Form N-CSRS PUTNAM DIVERSIFIED INCOM For: Mar 31

May 23, 2022 11:30 AM EDT

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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: (811-05635)
Exact name of registrant as specified in charter: Putnam Diversified Income 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: September 30, 2022
Date of reporting period: October 1, 2021 – March 31, 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:



 


 

Message from the Trustees

May 10, 2022

Dear Fellow Shareholder:

Financial markets have been bumpy in recent months. Investors are weighing the risks of higher inflation, interest-rate increases by the Federal Reserve, and the global impact of Russia’s attack on Ukraine. Regional surges in Covid-19 infections are also complicating global trade.

In times like these, it’s worth remembering the benefits of staying focused on your long-term financial goals. 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 4.00%; had they, returns would have been lower. See below and pages 9–10 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.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/22. See above and pages 9–10 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 March 31, 2022?

After posting relatively subdued returns during the first half of the reporting period, fixed income markets became volatile during the second half. 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.

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 rose from 1.52% on September 30, 2021, to 2.32% on March 31, 2022. In anticipation of Fed policy changes, short-term yields rose even more, causing the yield curve to flatten materially.

On March 16, the Fed approved a 0.25% interest-rate hike, its first increase since December 2018. Fed Chair Jerome Powell signaled an aggressive approach going forward,

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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/22. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.

Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.


indicating that additional interest-rate hikes could occur at each of the remaining six policy meetings in 2022.

Which holdings and strategies hampered the fund’s performance?

First off, I think it’s important to highlight that the fund continued to invest outside the constraints of traditional fixed income benchmarks, seeking what we view as the best investment opportunities based on risk rather than asset class. These risks include interest rate, credit, prepayment, and liquidity. Despite the fund’s negative return, this emphasis on diversification helped it outpace the broad investment-grade fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index, during the reporting period.

In terms of specific strategies, our interest-rate and yield curve strategy was the primary detractor this period. The portfolio was positioned to benefit if inflation declined and real interest rates rose. [Real interest rates adjust for the effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] Rising inflation hurt our strategy, but the portfolio benefited from an increase in real interest rates during the first quarter of calendar 2022. This benefit partially offset the negative outcome of our broader term structure strategy.

Strategies targeting prepayment risk also proved negative overall. Yield spreads on our agency interest-only [IO] and inverse IO collateralized mortgage obligations [CMOs]

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widened during the fourth quarter of calendar 2021 due to broader market volatility. Our mortgage basis positioning helped offset some of this performance drag. Our mortgage basis strategy received a boost early in 2022, following the release of the minutes from the Fed’s December 2021 policy meeting. The minutes indicated the central bank might sell its holdings of government agency mortgage-backed securities [MBS] more rapidly than investors originally anticipated, which could cause MBS yields to rise more quickly. By way of explanation, our mortgage basis strategy seeks to capitalize on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages.

Elsewhere, our active currency strategy was a further detractor, primarily because our long exposure to the Japanese yen weakened significantly versus the U.S. dollar during March.

Holdings of emerging market [EM] debt also worked against performance. The turmoil resulting from Russia’s invasion of Ukraine hit EM bonds particularly hard in February. EM debt rebounded a bit in March but not enough to fully offset earlier weakness.

What about contributors?

Mortgage credit holdings added considerable value this period, led by an allocation to commercial mortgage-backed securities [CMBS]. Our investments consisted of cash bonds along with synthetic exposure via CMBX. [CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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particular year.] Despite broader market volatility, the continued reopening of the economy and the success of vaccines helped many types of property to recover, which, in turn, boosted our CMBS positions.

How did you use derivatives during the period?

We used credit default swaps to gain exposure to CMBS via CMBX, to gain exposure to specific sectors, gain liquid exposure to individual names, and also to hedge the fund’s credit and market risks. We used 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 employed interest-rate swaps to gain exposure to rates in various countries. We utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our holdings of CMOs, and to help manage overall downside risk. We used total return swaps as a hedging tool and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What are your current views on the major sectors in which the fund invests?

Overall, we have a cautiously optimistic outlook but recognize that geopolitical tensions and monetary policy decisions will likely continue to influence fixed income markets.

Looking first at high-yield corporate credit, our view is moderately constructive. We have a positive outlook for high-yield market fundamentals and the overall supply-and-demand backdrop. That said, 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. Our view on security valuations is more neutral, given the relative tightness of yield spreads in the market as of March 31. Spreads widened during the period but remain tight by historical standards.

We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic


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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increases at retailers, and hotels welcome back business and leisure travelers. Our emphasis on investment opportunities in the U.S. helps to minimize the impact of geopolitical risk on the fund’s portfolio, in our view. 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 first quarter of calendar 2022. The increased liquidity premium enhanced the appeal of select market segments, in our view.


Within residential mortgage credit, we believe continued high demand and low inventory of available homes is likely to push prices even higher. 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. Wider spreads have created better value among mid-tier and lower-rated securities. As a result, we are finding attractive investment opportunities in that area of the market, as well as among higher-rated securities.

We believe the Fed’s shift toward tighter monetary policy may cause it to accelerate sales of MBS that it currently holds. A faster pace of MBS tapering may reduce home price inflation, helping to boost the Fed’s inflation-fighting mandate. Against this backdrop, we believe many prepayment-sensitive securities may offer attractive risk-adjusted returns from current price levels and may offer meaningful upside potential if mortgage prepayment speeds slow. We think the fund’s prepayment-related strategies provide an important source of diversification in the portfolio. In our view, prepayment strategies

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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could benefit from an economic slowdown, a shift to supportive fiscal policies, or a sustained increase in mortgage rates.

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 minimal exposure to Russian securities at the end of the period. Holdings in Russian securities generally experienced sharp declines in value in late February and early March 2022. Additionally, they have been subject to liquidity and settlement constraints, as well as, in certain cases, U.S. and other governmental sanctions. 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 March 31, 2022, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include 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 M, 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 3/31/22

  Life of fund  10 years  5 years  3 years  1 year  6 months 
Class A (10/3/88)             
Before sales charge  5.44%  2.56%  1.27%  –0.36%  –7.79%  –3.86% 
After sales charge  5.31  2.14  0.44  –1.71  –11.48  –7.70 
Class B (3/1/93)             
Before CDSC  5.24  1.94  0.49  –1.12  –8.58  –4.27 
After CDSC  5.24  1.94  0.15  –2.03  –13.03  –8.98 
Class C (2/1/99)             
Before CDSC  5.25  1.94  0.48  –1.12  –8.65  –4.31 
After CDSC  5.25  1.94  0.48  –1.12  –9.54  –5.25 
Class M (12/1/94)             
Before sales charge  5.16  2.31  1.00  –0.62  –8.01  –3.89 
After sales charge  5.05  1.97  0.33  –1.71  –11.00  –7.01 
Class R (12/1/03)             
Net asset value  5.17  2.32  1.01  –0.58  –8.09  –4.01 
Class R6 (11/1/13)             
Net asset value  5.65  2.89  1.58  –0.06  –7.54  –3.72 
Class Y (7/1/96)             
Net asset value  5.63  2.82  1.51  –0.10  –7.69  –3.80 

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Performance for class 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 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.

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 3/31/22

  Life of fund  10 years  5 years  3 years  1 year  6 months 
ICE BofA U.S. Treasury             
Bill Index  *  0.65%  1.14%  0.82%  0.00%  –0.02% 
Lipper Alternative             
Credit Focus Funds  5.01%  2.13  1.96  1.71  –2.69  –4.22 
category average             

 

Index and Lipper 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.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/22, there were 97, 96, 89, 82, 29, and 3 funds, respectively, in this Lipper category.

Fund price and distribution information For the six-month period ended 3/31/22

Distributions  Class A  Class B  Class C  Class M  Class R  Class R6  Class Y 
Number  6  6  6  6  6  6  6 
Income  $0.114  $0.091  $0.091  $0.108  $0.108  $0.126  $0.120 
Capital gains               
Total  $0.114  $0.091  $0.091  $0.108  $0.108  $0.126  $0.120 
  Before  After  Net  Net  Before  After  Net  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value  value 
9/30/21  $6.41  $6.68  $6.33  $6.27  $6.25  $6.46  $6.31  $6.33  $6.34 
3/31/22  6.05  6.30  5.97  5.91  5.90  6.10  5.95  5.97  5.98 
  Before  After  Net  Net  Before  After  Net  Net  Net 
Current rate  sales  sales  asset  asset  sales  sales  asset  asset  asset 
(end of period)  charge  charge  value  value  charge  charge  value  value  value 
Current dividend                   
rate1  3.77%  3.62%  3.22%  3.25%  3.66%  3.54%  3.63%  4.22%  4.01% 
Current 30-day                   
SEC yield                   
(with expense                   
limitation)2,3  N/A  4.79  4.26  4.26  N/A  4.59  4.74  5.33  5.23 
Current 30-day                   
SEC yield                   
(without expense                   
limitation)3  N/A  4.78  4.26  4.26  N/A  4.58  4.74  5.33  5.23 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M 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 (4.00% for class A shares and 3.25% for class M 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 For a portion of the period, the fund had expense limitations, without which yields would have been lower.

3 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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Your fund’s expenses

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 M  Class R  Class R6  Class Y 
Total annual operating expenses for the               
fiscal year ended 9/30/21  0.97%  1.72%  1.72%  1.22%  1.22%  0.63%  0.72% 
Annualized expense ratio for the               
six-month period ended 3/31/22*  1.00%  1.75%  1.75%  1.25%  1.25%  0.65%  0.75% 

 

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 one time annualized proxy costs of 0.01%.

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 10/1/21 to 3/31/22. 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 M  Class R  Class R6  Class Y 
Expenses paid per $1,000*†  $4.89  $8.54  $8.54  $6.11  $6.11  $3.18  $3.67 
Ending value (after expenses)  $961.40  $957.30  $956.90  $961.10  $959.90  $962.80  $962.00 

 

* 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 3/31/22. 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 (182); and then dividing that result by the number of days in the year (365).

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Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 3/31/22, use the following calculation method. To find the value of your investment on 10/1/21, 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 M  Class R  Class R6  Class Y 
Expenses paid per $1,000*†  $5.04  $8.80  $8.80  $6.29  $6.29  $3.28  $3.78 
Ending value (after expenses)  $1,019.95  $1,016.21  $1,016.21  $1,018.70  $1,018.70  $1,021.69  $1,021.19 

 

* 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 3/31/22. 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 (182); and then dividing that result by the number of days in the year (365).

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Consider these risks before investing

Emerging market securities carry illiquidity and volatility risks. 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 than other bonds when interest rates decline and decline in value more than other bonds 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’s concentration in an industry group comprising mortgage-backed securities 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. The fund currently has significant investment exposure to commercial mortgage-backed securities. 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. 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. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over 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. International investing involves currency, economic, and political risks. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on 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 4.00% maximum sales charge for class A shares and 3.25% for class M 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 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% 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 M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC. They are only available to individuals purchasing shares of the fund from Japanese distributors that have selling agreements with Putnam Retail Management.

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

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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.

Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Diversified Income Trust 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 March 31, 2022, Putnam employees had approximately $530,000,000 and the Trustees had approximately $77,000,000 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.

16 Diversified Income Trust 

 


 

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.

