UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811-07513) |
Exact name of registrant as specified in charter: | Putnam Funds Trust |
Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
Name and address of agent for service: | Stephen Tate, Vice President 100 Federal Street Boston, Massachusetts 02110 |
Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
Registrant’s telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | October 31, 2022 |
Date of reporting period: | November 1, 2021 – April 30, 2022 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam Fixed Income
Absolute Return
Fund
Semiannual report
4 | 30 | 22
Message from the Trustees
June 8, 2022
Dear Fellow Shareholder:
The year to date has been difficult for investors, with bond and stock prices falling in repeated market downturns. Inflation has climbed to levels not seen in decades, prompting the U.S. Federal Reserve to reverse the stimulus that had helped support financial assets since 2020. Markets globally also have reacted to the Russia-Ukraine War and the worsening Covid-19 pandemic in China. In the underlying economy, we have seen encouraging signs, such as abundant job openings and wage gains in the United States.
History has shown us that markets eventually recover from crises and may reward those focused on long-term goals rather than short-term uncertainties. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.
Thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 2.25%; had they, returns would have been lower. See below and pages 9–11 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
Returns for periods of less than one year are not annualized.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 4/30/22. See above and pages 9–11 for additional fund performance information. Index descriptions can be found on page 15.
All Bloomberg indices are provided by Bloomberg Index Services Limited.
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Mike, what was the fund’s investment environment like during the six months ended April 30, 2022?
After posting relatively subdued returns during the early months of the reporting period, fixed income markets became volatile during the first quarter of calendar 2022. Hawkish policy pivots from the U.S. Federal Reserve and the European Central Bank in the face of rapidly rising inflation, combined with Russia’s invasion of Ukraine, fueled a flight from risk. A resurgence of Covid-19 in China and accompanying lockdowns added to investor nervousness.
Within this environment, credit spreads widened and interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury note rose from 1.55% on October 31, 2021, to 2.93% on April 29, 2022. In anticipation of Fed policy changes, short-term yields rose even more, causing the yield curve to flatten materially.
On March 16, 2022, the central bank approved a 0.25% interest-rate hike, its first increase since December 2018. Fed Chair Jerome
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Allocations are shown as a percentage of the fund’s net assets as of 4/30/22. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Allocations may not total 100% because the chart includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
Powell signaled an aggressive approach going forward, indicating that additional interest-rate hikes could occur at each of the remaining six policy meetings in 2022. Shortly after the period ended, the Fed approved a half-percentage-point increase in the federal funds rate. It also announced plans to shrink its $9 trillion asset portfolio starting in June, with up to $30 billion in U.S. Treasuries allowed to run off in June, July, and August, followed by $60 billion in subsequent months.
Let’s discuss performance during the reporting period and the holdings and strategies that contributed to it.
The fund lagged its benchmark of U.S. Treasury bills. Mortgage credit holdings added the most value, led by an allocation to commercial mortgage-backed securities [CMBS]. Our investments consisted of cash bonds along with synthetic exposure via CMBX. By way of explanation, CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year. Despite broader market volatility, the continued reopening of the economy and the success of vaccines aided the recovery of many types of property, which, in turn, boosted our CMBS positions.
The fund’s currency positioning also contributed this period. We maintained a basket of currencies that generally tend to benefit from risk-off environments versus other currencies within the Group of Ten country currencies. Our positions included the U.S. dollar, the Japanese yen, and the Swiss franc. Our strategy benefited
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as the U.S. dollar strengthened against other major currencies.
Strategies targeting prepayment risk provided a further modest boost, aided by our mortgage basis positioning. This strategy seeks to capitalize on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages. It received a lift following the release of the minutes from the Fed’s December 2021 policy meeting. The minutes indicated that the central bank might begin to sell its holdings of government agency mortgage-backed securities [MBS] more rapidly than investors originally anticipated. Moreover, higher interest rates across the yield curve in 2022 significantly dampened mortgage refinancing activity, creating a supportive backdrop for our prepayment strategies. In addition to the contribution from mortgage basis, our holdings of agency interest-only collateralized mortgage obligations [IO CMOs] generated positive results during the final month of the period.
What were the detractors from performance during the reporting period?
Interest-rate and yield curve strategies were the primary detractors this period. The portfolio had a modestly positive duration, which weighed on performance during March and April when U.S. Treasury yields rose significantly. Relative-value strategies focused on various points along the yield curve also detracted. On the plus side, our interest-rate volatility strategy benefited from significant fluctuations in U.S. Treasury yields during the period. Additionally, the portfolio received a boost as real interest rates rose from historically low levels. [Real interest rates adjust for the
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 4/30/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] These latter elements of our strategy partially offset the negative outcome of our broader term structure positioning.
Our corporate credit holdings also worked against performance. The Fed’s shift to a more-restrictive policy approach fueled a flight from risk, hampering our positions in convertible securities, as well as investment-grade [IG] and high-yield corporate bonds. Rising interest rates and widening credit spreads weighed on IG and high-yield credit.
Holdings of emerging market [EM] debt moderately dampened the fund’s performance. The turmoil resulting from Russia’s invasion of Ukraine hit EM bonds particularly hard in February. EM debt rebounded a bit in March and April but not enough to fully offset earlier weakness.
What is the team’s near-term outlook?
In light of tightening monetary policy, higher interest rates, and less liquidity in the marketplace, we have a cautious outlook. We anticipate continued bouts of volatility given the conflict in Ukraine, the pace of Fed interest-rate hikes, and potentially negative effects on energy supplies from sanctions on Russia. We’re also concerned about lingering supply-chain disruptions, especially in light of the recent Covid-19 upsurge in China. There is also considerable uncertainty surrounding the Fed’s efforts to contain inflation without pushing the U.S. economy into recession. Moreover, while consumer balance sheets are generally in good shape, in our view, inflation-adjusted wages are beginning to decline.
Investor expectations for multiple 0.50% interest-rate increases at upcoming Fed meetings have pushed U.S. Treasury yields materially higher across the yield curve. With a number of rate hikes already priced into the market, we think it’s possible that U.S. Treasury
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
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prices could rally intermittently, particularly if concerns about economic growth intensify.
What are your current views on the major sectors in which the fund invests?
Looking first at corporate credit, our view is moderately constructive. We have a positive outlook for market fundamentals and believe valuations have improved for both IG and high-yield credit. However, the supply/demand backdrop is less favorable than it was last year, in our view.
We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic increases at retailers, and hotels welcome back business and leisure travelers. Moreover, with real assets serving as collateral, along with the potential for rent adjustments, CMBS have historically performed well during periods of rising inflation. Consistent with risk markets generally, CMBS spreads widened during the period. The increased liquidity premium enhanced the appeal of select market segments.
Given that home prices have already risen substantially and mortgage rates have moved up, we are aware that affordability has become a constraint for many prospective buyers. Consequently, we think the pace of home price appreciation is likely to moderate during 2022. Within residential mortgage credit, wider spreads have created better value among mid-tier and lower-rated securities. As of period-end, we were finding attractive investment opportunities in that area of the market, as well as among higher-rated securities.
With the Fed beginning the process of reducing the mortgage assets in its portfolio, we believe many prepayment-sensitive securities may offer attractive risk-adjusted returns from current price levels. Many of these securities may also offer meaningful upside potential if mortgage prepayment speeds continue to slow. We think the fund’s prepayment-related strategies provide an important source of diversification
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
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in the portfolio. In light of last year’s repricing across the market, we were finding value across a variety of collateral types.
In light of Russia’s invasion of Ukraine, along with the Fed’s shift to monetary tightening, the near-term outlook for emerging markets has become highly uncertain. Against this backdrop, we will focus on opportunities in countries that are less directly affected by geopolitical turmoil and global policy risk. Our emphasis on investment opportunities in the U.S. may help minimize the fund’s exposure to broader geopolitical risk.
How did you use derivatives during the period?
We used CMBX credit default swaps to hedge the fund’s CMBS credit and market risks, gain access to specific sectors of the market, and gain liquid exposure to individual names. We employed bond futures and interest-rate swaps to take tactical positions at various points along the yield curve and to hedge the risk associated with the fund’s curve positioning. We also used interest-rate swaps to gain exposure to interest rates in various countries. We utilized options to isolate the prepayment risks associated with our holdings of collateralized mortgage obligations and to help manage the downside risk of these positions. We also used options to hedge duration and convexity. Lastly, we used total return swaps to manage the fund’s sector and inflation exposures.
Thanks for your time and for bringing us up to date, Mike.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
Of special interest
The fund had no direct exposure to Russian or Ukrainian securities or markets at the end of the period. We are closely monitoring governmental actions, including the issuance of sanctions, and related market developments.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended April 30, 2022, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class P, R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
Annualized fund performance Total return for periods ended 4/30/22
Life of fund | 10 years | 5 years | 3 years | 1 year | 6 months | |
Class A (12/23/08) | ||||||
Before sales charge | 2.17% | 1.93% | 1.58% | 0.38% | –5.17% | –0.90% |
After sales charge | 1.99 | 1.70 | 1.12 | –0.38 | –7.30 | –3.13 |
Class B (12/23/08) | ||||||
Before CDSC | 2.00 | 1.77 | 1.38 | 0.18 | –5.40 | –0.91 |
After CDSC | 2.00 | 1.77 | 1.38 | 0.18 | –6.30 | –1.87 |
Class C (12/23/08) | ||||||
Before CDSC | 1.71 | 1.33 | 0.82 | –0.36 | –5.90 | –1.17 |
After CDSC | 1.71 | 1.33 | 0.82 | –0.36 | –6.81 | –2.13 |
Class P (8/31/16) | ||||||
Net asset value | 2.42 | 2.19 | 1.83 | 0.63 | –5.00 | –0.77 |
Class R (12/23/08) | ||||||
Net asset value | 1.91 | 1.68 | 1.32 | 0.12 | –5.40 | –1.04 |
Class R6 (7/2/12) | ||||||
Net asset value | 2.43 | 2.19 | 1.83 | 0.63 | –5.00 | –0.77 |
Class Y (12/23/08) | ||||||
Net asset value | 2.43 | 2.19 | 1.86 | 0.64 | –4.91 | –0.66 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 2.25% sales charge levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 1% in the first year, declining to 0.50% in the second year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class P, R, R6, and Y shares have no initial sales charge or CDSC. Performance for class P and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class P and R6 shares; had it, returns would have been higher.
Returns for periods of less than one year are not annualized.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
The fund has had performance fee adjustments that may have had a positive or negative impact on returns.
Class B and C share performance reflects conversion to class A shares after eight years.
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Comparative annualized index returns For periods ended 4/30/22
Life of fund | 10 years | 5 years | 3 years | 1 year | 6 months | |
ICE BofA U.S. Treasury | ||||||
Bill Index | 0.54% | 0.65% | 1.13% | 0.76% | 0.01% | 0.00% |
Index results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
Returns for periods of less than one year are not annualized.
Fund price and distribution information For the six-month period ended 4/30/22
Distributions | Class A | Class B | Class C | Class P | Class R | Class R6 | Class Y | |
Number | 6 | 6 | 6 | 6 | 6 | 6 | 6 | |
Income | $0.259 | $0.249 | $0.226 | $0.271 | $0.246 | $0.271 | $0.271 | |
Capital gains | — | — | — | — | — | — | — | |
Total | $0.259 | $0.249 | $0.226 | $0.271 | $0.246 | $0.271 | $0.271 | |
Before | After | Net | Net | Net | Net | Net | Net | |
sales | sales | asset | asset | asset | asset | asset | asset | |
Share value | charge | charge | value | value | value | value | value | value |
10/31/21 | $9.04 | $9.25 | $9.01 | $9.00 | $9.07 | $9.09 | $9.07 | $9.04 |
4/30/22 | 8.70 | 8.90 | 8.68 | 8.67 | 8.73 | 8.75 | 8.73 | 8.71 |
Before | After | Net | Net | Net | Net | Net | Net | |
Current rate | sales | sales | asset | asset | asset | asset | asset | asset |
(end of period) | charge | charge | value | value | value | value | value | value |
Current dividend rate1 | 3.45% | 3.37% | 3.32% | 2.77% | 3.71% | 3.15% | 3.71% | 3.72% |
Current 30-day | ||||||||
SEC yield2 | N/A | 4.03 | 3.87 | 3.32 | 4.33 | 3.83 | 4.33 | 4.33 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (2.25% for class A shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.
2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.
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Annualized fund performance as of most recent calendar quarter
Total return for periods ended 3/31/22
Life of fund | 10 years | 5 years | 3 years | 1 year | 6 months | |
Class A (12/23/08) | ||||||
Before sales charge | 2.20% | 1.93% | 1.74% | 0.72% | –5.14% | –1.97% |
After sales charge | 2.03 | 1.70 | 1.28 | –0.04 | –7.27 | –4.18 |
Class B (12/23/08) | ||||||
Before CDSC | 2.04 | 1.76 | 1.54 | 0.52 | –5.28 | –2.10 |
After CDSC | 2.04 | 1.76 | 1.54 | 0.52 | –6.19 | –3.05 |
Class C (12/23/08) | ||||||
Before CDSC | 1.74 | 1.32 | 0.99 | –0.02 | –5.78 | –2.35 |
After CDSC | 1.74 | 1.32 | 0.99 | –0.02 | –6.69 | –3.30 |
Class P (8/31/16) | ||||||
Net asset value | 2.46 | 2.19 | 2.01 | 0.97 | –4.88 | –1.83 |
Class R (12/23/08) | ||||||
Net asset value | 1.94 | 1.68 | 1.49 | 0.46 | –5.37 | –2.10 |
Class R6 (7/2/12) | ||||||
Net asset value | 2.46 | 2.20 | 2.01 | 0.97 | –4.88 | –1.83 |
Class Y (12/23/08) | ||||||
Net asset value | 2.45 | 2.19 | 1.99 | 0.94 | –4.89 | –1.84 |
See the discussion following the fund performance table on page 9 for information about the calculation of fund performance.
Returns for periods of less than one year are not annualized.
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
Class A | Class B | Class C | Class P | Class R | Class R6 | Class Y | |
Total annual operating expenses for the | |||||||
fiscal year ended 10/31/21 | 0.77% | 0.97% | 1.52% | 0.52% | 1.02% | 0.52% | 0.52% |
Annualized expense ratio for the | |||||||
six-month period ended 4/30/22* | 0.71% | 0.91% | 1.46% | 0.46% | 0.96% | 0.46% | 0.46% |
Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
* Includes a decrease of 0.14% from annualizing the performance fee adjustment for the six months ended 4/30/22.
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Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 11/1/21 to 4/30/22. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class P | Class R | Class R6 | Class Y | |
Expenses paid per $1,000*† | $3.50 | $4.49 | $7.20 | $2.27 | $4.74 | $2.27 | $2.27 |
Ending value (after expenses) | $991.00 | $990.90 | $988.30 | $992.30 | $989.60 | $992.30 | $993.40 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/22. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (181); and then dividing that result by the number of days in the year (365).
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 4/30/22, use the following calculation method. To find the value of your investment on 11/1/21, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Class A | Class B | Class C | Class P | Class R | Class R6 | Class Y | |
Expenses paid per $1,000*† | $3.56 | $4.56 | $7.30 | $2.31 | $4.81 | $2.31 | $2.31 |
Ending value (after expenses) | $1,021.27 | $1,020.28 | $1,017.55 | $1,022.51 | $1,020.03 | $1,022.51 | $1,022.51 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/22. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (181); and then dividing that result by the number of days in the year (365).
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Consider these risks before investing
Allocation of assets among fixed-income strategies and sectors may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.
Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are subject to prepayment risk, which means that they may increase in value less when interest rates decline and decline in value more when interest rates rise. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund currently has significant investment exposure to mortgage-backed securities, which may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate properties. International investing involves currency, economic, and political risks. Emerging market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund’s efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund is not intended to outperform stocks and bonds during strong market rallies. The fund’s prospectus lists additional risks.
Our investment techniques, analyses, and judgments may not produce the intended outcome, and the investments we select for the fund may not perform as well as other securities that were not selected for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could negatively impact the fund. You can lose money by investing in the fund.
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Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions. They are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 2.25% maximum sales charge for class A shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 1.00% maximum during the first year to 0.50% during the second year. After the second year, the CDSC no longer applies. The CDSC for class C shares is 1.00% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are closed to new investments and are only available by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class P shares require no minimum initial investment amount and no minimum subsequent investment amount. There is no initial or deferred sales charge. They are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.
Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency credit risk transfer (CRT) security is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering
14 Fixed Income Absolute Return Fund |
different levels of risk and yield based on the underlying reference pool.
• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
°Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
CMBX Index is an unmanaged index that tracks the performance of a basket of CMBS issued in a particular year.
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
S&P 500® Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Fixed Income Absolute Return Fund 15 |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2021, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of April 30, 2022, Putnam employees had approximately $492,000,000 and the Trustees had approximately $72,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
Liquidity risk management program
Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in April 2022. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2021 through December 2021. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2021. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.
16 Fixed Income Absolute Return Fund |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
Fixed Income Absolute Return Fund 17 |
The fund’s portfolio 4/30/22 (Unaudited) | ||
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (103.8%)* | Principal amount | Value |
U.S. Government Guaranteed Mortgage Obligations (0.1%) | ||
Government National Mortgage Association Pass-Through Certificates | ||
5.50%, 5/20/49 | $56,722 | $60,288 |
5.00%, with due dates from 5/20/49 to 3/20/50 | 185,110 | 195,645 |
4.00%, 1/20/50 | 35,536 | 35,856 |
3.50%, with due dates from 9/20/49 to 11/20/49 | 227,308 | 223,361 |
515,150 | ||
U.S. Government Agency Mortgage Obligations (103.7%) | ||
Federal National Mortgage Association Pass-Through Certificates | ||
5.00%, with due dates from 1/1/49 to 8/1/49 | 87,963 | 91,227 |
4.50%, 5/1/49 | 18,701 | 19,193 |
Uniform Mortgage-Backed Securities | ||
4.50%, TBA, 6/1/52 | 61,000,000 | 61,757,766 |
4.50%, TBA, 5/1/52 | 18,000,000 | 18,312,196 |
4.00%, TBA, 6/1/52 | 53,000,000 | 52,519,682 |
4.00%, TBA, 5/1/52 | 80,000,000 | 79,528,120 |
3.50%, TBA, 6/1/52 | 41,000,000 | 39,653,052 |
3.50%, TBA, 5/1/52 | 55,000,000 | 53,328,468 |
3.00%, TBA, 6/1/52 | 21,000,000 | 19,752,287 |
3.00%, TBA, 5/1/52 | 26,000,000 | 24,511,071 |
2.50%, TBA, 5/1/52 | 47,000,000 | 42,880,149 |
2.00%, TBA, 5/1/52 | 39,000,000 | 34,392,220 |
426,745,431 | ||
Total U.S. government and agency mortgage obligations (cost $433,166,840) | $427,260,581 | |
U.S. TREASURY OBLIGATIONS (0.3%)* | Principal amount | Value |
U.S. Treasury Notes | ||
1.75%, 9/30/22 i | $140,000 | $140,456 |
0.50%, 11/30/23 i | 178,000 | 172,617 |
0.25%, 6/30/25 i | 965,000 | 888,418 |
0.25%, 5/31/25 i | 154,000 | 142,134 |
Total U.S. treasury obligations (cost $1,343,625) | $1,343,625 | |
MORTGAGE-BACKED SECURITIES (42.7%)* | Principal amount | Value | |
Agency collateralized mortgage obligations (18.4%) | |||
Federal Home Loan Mortgage Corporation | |||
REMICs IFB Ser. 2976, Class LC, ((-3.667 x 1 Month US LIBOR) + 24.42%), 22.388%, 5/15/35 | $39,137 | $52,836 | |
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 21.765%, 11/15/35 | 88,087 | 133,893 | |
REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 15.529%, 6/15/34 | 73,959 | 79,875 | |
REMICs IFB Ser. 4727, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.646%, 11/15/47 | 5,102,110 | 759,017 | |
REMICs IFB Ser. 4698, Class NS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.596%, 6/15/47 | 7,555,360 | 1,211,208 |
18 Fixed Income Absolute Return Fund |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Federal Home Loan Mortgage Corporation | |||
REMICs IFB Ser. 5023, Class TS, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.582%, 10/25/50 | $6,385,148 | $1,026,093 | |
REMICs Ser. 4813, IO, 5.50%, 8/15/48 | 2,220,992 | 469,163 | |
