Putnam Dynamic Asset Allocation Conservative Fund
The fund's portfolio
12/31/24 (Unaudited)


COMMON STOCKS (53.3%)(a)
        Shares Value
Basic materials (2.2%)
Air Liquide SA (France) 853 $138,663
American Woodmark Corp.(NON) 461 36,663
Andersons, Inc. (The) 242 9,806
Archer-Daniels-Midland Co. 2,771 139,991
Atkore, Inc. 142 11,850
Avient Corp. 551 22,514
Axalta Coating Systems, Ltd.(NON) 3,448 117,991
Beacon Roofing Supply, Inc.(NON) 133 13,510
BHP Group, Ltd. (ASE Exchange) (Australia) 15,809 385,657
BHP Group, Ltd. (London Exchange) (Australia) 1,231 30,082
Boise Cascade Co. 518 61,569
Carpenter Technology Corp. 106 17,989
CF Industries Holdings, Inc. 1,590 135,659
Cie de Saint-Gobain SA (France) 8,053 715,602
Commercial Metals Co. 219 10,862
Constellium SE (France)(NON) 4,486 46,071
Corteva, Inc. 13,366 761,327
CRH PLC 9,408 870,428
CRH PLC (London Exchange) 4,384 405,828
Dole PLC (Ireland) 3,454 46,767
DuPont de Nemours, Inc. 7,747 590,709
Eastman Chemical Co. 3,891 355,326
Evonik Industries AG (Germany) 3,218 55,935
Fortescue, Ltd. (Australia) 19,495 219,525
Freeport-McMoRan, Inc. 21,096 803,336
Fresh Del Monte Produce, Inc. 1,046 34,738
Frontdoor, Inc.(NON) 1,398 76,429
Gibraltar Industries, Inc.(NON) 184 10,838
Glencore PLC (United Kingdom) 34,535 152,098
Hecla Mining Co. 2,246 11,028
HeidelbergCement AG (Germany) 1,940 239,712
Holcim AG (Switzerland) 3,827 368,483
Huntsman Corp. 6,904 124,479
Ingevity Corp.(NON) 339 13,814
Innospec, Inc. 375 41,273
International Flavors & Fragrances, Inc. 1,501 126,910
Kaiser Aluminum Corp. 165 11,595
Latham Group, Inc.(NON) 1,772 12,333
Limbach Holdings, Inc.(NON) 264 22,583
Linde PLC 1,549 648,519
Louisiana-Pacific Corp. 3,900 403,845
LyondellBasell Industries NV Class A 1,751 130,047
Mativ Holdings, Inc. 1,032 11,249
Minerals Technologies, Inc. 867 66,074
Mosaic Co. (The) 4,919 120,909
Mueller Industries, Inc. 246 19,523
NewMarket Corp. 148 78,196
Nippon Sanso Holdings Corp. (Japan) 8,300 230,308
Northern Star Resources, Inc. (Australia) 3,986 37,872
Nucor Corp. 986 115,076
Olin Corp. 3,482 117,692
Packaging Corp. of America 709 159,617
Perimeter Solutions, Inc.(NON) 996 12,729
PPG Industries, Inc. 4,268 509,813
Primoris Services Corp. 1,024 78,234
Proto Labs, Inc.(NON) 418 16,340
Prysmian SpA (Italy) 5,057 323,629
Rayonier Advanced Materials, Inc.(NON) 1,463 12,070
Rio Tinto PLC (United Kingdom) 4,213 248,693
ROCKWOOL International A/S Class B (Denmark) 193 68,676
Sealed Air Corp. 3,772 127,607
Sherwin-Williams Co. (The) 2,002 680,540
Shin-Etsu Chemical Co., Ltd. (Japan) 12,200 401,833
Sterling Construction Co., Inc.(NON) 463 77,992
Sylvamo Corp. 813 64,243
Tutor Perini Corp.(NON) 1,361 32,936
UFP Industries, Inc. 681 76,715
Westlake Corp. 1,139 130,586
Weyerhaeuser Co.(R) 4,395 123,719
Worthington Steel, Inc. 355 11,296
12,386,551
Capital goods (2.4%)
ABB, Ltd. (Switzerland) 7,846 423,672
Adient PLC(NON) 1,327 22,864
AeroVironment, Inc.(NON) 76 11,696
Airbus SE (France) 3,098 496,085
AISIN Corp. (Japan) 16,300 182,107
Alamo Group, Inc. 70 13,014
Albany International Corp. Class A 168 13,435
Allison Transmission Holdings, Inc. 1,400 151,284
American Axle & Manufacturing Holdings, Inc.(NON) 7,075 41,247
Applied Industrial Technologies, Inc. 206 49,331
Argan, Inc. 475 65,094
Ball Corp. 5,641 310,988
Belden, Inc. 481 54,165
Caterpillar, Inc. 488 177,027
Columbus McKinnon Corp./NY 293 10,911
Crown Holdings, Inc. 1,523 125,937
Curtiss-Wright Corp. 456 161,821
Dassault Aviation SA (France) 400 81,734
Donaldson Co., Inc. 1,742 117,324
Eaton Corp. PLC 1,514 502,451
Federal Signal Corp. 141 13,027
Flowserve Corp. 2,678 154,039
Franklin Electric Co., Inc. 116 11,304
GE Vernova, Inc.(NON) 414 136,177
GEA Group AG (Germany) 2,633 130,790
Gentherm, Inc.(NON) 282 11,259
Graco, Inc. 1,444 121,715
Hitachi, Ltd. (Japan) 2,400 58,776
Honeywell International, Inc. 3,437 776,384
Hyster-Yale, Inc. 354 18,029
Ingersoll Rand, Inc. 7,621 689,396
Interface, Inc. 2,314 56,346
Johnson Controls International PLC 8,654 683,060
Komatsu, Ltd. (Japan) 1,500 40,864
Lockheed Martin Corp. 3,174 1,542,374
Mitsubishi Electric Corp. (Japan) 13,300 224,580
Moog, Inc. Class A 61 12,007
Mueller Water Products, Inc. Class A 594 13,365
NANO Nuclear Energy, Inc.(NON) 1,234 30,720
nLight, Inc.(NON) 1,136 11,917
Northrop Grumman Corp. 1,792 840,968
NuScale Power Corp.(NON) 260 4,662
O-I Glass, Inc.(NON) 1,073 11,631
Otis Worldwide Corp. 5,073 469,811
Parker Hannifin Corp. 210 133,566
Pentair PLC 1,326 133,449
Powell Industries, Inc. 218 48,320
Republic Services, Inc. 632 127,146
Rocket Lab USA, Inc.(NON) 536 13,652
RTX Corp. 14,069 1,628,064
Schindler Holding AG (Switzerland) 322 88,963
Smiths Group PLC (United Kingdom) 3,738 80,145
Steelcase, Inc. Class A 876 10,354
Tennant Co. 145 11,822
Terex Corp. 1,053 48,670
Textron, Inc. 1,871 143,113
TransDigm Group, Inc. 334 423,272
Vertiv Holdings Co. Class A 6,408 728,013
Vinci SA (France) 5,902 607,649
Waste Connections, Inc. 2,051 351,911
Waste Management, Inc. 641 129,347
Watts Water Technologies, Inc. Class A 348 70,748
13,853,592
Communication services (0.9%)
American Tower Corp.(R) 4,519 828,830
AT&T, Inc. 4,928 112,211
Charter Communications, Inc. Class A(NON) 1,269 434,975
Comcast Corp. Class A 19,595 735,400
Credo Technology Group Holding, Ltd.(NON) 1,471 98,866
Crown Castle, Inc.(R) 1,461 132,600
Deutsche Telekom AG (Germany) 1,046 31,341
InterDigital, Inc. 428 82,912
Juniper Networks, Inc. 3,484 130,476
KDDI Corp. (Japan) 10,700 340,801
Koninklijke KPN NV (Netherlands) 45,148 164,629
Lumen Technologies, Inc.(NON) 13,863 73,613
T-Mobile US, Inc. 3,973 876,960
Telstra Group, Ltd. (Australia) 70,090 173,704
Ubiquiti, Inc. 392 130,117
Verizon Communications, Inc. 14,655 586,053
4,933,488
Communications equipment (0.2%)
Arista Networks, Inc.(NON) 1,668 184,364
CommScope Holding Co., Inc.(NON) 6,603 34,402
Motorola Solutions, Inc. 2,110 975,305
NETGEAR, Inc.(NON) 1,575 43,895
Viavi Solutions, Inc.(NON) 1,240 12,524
1,250,490
Computers (3.8%)
8x8, Inc.(NON) 4,748 12,677
A10 Networks, Inc. 803 14,775
Adeia, Inc. 839 11,729
Agilysys, Inc.(NON) 315 41,489
Alkami Technology, Inc.(NON) 1,746 64,043
Altair Engineering, Inc. Class A(NON) 126 13,748
AppFolio, Inc. Class A(NON) 589 145,318
Apple, Inc. 70,124 17,560,452
Bandwidth, Inc. Class A(NON) 1,351 22,994
Blend Labs, Inc. Class A(NON) 13,010 54,772
Calix, Inc.(NON) 383 13,355
Check Point Software Technologies, Ltd. (Israel)(NON) 400 74,680
Cisco Systems, Inc. 1,987 117,630
CommVault Systems, Inc.(NON) 539 81,340
Dropbox, Inc. Class A(NON) 4,289 128,842
Dynatrace, Inc.(NON) 2,428 131,962
Extreme Networks, Inc.(NON) 4,033 67,512
Fortinet, Inc.(NON) 1,394 131,705
IonQ, Inc.(NON) 364 15,204
Life360, Inc.(NON) 267 11,019
NetApp, Inc. 1,173 136,162
NetScout Systems, Inc.(NON) 560 12,130
OneSpan, Inc.(NON) 712 13,200
Phreesia, Inc.(NON) 1,704 42,873
PubMatic, Inc. Class A(NON) 1,035 15,204
Qualys, Inc.(NON) 407 57,070
RingCentral, Inc. Class A(NON) 3,980 139,340
ServiceNow, Inc.(NON) 1,543 1,635,765
Snowflake, Inc. Class A(NON) 537 82,918
Synopsys, Inc.(NON) 256 124,252
Teradata Corp.(NON) 3,971 123,697
Twilio, Inc. Class A(NON) 1,814 196,057
Weave Communications, Inc.(NON) 1,765 28,099
Zoom Video Communications, Inc. Class A(NON) 2,223 181,419
21,503,432
Conglomerates (0.7%)
3M Co. 13,770 1,777,569
AMETEK, Inc. 858 154,663
General Electric Co. 2,548 424,981
Marubeni Corp. (Japan) 3,800 57,033
Mitsubishi Corp. (Japan) 19,600 320,690
Mitsui & Co., Ltd. (Japan) 16,600 344,269
Siemens AG (Germany) 3,509 684,236
SPX Technologies, Inc.(NON) 105 15,280
3,778,721
Consumer cyclicals (9.2%)
Abercrombie & Fitch Co. Class A(NON) 657 98,202
Accor SA (France) 7,433 361,523
adidas AG (Germany) 801 197,017
Alarm.com Holdings, Inc.(NON) 221 13,437
Amazon.com, Inc.(NON) 50,732 11,130,093
American Eagle Outfitters, Inc. 936 15,603
Apogee Enterprises, Inc. 694 49,559
Aristocrat Leisure, Ltd. (Australia) 8,106 342,321
Arrowhead Pharmaceuticals, Inc.(NON) 509 9,569
Associated British Foods PLC (United Kingdom) 10,907 278,220
Automatic Data Processing, Inc. 5,910 1,730,034
Bandai Namco Holdings, Inc. (Japan) 800 19,076
BJ's Wholesale Club Holdings, Inc.(NON) 4,482 400,467
Block, Inc. Class A(NON) 1,899 161,396
Blue Bird Corp.(NON) 1,045 40,368
BlueLinx Holdings, Inc.(NON) 265 27,072
Booking Holdings, Inc. 165 819,790
BrightView Holdings, Inc.(NON) 1,185 18,948
Buckle, Inc. (The) 291 14,786
Caleres, Inc. 467 10,816
Carvana Co.(NON) 1,833 372,759
Cimpress PLC (Ireland)(NON) 467 33,493
Clorox Co. (The) 779 126,517
Compass Group PLC (United Kingdom) 15,862 527,783
Daktronics, Inc.(NON) 1,326 22,356
Dana, Inc. 2,117 24,473
DraftKings, Inc. Class A(NON) 11,174 415,673
Ecolab, Inc. 553 129,579
Equifax, Inc. 1,944 495,428
Euronet Worldwide, Inc.(NON) 1,251 128,653
Experian PLC (United Kingdom) 8,880 381,661
Fast Retailing Co., Ltd. (Japan) 1,200 404,810
Ford Motor Co. 12,789 126,611
Forestar Group, Inc.(NON) 957 24,805
G-III Apparel Group, Ltd.(NON) 436 14,222
Gap, Inc. (The) 6,129 144,828
General Motors Co. 20,163 1,074,083
Global Payments, Inc. 1,167 130,774
GMS, Inc.(NON) 193 16,372
Golden Entertainment, Inc. 379 11,976
Goodyear Tire & Rubber Co. (The)(NON) 1,281 11,529
Hasbro, Inc. 2,116 118,306
Hermes International (France) 115 275,927
Hilton Worldwide Holdings, Inc. 2,696 666,343
Home Depot, Inc. (The) 1,257 488,960
Hoshizaki Corp. (Japan) 1,100 43,251
Hovnanian Enterprises, Inc. Class A(NON) 309 41,350
Industria de Diseno Textil SA (Spain) 6,870 351,908
Informa PLC (United Kingdom) 32,535 324,491
Innovid Corp. (Israel)(NON) 4,074 12,589
InterContinental Hotels Group PLC (United Kingdom) 820 102,027
International Game Technology PLC 2,998 52,945
J. Jill, Inc. 782 21,599
Jardine Matheson Holdings, Ltd. (Hong Kong) 6,400 261,973
KB Home 655 43,047
Kimberly-Clark Corp. 1,105 144,799
La Francaise des Jeux SAEM (France) 1,897 73,054
Laureate Education, Inc.(NON) 777 14,211
LegalZoom.com, Inc.(NON) 3,361 25,241
Lennar Corp. Class A 898 122,460
Light & Wonder, Inc.(NON) 1,403 121,191
Live Nation Entertainment, Inc.(NON) 3,376 437,192
LiveRamp Holdings, Inc.(NON) 2,180 66,207
LVMH Moet Hennessy Louis Vuitton SA (France) 75 49,334
M/I Homes, Inc.(NON) 466 61,955
Magnite, Inc.(NON) 1,947 30,996
Mastercard, Inc. Class A 6,740 3,549,082
Meritage Homes Corp. 146 22,458
Modine Manufacturing Co.(NON) 243 28,171
Mohawk Industries, Inc.(NON) 1,128 134,379
Netflix, Inc.(NON) 4,035 3,596,476
New York Times Co. (The) Class A 2,357 122,682
Next PLC (United Kingdom) 997 118,266
Nintendo Co., Ltd. (Japan) 11,600 675,605
O'Reilly Automotive, Inc.(NON) 265 314,237
Owens Corning 933 158,909
Pandora A/S (Denmark) 1,700 311,024
Payoneer Global, Inc.(NON) 1,206 12,108
PayPal Holdings, Inc.(NON) 15,288 1,304,831
Paysafe, Ltd. (United Kingdom)(NON) 643 10,995
PROG Holdings, Inc. 1,341 56,671
Publicis Groupe SA (France) 2,610 277,860
PulteGroup, Inc. 10,934 1,190,713
Rational AG (Germany) 59 50,534
RE/MAX Holdings, Inc. Class A(NON) 986 10,521
Red Rock Resorts, Inc. Class A 266 12,300
REV Group, Inc. 2,016 64,250
Revelyst, Inc.(NON) 3,543 68,132
Ryman Hospitality Properties, Inc.(R) 689 71,890
Ryohin Keikaku Co., Ltd. (Japan) 8,400 191,251
S&P Global, Inc. 704 350,613
Sonos, Inc.(NON) 874 13,145
Sony Group Corp. (Japan) 18,700 394,112
Subaru Corp. (Japan) 13,900 246,980
Target Corp. 4,650 628,587
Taylor Wimpey PLC (United Kingdom) 27,480 41,825
Tesla, Inc.(NON) 11,769 4,752,793
TJX Cos., Inc. (The) 16,358 1,976,210
Toll Brothers, Inc. 2,975 374,701
TOPPAN Holdings, Inc. (Japan) 9,900 262,629
Toyota Motor Corp. (Japan) 3,100 60,528
Trade Desk, Inc. (The) Class A(NON) 1,020 119,881
Trane Technologies PLC 2,275 840,271
TRI Pointe Homes, Inc.(NON) 1,661 60,228
United Rentals, Inc. 789 555,803
Universal Music Group NV (Netherlands) 6,243 159,690
Upbound Group, Inc. 414 12,076
Urban Outfitters, Inc.(NON) 311 17,068
Victoria's Secret & Co.(NON) 1,627 67,390
Visteon Corp.(NON) 785 69,645
Volvo AB Class B (Sweden) 10,844 263,533
Vulcan Materials Co. 509 130,930
Walmart, Inc. 43,346 3,916,311
Wolters Kluwer NV (Netherlands) 2,211 367,345
Xperi, Inc.(NON) 1,626 16,699
52,360,376
Consumer staples (3.5%)
ACCO Brands Corp. 2,340 12,285
Asahi Group Holdings, Ltd. (Japan) 16,200 169,949
Auto Trader Group PLC (United Kingdom) 22,082 218,498
BellRing Brands, Inc.(NON) 1,828 137,722
Brink's Co. (The) 660 61,228
Brinker International, Inc.(NON) 106 14,023
Bunzl PLC (United Kingdom) 318 13,094
Cal-Maine Foods, Inc. 793 81,616
Cargurus, Inc.(NON) 1,864 68,111
Carlsberg A/S Class B (Denmark) 420 40,338
Chipotle Mexican Grill, Inc.(NON) 14,152 853,366
CK Hutchison Holdings, Ltd. (Hong Kong) 74,000 393,417
Coca-Cola Co. (The) 25,736 1,602,323
Coca-Cola Consolidated, Inc. 108 136,079
Coca-Cola Europacific Partners PLC (Spain) 4,661 358,011
Coca-Cola HBC AG (Italy) 5,656 193,220
Colgate-Palmolive Co. 4,748 431,641
Copart, Inc.(NON) 9,323 535,047
CoreCivic, Inc.(NON) 996 21,653
Costco Wholesale Corp. 389 356,429
Coursera, Inc.(NON) 7,814 66,419
Danone SA (France) 3,625 244,977
Dave & Buster's Entertainment, Inc.(NON) 351 10,246
DoorDash, Inc. Class A(NON) 12,500 2,096,876
El Pollo Loco Holdings, Inc.(NON) 888 10,248
Etsy, Inc.(NON) 2,611 138,096
EverQuote, Inc. Class A(NON) 2,171 43,398
GEO Group, Inc. (The)(NON) 443 12,395
Haleon PLC (United Kingdom) 64,041 301,963
Heidrick & Struggles International, Inc. 364 16,129
Henkel AG & Co. KGaA Vorzug (Preference) (Germany) 853 74,839
Hims & Hers Health, Inc.(NON) 1,187 28,702
Hudson Technologies, Inc.(NON) 2,232 12,455
Imperial Brands PLC (United Kingdom) 10,970 350,808
Ingles Markets, Inc. Class A 178 11,470
Ingredion, Inc. 900 123,804
ITOCHU Corp. (Japan) 6,000 295,046
Itron, Inc.(NON) 692 75,137
Kenvue, Inc. 9,598 204,917
Keurig Dr Pepper, Inc. 4,088 131,307
Koninklijke Ahold Delhaize NV (Netherlands) 9,503 309,977
Korn Ferry 571 38,514
L'Oreal SA (France) 84 29,736
Maplebear, Inc.(NON) 7,245 300,088
Marks & Spencer Group PLC (United Kingdom) 3,573 16,733
MediaAlpha, Inc. Class A(NON) 1,044 11,787
Mondelez International, Inc. Class A 14,363 857,902
Monster Beverage Corp.(NON) 2,623 137,865
Nestle SA (Switzerland) 1,405 115,271
Nissin Food Products Co., Ltd. (Japan) 3,700 89,386
PepsiCo, Inc. 872 132,596
Philip Morris International, Inc. 24,224 2,915,358
Procter & Gamble Co. (The) 6,821 1,143,541
Recruit Holdings Co., Ltd. (Japan) 6,600 458,752
Resideo Technologies, Inc.(NON) 2,423 55,850
Sally Beauty Holdings, Inc.(NON) 1,030 10,764
Sea, Ltd. ADR (Singapore)(NON) 908 96,339
Simply Good Foods Co. (The)(NON) 323 12,591
Sprouts Farmers Market, Inc.(NON) 860 109,280
Starbucks Corp. 6,791 619,679
Tesco PLC (United Kingdom) 138,657 637,732
Turning Point Brands, Inc. 545 32,755
Tyson Foods, Inc. Class A 2,118 121,658
Uber Technologies, Inc.(NON) 17,992 1,085,277
Unilever PLC (United Kingdom) 4,191 238,135
Upwork, Inc.(NON) 3,996 65,335
USANA Health Sciences, Inc.(NON) 332 11,915
WH Group, Ltd. (Hong Kong) 350,000 269,722
Yamazaki Baking Co., Ltd. (Japan) 5,400 100,546
ZipRecruiter, Inc. Class A(NON) 1,749 12,663
19,985,029
Electronics (4.8%)
Allied Motion Technologies, Inc. 588 14,277
Ambarella, Inc.(NON) 987 71,794
Amphenol Corp. Class A 1,802 125,149
Analog Devices, Inc. 1,572 333,987
Atmus Filtration Technologies, Inc. 752 29,463
Broadcom, Inc. 23,482 5,444,067
CEVA, Inc.(NON) 565 17,826
Cirrus Logic, Inc.(NON) 1,238 123,280
EnerSys 690 63,777
ESCO Technologies, Inc. 92 12,255
Garmin, Ltd. 599 123,550
Hoya Corp. (Japan) 6,700 831,512
Impinj, Inc.(NON) 482 70,015
Monolithic Power Systems, Inc. 151 89,347
Nextracker, Inc. Class A(NON) 325 11,872
NVIDIA Corp. 118,452 15,906,920
NXP Semiconductors NV 2,515 522,743
Photronics, Inc.(NON) 484 11,403
Qorvo, Inc.(NON) 2,218 155,105
Qualcomm, Inc. 14,678 2,254,834
Rambus, Inc.(NON) 1,539 81,352
Samsung Electronics Co., Ltd. (Preference) (South Korea) 9,026 268,090
Sanmina Corp.(NON) 174 13,167
SCREEN Holdings Co., Ltd. (Japan) 400 23,615
Silicon Laboratories, Inc.(NON) 102 12,670
STMicroelectronics NV (France) 5,652 141,565
Thales SA (France) 1,755 252,010
Trimble Inc.(NON) 1,827 129,096
TTM Technologies, Inc.(NON) 1,877 46,456
Vicor Corp.(NON) 229 11,065
Vontier Corp. 8,493 309,740
27,502,002
Energy (1.6%)
Alpha Metallurgical Resources, Inc.(NON) 260 52,031
Baker Hughes Co. 3,233 132,618
BP PLC (United Kingdom) 94,373 466,482
Cenovus Energy, Inc. (Canada) 8,518 129,123
Cheniere Energy, Inc. 657 141,170
ConocoPhillips 7,472 740,999
CONSOL Energy, Inc. 608 64,861
Coterra Energy, Inc. 5,140 131,276
DCC PLC (Ireland) 1,641 105,149
DNOW, Inc.(NON) 2,983 38,809
Eneos Holdings, Inc. (Japan) 45,500 238,700
Equinor ASA (Norway) 14,587 345,990
Exxon Mobil Corp. 19,397 2,086,536
Halliburton Co. 4,882 132,742
Helix Energy Solutions Group, Inc.(NON) 4,465 41,614
HF Sinclair Corp. 3,531 123,762
INPEX Corp. (Japan) 4,500 56,617
Kodiak Gas Services, Inc. 1,104 45,076
Marathon Petroleum Corp. 8,106 1,130,787
Murphy Oil Corp. 1,902 57,555
Norsk Hydro ASA (Norway) 9,532 52,432
NPK International, Inc.(NON) 1,547 11,865
Oceaneering International, Inc.(NON) 2,388 62,279
OMV AG (Austria) 2,399 93,037
PBF Energy, Inc. Class A 432 11,470
Peabody Energy Corp. 2,515 52,664
Phillips 66 1,099 125,209
Repsol SA (Spain) 5,222 63,541
Schlumberger, Ltd. 3,248 124,528
Shell PLC (Euronext Amsterdam Exchange) (United Kingdom) 19,653 616,774
Shell PLC (London Exchange) (United Kingdom) 3,020 94,136
SM Energy Co. 707 27,403
SunCoke Energy, Inc. 1,766 18,896
TechnipFMC PLC (United Kingdom) 26,544 768,183
TotalEnergies SE (France) 1,470 81,901
Valero Energy Corp. 5,074 622,022
Weatherford International PLC 1,695 121,413
9,209,650
Financials (7.9%)
3i Group PLC (United Kingdom) 8,562 381,122
AerCap Holdings NV (Ireland) 1,000 95,700
Affiliated Managers Group, Inc. 715 132,218
AIA Group, Ltd. (Hong Kong) 32,600 234,161
AIB Group PLC (Ireland) 33,753 186,651
Alexander & Baldwin, Inc.(R) 1,195 21,199
Allianz SE (Germany) 753 231,444
