,000 145,663
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 99,000 98,505
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 165,000 155,768
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 54,000 45,360
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 218,000 192,385
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 26,000 22,425
Comstock Escrow Corp. 144A sr. unsec. notes 9.75%, 8/15/26 170,000 143,650
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 498,000 471,441
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 353,000 303,580
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 140,000 126,000
DCP Midstream Operating LP company guaranty sr. unsec. unsub. notes 5.375%, 7/15/25 180,000 175,950
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 27,000 19,643
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 227,000 211,110
Denbury Resources, Inc. 144A notes 7.50%, 2/15/24 58,000 46,690
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 317,000 309,075
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 65,000 62,725
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 224,000 228,480
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 60,000 61,050
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 105,000 77,700
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 99,000 74,250
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 249,000 110,805
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 90,000 37,125
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 45,000 33,525
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 125,000 110,625
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 245,000 237,038
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 227,000 220,190
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 172,000 147,920
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 22,000 21,010
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 34,000 32,130
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 220,000 223,300
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 205,000 155,199
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 20,000 15,874
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 96,000 97,200
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 144,000 141,120
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 55,000 52,250
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 56,000 42,420
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 86,000 73,315
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 33,000 30,690
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 191,000 180,018
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 125,000 105,625
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 935,304
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 196,872
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 4,416,000 4,537,440
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 360,000 364,500
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 222,000 227,273
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 475,000 446,500
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 664,000 634,120
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default)(NON) 399,000 58,853
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 824,000 122,426
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5.375%, 3/13/22 (Mexico) 269,000 265,676
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.875%, 1/24/22 (Mexico) 941,000 916,064
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 2,171,000 1,871,402
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 86,746
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 182,587
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 250,000 198,750
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 58,000 49,300
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 50,000 44,250
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 72,000 62,640
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 96,000 90,720
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 125,000 120,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 95,000 89,063
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 130,000 117,650
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 95,000 91,675
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 30,000 29,850
Transocean, Inc. 144A company guaranty sr. unsec. notes 7.50%, 1/15/26 160,000 140,400
Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) 217,000 218,845
USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 4/1/26 110,000 105,600
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 22,000 20,625
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 33,000 19,800
Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26 85,000 72,888
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 27,000 28,215
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 106,000 95,930
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 145,000 141,013
18,776,537
Financials (2.9%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 336,000 327,600
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 96,000 94,560
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 899,000 894,505
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 200,000 183,614
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 78,129
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 79,000 77,420
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 242,000 236,555
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 34,000 33,533
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 105,000 98,175
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 304,000 289,560
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 219,401
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 160,000 148,800
Fairfax Financial Holdings, Ltd. 144A sr. unsec. notes 4.85%, 4/17/28 (Canada) 75,000 72,066
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 110,000 94,050
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 261,000 223,808
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 115,000 114,138
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 79,000 78,132
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 95,000 96,188
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 156,000 140,790
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 94,050
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 95,000 93,813
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 23,000 22,971
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 215,000 210,700
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 15,469
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 180,000
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 165,000 159,638
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 55,000 51,420
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 200,000 187,500
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 50,000 43,750
Miller Homes Group Holdings PLC company guaranty sr. notes Ser. REGS, 5.50%, 10/15/24 (United Kingdom) GBP 100,000 115,527
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 $48,000 46,800
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 170,000 153,000
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 96,957
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 60,000 53,550
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 332,000 297,140
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 74,000 71,759
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 55,000 55,131
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 150,000 135,000
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 185,000 173,669
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 233,000 187,495
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 354,000 357,540
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 140,000 128,534
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 199,000
Wand Merger Corp. 144A sr. unsec. notes 9.125%, 7/15/26 35,000 33,950
Wand Merger Corp. 144A sr. unsec. notes 8.125%, 7/15/23 115,000 112,413
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 236,000 209,450
6,987,250
Health care (2.5%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 205,000 171,175
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 135,000 71,550
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 100,000 108,059
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $40,000 37,300
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 115,000 114,425
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 265,000 231,213
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 154,000 142,450
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 27,000 26,595
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 161,600
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 125,000 125,625
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 189,000 176,243
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 175,000 179,156
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 128,375
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 60,000 58,350
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 408,000 370,790
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 369,000 167,895
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 190,000 138,700
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 165,000 124,575
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 363,000 360,278
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 283,000 290,075
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 58,300
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 153,120
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 185,000 197,950
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 143,000 99,028
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 115,800
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 30,000 27,375
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 240,000 216,000
Service Corp. International sr. unsec. notes 5.375%, 1/15/22 249,000 249,623
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 45,000 42,300
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 493,020
Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 96,000 91,920
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 231,000 233,888
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 81,000 81,203
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 193,788
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 200,000 192,643
Unilabs Subholding AB company guaranty sr. unsec. notes Ser. REGS, 5.75%, 5/15/25 (Sweden) EUR 100,000 103,129
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 $140,000 140,000
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 125,000 120,938
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 75,000 72,188
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 45,000 43,425
6,110,067
Technology (1.3%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 571,000 —
Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 219,000 200,385
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 400,000 401,809
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 131,000 133,293
Energizer Gamma Acquisition, Inc. 144A company guaranty sr. unsec. notes 6.375%, 7/15/26 45,000 41,288
First Data Corp. 144A notes 5.75%, 1/15/24 343,000 334,425
First Data Corp. 144A sr. notes 5.375%, 8/15/23 165,000 162,113
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 190,000 148,200
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 254,000 247,015
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 228,000 220,510
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 57,000 57,171
Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26 50,000 47,750
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 378,000 402,570
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 355,000 328,375
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 353,000 328,290
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 180,000 156,150
3,209,344
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 229,000 229,573
229,573
Utilities and power (1.1%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 665,000 660,013
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 70,000 68,425
AES Corp./Virginia (The) sr. unsec. notes 4.50%, 3/15/23 60,000 58,500
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 163,000 156,480
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 252,000 230,580
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 86,000 78,475
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 34,300
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 143,000 150,865
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 78,000 84,240
Energy Transfer LP sr. sub. notes 5.875%, 1/15/24 164,000 166,870
Energy Transfer LP sr. sub. notes 5.50%, 6/1/27 337,000 328,575
GenOn Energy, Inc. sr. unsec. notes 9.875%, 10/15/20 142,000 54,347
GenOn Energy, Inc./NRG Americas, Inc. company guaranty sub. FRN (BBA LIBOR USD 3 Month + 6.50%), 9.392%, 12/1/23 30,785 30,169
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 122,000 127,033
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 176,000 177,320
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 55,000 52,800
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) 90,000 270
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 168,000 161,700
2,620,962
Total corporate bonds and notes (cost $83,926,558) $78,189,001









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (11.5%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) $750,000 $570,000
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,125,000 2,053,959
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 400,000 286,000
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 75,000 61,500
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 52.516%, 5/31/22 (Argentina) ARS 7,745,000 199,486
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $2,140,000 1,530,100
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 1,024,000 1,003,725
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 2,576,000 2,140,227
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 1,460,000 1,189,900
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 547,000 481,360
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 (Dominican Republic) 170,000 175,100
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 105,000 119,569
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 550,000 576,813
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 716,663
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%, 2/21/23 (Egypt) 315,000 298,463
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 890,000 807,675
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 300,000 274,500
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 446,000 481,422
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 4,193,261
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 2,755,417
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) $1,020,000 1,032,750
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 360,000 354,150
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 200,000 202,500
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 641,063
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 540,400
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Ivory Coast) 375,000 336,094
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 1,300,000 1,191,125
Russia (Federation of) sr. unsec. unsub. notes Ser. REGS, 4.50%, 4/4/22 (Russia) 1,400,000 1,415,750
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 202,333
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, 7/30/24 (Senegal) EUR 400,000 388,500
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) $360,000 336,059
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 1,115,000 1,078,532
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela)(In default)(NON) 798,000 176,558
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela)(In default)(NON) 371,000 76,983
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 1,292,000 297,160
Total foreign government and agency bonds and notes (cost $30,325,919) $28,185,097









PURCHASED SWAP OPTIONS OUTSTANDING (3.4%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/
Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Barclays Bank PLC
2.92/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.92 $17,640,400 $327,406
2.855/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.855 17,640,400 233,735
Citibank, N.A.
2.88/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.88 30,865,500 473,477
2.84/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.84 17,640,400 200,748
2.86/3 month USD-LIBOR-BBA/Jan-20 Jan-19/2.86 35,280,800 43,748
(3.23)/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.23 6,802,700 7
(3.29)/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.29 6,802,700 7
Goldman Sachs International
3.0375/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.0375 38,330,000 1,100,838
3.2775/3 month USD-LIBOR-BBA/Jan-20 Jan-19/3.2775 54,421,700 374,421
2.99375/3 month USD-LIBOR-BBA/Jan-20 Jan-19/2.99375 54,421,700 128,979
0.025/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.025 EUR 33,740,500 107,470
2.897/3 month USD-LIBOR-BBA/Mar-20 Mar-19/2.897 $23,520,500 91,730
-0.065/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/-0.065 EUR 33,740,500 59,534
2.9215/3 month USD-LIBOR-BBA/Mar-20 Mar-19/2.9215 $23,520,500 50,804
(1.523)/6 month EUR-EURIBOR-Reuters/Feb-49 Feb-19/1.523 EUR 3,244,200 7,880
(2.897)/3 month USD-LIBOR-BBA/Mar-20 Mar-19/2.897 $23,520,500 6,351
(2.9215)/3 month USD-LIBOR-BBA/Mar-20 Mar-19/2.9215 23,520,500 4,704
JPMorgan Chase Bank N.A.
3.162/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 11,760,300 717,496
2.88/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.88 30,865,500 489,218
3.096/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 9,408,200 394,956
1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 7,733,000 374,782
1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 3,085,000 313,028
(3.162)/3 month USD-LIBOR-BBA/Nov-33 Nov-20/3.162 $11,760,300 311,766
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 213,020
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 208,393
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 157,975
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 154,299
(3.096)/3 month USD-LIBOR-BBA/Nov-29 Nov-19/3.096 9,408,200 102,079
(1.545)/3 month GBP-LIBOR-BBA/Feb-29 Feb-19/1.545 GBP 6,488,300 43,914
(3.095)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.095 $23,520,500 31,517
(3.25)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.25 27,210,900 27
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 373,909
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 373,594
3.02/3 month USD-LIBOR-BBA/Aug-20 Aug-19/3.02 79,389,400 334,229
2.80/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.80 8,435,000 75,915
(3.0975)/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.0975 23,520,500 31,047
(3.098)/3 month USD-LIBOR-BBA/Feb-29 Feb-19/3.098 14,112,300 13,689
UBS AG
2.9125/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.9125 11,760,300 209,333
2.8525/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.8525 11,760,300 150,532
Total purchased swap options outstanding (cost $5,578,056) $8,286,557









PURCHASED OPTIONS OUTSTANDING (0.7%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
GBP/USD (Call) Jun-19/$1.34 8,440,465 GBP 6,622,050 $140,601
Citibank, N.A.
USD/JPY (Put) Jan-19/JPY 108.00 17,163,600 17,163,600 84,582
Goldman Sachs International
USD/CNH (Call) Apr-19/CNH 7.00 8,759,000 8,759,000 46,361
JPMorgan Chase Bank N.A.
EUR/NOK (Put) Mar-19/NOK 9.80 4,186,456 EUR 3,653,900 33,504
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/97.11 7,000,000 7,000,000 195,216
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/97.27 7,000,000 7,000,000 184,408
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/97.42 7,000,000 7,000,000 173,635
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Jan-19/92.26 15,000,000 $15,000,000 361,395
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jan-19/95.81 19,000,000 19,000,000 332,386
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.72 6,000,000 6,000,000 75,126
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.56 6,000,000 6,000,000 83,520
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.41 6,000,000 6,000,000 92,106
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Jan-19/98.64 14,000,000 14,000,000 14
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.75 13,000,000 13,000,000 1,703
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.59 13,000,000 13,000,000 1,261
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.44 13,000,000 13,000,000 910
Total purchased options outstanding (cost $1,128,409) $1,806,728









