a_premierinctrst.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2018
Date of reporting period: October 31, 2017



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
10/31/17 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (51.8%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (6.3%)
Government National Mortgage Association Pass-Through Certificates
     4.50%, TBA, 11/1/47 $17,000,000 $18,018,672
     4.00%, TBA, 11/1/47 19,000,000 19,951,484
37,970,156
U.S. Government Agency Mortgage Obligations (45.5%)
Federal National Mortgage Association Pass-Through Certificates
     5.50%, TBA, 11/1/47 5,000,000 5,519,922
     4.50%, TBA, 11/1/47 1,000,000 1,069,141
     4.00%, TBA, 11/1/47 11,000,000 11,544,843
     3.50%, TBA, 12/1/47 101,000,000 103,639,413
     3.50%, TBA, 11/1/47 101,000,000 103,816,951
     3.00%, TBA, 11/1/47 47,000,000 47,029,375
272,619,645
Total U.S. government and agency mortgage obligations (cost $310,982,773) $310,589,801

U.S. TREASURY OBLIGATIONS (0.0%)(a)
Principal amount Value
U.S. Treasury Notes
     1.75%, 4/30/22(i) $123,000 $121,854
     1.25%, 3/31/21(i) 114,000 112,014
     1.125%, 9/30/21(i) 24,000 23,340
Total U.S. treasury obligations (cost $257,208) $257,208

MORTGAGE-BACKED SECURITIES (45.4%)(a)
Principal amount Value
Agency collateralized mortgage obligations (21.5%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK (-4.024 x 1 Month US LIBOR) + 25.79%, 20.808%, 4/15/37 $91,201 $137,846
     IFB Ser. 3072, Class SM (-3.667 x 1 Month US LIBOR) + 23.80%, 19.254%, 11/15/35 184,395 263,527
     IFB Ser. 3852, Class SC, IO (-1 x 1 Month US LIBOR) + 6.65%, 5.411%, 4/15/40 6,108,407 831,555
     Ser. 4077, Class IK, IO, 5.00%, 7/15/42 6,025,121 1,235,156
     IFB Ser. 4678, Class MS, IO (-1 x 1 Month US LIBOR) + 6.10%, 4.861%, 4/15/47 2,720,480 592,194
     Ser. 4122, Class TI, IO, 4.50%, 10/15/42 2,891,797 560,543
     Ser. 4000, Class PI, IO, 4.50%, 1/15/42 1,669,336 301,512
     Ser. 4024, Class PI, IO, 4.50%, 12/15/41 2,726,709 487,004
     Ser. 4546, Class TI, IO, 4.00%, 12/15/45 5,470,521 875,283
     Ser. 4425, IO, 4.00%, 1/15/45 7,128,963 1,191,036
     Ser. 4452, Class QI, IO, 4.00%, 11/15/44 5,646,684 1,239,204
     Ser. 4193, Class PI, IO, 4.00%, 3/15/43 4,615,605 710,217
     Ser. 4062, Class DI, IO, 4.00%, 9/15/39 6,200,573 527,002
     Ser. 4604, Class QI, IO, 3.50%, 7/15/46 14,118,212 2,271,056
     Ser. 4580, Class ID, IO, 3.50%, 8/15/45 9,203,040 1,380,456
     Ser. 4560, Class PI, IO, 3.50%, 5/15/45 3,411,651 536,926
     Ser. 4501, Class BI, IO, 3.50%, 10/15/43 6,482,166 892,011
     Ser. 4105, Class HI, IO, 3.50%, 7/15/41 2,574,120 268,880
     Ser. 304, Class C37, IO, 3.50%, 12/15/27 2,846,668 270,638
     Ser. 4165, Class TI, IO, 3.00%, 12/15/42 11,052,236 1,098,681
     Ser. 4183, Class MI, IO, 3.00%, 2/15/42 5,034,184 462,138
     Ser. 4210, Class PI, IO, 3.00%, 12/15/41 3,109,795 210,033
     Ser. 4510, Class HI, IO, 3.00%, 3/15/40 8,616,387 732,677
     FRB Ser. 57, Class 1AX, IO, 0.365%, 7/25/43(WAC) 2,989,391 32,169
     Ser. 3326, Class WF, zero %, 10/15/35(WAC) 2,204 1,647
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS (-6 x 1 Month US LIBOR) + 39.90%, 32.473%, 7/25/36 135,136 241,769
     IFB Ser. 07-53, Class SP (-3.667 x 1 Month US LIBOR) + 24.20%, 19.661%, 6/25/37 159,989 231,859
     IFB Ser. 08-24, Class SP (-3.667 x 1 Month US LIBOR) + 23.28%, 18.744%, 2/25/38 140,122 188,613
     IFB Ser. 05-75, Class GS (-3 x 1 Month US LIBOR) + 20.25%, 16.536%, 8/25/35 114,530 146,949
     IFB Ser. 05-83, Class QP (-2.6 x 1 Month US LIBOR) + 17.39%, 14.176%, 11/25/34 172,688 208,701
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 5,942,280 1,412,474
     Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 6,427,015 1,411,308
     Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 5,516,190 467,663
     Ser. 374, Class 6, IO, 5.50%, 8/25/36 263,535 50,980
     IFB Ser. 12-36, Class SN, IO (-1 x 1 Month US LIBOR) + 6.45%, 5.212%, 4/25/42 3,195,216 562,662
     IFB Ser. 10-35, Class SG, IO (-1 x 1 Month US LIBOR) + 6.40%, 5.162%, 4/25/40 2,198,917 423,291
     Ser. 378, Class 19, IO, 5.00%, 6/25/35 815,413 152,055
     IFB Ser. 13-18, Class SB, IO (-1 x 1 Month US LIBOR) + 6.15%, 4.912%, 10/25/41 2,404,544 264,021
     IFB Ser. 13-107, Class SB (-1 x 1 Month US LIBOR) + 5.95%, 4.712%, 2/25/43 5,324,281 1,064,856
     IFB Ser. 11-101, Class SA, IO (-1 x 1 Month US LIBOR) + 5.90%, 4.662%, 10/25/41 7,350,493 1,047,445
     Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 1,191,905 278,155
     Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 7,736,040 980,760
     Ser. 366, Class 22, IO, 4.50%, 10/25/35 107,150 3,872
     Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 4,911,958 792,053
     Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 4,171,559 700,238
     Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 4,693,791 752,326
     Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 3,411,868 521,231
     Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 2,588,656 384,051
     Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 2,587,182 428,241
     Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 6,257,576 955,094
     Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 4,391,937 309,100
     Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 4,243,668 330,764
     Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 3,844,325 379,850
     Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 4,011,865 251,063
     Ser. 99-51, Class N, PO, zero %, 9/17/29 18,089 16,506
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.713%, 11/25/40(WAC) 2,117,196 44,990
Government National Mortgage Association
     Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 2,766,768 579,610
     Ser. 16-42, IO, 5.00%, 2/20/46 7,459,937 1,488,630
     Ser. 16-168, Class AI, IO, 5.00%, 7/20/45 3,891,941 374,599
     Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 2,285,979 466,546
     Ser. 14-76, IO, 5.00%, 5/20/44 2,894,054 603,846
     Ser. 14-25, Class MI, IO, 5.00%, 11/20/43 1,825,896 333,153
     Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 6,740,452 650,521
     Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 4,486,546 970,184
     Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 4,049,301 787,694
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 2,260,373 488,792
     Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 2,050,520 436,699
     Ser. 12-146, IO, 5.00%, 12/20/42 2,011,328 422,137
     Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 1,488,618 277,374
     Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 837,743 48,124
     Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 249,625 19,538
     Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 601,910 42,351
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 690,852 150,072
     Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 2,095,102 440,055
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 9,479,185 2,062,244
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 4,868,205 1,028,214
     Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 1,796,107 381,420
     IFB Ser. 13-129, Class SN, IO (-1 x 1 Month US LIBOR) + 6.15%, 4.911%, 9/20/43 1,673,496 264,094
     IFB Ser. 14-20, Class SQ, IO (-1 x 1 Month US LIBOR) + 6.10%, 4.861%, 7/20/43 6,568,525 997,595
     Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 3,744,185 748,837
     Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 10,146,459 1,444,247
     Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 2,648,058 586,492
     Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 3,506,709 519,309
     Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 4,168,006 828,391
     Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 5,584,411 907,467
     Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 4,082,231 784,315
     Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 954,799 150,973
     Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 3,698,606 731,279
     Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 196,261 15,491
     Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 238,980 30,554
     Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 4,204,217 827,558
     Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 6,697,504 1,340,840
     Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 3,723,717 731,900
     Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 4,264,766 829,928
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 2,567,442 502,918
     Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 2,025,610 466,214
     Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 803,997 70,728
     Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 2,228,757 158,353
     Ser. 10-98, Class PI, IO, 4.50%, 10/20/37 65,113 224
     IFB Ser. 14-119, Class SA, IO (-1 x 1 Month US LIBOR) + 5.60%, 4.361%, 8/20/44 6,973,919 1,089,675
     Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 5,293,728 714,653
     Ser. 16-29, IO, 4.00%, 2/16/46 3,425,725 646,606
     Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 9,441,918 1,661,589
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 5,175,829 1,146,793
     Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 6,306,467 1,076,735
     Ser. 15-40, IO, 4.00%, 3/20/45 5,761,600 1,200,896
     Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 5,803,617 985,454
     Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 11,209,470 1,821,539
     Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,997,687 349,134
     Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 9,459,262 1,235,380
     Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 2,006,799 346,975
     Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,745,108 311,143
     Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 5,576,872 1,094,227
     Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 4,526,423 780,552
     Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 3,450,528 442,496
     Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 4,432,630 752,120
     Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 5,822,599 844,277
     Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 4,751,641 629,022
     Ser. 13-76, IO, 3.50%, 5/20/43 7,190,734 1,086,448
     Ser. 13-28, IO, 3.50%, 2/20/43 2,247,494 327,028
     Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 3,422,169 524,961
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 4,852,944 750,508
     Ser. 13-14, IO, 3.50%, 12/20/42 11,220,836 1,529,288
     Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 3,509,145 537,461
     Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 4,479,532 912,924
     Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 5,488,718 1,113,963
     Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 2,558,234 544,124
     Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 7,682,443 982,738
     Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 7,783,257 1,026,277
     Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 5,662,258 512,865
     Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 4,643,851 560,471
     Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 13,756,491 1,415,414
     Ser. 16-H23, Class NI, IO, 2.422%, 10/20/66(WAC) 29,813,798 4,063,621
     Ser. 16-H18, Class QI, IO, 2.391%, 6/20/66(WAC) 7,857,410 1,006,047
     Ser. 17-H02, Class BI, IO, 2.342%, 1/20/67(WAC) 6,925,390 950,856
     Ser. 17-H06, Class BI, IO, 2.32%, 2/20/67(WAC) 11,317,253 1,536,883
     Ser. 17-H16, Class FI, IO, 2.301%, 8/20/67(WAC) 8,313,135 1,070,316
     Ser. 16-H17, Class KI, IO, 2.275%, 7/20/66(WAC) 5,749,519 697,129
     Ser. 17-H16, Class JI, IO, 2.248%, 8/20/67(WAC) 20,843,762 2,826,935
     Ser. 15-H15, Class BI, IO, 2.246%, 6/20/65(WAC) 6,128,194 703,633
     Ser. 16-H16, Class EI, IO, 2.237%, 6/20/66(WAC) 8,237,813 1,024,784
     Ser. 17-H08, Class NI, IO, 2.223%, 3/20/67(WAC) 14,814,386 1,928,833
     Ser. 15-H20, Class CI, IO, 2.204%, 8/20/65(WAC) 10,693,937 1,267,285
     Ser. 15-H24, Class AI, IO, 2.11%, 9/20/65(WAC) 9,630,035 1,003,219
     Ser. 15-H10, Class BI, IO, 2.106%, 4/20/65(WAC) 6,756,372 732,120
     Ser. 17-H12, Class QI, IO, 2.058%, 5/20/67(WAC) 9,804,618 1,287,739
     Ser. 16-H09, Class BI, IO, 2.034%, 4/20/66(WAC) 13,274,240 1,500,679
     Ser. 16-H03, Class DI, IO, 2.023%, 12/20/65(WAC) 10,462,253 1,046,225
     Ser. 17-H19, Class MI, IO, 2.007%, 4/20/67(WAC) 5,315,344 646,877
     Ser. 16-H03, Class AI, IO, 1.923%, 1/20/66(WAC) 9,659,574 1,002,181
     Ser. 16-H06, Class DI, IO, 1.921%, 7/20/65 14,227,753 1,300,118
     Ser. 17-H11, Class DI, IO, 1.863%, 5/20/67(WAC) 9,671,474 1,094,086
     Ser. 15-H25, Class EI, IO, 1.85%, 10/20/65(WAC) 9,054,909 894,625
     Ser. 15-H20, Class AI, IO, 1.822%, 8/20/65(WAC) 8,863,618 896,112
     FRB Ser. 15-H08, Class CI, IO, 1.794%, 3/20/65(WAC) 7,277,876 716,543
     Ser. 17-H09, IO, 1.778%, 4/20/67(WAC) 13,314,247 1,499,837
     Ser. 15-H23, Class BI, IO, 1.733%, 9/20/65(WAC) 10,787,408 1,015,095
     Ser. 16-H10, Class AI, IO, 1.716%, 4/20/66(WAC) 20,920,765 1,693,787
     Ser. 16-H02, Class HI, IO, 1.714%, 1/20/66(WAC) 12,431,371 1,218,274
     Ser. 16-H24, Class CI, IO, 1.701%, 10/20/66(WAC) 7,908,773 750,115
     Ser. 17-H16, Class IH, IO, 1.696%, 7/20/67(WAC) 14,705,047 1,519,075
     Ser. 16-H14, IO, 1.676%, 6/20/66(WAC) 9,239,291 758,176
     Ser. 13-H08, Class CI, IO, 1.676%, 2/20/63(WAC) 13,601,373 901,771
     Ser. 17-H16, Class IG, IO, 1.67%, 7/20/67(WAC) 19,974,771 1,897,603
     Ser. 16-H06, Class CI, IO, 1.613%, 2/20/66(WAC) 13,152,812 1,003,665
     Ser. 14-H21, Class BI, IO, 1.549%, 10/20/64(WAC) 12,172,536 943,372
     Ser. 15-H26, Class CI, IO, 0.539%, 8/20/65(WAC) 29,603,479 482,537
     Ser. 06-36, Class OD, PO, zero %, 7/16/36 5,629 4,728
128,940,458
Commercial mortgage-backed securities (11.3%)
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.083%, 2/10/51(WAC) 49,050,489 491
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.531%, 1/12/45(WAC) 1,704,000 1,542,120
     Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 1,026,000 1,016,540
     Ser. 05-PWR7, Class B, 5.214%, 2/11/41(WAC) 1,231,223 1,231,223
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-T28, Class D, 5.78%, 9/11/42(WAC) 828,000 827,384
     FRB Ser. 06-PW11, Class B, 5.301%, 3/11/39(WAC) 1,351,703 1,056,558
     FRB Ser. 06-PW11, Class C, 5.301%, 3/11/39 (In default)(NON)(WAC) 1,554,000 631,204
     FRB Ser. 06-PW14, Class XW, IO, 0.336%, 12/11/38(WAC) 3,905,787 10,936
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class XS, IO, zero %, 11/15/44(WAC) 7,497,913 71
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.754%, 12/15/47(WAC) 1,068,000 1,077,560
     FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 2,275,000 2,040,416
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.842%, 5/15/46(WAC) 1,724,873 1,762,417
COMM Mortgage Pass-Through Certificates 144A
     FRB Ser. 12-CR3, Class E, 4.76%, 10/15/45(WAC) 700,000 596,309
     Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 1,755,510 1,197,876
COMM Mortgage Trust 144A
     Ser. 13-LC13, Class E, 3.719%, 8/10/46(WAC) 1,331,000 895,932
     Ser. 14-CR18, Class E, 3.60%, 7/15/47 1,371,000 871,508
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.664%, 12/15/39(WAC) 5,478,148 29,582
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 1,226,865 1,230,960
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.798%, 4/15/50(WAC) 2,634,000 2,313,052
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 105,772 107,310
GS Mortgage Securities Corp. II 144A FRB Ser. 05-GG4, Class XC, IO, 1.373%, 7/10/39(WAC) 900,255 2,251
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.327%, 11/10/46(WAC) 1,693,000 1,358,482
     Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 1,347,000 1,248,431
     FRB Ser. 13-GC12, Class D, 4.446%, 6/10/46(WAC) 670,000 598,980
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class D, 4.091%, 7/15/45(WAC) 778,000 695,227
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class D, 4.814%, 2/15/47(WAC) 2,236,000 1,984,707
     FRB Ser. 14-C19, Class D, 4.665%, 4/15/47(WAC) 2,948,000 2,622,799
     FRB Ser. 13-C14, Class E, 4.569%, 8/15/46(WAC) 1,178,000 965,325
     FRB Ser. C14, Class D, 4.569%, 8/15/46(WAC) 1,063,000 948,357
     FRB Ser. 14-C18, Class E, 4.314%, 2/15/47(WAC) 914,000 657,116
     FRB Ser. 14-C25, Class D, 3.946%, 11/15/47(WAC) 1,335,000 1,048,999
     Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 1,823,000 1,112,019
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 06-LDP7, Class B, 5.943%, 4/17/45(WAC) 1,231,000 184,650
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.322%, 2/12/51(WAC) 281,238 281,238
     FRB Ser. 07-CB20, Class C, 6.322%, 2/12/51(WAC) 1,604,000 1,571,920
     FRB Ser. 11-C3, Class F, 5.615%, 2/15/46(WAC) 1,113,000 1,081,164
     FRB Ser. 12-C6, Class E, 5.136%, 5/15/45(WAC) 1,115,000 1,009,853
     FRB Ser. 12-C8, Class E, 4.652%, 10/15/45(WAC) 173,000 165,401
     FRB Ser. 12-LC9, Class E, 4.373%, 12/15/47(WAC) 2,041,000 1,924,732
     FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 1,249,000 883,872
     FRB Ser. 07-CB20, Class X1, IO, 0.004%, 2/12/51(WAC) 7,632,558 76
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 200,686 203,285
LB-UBS Commercial Mortgage Trust
     Ser. 06-C6, Class D, 5.502%, 9/15/39 (In default)(NON)(WAC) 3,168,000 178,358
     FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON)(WAC) 3,041,000 272,991
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.178%, 4/20/48(WAC) 977,000 864,313
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.444%, 2/12/51(WAC) 428,000 433,264
     Ser. 04-KEY2, Class D, 5.046%, 8/12/39(WAC) 1,252,083 1,240,898
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.444%, 2/12/51(WAC) 812,000 814,842
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37(WAC) 25,063 226
     FRB Ser. 07-C5, Class X, IO, 5.865%, 12/15/49(WAC) 801,800 26,059
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 14-C15, Class D, 4.892%, 4/15/47(WAC) 2,410,000 2,183,472
     Ser. 14-C17, Class D, 4.697%, 8/15/47(WAC) 2,403,000 2,042,473
     FRB Ser. 12-C6, Class G, 4.50%, 11/15/45(WAC) 830,000 590,479
     FRB Ser. 13-C10, Class E, 4.082%, 7/15/46(WAC) 2,426,000 1,954,005
     Ser. 14-C17, Class E, 3.50%, 8/15/47 1,673,000 1,079,003
     Ser. 14-C18, Class D, 3.389%, 10/15/47 958,000 689,187
Morgan Stanley Capital I Trust
     Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 2,693,000 557,613
     Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 1,600,000 1,519,582
Morgan Stanley Capital I Trust 144A
     FRB Ser. 08-T29, Class F, 6.311%, 1/11/43(WAC) 798,000 766,080
     FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39(WAC) 764,114 757,894
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18 (Cayman Islands)(WAC) 376,000 5,852
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 1,067,157 64,029
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.898%, 5/10/63(WAC) 1,476,000 973,330
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.027%, 6/15/45(WAC) 1,918,541 1,443,702
     FRB Ser. 07-C34, IO, 0.173%, 5/15/46(WAC) 6,319,098 6,319
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41(WAC) 1,500,000 679,260
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.765%, 10/15/45(WAC) 694,000 544,564
     FRB Ser. 13-LC12, Class D, 4.294%, 7/15/46(WAC) 456,000 423,991
     Ser. 14-LC16, Class D, 3.938%, 8/15/50 2,276,000 1,901,037
WF-RBS Commercial Mortgage Trust 144A
     Ser. 12-C6, Class E, 5.00%, 4/15/45(WAC) 1,243,000 1,024,612
     Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 2,166,000 1,841,141
     FRB Ser. 14-C19, Class E, 4.971%, 3/15/47(WAC) 2,131,000 1,563,176
     FRB Ser. 12-C10, Class D, 4.448%, 12/15/45(WAC) 700,000 623,547
     Ser. 13-C12, Class E, 3.50%, 3/15/48 1,664,000 1,222,216
67,275,848
Residential mortgage-backed securities (non-agency) (12.6%)
BCAP, LLC Trust 144A FRB Ser. 12-RR5, Class 4A8, 1 Month US LIBOR + 0.17%, 1.407%, 6/26/35 248,053 244,546
Bear Stearns Alt-A Trust
     FRB Ser. 04-3, Class B, 1 Month US LIBOR + 2.93%, 4.163%, 4/25/34 774,732 781,634
     FRB Ser. 05-7, Class 21A1, 3.642%, 9/25/35(WAC) 545,457 550,759
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, Class M6, 1 Month US LIBOR + 3.25%, 6.113%, 9/25/34 76,336 33,116
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 1 Month US LIBOR + 4.30%, 5.538%, 7/25/25 (Bermuda) 678,012 691,083
Chevy Chase Funding LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, 1 Month US LIBOR + 0.18%, 1.417%, 11/25/47 752,042 585,842
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, 1 Month US LIBOR + 0.35%, 1.588%, 3/25/37 2,980,700 2,493,170
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A1, 2.44%, 6/25/46(WAC) 1,827,741 1,646,064
     FRB Ser. 06-OA10, Class 1A1, 1 Month US LIBOR + 0.96%, 1.904%, 8/25/46 688,340 602,448
     FRB Ser. 06-OA7, Class 1A2, 1 Month US LIBOR + 0.94%, 1.884%, 6/25/46 1,140,771 980,835
     FRB Ser. 05-38, Class A3, 1 Month US LIBOR + 0.35%, 1.588%, 9/25/35 1,587,147 1,490,922
     FRB Ser. 05-59, Class 1A1, 1 Month US LIBOR + 0.33%, 1.569%, 11/20/35 2,862,712 2,718,838
     FRB Ser. 07-OH1, Class A1D, 1 Month US LIBOR + 0.21%, 1.448%, 4/25/47 1,112,111 948,041
     FRB Ser. 06-OA10, Class 2A1, 1 Month US LIBOR + 0.19%, 1.428%, 8/25/46 1,003,329 822,730
     FRB Ser. 06-OA10, Class 3A1, 1 Month US LIBOR + 0.19%, 1.428%, 8/25/46 1,304,499 1,095,779
     FRB Ser. 06-OA10, Class 4A1, 1 Month US LIBOR + 0.19%, 1.428%, 8/25/46 6,257,175 5,193,455
Deutsche Alt-A Securities Mortgage Loan Trust FRB Ser. 06-AR4, Class A2, 1 Month US LIBOR + 0.19%, 1.428%, 12/25/36 1,124,852 708,657
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, 1 Month US LIBOR + 10.50%, 11.738%, 10/25/28 439,671 586,331
     Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, 1 Month US LIBOR + 10.50%, 11.738%, 5/25/28 1,146,824 1,485,420
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 1 Month US LIBOR + 10.00%, 11.238%, 7/25/28 2,034,913 2,680,105
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 1 Month US LIBOR + 9.35%, 10.588%, 4/25/28 1,494,563 1,923,660
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, 1 Month US LIBOR + 7.55%, 8.788%, 12/25/27 1,044,095 1,264,151
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, 1 Month US LIBOR + 5.15%, 6.388%, 11/25/28 1,744,200 2,009,042
     Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, 1 Month US LIBOR + 4.95%, 6.188%, 7/25/29 570,000 601,303
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, 1 Month US LIBOR + 4.65%, 5.888%, 10/25/28 320,000 361,522
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, 1 Month US LIBOR + 3.85%, 5.088%, 3/25/29 640,000 700,338
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 1 Month US LIBOR + 12.25%, 13.488%, 9/25/28 2,319,164 3,359,530
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 1 Month US LIBOR + 11.75%, 12.988%, 10/25/28 1,300,000 1,866,718
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 1 Month US LIBOR + 11.75%, 12.988%, 8/25/28 1,819,507 2,513,669
     Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, 1 Month US LIBOR + 10.75%, 11.988%, 1/25/29 269,923 367,514
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, 1 Month US LIBOR + 10.25%, 11.488%, 1/25/29 2,159,489 2,845,569
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 1 Month US LIBOR + 5.90%, 7.138%, 10/25/28 4,285,000 4,914,609
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 1 Month US LIBOR + 5.70%, 6.938%, 4/25/28 4,911,032 5,529,874
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 1 Month US LIBOR + 5.55%, 6.788%, 4/25/28 765,396 848,017
     Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, 1 Month US LIBOR + 5.50%, 6.738%, 9/25/29 347,000 366,633
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 1 Month US LIBOR + 5.00%, 6.238%, 7/25/25 4,406,638 4,863,838
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 1 Month US LIBOR + 5.00%, 6.238%, 7/25/25 1,802,512 1,968,829
     Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, 1 Month US LIBOR + 4.85%, 6.088%, 10/25/29 1,810,000 1,903,494
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 1 Month US LIBOR + 4.55%, 5.788%, 2/25/25 520,276 555,167
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 1 Month US LIBOR + 4.25%, 5.488%, 4/25/29 240,000 268,476
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, 1 Month US LIBOR + 4.25%, 5.488%, 1/25/29 550,000 610,871
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 1 Month US LIBOR + 4.00%, 5.238%, 5/25/25 168,468 180,402
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 1 Month US LIBOR + 4.00%, 5.238%, 5/25/25 334,644 354,067
     Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, 1 Month US LIBOR + 3.65%, 4.888%, 9/25/29 500,000 532,353
     Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, 1 Month US LIBOR + 3.60%, 4.838%, 1/25/30 450,000 427,849
     Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, 1 Month US LIBOR + 2.80%, 4.038%, 2/25/30 310,000 316,003
     Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, 1 Month US LIBOR + 2.60%, 3.838%, 5/25/24 120,000 125,841
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, 1 Month US LIBOR + 0.20%, 1.438%, 6/25/37 1,098,165 679,490
MortgageIT Trust FRB Ser. 05-3, Class M2, 1 Month US LIBOR + 0.80%, 2.033%, 8/25/35 436,888 384,379
Oaktown Re, Ltd. 144A FRB Ser. 17-1A, Class B1, 1 Month US LIBOR + 6.00%, 6.988%, 4/25/27 (Bermuda) 550,000 571,355
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, 1 Month US LIBOR + 0.18%, 1.418%, 1/25/37 1,485,629 1,398,983
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 3.278%, 9/25/35(WAC) 1,434,117 1,439,706
     FRB Ser. 05-AR13, Class A1C3, 1 Month US LIBOR + 0.49%, 1.728%, 10/25/45 2,460,640 2,415,555
     FRB Ser. 05-AR19, Class A1C4, 1 Month US LIBOR + 0.40%, 1.637%, 12/25/45 923,727 894,573
75,703,155
Total mortgage-backed securities (cost $273,813,340) $271,919,461