Allstate Corp. (The) 3,364 648,546
Ally Financial, Inc. 13,250 477,133
Amalgamated Financial Corp. 871 29,152
American Express Co. 580 172,138
American Healthcare REIT, Inc.(R) 442 12,562
American International Group, Inc. 10,119 736,663
Ameriprise Financial, Inc. 178 94,773
Ameris Bancorp 183 11,450
Annaly Capoital Management, Inc.(R) 3,445 63,044
Anywhere Real Estate, Inc.(NON) 5,532 18,256
Apollo Global Management, Inc. 5,223 862,631
Apple Hospitality REIT, Inc.(R) 788 12,096
Associated Banc-Corp. 523 12,500
AvalonBay Communities, Inc.(R) 636 139,901
AXA SA (France) 18,957 674,672
Axis Capital Holdings, Ltd. 1,567 138,868
Axos Financial, Inc.(NON) 988 69,012
Banco de Sabadell SA (Spain) 23,527 45,719
Banco Latinoamericano de Comercio Exterior SA (Panama) 476 16,931
Banco Santander SA (Spain) 85,286 394,554
Bank Hapoalim BM (Israel) 17,845 215,427
Bank Leumi Le-Israel BM (Israel) 14,330 170,489
Bank of America Corp. 41,657 1,830,825
Bank of Ireland Group PLC (Ireland) 13,683 124,781
Bank of New York Mellon Corp. (The) 13,356 1,026,141
Bank of NT Butterfield & Son, Ltd. (The) (Bermuda) 747 27,303
Banner Corp. 172 11,484
Barclays PLC (United Kingdom) 138,261 462,510
Berkshire Hathaway, Inc. Class B(NON) 1,086 492,262
Berkshire Hills Bancorp, Inc. 632 17,968
BlackRock, Inc. 146 149,666
BNP Paribas SA (France) 1,756 107,813
Bread Financial Holdings, Inc. 1,172 71,562
BrightSpire Capital, Inc.(R) 3,558 20,067
Brixmor Property Group, Inc.(R) 5,350 148,944
Broadstone Net Lease, Inc.(R) 709 11,245
Capital One Financial Corp. 7,438 1,326,345
CareTrust REIT, Inc.(R) 2,498 67,571
Cathay General Bancorp 1,493 71,082
CBRE Group, Inc. Class A(NON) 4,257 558,901
Central Pacific Financial Corp. 789 22,920
Charles Schwab Corp. (The) 11,349 839,939
Chimera Investment Corp.(R) 907 12,698
Chubb, Ltd. 474 130,966
Citigroup, Inc. 50,410 3,548,360
Citizens Financial Group, Inc. 3,086 135,043
CME Group, Inc. 3,287 763,340
CNO Financial Group, Inc. 2,023 75,276
Commonwealth Bank of Australia (Australia) 325 30,752
COPT Defense Properties(R) 375 11,606
Corebridge Financial, Inc. 15,650 468,405
CoStar Group, Inc.(NON) 3,132 224,220
Covivio (France)(R) 343 17,384
Credit Agricole SA (France) 4,999 68,784
CrossFirst Bankshares, Inc.(NON) 1,183 17,922
Curbline Properties Corp.(NON)(R) 1,329 30,859
Cushman & Wakefield PLC(NON) 4,990 65,269
Customers Bancorp, Inc.(NON) 1,054 51,309
DBS Group Holdings, Ltd. (Singapore) 8,870 284,243
Deutsche Boerse AG (Germany) 2,061 474,764
Eagle Bancorp, Inc. 421 10,959
Empire State Realty Trust, Inc. Class A(R) 1,134 11,703
Enova International, Inc.(NON) 715 68,554
Enstar Group, Ltd.(NON) 219 70,529
Enterprise Financial Services Corp. 689 38,860
Equitable Holdings, Inc. 12,869 607,031
Equity Lifestyle Properties, Inc.(R) 2,000 133,200
Equity Residential(R) 1,575 113,022
Erste Group Bank AG (Czech Republic) 4,060 251,298
Essent Group, Ltd. 228 12,412
Essex Property Trust, Inc.(R) 1,072 305,992
Eurazeo SE (France) 500 37,295
Euronext NV (France) 4,796 538,049
Evercore, Inc. Class A 459 127,230
Everest Group, Ltd. 358 129,761
Exor NV (Netherlands) 1,679 153,924
FB Financial Corp. 595 30,648
Fidelis Insurance Holdings, Ltd. (United Kingdom) 820 14,867
First BanCorp/Puerto Rico (Puerto Rico) 3,246 60,343
First Busey Corp. 465 10,960
First Financial Corp./IN 245 11,317
First Horizon Corp. 6,477 130,447
First Industrial Realty Trust, Inc.(R) 2,610 130,839
FTAI Aviation, Ltd. 78 11,235
Futu Holdings, Ltd. (Hong Kong)(NON) 300 23,997
Gaming and Leisure Properties, Inc.(R) 8,831 425,301
Genworth Financial, Inc. Class A(NON) 9,772 68,306
Globe Life, Inc. 1,571 175,198
Goldman Sachs Group, Inc. (The) 2,049 1,173,299
Hamilton Insurance Group, Ltd. Class B (Bermuda)(NON) 2,640 50,239
Hancock Whitney Corp. 1,405 76,882
Hanmi Financial Corp. 843 19,912
Heritage Commerce Corp. 1,237 11,603
Heritage Insurance Holdings, Inc.(NON) 1,228 14,859
Hilltop Holdings, Inc. 1,495 42,802
Hope Bancorp, Inc. 2,329 28,623
Horace Mann Educators Corp. 750 29,423
HSBC Holdings PLC (United Kingdom) 45,210 444,102
Independent Bank Corp./MI 396 13,793
Industrial Logistics Properties Trust(R) 2,238 8,169
Intercontinental Exchange, Inc. 840 125,168
Intesa Sanpaolo SpA (Italy) 67,267 269,795
Investor AB Class B (Sweden) 13,713 363,215
Invitation Homes, Inc.(R) 4,315 137,951
Jackson Financial, Inc. Class A 969 84,381
Japan Exchange Group, Inc. (Japan) 24,800 275,167
Jones Lang LaSalle, Inc.(NON) 485 122,773
JPMorgan Chase & Co. 3,502 839,465
KeyCorp 7,756 132,938
Kite Realty Group Trust(R) 1,386 34,983
Klepierre SA (France)(R) 1,544 44,466
Ladder Capital Corp.(R) 1,073 12,007
LendingClub Corp.(NON) 1,410 22,828
Lloyds Banking Group PLC (United Kingdom) 478,919 327,067
London Stock Exchange Group PLC (United Kingdom) 3,933 555,162
Macerich Co. (The)(R) 322 6,414
Marsh & McLennan Cos., Inc. 662 140,615
Merchants Bancorp/IN 630 22,976
Mercury General Corp. 168 11,169
MetLife, Inc. 15,450 1,265,046
Metropolitan Bank Holding Corp.(NON) 245 14,308
MFA Financial, Inc.(R) 1,090 11,107
MGIC Investment Corp. 5,210 123,529
Mid-America Apartment Communities, Inc.(R) 909 140,504
Mitsubishi UFJ Financial Group, Inc. (Japan) 61,300 715,659
Mizrahi Tefahot Bank, Ltd. (Israel) 1,828 79,132
Morgan Stanley 1,039 130,623
Mr. Cooper Group, Inc.(NON) 875 84,009
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 804 405,668
Nasdaq, Inc. 4,396 339,855
National Bank Holdings Corp. Class A 316 13,607
National Health Investors, Inc.(R) 83 5,752
NatWest Group PLC (United Kingdom) 87,890 440,439
Navient Corp. 772 10,260
NexPoint Residential Trust, Inc.(R) 367 15,322
NMI Holdings, Inc. Class A(NON) 1,133 41,649
NN Group NV (Netherlands) 2,982 130,041
Nomura Holdings, Inc. (Japan) 42,100 244,257
Nordea Bank ABP (Finland) 3,476 37,865
Northern Trust Corp. 1,176 120,540
OceanFirst Financial Corp. 1,249 22,607
OFG Bancorp (Puerto Rico) 951 40,246
OneMain Holdings, Inc. 1,309 68,238
Outfront Media, Inc.(R) 3,837 68,068
Pacific Premier Bancorp, Inc. 866 21,581
Pathward Financial, Inc. 806 59,305
PennyMac Financial Services, Inc. 658 67,208
PNC Financial Services Group, Inc. (The) 5,124 988,164
Popular, Inc. (Puerto Rico) 1,421 133,659
Preferred Bank/Los Angeles CA 376 32,479
Primerica, Inc. 483 131,096
Principal Financial Group, Inc. 1,738 134,539
Progressive Corp. (The) 571 136,817
Prudential Financial, Inc. 1,103 130,739
Prudential PLC (United Kingdom) 41,039 325,686
Public Storage(R) 467 139,838
QBE Insurance Group, Ltd. (Australia) 4,458 52,943
Rakuten Bank, Ltd. (Japan)(NON) 3,900 108,867
Reinsurance Group of America, Inc. 751 160,436
Renasant Corp. 431 15,408
RLI Corp. 811 133,677
RLJ Lodging Trust(R) 5,055 51,612
Robinhood Markets, Inc. Class A(NON) 11,535 429,794
Sandy Spring Bancorp, Inc. 456 15,372
SBI Holdings, Inc. (Japan) 5,200 130,604
Sekisui Chemical Co., Ltd. (Japan) 4,100 70,201
Sekisui House, Ltd. (Japan) 5,900 140,680
Simmons First National Corp. Class A 1,658 36,774
Simon Property Group, Inc.(R) 7,422 1,278,143
SITE Centers Corp.(R) 4,172 63,790
SLM Corp. 5,243 144,602
State Street Corp. 7,664 752,221
Stifel Financial Corp. 1,217 129,099
StoneX Group, Inc.(NON) 726 71,126
Sumitomo Mitsui Financial Group, Inc. (Japan) 18,100 434,404
Sun Communities, Inc.(R) 1,085 133,422
Sunstone Hotel Investors, Inc.(R) 1,627 19,264
Synchrony Financial 2,808 182,520
Talanx AG (Germany) 954 81,139
Tanger, Inc.(R) 373 12,730
Taylor Morrison Home Corp.(NON) 1,278 78,226
Third Coast Bancshares, Inc.(NON) 353 11,984
Tokio Marine Holdings, Inc. (Japan) 1,800 64,599
Towne Bank/Portsmouth VA 338 11,512
TPG RE Finance Trust, Inc.(R) 2,599 22,092
Travelers Cos., Inc. (The) 546 131,526
Truist Financial Corp. 2,876 124,761
Trustmark Corp. 329 11,637
UBS Group AG (Switzerland) 3,441 105,352
UniCredit SpA (Italy) 9,420 377,255
Universal Insurance Holdings, Inc. 634 13,352
Univest Financial Corp. 515 15,198
Unum Group 4,355 318,046
Urban Edge Properties(R) 3,072 66,048
Veritex Holdings, Inc. 1,758 47,747
VICI Properties, Inc.(R) 4,320 126,187
Virtu Financial, Inc. Class A 3,956 141,150
Virtus Investment Partners, Inc. 197 43,454
Visa, Inc. Class A 4,422 1,397,529
Vornado Realty Trust(R) 13,540 569,222
Webster Financial Corp. 2,238 123,582
Wells Fargo & Co. 2,286 160,569
Westamerica Bancorp 224 11,751
Willis Towers Watson PLC 439 137,512
WSFS Financial Corp. 255 13,548
Xenia Hotels & Resorts, Inc.(R) 377 5,602
Zions Bancorp NA 2,594 140,725
Zurich Insurance Group AG (Switzerland) 421 250,396
45,283,896
Health care (5.6%)
Abbott Laboratories 4,842 547,679
AbbVie, Inc. 12,489 2,219,295
ACADIA Pharmaceuticals, Inc.(NON) 3,783 69,418
ACELYRIN, Inc.(NON) 2,691 8,450
Addus HomeCare Corp.(NON) 113 14,165
ADMA Biologics, Inc.(NON) 1,651 28,315
Agilent Technologies, Inc. 1,000 134,340
Agios Pharmaceuticals, Inc.(NON) 1,490 48,961
Alkermes PLC(NON) 375 10,785
Alnylam Pharmaceuticals, Inc.(NON) 557 131,068
Amgen, Inc. 521 135,793
AngioDynamics, Inc.(NON) 1,385 12,687
Arcellx, Inc.(NON) 741 56,827
Arcturus Therapeutics Holdings, Inc.(NON) 2,453 41,627
Argenx SE (Netherlands)(NON) 396 244,614
AstraZeneca PLC (United Kingdom) 4,933 643,162
AstraZeneca PLC (Rights) (United Kingdom)(F) 440 1,346
AstraZeneca PLC ADR (United Kingdom) 9,829 643,996
AstraZeneca PLC CVR (Rights) (United Kingdom)(F) 687 206
AtriCure, Inc.(NON) 354 10,818
Avanos Medical, Inc.(NON) 685 10,905
Axogen, Inc.(NON) 1,402 23,105
Becton, Dickinson and Co. 656 148,827
BioCryst Pharmaceuticals, Inc.(NON) 2,977 22,387
Biohaven, Ltd.(NON) 1,421 53,074
bioMerieux (France) 630 67,429
Bioventus, Inc. Class A(NON) 1,732 18,186
Blueprint Medicines Corp.(NON) 131 11,426
Boston Scientific Corp.(NON) 17,148 1,531,659
Bristol-Myers Squibb Co. 11,662 659,603
Cardinal Health, Inc. 1,005 118,861
CareDx, Inc.(NON) 1,842 39,437
Castle Biosciences, Inc.(NON) 1,776 47,330
Catalyst Pharmaceuticals, Inc.(NON) 768 16,028
Chugai Pharmaceutical Co., Ltd. (Japan) 3,800 167,508
Cigna Group (The) 7,087 1,957,004
Concentra Group Holdings Parent, Inc. 554 10,958
Cooper Cos., Inc. (The)(NON) 1,405 129,162
Corcept Therapeutics, Inc.(NON) 1,407 70,899
CSL, Ltd. (Australia) 377 65,768
Daiichi Sankyo Co., Ltd. (Japan) 13,800 377,613
Danaher Corp. 2,561 587,877
Demant A/S (Denmark)(NON) 2,487 91,537
Denali Therapeutics, Inc.(NON) 480 9,782
Dexcom, Inc.(NON) 1,813 140,997
Dyne Therapeutics, Inc.(NON) 409 9,636
Edwards Lifesciences Corp.(NON) 2,064 152,798
Eli Lilly and Co. 4,840 3,736,480
Exelixis, Inc.(NON) 4,336 144,389
Fate Therapeutics, Inc.(NON) 4,875 8,044
Fisher & Paykel Healthcare Corp., Ltd. (New Zealand) 1,469 31,573
Fresenius SE & Co. KGaA (Germany)(NON) 3,721 129,159
FUJIFILM Holdings Corp. (Japan) 6,500 134,483
Glaukos Corp.(NON) 182 27,289
GSK PLC (United Kingdom) 17,308 291,939
Guardant Health, Inc.(NON) 440 13,442
HCA Healthcare, Inc. 530 159,080
Health Catalyst, Inc.(NON) 1,949 13,779
HealthEquity, Inc.(NON) 126 12,090
Hologic, Inc.(NON) 1,119 80,669
Humacyte, Inc.(NON) 13,014 65,721
IDEXX Laboratories, Inc.(NON) 863 356,799
ImmunityBio, Inc.(NON) 2,633 6,740
Inari Medical, Inc.(NON) 276 14,090
Incyte Corp.(NON) 1,813 125,224
Insmed, Inc.(NON) 1,516 104,665
Insulet Corp.(NON) 474 123,747
Intuitive Surgical, Inc.(NON) 2,167 1,131,087
Ipsen SA (France) 750 85,966
Ironwood Pharmaceuticals, Inc.(NON) 8,290 36,725
Johnson & Johnson 2,219 320,912
Keros Therapeutics, Inc.(NON) 346 5,477
Kiniksa Pharmaceuticals International PLC(NON) 1,063 21,026
Kymera Therapeutics, Inc.(NON) 282 11,345
Lantheus Holdings, Inc.(NON) 819 73,268
LivaNova PLC (United Kingdom)(NON) 859 39,780
Lonza Group AG (Switzerland) 1,156 682,315
McKesson Corp. 1,833 1,044,645
Medpace Holdings, Inc.(NON) 417 138,540
Medtronic PLC 10,779 861,027
Merck & Co., Inc. 20,457 2,035,063
Merck KGaA (Germany) 124 18,045
Natera, Inc.(NON) 993 157,192
Neurocrine Biosciences, Inc.(NON) 1,195 163,118
Novartis AG (Switzerland) 6,644 646,841
Novo Nordisk A/S Class B (Denmark) 10,249 884,303
Novocure, Ltd. (Jersey)(NON) 2,593 77,271
Nurix Therapeutics, Inc.(NON) 2,482 46,761
Olympus Corp. (Japan) 4,800 71,665
Omega Healthcare Investors, Inc. 3,518 133,156
Option Care Health, Inc.(NON) 1,287 29,858
OraSure Technologies, Inc.(NON) 4,198 15,155
Otsuka Holdings Company, Ltd. (Japan) 3,200 174,080
Pfizer, Inc. 5,225 138,619
Poseida Therapeutics, Inc.(NON) 660 6,336
Protagonist Therapeutics, Inc.(NON) 1,512 58,363
PTC Therapeutics, Inc.(NON) 1,611 72,721
Pulse Biosciences, Inc.(NON) 675 11,752
QIAGEN NV (Netherlands) 2,958 131,720
Regeneron Pharmaceuticals, Inc.(NON) 1,524 1,085,591
Roche Holding AG (Switzerland) 1,845 515,874
RxSight, Inc.(NON) 1,042 35,824
Sabra Health Care REIT, Inc.(R) 675 11,691
Sandoz Group AG (Switzerland) 4,601 188,607
Sanofi SA (France) 6,812 662,200
Schrodinger, Inc.(NON) 588 11,343
Select Medical Holdings Corp. 1,892 35,664
Sonova Holding AG (Switzerland) 169 55,265
Summit Therapeutics, Inc.(NON) 3,371 60,156
Sutro Biopharma, Inc.(NON) 2,734 5,031
Tango Therapeutics, Inc.(NON) 3,708 11,458
Teladoc Health, Inc.(NON) 6,475 58,858
Tenet Healthcare Corp.(NON) 1,079 136,202
TG Therapeutics, Inc.(NON) 506 15,231
Thermo Fisher Scientific, Inc. 1,912 994,679
UnitedHealth Group, Inc. 2,913 1,473,570
Universal Health Services, Inc. Class B 730 130,977
Wave Life Sciences, Ltd.(NON) 1,268 15,685
Xencor, Inc.(NON) 2,333 53,612
Y-mAbs Therapeutics, Inc.(NON) 880 6,890
Zentalis Pharmaceuticals, Inc.(NON) 3,205 9,711
32,021,001
Semiconductor (0.4%)
Applied Materials, Inc. 1,942 315,827
ASML Holding NV (Netherlands) 1,767 1,237,668
Disco Corp. (Japan) 500 132,639
KLA Corp. 173 109,011
Lam Research Corp. 1,967 142,076
MaxLinear, Inc.(NON) 831 16,437
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 6,000 195,000
2,148,658
Software (4.1%)
Adobe, Inc.(NON) 3,121 1,387,846
AppLovin Corp. Class A(NON) 819 265,216
Atlassian Corp. Class A(NON) 981 238,756
Autodesk, Inc.(NON) 624 184,436
Blackline, Inc.(NON) 525 31,899
Cadence Design Systems, Inc.(NON) 3,833 1,151,663
Domo, Inc. Class B(NON) 1,611 11,406
Guidewire Software, Inc.(NON) 800 134,864
Intuit, Inc. 211 132,614
Manhattan Associates, Inc.(NON) 535 144,578
Microsoft Corp. 36,062 15,200,134
Nexon Co., Ltd. (Japan) 2,000 29,751
Oracle Corp. 14,449 2,407,781
Pegasystems, Inc. 3,463 322,752
PROS Holdings, Inc.(NON) 882 19,369
ROBLOX Corp. Class A(NON) 2,462 142,451
SAP SE (Germany) 1,378 338,952
Shopify, Inc. Class A (Canada)(NON) 3,063 325,689
Veeva Systems, Inc. Class A(NON) 4,595 966,099
Workday, Inc. Class A(NON) 593 153,012
23,589,268
Technology (0.1%)
CACI International, Inc. Class A(NON) 331 133,744
SoftBank Group Corp. (Japan) 3,100 177,152
310,896
Technology services (3.5%)
Accenture PLC Class A 422 148,455
Alphabet, Inc. Class A 21,878 4,141,505
Alphabet, Inc. Class C 18,349 3,494,384
Capgemini SE (France) 1,316 214,939
DocuSign, Inc.(NON) 1,627 146,332
Fair Isaac Corp.(NON) 59 117,465
Fiserv, Inc.(NON) 670 137,631
Gartner, Inc.(NON) 263 127,416
HealthStream, Inc. 504 16,027
Integral Ad Science Holding Corp.(NON) 2,727 28,470
Leidos Holdings, Inc. 3,403 490,236
LY Corp. (Japan) 71,800 189,846
Maximus, Inc. 168 12,541
Meta Platforms, Inc. Class A 12,486 7,310,678
NEC Corp. (Japan) 500 42,789
Pinterest, Inc. Class A(NON) 4,408 127,832
Prosus NV (China) 7,395 293,765
Q2 Holdings, Inc.(NON) 321 32,309
Salesforce, Inc. 4,679 1,564,330
Scout24 SE (Germany) 590 52,061
Spotify Technology SA (Sweden)(NON) 1,375 615,148
Tencent Holdings, Ltd. (China) 3,800 202,817
Unisys Corp.(NON) 2,755 17,439
V2X, Inc.(NON) 112 5,357
VeriSign, Inc.(NON) 757 156,669
Western Union Co. (The) 12,194 129,256
Zebra Technologies Corp. Class A(NON) 333 128,611
19,944,308
Transportation (1.1%)
A.P. Moeller-Maersck A/S Class B (Denmark) 113 188,005
Aena SME SA (Spain) 753 153,686
ArcBest Corp. 118 11,012
Arlo Technologies, Inc.(NON) 2,432 27,214
Canadian National Railway Co. (Canada) 3,382 343,435
Canadian Pacific Kansas City, Ltd. (Canada) 7,138 516,577
Costamare, Inc. (Monaco) 933 11,989
CSX Corp. 5,715 184,423
DHL Group (Germany) 4,715 166,451
FedEx Corp. 3,900 1,097,187
Hub Group, Inc. Class A 873 38,901
International Seaways, Inc. 555 19,947
Kirby Corp.(NON) 1,151 121,776
Matson, Inc. 535 72,139
Norfolk Southern Corp. 606 142,228
Qantas Airways, Ltd. (voting rights) (Australia)(NON) 55,649 308,069
Ryanair Holdings PLC ADR (Ireland) 4,746 206,878
Safe Bulkers, Inc. (Monaco) 2,969 10,599
Scorpio Tankers, Inc. 1,454 72,249
SITC International Holdings Co., Ltd. (Hong Kong) 16,000 42,428
SkyWest, Inc.(NON) 744 74,497
Southwest Airlines Co. 26,058 876,070
Sun Country Airlines Holdings, Inc.(NON) 1,497 21,826
Teekay Corp., Ltd. (Bermuda) 5,390 37,353
Teekay Tankers,. Ltd. Class A (Canada) 1,497 59,566
Union Pacific Corp. 4,111 937,472
United Parcel Service, Inc. Class B 1,059 133,540
Westinghouse Air Brake Technologies Corp. 717 135,936
6,011,453
Utilities and power (1.3%)
AES Corp. (The) 10,094 129,910
ALLETE, Inc. 1,035 67,068
American Electric Power Co., Inc. 1,547 142,680
American States Water Co. 153 11,891
Black Hills Corp. 1,004 58,754
California Water Service Group 298 13,508
Constellation Energy Corp. 602 134,673
Dominion Energy, Inc. 2,692 144,991
Duke Energy Corp. 1,418 152,775
E.ON SE (Germany) 14,567 169,677
Edison International 1,724 137,644
ENGIE SA (France) 21,409 339,534
Eni SpA (Italy) 4,236 57,941
Eversource Energy 2,408 138,291
Exelon Corp. 22,323 840,238
Iberdrola SA (Spain) 62,433 860,340
Kansai Electric Power Co., Inc. (The) (Japan) 8,700 96,430
National Fuel Gas co. 2,362 143,326
New Jersey Resources Corp. 493 22,998
NextEra Energy, Inc. 10,966 786,153
Northwest Natural Holding Co. 324 12,817
NRG Energy, Inc. 10,396 937,928
Otter Tail Corp. 166 12,257
PG&E Corp. 17,072 344,513
PNM Resources, Inc. 242 11,899
Portland General Electric Co. 437 19,062
PPL Corp. 16,907 548,801
RWE AG (Germany) 1,833 54,740
SJW Group 289 14,225
Unitil Corp. 212 11,488
Vistra Corp. 7,291 1,005,210
7,421,762
Total common stocks (cost $186,700,890) $303,494,573