Diversified Income Trust 17 

 


 

The fund’s portfolio 3/31/22 (Unaudited)

U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (84.3%)*
Principal
amount
Value
U.S. Government Guaranteed Mortgage Obligations (—%)
Government National Mortgage Association Pass-Through Certificates    
6.50%, 11/20/38 $102,135 $114,085
5.00%, 3/20/50 30,004 31,824
3.50%, with due dates from 9/20/49 to 11/20/49 93,376 94,515
240,424
U.S. Government Agency Mortgage Obligations (84.3%)
Uniform Mortgage-Backed Securities    
5.50%, TBA, 4/1/52 12,000,000 12,704,395
5.00%, TBA, 4/1/52 5,000,000 5,256,669
4.50%, TBA, 5/1/52 15,000,000 15,499,223
4.50%, TBA, 4/1/52 15,000,000 15,560,160
4.00%, TBA, 5/1/52 304,000,000 309,106,409
4.00%, TBA, 4/1/52 283,000,000 288,814,914
3.50%, TBA, 5/1/52 74,000,000 73,855,471
3.50%, TBA, 4/1/52 393,000,000 393,706,182
3.00%, TBA, 6/1/52 35,000,000 34,090,819
3.00%, TBA, 5/1/52 93,000,000 90,776,723
3.00%, TBA, 4/1/52 205,000,000 200,563,677
2.00%, TBA, 4/1/52 152,000,000 141,077,371
1,581,012,013
Total U.S. government and agency mortgage obligations (cost $1,603,751,494) $1,581,252,437

U.S. TREASURY OBLIGATIONS (0.2%)* Principal
amount
Value
U.S. Treasury Notes 1.25%, 6/30/28 i $3,936,000 $3,673,587
Total U.S. treasury obligations (cost $3,673,587) $3,673,587

MORTGAGE-BACKED SECURITIES (44.5%)* Principal
amount
Value
Agency collateralized mortgage obligations (25.3%)
Federal Home Loan Mortgage Corporation      
REMICs IFB Ser. 3919, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%), 6.103%, 9/15/41   $5,933,116 $929,518
REMICs Ser. 4509, Class CI, IO, 6.00%, 9/15/45   11,455,660 2,479,360
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.803%, 12/15/47   12,847,458 1,834,617
REMICs IFB Ser. 4731, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.803%, 11/15/47   10,081,443 1,553,834
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.793%, 9/25/50   4,242,384 760,829
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 8/15/56   2,098,193 386,109
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 4/15/47   7,847,804 1,353,673
REMICs IFB Ser. 4265, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 1/15/35   23,396,146 2,920,619
REMICs IFB Ser. 5004, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 8/25/50   4,427,809 737,142


18 Diversified Income Trust



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation      
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 7/25/50   $38,000,865 $5,948,834
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 1/25/50   2,786,704 377,715
REMICs IFB Ser. 4937, Class 4937, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 12/25/49   886,729 135,776
Strips IFB Ser. 326, Class S2, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.553%, 3/15/44   4,832,758 700,578
Strips IFB Ser. 311, Class S1, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.553%, 8/15/43   7,974,743 1,291,298
REMICs Ser. 5007, Class IC, IO, 5.00%, 8/25/50   4,358,624 821,338
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42   2,973,864 522,805
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51   51,257,575 10,164,177
REMICs Ser. 5134, Class ID, IO, 4.50%, 8/25/51   33,629,683 6,207,838
REMICs Ser. 5122, Class AI, IO, 4.50%, 7/25/51   36,968,024 7,293,791
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50   30,686,739 6,070,696
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50   25,963,043 4,732,666
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50   28,198,484 5,456,839
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50   5,775,865 1,070,479
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50   2,854,775 555,777
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42   3,021,487 537,547
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42   4,029,602 570,164
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41   4,399,346 449,199
REMICs Ser. 4635, Class PI, IO, 4.00%, 12/15/46   7,450,550 1,131,993
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43   14,554,307 1,959,039
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41   4,012,508 179,242
REMICs Ser. 4020, Class IA, IO, 4.00%, 3/15/27   2,490,225 125,980
REMICs Ser. 5142, Class IC, IO, 3.50%, 9/25/51   50,646,416 7,700,737
REMICs Ser. 4484, Class TI, IO, 3.50%, 11/15/44   1,810,776 133,242
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41   2,342,990 165,676
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50   61,426,659 8,193,923
REMICs Ser. 4801, Class IG, IO, 3.00%, 6/15/48   4,937,748 635,015
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42   7,960,015 636,379
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41   1,685,990 25,046
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.394%, 7/25/43 W   6,184,544 85,347
Federal National Mortgage Association      
Grantor Trust Ser. 98-T2, Class A4, IO, 6.50%, 10/25/36   7,075 492
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46   9,299,753 1,758,990
REMICs Ser. 15-69, IO, 6.00%, 9/25/45   10,595,223 2,328,565
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37   16,296,553 3,188,877
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 5.943%, 4/25/40   4,673,817 742,962
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/48   30,101,765 4,071,174
REMICs IFB Ser. 18-44, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/48   35,824,284 4,836,278
REMICs IFB Ser. 15-42, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/45   2,117,181 250,928


Diversified Income Trust 19



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association      
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 10/25/41   $1,404,436 $44,473
REMICs IFB Ser. 19-5, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 3/25/49   1,771,558 265,455
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 12/25/46   33,593,003 4,402,072
REMICs IFB Ser. 16-62, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 9/25/46   23,755,072 2,942,541
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 3/25/50   2,216,604 344,349
REMICs IFB Ser. 19-73, Class 73, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 12/25/49   1,067,946 161,456
REMICs IFB Ser. 19-57, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 10/25/49   2,662,086 375,432
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 8/25/49   1,249,002 146,107
REMICs IFB Ser. 19-47, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 8/25/49   14,453,736 2,098,943
REMICs IFB Ser. 19-34, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 7/25/49   16,762,134 2,367,927
REMICs IFB Ser. 19-38, Class 38, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 7/25/49   824,784 131,388
Interest Strip Ser. 399, Class 2, IO, 5.50%, 11/25/39   14,993 3,017
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36   625,900 104,750
REMICs Ser. 16-3, Class MI, IO, 5.50%, 2/25/46   27,982,551 4,900,304
REMICs Ser. 15-30, IO, 5.50%, 5/25/45   1,207,392 215,821
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.443%, 10/25/41   9,088,058 1,180,889
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35   714,299 114,144
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50   23,644,280 4,283,516
REMICs Ser. 12-151, Class IN, IO, 5.00%, 1/25/43   7,224,865 1,294,551
REMICs Ser. 17-87, Class KI, IO, 5.00%, 6/25/41   529,255 92,598
Interest Strip Ser. 404, Class 2, IO, 4.50%, 5/25/40   44,369 7,600
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51   51,345,011 8,917,638
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51   25,263,186 5,148,637
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50   3,857,431 654,453
REMICs Ser. 18-58, Class AI, IO, 4.50%, 8/25/48   20,737,273 3,189,896
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42   3,507,079 685,285
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40   913,526 16,717
Interest Strip Ser. 405, Class 2, IO, 4.00%, 10/25/40   48,887 7,582
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50   5,889,805 1,044,262
REMICs Ser. 19-70, Class 70, IO, 4.00%, 12/25/49   8,324,985 981,100
REMICs Ser. 18-3, Class PI, IO, 4.00%, 2/25/48   5,763,376 902,292
REMICs Ser. 17-65, Class LI, IO, 4.00%, 8/25/47   2,483,391 337,791
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44   1,985,852 115,863
REMICs Ser. 15-83, IO, 4.00%, 10/25/43   822,598 106,316
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43   8,284,616 1,153,716
REMICs Ser. 13-115, Class CI, IO, 4.00%, 2/25/43   139,437 510
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43   3,056,110 352,964


20 Diversified Income Trust



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association      
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42   $2,713,251 $290,860
REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46   8,610,132 1,173,475
REMICs Ser. 13-18, Class IN, IO, 3.50%, 3/25/43   8,845,266 1,287,149
REMICs Ser. 13-70, Class CI, IO, 3.50%, 1/25/43   1,916,131 169,281
REMICs Ser. 13-49, Class IP, IO, 3.50%, 12/25/42   5,778,472 380,766
REMICs Ser. 13-40, Class YI, IO, 3.50%, 6/25/42   4,345,575 303,526
REMICs Ser. 12-123, Class DI, IO, 3.50%, 5/25/41   9,254,345 767,481
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43   16,428,044 1,965,418
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42   2,486,946 104,715
REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42   5,183,191 162,794
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41   1,459,828 16,261
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51   70,945,815 10,770,209
Grantor Trust Ser. 00-T6, IO, 0.717%, 11/25/40 W   2,661,640 26,616
REMICs FRB Ser. 01-50, Class B1, IO, 0.379%, 10/25/41 W   92,468 462
FRB Ser. 02-W8, Class 1, IO, 0.298%, 6/25/42 W   4,285,215 32,139
Government National Mortgage Association      
IFB Ser. 13-9, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.75%), 6.301%, 1/20/43   17,441,707 2,868,948
IFB Ser. 20-61, Class SF, IO, ((-1 x 1 Month US LIBOR) + 6.44%), 5.991%, 7/20/43   18,779,093 2,823,994
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 6/20/51   4,520,204 636,354
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 5/20/51   40,003,388 5,838,838
IFB Ser. 21-58, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 4/20/51   65,087,817 8,178,200
IFB Ser. 21-42, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 3/20/51   41,234,338 4,864,960
IFB Ser. 21-57, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 3/20/51   68,128,891 10,230,520
IFB Ser. 18-105, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.801%, 8/20/48   18,216,583 2,199,866
IFB Ser. 18-91, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.801%, 7/20/48   13,690,997 1,670,009
IFB Ser. 18-104, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 8/20/48   17,762,625 2,093,965
IFB Ser. 18-100, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 7/20/48   13,941,354 1,646,014
IFB Ser. 18-89, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 6/20/48   12,848,962 1,524,325
IFB Ser. 18-67, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 5/20/48   11,772,960 1,409,062
IFB Ser. 17-160, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.751%, 10/20/43   19,667,125 2,720,278
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 7/20/50   2,972,760 500,317
IFB Ser. 18-139, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 10/20/48   1,765,062 198,332
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 9/20/43   3,603,102 516,397


Diversified Income Trust 21



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
IFB Ser. 16-77, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 3/20/43   $835,802 $36,493
IFB Ser. 13-152, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 5/20/41   14,859,156 2,089,188
IFB Ser. 10-20, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 2/20/40   3,692,510 516,656
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.669%, 7/16/43   3,989,844 537,551
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 4/20/50   3,196,304 476,040
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 8/20/49   1,733,448 213,023
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 7/20/49   1,830,197 217,482
IFB Ser. 18-164, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 12/20/48   28,239,130 3,449,723
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 10/20/45   14,215,209 2,023,759
IFB Ser. 14-46, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 3/20/44   7,422,550 942,536
IFB Ser. 14-4, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 1/20/44   11,560,630 1,666,859
IFB Ser. 13-182, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 12/20/43   4,197,373 647,415
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 2/20/50   5,239,204 533,703
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 1/20/50   32,424,926 4,363,021
IFB Ser. 19-125, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 10/20/49   8,954,227 1,924,636
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 8/20/49   4,015,605 467,678
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 6/20/49   4,437,153 462,655
IFB Ser. 19-6, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 1/20/49   17,088,470 1,810,692
Ser. 17-104, Class MI, IO, 5.50%, 7/16/47   10,184,469 2,360,665
Ser. 17-79, Class IB, IO, 5.50%, 5/20/47   3,665,908 788,056
Ser. 17-52, Class DI, IO, 5.50%, 4/20/47   4,484,282 906,904
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.151%, 8/20/44   10,210,806 1,235,023
Ser. 19-119, Class IN, IO, 5.00%, 9/20/49   20,654,168 3,300,409
Ser. 18-37, IO, 5.00%, 3/20/48   8,326,893 1,402,553
Ser. 17-179, Class WI, IO, 5.00%, 12/20/47   4,767,962 990,247
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47   4,672,624 923,217
Ser. 16-126, Class PI, IO, 5.00%, 2/20/46   8,171,562 1,603,015
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45   5,466,999 776,837
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45   13,923,689 2,589,904
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44   1,830,319 351,934
Ser. 14-132, IO, 5.00%, 9/20/44   5,726,322 983,049


22 Diversified Income Trust



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44   $5,531,322 $823,096
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43   2,166,475 439,361
Ser. 12-146, IO, 5.00%, 12/20/42   4,042,324 815,094
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40   16,128,207 3,100,359
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40   4,994,004 944,702
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40   27,253,863 5,399,535
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39   14,965,647 2,970,382
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39   1,100,543 204,325
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39   7,349,639 1,432,004
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39   6,630,212 1,242,392
Ser. 20-61, IO, 4.50%, 5/20/50   73,089,205 13,352,542
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48   1,887,338 290,439
Ser. 21-122, Class GI, IO, 4.50%, 11/20/47   38,784,601 5,695,530
Ser. 16-84, Class IB, IO, 4.50%, 11/16/45   1,776,516 338,018
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45   9,037,797 1,588,529
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43   5,961,956 994,803
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43   6,415,889 1,055,145
Ser. 13-183, Class JI, IO, 4.50%, 2/16/43   3,260,654 214,955
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42   922,704 63,150
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41   14,655,100 2,657,846
Ser. 13-167, IO, 4.50%, 9/20/40   2,975,190 486,689
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40   3,556,474 549,271
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40   10,340,716 1,779,244
Ser. 10-20, Class BI, IO, 4.50%, 2/16/40   9,027,332 1,714,832
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40   5,437,292 977,081
Ser. 14-71, Class PI, IO, 4.50%, 12/20/39   5,748,899 554,482
Ser. 16-138, Class DI, IO, 4.00%, 10/20/46   7,499,809 1,184,144
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45   15,134,667 1,790,334
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44   8,781,825 1,025,717
Ser. 15-79, Class MI, IO, 4.00%, 5/20/44   2,625,816 212,718
Ser. 14-4, Class BI, IO, 4.00%, 1/20/44   6,628,477 1,156,601
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44   4,475,060 723,673
Ser. 14-163, Class PI, IO, 4.00%, 10/20/43   1,613,905 39,619
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43   2,849,012 425,853
Ser. 13-27, Class IJ, IO, 4.00%, 2/20/43   3,391,718 556,072
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42   1,521,637 182,376
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42   5,644,770 851,231
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42   2,078,938 349,686
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41   5,237,738 461,647
Ser. 21-8, Class VI, IO, 3.50%, 12/20/50   30,554,446 4,957,631
Ser. 19-110, Class PI, IO, 3.50%, 9/20/49   11,418,630 1,389,647
Ser. 18-21, Class AI, IO, 3.50%, 2/20/48   1,692,224 90,983
Ser. 17-139, Class IG, IO, 3.50%, 9/20/47   1,654,797 186,700
Ser. 16-79, IO, 3.50%, 6/20/46   4,083,628 473,456
Ser. 15-131, Class CI, IO, 3.50%, 9/20/45   4,265,383 540,735
Ser. 15-131, Class MI, IO, 3.50%, 9/20/45   6,704,126 892,486
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45   7,924,353 768,348
Ser. 13-76, IO, 3.50%, 5/20/43   7,425,742 984,505