CORPORATE BONDS AND NOTES (32.8%)(a)
Principal amount Value
Basic materials (4.1%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $161,000 $169,654
AK Steel Corp. company guaranty sr. unsec. notes 6.375%, 10/15/25 170,000 167,450
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 541,000 591,043
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 51,000 55,909
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 85,000 87,444
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 400,000 410,500
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 207,000 238,826
ArcelorMittal SA sr. unsec. unsub. notes 7.50%, 10/15/39 (France) 180,000 224,775
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 420,000 438,900
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 517,000 555,775
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 455,000 487,988
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 209,000 248,188
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 507,000 531,083
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 639,000 664,560
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 491,000 558,513
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 170,000 179,563
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 360,000 375,300
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 836,000 867,350
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 485,000 512,888
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 223,000 204,603
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 172,000 183,610
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 178,000 198,470
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 445,000 471,700
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 761,000 750,536
Constellium NV company guaranty sr. unsec. sub. notes Ser. REGS, 7.00%, 1/15/23 (Netherlands) EUR 100,000 123,917
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) $425,000 426,063
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 515,000 504,700
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 222,000 229,215
CSTN Merger Sub, Inc. 144A company guaranty sr. notes 6.75%, 8/15/24 548,000 554,850
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 485,000 514,100
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 4/1/23 (Canada) 200,000 211,500
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 463,000 483,835
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 401,000 414,534
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 340,000 371,916
Freeport-McMoRan, Inc. company guaranty sr. unsec. sub. notes 6.75%, 2/1/22 (Indonesia) 208,000 216,320
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 620,000 694,400
Grinding Media, Inc./Moly-Cop Altasteel, Ltd. 144A sr. sub. notes 7.375%, 12/15/23 110,000 119,625
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 178,000 201,140
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 208,000 236,080
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 339,000 366,120
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 265,000 273,281
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 422,000 447,320
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 389,000 411,368
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 264,000 272,580
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 90,000 95,400
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 320,000 352,000
Northwest Acquisitions ULC/Dominion Finco, Inc. 144A notes 7.125%, 11/1/22 135,000 139,388
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 360,000 367,200
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 205,000 208,844
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 39,000 40,194
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 935,000 984,088
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 45,000 51,075
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 370,000 401,450
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 57,000 61,845
Smurfit Kappa Acquisitions 144A company guaranty sr. unsec. notes 4.875%, 9/15/18 (Ireland) 200,000 203,000
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 358,000 433,628
SPCM SA 144A sr. unsec. notes 4.875%, 9/15/25 (France) 200,000 205,500
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 527,000 558,620
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 110,000 117,755
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 45,000 46,463
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 4.125%, 9/15/25 95,000 95,238
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 148,000 156,140
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 132,000 133,238
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 385,000 401,363
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 225,000 236,250
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 125,000 130,469
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 330,000 354,750
United States Steel Corp. sr. unsec. notes 6.875%, 8/15/25 130,000 131,950
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 315,000 331,538
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 379,000 393,213
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 218,000 233,805
Venator Finance SARL/Venator Materials Corp. 144A sr. unsec. notes 5.75%, 7/15/25 (Luxembourg) 341,000 360,608
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 125,000 122,500
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 438,000 479,063
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 489,000 552,570
24,626,637
Capital goods (2.1%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 810,000 842,400
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 70,000 70,700
ARD Finance SA sr. notes 6.625%, 9/15/23 (Luxembourg)(PIK) EUR 100,000 125,231
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) $630,000 693,000
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 6.00%, 2/15/25 (Ireland) 265,000 281,231
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 250,000 261,875
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 524,000 544,960
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 240,000 249,000
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 154,000 161,700
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 562,000 624,523
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 553,000 608,300
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 336,000 394,800
FXI Holdings, Inc. 144A sr. notes 7.875%, 11/1/24 290,000 293,988
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 948,000 974,070
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 541,000 568,050
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 158,000 204,912
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 511,000 584,456
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 602,000 617,050
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 369,000 382,838
Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France) EUR 100,000 118,624
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $215,000 227,900
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 117,000 121,680
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 329,000 351,208
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 70,000 73,150
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 480,000 503,400
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 40,000 41,088
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 903,000 975,240
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 115,000 118,594
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 242,000 246,235
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 395,000 407,838
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 115,000 117,312
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 387,000 395,708
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 390,000 409,500
12,590,561
Communication services (3.9%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 400,000 421,500
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 219,250
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 800,000 847,000
Altice SA 144A company guaranty sr. unsec. notes 7.625%, 2/15/25 (Luxembourg) 710,000 770,350
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 400,000 443,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 618,000 636,540
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 655,000 671,375
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 563,000 598,891
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 112,000 117,096
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/27 116,000 117,160
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 815,000 849,638
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 348,000 362,007
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 95,000 99,038
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 469,000 477,208
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 399,000 405,983
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 583,000 615,794
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 795,000 791,522
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 124,000 136,400
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 860,000 984,700
Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica) 255,000 252,131
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 1,110,000 1,096,125
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 305,000 304,619
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 103,000 87,421
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 300,000 261,750
Inmarsat Finance PLC company guaranty sr. unsec. unsub. notes Ser. REGS, 4.875%, 5/15/22 (United Kingdom) 259,000 264,232
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 65,000 61,588
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 15,000 15,900
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 779,000 782,895
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 112,000 70,210
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 95,370
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 215,000
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 775,000 807,938
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 450,000 473,063
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 225,000 240,047
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 238,000 257,040
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 243,000 257,884
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 929,000 1,038,158
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 465,000 506,850
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LL 144A company guaranty sr. notes 3.36%, 9/20/21 290,000 294,205
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 1,098,000 1,152,900
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 745,000 804,600
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 291,000 306,641
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 180,000 194,850
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 100,000 103,438
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, 8/15/24 (Luxembourg) EUR 680,000 857,355
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 710,000 941,500
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $662,000 714,960
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 170,000 178,713
Virgin Media Secured Finance PLC company guaranty sr. notes Ser. REGS, 5.125%, 1/15/25 (United Kingdom) GBP 100,000 140,119
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 255,000 351,789
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $536,000 389,940
Ziggo Bond Finance BV 144A sr. unsec. bonds 4.625%, 1/15/25 (Netherlands) EUR 115,000 142,966
23,226,649
Consumer cyclicals (5.4%)
ADT Corp. (The) company guaranty sr. unsub. notes 4.125%, 6/15/23 $119,000 120,940
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 120,000 117,150
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 159,000 161,385
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 355,000 345,238
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 377,000 400,563
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 543,000 566,756
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 380,000 384,636
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 222,000 77,700
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 344,000 369,370
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 535,000 546,369
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 175,000 182,656
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 195,000 217,059
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 105,000 109,856
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 116,000 120,640
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 165,000 169,125
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 140,000 142,625
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 186,000 186,000
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 280,000 289,800
Codere Finance 2 Luxembourg SA company guaranty sr. notes Ser. REGS, 6.75%, 11/1/21 (Luxembourg) EUR 100,000 121,620
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 $925,000 920,375
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 465,000 468,046
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 636,000 686,880
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 210,000 225,488
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 440,000 475,200
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 315,000 352,406
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 340,000 359,550
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 278,000 293,290
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 165,000 178,613
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 330,000 338,250
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 541,000 434,391
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, 1/15/40 (Mexico) $195,000 235,901
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) 390,000 415,350
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 320,000 328,800
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 375,000 393,750
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 500,000 513,750
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 674,000 497,075
IHO Verwaltungs GmbH 144A sr. notes 4.75%, 9/15/26 (Germany)(PIK) 340,000 346,800
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 230,000 242,650
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 810,000 891,000
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 625,000 667,188
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 120,000 129,600
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. bonds 7.40%, 4/1/37 119,000 72,590
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 399,000 390,521
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 200,000 211,250
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 353,000 374,180
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 165,000 170,721
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 556,000 583,105
Matalan Finance PLC sub. notes Ser. REGS, 6.875%, 6/1/19 (United Kingdom) GBP 100,000 134,163
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $85,000 89,250
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 230,000 238,625
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 337,000 375,755
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 522,000 523,958
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 260,000 163,800
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75% (9.5%), 10/15/21(PIK) 299,585 160,278
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 220,000 129,800
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 422,000 432,550
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 190,000 196,650
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 246,000 253,380
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 315,000 333,703
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 209,000 220,495
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 296,000 311,818
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 240,000 248,400
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 439,000 452,859
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 241,000 248,230
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 290,000 297,250
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 125,000 95,313
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 290,000 359,600
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 400,000 438,500
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 390,000 396,825
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 47,000 48,645
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 580,000 584,350
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 365,000 382,827
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 1,063,000 1,175,869
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 532,000 562,590
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 777,000 788,655
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 263,000 281,410
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 476,000 480,165
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 495,000 516,656
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 540,000 555,525
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 240,000 254,923
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 25,000 26,000
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 106,000 114,613
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 544,000 573,866
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 275,000 268,125
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 747,000 762,866
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 165,000 172,631
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 344,000 372,380
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 282,000 292,575
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 495,000 501,188
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 216,000 214,650
Werner FinCo LP/Werner FinCo, Inc. 144A company guarany sr. unsec. notes 8.75%, 7/15/25 564,000 580,920
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 52,000 54,080
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 228,714
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 213,000 217,571
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 277,000 282,886
32,222,090
Consumer staples (1.7%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 225,000 228,938
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 160,000 162,800
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 170,000 174,038
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 275,000 276,980
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 124,000 129,890
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 300,000 303,750
Ashtead Capital, Inc. 144A notes 4.125%, 8/15/25 355,000 357,663
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 704,000 763,840
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 756,000 799,470
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 241,000 249,134
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 1,061,000 1,120,681
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 330,000 330,825
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 495,000 595,646
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $264,000 149,160
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 640,000 657,600
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 865,000 880,138
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 313,482
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 295,000 311,225
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 180,000 184,725
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 350,000 367,938
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 85,000 88,825
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 265,000 263,397
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 202,000 213,868
Pizzaexpress Financing 2 PLC company guaranty sr. notes Ser. REGS, 6.625%, 8/1/21 (United Kingdom) GBP 100,000 129,169
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 $614,000 452,825
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 326,000 279,545
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 305,000 283,650
10,069,202
Energy (7.0%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 989,000 1,078,010
Andeavor Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 146,000 156,950
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 123,000 128,843
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 324,000 332,505
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 38,000 39,045
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 187,000 202,895
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 120,000 113,400
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 210,000 138,600
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 171,000 112,860
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 232,000 274,050
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 738,000 798,885
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 275,000 283,594
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 58,000 52,925
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 190,000 204,429
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 114,000 109,939
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 267,000 267,000
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 105,000 103,950
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 60,000 55,875
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 1,048,000 1,017,870
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 187,000 189,338
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 274,000 284,275
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 310,000 314,768
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 63,000 43,155
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 261,000 255,128
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 520,000 540,150
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 140,000 142,450
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 431,000 463,325
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 573,000 480,604
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 195,000 144,300
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 103,000 105,060
FTS International, Inc. 144A company guaranty sr. sub. FRN BBA LIBOR USD 3 Month + 7.50%, 8.82%, 6/15/20 84,000 85,785
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9.25%, 4/23/19 (Russia) 394,000 429,411
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 475,000 496,375
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 575,000 575,000
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 131,000 136,404
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 300,000 305,625
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656%, 6/7/22 (Russia) 1,080,000 1,217,516
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 131,000 118,883
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 191,000 174,765
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 110,000 109,450
Murray Energy Corp. 144A notes 11.25%, 4/15/21 337,000 185,350
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 67,000 72,025
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 859,000 912,688
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 348,000 311,460
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 312,000 316,680
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 247,000 253,175
Parsley Energy, LLC/Parsley Finance Corp. 144A company guaranty sr. unsec. notes 5.625%, 10/15/27 130,000 134,144
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 290,028
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 422,499
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 2,495,000 2,770,698
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 878,000 1,063,478
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 3,538,000 3,794,505
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 493,000 533,056
Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.999%, 1/27/28 (Brazil) 2,354,000 2,383,425
Petrobras Global Finance BV 144A company guaranty sr. unsec. notes 5.299%, 1/27/25 (Brazil) 1,020,000 1,023,315
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) 1,255,000 348,263
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,606,000 1,042,134
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) 2,345,000 650,738
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.625%, 6/15/35 (Mexico) 340,000 359,040
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 5.625%, 1/23/46 (Mexico) 525,000 475,991
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,440,000 1,559,678
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 5,014,000 4,951,325
Precision Drilling Corp. company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 130,000 133,900
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 14,000 12,985
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 544,000 560,266
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 195,000 210,490
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 192,000 187,680
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 21,000 20,685
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 355,000 349,675
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 123,000 125,768
SESI, LLC 144A company guaranty sr. unsec. notes 7.75%, 9/15/24 125,000 129,375
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 230,000 232,875
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 45,000 5
Shelf Drilling Holdings, Ltd. 144A company guaranty notes 9.50%, 11/2/20 260,000 263,900
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 332,000 335,320
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 164,000 156,620
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 65,000 66,138
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 281,000 282,405
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 125,000 128,281
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 210,000 218,138
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.125%, 2/1/25 105,000 108,150
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 630,000 631,575
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 116,000 115,420
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 130,000 139,100
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 70,000 70,350
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 107,000 120,509
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 298,000 323,330
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 978,000 1,018,343
41,878,370
Financials (4.0%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 778,000 793,560
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 5,000 5,325
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 608,000 804,080
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 369,000 407,284
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 163,000 222,495
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 148,000 164,465
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 185,000 211,594
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 175,000 192,605
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 315,000 340,200
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 315,000 338,625
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 127,000 132,874
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 119,000 108,290
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 443,000 470,688
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 332,000 337,810
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 273,000 176,085
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 500,000 650,844
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 379,000 493,340
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 360,000 372,150
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 157,000 161,514
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 161,000 161,403
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 475,000 494,394
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 210,000 222,338
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 205,000 214,225
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 51,000 52,594
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 440,000 454,577
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 18,000 17,055
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 22,575
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy) 200,000 218,500
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 130,000 135,200
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 125,000 128,125
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 670,000 955,551
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 442,000 512,720
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 450,000 468,000
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A sr. unsec. bonds 4.50%, 1/15/28(R) 115,000 114,713
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 499,000 506,485
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 173,000 179,488
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 210,000 218,400
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 375,000 396,563
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) 200,000 228,640
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 306,000 391,680
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 410,000 439,315
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 235,000 241,026
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7.75%, 5/29/18 (Russia) 550,000 564,801
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, 2/7/22 (Russia) 500,000 546,875
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 130,000 146,575
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 123,000 126,998
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 119,000 124,355
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 158,000 145,755
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 265,000 263,609
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152%, perpetual maturity (Jersey) EUR 400,000 470,119
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 $315,000 326,813
VICI Properties 1, LLC/VICI FC, Inc. company guaranty notes 8.00%, 10/15/23 33,821 37,626
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.80%, 11/22/25 (Russia) 468,000 531,597
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 5.942%, 11/21/23 (Russia) 200,000 217,287
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, 5/29/18 (Russia) 786,000 803,685
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 5,600,000 6,090,000
VTB Bank PJSC via VTB Eurasia DAC 144A unsec. sub. FRN 9.50%, perpetual maturity (Russia) 450,000 513,000
24,066,490
Health care (1.9%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 475,000 460,750
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 327,000 332,723
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 354,000 343,380
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 296,000 273,060
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 395,000 424,625
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 94,000 97,055
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 305,000 319,488
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 160,000 154,000
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 710,000 513,863
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 11/15/19 80,000 76,200
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 192,000 166,560
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) (In default)(NON) 298,000 32,035
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6.00%, 2/1/25 (Ireland) 200,000 159,000
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 540,000 437,400
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 295,000 237,106
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 63,000 65,873
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 256,000 272,320
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 629,000 676,961
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 575,000 585,063
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 128,000 145,280
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 370,000 386,188
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 294,000 327,075
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 329,000 296,100
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 270,000 280,935
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 70,000 69,300
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 563,000 563,704
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 1,075,000 1,134,125
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 220,000 229,350
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 80,000 82,000
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 393,000 412,650
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 182,000 182,910
Unilabs Subholding AB company guaranty sr. unsec. notes Ser. REGS, 5.75%, 5/15/25 (Sweden) EUR 100,000 120,311
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $90,000 92,025
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 489,000 410,760
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 466,000 393,770
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 90,000 82,013
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 195,000 163,800
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 104,000 102,310
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 355,000 384,288
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 120,000 127,200
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 165,000 173,663
11,787,219
Technology (1.5%)
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (In default)(NON) 1,204,000 1,011,360
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 1,843,000 2,034,211
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 440,000 482,126
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 335,000 358,457
First Data Corp. 144A notes 5.75%, 1/15/24 581,000 607,871
First Data Corp. 144A sr. notes 5.375%, 8/15/23 375,000 390,469
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 640,000 674,000
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 717,000 736,718
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 503,000 524,378
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 132,000 135,960
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 515,000 521,438
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 1/15/24 198,000 208,148
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 675,000 769,500
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 423,000 428,288
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 384,000 391,680
9,274,604
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 484,000 502,150
502,150
Utilities and power (1.1%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 965,000 1,018,075
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 160,000 163,800
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 250,000 256,625
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 310,000 351,850
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 584,000 554,800
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 188,000 188,235
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 85,000 87,763
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 680,570
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 448,000 481,040
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 516,000 563,730
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 169,000 187,590
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 356,000 386,260
Energy Transfer Equity LP sr. sub. notes 5.50%, 6/1/27 139,000 147,340
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 329,000 231,945
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 272,000 295,120
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 393,000 418,545
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 457,000 476,423
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 205,000 769
6,490,480
Total corporate bonds and notes (cost $192,632,188) $196,734,452