SENIOR LOANS (1.9%)(a)(c)
        Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.349%, 7/2/22 $44,701 $29,726
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.682%, 4/28/22 48,873 45,278
Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.303%, 4/21/24 83,592 65,739
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.701%, 12/15/24 252,450 243,772
Boyd Gaming Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 4.466%, 9/15/23 110,000 104,821
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.732%, 6/21/24 215,715 203,959
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.658%, 4/3/24 64,025 60,143
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 7.037%, 11/17/22 155,000 144,150
CCC Information Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.75%), 9.095%, 4/27/25 64,000 62,880
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 6.633%, 5/5/24 85,624 81,771
Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.869%, 6/30/24 133,980 124,350
Forterra Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.522%, 10/25/23 184,998 164,833
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 7.272%, 4/16/21 70,077 69,026
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.272%, 3/31/24 80,756 76,567
HFOTCO, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.28%, 6/26/25 199,000 194,771
iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA LIBOR USD 3 Month + 6.75%), 9.272%, 1/30/19 (In default)(NON) 323,000 213,584
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.604%, 5/21/24 260,000 250,900
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.477%, 10/16/23 79,381 75,015
KCA Deutag Alpha, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.75%), 9.021%, 3/21/23 69,546 56,680
Kronos, Inc./MA bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 9.25%, 11/1/24 95,000 93,456
Level 3 Financing, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 4.754%, 2/22/24 79,000 74,458
Murray Energy Corp. bank term loan FRN Ser. B2, (BBA LIBOR USD 3 Month + 7.25%), 9.777%, 10/17/22 102,210 85,089
Navistar Financial Corp Owner Trust bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.313%, 7/30/25 39,900 38,005
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.89%, 11/6/24 309,520 296,366
Neiman Marcus Group, Ltd., Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.63%, 10/25/20 147,943 125,197
Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.772%, 2/28/25 104,213 95,354
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.582%, 11/3/23 127,882 111,833
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.272%, 10/1/25 327,000 304,764
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.207%, 9/7/23 93,523 65,817
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.272%, 2/5/23 141,745 134,870
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 10.563%, 2/28/26 100,000 91,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 6.063%, 2/28/25 243,811 219,430
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 9.506%, 11/28/22 125,000 124,688
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.522%, 3/28/25 233,175 214,376
TransDigm, Inc. bank term loan FRN Ser. F, (BBA LIBOR USD 3 Month + 2.50%), 5.022%, 6/9/23 174,704 164,604
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.707%, 11/15/23 135,000 122,175
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.349%, 7/24/24 74,248 69,422
Total senior loans (cost $5,129,794) $4,698,869









CONVERTIBLE BONDS AND NOTES (1.8%)(a)
        Principal amount Value
Basic materials (—%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20, (Mexico) $29,000 $28,277
Patrick Industries, Inc. 144A cv. sr. unsec. notes 1.00%, 2/1/23 57,000 42,923
71,200
Capital goods (0.1%)
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 73,000 67,779
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 21,000 11,025
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 36,000 34,977
Kaman Corp. cv. sr. unsec. notes 3.25%, 5/1/24 47,000 50,056
163,837
Communication services (0.1%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 59,000 47,643
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 14,000 13,632
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/15/23 55,000 65,085
Twilio, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/23 26,000 37,116
163,476
Consumer cyclicals (0.3%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 33,932 42,119
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 52,000 53,167
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 136,000 145,629
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 58,000 59,735
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 2.50%, 3/15/23 59,000 60,076
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 31,000 26,824
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 31,000 30,922
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 0.35%, 6/15/20 91,000 122,508
Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23 94,000 97,816
638,796
Consumer staples (0.1%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.25%, 5/15/23 29,000 35,057
Etsy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/23 25,000 36,234
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 38,000 50,474
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 52,000 49,699
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 27,000 27,084
Wayfair, Inc. cv. sr. unsec. sub. notes 0.375%, 9/1/22 53,000 56,926
255,474
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 30,504
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 81,000 65,194
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 52,000 45,714
141,412
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23,(R) 41,000 39,845
Heritage Insurance Holdings, Inc. cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 15,000 17,508
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22,(R) 76,000 77,869
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 74,000 66,741
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19,(R) 43,000 44,196
246,159
Health care (0.3%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 87,000 86,513
Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25 11,000 7,698
DexCom, Inc. 144A cv. sr. unsec. notes 0.75%, 12/1/23 25,000 25,251
Exact Sciences Corp. cv. sr. unsec. notes 1.00%, 1/15/25 43,000 47,218
Illumina, Inc. 144A cv. sr. unsec. notes zero %, 8/15/23 100,000 102,575
Insmed, Inc. cv. sr. unsec. sub. notes 1.75%, 1/15/25 38,000 27,065
Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24 44,000 46,729
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21, (Ireland) 101,000 97,821
Ligand Pharmaceuticals, Inc. 144A cv. sr. sub. unsec. notes 0.75%, 5/15/23 39,000 34,535
Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22 99,000 84,936
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 25,000 29,843
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 61,000 60,504
Supernus Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.625%, 4/1/23 47,000 44,180
Teladoc, Inc. 144A cv. sr. unsec. notes 1.375%, 5/15/25 48,000 56,220
Wright Medical Group, Inc. 144A cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 63,000 64,156
815,244
Technology (0.6%)
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25 66,000 60,525
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 27,000 32,165
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 6,000 8,519
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 1/15/23 30,000 45,244
Cypress Semiconductor Corp. cv. sr. unsec. notes 2.00%, 2/1/23, (acquired11/13/2018, cost $12,993)(RES) 13,000 12,399
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 27,000 47,567
HubSpot, Inc. cv. sr. unsec. notes 0.25%, 6/1/22 40,000 57,138
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 40,000 36,978
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 44,000 50,451
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 172,000 168,008
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 33,000 36,581
New Relic, Inc. 144A cv. sr. unsec. notes 0.50%, 5/1/23 35,000 34,953
Nice Systems, Inc. cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 51,000 69,679
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 52,000 45,802
Nutanix, Inc. 144A cv. sr. unsec. notes zero %, 1/15/23 48,000 52,443
Okta, Inc. 144A cv. sr. unsec. notes 0.25%, 2/15/23 40,000 58,550
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 74,000 79,417
OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22 62,000 57,470
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.75%, 7/1/23 110,000 108,789
RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22 74,000 95,705
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 18,000 42,751
ServiceNow, Inc. cv. sr. unsec. unsub. notes zero %, 6/1/22 67,000 93,518
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 9/15/25 63,000 61,990
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 30,000 34,800
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 66,000 60,194
Vocera Communications, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/23 16,000 21,312
Western Digital Corp. 144A cv. company guaranty sr. unsec. notes 1.50%, 2/1/24 41,000 33,226
Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23, (Israel) 41,000 38,794
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 63,000 76,969
1,621,937
Transportation (—%)
Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 75,000 71,429
71,429
Utilities and power (0.1%)
NRG Energy, Inc. 144A cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 114,000 122,764
122,764
Total convertible bonds and notes (cost $4,674,348) $4,311,728









COMMON STOCKS (0.1%)(a)
        Shares Value
Advanz Pharma Corp. (Canada)(NON) 985 $18,498
Avaya Holdings Corp.(NON) 6,298 91,706
Caesars Entertainment Corp.(NON) 3,910 26,549
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 2,788
Halcon Resources Corp.(NON) 11,307 19,222
MWO Holdings, LLC (Units)(F) 73 2,470
Nine Point Energy(F) 648 9,357
Tervita Corp. (Canada)(NON) 191 879
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 6,874
Tribune Media Co. Class 1C 40,066 26,043
Total common stocks (cost $617,664) $204,386









CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
        Shares Value
Nine Point Energy 6.75% cv. pfd. 13 $15,293
Total convertible preferred stocks (cost $13,000) $15,293









WARRANTS (0.0%)(a)(NON)
    Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 3,071 $69
Total warrants (cost $—) $69









SHORT-TERM INVESTMENTS (9.1%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund 2.58%(AFF) Shares 5,838,071 $5,838,071
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.27%(P) Shares 610,000 610,000
U.S. Treasury Bills 2.547%, 6/13/19(SEG)(SEGSF)(SEGCCS) $3,766,000 3,724,628
U.S. Treasury Bills 2.531%, 6/6/19(SEG)(SEGSF)(SEGCCS)(SEGTBA) 1,501,000 1,485,199
U.S. Treasury Bills 2.403%, 3/14/19(SEG)(SEGSF)(SEGCCS)(SEGTBA) 529,000 526,513
U.S. Treasury Bills 2.528%, 6/20/19(SEGSF)(SEGCCS) 572,000 565,441
U.S. Treasury Bills 2.479%, 4/11/19(SEGSF)(SEGCCS) 2,981,000 2,961,305
U.S. Treasury Bills 2.399%, 3/7/19(SEGSF)(SEGCCS)(SEGTBA) 1,549,000 1,542,443
U.S. Treasury Bills 2.342%, 2/14/19(SEGSF)(SEGTBA) 3,245,000 3,235,717
U.S. Treasury Bills 2.345%, 2/7/19(SEGSF)(SEGCCS) 182,000 181,570
U.S. Treasury Bills 2.319%, 1/24/19(SEGSF)(SEGTBA) 757,000 755,944
U.S. Treasury Bills 2.302%, 1/17/19(SEGSF)(SEGTBA) 640,000 639,391
U.S. Treasury Bills 2.260%, 1/10/19(SEGSF)(SEGTBA) 101,000 100,949
U.S. Treasury Bills 2.473%, 4/18/19(SEGTBA) 19,000 18,866
Total short-term investments (cost $22,184,465) $22,186,037
TOTAL INVESTMENTS
Total investments (cost $344,655,021) $339,690,686