Diversified Income Trust 23



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43   $4,674,018 $535,639
Ser. 13-28, IO, 3.50%, 2/20/43   1,765,607 174,862
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43   3,930,431 420,517
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43   4,226,480 461,447
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42   1,792,469 206,761
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42   17,914,686 2,737,042
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42   12,043,196 1,829,715
Ser. 12-92, Class AI, IO, 3.50%, 4/20/42   300,554 651
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42   3,468,860 215,615
Ser. 13-37, Class LI, IO, 3.50%, 1/20/42   5,253,473 313,632
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40   8,228,718 591,645
Ser. 15-17, Class LI, IO, 3.50%, 5/16/40   3,188,986 47,547
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39   6,120,903 258,244
Ser. 15-134, Class LI, IO, 3.50%, 5/20/39   142,559
Ser. 12-48, Class AI, IO, 3.50%, 2/20/36   447,266 2,060
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51   41,945,087 5,164,825
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51   41,008,737 4,409,012
Ser. 21-30, Class KI, IO, 3.00%, 2/20/51   48,417,856 7,892,674
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50   33,503,059 5,129,831
Ser. 20-176, Class BI, IO, 3.00%, 11/20/50   52,602,843 8,087,687
Ser. 16-H04, Class HI, IO, 2.381%, 7/20/65 W   45,246,361 1,714,837
Ser. 18-H05, Class BI, IO, 2.374%, 2/20/68 W   54,726,481 3,796,650
Ser. 18-H04, IO, 2.364%, 2/20/68 W   36,893,439 2,577,450
Ser. 17-H16, Class JI, IO, 2.331%, 8/20/67 W   32,039,043 2,192,672
Ser. 17-H08, Class NI, IO, 2.33%, 3/20/67 W   41,018,052 2,124,735
Ser. 17-H05, Class CI, IO, 2.315%, 2/20/67 W   4,467,082 271,250
Ser. 18-H05, Class AI, IO, 2.261%, 2/20/68 W   46,085,440 3,197,178
Ser. 17-H12, Class QI, IO, 2.251%, 5/20/67 W   33,276,116 1,664,138
Ser. 17-H06, Class BI, IO, 2.245%, 2/20/67 W   39,886,582 2,610,022
Ser. 17-H18, Class FI, IO, 2.225%, 9/20/67 W   33,324,730 2,572,253
Ser. 16-H16, Class EI, IO, 2.199%, 6/20/66 W   29,016,629 1,711,981
Ser. 17-H16, IO, 2.196%, 8/20/67   28,776,375 2,143,581
Ser. 17-H11, Class TI, IO, 2.193%, 4/20/67 W   22,632,015 1,731,349
Ser. 18-H01, Class XI, IO, 2.186%, 1/20/68 W   30,763,986 2,547,643
Ser. 18-H03, Class XI, IO, 2.135%, 2/20/68 W   73,219,720 4,678,740
Ser. 17-H20, Class HI, IO, 2.133%, 10/20/67 W   28,386,279 2,058,006
Ser. 16-H22, Class AI, IO, 2.13%, 10/20/66 W   31,223,102 1,593,971
Ser. 18-H02, Class EI, IO, 2.123%, 1/20/68 W   59,077,070 4,135,395
Ser. 17-H02, Class BI, IO, 2.11%, 1/20/67 W   18,474,208 993,062
Ser. 18-H01, IO, 2.108%, 12/20/67 W   20,396,565 1,381,418
Ser. 17-H03, Class EI, IO, 2.103%, 1/20/67 W   20,583,494 1,546,978
Ser. 17-H06, Class MI, IO, 2.098%, 2/20/67 W   31,780,098 1,806,603
Ser. 16-H23, Class NI, IO, 2.097%, 10/20/66 W   76,177,607 3,839,352
Ser. 18-H02, Class HI, IO, 2.087%, 1/20/68 W   48,590,716 3,401,350
Ser. 16-H24, Class JI, IO, 1.979%, 11/20/66 W   16,270,343 1,001,643
Ser. 16-H17, Class KI, IO, 1.887%, 7/20/66 W   18,586,186 1,028,048
Ser. 16-H27, Class EI, IO, 1.875%, 12/20/66 W   25,974,371 1,030,481
Ser. 15-H15, Class BI, IO, 1.872%, 6/20/65 W   52,862,416 3,029,017


24 Diversified Income Trust



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
Ser. 15-H12, Class AI, IO, 1.858%, 5/20/65 W   $61,312,687 $3,194,391
Ser. 15-H23, Class DI, IO, 1.851%, 9/20/65 W   27,975,991 1,700,940
Ser. 15-H18, Class BI, IO, 1.85%, 7/20/65 W   28,117,652 1,566,154
Ser. 17-H11, Class DI, IO, 1.846%, 5/20/67 W   21,931,204 1,346,713
Ser. 17-H09, IO, 1.835%, 4/20/67 W   33,039,333 1,457,596
Ser. 17-H10, Class MI, IO, 1.833%, 4/20/67 W   65,804,240 2,888,806
Ser. 15-H10, Class BI, IO, 1.814%, 4/20/65 W   26,111,019 1,506,606
Ser. 15-H15, Class AI, IO, 1.811%, 6/20/65 W   36,621,476 2,167,992
FRB Ser. 15-H08, Class CI, IO, 1.793%, 3/20/65 W   45,531,615 2,272,027
Ser. 15-H20, Class BI, IO, 1.781%, 8/20/65 W   35,388,839 1,680,970
Ser. 17-H06, Class DI, IO, 1.767%, 2/20/67 W   25,783,892 1,232,470
Ser. 15-H23, Class BI, IO, 1.751%, 9/20/65 W   53,631,274 2,568,938
Ser. 15-H24, Class AI, IO, 1.75%, 9/20/65 W   25,495,981 1,102,140
Ser. 15-H03, Class CI, IO, 1.71%, 1/20/65 W   53,145,910 2,572,262
Ser. 14-H25, Class BI, IO, 1.676%, 12/20/64 W   37,229,323 1,508,421
Ser. 16-H14, IO, 1.675%, 6/20/66 W   34,001,265 1,432,915
Ser. 16-H18, IO, 1.659%, 8/20/66 W   36,401,400 1,539,961
Ser. 16-H08, Class AI, IO, 1.596%, 8/20/65 W   34,474,366 1,285,894
Ser. 17-H03, Class HI, IO, 1.585%, 1/20/67 W   55,223,695 2,114,032
Ser. 15-H01, Class BI, IO, 1.561%, 1/20/65 W   27,350,544 1,100,066
Ser. 18-H15, Class EI, IO, 1.50%, 8/20/68 W   48,206,323 2,786,325
Ser. 14-H06, Class BI, IO, 1.452%, 2/20/64 W   31,323,446 846,015
Ser. 20-H12, Class IH, IO, 1.427%, 7/20/70 W   53,979,518 2,496,661
Ser. 16-H06, Class CI, IO, 1.406%, 2/20/66 W   31,196,996 783,294
Ser. 12-H29, Class AI, IO, 1.349%, 10/20/62 W   11,052,421 231,857
Ser. 12-H29, Class FI, IO, 1.349%, 10/20/62 W   11,052,421 218,573
474,457,108
Commercial mortgage-backed securities (8.0%)
Banc of America Merrill Lynch Commercial Mortgage, Inc.      
FRB Ser. 05-1, Class B, 5.117%, 11/10/42 (In default) † W   5,406,396 2,973,518
FRB Ser. 05-1, Class C, 5.117%, 11/10/42 (In default) † W   8,629,000 873,668
Barclays Commercial Mortgage Trust 144A Ser. 19-C5, Class D, 2.50%, 11/15/52   282,000 219,637
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54   308,000 227,648
Bear Stearns Commercial Mortgage Securities Trust      
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W   178,419 8,921
Ser. 05-PWR7, Class B, 4.883%, 2/11/41 W   60,759 60,225
Ser. 05-PWR7, Class C, 4.883%, 2/11/41 W   4,945,000 5,783,687
Ser. 05-PWR7, Class D, 4.883%, 2/11/41 W   4,190,000 2,937,190
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44 W   5,915,000 4,807,961
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.555%, 2/10/50 W   205,000 193,999
CD Commercial Mortgage Trust 144A Ser. 17-CD3, Class D, 3.25%, 2/10/50   4,325,000 3,344,130
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.124%, 12/15/47 W   13,980,000 13,918,500


Diversified Income Trust 25



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Commercial mortgage-backed securities cont.
COMM Mortgage Trust      
Ser. 12-LC4, Class B, 4.934%, 12/10/44 W   $261,904 $261,560
FRB Ser. 14-CR16, Class C, 4.911%, 4/10/47 W   147,000 145,411
COMM Mortgage Trust 144A      
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47 W   226,000 167,127
FRB Ser. 14-UBS3, Class D, 4.768%, 6/10/47 W   165,000 153,062
FRB Ser. 13-CR9, Class D, 4.278%, 7/10/45 W   192,000 148,312
Ser. 12-LC4, Class E, 4.25%, 12/10/44   10,009,000 2,246,020
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 5.429%, 2/15/41 W   10,781,406 5,311,999
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.761%, 4/15/50 W   272,000 214,615
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.402%, 2/10/46 W   273,000 256,384
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W   401,000 373,210
GS Mortgage Securities Trust 144A      
FRB Ser. 12-GCJ7, Class D, 5.561%, 5/10/45 W   225,000 209,250
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47 W   15,237,000 10,480,278
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.554%, 9/15/47 W   248,000 231,986
JPMBB Commercial Mortgage Securities Trust 144A      
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47 W   9,906,000 5,824,590
FRB Ser. 14-C18, Class E, 4.294%, 2/15/47 W   7,852,000 3,187,661
FRB Ser. 14-C25, Class D, 3.942%, 11/15/47 W   7,740,000 5,864,845
Ser. 14-C25, Class E, 3.332%, 11/15/47 W   15,725,000 8,455,065
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50 W   254,000 228,485
JPMorgan Chase Commercial Mortgage Securities Trust      
FRB Ser. 13-LC11, Class D, 4.165%, 4/15/46 W   431,000 353,537
Ser. 13-LC11, Class B, 3.499%, 4/15/46   180,000 178,089
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W   13,371,809 9,926,857
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.704%, 12/15/49 W   60,277 1
Morgan Stanley Bank of America Merrill Lynch Trust 144A      
FRB Ser. 13-C11, Class D, 4.352%, 8/15/46 W   650,000 45,705
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50 W   4,095,000 3,811,803
FRB Ser. 13-C10, Class F, 4.075%, 7/15/46 W   254,000 56,045
Ser. 14-C17, Class E, 3.50%, 8/15/47   9,096,000 6,044,883
Ser. 14-C19, Class D, 3.25%, 12/15/47   3,310,000 3,014,589
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W   1,336,155 1,263,206
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class E, 5.467%, 3/15/45 W   7,066,000 4,953,266
Multifamily Connecticut Avenue Securities Trust 144A      
FRB Ser. 20-01, Class M10, 4.207%, 3/25/50   568,000 546,398
FRB Ser. 19-01, Class M10, 3.707%, 10/15/49   488,000 461,670
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)   4,414,162 44


