|
|
|
|
|
|
|
|
MORTGAGE-BACKED
SECURITIES (35.0%)(a) |
| |
|
|
|
Principal
amount |
Value |
|
Agency
collateralized mortgage obligations (11.0%) |
|
Federal
Home Loan Mortgage Corporation |
|
|
|
|
|
|
REMICs
Ser. 4077, Class IK, IO, 5.00%, 7/15/42 |
|
|
|
$383,149 |
$72,777 |
|
REMICs
Ser. 5093, Class YI, IO, 4.50%, 12/25/50 |
|
|
|
1,620,637 |
349,382 |
|
REMICs
Ser. 5024, Class HI, IO, 4.50%, 10/25/50 |
|
|
|
3,930,058 |
893,929 |
|
REMICs
Ser. 4984, Class IL, IO, 4.50%, 6/25/50 |
|
|
|
2,150,741 |
452,453 |
|
REMICs
Ser. 4000, Class PI, IO, 4.50%, 1/15/42 |
|
|
|
125,886 |
17,999 |
|
REMICs
Ser. 5134, Class IC, IO, 4.00%, 8/25/51 |
|
|
|
3,152,365 |
641,381 |
|
REMICs
Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 |
|
|
|
1,860,210 |
377,456 |
|
REMICs
Ser. 4105, Class HI, IO, 3.50%, 7/15/41 |
|
|
|
159,017 |
10,181 |
|
Strips
Ser. 304, Class C37, IO, 3.50%, 12/15/27 |
|
|
|
43,526 |
1,118 |
|
REMICs
IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 1.567%, 9/25/50 |
|
|
|
3,360,228 |
452,120 |
|
REMICs
IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 1.417%, 7/25/50 |
|
|
|
3,005,529 |
301,089 |
|
REMICs
IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 1.388%, 8/15/56 |
|
|
|
2,083,250 |
255,684 |
|
REMICs
IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 1.367%, 1/25/50 |
|
|
|
2,122,962 |
222,129 |
|
Federal
National Mortgage Association |
|
|
|
|
|
|
REMICs
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 |
|
|
|
744,578 |
116,356 |
|
Interest
Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 |
|
|
|
29,196 |
4,928 |
|
REMICs
Ser. 15-30, IO, 5.50%, 5/25/45 |
|
|
|
917,332 |
135,624 |
|
Interest
Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 |
|
|
|
77,664 |
11,452 |
|
REMICs
Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 |
|
|
|
3,050,950 |
693,753 |
|
REMICs
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 |
|
|
|
112,908 |
23,423 |
|
REMICs
IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 1.717%, 4/25/40 |
|
|
|
230,634 |
23,784 |
|
REMICs
IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 1.567%, 3/25/48 |
|
|
|
1,259,934 |
101,332 |
|
REMICs
IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 1.517%, 6/25/48 |
|
|
|
2,203,613 |
231,994 |
|
REMICs
IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 1.467%, 5/25/47 |
|
|
|
2,724,304 |
233,328 |
|
REMICs
IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 1.367%, 8/25/49 |
|
|
|
1,198,123 |
108,082 |
|
REMICs
FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 1.317%, 11/25/49 |
|
|
|
2,477,758 |
273,976 |
|
REMICs
IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 1.217%, 10/25/41 |
|
|
|
551,004 |
46,390 |
|
Government
National Mortgage Association |
|
|
|
|
|
|
Ser.
24-4, Class IG, IO, 5.00%, 12/20/52 |
|
|
|
1,550,016 |
280,191 |
|
Ser.
16-42, IO, 5.00%, 2/20/46 |
|
|
|
725,028 |
144,090 |
|
Ser.
18-127, Class IC, IO, 5.00%, 10/20/44 |
|
|
|
1,296,997 |
264,465 |
|
Ser.
14-76, IO, 5.00%, 5/20/44 |
|
|
|
303,375 |
65,142 |
|
Ser.
12-146, IO, 5.00%, 12/20/42 |
|
|
|
197,510 |
43,092 |
|
Ser.
17-26, Class MI, IO, 5.00%, 11/20/39 |
|
|
|
950,483 |
158,195 |
|
Ser.
15-79, Class GI, IO, 5.00%, 10/20/39 |
|
|
|
161,216 |
36,634 |
|
Ser.
18-94, Class AI, IO, 4.50%, 7/20/48 |
|
|
|
872,226 |
176,834 |
|
Ser.
21-122, Class GI, IO, 4.50%, 11/20/47 |
|
|
|
3,067,548 |
700,444 |
|
Ser.
13-34, Class IH, IO, 4.50%, 3/20/43 |
|
|
|
404,894 |
77,198 |
|
Ser.
17-42, Class IC, IO, 4.50%, 8/20/41 |
|
|
|
359,755 |
68,580 |
|
Ser.
21-214, Class AI, IO, 4.00%, 12/20/51 |
|
|
|
2,697,050 |
516,490 |
|
Ser.
20-13, Class AI, IO, 4.00%, 3/20/46 |
|
|
|
4,035,714 |
554,902 |
|
Ser.
15-53, Class MI, IO, 4.00%, 4/16/45 |
|
|
|
699,096 |
131,445 |
|
Ser.
15-64, Class YI, IO, 4.00%, 11/20/44 |
|
|
|
524,204 |
79,201 |
|
Ser.
17-93, Class TI, IO, 4.00%, 3/20/44 |
|
|
|
128,942 |
2,110 |
|
Ser.
16-H18, Class QI, IO, 3.655%, 6/20/66(WAC) |
|
|
|
1,039,716 |
54,338 |
|
Ser.
21-156, IO, 3.50%, 7/20/51 |
|
|
|
3,740,987 |
630,586 |
|
Ser.
20-167, Class PI, IO, 3.50%, 11/20/50 |
|
|
|
2,258,967 |
396,588 |
|
Ser.
12-140, Class IC, IO, 3.50%, 11/20/42 |
|
|
|
768,343 |
115,526 |
|
Ser.
12-128, Class IA, IO, 3.50%, 10/20/42 |
|
|
|
758,657 |
122,478 |
|
Ser.
12-113, Class ID, IO, 3.50%, 9/20/42 |
|
|
|
362,611 |
56,519 |
|
Ser.
15-52, Class KI, IO, 3.50%, 11/20/40 |
|
|
|
316,548 |
17,901 |
|
Ser.
21-59, Class IP, IO, 3.00%, 4/20/51 |
|
|
|
3,065,465 |
513,965 |
|
Ser.
20-175, Class NI, IO, 3.00%, 11/20/50 |
|
|
|
2,475,960 |
405,868 |
|
Ser.
16-H23, Class NI, IO, 2.51%, 10/20/66(WAC) |
|
|
|
4,109,351 |
171,031 |
|
Ser.
15-H20, Class CI, IO, 2.478%, 8/20/65(WAC) |
|
|
|
1,800,468 |
89,897 |
|
Ser.
16-H22, Class AI, IO, 2.429%, 10/20/66(WAC) |
|
|
|
1,505,914 |
60,083 |
|
Ser.
18-H15, Class KI, IO, 2.194%, 8/20/68(WAC) |
|
|
|
1,676,809 |
65,525 |
|
Ser.
17-H19, Class MI, IO, 2.096%, 4/20/67(WAC) |
|
|
|
853,200 |
37,159 |
|
Ser.
