Putnam Premier Income Trust
The fund's portfolio
10/31/23 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (74.2%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (8.4%)
Government National Mortgage Association Pass-Through Certificates
5.50%, TBA, 11/1/53 $11,000,000 $10,518,532
5.50%, 5/20/49 38,737 37,561
5.00%, 5/20/49 117,629 110,645
4.50%, TBA, 11/1/53 12,000,000 10,830,594
4.50%, with due dates from 10/20/49 to 1/20/50 122,318 111,353
4.00%, TBA, 11/1/53 8,000,000 7,028,102
4.00%, with due dates from 8/20/49 to 1/20/50 97,818 86,374
3.50%, with due dates from 8/20/49 to 3/20/50 907,495 773,533

29,496,694
U.S. Government Agency Mortgage Obligations (65.8%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 124,226 115,663
4.50%, 5/1/49 18,613 16,877
Uniform Mortgage-Backed Securities
7.00%, TBA, 11/1/53 20,000,000 20,211,572
6.50%, TBA, 11/1/53 67,000,000 66,576,017
6.00%, TBA, 11/1/53 80,000,000 77,837,504
5.50%, TBA, 11/1/53 9,000,000 8,540,508
5.00%, TBA, 11/1/53 29,000,000 26,733,241
3.50%, TBA, 11/1/53 8,000,000 6,658,438
3.00%, TBA, 11/1/53 13,000,000 10,388,321
2.50%, TBA, 11/1/53 17,000,000 13,026,915

230,105,056

Total U.S. government and agency mortgage obligations (cost $262,390,165) $259,601,750









U.S. TREASURY OBLIGATIONS (1.0%)(a)
        Principal amount Value
U.S. Treasury Bonds 3.125%, 5/15/48(i) $116,000 $83,595
U.S. Treasury Notes
3.125%, 8/31/27(i) 348,000 328,747
1.625%, 5/15/31(i) 2,841,000 2,283,340
0.625%, 8/15/30(i) 764,000 578,171
0.25%, 7/31/25(i) 10,000 9,195
0.125%, 1/15/24(i) 163,000 161,327

Total U.S. treasury obligations (cost $3,444,375) $3,444,375









MORTGAGE-BACKED SECURITIES (39.6%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (13.8%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 $892,996 $184,327
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 5,336,064 1,160,338
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 4,072,462 934,144
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 7,203,950 1,625,509
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 5,012,800 1,139,910
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 351,146 54,059
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 8,199,692 1,559,795
REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 4,564,858 943,848
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,120,109 170,240
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 493,775 36,260
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 256,127 8,169
REMICs Ser. 23-5349, Class IA, IO, 3.00%, 12/15/42 2,465,107 228,296
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.815%, 9/25/50 8,193,581 791,500
REMICs IFB Ser. 4742, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.765%, 12/15/47 1,379,515 122,474
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 8/15/56 4,836,139 424,661
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 7/25/50 7,670,555 680,697
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 4/15/47 988,152 88,207
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 1/25/50 4,930,401 356,526
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.383%, 7/25/43(WAC) 1,382,182 18,153
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,773,365 295,540
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 77,339 12,733
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 2,699,506 426,225
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 234,773 32,917
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 7,432,990 1,370,272
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 304,732 59,165
REMICs Ser. 23-49, Class IC, IO, 4.00%, 11/25/49 197,385 35,263
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 2,787,097 487,047
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 849,105 122,857
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 630,315 91,465
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 450,376 51,507
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 15,254,197 2,119,087
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.965%, 4/25/40 618,156 50,540
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.815%, 3/25/48 3,057,474 203,016
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.765%, 6/25/48 5,406,507 463,359
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40(WAC) 825,022 3,337
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.715%, 5/25/47 6,673,553 487,503
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.715%, 10/25/41 55,740 84
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 12/25/46 2,716,274 142,737
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 3/25/50 4,450,487 357,063
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 8/25/49 2,888,307 194,141
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.565%, 11/25/49 5,703,467 480,151
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.465%, 10/25/41 1,335,268 83,404
Government National Mortgage Association
Ser. 16-42, IO, 5.00%, 2/20/46 1,871,508 352,247
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 3,194,657 719,309
Ser. 14-76, IO, 5.00%, 5/20/44 746,014 147,933
Ser. 12-146, IO, 5.00%, 12/20/42 536,636 103,657
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 756,471 154,841
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 549,531 110,581
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,443,495 510,080
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,253,451 253,435
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 2,537,691 498,363
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 451,632 88,139
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 1,366,829 273,756
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 7,780,748 1,610,741
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,038,376 202,241
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 921,222 179,219
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,006,570 172,973
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 1,632,120 303,721
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 878,745 152,364
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 2,058,984 357,501
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 1,800,167 329,002
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 1,181,542 155,822
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 3,941,141 588,512
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 734,562 27,269
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 475,223 78,490
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 992,550 61,516
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 458,928 70,790
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 439,297 74,716
Ser. 21-156, IO, 3.50%, 7/20/51 9,075,224 1,577,712
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 5,277,039 1,001,229
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 914,537 152,367
Ser. 13-28, IO, 3.50%, 2/20/43 306,889 45,444
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 491,953 56,284
Ser. 13-14, IO, 3.50%, 12/20/42 1,822,079 197,076
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,003,608 328,748
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 1,953,005 304,665
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 858,795 135,875
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 838,814 50,455
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 7,640,615 1,192,318
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 6,111,122 942,380
Ser. 17-H19, Class MI, IO, 2.069%, 4/20/67(WAC) 2,458,613 133,257
Ser. 16-H03, Class DI, IO, 2.048%, 12/20/65(WAC) 5,281,282 223,107
Ser. 15-H25, Class EI, IO, 1.863%, 10/20/65(WAC) 3,756,060 140,477
Ser. 15-H20, Class AI, IO, 1.812%, 8/20/65(WAC) 4,955,847 167,508
FRB Ser. 15-H08, Class CI, IO, 1.782%, 3/20/65(WAC) 3,536,769 105,396
Ser. 15-H23, Class BI, IO, 1.722%, 9/20/65(WAC) 5,169,311 154,562
Ser. 16-H24, Class CI, IO, 1.657%, 10/20/66(WAC) 3,855,087 117,966
Ser. 16-H14, IO, 1.652%, 6/20/66(WAC) 3,767,286 96,902
Ser. 13-H08, Class CI, IO, 1.611%, 2/20/63(WAC) 2,873,138 90,504
Ser. 14-H21, Class BI, IO, 1.516%, 10/20/64(WAC) 5,448,380 160,727
IFB Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.129%, 2/20/53 15,729,677 1,042,915
IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 6/20/51 10,644,499 987,916
IFB Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 5/20/51 6,687,080 628,674
IFB Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 4/20/51 13,606,346 1,137,300
IFB Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 4/20/51 4,631,183 382,376
IFB Ser. 20-133, Class CS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.846%, 9/20/50 6,051,583 589,926
FRB Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.751%, 11/20/47 7,177,064 676,160
IFB Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 0.726%, 4/20/44 3,612,722 281,162
IFB Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.696%, 7/20/50 3,618,461 340,016
IFB Ser. 19-5, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.696%, 1/20/49 3,186,803 240,601
Ser. 16-H16, Class EI, IO, 0.695%, 6/20/66(WAC) 3,919,505 137,183
IFB Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 5/20/50 4,450,099 367,109
IFB Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 4/20/50 5,637,214 493,616
IFB Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 8/20/49 4,405,891 359,521
IFB Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 7/20/49 3,913,690 310,669
IFB Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.646%, 7/20/49 5,088,538 369,949
IFB Ser. 20-7, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.596%, 1/20/50 3,335,533 263,699
IFB Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.596%, 12/20/49 2,722,229 208,233
IFB Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.596%, 9/20/49 4,358,248 341,551
Ser. 16-H22, Class AI, IO, 0.577%, 10/20/66(WAC) 5,531,406 198,793
IFB Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.546%, 8/20/43 4,923,594 325,942
Ser. 15-H20, Class CI, IO, 0.538%, 8/20/65(WAC) 5,557,933 272,895
Ser. 16-H18, Class QI, IO, 0.516%, 6/20/66(WAC) 3,420,183 150,259
Ser. 17-H11, Class DI, IO, 0.502%, 5/20/67(WAC) 4,758,561 237,645
Ser. 16-H23, Class NI, IO, 0.457%, 10/20/66(WAC) 14,486,751 550,497
Ser. 16-H17, Class KI, IO, 0.411%, 7/20/66(WAC) 2,298,919 95,372
Ser. 15-H15, Class BI, IO, 0.31%, 6/20/65(WAC) 2,913,083 100,793
Ser. 15-H24, Class AI, IO, 0.292%, 9/20/65(WAC) 4,389,923 113,379
Ser. 17-H12, Class QI, IO, 0.238%, 5/20/67(WAC) 4,289,620 136,397
IFB Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.146%, 8/20/44 1,568,045 95,401
Ser. 16-H09, Class BI, IO, 0.105%, 4/20/66(WAC) 6,406,357 285,083
Ser. 17-H16, Class JI, IO, 0.069%, 8/20/67(WAC) 12,468,493 569,929
Ser. 18-H02, Class EI, IO, 0.05%, 1/20/68(WAC) 8,194,725 338,901
Ser. 15-H10, Class BI, IO, 0.047%, 4/20/65(WAC) 3,437,632 133,036
Ser. 18-H05, Class AI, IO, 0.036%, 2/20/68(WAC) 3,559,823 142,190
Ser. 18-H05, Class BI, IO, 0.036%, 2/20/68(WAC) 5,663,988 223,240
Ser. 16-H03, Class AI, IO, 0.034%, 1/20/66(WAC) 12,114,183 384,891
Ser. 17-H02, Class BI, IO, 0.031%, 1/20/67(WAC) 3,540,266 98,487
Ser. 18-H03, Class XI, IO, 0.019%, 2/20/68(WAC) 5,802,119 243,109
Ser. 17-H08, Class NI, IO, 0.019%, 3/20/67(WAC) 6,784,257 207,598
Ser. 17-H06, Class BI, IO, 0.015%, 2/20/67(WAC) 5,290,947 149,700
Ser. 17-H09, IO, 0.014%, 4/20/67(WAC) 7,086,146 171,903
Ser. 16-H06, Class DI, IO, 0.01%, 7/20/65(WAC) 10,224,464 217,802
Ser. 17-H16, Class IG, IO, 0.009%, 7/20/67(WAC) 11,021,383 263,222
Ser. 18-H15, Class KI, IO, 0.003%, 8/20/68(WAC) 4,742,895 181,920
Ser. 16-H06, Class CI, IO, 0.002%, 2/20/66(WAC) 6,030,550 86,563
Ser. 16-H10, Class AI, IO, zero %, 4/20/66(WAC) 9,708,141 147,738