26 Diversified Income Trust



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Commercial mortgage-backed securities cont.
UBS-Barclays Commercial Mortgage Trust 144A      
Ser. 12-C2, Class F, 5.00%, 5/10/63 W   $6,847,000 $147,211
Ser. 13-C6, Class E, 3.50%, 4/10/46   7,734,000 6,453,783
Wells Fargo Commercial Mortgage Trust 144A      
FRB Ser. 13-LC12, Class D, 4.305%, 7/15/46 W   11,277,111 6,424,669
Ser. 14-LC16, Class D, 3.938%, 8/15/50   11,010,000 1,553,100
Ser. 16-C33, Class D, 3.123%, 3/15/59   295,000 256,828
Ser. 19-C53, Class D, 2.50%, 10/15/52   250,000 205,206
WF-RBS Commercial Mortgage Trust 144A      
Ser. 11-C3, Class E, 5.00%, 3/15/44 W   8,644,000 887,739
FRB Ser. 12-C9, Class E, 4.818%, 11/15/45 W   265,000 247,215
FRB Ser. 13-C15, Class D, 4.506%, 8/15/46 W   22,811,996 14,886,990
FRB Ser. 12-C10, Class D, 4.412%, 12/15/45 W   12,891,000 9,034,529
149,862,307
Residential mortgage-backed securities (non-agency) (11.2%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.647%, 5/25/47   7,206,462 4,278,752
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.729%, 11/27/36 W   5,966,359 4,773,088
Bear Stearns Alt-A Trust      
FRB Ser. 05-7, Class 21A1, 2.627%, 9/25/35 W   1,535,720 1,381,318
FRB Ser. 05-8, Class 21A1, 2.549%, 10/25/35 W   59,958 53,585
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (1 Month US LIBOR + 1.95%), 2.407%, 8/25/35   334,834 335,206
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1, (1 Month US LIBOR + 0.23%), 0.917%, 9/25/46   3,924,149 3,498,609
Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class B1, (1 Month US LIBOR + 4.75%), 5.207%, 10/25/27 (Bermuda)   2,376,000 2,401,987
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.637%, 11/25/47   2,360,629 2,102,152
Citigroup Mortgage Loan Trust, Inc.      
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.807%, 3/25/37   7,595,111 6,984,992
FRB Ser. 07-AMC3, Class A2B, (1 Month US LIBOR + 0.18%), 0.637%, 3/25/37   1,048,111 954,955
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W   410,000 411,013
Countrywide Alternative Loan Trust      
FRB Ser. 06-OA7, Class 1A1, 2.206%, 6/25/46 W   2,273,556 2,445,210
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 1.157%, 9/25/35   564,391 511,096
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.107%, 11/20/35   11,672,592 11,256,771
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.101%, 8/25/46   2,529,089 2,450,587
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.081%, 6/25/46   289,662 267,857
FRB Ser. 05-65CB, Class 2A1, (1 Month US LIBOR + 0.43%), 0.882%, 12/25/35   376,258 275,441


Diversified Income Trust 27



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Countrywide Alternative Loan Trust      
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46   $2,253,576 $1,964,479
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46   4,094,739 3,916,593
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46   8,541,111 7,614,499
Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (1 Month US LIBOR + 2.85%), 3.307%, 1/25/30   686,000 655,318
Federal Home Loan Mortgage Corporation      
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.957%, 5/25/28   6,317,252 6,670,754
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/28   2,087,569 2,296,904
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.807%, 4/25/28   10,567,156 10,671,162
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 8.007%, 12/25/27   10,206,462 10,483,780
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (1 Month US LIBOR + 5.15%), 5.607%, 10/25/29   1,935,000 2,056,602
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.607%, 11/25/28   137,062 144,736
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 5.407%, 7/25/29   3,062,000 3,270,366
Structured Agency Credit Risk Debt FRN Ser. 14-DN1, Class M3, (1 Month US LIBOR + 4.50%), 4.957%, 2/25/24   248,641 253,754
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class B1, (1 Month US LIBOR + 4.45%), 4.907%, 3/25/30   1,590,000 1,655,063
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58 W   1,710,000 1,677,394
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1, Class B1, (1 Month US LIBOR + 3.15%), 3.607%, 7/25/30   137,000 132,645
Federal Home Loan Mortgage Corporation 144A      
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (1 Month US LIBOR + 12.25%), 12.707%, 2/25/49   570,000 633,419
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.599%, 10/25/50   256,000 307,840
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.457%, 10/25/48   2,017,000 2,205,526
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/49   2,342,000 2,514,248
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.957%, 3/25/49   2,996,000 3,167,049
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 8/25/50   448,000 539,560
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/50   3,318,000 3,948,420
Structured Agency Credit Risk Debt FRN Ser. 20-DNA3, Class B2, (1 Month US LIBOR + 9.35%), 9.807%, 6/25/50   239,000 280,825
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.607%, 7/25/49   1,763,000 1,808,462


28 Diversified Income Trust



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation 144A      
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 8.207%, 9/25/48   $2,734,000 $2,788,959
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W   5,008,000 4,816,840
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.707%, 10/25/48   753,000 761,471
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56 W   200,000 199,135
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.557%, 3/25/50   575,606 577,790
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.107%, 1/25/49   162,425 162,837
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.907%, 3/25/49   94,644 94,644
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 10/25/48   31,900 31,823
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.707%, 9/25/28   14,085,129 15,823,054
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 10/25/28   7,695,786 8,656,837
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 8/25/28   5,413,604 5,935,935
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/29   444,051 477,490
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (1 Month US LIBOR + 10.25%), 10.707%, 1/25/29   148,482 159,970
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.707%, 4/25/29   416,378 436,212
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.157%, 4/25/28   532,412 569,508
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.957%, 9/25/29   660,000 707,186
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (1 Month US LIBOR + 5.30%), 5.757%, 10/25/28   124,411 129,260
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.457%, 7/25/25   870 872
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.307%, 10/25/29   393,000 411,182
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.957%, 12/25/30   1,804,900 1,850,321
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 5/25/30   1,200,000 1,225,458
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 2/25/30   3,018,000 3,131,175
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 4.757%, 2/25/25   52,064 52,896
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1B1, (1 Month US LIBOR + 4.25%), 4.707%, 1/25/31   425,000 425,828
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2B1, (1 Month US LIBOR + 4.10%), 4.557%, 3/25/31   1,624,000 1,625,861


Diversified Income Trust 29



MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/30   $1,626,000 $1,655,348
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/25   195,797 198,099
Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (1 Month US LIBOR + 3.75%), 4.207%, 3/25/31   313,000 308,920
Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1, (1 Month US LIBOR + 3.75%), 4.207%, 10/25/30   500,000 493,750
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 4.057%, 1/25/30   1,598,000 1,599,550
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.457%, 10/25/29   554,800 565,801
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2M2, (1 Month US LIBOR + 2.85%), 3.307%, 11/25/29   237,282 241,417
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 3.257%, 2/25/30   143,019 145,452
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.707%, 7/25/30   51,491 51,939
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.557%, 3/25/31   727,967 730,562
Federal National Mortgage Association 144A      
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class B1, (1 Month US LIBOR + 9.25%), 9.707%, 11/25/39   4,100,000 4,180,568
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (1 Month US LIBOR + 6.75%), 7.207%, 2/25/40   1,645,000 1,652,620
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1B1, (1 Month US LIBOR + 5.75%), 6.207%, 7/25/29   4,084,000 4,467,736
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1B2, (US 30 Day Average SOFR + 6.00%), 6.099%, 10/25/41   185,000 166,500
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2B1, (1 Month US LIBOR + 5.25%), 5.707%, 6/25/39   617,000 626,255
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 4.599%, 1/25/42   1,471,000 1,388,256
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.557%, 9/25/31   314,000 316,703
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 4.107%, 2/25/40   239,000 235,276
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (1 Month US LIBOR + 3.00%), 3.457%, 1/25/40   126,000 115,444
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 3.099%, 1/25/42   3,600,000 3,492,000
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.907%, 7/25/31   142,675 143,076
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.817%, 5/25/36   9,357,345 2,881,379
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.767%, 5/25/37   4,503,636 3,612,505
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.969%, 5/19/35   11,142,507 4,549,416
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.857%, 6/25/37   4,139,731 1,973,180


30 Diversified Income Trust




MORTGAGE-BACKED SECURITIES (44.5%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37   $150,633 $141,422
Oaktown Re III, Ltd. 144A      
FRB Ser. 19-1A, Class B1B, (1 Month US LIBOR + 4.35%), 4.807%, 7/25/29 (Bermuda)   383,000 377,847
FRB Ser. 19-1A, Class B1A, (1 Month US LIBOR + 3.50%), 3.957%, 7/25/29 (Bermuda)   317,000 300,115
Radnor Re, Ltd. 144A FRB Ser. 20-2, Class B1, (1 Month US LIBOR + 7.60%), 8.057%, 10/25/30 (Bermuda)   168,000 170,529
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.877%, 8/25/36   8,104,312 7,537,011
Towd Point Mortgage Trust 144A      
Ser. 19-2, Class A2, 3.75%, 12/25/58 W   256,000 254,409
Ser. 18-5, Class M1, 3.25%, 7/25/58 W   240,000 231,197
WaMu Mortgage Pass-Through Certificates Trust      
FRB Ser. 05-AR10, Class 1A3, 2.943%, 9/25/35 W   117,123 114,010
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.437%, 10/25/45   114,931 113,616
209,336,469
Total mortgage-backed securities (cost $964,174,759) $833,655,884

CORPORATE BONDS AND NOTES (17.3%)* Principal
amount
Value
Basic materials (1.2%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26   $30,000 $29,798
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29   1,200,000 1,259,064
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30   75,000 72,829
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32   615,000 572,719
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25   1,295,000 1,283,487
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43   4,755,000 5,099,738
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27   87,000 88,096
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24   47,000 46,530
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)   825,000 843,563
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)   825,000 828,820
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia)   2,359,000 2,641,702
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26   198,000 200,475
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg)   1,100,000 986,403
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)   20,000 19,700


Diversified Income Trust 31



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Basic materials cont.
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 1,290,000 $1,067,257
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29   $140,000 129,532
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29   1,300,000 1,209,455
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24   30,000 30,525
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)   100,000 100,750
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)   265,000 255,725
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31   175,000 160,066
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30   65,000 63,106
Olympus Water US Holding Corp. 144A sr. notes 4.25%, 10/1/28   500,000 454,093
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29   2,035,000 1,800,975
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28   635,000 598,488
SCIL IV, LLC/SCIL USA Holdings, LLC 144A sr. notes 5.375%, 11/1/26   295,000 271,031
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29   1,650,000 1,617,000
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)   1,450,000 1,337,959
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29   80,000 74,900
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24   82,000 83,082
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27   70,000 68,492
23,295,360
Capital goods (0.6%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31   50,000 45,358
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27   332,000 326,605
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27   65,000 65,163
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30   90,000 85,296
Boeing Co. (The) sr. unsec. bonds 5.93%, 5/1/60   720,000 831,302
Canpack SA/Canpack US, LLC 144A company guaranty sr. unsec. notes 3.875%, 11/15/29 (Poland)   710,000 621,250
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25   59,000 61,096
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26   138,000 155,725
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)   230,000 217,350
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)   284,000 261,280
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)   90,000 90,765
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27   1,000,000 1,055,000


32 Diversified Income Trust



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Capital goods cont.
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29   $585,000 $558,675
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28   465,000 428,562
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27   95,000 98,563
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28   982,000 964,942
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29   245,000 228,463
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29   110,000 104,225
Staples, Inc. 144A sr. notes 7.50%, 4/15/26   2,275,000 2,209,264
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26   126,000 130,124
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29   55,000 52,716
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26   68,000 68,614
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27   337,000 334,473
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29   1,405,000 1,316,865
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29   940,000 878,872
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28   267,000 243,668
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26   182,000 172,005
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28   100,000 106,214
11,712,435
Communication services (1.8%)
Altice Financing SA 144A company guaranty sr. notes 5.00%, 1/15/28 (Luxembourg)   940,000 842,569
Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France)   500,000 448,640
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France)   820,000 752,350
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32   1,420,000 1,298,875
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26   113,000 114,587
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29   1,614,000 1,614,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30   680,000 652,963
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30   45,000 42,223
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28   157,000 155,352
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31   363,000 329,423
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25   1,363,000 1,290,911