CORPORATE BONDS AND NOTES (22.3%)(a)
        Principal amount Value
Basic materials (1.5%)
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) $120,000 $128,181
Arcosa, Inc. 144A company guaranty sr. unsec. notes 6.875%, 8/15/32 35,000 35,604
ATI, Inc. sr. unsec. notes 7.25%, 8/15/30 75,000 77,252
ATI, Inc. sr. unsec. notes 5.125%, 10/1/31 15,000 14,181
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 25,000 23,837
ATI, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 120,000 119,045
Avient Corp. 144A sr. unsec. notes 6.25%, 11/1/31 30,000 29,624
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 60,000 61,547
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 150,000 136,303
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 40,000 37,983
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 84,000 84,081
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 95,000 90,755
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 45,000 44,785
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 50,000 44,201
Builders FirstSource, Inc. 144A sr. unsec. bonds 6.375%, 3/1/34 40,000 39,527
Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany) 228,000 231,700
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) 115,000 117,416
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) 590,000 598,988
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) 184,000 172,242
Cerdia Finanz GmbH 144A sr. notes 9.375%, 10/3/31 (Germany) 45,000 46,943
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 470,000 414,814
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 238,000 235,853
Cleveland-Cliffs, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/1/33 75,000 73,754
Cleveland-Cliffs, Inc. 144A company guaranty sr. unsec. notes 7.00%, 3/15/32 65,000 63,918
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 35,000 31,379
Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 85,000 78,203
Constellium SE company guaranty sr. unsec. unsub. notes Ser. REGS, 3.125%, 7/15/29 (France) EUR 105,000 103,563
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28 $45,000 39,627
FMC Corp. sr. unsec. unsub. notes 5.65%, 5/18/33 196,000 193,989
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6.125%, 4/15/32 (Australia) 65,000 64,264
Glencore Funding, LLC 144A company guaranty sr. unsec. bonds 5.634%, 4/4/34 75,000 74,710
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27 188,000 184,409
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 414,000 359,103
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) 80,000 80,388
Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31 156,000 130,143
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 266,000 253,908
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. LLC Co-Issuer 144A sr. notes 6.00%, 9/15/28 (Canada) 175,000 172,686
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 308,000 301,411
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 61,000 40,000
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 108,000 91,769
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 100,000 82,234
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 $110,000 113,251
Mauser Packaging Solutions Holding Co. 144A company guaranty notes 9.25%, 4/15/27 70,000 71,132
Mauser Packaging Solutions Holding Co. 144A sr. bonds 7.875%, 4/15/27 80,000 81,717
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) 85,000 73,570
Mercer International, Inc. 144A sr. unsec. notes 12.875%, 10/1/28 (Canada) 40,000 43,108
Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) 350,000 310,790
Miter Brands Acquisition Holdco, Inc./MIWD Borrower, LLC 144A company guaranty sr. notes 6.75%, 4/1/32 55,000 55,292
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 20,000 17,242
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 70,000 64,689
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 95,000 87,676
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) 404,000 358,333
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 107,000 103,863
Pactiv Evergreen Group Issuer, LLC/Pactiv Evergreen Group Issuer, Inc. 144A sr. notes 4.375%, 10/15/28 45,000 45,006
Rain Carbon, Inc. 144A sr. notes 12.25%, 9/1/29 65,000 68,780
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 80,000 75,347
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 130,000 123,566
Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 70,000 73,620
Standard Industries Solutions, Inc./NY 144A sr. unsec. notes 6.50%, 8/15/32 90,000 90,222
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 90,000 86,847
United States Steel Corp. sr. unsec. sub. bonds 6.65%, 6/1/37 35,000 34,060
Vibrantz Technologies, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 100,000 91,929
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 488,000 304,051
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 243,000 164,026
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 427,000 484,842
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 99,000 111,771
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 25,000 27,854
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 50,000 46,042
8,412,946
Capital goods (1.3%)
Adient Global Holdings, Ltd. 144A company guaranty sr. unsec. unsub. notes 8.25%, 4/15/31 (Ireland) 75,000 76,730
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC sr. unsec. notes Ser. REGS, 3.00%, 9/1/29 EUR 100,000 88,560
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) $200,000 210,452
Berry Global, Inc. company guaranty sr. notes 5.50%, 4/15/28 13,000 13,131
Berry Global, Inc. 144A company guaranty sr. notes 4.875%, 7/15/26 14,000 13,955
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 154,000 144,250
Boeing Co. (The) sr. unsec. bonds 5.705%, 5/1/40 30,000 28,577
Boeing Co. (The) sr. unsec. notes 2.95%, 2/1/30 41,000 36,640
Boeing Co. (The) sr. unsec. notes 2.70%, 2/1/27 153,000 145,946
Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 835,000 810,252
Boeing Co. (The) sr. unsec. notes 3.20%, 3/1/29 35,000 32,272
Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 108,000 69,616
Boeing Co. (The) sr. unsec. unsub. notes 6.388%, 5/1/31 65,000 67,990
Boeing Co. (The) sr. unsec. unsub. notes 6.298%, 5/1/29 120,000 124,448
Boeing Co. (The) sr. unsec. unsub. notes 6.259%, 5/1/27 79,000 80,901
Boeing Co. (The) sr. unsec. unsub. notes 6.125%, 2/15/33 95,000 98,266
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) 19,000 19,041
Bombardier, Inc. 144A sr. unsec. notes 7.00%, 6/1/32 (Canada) 20,000 20,370
Bombardier, Inc. 144A sr. unsec. notes 7.25%, 7/1/31 (Canada) 10,000 10,325
Bombardier, Inc. 144A sr. unsec. unsub. notes 8.75%, 11/15/30 (Canada) 60,000 64,571
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 110,000 114,502
Chart Industries, Inc. 144A company guaranty sr. unsec. notes 9.50%, 1/1/31 25,000 26,894
Clarios Global LP 144A sr. notes 6.75%, 5/15/28 15,000 15,285
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 EUR 130,000 134,822
Clean Harbors, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 2/1/31 $50,000 50,382
Daimler Trucks Finance North America, LLC 144A company guaranty sr. unsec. notes 5.125%, 9/25/27 245,000 246,498
Dornoch Debt Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 10/15/29 45,000 36,499
DP World Salaam jr. unsec. sub. notes 6.00%, 1/1/26 (United Arab Emirates) 260,000 258,784
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) 80,000 76,896
GFL Environmental, Inc. 144A sr. notes 6.75%, 1/15/31 (Canada) 25,000 25,703
Graham Packaging Co., Inc. 144A company guaranty sr. unsec. sub. notes 7.125%, 8/15/28 80,000 79,230
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 80,000 74,632
Howmet Aerospace, Inc. sr. unsec. unsub. notes 4.85%, 10/15/31 135,000 132,465
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 328,000 305,166
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 336,000 284,339
Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 194,000 192,204
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 40,000 37,899
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 145,000 137,074
Manitowoc Co., Inc. (The) 144A company guaranty notes 9.25%, 10/1/31 60,000 61,576
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 140,000 138,273
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30 182,000 161,764
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 100,000 97,447
Republic Services, Inc. sr. unsec. unsub. notes 5.00%, 11/15/29 665,000 668,963
Ritchie Bros Holdings, Inc. 144A company guaranty sr. notes 6.75%, 3/15/28 30,000 30,709
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 55,000 57,585
RTX Corp. sr. unsec. bonds 4.875%, 10/15/40 151,000 139,283
RTX Corp. sr. unsec. notes 5.15%, 2/27/33 69,000 68,450
RTX Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 322,000 313,591
Spirit AeroSystems, Inc. company guaranty sr. unsec. unsub. notes 4.60%, 6/15/28 55,000 52,198
Spirit AeroSystems, Inc. 144A company guaranty sr. notes 9.75%, 11/15/30 110,000 121,864
Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 25,000 26,794
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 45,000 42,891
Terex Corp. 144A sr. unsec. notes 6.25%, 10/15/32 60,000 58,886
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 110,000 103,966
TransDigm, Inc. 144A company guaranty sr. notes 7.125%, 12/1/31 15,000 15,378
TransDigm, Inc. 144A company guaranty sr. notes 6.00%, perpetual maturity 90,000 88,277
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 60,000 60,935
TransDigm, Inc. 144A sr. notes 6.625%, 3/1/32 60,000 60,617
Waste Connections, Inc. sr. unsec. bonds 5.00%, 3/1/34 70,000 68,359
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 48,000 42,033
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 306,000 289,693
Waste Management, Inc. company guaranty sr. unsec. notes 4.875%, 2/15/29 147,000 147,759
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 6.625%, 3/15/32 85,000 86,498
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 6.375%, 3/15/29 20,000 20,292
7,409,648
Communication services (2.3%)
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31(R) 462,000 399,145
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) 263,000 236,991
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) 526,000 505,344
American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27(R) 396,000 384,055
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 1,258,000 846,925
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 50,000 48,934
AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 573,000 461,763
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 440,000 382,462
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 270,000 258,466
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 200,000 182,864
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 65,000 56,728
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 80,000 70,304
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 352,000 310,536
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 487,000 366,329
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 48,000 47,960
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51 261,000 163,207
Comcast Corp. company guaranty sr. unsec. bonds 2.987%, 11/1/63 137,000 77,387
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 123,000 84,290
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 206,000 156,090
Connect Finco SARL/Connect US Finco, LLC 144A sr. notes 9.00%, 9/15/29 (Luxembourg) 200,000 182,411
Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28(R) 281,000 270,529
Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27(R) 395,000 383,158
Crown Castle, Inc. sr. unsec. sub. notes 1.05%, 7/15/26(R) 219,000 207,055
Crown Castle, Inc. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 128,000 125,999
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 135,000 156,950
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 8.875%, 2/1/30 30,000 29,556
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 80,000 78,029
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 55,000 50,095
EchoStar Corp. company guaranty sr. sub. notes 10.75%, 11/30/29 80,000 86,109
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) 123,000 113,158
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26(R) 986,000 952,512
Frontier Communications Holdings, LLC 144A company guaranty sr. notes 8.75%, 5/15/30 60,000 63,463
Frontier Communications Holdings, LLC 144A company guaranty sr. notes 5.875%, 10/15/27 55,000 54,868
Level 3 Financing, Inc. 144A company guaranty sr. notes 10.50%, 5/15/30 77,000 84,238
Rogers Communications, Inc. company guaranty sr. unsec. notes 5.00%, 2/15/29 (Canada) 270,000 268,390
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 141,000 149,778
T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31 810,000 673,231
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 12,000 11,298
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 547,000 534,553
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 70,000 61,598
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 4,000 4,024
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.95%, 3/15/28 324,000 324,237
T-Mobile USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29 155,000 144,784
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 303,000 323,682
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) 855,000 725,527
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 602,000 408,699
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 300,000 278,098
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 966,000 946,571
Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 181,000 166,495
Zegona Finance PLC 144A sr. notes 8.625%, 7/15/29 (United Kingdom) 200,000 212,753
13,111,628
Consumer cyclicals (2.4%)
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 296,000 286,147
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) 198,000 178,589
Allied Universal Holdco, LLC/Allied Universal Finance Corp. 144A sr. notes 7.875%, 2/15/31 95,000 97,216
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 50,000 47,951
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 50,000 45,400
Anywhere Real Estate Group, LLC/Anywhere Co-Issuer Corp. 144A company guaranty notes 7.00%, 4/15/30 60,800 54,004
Banijay Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France) 215,000 223,637
Bath & Body Works, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35 140,000 143,445
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27(PIK) 45,000 44,555
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 405,000 356,930
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 160,000 148,134
Caesars Entertainment, Inc. 144A company guaranty sr. notes 6.50%, 2/15/32 15,000 15,080
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 110,000 112,121
Caesars Entertainment, Inc. 144A sr. unsec. notes 6.00%, 10/15/32 40,000 38,604
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 135,000 126,504
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 75,000 71,950
Carnival Corp. 144A company guaranty sr. notes 7.00%, 8/15/29 20,000 20,820
Carnival Corp. 144A company guaranty sr. unsec. unsub. notes 10.50%, 6/1/30 30,000 32,071
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 140,000 139,794
Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) 50,000 53,306
Carvana Co. 144A company guaranty sr. sub. notes 9.00%, 12/1/28(PIK) 60,159 64,292
Churchill Downs, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 85,000 83,480
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 50,000 48,806
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 7.875%, 4/1/30 110,000 113,343
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 120,000 108,414
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.25%, 3/15/29 50,000 46,427
D.R. Horton, Inc. company guaranty sr. unsec. bonds 5.00%, 10/15/34 55,000 53,138
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26 650,000 612,092
EMRLD Borrower LP/Emerald Co-Issuer, Inc. 144A sr. notes 6.625%, 12/15/30 130,000 130,336
FirstCash, Inc. 144A sr. unsec. notes 6.875%, 3/1/32 (Mexico) 180,000 180,959
Foundation Building Materials, Inc. 144A company guaranty sr. unsec. notes 6.00%, 3/1/29 90,000 79,451
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 35,000 33,194
Gray Television, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 11/15/31 80,000 42,754
Great Canadian Gaming Corp. 144A sr. notes 8.75%, 11/15/29 (Canada) 90,000 92,213
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 9.00%, perpetual maturity 110,000 117,396
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.95%, 4/1/41 228,000 239,619
Home Depot, Inc. (The) sr. unsec. unsub. bonds 5.30%, 6/25/54 120,000 115,066
Home Depot, Inc. (The) sr. unsec. unsub. notes 4.95%, 6/25/34 120,000 118,450
Hyatt Hotels Corp. sr. unsec. notes 5.75%, 1/30/27 132,000 134,066
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 404,000 404,025
Hyundai Capital America 144A sr. unsec. notes 6.375%, 4/8/30 (South Korea) 17,000 17,770
Hyundai Capital America 144A sr. unsec. notes 5.40%, 1/8/31 (South Korea) 48,000 48,009
Hyundai Capital America 144A sr. unsec. notes 4.875%, 11/1/27 (South Korea) 200,000 199,592
Hyundai Capital America 144A sr. unsec. notes 4.55%, 9/26/29 (South Korea) 55,000 53,415
Hyundai Capital America 144A sr. unsec. notes 6.50%, 1/16/29 (South Korea) 380,000 396,794
Hyundai Capital America 144A sr. unsec. notes 5.35%, 3/19/29 (South Korea) 98,000 98,589
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 744,000 738,602
Iron Mountain, Inc. 144A company guaranty sr. unsec. sub. notes 6.25%, 1/15/33 155,000 154,483
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 65,000 59,855
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 150,000 131,504
LGI Homes, Inc. 144A company guaranty sr. unsec. notes 8.75%, 12/15/28 95,000 99,709
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.50%, 9/1/31 15,000 15,461
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 120,000 122,605
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 50,000 50,595
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 20,000 19,606
McGraw-Hill Education, Inc. 144A sr. notes 7.375%, 9/1/31 95,000 97,345
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 55,000 53,762
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 105,000 105,131
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30 65,000 61,560
Moody's Corp. sr. unsec. notes 2.00%, 8/19/31 589,000 489,672
Moody's Corp. sr. unsec. sub. bonds 5.00%, 8/5/34 65,000 63,627
NCL Corp., Ltd. 144A company guaranty sr. notes 8.125%, 1/15/29 30,000 31,633
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 45,000 47,288
Netflix, Inc. sr. unsec. bonds 4.90%, 8/15/34 85,000 83,287
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 395,000 426,024
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 $45,000 46,656
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 355,000 362,081
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 57,000 53,844
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 80,000 74,279
Nexstar Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28 50,000 46,676
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. notes 7.375%, 2/15/31 75,000 78,459
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 55,000 53,567
Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 295,000 278,653
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 112,000 107,221
Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 80,000 78,819
Pinewood Finco PLC 144A notes 6.00%, 3/27/30 (United Kingdom) GBP 100,000 124,556
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty notes 6.25%, 1/15/28 $90,000 89,610
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32 15,000 15,191
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.00%, 2/1/33 130,000 129,785
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.625%, 9/30/31 55,000 54,137
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 60,000 59,985
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 4.25%, 7/1/26 20,000 19,637
RR Donnelley & Sons Co. 144A sr. notes 9.50%, 8/1/29 120,000 121,989
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 65,000 58,441
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 118,000 97,666
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 75,000 71,835
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 90,000 89,196
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 105,000 87,993
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 75,000 69,184
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 85,000 86,904
Six Flags Entertainment Corp./Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 6.625%, 5/1/32 35,000 35,501
Specialty Building Products Holdings, LLC/ SBP Finance Corp. 144A sr. notes 7.75%, 10/15/29 40,000 40,733
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 EUR 100,000 101,616
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 $40,000 34,329
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 70,000 64,189
Station Casinos, LLC 144A company guaranty sr. unsec. sub. notes 6.625%, 3/15/32 55,000 54,709
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 60,000 53,798
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 2.691%, 9/15/31 325,000 266,931
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 200,000 186,594
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 100,000 100,031
Taylor Morrison Communities, Inc. 144A company guaranty sr. unsec. notes 5.875%, 6/15/27 30,000 30,251
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 60,000 57,538
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 35,000 34,797
Toll Brothers Finance Corp. company guaranty sr. unsec. unsub. notes 4.35%, 2/15/28 128,000 125,103
Veritiv Operating Co. 144A company guaranty sr. notes 10.50%, 11/30/30 25,000 26,956
Viking Cruises, Ltd. 144A sr. unsec. notes 9.125%, 7/15/31 80,000 86,108
Viking Cruises, Ltd. 144A sr. unsec. notes 7.00%, 2/15/29 30,000 30,195
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 233,000 296,390
Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 4.279%, 3/15/32 535,000 471,588
Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 3.755%, 3/15/27 385,000 370,987
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 4.875%, 9/15/28 30,000 28,739
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 135,000 134,192
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. bonds 5.125%, 10/1/29 55,000 52,719
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 145,000 151,107
13,911,162
Consumer staples (0.7%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) 80,000 71,619
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 6.125%, 6/15/29 (Canada) 30,000 30,135
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 122,000 118,665
Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31 205,000 170,589
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 685,000 673,505
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 EUR 100,000 109,041
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 $15,000 13,832
Chobani Holdco, LLC 144A sr. unsec. notes 8.75%, 10/1/29 25,000 26,500
Chobani, LLC/Chobani Finance Corp., Inc. 144A sr. unsec. notes 7.625%, 7/1/29 80,000 82,827
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US, LLC 144A company guaranty sr. notes 6.625%, 7/15/30 45,000 45,776
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US, LLC 144A company guaranty sr. notes 4.75%, 1/15/29 70,000 66,772
Energizer Gamma Acquisition BV company guaranty sr. unsec. notes Ser. REGS, 3.50%, 6/30/29 EUR 100,000 99,929
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 4.375%, 3/31/29 $30,000 27,893
EquipmentShare.com, Inc. 144A notes 9.00%, 5/15/28 70,000 72,701
EquipmentShare.com, Inc. 144A notes 8.625%, 5/15/32 50,000 52,315
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 93,000 79,637
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.20%, 11/1/46 300,000 244,800
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 228,000 258,023
ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 111,000 108,191
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 105,000 96,956
Gates Corp. (The) 144A sr. unsec. notes 6.875%, 7/1/29 10,000 10,185
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 6.625%, 6/15/29 40,000 40,541
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 100,000 99,115
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 (Luxembourg) 82,000 74,863
JDE Peet's NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands) 150,000 139,340
Kenvue, Inc. company guaranty sr. unsec. notes Ser. REGS, 4.90%, 3/22/33 299,000 294,240
Kenvue, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 5.05%, 3/22/53 54,000 50,102
Mars, Inc. 144A sr. unsec. unsub. notes 4.65%, 4/20/31 73,000 71,261
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 189,000 180,146
Philip Morris International, Inc. sr. unsec. unsub. notes 5.125%, 2/15/30 407,000 409,274
Philip Morris International, Inc. sr. unsec. unsub. notes 4.75%, 11/1/31 200,000 195,689
United Rentals North America, Inc. 144A company guaranty sr. unsec. notes 6.125%, 3/15/34 60,000 59,606
US Foods, Inc. 144A company guaranty sr. unsec. notes 7.25%, 1/15/32 20,000 20,723
US Foods, Inc. 144A sr. unsec. notes 5.75%, 4/15/33 60,000 58,458
Wayfair, LLC 144A company guaranty sr. sub. notes 7.25%, 10/31/29 60,000 60,120
4,213,369
Energy (1.2%)
6297782 LLC 144A company guaranty sr. unsec. notes 5.026%, 10/1/29 225,000 221,186