FORWARD CURRENCY CONTRACTS at 12/31/18 (aggregate face value $140,010,335) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/16/19 $1,164,611 $1,224,895 $(60,284)
Brazilian Real Buy 1/3/19 1,052,033 1,062,100 (10,067)
Brazilian Real Sell 1/3/19 1,052,029 1,042,147 (9,882)
Canadian Dollar Sell 1/16/19 1,016,930 1,036,539 19,609
Euro Sell 3/20/19 1,783,570 1,773,261 (10,309)
Japanese Yen Sell 2/20/19 250,946 250,541 (405)
New Zealand Dollar Sell 1/16/19 1,015,619 1,016,102 483
Norwegian Krone Buy 3/20/19 3,593,133 3,640,334 (47,201)
South Korean Won Buy 2/20/19 1,083,707 1,086,831 (3,124)
South Korean Won Sell 2/20/19 1,095,686 1,072,676 (23,010)
Swedish Krona Sell 3/20/19 848,610 837,064 (11,546)
Barclays Bank PLC
Australian Dollar Buy 1/16/19 1,068,723 1,093,351 (24,628)
British Pound Sell 3/20/19 32,879 32,848 (31)
Canadian Dollar Buy 1/16/19 1,024,844 1,062,003 (37,159)
Euro Sell 3/20/19 2,338,464 2,323,308 (15,156)
Hong Kong Dollar Sell 2/20/19 145,384 145,428 44
Norwegian Krone Buy 3/20/19 1,235,929 1,263,450 (27,521)
Singapore Dollar Buy 2/20/19 1,083,651 1,076,738 6,913
Singapore Dollar Sell 2/20/19 1,083,357 1,077,468 (5,889)
Swedish Krona Sell 3/20/19 1,800,334 1,783,208 (17,126)
Citibank, N.A.
Australian Dollar Buy 1/16/19 1,326,374 1,353,641 (27,267)
Canadian Dollar Buy 1/16/19 2,021,476 2,084,845 (63,369)
Euro Sell 3/20/19 339,371 337,099 (2,272)
Japanese Yen Sell 2/20/19 544,177 526,124 (18,053)
Norwegian Krone Sell 3/20/19 515,989 509,868 (6,121)
South Korean Won Buy 2/20/19 1,086,363 1,075,648 10,715
South Korean Won Sell 2/20/19 1,084,639 1,083,164 (1,475)
Swedish Krona Sell 3/20/19 1,728,155 1,710,683 (17,472)
Credit Suisse International
Australian Dollar Buy 1/16/19 1,186,170 1,210,499 (24,329)
Canadian Dollar Buy 1/16/19 984,542 1,082,155 (97,613)
Euro Sell 3/20/19 3,846,432 3,824,675 (21,757)
Japanese Yen Sell 2/20/19 544,639 528,320 (16,319)
New Zealand Dollar Sell 1/16/19 1,046,299 1,030,447 (15,852)
Swedish Krona Sell 3/20/19 2,091,536 2,076,486 (15,050)
Goldman Sachs International
Australian Dollar Sell 1/16/19 3,347,500 3,444,788 97,288
Brazilian Real Buy 1/3/19 1,991,753 2,003,089 (11,336)
Brazilian Real Sell 4/2/19 2,097,152 2,081,268 (15,884)
Canadian Dollar Sell 1/16/19 1,036,202 1,096,070 59,868
Euro Sell 3/20/19 2,210,235 2,200,836 (9,399)
New Taiwan Dollar Buy 2/20/19 1,076,792 1,080,108 (3,316)
New Taiwan Dollar Sell 2/20/19 1,085,549 1,079,449 (6,100)
New Zealand Dollar Buy 1/16/19 3,753,922 3,969,975 (216,053)
Norwegian Krone Buy 3/20/19 5,359,359 5,481,158 (121,799)
South African Rand Buy 1/16/19 159,302 219,209 (59,907)
Swedish Krona Buy 3/20/19 7,115,182 7,054,783 60,399
HSBC Bank USA, National Association
Australian Dollar Buy 1/16/19 5,337,413 5,479,761 (142,348)
Australian Dollar Sell 1/16/19 5,342,415 5,396,688 54,273
British Pound Buy 3/20/19 2,045,932 2,038,656 7,276
Canadian Dollar Sell 1/16/19 1,011,508 1,016,570 5,062
Chinese Yuan (Offshore) Buy 2/20/19 1,278,630 1,275,137 3,493
Euro Sell 3/20/19 1,269,267 1,256,797 (12,470)
Japanese Yen Sell 2/20/19 1,122,741 1,096,956 (25,785)
Mexican Peso Sell 1/16/19 35,992 10,919 (25,073)
New Zealand Dollar Buy 1/16/19 2,715,478 2,674,101 41,377
Norwegian Krone Buy 3/20/19 294,595 327,477 (32,882)
Swedish Krona Sell 3/20/19 967,402 951,582 (15,820)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/16/19 720,326 728,781 (8,455)
British Pound Buy 3/20/19 1,028,083 1,026,261 1,822
Canadian Dollar Sell 1/16/19 1,417,752 1,435,173 17,421
Euro Sell 3/20/19 1,725,336 1,712,818 (12,518)
Japanese Yen Buy 2/20/19 1,036,349 1,029,154 7,195
New Zealand Dollar Buy 1/16/19 69,753 53,243 16,510
Norwegian Krone Buy 3/20/19 2,170,335 2,244,659 (74,324)
Singapore Dollar Buy 2/20/19 1,083,137 1,077,938 5,199
Singapore Dollar Sell 2/20/19 1,087,397 1,072,787 (14,610)
Swedish Krona Sell 3/20/19 1,520,666 1,515,149 (5,517)
Swiss Franc Buy 3/20/19 95,604 94,516 1,088
NatWest Markets PLC
Australian Dollar Buy 1/16/19 1,671,460 1,718,780 (47,320)
Canadian Dollar Buy 1/16/19 481,865 502,055 (20,190)
Euro Buy 3/20/19 2,099,071 2,091,513 7,558
Japanese Yen Buy 2/20/19 484,025 496,402 (12,377)
New Zealand Dollar Sell 1/16/19 2,129,053 2,131,000 1,947
Norwegian Krone Sell 3/20/19 515,989 509,857 (6,132)
Swedish Krona Sell 3/20/19 1,155,490 1,144,009 (11,481)
State Street Bank and Trust Co.
Australian Dollar Buy 1/16/19 137,033 156,888 (19,855)
British Pound Sell 3/20/19 1,375,426 1,381,305 5,879
Canadian Dollar Sell 1/16/19 3,461,504 3,557,059 95,555
Euro Sell 3/20/19 4,599,321 4,570,265 (29,056)
Japanese Yen Buy 2/20/19 685,097 685,982 (885)
New Zealand Dollar Sell 1/16/19 2,151,813 2,128,410 (23,403)
Norwegian Krone Buy 3/20/19 753,594 805,003 (51,409)
Swedish Krona Sell 3/20/19 1,888,781 1,870,570 (18,211)
UBS AG
Australian Dollar Sell 1/16/19 1,630,808 1,678,141 47,333
British Pound Sell 3/20/19 1,505,280 1,515,302 10,022
Canadian Dollar Buy 1/16/19 509,637 518,639 (9,002)
Euro Sell 3/20/19 1,639,081 1,627,199 (11,882)
New Zealand Dollar Sell 1/16/19 447,522 470,999 23,477
Norwegian Krone Buy 3/20/19 17,024 17,396 (372)
Swedish Krona Sell 3/20/19 345,082 341,674 (3,408)
WestPac Banking Corp.
Australian Dollar Buy 1/16/19 886,739 901,092 (14,353)
Canadian Dollar Sell 1/16/19 2,066,614 2,098,208 31,594
Euro Sell 3/20/19 517,532 514,572 (2,960)
New Zealand Dollar Buy 1/16/19 1,015,015 1,018,213 (3,198)
Unrealized appreciation 639,400
Unrealized (depreciation) (1,729,377)
Total $(1,089,977)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 12/31/18 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-OAT 10 yr (Short) 7 $1,209,454 $1,209,453 Mar-19 $1,988
Euro-Schatz 2 yr (Short) 64 8,208,336 8,208,334 Mar-19 (1,623)
U.K. Gilt 10 yr (Short) 12 1,883,910 1,883,909 Mar-19 5,332
U.S. Treasury Note 2 yr (Long) 67 14,224,938 14,224,938 Mar-19 71,319
U.S. Treasury Note 5 yr (Short) 106 12,156,875 12,156,875 Mar-19 (134,369)
U.S. Treasury Note Ultra 10 yr (Long) 36 4,682,813 4,682,813 Mar-19 103,662
Unrealized appreciation 182,301
Unrealized (depreciation) (135,992)
Total $46,309









WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/18 (premiums $4,764,907) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/
Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Barclays Bank PLC
2.813/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.813 $27,421,000 $6,855
(2.985)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.985 17,640,400 425,839
Citibank, N.A.
3.395/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.395 6,802,700 7
3.43/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.43 6,802,700 7
3.33/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.33 6,802,700 7
3.50/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.50 6,802,700 7
3.14/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.14 17,640,400 18
3.095/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.095 15,432,700 309
2.663/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.663 27,421,000 23,856
(2.77)/3 month USD-LIBOR-BBA/Jan-20 Jan-19/2.77 35,280,800 77,265
(2.945)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.945 15,432,700 320,074
Goldman Sachs International
3.2975/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.2975 19,165,000 19
0.389/6 month EUR-EURIBOR-Reuters/Feb-24 Feb-19/0.389 EUR 16,220,800 6,505
2.909/3 month USD-LIBOR-BBA/Mar-21 Mar-19/2.909 $23,520,500 10,114
(2.909)/3 month USD-LIBOR-BBA/Mar-21 Mar-19/2.909 23,520,500 141,123
(0.115)/6 month EUR-EURIBOR-Reuters/Aug-21 Aug-19/0.115 EUR 33,740,500 164,297
(3.1325)/3 month USD-LIBOR-BBA/Jan-21 Jan-19/3.1325 $54,421,700 501,768
(3.0975)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.0975 19,165,000 652,185
JPMorgan Chase Bank N.A.
3.26/3 month USD-LIBOR-BBA/Jan-49 Jan-19/3.26 5,932,000 6
3.18/3 month USD-LIBOR-BBA/Jan-24 Jan-19/3.18 25,442,100 25
3.095/3 month USD-LIBOR-BBA/Jan-29 Jan-19/3.095 15,432,700 1,080
3.14/3 month USD-LIBOR-BBA/Mar-29 Mar-19/3.14 8,435,000 10,966
2.77/3 month USD-LIBOR-BBA/Jan-21 Jan-19/2.77 49,306,000 12,327
3.415/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.415 47,041,100 24,932
1.71/3 month GBP-LIBOR-BBA/Feb-29 Feb-19/1.71 GBP 12,976,700 30,765
2.975/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 $11,760,300 80,911
(2.975)/3 month USD-LIBOR-BBA/Nov-23 Nov-20/2.975 11,760,300 231,796
(2.945)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.945 15,432,700 324,241
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 11,760,300 483,936
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 8,451,000 619,501
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 739,602
Morgan Stanley & Co. International PLC
2.94/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.94 8,435,000 1,012
3.3975/3 month USD-LIBOR-BBA/Nov-21 Nov-19/3.3975 47,041,100 25,873
(2.58)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.58 79,389,400 134,962
(2.80)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/2.80 79,389,400 218,321
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-25/3.00 3,150,300 317,456
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-25/3.00 3,150,300 317,708
UBS AG
(2.9725)/3 month USD-LIBOR-BBA/Jan-29 Jan-19/2.9725 11,760,300 270,605
Total $6,176,280









WRITTEN OPTIONS OUTSTANDING at 12/31/18 (premiums $959,832) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
GBP/USD (Call) Jun-19/$1.44 12,660,666 GBP $9,933,050 $46,237
Citibank, N.A.
USD/JPY (Put) Jan-19/JPY 105.00 $17,163,600 17,163,600 21,952
Goldman Sachs International
USD/CNH (Call) Apr-19/CNH 7.20 8,759,000 8,759,000 16,449
JPMorgan Chase Bank N.A.
EUR/NOK (Put) Mar-19/NOK 9.60 6,279,684 EUR 5,480,850 18,161
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-19/92.26 15,000,000 15,000,000 15
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Jan-19/95.81 19,000,000 19,000,000 19
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Jan-19/98.64 14,000,000 14,000,000 185,878
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/97.57 7,000,000 7,000,000 163,709
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/97.72 7,000,000 7,000,000 153,034
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/97.88 7,000,000 7,000,000 142,429
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.02 7,000,000 7,000,000 132,706
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.18 7,000,000 7,000,000 122,297
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.34 7,000,000 7,000,000 112,028
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.79 6,000,000 6,000,000 71,424
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/98.95 6,000,000 6,000,000 63,390
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/99.10 6,000,000 6,000,000 55,668
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/99.17 6,000,000 6,000,000 52,314
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/99.33 6,000,000 6,000,000 45,168
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Feb-19/99.48 6,000,000 6,000,000 38,496
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.27 13,000,000 13,000,000 637
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/97.11 13,000,000 13,000,000 455
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.95 13,000,000 13,000,000 312
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.78 13,000,000 13,000,000 208
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.63 13,000,000 13,000,000 143
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Feb-19/96.47 13,000,000 13,000,000 91
Total $1,443,220