Diversified Income Trust 33



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Communication services cont.
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24   $590,000 $590,746
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28   2,315,000 2,246,847
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27   1,711,000 1,683,196
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26   1,300,000 1,291,550
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 7.375%, 7/1/28   1,290,000 1,222,275
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29   913,000 777,501
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28   643,000 608,439
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26   345,000 328,613
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36   3,845,000 3,704,196
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27   945,000 938,669
Frontier Communications Corp. 144A notes 6.75%, 5/1/29   1,325,000 1,272,000
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)   5,290,000 4,959,375
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26   189,000 189,304
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27   66,000 62,128
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28   344,000 315,794
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28   802,000 929,270
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26   600,000 677,286
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23   347,000 368,688
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30   45,000 45,173
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27   105,000 105,614
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31   940,000 846,874
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27   22,000 22,589
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29   675,000 616,093
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28   448,000 455,347
Virgin Media Finance PLC 144A sr. unsec. bonds 5.00%, 7/15/30 (United Kingdom)   1,275,000 1,204,231
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 100,000 132,652
33,136,343
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRN (BBA LIBOR USD 3 Month + 3.33%), 4.156%, perpetual maturity   $1,000,000 958,750
958,750


34 Diversified Income Trust



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Consumer cyclicals (3.4%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29   $775,000 $719,782
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl 144A sr. notes 4.625%, 6/1/28 (Luxembourg)   400,000 377,960
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl 144A sr. notes 4.625%, 6/1/28 (Luxembourg)   200,000 186,940
AMC Entertainment Holdings, Inc. 144A company guaranty notes 10.00% (12.00%), 6/15/26 ‡‡   1,250,000 1,122,681
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28   45,000 43,231
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29   655,000 610,788
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32   70,000 65,068
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29   145,000 135,032
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity   49,000 49,901
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity   1,225,000 1,321,469
Bath & Body Works, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35   1,390,000 1,431,700
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25   12,000 13,697
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30   695,000 729,750
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26   1,500,000 1,425,000
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31   870,000 796,050
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27   45,000 44,775
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada)   75,000 68,101
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29   1,330,000 1,243,550
Carnival Corp. 144A sr. unsec. notes 7.625%, 3/1/26   127,000 127,829
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27   2,095,000 1,997,928
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30   371,000 374,710
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24   1,340,000 1,336,650
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25   355,000 371,419
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28   985,000 919,871
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27   60,000 59,351
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26   115,000 44,563
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29   1,390,000 1,297,913
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27   1,499,000 1,406,452
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27   1,034,000 1,019,793
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30   2,260,000 2,128,242


Diversified Income Trust 35



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28   $1,295,000 $1,324,138
Gap, Inc. (The) 144A company guaranty sr. unsec. bonds 3.875%, 10/1/31   1,300,000 1,132,430
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30   1,165,000 1,093,644
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29   235,000 220,313
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45   1,000,000 1,012,176
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31   60,000 57,373
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24   70,000 71,050
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27   3,422,592 3,533,826
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25   26,000 26,683
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27   47,000 45,003
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 1,400,000 1,407,550
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31   $675,000 618,138
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26   63,000 64,181
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27   50,000 53,251
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28   35,000 35,263
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30   450,000 404,437
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada)   125,000 123,386
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada)   100,000 93,931
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29   2,395,000 2,304,517
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26   20,000 19,582
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28   995,000 949,001
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29   1,000,000 945,100
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27   255,000 251,175
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29   1,035,000 1,016,888
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32   77,000 77,410
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29   1,050,000 992,250
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg)   54,000 54,270
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28   1,045,000 1,052,524
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29   495,000 493,763
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27   790,000 722,764


36 Diversified Income Trust



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28   $1,645,000 $1,609,789
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32   94,000 121,260
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26   20,000 19,210
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25   2,362,000 2,618,596
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25   1,095,000 1,122,375
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29   2,148,000 2,013,751
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32   450,000 398,518
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26   87,000 84,608
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29   1,345,000 1,096,148
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30   705,000 628,628
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31   1,240,000 1,128,400
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28   115,000 109,250
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25   95,000 99,156
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26   1,500,000 1,507,500
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29   45,000 42,332
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31   590,000 516,250
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28   145,000 138,656
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28   1,505,000 1,427,470
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25   1,340,000 1,319,900
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28   1,058,000 1,061,968
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29   1,885,000 1,701,213
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28   1,330,000 1,260,295
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27   853,000 825,278
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29   2,019,000 1,900,384
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25   30,000 31,130
64,448,278
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada)   65,000 58,632
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada)   63,000 60,480
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada)   230,000 217,925
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30   580,000 564,775


Diversified Income Trust 37



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Consumer staples cont.
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29   $3,715,000 $3,352,676
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25   750,000 697,560
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29   16,000 14,701
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23   1,500,000 1,471,238
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27   1,616,000 1,638,624
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25   50,000 52,000
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27   54,000 54,810
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 5.00%, 7/15/35   1,241,000 1,322,944
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26   800,000 788,672
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28   695,000 695,000
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30   505,000 469,650
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27   151,000 150,266
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31   345,000 308,580
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30   1,262,000 1,182,583
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28   840,000 813,751
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26   595,000 564,917
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 EUR 110,000 131,891
Netflix, Inc. sr. unsec. notes 5.875%, 2/15/25   $15,000 15,995
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28   80,000 83,900
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28   2,159,000 2,379,866
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29   50,000 54,125
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30   1,516,000 1,617,117
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25   55,000 56,773
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26   730,000 734,563
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25   378,000 390,456
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 3.75%, 1/15/32   615,000 573,488
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25   515,000 540,750
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27   1,630,000 1,707,425
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29   465,000 442,627
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32   190,000 190,430
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31   50,000 45,592
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30   935,000 916,884
24,361,666


38 Diversified Income Trust



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Energy (4.4%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26   $780,000 $844,053
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26   10,000 11,025
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40   3,946,000 3,975,595
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28   32,000 32,607
Callon Petroleum Co. company guaranty sr. unsec. notes 6.125%, 10/1/24   1,500,000 1,492,500
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25   670,000 710,200
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada)   70,000 86,625
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27   1,590,000 1,598,109
ChampionX Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26   38,000 38,760
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29   5,275,000 5,301,375
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31   1,075,000 1,042,094
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32   10,000 9,100
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25   17,000 17,255
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30   75,000 73,898
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44   917,000 904,391
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28   1,476,000 1,496,369
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23   89,000 90,068
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31   804,000 879,415
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32   1,230,000 1,096,853
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27   50,000 52,125
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37   41,000 48,073
Devon Energy Corp. sr. unsec. unsub. bonds 5.60%, 7/15/41   677,000 781,260
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28   4,256,000 4,380,659
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28   822,000 849,743
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25   52,000 53,950
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28   1,818,000 1,854,360
EQT Corp. sr. unsec. notes 5.00%, 1/15/29   145,000 149,689
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28   86,000 85,944
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30   345,000 325,542


Diversified Income Trust 39



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Energy cont.
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26   $112,000 $114,906
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28   171,000 162,235
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25   1,500,000 1,459,688
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25   922,000 960,263
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26   35,000 35,875
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40   2,191,000 2,432,010
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36   7,928,000 9,312,902
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31   1,510,000 1,851,152
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37   830,000 981,943
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25   3,300,000 3,399,726
Pertamina Persero PT sr. unsec. unsub. bonds Ser. REGS, 6.00%, 5/3/42 (Indonesia)   2,580,000 2,864,577
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 5.50%, 6/10/51 (Brazil)   139,000 119,276
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil)   208,000 218,400
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil)   139,000 145,950
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil)   5,674,000 5,744,925
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil)   138,000 144,141
Petroleos del Peru SA sr. unsec. unsub. bonds Ser. REGS, 4.75%, 6/19/32 (Peru)   3,170,000 2,838,735
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 7.69%, 1/23/50 (Mexico)   2,490,000 2,175,638
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico)   2,023,000 1,867,249
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)   2,696,000 2,561,200
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico)   2,870,000 2,910,358
Petronas Capital, Ltd. company guaranty sr. unsec. unsub. bonds Ser. REGS, 2.48%, 1/28/32 (Malaysia)   1,980,000 1,839,055
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada)   133,000 135,660
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada)   205,000 208,075
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25   70,000 71,050
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29   531,000 531,492
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27   88,000 90,214
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26   255,000 262,210
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28   1,430,000 1,475,660


40 Diversified Income Trust



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Energy cont.
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25   $25,000 $27,292
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32   1,683,000 1,680,896
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30   2,780,000 2,825,064
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29   2,680,000 2,713,500
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands)   424,350 423,289
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27   63,750 63,113
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26   43,000 43,387
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27   30,000 30,558
83,003,301
Financials (2.1%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28   85,000 85,000
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27   25,000 24,047
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31   375,000 470,373
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29   30,000 28,801
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 1,350,000 1,402,830
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29   $80,000 84,160
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29   2,142,000 1,836,766
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31   405,000 345,263
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28   415,000 367,794
Deutsche Bank AG jr. unsec. sub. FRN 6.00%, perpetual maturity (Germany)   3,000,000 2,925,000
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31   100,000 125,500
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24   886,000 882,677
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27   465,000 431,158
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada)   400,000 397,000
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada)   790,000 747,538
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26   480,000 489,600
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27   1,450,000 1,423,066
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29   980,000 899,150
Intesa Sanpaolo SpA 144A company guaranty jr. unsec. sub. FRB 7.70%, perpetual maturity (Italy)   1,370,000 1,431,650
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R   1,230,000 1,245,375
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R   670,000 675,474


Diversified Income Trust 41



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Financials cont.
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R   $97,000 $95,424
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil)   7,050,000 6,679,875
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R   1,564,000 1,475,048
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R   20,000 19,925
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R   950,000 906,063
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31   2,020,000 1,926,494
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28   788,000 757,504
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30   420,000 388,500
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25   40,000 42,142
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26   1,045,000 1,116,990
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29   993,000 964,769
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25   1,430,000 1,415,700
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26   1,350,000 1,262,250
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25   3,575,000 3,515,154
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R   35,000 36,717
Societe Generale SA 144A jr. unsec. sub. FRN 4.75%, perpetual maturity (France)   625,000 582,031
Stichting AK Rabobank Certificaten jr. unsec. sub. FRN 6.50%, perpetual maturity (Netherlands) EUR 1,517,950 1,956,305
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia)   $200,000 20,000
39,479,113
Health care (1.6%)
180 Medical, Inc. 144A company guaranty sr. unsec. notes 3.875%, 10/15/29   300,000 284,250
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27   423,000 424,586
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29   1,715,000 1,462,775
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29   1,185,000 971,700
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.25%, 2/15/31   500,000 389,180
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29   560,000 436,243
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28   740,000 708,550


42 Diversified Income Trust



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Health care cont.
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30   $710,000 $652,114
Centene Corp. sr. unsec. notes 4.625%, 12/15/29   200,000 202,000
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31   675,000 635,344
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29   625,000 589,063
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26   45,000 46,864
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29   135,000 136,688
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27   40,000 40,700
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28   1,350,000 1,224,511
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29   750,000 736,875
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28   720,000 772,215
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg)   560,000 508,201
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25   745,000 739,413
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26   90,000 94,500
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30   45,000 43,473
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland)   1,978,000 1,916,188
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 1,405,000 1,445,297
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg)   $2,850,000 2,693,250
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29   225,000 210,938
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28   1,315,000 1,252,807
Organon Finance 1, LLC 144A sr. unsec. notes 5.125%, 4/30/31   550,000 530,750
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29   695,000 663,725
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29   120,000 122,111
Service Corp. International sr. unsec. notes 3.375%, 8/15/30   585,000 527,015
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31   465,000 432,604
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24   23,000 23,099
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27   23,000 23,612
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27   2,760,000 2,772,985
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26   1,271,000 1,282,122
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29   1,120,000 1,073,801
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 7.125%, 1/31/25 (Israel)   795,000 836,292
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel)   970,000 1,016,803


Diversified Income Trust 43



CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Health care cont.
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel)   $650,000 $666,250
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel)   1,115,000 1,071,760
29,660,654
Technology (0.5%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28   400,000 373,144
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28   400,000 369,740
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26   55,000 55,637
Condor Merger Sub., Inc. 144A sr. unsec. notes 7.375%, 2/15/30   1,245,000 1,194,254
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29   958,000 878,966
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25   48,000 48,762
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29   1,037,000 998,589
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25   100,000 101,194
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25   690,000 696,038
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29   1,035,000 957,375
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31   740,000 687,842
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29   945,000 890,663
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29   1,250,000 1,142,531
8,394,735
Transportation (0.1%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29   1,390,000 1,384,787
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26   105,000 105,788
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28   150,000 151,148
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29   535,000 508,758
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26   535,000 526,266
2,676,747
Utilities and power (0.2%)
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43   924,000 787,655
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26   23,000 22,477
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28   35,000 33,529
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26   19,000 19,095
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28   1,135,000 1,107,170
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31   20,000 18,200
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29   10,000 9,200
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity   244,000 218,380
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27   6,000 6,183
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24   135,000 134,909