REMICs IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), 5.446%, 5/15/41 | 1,145,109 | 1,056,189 | |
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 7/25/50 | 8,929,514 | 1,302,487 | |
REMICs Ser. 5117, Class CI, IO, 5.00%, 6/25/51 | 11,443,475 | 2,050,327 | |
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 | 10,011,949 | 2,171,340 | |
REMICs Ser. 4964, Class IA, IO, 4.50%, 3/25/50 | 5,343,378 | 1,266,007 | |
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 | 9,425,410 | 2,027,530 | |
REMICs Ser. 5010, Class IE, IO, 4.00%, 9/25/50 | 9,413,904 | 1,728,349 | |
REMICs Ser. 4982, Class DI, IO, 4.00%, 6/25/50 | 11,108,476 | 2,007,698 | |
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 1,477,452 | 209,023 | |
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 | 410,921 | 16,014 | |
REMICs Ser. 5065, Class DI, IO, 3.50%, 1/25/51 | 7,096,361 | 1,104,062 | |
REMICs Ser. 4369, Class IA, IO, 3.50%, 7/15/44 | 867,080 | 142,263 | |
REMICs Ser. 4136, Class IW, IO, 3.50%, 10/15/42 | 2,163,352 | 260,956 | |
REMICs Ser. 5149, Class BI, IO, 3.00%, 7/25/51 | 13,058,375 | 1,820,076 | |
REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 | 2,751,568 | 352,476 | |
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 | 1,525,037 | 118,373 | |
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 | 843,229 | 91,429 | |
Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.446%, 11/15/28 W | 74,832 | 561 | |
Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.28%, 10/25/43 W | 414,431 | 4,388 | |
Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33 W | 649,742 | 4,869 | |
Federal National Mortgage Association | |||
REMICs IFB Ser. 05-74, Class NK, ((-5 x 1 Month US LIBOR) + 27.50%), 24.161%, 5/25/35 | 24,863 | 31,270 | |
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 21.751%, 6/25/37 | 66,022 | 104,315 | |
REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 11.564%, 5/25/40 | 351,349 | 407,056 | |
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 1,875,292 | 355,066 | |
REMICs IFB Ser. 13-130, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.60%), 5.932%, 1/25/44 | 3,115,836 | 469,911 | |
REMICs IFB Ser. 20-70, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.582%, 10/25/50 | 9,570,690 | 1,539,158 | |
REMICs IFB Ser. 15-19, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.532%, 4/25/45 | 4,726,897 | 503,722 | |
REMICs Ser. 18-58, Class IO, IO, 5.50%, 8/25/48 | 2,261,860 | 409,847 | |
REMICs Ser. 15-28, IO, 5.50%, 5/25/45 | 3,616,383 | 689,500 | |
REMICs IFB Ser. 18-95, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.482%, 1/25/49 | 3,097,566 | 396,179 | |
REMICs IFB Ser. 17-108, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.482%, 1/25/48 | 3,351,798 | 506,416 |
Fixed Income Absolute Return Fund 19 |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Federal National Mortgage Association | |||
REMICs IFB Ser. 17-8, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 2/25/47 | $11,331,324 | $1,485,650 | |
REMICs IFB Ser. 16-83, Class BS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 11/25/46 | 2,370,010 | 301,798 | |
REMICs IFB Ser. 16-60, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 9/25/46 | 4,763,864 | 571,415 | |
REMICs IFB Ser. 16-65, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 9/25/46 | 3,591,752 | 419,470 | |
REMICs IFB Ser. 20-16, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.382%, 3/25/50 | 4,323,818 | 565,857 | |
REMICs IFB Ser. 19-49, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.02%), 5.352%, 9/25/49 | 12,599,769 | 1,981,995 | |
REMICs IFB Ser. 19-66, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.332%, 11/25/49 | 3,017,815 | 366,374 | |
REMICs IFB Ser. 16-88, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.332%, 12/25/46 | 3,519,746 | 474,884 | |
REMICs IFB Ser. 11-53, Class ST, IO, ((-1 x 1 Month US LIBOR) + 5.92%), 5.252%, 6/25/41 | 6,057,586 | 662,760 | |
REMICs IFB Ser. 17-74, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.75%), 5.082%, 10/25/47 | 11,909,435 | 1,249,608 | |
Interest Strip Ser. 397, Class 2, IO, 5.00%, 9/25/39 | 153,724 | 28,287 | |
REMICs Ser. 17-75, Class NI, IO, 5.00%, 11/25/46 | 4,680,090 | 785,366 | |
REMICs Ser. 21-56, Class QI, IO, 4.50%, 9/25/51 | 7,370,910 | 1,601,642 | |
REMICs Ser. 21-15, Class JI, IO, 4.50%, 4/25/51 | 9,672,689 | 2,116,384 | |
REMICs Ser. 21-17, Class KI, IO, 4.50%, 4/25/51 | 11,964,999 | 2,318,218 | |
REMICs Ser. 17-87, Class IA, IO, 4.50%, 11/25/47 | 2,563,551 | 461,439 | |
REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 | 2,562,008 | 476,166 | |
REMICs Ser. 20-47, Class ID, IO, 4.00%, 7/25/50 | 11,623,543 | 2,208,036 | |
REMICs Ser. 20-62, Class CI, IO, 4.00%, 6/25/48 | 7,053,025 | 1,419,536 | |
REMICs Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 | 950,711 | 166,166 | |
REMICs Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 | 984,602 | 46,288 | |
REMICs Ser. 12-62, Class MI, IO, 4.00%, 3/25/41 | 622,182 | 27,998 | |
REMICs Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 | 777,239 | 41,426 | |
REMICs Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 | 1,612,396 | 188,095 | |
REMICs Ser. 21-44, Class NI, IO, 3.00%, 7/25/51 | 7,532,475 | 1,472,652 | |
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 | 2,010,847 | 253,150 | |
REMICs Ser. 6, Class BI, IO, 3.00%, 12/25/42 | 1,547,632 | 66,113 | |
REMICs Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 | 675,655 | 9,231 | |
REMICs Trust Ser. 98-W2, Class X, IO, 0.456%, 6/25/28 W | 499,122 | 11,222 | |
REMICs Trust Ser. 98-W5, Class X, IO, 0.048%, 7/25/28 W | 154,670 | 3,276 | |
Government National Mortgage Association | |||
IFB Ser. 10-125, Class SD, ((-1 x 1 Month US LIBOR) + 6.68%), 6.086%, 1/16/40 | 2,995,625 | 313,011 | |
IFB Ser. 20-112, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 8/20/50 | 4,738,939 | 778,987 | |
IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.656%, 7/20/48 | 2,880,564 | 325,211 | |
IFB Ser. 19-121, Class DS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 8/20/49 | 2,323,430 | 246,253 |
20 Fixed Income Absolute Return Fund |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
IFB Ser. 16-121, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 9/20/46 | $2,938,689 | $391,668 | |
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 10/20/45 | 2,092,150 | 269,643 | |
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 7/16/43 | 554,016 | 63,041 | |
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 2/20/50 | 334,458 | 31,987 | |
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 8/20/49 | 169,407 | 18,419 | |
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 6/20/49 | 202,177 | 19,649 | |
IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 2/20/41 | 795,515 | 97,999 | |
IFB Ser. 10-116, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.306%, 9/20/40 | 2,275,286 | 273,268 | |
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 784,934 | 114,169 | |
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45 | 1,077,856 | 204,644 | |
Ser. 15-69, IO, 5.00%, 5/20/45 | 2,007,583 | 404,970 | |
Ser. 14-146, Class EI, IO, 5.00%, 10/20/44 | 3,243,710 | 659,900 | |
Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 | 1,334,119 | 253,176 | |
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 1,435,408 | 301,866 | |
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 | 6,131 | 465 | |
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 290,468 | 56,686 | |
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 1,810,514 | 348,394 | |
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 5,735,398 | 1,186,539 | |
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 3,996,053 | 808,561 | |
Ser. 18-153, Class AI, IO, 4.50%, 9/16/45 | 3,155,535 | 575,159 | |
Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 | 2,100,807 | 386,340 | |
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | 2,574,593 | 512,396 | |
Ser. 12-129, IO, 4.50%, 11/16/42 | 1,410,133 | 271,507 | |
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 1,060,665 | 197,072 | |
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 1,022,233 | 192,947 | |
Ser. 15-94, IO, 4.00%, 7/20/45 | 73,160 | 14,142 | |
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 | 157,029 | 17,074 | |
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 | 1,317,224 | 206,014 | |
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 5,972,010 | 957,060 | |
Ser. 15-20, Class PI, IO, 3.50%, 2/20/45 | 2,335,174 | 375,496 | |
Ser. 13-76, IO, 3.50%, 5/20/43 | 696,086 | 95,280 | |
Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 | 862,756 | 101,408 | |
Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 | 632,333 | 46,836 | |
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 385,617 | 43,968 | |
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 | 1,281,729 | 83,402 | |
Ser. 183, Class AI, IO, 3.50%, 10/20/39 | 96,204 | 256 | |
Ser. 20-186, Class DI, IO, 3.00%, 12/20/50 | 11,338,538 | 1,717,966 | |
Ser. 20-166, Class IA, IO, 3.00%, 11/20/50 | 16,718,847 | 2,526,410 | |
Ser. 20-138, Class AI, IO, 3.00%, 9/20/50 | 5,775,121 | 853,472 | |
Ser. 14-46, Class KI, IO, 3.00%, 6/20/36 | 37,819 | 83 | |
Ser. 16-H13, Class IK, IO, 2.656%, 6/20/66 W | 8,825,110 | 757,029 |
Fixed Income Absolute Return Fund 21 |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
Ser. 20-173, Class MI, IO, 2.50%, 11/20/50 | $11,216,877 | $1,514,278 | |
Ser. 17-H03, Class DI, IO, 2.274%, 12/20/66 W | 2,815,884 | 173,353 | |
Ser. 17-H06, Class BI, IO, 2.252%, 2/20/67 W | 8,559,823 | 532,283 | |
Ser. 17-H16, Class BI, IO, 2.212%, 8/20/67 W | 6,901,554 | 438,896 | |
Ser. 16-H23, Class MI, IO, 2.195%, 10/20/66 W | 23,012,588 | 1,021,184 | |
Ser. 18-H13, Class NI, IO, 2.14%, 8/20/68 W | 5,171,274 | 257,219 | |
Ser. 16-H22, Class AI, IO, 2.131%, 10/20/66 W | 4,187,697 | 197,911 | |
Ser. 18-H02, Class EI, IO, 2.121%, 1/20/68 W | 4,696,049 | 328,723 | |
Ser. 17-H02, Class BI, IO, 2.111%, 1/20/67 W | 2,097,814 | 110,809 | |
Ser. 16-H11, Class HI, IO, 2.098%, 1/20/66 W | 2,116,420 | 89,948 | |
Ser. 16-H23, Class NI, IO, 2.094%, 10/20/66 W | 6,197,046 | 280,106 | |
Ser. 18-H02, Class GI, IO, 2.01%, 12/20/67 W | 6,171,361 | 398,246 | |
Ser. 15-H15, Class JI, IO, 1.955%, 6/20/65 W | 9,194,544 | 536,042 | |
Ser. 15-H19, Class NI, IO, 1.907%, 7/20/65 W | 10,825,286 | 551,007 | |
Ser. 15-H25, Class EI, IO, 1.846%, 10/20/65 W | 7,377,051 | 382,131 | |
Ser. 16-H08, Class AI, IO, 1.715%, 8/20/65 W | 6,067,901 | 199,027 | |
Ser. 15-H09, Class BI, IO, 1.676%, 3/20/65 W | 8,624,452 | 368,057 | |
Ser. 16-H02, Class BI, IO, 1.667%, 11/20/65 W | 7,307,043 | 428,923 | |
Ser. 18-H05, Class AI, IO, 1.628%, 2/20/68 W | 7,893,005 | 547,577 | |
Ser. 15-H25, Class AI, IO, 1.613%, 9/20/65 W | 9,089,236 | 452,644 | |
Ser. 15-H28, Class DI, IO, 1.566%, 8/20/65 W | 5,463,836 | 223,979 | |
Ser. 14-H14, Class CI, IO, 1.554%, 7/20/64 W | 7,420,150 | 200,576 | |
Ser. 20-H14, Class AI, IO, 1.37%, 6/20/70 W | 16,847,971 | 722,576 | |
GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27 W | 60,377 | 229 | |
75,714,991 | |||
Commercial mortgage-backed securities (13.3%) | |||
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49 W | 76,646 | 1 | |
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class B, 5.665%, 11/10/42 (In default) † W | 2,019,820 | 1,110,901 | |
BANK | |||
FRB Ser. 19-BN20, Class XA, IO, 0.956%, 9/15/62 W | 10,436,824 | 510,082 | |
FRB Ser. 17-BNK9, Class XA, IO, 0.91%, 11/15/54 W | 44,273,900 | 1,509,368 | |
FRB Ser. 18-BN10, Class XA, IO, 0.846%, 2/15/61 W | 39,651,437 | 1,335,445 | |
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54 | 700,000 | 484,725 | |
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W | 553,672 | 27,682 | |
Cantor Commercial Real Estate Lending FRB Ser. 19-CF3, Class XA, IO, 0.833%, 1/15/53 W | 10,706,217 | 441,057 | |
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.70%, 2/10/50 W | 756,000 | 698,143 | |
CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.786%, 5/10/58 W | 6,137,825 | 308,227 | |
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.249%, 12/15/47 W | 251,599 | 256,657 | |
Citigroup Commercial Mortgage Trust | |||
FRB Ser. 14-GC21, Class XA, IO, 1.308%, 5/10/47 W | 9,293,577 | 177,045 | |
FRB Ser. 14-GC19, Class XA, IO, 1.285%, 3/10/47 W | 14,093,990 | 221,360 | |
FRB Ser. 13-GC17, Class XA, IO, 1.15%, 11/10/46 W | 10,889,856 | 126,818 |
22 Fixed Income Absolute Return Fund |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
Citigroup Commercial Mortgage Trust 144A | |||
FRB Ser. 14-GC19, Class D, 5.26%, 3/10/47 W | $561,000 | $553,817 | |
FRB Ser. 12-GC8, Class XA, IO, 1.819%, 9/10/45 W | 2,922,654 | 3,569 | |
COMM Mortgage Trust | |||
FRB Ser. 14-CR17, Class C, 4.945%, 5/10/47 W | 2,166,000 | 2,141,575 | |
FRB Ser. 18-COR3, Class C, 4.712%, 5/10/51 W | 810,000 | 773,301 | |
FRB Ser. 15-LC19, Class C, 4.369%, 2/10/48 W | 1,031,000 | 1,005,516 | |
FRB Ser. 14-UBS4, Class XA, IO, 1.25%, 8/10/47 W | 5,919,552 | 108,629 | |
FRB Ser. 14-LC15, Class XA, IO, 1.224%, 4/10/47 W | 8,236,804 | 127,590 | |
FRB Ser. 14-CR20, Class XA, IO, 1.133%, 11/10/47 W | 21,620,183 | 419,215 | |
FRB Ser. 14-CR19, Class XA, IO, 1.096%, 8/10/47 W | 19,575,896 | 336,357 | |
FRB Ser. 13-CR11, Class XA, IO, 1.071%, 8/10/50 W | 49,904,628 | 472,048 | |
FRB Ser. 15-CR23, Class XA, IO, 1.019%, 5/10/48 W | 19,896,951 | 405,739 | |
FRB Ser. 14-UBS6, Class XA, IO, 1.002%, 12/10/47 W | 19,511,487 | 336,398 | |
FRB Ser. 15-CR22, Class XA, IO, 0.964%, 3/10/48 W | 10,360,039 | 228,683 | |
FRB Ser. 15-LC21, Class XA, IO, 0.817%, 7/10/48 W | 33,048,868 | 562,839 | |
COMM Mortgage Trust 144A | |||
FRB Ser. 13-CR13, Class E, 5.042%, 11/10/46 W | 523,000 | 444,130 | |
FRB Ser. 14-CR17, Class D, 5.009%, 5/10/47 W | 1,498,000 | 1,348,242 | |
Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 1,361,000 | 351,410 | |
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41 W | 4,649,202 | 2,290,662 | |
CSAIL Commercial Mortgage Trust Ser. 15-C1, Class XA, IO, 0.963%, 4/15/50 W | 18,976,785 | 325,471 | |
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.902%, 4/15/50 W | 925,000 | 730,649 | |
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.55%, 8/10/44 W | 1,594,110 | 1,585,024 | |
GS Mortgage Securities Trust | |||
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47 W | 1,251,000 | 1,227,391 | |
FRB Ser. 14-GC18, Class XA, IO, 1.205%, 1/10/47 W | 16,403,238 | 231,133 | |
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47 W | 587,000 | 402,749 | |
JPMBB Commercial Mortgage Securities Trust | |||
FRB Ser. 13-C12, Class B, 4.228%, 7/15/45 W | 1,401,000 | 1,392,898 | |
FRB Ser. 14-C24, Class XA, IO, 1.009%, 11/15/47 W | 31,393,309 | 483,545 | |
FRB Ser. 14-C19, Class XA, IO, 0.799%, 4/15/47 W | 11,802,843 | 111,856 | |
JPMBB Commercial Mortgage Securities Trust 144A | |||
FRB Ser. C14, Class D, 4.699%, 8/15/46 W | 1,591,000 | 876,420 | |
FRB Ser. 14-C25, Class D, 4.086%, 11/15/47 W | 748,000 | 565,151 | |
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-C10, Class XA, IO, 1.064%, 12/15/47 W | 27,537,902 | 126,652 | |
JPMorgan Chase Commercial Mortgage Securities Trust 144A | |||
FRB Ser. 12-C8, Class D, 4.973%, 10/15/45 W | 922,000 | 899,361 | |
FRB Ser. 12-LC9, Class D, 4.509%, 12/15/47 W | 327,000 | 318,812 | |
FRB Ser. 21-1MEM, Class D, 2.742%, 10/9/42 W | 1,750,000 | 1,421,967 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
FRB Ser. 14-C14, Class C, 5.219%, 2/15/47 W | 613,000 | 620,208 | |
FRB Ser. 14-C17, Class C, 4.637%, 8/15/47 W | 946,000 | 899,240 |
Fixed Income Absolute Return Fund 23 |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
Morgan Stanley Bank of America Merrill Lynch Trust | |||
FRB Ser. 15-C26, Class XA, IO, 1.125%, 10/15/48 W | $13,483,267 | $311,841 | |
FRB Ser. 13-C13, Class XA, IO, 1.103%, 11/15/46 W | 45,317,472 | 504,089 | |
Morgan Stanley Bank of America Merrill Lynch Trust 144A | |||
FRB Ser. 14-C15, Class D, 5.06%, 4/15/47 W | 580,000 | 566,207 | |
FRB Ser. 13-C12, Class E, 4.921%, 10/15/46 W | 537,000 | 373,727 | |
FRB Ser. 12-C5, Class E, 4.843%, 8/15/45 W | 1,026,000 | 1,023,794 | |
FRB Ser. 12-C6, Class D, 4.747%, 11/15/45 W | 624,000 | 616,618 | |
FRB Ser. 13-C10, Class D, 4.21%, 7/15/46 W | 453,000 | 327,355 | |
FRB Ser. 13-C10, Class E, 4.21%, 7/15/46 W | 3,310,000 | 1,105,871 | |
FRB Ser. 13-C10, Class F, 4.21%, 7/15/46 W | 2,461,000 | 553,725 | |
Morgan Stanley Capital I Trust | |||
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 248,967 | 231,540 | |
FRB Ser. 16-UB12, Class XA, IO, 0.792%, 12/15/49 W | 21,596,090 | 537,222 | |
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class E, 5.425%, 3/15/45 W | 603,000 | 428,190 | |
Multifamily Connecticut Avenue Securities Trust 144A | |||
FRB Ser. 20-01, Class M10, 4.418%, 3/25/50 | 1,068,000 | 1,022,358 | |
FRB Ser. 19-01, Class M10, 3.918%, 10/15/49 | 1,674,000 | 1,591,894 | |
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 20-FL4, Class C, 5.418%, 2/25/35 | 2,333,000 | 2,335,861 | |
UBS Commercial Mortgage Trust | |||
FRB Ser. 17-C7, Class XA, IO, 1.161%, 12/15/50 W | 11,828,515 | 485,484 | |
FRB Ser. 18-C8, Class XA, IO, 1.008%, 2/15/51 W | 16,037,996 | 617,181 | |
UBS-Barclays Commercial Mortgage Trust 144A | |||
FRB Ser. 12-C3, Class C, 5.216%, 8/10/49 W | 969,000 | 971,479 | |
FRB Ser. 12-C2, Class XA, IO, 1.378%, 5/10/63 W | 2,727,183 | 1,205 | |
FRB Ser. 13-C5, Class XA, IO, 1.017%, 3/10/46 W | 34,864,188 | 109,672 | |
UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.654%, 1/10/45 W | 646,000 | 571,710 | |
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.416%, 11/15/48 W | 2,335,200 | 1,030 | |
Wells Fargo Commercial Mortgage Trust | |||
FRB Ser. 13-LC12, Class C, 4.44%, 7/15/46 W | 749,000 | 670,415 | |
FRB Ser. 16-BNK1, Class XA, IO, 1.861%, 8/15/49 W | 14,270,779 | 831,759 | |
FRB Ser. 14-LC16, Class XA, IO, 1.248%, 8/15/50 W | 18,727,147 | 326,839 | |
Wells Fargo Commercial Mortgage Trust 144A | |||
FRB Ser. 13-LC12, Class D, 4.44%, 7/15/46 W | 1,713,000 | 981,520 | |
Ser. 20-C55, Class D, 2.50%, 2/15/53 | 2,057,000 | 1,579,173 | |
WF-RBS Commercial Mortgage Trust FRB Ser. 12-C10, Class C, 4.493%, 12/15/45 W | 401,000 | 367,210 | |
WF-RBS Commercial Mortgage Trust 144A | |||
Ser. 11-C4, Class D, 5.026%, 6/15/44 W | 771,000 | 685,225 | |
Ser. 11-C4, Class E, 5.026%, 6/15/44 W | 377,000 | 276,428 | |
FRB Ser. 12-C7, Class D, 4.787%, 6/15/45 W | 1,621,000 | 713,240 | |
FRB Ser. 13-C15, Class D, 4.654%, 8/15/46 W | 2,015,000 | 1,192,261 | |
FRB Ser. 12-C10, Class D, 4.558%, 12/15/45 W | 1,169,000 | 824,626 | |
FRB Ser. 12-C10, Class E, 4.558%, 12/15/45 W | 1,658,000 | 420,760 | |
FRB Ser. 12-C9, Class XB, IO, 0.876%, 11/15/45 W | 46,094,000 | 73,743 | |
54,567,010 |
24 Fixed Income Absolute Return Fund |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) (11.0%) | |||
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.858%, 5/25/47 | $1,254,740 | $778,318 | |
Arroyo Mortgage Trust 144A Ser. 19-1, Class A3, 3.995%, 1/25/49 W | 289,398 | 282,603 | |
Bellemeade Re, Ltd. 144A FRB Ser. 20-2A, Class B1, (1 Month US LIBOR + 8.50%), 9.168%, 8/26/30 (Bermuda) | 421,000 | 450,466 | |
BRAVO Residential Funding Trust 144A Ser. 21-C, Class A1, 1.62%, 3/1/61 | 424,432 | 398,646 | |
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (1 Month US LIBOR + 0.24%), 0.908%, 6/25/36 | 1,020,000 | 990,863 | |
Citigroup Mortgage Loan Trust, Inc. | |||
FRB Ser. 07-AR5, Class 1A1A, 2.926%, 4/25/37 W | 360,840 | 351,295 | |
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 1.018%, 3/25/37 | 714,746 | 657,091 | |
Countrywide Alternative Loan Trust | |||
FRB Ser. 06-OA7, Class 1A1, 2.229%, 6/25/46 W | 430,388 | 458,578 | |
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.254%, 11/20/35 | 1,698,466 | 1,644,641 | |
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.159%, 6/25/46 | 1,399,620 | 1,284,999 | |
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 1.048%, 8/25/46 | 348,068 | 304,718 | |
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 1.048%, 8/25/46 | 159,133 | 142,367 | |
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (1 Month US LIBOR + 0.62%), 1.288%, 4/25/35 | 282,184 | 253,502 | |
Federal Home Loan Mortgage Corporation | |||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/28 | 648,139 | 695,881 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 10.018%, 4/25/28 | 1,529,718 | 1,530,727 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.868%, 10/25/27 | 987,913 | 1,052,127 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 8.218%, 12/25/27 | 789,660 | 804,823 | |
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (1 Month US LIBOR + 5.15%), 5.818%, 10/25/29 | 300,000 | 321,246 | |
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.818%, 11/25/28 | 404,755 | 426,781 | |
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3B, (1 Month US LIBOR + 5.15%), 5.818%, 11/25/28 | 280,000 | 296,100 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (1 Month US LIBOR + 4.70%), 5.368%, 4/25/28 | 120,601 | 125,260 | |
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 5.318%, 10/25/28 | 296,447 | 309,693 | |
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class B1, (1 Month US LIBOR + 4.35%), 5.018%, 9/25/30 | 268,000 | 275,803 | |
Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (1 Month US LIBOR + 3.80%), 4.468%, 3/25/29 | 220,636 | 228,836 | |
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (1 Month US LIBOR + 3.55%), 4.218%, 8/25/29 | 717,288 | 741,048 |
Fixed Income Absolute Return Fund 25 |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal Home Loan Mortgage Corporation | |||
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class M2, (1 Month US LIBOR + 3.45%), 4.118%, 10/25/29 | $705,460 | $727,274 | |
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M2B, (1 Month US LIBOR + 2.50%), 3.168%, 3/25/30 | 361,000 | 365,342 | |
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.968%, 9/25/30 | 506,225 | 509,404 | |
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 6.418%, 7/25/50 | 268,000 | 282,936 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 5.539%, 3/25/42 | 1,941,000 | 1,979,820 | |
Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57 W | 340,000 | 315,488 | |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 4.368%, 12/25/30 | 400,000 | 394,136 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.318%, 1/25/49 | 189,599 | 190,996 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 3.118%, 3/25/49 | 77,185 | 77,668 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (1 Month US LIBOR + 2.40%), 3.068%, 2/25/47 | 872,000 | 868,637 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.968%, 10/25/48 | 102,900 | 103,237 | |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class M2B, (1 Month US LIBOR + 2.10%), 2.768%, 9/25/48 | 179,000 | 176,098 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 2.139%, 1/25/42 | 347,000 | 330,588 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (1 Month US LIBOR + 1.00%), 1.668%, 2/25/47 | 3,411,000 | 3,374,860 | |
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 1.589%, 2/25/42 | 360,611 | 357,456 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 1.139%, 9/25/41 | 259,000 | 251,987 | |
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.918%, 9/25/28 | 1,578,339 | 1,798,427 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 12.418%, 10/25/28 | 834,612 | 921,282 | |
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 12.418%, 8/25/28 | 287,823 | 321,965 | |
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 7.418%, 8/25/28 | 9,002 | 9,520 | |
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 6.668%, 9/25/28 | 101,665 | 106,984 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.568%, 10/25/28 | 63,722 | 67,466 | |
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.368%, 4/25/28 | 833,110 | 893,841 | |
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.218%, 4/25/28 | 192,772 | 202,194 |
26 Fixed Income Absolute Return Fund |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 6.168%, 9/25/29 | $1,000,000 | $1,085,637 | |
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (1 Month US LIBOR + 5.00%), 5.668%, 11/25/24 | 1,921 | 1,943 | |
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 5.568%, 11/25/24 | 439,631 | 462,721 | |
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.518%, 10/25/29 | 400,000 | 424,074 | |
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 5.168%, 12/25/30 | 842,700 | 876,513 | |
Connecticut Avenue Securities FRB Ser. 14-C01, Class M2, (1 Month US LIBOR + 4.40%), 5.068%, 1/25/24 | 906,902 | 938,132 | |