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/18 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/
Floating rate index/
Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 $6,163,300 $(240,985) $5,917
(2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (15,458)
2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) (57,935)
2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (97,553)
Barclays Bank PLC
1.11125/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) 40,004
(1.11125)/6 month JPY-LIBOR-BBA/Aug-43 (Purchased) Aug-23/1.11125 JPY 119,084,000 (60,235) (25,282)
Citibank, N.A.
2.8625/3 month USD-LIBOR-BBA/Mar-24 (Purchased) Mar-19/2.8625 5,880,100 (33,517) 55,391
3.035/3 month USD-LIBOR-BBA/Mar-24 (Purchased) Mar-19/3.035 5,880,100 (29,401) 22,815
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) 8,051
(2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) 4,931
(3.035)/3 month USD-LIBOR-BBA/Mar-24 (Purchased) Mar-19/3.035 5,880,100 (29,401) (14,347)
(2.8625)/3 month USD-LIBOR-BBA/Mar-24 (Purchased) Mar-19/2.8625 5,880,100 (33,517) (25,637)
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689 934,000 (120,253) (27,871)
2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) (57,134)
2.9425/3 month USD-LIBOR-BBA/Mar-29 (Written) Mar-19/2.9425 5,880,100 60,565 40,514
(2.9425)/3 month USD-LIBOR-BBA/Mar-29 (Written) Mar-19/2.9425 5,880,100 60,565 (77,088)
Goldman Sachs International
(2.725)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,556,600 (124,761) 9,355
(3.005)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,556,600 (107,872) 7,005
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (2,204)
1.234/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/1.234 GBP 7,938,900 (29,073) (6,476)
1.18/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/1.18 GBP 3,969,500 (17,276) (9,057)
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 $(93,375) $(15,509)
3.005/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/3.005 1,556,600 (141,651) (18,337)
2.725/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.725 1,556,600 (124,761) (19,208)
(1.98)/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/1.98 GBP 3,969,500 (21,292) (20,289)
(2.034)/3 month GBP-LIBOR-BBA/Feb-29 (Purchased) Feb-19/2.034 GBP 7,938,900 (41,297) (39,869)
3.215/3 month USD-LIBOR-BBA/Nov-53 (Written) Nov-23/3.215 3,010,400 $350,260 $68,155
(3.215)/3 month USD-LIBOR-BBA/Nov-53 (Written) Nov-23/3.215 3,010,400 350,260 (107,170)
JPMorgan Chase Bank N.A.
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 30,361
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 $(100,218) $8,443
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (89,971) (2,257)
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50 1,556,600 (161,886) (5,401)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (11,803)
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902 934,000 $(144,396) $(34,511)
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (129,171)
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (162,231)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) 51,012
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (143,089) 4,493
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505 934,000 (100,498) (21,501)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27 1,191,600 (135,962) (30,708)
UBS AG
1.72/6 month EUR-EURIBOR-Reuters/Nov-58 (Purchased) Nov-28/1.72 EUR 1,672,400 (292,251) 29,068
(1.72)/6 month EUR-EURIBOR-Reuters/Nov-58 (Purchased) Nov-28/1.72 EUR 1,672,400 (292,251) (11,095)
Unrealized appreciation 385,515
Unrealized (depreciation) (1,045,102)
Total $(659,587)









TBA SALE COMMITMENTS OUTSTANDING at 12/31/18 (proceeds receivable $21,213,164) (Unaudited)
  Agency Principal amount Settlement date Value
Federal National Mortgage Association, 4.50%, 1/1/49 $3,000,000 1/14/19 $3,105,469
Federal National Mortgage Association, 3.00%, 1/1/49 19,000,000 1/14/19 18,533,907
Total $21,639,376











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/18 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$10,352,000 $83,427 $(98) 3/21/23 3 month USD-LIBOR-BBA — Quarterly 2.7725% — Semiannually $154,230
4,078,000 55,000 (E) (46) 2/27/28 3 month USD-LIBOR-BBA — Quarterly 3.11% — Semiannually 54,954
4,849,000 52,427 (E) (55) 3/7/28 3 month USD-LIBOR-BBA — Quarterly 3.05125% — Semiannually 52,373
36,933,000 21,310 (89) 4/25/19 3 month USD-LIBOR-BBA — Quarterly 2.547% — Semiannually (22,641)
92,333,000 50,968 (223) 4/26/19 3 month USD-LIBOR-BBA — Quarterly 2.55% — Semiannually (57,054)
18,467,000 11,376 (45) 5/1/19 3 month USD-LIBOR-BBA — Quarterly 2.5371% — Semiannually (12,844)
1,976,000 196,679 (67) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually 198,566
10,666,000 411,132 (141) 11/20/28 3.1475% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (416,600)
11,760,300 365,475 (167) 1/3/29 3.065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (365,641)
6,491,700 204,183 (E) (92) 3/4/29 3 month USD-LIBOR-BBA — Quarterly 3.073% — Semiannually 204,092
4,113,400 97,298 (E) (86,548) 3/18/49 3 month USD-LIBOR-BBA — Quarterly 2.95% — Semiannually 10,750
26,571,800 311,475 (E) 221,015 3/18/29 2.85% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (90,460)
151,131,600 1,604,715 (E) 1,011,217 3/18/24 2.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (593,498)
232,256,800 564,616 (E) 426,725 3/18/21 2.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (137,891)
28,018,000 166,959 (E) (57,716) 3/20/24 2.70% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (224,675)
20,946,000 337,775 (E) (88,599) 3/20/29 3 month USD-LIBOR-BBA — Quarterly 2.90% — Semiannually 249,177
5,118,000 25,257 (68) 12/28/28 3 month USD-LIBOR-BBA — Quarterly 2.769% — Semiannually 24,771
7,858,000 39,824 (104) 12/28/28 2.7705% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (39,286)
3,768,000 29,568 (50) 12/31/28 3 month USD-LIBOR-BBA — Quarterly 2.80% — Semiannually 29,517
3,430,000 12,657 (45) 1/3/29 2.755% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (12,702)
AUD 5,347,000 43,902 (17) 11/3/22 2.427% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (45,547)
AUD 5,347,000 47,574 (17) 11/15/22 2.4525% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (49,011)
AUD 6,166,000 105,974 (E) (54) 3/7/28 3.395% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (106,028)
AUD 46,107,000 175,465 (E) 19,543 3/20/24 2.35% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (155,922)
AUD 8,000 65 (E) (16) 3/20/29 6 month AUD-BBR-BBSW — Semiannually 2.70% — Semiannually 48
BRL 9,366,135 241,529 (26) 1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity 0.00% — At maturity 240,252
BRL 4,758,157 127,886 (19) 1/2/23 0.00% — At maturity Brazil Cetip DI Interbank Deposit Rate — At maturity (127,375)
BRL 5,169,965 87,176 — 1/2/23 0.00% — At maturity Brazil Cetip DI Interbank Deposit Rate — At maturity (86,119)
CAD 5,244,000 32,811 (17) 11/2/22 3 month CAD-BA-CDOR — Semiannually 2.02% — Semiannually (34,058)
CAD 5,244,000 28,559 (17) 11/14/22 3 month CAD-BA-CDOR — Semiannually 2.0525% — Semiannually (29,415)
CAD 33,131,000 120,807 (E) 42,933 3/20/24 2.40% — Semiannually 3 month CAD-BA-CDOR — Semiannually (77,874)
CAD 5,575,000 23,653 (E) (17,246) 3/20/29 3 month CAD-BA-CDOR — Semiannually 2.55% — Semiannually 6,406
CHF 10,680,000 32,739 (E) (42) 9/21/21 — 0.046% plus 6 month CHF-LIBOR-BBA — Semiannually (32,780)
CHF 3,373,000 3,514 (E) (5,899) 3/20/24 — 0.20% plus 6 month CHF-LIBOR-BBA — Semiannually (9,413)
CHF 12,949,000 28,535 (E) 38,838 3/20/29 6 month CHF-LIBOR-BBA — Semiannually 0.35% — Annually 67,374
EUR 3,849,000 10,037 (E) (15) 2/18/20 — 0.124% plus 1 Day Euribor rate — Annually (10,052)
EUR 3,849,000 10,937 (E) (15) 2/18/20 — 0.104% plus 1 Day Euribor rate — Annually (10,952)
EUR 12,463,000 117,035 (110) 5/4/22 0.21% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (142,871)
EUR 3,590,000 83,055 (E) (31) 10/27/27 1.61375% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (83,085)
EUR 6,424,000 91,724 (63) 1/24/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.378% — Annually 127,351
EUR 1,650,000 44,149 (27) 1/24/28 0.976% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (64,235)
EUR 7,976,000 9,056 (37) 1/24/20 — 0.14% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (7,796)
EUR 8,024,000 10,747 (38) 1/30/20 — 0.1249% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (10,605)
EUR 6,456,000 111,472 (65) 1/30/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.4419% — Annually 150,901
EUR 1,654,000 47,962 (27) 1/30/28 0.9987% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (68,084)
EUR 16,478,700 329,257 (191) 3/21/23 0.503% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (419,014)
EUR 3,262,000 98,579 (E) (45) 2/27/28 1.815% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (98,624)
EUR 9,587,000 35,172 (E) (42) 9/21/21 6 month EUR-EURIBOR-REUTERS — Semiannually 0.354% — Annually 35,130
EUR 2,554,000 4,170 (11) 10/23/20 0.119% plus 6 month EUR-EURIBOR-REUTERS — Annually — (5,008)
EUR 2,055,000 24,595 (19) 10/23/23 6 month EUR-EURIBOR-REUTERS — Semiannually 0.385% — Annually 27,467
EUR 527,000 12,907 (8) 10/23/28 1.009% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (14,363)
EUR 44,105,000 131,892 (E) (6,918) 3/20/24 6 month EUR-EURIBOR-REUTERS — Semiannually 0.30% — Annually 124,973
EUR 40,586,000 226,694 (E) (8,433) 3/20/29 6 month EUR-EURIBOR-REUTERS — Semiannually 0.90% — Annually 218,261
GBP 1,747,000 66,820 (E) (32) 1/19/32 1.912% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (66,852)
GBP 7,946,000 17,744 (24) 9/15/19 6 month GBP-LIBOR-BBA — Semiannually 0.766% — Semiannually (21,536)
GBP 1,589,000 47,687 (E) (19) 9/22/32 1.863% — Semiannually 6 month GBP-LIBOR-BBA — Semiannually (47,706)
GBP 7,946,000 21,795 9,866 12/20/19 6 month GBP-LIBOR-BBA — Semiannually 0.85% — Semiannually (12,535)
GBP 6,512,000 31,715 (E) (15,905) 3/20/24 6 month GBP-LIBOR-BBA — Semiannually 1.40% — Semiannually 15,810
GBP 13,351,000 161,782 (E) (91,946) 3/20/29 6 month GBP-LIBOR-BBA — Semiannually 1.55% — Semiannually 69,837
HKD 291,326,000 31,400 (71) 4/23/19 1.955% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 42,292
HKD 72,942,000 7,555 (22) 4/24/19 1.965% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 10,068
HKD 291,769,000 30,069 (89) 4/24/19 1.96625% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 40,035
HKD 364,527,000 37,521 (112) 4/25/19 1.972% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 51,771
HKD 145,885,000 15,743 (45) 4/27/19 1.96% — Quarterly 3 month HKD-HIBOR-HKAB — Quarterly 21,640
JPY 511,900,000 73,629 (30) 2/19/20 6 month JPY-LIBOR-BBA — Semiannually 1.3975% — Semiannually 96,454
JPY 351,000,000 10,277 (13) 12/19/22 6 month JPY-LIBOR-BBA — Semiannually 0.09% — Semiannually 10,370
JPY 176,000,000 22,380 (12) 12/19/27 0.29% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (22,558)
JPY 351,000,000 16,060 (26) 1/15/23 6 month JPY-LIBOR-BBA — Semiannually 0.135% — Semiannually 17,763
JPY 176,000,000 32,960 (21) 1/15/28 0.365% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (35,508)
JPY 351,000,000 17,943 (26) 2/16/23 6 month JPY-LIBOR-BBA — Semiannually 0.148% — Semiannually 19,314
JPY 176,000,000 32,897 (22) 2/16/28 0.366% — Semiannually 6 month JPY-LIBOR-BBA — Semiannually (34,911)
MXN 40,660,000 137,311 — 10/6/21 1 month MXN-TIIE-BANXICO — 28 Days 5.93% — 28 Days (140,977)
MXN 9,710,000 17,680 (6) 12/24/26 8.12% — 28 Days 1 month MXN-TIIE-BANXICO — 28 Days 17,750
MXN 11,645,000 18,502 (7) 1/7/27 8.20% — 28 Days 1 month MXN-TIIE-BANXICO — 28 Days 18,528
MXN 16,450,000 25,733 (7) 6/26/23 1 month MXN-TIIE-BANXICO — 28 Days 7.77% — 28 Days (25,940)
NOK 178,427,000 23,030 (E) (26,157) 3/20/24 1.85% — Annually 6 month NOK-NIBOR-NIBR — Semiannually (49,186)
NOK 36,681,000 11,450 (E) 5,486 3/20/29 6 month NOK-NIBOR-NIBR — Semiannually 2.15% — Annually 16,936
NZD 27,828,000 94,287 (E) (10,839) 3/20/24 2.35% — Semiannually 3 month NZD-BBR-FRA — Quarterly (105,126)
NZD 30,000 123 (E) 50 3/20/29 3 month NZD-BBR-FRA — Quarterly 2.75% — Semiannually 172
SEK 80,438,000 8,395 (21) 11/10/19 — 0.245% plus 3 month SEK-STIBOR-SIDE — Quarterly 5,548
SEK 16,480,000 18,105 (14) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.125% — Annually 22,064
SEK 80,438,000 8,468 (21) 11/10/19 — 0.246% plus 3 month SEK-STIBOR-SIDE — Quarterly 5,633
SEK 16,480,000 18,903 (14) 11/10/27 3 month SEK-STIBOR-SIDE — Quarterly 1.13% — Annually 22,874
SEK 80,438,000 6,553 (22) 11/13/19 — 0.2225% plus 3 month SEK-STIBOR-SIDE — Quarterly 3,482
SEK 16,480,000 23,522 (14) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.16% — Annually 27,488
SEK 16,480,000 23,122 (14) 11/13/27 3 month SEK-STIBOR-SIDE — Quarterly 1.1575% — Annually 27,082
SEK 80,438,000 7,143 (22) 11/13/19 — 0.23% plus 3 month SEK-STIBOR-SIDE — Quarterly 4,161
SEK 16,495,000 48,663 (27) 1/24/28 3 month SEK-STIBOR-SIDE — Quarterly 1.3325% — Annually 73,931
SEK 63,575,000 72,477 (64) 1/24/23 0.6075% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (120,567)
SEK 78,585,000 168 (37) 1/24/20 0.0925% plus 3 month SEK-STIBOR-SIDE — Quarterly — 120
SEK 77,402,000 873 (37) 1/30/20 0.085% plus 3 month SEK-STIBOR-SIDE — Quarterly — 1,270
SEK 62,672,000 89,204 (64) 1/30/23 0.66875% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (139,337)
SEK 16,322,000 55,416 (27) 1/30/28 3 month SEK-STIBOR-SIDE — Quarterly 1.3775% — Annually 80,603
SEK 23,558,000 36,505 (24) 2/5/23 0.6975% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (55,516)
SEK 26,522,000 688 (11) 10/23/20 3 month SEK-STIBOR-SIDE — Quarterly 0.035% — Annually 3,871
SEK 21,611,000 22,194 (19) 10/23/23 0.6625% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (27,643)
SEK 5,501,000 12,816 (8) 10/23/28 3 month SEK-STIBOR-SIDE — Quarterly 1.325% — Annually 14,949
SEK 197,989,000 20,842 (E) (33,124) 3/20/24 0.55% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (12,283)
SEK 11,759,000 3,089 (E) 4,034 3/20/29 3 month SEK-STIBOR-SIDE — Quarterly 1.15% — Annually 946
ZAR 34,635,000 13,274 (18) 1/25/21 3 month ZAR-JIBAR-SAFEX — Quarterly 7.06% — Quarterly (13,097)
ZAR 13,265,000 12,326 (15) 1/25/28 7.92% — Quarterly 3 month ZAR-JIBAR-SAFEX — Quarterly 10,744
Total $1,327,041 $(1,862,702)
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/18 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$502,043 $505,663 $— 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly $3,985
84,594 85,204 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 671
56,354 56,761 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 447
388,205 389,488 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 1,646
6,211,363 6,243,385 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 39,121
754,725 755,170 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,311
101,165 101,150 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 100
224,646 226,414 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (2,117)
3,822,214 3,856,053 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (40,308)
27,344 26,172 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 961
51,001 48,225 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,364)
158,589 151,312 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,930
317,883 303,297 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 11,885
191,847 180,700 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 9,313
65,658 63,994 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,032)
50,131 48,860 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (788)
39,547 38,545 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (621)
46,497 45,409 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (571)
84,967 83,157 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (850)
12,188 11,928 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (122)
5,671 5,550 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (57)
Citibank, N.A.
827,101 831,365 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 5,209
385,925 387,915 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,431
77,251 77,650 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 487
Credit Suisse International
330,840 332,546 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,084
114,959 112,046 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,806)
258,631 260,921 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,727)
107,052 100,281 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (5,973)
96,543 92,406 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (3,393)
59,050 56,520 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,075)
36,946 35,135 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,531)
32,293 30,909 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,135)
416,517 397,584 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (15,557)
107,659 102,765 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,021)
43,044 41,069 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,609)
208,014 198,469 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 7,777
119,645 112,693 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 5,808
132,628 124,922 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 6,438
110,480 107,680 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly (1,736)
Deutsche Bank AG
258,631 260,921 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,727)
Goldman Sachs International
11,574 11,676 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (122)
30,842 31,115 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (325)
66,759 67,350 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (704)
125,436 126,547 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,323)
150,491 151,823 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,587)
177,712 179,285 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,874)
243,437 245,592 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,567)
176,570 173,570 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 1,718
263,884 250,948 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (10,937)
208,516 198,294 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (8,643)
96,464 91,735 — 1/12/44 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (3,998)
120,364 115,207 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 4,230
565,162 539,473 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (21,109)
295,370 279,293 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (13,690)
257,297 243,292 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (11,925)
126,603 119,712 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,868)
126,603 119,712 — 1/12/42 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,868)
106,839 101,983 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,991)
72,354 68,210 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,504)
472,826 451,131 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 17,679
115,519 108,973 — 1/12/41 4.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.50% 30 year Fannie Mae pools — Monthly (5,531)
190,639 179,562 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 9,254
64,182 62,679 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (788)
62,067 60,614 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (762)
31,034 30,307 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (381)
29,522 28,831 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (362)
3,463 3,382 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (42)
28,035 27,438 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (281)
2,105 2,060 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (21)
JPMorgan Chase Bank N.A.
372,569 355,473 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (13,930)
326,376 311,400 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (12,203)
213,068 203,291 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,966)
202,255 192,975 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,562)
190,639 179,562 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly 9,254
JPMorgan Securities LLC
248,066 241,779 — 1/12/41 (5.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 3,898
40,177 38,456 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,412
605,809 576,113 — 1/12/44 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 25,110
265,705 254,339 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (9,206)
856,874 810,233 — 1/12/42 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 39,714
Upfront premium received — Unrealized appreciation 217,873
Upfront premium (paid) — Unrealized (depreciation) (250,190)
Total $— Total $(32,317)