16-H03, Class DI, IO, 2.011%, 12/20/65(WAC) |
|
|
|
1,421,195 |
48,683 |
|
Ser.
17-H16, Class JI, IO, 1.988%, 8/20/67(WAC) |
|
|
|
4,437,396 |
194,930 |
|
Ser.
16-H06, Class DI, IO, 1.887%, 7/20/65(WAC) |
|
|
|
1,706,267 |
48,100 |
|
Ser.
15-H25, Class EI, IO, 1.861%, 10/20/65(WAC) |
|
|
|
1,081,299 |
33,064 |
|
IFB
Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.845%, 2/20/53 |
|
|
|
6,037,957 |
388,423 |
|
IFB
Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.815%, 6/20/51 |
|
|
|
4,591,213 |
592,581 |
|
IFB
Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.815%, 5/20/51 |
|
|
|
2,747,226 |
330,646 |
|
IFB
Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.815%, 4/20/51 |
|
|
|
5,584,252 |
662,530 |
|
IFB
Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 1.815%, 4/20/51 |
|
|
|
1,841,400 |
221,609 |
|
Ser.
15-H10, Class BI, IO, 1.809%, 4/20/65(WAC) |
|
|
|
1,107,752 |
45,371 |
|
Ser.
15-H20, Class AI, IO, 1.796%, 8/20/65(WAC) |
|
|
|
1,643,054 |
39,875 |
|
Ser.
17-H11, Class DI, IO, 1.79%, 5/20/67(WAC) |
|
|
|
1,689,896 |
80,801 |
|
Ser.
15-H23, Class BI, IO, 1.75%, 9/20/65(WAC) |
|
|
|
1,603,756 |
33,146 |
|
Ser.
16-H09, Class BI, IO, 1.743%, 4/20/66(WAC) |
|
|
|
1,914,328 |
82,963 |
|
IFB
Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 1.695%, 4/20/44 |
|
|
|
1,463,773 |
151,246 |
|
FRB
Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 1.688%, 11/20/47 |
|
|
|
2,765,197 |
269,480 |
|
IFB
Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 1.665%, 7/20/50 |
|
|
|
1,705,024 |
198,758 |
|
Ser.
17-H12, Class QI, IO, 1.662%, 5/20/67(WAC) |
|
|
|
1,518,038 |
52,743 |
|
Ser.
16-H24, Class CI, IO, 1.662%, 10/20/66(WAC) |
|
|
|
1,062,105 |
21,789 |
|
IFB
Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.615%, 5/20/50 |
|
|
|
1,862,908 |
206,813 |
|
IFB
Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.615%, 4/20/50 |
|
|
|
2,410,038 |
282,732 |
|
IFB
Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.615%, 8/20/49 |
|
|
|
1,826,752 |
203,618 |
|
IFB
Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.615%, 7/20/49 |
|
|
|
1,649,379 |
176,563 |
|
IFB
Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 1.615%, 7/20/49 |
|
|
|
2,074,614 |
197,007 |
|
IFB
Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 1.565%, 12/20/49 |
|
|
|
1,101,064 |
114,616 |
|
IFB
Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 1.565%, 9/20/49 |
|
|
|
1,780,710 |
186,441 |
|
Ser.
14-H21, Class BI, IO, 1.558%, 10/20/64(WAC) |
|
|
|
2,110,773 |
47,457 |
|
Ser.
17-H16, Class IG, IO, 1.556%, 7/20/67(WAC) |
|
|
|
3,570,402 |
90,106 |
|
Ser.
13-H08, Class CI, IO, 1.556%, 2/20/63(WAC) |
|
|
|
623,918 |
19,833 |
|
IFB
Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 1.515%, 8/20/43 |
|
|
|
1,929,180 |
197,865 |
|
Ser.
17-H06, Class BI, IO, 1.462%, 2/20/67(WAC) |
|
|
|
1,813,364 |
57,895 |
|
Ser.
17-H08, Class NI, IO, 1.404%, 3/20/67(WAC) |
|
|
|
2,368,699 |
77,914 |
|
Ser.
18-H02, Class EI, IO, 1.352%, 1/20/68(WAC) |
|
|
|
3,108,213 |
150,739 |
|
Ser.
18-H05, Class BI, IO, 1.331%, 2/20/68(WAC) |
|
|
|
2,097,307 |
97,422 |
|
Ser.
17-H09, IO, 1.213%, 4/20/67(WAC) |
|
|
|
2,501,111 |
73,588 |
|
IFB
Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 1.115%, 8/20/44 |
|
|
|
666,297 |
48,893 |
|
Ser.
17-H02, Class BI, IO, 1.076%, 1/20/67(WAC) |
|
|
|
1,063,972 |
40,364 |
|
Ser.
16-H10, Class AI, IO, 1.007%, 4/20/66(WAC) |
|
|
|
3,748,005 |
87,111 |
|
Ser.
16-H03, Class AI, IO, 1.003%, 1/20/66(WAC) |
|
|
|
1,468,579 |
54,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
17,996,489 |
|
Commercial
mortgage-backed securities (11.7%) |
|
BANK |
|
|
|
|
|
|
FRB
Ser. 20-BN30, Class XA, IO, 1.279%, 12/15/53(WAC) |
|
|
|
3,017,748 |
166,944 |
|
FRB
Ser. 24-BNK48, Class XA, IO, 1.148%, 10/15/57(WAC) |
|
|
|
4,530,132 |
386,462 |
|
BANK5 |
|
|
|
|
|
|
FRB
Ser. 24-5YR7, Class XA, 1.334%, 6/15/57(WAC) |
|
|
|
5,187,427 |
269,141 |
|
FRB
Ser. 24-5YR10, Class XA, 1.191%, 10/15/57(WAC) |
|
|
|
6,922,882 |
334,769 |
|
FRB
Ser. 24-5YR12, Class XA, IO, 0.498%, 12/15/57(WAC) |
|
|
|
5,938,000 |
133,487 |
|
BBCMS
Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 24-5C29, Class XA, IO, 1.60%, 9/15/57(WAC) |
|
|
|
7,484,643 |
485,419 |
|
FRB
Ser. 24-C26, Class XA, IO, 1.014%, 5/15/57(WAC) |
|
|
|
2,636,520 |
199,308 |
|
FRB
Ser. 22-C14, Class XA, IO, 0.702%, 2/15/55(WAC) |
|
|
|
4,847,578 |
174,104 |
|
BDS,
Ltd. 144A FRB Ser. 21-FL9, Class A, (CME Term SOFR 1 Month + 1.18%), 5.56%, 11/16/38 (Cayman Islands) |
|
|
|
158,015 |
158,623 |
|
Benchmark
Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 24-V10, Class XA, IO, 1.306%, 9/15/57(WAC) |
|
|
|
6,543,925 |
343,336 |
|
FRB
Ser. 24-V11, Class XA, IO, 0.56%, 11/15/57(WAC) |
|
|
|
9,895,000 |
247,202 |
|
BMO
Mortgage Trust FRB Ser. 24-5C6, Class XA, IO, 1.353%, 9/15/57(WAC) |
|
|
|
5,709,280 |
304,847 |
|
CD
Commercial Mortgage Trust Ser. 17-CD4, Class B, 3.947%, 5/10/50(WAC) |
|
|
|
439,000 |
405,927 |
|
CFCRE
Commercial Mortgage Trust Ser. 16-C7, Class A3, 3.839%, 12/10/54 |
|
|
|
405,000 |
394,041 |
|
CFCRE
Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.08%, 12/15/47(WAC) |
|
|
|
193,000 |
179,042 |
|
COMM
Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 14-CR16, Class C, 4.782%, 4/10/47(WAC) |
|
|
|
441,000 |
414,355 |
|
FRB
Ser. 14-CR20, Class C, 4.655%, 11/10/47(WAC) |
|
|
|
348,736 |
330,061 |
|
Ser.