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 4.968%, 2/25/25 | 57,621 | 58,929 | |
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.668%, 5/25/25 | 4,978 | 4,992 | |
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (1 Month US LIBOR + 3.65%), 4.318%, 9/25/29 | 135,000 | 138,130 | |
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 4.268%, 1/25/30 | 370,000 | 367,669 | |
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 4.218%, 7/25/29 | 674,587 | 694,647 | |
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2C, (1 Month US LIBOR + 3.55%), 4.218%, 7/25/29 | 273,000 | 283,375 | |
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 3.568%, 7/25/24 | 337,532 | 341,074 | |
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%), 3.268%, 5/25/24 | 105,169 | 106,301 | |
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 3.168%, 5/25/30 | 466,404 | 471,580 | |
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1ED5, (1 Month US LIBOR + 2.25%), 2.918%, 7/25/30 | 75,035 | 75,106 | |
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.918%, 7/25/30 | 145,027 | 146,476 | |
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.768%, 3/25/31 | 276,710 | 277,137 | |
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (1 Month US LIBOR + 0.65%), 1.318%, 1/25/31 | 199,106 | 194,626 | |
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (1 Month US LIBOR + 0.60%), 1.268%, 11/25/29 | 138,884 | 136,453 | |
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (1 Month US LIBOR + 3.25%), 3.918%, 1/25/40 | 1,249,000 | 1,169,282 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 3.289%, 1/25/42 | 1,012,000 | 994,923 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 3.118%, 7/25/31 | 49,725 | 49,880 | |
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 2.15%), 2.818%, 11/25/39 | 654,771 | 643,950 |
Fixed Income Absolute Return Fund 27 |
MORTGAGE-BACKED SECURITIES (42.7%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (1 Month US LIBOR + 2.00%), 2.668%, 1/25/40 | $114,738 | $114,594 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 1.489%, 1/25/42 | 218,516 | 216,057 | |
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 1.189%, 11/25/41 | 119,380 | 116,276 | |
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 275,088 | 270,596 | |
GSAA Home Equity Trust Ser. 06-15, Class AF3A, 5.882%, 9/25/36 W | 756,276 | 295,369 | |
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 1.074%, 5/19/35 | 783,455 | 311,964 | |
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 4.439%, 1/25/34 (Bermuda) | 213,000 | 203,765 | |
Homeward Opportunities Fund I Trust 144A Ser. 20-2, Class A3, 3.196%, 5/25/65 W | 647,000 | 634,179 | |
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 1.068%, 6/25/37 | 531,615 | 251,684 | |
Legacy Mortgage Asset Trust 144A | |||
Ser. 21-GS3, Class A2, 3.25%, 7/25/61 | 403,000 | 378,457 | |
FRB Ser. 19-GS7, Class A1, 3.25%, 11/25/59 | 447,483 | 444,127 | |
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 1.098%, 5/25/46 | 637,115 | 551,104 | |
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A3, 2.911%, 5/25/60 W | 381,000 | 374,479 | |
ROC Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.487%, 8/25/26 W | 870,000 | 838,158 | |
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 1.088%, 8/25/36 | 320,417 | 293,181 | |
WaMu Mortgage Pass-Through Certificates Trust | |||
FRB Ser. 05-AR10, Class 1A3, 2.944%, 9/25/35 W | 250,696 | 240,780 | |
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.648%, 10/25/45 | 495,145 | 486,697 | |
45,399,035 | |||
Total mortgage-backed securities (cost $193,819,822) | $175,681,036 | ||
CORPORATE BONDS AND NOTES (14.2%)* | Principal amount | Value | |
Basic materials (1.1%) | |||
Axalta Coating Systems, LLC/Axalta Coating Systems Dutch Holding B BV 144A company guaranty sr. unsec. notes 4.75%, 6/15/27 | $980,000 | $931,000 | |
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | 430,000 | 376,994 | |
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 1,705,000 | 1,568,140 | |
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 | 1,520,000 | 1,523,800 | |
4,399,934 |
28 Fixed Income Absolute Return Fund |
CORPORATE BONDS AND NOTES (14.2%)* cont. | Principal amount | Value | |
Capital goods (0.6%) | |||
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 | $793,000 | $787,053 | |
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5.875%, 8/15/23 | 1,025,000 | 1,039,294 | |
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 | 196,000 | 197,960 | |
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 520,000 | 517,400 | |
2,541,707 | |||
Communication services (1.7%) | |||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 | 443,000 | 444,108 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital company guaranty sr. notes 3.75%, 2/15/28 | 1,048,000 | 991,344 | |
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 | 648,000 | 579,623 | |
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 650,000 | 596,798 | |
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 410,000 | 385,913 | |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 | 750,000 | 729,413 | |
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 | 899,000 | 807,976 | |
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 265,000 | 290,861 | |
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 | 1,045,000 | 1,097,250 | |
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 | 526,000 | 536,520 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 | 374,000 | 369,005 | |
6,828,811 | |||
Consumer cyclicals (1.3%) | |||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 | 1,000,000 | 997,500 | |
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 | 410,000 | 354,650 | |
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 | 483,000 | 482,396 | |
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 | 565,000 | 568,443 | |
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 471,000 | 397,764 | |
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 680,000 | 656,200 | |
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 837,000 | 778,410 | |
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/30 | 123,000 | 114,464 | |
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 445,000 | 421,638 | |
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 520,000 | 478,400 | |
5,249,865 |
Fixed Income Absolute Return Fund 29 |
CORPORATE BONDS AND NOTES (14.2%)* cont. | Principal amount | Value | |
Consumer staples (2.0%) | |||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) | $165,000 | $150,563 | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 2,280,000 | 2,135,619 | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 | 840,000 | 707,616 | |
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 | 2,128,000 | 2,034,012 | |
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 | 515,000 | 502,125 | |
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 762,000 | 710,314 | |
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 710,000 | 731,300 | |
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 85,000 | 85,085 | |
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 | 1,093,000 | 1,083,644 | |
8,140,278 | |||
Energy (3.3%) | |||
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 1,085,000 | 981,925 | |
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 | 1,119,000 | 1,161,696 | |
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 | 605,000 | 579,288 | |
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 | 215,000 | 219,803 | |
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 | 645,000 | 532,973 | |
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 975,000 | 977,516 | |
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 | 970,000 | 970,000 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 867,000 | 824,872 | |
Newfield Exploration Co. sr. unsec. unsub. notes 5.625%, 7/1/24 | 1,010,000 | 1,049,138 | |
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 758,000 | 784,636 | |
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 1,259,000 | 1,366,015 | |
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) | 400,000 | 403,001 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 488,000 | 508,740 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 88,000 | 86,372 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) | 78,000 | 80,711 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 278,000 | 233,881 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 1,295,000 | 1,115,876 | |
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 | 379,000 | 358,394 |
30 Fixed Income Absolute Return Fund |
CORPORATE BONDS AND NOTES (14.2%)* cont. | Principal amount | Value | |
Energy cont. | |||
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | $1,225,000 | $1,209,504 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 368,000 | 343,160 | |
13,787,501 | |||
Financials (2.3%) | |||
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 540,000 | 642,392 | |
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 1,209,000 | 1,242,012 | |
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 1,883,000 | 1,941,844 | |
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31 | 655,000 | 483,868 | |
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) | 1,146,000 | 1,111,070 | |
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 425,000 | 433,563 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 | 1,095,000 | 1,085,605 | |
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R | 1,265,000 | 1,205,709 | |
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) | 810,000 | 727,514 | |
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 1,000,000 | 1,012,500 | |
9,886,077 | |||
Health care (1.3%) | |||
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 930,000 | 895,125 | |
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 950,000 | 979,033 | |
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 140,000 | 120,400 | |
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 | 1,655,000 | 1,620,535 | |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 1,132,000 | 1,132,000 | |
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.00%, 5/15/30 | 237,000 | 205,523 | |
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 | 340,000 | 300,841 | |
5,253,457 | |||
Technology (0.3%) | |||
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 815,000 | 768,708 | |
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 591,000 | 549,630 | |
1,318,338 | |||
Utilities and power (0.3%) | |||
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 755,000 | 698,919 | |
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 501,000 | 433,365 | |
1,132,284 | |||
Total corporate bonds and notes (cost $62,641,064) | $58,538,252 | ||
Fixed Income Absolute Return Fund 31 |
COLLATERALIZED LOAN OBLIGATIONS (9.0%)* | Principal amount | Value | |
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 2.144%, 4/15/34 (Cayman Islands) | $1,245,000 | $1,226,789 | |
AGL CLO 13, Ltd. 144A FRB Ser. 21-13A, Class A1, (BBA LIBOR USD 3 Month + 1.16%), 2.223%, 10/20/34 (Cayman Islands) | 1,177,000 | 1,161,651 | |
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 2.236%, 4/22/34 | 692,000 | 676,514 | |
Aimco CLO 14, Ltd. 144A FRB Ser. 21-14A, Class A, (BBA LIBOR USD 3 Month + 0.99%), 2.053%, 4/20/34 (Cayman Islands) | 556,000 | 544,598 | |
Apidos CLO XII 144A FRB Ser. 18-12A, Class BR, (BBA LIBOR USD 3 Month + 1.40%), 2.444%, 4/15/31 (Cayman Islands) | 1,382,000 | 1,359,349 | |
Apidos CLO XXXV 144A FRB Ser. 21-35A, Class A, (BBA LIBOR USD 3 Month + 1.05%), 2.113%, 4/20/34 (Cayman Islands) | 250,000 | 246,328 | |
Ares LX CLO, Ltd. 144A FRB Ser. 21-60A, Class A, (BBA LIBOR USD 3 Month + 1.12%), 2.164%, 7/18/34 (Cayman Islands) | 543,000 | 536,080 | |
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (BBA LIBOR USD 3 Month + 1.07%), 2.114%, 4/15/34 (Cayman Islands) | 750,000 | 738,647 | |
Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (BBA LIBOR USD 3 Month + 1.09%), 2.153%, 4/20/31 | 631,000 | 627,268 | |
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (BBA LIBOR USD 3 Month + 1.17%), 2.214%, 10/15/34 (Cayman Islands) | 619,000 | 610,293 | |
Carlyle C17 CLO, Ltd. 144A FRB Ser. C17A, Class A1AR, (BBA LIBOR USD 3 Month + 1.03%), 2.316%, 4/30/31 | 423,000 | 420,555 | |
Carlyle US CLO, Ltd. 144A FRB Ser. 21-8A, Class B, (BBA LIBOR USD 3 Month + 1.65%), 2.694%, 10/15/34 (Cayman Islands) | 500,000 | 491,212 | |
Cedar Funding XIV CLO, Ltd. 144A FRB Ser. 21-14A, Class B, (BBA LIBOR USD 3 Month + 1.60%), 2.644%, 7/15/33 (Cayman Islands) | 1,047,000 | 1,036,136 | |
Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 2.233%, 10/20/34 | 506,000 | 498,774 | |
Dryden XXVI Senior Loan Fund 144A FRB Ser. 18-26A, Class BR, (BBA LIBOR USD 3 Month + 1.45%), 2.494%, 4/15/29 (Cayman Islands) | 500,000 | 496,144 | |
Elevation CLO, Ltd. 144A FRB Ser. 17-2A, Class A1R, (BBA LIBOR USD 3 Month + 1.23%), 2.274%, 10/15/29 | 1,295,123 | 1,288,721 | |
Elmwood CLO II, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 4/20/34 | 600,000 | 593,830 | |
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class A, (BBA LIBOR USD 3 Month + 1.24%), 2.284%, 4/15/33 (Cayman Islands) | 750,000 | 746,032 | |
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class B, (BBA LIBOR USD 3 Month + 1.70%), 2.744%, 4/15/33 (Cayman Islands) | 500,000 | 494,342 | |
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) | 607,000 | 600,217 | |
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class BR, (BBA LIBOR USD 3 Month + 1.65%), 2.713%, 10/20/34 (Cayman Islands) | 253,000 | 250,087 | |
Elmwood CLO VIII, Ltd. 144A FRB Ser. 21-1A, Class B1, (BBA LIBOR USD 3 Month + 1.55%), 2.613%, 1/20/34 (Cayman Islands) | 1,208,000 | 1,185,644 | |
Elmwood CLO XII, Ltd. 144A FRB Ser. 21-5A, Class B, (BBA LIBOR USD 3 Month + 1.70%), 2.763%, 1/20/35 (Cayman Islands) | 500,000 | 494,008 | |
Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (BBA LIBOR USD 3 Month + 1.20%), 2.244%, 4/16/34 (Cayman Islands) | 882,000 | 869,858 | |
GoldenTree Loan Management US CLO 5, Ltd. 144A FRB Ser. 21-5A, Class BR, (BBA LIBOR USD 3 Month + 1.55%), 2.613%, 10/20/32 | 750,000 | 739,991 | |
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (BBA LIBOR USD 3 Month + 1.23%), 2.274%, 10/15/31 (Cayman Islands) | 796,970 | 794,148 |
32 Fixed Income Absolute Return Fund |
COLLATERALIZED LOAN OBLIGATIONS (9.0%)* cont. | Principal amount | Value | |
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (BBA LIBOR USD 3 Month + 1.20%), 2.244%, 7/15/34 (Cayman Islands) | $804,000 | $793,987 | |
HalseyPoint CLO I, Ltd. 144A FRB Ser. 19-1A, Class A1A1, (BBA LIBOR USD 3 Month + 1.35%), 2.413%, 1/20/33 (Cayman Islands) | 786,000 | 780,331 | |
ICG US CLO, Ltd. 144A FRB Ser. 20-2RA, Class A2, (BBA LIBOR USD 3 Month + 1.80%), 2.844%, 1/16/33 (Cayman Islands) | 672,000 | 661,656 | |
ICG US CLO, Ltd. 144A FRB Ser. 21-3A, Class B1R, (BBA LIBOR USD 3 Month + 1.45%), 2.634%, 1/24/32 (Cayman Islands) | 1,250,000 | 1,220,326 | |
Logan CLO I, Ltd. 144A FRB Ser. 21-1A, Class A, (BBA LIBOR USD 3 Month + 1.16%), 2.223%, 7/20/34 (Cayman Islands) | 1,011,000 | 998,190 | |
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (BBA LIBOR USD 3 Month + 1.32%), 2.364%, 4/15/32 (Cayman Islands) | 500,000 | 495,754 | |
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (BBA LIBOR USD 3 Month + 1.29%), 2.334%, 1/15/35 (Cayman Islands) | 250,000 | 245,291 | |
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (BBA LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) | 379,000 | 375,180 | |
Neuberger Berman Loan Advisers CLO 47, Ltd. 144A FRB Ser. 22-47A, Class A, (CME TERM SOFR 3 Month + 1.30%), 1.548%, 4/14/35 (Cayman Islands) | 337,000 | 334,313 | |
Oak Hill Credit Partners XVI 144A FRB Ser. 21-16A, Class A, (BBA LIBOR USD 3 Month + 1.15%), 2.194%, 10/18/34 (Cayman Islands) | 500,000 | 494,229 | |
Oaktree CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.16%), 2.204%, 7/15/34 (Cayman Islands) | 624,000 | 615,723 | |
Octagon Investment Partners 48, Ltd. 144A FRB Ser. 21-3A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) | 750,000 | 739,687 | |
Octagon Investment Partners 54, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.12%), 2.164%, 7/15/34 (Cayman Islands) | 337,000 | 332,689 | |
Palmer Square CLO, Ltd. 144A FRB Ser. 21-1A, Class A1R, (BBA LIBOR USD 3 Month + 1.15%), 1.545%, 11/14/34 (Cayman Islands) | 500,000 | 495,149 | |
Palmer Square CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.15%), 2.194%, 7/15/34 (Cayman Islands) | 971,000 | 960,184 | |
Palmer Square CLO, Ltd. 144A FRB Ser. 21-3A, Class B, (BBA LIBOR USD 3 Month + 1.65%), 1.882%, 1/15/35 (Cayman Islands) | 400,000 | 393,690 | |
Palmer Square Loan Funding, Ltd. 144A FRB Ser. 22-2A, Class A2, (CME TERM SOFR 3 Month + 1.90%), 3.80%, 10/15/30 (Cayman Islands) ## | 1,368,000 | 1,366,798 | |
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (BBA LIBOR USD 3 Month + 1.00%), 2.063%, 10/20/31 (Cayman Islands) | 500,000 | 495,230 | |
Regatta XVIII Funding, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.10%), 2.144%, 1/15/34 | 750,000 | 739,395 | |
Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.16%), 2.204%, 10/15/34 (Cayman Islands) | 571,000 | 562,612 | |
Regatta XXIII Funding, Ltd. 144A FRB Ser. 21-4A, Class A1, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 1/20/35 (Cayman Islands) | 518,000 | 510,422 | |
RR, Ltd. 144A FRB Ser. 22-7A, Class A2B, (CME TERM SOFR 3 Month + 1.85%), 2.03%, 1/15/37 (Cayman Islands) | 1,685,000 | 1,670,497 | |
Sixth Street CLO XVI, Ltd. 144A FRB Ser. 20-16A, Class B, (BBA LIBOR USD 3 Month + 1.85%), 2.913%, 10/20/32 (Cayman Islands) | 1,053,000 | 1,053,066 |
Fixed Income Absolute Return Fund 33 |
COLLATERALIZED LOAN OBLIGATIONS (9.0%)* cont. | Principal amount | Value | |
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 2.233%, 7/20/34 (Cayman Islands) | $974,000 | $960,576 | |
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (BBA LIBOR USD 3 Month + 1.49%), 2.534%, 7/15/32 | 1,214,000 | 1,207,444 | |
Total collateralized loan obligations (cost $37,637,695) | $37,229,635 | ||
SENIOR LOANS (6.4%)*c | Principal amount | Value | |
Basic materials (0.6%) | |||
Quikrete Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.63%), 3.389%, 2/1/27 | $1,643,730 | $1,597,065 | |
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 10/1/25 | 758,645 | 746,947 | |
2,344,012 | |||
Capital goods (1.1%) | |||
Clarios Global LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.014%, 4/30/26 | 682,996 | 671,331 | |
Gardner Denver, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.514%, 2/28/27 | 703 | 693 | |
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.239%, 5/31/25 | 965,289 | 962,576 | |
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 3/28/25 | 403,091 | 393,453 | |
TransDigm, Inc. bank term loan FRN Ser. F, (BBA LIBOR USD 3 Month + 2.25%), 3.014%, 12/9/25 | 904,815 | 886,719 | |
TransDigm, Inc. bank term loan FRN Ser. E, (BBA LIBOR USD 3 Month + 2.25%), 3.014%, 5/30/25 | 244,761 | 240,049 | |
Vertiv Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.202%, 3/2/27 | 1,481,902 | 1,439,712 | |
4,594,533 | |||
Communication services (0.8%) | |||
Altice US Finance I Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 2.804%, 1/15/26 | 967,500 | 948,150 | |
Charter Communications Operating, LLC bank term loan FRN Ser. B2, (BBA LIBOR USD 3 Month + 1.75%), 2.52%, 2/1/27 | 732,822 | 723,208 | |
CSC Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 2.804%, 7/17/25 | 805,101 | 788,395 | |
Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 3.764%, 3/9/27 | 890,789 | 843,854 | |
3,303,607 | |||
Consumer cyclicals (2.0%) | |||
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 4.45%, 10/19/27 | 513,500 | 500,822 | |
Banijay Group US Holding, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.202%, 3/4/25 | 985,000 | 978,351 | |
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.804%, 4/12/28 | 787,050 | 736,876 | |
Entercom Media Corp. bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 2.50%), 3.249%, 11/17/24 | 777,215 | 759,246 | |
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 4.00%), 4.70%, 1/12/29 | 979,065 | 973,886 |
34 Fixed Income Absolute Return Fund |
SENIOR LOANS (6.4%)*c cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.375%, 6/21/26 | $639,438 | $631,445 | |
Reynolds Consumer Products, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 1.75%), 2.514%, 2/4/27 | 858,788 | 844,515 | |
Stars Group Holdings BV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 3.256%, 7/29/25 | 762,514 | 758,183 | |
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.264%, 12/17/26 | 1,034,263 | 1,018,377 | |
Univision Communications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 4.014%, 3/24/26 | 635,814 | 629,856 | |
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.006%, 7/24/24 | 476,686 | 470,132 | |
8,301,689 | |||
Consumer staples (0.4%) | |||
1011778 BC, ULC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.514%, 11/19/26 | 873,900 | 856,239 | |
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.294%, 6/21/24 | 714,375 | 677,356 | |
1,533,595 | |||
Energy (0.2%) | |||
Prairie ECI Acquiror LP bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.514%, 3/11/26 | 1,000,000 | 978,330 | |
978,330 | |||
Health care (0.5%) | |||
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.55%, 2/4/27 | 944,525 | 924,454 | |
Grifols Worldwide Operations USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.00%), 2.764%, 11/15/27 | 385,648 | 376,451 | |
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.278%, 6/30/25 | 623,436 | 621,684 | |
1,922,589 | |||
Technology (0.5%) | |||
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.514%, 10/2/25 | 715,992 | 706,419 | |
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.014%, 7/30/27 | 1,009,625 | 1,002,325 | |
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.764%, 12/1/27 | 478,938 | 477,141 | |
2,185,885 | |||
Utilities and power (0.3%) | |||
Calpine Construction Finance Co. LP bank term loan FRN (BBA LIBOR USD 3 Month + 2.00%), 2.764%, 1/15/25 | 775,575 | 765,074 | |
Vistra Operations Co., LLC bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 1.75%), 2.45%, 12/1/25 | 240,393 | 237,018 | |
1,002,092 | |||
Total senior loans (cost $26,606,744) | $26,166,332 | ||
Fixed Income Absolute Return Fund 35 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.8%)* | Principal amount | Value | |
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | $1,520,000 | $1,383,732 | |
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’Ivoire) | 2,645,000 | 2,430,094 | |
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Cote d’Ivoire) | 137,958 | 131,233 | |
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | 572,000 | 481,195 | |
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.40%, 6/5/49 (Dominican Republic) | 311,000 | 262,406 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) | 118,000 | 127,440 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 242,000 | 254,100 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 379,000 | 379,474 | |
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) | 1,090,000 | 988,774 | |
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) | 230,000 | 173,653 | |
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) | 600,000 | 514,498 | |
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) | 380,000 | 293,550 | |
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) | 1,194,000 | 1,181,690 | |
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) | 585,000 | 609,860 | |
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) | 300,000 | 309,376 | |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 310,000 | 316,980 | |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) | 1,290,000 | 1,294,832 | |
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) | 690,000 | 788,291 | |
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) | 420,000 | 400,583 | |
Kazakhstan (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.125%, 7/21/25 (Kazakhstan) | 560,000 | 584,284 | |
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | 535,000 | 528,313 | |
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) | 255,000 | 253,345 | |
Romania (Government of) 144A unsec. bonds 3.625%, 3/27/32 (Romania) | 1,000,000 | 860,710 | |
Senegal (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.75%, 3/13/48 (Senegal) | 635,000 | 505,619 | |
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) | 845,000 | 755,219 | |
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) | 255,000 | 262,905 |