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/18 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
EUR 7,997,000 $197,765 $— 7/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity $197,765
EUR 4,998,000 113,367 (121) 8/15/37 1.7138% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 113,246
EUR 3,999,000 107,348 (97) 9/15/37 1.735% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 107,252
EUR 2,999,000 65,183 (72) 8/15/37 1.71% — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity 65,111
EUR 2,999,000 29,819 (39) 8/15/27 (1.42%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (29,857)
EUR 3,999,000 50,364 (51) 9/15/27 (1.4475%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (50,415)
EUR 4,998,000 54,356 (64) 8/15/27 (1.4275%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (54,420)
EUR 7,997,000 79,806 — 7/15/27 (1.40%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (79,806)
EUR 6,434,000 123,963 (75) 9/15/23 (1.4375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (124,039)
EUR 6,434,000 125,423 (75) 9/15/23 (1.44125%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (125,498)
EUR 6,434,000 125,917 (76) 9/15/23 (1.4425%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (125,993)
EUR 6,434,000 126,403 (76) 9/15/23 (1.44375%) — At maturity Eurostat Eurozone HICP excluding tobacco — At maturity (126,479)
GBP 1,121,000 24,943 (26) 3/15/28 3.3875% — At maturity GBP Non-revised UK Retail Price Index — At maturity (24,969)
GBP 2,402,000 57,445 (56) 2/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (57,500)
GBP 3,123,000 62,224 (72) 3/15/28 3.4025% — At maturity GBP Non-revised UK Retail Price Index — At maturity (62,297)
GBP 4,484,000 132,698 (107) 3/15/28 3.34% — At maturity GBP Non-revised UK Retail Price Index — At maturity (132,804)
GBP 4,004,000 65,733 (85) 12/15/28 3.665% — At maturity GBP Non-revised UK Retail Price Index — At maturity 65,648
$3,599,000 79,462 (39) 12/6/27 2.19% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 79,423
3,599,000 79,401 (39) 12/21/27 2.1939% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 79,362
3,232,000 35,975 — 7/3/27 2.085% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 35,975
3,719,000 28,209 — 7/5/27 2.05% — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 28,209
3,719,000 3,232 — 7/5/22 (1.89%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (3,232)
3,232,000 8,368 — 7/3/22 (1.9225%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (8,368)
3,599,000 37,664 (22) 12/6/22 (2.05%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (37,686)
3,599,000 39,715 (22) 12/21/22 (2.068%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (39,737)
Total $(1,214) $(311,109)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/18 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $4,375 $64,000 $10,323 5/11/63 300 bp — Monthly $(5,911)
CMBX NA BBB-.6 Index BBB-/P 8,497 141,000 22,743 5/11/63 300 bp — Monthly (14,164)
CMBX NA BBB-.6 Index BBB-/P 17,409 282,000 45,487 5/11/63 300 bp — Monthly (27,913)
CMBX NA BBB-.6 Index BBB-/P 16,587 291,000 46,938 5/11/63 300 bp — Monthly (30,182)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index BB/P 28,424 150,000 42,165 5/11/63 500 bp — Monthly (13,595)
CMBX NA BB.6 Index BB/P 150,632 612,000 172,033 5/11/63 500 bp — Monthly (20,806)
CMBX NA BB.7 Index BB/P 38,946 303,000 55,146 1/17/47 500 bp — Monthly (15,906)
CMBX NA BBB-.6 Index BBB-/P 1,286 12,000 1,936 5/11/63 300 bp — Monthly (642)
CMBX NA BBB-.6 Index BBB-/P 1,274 12,000 1,936 5/11/63 300 bp — Monthly (654)
CMBX NA BBB-.6 Index BBB-/P 4,200 44,000 7,097 5/11/63 300 bp — Monthly (2,871)
CMBX NA BBB-.6 Index BBB-/P 6,980 53,000 8,549 5/11/63 300 bp — Monthly (1,538)
CMBX NA BBB-.6 Index BBB-/P 7,551 66,000 10,646 5/11/63 300 bp — Monthly (3,056)
CMBX NA BBB-.6 Index BBB-/P 9,240 84,000 13,549 5/11/63 300 bp — Monthly (4,260)
CMBX NA BBB-.6 Index BBB-/P 13,861 126,000 20,324 5/11/63 300 bp — Monthly (6,390)
CMBX NA BBB-.6 Index BBB-/P 15,245 132,000 21,292 5/11/63 300 bp — Monthly (5,970)
CMBX NA BBB-.6 Index BBB-/P 14,147 137,000 22,098 5/11/63 300 bp — Monthly (7,871)
CMBX NA BBB-.6 Index BBB-/P 17,688 158,000 25,485 5/11/63 300 bp — Monthly (7,705)
CMBX NA BBB-.6 Index BBB-/P 32,324 293,000 47,261 5/11/63 300 bp — Monthly (14,766)
CMBX NA BBB-.6 Index BBB-/P 137,311 935,000 150,816 5/11/63 300 bp — Monthly (12,959)
Credit Suisse International
CMBX NA BBB-.6 Index BBB-/P 20,776 134,000 21,614 5/11/63 300 bp — Monthly (760)
CMBX NA BBB-.6 Index BBB-/P 34,516 247,000 39,841 5/11/63 300 bp — Monthly (5,181)
CMBX NA BBB-.6 Index BBB-/P 38,364 263,000 42,422 5/11/63 300 bp — Monthly (3,904)
CMBX NA BBB-.6 Index BBB-/P 76,729 526,000 84,844 5/11/63 300 bp — Monthly (7,808)
CMBX NA BBB-.6 Index BBB-/P 2,822 29,000 4,678 5/11/63 300 bp — Monthly (1,839)
CMBX NA BBB-.6 Index BBB-/P 3,356 30,000 4,839 5/11/63 300 bp — Monthly (1,465)
CMBX NA BBB-.6 Index BBB-/P 3,502 35,000 5,646 5/11/63 300 bp — Monthly (2,123)
CMBX NA BBB-.6 Index BBB-/P 5,453 54,000 8,710 5/11/63 300 bp — Monthly (3,226)
CMBX NA BBB-.6 Index BBB-/P 9,884 72,000 11,614 5/11/63 300 bp — Monthly (1,688)
CMBX NA BBB-.6 Index BBB-/P 8,536 90,000 14,517 5/11/63 300 bp — Monthly (5,928)
CMBX NA BBB-.6 Index BBB-/P 11,795 99,000 15,969 5/11/63 300 bp — Monthly (4,116)
CMBX NA BBB-.6 Index BBB-/P 10,100 103,000 16,614 5/11/63 300 bp — Monthly (6,454)
CMBX NA BBB-.6 Index BBB-/P 10,819 114,000 18,388 5/11/63 300 bp — Monthly (7,503)
CMBX NA BBB-.6 Index BBB-/P 21,326 126,000 20,324 5/11/63 300 bp — Monthly 1,075
CMBX NA BBB-.6 Index BBB-/P 13,603 142,000 22,905 5/11/63 300 bp — Monthly (9,219)
CMBX NA BBB-.6 Index BBB-/P 18,678 166,000 26,776 5/11/63 300 bp — Monthly (8,001)
CMBX NA BBB-.6 Index BBB-/P 22,319 203,000 32,744 5/11/63 300 bp — Monthly (10,306)
CMBX NA BBB-.6 Index BBB-/P 36,978 292,000 47,100 5/11/63 300 bp — Monthly (9,951)
CMBX NA BBB-.6 Index BBB-/P 41,680 359,000 57,907 5/11/63 300 bp — Monthly (16,018)
CMBX NA BBB-.6 Index BBB-/P 55,222 366,000 59,036 5/11/63 300 bp — Monthly (3,601)
CMBX NA BBB-.6 Index BBB-/P 51,002 445,000 71,779 5/11/63 300 bp — Monthly (20,517)
CMBX NA BBB-.6 Index BBB-/P 53,345 465,000 75,005 5/11/63 300 bp — Monthly (21,388)
CMBX NA BBB-.6 Index BBB-/P 63,423 574,000 92,586 5/11/63 300 bp — Monthly (28,828)
CMBX NA BBB-.6 Index BBB-/P 82,454 780,000 125,814 5/11/63 300 bp — Monthly (42,905)
CMBX NA BBB-.6 Index BBB-/P 137,903 914,000 147,428 5/11/63 300 bp — Monthly (8,992)
CMBX NA BBB-.6 Index BBB-/P 106,372 983,000 158,558 5/11/63 300 bp — Monthly (51,613)
CMBX NA BBB-.6 Index BBB-/P 134,691 1,219,000 196,625 5/11/63 300 bp — Monthly (61,223)
CMBX NA BBB-.6 Index BBB-/P 178,053 1,637,000 264,048 5/11/63 300 bp — Monthly (85,040)
CMBX NA BBB-.6 Index BBB-/P 399,884 3,740,000 603,262 5/11/63 300 bp — Monthly (201,197)
CMBX NA BBB-.7 Index BBB-/P 51,226 780,000 66,378 1/17/47 300 bp — Monthly (14,697)
CMBX NA BBB-.7 Index BBB-/P 325,743 4,407,000 375,036 1/17/47 300 bp — Monthly (46,722)
Goldman Sachs International
CMBX NA BBB-.6 Index BBB-/P 6,450 46,000 7,420 5/11/63 300 bp — Monthly (943)
CMBX NA BBB-.6 Index BBB-/P 6,945 66,000 10,646 5/11/63 300 bp — Monthly (3,662)
CMBX NA BBB-.6 Index BBB-/P 8,625 78,000 12,581 5/11/63 300 bp — Monthly (3,911)
CMBX NA BBB-.6 Index BBB-/P 6,758 78,000 12,581 5/11/63 300 bp — Monthly (5,778)
CMBX NA BBB-.6 Index BBB-/P 7,858 91,000 14,678 5/11/63 300 bp — Monthly (6,767)
CMBX NA BBB-.6 Index BBB-/P 14,022 103,000 16,614 5/11/63 300 bp — Monthly (2,532)
CMBX NA BBB-.6 Index BBB-/P 12,871 115,000 18,550 5/11/63 300 bp — Monthly (5,611)
CMBX NA BBB-.6 Index BBB-/P 10,295 122,000 19,679 5/11/63 300 bp — Monthly (9,312)
CMBX NA BBB-.6 Index BBB-/P 9,733 123,000 19,840 5/11/63 300 bp — Monthly (10,035)
CMBX NA BBB-.6 Index BBB-/P 14,645 131,000 21,130 5/11/63 300 bp — Monthly (6,409)
CMBX NA BBB-.6 Index BBB-/P 15,457 133,000 21,453 5/11/63 300 bp — Monthly (5,919)
CMBX NA BBB-.6 Index BBB-/P 22,777 137,000 22,098 5/11/63 300 bp — Monthly 758
CMBX NA BBB-.6 Index BBB-/P 23,502 157,000 25,324 5/11/63 300 bp — Monthly (1,730)
CMBX NA BBB-.6 Index BBB-/P 23,233 158,000 25,485 5/11/63 300 bp — Monthly (2,160)
CMBX NA BBB-.6 Index BBB-/P 18,496 166,000 26,776 5/11/63 300 bp — Monthly (8,183)
CMBX NA BBB-.6 Index BBB-/P 18,286 169,000 27,260 5/11/63 300 bp — Monthly (8,875)
CMBX NA BBB-.6 Index BBB-/P 18,357 169,000 27,260 5/11/63 300 bp — Monthly (8,804)
CMBX NA BBB-.6 Index BBB-/P 20,534 175,000 28,228 5/11/63 300 bp — Monthly (7,591)
CMBX NA BBB-.6 Index BBB-/P 15,274 181,000 29,195 5/11/63 300 bp — Monthly (13,816)
CMBX NA BBB-.6 Index BBB-/P 15,166 183,000 29,518 5/11/63 300 bp — Monthly (14,245)
CMBX NA BBB-.6 Index BBB-/P 24,103 216,000 34,841 5/11/63 300 bp — Monthly (10,612)
CMBX NA BBB-.6 Index BBB-/P 24,103 216,000 34,841 5/11/63 300 bp — Monthly (10,612)
CMBX NA BBB-.6 Index BBB-/P 11,095 226,000 36,454 5/11/63 300 bp — Monthly (25,227)
CMBX NA BBB-.6 Index BBB-/P 16,691 245,000 39,519 5/11/63 300 bp — Monthly (22,685)
CMBX NA BBB-.6 Index BBB-/P 40,089 266,000 42,906 5/11/63 300 bp — Monthly (2,662)
CMBX NA BBB-.6 Index BBB-/P 13,211 271,000 43,712 5/11/63 300 bp — Monthly (30,343)