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.9%)(a)
Principal amount/units Value
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) $1,995,000 $2,121,224
Argentina (Republic of) sr. unsec. unsub. bonds 7.625%, 4/22/46 (Argentina) 630,000 705,600
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%, 7/6/28 (Argentina) 460,000 488,290
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) 595,000 672,350
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 3,493,000 3,807,370
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) 1,725,000 1,599,938
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 2,255,000 2,242,289
Brazil (Federal Republic of) unsec. notes Ser. NTNF, 10.00%, 1/1/23 (Brazil) (Units) BRL 6,750 2,168,071
Buenos Aires (Province of) unsec. FRN Argentina Deposit Rates BADLAR + 3.83%, 25.58%, 5/31/22 (Argentina) ARS 17,110,000 1,034,400
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $4,975,000 5,510,808
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 100,000 114,610
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 2,688,000 3,139,315
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 2,408,000 2,597,967
Costa Rica (Republic of) 144A sr. unsec. unsub. notes 7.00%, 4/4/44 (Costa Rica) 250,000 261,435
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 605,000 732,050
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,751,063
Ecuador (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.95%, 6/20/24 (Ecuador) 350,000 353,500
Egypt (Arab Republic of) notes Ser. REGS, 8.50%, 1/31/47 (Egypt) EGP 840,000 952,350
Egypt (Arab Republic of) 144A sr. unsec. bonds 8.50%, 1/31/47 (Egypt) $760,000 861,650
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/30/25 (El Salvador) 350,000 345,625
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 2,332,000 2,706,677
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2.00% (3.00%, 2/24/20), 2/24/40 (Greece)(STP) EUR 61,000 52,329
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 468,000 410,007
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)(STP) EUR 141,000 128,803
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)(STP) EUR 178,000 164,786
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)(STP) EUR 468,000 438,840
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)(STP) EUR 3,840,211 3,665,396
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 137,295 133,540
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 4,094,435 4,080,699
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)(STP) EUR 398,000 408,385
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 1,556,500 1,627,120
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 114,000 121,098
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 1,269,807 1,396,879
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) $300,000 326,625
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 1,555,000 1,998,175
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/8/46 (Indonesia) 200,000 247,000
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,265,000 1,341,430
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,377,019
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) 1,385,000 1,364,170
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 465,000 495,769
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 1,281,000 2,246,554
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, 4/4/42 (Russia) 1,400,000 1,548,750
Ukraine (Government of) 144A unsec. notes 7.75%, 9/1/27 (Ukraine) 316,000 325,505
United Mexican States sr. unsec. notes Ser. GMTN, 5.75%, 10/12/10 (Mexico) 1,030,000 1,081,279
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 212,063
Total foreign government and agency bonds and notes (cost $55,757,180) $59,358,803