36 Fixed Income Absolute Return Fund |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.8%)* cont. | Principal amount | Value | |
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) | $305,000 | $293,187 | |
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) | 1,090,000 | 743,925 | |
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) | 300,000 | 293,424 | |
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) | 2,140,000 | 1,793,149 | |
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) | 500,000 | 511,875 | |
Total foreign government and agency bonds and notes (cost $21,405,129) | $19,707,716 | ||
PURCHASED SWAP OPTIONS OUTSTANDING (1.5%)* | ||||
Counterparty Fixed right % to receive or (pay)/ Floating rate index/Maturity date | Expiration date/strike | Notional/ Contract amount | Value | |
Bank of America N.A. | ||||
0.485/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.485 | $28,084,300 | $14,042 | |
Goldman Sachs International | ||||
2.988/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 | 4,663,100 | 311,402 | |
(2.988)/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 | 4,663,100 | 297,506 | |
JPMorgan Chase Bank N.A. | ||||
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 | 4,467,000 | 317,068 | |
(2.795)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 | 4,467,000 | 310,769 | |
2.795/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 | 4,467,000 | 256,897 | |
2.7575/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 | 4,467,000 | 250,733 | |
Morgan Stanley & Co. International PLC | ||||
3.00/3 month USD-LIBOR-BBA/Feb-73 | Feb-48/3.00 | 3,450,300 | 473,174 | |
3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 | 3,450,300 | 457,199 | |
2.75/3 month USD-LIBOR-BBA/May-73 | May-48/2.75 | 3,450,300 | 409,930 | |
NatWest Markets PLC | ||||
(0.52)/6 month GBP-LIBOR-BBA/Sep-23 (United Kingdom) | Sep-22/0.52 | GBP | 53,602,900 | 1,230,778 |
UBS AG | ||||
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 8,745,700 | 763,105 |
(0.925)/6 month EUR-EURIBOR-Reuters/Mar-57 | Mar-27/0.925 | EUR | 3,027,000 | 653,228 |
0.925/6 month EUR-EURIBOR-Reuters/Mar-57 | Mar-27/0.925 | EUR | 3,027,000 | 326,710 |
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 8,745,700 | 33,400 |
Total purchased swap options outstanding (cost $4,310,696) | $6,105,941 | |||
CONVERTIBLE BONDS AND NOTES (1.0%)* | Principal amount | Value | |
Capital goods (—%) | |||
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26 | $44,000 | $41,426 | |
41,426 | |||
Communication services (0.1%) | |||
Cable One, Inc. company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 | 37,000 | 30,377 | |
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 104,000 | 89,180 | |
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 21,000 | 27,300 |
Fixed Income Absolute Return Fund 37 |
CONVERTIBLE BONDS AND NOTES (1.0%)* cont. | Principal amount | Value | |
Communication services cont. | |||
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 | $50,000 | $64,825 | |
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 | 175,000 | 167,825 | |
379,507 | |||
Consumer cyclicals (0.2%) | |||
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 53,000 | 43,222 | |
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 | 23,000 | 19,794 | |
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 | 44,000 | 61,160 | |
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 | 27,000 | 32,383 | |
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 | 43,000 | 28,574 | |
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 | 52,000 | 60,970 | |
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 | 73,000 | 77,490 | |
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 | 51,000 | 40,265 | |
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 | 20,000 | 27,526 | |
NCL Corp, Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 | 40,000 | 36,320 | |
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23 | 69,000 | 79,385 | |
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 | 49,000 | 47,138 | |
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 | 65,000 | 61,141 | |
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 | 20,000 | 21,370 | |
636,738 | |||
Consumer staples (0.1%) | |||
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | 75,000 | 68,738 | |
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 | 35,000 | 29,365 | |
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 | 36,000 | 30,735 | |
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 | 51,000 | 39,576 | |
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28 | 58,000 | 46,110 | |
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 39,000 | 30,050 | |
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 | 43,000 | 37,131 | |
Upwork, Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26 | 39,000 | 30,459 | |
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 | 35,000 | 26,132 | |
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 | 21,000 | 21,651 | |
359,947 | |||
Energy (0.1%) | |||
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 49,000 | 46,599 | |
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 | 46,000 | 101,246 | |
Sunrun, Inc. cv. sr. unsec. notes zero %, 2/1/26 | 33,000 | 25,245 | |
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 | 54,000 | 50,403 | |
223,493 | |||
Financials (—%) | |||
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23 R | 31,000 | 31,016 | |
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 | 43,000 | 28,836 | |
59,852 |
38 Fixed Income Absolute Return Fund |
CONVERTIBLE BONDS AND NOTES (1.0%)* cont. | Principal amount | Value | |
Health care (0.1%) | |||
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 | $36,000 | $36,990 | |
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 | 46,000 | 48,099 | |
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 | 70,000 | 56,280 | |
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 | 41,000 | 32,775 | |
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 | 80,000 | 68,650 | |
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 31,000 | 38,130 | |
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 | 38,000 | 43,073 | |
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) | 61,000 | 62,029 | |
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 | 48,000 | 33,072 | |
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 | 50,000 | 60,156 | |
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 | 26,000 | 28,938 | |
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 37,000 | 27,436 | |
535,628 | |||
Technology (0.4%) | |||
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 | 42,000 | 31,038 | |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 111,000 | 122,100 | |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 39,000 | 48,828 | |
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26 | 45,000 | 35,955 | |
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 | 48,000 | 40,680 | |
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27 | 44,000 | 37,070 | |
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 25,000 | 20,575 | |
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 | 33,000 | 43,544 | |
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 | 37,000 | 30,458 | |
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 74,000 | 60,162 | |
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) | 33,000 | 39,105 | |
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 | 18,000 | 26,766 | |
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 | 41,000 | 30,277 | |
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 37,000 | 31,797 | |
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 | 26,000 | 27,976 | |
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 | 42,000 | 34,414 | |
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 58,000 | 60,645 | |
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 | 17,000 | 30,430 | |
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 63,000 | 56,782 | |
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27 | 34,000 | 40,380 | |
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 35,000 | 67,095 | |
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 67,000 | 62,042 | |
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 | 42,000 | 36,057 | |
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 | 34,000 | 37,859 | |
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 | 48,000 | 40,224 | |
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 | 32,000 | 40,602 | |
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 | 49,000 | 38,882 | |
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 | 78,000 | 69,966 | |
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 36,000 | 29,313 |
Fixed Income Absolute Return Fund 39 |
CONVERTIBLE BONDS AND NOTES (1.0%)* cont. | Principal amount | Value | |
Technology cont. | |||
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | $44,000 | $41,558 | |
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 | 49,000 | 37,901 | |
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 27,000 | 32,214 | |
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28 | 42,000 | 42,000 | |
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 | 34,000 | 43,010 | |
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 | 20,000 | 29,690 | |
1,497,395 | |||
Transportation (—%) | |||
American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 | 22,000 | 30,679 | |
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 | 39,000 | 31,711 | |
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | 62,000 | 84,661 | |
147,051 | |||
Utilities and power (—%) | |||
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 | 56,000 | 54,236 | |
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 | 48,000 | 50,789 | |
105,025 | |||
Total convertible bonds and notes (cost $4,203,208) | $3,986,062 | ||
ASSET-BACKED SECURITIES (0.8%)* | Principal amount | Value | |
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $1,132,000 | $1,129,170 | |
Mello Warehouse Securitization Trust 144A | |||
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 1.468%, 11/25/53 | 403,200 | 403,200 | |
FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.70%), 1.157%, 2/25/55 | 414,000 | 414,000 | |
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 21-S1, Class A1, (1 Month US LIBOR + 0.50%), 0.988%, 9/10/22 | 779,000 | 777,960 | |
Station Place Securitization Trust 144A FRB Ser. 21-14, Class A1, (1 Month US LIBOR + 0.70%), 1.368%, 12/8/22 | 490,000 | 490,000 | |
Total asset-backed securities (cost $3,215,418) | $3,214,330 | ||
SHORT-TERM INVESTMENTS (23.0%)* | Principal amount/ shares | Value | |
Interest in $388,280,000 joint tri-party repurchase agreement dated 4/29/2022 with Citigroup Global Markets, Inc. due 5/2/2022 — maturity value of $71,229,840 for an effective yield of 0.310% (collateralized by Agency Mortgage-Backed Securities and U.S. Treasuries (including strips) with coupon rates ranging from 0.125% to 4.500% and due dates ranging from 10/15/2026 to 3/20/2052, valued at $396,045,665) | $71,228,000 | $71,228,000 | |
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.29% P | Shares | 3,020,000 | 3,020,000 |
Sumitomo Mitsui Trust Bank, Ltd./Singapore commercial paper 0.430%, 5/4/22 (Singapore) | $2,000,000 | 1,999,894 | |
U.S. Treasury Bills 0.562%, 6/21/22 ∆ § | 3,900,000 | 3,896,958 | |
U.S. Treasury Bills 0.448%, 6/14/22 § | 400,000 | 399,786 |
40 Fixed Income Absolute Return Fund |
SHORT-TERM INVESTMENTS (23.0%)* cont. | Principal amount | Value | |
U.S. Treasury Bills 0.444%, 6/16/22 # ∆ § | $2,800,000 | $2,798,445 | |
U.S. Treasury Bills 0.404%, 6/7/22 § | 200,000 | 199,917 | |
U.S. Treasury Bills 0.392%, 6/9/22 # ∆ § Φ | 4,400,000 | 4,397,983 | |
U.S. Treasury Bills 0.347%, 6/2/22 # ∆ § Φ | 6,100,000 | 6,098,265 | |
U.S. Treasury Bills 0.054%, 5/19/22 # ∆ Φ | 800,000 | 799,916 | |
Total short-term investments (cost $94,839,290) | $94,839,164 | ||
TOTAL INVESTMENTS | ||
Total investments (cost $883,189,531) | $854,072,674 | |
Key to holding’s currency abbreviations | |||
AUD | Australian Dollar | ||
CAD | Canadian Dollar | ||
CHF | Swiss Franc | ||
EUR | Euro | ||
GBP | British Pound | ||
JPY | Japanese Yen | ||
NOK | Norwegian Krone | ||
NZD | New Zealand Dollar | ||
SEK | Swedish Krona | ||
USD /$ | United States Dollar | ||
Key to holding’s abbreviations | |||
bp | Basis Points | ||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | ||
IO | Interest Only | ||
LIBOR | London Interbank Offered Rate | ||
OTC | Over-the-counter | ||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | ||
SOFR | Secured Overnight Financing Rate | ||
TBA | To Be Announced Commitments | ||
Notes to the fund’s portfolio | |||
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from November 1, 2021 through April 30, 2022 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |||
* | Percentages indicated are based on net assets of $411,699,996. | ||
† | This security is non-income-producing. |
Fixed Income Absolute Return Fund 41 |
# | 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 $1,005,601 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
∆ | 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 $11,590,485 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
Φ | 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 $1,344,562 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
§ | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,582,728 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
## | Forward commitment, in part or in entirety (Note 1). | ||
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 (Notes 1 and 7). | ||
i | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1). | ||
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. | ||
W | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | ||
At the close of the reporting period, the fund maintained liquid assets totaling $263,660,580 to cover certain derivative contracts and delayed delivery securities. | |||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | |||
Debt obligations are considered secured unless otherwise indicated. | |||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||
See Note 1 to the financial statements regarding TBA commitments. | |||
The dates shown on debt obligations are the original maturity dates. | |||
FORWARD CURRENCY CONTRACTS at 4/30/22 (aggregate face value $44,765,423) (Unaudited) | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Bank of America N.A. | ||||||
British Pound | Buy | 6/15/22 | $5,281 | $5,534 | $(253) | |
Japanese Yen | Sell | 5/18/22 | 492 | 555 | 63 | |
Norwegian Krone | Buy | 6/15/22 | 9,842 | 10,575 | (733) | |
Swedish Krona | Sell | 6/15/22 | 233,891 | 243,796 | 9,905 | |
Barclays Bank PLC | ||||||
British Pound | Sell | 6/15/22 | 204,846 | 215,915 | 11,069 | |
Euro | Sell | 6/15/22 | 59,616 | 61,408 | 1,792 |
42 Fixed Income Absolute Return Fund |
FORWARD CURRENCY CONTRACTS at 4/30/22 (aggregate face value $44,765,423) (Unaudited) cont. | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Barclays Bank PLC cont. | ||||||
Norwegian Krone | Buy | 6/15/22 | $1,237 | $1,292 | $(55) | |
Swiss Franc | Buy | 6/15/22 | 1,216,812 | 1,289,302 | (72,490) | |
Citibank, N.A. | ||||||
Swedish Krona | Sell | 6/15/22 | 2,488 | 2,517 | 29 | |
Credit Suisse International | ||||||
Swiss Franc | Buy | 6/15/22 | 197,290 | 205,513 | (8,223) | |
Goldman Sachs International | ||||||
Norwegian Krone | Sell | 6/15/22 | 134,065 | 140,547 | 6,482 | |
Swiss Franc | Buy | 6/15/22 | 2,203,987 | 2,334,334 | (130,347) | |
HSBC Bank USA, National Association | ||||||
Australian Dollar | Sell | 7/20/22 | 29,786 | 30,639 | 853 | |
British Pound | Sell | 6/15/22 | 2,497,634 | 2,657,808 | 160,174 | |
New Zealand Dollar | Sell | 7/20/22 | 60,136 | 63,091 | 2,955 | |
Norwegian Krone | Sell | 6/15/22 | 25,772 | 27,487 | 1,715 | |
Swedish Krona | Sell | 6/15/22 | 3,018 | 3,119 | 101 | |
JPMorgan Chase Bank N.A. | ||||||
British Pound | Buy | 6/15/22 | 1,635 | 1,722 | (87) | |
Euro | Sell | 6/15/22 | 948,999 | 990,454 | 41,455 | |
Norwegian Krone | Buy | 6/15/22 | 25,292 | 27,145 | (1,853) | |
Swedish Krona | Buy | 6/15/22 | 19,076 | 20,203 | (1,127) | |
Swiss Franc | Sell | 6/15/22 | 57,281 | 60,189 | 2,908 | |
Morgan Stanley & Co. International PLC | ||||||
Australian Dollar | Sell | 7/20/22 | 75,562 | 78,913 | 3,351 | |
British Pound | Buy | 6/15/22 | 32,191 | 34,398 | (2,207) | |
Canadian Dollar | Sell | 7/20/22 | 59,921 | 59,953 | 32 | |
Euro | Sell | 6/15/22 | 78,643 | 84,008 | 5,365 | |
New Zealand Dollar | Sell | 7/20/22 | 1,950,282 | 2,120,021 | 169,739 | |
Norwegian Krone | Sell | 6/15/22 | 70,941 | 72,269 | 1,328 | |
Swedish Krona | Sell | 6/15/22 | 199,890 | 197,992 | (1,898) | |
Swiss Franc | Buy | 6/15/22 | 39,770 | 40,403 | (633) | |
NatWest Markets PLC | ||||||
British Pound | Buy | 6/15/22 | 154,294 | 162,237 | (7,943) | |
Euro | Sell | 6/15/22 | 2,351,145 | 2,475,968 | 124,823 | |
Norwegian Krone | Buy | 6/15/22 | 8,562 | 9,119 | (557) | |
Swedish Krona | Buy | 6/15/22 | 23,532 | 23,935 | (403) | |
Swiss Franc | Buy | 6/15/22 | 2,577 | 2,683 | (106) | |
State Street Bank and Trust Co. | ||||||
Australian Dollar | Sell | 7/20/22 | 2,086,099 | 2,255,243 | 169,144 | |
British Pound | Sell | 6/15/22 | 58,976 | 64,067 | 5,091 | |
Canadian Dollar | Sell | 7/20/22 | 3,160,715 | 3,250,091 | 89,376 | |
Euro | Sell | 6/15/22 | 2,516,782 | 2,637,955 | 121,173 | |
Japanese Yen | Sell | 5/18/22 | 2,918,358 | 3,119,224 | 200,866 | |
New Zealand Dollar | Buy | 7/20/22 | 23,938 | 25,033 | (1,095) | |
Norwegian Krone | Sell | 6/15/22 | 426,678 | 450,184 | 23,506 |
Fixed Income Absolute Return Fund 43 |
FORWARD CURRENCY CONTRACTS at 4/30/22 (aggregate face value $44,765,423) (Unaudited) cont. | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
State Street Bank and Trust Co. cont. | ||||||
Swedish Krona | Sell | 6/15/22 | $1,102,383 | $1,114,785 | $12,402 | |
Swiss Franc | Buy | 6/15/22 | 3,162,417 | 3,299,823 | (137,406) | |
Toronto-Dominion Bank | ||||||
British Pound | Buy | 6/15/22 | 15,341 | 15,372 | (31) | |
Canadian Dollar | Sell | 7/20/22 | 651,038 | 669,996 | 18,958 | |
Euro | Sell | 6/15/22 | 30,337 | 30,390 | 53 | |
Japanese Yen | Buy | 5/18/22 | 3,186,568 | 3,577,878 | (391,310) | |
Norwegian Krone | Sell | 6/15/22 | 387,257 | 408,119 | 20,862 | |
Swedish Krona | Sell | 6/15/22 | 645,854 | 653,839 | 7,985 | |
UBS AG | ||||||
British Pound | Buy | 6/15/22 | 14,210 | 14,818 | (608) | |
Canadian Dollar | Sell | 7/20/22 | 34,785 | 35,415 | 630 | |
Euro | Buy | 6/15/22 | 8,985 | 9,481 | (496) | |
Japanese Yen | Buy | 5/18/22 | 6,523,018 | 7,412,950 | (889,932) | |
Norwegian Krone | Buy | 6/15/22 | 270,999 | 283,870 | (12,871) | |
Swedish Krona | Buy | 6/15/22 | 409,567 | 404,963 | 4,604 | |
Swiss Franc | Sell | 6/15/22 | 259,725 | 273,261 | 13,536 | |
WestPac Banking Corp. | ||||||
Australian Dollar | Sell | 7/20/22 | 19,598 | 19,631 | 33 | |
Japanese Yen | Sell | 5/18/22 | 930,320 | 961,207 | 30,887 | |
New Zealand Dollar | Buy | 7/20/22 | 22,326 | 22,784 | (458) | |
Unrealized appreciation | 1,263,245 | |||||
Unrealized (depreciation) | (1,663,122) | |||||
Total | $(399,877) | |||||
* The exchange currency for all contracts listed is the United States Dollar. | ||||||
FUTURES CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
U.S. Treasury Note 2 yr (Short) | 779 | $164,222,938 | $164,222,938 | Jun-22 | $2,925,583 | |
U.S. Treasury Note Ultra 10 yr (Short) | 19 | 2,451,000 | 2,451,000 | Jun-22 | 217,418 | |
Unrealized appreciation | 3,143,001 | |||||
Unrealized (depreciation) | — | |||||
Total | $3,143,001 | |||||
44 Fixed Income Absolute Return Fund |
WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/22 (premiums $9,119,706) (Unaudited) | ||||
Counterparty Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date | Expiration date/strike | Notional/Contract amount | Value | |
Bank of America N.A. | ||||
0.985/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.985 | $28,084,300 | $621,786 | |
Citibank, N.A. | ||||
(1.865)/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 | 5,613,600 | 184,238 | |
1.865/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 | 5,613,600 | 614,465 | |
2.395/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/2.395 | 19,198,900 | 1,413,423 | |
Goldman Sachs International | ||||
(1.448)/Sterling Overnight Index Average/Feb-39 | Feb-29/1.448 | GBP | 3,028,000 | 215,089 |
1.448/Sterling Overnight Index Average/Feb-39 | Feb-29/1.448 | GBP | 3,028,000 | 290,821 |
JPMorgan Chase Bank N.A. | ||||
(0.968)/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 | $2,082,300 | 18,054 | |
(1.07)/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 | 3,327,300 | 30,844 | |
1.07/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 | 3,327,300 | 283,519 | |
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 6,661,600 | 305,000 |
0.968/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 | $2,082,300 | 350,722 | |
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 6,661,600 | 542,324 |
3.229/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 | $16,410,700 | 614,909 | |
(3.229)/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 | 16,410,700 | 934,425 | |
Morgan Stanley & Co. International PLC | ||||
(1.512)/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 5,643,600 | 2,145 | |
3.01/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 2,395,100 | 137,838 | |
2.97/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 2,395,100 | 140,832 | |
(2.97)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 2,395,100 | 144,353 | |
(3.01)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 2,395,100 | 148,640 | |
(3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 | 3,450,300 | 290,860 | |
(2.75)/3 month USD-LIBOR-BBA/May-49 | May-25/2.75 | 3,450,300 | 348,377 | |
(3.00)/3 month USD-LIBOR-BBA/Jan-49 | Jan-24/3.00 | 3,450,300 | 371,459 | |
1.512/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 5,643,600 | 744,334 | |
NatWest Markets PLC | ||||
0.84/Sterling Overnight Index Average/Sep-23 | Sep-22/0.84 | GBP | 53,602,900 | 1,023,851 |
0.68/Sterling Overnight Index Average/Sep-23 | Sep-22/0.68 | GBP | 53,602,900 | 1,126,978 |
Toronto-Dominion Bank | ||||
(1.17)/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 | $306,100 | 7,870 | |
1.17/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 | 612,300 | 188,239 | |
UBS AG | ||||
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 6,511,700 | 195,807 | |
1.9875/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 6,511,700 | 681,450 | |
Total | $11,972,652 | |||
Fixed Income Absolute Return Fund 45 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Bank of America N.A. | ||||||
(1.39)/SOFR/Dec-26 (Purchased) | Dec-24/1.39 | $52,095,000 | $(599,093) | $1,009,080 | ||
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) | May-22/0.305 | 45,233,000 | (54,280) | 968,439 | ||
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased) | Oct-24/2.485 | 10,016,500 | (604,496) | 675,112 | ||
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.925 | 6,653,800 | (476,412) | 670,437 | ||
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) | May-22/2.2875 | 9,046,600 | (117,606) | 433,151 | ||
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.85 | 3,388,500 | (247,361) | 352,302 | ||
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) | Mar-30/1.275 | 2,999,900 | (390,737) | 326,569 | ||
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) | May-22/2.2275 | 37,416,800 | (345,170) | 278,755 | ||
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) | Jan-28/1.76 | 27,074,600 | (174,970) | 232,029 | ||
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 3,163,500 | (256,339) | 225,604 | |
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) | Jun-22/2.3075 | $2,249,900 | (50,902) | 168,810 | ||
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,673,000 | (381,566) | 129,228 | |
(2.94)/SOFR/Apr-25 (Purchased) | Apr-23/2.94 | $47,436,800 | (507,574) | 86,809 | ||
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) | Apr-26/2.35 | 127,500 | (16,575) | 3,666 | ||
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) | Apr-26/2.35 | 127,500 | (16,575) | (2,074) | ||
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) | Jan-28/1.76 | 27,074,600 | (174,970) | (31,948) | ||
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,673,000 | (381,566) | (46,471) | |
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.85 | $3,388,500 | (247,361) | (144,520) | ||
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 3,163,500 | (512,677) | (148,378) | |