13-CR12, Class AM, 4.30%, 10/10/46 |
|
|
|
158,080 |
146,600 |
|
Ser.
14-UBS5, Class AM, 4.193%, 9/10/47(WAC) |
|
|
|
252,949 |
248,192 |
|
Ser.
15-DC1, Class B, 4.035%, 2/10/48(WAC) |
|
|
|
447,000 |
422,333 |
|
Ser.
14-UBS3, Class AM, 4.012%, 6/10/47 |
|
|
|
329,903 |
315,449 |
|
Ser.
15-CR22, Class B, 3.926%, 3/10/48(WAC) |
|
|
|
175,000 |
170,012 |
|
FRB
Ser. 15-LC19, Class B, 3.829%, 2/10/48(WAC) |
|
|
|
253,000 |
245,783 |
|
Ser.
15-DC1, Class AM, 3.724%, 2/10/48 |
|
|
|
173,000 |
170,475 |
|
COMM
Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 14-CR17, Class D, 4.843%, 5/10/47(WAC) |
|
|
|
290,000 |
232,144 |
|
Ser.
12-LC4, Class E, 4.25%, 12/10/44 |
|
|
|
392,000 |
44,619 |
|
FRB
Ser. 13-CR7, Class D, 4.243%, 3/10/46(WAC) |
|
|
|
118,034 |
110,274 |
|
CSAIL
Commercial Mortgage Trust |
|
|
|
|
|
|
Ser.
15-C1, Class AS, 3.791%, 4/15/50(WAC) |
|
|
|
379,000 |
374,422 |
|
Ser.
16-C5, Class A5, 3.757%, 11/15/48 |
|
|
|
215,000 |
212,613 |
|
Federal
Home Loan Mortgage Corporation Multifamily Structured Credit Risk FRB Ser. 21-MN1, Class M2, 8.319%, 1/25/51 |
|
|
|
235,000 |
240,665 |
|
Federal
Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 8.569%, 11/25/51 |
|
|
|
797,000 |
815,778 |
|
Government
National Mortgage Association FRB Ser. 24-32, IO, 0.706%, 6/16/63(WAC) |
|
|
|
4,965,778 |
246,658 |
|
GS
Mortgage Securities Corp., II 144A |
|
|
|
|
|
|
FRB
Ser. 13-GC10, Class D, 4.537%, 2/10/46(WAC) |
|
|
|
456,000 |
445,325 |
|
Ser.
13-GC10, Class C, 4.285%, 2/10/46(WAC) |
|
|
|
222,577 |
219,712 |
|
GS
Mortgage Securities Trust FRB Ser. 19-GC42, Class XA, IO, 0.805%, 9/10/52(WAC) |
|
|
|
6,096,990 |
182,908 |
|
GS
Mortgage Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 14-GC24, Class D, 4.44%, 9/10/47(WAC) |
|
|
|
282,000 |
110,821 |
|
FRB
Ser. 13-GC13, Class AS, 3.872%, 7/10/46(WAC) |
|
|
|
309,924 |
298,612 |
|
JPMBB
Commercial Mortgage Securities Trust |
|
|
|
|
|
|
FRB
Ser. 14-C23, Class C, 4.549%, 9/15/47(WAC) |
|
|
|
201,000 |
190,428 |
|
Ser.
15-C31, Class A3, 3.801%, 8/15/48 |
|
|
|
205,591 |
203,745 |
|
Ser.
16-C1, Class A5, 3.576%, 3/17/49 |
|
|
|
132,000 |
130,100 |
|
JPMBB
Commercial Mortgage Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 14-C18, Class D, 4.536%, 2/15/47(WAC) |
|
|
|
232,000 |
191,869 |
|
FRB
Ser. 14-C23, Class D, 4.049%, 9/15/47(WAC) |
|
|
|
252,000 |
217,524 |
|
FRB
Ser. C14, Class D, 4.038%, 8/15/46(WAC) |
|
|
|
228,000 |
175,583 |
|
Ser.
13-C14, Class F, 3.598%, 8/15/46(WAC) |
|
|
|
1,500,000 |
124,788 |
|
JPMDB
Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class C, 4.757%, 6/15/51(WAC) |
|
|
|
190,000 |
163,550 |
|
JPMorgan
Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.373%, 4/15/46(WAC) |
|
|
|
194,000 |
61,110 |
|
JPMorgan
Chase Commercial Mortgage Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 12-C6, Class E, 4.964%, 5/15/45(WAC) |
|
|
|
163,000 |
152,691 |
|
FRB
Ser. 13-LC11, Class E, 3.25%, 4/15/46 (In default)(NON)(WAC) |
|
|
|
647,000 |
47,555 |
|
FRB
Ser. 07-CB20, Class E, zero %, 2/12/51(WAC) |
|
|
|
12,641 |
15,366 |
|
LB-UBS
Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39(WAC) |
|
|
|
462,989 |
1,039 |
|
LSTAR
Commercial Mortgage Trust 144A Ser. 17-5, Class A5, 3.549%, 3/10/50 |
|
|
|
400,000 |
384,755 |
|
Morgan
Stanley Bank of America Merrill Lynch Trust |
|
|
|
|
|
|
FRB
Ser. 15-C25, Class C, 4.516%, 10/15/48(WAC) |
|
|
|
253,000 |
236,526 |
|
FRB
Ser. 15-C22, Class C, 4.189%, 4/15/48(WAC) |
|
|
|
575,000 |
495,163 |
|
Ser.