48,329,964
Commercial mortgage-backed securities (14.0%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 802,000 452,947
Benchmark Mortgage Trust FRB Ser. 18-B1, Class C, 4.189%, 1/15/51(WAC) 735,000 507,308
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.025%, 4/10/51(WAC) 1,213,000 652,881
Ser. 19-B13, Class D, 2.50%, 8/15/57 792,000 436,788
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44(WAC) 1,247,000 732,788
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 1,337,000 534,503
Ser. 19-CD8, Class D, 3.00%, 8/15/57 814,000 390,720
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.249%, 12/15/47(WAC) 1,068,000 872,042
FRB Ser. 11-C2, Class F, 5.249%, 12/15/47(WAC) 2,121,000 1,336,803
Citigroup Commercial Mortgage Trust 144A
Ser. 15-P1, Class D, 3.225%, 9/15/48 1,273,000 1,019,311
Ser. 15-GC27, Class E, 3.00%, 2/10/48 886,000 576,744
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 4.916%, 4/10/47(WAC) 912,000 758,565
Ser. 13-CR12, Class AM, 4.30%, 10/10/46 1,123,000 932,090
Ser. 15-DC1, Class B, 4.035%, 2/10/48(WAC) 906,000 789,912
FRB Ser. 15-CR26, Class D, 3.465%, 10/10/48(WAC) 658,000 421,054
COMM Mortgage Trust 144A
FRB Ser. 13-CR13, Class D, 5.01%, 11/10/46(WAC) 1,081,000 720,008
FRB Ser. 14-CR17, Class D, 4.824%, 5/10/47(WAC) 617,000 495,597
FRB Ser. 14-CR17, Class E, 4.824%, 5/10/47(WAC) 919,000 611,503
FRB Ser. 14-UBS3, Class D, 4.764%, 6/10/47(WAC) 481,000 284,279
Ser. 12-CR3, Class F, 4.75%, 10/15/45 (In default)(NON)(WAC) 194,678 9,830
FRB Ser. 14-CR19, Class D, 4.629%, 8/10/47(WAC) 507,000 455,708
FRB Ser. 15-LC19, Class E, 4.213%, 2/10/48(WAC) 781,000 583,339
FRB Ser. 18-COR3, Class D, 2.809%, 5/10/51(WAC) 672,000 339,014
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.478%, 9/9/24 511,000 514,159
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.75%, 4/15/50(WAC) 1,390,000 848,207
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.359%, 8/10/44(WAC) 465,259 415,103
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.321%, 11/25/51 1,746,000 1,657,697
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.537%, 2/10/46(WAC) 1,423,000 1,241,491
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47(WAC) 357,000 326,748
GS Mortgage Securities Trust 144A
FRB Ser. 11-GC5, Class B, 5.153%, 8/10/44(WAC) 533,000 441,222
FRB Ser. 14-GC24, Class D, 4.523%, 9/10/47(WAC) 2,827,000 1,076,219
Ser. 19-GC38, Class D, 3.00%, 2/10/52 1,109,000 686,516
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.733%, 2/15/47(WAC) 2,173,000 1,485,482
FRB Ser. 14-C19, Class C19, 4.627%, 4/15/47(WAC) 814,000 754,473
FRB Ser. 14-C18, Class E, 4.233%, 2/15/47(WAC) 914,000 599,036
FRB Ser. C14, Class D, 4.15%, 8/15/46(WAC) 1,265,000 646,182
FRB Ser. 14-C23, Class D, 3.983%, 9/15/47(WAC) 574,000 481,270
FRB Ser. 14-C25, Class D, 3.933%, 11/15/47(WAC) 1,404,000 759,577
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 456,492
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.382%, 9/15/50(WAC) 577,000 392,955
JPMDB Commercial Mortgage Securities Trust
FRB Ser. 18-C8, Class C, 4.764%, 6/15/51(WAC) 448,000 351,191
Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 680,000 477,385
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 13-LC11, Class D, 4.167%, 4/15/46(WAC) 574,000 200,900
Ser. 13-LC11, Class B, 3.499%, 4/15/46 508,000 424,130
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class F, 5.526%, 2/15/46(WAC) 1,113,000 255,703
FRB Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) 659,000 539,715
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,390,000 347,500
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49(WAC) 26,213
Morgan Stanley Bank of America Merrill Lynch Trust
Ser. 12-C6, Class C, 4.536%, 11/15/45(WAC) 663,370 627,113
FRB Ser. 15-C22, Class C, 4.20%, 4/15/48(WAC) 1,227,000 1,077,967
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C12, Class D, 4.862%, 10/15/46(WAC) 929,000 769,907
FRB Ser. 12-C6, Class E, 4.425%, 11/15/45(WAC) 619,000 401,418
FRB Ser. 15-C23, Class D, 4.138%, 7/15/50(WAC) 833,000 702,836
FRB Ser. 13-C10, Class E, 3.962%, 7/15/46(WAC) 2,187,000 509,613
FRB Ser. 13-C10, Class F, 3.962%, 7/15/46(WAC) 1,988,000 100,001
Ser. 14-C17, Class E, 3.50%, 8/15/47 1,025,000 838,105
Ser. 14-C19, Class D, 3.25%, 12/15/47 1,493,000 1,248,457
Morgan Stanley Capital I Trust
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 384,505 320,350
FRB Ser. 18-H3, Class C, 4.851%, 7/15/51(WAC) 576,000 460,114
Multifamily Connecticut Avenue Securities Trust 144A
FRB Ser. 20-01, Class M10, 9.185%, 3/25/50 1,554,263 1,484,425
FRB Ser. 19-01, Class M10, 8.685%, 10/25/49 1,173,860 1,130,327
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.791%, 6/25/37 828,051 827,434
RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 8.585%, 1/19/37 (Bermuda) 1,046,000 992,937
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 1,081,996 11
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.388%, 8/15/50(WAC) 629,000 502,484
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 12,873 11,582
Wells Fargo Commercial Mortgage Trust
FRB Ser. 15-SG1, Class B, 4.453%, 9/15/48(WAC) 710,000 621,001
FRB Ser. 15-C29, Class D, 4.218%, 6/15/48(WAC) 819,000 702,436
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C30, Class D, 4.498%, 9/15/58(WAC) 265,000 198,995
FRB Ser. 13-LC12, Class D, 3.955%, 7/15/46(WAC) 356,000 89,021
Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,218,000 145,077
Ser. 16-C33, Class D, 3.123%, 3/15/59 1,544,000 1,109,847
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 514,000 434,215
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 13-UBS1, Class D, 5.052%, 3/15/46(WAC) 457,000 440,983
FRB Ser. 13-UBS1, Class E, 5.052%, 3/15/46(WAC) 616,000 596,453
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,560,000 1,671,027
FRB Ser. 12-C9, Class E, 4.719%, 11/15/45(WAC) 537,000 497,578
FRB Ser. 12-C10, Class D, 4.394%, 12/15/45(WAC) 687,000 382,086
FRB Ser. 13-C15, Class D, 4.213%, 8/15/46(WAC) 2,693,000 646,320