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) | Mar-24/2.29 | $7,876,800 | (387,426) | (178,410) | ||
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) | Mar-30/1.275 | 2,999,900 | (390,737) | (201,053) | ||
1.39/SOFR/Dec-26 (Purchased) | Dec-24/1.39 | 52,095,000 | (599,093) | (256,828) | ||
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.925 | 6,653,800 | (476,412) | (270,277) | ||
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) | May-22/2.2275 | 37,416,800 | (345,170) | (341,615) | ||
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) | Apr-24/2.17 | 22,505,100 | (1,086,996) | (530,220) |
46 Fixed Income Absolute Return Fund |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Bank of America N.A. cont. | ||||||
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) | Jun-22/2.3075 | $2,249,900 | $(1,057,849) | $(1,042,356) | ||
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) | Apr-24/1.085 | 45,010,100 | 617,764 | 312,370 | ||
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) | Mar-24/1.29 | 11,252,500 | 175,539 | 86,194 | ||
(2.272)/SOFR/Apr-42 (Written) | Apr-32/2.272 | 6,054,500 | 504,340 | 62,604 | ||
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) | Jan-25/1.115 | 27,074,600 | 114,052 | 53,878 | ||
2.272/SOFR/Apr-42 (Written) | Apr-32/2.272 | 6,054,500 | 504,340 | (73,199) | ||
3.69/SOFR/Apr-25 (Written) | Apr-23/3.69 | 94,873,700 | 531,293 | (84,438) | ||
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) | May-22/1.7875 | 4,523,300 | 126,652 | (345,399) | ||
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) | Jan-25/1.115 | 27,074,600 | 114,052 | (413,700) | ||
0.805/3 month USD-LIBOR-BBA/May-23 (Written) | May-22/0.805 | 90,466,100 | 29,401 | (1,570,492) | ||
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written) | Oct-23/2.415 | 31,051,100 | 655,954 | (1,592,921) | ||
Barclays Bank PLC | ||||||
(2.232)/3 month USD-LIBOR-BBA/Jun-51 (Purchased) | Jun-31/2.232 | 3,001,900 | (363,680) | 95,791 | ||
2.232/3 month USD-LIBOR-BBA/Jun-51 (Purchased) | Jun-31/2.232 | 3,001,900 | (363,680) | (44,578) | ||
Citibank, N.A. | ||||||
(1.752)/3 month USD-LIBOR-BBA/Dec-31 (Purchased) | Dec-26/1.752 | 32,953,000 | (1,074,268) | 1,163,900 | ||
(1.648)/SOFR/Sep-32 (Purchased) | Sep-22/1.648 | 11,120,700 | (271,901) | 842,949 | ||
(1.75)/SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 5,473,600 | (409,699) | 548,236 | ||
(1.724)/SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 4,497,300 | (339,321) | 467,045 | ||
(1.735)/SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 4,414,500 | (326,342) | 457,342 | ||
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased) | Sep-22/2.194 | 3,798,200 | (93,160) | 396,912 | ||
(2.31)/SOFR/Jun-32 (Purchased) | Jun-22/2.31 | 17,855,600 | (383,003) | 370,504 | ||
(1.826)/SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 6,581,000 | (486,007) | 251,526 | ||
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) | Jun-26/1.90 | 15,499,500 | (206,608) | 218,078 | ||
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) | Nov-22/1.102 | 1,348,000 | (42,833) | 183,180 | ||
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) | Jan-41/1.625 | 2,670,500 | (393,899) | 80,088 | ||
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) | Jun-31/2.427 | 2,929,600 | (213,421) | 71,687 | ||
(2.725)/SOFR/Jul-32 (Purchased) | Jul-22/2.725 | 17,157,900 | (350,021) | 14,756 | ||
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.689 | 1,026,000 | (132,098) | (17,360) |
Fixed Income Absolute Return Fund 47 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Citibank, N.A. cont. | ||||||
2.725/SOFR/Jul-32 (Purchased) | Jul-22/2.725 | $17,157,900 | $(350,021) | $(21,447) | ||
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) | Jun-31/2.427 | 2,929,600 | (213,421) | (24,140) | ||
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.689 | 1,026,000 | (132,098) | (27,887) | ||
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) | Jan-41/1.625 | 2,670,500 | (393,899) | (28,735) | ||
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) | Nov-22/1.102 | 1,348,000 | (42,833) | (41,640) | ||
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) | Jun-26/1.90 | 15,499,500 | (206,608) | (48,668) | ||
1.826/SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 6,581,000 | (486,007) | (111,021) | ||
1.735/SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 4,414,500 | (326,342) | (227,700) | ||
1.724/SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 4,497,300 | (339,321) | (241,010) | ||
1.648/SOFR/Sep-32 (Purchased) | Sep-22/1.648 | 11,120,700 | (271,901) | (254,664) | ||
1.75/SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 5,473,600 | (409,699) | (284,901) | ||
0.555/6 month EUR-EURIBOR-Reuters/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 63,411,800 | (400,007) | (290,330) | |
2.31/SOFR/Jun-32 (Purchased) | Jun-22/2.31 | $17,855,600 | (383,003) | (298,367) | ||
1.752/3 month USD-LIBOR-BBA/Dec-31 (Purchased) | Dec-26/1.752 | 32,953,000 | (1,074,268) | (424,435) | ||
1.5625/SOFR/Jun-32 (Purchased) | Jun-22/1.5625 | 42,682,800 | (825,912) | (824,205) | ||
(1.3125)/SOFR/Jun-32 (Written) | Jun-22/1.3125 | 42,682,800 | 426,828 | 426,401 | ||
(0.055)/6 month EUR-EURIBOR-Reuters/Mar-25 (Written) | Mar-24/0.055 | EUR | 126,823,600 | 406,903 | 303,709 | |
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) | Aug-22/1.245 | $26,191,800 | 239,655 | 237,560 | ||
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) | Jun-23/1.194 | 15,499,500 | 117,486 | 99,662 | ||
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) | Jan-31/1.918 | 3,214,400 | 384,442 | 99,068 | ||
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) | Jul-30/1.177 | 1,298,500 | 98,426 | 51,836 | ||
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) | Jul-30/1.177 | 1,298,500 | 98,426 | (107,230) | ||
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) | Jan-31/1.918 | 3,214,400 | 384,442 | (184,153) | ||
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) | Jun-23/1.194 | 15,499,500 | 117,486 | (516,753) | ||
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) | Aug-22/1.245 | 26,191,800 | 239,655 | (802,255) | ||
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written) | Sep-22/1.7075 | 18,231,300 | 96,626 | (1,100,624) | ||
1.8125/SOFR/Jun-32 (Written) | Jun-22/1.8125 | 42,682,800 | 426,828 | (3,093,649) |
48 Fixed Income Absolute Return Fund |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Deutsche Bank AG | ||||||
(1.724)/SOFR/Jan-47 (Purchased) | Jan-37/1.724 | $8,226,300 | $(679,081) | $209,771 | ||
2.235/SOFR/Jul-32 (Purchased) | Jul-22/2.235 | 14,512,000 | (81,993) | (8,272) | ||
1.724/SOFR/Jan-47 (Purchased) | Jan-37/1.724 | 8,226,300 | (679,081) | (89,584) | ||
(2.135)/SOFR/Mar-42 (Written) | Mar-32/2.135 | 6,981,100 | 586,761 | 105,345 | ||
3.235/SOFR/Jul-32 (Written) | Jul-22/3.235 | 14,512,000 | 103,398 | 2,757 | ||
2.135/SOFR/Mar-42 (Written) | Mar-32/2.135 | 6,981,100 | 586,761 | (115,956) | ||
Goldman Sachs International | ||||||
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) | Jun-23/-0.197 | EUR | 21,762,600 | (96,687) | 804,005 | |
(1.769)/SOFR/May-32 (Purchased) | May-22/1.769 | $8,032,900 | (124,430) | 557,323 | ||
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/1.727 | 1,847,900 | (276,261) | 152,710 | ||
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) | Mar-27/2.8175 | 1,042,500 | (131,616) | (9,122) | ||
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) | Mar-27/2.8175 | 1,042,500 | (131,616) | (14,428) | ||
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/1.727 | 1,847,900 | (169,452) | (73,768) | ||
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) | Jun-23/-0.197 | EUR | 21,762,600 | (96,687) | (77,370) | |
1.769/SOFR/May-32 (Purchased) | May-22/1.769 | $8,032,900 | (124,430) | (124,430) | ||
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) | Jun-26/0.26 | EUR | 21,762,600 | 242,691 | 126,731 | |
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 2,772,400 | 418,666 | 116,727 | |
(1.71)/3 month USD-LIBOR-BBA/Dec-56 (Written) | Dec-26/1.71 | $1,536,800 | 208,083 | 87,137 | ||
1.71/3 month USD-LIBOR-BBA/Dec-56 (Written) | Dec-26/1.71 | 1,536,800 | 208,083 | (156,262) | ||
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 2,772,400 | 418,666 | (234,886) | |
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) | Jun-26/0.26 | EUR | 21,762,600 | 242,691 | (545,722) | |
2.41/3 month USD-LIBOR-BBA/Aug-33 (Written) | Aug-23/2.41 | $10,720,000 | 156,512 | (612,862) | ||
2.07/3 month USD-LIBOR-BBA/Aug-33 (Written) | Aug-23/2.07 | 8,910,200 | 184,441 | (641,089) | ||
JPMorgan Chase Bank N.A. | ||||||
(1.805)/3 month USD-LIBOR-BBA/Dec-36 (Purchased) | Dec-26/1.805 | 5,151,200 | (305,466) | 321,898 | ||
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 3,080,500 | (115,473) | 219,655 | |
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 1,475,600 | (87,270) | 204,388 | |
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 2,049,600 | (63,945) | 181,163 |
Fixed Income Absolute Return Fund 49 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
JPMorgan Chase Bank N.A. cont. | ||||||
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/2.032 | $2,348,200 | $(271,217) | $168,836 | ||
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,708,400 | (168,430) | 164,495 | |
(1.905)/SOFR/Jan-42 (Purchased) | Jan-32/1.905 | $3,402,800 | (248,404) | 121,072 | ||
(1.544)/SOFR/Jan-62 (Purchased) | Jan-32/1.544 | 1,276,100 | (214,385) | 69,994 | ||
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,621,600 | (207,376) | 65,024 | |
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) | Nov-29/2.50 | $1,709,900 | (98,832) | 4,805 | ||
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) | Nov-29/2.50 | 1,709,900 | (177,830) | (6,173) | ||
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.902 | 1,026,000 | (110,090) | (14,282) | ||
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,621,600 | (207,376) | (19,947) | |
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.902 | $1,026,000 | (158,620) | (32,853) | ||
1.544/SOFR/Jan-62 (Purchased) | Jan-32/1.544 | 1,276,100 | (214,385) | (48,109) | ||
1.905/SOFR/Jan-42 (Purchased) | Jan-32/1.905 | 3,402,800 | (248,404) | (48,524) | ||
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 2,049,600 | (63,945) | (54,885) | |
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,708,400 | (168,430) | (69,216) | |
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 1,475,600 | (87,270) | (72,856) | |
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 3,080,500 | (115,473) | (77,963) | |
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/2.032 | $2,348,200 | (271,217) | (106,585) | ||
1.805/3 month USD-LIBOR-BBA/Dec-36 (Purchased) | Dec-26/1.805 | 5,151,200 | (305,466) | (133,210) | ||
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.232 | 4,169,500 | 267,890 | 160,317 | ||
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.168 | 3,594,800 | 231,325 | 141,563 | ||
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) | Jun-30/1.204 | 3,306,200 | 246,477 | 127,652 | ||
(1.70)/SOFR/Jan-29 (Written) | Jan-24/1.70 | 10,683,100 | 227,951 | 111,211 | ||
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) | Nov-22/2.50 | AUD | 1,679,200 | 60,611 | 54,113 | |
(2.317)/SOFR/Apr-42 (Written) | Apr-32/2.317 | $4,541,400 | 384,657 | 45,414 | ||
(1.81)/SOFR/Jan-37 (Written) | Jan-27/1.81 | 1,876,300 | 110,889 | 36,213 | ||
2.317/SOFR/Apr-42 (Written) | Apr-32/2.317 | 4,541,400 | 384,657 | (42,689) | ||
1.81/SOFR/Jan-37 (Written) | Jan-27/1.81 | 1,876,300 | 110,889 | (93,834) |
50 Fixed Income Absolute Return Fund |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
JPMorgan Chase Bank N.A. cont. | ||||||
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) | Nov-22/2.50 | AUD | 1,679,200 | $60,611 | $(138,125) | |
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) | Jun-30/1.204 | $3,306,200 | 246,477 | (271,637) | ||
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.168 | 3,594,800 | 231,325 | (345,568) | ||
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.232 | 4,169,500 | 267,890 | (384,761) | ||
1.70/SOFR/Jan-29 (Written) | Jan-24/1.70 | 10,683,100 | 227,951 | (396,129) | ||
Morgan Stanley & Co. International PLC | ||||||
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) | Oct-23/3.27 | 1,569,900 | (179,126) | 79,814 | ||
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.505 | 1,026,000 | (110,398) | (22,726) | ||
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.505 | 1,026,000 | (157,183) | (23,649) | ||
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) | Oct-23/3.27 | 1,569,900 | (179,126) | (98,119) | ||
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) | Jun-24/2.39 | 12,167,200 | 640,603 | 252,104 | ||
(2.02)/SOFR/Mar-56 (Written) | Mar-26/2.02 | 4,661,600 | 611,835 | 106,657 | ||
2.02/SOFR/Mar-56 (Written) | Mar-26/2.02 | 4,661,600 | 611,835 | (161,105) | ||
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) | Jun-24/2.39 | 12,167,200 | 640,603 | (330,096) | ||
Toronto-Dominion Bank | ||||||
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) | Feb-23/1.50 | 9,305,500 | (319,877) | 931,388 | ||
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) | Feb-26/1.937 | 3,722,200 | (194,671) | 220,726 | ||
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) | Mar-31/2.405 | 1,097,000 | (76,516) | 30,595 | ||
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) | Mar-31/2.405 | 1,097,000 | (76,516) | (7,745) | ||
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) | Feb-26/1.937 | 3,722,200 | (194,671) | (75,784) | ||
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) | Feb-23/1.50 | 9,305,500 | (319,877) | (294,612) | ||
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) | Feb-26/2.095 | 1,607,700 | 211,413 | 62,507 | ||
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) | Feb-26/2.095 | 1,607,700 | 211,413 | (88,761) | ||
UBS AG | ||||||
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 5,959,500 | (311,690) | 789,581 | |
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 4,469,600 | (350,650) | 419,417 |
Fixed Income Absolute Return Fund 51 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
UBS AG cont. | ||||||
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-23/0.8925 | $4,373,100 | $(92,710) | $349,848 | ||
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) | Jan-31/0.45 | EUR | 3,575,700 | (281,282) | 332,858 | |
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) | Feb-23/1.715 | $1,861,100 | (167,964) | 244,139 | ||
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) | Apr-25/0.902 | 1,749,300 | (97,873) | 212,522 | ||
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-27/0.87 | 14,577,100 | (98,323) | 202,476 | ||
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 1,489,900 | (225,445) | 181,398 | |
(0.90)/Sterling Overnight Index Average/Jan-40 (Purchased) | Jan-30/0.90 | GBP | 2,928,000 | (276,378) | 153,568 | |
(1.125)/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased) | Apr-28/1.125 | EUR | 3,027,400 | (399,175) | 142,186 | |
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) | Apr-30/0.983 | $5,830,900 | (92,420) | 134,519 | ||
(1.25)/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased) | Apr-28/1.25 | EUR | 3,027,300 | (394,076) | 106,987 | |
(0.4879)/Sterling Overnight Index Average/Aug-39 (Purchased) | Aug-29/0.4879 | GBP | 1,253,600 | (129,210) | 90,671 | |
(1.87)/3 month USD-LIBOR-BBA/Jul-46 (Purchased) | Jul-41/1.87 | $6,228,800 | (289,639) | 76,241 | ||
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,683,700 | (142,840) | 60,184 | |
(1.325)/6 month EUR-EURIBOR-Reuters/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 3,027,100 | (419,688) | 57,099 | |
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 1,513,600 | (346,775) | 41,867 | |
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 1,513,600 | (351,844) | 37,748 | |
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 2,119,200 | (128,674) | 5,959 | |
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 2,119,200 | (128,674) | (2,156) | |
1.87/3 month USD-LIBOR-BBA/Jul-46 (Purchased) | Jul-41/1.87 | $6,228,800 | (289,639) | (13,454) | ||
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,683,700 | (142,840) | (25,503) | |
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) | Apr-30/0.983 | $5,830,900 | (92,420) | (46,297) | ||
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-27/0.87 | 14,577,100 | (98,323) | (53,061) | ||
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 1,513,600 | (346,775) | (57,196) |
52 Fixed Income Absolute Return Fund |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
UBS AG cont. | ||||||
0.4879/Sterling Overnight Index Average/Aug-39 (Purchased) | Aug-29/0.4879 | GBP | 1,253,600 | $(129,210) | $(60,862) | |
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 1,513,600 | (351,844) | (61,332) | |
1.325/6 month EUR-EURIBOR-Reuters/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 3,027,100 | (419,688) | (66,934) | |
0.90/Sterling Overnight Index Average/Jan-40 (Purchased) | Jan-30/0.90 | GBP | 2,928,000 | (276,378) | (75,735) | |
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) | Apr-25/0.902 | $1,749,300 | (97,873) | (75,745) | ||
1.25/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased) | Apr-28/1.25 | EUR | 3,027,300 | (394,076) | (87,698) | |
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-23/0.8925 | $4,373,100 | (92,710) | (88,205) | ||
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 1,489,900 | (225,445) | (92,750) | |
1.125/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased) | Apr-28/1.125 | EUR | 3,027,400 | (399,175) | (115,965) | |
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) | Jan-31/0.45 | EUR | 3,575,700 | (281,282) | (128,141) | |
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) | Feb-23/1.715 | $1,861,100 | (167,964) | (144,756) | ||
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 4,469,600 | (350,650) | (160,176) | |
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 5,959,500 | (311,690) | (201,246) | |
0.32/6 month EUR-EURIBOR-Reuters/Sep-52 (Purchased) | Sep-22/0.32 | EUR | 5,367,400 | (326,255) | (269,471) | |
(0.16)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) | Sep-22/0.16 | EUR | 5,367,400 | 214,708 | 175,872 | |
(0.00)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) | Sep-22/0.00 | EUR | 5,367,400 | 139,179 | 112,681 | |
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) | May-25/0.958 | $3,498,500 | 92,973 | 64,162 | ||
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 1,166,100 | 93,485 | 57,671 | |
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 1,166,100 | 93,485 | (107,837) | |
0.958/3 month USD-LIBOR-BBA/May-30 (Written) | May-25/0.958 | $3,498,500 | 92,973 | (229,467) | ||
Wells Fargo Bank, N.A. | ||||||
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.405 | 13,027,600 | (266,740) | 733,193 | ||
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.3875 | 9,305,500 | (190,995) | 529,390 | ||
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) | Feb-25/2.16 | 5,505,200 | (274,572) | 252,303 |
Fixed Income Absolute Return Fund 53 |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | ||||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation) | ||
Wells Fargo Bank, N.A. cont. | ||||||
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) | Jan-31/1.96 | $5,047,000 | $(341,682) | $244,729 | ||
(1.8225)/SOFR/Jan-42 (Purchased) | Jan-32/1.8225 | 2,467,900 | (182,131) | 94,767 | ||
1.8225/SOFR/Jan-42 (Purchased) | Jan-32/1.8225 | 2,467,900 | (182,131) | (41,757) | ||
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) | Jan-31/1.96 | 5,047,000 | (341,682) | (88,121) | ||
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) | Feb-25/2.16 | 5,505,200 | (274,572) | (100,305) | ||
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.3875 | 9,305,500 | (190,995) | (132,883) | ||
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.405 | 13,027,600 | (266,740) | (183,819) | ||
(1.62)/SOFR/Jan-27 (Written) | Jan-25/1.62 | 18,920,500 | 208,126 | 57,897 | ||
1.62/SOFR/Jan-27 (Written) | Jan-25/1.62 | 18,920,500 | 208,126 | (319,000) | ||
Unrealized appreciation | 24,461,310 | |||||
Unrealized (depreciation) | (25,483,617) | |||||
Total | $(1,022,307) | |||||
TBA SALE COMMITMENTS OUTSTANDING at 4/30/22 (proceeds receivable $348,856,191) (Unaudited) | |||
Agency | Principal amount | Settlement date | Value |
Uniform Mortgage-Backed Securities, 4.50%, 5/1/52 | $18,000,000 | 5/12/22 | $18,312,196 |
Uniform Mortgage-Backed Securities, 4.00%, 6/1/52 | 15,000,000 | 6/13/22 | 14,864,061 |
Uniform Mortgage-Backed Securities, 4.00%, 5/1/52 | 80,000,000 | 5/12/22 | 79,528,120 |
Uniform Mortgage-Backed Securities, 3.50%, 6/1/52 | 11,000,000 | 6/13/22 | 10,638,624 |
Uniform Mortgage-Backed Securities, 3.50%, 5/1/52 | 55,000,000 | 5/12/22 | 53,328,468 |
Uniform Mortgage-Backed Securities, 3.00%, 5/1/52 | 26,000,000 | 5/12/22 | 24,511,071 |
Uniform Mortgage-Backed Securities, 2.50%, 6/1/52 | 47,000,000 | 6/13/22 | 42,792,024 |
Uniform Mortgage-Backed Securities, 2.50%, 5/1/52 | 47,000,000 | 5/12/22 | 42,880,149 |
Uniform Mortgage-Backed Securities, 2.00%, 6/1/52 | 26,000,000 | 6/13/22 | 22,883,458 |
Uniform Mortgage-Backed Securities, 2.00%, 5/1/52 | 39,000,000 | 5/12/22 | 34,392,219 |
Total | $344,130,390 | ||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$15,664,000 | $497,332 | $757 | 12/23/23 | 0.695% — Annually | Secured Overnight Financing Rate — Annually | $465,925 | |
11,952,000 | 870,942 | 1,027 | 12/23/26 | 1.085% — Annually | Secured Overnight Financing Rate — Annually | 830,721 |
54 Fixed Income Absolute Return Fund |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$2,726,000 | $329,192 | $329 | 12/23/31 | 1.285% — Annually | Secured Overnight Financing Rate — Annually | $318,160 | |
1,863,000 | 402,259 | (3,317) | 12/23/51 | Secured Overnight Financing Rate — Annually | 1.437% — Annually | (396,797) | |
26,213,000 | 831,476 | (2,667) | 12/24/23 | 0.697% — Annually | Secured Overnight Financing Rate — Annually | 775,070 | |
2,921,000 | 211,539 | (391) | 12/24/26 | 1.096% — Annually | Secured Overnight Financing Rate — Annually | 201,019 | |
7,708,000 | 931,049 | (3,441) | 12/24/31 | 1.285% — Annually | Secured Overnight Financing Rate — Annually | 895,691 | |
10,761,000 | 2,327,927 | (5,816) | 12/24/51 | 1.435% — Annually | Secured Overnight Financing Rate — Annually | 2,271,787 | |
901,000 | 178,173 | (147) | 12/31/51 | 1.525% — Annually | Secured Overnight Financing Rate — Annually | 173,786 | |
3,179,000 | 225,582 | (422) | 12/31/26 | Secured Overnight Financing Rate — Annually | 1.135% — Annually | (215,172) | |
834,000 | 95,935 | 15,018 | 12/31/31 | Secured Overnight Financing Rate — Annually | 1.355% — Annually | (77,852) | |
29,505,000 | 1,797,740 | 505,553 | 1/12/27 | Secured Overnight Financing Rate — Annually | 1.372% — Annually | (1,212,601) | |
987,200 | 34,285 E | (22) | 1/15/47 | 1.724% — Annually | Secured Overnight Financing Rate — Annually | 34,263 | |
3,763,000 | 624,583 | (128) | 1/21/52 | 1.679% — Annually | Secured Overnight Financing Rate — Annually | 608,254 |
Fixed Income Absolute Return Fund 55 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$3,135,000 | $554,707 | $(107) | 1/19/52 | Secured Overnight Financing Rate — Annually | 1.626% — Annually | $(541,520) | |
1,797,000 | 307,377 | (61) | 2/1/52 | 1.6545% — Annually | Secured Overnight Financing Rate — Annually | 300,598 | |
14,525,000 | 936,136 | (3,533) | 2/15/29 | Secured Overnight Financing Rate — Annually | 1.681% — Annually | (893,709) | |
5,673,300 | 728,792 | (193) | 2/24/52 | Secured Overnight Financing Rate — Annually | 1.86% — Annually | (711,306) | |
2,443,000 | 360,685 | (83) | 2/29/52 | 1.7674% — Annually | Secured Overnight Financing Rate — Annually | 353,913 | |
2,297,000 | 189,732 | (31) | 2/29/32 | Secured Overnight Financing Rate — Annually | 1.75% — Annually | (183,543) | |
18,881,000 | 916,861 | (153) | 2/28/27 | 1.675% — Annually | Secured Overnight Financing Rate — Annually | 868,149 | |
27,752,000 | 607,491 | (105) | 2/29/24 | Secured Overnight Financing Rate — Annually | 1.47709% — Annually | (544,662) | |
9,670,000 | 593,255 | (111) | 3/1/29 | Secured Overnight Financing Rate — Annually | 1.7355% — Annually | (567,637) | |
2,852,100 | 252,525 | (38) | 3/7/32 | 3 month USD-LIBOR-BBA — Quarterly | 1.9575% — Semiannually | (246,729) | |