PURCHASED SWAP OPTIONS OUTSTANDING (1.6%)(a)
Counterparty Fixed right % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike Notional/Contract amount Value
Bank of America N.A.
    (1.9325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 $135,756,500 $447,996
    (2.2625)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 61,090,400 351,270
    2.2625/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 61,090,400 303,008
    1.9325/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 135,756,500 180,556
    2.234/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.234 73,366,800 83,638
    2.172/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.172 73,366,800 33,749
    2.214/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.214 54,302,600 7,059
Citibank, N.A.
    (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 5,973,300 509,642
    2.276/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.276 117,386,900 247,686
    (1.896)/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 17,431,000 182,328
    (1.975)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 27,151,400 176,484
    (2.464)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.464 117,386,900 166,689
    (2.57)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 27,151,400 128,969
    1.9175/3 month USD-LIBOR-BBA/Mar-19 Mar-18/1.9175 81,453,000 65,977
    2.301/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.301 58,693,400 51,650
    (2.429)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.429 88,125,600 49,350
    2.57/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 27,151,400 40,456
    2.245/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.245 88,125,600 28,200
    2.175/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.175 54,302,600 22,807
    2.248/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.248 27,151,300 21,993
    1.975/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 27,151,400 19,549
    1.6525/3 month USD-LIBOR-BBA/Dec-18 Dec-17/1.6525 81,453,900 13,033
    1.896/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 17,431,000 8,890
    (1.091)/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.091 EUR 9,307,100 6,180
    1.541/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.541 $108,605,200 109
Credit Suisse International
    (2.18)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.18 27,151,300 412,700
    (2.32)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.32 108,605,300 317,127
    2.2655/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.2655 27,151,300 60,547
    2.1975/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.1975 53,731,000 537
Goldman Sachs International
    1.522/3 month GBP-LIBOR-BBA/Oct-28 Oct-18/1.522 GBP 17,218,000 557,981
    1.673/3 month GBP-LIBOR-BBA/Oct-48 Oct-18/1.673 GBP 6,701,000 544,053
    (0.597)/3 month GBP-LIBOR-BBA/Nov-19 Nov-17/0.597 GBP 69,803,250 491,359
    (1.6775)/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.6775 $65,163,120 211,129
    2.30/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.30 58,693,400 194,862
    -0.117/6 month EUR-EURIBOR-Reuters/Nov-19 Nov-17/-0.117 EUR 93,071,000 171,294
    (2.41875)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.41875 $117,386,900 170,211
    2.695/3 month USD-LIBOR-BBA/Oct-23 Oct-18/2.695 11,403,500 138,667
    2.27/3 month USD-LIBOR-BBA/Mar-28 Mar-18/2.27 13,032,600 123,549
    2.485/3 month USD-LIBOR-BBA/Mar-48 Mar-18/2.485 5,430,300 120,607
    2.2245/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.2245 73,366,800 103,447
    1.9175/3 month USD-LIBOR-BBA/Oct-19 Oct-18/1.9175 49,415,400 70,170
    2.156/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.156 73,366,800 44,754
    2.20125/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.20125 117,386,900 39,912
    1.6775/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.6775 65,163,120 652
    (-0.117)/6 month EUR-EURIBOR-Reuters/Nov-19 Nov-17/-0.117 EUR 93,071,000 108
    0.597/3 month GBP-LIBOR-BBA/Nov-19 Nov-17/0.597 GBP 69,803,250 93
    1.95/3 month USD-LIBOR-BBA/Nov-27 Nov-17/1.95 $44,063,000 44
JPMorgan Chase Bank N.A.
    1.376/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-19/1.376 EUR 17,032,000 668,599
    1.758/6 month EUR-EURIBOR-Reuters/Sep-49 Sep-19/1.758 EUR 6,794,000 626,946
    (1.919)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 $135,756,500 458,857
    (2.25)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 61,090,400 354,324
    2.25/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 61,090,400 299,343
    1.919/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 135,756,500 173,768
    2.2425/3 month USD-LIBOR-BBA/Dec-27 Dec-17/2.2425 58,693,400 139,690
    (1.964)/3 month USD-LIBOR-BBA/Jan-21 Jan-18/1.964 27,151,000 74,665
    1.964/3 month USD-LIBOR-BBA/Jan-21 Jan-18/1.964 27,151,000 58,646
Total purchased swap options outstanding (cost $14,151,770) $9,775,909

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Counterparty Expiration date/
strike price		 Notional amount Contract amount Value
Bank of America N.A.
    USD/CNH (Put) Dec-17/CNH 6.50 $29,644,100 $29,644,100 $16,749
    USD/JPY (Call) Jan-18/JPY 115.00 23,991,700 23,991,700 200,331
JPMorgan Chase Bank N.A.
    Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Nov-17/$96.75 31,000,000 31,000,000 47,895
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Nov-17/100.24 142,000,000 142,000,000 183,038
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/100.52 31,000,000 31,000,000 253,797
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/100.42 31,000,000 31,000,000 234,360
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/100.33 31,000,000 31,000,000 215,822
    USD/JPY (Put) Jan-18/JPY 107.00 59,935,800 59,935,800 108,184
Total purchased options outstanding (cost $2,226,254) $1,260,176

SENIOR LOANS (1.4%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.00%, 5.264%, 7/2/22 $484,795 $356,436
Air Methods Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.833%, 4/21/24 181,936 181,300
Avaya, Inc. bank term loan FRN Ser. B6, BBA LIBOR USD 3 Month + 5.50%, 6.814%, 3/31/18 (In default)(NON) 319,198 263,737
Avaya, Inc. bank term loan FRN Ser. B7, BBA LIBOR USD 3 Month + 5.25%, 6.564%, 5/29/20 (In default)(NON) 506,468 424,167
Brand Industrial Services, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 4.25%, 5.615%, 6/21/24 479,798 482,142
BWAY Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.25%, 4.599%, 4/3/24 144,638 144,999
Capital Automotive LP bank term loan FRN BBA LIBOR USD 3 Month + 6.00%, 7.25%, 3/24/25 118,716 121,387
Casella Waste Systems, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 2.75%, 3.987%, 10/17/23 967,688 972,526
CCC Information Services, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 6.75%, 7.992%, 3/30/25 144,000 147,825
Chesapeake Energy Corp. bank term loan FRN BBA LIBOR USD 3 Month + 7.50%, 8.814%, 8/23/21 630,000 675,360
CPG International, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.75%, 5.083%, 5/5/24 80,929 81,460
Forterra Finance, LLC bank term loan FRN BBA LIBOR USD 3 Month + 3.00%, 4.242%, 10/25/23 193,751 161,678
FTS International, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.75%, 5.992%, 4/16/21 509,000 495,427
Gates Global, LLC/Gates Global Co. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.25%, 4.583%, 3/31/24 174,469 175,361
Getty Images, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.833%, 10/18/19 277,056 241,962
iHeartCommunications, Inc. bank term loan FRN Ser. D, BBA LIBOR USD 3 Month + 6.75%, 8.083%, 1/30/19 743,000 554,928
Kronos, Inc./MA bank term loan FRN BBA LIBOR USD 3 Month + 8.25%, 9.627%, 11/1/24 220,000 226,279
MEG Energy Corp. bank term loan FRN BBA LIBOR USD 3 Month + 3.50%, 4.833%, 12/31/23 140,295 140,696
Navistar, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 4.00%, 5.24%, 8/7/20 368,438 370,740
Neiman Marcus Group, Ltd., Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.25%, 4.488%, 10/25/20 385,095 303,069
PetSmart, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.00%, 4.24%, 3/10/22 124,681 106,934
Rackspace Hosting, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.00%, 4.311%, 11/3/23 123,381 123,072
Revlon Consumer Products Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.742%, 9/7/23 410,850 354,101
Reynolds Group Holdings, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.00%, 3.992%, 2/5/23 321,756 323,461
Robertshaw Holdings Corp. bank term loan FRN BBA LIBOR USD 3 Month + 9.00%, 10.25%, 2/4/25 85,000 84,469
Robertshaw Holdings Corp. bank term loan FRN BBA LIBOR USD 3 Month + 4.50%, 5.75%, 8/10/24 145,000 146,359
Solenis International LP bank term loan FRN BBA LIBOR USD 3 Month + 6.75%, 8.067%, 7/31/22 84,000 83,580
Talbots, Inc. (The) bank term loan FRN BBA LIBOR USD 3 Month + 8.50%, 9.742%, 3/19/21 150,913 146,385
Talbots, Inc. (The) bank term loan FRN BBA LIBOR USD 3 Month + 4.50%, 5.742%, 3/19/20 237,261 229,105
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. BF1, BBA LIBOR USD 3 Month + 4.75%, 5.99%, 4/1/22 116,942 119,170
VICI Properties 1, LLC bank term loan FRN BBA LIBOR USD 3 Month + 3.50%, 4.75%, 10/15/22 442,158 442,066
Total senior loans (cost $9,212,989) $8,680,181

CONVERTIBLE BONDS AND NOTES (1.1%)(a)
Principal amount Value
Basic materials (—%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20 (Mexico) $54,000 $57,409
57,409
Capital goods (0.1%)
Aerojet Rocketdyne Holdings, Inc. 144A cv. sr. unsec. sub. notes 2.25%, 12/15/23 58,000 80,076
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 83,000 96,384
Greenbrier Cos., Inc. (The) 144A cv. sr. unsec. notes 2.875%, 2/1/24 61,000 71,332
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 47,000 46,941
II-VI, Inc. 144A cv. sr. unsec. notes 0.25%, 9/1/22 29,000 33,785
Kaman Corp. 144A cv. sr. unsec. notes 3.25%, 5/1/24 48,000 51,870
380,388
Communication services (—%)
DISH Network Corp. cv. sr. unsec. Notes 3.375%, 8/15/26 166,000 178,554
178,554
Consumer cyclicals (0.2%)
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 75,000 102,281
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 116,000 131,008
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 124,000 148,664
Liberty Media Corp. cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 57,000 59,672
Live Nation Entertainment, Inc. cv. sr. unsec. bonds 2.50%, 5/15/19 61,000 80,634
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 62,000 59,443
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 61,000 66,223
Priceline Group, Inc. (The) cv. sr. unsec. Bonds 0.90%, 9/15/21 38,000 45,315
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1.00%, 3/15/18 97,000 195,576
Square, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/22 57,000 96,401
Tesla, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 46,000 51,290
1,036,507
Consumer staples (—%)
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 71,000 76,636
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 94,000 96,115
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 59,000 66,301
Wayfair, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 9/1/22 44,000 42,983
282,035
Energy (0.1%)
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 (acquired 2/2/17, cost $58,386) (Cayman Islands)(RES) 84,334 118,068
Chesapeake Energy Corp. 144A cv. sr. unsec. bonds 5.50%, 9/15/26 69,000 61,108
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 41,000 45,151
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 97,000 86,997
311,324
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5.25%, 12/1/18(R) 87,000 100,866
Colony Starwood Homes 144A cv. sr. unsec. notes 3.50%, 1/15/22(R) 75,000 83,906
Encore Capital Group, Inc. cv. company guaranty sr. unsec. bonds 3.00%, 7/1/20 46,000 53,964
Hercules Capital, Inc. 144A cv. sr. unsec. notes 4.375%, 2/1/22 40,000 40,875
Heritage Insurance Holdings, Inc. 144A cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 35,000 43,378
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 84,000 92,610
415,599
Health care (0.1%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.50%, 10/15/20 54,000 61,256
Clovis Oncology, Inc. cv. sr. unsec. notes 2.50%, 9/15/21 43,000 62,243
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2.00% (zero %, 3/1/18), 3/1/42(STP) 34,000 42,245
Impax Laboratories, Inc. cv. sr. unsec. notes 2.00%, 6/15/22 78,000 77,220
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland) 160,000 164,600
Medicines Co. (The) cv. sr. unsec. unsub. notes 2.75%, 7/15/23 91,000 85,256
Neurocrine Biosciences, Inc. 144A cv. sr. unsec. notes 2.25%, 5/15/24 27,000 30,932
Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 39,000 45,191
Pacira Pharmaceuticals, Inc. (Delaware) 144A cv. sr. unsec. sub. notes 2.375%, 4/1/22 76,000 70,348
Sucampo Pharmaceuticals, Inc. cv. sr. unsec. notes 3.25%, 12/15/21 63,000 60,874
Teladoc, Inc. 144A cv. sr. unsec. notes 3.00%, 12/15/22 43,000 46,252
Wright Medical Group, Inc. cv. sr. unsec. notes 2.00%, 2/15/20 60,000 64,950
811,367
Technology (0.5%)
Carbonite, Inc. 144A cv. sr. unsec. unsub. notes 2.50%, 4/1/22 33,000 38,156
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 36,000 44,145
Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 60,000 80,700
Electronics For Imaging, Inc. cv. sr. unsec. unsub. bonds 0.75%, 9/1/19 76,000 74,100
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 70,000 66,850
HubSpot, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/22 62,000 69,905
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 62,000 64,519
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 76,000 87,495
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 89,000 193,575
J2 Cloud Services, LLC cv. sr. unsec. notes 3.25%, 6/15/29 70,000 86,538
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 15,000 49,997
Microchip Technology, Inc. 144A cv. sr. unsec. sub. notes 1.625%, 2/15/27 237,000 298,472
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 101,000 156,550
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1.625%, 2/15/33 29,000 117,287
Nice Systems, Inc. 144A cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 74,000 85,146
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 39,000 241,727
NXP Semiconductors NV cv. sr. unsec. bonds 1.00%, 12/1/19 51,000 62,826
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 98,000 126,359
OSI Systems, Inc. 144A cv. sr. unsec. unsub. notes 1.25%, 9/1/22 82,000 86,100
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 75,000 96,609
RealPage, Inc. 144A cv. sr. unsec. notes 1.50%, 11/15/22 86,000 105,511
Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 59,000 97,829
salesforce.com, Inc. cv. sr. unsec. unsub. notes 0.25%, 4/1/18 69,000 106,001
ServiceNow, Inc. cv. sr. unsec. unsub. bonds zero %, 11/1/18 46,000 78,775
Teradyne, Inc. 144A cv. sr. unsec. notes 1.25%, 12/15/23 69,000 99,576
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 41,000 70,751
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 74,000 68,219
Workday, Inc. 144A cv. sr. unsec. notes 0.25%, 10/1/22 44,000 44,468
2,798,186
Transportation (—%)
Air Transport Services Group, Inc. 144A cv. sr. unsec. notes 1.125%, 10/15/24 74,000 77,376
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 43,000 38,431
115,807
Total convertible bonds and notes (cost $5,946,582) $6,387,176