48,833,207
Residential mortgage-backed securities (non-agency) (11.8%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.629%, 5/25/47 622,451 368,789
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.939%, 1/25/36 108,779 95,203
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.619%, 11/25/47 496,233 364,933
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.789%, 3/25/37 1,580,794 1,256,621
Countrywide Alternative Loan Trust
FRB Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 6.139%, 9/25/35 412,908 350,133
FRB Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 6.114%, 11/20/35 1,064,667 926,570
FRB Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.819%, 8/25/46 513,651 441,974
FRB Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.819%, 8/25/46 2,650,776 2,127,487
FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 5.76%, 8/25/46 204,136 178,403
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 5.74%, 6/25/46 328,355 268,199
FRB Ser. 07-OH1, Class A1D, (CME Term SOFR 1 Month + 0.32%), 5.649%, 4/25/47 401,843 316,408
FRB Ser. 06-OA7, Class 1A1, 3.476%, 6/25/46(WAC) 872,823 765,029
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class B, (US 30 Day Average SOFR + 11.36%), 16.685%, 12/25/28 482,295 551,960
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.935%, 5/25/28 826,498 892,035
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.435%, 7/25/28 2,794,711 3,093,442
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.785%, 4/25/28 1,283,554 1,393,682
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 14.635%, 10/25/27 727,737 767,878
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 12.985%, 12/25/27 1,148,815 1,211,488
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.685%, 2/25/49 254,000 315,101
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.821%, 10/25/50 491,000 631,338
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 16.685%, 4/25/49 298,000 358,201
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.435%, 10/25/48 1,619,000 1,985,793
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.185%, 1/25/49 315,000 381,570
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.935%, 3/25/49 252,000 296,430
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.435%, 8/25/50 966,000 1,231,158
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.435%, 7/25/50 1,027,000 1,272,423
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.185%, 9/25/48 389,000 427,379
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B2, (US 30 Day Average SOFR + 7.71%), 13.035%, 3/25/50 625,000 677,675
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (US 30 Day Average SOFR + 5.86%), 11.185%, 7/25/50 551,458 602,064
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.685%, 9/25/50 768,656 828,729
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.121%, 10/25/50 900,000 978,890
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M2, (US 30 Day Average SOFR + 3.75%), 9.071%, 2/25/42 450,000 456,750
Structured Agency Credit risk Debt FRN Class M1B, (US 30 Day Average SOFR + 3.35%), 8.671%, 6/25/43 700,000 716,625
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 685,000 581,291
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) 879,000 808,431
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 346,000 291,636
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 18.185%, 10/25/28 238,434 279,206
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.685%, 9/25/28 2,301,715 2,682,896
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.185%, 10/25/28 1,289,648 1,493,187
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.185%, 8/25/28 833,135 960,711
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 16.185%, 1/25/29 268,634 302,801
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (US 30 Day Average SOFR + 10.36%), 15.685%, 1/25/29 266,837 300,312
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.685%, 4/25/29 396,103 439,309
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.821%, 1/25/42 402,000 410,040
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.535%, 9/25/31 572,139 598,495
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (US 30 Day Average SOFR + 3.36%), 8.685%, 1/25/40 459,000 463,907
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.321%, 1/25/42 840,000 840,525
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.885%, 7/25/31 8,023 8,053
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (US 30 Day Average SOFR + 2.16%), 7.485%, 1/25/40 214,553 216,870
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.749%, 5/25/37 534,564 291,750
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.968%, 5/19/35 401,012 125,018
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 9.471%, 1/25/34 (Bermuda) 300,000 286,507
LHOME Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28 786,000 778,883
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 2.831%, 2/26/37 418,188 334,973
MortgageIT Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 6.234%, 8/25/35 78,107 72,177
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.29%), 5.619%, 1/25/37 532,082 449,210
Towd Point Mortgage Trust 144A
Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 1,033,000 857,389
Ser. 18-5, Class M1, 3.25%, 7/25/58(WAC) 815,000 582,904
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 6.419%, 10/25/45 246,463 222,933

41,209,774

Total mortgage-backed securities (cost $164,968,762) $138,372,945









CORPORATE BONDS AND NOTES (20.8%)(a)
        Principal amount Value
Basic materials (2.3%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) $515,000 $487,538
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 565,000 481,164
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 1,248,000 1,025,814
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 570,000 490,331
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 530,000 485,093
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 165,000 131,316
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 669,000 644,874
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 595,000 478,504
Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) EUR 650,000 564,923
HTA Group, Ltd./Mauritius company guaranty sr. unsec. notes Ser. REGS, 7.00%, 12/18/25 (Tanzania) $440,000 422,950
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) 545,000 487,670
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 1,100,000 808,500
Olympus Water US Holding Corp. 144A sr. notes 9.75%, 11/15/28 560,000 546,953
Resideo Funding, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 9/1/29 615,000 493,538
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 510,000 471,750

8,020,918
Capital goods (1.8%)
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) 1,150,000 1,157,188
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 EUR 530,000 535,939
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 $347,000 352,222
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 581,000 508,609
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 520,000 425,100
Howmet Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37 520,000 475,024
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27 580,000 506,006
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 497,000 497,621
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 585,000 496,086
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 563,000 492,820
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 265,000 229,592
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 175,000 150,892
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 420,000 405,535

6,232,634
Communication services (0.9%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 1,455,000 1,135,715
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.50%, 4/15/27 655,000 547,338
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 377,000 330,341
SBA Communications Corp. sr. unsec. notes 3.125%, 2/1/29(R) 620,000 512,618
Vmed O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom) EUR 610,000 531,424

3,057,436
Consumer cyclicals (6.3%)
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 $1,211,000 1,121,138
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 630,000 486,205
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 585,000 485,491
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 509,000 491,232
Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) 568,000 605,610
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 595,000 513,888
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31 640,000 486,373
Dufry One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands) EUR 560,000 526,901
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 9.00%, perpetual maturity $500,000 465,000
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 620,000 505,364
IHO Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany)(PIK) EUR 1,085,000 1,184,087
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 $585,000 495,871
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 610,000 501,725
Las Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29 580,000 500,769
Levi Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 EUR 668,000 658,606
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 $1,180,000 1,144,329
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 615,000 486,971
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) 1,335,000 1,089,972
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 630,000 538,926
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 600,000 505,680
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 562,000 495,992
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 590,000 505,028
Nexstar Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28 595,000 499,734
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 565,000 501,878
Penn Entertainment, Inc. 144A sr. unsec. notes 4.125%, 7/1/29 635,000 493,370
PetSmart, Inc./PetSmart Finance Corp. 144A company guaranty sr. unsec. notes 7.75%, 2/15/29 560,000 515,560
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 490,000 511,481
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.125%, 7/1/30 645,000 512,140
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 574,000 514,930
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 EUR 560,000 517,130
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 $625,000 493,475
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 1,301,000 1,093,365
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 482,000 437,488
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 540,000 475,475
Verisure Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden) EUR 1,310,000 1,195,050
Via Celere Desarrollos Inmobiliarios SA company guaranty sr. notes Ser. REGS, 5.25%, 4/1/26 (Spain) EUR 100,000 98,696
Warnermedia Holdings, Inc. company guaranty sr. unsec. bonds 5.141%, 3/15/52 $690,000 488,255

22,143,185
Consumer staples (1.5%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 615,000 503,699
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 600,000 511,561
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 559,000 512,686
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 EUR 245,000 252,961
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 $550,000 516,990
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.375%, 1/31/32 605,000 500,557
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 625,000 530,202
Loxam SAS company guaranty sr. notes Ser. EMTN, 6.375%, 5/15/28 (France) EUR 510,000 524,446
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 $610,000 495,643
US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 564,000 497,537
VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 560,000 495,919