10,291,300 | 1,032,835 | (136) | 3/9/32 | 1.5475% — Annually | Secured Overnight Financing Rate — Annually | 1,011,837 | |
10,670,700 | 1,076,460 | (141) | 3/9/32 | 1.5415% — Annually | Secured Overnight Financing Rate — Annually | 1,054,919 | |
5,625,000 | 472,500 | (75) | 3/11/32 | 1.737% — Annually | Secured Overnight Financing Rate — Annually | 460,026 |
56 Fixed Income Absolute Return Fund |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$6,432,000 | $547,042 E | $174,316 | 6/15/32 | Secured Overnight Financing Rate — Annually | 1.762% — Annually | $(372,726) | |
27,640,000 | 1,271,993 | 594,796 | 3/21/29 | Secured Overnight Financing Rate — Annually | 1.986% — Annually | (647,149) | |
28,680,000 | 602,567 E | (416,688) | 6/15/24 | 1.80% — Annually | Secured Overnight Financing Rate — Annually | 185,879 | |
123,922,000 | 5,460,003 E | (2,904,134) | 6/15/27 | 1.85% — Annually | Secured Overnight Financing Rate — Annually | 2,555,869 | |
53,520,000 | 3,673,613 E | 1,418,819 | 6/15/32 | Secured Overnight Financing Rate — Annually | 1.95% — Annually | (2,254,793) | |
9,304,000 | 839,221 E | 144,145 | 6/15/52 | Secured Overnight Financing Rate — Annually | 2.05% — Annually | (695,076) | |
8,312,500 | 319,200 | (110) | 3/30/32 | 2.2655% — Annually | Secured Overnight Financing Rate — Annually | 304,412 | |
8,312,500 | 323,190 | (110) | 3/30/32 | 2.26% — Annually | Secured Overnight Financing Rate — Annually | 308,429 | |
6,234,000 | 112,461 | (50) | 3/30/27 | 2.3535% — Annually | Secured Overnight Financing Rate — Annually | 100,916 | |
17,855,600 | 636,374 | (237) | 4/7/32 | 2.298% — Annually | Secured Overnight Financing Rate — Annually | 612,051 | |
4,700,500 | 88,510 | (38) | 3/31/27 | Secured Overnight Financing Rate — Annually | 2.3365% — Annually | (80,221) | |
19,000,000 | 144,020 | (72) | 3/31/24 | 2.307% — Annually | Secured Overnight Financing Rate — Annually | 110,737 |
Fixed Income Absolute Return Fund 57 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$12,610,000 | $265,567 | $(102) | 3/31/27 | Secured Overnight Financing Rate — Annually | 2.288% — Annually | $(243,833) | |
8,713,000 | 200,050 | (70) | 4/1/27 | 2.247% — Annually | Secured Overnight Financing Rate — Annually | 185,759 | |
7,329,000 | 377,297 | (97) | 4/4/32 | 2.116% — Annually | Secured Overnight Financing Rate — Annually | 367,094 | |
485,000 | 4,321 | (2) | 4/4/24 | Secured Overnight Financing Rate — Annually | 2.243% — Annually | (3,607) | |
620,000 | 32,916 | (8) | 4/4/32 | Secured Overnight Financing Rate — Annually | 2.0975% — Annually | (32,077) | |
9,690,000 | 187,598 | (78) | 4/6/27 | 2.326% — Annually | Secured Overnight Financing Rate — Annually | 173,768 | |
12,594,000 | 220,269 | (102) | 4/7/27 | Secured Overnight Financing Rate — Annually | 2.3665% — Annually | (202,811) | |
1,963,000 | 9,952 | (7) | 4/7/24 | 2.45% — Annually | Secured Overnight Financing Rate — Annually | 7,099 | |
4,130,000 | 52,658 | (33) | 4/7/27 | 2.469% — Annually | Secured Overnight Financing Rate — Annually | 46,602 | |
826,000 | 27,101 | (11) | 4/7/23 | 2.3305% — Annually | Secured Overnight Financing Rate — Annually | 25,962 | |
2,738,000 | 214,577 | (93) | 4/7/52 | Secured Overnight Financing Rate — Annually | 2.1005% — Annually | (211,351) | |
5,319,000 | 141,645 | (71) | 4/8/32 | Secured Overnight Financing Rate — Annually | 2.4015% — Annually | (134,553) |
58 Fixed Income Absolute Return Fund |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$9,025,000 | $94,672 | $(73) | 4/12/27 | 2.518% — Annually | Secured Overnight Financing Rate — Annually | $83,924 | |
7,416,000 | 136,529 | (98) | 4/14/32 | Secured Overnight Financing Rate — Annually | 2.496% — Annually | (128,821) | |
294,000 | 5,374 | (4) | 4/14/32 | 2.4975% — Annually | Secured Overnight Financing Rate — Annually | 5,063 | |
5,741,000 | 164,307 | (196) | 4/14/52 | Secured Overnight Financing Rate — Annually | 2.3395% — Annually | (158,886) | |
7,704,000 | 93,372 | (62) | 4/14/27 | 2.483% — Annually | Secured Overnight Financing Rate — Annually | 85,274 | |
11,653,000 | 70,384 | (44) | 4/14/24 | 2.405% — Annually | Secured Overnight Financing Rate — Annually | 58,579 | |
5,333,000 | 10,079 | (71) | 4/21/32 | 2.7285% — Annually | Secured Overnight Financing Rate — Annually | (13,826) | |
14,282,000 | 46,988 | (116) | 4/22/27 | Secured Overnight Financing Rate — Annually | 2.673% — Annually | (38,547) | |
20,689,000 | 60,205 | (195) | 5/2/27 | Secured Overnight Financing Rate — Annually | 2.685% — Annually | (60,400) | |
17,145,900 | 26,748 | (227) | 4/26/32 | 2.689% — Annually | Secured Overnight Financing Rate — Annually | 20,636 | |
3,240,000 | 162 | (26) | 4/25/27 | 2.7445% — Annually | Secured Overnight Financing Rate — Annually | (1,548) | |
116,000 | 41 | — | 4/26/24 | 2.743% — Annually | Secured Overnight Financing Rate — Annually | (82) |
Fixed Income Absolute Return Fund 59 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$141,000 | $300 | $(2) | 4/26/32 | Secured Overnight Financing Rate — Annually | 2.6825% — Annually | $(254) | |
3,028,000 | 41,060 | (40) | 4/27/32 | Secured Overnight Financing Rate — Annually | 2.552% — Annually | (40,309) | |
3,441,000 | 11,665 | (13) | 4/28/24 | 2.553% — Annually | Secured Overnight Financing Rate — Annually | 10,998 | |
923,000 | 12,922 | (12) | 4/28/32 | Secured Overnight Financing Rate — Annually | 2.547% — Annually | (12,759) | |
AUD | 117,100 | 13,497 E | (1) | 1/30/35 | 1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 13,496 |
AUD | 394,200 | 50,062 E | (4) | 3/5/35 | 1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 50,058 |
AUD | 146,400 | 19,101 E | (1) | 3/25/35 | 1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 19,100 |
AUD | 246,400 | 25,186 E | (3) | 3/28/40 | 1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 25,183 |
AUD | 910,700 | 104,690 E | (11) | 4/1/40 | 1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 104,679 |
AUD | 59,000 | 11,535 E | (1) | 7/2/45 | 1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 11,533 |
AUD | 2,800,000 | 259,103 | (31) | 4/6/31 | 6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (257,744) |
AUD | 2,668,000 | 157,366 E | (101,335) | 6/15/32 | 2.67% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 56,031 |
CAD | 5,564,000 | 393,311 E | (160,152) | 6/15/32 | 2.325% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 233,159 |
CHF | 4,200,000 | 305,863 E | 139,856 | 6/15/32 | Swiss Average Rate Overnight — Annually | 0.565% — Annually | (166,007) |
EUR | 757,000 | 30,474 E | (29) | 11/29/58 | 1.484% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | (30,503) |
60 Fixed Income Absolute Return Fund |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 1,029,500 | $46,277 | $(40) | 2/19/50 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 1.354% — Annually | $(42,310) |
EUR | 1,137,000 | 74,320 | (43) | 3/11/50 | 1.267% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 71,351 |
EUR | 1,150,600 | 90,345 | (44) | 3/12/50 | 1.2115% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 87,604 |
EUR | 1,295,500 | 131,899 | (50) | 3/26/50 | 1.113% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 129,888 |
EUR | 1,120,200 | 8,721 E | (42) | 11/29/58 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 1.343% — Annually | 8,679 |
EUR | 1,336,000 | 156,262 | (50) | 2/19/50 | 1.051% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 151,873 |
EUR | 1,095,100 | 114,395 E | (42) | 6/7/54 | 1.054% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 114,353 |
EUR | 999,500 | 151,942 | (38) | 2/19/50 | 0.9035% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 148,973 |
EUR | 531,600 | 93,880 | (20) | 2/21/50 | 0.80% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 92,419 |
EUR | 2,146,300 | 516,631 E | (82) | 8/8/54 | 0.49% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 516,550 |
EUR | 1,338,400 | 417,922 E | (50) | 6/6/54 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.207% — Annually | (417,972) |
EUR | 1,741,600 | 542,261 | (66) | 2/19/50 | 0.233% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 539,581 |
Fixed Income Absolute Return Fund 61 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 7,327,800 | $1,651,150 | $(277) | 2/19/50 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.595% — Annually | $(1,634,764) |
EUR | 835,200 | 278,725 E | (31) | 3/4/54 | 0.134% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 278,694 |
EUR | 371,500 | 156,899 E | (14) | 3/13/54 | — | 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually | 156,884 |
EUR | 2,672,400 | 394,018 E | (57) | 5/13/40 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.276% — Annually | (394,075) |
EUR | 1,304,300 | 186,678 E | (28) | 6/24/40 | 0.315% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 186,650 |
EUR | 1,668,900 | 244,689 E | (39) | 1/16/40 | 0.315% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 244,650 |
EUR | 616,100 | 89,271 E | (14) | 3/28/40 | 0.3175% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 89,257 |
EUR | 1,486,800 | 364,331 | (61) | 5/21/51 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.516% — Annually | (352,126) |
EUR | 1,439,000 | 196,849 | (25) | 6/14/31 | 0.171% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 191,004 |
EUR | 1,449,200 | 213,762 | (25) | 7/15/31 | 0.0675% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 210,372 |
EUR | 402,600 | 114,764 E | (16) | 9/14/52 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.374% — Annually | (114,781) |
EUR | 4,360,000 | 470,675 | (70) | 3/7/32 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.60% — Annually | (462,944) |
62 Fixed Income Absolute Return Fund |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont. | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
EUR | 882,000 | $73,237 E | $(45,263) | 6/15/32 | 0.915% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | $27,974 |
GBP | 1,039,300 | 128,570 | (21) | 5/19/31 | Sterling Overnight Index Average — Annually | 0.754% — Annually | (120,382) |
GBP | 21,441,200 | 348,070 E | (110) | 9/15/23 | 1.065% — Annually | Sterling Overnight Index Average — Annually | 347,959 |
GBP | 532,000 | 29,909 E | 23,980 | 6/15/32 | Sterling Overnight Index Average — Annually | 1.455% — Annually | (5,928) |
JPY | 49,318,800 | 3,470 E | (14) | 8/29/43 | 0.8084% — Semiannually | Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually | (3,484) |
JPY | 66,881,600 | 49,455 E | (19) | 8/29/43 | 0.2529% — Semiannually | Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually | 49,435 |
JPY | 176,833,300 | 33,193 | (26) | 2/25/31 | 0.0619% — Semiannually | Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually | 30,688 |
JPY | 121,551,800 | 74,041 E | (35) | 8/29/43 | Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually | 0.343% — Annually | (74,076) |
NOK | 17,328,000 | 99,597 E | 104,798 | 6/15/32 | 6 month NOK-NIBOR-NIBR — Semiannually | 2.355% — Annually | 5,201 |
NZD | 2,969,000 | 133,600 E | (2,173) | 6/15/32 | 3.10% — Semiannually | 3 month NZD-BBR-FRA — Quarterly | 131,427 |
SEK | 42,444,000 | 345,277 E | (189,459) | 6/15/32 | 1.497% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 155,817 |
Total | $(720,928) | $5,351,438 | |||||
E Extended effective date. | |||||||
Fixed Income Absolute Return Fund 63 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Bank of America N.A. | ||||||||
CMBX NA BBB−.6 Index | B+/P | $11,962 | $164,221 | $39,758 | 5/11/63 | 300 bp — Monthly | $(27,714) | |
CMBX NA BBB−.6 Index | B+/P | 22,719 | 353,780 | 85,650 | 5/11/63 | 300 bp — Monthly | (62,754) | |
CMBX NA BBB−.6 Index | B+/P | 46,609 | 708,498 | 171,527 | 5/11/63 | 300 bp — Monthly | (124,564) | |
CMBX NA BBB−.6 Index | B+/P | 44,403 | 731,020 | 176,980 | 5/11/63 | 300 bp — Monthly | (132,211) | |
Citigroup Global Markets, Inc. | ||||||||
CMBX NA A.6 Index | BBB+/P | 3,274 | 23,760 | 2,155 | 5/11/63 | 200 bp — Monthly | 1,127 | |
CMBX NA A.6 Index | BBB+/P | 3,878 | 29,040 | 2,634 | 5/11/63 | 200 bp — Monthly | 1,253 | |
CMBX NA A.6 Index | BBB+/P | 5,828 | 36,960 | 3,352 | 5/11/63 | 200 bp — Monthly | 2,488 | |
CMBX NA A.6 Index | BBB+/P | 8,016 | 46,640 | 4,230 | 5/11/63 | 200 bp — Monthly | 3,802 | |
CMBX NA A.6 Index | BBB+/P | 8,498 | 62,480 | 5,667 | 5/11/63 | 200 bp — Monthly | 2,852 | |
CMBX NA A.6 Index | BBB+/P | 9,789 | 72,160 | 6,545 | 5/11/63 | 200 bp — Monthly | 3,268 | |
CMBX NA A.6 Index | BBB+/P | 13,772 | 99,440 | 9,019 | 5/11/63 | 200 bp — Monthly | 4,786 | |
CMBX NA A.6 Index | BBB+/P | 16,700 | 124,080 | 11,254 | 5/11/63 | 200 bp — Monthly | 5,487 | |
CMBX NA A.6 Index | BBB+/P | 16,832 | 124,080 | 11,254 | 5/11/63 | 200 bp — Monthly | 5,619 | |
CMBX NA A.6 Index | BBB+/P | 28,780 | 213,840 | 19,395 | 5/11/63 | 200 bp — Monthly | 9,456 | |
CMBX NA A.6 Index | BBB+/P | 31,313 | 231,440 | 20,992 | 5/11/63 | 200 bp — Monthly | 10,399 | |
CMBX NA A.6 Index | BBB+/P | 35,932 | 264,880 | 24,025 | 5/11/63 | 200 bp — Monthly | 11,996 | |
CMBX NA BB.11 Index | BB−/P | 203,965 | 361,000 | 47,760 | 11/18/54 | 500 bp — Monthly | 156,506 | |
CMBX NA BB.13 Index | BB−/P | 4,099 | 41,000 | 6,507 | 12/16/72 | 500 bp — Monthly | (2,374) | |
CMBX NA BB.13 Index | BB−/P | 14,062 | 149,000 | 23,646 | 12/16/72 | 500 bp — Monthly | (9,460) | |
CMBX NA BB.13 Index | BB−/P | 24,693 | 271,000 | 43,008 | 12/16/72 | 500 bp — Monthly | (18,088) | |
CMBX NA BB.13 Index | BB−/P | 102,843 | 1,128,000 | 179,014 | 12/16/72 | 500 bp — Monthly | (75,230) | |
CMBX NA BB.14 Index | BB/P | 15,130 | 138,000 | 18,119 | 12/16/72 | 500 bp — Monthly | (2,874) | |
CMBX NA BB.6 Index | CCC+/P | 154,927 | 993,600 | 410,655 | 5/11/63 | 500 bp — Monthly | (254,900) |
64 Fixed Income Absolute Return Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont. | ||||||||
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. cont. | ||||||||
CMBX NA BB.7 Index | B/P | $50,574 | $991,000 | $307,904 | 1/17/47 | 500 bp — Monthly | $(256,504) | |
CMBX NA BB.9 Index | B/P | 2,036 | 10,000 | 2,521 | 9/17/58 | 500 bp — Monthly | (477) | |
CMBX NA BB.9 Index | B/P | 34,922 | 171,000 | 43,109 | 9/17/58 | 500 bp — Monthly | (8,045) | |
CMBX NA BBB−.10 Index | BB+/P | $15,634 | $126,000 | $15,889 | 11/17/59 | 300 bp — Monthly | $(191) | |
CMBX NA BBB−.10 Index | BB+/P | 23,891 | 219,000 | 27,616 | 11/17/59 | 300 bp — Monthly | (3,615) | |
CMBX NA BBB−.11 Index | BBB−/P | 22,737 | 363,000 | 39,930 | 11/18/54 | 300 bp — Monthly | (17,011) | |
CMBX NA BBB−.12 Index | BBB−/P | 2,919 | 70,000 | 8,617 | 8/17/61 | 300 bp — Monthly | (5,663) | |
CMBX NA BBB−.12 Index | BBB−/P | 9,075 | 154,000 | 18,957 | 8/17/61 | 300 bp — Monthly | (9,805) | |
CMBX NA BBB−.12 Index | BBB−/P | 93,051 | 587,000 | 72,260 | 8/17/61 | 300 bp — Monthly | 21,085 | |
CMBX NA BBB−.13 Index | BBB−/P | 3,709 | 73,000 | 9,862 | 12/16/72 | 300 bp — Monthly | (6,116) | |
CMBX NA BBB−.14 Index | BBB−/P | 1,880 | 38,000 | 5,301 | 12/16/72 | 300 bp — Monthly | (3,402) | |
CMBX NA BBB−.14 Index | BBB−/P | 1,821 | 56,000 | 7,812 | 12/16/72 | 300 bp — Monthly | (5,963) | |
CMBX NA BBB−.14 Index | BBB−/P | 2,973 | 91,000 | 12,695 | 12/16/72 | 300 bp — Monthly | (9,676) | |
CMBX NA BBB−.14 Index | BBB−/P | 5,850 | 117,000 | 16,322 | 12/16/72 | 300 bp — Monthly | (10,413) | |
CMBX NA BBB−.14 Index | BBB−/P | 8,708 | 191,000 | 26,645 | 12/16/72 | 300 bp — Monthly | (17,841) | |
CMBX NA BBB−.15 Index | BBB−/P | 10,237 | 98,000 | 14,122 | 11/18/64 | 300 bp — Monthly | (3,836) | |
CMBX NA BBB−.6 Index | B+/P | 103,635 | 396,947 | 96,101 | 5/11/63 | 300 bp — Monthly | 7,733 | |
CMBX NA BBB−.6 Index | B+/P | 62,787 | 925,270 | 224,008 | 5/11/63 | 300 bp — Monthly | (160,758) | |
Credit Suisse International | ||||||||
CMBX NA BB.7 Index | B/P | 27,822 | 208,000 | 64,626 | 1/17/47 | 500 bp — Monthly | (36,630) | |
CMBX NA BBB−.6 Index | B+/P | 663 | 5,630 | 1,363 | 5/11/63 | 300 bp — Monthly | (660) | |
CMBX NA BBB−.7 Index | BB−/P | 139,477 | 1,887,000 | 342,491 | 1/17/47 | 300 bp — Monthly | (202,070) |
Fixed Income Absolute Return Fund 65 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Goldman Sachs International | ||||||||
CMBX NA A.13 Index | A-/P | $(1,723) | $325,000 | $6,143 | 12/16/72 | 200 bp — Monthly | $(7,757) | |
CMBX NA BB.9 Index | B/P | 58,634 | 145,000 | 36,555 | 9/17/58 | 500 bp — Monthly | 22,201 | |
CMBX NA BBB−.13 Index | BBB−/P | 296 | 5,000 | 676 | 12/16/72 | 300 bp — Monthly | (377) | |
CMBX NA BBB−.13 Index | BBB−/P | 16,780 | 106,000 | 14,321 | 12/16/72 | 300 bp — Monthly | 2,512 | |
CMBX NA BBB−.13 Index | BBB−/P | 18,648 | 119,000 | 16,077 | 12/16/72 | 300 bp — Monthly | 2,631 | |
CMBX NA BBB−.13 Index | BBB−/P | 7,982 | 127,000 | 17,158 | 12/16/72 | 300 bp — Monthly | (9,112) | |
CMBX NA BBB−.13 Index | BBB−/P | 28,946 | 171,000 | 23,102 | 12/16/72 | 300 bp — Monthly | 5,930 | |
CMBX NA BBB−.14 Index | BBB−/P | 89 | 2,000 | 279 | 12/16/72 | 300 bp — Monthly | (189) | |
CMBX NA BBB−.14 Index | BBB−/P | 237 | 5,000 | 698 | 12/16/72 | 300 bp — Monthly | (458) | |
CMBX NA BBB−.14 Index | BBB−/P | 233 | 5,000 | 698 | 12/16/72 | 300 bp — Monthly | (462) | |
CMBX NA BBB−.14 Index | BBB−/P | 1,326 | 35,000 | 4,883 | 12/16/72 | 300 bp — Monthly | (3,539) | |
CMBX NA BBB−.15 Index | BBB−/P | 9,319 | 150,000 | 21,615 | 11/18/64 | 300 bp — Monthly | (12,221) | |
CMBX NA BBB−.15 Index | BBB−/P | 15,760 | 177,000 | 25,506 | 11/18/64 | 300 bp — Monthly | (9,657) | |
CMBX NA BBB−.15 Index | BBB−/P | 16,361 | 177,000 | 25,506 | 11/18/64 | 300 bp — Monthly | (9,057) | |
CMBX NA BBB−.6 Index | B+/P | 817 | 5,630 | 1,363 | 5/11/63 | 300 bp — Monthly | (543) | |
CMBX NA BBB−.6 Index | B+/P | 855 | 5,630 | 1,363 | 5/11/63 | 300 bp — Monthly | (506) | |
CMBX NA BBB−.6 Index | B+/P | 3,559 | 12,199 | 2,953 | 5/11/63 | 300 bp — Monthly | 611 | |
CMBX NA BBB−.6 Index | B+/P | 1,785 | 15,015 | 3,635 | 5/11/63 | 300 bp — Monthly | (1,842) | |
CMBX NA BBB−.6 Index | B+/P | 1,721 | 30,967 | 7,497 | 5/11/63 | 300 bp — Monthly | (5,760) | |
CMBX NA BBB−.6 Index | B+/P | 7,058 | 45,044 | 10,905 | 5/11/63 | 300 bp — Monthly | (3,824) | |
CMBX NA BBB−.6 Index | B+/P | 4,864 | 62,873 | 15,222 | 5/11/63 | 300 bp — Monthly | (10,326) | |
CMBX NA BBB−.6 Index | B+/P | 4,864 | 62,873 | 15,222 | 5/11/63 | 300 bp — Monthly | (10,326) | |
CMBX NA BBB−.6 Index | B+/P | 3,677 | 71,319 | 17,266 | 5/11/63 | 300 bp — Monthly | (13,554) |
66 Fixed Income Absolute Return Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Goldman Sachs International cont. | ||||||||
CMBX NA BBB−.6 Index | B+/P | $8,832 | $71,319 | $17,266 | 5/11/63 | 300 bp — Monthly | $(8,398) | |
CMBX NA BBB−.6 Index | B+/P | 11,605 | 72,257 | 17,494 | 5/11/63 | 300 bp — Monthly | (5,853) | |
CMBX NA BBB−.6 Index | B+/P | 11,832 | 100,410 | 24,309 | 5/11/63 | 300 bp — Monthly | (12,427) | |
CMBX NA BBB−.6 Index | B+/P | 6,839 | 125,277 | 30,330 | 5/11/63 | 300 bp — Monthly | (23,428) | |
CMBX NA BBB−.6 Index | B+/P | 16,684 | 302,167 | 73,155 | 5/11/63 | 300 bp — Monthly | (56,319) | |
CMBX NA BBB−.6 Index | B+/P | 99,711 | 814,538 | 197,200 | 5/11/63 | 300 bp — Monthly | (97,081) | |
CMBX NA BBB−.6 Index | B+/P | 182,495 | 1,444,210 | 349,643 | 5/11/63 | 300 bp — Monthly | (166,426) | |
JPMorgan Securities LLC | ||||||||
CMBX NA A.14 Index | A-/P | (829) | 141,000 | 2,425 | 12/16/72 | 200 bp — Monthly | (3,208) | |
CMBX NA BB.10 Index | B+/P | 10,591 | 132,000 | 38,597 | 5/11/63 | 500 bp — Monthly | (27,895) | |
CMBX NA BB.6 Index | CCC+/P | 167,824 | 299,920 | 123,957 | 5/11/63 | 500 bp — Monthly | 44,117 | |
CMBX NA BB.7 Index | B/P | 272,738 | 557,000 | 173,060 | 1/17/47 | 500 bp — Monthly | 100,142 | |
CMBX NA BBB−.11 Index | BBB−/P | 2,800 | 51,000 | 5,610 | 11/18/54 | 300 bp — Monthly | (2,784) | |
CMBX NA BBB−.12 Index | BBB−/P | 323 | 6,000 | 739 | 8/17/61 | 300 bp — Monthly | (413) | |
CMBX NA BBB−.13 Index | BBB−/P | 629 | 4,000 | 540 | 12/16/72 | 300 bp — Monthly | 91 | |
CMBX NA BBB−.14 Index | BBB−/P | 11,382 | 184,000 | 25,668 | 12/16/72 | 300 bp — Monthly | (14,194) | |
Merrill Lynch International | ||||||||
CMBX NA A.6 Index | BBB+/P | (4,240) | 224,400 | 20,353 | 5/11/63 | 200 bp — Monthly | (24,518) | |
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA A.13 Index | A-/P | (67) | 8,000 | 151 | 12/16/72 | 200 bp — Monthly | (215) | |
CMBX NA A.13 Index | A-/P | (1,128) | 188,000 | 3,553 | 12/16/72 | 200 bp — Monthly | (4,618) | |
CMBX NA A.13 Index | A-/P | (9,648) | 647,000 | 12,228 | 12/16/72 | 200 bp — Monthly | (21,660) | |
CMBX NA A.14 Index | A-/P | (1,106) | 83,000 | 1,428 | 12/16/72 | 200 bp — Monthly | (2,506) | |
CMBX NA A.14 Index | A-/P | (1,133) | 90,000 | 1,548 | 12/16/72 | 200 bp — Monthly | (2,651) | |
CMBX NA A.14 Index | A-/P | (1,068) | 96,000 | 1,651 | 12/16/72 | 200 bp — Monthly | (2,688) |
Fixed Income Absolute Return Fund 67 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA A.14 Index | A-/P | $(729) | $124,000 | $2,133 | 12/16/72 | 200 bp — Monthly | $(2,821) | |
CMBX NA A.14 Index | A-/P | (2,566) | 173,000 | 2,976 | 12/16/72 | 200 bp — Monthly | (5,484) | |
CMBX NA A.14 Index | A-/P | (2,696) | 173,000 | 2,976 | 12/16/72 | 200 bp — Monthly | (5,614) | |
CMBX NA A.14 Index | A-/P | (2,696) | 173,000 | 2,976 | 12/16/72 | 200 bp — Monthly | (5,614) | |
CMBX NA A.14 Index | A-/P | (2,604) | 207,000 | 3,560 | 12/16/72 | 200 bp — Monthly | (6,095) | |
CMBX NA A.14 Index | A-/P | (3,648) | 259,000 | 4,455 | 12/16/72 | 200 bp — Monthly | (8,017) | |
CMBX NA A.6 Index | BBB+/P | 8,076 | 80,080 | 7,263 | 5/11/63 | 200 bp — Monthly | 840 | |
CMBX NA A.7 Index | BBB+/P | 199 | 41,000 | 1,902 | 1/17/47 | 200 bp — Monthly | (1,690) | |
CMBX NA A.7 Index | BBB+/P | (96) | 99,000 | 4,594 | 1/17/47 | 200 bp — Monthly | (4,656) | |
CMBX NA BB.11 Index | BB−/P | 4,232 | 50,000 | 6,615 | 11/18/54 | 500 bp — Monthly | (2,341) | |
CMBX NA BB.13 Index | BB−/P | 3,325 | 36,000 | 5,713 | 12/16/72 | 500 bp — Monthly | (2,358) | |
CMBX NA BB.13 Index | BB−/P | 4,401 | 47,000 | 7,459 | 12/16/72 | 500 bp — Monthly | (3,019) | |
CMBX NA BB.13 Index | BB−/P | 6,237 | 68,000 | 10,792 | 12/16/72 | 500 bp — Monthly | (4,498) | |
CMBX NA BB.13 Index | BB−/P | 10,770 | 112,000 | 17,774 | 12/16/72 | 500 bp — Monthly | (6,911) | |
CMBX NA BB.13 Index | BB−/P | 11,626 | 125,000 | 19,838 | 12/16/72 | 500 bp — Monthly | (8,107) | |
CMBX NA BB.13 Index | BB−/P | 22,127 | 241,000 | 38,247 | 12/16/72 | 500 bp — Monthly | (15,919) | |
CMBX NA BB.6 Index | CCC+/P | 47,886 | 179,400 | 74,146 | 5/11/63 | 500 bp — Monthly | (26,110) | |
CMBX NA BB.6 Index | CCC+/P | 96,100 | 358,800 | 148,292 | 5/11/63 | 500 bp — Monthly | (51,893) | |
CMBX NA BBB−.12 Index | BBB−/P | 3,713 | 63,000 | 7,755 | 8/17/61 | 300 bp — Monthly | (4,011) | |
CMBX NA BBB−.12 Index | BBB−/P | 11,764 | 274,000 | 33,729 | 8/17/61 | 300 bp — Monthly | (21,828) | |
CMBX NA BBB−.14 Index | BBB−/P | 3,856 | 79,000 | 11,021 | 12/16/72 | 300 bp — Monthly | (7,125) | |
CMBX NA BBB−.14 Index | BBB−/P | 1,776 | 117,000 | 16,322 | 12/16/72 | 300 bp — Monthly | (14,487) | |
CMBX NA BBB−.14 Index | BBB−/P | 5,937 | 120,000 | 16,740 | 12/16/72 | 300 bp — Monthly | (10,743) |
68 Fixed Income Absolute Return Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BBB−.14 Index | BBB−/P | $5,906 | $121,000 | $16,880 | 12/16/72 | 300 bp — Monthly | $(10,913) | |
CMBX NA BBB−.14 Index | BBB−/P | 8,880 | 146,000 | 20,367 | 12/16/72 | 300 bp — Monthly | (11,414) | |
CMBX NA BBB−.15 Index | BBB−/P | 8,179 | 145,000 | 20,895 | 11/18/64 | 300 bp — Monthly | (12,643) | |
CMBX NA BBB−.7 Index | BB−/P | 6,261 | 92,000 | 16,698 | 1/17/47 | 300 bp — Monthly | (10,801) | |
CMBX NA BBB−.7 Index | BB−/P | 9,516 | 143,000 | 25,955 | 1/17/47 | 300 bp — Monthly | (16,308) | |
CMBX NA BBB−.9 Index | BB+/P | 300 | 3,000 | 360 | 9/17/58 | 300 bp — Monthly | (70) | |
Upfront premium received | 2,741,588 | Unrealized appreciation | 426,932 | |||||
Upfront premium (paid) | (35,977) | Unrealized (depreciation) | (2,327,127) | |||||
Total | $2,705,611 | Total | $(1,900,195) | |||||
* 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 April 30, 2022. 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 4/30/22 (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 A.7 Index | $(1,038) | $140,000 | $6,496 | 1/17/47 | (200 bp) — Monthly | $5,411 | ||
CMBX NA BB.10 Index | (84,868) | 352,000 | 102,925 | 11/17/59 | (500 bp) — Monthly | 17,764 | ||
CMBX NA BB.10 Index | (77,265) | 303,000 | 88,597 | 11/17/59 | (500 bp) — Monthly | 11,080 | ||
CMBX NA BB.10 Index | (13,254) | 127,000 | 37,135 | 11/17/59 | (500 bp) — Monthly | 23,775 | ||
CMBX NA BB.10 Index | (11,403) | 104,000 | 30,410 | 11/17/59 | (500 bp) — Monthly | 18,920 | ||
CMBX NA BB.11 Index | (8,181) | 119,000 | 15,744 | 11/18/54 | (500 bp) — Monthly | 7,464 | ||