COMMON STOCKS (0.1%)(a)
Shares Value
Caesars Entertainment Corp.(NON) 8,988 $116,395
CHC Group, LLC (acquired 3/23/17, cost $23,780) (Cayman Islands)(RES)(NON) 1,640 11,480
Halcon Resources Corp.(NON) 24,782 163,066
Milagro Oil & Gas, Inc. (Units)(F) 169 13,689
Nine Point Energy 1,254 17,255
SandRidge Energy, Inc.(NON) 8,217 154,233
Tervita Corp. Class A (Canada) 449 3,306
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 21,073 22,127
Tribune Media Co. Class 1C(F) 92,963 23,241
Total common stocks (cost $697,590) $524,792

PREFERRED STOCKS (0.1%)(a)
Shares Value
GMAC Capital Trust I Ser. 2, $0.00 cum. ARP 16,265 $427,119
Total preferred stocks (cost $412,195) $427,119

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
Nine Point Energy 6.75% cv. pfd. 32 $33,124
Total convertible preferred stocks (cost $32,000) $33,124

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 6,732 $2,693
Total warrants (cost $—) $2,693

SHORT-TERM INVESTMENTS (11.4%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 1.22%(AFF) Shares 18,879,189 $18,879,189
U.S. Treasury Bills 1.022%, 1/18/18(SEGSF)(SEGCCS) $902,000 899,880
U.S. Treasury Bills 1.033%, 12/14/17(SEG)(SEGSF)(SEGCCS) 9,453,000 9,442,062
U.S. Treasury Bills 1.036%, 12/7/17(SEG)(SEGSF)(SEGCCS) 8,954,000 8,945,180
U.S. Treasury Bills 1.058%, 1/11/18(SEGSF)(SEGCCS) 3,271,000 3,264,275
U.S. Treasury Bills 1.064%, 2/1/18(SEGSF)(SEGCCS) 13,312,000 13,273,388
U.S. Treasury Bills 1.073%, 1/25/18(SEGSF)(SEGCCS) 5,614,000 5,599,552
U.S. Treasury Bills 1.081%, 2/15/18(SEG)(SEGSF)(SEGCCS) 875,000 872,113
U.S. Treasury Bills 1.117%, 2/8/18(SEGSF)(SEGCCS) 6,947,000 6,925,603
Total short-term investments (cost $68,104,685) $68,101,242

TOTAL INVESTMENTS
Total investments (cost $934,226,754) $934,052,137













FORWARD CURRENCY CONTRACTS at 10/31/17 (aggregate face value $219,868,029) (Unaudited)


Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized appreciation/
depreciation
Bank of America N.A.
Australian Dollar Buy 1/17/18 $25,315 $89,747 $(64,432)
British Pound Buy 12/20/17 3,021,793 2,996,822 24,971
Euro Sell 12/20/17 8,887,481 8,986,784 99,303
Norwegian Krone Buy 12/20/17 5,221,995 5,416,336 (194,341)
Russian Ruble Buy 12/20/17 6,035,166 5,969,212 65,954
Barclays Bank PLC
Australian Dollar Buy 1/17/18 2,907,321 2,993,961 (86,640)
British Pound Sell 12/20/17 756,579 739,258 (17,321)
Euro Sell 12/20/17 8,927,778 9,082,959 155,181
Japanese Yen Sell 11/15/17 2,968,017 2,989,472 21,455
Swedish Krona Sell 12/20/17 2,999,538 2,997,133 (2,405)
Citibank, N.A.
Brazilian Real Sell 1/3/18 576,270 558,025 (18,245)
British Pound Buy 12/20/17 97,232 177,964 (80,732)
Canadian Dollar Buy 1/17/18 80,757 82,859 (2,102)
Euro Sell 12/20/17 85,735 97,718 11,983
New Zealand Dollar Sell 1/17/18 2,917,071 2,967,543 50,472
Norwegian Krone Buy 12/20/17 4,140,839 4,340,131 (199,292)
Russian Ruble Buy 12/20/17 3,012,175 2,984,370 27,805
Swedish Krona Sell 12/20/17 112,773 201,716 88,943
Credit Suisse International
Australian Dollar Buy 1/17/18 2,959,788 3,023,998 (64,210)
Canadian Dollar Buy 1/17/18 64,311 65,580 (1,269)
Euro Buy 12/20/17 1,762,825 1,823,081 (60,256)
Japanese Yen Sell 11/15/17 5,870,703 6,032,079 161,376
Swedish Krona Sell 12/20/17 2,857,077 2,940,759 83,682
Goldman Sachs International
Australian Dollar Buy 1/17/18 97,668 99,775 (2,107)
Brazilian Real Sell 1/3/18 1,560,599 1,460,979 (99,620)
British Pound Sell 12/20/17 3,005,832 3,007,651 1,819
Euro Sell 12/20/17 5,839,797 5,871,717 31,920
Hungarian Forint Buy 12/20/17 59,101 53,702 5,399
Indonesian Rupiah Buy 11/15/17 2,931,354 2,955,623 (24,269)
Indonesian Rupiah Sell 11/15/17 2,931,354 2,958,470 27,116
Japanese Yen Sell 11/15/17 48,892 50,547 1,655
New Zealand Dollar Sell 1/17/18 2,870,667 2,946,747 76,080
Norwegian Krone Buy 12/20/17 5,868,666 6,033,049 (164,383)
South African Rand Buy 1/17/18 514,652 513,745 907
Swedish Krona Buy 12/20/17 362,747 312,350 50,397
Swiss Franc Sell 12/20/17 70,096 72,654 2,558
Turkish Lira Buy 12/20/17 1,235,376 1,677,611 (442,235)
HSBC Bank USA, National Association
British Pound Sell 12/20/17 288,373 282,460 (5,913)
Canadian Dollar Sell 1/17/18 2,936,658 2,952,354 15,696
Euro Sell 12/20/17 5,825,430 5,932,847 107,417
Japanese Yen Sell 11/15/17 2,837,569 2,963,459 125,890
Mexican Peso Sell 1/17/18 1,962,636 2,053,457 90,821
JPMorgan Chase Bank N.A.
Australian Dollar Sell 1/17/18 30,669 25,853 (4,816)
British Pound Sell 12/20/17 429,367 422,152 (7,215)
Euro Sell 12/20/17 7,497,147 7,632,022 134,875
Indonesian Rupiah Buy 11/15/17 2,931,354 2,951,678 (20,324)
Indonesian Rupiah Sell 11/15/17 2,931,354 2,958,915 27,561
Japanese Yen Sell 11/15/17 2,912,164 2,999,824 87,660
New Zealand Dollar Buy 1/17/18 1,854,093 1,952,856 (98,763)
Norwegian Krone Buy 12/20/17 5,754,385 5,952,074 (197,689)
Swedish Krona Sell 12/20/17 2,765,988 2,822,053 56,065
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/17/18 2,023,339 2,087,521 (64,182)
Canadian Dollar Sell 1/17/18 235,522 243,695 8,173
Euro Sell 12/20/17 32,004 11,641 (20,363)
Japanese Yen Sell 11/15/17 2,853,513 2,949,815 96,302
New Zealand Dollar Buy 1/17/18 2,597 24,968 (22,371)
Norwegian Krone Buy 12/20/17 3,985,886 4,106,304 (120,418)
Swedish Krona Sell 12/20/17 2,810,328 2,966,933 156,605
Turkish Lira Sell 12/20/17 715,031 497,345 (217,686)
State Street Bank and Trust Co.
Australian Dollar Buy 1/17/18 9,135,119 9,298,923 (163,804)
British Pound Sell 12/20/17 2,963,799 3,029,869 66,070
Euro Buy 12/20/17 2,745,041 2,810,923 (65,882)
New Zealand Dollar Buy 1/17/18 2,821,052 3,012,646 (191,594)
Norwegian Krone Buy 12/20/17 7,085,126 7,434,131 (349,005)
Swedish Krona Sell 12/20/17 104,410 167,328 62,918
UBS AG
Australian Dollar Buy 1/17/18 2,923,764 2,975,557 (51,793)
British Pound Sell 12/20/17 5,276,765 5,165,525 (111,240)
Canadian Dollar Buy 1/17/18 2,988,402 3,085,561 (97,159)
Euro Sell 12/20/17 5,846,455 5,982,845 136,390
Japanese Yen Sell 11/15/17 8,807,826 8,990,119 182,293
New Zealand Dollar Sell 1/17/18 2,974,819 2,986,150 11,331
Norwegian Krone Buy 12/20/17 5,457,888 5,698,472 (240,584)
Swedish Krona Buy 12/20/17 75,502 20,918 54,584
WestPac Banking Corp.
Australian Dollar Sell 1/17/18 2,836,345 2,915,069 78,724
Euro Sell 12/20/17 2,952,487 2,978,657 26,170
Japanese Yen Sell 11/15/17 2,853,791 2,952,983 99,192
Unrealized appreciation 2,613,713
Unrealized depreciation (3,574,660)
Total $(960,947)

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












FUTURES CONTRACTS OUTSTANDING at 10/31/17 (Unaudited)
           
             
    Number of contracts Notional amount Value Expiration date Unrealized appreciation/
depreciation
             
  Euro-OAT 10 yr (Short) 32   $5,869,353  $5,869,350 Dec-17 $(62,261)
  Unrealized appreciation         — 
  Unrealized depreciation         (62,261)
  Total         $(62,261)












WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/17 (premiums $18,707,077) (Unaudited)


Counterparty Fixed Obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike Notional/Contract amount Value

Bank of America N.A.
2.506/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.506 $54,302,600 $3,258
(2.2625)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 61,090,400 133,788
2.2625/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625 61,090,400 181,438
(2.296)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.296 73,366,800 183,417
(1.9325)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 135,756,500 283,731
1.9325/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325 135,756,500 551,171

Citibank, N.A.
(1.755)/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.755 108,605,200 109
(1.642)/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642 54,302,600 2,715
(2.212)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.212 58,693,400 2,935
1.291/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.291 EUR 14,798,000 6,033
(2.00)/3 month USD-LIBOR-BBA/Dec-18 Dec-17/2.00 $81,453,900 13,847
(2.257)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257 27,151,400 55,117
2.39/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.39 58,693,400 58,693
(2.05)/3 month USD-LIBOR-BBA/Mar-19 Mar-18/2.05 81,453,000 65,977
2.398/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.398 40,727,000 81,047
(2.337)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.337 44,062,800 102,666
2.337/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.337 44,062,800 148,492
2.3635/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.3635 54,302,600 219,383
1.642/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642 54,302,600 229,700
2.37/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.37 58,693,400 243,578
2.257/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257 27,151,400 300,294
(2.37)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.37 58,693,400 325,748
2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208 27,151,300 515,060

Credit Suisse International
(2.32)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.32 108,605,300 56,475
2.4155/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.4155 40,727,000 125,032
2.295/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.295 81,453,900 426,818

Goldman Sachs International
0.393/6 month EUR-EURIBOR-Reuters/Nov-22 Nov-17/0.393 EUR 37,228,400 43
2.5525/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.5525 $44,063,000 44
(1.495)/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.495 108,605,200 109
(0.7685)/3 month GBP-LIBOR-BBA/Nov-22 Nov-17/0.7685 GBP 27,921,300 371
2.6025/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.6025 $58,693,400 20,543
(0.217)/6 month EUR-EURIBOR-Reuters/Nov-22 Nov-17/0.217 EUR 37,228,400 47,268
(2.31)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.31 $58,693,400 127,952
1.495/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.495 108,605,200 208,522
(2.293)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.293 73,366,800 217,166
(2.3025)/3 month USD-LIBOR-BBA/Oct-19 Oct-18/2.3025 108,605,200 231,329
(2.46)/3 month USD-LIBOR-BBA/Mar-38 Mar-18/2.46 14,661,700 244,704
2.31/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.31 58,693,400 346,291
0.9135/3 month GBP-LIBOR-BBA/Nov-22 Nov-17/0.9135 GBP 27,921,300 367,499
(1.6975)/3 month GBP-LIBOR-BBA/Oct-38 Oct-18/1.6975 GBP 18,614,000 1,104,340

JPMorgan Chase Bank N.A.
2.6525/3 month USD-LIBOR-BBA/Dec-27 Dec-17/2.6525 $58,693,400 21,130
(2.3205)/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.3205 8,743,000 61,551
2.4115/3 month USD-LIBOR-BBA/Jan-28 Jan-18/2.4115 8,743,000 66,797
(2.25)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 61,090,400 130,123
2.25/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25 61,090,400 185,104
(1.919)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 135,756,500 275,586
1.919/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919 135,756,500 560,674
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 26,070,000 602,217
(1.733)/6 month EUR-EURIBOR-Reuters/Sep-39 Sep-19/1.733 EUR 18,614,000 1,277,533
Total $10,413,418












WRITTEN OPTIONS OUTSTANDING at 10/31/17 (premiums $1,783,066) (Unaudited)
           
             
    Expiration date/
strike price		 Notional amount   Contract amount Value
             
  Bank of America N.A.          
  USD/CNH (Put) Dec-17/CNH 6.40 $29,644,100   $29,644,100 $1,927
  USD/JPY (Call) Jan-18/JPY 118.00 23,991,700   23,991,700 63,890
 