5,342,201
Energy (4.3%)
Antero Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 555,000 506,449
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 536,000 519,150
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 517,000 507,249
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 730,000 734,498
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 1,155,000 1,165,689
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 658,000 650,476
Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) 1,300,000 1,248,522
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 543,000 520,894
Energo-Pro a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic) 700,000 700,801
EnLink Midstream, LLC 144A company guaranty sr. unsec. unsub. notes 6.50%, 9/1/30 540,000 518,330
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 590,000 504,849
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 550,000 504,652
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 1,321,000 1,181,298
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) 473,000 440,440
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 300,000 295,289
Petroleos Mexicanos company guaranty sr. unsec. notes Ser. REGS, 10.00%, 2/7/33 (Mexico) 330,000 291,803
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 790,000 565,245
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 425,000 313,359
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) 1,250,000 1,107,031
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 571,000 515,375
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 541,000 520,829
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 560,000 517,316
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 1,170,000 1,116,478

14,946,022
Financials (0.2%)
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 571,000 502,000
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany) 200,000 161,031
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 200,000 208,750

871,781
Health care (1.4%)
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 603,000 492,953
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 120,000 100,950
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 525,000 501,375
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 595,000 502,398
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 635,000 548,488
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 615,000 497,787
Tenet Healthcare Corp. 144A company guaranty sr. notes 6.75%, 5/15/31 1,190,000 1,130,064
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) 1,185,000 1,167,225

4,941,240
Technology (0.9%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 610,000 505,262
CrowdStrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 602,000 503,193
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 598,000 521,332
NCR Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 585,000 503,051
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 605,000 502,968
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 618,000 510,200

3,046,006
Transportation (0.1%)
Air France-KLM sr. unsec. notes 8.125%, 5/31/28 (France) EUR 500,000 554,582

554,582
Utilities and power (1.1%)
Aegea Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil) $500,000 496,875
Diamond II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) 1,220,000 1,186,450
Electricite De France SA 144A jr. unsec. sub. FRB 9.125%, perpetual maturity (France) 535,000 546,369
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 672,000 499,407
PG&E Corp. sr. sub. notes 5.25%, 7/1/30 590,000 516,782
Vistra Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29 590,000 501,143

3,747,026

Total corporate bonds and notes (cost $77,111,022) $72,903,031









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.0%)(a)
        Principal amount Value
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) EUR 470,000 $335,464
Benin (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin) EUR 690,000 543,749
Cameroon (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 7/7/32 (Cameroon) EUR 760,000 515,062
Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d'lvoire) EUR 760,000 652,508
Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d'lvoire) EUR 2,060,000 1,642,612
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) $2,765,000 2,263,844
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) 300,000 294,000
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 920,000 746,350
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 715,000 712,238
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) 1,350,000 1,277,911
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,622,857
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 2,480,000 1,540,700
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) 810,000 571,050
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana) (In default)(NON) 1,310,000 551,838
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)(NON) 2,610,000 1,115,775
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)(NON) 1,300,000 549,250
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) 2,670,000 2,434,327
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) 760,000 746,605
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 640,000 660,896
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,215,539
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya) 890,000 847,725
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) 670,000 625,613
Mozambique (Republic of) unsec. notes Ser. REGS, 9.00%, 9/15/31 (Mozambique) 550,000 424,875
Romania (Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania) 910,000 903,294
Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) 950,000 922,688
Turkey (Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey) 660,000 659,175
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) 1,390,000 993,517
United Mexican States sr. unsec. unsub. notes 6.338%, 5/4/53 (Mexico) 1,150,000 1,005,355
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 1,720,000 1,685,944

Total foreign government and agency bonds and notes (cost $32,665,840) $28,060,761









CONVERTIBLE BONDS AND NOTES (4.5%)(a)
        Principal amount Value
Basic materials (—%)
MP Materials Corp. 144A cv. sr. unsec. notes 0.25%, 4/1/26 $113,000 $93,120

93,120
Capital goods (0.3%)
Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 321,000 344,594
Granite Construction, Inc. 144A cv. sr. unsec. notes 3.75%, 5/15/28 166,000 177,454
John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 192,000 170,880
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 220,000 227,920
Tetra Tech, Inc. 144A cv. sr. unsec. notes 2.25%, 8/15/28 205,000 198,337

1,119,185
Communication services (0.1%)
Liberty Broadband Corp. 144A cv. sr. unsec. notes 3.125%, 3/31/53 254,000 251,945

251,945
Consumer cyclicals (0.8%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 242,000 206,910
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 183,000 136,793
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 153,000 233,151
Carnival Corp. 144A company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27 197,000 233,226
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 182,000 135,226
Liberty Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27 260,000 260,578
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 212,000 166,420
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 270,000 271,080
NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 88,000 93,060
Patrick Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28 192,000 180,576
Rivian Automotive, Inc. 144A cv. sr. unsec. sub. notes 4.625%, 3/15/29 122,000 128,283
Royal Caribbean Cruises, Ltd. cv. sr. unsec. unsub. notes 6.00%, 8/15/25 141,000 257,396
Shift4 Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27 158,000 123,388
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 298,000 259,074

2,685,161
Consumer staples (0.5%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 132,000 114,114
Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 291,000 214,322
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 107,000 97,584
MGP Ingredients, Inc. company guaranty cv. sr. unsec. bonds 1.875%, 11/15/41 145,000 163,701
Post Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.50%, 8/15/27 239,000 226,692
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 137,000 99,668
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 122,000 110,871
Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 199,000 162,782
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 263,000 223,534
Wayfair, Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27 176,000 168,520
Zillow Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26 318,000 334,854

1,916,642
Energy (0.1%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 263,000 195,222
Nabors Industries, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 138,000 102,189
Northern Oil and Gas, Inc. cv. sr.unsec. notes 3.625%, 4/15/29 157,000 184,946

482,357
Financials (0.2%)
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 257,000 193,393
Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28(R) 335,000 343,375

536,768
Health care (0.7%)
Alnylam Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27 122,000 105,474
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 126,000 121,142
BridgeBio Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27 105,000 99,262
CONMED Corp. cv. sr. unsec. notes 2.25%, 6/15/27 203,000 189,095
Cytokinetics, Inc. cv. sr. unsec. unsub. notes 3.50%, 7/1/27 113,000 103,621
Dexcom, Inc. 144A cv. sr. unsec. unsub. notes 0.375%, 5/15/28 327,000 287,433
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 300,000 247,877
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 370,000 301,586
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 174,000 160,341
Integer Holdings Corp. 144A cv. sr. unsec. unsub. notes 2.125%, 2/15/28 135,000 148,062
Lantheus Holdings, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27 222,000 246,070
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 92,000 134,780
Sarepta Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27 114,000 97,080
Shockwave Medical, Inc. 144A cv. sr. unsec. notes 1.00%, 8/15/28 111,000 107,226

2,349,049
Technology (1.5%)
3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 97,000 66,688
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 307,000 312,066
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 202,000 233,778
Altair Engineering, Inc. cv. sr. unsec. sub. notes 1.75%, 6/15/27 189,000 196,749
Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 136,000 115,396
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 157,000 136,660
Cloudflare, Inc. cv. sr. unsec. notes zero %, 8/15/26 174,000 145,464
Confluent, Inc. cv. sr. unsec. unsub. notes zero %, 1/15/27 196,000 157,711
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 120,000 132,120
DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 211,000 157,834
Dropbox, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 161,000 148,824
Envestnet, Inc. 144A company guaranty cv. sr. unsec. notes 2.625%, 12/1/27 181,000 154,755
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 138,000 115,920
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 106,000 165,572
Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 180,000 165,822
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 302,000 246,136
Lumentum Holdings, Inc. 144A cv. sr. unsec. notes 1.50%, 12/15/29 69,000 57,132
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 116,000 197,606
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 260,000 222,950
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 47,000 61,382
ON Semiconductor Corp. 144A company guaranty cv. sr. unsec. notes 0.50%, 3/1/29 329,000 287,875
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 33,000 80,586
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 159,000 145,485
Progress Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26 167,000 168,837
Seagate HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands) 416,000 431,184
Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 170,000 126,735
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 138,000 118,059
Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 214,000 203,091
Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 182,000 108,290
Workiva, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 8/15/28 207,000 187,232
Ziff Davis, Inc. cv. sr. unsec. notes 1.75%, 11/1/26 182,000 163,709
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 102,000 124,236

5,335,884
Transportation (0.1%)
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 356,000 337,666

337,666
Utilities and power (0.2%)
CMS Energy Corp. 144A cv. sr. unsec. notes 3.375%, 5/1/28 221,000 208,624
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 210,000 234,570
Southern Co. (The) 144A cv. sr. unsec. notes 3.875%, 12/15/25 332,000 325,692