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 870,000 842,908
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 6.75%, 4/15/29 175,000 177,056
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.625%, 11/1/30 10,000 10,482
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 45,000 46,792
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 90,000 93,941
Columbia Pipelines Operating Co., LLC 144A sr. unsec. notes 5.927%, 8/15/30 100,000 102,969
Coronado Finance Pty, Ltd. 144A company guaranty sr. sub. notes 9.25%, 10/1/29 (Australia) 25,000 25,383
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 50,000 56,440
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 145,000 148,097
Encino Acquisition Partners Holdings, LLC 144A sr. unsec. notes 8.75%, 5/1/31 60,000 63,363
Expand Energy Corp. company guaranty sr. unsec. notes 5.375%, 3/15/30 65,000 63,605
Expand Energy Corp. company guaranty sr. unsec. notes 5.375%, 2/1/29 135,000 133,082
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 65,000 63,154
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 55,000 53,535
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 6.50%, 6/1/29 35,000 35,372
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 60,000 59,845
KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 5.375%, 4/24/30 (Kazakhstan) 430,000 419,130
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 80,000 78,804
Kraken Oil & Gas Partners, LLC 144A sr. unsec. notes 7.625%, 8/15/29 115,000 110,797
Matador Resources Co. 144A company guaranty sr. unsec. notes 6.25%, 4/15/33 125,000 121,453
Matador Resources Co. 144A sr. unsec. notes 6.50%, 4/15/32 90,000 89,134
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 8.875%, 8/15/31 120,000 111,550
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 70,000 69,982
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 180,000 178,172
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 97,000 103,885
Occidental Petroleum Corp. sr. unsec. sub. notes 7.50%, 5/1/31 253,000 276,779
ONEOK, Inc. company guaranty sr. unsec. notes 4.75%, 10/15/31 475,000 459,679
Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28 149,000 151,137
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) 55,000 53,880
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 280,000 236,679
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 98,000 85,330
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 33,000 33,136
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) 45,000 44,646
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 105,000 98,146
Sitio Royalties Operating Partnership LP/Sitio Finance Corp. 144A sr. unsec. notes 7.875%, 11/1/28 80,000 82,663
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 60,000 60,035
SM Energy Co. 144A sr. unsec. notes 7.00%, 8/1/32 125,000 123,362
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 282,000 275,561
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 260,000 251,227
Transocean Aquila, Ltd. 144A company guaranty sr. notes 8.00%, 9/30/28 18,154 18,651
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 45,000 45,171
Transocean Titan Financing, Ltd. 144A company guaranty sr. notes 8.375%, 2/1/28 (Cayman Islands) 45,000 45,964
Transocean, Inc. company guaranty sr. unsec. unsub. bonds 6.80%, 3/15/38 75,000 61,527
Transocean, Inc. 144A company guaranty sr. notes 8.75%, 2/15/30 34,000 35,211
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 3.875%, 8/15/29 70,000 64,363
Venture Global LNG, Inc. 144A jr. unsec. sub. bonds 9.00%, 9/30/54 85,000 89,006
Venture Global LNG, Inc. 144A sr. notes 9.875%, 2/1/32 70,000 76,853
Venture Global LNG, Inc. 144A sr. notes 9.50%, 2/1/29 75,000 82,942
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 105,000 109,616
Venture Global LNG, Inc. 144A sr. notes 8.125%, 6/1/28 40,000 41,642
Viper Energy, Inc. 144A sr. unsec. sub. notes 7.375%, 11/1/31 105,000 110,010
Viper Energy, Inc. 144A sr. unsec. sub. notes 5.375%, 11/1/27 30,000 29,722
Vital Energy, Inc. 144A company guaranty sr. unsec. notes 7.875%, 4/15/32 95,000 91,500
Vital Energy, Inc. 144A company guaranty sr. unsec. notes 7.75%, 7/31/29 20,000 19,927
6,634,482
Financials (7.6%)
ABN AMRO Bank NV 144A sr. unsec. unsub. notes 4.988%, 12/3/28 (Netherlands) 300,000 299,477
ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) 200,000 199,400
Acrisure, LLC/Acrisure Finance, Inc. 144A sr. notes 7.50%, 11/6/30 90,000 92,769
Acrisure, LLC/Acrisure Finance, Inc. 144A sr. unsec. notes 8.50%, 6/15/29 90,000 94,222
AEGON Funding Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 4/16/27 210,000 211,940
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) 759,000 661,603
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. sub. notes 3.65%, 7/21/27 (Ireland) 450,000 436,753
Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28 175,000 157,962
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 234,000 230,226
Air Lease Corp. sr. unsec. sub. notes 5.85%, 12/15/27 45,000 46,142
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 736,000 679,997
Aircastle, Ltd. 144A sr. unsec. notes 5.25%, 8/11/25 305,000 305,183
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 7.00%, 1/15/31 115,000 115,575
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 7.375%, 10/1/32 25,000 25,261
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 5.875%, 11/1/29 105,000 101,388
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 367,000 406,234
Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 263,000 261,293
Ally Financial, Inc. sr. unsec. notes 2.20%, 11/2/28 172,000 153,102
American Express Co. sr. unsec. unsub. notes 5.098%, 2/16/28 170,000 171,010
Apollo Commercial Real Estate Finance, Inc. 144A company guaranty sr. notes 4.625%, 6/15/29 85,000 73,855
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27 270,000 256,940
Ares Capital Corp. sr. unsec. notes 2.15%, 7/15/26 253,000 242,084
Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 110,000 114,037
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 204,000 201,781
Aretec Group, Inc. 144A company guaranty sr. sub. notes 10.00%, 8/15/30 25,000 27,335
Athene Global Funding 144A notes 5.526%, 7/11/31 105,000 105,305
Athene Global Funding 144A notes 5.349%, 7/9/27 245,000 247,467
Athene Global Funding 144A notes 1.985%, 8/19/28 547,000 489,285
Australia and New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) 200,000 203,207
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) 200,000 195,245
Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain) 1,400,000 1,192,512
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) 400,000 399,766
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 204,000 203,967
Bank of America Corp. sr. unsec. FRN 1.734%, 7/22/27 1,690,000 1,611,634
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 572,000 503,153
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 1,133,000 1,004,318
Bank of America Corp. unsec. sub. FRN (CME Term SOFR 3 Month + 1.02%), 5.38%, 9/15/26 83,000 83,138
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 722,000 748,534
Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 245,000 240,569
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50 500,000 314,091
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 117,000 101,362
Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31 170,000 137,122
Blackstone Private Credit Fund sr. unsec. unsub. notes 3.25%, 3/15/27 88,000 84,270
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France) 285,000 239,149
BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) 200,000 197,923
BPCE SA 144A sr. unsec. unsub. FRN 5.975%, 1/18/27 (France) 410,000 413,247
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 295,000 294,484
CaixaBank SA 144A sr. unsec. notes 5.673%, 3/15/30 (Spain) 200,000 202,027
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 1,178,000 951,730
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 1,792,000 1,736,295
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 408,000 400,036
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 214,000 188,294
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 512,000 505,241
CNO Global Funding 144A notes 4.95%, 9/9/29 315,000 312,396
CNO Global Funding 144A notes 4.875%, 12/10/27 120,000 119,507
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 718,000 693,482
Corebridge Financial, Inc. sr. unsec. notes 3.85%, 4/5/29 239,000 228,292
Corebridge Global Funding 144A sr. unsec. unsub. notes 5.20%, 6/24/29 130,000 130,803
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 9.25%, 12/15/28 90,000 95,303
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) 400,000 399,453
Encore Capital Group, Inc. 144A company guaranty sr. notes 8.50%, 5/15/30 60,000 63,176
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 643,000 638,901
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 647,000 666,174
Freedom Mortgage Corp. 144A sr. unsec. notes 12.00%, 10/1/28 85,000 92,527
Freedom Mortgage Corp. 144A sr. unsec. sub. notes 6.625%, 1/15/27 90,000 90,110
General Motors Financial Co., Inc. sr. unsec. notes 4.90%, 10/6/29 264,000 260,201
GGAM Finance, Ltd. 144A company guaranty sr. unsec. notes 8.00%, 2/15/27 (Ireland) 25,000 25,805
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32(R) 246,000 211,453
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26(R) 84,000 84,058
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 1,677,000 1,632,626
HUB International, Ltd. 144A sr. notes 7.25%, 6/15/30 85,000 87,195
Huntington Bancshares, Inc. unsec. sub. FRB 2.487%, 8/15/36 490,000 397,068
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 190,000 150,523
Intercontinental Exchange, Inc. sr. unsec. notes 4.00%, 9/15/27 98,000 96,463
Intesa Sanpaolo SpA 144A sr. unsec. notes 3.875%, 1/12/28 (Italy) 400,000 383,139
Jane Street Group/JSG Finance, Inc. 144A sr. notes 6.125%, 11/1/32 110,000 109,054
Jefferies Financial Group, Inc. sr. unsec. notes Ser. MTN, 5.15%, 9/15/25 185,000 185,090
Jefferson Capital Holdings, LLC 144A sr. unsec. notes 9.50%, 2/15/29 100,000 106,361
Jones Deslauriers Insurance Management, Inc. 144A sr. notes 8.50%, 3/15/30 (Canada) 35,000 36,988
Jones Deslauriers Insurance Management, Inc. 144A sr. unsec. notes 10.50%, 12/15/30 (Canada) 75,000 81,214
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity 252,000 251,505
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (CME Term SOFR 3 Month + 1.26%), 5.785%, 5/15/47 228,000 216,823
JPMorgan Chase & Co. sr. unsec. unsub. notes 6.07%, 10/22/27 305,000 312,223
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 1,887,000 1,833,483
JPMorgan Chase & Co. unsec. sub. FRB 5.717%, 9/14/33 1,005,000 1,026,844
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 207,000 189,429
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) 75,000 72,376
Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom) 295,000 293,478
LPL Holdings, Inc. company guaranty sr. unsec. notes 6.75%, 11/17/28 183,000 192,278
Macquarie Airfinance Holdings, Ltd. 144A sr. unsec. notes 5.15%, 3/17/30 (United Kingdom) 71,000 69,575
Macquarie Airfinance Holdings, Ltd. 144A sr. unsec. notes 6.50%, 3/26/31 (United Kingdom) 15,000 15,544
Macquarie Airfinance Holdings, Ltd. 144A sr. unsec. notes 6.40%, 3/26/29 (United Kingdom) 10,000 10,297
Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49 236,000 211,923
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 385,000 420,877
Morgan Stanley sr. unsec. notes 5.123%, 2/1/29 305,000 305,898
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29 1,758,000 1,695,963
Morgan Stanley unsec. unsub. notes 3.95%, 4/23/27 507,000 497,012
Nasdaq, Inc. sr. unsec. notes 5.35%, 6/28/28 110,000 111,610
Nasdaq, Inc. sr. unsec. sub. bonds 5.55%, 2/15/34 43,000 43,403
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 7.125%, 2/1/32 75,000 76,042
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 140,000 133,962
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 186,000 154,020
OneMain Finance Corp. company guaranty sr. unsec. notes 7.50%, 5/15/31 70,000 71,921
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 11/15/31 75,000 76,495
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 20,000 20,263
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 110,000 105,845
PHH Escrow Issuer, LLC 144A sr. unsec. notes 9.875%, 11/1/29 170,000 170,938
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 825,000 777,105
PRA Group, Inc. 144A company guaranty sr. unsec. notes 8.875%, 1/31/30 150,000 155,547
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) 149,000 130,380
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) 66,000 62,552
Protective Life Global Funding 144A 5.467%, 12/8/28 195,000 198,425
RHP Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 7.25%, 7/15/28 20,000 20,637
RHP Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 6.50%, 4/1/32 90,000 90,528
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 629,000 611,573
Truist Bank unsec. sub. FRN Ser. BKNT, 4.632%, 9/17/29 390,000 380,553
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26 390,000 388,574
Truist Financial Corp. sr. unsec. unsub. notes Ser. MTN, 5.435%, 1/24/30 150,000 151,378
UBS Group AG jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 389,000 390,017
UBS Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) 311,000 299,610
UBS Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) 1,090,000 1,077,209
UBS Group AG 144A sr. unsec. unsub. FRN 1.305%, 2/2/27 (Switzerland) 250,000 240,342
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 754,000 610,887
VICI Properties LP sr. unsec. notes 5.125%, 11/15/31(R) 290,000 283,082
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) 374,000 371,118
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) 149,000 144,672
Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33 2,203,000 1,931,853
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 5.574%, 7/25/29 155,000 157,412
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 4.54%, 8/15/26 260,000 259,544
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) 147,000 104,718
XHR LP 144A company guaranty sr. unsec. notes 6.625%, 5/15/30 25,000 25,113
43,379,158
Health care (1.7%)
AbbVie, Inc. sr. unsec. notes 4.80%, 3/15/29 230,000 229,888
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 384,000 321,987
Amgen, Inc. sr. unsec. unsub. notes 5.15%, 3/2/28 320,000 322,403
AthenaHealth Group, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 140,000 133,187
Bausch & Lomb Escrow Corp. 144A sr. notes 8.375%, 10/1/28 (Canada) 50,000 51,813
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 75,000 68,146
Becton, Dickinson and Co. sr. unsec. notes 2.823%, 5/20/30 462,000 414,552
Bristol-Myers Squibb Co. sr. unsec. notes 4.90%, 2/22/29 255,000 256,320
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 80,000 69,082
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 50,000 44,708
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 45,000 41,307
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 10.875%, 1/15/32 60,000 61,979
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 45,000 43,237
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 75,000 54,749
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 90,000 74,004
Concentra Escrow Issuer Corp. 144A sr. unsec.notes 6.875%, 7/15/32 70,000 71,555
CVS Health Corp. jr. unsec. sub. bonds 7.00%, 3/10/55 60,000 60,351
CVS Health Corp. jr. unsec. sub. bonds 6.75%, 12/10/54 35,000 34,406
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 122,000 105,594
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 19,840 19,953
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 170,081 157,792
DaVita Inc. 144A company guaranty sr. unsec. notes 6.875%, 9/1/32 185,000 186,642
DH Europe Finance II SARL company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) 208,000 147,481
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 75,000 76,226
Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 166,000 150,390
Endo Finance Holdings, Inc. 144A sr. notes 8.50%, 4/15/31 40,000 42,431
GE HealthCare Technologies, Inc. company guaranty sr. unsub. notes 5.65%, 11/15/27 165,000 169,137
GE HealthCare Technologies, Inc. sr. unsec. notes 4.80%, 8/14/29 200,000 198,202
Grifols SA company guaranty sr. unsec. notes 3.875%, 10/15/28 (Spain) EUR 215,000 201,801
HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 $84,000 83,236
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 75,000 71,583
HCA, Inc. company guaranty sr. unsec. notes 5.45%, 4/1/31 280,000 279,540
HCA, Inc. company guaranty sr. unsec. sub. notes 3.625%, 3/15/32 510,000 449,638
Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 254,000 258,942
Icon Investments Six DAC company guaranty sr. notes 5.809%, 5/8/27 (Ireland) 200,000 203,429
Illumina, Inc. sr. unsec. sub. notes 4.65%, 9/9/26 86,000 85,733
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) 200,000 189,147
Medline Borrower LP 144A sr. notes 3.875%, 4/1/29 80,000 74,153
Medline Borrower LP 144A sr. unsec. notes 5.25%, 10/1/29 45,000 43,471
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 532,000 412,379
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 876,000 719,494
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 5.30%, 5/19/53 (Singapore) 100,000 93,710
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.75%, 5/19/33 (Singapore) 702,000 682,397
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.45%, 5/19/28 (Singapore) 76,000 75,349
Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) 375,000 307,900
Royalty Pharma PLC company guaranty sr. unsec. notes 5.15%, 9/2/29 235,000 234,602
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 55,000 48,163
Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 190,000 186,246
Tenet Healthcare Corp. company guaranty sr. notes 4.25%, 6/1/29 75,000 70,479
Tenet Healthcare Corp. company guaranty sr. unsub. notes 6.125%, 6/15/30 120,000 119,204
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) 215,000 210,152
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42 419,000 336,728
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 346,000 324,530
Zoetis, Inc. sr. unsec. sub. notes 3.00%, 9/12/27 130,000 124,645
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 99,000 85,227
9,579,400
Technology (1.4%)
Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28 45,000 44,156
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 739,000 652,921
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 351,000 290,998
AppLovin Corp. sr. unsec. sub. notes 5.375%, 12/1/31 93,000 93,068
AppLovin Corp. sr. unsec. sub. notes 5.125%, 12/1/29 71,000 70,855
Atlassian Corp. sr. unsec. bonds 5.50%, 5/15/34 34,000 34,166
Atlassian Corp. sr. unsec. notes 5.25%, 5/15/29 161,000 162,271
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 468,000 460,802
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 1,240,000 1,194,550
Broadcom, Inc. sr. unsec. notes 5.05%, 7/12/29 80,000 80,330
Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 66,000 53,194
Cadence Design Systems, Inc. sr. unsec. sub. notes 4.30%, 9/10/29 260,000 254,942
Cloud Software Group, Inc. 144A notes 9.00%, 9/30/29 45,000 45,744
Cloud Software Group, Inc. 144A sr. notes. 6.50%, 3/31/29 80,000 78,623
CommScope, Inc. 144A company guaranty sr. unsec. notes 7.125%, 7/1/28 70,000 61,695
CommScope, LLC 144A company guaranty sr. notes 6.00%, 3/1/26 45,000 44,831
Fortress Intermediate 3, Inc. 144A sr. notes 7.50%, 6/1/31 65,000 66,360
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 95,000 86,791
Hewlett Packard Enterprise Co. sr. unsec. bonds 5.60%, 10/15/54 107,000 100,796
Hewlett Packard Enterprise Co. sr. unsec. bonds 5.00%, 10/15/34 54,000 51,932
Hewlett Packard Enterprise Co. sr. unsec. notes 4.85%, 10/15/31 107,000 104,401
Hewlett Packard Enterprise Co. sr. unsec. notes 4.55%, 10/15/29 392,000 382,257
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 80,000 75,930
McAfee Corp. 144A sr. unsec. notes 7.375%, 2/15/30 195,000 189,636
Meta Platforms, Inc. sr. unsec. bonds 5.40%, 8/15/54 487,000 472,035
Meta Platforms, Inc. sr. unsec. notes 4.95%, 5/15/33 231,000 231,403
MSCI, Inc. 144A company guaranty sr. unsec. notes 3.625%, 9/1/30 133,000 121,573
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 398,000 310,580
Oracle Corp. sr. unsec. notes 2.875%, 3/25/31 137,000 120,614
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 917,000 699,622
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 239,000 230,368
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 70,000 65,996
Seagate HDD Cayman company guaranty sr. unsec. notes 3.125%, 7/15/29 (Cayman Islands) 30,000 27,114
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 155,000 135,677
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 426,000 354,167
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 125,000 116,109
UKG, Inc. 144A sr. notes 6.875%, 2/1/31 90,000 91,405
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 60,000 54,632
7,712,544
Transportation (0.3%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 70,000 69,473
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 52,500 52,372
AS Mileage Plan IP, Ltd. 144A sr. notes 5.021%, 10/20/29 (Cayman Islands) 195,000 190,141
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 288,000 236,669
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 150,000 146,081
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 133,000 131,315
Ryder System, Inc. sr. unsec. unsub. notes 4.95%, 9/1/29 300,000 299,098
SMBC Aviation Capital Finance DAC 144A company guaranty sr. unsec. notes 5.70%, 7/25/33 (Ireland) 200,000 201,621
SMBC Aviation Capital Finance DAC 144A company guaranty sr. unsec. notes 5.30%, 4/3/29 (Ireland) 310,000 311,292
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 40,000 38,064
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 7.125%, 8/1/32 105,000 108,334
1,784,460
Utilities and power (1.9%)
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 158,000 152,257
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 316,000 263,511
American Electric Power Co., Inc. sr. unsec. unsub. bonds 5.625%, 3/1/33 140,000 141,506
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 462,000 451,633
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 110,000 93,433
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 60,000 56,466
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36 172,000 179,813
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 160,000 133,996
Constellation Energy Generation, LLC sr. unsec. notes 5.60%, 3/1/28 155,000 158,135
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 446,000 346,323
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 551,000 529,326
Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39 211,000 228,743
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 241,000 230,331
Electricite De France SA 144A sr. unsec. notes 5.65%, 4/22/29 (France) 420,000 429,397
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 410,000 339,764
Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 837,000 781,345
Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 68,000 68,896
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 810,000 799,653
Evergy Kansas Central, Inc. sr. bonds 5.70%, 3/15/53 130,000 128,180
Evergy Missouri West, Inc. 144A sr. notes 5.15%, 12/15/27 402,000 405,242
Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 31,000 31,413
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 125,000 117,922
Kinder Morgan, Inc. company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 343,000 390,000
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/1/29 185,000 184,450
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.051%, 3/1/25 184,000 184,342
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.25%, 11/1/34 80,000 78,531
NRG Energy, Inc. 144A jr. unsec. sub. FRB 10.25%, perpetual maturity 70,000 77,387
Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42 91,000 87,549
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 463,000 356,215
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 61,000 56,925
Pacific Gas and Electric Co. sr. notes 6.10%, 1/15/29 575,000 595,450
Pacific Gas and Electric Co. sr. notes 5.55%, 5/15/29 235,000 238,944
PG&E Corp. jr. unsec. sub. bonds 7.375%, 3/15/55 50,000 51,437
PG&E Corp. sr. sub. notes 5.25%, 7/1/30 95,000 93,050
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 178,000 177,392
Puget Sound Energy, Inc. sr. bonds 5.448%, 6/1/53 163,000 155,776
Southern California Gas Co. sr. unsub. bonds 5.05%, 9/1/34 75,000 73,957
Southern Co. (The) sr. unsec. notes 5.50%, 3/15/29 195,000 199,026
Southern Co. Gas Capital Corp. company guaranty sr. unsec. unsub. notes 4.95%, 9/15/34 835,000 808,713
Vistra Corp. 144A jr. unsec. sub. FRN 8.00%, 10/15/51 25,000 25,598
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity 80,000 80,545
Vistra Operations Co., LLC 144A company guaranty sr. notes 6.00%, 4/15/34 195,000 197,725
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 219,000 209,295
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 6.875%, 4/15/32 50,000 51,243
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 65,000 63,832
Vistra Operations Co., LLC 144A sr. unsec. notes 7.75%, 10/15/31 45,000 47,250
Wisconsin Electric Power Co. sr. unsec. unsub. bonds 4.60%, 10/1/34 174,000 165,806
10,717,723
Total corporate bonds and notes (cost $134,066,726) $126,866,520