JPMorgan Chase Bank N.A.		          
  Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Nov-17/$96.75 31,000,000   31,000,000 103,571
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Nov-17/100.24 142,000,000   142,000,000 410,522
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.96 31,000,000   31,000,000 151,776
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.86 31,000,000   31,000,000 137,981
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.77 31,000,000   31,000,000 125,116
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.40 31,000,000   31,000,000 83,080
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.30 31,000,000   31,000,000 74,524
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.21 31,000,000   31,000,000 66,712
  USD/JPY (Put) Jan-18/JPY 103.00 59,935,800   59,935,800 25,892
             
  Total         $1,244,991













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/17 (Unaudited)
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike Notional/
Contract amount		       Premium receivable/
(payable)		 Unrealized appreciation/
(depreciation)

Bank of America N.A.
  (2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 $13,575,700 $(530,810) $1,358
  (2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 13,575,700 (271,514) (679)
  2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 8,145,400 (874,001) (35,270)
  2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 8,145,400 (287,125) (43,171)
  2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 13,575,700 (530,810) (50,773)
  (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 8,145,400 (874,001) (57,832)
  2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 13,575,700 (271,514) (77,789)
  (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 8,145,400 (287,125) (143,848)
  2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 8,145,400 735,937 293,886
  (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 8,145,400 735,937 169,017
  (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 13,575,700 521,986 139,422
  2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 13,575,700 521,986 10,725

Barclays Bank PLC
  (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 13,575,700 (271,514) (1,358)
  2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 8,145,400 (113,628) (10,182)
  (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 8,145,400 (113,628) (67,770)
  2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 13,575,700 (271,514) (77,246)

Citibank, N.A.
  2.206/3 month USD-LIBOR-BBA/Nov-27 (Purchased) Nov-17/2.206 27,151,300 (40,727) (543)
  (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810) (679)
  2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 13,575,700 (530,810) (48,873)
  (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 13,575,700 522,664 136,300
  2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 13,575,700 519,949 13,304
  2.507/3 month USD-LIBOR-BBA/Nov-27 (Written) Nov-17/2.507 27,151,300 40,727 (1,086)

Credit Suisse International
  (2.18)/3 month USD-LIBOR-BBA/Nov-27 (Written) Nov-17/2.18 27,151,300 1,358 1,358

Goldman Sachs International
  2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (1,466)
  (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,629,100 (205,674) (12,968)

JPMorgan Chase Bank N.A.
  2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301) (37,958)
  (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 8,145,400 (1,137,301) (252,019)
  2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 8,145,400 773,406 352,859
  (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 8,145,400 773,406 95,138

Morgan Stanley & Co. International PLC
  1.85125/3 month USD-LIBOR-BBA/Apr-19 (Purchased) Apr-18/1.85125 81,453,900 (85,527) (11,400)
    (2.01)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-18/2.01 81,453,900 85,527 (81)
Unrealized appreciation 1,213,367
Unrealized depreciation (932,991)
Total $280,376












TBA SALE COMMITMENTS OUTSTANDING at 10/31/17 (proceeds receivable $211,801,211) (Unaudited)


Agency Principal amount Settlement date Value
Federal National Mortgage Association, 4.50%, 11/1/47 $9,000,000 12/13/17 $9,622,265
Federal National Mortgage Association, 4.00%, 11/1/47 5,000,000 11/13/17 5,247,656
Federal National Mortgage Association, 3.50%, 11/1/47 101,000,000 11/13/17 103,816,951
Federal National Mortgage Association, 3.00%, 12/1/47 46,000,000 12/13/17 45,955,076
Federal National Mortgage Association, 3.00%, 11/1/47 47,000,000 11/13/17 47,029,375
Total $211,671,323








  CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/17 (Unaudited)
   
             
  Notional amount Value   Upfront premium received (paid)   Termination
date		 Payments made by fund   Payments received by fund Unrealized appreciation/
(depreciation)
                       
     $27,151,300  $401,296    $(180,753)   10/31/27 2.18% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  $221,584
     81,453,900  355,139    264,134   10/31/27 3 month USD-LIBOR-BBA — Quarterly   2.295% — Semiannually  (94,128)
     27,151,300  346,451    (54,500)   10/3/27 2.201% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  274,646
     27,151,300  228,071    (46,354)   10/3/27 2.2495% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  163,387
     27,151,300  250,063    (46,354)   10/3/27 2.2405% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  185,570
     41,165,000  943,913    (266,499)   10/31/27 2.09% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  678,992
     123,495,000  1,489,350    350,378   10/31/27 3 month USD-LIBOR-BBA — Quarterly   2.21% — Semiannually  (1,143,706)
     82,330,000  41,988    (85,672)   10/31/27 2.34875% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (124,504)
     10,181,700  154,456    (62,780)   10/18/27 2.176% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  89,037
     85,749,000  452,755 (E)  (213,847)   12/20/22 2.00% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  238,907
     14,353,000  86,118 (E)  150,296   12/20/27 3 month USD-LIBOR-BBA — Quarterly   2.30% — Semiannually  64,178
     40,727,000  343,329    (260,948)   10/31/27 2.25% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  83,941
     122,180,900  241,918    292,347   10/31/27 3 month USD-LIBOR-BBA — Quarterly   2.365% — Semiannually  529,581
     20,363,500  211,373    (120,673)   10/25/27 2.23% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  88,546
     61,090,450  30,545    131,783   10/25/27 3 month USD-LIBOR-BBA — Quarterly   2.33925% — Semiannually  108,813
     410,388,400  529,401 (E)  (16,799)   12/20/19 1.80% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  512,602
     98,841,300  286,640 (E)  50,448   12/20/22 2.05% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  337,088
     129,245,900  1,359,667 (E)  (627,846)   12/20/27 2.25% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  731,821
     7,235,000  151,067 (E)  74,951   12/20/47 3 month USD-LIBOR-BBA — Quarterly   2.50% — Semiannually  (76,116)
     8,785,000  39,093    (64)   10/2/27 2.2935% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  32,556
     42,683,000  153,232    264,325   11/1/27 3 month USD-LIBOR-BBA — Quarterly   2.306% — Semiannually  111,093
     24,472,000  97,399    (200)   10/17/27 2.30% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  89,109
     6,516,300  24,566    (53)   11/1/27 2.304% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  24,513
     42,683,000  169,878    170,422   10/17/27 2.30% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  326,191
     10,317,500  44,056    (75)   10/4/27 2.2955% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  36,935
     25,902,000  102,054    (188)   10/10/27 2.30% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  88,488
     14,567,500  49,092    (106)   10/5/27 2.3057% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  39,396
     14,567,500  51,715    (106)   10/5/27 2.30369% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  42,039
     29,346,700  125,604 (E)  (239)   11/7/27 2.301% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  125,364
     9,516,000  61,378    (69)   10/6/27 3 month USD-LIBOR-BBA — Quarterly   2.2715% — Semiannually  (55,692)
     7,774,000  35,216    (56)   10/10/27 3 month USD-LIBOR-BBA — Quarterly   2.2935% — Semiannually  (31,287)
     20,943,500  92,151    (152)   10/10/27 3 month USD-LIBOR-BBA — Quarterly   2.2949% — Semiannually  (81,549)
     13,281,000  38,249    (96)   10/10/27 2.31178% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  31,202
     20,943,500  102,204    (152)   10/10/27 3 month USD-LIBOR-BBA — Quarterly   2.28962% — Semiannually  (91,666)
     15,503,600  26,976    (113)   10/10/27 2.3245% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  18,635
     15,503,600  29,147    (113)   10/10/27 2.32295% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  20,819
     11,351,000  1,930    (82)   10/10/27 2.34566% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (8,177)
     11,351,000  13,508    (82)   10/10/27 2.357% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (19,830)
     21,178,000  29,649 (E)  (173)   11/8/27 2.364% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (29,822)
     7,343,800  16,009    (53)   10/17/27 2.32% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  13,472
     17,919,900  51,072    (130)   10/18/27 3 month USD-LIBOR-BBA — Quarterly   2.3125% — Semiannually  (45,673)
     7,372,300  40,990    (54)   10/17/27 3 month USD-LIBOR-BBA — Quarterly   2.2825% — Semiannually  (38,657)
     6,787,800  63,737    (49)   10/18/27 2.24% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  61,771
     29,866,400  212,947 (E)  (244)   11/20/27 2.275% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  212,704
     13,107,000  102,366    (95)   10/18/27 3 month USD-LIBOR-BBA — Quarterly   2.2576% — Semiannually  (98,676)
     13,107,000  96,468    (95)   10/18/27 3 month USD-LIBOR-BBA — Quarterly   2.26256% — Semiannually  (92,755)
     13,107,000  99,089    (95)   10/18/27 3 month USD-LIBOR-BBA — Quarterly   2.6031% — Semiannually  (95,387)
     13,107,000  85,327    (95)   10/18/27 3 month USD-LIBOR-BBA — Quarterly   2.27191% — Semiannually  (81,570)
     13,107,000  87,817    (95)   10/18/27 3 month USD-LIBOR-BBA — Quarterly   2.26987% — Semiannually  (84,070)
     108,605,300  261,739 (E)  (788)   11/3/27 3 month USD-LIBOR-BBA — Quarterly   2.32% — Semiannually  (262,527)
     10,181,750  105,992    (86,415)   10/27/27 2.23% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  18,998
     30,545,225  25,658    44,089   10/27/27 3 month USD-LIBOR-BBA — Quarterly   2.35425% — Semiannually  71,906
     11,474,000  43,257    (83)   10/23/27 2.303% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  41,210
     19,656,000  19,263    (143)   10/24/27 2.35552% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (22,447)
     12,523,500  1,127    (91)   10/25/27 2.3457% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (2,784)
     12,523,500  2,630    (91)   10/25/27 2.34705% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (4,290)
     7,340,000  22,240    (53)   10/26/27 2.3784% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (23,041)
     13,032,600  38,967    (95)   10/27/27 3 month USD-LIBOR-BBA — Quarterly   2.378% — Semiannually  39,828
     5,230,000  19,456    (38)   10/26/27 2.386% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (20,032)
     3,976,000  20,715    (29)   10/26/27 2.4025% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (21,162)
     9,449,000  65,576    (69)   10/27/27 2.42166% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (66,383)
     9,449,000  69,545    (69)   10/27/27 2.4264% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (70,357)
     12,409,000  106,097    (90)   10/27/27 2.4395% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (107,182)
     25,825,100  217,964 (E)  (211)   11/29/27 2.45% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (218,175)
     17,608,000  130,475 (E)  (144)   12/6/27 2.4425% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (130,619)
     10,543,000  49,025 (E)  (76)   10/27/27 3 month USD-LIBOR-BBA — Quarterly   2.74875% — Semiannually  48,949
     11,050,000  58,897    (80)   10/30/27 2.4026% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (58,868)
     11,050,000  59,670    (80)   10/30/27 2.40336% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (59,642)
     2,878,000  22,132    (21)   10/31/27 2.428% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (22,042)
     13,489,100  57,329    (98)   10/31/27 2.38997% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (56,909)
     13,489,100  54,766    (98)   10/31/27 2.38792% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (54,347)
     13,489,100  58,678    (98)   10/31/27 2.39108% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (58,258)
     13,140,000  26,411    (95)   11/1/27 2.36789% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (26,507)
     13,140,000  22,075    (95)   11/1/27 2.36421% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (22,171)
     13,140,000  23,521    (95)   11/1/27 2.3654% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  (23,616)
     4,452,800  2,405 (E)  (32)   11/6/27 3 month USD-LIBOR-BBA — Quarterly   2.342% — Semiannually  (2,437)
     9,231,400  3,231 (E)  (75)   12/4/27 2.356% — Semiannually   3 month USD-LIBOR-BAA — Quarterly  3,156
  AUD  37,519,000  250,109 (E)  (62,240)   12/20/22 2.65% — Semiannually   6 month AUD-BBR-BBSW — Semiannually  (312,349)
  AUD  12,243,000  107,663 (E)  (49,226)   12/20/27 6 month AUD-BBR-BBSW — Semiannually   3.00% — Semiannually  58,437
  BRL  20,713,797  19,294    (57)   1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity  16,469
  BRL  9,376,696  346,786    (24)   1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity  (346,810)
  BRL  10,385,863  158,498    (27)   1/2/23 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity  157,258
  BRL  39,759,436  260,850    (48)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity  (256,253)
  BRL  10,522,963  27,394    (42)   1/2/23 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate— At maturity  (26,265)
  BRL  17,500,724  55,959    (54)   1/4/21 Brazil Cetip DI Interbank Deposit Rate — At maturity   0.00% — At maturity  (56,013)
  BRL  46,136,402  3,230    (2)   1/2/19 0.00% — At maturity   Brazil Cetip DI Interbank Deposit Rate — At maturity  7,714
  CAD  27,228,000  210,631 (E)  (52,359)   12/20/22 3 month CAD-BA-CDOR — Semiannually   2.25% — Semiannually  158,273
  CAD  6,686,000  86,704 (E)  65,631   12/20/27 2.50% — Semiannually   3 month CAD-BA-CDOR — Semiannually  (21,072)
  CHF  4,593,000  10,128 (E)  (27,522)   12/20/27 0.25% — Annually   6 month CHF-LIBOR-BAA — Semiannually  (17,393)
  CHF  68,052,000  171,895 (E)  (310,399)   12/20/22 —   0.25% plus 6 month CHF-LIBOR-BAA — Semiannually  (138,504)
  CHF  21,046,000  13,501    (49)   9/29/19 —   0.528% plus 6 month CHF-LIBOR-BAA — Semiannually  (16,245)
  CHF  21,046,000  13,923    (49)   10/2/19 —   0.526% plus 6 month CHF-LIBOR-BAA — Semiannually  (16,483)
  CHF  43,846,000  24,612    (102)   10/6/19 —   0.53% plus 6 month CHF-LIBOR-BAA — Semiannually  (29,191)
  CZK  37,540,000  61,024    (22)   7/13/27 1.35% — Annually   6 month CZK-PRIBOR-PRBO — Semiannually  55,912
  EUR  8,503,000  9,905 (E)  (34)   2/18/20 —   0.124% plus 1 Day Euribor rate — Annually  (9,939)
  EUR  8,503,000  11,886 (E)  (34)   2/18/20 —   0.104% plus 1 Day Euribor rate — Annually  (11,919)
  EUR  27,506,000  128,802    (241)   4/26/22 0.21% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually  (164,727)
  EUR  27,544,000  125,130    (242)   5/4/22 0.21% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually  (198,097)
  EUR  53,447,000  226,618 (E)  86,840   12/20/22 0.30% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually  (139,778)
  EUR  51,115,000  777,609 (E)  (389,417)   12/20/27 6 month EUR-EURIBOR-REUTERS — Semiannually   1.00% — Annually  388,192
  EUR  7,933,000  50,177 (E)  (67)   10/27/27 1.61375% — Annually   6 month EUR-EURIBOR-REUTERS — Semiannually  (50,245)
  GBP  3,856,000  81,788 (E)  (72)   1/19/32 1.912% — Semiannually   6 month GBP-LIBOR-BAA — Semiannually  (81,860)
  GBP  17,538,000  23,293    (54)   9/15/19 6 month GBP-LIBOR-BBA — Semiannually   0.766% — Semiannually  (14,491)
  GBP  36,884,000  196,440 (E)  (212,866)   12/20/22 1.05% — Semiannually   6 month GBP-LIBOR-BAA — Semiannually  (16,425)
  GBP  7,066,000  4,505 (E)  (29,945)   12/20/27 1.40% — Semiannually   6 month GBP-LIBOR-BAA — Semiannually  (34,451)
  GBP  3,508,000  39,556 (E)  (43)   9/22/32 1.863% — Semiannually   6 month GBP-LIBOR-BAA — Semiannually  (39,599)
  GBP  17,538,000  20,265 (E)  21,775   12/20/19 6 month GBP-LIBOR-BBA — Semiannually   0.85% — Semiannually  1,510
  MXN  84,723,000  340,717   —   1/1/26 1 month MXN-TIIE-BANXICO — 28 Days   6.16% — 28 Days  (342,687)
  MXN  90,430,000  212,022                         —   10/6/21 1 month MXN-TIIE-BANXICO — 28 Days   5.93% — 28 Days  (216,048)
  MXN  21,470,000  53,665    (14)   12/24/26 8.12% — 28 Days   1 month MXN-TIIE-BANXICO — 28 Days  (54,142)
  MXN  25,900,000  72,222    (17)   1/7/27 8.20% — 28 Days   1 month MXN-TIIE-BANXICO — 28 Days  (72,422)
  NOK  51,094,000  30,964 (E)  (31,012)   12/20/27 6 month NOK-NIBOR-NIBR — Semiannually   2.00% — Annually  (48)
  NOK  291,293,000  357 (E)  (8,142)   12/20/22 1.50% — Annually   6 month NOK-NIBOR-NIBR — Semiannually  (8,498)
  NZD  37,241,000  273,443 (E)  (54,235)   12/20/27 3 month NZD-BBR-FRA — Quarterly   3.30% — Semiannually  219,207
  NZD  17,301,000  79,440 (E)  13,417   12/20/22 3 month NZD-BBR-FRA — Quarterly   2.80% — Semiannually  92,857
  SEK  221,914,000  116,104 (E)  (41,171)   12/20/22 0.50% — Annually   3 month SEK-STIBOR-SIDE — Quarterly  (157,275)
  SEK  73,662,000  48,570 (E)  16,005   12/20/27 3 month SEK-STIBOR-SIDE — Quarterly   1.25% — Annually  64,575
  ZAR  91,635,000  1,815    (15)   10/31/20 3 month ZAR-JIBAR-SAFEX — Quarterly   7.48% — Quarterly  (1,829)
  ZAR  35,250,000  2,024    (18)   10/31/27 8.365% — Quarterly   3 month ZAR-JIBAR-SAFEX — Quarterly  (2,040)
  Total        $(1,348,521)            $547,272
                       