768,886

Total convertible bonds and notes (cost $18,043,192) $15,876,663









SENIOR LOANS (2.4%)(a)(c)
        Principal amount Value
Ahead DB Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.019%, 10/16/27 $533,635 $528,299
Chart Industries, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.665%, 3/17/30 1,073,606 1,070,031
Cloud Software Group, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.99%, 3/30/29 540,921 513,258
CQP Holdco LP bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 9.048%, 5/27/28 1,686,374 1,683,912
DIRECTV Financing, LLC bank term loan FRN (CME Term SOFR 3 Month + 5.00%), 10.325%, 7/22/27 195,590 190,037
Gray Television, Inc. bank term loan FRN Ser. D, (CME Term SOFR 1 Month + 3.00%), 8.435%, 10/27/28 528,655 506,124
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 8.424%, 12/15/27 526,630 520,485
Nouryon Finance BV bank term loan FRN (EURIBOR 3 Month ACT/360 + 4.25%), 8.122%, 4/3/28 (Netherlands) EUR 440,000 455,829
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.174%, 1/29/28 $1,353,707 1,335,378
Phoenix Newco, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.25%), 8.689%, 8/11/28 568,557 561,308
Polaris Newco, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.00%), 9.298%, 6/3/28 548,601 517,056
Proofpoint, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.519%, 6/9/28 528,655 519,255
Robertshaw US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.49%, 2/28/27 162,000 28,350

Total senior loans (cost $8,631,280) $8,429,322









ASSET-BACKED SECURITIES (0.8%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A
FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.689%, 10/22/24 $1,286,000 $1,269,931
FRB Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.439%, 10/22/24 1,086,000 1,070,394
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class F, (CME Term SOFR 1 Month + 5.36%), 10.689%, 5/7/24 416,000 415,996

Total asset-backed securities (cost $2,645,424) $2,756,321









COMMON STOCKS (—%)(a)
        Shares Value
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 $24,234

Total common stocks (cost $21,953) $24,234









SHORT-TERM INVESTMENTS (21.9%)(a)
        Principal amount/shares Value
Banco Santander SA commercial paper 5.426%, 11/27/23 (Spain) $2,000,000 $1,991,898
Canadian Imperial Bank of Commerce commercial paper 5.488%, 12/20/23 (Canada) 2,000,000 1,985,268
DNB Bank ASA commercial paper 5.406%, 11/22/23 (Norway) 1,750,000 1,744,372
GTA Funding, LLC asset-backed commercial paper 5.578%, 11/21/23 2,000,000 1,993,749
Liberty Street Funding, LLC asset-backed commercial paper 5.501%, 11/1/23 (Canada) 2,000,000 1,999,704
Putnam Government Money Market Fund Class G 5.05%(AFF) Shares 15,553,199 15,553,199
Putnam Short Term Investment Fund Class P 5.59%(AFF) Shares 37,773,897 37,773,897
Societe Generale SA commercial paper 5.460%, 12/1/23 (France) $2,000,000 1,990,909
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.30%(P) Shares 4,377,000 4,377,000
Sumitomo Mitsui Trust Bank Ltd./Singapore commercial paper 5.638%, 12/15/23 (Singapore) $2,000,000 1,986,408
U.S. Treasury Bills 5.457%, 1/23/24(SEG)(SEGSF)(SEGTBA) 4,700,000 4,642,393
U.S. Treasury Bills 5.335%, 11/16/23(SEGTBA) 300,000 299,341
U.S. Treasury Bills 5.063%, 11/9/23(SEGSF)(SEGTBA) 100,000 99,882

Total short-term investments (cost $76,439,146) $76,438,020
TOTAL INVESTMENTS

Total investments (cost $646,361,159) $605,907,422









FORWARD CURRENCY CONTRACTS at 10/31/23 (aggregate face value $53,014,904) (Unaudited)
  Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Canadian Dollar Sell 1/17/24 $433 $437 $4
Euro Sell 12/20/23 396,824 403,296 6,472
New Zealand Dollar Sell 1/17/24 25,350 25,679 329
Swedish Krona Sell 12/20/23 345,918 348,844 2,926
Barclays Bank PLC
Canadian Dollar Sell 1/17/24 131,785 132,957 1,172
Euro Sell 12/20/23 41,570 42,315 745
Norwegian Krone Sell 12/20/23 24,850 25,960 1,110
Swedish Krona Buy 12/20/23 6,843 6,931 (88)
Swiss Franc Buy 12/20/23 214,864 220,859 (5,995)
Citibank, N.A.
Australian Dollar Sell 1/17/24 936,952 940,314 3,362
Canadian Dollar Sell 1/17/24 84,992 85,702 710
Euro Sell 12/20/23 1,192,486 1,213,617 21,131
Norwegian Krone Sell 12/20/23 210,058 219,383 9,325
Swedish Krona Sell 12/20/23 661,844 667,066 5,222
Goldman Sachs International
Canadian Dollar Sell 1/17/24 14,298 14,426 128
Swiss Franc Buy 12/20/23 2,289,121 2,353,523 (64,402)
HSBC Bank USA, National Association
Australian Dollar Sell 1/17/24 233,268 232,324 (944)
British Pound Sell 12/20/23 1,289,350 1,320,758 31,408
Canadian Dollar Sell 1/17/24 38,633 38,980 347
Euro Buy 12/20/23 278,370 280,361 (1,991)
New Zealand Dollar Buy 1/17/24 11,131 10,657 474
Norwegian Krone Buy 12/20/23 118,897 124,565 (5,668)
Swedish Krona Sell 12/20/23 72,440 73,402 962
Swiss Franc Buy 12/20/23 54,269 55,697 (1,428)
JPMorgan Chase Bank N.A.
British Pound Sell 12/20/23 324,283 332,267 7,984
Canadian Dollar Sell 1/17/24 311,446 314,186 2,740
Euro Sell 12/20/23 96,184 97,894 1,710
Norwegian Krone Sell 12/20/23 20,170 21,064 894
Swiss Franc Buy 12/20/23 23,211 23,861 (650)
Morgan Stanley & Co. International PLC
Australian Dollar Sell 1/17/24 941,404 937,592 (3,812)
Euro Sell 12/20/23 3,486,258 3,544,732 58,474
Japanese Yen Buy 11/15/23 4,163,241 4,476,108 (312,867)
New Zealand Dollar Sell 1/17/24 2,908,051 2,947,786 39,735
Norwegian Krone Sell 12/20/23 1,175,585 1,228,160 52,575
Swedish Krona Sell 12/20/23 887,613 895,023 7,410
NatWest Markets PLC
British Pound Sell 12/20/23 973 999 26
Euro Sell 12/20/23 400,323 404,731 4,408
Japanese Yen Buy 11/15/23 843,575 906,904 (63,329)
New Zealand Dollar Sell 1/17/24 105,536 106,860 1,324
Norwegian Krone Sell 12/20/23 25,800 26,921 1,121
State Street Bank and Trust Co.
Australian Dollar Sell 1/17/24 2,341,840 2,333,044 (8,796)
British Pound Sell 12/20/23 1,165,813 1,194,559 28,746
Canadian Dollar Sell 1/17/24 1,003,806 1,012,702 8,896
Euro Sell 12/20/23 8,214,525 8,349,598 135,073
New Zealand Dollar Sell 1/17/24 44,522 45,129 607
Norwegian Krone Sell 12/20/23 608,281 635,304 27,023
Swedish Krona Sell 12/20/23 1,213,327 1,222,981 9,654
Swiss Franc Buy 12/20/23 174,743 179,577 (4,834)
Toronto-Dominion Bank
British Pound Sell 12/20/23 103,960 106,521 2,561
Canadian Dollar Sell 1/17/24 3,270,007 3,299,020 29,013
Euro Sell 12/20/23 2,872,889 2,923,742 50,853
Japanese Yen Buy 11/15/23 9,036 9,709 (673)
Norwegian Krone Sell 12/20/23 435,973 455,442 19,469
UBS AG
Australian Dollar Sell 1/17/24 13,482 13,428 (54)
Canadian Dollar Sell 1/17/24 1,340,238 1,352,146 11,908
Euro Sell 12/20/23 1,219,634 1,238,383 18,749
Japanese Yen Buy 11/15/23 1,563,028 1,679,323 (116,295)
New Zealand Dollar Sell 1/17/24 97,087 98,346 1,259
Swedish Krona Sell 12/20/23 11,763 11,859 96
Swiss Franc Sell 12/20/23 7,295 7,349 54
WestPac Banking Corp.
Australian Dollar Sell 1/17/24 332,541 331,180 (1,361)
British Pound Sell 12/20/23 1,039,724 1,065,318 25,594
Euro Sell 12/20/23 212,516 215,876 3,360
New Zealand Dollar Sell 1/17/24 129,604 131,227 1,623