U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (19.0%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (5.0%)
Government National Mortgage Association Pass-Through Certificates
6.00%, with due dates from 12/20/48 to 4/20/49 $266,147 $275,880
5.50%, TBA, 1/1/55 1,000,000 991,889
4.50%, TBA, 1/1/55 6,000,000 5,671,875
4.50%, 5/20/49 13,749 13,009
4.00%, TBA, 1/1/55 4,000,000 3,684,552
3.00%, TBA, 1/1/55 6,000,000 5,203,594
3.00%, with due dates from 8/20/49 to 1/20/54 14,619,854 12,731,811
28,572,610
U.S. Government Agency Mortgage Obligations (14.0%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
6.50%, 5/1/53 148,025 151,459
4.00%, 9/1/45 111,864 105,023
2.50%, with due dates from 8/1/50 to 8/1/51 2,138,516 1,755,719
Federal National Mortgage Association Pass-Through Certificates
6.50%, with due dates from 3/1/53 to 5/1/53 1,480,227 1,516,045
5.28%, 12/1/28 147,000 149,798
4.69%, 8/1/28 63,000 63,221
4.00%, 1/1/57 337,635 309,942
3.50%, with due dates from 6/1/56 to 2/1/57 2,336,603 2,065,780
3.50%, 4/1/52 1,174,108 1,050,050
3.00%, with due dates from 4/1/46 to 4/1/52 8,239,429 7,112,500
2.73%, 9/1/29 188,122 172,584
2.50%, with due dates from 7/1/50 to 8/1/51 15,038,777 12,399,717
Uniform Mortgage-Backed Securities
6.50%, TBA, 1/1/55 5,000,000 5,103,906
5.50%, TBA, 1/1/55 2,000,000 1,973,810
5.00%, TBA, 1/1/55 16,000,000 15,443,693
3.50%, TBA, 1/1/55 8,000,000 7,076,584
2.50%, TBA, 1/1/55 17,000,000 13,848,359
2.50%, TBA, 1/1/40 10,000,000 9,082,031
79,380,221
Total U.S. government and agency mortgage obligations (cost $115,959,056) $107,952,831