14-C19, Class C, 4.00%, 12/15/47 |
|
|
|
211,000 |
201,908 |
|
Morgan
Stanley Bank of America Merrill Lynch Trust 144A |
|
|
|
|
|
|
FRB
Ser. 13-C12, Class D, 4.803%, 10/15/46(WAC) |
|
|
|
189,000 |
171,128 |
|
FRB
Ser. 13-C10, Class D, 3.981%, 7/15/46(WAC) |
|
|
|
350,000 |
240,393 |
|
FRB
Ser. 13-C10, Class F, 3.981%, 7/15/46(WAC) |
|
|
|
975,000 |
63,788 |
|
FRB
Ser. 13-C9, Class D, 3.807%, 5/15/46(WAC) |
|
|
|
196,000 |
171,318 |
|
Morgan
Stanley Capital I Trust FRB Ser. 18-H3, Class C, 4.849%, 7/15/51(WAC) |
|
|
|
199,000 |
184,752 |
|
Morgan
Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.164%, 3/15/45(WAC) |
|
|
|
134,554 |
126,032 |
|
Multifamily
Connecticut Avenue Securities Trust 144A |
|
|
|
|
|
|
FRB
Ser. 20-01, Class M10, 8.433%, 3/25/50 |
|
|
|
672,035 |
684,594 |
|
FRB
Ser. 19-01, Class M10, 7.933%, 10/25/49 |
|
|
|
537,967 |
544,559 |
|
Ready
Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.806%, 6/25/37 |
|
|
|
137,314 |
137,731 |
|
SG
Commercial Mortgage Securities Trust Ser. 16-C5, Class A4, 3.055%, 10/10/48 |
|
|
|
458,000 |
442,826 |
|
Shelter
Growth CRE Issuer, Ltd. 144A FRB Ser. 22-FL4, Class A, 6.662%, 6/17/37 (Bermuda) |
|
|
|
254,416 |
256,512 |
|
TIAA
Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) |
|
|
|
558,952 |
42 |
|
UBS
Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.381%, 8/15/50(WAC) |
|
|
|
247,000 |
227,767 |
|
Wells
Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 16-NXS5, Class D, 4.974%, 1/15/59(WAC) |
|
|
|
216,000 |
177,964 |
|
FRB
Ser. 15-SG1, Class B, 4.445%, 9/15/48(WAC) |
|
|
|
273,000 |
258,599 |
|
FRB
Ser. 15-LC22, Class AS, 4.207%, 9/15/58(WAC) |
|
|
|
175,000 |
173,058 |
|
Ser.
15-NXS4, Class A4, 3.718%, 12/15/48 |
|
|
|
178,000 |
176,116 |
|
Ser.
15-C31, Class A4, 3.695%, 11/15/48 |
|
|
|
399,000 |
395,214 |
|
Ser.
15-NXS3, Class A4, 3.617%, 9/15/57 |
|
|
|
437,000 |
432,611 |
|
Ser.
20-C56, Class A2, 2.498%, 6/15/53 |
|
|
|
18,235 |
17,183 |
|
FRB
Ser. 19-C52, Class XA, IO, 1.559%, 8/15/52(WAC) |
|
|
|
3,251,242 |
179,022 |
|
FRB
Ser. 24-5C1, Class XA, 1.029%, 7/15/57(WAC) |
|
|
|
6,126,249 |
249,598 |
|
Wells
Fargo Commercial Mortgage Trust 144A |
|
|
|
|
|
|
FRB
Ser. 15-C30, Class D, 4.488%, 9/15/58(WAC) |
|
|
|
121,000 |
114,273 |
|
Ser.
14-LC16, Class D, 3.938%, 8/15/50 |
|
|
|
270,553 |
34,061 |
|
FRB
Ser. 13-LC12, Class D, 3.833%, 7/15/46(WAC) |
|
|
|
188,000 |
92,628 |
|
WF-RBS
Commercial Mortgage Trust |
|
|
|
|
|
|
FRB
Ser. 14-C23, Class B, 4.294%, 10/15/57(WAC) |
|
|
|
125,000 |
113,691 |
|
Ser.
14-C21, Class C, 4.234%, 8/15/47(WAC) |
|
|
|
177,000 |
163,327 |
|
WF-RBS
Commercial Mortgage Trust 144A FRB Ser. 13-C15, Class D, 4.186%, 8/15/46(WAC) |
|
|
|
599,000 |
247,088 |
|
|
|
|
|
|
|
|
|
|
|
|
|
19,250,038 |
|
Residential
mortgage-backed securities (non-agency) (12.3%) |
|
A&D
Mortgage Trust 144A Ser. 24-NQM1, Class A1, 6.195%, 2/25/69 |
|
|
|
679,321 |
682,926 |
|
American
Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 4.643%, 5/25/47 |
|
|
|
349,779 |
197,290 |
|
Bear
Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 4.953%, 1/25/36 |
|
|
|
38,634 |
36,140 |
|
Chevy
Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 4.633%, 11/25/47 |
|
|
|
152,316 |
131,725 |
|
Citigroup
Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 4.803%, 3/25/37 |
|
|
|
649,739 |
545,743 |
|
COLT
Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65(WAC) |
|
|
|
1,000,000 |
960,803 |
|
Countrywide
Alternative Loan Trust |
|
|
|
|
|
|
FRB
Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 6.325%, 9/25/35 |
|
|
|
175,203 |
154,676 |
|
FRB
Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 5.785%, 8/25/46 |
|
|
|
68,044 |
60,126 |
|
FRB
Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 5.765%, 6/25/46 |
|
|
|
170,029 |
161,142 |
|
FRB
Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 5.153%, 9/25/35 |
|
|
|
215,590 |
192,275 |
|
FRB
Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 5.145%, 11/20/35 |
|
|
|
232,538 |
218,616 |
|
FRB
Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 4.833%, 8/25/46 |
|
|
|
197,457 |
171,951 |
|
FRB
Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 4.833%, 8/25/46 |
|
|
|
1,385,867 |
1,159,041 |
|
FRB
Ser. 06-OA7, Class 1A1, 3.297%, 6/25/46(WAC) |
|
|
|
209,911 |
198,479 |
|
Federal
Home Loan Mortgage Corporation |
|
|
|
|
|
|
Structured
Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.183%, 5/25/28 |
|
|
|
265,376 |
284,887 |
|
Structured
Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 14.683%, 7/25/28 |
|
|
|
1,271,904 |
1,382,986 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.033%, 4/25/28 |
|
|
|
567,393 |
601,901 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 13.883%, 10/25/27 |
|
|
|
393,789 |
403,208 |
|
Structured
Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (US 30 Day Average SOFR + 8.91%), 13.483%, 3/25/28 |
|
|
|
383,625 |
397,972 |
|
Federal
Home Loan Mortgage Corporation 144A |
|
|
|
|
|
|
Structured
Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 16.933%, 2/25/49 |
|
|
|
85,000 |
106,081 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.069%, 10/25/50 |
|
|
|
176,000 |
245,602 |
|
Structured
Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 15.933%, 4/25/49 |
|
|
|
106,000 |
128,677 |
|
Structured
Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 15.683%, 10/25/48 |
|
|
|
649,000 |
833,962 |
|
Structured
Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 15.433%, 1/25/49 |
|
|
|
141,000 |
176,554 |
|
Structured
Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.183%, 3/25/49 |
|
|
|
118,000 |
142,217 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 14.683%, 8/25/50 |
|
|
|
609,000 |
834,272 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 14.683%, 7/25/50 |
|
|
|
430,000 |
579,447 |
|
Structured
Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 12.433%, 9/25/48 |
|
|
|
174,000 |
205,501 |
|
Structured
Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class B2, (US 30 Day Average SOFR + 6.25%), 10.819%, 10/25/33 |
|
|
|
225,000 |
271,888 |
|
Seasoned
Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) |
|
|
|
307,000 |
292,345 |
|
Seasoned
Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) |
|
|
|
401,311 |
390,090 |
|
Seasoned
Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) |
|
|
|
636,000 |
589,062 |
|
Federal
National Mortgage Association |
|
|
|
|
|
|
Connecticut
Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 17.433%, 10/25/28 |
|
|
|
89,286 |
101,663 |
|
Connecticut
Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 16.933%, 9/25/28 |
|
|
|
1,107,401 |
1,245,765 |