Unrealized appreciation 638,766

Unrealized (depreciation) (593,187)

Total $45,579
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 10/31/23 (Unaudited)
    Number of contracts Notional
amount
Value Expiration date Unrealized
appreciation
U.S. Treasury Note 2 yr (Short) 540 $109,307,813 $109,307,813 Dec-23 $576,815
U.S. Treasury Note Ultra 10 yr (Short) 30 3,264,844 3,264,844 Dec-23 180,401

Unrealized appreciation 757,216

Unrealized (depreciation)

Total $757,216









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/23 (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.
(3.63)/US SOFR/Mar-26 (Written) Mar-24/3.63 $66,745,900 $830,986 $738,210
3.63/US SOFR/Mar-26 (Written) Mar-24/3.63 66,745,900 830,986 (576,017)
(0.7988)/US SOFR/Apr-34 (Written) Apr-24/0.7988 65,015,900 80,281 78,019
1.8838/US SOFR/Apr-34 (Purchased) Apr-24/1.8838 32,507,900 (237,767) (229,181)
(3.1625)/US SOFR/Mar-37 (Written) Mar-27/3.1625 32,086,300 2,213,955 1,320,993
3.1625/US SOFR/Mar-37 (Written) Mar-27/3.1625 32,086,300 2,213,955 (1,729,772)
(3.095)/US SOFR/Mar-36 (Written) Mar-26/3.095 31,418,700 2,079,918 1,424,210
3.095/US SOFR/Mar-36 (Written) Mar-26/3.095 31,418,700 2,079,918 (1,718,289)
(1.0035)/US SOFR/Mar-34 (Written) Mar-24/1.0035 16,254,000 24,623 24,056
(3.03)/US SOFR/Mar-36 (Purchased) Mar-26/3.03 15,450,300 (988,047) 933,507
3.03/US SOFR/Mar-36 (Purchased) Mar-26/3.03 15,450,300 (988,047) (684,139)
(2.063)/US SOFR/Apr-56 (Purchased) Apr-26/2.063 14,707,300 (3,080,135) 2,074,318
2.063/US SOFR/Apr-56 (Purchased) Apr-26/2.063 14,707,300 (696,531) (502,548)
(2.558)/US SOFR/Dec-57 (Purchased) Dec-27/2.558 14,076,200 (2,080,462) 1,793,167
2.558/US SOFR/Dec-57 (Purchased) Dec-27/2.558 14,076,200 (2,080,462) (1,361,732)
(3.857)/US SOFR/Sep-38 (Written) Sep-28/3.857 13,513,400 930,398 260,809
(3.887)/US SOFR/Sep-40 (Written) Sep-30/3.887 13,513,400 1,016,208 235,944
3.887/US SOFR/Sep-40 (Written) Sep-30/3.887 13,513,400 1,016,208 (353,781)
3.857/US SOFR/Sep-38 (Written) Sep-28/3.857 13,513,400 930,398 (391,213)
(2.47)/US SOFR/Dec-57 (Purchased) Dec-27/2.47 11,414,100 (1,694,994) 1,561,563
2.47/US SOFR/Dec-57 (Purchased) Dec-27/2.47 11,414,100 (1,694,994) (1,137,187)
2.0035/US SOFR/Mar-34 (Purchased) Mar-24/2.0035 11,377,800 (88,363) (86,244)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 10,783,700 784,514 481,277
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 10,783,700 784,514 (607,877)
(0.6385)/US SOFR/Mar-40 (Purchased) Mar-30/0.6385 9,326,800 (2,161,324) 625,922
0.6385/US SOFR/Mar-40 (Purchased) Mar-30/0.6385 9,326,800 (91,188) (44,955)
(3.17)/US SOFR/Dec-35 (Purchased) Dec-25/3.17 9,143,300 (475,452) 563,776
2.67/US SOFR/Dec-35 (Purchased) Dec-25/2.67 9,143,300 (466,308) (349,914)
(3.343)/US SOFR/Dec-35 (Purchased) Dec-25/3.343 9,049,800 (586,880) 368,689
3.343/US SOFR/Dec-35 (Purchased) Dec-25/3.343 9,049,800 (586,880) (374,028)
(3.03)/US SOFR/Feb-33 (Written) Feb-28/3.03 6,860,600 260,703 125,000
3.03/US SOFR/Feb-33 (Written) Feb-28/3.03 6,860,600 260,703 (246,296)
(3.49)/US SOFR/May-40 (Purchased) May-30/3.49 4,972,900 (940,287) 203,491
3.49/US SOFR/May-40 (Purchased) May-30/3.49 4,972,900 (940,287) (133,771)
(0.5644)/US SOFR/Mar-40 (Purchased) Mar-30/0.5644 4,749,700 (1,127,760) 318,515
0.5644/US SOFR/Mar-40 (Purchased) Mar-30/0.5644 4,749,700 (43,455) (21,469)
(0.9876)/US SOFR/Mar-50 (Purchased) Mar-30/0.9876 4,687,800 (1,513,967) 447,919
0.9876/US SOFR/Mar-50 (Purchased) Mar-30/0.9876 4,687,800 (101,827) (51,988)
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 4,270,400 333,518 171,030
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 4,270,400 333,518 (232,011)
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,121,700 (325,416) 532,589
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,121,700 (325,416) (237,715)
Barclays Bank PLC
(3.09)/US SOFR/Dec-42 (Purchased) Dec-32/3.09 16,333,000 (1,328,690) 781,534
3.09/US SOFR/Dec-42 (Purchased) Dec-32/3.09 16,333,000 (1,328,690) (522,819)
Citibank, N.A.
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 14,768,300 (1,090,639) 1,645,336
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 14,768,300 (1,090,639) (632,526)
(3.28)/US SOFR/Jul-36 (Written) Jul-26/3.28 10,763,700 602,767 333,998
3.28/US SOFR/Jul-36 (Written) Jul-26/3.28 10,763,700 602,767 (601,368)
(2.14)/US SOFR/Jun-41 (Purchased) Jun-31/2.14 4,617,700 (595,868) 275,815
2.14/US SOFR/Jun-41 (Purchased) Jun-31/2.14 4,617,700 (179,167) (78,824)
(1.34)/US SOFR/Jan-61 (Purchased) Jan-41/1.34 4,450,300 (1,040,302) 228,834
1.34/US SOFR/Jan-61 (Purchased) Jan-41/1.34 4,450,300 (371,600) (82,019)
(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) Mar-24/0.055 EUR 219,158,200 703,152 674,804
0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) Mar-24/0.555 EUR 109,579,100 (691,234) (663,209)
(3.18)/6 month EUR-EURIBOR/Mar-29 (Purchased) Mar-24/3.18 EUR 28,513,100 (623,805) (281,182)
3.18/6 month EUR-EURIBOR/Mar-29 (Purchased) Mar-24/3.18 EUR 28,513,100 (623,805) (285,405)
Deutsche Bank AG
(2.98)/US SOFR/Mar-35 (Written) Mar-30/2.98 $24,708,300 1,143,994 539,135
2.98/US SOFR/Mar-35 (Written) Mar-30/2.98 24,708,300 1,143,994 (807,220)
(3.19)/US SOFR/Mar-38 (Written) Mar-28/3.19 10,227,100 712,318 373,187
3.19/US SOFR/Mar-38 (Written) Mar-28/3.19 10,227,100 712,318 (568,115)
Goldman Sachs International
(2.40)/US SOFR/May-57 (Purchased) May-27/2.40 12,168,600 (1,569,749) 1,989,931
2.40/US SOFR/May-57 (Purchased) May-27/2.40 12,168,600 (1,569,749) (1,099,676)
(2.525)/US SOFR/Mar-47 (Purchased) Mar-27/2.525 1,629,100 (229,703) 175,927
2.525/US SOFR/Mar-47 (Purchased) Mar-27/2.525 1,629,100 (95,873) (59,755)
(2.85)/3 month EUR-EURIBOR/Mar-29 (Purchased) Mar-28/2.85 EUR 40,603,400 (381,932) 32,222
2.85/3 month EUR-EURIBOR/Mar-29 (Purchased) Mar-28/2.85 EUR 40,603,400 (381,932) (72,177)
JPMorgan Chase Bank N.A.
3.475/US SOFR/Oct-34 (Purchased) Oct-24/3.475 $31,043,600 (372,523) (36,011)
5.775/US SOFR/Oct-34 (Written) Oct-24/5.775 31,043,600 372,523 57,431
(3.0175)/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 28,152,400 (2,371,840) 1,368,207
3.0175/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 28,152,400 (2,371,840) (984,771)
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 22,135,000 472,306 466,827
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 22,135,000 472,306 (2,247,145)
(3.115)/US SOFR/Mar-43 (Written) Mar-33/3.115 19,558,800 1,650,763 642,311
3.115/US SOFR/Mar-43 (Written) Mar-33/3.115 19,558,800 1,650,763 (863,325)
(3.3225)/US SOFR/Jul-38 (Written) Jul-28/3.3225 11,891,400 803,859 371,725
3.3225/US SOFR/Jul-38 (Written) Jul-28/3.3225 11,891,400 803,859 (614,310)
(3.1525)/US SOFR/Mar-40 (Written) Mar-30/3.1525 7,832,800 620,749 292,320
3.1525/US SOFR/Mar-40 (Written) Mar-30/3.1525 7,832,800 620,749 (400,726)
(2.317)/US SOFR/Apr-42 (Written) Apr-32/2.317 4,718,700 399,674 215,881
2.317/US SOFR/Apr-42 (Written) Apr-32/2.317 4,718,700 399,674 (376,458)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 3,636,400 214,911 170,511
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 3,636,400 214,911 (515,860)
(3.0925)/US SOFR/Mar-43 (Written) Mar-33/3.0925 2,852,600 239,618 93,936
3.0925/US SOFR/Mar-43 (Written) Mar-33/3.0925 2,852,600 239,618 (129,026)
(3.187)/US SOFR/Jan-36 (Purchased) Jan-26/3.187 444,300 (263,203) 22,095
3.187/US SOFR/Jan-36 (Purchased) Jan-26/3.187 444,300 (263,203) (19,394)
(4.178)/6 month AUD-BBR-BBSW/Apr-40 (Purchased) Apr-33/4.178 AUD 14,070,900 (504,308) 324,902
4.178/6 month AUD-BBR-BBSW/Apr-40 (Purchased) Apr-33/4.178 AUD 14,070,900 (504,308) (173,608)
(4.344)/6 month AUD-BBR-BBSW/Mar-33 (Purchased) Mar-28/4.344 AUD 9,795,400 (244,469) 168,951
4.344/6 month AUD-BBR-BBSW/Mar-33 (Purchased) Mar-28/4.344 AUD 9,795,400 (244,469) (109,175)
(4.12)/6 month AUD-BBR-BBSW/Jan-43 (Purchased) Jan-33/4.12 AUD 6,533,800 (340,868) 183,196
4.12/6 month AUD-BBR-BBSW/Jan-43 (Purchased) Jan-33/4.12 AUD 6,533,800 (340,868) (120,280)
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) 827,357
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 5,302,300 (329,739) (240,424)
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) 529,762
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 4,317,900 (161,857) (119,861)
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) 453,916
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 3,098,200 (96,660) (85,492)
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) 487,693
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 2,068,300 (122,324) (104,385)
Mizuho Capital Markets LLC
(4.0475)/US SOFR/Aug-36 (Purchased) Aug-26/4.0475 $10,654,600 (554,039) 260,398
3.5475/US SOFR/Aug-36 (Purchased) Aug-26/3.5475 10,654,600 (533,263) (213,305)
Morgan Stanley & Co. International PLC
(2.3825)/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 953,100 (120,805) 162,904
2.3825/US SOFR/Jul-56 (Purchased) Jul-26/2.3825 953,100 (120,805) (93,070)
Toronto-Dominion Bank
(2.118)/US SOFR/Mar-41 (Purchased) Mar-31/2.118 1,584,500 (210,086) 93,216
2.118/US SOFR/Mar-41 (Purchased) Mar-31/2.118 1,584,500 (52,764) (21,660)
UBS AG
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) 285,240
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 4,626,600 (246,251) (91,833)
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) 90,254
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) Apr-37/2.70 AUD 2,202,100 (133,708) (43,066)
(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) 812,156
0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) Feb-31/0.44 EUR 4,644,000 (364,332) (221,859)
(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 3,146,000 (436,172) 488,865
1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) Apr-29/1.325 EUR 3,146,000 (436,172) (290,470)
(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) 399,985
0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) Jan-31/0.296 EUR 1,548,000 (234,237) (146,432)