U.S. TREASURY OBLIGATIONS (—%)(a)
        Principal amount Value
U.S. Treasury Notes
2.75%, 8/15/32(i) $122,000 $109,500
1.875%, 2/28/27(i) 9,000 8,621
Total U.S. treasury obligations (cost $118,121) $118,121








MORTGAGE-BACKED SECURITIES (5.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (1.3%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 3408, Class EK, ((-4.024 x US 30 Day Average SOFR) + 25.33%), 6.832%, 4/15/37 $23,231 $25,271
REMICs IFB Ser. 3065, Class DC, ((-3 x US 30 Day Average SOFR) + 19.52%), 5.724%, 3/15/35 39,817 40,062
Strips FRB Ser. 406, Class F30, (US 30 Day Average SOFR + 1.15%), 5.719%, 10/25/53 220,925 222,552
REMICs Ser. 5079, Class BI, IO, 5.50%, 2/25/51 1,661,403 306,161
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 2,338,875 532,000
REMICs Ser. 5138, Class YI, IO, 4.50%, 12/25/49 3,140,153 806,706
REMICs Ser. 5134, Class IB, IO, 4.00%, 8/25/51 2,515,594 500,899
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 2,497,883 582,872
REMICs Ser. 5036, Class IK, IO, 4.00%, 4/25/50 2,329,747 508,093
REMICs Ser. 5142, Class AI, IO, 3.50%, 9/25/51 2,477,026 483,396
REMICs Ser. 5010, Class IA, IO, 3.50%, 9/25/50 1,722,920 319,983
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 1.338%, 4/15/44 2,739,885 244,343
REMICs Ser. 3391, PO, zero %, 4/15/37 2,081 1,763
Federal National Mortgage Association
REMICs Ser. 21-65, Class LI, IO, 3.50%, 10/25/51 1,976,017 358,962
REMICs Ser. 20-96, Class JI, IO, 3.00%, 1/25/51 3,894,069 666,414
REMICs Ser. 21-28, Class NI, IO, 3.00%, 5/25/41 3,601,819 384,812
REMICs Ser. 21-45, Class MI, IO, 2.50%, 2/25/49 3,537,135 465,758
REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37 4,970 4,066
REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36 736 600
Government National Mortgage Association
FRB Ser. 23-152, Class FB, IO, 5.755%, 4/20/51(WAC) 296,241 302,553
Ser. 21-117, Class MI, IO, 3.50%, 5/20/42 3,601,790 538,249
FRB Ser. 16-H16, Class LI, IO, 2.82%, 7/20/66(WAC) 3,533,219 151,791
Ser. 15-H26, Class EI, IO, 1.738%, 10/20/65(WAC) 604,048 21,177
7,468,483
Commercial mortgage-backed securities (1.8%)
ACRES Commercial Realty, Ltd. 144A FRB Ser. 21-FL1, Class AS, 6.096%, 6/15/36 284,000 284,406
Arbor Multifamily Mortgage Securities Trust 144A FRB Ser. 20-MF1, Class XA, IO, 0.936%, 5/15/53(WAC) 3,104,295 120,907
AREIT Trust 144A FRB Ser. 21-CRE5, Class A, 5.576%, 11/17/38 (Cayman Islands) 56,069 56,145
BANK FRB Ser. 19-BN20, Class XA, IO, 0.808%, 9/15/62(WAC) 3,708,465 115,251
Bank5 FRB Ser. 24-5YR7, Class XA, 1.334%, 6/15/57(WAC) 3,734,587 193,763
Barclays Commercial Mortgage Trust
Ser. 19-C3, Class C, 4.178%, 5/15/52 121,000 104,058
FRB Ser. 19-C4, Class XA, IO, 1.519%, 8/15/52(WAC) 2,550,077 139,039
BBCMS Mortgage Trust FRB Ser. 24-5C29, Class XA, IO, 1.60%, 9/15/57(WAC) 4,763,500 308,938
BDS, Ltd. 144A FRB Ser. 21-FL10, Class A, (CME Term SOFR 1 Month + 1.46%), 5.84%, 12/16/36 (Cayman Islands) 258,719 258,881
CD Commercial Mortgage Trust Ser. 17-CD4, Class B, 3.947%, 5/10/50(WAC) 182,000 168,289
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50(WAC) 179,000 167,729
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class D, 5.08%, 12/15/47(WAC) 24,818 23,848
FRB Ser. 11-C2, Class E, 5.08%, 12/15/47(WAC) 140,000 129,875
COMM Mortgage Trust
FRB Ser. 13-CR13, Class C, 4.944%, 11/10/46(WAC) 68,017 63,344
FRB Ser. 14-CR17, Class C, 4.779%, 5/10/47(WAC) 217,000 198,979
FRB Ser. 14-CR20, Class C, 4.655%, 11/10/47(WAC) 386,975 366,252
FRB Ser. 15-LC21, Class B, 4.311%, 7/10/48(WAC) 289,000 285,615
Ser. 14-UBS5, Class AM, 4.193%, 9/10/47(WAC) 123,796 121,468
FRB Ser. 15-LC19, Class C, 4.172%, 2/10/48(WAC) 370,000 354,936
Ser. 14-UBS3, Class AM, 4.012%, 6/10/47 172,848 165,275
Ser. 15-CR22, Class B, 3.926%, 3/10/48(WAC) 135,000 131,152
Ser. 15-CR23, Class AM, 3.801%, 5/10/48 192,000 191,050
FRB Ser. 14-UBS4, Class XA, IO, 0.812%, 8/10/47(WAC) 740,929 7
COMM Mortgage Trust 144A
FRB Ser. 13-CR13, Class D, 4.944%, 11/10/46(WAC) 299,000 183,230
FRB Ser. 14-CR17, Class D, 4.843%, 5/10/47(WAC) 159,000 127,279
CSAIL Commercial Mortgage Trust
FRB Ser. 15-C1, Class C, 4.064%, 4/15/50(WAC) 233,000 208,573
Ser. 16-C7, Class AS, 3.958%, 11/15/49(WAC) 255,000 245,339
Ser. 15-C2, Class AS, 3.849%, 6/15/57(WAC) 264,000 255,999
Ser. 19-C17, Class AS, 3.278%, 9/15/52 435,000 382,607
FRB Ser. 20-C19, Class XA, IO, 1.089%, 3/15/53(WAC) 5,643,400 245,970
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.353%, 8/10/44(WAC) 410,829 385,059
FREMF Mortgage Trust 144A FRB Ser. 15-K51, Class B, 3.956%, 10/25/48(WAC) 309,000 305,879
FS Rialto Issuer, Ltd. 144A FRB Ser. 21-FL3, Class A, (CME Term SOFR 1 Month + 1.36%), 5.762%, 11/16/36 (Cayman Islands) 88,461 88,802
GS Mortgage Securities Trust FRB Ser. 19-GC38, Class XA, 1.007%, 2/10/52(WAC) 3,474,710 122,801
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 14-C18, Class B, 4.536%, 2/15/47(WAC) 241,689 232,652
FRB Ser. 13-C12, Class C, 3.939%, 7/15/45(WAC) 166,528 157,277
FRB Ser. 14-C25, Class XA, IO, 0.544%, 11/15/47(WAC) 714,379 7
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class XA, IO, 1.157%, 4/15/46(WAC) 113,521 611
KREF, Ltd. 144A FRB Ser. 22-FL3, Class A, (CME Term SOFR 1 Month + 1.45%), 5.816%, 2/17/39 167,669 168,523
LSTAR Commercial Mortgage Trust 144A Ser. 17-5, Class A5, 3.549%, 3/10/50 386,000 371,289
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 15-C24, Class B, 4.318%, 5/15/48(WAC) 193,000 184,635
FRB Ser. 15-C22, Class C, 4.189%, 4/15/48(WAC) 234,000 201,510
FRB Ser. 13-C10, Class B, 3.981%, 7/15/46(WAC) 177,322 164,561
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C5, Class E, 4.642%, 8/15/45(WAC) 314,000 306,208
Morgan Stanley Capital I Trust
Ser. 18-L1, Class A3, 4.139%, 10/15/51 183,000 177,611
Ser. 16-UB12, Class AS, 3.778%, 12/15/49(WAC) 193,000 180,811
Shelter Growth CRE Issuer, Ltd. 144A FRB Ser. 22-FL4, Class A, 6.662%, 6/17/37 (Bermuda) 107,218 108,102
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) 357,873 27
UBS Commercial Mortgage Trust
FRB Ser. 17-C7, Class XA, IO, 0.973%, 12/15/50(WAC) 2,533,307 61,787
FRB Ser. 18-C8, Class XA, IO, 0.808%, 2/15/51(WAC) 5,413,628 116,729
VMC Finance, LLC 144A FRB Ser. 21-FL4, Class A, 5.59%, 6/16/36 9,471 9,388
Wells Fargo Commercial Mortgage Trust
Ser. 15-NXS1, Class AS, 3.406%, 5/15/48 171,000 169,431
Ser. 16-BNK1, Class AS, 2.814%, 8/15/49 216,000 202,525
FRB Ser. 19-C52, Class XA, IO, 1.559%, 8/15/52(WAC) 3,331,914 183,464
FRB Ser. 24-5C1, Class XA, 1.029%, 7/15/57(WAC) 4,410,700 179,702
FRB Ser. 16-LC25, Class XA, IO, 0.817%, 12/15/59(WAC) 3,842,947 46,161
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 3.833%, 7/15/46(WAC) 169,000 83,266
WF-RBS Commercial Mortgage Trust
FRB Ser. 14-C23, Class B, 4.294%, 10/15/57(WAC) 93,000 84,586
FRB Ser. 13-C11, Class C, 4.007%, 3/15/45(WAC) 628,000 598,036
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C3, Class D, 5.855%, 3/15/44 (In default)(NON)(WAC) 171,704 57,117
FRB Ser. 13-C15, Class D, 4.186%, 8/15/46(WAC) 153,000 63,113
10,609,874
Residential mortgage-backed securities (non-agency) (2.1%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 4.643%, 5/25/47 414,342 233,707
Angel Oak Mortgage Trust 144A Ser. 24-9, Class A1, stepped-coupon 5.138% (6.138%, 9/1/28), 9/25/69(STP) 143,361 142,330
Arroyo Mortgage Trust 144A
Ser. 19-1, Class A3, 4.208%, 1/25/49(WAC) 30,204 29,291
Ser. 19-3, Class A3, 3.416%, 10/25/48(WAC) 50,929 48,007
BankUnited Trust FRB Ser. 05-1, Class 1A1, (CME Term SOFR 1 Month + 0.71%), 5.053%, 9/25/45 41,793 38,581
BRAVO Residential Funding Trust 144A FRB Ser. 21-HE3, Class A2, (US 30 Day Average SOFR + 1.00%), 5.569%, 8/25/69 158,925 157,974
Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55(WAC) 250,000 235,620
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 6.17%, 5/25/35(WAC) 68,586 67,211
Countrywide Alternative Loan Trust
FRB Ser. 05-65CB, Class 2A1, (CME Term SOFR 1 Month + 0.54%), 4.878%, 12/25/35 289,577 182,637
FRB Ser. 06-OA19, Class A1, (CME Term SOFR 1 Month + 0.29%), 4.665%, 2/20/47 193,524 153,015
Cross Mortgage Trust 144A Ser. 24-H4, Class A1, stepped-coupon 6.147% (7.147%, 6/1/28), 7/25/69(STP) 134,315 135,213
CSMC Trust 144A
Ser. 21-RPL7, Class A1, 4.184%, 7/27/61(WAC) 124,427 124,158
Ser. 21-RPL4, Class A1, 4.10%, 12/27/60(WAC) 127,503 127,194
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (US 30 Day Average SOFR + 4.81%), 9.383%, 4/25/28 55,407 56,824
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1B, (US 30 Day Average SOFR + 3.70%), 8.269%, 9/25/42 12,000 12,685
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 7.684%, 6/25/42 160,481 165,291
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1B, (US 30 Day Average SOFR + 2.90%), 7.469%, 4/25/42 12,000 12,439
Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 7.219%, 7/25/42 303,958 311,700
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA3, Class M1A, (US 30 Day Average SOFR + 2.30%), 6.869%, 8/25/42 34,146 34,907
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA4, Class M1A, (US 30 Day Average SOFR + 2.20%), 6.769%, 5/25/42 52,422 53,271
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.719%, 9/25/42 8,336 8,417
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M1A, (US 30 Day Average SOFR + 2.10%), 6.669%, 3/25/42 7,390 7,447
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class M2, (US 30 Day Average SOFR + 2.10%), 6.669%, 10/25/33 63,331 65,072
Structured Agency Credit Risk Trust REMICs FRB Ser. 23-DNA1, Class M1A, (US 30 Day Average SOFR + 2.10%), 6.66%, 3/25/43 77,681 78,843
Structured Agency Credit Risk Debt FRN Ser. 23-HQA2, Class M1A, (US 30 Day Average SOFR + 2.00%), 6.569%, 6/25/43 26,684 26,850
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1A, (US 30 Day Average SOFR + 2.00%), 6.569%, 4/25/42 25,248 25,578
Structured Agency Credit Risk Trust REMICs FRB Ser. 23-HQA3, Class A1, (US 30 Day Average SOFR + 1.85%), 6.419%, 11/25/43 31,938 32,316
Structured Agency Credit Risk Trust REMICs FRB Ser. 23-HQA3, Class M1, (US 30 Day Average SOFR + 1.85%), 6.419%, 11/25/43 37,859 38,123
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 6.419%, 1/25/42 176,000 178,651
Structured Agency Credit Risk Debt FRN Ser. 21-DNA7, Class M2, (US 30 Day Average SOFR + 1.80%), 6.369%, 11/25/41 346,000 349,490
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA5, Class M2, (US 30 Day Average SOFR + 1.65%), 6.219%, 1/25/34 26,633 26,820
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M2, (US 30 Day Average SOFR + 1.50%), 6.069%, 10/25/41 146,000 146,935
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 5.869%, 2/25/42 71,522 71,671
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.569%, 1/25/42 79,089 79,145
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA4, Class M1, (US 30 Day Average SOFR + 0.95%), 5.519%, 12/25/41 38,720 38,739
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.369%, 10/25/41 2,626 2,625
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56(WAC) 53,433 53,089
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (US 30 Day Average SOFR + 7.06%), 11.633%, 8/25/28 109,634 114,583
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (US 30 Day Average SOFR + 6.86%), 11.433%, 8/25/28 175,508 184,225
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (US 30 Day Average SOFR + 6.11%), 10.683%, 9/25/28 92,228 94,986
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (US 30 Day Average SOFR + 6.01%), 10.583%, 10/25/28 21,633 22,585
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (US 30 Day Average SOFR + 5.81%), 10.383%, 4/25/28 385,253 399,707
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (US 30 Day Average SOFR + 4.56%), 9.133%, 1/25/29 267,090 275,798
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (US 30 Day Average SOFR + 4.46%), 9.033%, 5/25/29 196,301 204,161
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (US 30 Day Average SOFR + 4.36%), 8.933%, 4/25/29 136,114 141,044
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (US 30 Day Average SOFR + 4.36%), 8.933%, 1/25/29 327,132 337,345
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (US 30 Day Average SOFR + 3.76%), 8.333%, 9/25/29 27,000 28,058
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (US 30 Day Average SOFR + 3.66%), 8.233%, 7/25/29 278,457 286,742
Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (US 30 Day Average SOFR + 2.91%), 7.483%, 2/25/30 52,421 54,302
Connecticut Avenue Securities FRB Ser. 17-C06, Class 1M2B, (US 30 Day Average SOFR + 2.76%), 7.333%, 2/25/30 7,634 7,674
Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (US 30 Day Average SOFR + 2.46%), 7.033%, 1/25/31 66,641 68,131
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 22-R03, Class 1M2, (US 30 Day Average SOFR + 3.50%), 8.069%, 3/25/42 44,000 46,240
Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M2, (US 30 Day Average SOFR + 3.10%), 7.669%, 3/25/42 44,000 45,785
Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.569%, 4/25/42 497,000 515,446
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.569%, 1/25/42 380,000 390,262
Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.51%, 6/25/42 37,142 38,390
Connecticut Avenue Securities Trust FRB Ser. 22-R08, Class 1M1, (US 30 Day Average SOFR + 2.55%), 7.119%, 7/25/42 29,554 30,365
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 7.06%, 9/25/42 72,788 74,257
Connecticut Avenue Securities Trust FRB Ser. 23-R01, Class 1M1, (US 30 Day Average SOFR + 2.40%), 6.96%, 12/25/42 20,327 20,907
Connecticut Avenue Securities Trust FRB Ser. 23-R02, Class 1M1, (US 30 Day Average SOFR + 2.30%), 6.869%, 1/25/43 39,555 40,495
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (US 30 Day Average SOFR + 2.26%), 6.833%, 11/25/39 25,360 25,485
Connecticut Avenue Securities Trust FRB Ser. 22-R03, Class 1M1, (US 30 Day Average SOFR + 2.10%), 6.669%, 3/25/42 123,361 125,107
Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M1, (US 30 Day Average SOFR + 2.00%), 6.569%, 3/25/42 95,698 96,853
Connecticut Avenue Securities Trust FRB Ser. 23-R07, Class 2M1, (US 30 Day Average SOFR + 1.95%), 6.51%, 9/25/43 11,889 12,002
Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M2, (US 30 Day Average SOFR + 1.90%), 6.469%, 12/25/41 100,000 101,495
Connecticut Avenue Securities Trust FRB Ser. 23-R06, Class 1M1, (US 30 Day Average SOFR + 1.70%), 6.269%, 7/25/43 23,449 23,545
Connecticut Avenue Securities Trust FRB Ser. 21-R03, Class 1M2, (US 30 Day Average SOFR + 1.65%), 6.219%, 12/25/41 102,000 103,115
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 5.769%, 1/25/42 81,039 81,075
Connecticut Avenue Securities Trust FRB Ser. 24-R06, Class 1A1, (US 30 Day Average SOFR + 1.15%), 5.719%, 9/25/44 139,555 140,104
Connecticut Avenue Securities Trust FRB Ser. 24-R03, Class 2M1, (US 30 Day Average SOFR + 1.15%), 5.71%, 3/25/44 18,811 18,821
Connecticut Avenue Securities Trust FRB Ser. 24-R04, Class 1M1, (US 30 Day Average SOFR + 1.10%), 5.669%, 5/25/44 42,481 42,514
Connecticut Avenue Securities Trust FRB Ser. 24-R06, Class 1M1, (US 30 Day Average SOFR + 1.05%), 5.619%, 9/25/44 37,957 38,009
Connecticut Avenue Securities Trust FRB Ser. 24-R05, Class 2M1, (US 30 Day Average SOFR + 1.00%), 5.569%, 7/25/44 7,303 7,309
Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.569%, 12/25/41 46,065 46,043
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 5.469%, 11/25/41 8,281 8,277
Home Partners of America Trust 144A Ser. 21-2, Class C, 2.402%, 12/17/26 192,112 180,923
JPMorgan Mortgage Trust 144A
FRB Ser. 24-9, Class A11, (US 30 Day Average SOFR + 1.35%), 5.919%, 2/25/55 146,231 146,732
FRB Ser. 24-VIS2, Class A1, 5.853%, 11/25/64 138,590 139,182
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (CME Term SOFR 1 Month + 0.91%), 5.253%, 2/25/34 222,561 220,517
Mill City Mortgage Loan Trust 144A Ser. 23-NQM2, Class A1, 6.24%, 12/25/67 142,753 143,407
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (CME Term SOFR 1 Month + 0.94%), 5.278%, 8/25/34 44,064 42,472
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 4.687%, 8/26/47(WAC) 35,266 35,094
OBX Trust 144A Ser. 23-NQM10, Class A1, stepped-coupon 6.465% (7.465%, 11/1/27), 10/25/63(STP) 275,007 277,897
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (CME Term SOFR 1 Month + 1.16%), 5.503%, 10/25/34 96,921 95,372
PRMI Securitization Trust 144A FRB Ser. 24-CMG1, Class A1, (US 30 Day Average SOFR + 1.45%), 6.133%, 7/25/54 254,232 254,468
PRPM Trust 144A Ser. 24-NQM2, Class A1, stepped-coupon 6.327% (7.292%, 7/1/28), 6/25/69(STP) 484,812 489,314
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A2, 2.508%, 5/25/60(WAC) 201,536 199,144
RMF Buyout Issuance Trust 144A Ser. 20-HB1, Class A1, 1.719%, 10/25/50(WAC) 62,223 59,228
Starwood Mortgage Residential Trust 144A
Ser. 20-2, Class M1E, 3.00%, 4/25/60 493,000 478,204
Ser. 20-3, Class A3, 2.591%, 4/25/65(WAC) 403,000 348,706
Ser. 21-3, Class A1, 1.127%, 6/25/56(WAC) 116,389 100,191
Structured Asset Mortgage Investments II Trust
FRB Ser. 07-AR7, Class 1A1, (CME Term SOFR 1 Month + 0.96%), 5.303%, 5/25/47 342,011 268,795
FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.47%), 4.813%, 1/25/37 71,804 61,916
Towd Point Mortgage Trust 144A Ser. 16-5, Class M2, 3.375%, 10/25/56(WAC) 174,000 161,495
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 04-AR3, Class A2, 5.703%, 6/25/34(WAC) 81,079 74,346
FRB Ser. 05-AR9, Class A1C3, (CME Term SOFR 1 Month + 1.07%), 5.413%, 7/25/45 84,599 83,897
FRB Ser. 04-AR13, Class A2B, (CME Term SOFR 1 Month + 0.99%), 5.333%, 11/25/34 94,780 88,274
11,792,682
Total mortgage-backed securities (cost $29,440,352) $29,871,039








COLLATERALIZED LOAN OBLIGATIONS (1.9%)(a)
        Principal amount Value
522 Funding CLO, Ltd. 144A FRB Ser. 21-7A, Class A, (CME Term SOFR 3 Month + 1.33%), 5.958%, 4/23/34 (Cayman Islands) $250,000 $250,333
AB BSL CLO 3, Ltd. 144A FRB Ser. 21-3A, Class B, (CME Term SOFR 3 Month + 1.96%), 6.579%, 10/20/34 (Cayman Islands) 250,000 250,651
AGL Core CLO 31, Ltd. 144A FRB Ser. 24-31A, Class A, (CME Term SOFR 3 Month + 1.40%), 6.60%, 7/20/37 (Cayman Islands) 250,000 250,657
Allegro CLO XII, Ltd. 144A FRB Ser. 24-1A, Class A1R, (CME Term SOFR 3 Month + 1.44%), 6.724%, 7/21/37 (Cayman Islands) 250,000 250,563
Bain Capital Credit CLO, Ltd. 144A FRB Ser. 24-1A, Class A1, (CME Term SOFR 3 Month + 1.55%), 6.197%, 4/16/37 (Jersey) 250,000 252,205
Balboa Bay Loan Funding, Ltd. 144A FRB Ser. 21-1A, Class B, (CME Term SOFR 3 Month + 1.91%), 6.529%, 7/20/34 250,000 250,614
Birch Grove CLO 2, Ltd. 144A FRB Ser. 24-2A, Class A1R, (CME Term SOFR 3 Month + 1.40%), 6.017%, 10/19/37 (Cayman Islands) 250,000 251,733
Birch Grove CLO 8, Ltd. 144A FRB Ser. 24-8A, Class A1, (CME Term SOFR 3 Month + 1.63%), 6.247%, 4/20/37 (Jersey) 200,000 201,724
CBAM CLO Management, Ltd. 144A FRB Ser. 21-2A, Class AR, (CME Term SOFR 3 Month + 1.45%), 6.099%, 7/17/34 (Cayman Islands) 275,000 275,395
CIFC Funding II, Ltd. 144A FRB Ser. 24-2RA, Class AR, (CME Term SOFR 3 Month + 1.36%), 5.995%, 10/24/37 (Cayman Islands) 250,000 250,114
CIFC Funding, Ltd. 144A FRB Ser. 21-1A, Class BRR, (CME Term SOFR 3 Month + 1.96%), 7.244%, 10/21/31 250,000 250,000
Crown Point CLO 10, Ltd. 144A FRB Ser. 21-10A, Class A, (CME Term SOFR 3 Month + 1.43%), 6.049%, 7/20/34 (Cayman Islands) 250,000 250,367
Danby Park CLO, Ltd. 144A FRB Ser. 24-1A, Class AR, (CME Term SOFR 3 Month + 1.36%), 5.977%, 10/21/37 (Jersey) 250,000 250,115
Diameter Capital CLO, Ltd. 144A FRB Ser. 24-7A, Class A1A, (CME Term SOFR 3 Month + 1.48%), 6.806%, 7/20/37 (Cayman Islands) 250,000 251,592
Elevation CLO, Ltd. 144A FRB Ser. 21-13A, Class A1, (CME Term SOFR 3 Month + 1.45%), 6.108%, 7/15/34 (Cayman Islands) 250,000 250,356
Elmwood CLO 27, Ltd. 144A FRB Ser. 24-3A, Class A, (CME Term SOFR 3 Month + 1.52%), 6.152%, 4/18/37 250,000 251,870
Elmwood CLO 33, Ltd. 144A FRB Ser. 24-9RA, Class AR, (CME Term SOFR 3 Month + 1.38%), 6.503%, 10/21/37 (Cayman Islands) 250,000 251,804
Elmwood CLO I, Ltd. 144A FRB Ser. 24-1A, Class A1RR, (CME Term SOFR 3 Month + 1.52%), 6.137%, 4/20/37 (Cayman Islands) 200,000 201,442
Elmwood CLO III, Ltd. 144A FRB Ser. 24-3A, Class A1RR, (CME Term SOFR 3 Month + 1.38%), 6.012%, 7/18/37 (Cayman Islands) 250,000 251,431
GoldenTree Loan Management US CLO 9, Ltd. 144A FRB Ser. 24-9A, Class AR, (CME Term SOFR 3 Month + 1.50%), 6.117%, 4/20/37 250,000 251,954
Hayfin US XIV, Ltd. 144A FRB Ser. 21-14A, Class A1, (CME Term SOFR 3 Month + 1.49%), 6.109%, 7/20/34 (Cayman Islands) 150,000 150,234
ICG US CLO, Ltd. 144A FRB Ser. 21-1A, Class ARR, (CME Term SOFR 3 Month + 1.43%), 6.049%, 7/28/34 250,000 250,381
Jamestown CLO IX, Ltd. 144A FRB Ser. 21-9A, Class A2RR, (CME Term SOFR 3 Month + 2.11%), 6.737%, 7/25/34 (Cayman Islands) 250,000 250,029
KKR Financial CLO 52, Ltd. 144A FRB Ser. 23-52A, Class A2, (CME Term SOFR 3 Month + 2.25%), 6.897%, 7/16/36 (Cayman Islands) 250,000 251,381
LCM 41, Ltd. 144A FRB Ser. 41A, Class A1, (CME Term SOFR 3 Month + 1.46%), 6.116%, 4/15/36 (Jersey) 250,000 250,685
Magnetite XL, Ltd. 144A FRB Ser. 24-40A, Class A1, (CME Term SOFR 3 Month + 1.45%), 6.782%, 7/15/37 (Cayman Islands) 250,000 251,791
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1, (CME Term SOFR 3 Month + 1.51%), 6.168%, 8/26/34 (Cayman Islands) 250,000 250,384
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (CME Term SOFR 3 Month + 1.55%), 6.208%, 1/15/35 (Cayman Islands) 250,000 250,449
Neuberger Berman CLO XVII, Ltd. 144A FRB Ser. 24-17A, Class AR3, (CME Term SOFR 3 Month + 1.40%), 6.032%, 7/22/38 (Cayman Islands) 250,000 251,636
Oaktree CLO, Ltd. 144A FRB Ser. 24-1A, Class A1R, (CME Term SOFR 3 Month + 1.35%), 5.848%, 1/15/38 (Cayman Islands) 250,000 250,424
OHA Loan Funding, Ltd. 144A FRB Ser. 24-1A, Class A1R2, (CME Term SOFR 3 Month + 1.46%), 6.077%, 7/20/37 (Cayman Islands) 250,000 251,890
Palmer Square CLO, Ltd. 144A FRB Ser. 21-3A, Class B, (CME Term SOFR 3 Month + 1.91%), 6.568%, 1/15/35 (Cayman Islands) 300,000 300,719
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (CME Term SOFR 3 Month + 1.65%), 6.269%, 1/20/34 (Cayman Islands) 250,000 250,519
Rockland Park CLO, Ltd. 144A FRB Ser. 21-1A, Class B, (CME Term SOFR 3 Month + 1.91%), 6.529%, 4/20/34 (Cayman Islands) 250,000 250,614
RR 29, Ltd. 144A FRB Ser. 24-29RA, Class A1R, (CME Term SOFR 3 Month + 1.39%), 6.046%, 7/15/39 (Cayman Islands) 250,000 250,675
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (CME Term SOFR 3 Month + 1.43%), 6.049%, 7/20/34 (Cayman Islands) 258,000 258,553
Sound Point CLO XXXII, Ltd. 144A FRB Ser. 21-4A, Class A, (CME Term SOFR 3 Month + 1.41%), 6.037%, 10/25/34 (Cayman Islands) 250,000 250,374
TICP CLO XII, Ltd. 144A FRB Ser. 21-12A, Class BR, (CME Term SOFR 3 Month + 1.91%), 6.568%, 7/15/34 (Cayman Islands) 250,000 250,599
Trestles CLO IV, Ltd. 144A FRB Ser. 21-4A, Class A, (CME Term SOFR 3 Month + 1.43%), 6.049%, 7/21/34 (Cayman Islands) 250,000 250,390
Trinitas CLO XVIII, Ltd. 144A FRB Ser. 21-18A, Class A1, (CME Term SOFR 3 Month + 1.43%), 6.049%, 1/20/35 (Cayman Islands) 250,000 250,459
Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (CME Term SOFR 3 Month + 1.52%), 6.178%, 1/15/32 (Cayman Islands) 229,391 229,881
Venture XV CLO, Ltd. 144A FRB Ser. 21-15A, Class AR3, (CME Term SOFR 3 Month + 1.44%), 6.098%, 7/15/32 (Cayman Islands) 150,000 150,308
Wise CLO, Ltd. 144A FRB Ser. 23-2A, Class A, (CME Term SOFR 3 Month + 1.80%), 6.456%, 1/15/37 (Jersey) 250,000 251,504
Wise CLO, Ltd. 144A FRB Ser. 24-2A, Class A, (CME Term SOFR 3 Month + 1.46%), 6.76%, 7/15/37 (Cayman Islands) 250,000 250,637
Total collateralized loan obligations (cost $10,749,140) $10,799,436