|
Connecticut
Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 16.433%, 10/25/28 |
|
|
|
563,952 |
635,387 |
|
Connecticut
Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 16.433%, 8/25/28 |
|
|
|
363,883 |
402,409 |
|
Connecticut
Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 15.433%, 1/25/29 |
|
|
|
118,779 |
133,712 |
|
Connecticut
Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 13.933%, 4/25/29 |
|
|
|
19,741 |
22,196 |
|
Federal
National Mortgage Association 144A |
|
|
|
|
|
|
Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.069%, 1/25/42 |
|
|
|
180,000 |
190,279 |
|
Connecticut
Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 8.783%, 9/25/31 |
|
|
|
449,598 |
481,160 |
|
Connecticut
Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (US 30 Day Average SOFR + 3.76%), 8.333%, 2/25/40 |
|
|
|
504,000 |
529,877 |
|
Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.569%, 1/25/42 |
|
|
|
400,000 |
410,803 |
|
First
Horizon Alternative Mortgage Securities Trust FRB Ser. 06-AA6, Class 2A1, 5.679%, 11/25/36(WAC) |
|
|
|
414,140 |
286,798 |
|
GSAA
Home Equity Trust FRB Ser. 06-8, Class 2A2, (CME Term SOFR 1 Month + 0.47%), 4.813%, 5/25/36 |
|
|
|
475,455 |
102,420 |
|
GSR
Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 4.763%, 5/25/37 |
|
|
|
180,511 |
99,809 |
|
HarborView
Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.001%, 5/19/35 |
|
|
|
239,328 |
71,701 |
|
Home
Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.719%, 1/25/34 (Bermuda) |
|
|
|
150,000 |
152,723 |
|
JPMorgan
Mortgage Trust 144A FRB Ser. 24-9, Class A11, (US 30 Day Average SOFR + 1.35%), 5.919%, 2/25/55 |
|
|
|
153,683 |
154,209 |
|
Lehman
XS Trust FRB Ser. 06-17, Class 1A4A, (CME Term SOFR 1 Month + 0.45%), 4.793%, 8/25/46 |
|
|
|
1,192,133 |
1,025,646 |
|
LHOME
Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28 |
|
|
|
254,000 |
257,806 |
|
Morgan
Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 4.591%, 2/26/37 |
|
|
|
164,423 |
149,237 |
|
MortgageIT
Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 5.248%, 8/25/35 |
|
|
|
25,077 |
23,967 |
|
Residential
Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (CME Term SOFR 1 Month + 0.54%), 4.883%, 5/25/46 |
|
|
|
188,733 |
165,732 |
|
Saluda
Grade Alternative Mortgage Trust 144A Ser. 24-RTL4, Class A1, stepped-coupon 7.50% (8.50%, 7/1/26), 2/25/30(STP) |
|
|
|
420,000 |
423,865 |
|
Structured
Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, (CME Term SOFR 1 Month + 0.23%), 4.573%, 8/25/36 |
|
|
|
125,174 |
108,785 |
|
Towd
Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) |
|
|
|
216,000 |
192,972 |
|
WaMu
Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 5.433%, 10/25/45 |
|
|
|
71,228 |
68,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
20,174,841 |
|
|
|
|
|
|
|
|
Total mortgage-backed securities (cost $61,529,739) |
$57,421,368 |
|
|
|
|
|
|
|
|
CORPORATE
BONDS AND NOTES (25.9%)(a) |
| |
|
|
|
Principal
amount |
Value |
|
Basic
materials (2.1%) |
|
Arcosa,
Inc. 144A company guaranty sr. unsec. notes 6.875%, 8/15/32 |
|
|
|
$50,000 |
$50,863 |
|
ATI,
Inc. sr. unsec. notes 4.875%, 10/1/29 |
|
|
|
490,000 |
467,209 |
|
Avient
Corp. 144A sr. unsec. notes 6.25%, 11/1/31 |
|
|
|
45,000 |
44,437 |
|
Boise
Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 |
|
|
|
215,000 |
205,394 |
|
Builders
FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 |
|
|
|
240,000 |
238,855 |
|
Cleveland-Cliffs,
Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/1/33 |
|
|
|
100,000 |
98,339 |
|
Cleveland-Cliffs,
Inc. 144A company guaranty sr. unsec. notes 7.00%, 3/15/32 |
|
|
|
100,000 |
98,336 |
|
Commercial
Metals Co. sr. unsec. notes 4.375%, 3/15/32 |
|
|
|
267,000 |
239,373 |
|
Constellium
SE company guaranty sr. unsec. unsub. notes Ser. REGS, 3.125%, 7/15/29 (France) |
|
|
EUR |
300,000 |
295,893 |
|
Constellium
SE 144A company guaranty sr. unsec. unsub. notes 6.375%, 8/15/32 (France) |
|
|
|
$250,000 |
242,260 |
|
Huntsman
International, LLC sr. unsec. notes 4.50%, 5/1/29 |
|
|
|
220,000 |
209,999 |
|
IHS
Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |
|
|
|
200,000 |
189,537 |
|
Intelligent
Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. LLC Co-Issuer 144A sr. notes 6.00%, 9/15/28 (Canada) |
|
|
|
210,000 |
207,223 |
|
Miter
Brands Acquisition Holdco, Inc./MIWD Borrower, LLC 144A company guaranty sr. notes 6.75%, 4/1/32 |
|
|
|
205,000 |
206,089 |
|
Smyrna
Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 |
|
|
|
440,000 |
462,752 |
|
Standard
Industies Solutions, Inc./NY 144A sr. unsec. notes 6.50%, 8/15/32 |
|
|
|
130,000 |
130,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,386,879 |
|
Capital
goods (1.4%) |
|
Benteler
International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) |
|
|
|
435,000 |
457,733 |
|
Boeing
Co. (The) sr. unsec. notes 2.95%, 2/1/30 |
|
|
|
14,000 |
12,511 |
|
Boeing
Co. (The) sr. unsec. notes 2.70%, 2/1/27 |
|
|
|
137,000 |
130,684 |
|
Boeing
Co. (The) sr. unsec. unsub. notes 6.298%, 5/1/29 |
|
|
|
41,000 |
42,520 |
|
Bombardier,
Inc. 144A sr. unsec. notes 7.00%, 6/1/32 (Canada) |
|
|
|
465,000 |
473,608 |
|
GFL
Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) |
|
|
|
213,000 |
204,736 |
|
Pactiv
Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27 |
|
|
|
260,000 |
258,061 |
|
Ritchie
Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 |
|
|
|
276,000 |
288,970 |
|
Spirit
AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 |
|
|
|
93,000 |
99,672 |
|
Terex
Corp. 144A sr. unsec. notes 6.25%, 10/15/32 |
|
|
|
60,000 |
58,886 |
|
TransDigm,
Inc. 144A sr. notes 6.875%, 12/15/30 |
|
|
|
190,000 |
192,961 |
|
TransDigm,
Inc. 144A sr. notes 6.625%, 3/1/32 |
|
|
|
65,000 |
65,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,286,010 |
|
Communication
services (1.5%) |
|
American
Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) |
|
|
|
410,000 |
393,900 |
|
AT&T,
Inc. sr. unsec. notes 4.10%, 2/15/28 |
|
|
|
410,000 |
401,257 |
|
CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 |
|
|
|
284,000 |
249,579 |
|
T-Mobile
USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29 |
|
|
|
825,000 |
770,624 |
|
T-Mobile
USA, Inc. company guaranty sr. unsec. notes 2.05%, 2/15/28 |
|
|
|
230,000 |
211,283 |
|
Vmed
O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom) |
|
|
EUR |
275,000 |
268,050 |
|
Zegona
Finance PLC 144A sr. notes 8.625%, 7/15/29 (United Kingdom) |
|
|
|
$200,000 |
212,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,507,446 |
|
Consumer
cyclicals (5.2%) |
|
Allied
Universal Holdco, LLC/Allied Universal Finance Corp. 144A sr. notes 7.875%, 2/15/31 |