Unrealized appreciation 30,603,766

Unrealized (depreciation) (25,086,368)

Total $5,517,398









TBA SALE COMMITMENTS OUTSTANDING at 10/31/23 (proceeds receivable $69,862,188) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 11/1/53 $1,000,000 11/20/2023 $852,138
Uniform Mortgage-Backed Securities, 6.50%, 11/1/53 22,000,000 11/13/2023 21,860,783
Uniform Mortgage-Backed Securities, 6.00%, 11/1/53 8,000,000 11/13/2023 7,783,750
Uniform Mortgage-Backed Securities, 5.50%, 11/1/53 10,000,000 11/13/2023 9,489,453
Uniform Mortgage-Backed Securities, 5.00%, 11/1/53 15,000,000 11/13/2023 13,827,539
Uniform Mortgage-Backed Securities, 4.50%, 11/1/53 5,000,000 11/13/2023 4,467,188
Uniform Mortgage-Backed Securities, 4.00%, 11/1/53 5,000,000 11/13/2023 4,319,922
Uniform Mortgage-Backed Securities, 3.50%, 11/1/53 2,000,000 11/13/2023 1,664,609
Uniform Mortgage-Backed Securities, 3.00%, 11/1/53 3,000,000 11/13/2023 2,397,305
Uniform Mortgage-Backed Securities, 2.50%, 11/1/53 4,000,000 11/13/2023 3,065,156