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.0%)(a)
        Principal amount Value
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) EUR 255,000 $224,128
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 10/20/33 (Brazil) $400,000 374,130
Bulgaria (Republic of) sr. unsec. bonds Ser. 30Y, 1.375%, 9/23/50 (Bulgaria) EUR 111,000 70,576
Chile (Republic of) sr. unsec. unsub. bonds 4.85%, 1/22/29 (Chile) $400,000 396,515
Colombia (Republic of) sr. unsec. unsub. notes 7.50%, 2/2/34 (Colombia) 230,000 226,895
Colombia (Republic of) sr. unsec. unsub. notes 3.125%, 4/15/31 (Colombia) 310,000 247,070
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) 200,000 178,656
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 200,000 201,900
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 258,000 256,968
Guatemala (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.60%, 6/13/36 (Guatemala) 200,000 198,200
Guatemala (Republic of) 144A sr. unsec. notes 7.05%, 10/4/32 (Guatemala) 200,000 207,325
Indonesia (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.35%, 1/8/27 (Indonesia) 280,000 276,879
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 625,000 618,035
Panama (Republic of) sr. unsec. unsub. bonds 7.50%, 3/1/31 (Panama) 220,000 223,431
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) 200,000 191,950
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) 200,000 196,700
Poland (Republic of) company guaranty sr. unsec. unsub. notes Ser. REGS, 5.375%, 5/22/33 (Poland) 200,000 195,460
Romania (Government of) sr. unsec. bonds Ser. REGS, 5.625%, 2/22/36 (Romania) EUR 140,000 139,415
Romania (Government of) 144A unsec. notes 3.00%, 2/27/27 (Romania) $230,000 216,918
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 300,000 292,534
United Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico) 280,000 223,444
United Mexican States sr. unsec. unsub. bonds 2.659%, 5/24/31 (Mexico) 350,000 284,844
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.875%, 1/15/33 (Uruguay) 250,000 290,941
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, 3/21/36 (Uruguay) 50,000 58,523
Total foreign government and agency bonds and notes (cost $5,886,414) $5,791,437








SENIOR LOANS (0.3%)(a)(c)
        Principal amount Value
Basic materials (0.1%)
Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B6, (CME Term SOFR 1 Month + 1.75%), 6.079%, 12/20/29 $17,021 $17,088
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 3.75%), 8.207%, 11/23/27 99,360 97,074
Herens US Holdco Corp. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.93%), 8.354%, 4/30/28 29,701 29,198
Hexion Holdings Corp. bank term loan FRN Class B, (CME Term SOFR 1 Month + 7.44%), 11.895%, 3/15/30 60,000 57,200
Klockner-Pentaplast of America, Inc. bank term loan FRN (CME Term SOFR 6 Month + 4.73%), 9.723%, 2/4/26 52,792 48,437
LSF11 A5 HoldCo, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 7.972%, 10/16/28 14,774 14,883
Nouryon USA, LLC bank term loan FRN Class B, (CME Term SOFR 3 Month + 3.25%), 7.657%, 4/3/28 63,763 64,341
Nouryon USA, LLC bank term loan FRN Class B2, (CME Term SOFR 3 Month + 2.25%), 10.25%, 4/3/28 34,651 35,091
Treasure Holdco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 8.764%, 10/10/31 80,000 80,283
Vibrantz Technologies, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.25%), 9.058%, 4/21/29 74,467 73,557
W.R. Grace Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 7.579%, 9/22/28 19,796 19,989
537,141
Capital goods (—%)
DexKo Global, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.75%), 8.34%, 10/4/28 29,847 28,291
Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 7.889%, 6/15/28 24,404 24,522
TK Elevator US Newco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.588%, 4/15/30 71,257 71,863
124,676
Communication services (—%)
Connect Finco SARL bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 8.857%, 9/13/29 44,663 39,340
DIRECTV Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.097%, 8/2/29 46,999 46,239
Zegona Finance, LLC bank term loan FRN (CME Term SOFR 1 Month + 4.25%), 9.401%, 7/16/29 44,888 45,280
130,859
Consumer cyclicals (0.1%)
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 8.472%, 8/21/28 21,134 21,301
EMRLD Borrower LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.50%), 6.845%, 6/18/31 14,963 15,040
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 7.857%, 1/27/29 74,389 74,757
Foundation Building Materials, Inc. bank term loan FRN Ser. B2, (CME Term SOFR 1 Month + 4.00%), 8.329%, 1/27/31 79,599 78,555
LBM Acquisition, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.297%, 5/30/31 34,736 34,497
Mattress Firm, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.25%), 8.924%, 9/21/28 73,424 73,486
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.207%, 1/29/28 46,382 46,285
Scientific Games Holdings LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.00%), 7.59%, 4/4/29 34,824 34,950
White Cap Buyer, LLC bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.25%), 7.607%, 10/19/29 92,049 92,340
471,211
Consumer staples (0.1%)
Ascend Learning, LLC bank term loan FRN (CME Term SOFR 1 Month + 5.75%), 10.207%, 11/18/29 80,000 79,550
IRB Holding Corp. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.50%), 6.857%, 3/10/28 53,559 53,678
Verde Purchaser, LLC bank term loan FRN (CME Term SOFR 1 Month + 4.50%), 9.104%, 12/2/30 23,968 24,073
VM Consolidated, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.25%), 6.595%, 3/27/28 68,114 68,487
225,788
Health care (—%)
Bausch + Lomb Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 7.689%, 5/5/27 64,390 64,715
Endo Finance Holdings, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.00%), 8.357%, 4/23/31 80,798 81,484
Medline Borrower LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.25%), 6.607%, 10/23/28 40,579 40,768
186,967
Technology (—%)
Cloud Software Group, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 7.829%, 3/29/29 18,339 18,417
Fortress Intermediate 3, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.50%), 7.857%, 5/8/31 54,863 55,103
Idera, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 8.071%, 3/2/28 59,700 58,745
Rocket Software, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.25%), 8.607%, 10/5/28 56,714 57,206
UKG, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.325%, 1/31/31 9,950 10,033
199,504
Transportation (—%)
American Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 9.629%, 4/20/28 42,778 43,988
United Airlines, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.00%), 6.635%, 2/24/31 49,974 50,202
94,190
Total senior loans (cost $1,963,356) $1,970,336








ASSET-BACKED SECURITIES (0.2%)(a)
        Principal amount Value
Station Place Securitization Trust 144A
FRB Ser. 24-2, Class A, (CME Term SOFR 1 Month + 0.90%), 5.643%, 6/22/25 $430,000 $430,295
FRB Ser. 24-10, Class A, (CME Term SOFR 1 Month + 0.90%), 5.237%, 10/27/25 425,000 427,259
FRB Ser. 24-5, Class A, (CME Term SOFR 1 Month + 0.90%), 5.237%, 8/4/25 430,000 430,351
Total asset-backed securities (cost $1,285,000) $1,287,905








CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
        Shares Value
Apollo Global Management, Inc. $3.38 cv. pfd. 925 $80,392
Boeing Co. (The) $3.00 cv. pfd.(NON) 2,384 145,162
Hewlett Packard Enterprise Co. $3.81 cv. pfd. 1,216 76,255
PG&E Corp. $3.00 cv. pfd.(NON) 931 46,354
Total convertible preferred stocks (cost $272,800) $348,163








CONVERTIBLE BONDS AND NOTES (0.1%)(a)
        Principal amount Value
Anywhere Real Estate Group, LLC/Anywhere Co-Issuer Corp. company guaranty cv. sr. unsec. notes 0.25%, 6/15/26 $67,000 $59,546
Chefs' Warehouse, Inc. (The) cv. sr. unsec. unsub. notes 2.375%, 12/15/28 40,000 51,540
Guidewire Software, Inc. 144A cv. sr. unsec. notes 1.25%, 11/1/29 76,000 74,518
Nabors Industries, Inc. company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 40,000 29,124
Uber Technologies, Inc. cv. sr. unsec. notes Ser. 2028, 0.875%, 12/1/28 55,000 60,775
Wrangler Holdco Corp. 144A company guaranty cv. sr. notes unsec. sub. 6.625%, 4/1/32 30,000 30,570
Total convertible bonds and notes (cost $312,874) $306,073








PURCHASED OPTIONS OUTSTANDING (—%)(a)
  Counterparty Expiration date/
strike price		 Notional amount   Contract amount Value
JPMorgan Chase Bank N.A.
SPDR S&P 500 ETF Trust (Call) Jun-25/$665.00 $8,044,534 $13,726 $25,095
Total purchased options outstanding (cost $56,826) $25,095








SHORT-TERM INVESTMENTS (7.9%)(a)
        Principal amount/shares Value
Putnam Short Term Investment Fund Class P 4.56%(AFF) Shares 32,350,279 $32,350,279
Interest in $300,000,000 joint tri-party repurchase agreement dated 12/31/2024 with JPMorgan Securities, LLC due 1/2/2025 - maturity value of $1,776,440 for an effective yield of 4.450% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 1.500% to 7.000% and due dates ranging from 10/1/2029 to 7/1/2056, valued at $306,075,820) $1,776,000 1,776,000
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.43%(P) Shares 280,000 280,000
U.S. Treasury Bills 4.627%, 1/16/25(SEG)(SEGSF)(SEGTBA) $10,500,000 10,482,725
Total short-term investments (cost $44,886,531) $44,889,004
TOTAL INVESTMENTS
Total investments (cost $531,698,086) $633,720,533








FORWARD CURRENCY CONTRACTS at 12/31/24 (aggregate face value $15,180,006) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 1/22/25 $11,265 $12,540 $(1,275)
Danish Krone Sell 3/19/25 135,482 138,534 3,052
Hong Kong Dollar Sell 2/19/25 208,078 207,857 (221)
Japanese Yen Buy 2/19/25 188,879 197,482 (8,603)
Swedish Krona Buy 3/19/25 6,589 6,720 (131)
Barclays Bank PLC
Australian Dollar Buy 1/22/25 31,752 31,869 (117)
British Pound Buy 3/19/25 300,035 305,821 (5,786)
Euro Sell 3/19/25 460,097 466,787 6,690
Hong Kong Dollar Buy 2/19/25 72,953 72,976 (23)
Japanese Yen Buy 2/19/25 136,323 143,692 (7,369)
New Zealand Dollar Buy 1/22/25 727 765 (38)
Singapore Dollar Sell 2/19/25 104,327 108,479 4,152
Swedish Krona Buy 3/19/25 816,502 833,092 (16,590)
Swiss Franc Buy 3/19/25 17,884 18,479 (595)
Citibank, N.A.
Euro Sell 3/19/25 30,763 30,977 214
Hong Kong Dollar Sell 2/19/25 6,969 6,966 (3)
Israeli Shekel Buy 1/22/25 495 476 19
Goldman Sachs International
Swiss Franc Buy 3/19/25 167,064 172,627 (5,563)
HSBC Bank USA, National Association
British Pound Sell 3/19/25 123,992 125,656 1,664
Danish Krone Sell 3/19/25 121,199 123,875 2,676
Euro Sell 3/19/25 248,704 251,851 3,147
Hong Kong Dollar Buy 2/19/25 132,406 132,406 —
Japanese Yen Sell 2/19/25 20,089 20,262 173
Singapore Dollar Buy 2/19/25 9,904 10,092 (188)
Swedish Krona Buy 3/19/25 21,736 22,178 (442)
Swiss Franc Buy 3/19/25 129,630 133,959 (4,329)
JPMorgan Chase Bank N.A.
British Pound Sell 3/19/25 149,391 151,374 1,983
Canadian Dollar Sell 1/22/25 207,043 221,229 14,186
Danish Krone Sell 3/19/25 29,027 29,665 638
Euro Sell 3/19/25 67,762 68,679 917
Norwegian Krone Sell 3/19/25 353,316 365,005 11,689
Swiss Franc Buy 3/19/25 18,106 18,712 (606)
Morgan Stanley & Co. International PLC
Australian Dollar Buy 1/22/25 132,334 144,837 (12,503)
British Pound Sell 3/19/25 60,057 61,075 1,018
Canadian Dollar Sell 1/22/25 1,312,361 1,402,332 89,971
Danish Krone Sell 3/19/25 86,272 88,139 1,867
Euro Sell 3/19/25 31,179 31,820 641
Japanese Yen Buy 2/19/25 438,425 458,717 (20,292)
Swiss Franc Buy 3/19/25 208,164 215,117 (6,953)
NatWest Markets PLC
British Pound Sell 3/19/25 195,560 198,120 2,560
Danish Krone Sell 3/19/25 159,906 161,708 1,802
Japanese Yen Buy 2/19/25 229,480 240,040 (10,560)
Swedish Krona Buy 3/19/25 294,923 297,900 (2,977)
Swiss Franc Buy 3/19/25 555,177 573,784 (18,607)
State Street Bank and Trust Co.
Australian Dollar Buy 1/22/25 783,419 872,158 (88,739)
British Pound Sell 3/19/25 321,930 326,066 4,136
Canadian Dollar Buy 1/22/25 39,682 40,789 (1,107)
Chinese Yuan (Offshore) Buy 2/19/25 510,562 530,765 (20,203)
Euro Sell 3/19/25 73,270 72,408 (862)
Hong Kong Dollar Sell 2/19/25 96,438 96,403 (35)
Japanese Yen Sell 2/19/25 60,358 61,661 1,303
Singapore Dollar Buy 2/19/25 386,054 395,133 (9,079)
Swedish Krona Buy 3/19/25 65,989 67,325 (1,336)
Swiss Franc Buy 3/19/25 723,907 748,212 (24,305)
UBS AG
Australian Dollar Buy 1/22/25 633,073 704,804 (71,731)
British Pound Sell 3/19/25 1,022,718 1,036,079 13,361
Canadian Dollar Sell 1/22/25 81,592 85,911 4,319
Danish Krone Sell 3/19/25 31,733 32,427 694
Euro Sell 3/19/25 77,843 78,913 1,070
Hong Kong Dollar Buy 2/19/25 75,285 75,313 (28)
Israeli Shekel Buy 1/22/25 79,997 77,696 2,301
Japanese Yen Buy 2/19/25 94,153 101,673 (7,520)
Swiss Franc Buy 3/19/25 340,571 351,329 (10,758)
WestPac Banking Corp.
Euro Sell 3/19/25 1,105,292 1,120,270 14,978
Unrealized appreciation 191,221
Unrealized (depreciation) (359,474)
Total $(168,253)
* The exchange currency for all contracts listed is the United States Dollar.








FUTURES CONTRACTS OUTSTANDING at 12/31/24 (Unaudited)
    Number of contracts Notional amount Value Expiration date Unrealized
appreciation/
(depreciation)
MSCI EAFE Index (Short) 232 $26,236,973 $26,303,000 Mar-25 $777,136
Russell 2000 Index E-Mini (Long) 1 111,508 112,490 Mar-25 10
S&P 500 Index E-Mini (Long) 19 5,587,549 5,638,963 Mar-25 (208,379)
S&P 500 Index E-Mini (Short) 337 99,105,466 100,017,388 Mar-25 3,696,802
U.S. Treasury Bond 30 yr (Long) 167 19,011,906 19,011,906 Mar-25 (691,672)
U.S. Treasury Bond Ultra 30 yr (Long) 150 17,835,938 17,835,938 Mar-25 (945,179)
U.S. Treasury Bond Ultra 30 yr (Short) 3 356,719 356,719 Mar-25 20,237
U.S. Treasury Note 2 yr (Long) 256 52,636,000 52,636,000 Mar-25 (56,565)
U.S. Treasury Note 5 yr (Long) 407 43,266,008 43,266,008 Mar-25 (370,004)
U.S. Treasury Note 5 yr (Short) 16 1,700,875 1,700,875 Mar-25 14,155
U.S. Treasury Note 10 yr (Long) 241 26,208,750 26,208,750 Mar-25 (437,215)
U.S. Treasury Note Ultra 10 yr (Short) 23 2,560,188 2,560,188 Mar-25 60,555
Unrealized appreciation 4,568,895
Unrealized (depreciation) (2,709,014)
Total $1,859,881








WRITTEN OPTIONS OUTSTANDING at 12/31/24 (premiums $38,296) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional amount   Contract amount Value
JPMorgan Chase Bank N.A.
SPDR S&P 500 ETF Trust (Call) Jun-25/$675.00 $8,044,534 $13,726 $15,260
Total $15,260








TBA SALE COMMITMENTS OUTSTANDING at 12/31/24 (proceeds receivable $6,655,098) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 5.00%, 1/1/55 $2,000,000 1/14/25 $1,930,462
Uniform Mortgage-Backed Securities, 4.50%, 1/1/55 3,000,000 1/14/25 2,821,886
Uniform Mortgage-Backed Securities, 4.00%, 1/1/55 1,000,000 1/14/25 914,535
Uniform Mortgage-Backed Securities, 3.00%, 1/1/55 1,000,000 1/14/25 849,452
Total $6,516,335










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/24 (Unaudited)
  Notional amount Value   Upfront premium received (paid)  

Termi-
nation
date

 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$38,649,000 $141,610 (E) $(94,458) 3/19/27 3.85% — Annually US SOFR — Annually $47,152
31,613,000 115,830 (E) 76,908 3/19/27 US SOFR — Annually 3.85% — Annually (38,922)
32,721,000 405,610 (E) (209,447) 3/19/30 3.75% — Annually US SOFR — Annually 196,163
24,875,000 637,845 (E) 300,952 3/19/35 US SOFR — Annually 3.75% — Annually (336,893)
1,547,000 98,853 (E) (55,643) 3/19/55 3.55% — Annually US SOFR — Annually 43,211
7,276,000 464,936 (E) 260,965 3/19/55 US SOFR — Annually 3.55% — Annually (203,972)
Total $279,277 $(293,261)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/24 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)  

Termi-
nation
date

 Payments received (paid) by fund   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$9,623,085 $9,183,761 $— 12/11/25 (US SOFR plus 0.40%) — Monthly A basket (BCPUDEAL) of common stocks — Monthly* $(454,645)
9,619,353 9,137,366 — 12/11/25 US SOFR plus 0.25% — Monthly A basket (BCPUDEAS) of common stocks — Monthly* 499,240
Goldman Sachs International
12,654,053 12,364,030 — 12/15/25 (US SOFR plus 0.40%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* (305,004)
11,702,022 11,421,473 — 12/15/25 US SOFR minus 0.25% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* 291,186
Upfront premium received — Unrealized appreciation 790,426
Upfront premium (paid) — Unrealized (depreciation) (759,649)
Total $— Total $30,777
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.