(E) Extended effective date.          












  OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/17 (Unaudited)
               
           
  Swap counterparty/
Notional amount		 Value   Upfront
premium
received (paid)		   Termination date Payments received
(paid) by fund		   Total return received by
or paid by fund		 Unrealized appreciation/
(depreciation)
                       
  Barclays Bank PLC
     $145,837  $145,432   $—    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly $862 
     238,774  238,420   —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (40)
     126,547  125,252   —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 258 
     168,675  168,425   —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (28)
     17,973  17,734   —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (23)
     308,403  308,667   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 795 
     1,408,232  1,406,149   —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly (237)
     1,139,378  1,136,240   —    1/12/40 4.50% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly (1,411)
     696,305  700,432   —    1/12/39 (6.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (5,592)
     196,544  195,086   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 645 
     118,316  117,438   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 388 
     150,045  148,932   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 493 
     266,062  262,523   —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (344)
     38,179  37,671   —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (49)
     542,157  537,363   —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (1,061)
     210,595  209,485   —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 620 
     731,225  733,373   —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (8,898)
     2,271,120  2,262,078   —    1/12/40 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (5,150)
     19,358,431  19,284,197   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (41,111)
     11,764,146  11,840,413   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (103,062)
   
  Citibank, N.A.
     1,139,405  1,135,036   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (2,420)
     2,592,502  2,582,561   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (5,506)
     396,005  394,486   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (841)
   
  Credit Suisse International
     864,167  860,854   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly (1,835)
     865,268  870,878   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (7,580)
     313,683  311,357   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools — Monthly 1,030 
     331,925  328,989   —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (650)
     364,310  361,088   —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (713)
     334,985  332,500   —    1/12/41 5.00% (1 month USD-LIBOR) — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly 1,100 
     187,916  188,468   —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,287 
     15,061  15,105   —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 183 
     14,698  14,743   —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 166 
     128,966  129,356   —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 1,454 
     247,881  246,575   —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 730 
     68,309  67,949   —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 201 
     39,076  38,870   —    1/12/43 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 115 
     1,068,178  1,045,972   —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (12,595)
     383,041  375,078   —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,516)
     364,120  365,523   —    1/12/45 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 4,469 
     654,553  656,475   —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,965)
   
  Deutsche Bank AG
     865,268  870,878   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (7,580)
   
  Goldman Sachs International
     184,683  182,793   —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 377 
     83,703  82,590   —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (108)
     361,845  360,840   —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,139 
     361,845  360,840   —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,139 
     548,061  551,614   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (4,801)
     205,891  207,225   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (1,804)
     88,662  87,755   —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 181 
     13,335  13,198   —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 27 
     214,211  213,741   —    1/12/40 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 1,500 
     89,203  88,290   —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 182 
     178,397  176,571   —    1/12/39 6.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly 364 
     6,021  5,941   —    1/12/38 6.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (8)
     386,342  388,847   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (3,385)
     750,837  755,704   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (6,578)
     463,568  466,573   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (4,061)
     35,519  35,750   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (311)
     94,747  95,361   —    1/12/38 (6.50%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (830)
     823,617  821,331   —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,870 
     712,768  710,790   —    1/12/42 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 4,214 
     519,650  515,055   —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (1,017)
     623,256  625,140   —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 7,025 
     493,697  495,190   —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 5,565 
     260,539  261,327   —    1/12/44 3.50% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 2,937 
     380,099  372,198   —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,482)
     424,371  422,134   —    1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,249)
     1,331,491  1,303,811   —    1/12/45 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (15,699)
     464,458  463,693   —    1/12/44 (3.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly (2,792)
     1,154,440  1,157,831   —    1/12/41 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (14,049)
   
  JPMorgan Chase Bank N.A.
     1,011,071  1,014,040   —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 12,304 
     586,633  588,356   —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 7,139 
     195,007  195,579   —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,373 
     544,532  546,131   —    1/12/41 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 6,627 
     519,650  515,055   —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools — Monthly (1,017)
   
  JPMorgan Securities LLC
     620,850  619,101   —    1/12/44 4.00% (1 month USD-LIBOR) — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,732 
     141,490  140,744   —    1/12/43 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (416)
     2,405,912  2,399,233   —    1/12/42 (4.00%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (14,225)
     725,476  720,095   —    1/12/41 (5.00%) 1 month USD-LIBOR — Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools — Monthly (2,382)
     1,521,157  1,525,756   —    1/12/44 (3.50%) 1 month USD-LIBOR — Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (17,151)
     Upfront premium received  —          Unrealized appreciation 79,491 
     Upfront premium (paid)  —          Unrealized depreciation (315,572)
        Total $—          Total $(236,081)












  CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/17 (Unaudited)      
               
  Notional amount Value   Upfront
premium
received (paid)		   Termination date Payments received (paid) by fund   Total return received by or paid by fund Unrealized appreciation/
(depreciation)
                       
  EUR  17,671,000  $104,670   $—    7/15/27 (1.40%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity $104,670 
  EUR  17,671,000  199,665   —    7/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (199,665)
  EUR  6,627,000  40,952   (86)   8/15/27 (1.42%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 40,866 
  EUR  6,627,000  95,335   (160)   8/15/37 1.71% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (95,495)
  EUR  11,045,000  57,935   (142)   8/15/27 (1.4275%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 57,792 
  EUR  11,045,000  148,471   (267)   8/15/37 1.7138% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (148,738)
  EUR  8,836,000  31,403   (114)   9/15/27 (1.4475%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity 31,289 
  EUR  8,836,000  82,547   (214)   9/15/37 1.735% — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (82,761)
  EUR  17,671,000  2,470   (126)   10/15/22 (1.3013%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (2,596)
  EUR  8,836,000  4,055   (62)   10/15/22 (1.305%) — At maturity   Eurostat Eurozone HICP excluding tobacco — At maturity (4,118)
     $7,142,000  36,638   —    7/3/22 (1.9225%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 36,638 
     7,142,000  34,424   —    7/3/27 2.085% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (34,424)
     8,217,000  57,741   —    7/5/22 (1.89%) — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 57,741 
     8,217,000  68,941    —    7/5/27 2.05% — At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (68,941)
                       
  Total       $(1,171)           $(307,742)












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 10/31/17 (Unaudited)
                     
                 
           
  Swap counterparty/
Referenced debt*		 Rating*** Upfront premium received (paid)**   Notional amount Value   Termination date   Payments received by fund Unrealized appreciation/
(depreciation)
                       
  Bank of America N.A.
   CMBX NA BBB-.6 Index BBB-/P $9,980     $146,000  $24,426   5/11/63   300 bp — Monthly $(14,361)
   CMBX NA BBB-.6 Index BBB-/P 19,586     325,000  54,373   5/11/63   300 bp — Monthly (34,597)
   CMBX NA BBB-.6 Index BBB-/P 40,127     650,000  108,745   5/11/63   300 bp — Monthly (68,238)
   CMBX NA BBB-.6 Index BBB-/P 38,247     671,000  112,258   5/11/63   300 bp — Monthly (73,620)
   
  Citigroup Global Markets, Inc.
  CMBX NA BBB-.6 Index BBB-/P 64,272     473,000  79,133   5/11/63   300 bp — Monthly (14,585)
   
  Credit Suisse International
  CMBX NA BBB-.6 Index BBB-/P 142,278     943,000  157,764   5/11/63   300 bp — Monthly (14,935)
  CMBX NA BBB-.6 Index BBB-/P 124,926     1,090,000  182,357   5/11/63   300 bp — Monthly (56,795)
  CMBX NA BBB-.6 Index BBB-/P 151,088     1,317,000  220,334   5/11/63   300 bp — Monthly (68,478)
  CMBX NA BBB-.6 Index BBB-/P 143,661     1,359,000  227,361   5/11/63   300 bp — Monthly (82,907)
  CMBX NA BBB-.6 Index BBB-/P 185,042     1,710,000  286,083   5/11/63   300 bp — Monthly (100,044)
  CMBX NA BBB-.6 Index BBB-/P 355,922     2,359,000  394,661   5/11/63   300 bp — Monthly (37,362)
  CMBX NA BBB-.6 Index BBB-/P 1,187,355     11,105,000  1,857,867   5/11/63   300 bp — Monthly (664,034)
  CMBX NA BBB-.7 Index BBB-/P 27,745     351,000  40,962   1/17/47   300 bp — Monthly (13,012)
  CMBX NA BBB-.7 Index BBB-/P 143,170     2,180,000  254,406   1/17/47   300 bp — Monthly (109,964)
  CMBX NA BBB-.7 Index BBB-/P 1,652,884     22,362,000  2,609,645   1/17/47   300 bp — Monthly (943,717)
   
  Goldman Sachs International
  CMBX NA BBB-.6 Index BBB-/P 17,848     206,000  34,464   5/11/63   300 bp — Monthly (16,495)
  CMBX NA BBB-.6 Index BBB-/P 24,541     223,000  37,308   5/11/63   300 bp — Monthly (12,637)
  CMBX NA BBB-.6 Index BBB-/P 17,962     227,000  37,977   5/11/63   300 bp — Monthly (19,883)
  CMBX NA BBB-.6 Index BBB-/P 27,421     245,000  40,989   5/11/63   300 bp — Monthly (13,425)
  CMBX NA BBB-.6 Index BBB-/P 24,979     296,000  49,521   5/11/63   300 bp — Monthly (24,369)
  CMBX NA BBB-.6 Index BBB-/P 58,232     389,000  65,080   5/11/63   300 bp — Monthly (6,621)
  CMBX NA BBB-.6 Index BBB-/P 57,641     392,000  65,582   5/11/63   300 bp — Monthly (7,712)
  CMBX NA BBB-.6 Index BBB-/P 44,904     403,000  67,422   5/11/63   300 bp — Monthly (22,283)
  CMBX NA BBB-.6 Index BBB-/P 34,559     417,000  69,764   5/11/63   300 bp — Monthly (34,961)
  CMBX NA BBB-.6 Index BBB-/P 45,228     418,000  69,931   5/11/63   300 bp — Monthly (24,459)
  CMBX NA BBB-.6 Index BBB-/P 45,403     418,000  69,931   5/11/63   300 bp — Monthly (24,284)
  CMBX NA BBB-.6 Index BBB-/P 37,046     439,000  73,445   5/11/63   300 bp — Monthly (36,142)
  CMBX NA BBB-.6 Index BBB-/P 30,861     453,000  75,787   5/11/63   300 bp — Monthly (44,661)
  CMBX NA BBB-.6 Index BBB-/P 51,553     462,000  77,293   5/11/63   300 bp — Monthly (25,470)
  CMBX NA BBB-.6 Index BBB-/P 51,553     462,000  77,293   5/11/63   300 bp — Monthly (25,470)
  CMBX NA BBB-.6 Index BBB-/P 73,722     531,000  88,836   5/11/63   300 bp — Monthly (14,805)
  CMBX NA BBB-.6 Index BBB-/P 48,875     566,000  94,692   5/11/63   300 bp — Monthly (45,487)
  CMBX NA BBB-.6 Index BBB-/P 86,808     576,000  96,365   5/11/63   300 bp — Monthly (9,220)
  CMBX NA BBB-.6 Index BBB-/P 31,103     638,000  106,737   5/11/63   300 bp — Monthly (75,263)
  CMBX NA BBB-.6 Index BBB-/P 31,646     638,000  106,737   5/11/63   300 bp — Monthly (74,719)
  CMBX NA BBB-.6 Index BBB-/P 34,009     652,000  109,080   5/11/63   300 bp — Monthly (74,690)
  CMBX NA BBB-.6 Index BBB-/P 84,497     694,000  116,106   5/11/63   300 bp — Monthly (31,205)
  CMBX NA BBB-.6 Index BBB-/P 76,544     707,000  118,281   5/11/63   300 bp — Monthly (41,325)
  CMBX NA BBB-.6 Index BBB-/P 69,759     928,000  155,254   5/11/63   300 bp — Monthly (84,954)
  CMBX NA BBB-.6 Index BBB-/P 134,739     961,000  160,775   5/11/63   300 bp — Monthly (25,476)
  CMBX NA BBB-.6 Index BBB-/P 124,015     1,131,000  189,216   5/11/63   300 bp — Monthly (64,541)
  CMBX NA BBB-.6 Index BBB-/P 124,607     1,193,000  199,589   5/11/63   300 bp — Monthly (74,286)
  CMBX NA BBB-.6 Index BBB-/P 155,880     1,414,000  236,562   5/11/63   300 bp — Monthly (79,857)
  CMBX NA BBB-.6 Index BBB-/P 184,707     1,551,000  259,482   5/11/63   300 bp — Monthly (73,871)
  CMBX NA BBB-.6 Index BBB-/P 93,617     1,935,000  323,726   5/11/63   300 bp — Monthly (228,980)
  CMBX NA BBB-.7 Index BBB-/P 104,272     1,496,000  174,583   1/17/47   300 bp — Monthly (69,438)
  CMBX NA BBB-.7 Index BBB-/P 260,919     3,530,000  411,951   1/17/47   300 bp — Monthly (148,972)
   