CMBX NA BB.11 Index | (8,376) | 116,000 | 15,347 | 11/18/54 | (500 bp) — Monthly | 6,874 | ||
CMBX NA BB.11 Index | (3,775) | 74,000 | 9,790 | 11/18/54 | (500 bp) — Monthly | 5,954 | ||
CMBX NA BB.11 Index | (3,839) | 74,000 | 9,790 | 11/18/54 | (500 bp) — Monthly | 5,890 |
Fixed Income Absolute Return Fund 69 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont. | ||||||||
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. cont. | ||||||||
CMBX NA BB.8 Index | $(105,710) | $295,692 | $102,753 | 10/17/57 | (500 bp) — Monthly | $(3,203) | ||
CMBX NA BB.8 Index | (29,923) | 232,881 | 80,926 | 10/17/57 | (500 bp) — Monthly | 50,809 | ||
CMBX NA BB.8 Index | (46,859) | 131,419 | 45,668 | 10/17/57 | (500 bp) — Monthly | (1,301) | ||
CMBX NA BB.9 Index | (605) | 15,000 | 3,782 | 9/17/58 | (500 bp) — Monthly | 3,164 | ||
CMBX NA BBB−.10 Index | (128,609) | 748,000 | 94,323 | 11/17/59 | (300 bp) — Monthly | (34,660) | ||
CMBX NA BBB−.10 Index | (33,154) | 271,000 | 34,173 | 11/17/59 | (300 bp) — Monthly | 884 | ||
CMBX NA BBB−.10 Index | (50,836) | 219,000 | 27,616 | 11/17/59 | (300 bp) — Monthly | (23,330) | ||
CMBX NA BBB−.10 Index | (36,025) | 151,000 | 19,041 | 11/17/59 | (300 bp) — Monthly | (17,059) | ||
CMBX NA BBB−.10 Index | (27,941) | 128,000 | 16,141 | 11/17/59 | (300 bp) — Monthly | (11,864) | ||
CMBX NA BBB−.10 Index | (22,416) | 103,000 | 12,988 | 11/17/59 | (300 bp) — Monthly | (9,479) | ||
CMBX NA BBB−.10 Index | (25,919) | 87,000 | 10,971 | 11/17/59 | (300 bp) — Monthly | (14,992) | ||
CMBX NA BBB−.10 Index | (6,884) | 54,000 | 6,809 | 11/17/59 | (300 bp) — Monthly | (101) | ||
CMBX NA BBB−.10 Index | (11,811) | 48,000 | 6,053 | 11/17/59 | (300 bp) — Monthly | (5,782) | ||
CMBX NA BBB−.10 Index | (5,991) | 47,000 | 5,927 | 11/17/59 | (300 bp) — Monthly | (88) | ||
CMBX NA BBB−.11 Index | (18,545) | 126,000 | 13,860 | 11/18/54 | (300 bp) — Monthly | (4,748) | ||
CMBX NA BBB−.11 Index | (37,724) | 115,000 | 12,650 | 11/18/54 | (300 bp) — Monthly | (25,132) | ||
CMBX NA BBB−.11 Index | (16,668) | 52,000 | 5,720 | 11/18/54 | (300 bp) — Monthly | (10,974) | ||
CMBX NA BBB−.11 Index | (5,740) | 39,000 | 4,290 | 11/18/54 | (300 bp) — Monthly | (1,470) | ||
CMBX NA BBB−.12 Index | (96,979) | 279,000 | 34,345 | 8/17/61 | (300 bp) — Monthly | (62,773) | ||
CMBX NA BBB−.12 Index | (17,830) | 259,000 | 31,883 | 8/17/61 | (300 bp) — Monthly | 13,923 | ||
CMBX NA BBB−.12 Index | (62,518) | 183,000 | 22,527 | 8/17/61 | (300 bp) — Monthly | (40,082) | ||
CMBX NA BBB−.12 Index | (21,090) | 60,000 | 7,386 | 8/17/61 | (300 bp) — Monthly | (13,734) | ||
CMBX NA BBB−.12 Index | (18,378) | 55,000 | 6,771 | 8/17/61 | (300 bp) — Monthly | (11,635) |
70 Fixed Income Absolute Return Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont. | ||||||||
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. cont. | ||||||||
CMBX NA BBB−.12 Index | $(8,458) | $24,000 | $2,954 | 8/17/61 | (300 bp) — Monthly | $(5,516) | ||
CMBX NA BBB−.13 Index | (5,532) | 73,000 | 9,862 | 12/16/72 | (300 bp) — Monthly | 4,294 | ||
CMBX NA BBB−.13 Index | (2,824) | 56,000 | 7,566 | 12/16/72 | (300 bp) — Monthly | 4,714 | ||
CMBX NA BBB−.13 Index | (2,852) | 56,000 | 7,566 | 12/16/72 | (300 bp) — Monthly | 4,686 | ||
CMBX NA BBB−.8 Index | (56,811) | 363,000 | 47,589 | 10/17/57 | (300 bp) — Monthly | (9,403) | ||
CMBX NA BBB−.8 Index | (34,965) | 252,000 | 33,037 | 10/17/57 | (300 bp) — Monthly | (2,054) | ||
CMBX NA BBB−.8 Index | (32,749) | 246,000 | 32,251 | 10/17/57 | (300 bp) — Monthly | (621) | ||
CMBX NA BBB−.8 Index | (24,658) | 156,000 | 20,452 | 10/17/57 | (300 bp) — Monthly | (4,285) | ||
CMBX NA BBB−.8 Index | (24,756) | 156,000 | 20,452 | 10/17/57 | (300 bp) — Monthly | (4,382) | ||
CMBX NA BBB−.8 Index | (24,063) | 154,000 | 20,189 | 10/17/57 | (300 bp) — Monthly | (3,950) | ||
CMBX NA BBB−.8 Index | (17,483) | 126,000 | 16,519 | 10/17/57 | (300 bp) — Monthly | (1,027) | ||
CMBX NA BBB−.8 Index | (15,171) | 106,000 | 13,897 | 10/17/57 | (300 bp) — Monthly | (1,328) | ||
CMBX NA BBB−.9 Index | (1,656) | 7,000 | 840 | 9/17/58 | (300 bp) — Monthly | (820) | ||
Credit Suisse International | ||||||||
CMBX NA BB.10 Index | (35,090) | 263,000 | 76,901 | 11/17/59 | (500 bp) — Monthly | 41,592 | ||
CMBX NA BB.10 Index | (31,275) | 263,000 | 76,901 | 11/17/59 | (500 bp) — Monthly | 45,407 | ||
CMBX NA BB.10 Index | (17,278) | 139,000 | 40,644 | 11/17/59 | (500 bp) — Monthly | 23,250 | ||
CMBX NA BB.7 Index | (31,365) | 1,634,840 | 675,679 | 5/11/63 | (500 bp) — Monthly | 642,952 | ||
Goldman Sachs International | ||||||||
CMBX NA A.6 Index | (32,595) | 432,960 | 39,269 | 5/11/63 | (200 bp) — Monthly | 6,530 | ||
CMBX NA A.6 Index | (96) | 880 | 80 | 5/11/63 | (200 bp) — Monthly | (17) | ||
CMBX NA BB.10 Index | (107,469) | 475,000 | 138,890 | 11/17/59 | (500 bp) — Monthly | 31,025 | ||
CMBX NA BB.6 Index | (31,267) | 196,880 | 81,371 | 5/11/63 | (500 bp) — Monthly | 49,939 | ||
CMBX NA BB.7 Index | (323,939) | 1,916,000 | 595,301 | 1/17/47 | (500 bp) — Monthly | 269,765 |
Fixed Income Absolute Return Fund 71 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Goldman Sachs International cont. | ||||||||
CMBX NA BB.7 Index | $(7,864) | $48,000 | $14,914 | 1/17/47 | (500 bp) — Monthly | $7,009 | ||
CMBX NA BB.7 Index | (2,270) | 15,000 | 4,661 | 1/17/47 | (500 bp) — Monthly | 2,378 | ||
CMBX NA BB.8 Index | (96,043) | 264,770 | 92,008 | 10/17/57 | (500 bp) — Monthly | (4,256) | ||
CMBX NA BB.8 Index | (96,208) | 264,770 | 92,008 | 10/17/57 | (500 bp) — Monthly | (4,421) | ||
CMBX NA BB.8 Index | (55,464) | 157,509 | 54,734 | 10/17/57 | (500 bp) — Monthly | (861) | ||
CMBX NA BB.8 Index | (52,553) | 141,082 | 49,026 | 10/17/57 | (500 bp) — Monthly | (3,645) | ||
CMBX NA BB.8 Index | (45,682) | 119,823 | 41,638 | 10/17/57 | (500 bp) — Monthly | (4,144) | ||
CMBX NA BB.8 Index | (8,837) | 75,372 | 26,192 | 10/17/57 | (500 bp) — Monthly | 17,292 | ||
CMBX NA BB.9 Index | (7,096) | 68,000 | 17,143 | 9/17/58 | (500 bp) — Monthly | 9,990 | ||
CMBX NA BB.9 Index | (2,136) | 55,000 | 13,866 | 9/17/58 | (500 bp) — Monthly | 11,684 | ||
CMBX NA BB.9 Index | (3,094) | 26,000 | 6,555 | 9/17/58 | (500 bp) — Monthly | 3,439 | ||
CMBX NA BB.9 Index | (2,155) | 20,000 | 5,042 | 9/17/58 | (500 bp) — Monthly | 2,870 | ||
CMBX NA BB.9 Index | (842) | 7,000 | 1,765 | 9/17/58 | (500 bp) — Monthly | 916 | ||
CMBX NA BBB−.10 Index | (14,654) | 67,000 | 8,449 | 11/17/59 | (300 bp) — Monthly | (6,239) | ||
CMBX NA BBB−.12 Index | (4,289) | 22,000 | 2,708 | 8/17/61 | (300 bp) — Monthly | (1,592) | ||
CMBX NA BBB−.13 Index | (3,713) | 49,000 | 6,620 | 12/16/72 | (300 bp) — Monthly | 2,882 | ||
CMBX NA BBB−.6 Index | (18,160) | 340,642 | 82,469 | 5/11/63 | (300 bp) — Monthly | 64,139 | ||
CMBX NA BBB−.6 Index | (48,505) | 167,037 | 40,440 | 5/11/63 | (300 bp) — Monthly | (8,149) | ||
CMBX NA BBB−.7 Index | (9,501) | 141,000 | 25,592 | 1/17/47 | (300 bp) — Monthly | 16,020 | ||
CMBX NA BBB−.7 Index | (4,210) | 62,000 | 11,253 | 1/17/47 | (300 bp) — Monthly | 7,012 | ||
CMBX NA BBB−.7 Index | (759) | 11,000 | 1,997 | 1/17/47 | (300 bp) — Monthly | 1,232 | ||
CMBX NA BBB−.7 Index | (312) | 3,000 | 545 | 1/17/47 | (300 bp) — Monthly | 231 | ||
CMBX NA BBB−.8 Index | (15,784) | 122,000 | 15,994 | 10/17/57 | (300 bp) — Monthly | 149 | ||
CMBX NA BBB−.8 Index | (11,291) | 72,000 | 9,439 | 10/17/57 | (300 bp) — Monthly | (1,888) |
72 Fixed Income Absolute Return Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
JPMorgan Securities LLC | ||||||||
CMBX NA BB.11 Index | $(15,271) | $28,000 | $3,704 | 11/18/54 | (500 bp) — Monthly | $(11,590) | ||
CMBX NA BB.8 Index | (48,571) | 94,699 | 32,908 | 10/17/57 | (500 bp) — Monthly | (15,742) | ||
CMBX NA BBB−.10 Index | (50,051) | 168,000 | 21,185 | 11/17/59 | (300 bp) — Monthly | (28,950) | ||
CMBX NA BBB−.10 Index | (37,749) | 134,000 | 16,897 | 11/17/59 | (300 bp) — Monthly | (20,919) | ||
CMBX NA BBB−.10 Index | (15,668) | 95,000 | 11,980 | 11/17/59 | (300 bp) — Monthly | (3,736) | ||
CMBX NA BBB−.11 Index | (8,160) | 26,000 | 2,860 | 11/18/54 | (300 bp) — Monthly | (5,313) | ||
CMBX NA BBB−.11 Index | (6,600) | 21,000 | 2,310 | 11/18/54 | (300 bp) — Monthly | (4,301) | ||
CMBX NA BBB−.12 Index | (35,622) | 102,000 | 12,556 | 8/17/61 | (300 bp) — Monthly | (23,117) | ||
CMBX NA BBB−.12 Index | (26,544) | 80,000 | 9,848 | 8/17/61 | (300 bp) — Monthly | (16,736) | ||
CMBX NA BBB−.12 Index | (1,954) | 50,000 | 6,155 | 8/17/61 | (300 bp) — Monthly | 4,176 | ||
CMBX NA BBB−.12 Index | (6,728) | 33,000 | 4,062 | 8/17/61 | (300 bp) — Monthly | (2,683) | ||
CMBX NA BBB−.6 Index | (232,605) | 856,766 | 207,423 | 5/11/63 | (300 bp) — Monthly | (25,610) | ||
CMBX NA BBB−.7 Index | (416,704) | 1,775,000 | 322,163 | 1/17/47 | (300 bp) — Monthly | (95,429) | ||
CMBX NA BBB−.8 Index | (139) | 1,000 | 131 | 10/17/57 | (300 bp) — Monthly | (8) | ||
Merrill Lynch International | ||||||||
CMBX NA BB.10 Index | (14,452) | 254,000 | 74,270 | 11/17/59 | (500 bp) — Monthly | 59,605 | ||
CMBX NA BBB−.10 Index | (22,967) | 106,000 | 13,367 | 11/17/59 | (300 bp) — Monthly | (9,654) | ||
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA A.6 Index | (15,600) | 140,800 | 12,771 | 5/11/63 | (200 bp) — Monthly | (2,876) | ||
CMBX NA A.6 Index | (290) | 2,640 | 239 | 5/11/63 | (200 bp) — Monthly | (51) | ||
CMBX NA A.6 Index | (84) | 880 | 80 | 5/11/63 | (200 bp) — Monthly | (4) | ||
CMBX NA BB.10 Index | (78,440) | 334,000 | 97,662 | 11/17/59 | (500 bp) — Monthly | 18,943 | ||
CMBX NA BB.10 Index | (13,319) | 127,000 | 37,135 | 11/17/59 | (500 bp) — Monthly | 23,710 | ||
CMBX NA BB.8 Index | (47,051) | 129,486 | 44,996 | 10/17/57 | (500 bp) — Monthly | (2,162) |
Fixed Income Absolute Return Fund 73 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BB.8 Index | $(28,674) | $56,046 | $19,476 | 10/17/57 | (500 bp) — Monthly | $(9,244) | ||
CMBX NA BB.9 Index | (3,939) | 64,000 | 16,134 | 9/17/58 | (500 bp) — Monthly | 12,142 | ||
CMBX NA BB.9 Index | (1,845) | 30,000 | 7,563 | 9/17/58 | (500 bp) — Monthly | 5,693 | ||
CMBX NA BB.9 Index | (977) | 25,000 | 6,303 | 9/17/58 | (500 bp) — Monthly | 5,304 | ||
CMBX NA BB.9 Index | (676) | 9,000 | 2,269 | 9/17/58 | (500 bp) — Monthly | 1,585 | ||
CMBX NA BB.9 Index | (324) | 6,000 | 1,513 | 9/17/58 | (500 bp) — Monthly | 1,184 | ||
CMBX NA BB.9 Index | (50) | 1,000 | 252 | 9/17/58 | (500 bp) — Monthly | 202 | ||
CMBX NA BBB−.10 Index | (68,443) | 406,000 | 51,197 | 11/17/59 | (300 bp) — Monthly | (17,449) | ||
CMBX NA BBB−.10 Index | (31,090) | 359,000 | 45,270 | 11/17/59 | (300 bp) — Monthly | 14,001 | ||
CMBX NA BBB−.10 Index | (21,346) | 173,000 | 21,815 | 11/17/59 | (300 bp) — Monthly | 383 | ||
CMBX NA BBB−.10 Index | (26,573) | 109,000 | 13,745 | 11/17/59 | (300 bp) — Monthly | (12,883) | ||
CMBX NA BBB−.10 Index | (25,780) | 109,000 | 13,745 | 11/17/59 | (300 bp) — Monthly | (12,089) | ||
CMBX NA BBB−.10 Index | (11,922) | 94,000 | 11,853 | 11/17/59 | (300 bp) — Monthly | (115) | ||
CMBX NA BBB−.10 Index | (11,034) | 87,000 | 10,971 | 11/17/59 | (300 bp) — Monthly | (107) | ||
CMBX NA BBB−.10 Index | (13,752) | 63,000 | 7,944 | 11/17/59 | (300 bp) — Monthly | (5,839) | ||
CMBX NA BBB−.10 Index | (12,857) | 56,000 | 7,062 | 11/17/59 | (300 bp) — Monthly | (5,824) | ||
CMBX NA BBB−.10 Index | (5,421) | 25,000 | 3,153 | 11/17/59 | (300 bp) — Monthly | (2,281) | ||
CMBX NA BBB−.10 Index | (4,757) | 22,000 | 2,774 | 11/17/59 | (300 bp) — Monthly | (1,994) | ||
CMBX NA BBB−.11 Index | (6,242) | 20,000 | 2,200 | 11/18/54 | (300 bp) — Monthly | (4,052) | ||
CMBX NA BBB−.11 Index | (4,747) | 15,000 | 1,650 | 11/18/54 | (300 bp) — Monthly | (3,105) | ||
CMBX NA BBB−.12 Index | (1,319) | 32,000 | 3,939 | 8/17/61 | (300 bp) — Monthly | 2,604 | ||
CMBX NA BBB−.12 Index | (4,320) | 13,000 | 1,600 | 8/17/61 | (300 bp) — Monthly | (2,727) | ||
CMBX NA BBB−.13 Index | (22,865) | 371,000 | 50,122 | 12/16/72 | (300 bp) — Monthly | 27,072 |
74 Fixed Income Absolute Return Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BBB−.7 Index | $(1,397) | $22,000 | $3,993 | 1/17/47 | (300 bp) — Monthly | $2,585 | ||
CMBX NA BBB−.8 Index | (96,295) | 619,000 | 81,151 | 10/17/57 | (300 bp) — Monthly | (15,454) | ||
CMBX NA BBB−.8 Index | (49,083) | 313,000 | 41,034 | 10/17/57 | (300 bp) — Monthly | (8,205) | ||
CMBX NA BBB−.8 Index | (27,473) | 216,000 | 28,318 | 10/17/57 | (300 bp) — Monthly | 737 | ||
CMBX NA BBB−.8 Index | (27,405) | 216,000 | 28,318 | 10/17/57 | (300 bp) — Monthly | 805 | ||
CMBX NA BBB−.8 Index | (26,192) | 183,000 | 23,991 | 10/17/57 | (300 bp) — Monthly | (2,292) | ||
CMBX NA BBB−.8 Index | (11,621) | 75,000 | 9,833 | 10/17/57 | (300 bp) — Monthly | (1,826) | ||
CMBX NA BBB−.8 Index | (9,845) | 63,000 | 8,259 | 10/17/57 | (300 bp) — Monthly | (1,615) | ||
Upfront premium received | — | Unrealized appreciation | 1,624,040 | |||||
Upfront premium (paid) | (4,066,761) | Unrealized (depreciation) | (736,987) | |||||
Total | $(4,066,761) | Total | $887,053 | |||||
* 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. | ||||||||
Fixed Income Absolute Return Fund 75 |
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.
Valuation inputs | |||
Investments in securities: | Level 1 | Level 2 | Level 3 |
Asset-backed securities | $— | $3,214,330 | $— |
Collateralized loan obligations | — | 37,229,635 | — |
Convertible bonds and notes | — | 3,986,062 | — |
Corporate bonds and notes | — | 58,538,252 | — |
Foreign government and agency bonds and notes | — | 19,707,716 | — |
Mortgage-backed securities | — | 175,681,036 | — |
Purchased swap options outstanding | — | 6,105,941 | — |
Senior loans | — | 26,166,332 | — |
U.S. government and agency mortgage obligations | — | 427,260,581 | — |
U.S. treasury obligations | — | 1,343,625 | — |
Short-term investments | 3,020,000 | 91,819,164 | — |
Totals by level | $3,020,000 | $851,052,674 | $— |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Forward currency contracts | $— | $(399,877) | $— |
Futures contracts | 3,143,001 | — | — |
Written swap options outstanding | — | (11,972,652) | — |
Forward premium swap option contracts | — | (1,022,307) | — |
TBA sale commitments | — | (344,130,390) | — |
Interest rate swap contracts | — | 6,072,366 | — |
Credit default contracts | — | 348,008 | — |
Totals by level | $3,143,001 | $(351,104,852) | $— |
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. |
The accompanying notes are an integral part of these financial statements.
76 Fixed Income Absolute Return Fund |
Statement of assets and liabilities 4/30/22 (Unaudited)
ASSETS | |
Investment in securities, at value (Notes 1 and 9): | |
Unaffiliated issuers (identified cost $883,189,531) | $854,072,674 |
Cash | 56,972 |
Foreign currency (cost $599) (Note 1) | 646 |
Interest and other receivables | 3,628,584 |
Receivable for shares of the fund sold | 727,844 |
Receivable for investments sold | 1,063,487 |
Receivable for sales of delayed delivery securities (Note 1) | 968,418 |
Receivable for sales of TBA securities (Note 1) | 251,061,155 |
Receivable for variation margin on futures contracts (Note 1) | 156,893 |
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 1,381,341 |
Unrealized appreciation on forward currency contracts (Note 1) | 1,263,245 |
Unrealized appreciation on forward premium swap option contracts (Note 1) | 24,461,310 |
Unrealized appreciation on OTC swap contracts (Note 1) | 2,050,972 |
Premium paid on OTC swap contracts (Note 1) | 4,102,738 |
Total assets | 1,144,996,279 |
LIABILITIES | |
Payable for investments purchased | 395,196 |
Payable for purchases of delayed delivery securities (Note 1) | 2,355,096 |
Payable for purchases of TBA securities (Note 1) | 334,861,220 |
Payable for shares of the fund repurchased | 481,593 |
Payable for compensation of Manager (Note 2) | 438,910 |
Payable for Trustee compensation and expenses (Note 2) | 116,785 |
Payable for distribution fees (Note 2) | 30,685 |
Payable for variation margin on centrally cleared swap contracts (Note 1) | 1,194,215 |
Unrealized depreciation on forward currency contracts (Note 1) | 1,663,122 |
Unrealized depreciation on forward premium swap option contracts (Note 1) | 25,483,617 |
Written options outstanding, at value (premiums $9,119,706) (Note 1) | 11,972,652 |
TBA sale commitments, at value (proceeds receivable $348,856,191) (Note 1) | 344,130,390 |
Unrealized depreciation on OTC swap contracts (Note 1) | 3,064,114 |
Premium received on OTC swap contracts (Note 1) | 2,741,588 |
Collateral on certain derivative contracts, at value (Notes 1 and 9) | 4,363,625 |
Other accrued expenses | 3,475 |
Total liabilities | 733,296,283 |
Net assets | $411,699,996 |
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $582,304,649 |
Total distributable earnings (Note 1) | (170,604,653) |
Total — Representing net assets applicable to capital shares outstanding | $411,699,996 |
(Continued on next page)
Fixed Income Absolute Return Fund 77 |
Statement of assets and liabilities cont.
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share | |
($118,928,085 divided by 13,668,025 shares) | $8.70 |
Offering price per class A share (100/97.75 of $8.70)* | $8.90 |
Net asset value and offering price per class B share ($483,230 divided by 55,662 shares)** | $8.68 |
Net asset value and offering price per class C share ($6,859,999 divided by 791,107 shares)** | $8.67 |
Net asset value, offering price and redemption price per class P share | |
($195,133,746 divided by 22,343,694 shares) | $8.73 |
Net asset value, offering price and redemption price per class R share | |
($261,604 divided by 29,885 shares) | $8.75 |
Net asset value, offering price and redemption price per class R6 share | |
($1,235,190 divided by 141,412 shares) | $8.73 |
Net asset value, offering price and redemption price per class Y share | |
($88,798,142 divided by 10,198,886 shares) | $8.71 |
* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
78 Fixed Income Absolute Return Fund |
Statement of operations Six months ended 4/30/22 (Unaudited)
INVESTMENT INCOME | |
Interest (net of foreign tax of $396) (including interest income of $6,375 from investments | |
in affiliated issuers) (Note 5) | $9,808,134 |
Total investment income | 9,808,134 |
EXPENSES | |
Compensation of Manager (Note 2) | 971,696 |
Distribution fees (Note 2) | 195,831 |
Other | 1,515 |
Total expenses | 1,169,042 |
Expense reduction (Note 2) | (168) |
Net expenses | 1,168,874 |
Net investment income | 8,639,260 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Securities from unaffiliated issuers (Notes 1 and 3) | (8,745,683) |
Foreign currency transactions (Note 1) | 3,160 |
Forward currency contracts (Note 1) | (1,548,737) |
Futures contracts (Note 1) | 6,282,558 |
Swap contracts (Note 1) | (2,811,232) |
Written options (Note 1) | (3,312,628) |
Total net realized loss | (10,132,562) |
Change in net unrealized appreciation (depreciation) on: | |
Securities from unaffiliated issuers and TBA sale commitments | (5,403,008) |
Assets and liabilities in foreign currencies | (1,739) |
Forward currency contracts | 1,550,776 |
Futures contracts | 1,611,708 |
Swap contracts | 10,205,842 |
Written options | (9,733,818) |
Total change in net unrealized depreciation | (1,770,239) |
Net loss on investments | (11,902,801) |
Net decrease in net assets resulting from operations | $(3,263,541) |
The accompanying notes are an integral part of these financial statements.
Fixed Income Absolute Return Fund 79 |
Statement of changes in net assets
DECREASE IN NET ASSETS | Six months ended 4/30/22* | Year ended 10/31/21 |
Operations | ||
Net investment income | $8,639,260 | $17,100,826 |
Net realized loss on investments | ||
and foreign currency transactions | (10,132,562) | (14,459,812) |
Change in net unrealized depreciation of investments | ||
and assets and liabilities in foreign currencies | (1,770,239) | (4,232,749) |
Net decrease in net assets resulting from operations | (3,263,541) | (1,591,735) |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class A | (3,653,544) | (4,465,400) |
Class B | (15,380) | (23,543) |
Class C | (204,145) | (361,574) |
Class P | (5,851,445) | (6,564,523) |
Class R | (7,471) | (10,921) |
Class R6 | (44,214) | (145,568) |
Class Y | (2,815,542) | (4,287,598) |
Decrease from capital share transactions (Note 4) | (11,582,331) | (52,386,295) |
Total decrease in net assets | (27,437,613) | (69,837,157) |
NET ASSETS | ||
Beginning of period | 439,137,609 | 508,974,766 |
End of period | $411,699,996 | $439,137,609 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
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Fixed Income Absolute Return Fund 81 |
Financial highlights
(For a common share outstanding throughout the period)
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
Ratio of net | |||||||||||||
Net asset | Net realized | Ratio | investment | ||||||||||
value, | and unrealized | Total from | From net | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | investment | From | Total | value, end | at net asset | end of period | to average | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | income | return of capital | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)d |
Class A | |||||||||||||
April 30, 2022** | $9.04 | .17 | (.25) | (.08) | (.26) | — | (.26) | $8.70 | (.90)* | $118,928 | .35* | 1.95* | 754* |
October 31, 2021 | 9.40 | .32 | (.38) | (.06) | (.30) | — | (.30) | 9.04 | (.73) | 133,135 | .77 | 3.42 | 908 |
October 31, 2020 | 9.83 | .29 | (.36) | (.07) | (.23) | (.13) | (.36) | 9.40 | (.67) | 139,880 | .78 | 3.05 | 844 |
October 31, 2019 | 9.73 | .34 | .22 | .56 | (.46) | — | (.46) | 9.83 | 5.93 | 151,339 | .86 | 3.49 | 632 |
October 31, 2018 | 10.06 | .38 | (.13) | .25 | (.58) | — | (.58) | 9.73 | 2.59 | 160,939 | .79 | 3.87 | 532 |
October 31, 2017 | 9.76 | .36 | .23 | .59 | (.29) | — | (.29) | 10.06 | 6.24 | 169,580 | .70 | 3.61 | 742 |
Class B | |||||||||||||
April 30, 2022** | $9.01 | .17 | (.25) | (.08) | (.25) | — | (.25) | $8.68 | (.91)* | $483 | .45* | 1.93* | 754* |
October 31, 2021 | 9.37 | .31 | (.39) | (.08) | (.28) | — | (.28) | 9.01 | (.97) | 616 | .97 | 3.24 | 908 |
October 31, 2020 | 9.80 | .28 | (.37) | (.09) | (.22) | (.12) | (.34) | 9.37 | (.91) | 1,033 | .98 | 2.97 | 844 |
October 31, 2019 | 9.70 | .32 | .21 | .53 | (.43) | — | (.43) | 9.80 | 5.69 | 1,699 | 1.06 | 3.37 | 632 |
October 31, 2018 | 10.00 | .36 | (.13) | .23 | (.53) | — | (.53) | 9.70 | 2.42 | 2,841 | .99 | 3.68 | 532 |
October 31, 2017 | 9.71 | .34 | .23 | .57 | (.28) | — | (.28) | 10.00 | 5.96 | 5,269 | .90 | 3.43 | 742 |
Class C | |||||||||||||
April 30, 2022** | $9.00 | .13e | (.23) | (.10) | (.23) | — | (.23) | $8.67 | (1.17)* | $6,860 | .73* | 1.47*e | 754* |
October 31, 2021 | 9.36 | .24 | (.37) | (.13) | (.23) | — | (.23) | 9.00 | (1.52) | 9,014 | 1.52 | 2.53 | 908 |
October 31, 2020 | 9.79 | .22 | (.36) | (.14) | (.19) | (.10) | (.29) | 9.36 | (1.44) | 24,205 | 1.53 | 2.37 | 844 |
October 31, 2019 | 9.70 | .27 | .20 | .47 | (.38) | — | (.38) | 9.79 | 5.04 | 40,918 | 1.61 | 2.76 | 632 |
October 31, 2018 | 9.96 | .30 | (.11) | .19 | (.45) | — | (.45) | 9.70 | 1.92 | 54,654 | 1.54 | 3.11 | 532 |
October 31, 2017 | 9.65 | .28 | .24 | .52 | (.21) | — | (.21) | 9.96 | 5.43 | 67,174 | 1.45 | 2.87 | 742 |
Class P | |||||||||||||
April 30, 2022** | $9.07 | .19 | (.26) | (.07) | (.27) | — | (.27) | $8.73 | (.77)* | $195,134 | .23* | 2.10* | 754* |
October 31, 2021 | 9.43 | .35 | (.39) | (.04) | (.32) | — | (.32) | 9.07 | (.47) | 192,596 | .52 | 3.69 | 908 |
October 31, 2020 | 9.86 | .31 | (.35) | (.04) | (.25) | (.14) | (.39) | 9.43 | (.42) | 188,742 | .53 | 3.30 | 844 |
October 31, 2019 | 9.76 | .36 | .22 | .58 | (.48) | — | (.48) | 9.86 | 6.18 | 162,120 | .61 | 3.73 | 632 |
October 31, 2018 | 10.11 | .41 | (.13) | .28 | (.63) | — | (.63) | 9.76 | 2.88 | 138,235 | .54 | 4.14 | 532 |
October 31, 2017 | 9.79 | .39 | .23 | .62 | (.30) | — | (.30) | 10.11 | 6.54 | 76,710 | .45 | 3.90 | 742 |
Class R | |||||||||||||
April 30, 2022** | $9.09 | .16 | (.25) | (.09) | (.25) | — | (.25) | $8.75 | (1.04)* | $262 | .48* | 1.81* | 754* |
October 31, 2021 | 9.45 | .30 | (.38) | (.08) | (.28) | — | (.28) | 9.09 | (.97) | 334 | 1.02 | 3.15 | 908 |
October 31, 2020 | 9.88 | .26 | (.35) | (.09) | (.22) | (.12) | (.34) | 9.45 | (.91) | 355 | 1.03 | 2.77 | 844 |
October 31, 2019 | 9.78 | .31 | .22 | .53 | (.43) | — | (.43) | 9.88 | 5.64 | 388 | 1.11 | 3.20 | 632 |
October 31, 2018 | 10.09 | .36 | (.13) | .23 | (.54) | — | (.54) | 9.78 | 2.36 | 196 | 1.04 | 3.59 | 532 |
October 31, 2017 | 9.77 | .33 | .24 | .57 | (.25) | — | (.25) | 10.09 | 5.96 | 213 | .95 | 3.36 | 742 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
82 Fixed Income Absolute Return Fund | Fixed Income Absolute Return Fund 83 |
Financial highlights cont.