A BASKET (BCPUDEAL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Cheniere Energy, Inc. Energy 520 $111,676 1.22%
Unum Group Financials 1,518 110,895 1.21%
Pegasystems, Inc. Technology 1,177 109,665 1.19%
Vistra Corp. Utilities and power 782 107,755 1.17%
Equitable Holdings, Inc. Financials 2,280 107,540 1.17%
General Motors Co. Consumer cyclicals 2,010 107,089 1.17%
DoorDash, Inc. Class A Consumer staples 636 106,699 1.16%
Booking Holdings, Inc. Consumer cyclicals 21 105,946 1.15%
Allison Transmission Holdings, Inc. Capital goods 971 104,889 1.14%
DocuSign, Inc. Technology 1,154 103,787 1.13%
Vornado Realty Trust Financials 2,466 103,654 1.13%
O'Reilly Automotive, Inc. Consumer cyclicals 86 101,903 1.11%
NRG Energy, Inc. Utilities and power 1,125 101,526 1.11%
Valero Energy Corp. Energy 827 101,400 1.10%
Wintrust Financial Corp. Financials 810 101,042 1.10%
Natera, Inc. Health care 628 99,485 1.08%
Freeport-McMoRan, Inc. Basic materials 2,560 97,470 1.06%
Tapestry, Inc. Consumer cyclicals 1,486 97,068 1.06%
Johnson Controls International PLC Capital goods 1,226 96,782 1.05%
Manhattan Associates, Inc. Technology 346 93,487 1.02%
MGIC Investment Corp. Financials 3,912 92,751 1.01%
Ventas, Inc. Health care 1,547 91,089 0.99%
Qualcomm, Inc. Technology 593 91,047 0.99%
Pure Storage, Inc. Class A Technology 1,481 90,953 0.99%
Synchrony Financial Financials 1,399 90,944 0.99%
Procore Technologies, Inc. Technology 1,206 90,362 0.98%
Cadence Design Systems, Inc. Technology 296 88,983 0.97%
Southwest Airlines Co. Transportation 2,627 88,303 0.96%
Constellation Energy Corp. Utilities and power 390 87,320 0.95%
Arista Networks, Inc. Technology 776 85,720 0.93%
Louisiana-Pacific Corp. Basic materials 825 85,405 0.93%
Fair Isaac Corp. Technology 42 83,998 0.91%
American International Group, Inc. Financials 1,151 83,829 0.91%
Autonation, Inc. Consumer cyclicals 489 83,018 0.90%
Toll Brothers, Inc. Consumer cyclicals 645 81,264 0.88%
Jefferies Financial Group, Inc. Financials 1,036 81,258 0.88%
Coinbase Global, Inc. Class A Financials 325 80,648 0.88%
NVR, Inc. Consumer cyclicals 9 77,098 0.84%
Uber Technologies, Inc. Consumer staples 1,278 77,060 0.84%
Synopsys, Inc. Technology 158 76,668 0.83%
Jacobs Solutions, Inc. Capital goods 568 75,892 0.83%
eBay, Inc. Technology 1,209 74,924 0.82%
Axis Capital Holdings, Ltd. Financials 841 74,494 0.81%
Cirrus Logic, Inc. Technology 748 74,439 0.81%
Netflix, Inc. Consumer cyclicals 83 74,394 0.81%
J.M. Smucker Co. (The) Consumer staples 660 72,653 0.79%
Textron, Inc. Capital goods 944 72,222 0.79%
TransUnion Consumer cyclicals 764 70,797 0.77%
Affiliated Managers Group, Inc. Financials 374 69,083 0.75%
CAVA Group, Inc. Consumer staples 612 69,053 0.75%








A BASKET (BCPUDEAS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Ciena Corp. Technology 1,426 $120,966 1.32%
DT Midstream, Inc. Energy 1,126 111,962 1.23%
AppLovin Corp. Class A Technology 345 111,574 1.22%
Norwegian Cruise Line Holdings, Ltd. Consumer cyclicals 4,190 107,800 1.18%
SoFi Technologies, Inc. Financials 6,892 106,131 1.16%
Chesapeake Energy Corp. Energy 1,044 103,953 1.14%
Royal Caribbean Cruises, Ltd. Consumer cyclicals 450 103,865 1.14%
Kinsale Capital Group, Inc. Financials 220 102,245 1.12%
Globant SA (Argentina) Technology 476 101,969 1.12%
Take-Two Interactive Software, Inc. Technology 548 100,946 1.10%
BWX Technologies, Inc. Capital goods 905 100,803 1.10%
NortonLifeLock, Inc. Technology 3,637 99,583 1.09%
Digital Realty Trust, Inc. Financials 555 98,359 1.08%
Tyler Technologies, Inc. Technology 169 97,501 1.07%
Domino's Pizza, Inc. Consumer staples 232 97,398 1.07%
Tesla, Inc. Consumer cyclicals 241 97,185 1.06%
Lithia Motors, Inc. Consumer cyclicals 272 97,121 1.06%
Aon PLC Financials 268 96,366 1.05%
Jack Henry & Associates, Inc. Technology 544 95,297 1.04%
RPM International, Inc. Basic materials 759 93,397 1.02%
Ross Stores, Inc. Consumer cyclicals 591 89,351 0.98%
Carnival Corp. Consumer cyclicals 3,505 87,349 0.96%
Watsco, Inc. Consumer staples 184 87,064 0.95%
RB Global, Inc. Consumer cyclicals 951 85,760 0.94%
Equifax, Inc. Consumer cyclicals 329 83,963 0.92%
Texas Instruments, Inc. Technology 421 79,002 0.86%
Generac Holdings, Inc. Capital goods 507 78,566 0.86%
PTC, Inc. Technology 410 75,322 0.82%
e.l.f. Beauty, Inc. Consumer staples 591 74,216 0.81%
Universal Health Services, Inc. Class B Health care 410 73,499 0.80%
D.R. Horton, Inc. Consumer cyclicals 514 71,904 0.79%
Avantor, Inc. Health care 3,356 70,721 0.77%
Stanley Black & Decker, Inc. Consumer cyclicals 871 69,970 0.77%
Entegris, Inc. Technology 705 69,818 0.76%
Amdocs, Ltd. Technology 819 69,762 0.76%
T Rowe Price Group, Inc. Financials 616 69,683 0.76%
CarMax, Inc. Consumer cyclicals 847 69,210 0.76%
LPL Financial Holdings, Inc. Financials 211 68,783 0.75%
Fox Corp. Class B Consumer cyclicals 1,502 68,690 0.75%
Atmos Energy Corp. Utilities and power 488 67,919 0.74%
IBM Corp. Technology 303 66,641 0.73%
Brown-Forman Corp. Class B Consumer staples 1,717 65,201 0.71%
Healthcare Realty Trust, Inc. Financials 3,846 65,187 0.71%
Monolithic Power Systems, Inc. Technology 109 64,290 0.70%
Albemarle Corp. Basic materials 747 64,279 0.70%
Micron Technology, Inc. Technology 737 61,999 0.68%
Coherent Corp. Capital goods 651 61,713 0.68%
Affirm Holdings, Inc. Consumer cyclicals 1,007 61,313 0.67%
Block, Inc. Class A Consumer cyclicals 719 61,115 0.67%
Bunge Global SA Basic materials 750 58,353 0.64%








A BASKET (GSGLPWDL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Sekisui Chemical Co., Ltd. (Japan) Financials 5,080 $87,766 0.71%
ConocoPhillips Energy 839 83,248 0.67%
Endesa SA (Spain) Utilities and power 3,752 80,690 0.65%
BP PLC (United Kingdom) Energy 16,189 79,680 0.64%
Osaka Gas Co., Ltd. (Japan) Utilities and power 3,617 79,629 0.64%
SS&C Technologies Holdings, Inc. Technology 1,044 79,090 0.64%
Veralto Corp. Capital goods 759 77,353 0.63%
Rio Tinto PLC (United Kingdom) Basic materials 1,296 76,688 0.62%
Novozymes A/S Class B (Denmark) Basic materials 1,353 76,600 0.62%
ENGIE SA (France) Utilities and power 4,825 76,500 0.62%
Iberdrola SA (Spain) Utilities and power 5,524 76,074 0.62%
Automatic Data Processing, Inc. Consumer cyclicals 257 75,368 0.61%
AT&T, Inc. Communication services 3,293 74,978 0.61%
Holcim AG (Switzerland) Basic materials 776 74,802 0.60%
VeriSign, Inc. Technology 353 73,056 0.59%
Consolidated Edison, Inc. Utilities and power 818 73,004 0.59%
SSE PLC (United Kingdom) Utilities and power 3,590 72,125 0.58%
Amadeus IT Holding SA (Spain) Consumer cyclicals 1,012 71,464 0.58%
TotalEnergies SE (France) Energy 1,292 71,417 0.58%
Exor NV (Netherlands) Financials 779 71,395 0.58%
PepsiCo, Inc. Consumer staples 465 70,632 0.57%
Exxon Mobil Corp. Energy 646 69,523 0.56%
Loblaw Cos, Ltd. (Canada) Consumer staples 526 69,126 0.56%
Hartford Financial Services Group, Inc. (The) Financials 625 68,429 0.55%
Central Japan Railway Co. (Japan) Transportation 3,540 66,786 0.54%
Danone SA (France) Consumer staples 983 66,298 0.54%
Altria Group, Inc. Consumer staples 1,268 66,279 0.54%
Lockheed Martin Corp. Capital goods 135 65,617 0.53%
MSCI, Inc. Technology 108 64,545 0.52%
George weston, Ltd. (Canada) Consumer staples 409 63,564 0.51%
CLP Holdings, Ltd. (Hong Kong) Utilities and power 7,546 63,432 0.51%
Telenor ASA (Norway) Communication services 5,659 63,231 0.51%
Allegion PLC (Ireland) Capital goods 478 62,452 0.51%
Eni SpA (Italy) Utilities and power 4,563 61,853 0.50%
Fortum OYJ (Finland) Utilities and power 4,390 61,430 0.50%
Leidos Holdings, Inc. Technology 423 61,000 0.49%
Novartis AG (Switzerland) Health care 620 60,642 0.49%
Netflix, Inc. Consumer cyclicals 68 60,488 0.49%
Elisa Oyj (Finland) Communication services 1,382 59,810 0.48%
SEI Investments Co. Financials 724 59,711 0.48%
TOPPAN Holdings, Inc. (Japan) Consumer cyclicals 2,228 59,667 0.48%
Graco, Inc. Capital goods 690 58,185 0.47%
Oversea-Chinese Banking Corp., Ltd. (Singapore) Financials 4,702 57,530 0.47%
Givaudan SA (Switzerland) Basic materials 13 57,114 0.46%
Verisk Analytics, Inc. Consumer cyclicals 202 55,606 0.45%
Intertek Group PLC (United Kingdom) Consumer cyclicals 914 54,123 0.44%
GoDaddy, Inc. Class A Technology 271 53,563 0.43%
Philip Morris International, Inc. Consumer staples 443 53,348 0.43%
Jack Henry & Associates, Inc. Technology 303 53,162 0.43%
Aristocrat Leisure, Ltd. (Australia) Consumer cyclicals 1,255 53,122 0.43%








A BASKET (GSGLPWDS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Hermes International (France) Consumer cyclicals 33 $80,400 0.70%
Erste Group Bank AG (Czech Republic) Financials 1,245 76,937 0.67%
Keppel, Ltd. (Singapore) Capital goods 15,213 76,278 0.67%
London Stock Exchange Group PLC (United Kingdom) Financials 535 75,551 0.66%
Visa, Inc. Class A Financials 234 73,821 0.65%
RELX PLC (United Kingdom) Consumer cyclicals 1,563 71,037 0.62%
Wilmar International, Ltd. (Singapore) Basic materials 30,989 70,419 0.62%
Galderma Group AG (Switzerland) Health care 629 69,822 0.61%
Pernod Ricard SA (France) Consumer staples 618 69,785 0.61%
Sempra Utilities and power 793 69,531 0.61%
Paychex, Inc. Technology 495 69,451 0.61%
Imperial Brands PLC (United Kingdom) Consumer staples 2,144 68,549 0.60%
Waste Connections, Inc. Capital goods 394 67,682 0.59%
Walmart, Inc. Consumer cyclicals 736 66,503 0.58%
Realty Income Corp. Financials 1,243 66,368 0.58%
Entergy Corp. Utilities and power 854 64,744 0.57%
Commonwealth Bank of Australia (Australia) Financials 680 64,551 0.57%
Infrastrutture Wireless Italiane SpA (Italy) Basic materials 6,333 64,362 0.56%
Chesapeake Energy Corp. Energy 641 63,823 0.56%
Metso Oyj (Finland) Capital goods 6,824 63,454 0.56%
Martin Marietta Materials, Inc. Basic materials 122 62,852 0.55%
Allianz SE (Germany) Financials 205 62,724 0.55%
Orange SA (France) Communication services 6,177 61,580 0.54%
Equifax, Inc. Consumer cyclicals 240 61,056 0.53%
Heineken NV (Netherlands) Consumer staples 838 59,618 0.52%
Dominion Energy, Inc. Utilities and power 1,105 59,504 0.52%
FirstEnergy Corp. Utilities and power 1,484 59,051 0.52%
Cellnex Telecom, SA 144A (Spain) Communication services 1,862 58,814 0.51%
Thomson Reuters Corp. (Canada) Consumer cyclicals 364 58,355 0.51%
Swisscom AG (Switzerland) Communication services 104 57,921 0.51%
Westlake Corp. Basic materials 505 57,853 0.51%
Blackstone, Inc. Financials 328 56,482 0.49%
Magna International, Inc. (Canada) Consumer cyclicals 1,328 55,461 0.49%
Occidental Petroleum Corp. Energy 1,111 54,874 0.48%
EssilorLuxottica SA (France) Health care 224 54,765 0.48%
Toyota Motor Corp. (Japan) Consumer cyclicals 2,631 52,676 0.46%
SMC Corp. (Japan) Technology 132 52,257 0.46%
Costco Wholesale Corp. Consumer staples 57 52,140 0.46%
Japan Tobacco, Inc. (Japan) Consumer staples 2,007 52,092 0.46%
AXA SA (France) Financials 1,461 51,904 0.45%
Alliant Energy Corp. Utilities and power 866 51,218 0.45%
SAP SE (Germany) Technology 205 50,278 0.44%
U-Haul Holding Co. (non-voting) Consumer cyclicals 774 49,543 0.43%
Ferrovial SE (Netherlands) Basic materials 1,171 49,233 0.43%
Diamondback Energy, Inc. Energy 300 49,132 0.43%
Swiss Life Holding AG (Switzerland) Financials 63 48,558 0.43%
Alexandria Real Estate Equities, Inc. Financials 497 48,507 0.42%
Snam SpA (Italy) Utilities and power 10,800 47,833 0.42%
Mastercard, Inc. Class A Consumer cyclicals 91 47,737 0.42%
Johnson Controls International PLC Capital goods 604 47,639 0.42%








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/24 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional amount Value  

Termi-
nation
date

   Payments received by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index CCC-/P $32,862 $96,726 $24,007 5/11/63 500 bp — Monthly $8,949
JPMorgan Securities LLC
CMBX NA BB.10 Index CCC+/P 4,092 51,000 21,201 5/11/63 500 bp — Monthly (11,489)
Morgan Stanley & Co. International PLC
CMBX NA A.13 Index A-/P 13,500 107,000 7,854 12/16/72 200 bp — Monthly 5,688
CMBX NA BB.6 Index CCC-/P 34,179 98,261 24,388 5/11/63 500 bp — Monthly 9,886
Upfront premium received 84,633 Unrealized appreciation 24,523
Upfront premium (paid) — Unrealized (depreciation) (11,489)
Total $84,633 Total $13,034
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2024. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/24 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional amount Value  

Termi-
nation
date

   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(51,511) $111,000 $46,143 11/17/59 (500 bp) — Monthly $(5,477)
CMBX NA BB.10 Index (37,883) 94,000 39,076 11/17/59 (500 bp) — Monthly 1,102
CMBX NA BB.10 Index (37,883) 94,000 39,076 11/17/59 (500 bp) — Monthly 1,102
CMBX NA BB.10 Index (19,747) 49,000 20,369 11/17/59 (500 bp) — Monthly 574
CMBX NA BB.6 Index (15,981) 61,925 15,370 5/11/63 (500 bp) — Monthly (672)
CMBX NA BB.8 Index (28,578) 61,519 26,059 10/17/57 (500 bp) — Monthly (2,578)
Goldman Sachs International
CMBX NA BB.6 Index (36,283) 106,962 26,548 5/11/63 (500 bp) — Monthly (9,839)
CMBX NA BB.8 Index (21,232) 48,469 20,532 10/17/57 (500 bp) — Monthly (748)
JPMorgan Securities LLC
CMBX NA BB.11 Index (26,255) 26,101 6,478 5/11/63 (500 bp) — Monthly (19,802)
CMBX NA BBB-.10 Index (16,266) 129,000 22,678 11/17/59 (300 bp) — Monthly 6,337
Merrill Lynch International
CMBX NA BB.10 Index (3,243) 57,000 23,695 11/17/59 (500 bp) — Monthly 20,396
CMBX NA BBB-.10 Index (10,400) 48,000 8,438 11/17/59 (300 bp) — Monthly (1,990)
Morgan Stanley & Co. International PLC
CMBX NA BB.8 Index (3,953) 8,389 3,554 10/17/57 (500 bp) — Monthly (408)
CMBX NA BBB-.10 Index (323) 1,000 176 11/17/59 (300 bp) — Monthly (148)
Upfront premium received — Unrealized appreciation 29,511
Upfront premium (paid) (309,538) Unrealized (depreciation) (41,662)
Total $(309,538) Total $(12,151)
* 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 SOLD at 12/31/24 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional amount Value  

Termi-
nation
date

   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
CDX NA HY Series 43 Index B+/P $(329,430) $4,518,000 $347,696 12/20/29 500 bp — Quarterly $25,797
CDX NA IG Series 43 Index BBB+/P (1,085,119) 48,122,000 1,074,083 12/20/29 100 bp — Quarterly 5,004
Total $(1,414,549) $30,801
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2024. 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.










Key to holding's currency abbreviations
EUR Euro
GBP British Pound
Key to holding's abbreviations
ADR American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank.
BKNT Bank Note
bp Basis Points
CME Chicago Mercantile Exchange
CVR Contingent Value Rights
DAC Designated Activity Company
ETF Exchange Traded Fund
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
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
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REMICs Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2024 through December 31, 2024 (the reporting period). Within the following notes to the portfolio, references to "Franklin Advisers" represent Franklin Advisers, Inc., the fund's investment manager, a direct wholly-owned subsidiary of Franklin Resources, Inc., references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
Putnam Dynamic Asset Allocation Conservative Fund (the fund) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the 1940 Act as an open-end management investment company.
The fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946.
(a) Percentages indicated are based on net assets of $569,343,252.
(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.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/24		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/24
Short-term investments
Putnam Short Term Investment Fund Class P* $28,891,524 $48,232,396 $44,773,641 $296,946 $32,350,279
Total Short-term investments $28,891,524 $48,232,396 $44,773,641 $296,946 $32,350,279
* Management fees charged to Putnam Short Term Investment Fund have been waived by Franklin Advisers. There were no realized or unrealized gains or losses during the period.
(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 $8,329,144.
(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 $120,770.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,059,982.
At the close of the reporting period, the fund has deposited cash valued at $929,396 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts.
At the close of the reporting period, the fund has deposited cash valued at $1,454,515 in a segregated account to cover margin requirements on open centrally cleared credit default contracts.
(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 Franklin Advisers at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees (Trustees). The Trustees have formed a Pricing Committee to oversee the implementation of these procedures. Under compliance policies and procedures approved by the Trustees, the Trustees have designated the fund’s investment manager as the valuation designee and has responsibility for oversight of valuation. The investment manager is assisted by the fund’s administrator in performing this responsibility, including leading the cross-functional Valuation Committee (VC). The VC is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Trustees.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at the average of the last reported bid and ask prices, the“mid price”, and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by the fund’s investment manager. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Reliable prices are not readily available for equity securities in these circumstances, where the value of a security has been affected by events after the close of the exchange or market on which the security is principally traded, but before the fund calculates its net asset value. To address this, the fund will fair value these securities as determined in accordance with procedures approved by the Trustees. This includes using an independent third-party pricing service to adjust the value of such securities to the latest indications of fair value at 4:00 p.m. (Eastern Time). These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that the fund’s investment manager does not believe accurately reflects the security's fair value, the security will be valued at fair value by the fund’s investment manager, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $1,811,969 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Franklin Advisers is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $243,479 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $120,770 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*:
Basic materials $8,394,037 $3,992,514 $—
Capital goods 11,438,227 2,415,365 —
Communication services 4,223,013 710,475 —
Conglomerates 2,372,493 1,406,228 —
Consumer cyclicals 44,944,818 7,415,558 —
Consumer staples 15,807,706 4,177,323 —
Energy 6,994,891 2,214,759 —
Financials 34,129,567 11,154,329 —
Health care 25,789,503 6,229,946 1,552
Technology 91,918,648 4,330,406 —
Transportation 5,152,814 858,639 —
Utilities and power 5,897,840 1,523,922 —
Total common stocks 257,063,557 46,429,464 1,552
Asset-backed securities — 1,287,905 —
Collateralized loan obligations — 10,799,436 —
Convertible bonds and notes — 306,073 —
Convertible preferred stocks 348,163 — —
Corporate bonds and notes — 126,866,520 —
Foreign government and agency bonds and notes — 5,791,437 —
Mortgage-backed securities — 29,871,039 —
Purchased options outstanding — 25,095 —
Senior loans — 1,970,336 —
U.S. government and agency mortgage obligations — 107,952,831 —
U.S. treasury obligations — 118,121 —
Short-term investments 280,000 44,609,004 —
Totals by level $257,691,720 $376,027,261 $1,552
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(168,253) $—
Futures contracts 1,859,881 — —
Written options outstanding — (15,260) —
TBA sale commitments — (6,516,335) —
Interest rate swap contracts — (572,538) —
Total return swap contracts — 30,777 —
Credit default contracts — 1,671,138 —
Totals by level $1,859,881 $(5,570,471) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
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.putnam.com