Total $69,727,843











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/23 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date
Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$3,017,000 $115,943 $(24) 1/6/28 3.5615% — Annually US SOFR — Annually $152,488
1,931,000 191,246 (25) 3/15/33 3.234% — Annually US SOFR — Annually 214,979
1,244,000 117,521 (16) 3/24/33 US SOFR — Annually 3.2975% — Annually (131,899)
2,330,000 265,573 (31) 4/6/33 3.45% — Annually US SOFR — Annually 294,633
2,237,000 215,289 (30) 4/20/33 US SOFR — Annually 3.283% — Annually (238,688)
1,861,000 183,941 (25) 5/3/33 3.253% — Annually US SOFR — Annually 202,599
2,033,000 107,708 (16) 5/17/28 US SOFR — Annually 3.261% — Annually (126,629)
2,362,000 149,113 (27) 5/23/30 US SOFR — Annually 3.4095% — Annually (168,774)
31,224,000 242,298 (9,587) 6/23/25 US SOFR — Annually 4.625% — Annually (326,203)
52,833,000 1,772,019 28,013 6/23/28 3.753% — Annually US SOFR — Annually 2,093,426
29,628,000 2,456,457 (49,972) 6/23/33 US SOFR — Annually 3.475% — Annually (2,697,616)
7,090,000 1,373,900 (31,895) 6/23/53 US SOFR — Annually 3.17% — Annually (1,460,209)
3,116,000 185,122 (41) 8/4/33 US SOFR — Annually 3.7865% — Annually (197,131)
1,979,000 82,129 (26) 8/21/33 US SOFR — Annually 4.018% — Annually (87,364)
4,851,000 107,159 (46) 9/5/28 4.041% — Annually US SOFR — Annually 117,014
14,742,000 1,622 (E) (26,884) 12/20/25 US SOFR — Annually 4.86% — Annually (28,506)
3,170,000 148,673 (E) (42,971) 12/20/33 3.94% — Annually US SOFR — Annually 105,703
248,440,000 1,808,643 (E) (2,115,845) 12/20/28 US SOFR — Annually 4.35% — Annually (3,924,488)
45,390,000 1,733,444 (E) (271,830) 12/20/33 US SOFR — Annually 4.05% — Annually (2,005,274)
118,433,500 145,673 (E) (88,704) 12/20/25 4.80% — Annually US SOFR — Annually 56,969
153,304,000 778,784 (E) 642,666 12/20/28 4.40% — Annually US SOFR — Annually 1,421,451
109,536,500 4,616,963 (E) (2,223,843) 12/20/33 4.00% — Annually US SOFR — Annually 2,393,120
1,069,000 128,515 (E) (63,268) 12/20/53 3.60% — Annually US SOFR — Annually 65,248
1,688,000 106,783 (57) 9/27/53 US SOFR — Annually 3.965% — Annually (109,070)
4,015,000 259,289 (137) 9/28/53 3.957% — Annually US SOFR — Annually 264,336
74,440,000 30,520 (279) 9/29/25 5.0185% — Annually US SOFR — Annually (9,998)
40,390,000 274,652 (325) 9/29/28 US SOFR — Annually 4.3955% — Annually (309,330)
4,206,000 59,893 (56) 10/2/33 4.367% — Annually US SOFR — Annually 63,186
4,215,960 40,389 (59) 10/24/33 4.426% — Annually US SOFR — Annually 39,287
3,242,000 90,549 (110) 10/5/53 4.18% — Annually US SOFR — Annually 93,210
2,450,000 65,391 (83) 10/6/53 4.1875% — Annually US SOFR — Annually 67,313
3,652,000 438 (14) 10/6/25 US SOFR — Annually 4.993% — Annually (435)
3,664,000 31,254 (48) 10/6/33 US SOFR — Annually 4.439% — Annually (33,631)
1,320,000 145 (5) 10/11/25 4.9835% — Annually US SOFR — Annually 105
7,547,000 32,980 (100) 10/11/33 US SOFR — Annually 4.4915% — Annually (36,704)
2,371,000 117,578 (81) 10/13/53 US SOFR — Annually 4.0475% — Annually (119,241)
21,937,000 170,450 (177) 10/13/28 4.3725% — Annually US SOFR — Annually 181,157
27,165,000 546,831 (359) 10/13/33 US SOFR — Annually 4.293% — Annually (561,806)
7,193,000 345,480 (245) 10/13/53 4.057% — Annually US SOFR — Annually 350,001
4,703,000 117,904 (62) 10/16/33 US SOFR — Annually 4.231% — Annually (120,223)
7,470,000 129,679 (99) 10/17/33 4.328% — Annually US SOFR — Annually 132,637
10,876,212 162,273 (144) 10/23/33 US SOFR — Annually 4.359% — Annually (160,174)
3,087,000 26,147 (41) 10/19/33 4.44% — Annually US SOFR — Annually 27,074
2,232,000 6,294 (29) 10/19/33 4.511% — Annually US SOFR — Annually 6,907
21,234,000 43,317 (80) 10/20/25 US SOFR — Annually 5.079% — Annually 41,616
4,716,000 61,685 (160) 10/20/53 4.2695% — Annually US SOFR — Annually 63,158
1,977,000 22,439 (67) 10/20/53 US SOFR — Annually 4.28% — Annually (23,184)
2,003,000 10,656 (68) 10/23/53 4.3165% — Annually US SOFR — Annually 11,082
11,451,000 16,375 (43) 10/23/25 US SOFR — Annually 5.0425% — Annually 15,587
8,743,000 66,797 (115) 10/23/33 US SOFR — Annually 4.6425% — Annually 65,238
11,231,200 19,542 (E) (158) 10/23/34 4.475% — Annually US SOFR — Annually (19,701)
15,235,000 7,160 (57) 10/25/25 4.936% — Annually US SOFR — Annually 8,188
3,318,000 11,713 (44) 10/25/33 US SOFR — Annually 4.502% — Annually (12,272)
5,428,000 32,514 (72) 10/30/33 4.6215% — Annually US SOFR — Annually (32,381)
3,661,000 22,552 (48) 11/2/33 US SOFR — Annually 4.4685% — Annually (22,600)
AUD 177,000 30,789 (E) (2) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 30,788
AUD 596,700 109,758 (E) (6) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 109,753
AUD 221,500 41,405 (E) (2) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 41,403
AUD 345,400 53,678 (E) (4) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 53,674
AUD 1,289,300 213,079 (E) (15) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 213,064
AUD 82,700 24,185 (E) (2) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 24,183
AUD 4,100,000 523,444 (45) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (520,246)
AUD 3,287,400 741,075 571,992 11/24/42 6 month AUD-BBR-BBSW — Semiannually 2.50% — Semiannually (178,534)
AUD 13,670,000 81,339 (E) 15,156 12/20/25 3 month AUD-BBR-BBSW — Quarterly 4.17% — Quarterly (66,184)
AUD 4,218,000 173,171 (E) (5,810) 12/20/33 6 month AUD-BBR-BBSW — Semiannually 4.46% — Semiannually (178,980)
AUD 3,039,308 102,550 (E) (66) 5/12/52 4.59% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 102,484
CAD 12,331,000 37,258 (E) 1,228 12/20/25 Canadian Overnight Repo Rate Average — Semiannually 4.83% — Semiannually 38,486
CAD 6,213,000 118,951 (E) (26,443) 12/20/33 3.83% — Semiannually Canadian Overnight Repo Rate Average — Semiannually 92,508
CHF 3,459,000 57,951 (E) (16,720) 12/20/33 Swiss Average Rate Overnight — Annually 1.78% — Annually 41,231
EUR 1,144,400 295,203 (E) (44) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR — Semiannually 295,159
EUR 1,556,300 533,949 (60) 2/19/50 6 month EUR-EURIBOR — Semiannually 1.354% — Annually (531,274)
EUR 1,719,000 617,544 (66) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR — Semiannually 612,678
EUR 1,739,200 642,835 (66) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR — Semiannually 638,394
EUR 2,008,000 780,304 (77) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR — Semiannually 774,465
EUR 1,798,800 507,803 (E) (68) 11/29/58 6 month EUR-EURIBOR — Semiannually 1.343% — Annually (507,871)
EUR 2,077,000 828,985 (79) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR — Semiannually 829,999
EUR 1,655,300 665,507 (E) (63) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR — Semiannually 665,444
EUR 1,510,500 644,083 (58) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR — Semiannually 646,500
EUR 904,900 403,164 (35) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR — Semiannually 405,340
EUR 3,288,600 1,673,790 (E) (125) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR — Semiannually 1,673,665
EUR 2,023,200 1,152,450 (E) (76) 6/6/54 6 month EUR-EURIBOR — Semiannually 0.207% — Annually (1,152,527)
EUR 2,735,100 1,505,406 (102) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR — Semiannually 1,523,608
EUR 11,076,900 5,355,199 (418) 2/19/50 6 month EUR-EURIBOR — Semiannually 0.595% — Annually (5,399,525)
EUR 1,285,600 761,275 (E) (48) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR — Semiannually 761,227
EUR 585,600 388,442 (E) (23) 3/13/54 0.2275% plus 6 month EUR-EURIBOR — Semiannually 388,419
EUR 3,783,300 894,855 (E) (80) 5/13/40 6 month EUR-EURIBOR — Semiannually 0.276% — Annually (894,935)
EUR 1,853,200 431,196 (E) (40) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 431,155
EUR 2,522,800 596,338 (E) (58) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR — Semiannually 596,280
EUR 863,600 202,593 (E) (20) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR — Semiannually 202,573
EUR 2,373,100 1,206,299 (97) 5/21/51 6 month EUR-EURIBOR — Semiannually 0.516% — Annually (1,243,175)
EUR 2,436,000 536,874 (42) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR — Semiannually 573,669
EUR 2,079,900 478,419 (36) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR — Semiannually 504,291
EUR 694,000 378,829 (28) 9/14/52 6 month EUR-EURIBOR — Semiannually 0.374% — Annually (382,388)
EUR 6,666,000 1,380,471 (107) 3/7/32 6 month EUR-EURIBOR — Semiannually 0.60% — Annually (1,395,153)
EUR 4,368,900 180,934 (E) (69) 2/2/36 2.875% — Annually 6 month EUR-EURIBOR — Semiannually 180,865
EUR 7,340,100 413,103 (109) 9/8/32 2.615% — Annually 6 month EUR-EURIBOR — Semiannually 429,006
EUR 27,208,300 905,129 (103) 6/28/25 1.718% — Annually 6 month EUR-EURIBOR — Semiannually 1,137,210
EUR 2,398,000 713,546 (83) 8/29/52 6 month EUR-EURIBOR — Semiannually 1.636% — Annually (724,273)
EUR 8,996,400 592,183 (E) (102) 9/12/29 1.71% — Annually 6 month EUR-EURIBOR — Semiannually 592,080
EUR 29,124,000 2,098,885 (279) 9/2/27 6 month EUR-EURIBOR — Semiannually 1.372% — Annually (2,229,031)
EUR 1,052,700 225,345 (E) (36) 6/6/54 2.005% — Annually 6 month EUR-EURIBOR — Semiannually 225,309
EUR 1,555,000 314,343 (E) (53) 6/7/54 2.065% — Annually 6 month EUR-EURIBOR — Semiannually 314,291
EUR 4,115,000 30,609 (E) (61) 2/18/36 6 month EUR-EURIBOR — Semiannually 3.285% — Annually (30,670)
EUR 1,052,700 32,302 (E)