CMBX NA BBB-.6 Index BBB-/P 13,442 271,000 43,712 5/11/63 300 bp — Monthly (30,112)
CMBX NA BBB-.6 Index BBB-/P 14,449 277,000 44,680 5/11/63 300 bp — Monthly (30,070)
CMBX NA BBB-.6 Index BBB-/P 36,039 296,000 47,745 5/11/63 300 bp — Monthly (11,533)
CMBX NA BBB-.6 Index BBB-/P 33,021 305,000 49,197 5/11/63 300 bp — Monthly (15,998)
CMBX NA BBB-.6 Index BBB-/P 32,527 324,000 52,261 5/11/63 300 bp — Monthly (19,546)
CMBX NA BBB-.6 Index BBB-/P 47,211 452,000 72,908 5/11/63 300 bp — Monthly (25,433)
CMBX NA BBB-.6 Index BBB-/P 71,741 605,000 97,587 5/11/63 300 bp — Monthly (25,492)
CMBX NA BBB-.6 Index BBB-/P 71,494 605,000 97,587 5/11/63 300 bp — Monthly (25,739)
CMBX NA BBB-.6 Index BBB-/P 67,357 611,000 98,554 5/11/63 300 bp — Monthly (30,841)
CMBX NA BBB-.6 Index BBB-/P 37,011 765,000 123,395 5/11/63 300 bp — Monthly (85,937)
CMBX NA BBB-.6 Index BBB-/P 155,865 1,042,000 168,075 5/11/63 300 bp — Monthly (11,602)
CMBX NA BBB-.7 Index BBB-/P 9,270 133,000 11,318 1/17/47 300 bp — Monthly (1,971)
CMBX NA BBB-.7 Index BBB-/P 51,111 600,000 51,060 1/17/47 300 bp — Monthly 401
CMBX NA BBB-.7 Index BBB-/P 61,571 833,000 70,888 1/17/47 300 bp — Monthly (8,831)
CMBX NA BBB-.7 Index BBB-/P 90,359 1,040,000 88,504 1/17/47 300 bp — Monthly 2,462
JPMorgan Securities LLC
CMBX NA BB.6 Index BB/P 38,131 180,000 50,598 5/11/63 500 bp — Monthly (12,292)
CMBX NA BB.6 Index BB/P 41,272 195,000 54,815 5/11/63 500 bp — Monthly (13,353)
CMBX NA BBB-.6 Index BBB-/P 22,107 149,000 24,034 5/11/63 300 bp — Monthly (1,840)
CMBX NA BBB-.6 Index BBB-/P 38,320 263,000 42,422 5/11/63 300 bp — Monthly (3,949)
CMBX NA BB.6 Index BB/P 32,840 156,000 43,852 5/11/63 500 bp — Monthly (10,860)
CMBX NA BBB-.6 Index BBB-/P 3,362 34,000 5,484 5/11/63 300 bp — Monthly (2,102)
CMBX NA BBB-.6 Index BBB-/P 3,353 35,000 5,646 5/11/63 300 bp — Monthly (2,272)
CMBX NA BBB-.6 Index BBB-/P 4,626 43,000 6,936 5/11/63 300 bp — Monthly (2,285)
CMBX NA BBB-.6 Index BBB-/P 4,432 44,000 7,097 5/11/63 300 bp — Monthly (2,639)
CMBX NA BBB-.6 Index BBB-/P 5,292 46,000 7,420 5/11/63 300 bp — Monthly (2,101)
CMBX NA BBB-.6 Index BBB-/P 7,789 49,000 7,904 5/11/63 300 bp — Monthly (86)
CMBX NA BBB-.6 Index BBB-/P 7,754 49,000 7,904 5/11/63 300 bp — Monthly (121)
CMBX NA BBB-.6 Index BBB-/P 6,586 50,000 8,065 5/11/63 300 bp — Monthly (1,450)
CMBX NA BBB-.6 Index BBB-/P 6,495 50,000 8,065 5/11/63 300 bp — Monthly (1,541)
CMBX NA BBB-.6 Index BBB-/P 5,765 51,000 8,226 5/11/63 300 bp — Monthly (2,432)
CMBX NA BBB-.6 Index BBB-/P 5,726 56,000 9,033 5/11/63 300 bp — Monthly (3,274)
CMBX NA BBB-.6 Index BBB-/P 9,265 62,000 10,001 5/11/63 300 bp — Monthly (699)
CMBX NA BBB-.6 Index BBB-/P 7,880 68,000 10,968 5/11/63 300 bp — Monthly (3,049)
CMBX NA BBB-.6 Index BBB-/P 6,555 68,000 10,968 5/11/63 300 bp — Monthly (4,374)
CMBX NA BBB-.6 Index BBB-/P 7,862 69,000 11,130 5/11/63 300 bp — Monthly (3,227)
CMBX NA BBB-.6 Index BBB-/P 8,843 74,000 11,936 5/11/63 300 bp — Monthly (3,050)
CMBX NA BBB-.6 Index BBB-/P 8,497 75,000 12,098 5/11/63 300 bp — Monthly (3,557)
CMBX NA BBB-.6 Index BBB-/P 8,715 75,000 12,098 5/11/63 300 bp — Monthly (3,339)
CMBX NA BBB-.6 Index BBB-/P 8,493 90,000 14,517 5/11/63 300 bp — Monthly (5,971)
CMBX NA BBB-.6 Index BBB-/P 9,194 93,000 15,001 5/11/63 300 bp — Monthly (5,753)
CMBX NA BBB-.6 Index BBB-/P 15,421 98,000 15,807 5/11/63 300 bp — Monthly (329)
CMBX NA BBB-.6 Index BBB-/P 12,999 101,000 16,291 5/11/63 300 bp — Monthly (3,234)
CMBX NA BBB-.6 Index BBB-/P 12,569 106,000 17,098 5/11/63 300 bp — Monthly (4,467)
CMBX NA BBB-.6 Index BBB-/P 14,055 126,000 20,324 5/11/63 300 bp — Monthly (6,195)
CMBX NA BBB-.6 Index BBB-/P 17,625 141,000 22,743 5/11/63 300 bp — Monthly (5,036)
CMBX NA BBB-.6 Index BBB-/P 23,399 147,000 23,711 5/11/63 300 bp — Monthly (226)
CMBX NA BBB-.6 Index BBB-/P 25,483 164,000 26,453 5/11/63 300 bp — Monthly (875)
CMBX NA BBB-.6 Index BBB-/P 19,054 174,000 28,066 5/11/63 300 bp — Monthly (8,911)
CMBX NA BBB-.6 Index BBB-/P 18,332 182,000 29,357 5/11/63 300 bp — Monthly (10,918)
CMBX NA BBB-.6 Index BBB-/P 24,925 190,000 30,647 5/11/63 300 bp — Monthly (5,611)
CMBX NA BBB-.6 Index BBB-/P 28,716 194,000 31,292 5/11/63 300 bp — Monthly (2,463)
CMBX NA BBB-.6 Index BBB-/P 27,466 211,000 34,034 5/11/63 300 bp — Monthly (6,445)
CMBX NA BBB-.6 Index BBB-/P 31,450 213,000 34,357 5/11/63 300 bp — Monthly (2,783)
CMBX NA BBB-.6 Index BBB-/P 27,649 214,000 34,518 5/11/63 300 bp — Monthly (6,744)
CMBX NA BBB-.6 Index BBB-/P 26,741 240,000 38,712 5/11/63 300 bp — Monthly (11,831)
CMBX NA BBB-.6 Index BBB-/P 36,750 249,000 40,164 5/11/63 300 bp — Monthly (3,269)
CMBX NA BBB-.6 Index BBB-/P 27,894 251,000 40,486 5/11/63 300 bp — Monthly (12,446)
CMBX NA BBB-.6 Index BBB-/P 47,498 277,000 44,680 5/11/63 300 bp — Monthly 2,979
CMBX NA BBB-.6 Index BBB-/P 47,108 277,000 44,680 5/11/63 300 bp — Monthly 2,589
CMBX NA BBB-.6 Index BBB-/P 36,778 312,000 50,326 5/11/63 300 bp — Monthly (13,366)
CMBX NA BBB-.6 Index BBB-/P 44,125 313,000 50,487 5/11/63 300 bp — Monthly (6,179)
CMBX NA BBB-.6 Index BBB-/P 36,897 343,000 55,326 5/11/63 300 bp — Monthly (18,229)
CMBX NA BBB-.6 Index BBB-/P 38,852 350,000 56,455 5/11/63 300 bp — Monthly (17,398)
CMBX NA BBB-.6 Index BBB-/P 55,500 366,000 59,036 5/11/63 300 bp — Monthly (3,322)
CMBX NA BBB-.6 Index BBB-/P 41,549 395,000 63,714 5/11/63 300 bp — Monthly (21,935)
CMBX NA BBB-.6 Index BBB-/P 49,635 420,000 67,746 5/11/63 300 bp — Monthly (17,866)
CMBX NA BBB-.6 Index BBB-/P 55,426 422,000 68,069 5/11/63 300 bp — Monthly (12,396)
CMBX NA BBB-.6 Index BBB-/P 47,402 452,000 72,908 5/11/63 300 bp — Monthly (25,242)
CMBX NA BBB-.6 Index BBB-/P 50,405 458,000 73,875 5/11/63 300 bp — Monthly (23,203)
CMBX NA BBB-.6 Index BBB-/P 52,876 480,000 77,424 5/11/63 300 bp — Monthly (24,268)
CMBX NA BBB-.6 Index BBB-/P 54,138 491,000 79,198 5/11/63 300 bp — Monthly (24,774)
CMBX NA BBB-.6 Index BBB-/P 58,829 533,000 85,973 5/11/63 300 bp — Monthly (26,833)
CMBX NA BBB-.6 Index BBB-/P 66,060 603,000 97,264 5/11/63 300 bp — Monthly (30,853)
CMBX NA BBB-.6 Index BBB-/P 70,597 671,000 108,232 5/11/63 300 bp — Monthly (37,244)
CMBX NA BBB-.6 Index BBB-/P 69,210 730,000 117,749 5/11/63 300 bp — Monthly (48,113)
CMBX NA BBB-.6 Index BBB-/P 112,851 746,000 120,330 5/11/63 300 bp — Monthly (7,044)
CMBX NA BBB-.6 Index BBB-/P 132,291 871,000 140,492 5/11/63 300 bp — Monthly (7,693)
CMBX NA BBB-.6 Index BBB-/P 122,768 886,000 142,912 5/11/63 300 bp — Monthly (19,627)
CMBX NA BBB-.6 Index BBB-/P 211,215 1,928,000 310,986 5/11/63 300 bp — Monthly (98,647)
CMBX NA BBB-.6 Index BBB-/P 210,952 2,013,000 324,697 5/11/63 300 bp — Monthly (112,571)
CMBX NA BBB-.6 Index BBB-/P 261,664 2,495,000 402,444 5/11/63 300 bp — Monthly (139,324)
Merrill Lynch International
CMBX NA BBB-.6 Index BBB-/P 3,308 25,000 4,033 5/11/63 300 bp — Monthly (709)
CMBX NA BBB-.6 Index BBB-/P 8,248 73,000 11,775 5/11/63 300 bp — Monthly (3,485)
CMBX NA BBB-.6 Index BBB-/P 15,743 134,000 21,614 5/11/63 300 bp — Monthly (5,793)
CMBX NA BBB-.6 Index BBB-/P 24,006 203,000 32,744 5/11/63 300 bp — Monthly (8,619)
CMBX NA BBB-.6 Index BBB-/P 112,148 1,001,000 161,461 5/11/63 300 bp — Monthly (48,729)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 10,005 71,000 11,452 5/11/63 300 bp — Monthly (1,406)
CMBX NA BBB-.6 Index BBB-/P 38,928 263,000 42,422 5/11/63 300 bp — Monthly (3,341)
CMBX NA BBB-.6 Index BBB-/P 38,870 263,000 42,422 5/11/63 300 bp — Monthly (3,398)
CMBX NA BBB-.6 Index BBB-/P 38,318 263,000 42,422 5/11/63 300 bp — Monthly (3,951)
CMBX NA BBB-.6 Index BBB-/P 77,707 525,000 84,683 5/11/63 300 bp — Monthly (6,669)
CMBX NA BBB-.6 Index BBB-/P 77,780 525,000 84,683 5/11/63 300 bp — Monthly (6,596)
CMBX NA BBB-.6 Index BBB-/P 76,916 526,000 84,844 5/11/63 300 bp — Monthly (7,621)
CMBX NA BBB-.6 Index BBB-/P 116,041 788,000 127,104 5/11/63 300 bp — Monthly (10,603)
CMBX NA BBB-.6 Index BBB-/P 115,105 790,000 127,427 5/11/63 300 bp — Monthly (11,861)
CMBX NA BBB-.6 Index BBB-/P 155,146 1,051,000 169,526 5/11/63 300 bp — Monthly (13,767)
CMBX NA A.6 Index A/P 41 4,000 174 5/11/63 200 bp — Monthly (132)
CMBX NA BB.6 Index BB/P 48,378 197,000 55,377 5/11/63 500 bp — Monthly (6,808)
CMBX NA BB.6 Index BB/P 97,086 394,000 110,753 5/11/63 500 bp — Monthly (13,284)
CMBX NA BBB-.6 Index BBB-/P 496 4,000 645 5/11/63 300 bp — Monthly (147)
CMBX NA BBB-.6 Index BBB-/P 641 6,000 968 5/11/63 300 bp — Monthly (323)
CMBX NA BBB-.6 Index BBB-/P 1,164 11,000 1,774 5/11/63 300 bp — Monthly (604)
CMBX NA BBB-.6 Index BBB-/P 1,696 14,000 2,258 5/11/63 300 bp — Monthly (554)
CMBX NA BBB-.6 Index BBB-/P 2,666 22,000 3,549 5/11/63 300 bp — Monthly (870)
CMBX NA BBB-.6 Index BBB-/P 3,325 26,000 4,194 5/11/63 300 bp — Monthly (853)
CMBX NA BBB-.6 Index BBB-/P 2,962 31,000 5,000 5/11/63 300 bp — Monthly (2,020)
CMBX NA BBB-.6 Index BBB-/P 4,655 38,000 6,129 5/11/63 300 bp — Monthly (1,452)
CMBX NA BBB-.6 Index BBB-/P 5,586 43,000 6,936 5/11/63 300 bp — Monthly (1,325)
CMBX NA BBB-.6 Index BBB-/P 7,298 57,000 9,194 5/11/63 300 bp — Monthly (1,863)
CMBX NA BBB-.6 Index BBB-/P 5,565 57,000 9,194 5/11/63 300 bp — Monthly (3,596)