  JPMorgan Securities LLC
  CMBX NA BBB-.6 Index BBB-/P 15,040     132,000  22,084   5/11/63   300 bp — Monthly (6,966)
  CMBX NA BBB-.6 Index BBB-/P 20,772     139,000  23,255   5/11/63   300 bp — Monthly (2,402)
  CMBX NA BBB-.6 Index BBB-/P 36,031     323,000  54,038   5/11/63   300 bp — Monthly (17,819)
  CMBX NA BBB-.6 Index BBB-/P 36,027     329,000  55,042   5/11/63   300 bp — Monthly (18,823)
  CMBX NA BBB-.6 Index BBB-/P 52,122     357,000  59,726   5/11/63   300 bp — Monthly (7,396)
  CMBX NA BBB-.6 Index BBB-/P 58,890     379,000  63,407   5/11/63   300 bp — Monthly (4,296)
  CMBX NA BBB-.6 Index BBB-/P 35,499     417,000  69,764   5/11/63   300 bp — Monthly (34,022)
  CMBX NA BBB-.6 Index BBB-/P 56,672     432,000  72,274   5/11/63   300 bp — Monthly (15,349)
  CMBX NA BBB-.6 Index BBB-/P 58,915     456,000  76,289   5/11/63   300 bp — Monthly (17,107)
  CMBX NA BBB-.6 Index BBB-/P 60,399     464,000  77,627   5/11/63   300 bp — Monthly (16,958)
  CMBX NA BBB-.6 Index BBB-/P 60,080     480,000  80,304   5/11/63   300 bp — Monthly (19,944)
  CMBX NA BBB-.6 Index BBB-/P 81,912     555,000  92,852   5/11/63   300 bp — Monthly (10,615)
  CMBX NA BBB-.6 Index BBB-/P 75,904     613,000  102,555   5/11/63   300 bp — Monthly (26,294)
  CMBX NA BBB-.6 Index BBB-/P 71,792     646,000  108,076   5/11/63   300 bp — Monthly (35,907)
  CMBX NA BBB-.6 Index BBB-/P 71,979     646,000  108,076   5/11/63   300 bp — Monthly (35,720)
  CMBX NA BBB-.6 Index BBB-/P 79,783     703,000  117,612   5/11/63   300 bp — Monthly (37,419)
  CMBX NA BBB-.6 Index BBB-/P 78,962     704,000  117,779   5/11/63   300 bp — Monthly (38,407)
  CMBX NA BBB-.6 Index BBB-/P 77,653     707,000  118,281   5/11/63   300 bp — Monthly (40,215)
  CMBX NA BBB-.6 Index BBB-/P 102,206     725,000  121,293   5/11/63   300 bp — Monthly (18,663)
  CMBX NA BBB-.6 Index BBB-/P 83,232     732,000  122,464   5/11/63   300 bp — Monthly (38,805)
  CMBX NA BBB-.6 Index BBB-/P 89,585     733,000  122,631   5/11/63   300 bp — Monthly (32,619)
  CMBX NA BBB-.6 Index BBB-/P 89,585     733,000  122,631   5/11/63   300 bp — Monthly (32,619)
  CMBX NA BBB-.6 Index BBB-/P 79,991     815,000  136,350   5/11/63   300 bp — Monthly (55,883)
  CMBX NA BBB-.6 Index BBB-/P 98,087     830,000  138,859   5/11/63   300 bp — Monthly (40,288)
  CMBX NA BBB-.6 Index BBB-/P 104,739     857,000  143,376   5/11/63   300 bp — Monthly (38,137)
  CMBX NA BBB-.6 Index BBB-/P 99,018     892,000  149,232   5/11/63   300 bp — Monthly (49,693)
  CMBX NA BBB-.6 Index BBB-/P 105,395     899,000  150,403   5/11/63   300 bp — Monthly (44,483)
  CMBX NA BBB-.6 Index BBB-/P 121,754     927,000  155,087   5/11/63   300 bp — Monthly (32,792)
  CMBX NA BBB-.6 Index BBB-/P 156,038     1,029,000  172,152   5/11/63   300 bp — Monthly (15,514)
  CMBX NA BBB-.6 Index BBB-/P 110,130     1,047,000  175,163   5/11/63   300 bp — Monthly (64,423)
  CMBX NA BBB-.6 Index BBB-/P 116,769     1,061,000  177,505   5/11/63   300 bp — Monthly (60,117)
  CMBX NA BBB-.6 Index BBB-/P 125,112     1,193,000  199,589   5/11/63   300 bp — Monthly (73,781)
  CMBX NA BBB-.6 Index BBB-/P 142,215     1,291,000  215,984   5/11/63   300 bp — Monthly (73,016)
  CMBX NA BBB-.6 Index BBB-/P 195,139     1,768,000  295,786   5/11/63   300 bp — Monthly (99,616)
  CMBX NA BBB-.6 Index BBB-/P 188,751     1,794,000  300,136   5/11/63   300 bp — Monthly (110,339)
  CMBX NA BBB-.6 Index BBB-/P 227,587     1,838,000  307,497   5/11/63   300 bp — Monthly (78,838)
  CMBX NA BBB-.6 Index BBB-/P 265,627     1,917,000  320,714   5/11/63   300 bp — Monthly (53,968)
  CMBX NA BBB-.6 Index BBB-/P 312,079     2,063,000  345,140   5/11/63   300 bp — Monthly (31,857)
  CMBX NA BBB-.6 Index BBB-/P 525,740     5,013,000  838,675   5/11/63   300 bp — Monthly (310,011)
  CMBX NA BBB-.6 Index BBB-/P 563,900     5,381,000  900,241   5/11/63   300 bp — Monthly (333,202)
  CMBX NA BBB-.6 Index BBB-/P 1,325,713     11,070,000  1,852,011   5/11/63   300 bp — Monthly (519,843)
   Upfront premium received  12,832,557           Unrealized appreciation  — 
   Upfront premium (paid)  —           Unrealized depreciation  (6,446,776)
  Total   $12,832,557              Total $(6,446,776)
                       
* Payments related to the referenced debt are made upon a credit default event.
                       
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
                       
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at October 31, 2017.  Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 10/31/17 (Unaudited)          
                     
               
           
  Swap counterparty/
Referenced debt*		   Upfront premium received (paid)**   Notional amount Value   Termination date   Payments (paid) by fund Unrealized appreciation/
(depreciation)
                       
  Citigroup Global Markets, Inc.                
  CMBX NA BB.7 Index   $(42,091)    $268,000  $51,563   1/17/47   (500 bp) — Monthly  $9,212
  CMBX NA BB.7 Index   (43,761)    268,000  51,563   1/17/47   (500 bp) — Monthly  7,541
                   
  Credit Suisse International                
  CMBX NA BB.7 Index   (72,596)    4,113,000  1,080,485   5/11/63   (500 bp) — Monthly  1,003,890
  CMBX NA BB.7 Index   (507,935)    3,088,000  594,131   1/17/47   (500 bp) — Monthly  83,194
                   
  Goldman Sachs International                
   CMBX NA BB.6 Index   (213,805)    2,090,000  549,043   5/11/63   (500 bp) — Monthly  333,206
   CMBX NA BB.7 Index   (71,729)    474,000  91,198   1/17/47   (500 bp) — Monthly  19,008
  CMBX NA BB.6 Index   (19,578)    134,000  35,202   5/11/63   (500 bp) — Monthly  15,493
  CMBX NA BB.7 Index   (135,933)    804,000  154,690   1/17/47   (500 bp) — Monthly  17,975
  CMBX NA BB.7 Index   (84,052)    513,000  98,701   1/17/47   (500 bp) — Monthly  14,151
  CMBX NA BB.7 Index   (57,666)    284,000  54,642   1/17/47   (500 bp) — Monthly  (3,301)
  CMBX NA BB.7 Index   (31,765)    174,000  33,478   1/17/47   (500 bp) — Monthly  1,544
                   
  JPMorgan Securities LLC                
  CMBX NA BB.6 Index   (108,451)    748,000  196,500   5/11/63   (500 bp) — Monthly  87,321
  CMBX NA BB.6 Index   (84,642)    602,000  158,145   5/11/63   (500 bp) — Monthly  72,918
  CMBX NA BB.6 Index   (80,830)    562,000  147,637   5/11/63   (500 bp) — Monthly  66,261
  CMBX NA BB.6 Index   (41,215)    310,000  81,437   5/11/63   (500 bp) — Monthly  39,921
  CMBX NA BB.7 Index   (216,992)    1,389,000  267,244   1/17/47   (500 bp) — Monthly  48,901
  CMBX NA BB.7 Index   (153,231)    932,000  179,317   1/17/47   (500 bp) — Monthly  25,180
  CMBX NA BB.7 Index   (146,528)    917,000  176,431   1/17/47   (500 bp) — Monthly  29,011
  CMBX NA BB.7 Index   (117,583)    724,000  139,298   1/17/47   (500 bp) — Monthly  21,011
  CMBX NA BB.7 Index   (84,373)    539,000  103,704   1/17/47   (500 bp) — Monthly  18,807
  CMBX NA BB.7 Index   (42,091)    268,000  51,563   1/17/47   (500 bp) — Monthly  9,212
  CMBX NA BB.7 Index   (34,479)    227,000  43,675   1/17/47   (500 bp) — Monthly  8,975
  CMBX NA BB.7 Index   (32,108)    174,000  33,478   1/17/47   (500 bp) — Monthly  1,200
  CMBX NA BBB-.7 Index   (189,273)    2,055,000  239,819   1/17/47   (300 bp) — Monthly  49,347
  CMBX NA BBB-.7 Index   (93,842)    1,128,000  131,638   1/17/47   (300 bp) — Monthly  37,138
  CMBX NA BBB-.7 Index   (80,904)    725,000  84,608   1/17/47   (300 bp) — Monthly  3,281
  CMBX NA BBB-.7 Index   (39,631)    501,000  58,467   1/17/47   (300 bp) — Monthly  18,544
  CMBX NA BBB-.7 Index   (39,703)    379,000  44,229   1/17/47   (300 bp) — Monthly  4,306
  CMBX NA BBB-.7 Index   (15,493)    288,000  33,610   1/17/47   (300 bp) — Monthly  17,945
   Upfront premium received  —           Unrealized appreciation   2,064,493
   Upfront premium (paid)  (2,882,280)          Unrealized depreciation   (3,301)
  Total   $(2,882,280)             Total  $2,061,192
                       
* Payments related to the referenced debt are made upon a credit default event.
                       
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.












  CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING -- PROTECTION PURCHASED at 10/31/17 (Unaudited)

      Upfront                
      premium         Termi-   Payments Unrealized
      received   Notional     nation   (paid) appreciation/
  Referenced debt*   (paid)**   amount Value   date   by fund (depreciation)
                       
  NA HY Series 29 Index    $1,245,669    $16,720,000  $1,405,400   12/20/22   (500 bp) — Quarterly  $(236,364)
                       
  Total    $1,245,669                $(236,364)
                       
* Payments related to the referenced debt are made upon a credit default event.
                       
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.







Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CNH Chinese Yuan (Offshore)
CZK Czech Koruna
EGP Egyptian Pound
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
DAC Designated Activity Company
EMTN Euro Medium Term Notes
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.
GMTN Global Medium Term Notes
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
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PJSC Public Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2017 through October 31, 2017 (the reporting period). Within the following notes to the portfolio, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $599,043,383.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $129,548, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value as of 7/31/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 10/31/17
Short-term investments
Putnam Short Term Investment Fund* $23,582,059 $54,760,076 $59,462,946 $54,519 $18,879,189
Total Short-term investments $23,582,059 $54,760,076 $59,462,946 $54,519 $18,879,189
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $119,856.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $16,186,187.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $24,718,058.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $211,606,099 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 86.6%
Argentina 2.2
Brazil 1.9
Greece 1.6
Russia 1.6
Canada 1.0
Mexico 1.0
Indonesia 0.7
Luxembourg 0.5
Other 2.9
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral 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 $16,496,063 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $16,186,187 and may include amounts related to unsettled agreements.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Consumer cyclicals $116,395 $— $23,241
    Energy 317,299 20,561 13,689
    Transportation — 11,480 —
    Utilities and power — 22,127 —
Total common stocks 433,694 54,168 36,930
Convertible bonds and notes — 6,387,176 —
Convertible preferred stocks — 33,124 —
Corporate bonds and notes — 196,734,447 5
Foreign government and agency bonds and notes — 59,358,803 —
Mortgage-backed securities — 271,919,461 —
Preferred stocks 427,119 — —
Purchased options outstanding — 1,260,176 —
Purchased swap options outstanding — 9,775,909 —
Senior loans — 8,680,181 —
U.S. government and agency mortgage obligations — 310,589,801 —
U.S. treasury obligations — 257,208 —
Warrants 2,693 — —
Short-term investments 18,879,189 49,222,053 —
Totals by level $19,742,695 $914,272,507 $36,935



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(960,947) $—
Futures contracts (62,261) — —
Written options outstanding — (1,244,991) —
Written swap options outstanding — (10,413,418) —
Forward premium swap option contracts — 280,376 —
TBA sale commitments — (211,671,323) —
Interest rate swap contracts — 1,895,793 —
Total return swap contracts — (542,652) —
Credit default contracts — (15,817,894) —
Totals by level $(62,261) $(238,475,056) $—

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $4,943,472 $20,761,366
Foreign exchange contracts 2,938,977 3,666,369
Equity contracts 2,693 —
Interest rate contracts 21,428,696 20,713,319
Total $29,313,838 $45,141,054

The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $258,300,000
Purchased currency options (contract amount) $104,500,000
Purchased swap option contracts (contract amount) $3,421,200,000
Written TBA commitment option contracts (contract amount) $343,500,000
Written currecny options (contract amount)$104,500,000
Written swap option contracts (contract amount) $2,966,800,000
Futures contracts (number of contracts)$30
Forward currency contracts (contract amount)$486,300,000
Centrally cleared interest rate swap contracts (notional) $2,787,900,000
OTC total return swap contracts (notional) $107,700,000
Centrally cleared total return swap contracts (notional) $123,400,000
OTC credit default contracts (notional)145,500,000
Centrally cleared credit default contracts (notional) $16,700,000
Warrants (number of warrants)$7,000

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 28, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: December 28, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: December 28, 2017