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
Ratio of net | |||||||||||||
Net asset | Net realized | Ratio | investment | ||||||||||
value, | and unrealized | Total from | From net | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | investment | From | Total | value, end | at net asset | end of period | to average | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | income | return of capital | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)d |
Class R6 | |||||||||||||
April 30, 2022** | $9.07 | .19 | (.26) | (.07) | (.27) | — | (.27) | $8.73 | (.77)* | $1,235 | .23* | 2.11* | 754* |
October 31, 2021 | 9.43 | .35 | (.39) | (.04) | (.32) | — | (.32) | 9.07 | (.47) | 1,509 | .52 | 3.66 | 908 |
October 31, 2020 | 9.86 | .31 | (.35) | (.04) | (.25) | (.14) | (.39) | 9.43 | (.42) | 10,989 | .53 | 3.29 | 844 |
October 31, 2019 | 9.76 | .36 | .22 | .58 | (.48) | — | (.48) | 9.86 | 6.17 | 9,865 | .61 | 3.74 | 632 |
October 31, 2018 | 10.11 | .41 | (.13) | .28 | (.63) | — | (.63) | 9.76 | 2.87 | 9,091 | .54 | 4.13 | 532 |
October 31, 2017 | 9.82 | .39 | .23 | .62 | (.33) | — | (.33) | 10.11 | 6.45 | 6,412 | .45 | 3.91 | 742 |
Class Y | |||||||||||||
April 30, 2022** | $9.04 | .19 | (.25) | (.06) | (.27) | — | (.27) | $8.71 | (.66)* | $88,798 | .23* | 2.13* | 754* |
October 31, 2021 | 9.40 | .35 | (.39) | (.04) | (.32) | — | (.32) | 9.04 | (.48) | 101,933 | .52 | 3.70 | 908 |
October 31, 2020 | 9.83 | .32 | (.36) | (.04) | (.25) | (.14) | (.39) | 9.40 | (.42) | 143,770 | .53 | 3.38 | 844 |
October 31, 2019 | 9.74 | .37 | .20 | .57 | (.48) | — | (.48) | 9.83 | 6.08 | 194,904 | .61 | 3.77 | 632 |
October 31, 2018 | 10.09 | .41 | (.13) | .28 | (.63) | — | (.63) | 9.74 | 2.89 | 192,459 | .54 | 4.15 | 532 |
October 31, 2017 | 9.79 | .39 | .24 | .63 | (.33) | — | (.33) | 10.09 | 6.57 | 133,695 | .45 | 3.92 | 742 |
* Not annualized.
** Unaudited.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Portfolio turnover includes TBA purchase and sale commitments.
e The net investment income ratio and per share amount shown for the period ending may not correspond with the expected class specific differences for the period due to the timing of subscriptions or redemptions into or out of the class.
The accompanying notes are an integral part of these financial statements.
84 Fixed Income Absolute Return Fund | Fixed Income Absolute Return Fund 85 |
Notes to financial statements 4/30/22 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from November 1, 2021 through April 30, 2022.
Putnam Fixed Income Absolute Return Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek positive total return. The fund is designed to pursue a consistent absolute return through a broadly diversified portfolio reflecting uncorrelated fixed-income strategies designed to exploit market inefficiencies across global markets and fixed-income sectors. These strategies include investments in the following asset categories: (a) sovereign debt: obligations of governments in developed and emerging markets; (b) corporate credit: investment-grade debt, below-investment-grade debt (sometimes referred to as “junk bonds”), bank loans, convertible bonds and structured credit; and (c) securitized assets: asset-backed securities, residential mortgage-backed securities (which may be backed by non-qualified or “sub-prime” mortgages), commercial mortgage-backed securities, collateralized loan obligations (“CLOs”), and collateralized mortgage obligations. The fund currently has significant investment exposure to residential and commercial mortgage-backed investments. In pursuing a consistent absolute return, the fund’s strategies are also generally intended to produce lower volatility over a reasonable period of time than has been historically associated with traditional asset classes that have earned similar levels of return over long historical periods. These traditional asset classes might include, for example, bonds with moderate exposure to interest rate and credit risks. Under normal circumstances, Putnam Management will invest at least 80% of the fund’s net assets in fixed-income securities (fixed-income securities include any debt instrument, and may be represented by other investment instruments, including derivatives). This policy may be changed only after 60 days’ notice to shareholders. Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes. Accordingly, the fund may use derivatives to a significant extent to obtain or enhance exposure to the fixed-income sectors and strategies mentioned above, and to hedge against risk.
The fund offers class A, class B, class C, class P, class R, class R6 and class Y shares. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A shares are sold with a maximum front-end sales charge of 2.25%. Class A shares generally are not subject to a contingent deferred sales charge, and class P, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within two years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately eight years. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class P, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C and class R shares, but do not bear a distribution fee, and in the case of class P and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class P shares are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
86 Fixed Income Absolute Return Fund |
Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific
Fixed Income Absolute Return Fund 87 |
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.
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
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 $72,652,572 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. Putnam Management 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.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from
88 Fixed Income Absolute Return Fund |
changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
Fixed Income Absolute Return Fund 89 |
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and
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obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
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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 pledged to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $11,711,659 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $11,590,485 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any,
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are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At October 31, 2021, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
Loss carryover | ||
Short-term | Long-term | Total |
$85,327,543 | $35,142,801 | $120,470,344 |
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $546,404,171, resulting in gross unrealized appreciation and depreciation of $52,119,569 and $92,412,917, respectively, or net unrealized depreciation of $40,293,348.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a monthly base fee equal to 0.60% of the monthly average of the fund’s net asset value. In return for this fee, Putnam Management provides investment management and investor servicing and bears the fund’s organizational and operating expenses, excluding performance fee adjustments, payments under the fund’s distribution plan, brokerage, interest, taxes, investment related expenses, extraordinary expenses and acquired fund fees and expenses.
The applicable base fee is increased or decreased for each month by an amount based on the performance of the fund. The amount of the increase or decrease is calculated monthly based on a performance adjustment rate that is equal to 0.04 multiplied by the difference between the fund’s annualized performance (measured by the fund’s class A shares) and the annualized performance of the ICE BofA U.S. Treasury Bill Index plus 3.00% over the thirty-six month period then ended (the performance period). The maximum annualized performance adjustment rate is +/- 0.12%. Each month, the performance adjustment rate is multiplied by the fund’s average net assets over the performance period and the result is divided by twelve. The resulting dollar amount is added to, or subtracted from, the base fee for that month. The monthly base fee is determined based on the fund’s average net assets for the month, while the performance adjustment is determined based on the fund’s average net assets over the thirty-six month performance period. This means it is possible that, if the fund underperforms significantly over the performance period, and the fund’s assets have declined significantly over that period, the negative performance adjustment may exceed the base fee. In this event, Putnam Management would make a payment to the fund.
Because the performance adjustment is based on the fund’s performance relative to its applicable benchmark index, and not its absolute performance, the performance adjustment could increase Putnam Management’s fee even if the fund’s shares lose value during the performance period provided that the fund outperformed its benchmark index, and could decrease Putnam Management’s fee even if the fund’s shares increase in value during the performance period provided that the fund underperformed its benchmark index.
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For the reporting period, the management fee represented an effective rate (excluding the impact of any expense waiver in effect) of 0.230% of the fund’s average net assets, which included an effective base fee of 0.298% and a decrease of 0.068% ($283,696) based on performance.
Putnam Management has contractually agreed, through February 28, 2023, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.
The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.
The aggregate amount of all reimbursements for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund is determined annually by the Trustees. These fees are being paid by Putnam Management as part of the management contract.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes. These fees are being paid by Putnam Management as part of the management contract.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts. Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%. Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. These fees are being paid by Putnam Management as part of the management contract.
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $168 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $308, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees. These fees are being paid by Putnam Management as part of the management contract.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003. These fees are being paid by Putnam Management as part of the management contract.
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The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
Maximum % | Approved % | Amount | |
Class A | 0.35% | 0.25% | $154,996 |
Class B | 1.00% | 0.45% | 1,214 |
Class C | 1.00% | 1.00% | 38,954 |
Class R | 1.00% | 0.50% | 667 |
Total | $195,831 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $5,412 from the sale of class A shares and received $3 and $171 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $15 on class A redemptions.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
Cost of purchases | Proceeds from sales | |
Investments in securities, including TBA commitments (Long-term) | $3,295,931,515 | $3,288,257,814 |
U.S. government securities (Long-term) | — | — |
Total | $3,295,931,515 | $3,288,257,814 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 929,265 | $8,203,007 | 3,018,790 | $28,769,751 |
Shares issued in connection with | ||||
reinvestment of distributions | 394,848 | 3,478,308 | 449,507 | 4,240,597 |
1,324,113 | 11,681,315 | 3,468,297 | 33,010,348 | |
Shares repurchased | (2,390,878) | (21,154,075) | (3,617,428) | (34,204,534) |
Net decrease | (1,066,765) | $(9,472,760) | (149,131) | $(1,194,186) |
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SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class B | Shares | Amount | Shares | Amount |
Shares sold | 2,719 | $23,710 | 1,345 | $12,777 |
Shares issued in connection with | ||||
reinvestment of distributions | 1,750 | 15,380 | 2,446 | 23,060 |
4,469 | 39,090 | 3,791 | 35,837 | |
Shares repurchased | (17,125) | (151,295) | (45,719) | (432,296) |
Net decrease | (12,656) | $(112,205) | (41,928) | $(396,459) |
SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class C | Shares | Amount | Shares | Amount |
Shares sold | 23,836 | $210,042 | 129,031 | $1,222,034 |
Shares issued in connection with | ||||
reinvestment of distributions | 22,862 | 200,746 | 37,577 | 354,872 |
46,698 | 410,788 | 166,608 | 1,576,906 | |
Shares repurchased | (256,659) | (2,264,361) | (1,750,668) | (16,683,455) |
Net decrease | (209,961) | $(1,853,573) | (1,584,060) | $(15,106,549) |
SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class P | Shares | Amount | Shares | Amount |
Shares sold | 4,551,045 | $40,337,063 | 15,917,117 | $151,466,493 |
Shares issued in connection with | ||||
reinvestment of distributions | 661,867 | 5,850,152 | 693,509 | 6,564,523 |
5,212,912 | 46,187,215 | 16,610,626 | 158,031,016 | |
Shares repurchased | (4,106,040) | (36,436,393) | (15,382,964) | (146,514,244) |
Net increase | 1,106,872 | $9,750,822 | 1,227,662 | $11,516,772 |
SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class R | Shares | Amount | Shares | Amount |
Shares sold | 3,194 | $28,450 | 8,165 | $77,986 |
Shares issued in connection with | ||||
reinvestment of distributions | 843 | 7,471 | 1,151 | 10,921 |
4,037 | 35,921 | 9,316 | 88,907 | |
Shares repurchased | (10,957) | (98,552) | (10,063) | (95,054) |
Net decrease | (6,920) | $(62,631) | (747) | $(6,147) |
SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class R6 | Shares | Amount | Shares | Amount |
Shares sold | 6,442 | $57,178 | 138,822 | $1,332,356 |
Shares issued in connection with | ||||
reinvestment of distributions | 5,001 | 44,214 | 15,264 | 145,568 |
11,443 | 101,392 | 154,086 | 1,477,924 | |
Shares repurchased | (36,438) | (322,129) | (1,152,671) | (11,092,075) |
Net decrease | (24,995) | $(220,737) | (998,585) | $(9,614,151) |
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SIX MONTHS ENDED 4/30/22 | YEAR ENDED 10/31/21 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 2,268,465 | $20,053,971 | 4,352,295 | $41,512,026 |
Shares issued in connection with | ||||
reinvestment of distributions | 316,314 | 2,787,823 | 449,507 | 4,248,199 |
2,584,779 | 22,841,794 | 4,801,802 | 45,760,225 | |
Shares repurchased | (3,659,446) | (32,453,041) | (8,814,874) | (83,345,800) |
Net decrease | (1,074,667) | $(9,611,247) | (4,013,072) | $(37,585,575) |
At the close of the reporting period, the Putnam RetirementReady Funds owned 47.3% of the outstanding shares of the fund.
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
Shares | |||||
outstanding | |||||
and fair | |||||
Fair value as | Purchase | Sale | Investment | value as | |
Name of affiliate | of 10/31/21 | cost | proceeds | income | of 4/30/22 |
Short-term investments | |||||
Putnam Short Term | |||||
Investment Fund** | $23,846,323 | $47,509,658 | $71,355,981 | $6,375 | $— |
Total Short-term | |||||
investments | $23,846,323 | $47,509,658 | $71,355,981 | $6,375 | $— |
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021.LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased
Fixed Income Absolute Return Fund 97 |
volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.
Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid–19. The outbreak of Covid–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.
Note 7: Senior loan commitments
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.
Note 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
Purchased currency option contracts (contract amount) | $12,600,000 |
Purchased swap option contracts (contract amount) | $1,225,600,000 |
Written currency option contracts (contract amount) | $950,000 |
Written swap option contracts (contract amount) | $1,129,800,000 |
Futures contracts (number of contracts) | 1,000 |
Forward currency contracts (contract amount) | $186,000,000 |
Centrally cleared interest rate swap contracts (notional) | $917,800,000 |
Centrally cleared total return swap contracts (notional) | $13,300,000 |
OTC credit default contracts (notional) | $57,400,000 |
98 Fixed Income Absolute Return Fund |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period | ||||
ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
Derivatives not | ||||
accounted for as | Statement of | Statement of | ||
hedging instruments | assets and | assets and | ||
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
Credit contracts | Receivables | $4,953,814 | Payables | $4,605,806 |
Foreign exchange | ||||
contracts | Receivables | 1,263,245 | Payables | 1,663,122 |
Investments, | ||||
Receivables, Net | ||||
assets — Unrealized | Payables, Net assets — | |||
Interest rate contracts | appreciation | 57,891,221* | Unrealized depreciation | 55,564,872* |
Total | $64,108,280 | $61,833,800 |
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | |||||
Derivatives not accounted | Forward | ||||
for as hedging instruments | currency | ||||
under ASC 815 | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $(2,971,832) | $(2,971,832) |
Foreign exchange contracts | (361,854) | — | (1,548,737) | — | $(1,910,591) |
Interest rate contracts | (977,856) | 6,282,558 | — | 160,600 | $5,465,302 |
Total | $(1,339,710) | $6,282,558 | $(1,548,737) | $(2,811,232) | $582,879 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | |||||
on investments | |||||
Derivatives not accounted | Forward | ||||
for as hedging instruments | currency | ||||
under ASC 815 | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $3,687,334 | $3,687,334 |
Foreign exchange contracts | 376,242 | — | 1,550,776 | — | $1,927,018 |
Interest rate contracts | (3,250,071) | 1,611,708 | — | 6,518,508 | $4,880,145 |
Total | $(2,873,829) | $1,611,708 | $1,550,776 | $10,205,842 | $10,494,497 |
Fixed Income Absolute Return Fund 99 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto- Dominion Bank | UBS AG | Wells Fargo Bank, N.A. | WestPac Banking Corp. | Total | |
Assets: | |||||||||||||||||||||
Centrally cleared | |||||||||||||||||||||
interest rate swap | |||||||||||||||||||||
contracts§ | $— | $— | $1,381,341 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $1,381,341 |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection | |||||||||||||||||||||
purchased*# | — | — | — | — | — | 1,151,945 | 868,209 | — | 1,476,078 | — | — | 652,408 | 87,370 | 717,804 | — | — | — | — | — | — | 4,953,814 |
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | 156,893 | — | — | — | — | — | — | — | — | 156,893 |
Forward currency | |||||||||||||||||||||
contracts# | 9,968 | 12,861 | — | — | 29 | — | — | — | 6,482 | 165,798 | 44,363 | — | — | 179,815 | 124,823 | 621,558 | 47,858 | 18,770 | — | 30,920 | 1,263,245 |
Forward premium | |||||||||||||||||||||
swap option | |||||||||||||||||||||
contracts# | 6,075,037 | 95,791 | — | — | 6,284,439 | — | — | 317,873 | 1,844,633 | — | 2,197,813 | — | — | 438,575 | — | — | 1,245,216 | 4,049,654 | 1,912,279 | — | 24,461,310 |
Purchased swap | |||||||||||||||||||||
options**# | 14,042 | — | — | — | — | — | — | — | 608,908 | — | 1,135,467 | — | — | 1,340,303 | 1,230,778 | — | — | 1,776,443 | — | — | 6,105,941 |
Repurchase | |||||||||||||||||||||
agreements** | — | — | — | — | — | 71,228,000 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 71,228,000 |
Total Assets | $6,099,047 | $108,652 | $1,381,341 | $— | $6,284,468 | $72,379,945 | $868,209 | $317,873 | $3,936,101 | $165,798 | $3,377,643 | $809,301 | $87,370 | $2,676,497 | $1,355,601 | $621,558 | $1,293,074 | $5,844,867 | $1,912,279 | $30,920 | $109,550,544 |
Liabilities: | |||||||||||||||||||||
Centrally cleared | |||||||||||||||||||||
interest rate swap | |||||||||||||||||||||
contracts§ | $— | $— | $1,194,215 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $1,194,215 |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection sold*# | 472,936 | — | — | — | — | 1,793,155 | 407,322 | — | 975,643 | — | — | 369,602 | 20,278 | 566,870 | — | — | — | — | — | — | 4,605,806 |
OTC Credit default | |||||||||||||||||||||
contracts — | |||||||||||||||||||||
protection | |||||||||||||||||||||
purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Forward currency | |||||||||||||||||||||
contracts# | 986 | 72,545 | — | — | — | — | 8,223 | — | 130,347 | — | 3,067 | — | — | 4,738 | 9,009 | 138,501 | 391,341 | 903,907 | — | 458 | 1,663,122 |
Forward premium | |||||||||||||||||||||
swap option | |||||||||||||||||||||
contracts# | 7,274,299 | 44,578 | — | — | 8,971,174 | — | — | 213,812 | 2,489,939 | — | 2,357,346 | — | — | 635,695 | — | — | 466,902 | 2,163,987 | 865,885 | — | 25,483,617 |
100 Fixed Income Absolute Return Fund | Fixed Income Absolute Return Fund 101 |
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto- Dominion Bank | UBS AG | Wells Fargo Bank, N.A. | WestPac Banking Corp. | Total | |
Written swap | |||||||||||||||||||||
options# | $621,786 | $— | $— | $— | $2,212,126 | $— | $— | $— | $505,910 | $— | $3,079,797 | $— | $— | $2,328,838 | $2,150,829 | $— | $196,109 | $877,257 | $— | $— | $11,972,652 |
Total Liabilities | $8,370,007 | $117,123 | $1,194,215 | $— | $11,183,300 | $1,793,155 | $415,545 | $213,812 | $4,101,839 | $— | $5,440,210 | $369,602 | $20,278 | $3,536,141 | $2,159,838 | $138,501 | $1,054,352 | $3,945,151 | $865,885 | $458 | $44,919,412 |
Total Financial | |||||||||||||||||||||
and Derivative | |||||||||||||||||||||
Net Assets | $(2,270,960) | $(8,471) | $187,126 | $— | $(4,898,832) | $70,586,790 | $452,664 | $104,061 | $(165,738) | $165,798 | $(2,062,567) | $439,699 | $67,092 | $(859,644) | $(804,237) | $483,057 | $238,722 | $1,899,716 | $1,046,394 | $30,462 | $64,631,132 |
Total collateral | |||||||||||||||||||||
received | |||||||||||||||||||||
(pledged)##† | $(2,270,960) | $— | $— | $— | $(4,810,705) | $70,586,790 | $452,664 | $104,061 | $(165,738) | $110,000 | $(2,039,192) | $310,000 | $— | $(775,674) | $(804,237) | $455,207 | $110,000 | $1,820,000 | $988,418 | $— | |
Net amount | $— | $(8,471) | $187,126 | $— | $(88,127) | $— | $— | $— | $— | $55,798 | $(23,375) | $129,699 | $67,092 | $(83,970) | $— | $27,850 | $128,722 | $79,716 | $57,976 | $30,462 | |
Controlled | |||||||||||||||||||||
collateral received | |||||||||||||||||||||
(including TBA | |||||||||||||||||||||
commitments)** | $— | $— | $— | $— | $— | $— | $460,000 | $110,000 | $— | $110,000 | $— | $310,000 | $— | $— | $— | $455,207 | $110,000 | $1,820,000 | $988,418 | $— | $4,363,625 |
Uncontrolled | |||||||||||||||||||||
collateral received | $— | $— | $— | $— | $— | $72,652,572 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $72,652,572 |
Collateral | |||||||||||||||||||||
(pledged) | |||||||||||||||||||||
(including TBA | |||||||||||||||||||||
commitments)** | $(2,317,858) | $— | $— | $(270,892) | $(4,810,705) | $(648,546) | $— | $— | $(180,946) | $— | $(2,039,192) | $(1,073,670) | $— | $(775,674) | $(817,564) | $— | $— | $— | $— | $— | $(12,935,047) |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $1,005,601 and $2,582,728, respectively.
Note 10: New accounting pronouncements
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management expects that the adoption of the guidance will not have a material impact on the fund’s financial statements.
102 Fixed Income Absolute Return Fund | Fixed Income Absolute Return Fund 103 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
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Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
104 Fixed Income Absolute Return Fund |
Fund information
Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.
Investment Manager | Trustees | Richard T. Kircher |
Putnam Investment | Kenneth R. Leibler, Chair | Vice President and |
Management, LLC | Liaquat Ahamed | BSA Compliance Officer |
100 Federal Street | Ravi Akhoury | |
Boston, MA 02110 | Barbara M. Baumann | Martin Lemaire |
Katinka Domotorffy | Vice President and | |
Investment Sub-Advisors | Catharine Bond Hill | Derivatives Risk Manager |
Putnam Investments Limited | Paul L. Joskow | |
16 St James’s Street | George Putnam, III | Susan G. Malloy |
London, England SW1A 1ER | Robert L. Reynolds | Vice President and |
Manoj P. Singh | Assistant Treasurer | |
The Putnam Advisory Company, LLC | Mona K. Sutphen | |
100 Federal Street | Alan G. McCormack | |
Boston, MA 02110 | Officers | Vice President and |
Robert L. Reynolds | Derivatives Risk Manager | |
Marketing Services | President | |
Putnam Retail Management | Denere P. Poulack | |
Limited Partnership | James F. Clark | Assistant Vice President, |
100 Federal Street | Vice President, Chief Compliance | Assistant Clerk, and |
Boston, MA 02110 | Officer, and Chief Risk Officer | Assistant Treasurer |
Custodian | Nancy E. Florek | Janet C. Smith |
State Street Bank | Vice President, Director of | Vice President, |
and Trust Company | Proxy Voting and Corporate | Principal Financial Officer, |
Governance, Assistant Clerk, | Principal Accounting Officer, | |
Legal Counsel | and Assistant Treasurer | and Assistant Treasurer |
Ropes & Gray LLP | ||
Michael J. Higgins | Stephen J. Tate | |
Vice President, Treasurer, | Vice President and | |
and Clerk | Chief Legal Officer | |
Jonathan S. Horwitz | Mark C. Trenchard | |
Executive Vice President, | Vice President | |
Principal Executive Officer, | ||
and Compliance Liaison |
This report is for the information of shareholders of Putnam Fixed Income Absolute Return Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
Item 2. Code of Ethics: |
Not applicable |
Item 3. Audit Committee Financial Expert: |
Not applicable |
Item 4. Principal Accountant Fees and Services: |
Not applicable |
Item 5. Audit Committee of Listed Registrants |
Not applicable |
Item 6. Schedule of Investments: |
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. Controls and Procedures: |
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(b) Changes in internal control over financial reporting: Not applicable |
Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
Not Applicable |
Item 13. Exhibits: |
(a)(1) Not applicable |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Putnam Funds Trust |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: June 28, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: June 28, 2022 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: June 28, 2022 |