44 Diversified Income Trust




CORPORATE BONDS AND NOTES (17.3%)* cont. Principal
amount
Value
Utilities and power cont.
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32   $80,000 $70,400
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29   38,000 37,135
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26   1,544,000 1,467,159
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27   25,000 23,993
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29   40,000 38,610
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26   145,000 145,793
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27   60,000 59,029
4,198,917
Total corporate bonds and notes (cost $338,943,381) $325,326,299

FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (9.9%)*
Principal
amount
Value
Angola (Republic of) sr. unsec. notes Ser. REGS, 8.25%, 5/9/28 (Angola)   $1,440,000 $1,466,986
Bahrain (Kingdom of) sr. unsec. notes Ser. REGS, 7.375%, 5/14/30 (Bahrain)   3,330,000 3,604,822
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain)   760,000 822,722
Brazil (Federal Republic of) sr. unsec. unsub. bonds 8.25%, 1/20/34 (Brazil)   2,280,000 2,811,514
Colombia (Republic of) sr. unsec. unsub. bonds 7.375%, 9/18/37 (Colombia)   990,000 1,111,275
Colombia (Republic of) sr. unsec. unsub. bonds 6.125%, 1/18/41 (Colombia)   1,400,000 1,358,182
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 5.00%, 6/1/27 (Argentina)   2,193,000 1,455,330
Costa Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica)   2,780,000 2,807,828
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’Ivoire)   12,715,000 12,254,082
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Cote d’Ivoire)   9,105,258 8,911,771
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d’Ivoire) EUR 280,000 286,057
Cote d’Ivoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Cote d’Ivoire)   $3,000,000 3,060,000
Cote d’Ivoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’Ivoire)   4,251,000 4,213,804
Cote d’Ivoire (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Cote d’Ivoire) EUR 250,000 254,772
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia)   $4,010,000 4,040,075
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic)   2,429,000 2,195,209
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.875%, 1/30/60 (Dominican Republic)   5,748,000 4,914,540


Diversified Income Trust 45



FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (9.9%)*
cont.
Principal
amount
Value
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic)   $964,000 $1,065,220
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic)   6,773,000 7,230,178
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic)   300,000 311,250
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic)   230,000 211,027
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt)   2,240,000 1,954,402
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.053%, 1/15/32 (Egypt)   2,790,000 2,458,660
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt)   5,290,000 5,012,381
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon)   2,410,000 2,271,490
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, 3/26/32 (Ghana)   1,820,000 1,294,475
Ghana (Republic of) sr. unsec. notes Ser. REGS, 7.625%, 5/16/29 (Ghana)   5,190,000 3,704,363
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana)   9,230,000 7,776,275
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.75%, 4/7/29 (Ghana)   1,500,000 1,081,823
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia)   337,000 331,208
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia)   550,000 579,563
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia)   370,000 391,273
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia)   6,965,000 7,400,242
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)   9,320,000 9,902,500
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia)   200,000 202,499
Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, 3/15/39 (Jamaica)   2,714,000 3,528,227
Jamaica (Government of) sr. unsec. unsub. notes 6.75%, 4/28/28 (Jamaica)   400,000 440,000
Jordan (Kingdom of) sr. unsec. notes Ser. REGS, 5.85%, 7/7/30 (Jordan)   3,770,000 3,506,175
Kenya (Republic of) sr. unsec. bonds Ser. REGS, 8.00%, 5/22/32 (Kenya)   1,390,000 1,336,157
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya)   2,305,000 2,216,355
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 6/24/24 (Kenya)   290,000 290,725
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico)   1,637,000 1,779,370
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia)   3,120,000 3,069,291
Mongolia (Government of) sr. unsec. notes Ser. REGS, 4.45%, 7/7/31 (Mongolia)   4,060,000 3,649,877


46 Diversified Income Trust




FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (9.9%)*
cont.
Principal
amount
Value
Morocco (Kingdom of) sr. unsec. bonds Ser. REGS, 3.00%, 12/15/32 (Morocco)   $9,100,000 $7,871,209
Nigeria (Republic of) sr. unsec. notes Ser. REGS, 8.747%, 1/21/31 (Nigeria)   2,620,000 2,642,846
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, 8/1/29 (Oman)   4,263,000 4,438,934
Pakistan (Islamic Republic of) sr. unsec. notes Ser. REGS, 7.375%, 4/8/31 (Pakistan)   2,710,000 1,995,183
Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay)   800,000 772,000
Philippines (Republic of) sr. unsec. unsub. notes 3.75%, 1/14/29 (Philippines)   2,790,000 2,897,265
Romania (Government of) sr. unsec. notes Ser. REGS, 3.00%, 2/14/31 (Romania)   1,550,000 1,429,023
Senegal (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.75%, 3/13/48 (Senegal)   5,749,000 4,936,954
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal)   9,615,000 9,038,100
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa)   2,420,000 2,532,530
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia)   6,430,000 4,308,100
Turkey (Republic of) sr. unsec. unsub. notes 7.625%, 4/26/29 (Turkey)   2,350,000 2,290,780
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey)   3,218,000 3,190,660
Ukraine (Government of) sr. unsec. notes Ser. REGS, 6.876%, 5/21/29 (Ukraine)   3,550,000 1,490,954
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico)   3,915,000 3,563,433
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico)   708,000 681,500
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam)   2,350,000 2,432,279
Total foreign government and agency bonds and notes (cost $196,247,900) $185,075,725

CONVERTIBLE BONDS AND NOTES (6.2%)* Principal
amount
Value
Basic materials (0.1%)
Sika AG cv. sr. unsec. notes Ser. REGS, 0.15%, 6/5/25 (Switzerland) CHF 640,000 $1,119,462
1,119,462
Capital goods (0.1%)
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26   $584,000 560,933
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25   407,000 560,389
1,121,322
Communication services (0.5%)
Cable One, Inc. cv. company guaranty sr. unsec. notes 1.125%, 3/15/28   1,405,000 1,256,070
Cellnex Telecom, SA cv. sr. unsec. unsub. notes 1.50%, 1/16/26 (Spain) EUR 400,000 653,267
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26   $3,318,000 2,984,542
DISH Network Corp. cv. sr. unsec. notes zero %, 12/15/25   379,000 367,668


Diversified Income Trust 47



CONVERTIBLE BONDS AND NOTES (6.2%)* cont. Principal
amount
Value
Communication services cont.
Liberty Broadband Corp. 144A cv. sr. unsec. bonds 1.25%, 9/30/50   $692,000 $662,590
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23   380,000 535,610
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50   845,000 1,199,055
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49   1,942,000 1,933,725
9,592,527
Consumer cyclicals (1.1%)
adidas AG 144A cv. sr. unsec. notes 0.05%, 9/12/23 (Germany) EUR 600,000 678,452
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26   $519,000 438,555
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27   972,000 880,267
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26   754,000 696,957
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25   1,212,000 1,748,916
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25   784,000 895,230
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28   812,000 583,423
Expedia Group, Inc. cv. company guaranty sr. unsec. unsub. notes zero %, 2/15/26   1,258,000 1,530,105
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26   2,184,000 2,581,488
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23   244,000 462,014
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51   951,000 779,453
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23   548,000 966,891
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25   36,000 55,260
NCL Corp, Ltd. cv. company guaranty sr. unsec. notes 5.375%, 8/1/25   444,000 641,580
NCL Corp, Ltd. 144A cv. company guaranty sr. unsec. notes 2.50%, 2/15/27   848,000 809,416
Nexi SpA cv. sr. unsec. notes Ser. REGS, zero %, 2/24/28 (Italy) EUR 600,000 542,538
Nexity SA cv. sr. unsec. notes 0.25%, 3/2/25 (Units) (France) EUR 2,850 195,868
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23   $1,980,000 2,393,820
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25   1,182,000 1,237,554
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26   1,599,000 1,548,611
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25   583,000 635,762
20,302,160
Consumer staples (0.6%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26   1,658,000 1,602,776
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26   908,000 823,777
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26   557,000 498,515
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26   1,439,000 1,175,663
Delivery Hero AG cv. sr. unsec. notes 1.50%, 1/15/28 (Germany) EUR 800,000 607,714
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28   $1,501,000 1,333,639
Fiverr International, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Israel)   224,000 190,064
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26   181,000 252,314
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25   684,000 847,134
Sea, Ltd. cv. sr. unsec. unsub. notes 0.25%, 9/15/26 (Singapore)   485,000 387,079
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28   909,000 729,473
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25   863,000 772,385


48 Diversified Income Trust



CONVERTIBLE BONDS AND NOTES (6.2%)* cont. Principal
amount
Value
Consumer staples cont.
Upwork, Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26   $1,055,000 $861,408
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25   1,634,000 1,341,514
Zalando SE cv. sr. unsec. notes 0.05%, 8/6/25 (Germany) EUR 500,000 509,948
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25   $117,000 132,035
12,065,438
Energy (0.4%)
BP Capital Markets PLC cv. company guaranty sr. unsec. unsub. notes 1.00%, 4/28/23 (United Kingdom) GBP 300,000 407,005
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28   $1,243,000 1,291,477
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25   1,374,000 3,262,564
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel)   724,000 985,726
Sunrun, Inc. cv. sr. unsec. notes zero %, 2/1/26   323,000 256,947
TOTAL SA cv. sr. unsec. unsub. notes 0.50%, 12/2/22 (France)   800,000 821,840
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23   1,277,000 1,197,445
8,223,004
Financials (0.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23 R   481,000 486,291
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23   757,000 828,915
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26   997,304 804,725
Upstart Holdings, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/26   304,000 257,822
2,377,753
Health care (0.8%)
Ascendis Pharma A/S 144A cv. sr. unsec. notes 2.25%, 4/1/28 (Denmark)   209,000 213,833
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27   966,000 967,241
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25   1,418,000 1,619,179
Envista Holdings Corp. cv. sr. unsec. notes 2.375%, 6/1/25   150,000 355,425
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28   2,093,000 1,839,747
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27   1,313,000 1,053,157
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27   1,475,000 1,285,095
Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23   362,000 395,666
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26   691,000 915,921
Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, 8/15/25   253,000 265,448
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26   369,000 434,867
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland)   1,641,000 1,673,820
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28   702,000 456,739
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24   185,000 242,350
Novocure, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Jersey)   265,000 240,488
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25   599,000 844,291
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25   1,027,000 1,272,197
QIAGEN NV cv. sr. unsec. unsub. notes Ser. REGS, 1.00%, 11/13/24 (Netherlands)   400,000 470,622


Diversified Income Trust 49



CONVERTIBLE BONDS AND NOTES (6.2%)* cont. Principal
amount
Value
Health care cont.
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25   $339,000 $421,716
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27   984,000 830,005
15,797,807
Technology (2.0%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26   388,000 325,532
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27   1,674,000 1,924,263
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25   787,000 1,034,118
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26   821,000 700,313
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27   1,386,000 1,203,048
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27   1,204,000 1,148,316
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26   498,000 420,810
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26   659,000 831,658
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26   1,050,000 915,600
Cloudflare, Inc. 144A cv. sr. unsec. notes zero %, 8/15/26   488,000 485,560
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26   1,627,000 1,365,053
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel)   1,004,000 1,244,358
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25   190,000 336,300
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26   710,000 563,030
DocuSign, Inc. cv. sr. unsec. notes zero %, 1/15/24   273,000 255,255
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25   692,000 672,105
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26   528,000 448,140
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25   593,000 642,516
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25   742,000 775,984
HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25   139,000 247,907
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27   397,000 372,436
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26   1,245,000 1,442,805
MicroStrategy, Inc. cv. sr. unsec. notes zero %, 2/15/27   463,000 330,757
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26   179,000 387,625
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26   2,079,000 2,027,025
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27   842,000 1,139,226
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25   1,081,000 2,276,586
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25   519,000 487,601
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26   456,000 407,436
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27   588,000 731,178
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25   1,363,000 1,185,129
Shopify, Inc. cv. sr. unsec. notes 0.125%, 11/1/25 (Canada)   395,000 373,078
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25   514,000 705,774
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27   1,205,000 1,026,660
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27   2,180,000 2,081,900
Spotify USA, Inc. cv. company guaranty sr. unsec. notes zero %, 3/15/26   1,182,000 1,007,219
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26   1,938,000 1,626,952
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26   918,000 753,220
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24   310,000 402,031
Wix.com, Ltd. cv. sr. unsec. sub. notes zero %, 8/15/25 (Israel)   439,000 381,052
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28   625,000 708,204