CMBX NA BBB-.6 Index BBB-/P 7,405 65,000 10,485 5/11/63 300 bp — Monthly (3,041)
CMBX NA BBB-.6 Index BBB-/P 8,241 70,000 11,291 5/11/63 300 bp — Monthly (3,010)
CMBX NA BBB-.6 Index BBB-/P 10,227 77,000 12,420 5/11/63 300 bp — Monthly (2,148)
CMBX NA BBB-.6 Index BBB-/P 9,154 78,000 12,581 5/11/63 300 bp — Monthly (3,382)
CMBX NA BBB-.6 Index BBB-/P 10,205 89,000 14,356 5/11/63 300 bp — Monthly (4,099)
CMBX NA BBB-.6 Index BBB-/P 28,646 169,000 27,260 5/11/63 300 bp — Monthly 1,484
CMBX NA BBB-.6 Index BBB-/P 16,836 180,000 29,034 5/11/63 300 bp — Monthly (12,093)
CMBX NA BBB-.6 Index BBB-/P 24,103 213,000 34,357 5/11/63 300 bp — Monthly (10,129)
CMBX NA BBB-.6 Index BBB-/P 28,113 232,000 37,422 5/11/63 300 bp — Monthly (9,173)
CMBX NA BBB-.6 Index BBB-/P 37,244 250,000 40,325 5/11/63 300 bp — Monthly (2,935)
CMBX NA BBB-.6 Index BBB-/P 43,147 287,000 46,293 5/11/63 300 bp — Monthly (2,979)
CMBX NA BBB-.6 Index BBB-/P 72,058 514,000 82,908 5/11/63 300 bp — Monthly (10,547)
Upfront premium received 7,827,090 Unrealized appreciation 11,748
Upfront premium (paid) — Unrealized (depreciation) (2,598,342)
Total $7,827,090 Total $(2,586,594)
* 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 December 31, 2018. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/18 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(37) $4,000 $174 5/11/63 (200 bp) — Monthly $135
CMBX NA BB.7 Index (31,080) 154,000 28,028 1/17/47 (500 bp) — Monthly (3,202)
CMBX NA BB.7 Index (19,268) 118,000 21,476 1/17/47 (500 bp) — Monthly 2,093
CMBX NA BB.7 Index (18,533) 118,000 21,476 1/17/47 (500 bp) — Monthly 2,829
CMBX NA BB.7 Index (8,283) 65,000 11,830 1/17/47 (500 bp) — Monthly 3,484
CMBX NA BB.9 Index (47,350) 306,000 58,507 9/17/58 (500 bp) — Monthly 10,860
CMBX NA BB.9 Index (47,138) 306,000 58,507 9/17/58 (500 bp) — Monthly 11,072
CMBX NA BB.9 Index (46,653) 303,000 57,934 9/17/58 (500 bp) — Monthly 10,986
CMBX NA BB.9 Index (23,796) 152,000 29,062 9/17/58 (500 bp) — Monthly 5,119
Credit Suisse International
CMBX NA BB.7 Index (14,244) 807,000 226,848 5/11/63 (500 bp) — Monthly 211,817
CMBX NA BB.7 Index (161,197) 980,000 178,360 1/17/47 (500 bp) — Monthly 16,210
CMBX NA BB.7 Index (61,796) 335,000 60,970 1/17/47 (500 bp) — Monthly (1,152)
CMBX NA BB.9 Index (75,024) 470,000 89,864 9/17/58 (500 bp) — Monthly 14,383
CMBX NA BB.9 Index (22,791) 148,000 28,298 9/17/58 (500 bp) — Monthly 5,363
CMBX NA BB.9 Index (15,892) 111,000 21,223 9/17/58 (500 bp) — Monthly 5,224
CMBX NA BB.9 Index (13,764) 88,000 16,826 9/17/58 (500 bp) — Monthly 2,976
CMBX NA BB.9 Index (6,083) 39,000 7,457 9/17/58 (500 bp) — Monthly 1,336
CMBX NA BB.9 Index (6,083) 39,000 7,457 9/17/58 (500 bp) — Monthly 1,336
Goldman Sachs International
CMBX NA BB.6 Index (50,331) 492,000 138,301 5/11/63 (500 bp) — Monthly 87,492
CMBX NA BB.7 Index (32,233) 213,000 38,766 1/17/47 (500 bp) — Monthly 6,326
CMBX NA BB.6 Index (8,913) 61,000 17,147 5/11/63 (500 bp) — Monthly 8,175
CMBX NA BB.7 Index (75,236) 445,000 80,990 1/17/47 (500 bp) — Monthly 5,321
CMBX NA BB.7 Index (38,667) 236,000 42,952 1/17/47 (500 bp) — Monthly 4,055
CMBX NA BB.7 Index (25,381) 125,000 22,750 1/17/47 (500 bp) — Monthly (2,753)
CMBX NA BB.7 Index (18,621) 102,000 18,564 1/17/47 (500 bp) — Monthly (156)
CMBX NA BB.9 Index (4,617) 29,000 5,545 9/17/58 (500 bp) — Monthly 900
CMBX NA BB.9 Index (2,212) 14,000 2,677 9/17/58 (500 bp) — Monthly 451
CMBX NA BB.9 Index (2,236) 14,000 2,677 9/17/58 (500 bp) — Monthly 427
JPMorgan Securities LLC
CMBX NA BB.7 Index (31,143) 195,000 35,490 1/17/47 (500 bp) — Monthly 4,158
CMBX NA BB.7 Index (28,775) 180,000 32,760 1/17/47 (500 bp) — Monthly 3,810
CMBX NA BB.7 Index (18,804) 97,000 17,654 1/17/47 (500 bp) — Monthly (1,245)
CMBX NA BB.6 Index (38,525) 274,000 77,021 5/11/63 (500 bp) — Monthly 38,230
CMBX NA BB.6 Index (26,533) 183,000 51,441 5/11/63 (500 bp) — Monthly 24,730
CMBX NA BB.6 Index (11,075) 77,000 21,645 5/11/63 (500 bp) — Monthly 10,495
CMBX NA BB.7 Index (89,046) 570,000 103,740 1/17/47 (500 bp) — Monthly 14,139
CMBX NA BB.7 Index (63,627) 387,000 70,434 1/17/47 (500 bp) — Monthly 6,431
CMBX NA BB.7 Index (59,921) 375,000 68,250 1/17/47 (500 bp) — Monthly 7,964
CMBX NA BB.7 Index (52,295) 322,000 58,604 1/17/47 (500 bp) — Monthly 5,996
CMBX NA BB.7 Index (35,411) 182,000 33,124 1/17/47 (500 bp) — Monthly (2,464)
CMBX NA BB.7 Index (23,398) 130,000 23,660 1/17/47 (500 bp) — Monthly 136
CMBX NA BB.7 Index (24,825) 125,000 22,750 1/17/47 (500 bp) — Monthly (2,196)
CMBX NA BB.7 Index (18,533) 118,000 21,476 1/17/47 (500 bp) — Monthly 2,829
CMBX NA BB.7 Index (18,822) 102,000 18,564 1/17/47 (500 bp) — Monthly (357)
CMBX NA BB.7 Index (14,429) 95,000 17,290 1/17/47 (500 bp) — Monthly 2,768
CMBX NA BB.7 Index (13,462) 86,000 15,652 1/17/47 (500 bp) — Monthly 2,106
CMBX NA BB.7 Index (10,854) 80,000 14,560 1/17/47 (500 bp) — Monthly 3,628
CMBX NA BB.7 Index (15,733) 80,000 14,560 1/17/47 (500 bp) — Monthly (1,251)
CMBX NA BB.9 Index (13,587) 96,000 18,355 9/17/58 (500 bp) — Monthly 4,674
CMBX NA BB.9 Index (7,626) 54,000 10,325 9/17/58 (500 bp) — Monthly 2,646
CMBX NA BB.9 Index (6,945) 44,000 8,413 9/17/58 (500 bp) — Monthly 1,425
CMBX NA BB.9 Index (3,432) 22,000 4,206 9/17/58 (500 bp) — Monthly 753
CMBX NA BB.9 Index (460) 3,000 574 9/17/58 (500 bp) — Monthly 111
CMBX NA BBB-.7 Index (40,681) 489,000 41,614 1/17/47 (300 bp) — Monthly 647
CMBX NA BBB-.7 Index (25,237) 343,000 29,189 1/17/47 (300 bp) — Monthly 3,753
CMBX NA BBB-.7 Index (18,115) 229,000 19,488 1/17/47 (300 bp) — Monthly 1,240
CMBX NA BBB-.7 Index (17,180) 164,000 13,956 1/17/47 (300 bp) — Monthly (3,319)
CMBX NA BBB-.7 Index (8,285) 154,000 13,105 1/17/47 (300 bp) — Monthly 4,731
Merrill Lynch International
CMBX NA BB.7 Index (102,007) 588,000 107,016 1/17/47 (500 bp) — Monthly 4,438
CMBX NA BB.9 Index (50,363) 322,000 61,566 9/17/58 (500 bp) — Monthly 10,890
CMBX NA BB.9 Index (14,789) 101,000 19,311 9/17/58 (500 bp) — Monthly 4,424
CMBX NA BB.9 Index (15,301) 100,000 19,120 9/17/58 (500 bp) — Monthly 3,722
CMBX NA BB.9 Index (15,222) 97,000 18,546 9/17/58 (500 bp) — Monthly 3,230
CMBX NA BB.9 Index (14,144) 96,000 18,355 9/17/58 (500 bp) — Monthly 4,118
CMBX NA BBB-.7 Index (32,451) 396,000 33,700 1/17/47 (300 bp) — Monthly 1,017
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (17,831) 175,000 14,893 1/17/47 (300 bp) — Monthly (3,040)
CMBX NA BB.7 Index (79,236) 394,000 71,708 1/17/47 (500 bp) — Monthly (7,911)
CMBX NA BB.7 Index (68,647) 356,000 64,792 1/17/47 (500 bp) — Monthly (4,201)
CMBX NA BB.7 Index (65,793) 326,000 59,332 1/17/47 (500 bp) — Monthly (6,778)
CMBX NA BB.7 Index (33,495) 179,000 32,578 1/17/47 (500 bp) — Monthly (1,091)
CMBX NA BB.9 Index (10,229) 71,000 13,575 9/17/58 (500 bp) — Monthly 3,278
CMBX NA BB.9 Index (8,785) 66,000 12,619 9/17/58 (500 bp) — Monthly 3,770
CMBX NA BB.9 Index (8,830) 65,000 12,428 9/17/58 (500 bp) — Monthly 3,535
CMBX NA BB.9 Index (8,614) 63,000 12,046 9/17/58 (500 bp) — Monthly 3,371
CMBX NA BB.9 Index (9,506) 63,000 12,046 9/17/58 (500 bp) — Monthly 2,479
CMBX NA BB.9 Index (5,715) 38,000 7,266 9/17/58 (500 bp) — Monthly 1,514
CMBX NA BB.9 Index (4,541) 30,000 5,736 9/17/58 (500 bp) — Monthly 1,166
CMBX NA BB.9 Index (4,541) 30,000 5,736 9/17/58 (500 bp) — Monthly 1,166
CMBX NA BB.9 Index (3,579) 23,000 4,398 9/17/58 (500 bp) — Monthly 796
CMBX NA BBB-.7 Index (14,538) 229,000 19,488 1/17/47 (300 bp) — Monthly 4,815
Upfront premium received — Unrealized appreciation 623,499
Upfront premium (paid) (2,202,375) Unrealized (depreciation) (41,116)
Total $(2,202,375) Total $582,383
* 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
JPY Japanese Yen
MXN Mexican Peso
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, 2018 through December 31, 2018 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $244,101,960.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $45,691, 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
9/30/18		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as  of
12/31/18
Short-term investments
Putnam Short Term Investment Fund* 21,637,856 14,940,358 30,740,143 13,174 5,838,071
Total Short-term investments $21,637,856 $14,940,358 $30,740,143 $13,174 $5,838,071
* 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 $133,691.
(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 $8,042,881.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $321,181.
(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 $6,544,844.
(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.
(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 $125,574,896 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.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 84.3%
Brazil 2.4
Argentina 2.2
Greece 2.2
Mexico 1.4
Indonesia 1.2
Canada 1.0
United Kingdom 0.6
Russia 0.5
Bermuda 0.5
Dominican Republic 0.5
Ivory Coast 0.5
Other 2.7
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk, and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $124,439 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 $8,101,313 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $8,042,881 and may include amounts related to unsettled agreements.









ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as  of the close of the reporting period:
 
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Capital goods $879 $— $—
Consumer cyclicals 26,549 26,043 —
Energy 19,222 2,788 11,827
Health care 18,498 — —
Technology 91,706 — —
Utilities and power — 6,874 —
Total common stocks 156,854 35,705 11,827
Convertible bonds and notes — 4,311,728 —
Convertible preferred stocks — 15,293 —
Corporate bonds and notes — 78,134,382 54,619
Foreign government and agency bonds and notes — 28,185,097 —
Mortgage-backed securities — 112,720,359 —
Purchased options outstanding — 1,806,728 —
Purchased swap options outstanding — 8,286,557 —
Senior loans — 4,698,869 —
U.S. government and agency mortgage obligations — 79,086,562 —
Warrants 69 — —
Short-term investments 610,000 21,576,037 —
Totals by level $766,923 $338,857,317 $66,446
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(1,089,977) $—
Futures contracts 46,309 — —
Written options outstanding — (1,443,220) —
Written swap options outstanding — (6,176,280) —
Forward premium swap option contracts — (659,587) —
TBA sale commitments — (21,639,376) —
Interest rate swap contracts — (3,189,743) —
Total return swap contracts — (342,212) —
Credit default contracts — (7,628,926) —
Totals by level $46,309 $(42,169,321) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Fair Value of Derivative Instruments as  of
the close of the reporting period
  Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments
under ASC 815		 Fair value Fair value
Credit contracts $2,784,758 $10,413,684
Foreign exchange contracts 944,448 1,832,176
Equity contracts 69 —
Interest rate contracts 14,369,043 16,242,740
Total $18,098,318 $28,488,600
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) $138,900,000
Purchased currency option contracts (contract amount) $28,000,000
Purchased swap option contracts (contract amount) $913,900,000
Written TBA commitment option contracts (contract amount) $213,800,000
Written currency option contracts (contract amount) $35,800,000
Written swap option contracts (contract amount) $201,600,000
Futures contracts (number of contracts) 200
Forward currency contracts (contract amount) $254,800,000
OTC interest rate swap contracts (notional) $220,000
Centrally cleared interest rate swap contracts (notional) $1,337,800,000
OTC total return swap contracts (notional) $24,800,000
Centrally cleared total return swap contracts (notional) $125,400,000
OTC credit default contracts (notional) $81,900,000
Centrally cleared credit default contracts (notional) $1,900,000
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: February 28, 2019

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: February 28, 2019

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: February 28, 2019