|
|
|
205,000 |
209,783 |
|
Banijay
Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France) |
|
|
|
360,000 |
374,462 |
|
Bath
& Body Works, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35 |
|
|
|
480,000 |
491,810 |
|
Boyd
Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 |
|
|
|
225,000 |
208,314 |
|
Caesars
Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 |
|
|
|
232,000 |
236,473 |
|
Carnival
Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) |
|
|
|
92,000 |
98,083 |
|
Cinemark
USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 |
|
|
|
270,000 |
263,551 |
|
Clear
Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 7.875%, 4/1/30 |
|
|
|
200,000 |
206,078 |
|
Crocs,
Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31 |
|
|
|
290,000 |
253,791 |
|
Dufry
One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands) |
|
|
EUR |
255,000 |
263,069 |
|
FirstCash,
Inc. 144A sr. unsec. notes 6.875%, 3/1/32 (Mexico) |
|
|
|
$397,000 |
399,116 |
|
Hyundai
Capital America 144A sr. unsec. notes 4.55%, 9/26/29 (South Korea) |
|
|
|
425,000 |
412,753 |
|
Levi
Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 |
|
|
EUR |
305,000 |
315,595 |
|
Light
& Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 |
|
|
|
$450,000 |
459,768 |
|
Mattel,
Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |
|
|
|
265,000 |
249,733 |
|
McGraw-Hill
Education, Inc. 144A sr. notes 7.375%, 9/1/31 |
|
|
|
153,000 |
156,777 |
|
McGraw-Hill
Education, Inc. 144A sr. notes 5.75%, 8/1/28 |
|
|
|
117,000 |
114,366 |
|
News
Corp. 144A sr. unsec. notes 3.875%, 5/15/29 |
|
|
|
265,000 |
246,049 |
|
Outfront
Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. notes 7.375%, 2/15/31 |
|
|
|
76,000 |
79,505 |
|
Outfront
Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 |
|
|
|
255,000 |
248,354 |
|
Prime
Security Services Borrower, LLC/Prime Finance, Inc. 144A company gauranty notes 6.25%, 1/15/28 |
|
|
|
205,000 |
204,112 |
|
Royal
Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32 |
|
|
|
25,000 |
25,319 |
|
Royal
Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.00%, 2/1/33 |
|
|
|
190,000 |
189,686 |
|
Royal
Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.625%, 9/30/31 |
|
|
|
80,000 |
78,745 |
|
RR
Donnelley & Sons Co. 144A sr. notes 9.50%, 8/1/29 |
|
|
|
200,000 |
203,315 |
|
Six
Flags Entertainment Corp. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 |
|
|
|
275,000 |
281,161 |
|
Standard
Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 |
|
|
EUR |
270,000 |
274,363 |
|
Station
Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 |
|
|
|
$285,000 |
255,543 |
|
Taylor
Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 |
|
|
|
477,000 |
457,429 |
|
Toll
Brothers Finance Corp. company guaranty sr. unsec. notes 3.80%, 11/1/29 |
|
|
|
220,000 |
207,312 |
|
Verisure
Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden) |
|
|
EUR |
595,000 |
618,381 |
|
Veritiv
Operating Co. 144A company guaranty sr. notes 10.50%, 11/30/30 |
|
|
|
$35,000 |
37,738 |
|
Viking
Ocean Cruises Ship VII, Ltd. 144A sr. notes 5.625%, 2/15/29 (Bermuda) |
|
|
|
350,000 |
344,721 |
|
Volkswagen
Group of America Finance, LLC 144A company guaranty sr. unsec. notes 1.625%, 11/24/27 |
|
|
|
230,000 |
207,797 |
|
Wynn
Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 |
|
|
|
70,000 |
72,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
8,746,000 |
|
Consumer
staples (1.4%) |
|
Aramark
Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 |
|
|
|
208,000 |
202,314 |
|
Ashtead
Capital, Inc. 144A notes 4.00%, 5/1/28 |
|
|
|
220,000 |
211,474 |
|
Avis
Budget Finance PLC company guaranty sr. unsec. notes Ser. REGS, 7.25%, 7/31/30 |
|
|
EUR |
185,000 |
201,725 |
|
Avis
Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 |
|
|
EUR |
110,000 |
119,945 |
|
EquipmentShare.com,
Inc. 144A notes 9.00%, 5/15/28 |
|
|
|
$200,000 |
207,718 |
|
Haleon
US Capital, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/29 |
|
|
|
250,000 |
235,305 |
|
Herc
Holdings, Inc. 144A company guaranty sr. unsec. notes 6.625%, 6/15/29 |
|
|
|
65,000 |
65,879 |
|
JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/30 (Luxembourg) |
|
|
|
210,000 |
209,753 |
|
JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 (Luxembourg) |
|
|
|
110,000 |
100,426 |
|
Philip
Morris International, Inc. sr. unsec. unsub. notes 5.125%, 2/15/30 |
|
|
|
410,000 |
412,291 |
|
United
Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 7/15/30 |
|
|
|
88,000 |
80,260 |
|
VM
Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 |
|
|
|
256,000 |
249,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,296,434 |
|
Energy
(3.6%) |
|
6297782
LLC 144A company guaranty sr. unsec. notes 5.026%, 10/1/29 |
|
|
|
210,000 |
206,441 |
|
Aker
BP ASA 144A sr. unsec. notes 5.60%, 6/13/28 (Norway) |
|
|
|
205,000 |
207,897 |
|
Antero
Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 |
|
|
|
250,000 |
241,736 |
|
Chesapeake
Energy Corp. 144A company guaranty sr. unsec. notes 6.75%, 4/15/29 |
|
|
|
207,000 |
209,432 |
|
Civitas
Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 |
|
|
|
420,000 |
438,389 |
|
Ecopetrol
SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) |
|
|
|
530,000 |
540,477 |
|
Encino
Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 |
|
|
|
185,000 |
188,952 |
|
Expand
Energy Corp. company guaranty sr. unsec. notes 5.375%, 2/1/29 |
|
|
|
255,000 |
251,376 |
|
Hess
Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 |
|
|
|
85,000 |
82,585 |
|
Hess
Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 |
|
|
|
270,000 |
250,054 |
|
KazMunayGas
National Co. JSC sr. unsec. notes Ser. REGS, 5.375%, 4/24/30 (Kazakhstan) |
|
|
|
450,000 |
438,625 |
|
Kinetik
Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 |
|
|
|
455,000 |
448,197 |
|
Matador
Resources Co. 144A company guaranty sr. unsec. unsub. notes 6.875%, 4/15/28 |
|
|
|
333,000 |
338,055 |
|
Petrobras
Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) |
|
|
|
146,000 |
143,028 |
|
Petroleos
Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) |
|
|
|
686,000 |
579,862 |
|
Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |
|
|
|
114,000 |
99,261 |
|
Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) |
|
|
|
220,000 |
213,541 |
|
Rockcliff
Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 |
|
|
|
217,000 |
202,835 |
|
Targa
Resources Corp. company guaranty sr. unsec. unsub. notes 6.15%, 3/1/29 |
|
|
|
200,000 |
207,664 |
|
Transocean
Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 |
|
|
|
123,000 |
123,467 |
|
Venture
Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 |
|
|
|
450,000 |
469,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5,881,657 |
|
Financials
(5.0%) |
|
Acrisure,
LLC/Acrisure Finance, Inc. 144A sr. notes 7.50%, 11/6/30 |
|
|
|
200,000 |
206,153 |
|
AerCap
Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. sub. notes 4.625%, 9/10/29 (Ireland) |
|
|
|
305,000 |
298,477 |
|
AIB
Group PLC 144A sr. unsec. notes 6.608%, 9/13/29 (Ireland) |
|
|
|
200,000 |
209,108 |
|
Air
Lease Corp. sr. unsec. sub. notes 5.85%, 12/15/27 |
|
|
|
450,000 |
461,417 |
|
Aircastle,
Ltd. 144A sr. unsec. notes 5.25%, 8/11/25 |
|
|
|
205,000 |
205,123 |
|
Ares
Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 |
|
|
|
410,000 |
425,049 |
|
Athene
Global Funding 144A notes 5.583%, 1/9/29 |
|
|
|
205,000 |
207,433 |
|
Aviation
Capital Group, LLC 144A sr. unsec. notes 5.375%, 7/15/29 |
|
|
|
210,000 |
210,255 |
|
Bank
of America Corp. sr. unsec. notes 6.204%, 11/10/28 |
|
|
|
430,000 |
445,249 |
|
Bank
of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 |
|
|
|
215,000 |
211,112 |
|
CaixaBank
SA 144A sr. unsec. notes 6.208%, 1/18/29 (Spain) |
|
|
|
200,000 |
204,995 |
|
F&G
Annuities & Life, Inc. company guaranty sr. unsec. notes 7.40%, 1/13/28 |
|
|
|
200,000 |
208,335 |
|
Ford
Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27 |
|
|
|
210,000 |
212,033 |
|
GA
Global Funding Trust 144A notes 4.40%, 9/23/27 |
|
|
|
225,000 |
221,839 |
|
Jefferson
Capital Holdings, LLC 144A sr. unsec. notes 9.50%, 2/15/29 |
|
|
|
450,000 |
478,622 |
|
Jones
Deslauriers Insurance Management, Inc. 144A sr. notes 8.50%, 3/15/30 (Canada) |
|
|
|
190,000 |
200,793 |
|
JPMorgan
Chase & Co. sr. unsec. unsub. notes 6.07%, 10/22/27 |
|
|
|
820,000 |
839,418 |
|
Morgan
Stanley sr. unsec. notes 5.123%, 2/1/29 |
|
|
|
610,000 |
611,796 |
|
Nationstar
Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 |
|
|
|
500,000 |
478,436 |
|
New
York Life Global Funding 144A sr. notes 4.90%, 6/13/28 |
|
|
|
205,000 |
206,017 |
|
Protective
Life Global Funding 144A 5.467%, 12/8/28 |
|
|
|
265,000 |
269,654 |
|
RHP
Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 6.50%, 4/1/32 |
|
|
|
205,000 |
206,202 |
|
Toronto-Dominion
Bank (The) sr. unsec. notes 5.264%, 12/11/26 (Canada) |
|
|
|
145,000 |
146,576 |
|
UBS
Group AG 144A sr. unsec. notes 5.428%, 2/8/30 (Switzerland) |
|
|
|
200,000 |
201,346 |
|
VICI
Properties LP sr. unsec. unsub. notes 4.95%, 2/15/30 |
|
|
|
425,000 |
416,901 |
|
Wells
Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 5.574%, 7/25/29 |
|
|
|
410,000 |
416,380 |
|
XHR
LP 144A company guaranty sr. unsec. notes 6.625%, 5/15/30 |
|
|
|
35,000 |
35,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
8,233,878 |
|
Government
(0.2%) |
|
Transnet
SOC, Ltd. sr. unsec. notes Ser. REGS, 8.25%, 2/6/28 (South Africa) |
|
|
|
300,000 |
306,101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
306,101 |
|
Health
care (1.7%) |
|
Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 |
|
|
|
274,000 |
245,001 |
|
Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 |
|
|
|
55,000 |
50,487 |
|
Elanco
Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 |
|
|
|
235,000 |
238,841 |
|
GE
HealthCare Technologies, Inc. sr. unsec. notes 4.80%, 8/14/29 |
|
|
|
210,000 |
208,112 |
|
Illumina,
Inc. sr. unsec. sub. notes 4.65%, 9/9/26 |
|
|
|
117,000 |
116,637 |
|
Kedrion
SpA 144A company guaranty sr. notes 6.50%, 9/1/29 (Italy) |
|
|
|
510,000 |
481,269 |
|
Pharmacia,
LLC company guaranty sr. unsec. notes 6.60%, 12/1/28 |
|
|
|
430,000 |
457,245 |
|
Tenet
Healthcare Corp. company guaranty sr. notes 6.75%, 5/15/31 |
|
|
|
455,000 |
460,015 |
|
Teva
Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) |
|
|
|
449,000 |
502,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,759,997 |
|
Technology
(0.8%) |
|
Broadcom
Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 |
|
|
|
205,000 |
201,847 |
|
Gartner,
Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 |
|
|
|
450,000 |
418,389 |
|
Imola
Merger Corp. 144A sr. notes 4.75%, 5/15/29 |
|
|
|
273,000 |
259,110 |
|
Motorola
Solutions, Inc. sr. unsec. unsub. notes 5.00%, 4/15/29 |
|
|
|
210,000 |
209,754 |
|
Seagate
HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands) |
|
|
|
186,000 |
209,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,298,965 |
|
Transportation
(0.2%) |
|
Air
France-KLM sr. unsec. notes 8.125%, 5/31/28 (France) |
|
|
EUR |
200,000 |
233,601 |
|
OneSky
Flight, LLC 144A sr. unsec. notes 8.875%, 12/15/29 |
|
|
|
$125,000 |
125,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
358,832 |
|
Utilities
and power (2.8%) |
|
Aegea
Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil) |
|
|
|
240,000 |
245,092 |
|
Ameren
Corp. sr. unsec. unsub. notes 5.00%, 1/15/29 |
|
|
|
170,000 |
170,336 |
|
Constellation
Energy Generation, LLC sr. unsec. notes 5.60%, 3/1/28 |
|
|
|
205,000 |
209,147 |
|
Diamond
II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) |
|
|
|
560,000 |
567,140 |
|
Duke
Energy Carolinas, LLC company guaranty sr. unsec. unsub. notes Ser. A, 6.00%, 12/1/28 |
|
|
|
200,000 |
208,093 |
|
Energo-Pro
a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic) |
|
|
|
300,000 |
322,658 |
|
Energy
Transfer LP company guaranty sr. unsec. notes 5.25%, 4/15/29 |
|
|
|
410,000 |
411,767 |
|
Eversource
Energy sr. unsec. unsub. notes 5.45%, 3/1/28 |
|
|
|
205,000 |
207,728 |
|
Kinder
Morgan, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/1/29 |
|
|
|
250,000 |
249,256 |
|
NRG
Energy, Inc. 144A company guaranty sr. unsec. bonds 6.25%, 11/1/34 |
|
|
|
115,000 |
112,888 |
|
Pacific
Gas and Electric Co. sr. notes 6.10%, 1/15/29 |
|
|
|
200,000 |
207,113 |
|
PG&E
Corp. sr. sub. notes 5.25%, 7/1/30 |
|
|
|
475,000 |
465,249 |
|
Southern
Co. (The) sr. unsec. notes 5.50%, 3/15/29 |
|
|
|
260,000 |
265,368 |
|
Virginia
Electric and Power Co. sr. unsec. unsub. notes Ser. A, 2.875%, 7/15/29 |
|
|
|
455,000 |
419,500 |
|
Vistra
Operations Co., LLC 144A company guaranty sr. unsec. notes 6.875%, 4/15/32 |
|
|
|
210,000 |
215,222 |
|
Vistra
Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29 |
|
|
|
270,000 |
254,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4,531,011 |
|
|
|
|
|
|
|
|
Total corporate bonds and notes (cost $42,292,649) |
$42,593,210 |
|
|
|
|
|
|
|
|
Key
to holding's currency abbreviations |
| AUD |
Australian
Dollar |
| CAD |
Canadian
Dollar |
| CHF |
Swiss
Franc |
| EUR |
Euro |
| GBP |
British
Pound |
| NOK |
Norwegian
Krone |
| SEK |
Swedish
Krona |
|
Key
to holding's abbreviations |
| bp |
Basis
Points |
| CME |
Chicago
Mercantile Exchange |
| CMT |
U.S.