50 Diversified Income Trust




CONVERTIBLE BONDS AND NOTES (6.2%)* cont. Principal
amount
Value
Technology cont.
Yandex NV cv. sr. unsec. notes 0.75%, 3/3/25 (Russia)   $200,000 $84,000
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25   1,038,000 1,308,400
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26   660,000 744,151
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25   197,000 335,196
37,865,507
Transportation (0.3%)
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25   640,000 875,520
Deutsche Post AG cv. sr. unsec. notes 0.05%, 6/30/25 (Germany) EUR 400,000 479,847
International Consolidated Airlines Group SA cv. sr. unsec. unsub. notes Ser. REGS, 1.125%, 5/18/28 (Spain) EUR 600,000 572,411
Jet2 PLC cv. company guaranty sr. unsec. unsub. notes Ser. REGS, 1.625%, 6/10/26 (United Kingdom) GBP 400,000 507,680
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26   $978,000 909,969
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25   1,367,000 1,855,019
5,200,446
Utilities and power (0.2%)
Iberdrola International BV cv. company guaranty sr. unsec. unsub. notes zero %, 11/11/22 (Spain) EUR 300,000 403,650
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25   $1,403,000 1,587,302
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48   1,082,000 1,185,859
3,176,811
Total convertible bonds and notes (cost $118,137,738) $116,842,237

PURCHASED SWAP OPTIONS OUTSTANDING (3.7%)*
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 $306,920,900 $171,876
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 44,570,700 4,271,210
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 44,570,700 2,077,886
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 35,772,300 3,053,524
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 35,772,300 2,986,987
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 35,772,300 1,796,127
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 35,772,300 1,756,420
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 44,214,400 8,849,070
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 44,214,400 8,586,879
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 44,214,400 7,653,955
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 58,978,200 5,050,303
2.75/3 month USD-LIBOR-BBA/Dec-71 Dec-46/2.75 10,000,000 1,632,300
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 58,978,200 1,427,862
NatWest Markets PLC
(0.52)/Sterling Overnight Index Average/Sep-23 (United Kingdom) Sep-22/0.52 GBP 420,542,200 9,026,956


Diversified Income Trust 51




PURCHASED SWAP OPTIONS OUTSTANDING (3.7%)* cont.
Counterparty
Fixed right % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/
contract
amount
Value
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 83,593,200 $5,775,987
(0.925)/6 month EUR-EURIBOR-Reuters/Mar-57 Mar-27/0.925 EUR 15,489,900 2,650,036
0.925/6 month EUR-EURIBOR-Reuters/Mar-57 Mar-27/0.925 EUR 15,489,900 2,641,983
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 83,593,200 674,142
Total purchased swap options outstanding (cost $46,326,102) $70,083,503

PURCHASED OPTIONS
OUTSTANDING (—%)*
Counterparty
Expiration
date/strike
price
Notional
amount
Contract
amount
Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) Apr-22/$102.47 $300,539,070 $300,000,000 $300
Total purchased options outstanding (cost $—) $300

SENIOR LOANS (1.7%)*c Principal
amount
Value
Basic materials (0.1%)
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26   $361,350 $328,153
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.25%, 6/9/28   19,850 19,568
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 10/1/25   66,312 65,234
TAMKO Building Products, Inc. bank term loan FRN Ser. B,
(BBA LIBOR USD 3 Month + 3.00%), 3.522%, 5/3/26
  1,431,671 1,399,458
1,812,413
Capital goods (0.1%)
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 4/1/28   69,475 68,259
American Axle and Manufacturing, Inc. bank term loan FRN
(BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24
  20,819 20,663
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.705%, 4/3/24   93,967 92,519
Filtration Group Corp. bank term loan FRN (1 Month US LIBOR + 3.50%), 4.00%, 10/19/28   124,375 122,820
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25   1,174,774 1,168,899
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 3/28/25   139,855 136,609
TK Elevator US Newco, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 7/31/27   39,481 39,061
1,648,830
Communication services (0.1%)
Asurion, LLC bank term loan FRN Ser. B9, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 7/31/27   357,293 349,589
DIRECTV Financing, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.75%, 7/22/27   859,500 857,601
1,207,190


52 Diversified Income Trust



SENIOR LOANS (1.7%)*c cont. Principal
amount
Value
Consumer cyclicals (0.4%)
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 4.25%, 10/19/27   $79,000 $77,979
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26   1,238,775 1,227,168
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.799%, 8/21/26   586,995 576,429
Constellation Merger Sub, Inc. bank term loan FRN Ser. B,
(BBA LIBOR USD 3 Month + 2.75%), 3.756%, 9/18/24
  1,475,545 1,397,164
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 4/12/28   89,100 86,055
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24   54,158 53,644
Diamond Sports Group, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.25%), 3.79%, 8/24/26   73,129 24,727
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B,
(CME TERM SOFR 3 Month PLUS CSA + 4.00%), 4.50%, 1/12/29
  1,385,035 1,376,379
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.71%, 10/30/26   65,271 64,409
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 5/1/26   62,412 61,983
iHeartCommunications, Inc. bank term loan FRN Ser. B,
(BBA LIBOR USD 3 Month + 3.00%), 3.457%, 5/1/26
  35,484 35,222
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26   1,360,000 1,020,000
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 3.207%, 8/14/24   87,494 87,111
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 3.957%, 12/17/26   1,497,495 1,472,921
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24   79,210 78,352
7,639,543
Consumer staples (0.1%)
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24   1,630,526 1,552,848
IRB Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.00%), 3.75%, 12/15/27   493,751 490,457
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25   77,576 76,897
2,120,202
Energy (0.1%)
CQP Holdco LP bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.756%, 6/4/28   1,096,712 1,090,034
Southwestern Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 3.301%, 6/8/27   608,476 606,953
1,696,987
Financials (—%)
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25   718,555 713,331
713,331


Diversified Income Trust 53




SENIOR LOANS (1.7%)*c cont. Principal
amount
Value
Health care (0.5%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 1.981%, 2/4/27   $1,048,422 $1,030,400
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.207%, 10/10/25   2,821,278 1,866,756
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 5.25%, 10/2/25   2,131,147 2,113,160
Jazz Financing Lux SARL bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 5/31/28   120,093 119,538
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/22/27   1,588,001 1,468,900
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.278%, 6/30/25   86,660 86,253
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.75%), 8.748%, 4/29/25   1,966,548 1,730,561
8,415,568
Technology (0.2%)
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27   1,295,275 1,283,475
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.545%, 12/1/27   1,158,300 1,155,404
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28   999,975 991,725
Rocket Software, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 4.75%, 11/28/25   699,713 689,217
4,119,821
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 4/20/28   650,000 657,514
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/21/28   1,336,501 1,318,684
1,976,198
Total senior loans (cost $32,575,824) $31,350,083

ASSET-BACKED SECURITIES (0.4%)* 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
  $8,357,000 $8,336,108
Mello Warehouse Securitization Trust 144A FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 1.257%, 11/25/53   50,000 50,000
Total asset-backed securities (cost $8,406,930) $8,386,108

WARRANTS (—%)* Expiration
date
Strike
price
Warrants Value
Guaranteed Rate, Inc. † F 3/1/23 $0.01 353 $18
Total warrants (cost $18) $18

SHORT-TERM INVESTMENTS (26.6%)* Principal
amount
Value
Boston Scientific Corp. commercial paper 0.750%, 4/14/22 $4,000,000 $3,998,936
Crown Castle International Corp. commercial paper 1.080%, 4/5/22 5,000,000 4,999,504


54 Diversified Income Trust




SHORT-TERM INVESTMENTS (26.6%)* cont. Principal amount/
shares
Value
Energy Transfer LP commercial paper 0.800%, 4/1/22 $15,600,000 $15,599,695
Evergy Kansas Central, Inc. commercial paper 0.520%, 4/1/22 5,500,000 5,499,919
Evergy Missouri West, Inc. commercial paper 0.600%, 4/7/22 5,000,000 4,999,446
FMC Corp. commercial paper 0.750%, 4/1/22 7,800,000 7,799,821
Fortune Brands Home & Security, Inc. commercial paper 1.151%, 5/2/22 5,000,000 4,997,000
Fortune Brands Home & Security, Inc. commercial paper 1.000%, 4/12/22 5,000,000 4,999,040
General Motors Financial Co., Inc. commercial paper 0.680%, 4/1/22 15,600,000 15,599,713
National Grid PLC commercial paper 0.720%, 4/4/22 6,500,000 6,499,604
Plains Midstream Canada ULC commercial paper 0.850%, 4/7/22 5,000,000 4,999,494
Putnam Short Term Investment Fund Class P 0.39% L Shares 203,087,146 203,087,146
Romulus Funding Corp. asset-backed commercial paper 0.550%, 4/1/22 $7,800,000 7,799,835
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% P Shares 16,277,000 16,277,000
U.S. Treasury Bills 0.418%, 6/16/22 § $5,000,000 4,995,619
U.S. Treasury Bills 0.398%, 6/9/22 ∆ § Φ 33,700,000 33,675,778
U.S. Treasury Bills 0.383%, 6/2/22 ∆ § Φ 25,500,000 25,485,661
U.S. Treasury Bills 0.325%, 5/26/22 ∆ § Φ 6,900,000 6,896,969
U.S. Treasury Bills 0.279%, 5/3/22 ∆ § Φ 5,900,000 5,899,305
U.S. Treasury Bills 0.182%, 4/26/22 # ∆ 20,700,000 20,698,113
U.S. Treasury Bills 0.053%, 4/7/22 ∆ § 19,700,000 19,699,524
U.S. Treasury Cash Management Bills 0.414%, 6/14/22 # ∆ § Φ 34,300,000 34,271,798
U.S. Treasury Cash Management Bills 0.360%, 6/7/22 # ∆ § Φ 35,400,000 35,376,183
WEC Energy Group, Inc. commercial paper 1.001%, 4/13/22 5,000,000 4,998,795
Total short-term investments (cost $499,146,807) $499,153,898

TOTAL INVESTMENTS
Total investments (cost $3,811,384,540) $3,654,800,079

Key to holding’s currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
CZK Czech Koruna
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
DAC Designated Activity Company
EMTN Euro Medium Term Notes


Diversified Income Trust 55




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
OJSC Open Joint Stock Company
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 October 1, 2021 through March 31, 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 $1,875,427,634.
This security is non-income-producing.
†† Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
# 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 $10,440,296 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 $139,567,227 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 $13,199,825 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 $14,754,418 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
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).
F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
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.


56 Diversified Income Trust




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 $1,480,034,996 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 3/31/22 (aggregate face value $362,291,901) (Unaudited)
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 4/20/22 $542,916 $519,438 $23,478
British Pound Sell 6/15/22 62,906 64,747 1,841
Canadian Dollar Buy 4/20/22 3,156,080 3,101,554 54,526
Japanese Yen Sell 5/18/22 5,016 5,310 294
New Zealand Dollar Buy 4/20/22 41,435 41,595 (160)
Norwegian Krone Buy 6/15/22 73,603 74,281 (678)
Barclays Bank PLC
British Pound Sell 6/15/22 1,480,184 1,493,908 13,724
Canadian Dollar Sell 4/20/22 1,276,221 1,258,453 (17,768)
Euro Buy 6/15/22 190,123 187,975 2,148
Norwegian Krone Buy 6/15/22 9,809 9,625 184
Swiss Franc Buy 6/15/22 924,352 929,616 (5,264)
Citibank, N.A.
Chilean Peso Buy 4/20/22 231,190 217,501 13,689
Euro Buy 6/15/22 4,071,347 4,090,665 (19,318)
Swedish Krona Sell 6/15/22 3,473 3,363 (110)
Goldman Sachs International
Brazilian Real Buy 4/4/22 386,867 328,324 58,543
Brazilian Real Sell 4/4/22 386,868 367,676 (19,192)
Brazilian Real Buy 7/5/22 252,279 242,339 9,940
Canadian Dollar Buy 4/20/22 643,709 630,696 13,013
Euro Sell 6/15/22 2,014,930 2,020,775 5,845
New Zealand Dollar Buy 4/20/22 697,334 666,530 30,804
Norwegian Krone Sell 6/15/22 1,608,397 1,590,375 (18,022)
Polish Zloty Buy 6/15/22 1,657,808 1,613,905 43,903
Swiss Franc Buy 6/15/22 23,945,024 24,071,581 (126,557)
HSBC Bank USA, National Association
Australian Dollar Buy 4/20/22 258,285 247,358 10,927
Euro Sell 6/15/22 944,072 947,575 3,503


Diversified Income Trust 57



FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $362,291,901) (Unaudited) cont.
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/20/22 $3,727,745 $3,570,038 $157,707
British Pound Buy 6/15/22 44,520 44,500 20
Canadian Dollar Sell 4/20/22 335,132 332,398 (2,734)
Euro Sell 6/15/22 5,183,358 5,155,183 (28,175)
Norwegian Krone Buy 6/15/22 44,300 44,103 197
Swedish Krona Buy 6/15/22 138,219 140,084 (1,865)
Swiss Franc Sell 6/15/22 779,556 783,732 4,176
Morgan Stanley & Co. International PLC
Australian Dollar Buy 4/20/22 1,105,365 1,063,583 41,782
British Pound Buy 6/15/22 1,717,493 1,713,756 3,737
Canadian Dollar Buy 4/20/22 222,595 213,164 9,431
Euro Buy 6/15/22 2,922,287 2,895,575 26,712
New Zealand Dollar Sell 4/20/22 21,154,702 20,813,778 (340,924)
Norwegian Krone Sell 6/15/22 1,609,873 1,589,073 (20,800)
Swedish Krona Sell 6/15/22 1,867,143 1,778,588 (88,555)
NatWest Markets PLC
British Pound Buy 6/15/22 1,261,131 1,271,429 (10,298)
Euro Sell 6/15/22 19,412,437 19,480,817 68,380
Swedish Krona Buy 6/15/22 35,735 35,694 41
Swiss Franc Buy 6/15/22 18,452 18,243 209
State Street Bank and Trust Co.
Australian Dollar Sell 4/20/22 21,523,490 20,627,198 (896,292)
British Pound Sell 6/15/22 20,888,330 21,283,120 394,790
Canadian Dollar Sell 4/20/22 31,000,433 30,416,611 (583,822)
Euro Sell 6/15/22 21,411,506 21,367,672 (43,834)
Japanese Yen Sell 5/18/22 21,523,609 21,567,731 44,122
Mexican Peso Buy 4/20/22 647,088 637,663 9,425
New Zealand Dollar Buy 4/20/22 5,594,538 5,504,017 90,521
Norwegian Krone Sell 6/15/22 3,498,876 3,466,300 (32,576)
Swedish Krona Sell 6/15/22 10,353,026 10,017,624 (335,402)
Swiss Franc Buy 6/15/22 22,520,614 22,309,054 211,560
Toronto-Dominion Bank
Japanese Yen Buy 5/18/22 23,936,379 25,197,672 (1,261,293)
Norwegian Krone Sell 6/15/22 3,503,440 3,464,709 (38,731)
Swedish Krona Sell 6/15/22 6,117,228 5,926,337 (190,891)
UBS AG
Australian Dollar Sell 4/20/22 31,585 30,802 (783)
British Pound Buy 6/15/22 57,521 57,592 (71)
Canadian Dollar Sell 4/20/22 52,309 51,462 (847)
Czech Koruna Buy 6/15/22 641,310 604,751 36,559
Euro Buy 6/15/22 160,285 159,209 1,076
Japanese Yen Buy 5/18/22 53,034,968 56,507,287 (3,472,319)
New Zealand Dollar Sell 4/20/22 805,426 806,936 1,510


58 Diversified Income Trust




FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $362,291,901) (Unaudited) cont.
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
UBS AG cont.
Norwegian Krone Buy 6/15/22 $1,927,865 $1,900,339 $27,526
Swedish Krona Buy 6/15/22 2,977,071 2,816,926 160,145
Swiss Franc Sell 6/15/22 1,904,604 1,901,986 (2,618)
Unrealized appreciation 1,575,988
Unrealized (depreciation) (7,559,899)
Total $(5,983,911)
* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Number of
contracts
Notional
amount
Value Expiration
date
Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 10,402 $2,204,411,354 $2,204,411,354 Jun-22 $27,525,627
U.S. Treasury Note Ultra 10 yr (Short) 172 23,300,625 23,300,625 Jun-22 855,581
Unrealized appreciation 28,381,208
Unrealized (depreciation)
Total $28,381,208

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/22 (premiums $95,698,706) (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 $306,920,900 $5,911,297
Citibank, N.A.
2.395/3 month USD-LIBOR-BBA/Nov-33 Nov-23/2.395 16,867,200 724,784
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 53,655,100 2,616,759
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 53,655,100 4,645,995
Goldman Sachs International
1.448/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 28,942,000 2,563,285
(1.448)/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 28,942,000 2,700,156
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 $17,076,600 254,441
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 27,236,800 423,532
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 27,236,800 1,795,177
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 17,076,600 2,183,926
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 63,672,400 3,338,742
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $196,939,100 3,726,088
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 63,672,400 4,830,610
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $196,939,100 17,968,723
Morgan Stanley & Co. International PLC
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 58,978,200 156,882
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 22,892,700 833,065
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 22,892,700 851,837


Diversified Income Trust 59




WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/22 (premiums $95,698,706) (Unaudited) cont.
Counterparty
Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/contract
amount
Value
Morgan Stanley & Co. International PLC cont.
(2.75)/3 month USD-LIBOR-BBA/Dec-47 Dec-24/2.75 $10,000,000 $1,436,300
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 22,892,700 2,099,032
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 22,892,700 2,152,830
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 58,978,200 5,036,149
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 44,214,400 6,779,836
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 44,214,400 6,877,992
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 44,214,400 7,659,703
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23 Sep-22/0.84 GBP 420,542,200 7,353,046
0.68/Sterling Overnight Index Average/Sep-23 Sep-22/0.68 GBP 420,542,200 8,187,239
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 $2,531,000 107,922
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 5,061,900 1,257,680
UBS AG
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 62,240,100 3,001,840
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 62,240,100 4,670,498
Total $112,145,366

WRITTEN OPTIONS OUTSTANDING at 3/31/22 (premiums $3,832,031) (Unaudited)
Counterparty Expiration
date/strike price
Notional
amount
Contract
amount
Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) Apr-22/$102.47 $300,539,070   $300,000,000 $6,819,900
Total $6,819,900

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (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.
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) May-22/0.305   $375,840,500 $(451,009) $6,370,496
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925   54,490,500 (3,901,520) 4,049,734
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35   99,263,300 (12,904,229) 3,470,245
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85   27,749,600 (2,025,721) 2,149,484
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275   24,024,100 (3,129,139) 1,814,060
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased) Oct-24/2.485   72,336,100 (4,365,484) 1,719,429


60 Diversified Income Trust



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (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.
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76   $295,887,000 $(1,912,170) $1,535,654
(1.39)/SOFR/Dec-26 (Purchased) Dec-24/1.39   115,832,300 (1,332,071) 1,340,180
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 30,236,900 (4,900,197) 509,437
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 30,236,900 (2,450,099) 428,489
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) May-22/2.2875   $75,168,000 (977,184) 393,129
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 15,990,750 (3,647,054) 361,579
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76   $295,887,000 (1,912,170) 269,257
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 15,990,750 (3,647,054) 179,020
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075   $18,018,000 (537,596) 63,784
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275   357,636,500 (3,299,197) (10,729)
1.39/SOFR/Dec-26 (Purchased) Dec-24/1.39   115,832,300 (1,332,071) (264,098)
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) Mar-24/2.29   65,447,700 (3,219,092) (274,880)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85   27,749,600 (2,025,721) (1,029,788)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35   99,263,300 (12,904,229) (1,237,813)
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) Apr-24/2.17   186,994,200 (9,031,820) (1,279,040)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275   24,024,100 (3,129,139) (1,294,178)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925   54,490,500 (3,901,520) (1,885,371)
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275   357,636,500 (3,299,197) (3,036,334)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075   18,018,000 (7,231,766) (6,454,228)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) Apr-24/1.085   373,987,700 5,132,981 684,397
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115   295,887,000 1,246,424 355,064
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) Mar-24/1.29   93,496,900 1,458,552 123,416
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) May-22/1.7875   37,584,000 1,052,352 (1,051,600)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115   295,887,000 1,246,424 (3,414,536)


Diversified Income Trust 61



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (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.
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written) Oct-23/2.415   $224,241,800 $4,737,108 $(4,646,290)
0.805/3 month USD-LIBOR-BBA/May-23 (Written) May-22/0.805   751,680,600 244,296 (9,696,680)
Citibank, N.A.
(1.648)/SOFR/Sep-32 (Purchased) Sep-22/1.648   87,132,800 (2,130,397) 2,744,683
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102   14,732,300 (468,119) 1,324,139
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90   166,388,200 (2,217,955) 1,158,062
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased) Sep-22/2.194   29,866,100 (732,541) 1,137,600
(1.826)/SOFR/Jan-42 (Purchased) Jan-32/1.826   55,459,800 (4,095,706) 1,007,705
(1.724)/SOFR/Mar-53 (Purchased) Mar-23/1.724   25,282,600 (1,907,572) 873,767
(1.735)/SOFR/Mar-53 (Purchased) Mar-23/1.735   24,981,300 (1,846,743) 865,852
(1.75)/SOFR/Mar-53 (Purchased) Mar-23/1.75   24,882,800 (1,862,478) 785,550
2.31/SOFR/Jun-32 (Purchased) Jun-22/2.31   150,196,700 (3,221,719) 782,525
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625   25,233,100 (3,721,882) 424,673
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689   11,217,000 (1,444,189) 289,959
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90   166,388,200 (2,217,955) 209,649
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625   25,233,100 (3,721,882) 111,530
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427   9,949,800 (724,843) 93,429
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427   9,949,800 (724,843) 52,137
2.194/SOFR/Apr-32 (Purchased) Apr-22/2.194   24,321,100 (272,396) 36,482
(2.194)/SOFR/Apr-32 (Purchased) Apr-22/2.194   24,321,100 (272,396) (111,877)
1.826/SOFR/Jan-42 (Purchased) Jan-32/1.826   55,459,800 (4,095,706) (159,170)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102   14,732,300 (468,119) (433,130)
1.75/SOFR/Mar-53 (Purchased) Mar-23/1.75   24,882,800 (1,862,478) (601,915)
1.735/SOFR/Mar-53 (Purchased) Mar-23/1.735   24,981,300 (1,846,743) (607,545)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689   11,217,000 (1,444,189) (628,040)
1.724/SOFR/Mar-53 (Purchased) Mar-23/1.724   25,282,600 (1,907,572) (678,332)
0.555/6 month EUR-EURIBOR-Reuters/Mar-25 (Purchased) Mar-24/0.555 EUR 358,237,500 (2,259,791) (1,208,716)
1.458/SOFR/Apr-27 (Purchased) Apr-22/1.458   $164,401,700 (1,315,214) (1,310,282)
(2.31)/SOFR/Jun-32 (Purchased) Jun-22/2.31   150,196,700 (3,221,719) (1,338,253)
1.648/SOFR/Sep-32 (Purchased) Sep-22/1.648   87,132,800 (2,130,397) (1,489,971)
1.5625/SOFR/Jun-32 (Purchased) Jun-22/1.5625   241,400,800 (4,671,105) (4,229,342)


62 Diversified Income Trust



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (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.
(1.3125)/SOFR/Jun-32 (Written) Jun-22/1.3125   $241,400,800 $2,414,008 $2,264,340
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245   250,345,100 2,290,658 2,263,120
(0.055)/6 month EUR-EURIBOR-Reuters/Mar-25 (Written) Mar-24/0.055 EUR 716,475,000 2,298,753 1,323,643
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194   $166,388,200 1,261,223 1,018,296
(1.208)/SOFR/Apr-27 (Written) Apr-22/1.208   164,401,700 542,526 542,526
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177   10,633,700 806,034 346,340
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918   30,373,100 3,632,623 253,008
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177   10,633,700 806,034 (606,121)
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918   30,373,100 3,632,623 (889,021)
1.708/SOFR/Apr-27 (Written) Apr-22/1.708   164,401,700 575,406 (3,917,693)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194   166,388,200 1,261,223 (4,452,548)
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written) Sep-22/1.7075   143,357,600 759,795 (5,582,345)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245   250,345,100 2,290,658 (5,672,820)
1.8125/SOFR/Jun-32 (Written) Jun-22/1.8125   241,400,800 2,414,008 (6,532,306)
Deutsche Bank AG
(1.724)/SOFR/Jan-47 (Purchased) Jan-37/1.724   69,324,500 (5,722,737) 869,329
1.724/SOFR/Jan-47 (Purchased) Jan-37/1.724   69,324,500 (5,722,737) (71,404)
2.135/SOFR/Mar-42 (Written) Mar-32/2.135   56,650,000 4,761,433 126,896
(2.135)/SOFR/Mar-42 (Written) Mar-32/2.135   56,650,000 4,761,433 (88,941)