Constant Maturity Treasury |
| DAC |
Designated
Activity Company |
| ETF |
Exchange
Traded Fund |
| 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 |
| JSC |
Joint
Stock Company |
| MTN |
Medium
Term Notes |
| OTC |
Over-the-counter |
| REGS |
Securities
sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a
transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMICs |
Real
Estate Mortgage Investment Conduits |
| SOFR |
Secured
Overnight Financing Rate |
| TBA |
To
Be Announced Commitments |
|
Notes
to the fund's portfolio |
|
Unless
noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2024
through December 31, 2024 (the reporting period). Within the following notes to the portfolio, references to "Franklin Advisers"
represent Franklin Advisers, Inc., the fund's investment manager, a direct wholly-owned subsidiary of Franklin Resources, Inc., references
to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC",
if any, represent over-the-counter. |
|
Putnam
Master Intermediate Income Trust (the fund) is a Massachusetts business trust, which is registered under the 1940 Act as a closed-end
management investment company. |
|
The
fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic
946, Financial Services – Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S.
Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946. |
| (a) |
Percentages
indicated are based on net assets of $164,142,742. |
| (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. |
| (AFF) |
Affiliated
company. For investments in Putnam Government Money Market Fund and 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, or involving securities of companies in which the fund owned at least 5% of the outstanding
voting securities, were as follows: |
|
Name
of affiliate |
Fair
value
as of
9/30/24 |
Purchase
cost |
Sale
proceeds |
Investment
income |
Capital
gain distributions |
Realized
gain (loss) |
Change
in unrealized appreciation (depreciation) |
Shares
outstanding at period end |
Fair
value
as of
12/31/24 |
|
Short-term
investments |
|
|
|
|
|
|
|
|
|
|
Putnam
Government Money Market Fund Class P† |
$18,697,139 |
$7,809,955 |
$8,024,008 |
$170,420 |
$— |
$— |
$— |
18,483,086 |
$18,483,086 |
|
Putnam
Short Term Investment Fund Class P‡ |
14,161,617 |
2,200,244 |
4,565,916 |
160,326 |
— |
— |
— |
11,795,945 |
11,795,945 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Short-term investments |
32,858,756 |
10,010,199 |
12,589,924 |
330,746 |
— |
— |
— |
30,279,031 |
30,279,031 |
|
|
|
|
|
|
|
|
|
|
|
|
Investment
companies |
|
|
|
|
|
|
|
|
|
|
Franklin
Ultra Short Bond ETF ^ |
— |
1,700,155 |
— |
— |
— |
— |
(1,459) |
68,482 |
1,698,696 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investment companies |
— |
1,700,155 |
— |
— |
— |
— |
(1,459) |
68,482 |
1,698,696 |
|
|
|
|
|
|
|
|
|
|
|
|
Totals |
$32,858,756 |
$11,710,354 |
$12,589,924 |
$330,746 |
$— |
$— |
$(1,459) |
30,347,513 |
$31,977,727 |
|
†
Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with
respect to assets invested by the fund in Putnam Government Money Market Fund. There were no realized or unrealized gains or losses during
the period. |
|
‡
Management fees charged to Putnam Short Term Investment Fund have been waived by Franklin Advisers. There were no realized or unrealized
gains or losses during the period. |
|
^
Management fees paid by the fund are reduced by an amount equal to the management fees paid by Franklin Ultra Short Bond ETF with respect
to assets invested by the fund in Franklin Ultra Short Bond ETF. |
| (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 $395,492. |
| (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 $496,270. |
| (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 $238,546. |
| (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. |
| (i) |
This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| (P) |
This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted
in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| (R) |
Real
Estate Investment Trust. |
| (WAC) |
The
rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|
Unless
otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|
Debt
obligations are considered secured unless otherwise indicated. |
|
144A
after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended.
These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|
The
dates shown on debt obligations are the original maturity dates. |
|
Security
valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees (Trustees).
The Trustees have formed a Pricing Committee to oversee the implementation of these procedures. Under compliance policies and procedures
approved by the Trustees, the Trustees have designated the fund’s investment manager as the valuation designee and has responsibility
for oversight of valuation. The investment manager is assisted by the fund’s administrator in performing this responsibility, including
leading the cross-functional Valuation Committee (VC). The VC is responsible for making fair value determinations, evaluating the effectiveness
of the pricing policies of the fund and reporting to the Trustees. |
|
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 the average of the last reported bid and ask prices, the“mid 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 the fund’s investment manager. 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. Reliable prices are not readily available for equity securities in these circumstances,
where the value of a security has been affected by events after the close of the exchange or market on which the security is principally
traded, but before the fund calculates its net asset value. To address this, the fund will fair value these securities as determined
in accordance with procedures approved by the Trustees. This includes using an independent third-party pricing service to adjust the
value of such securities to the latest indications of fair value at 4:00 p.m. (Eastern Time). These 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. 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 the fund’s investment manager
does not believe accurately reflects the security's fair value, the security will be valued at fair value by the fund’s investment
manager, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, 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. |
|
At
the close of the reporting period, the fund has deposited cash valued at $1,909,519 in a segregated account to cover margin requirements
on open centrally cleared interest rate swap contracts. |
|
At
the close of the reporting period, the fund has deposited cash valued at $701,280 in a segregated account to cover margin requirements
on open centrally cleared credit default contracts. |
|
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, is presented in the fund's portfolio. |
|
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 $594,830 on open derivative contracts subject to the Master
Agreements. Collateral posted by the fund at period end for these agreements totaled $496,270 and may include amounts related to unsettled
agreements. |
