Putnam Asset Allocation Funds
04/25/2024 | Press release | Distributed by Public on 04/25/2024 15:22
Semi-Annual Report by Investment Company - Form N-CSRS
a_multiassetincome.htm
|
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: | (811-07121) |
| Exact name of registrant as specified in charter: | Putnam Asset Allocation Funds |
| 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 |
|
James E. Thomas, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199 |
| Registrant's telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | August 31, 2024 |
| Date of reporting period: | September 1, 2023 - February 29, 2024 |
|
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam
Multi-Asset Income
Fund
Semiannual report
2 | 29 | 24
| Message from the Trustees | 1 | ||
| Your fund at a glance | 2 | ||
| Your fund's expenses | 3 | ||
| Other information for shareholders | 5 | ||
| Important notice regarding Putnam's privacy policy | 6 | ||
| Financial statements | 7 | ||
| Shareholder meeting results | 78 |
Message from the Trustees
April 9, 2024
Dear Fellow Shareholder:
We are pleased to report that on January 1, 2024, Franklin Resources, Inc., a leading global asset management firm operating as Franklin Templeton, acquired Putnam Investments. With complementary capabilities and an established infrastructure serving over 150 countries, Franklin Templeton enhances Putnam's investment, risk management, operations, and technology platforms. Together, our firms are committed to delivering strong fund performance and more choices for our investors.
We are also excited to welcome Jane E. Trust as an interested trustee to your Board of Trustees. Ms. Trust contributes over 30 years of investment management experience to The Putnam Funds, and has served as Senior Vice President, Fund Board Management, at Franklin Templeton since 2020.
As we enter this new chapter, you can rest assured that your fund continues to be actively managed by the same experienced professionals. Your investment team is exploring new and attractive opportunities for your fund while monitoring changing market conditions.
Thank you for investing with Putnam.
Allocations are shown as a percentage of the fund's net assets as of 2/29/24. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time. Due to rounding, percentages may not equal 100%.
| 2 Multi-Asset Income Fund |
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. In the most recent six-month period, your fund's expenses were limited; had expenses not been limited, they would have been higher. 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 C | Class P | Class R | Class R5 | Class R6 | Class Y | |
| Net expenses for the fiscal year | |||||||
| ended 8/31/23* | 0.83%† | 1.58%† | 0.41% | 1.08%† | 0.55%† | 0.45%† | 0.58%† |
| Total annual operating expenses for the | |||||||
| fiscal year ended 8/31/23 | 1.23%† | 1.98% † | 0.81% | 1.48%† | 0.95%† | 0.85%† | 0.98% † |
| Annualized expense ratio for the | |||||||
| six-month period ended 2/29/24 | 0.84% | 1.59% | 0.41% | 1.09% | 0.55% | 0.45% | 0.59% |
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.
• Reflects Putnam Management's contractual obligation to limit certain fund expenses through 12/30/24.
† Restated to reflect current fees.
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 9/1/23 to 2/29/24. 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 C | Class P | Class R | Class R5 | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $4.33 | $8.17 | $2.11 | $5.61 | $2.84 | $2.32 | $3.04 |
| Ending value (after expenses) | $1,071.90 | $1,067.70 | $1,074.20 | $1,070.50 | $1,073.30 | $1,073.90 | $1,073.30 |
* 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 2/29/24. 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 (366).
| Multi-Asset Income Fund 3 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 2/29/24, use the following calculation method. To find the value of your investment on 9/1/23, 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 C | Class P | Class R | Class R5 | Class R6 | Class Y | |
| Expenses paid per $1,000*† | $4.22 | $7.97 | $2.06 | $5.47 | $2.77 | $2.26 | $2.97 |
| Ending value (after expenses) | $1,020.69 | $1,016.96 | $1,022.82 | $1,019.44 | $1,022.13 | $1,022.63 | $1,021.93 |
* 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 2/29/24. 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 (366).
| 4 Multi-Asset Income Fund |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, your fund's manager sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577. We will begin sending individual copies within 30 days.
Proxy voting
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, 2023, 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 Shareholder Services at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577.
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.
| Multi-Asset Income Fund 5 |
Important notice regarding Putnam's privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders' names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you've listed one on your Putnam account.
| 6 Multi-Asset Income Fund |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund's financial statements.
The fund's portfolio lists all the fund's investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund's net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund's net investment gain or loss. This is done by first adding up all the fund's earnings - from dividends and interest income - and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings - as well as any unrealized gains or losses over the period - is added to or subtracted from the net investment result to determine the fund's net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund's net assets were affected by the fund's net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund's shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund's fiscal period.
Financial highlights provide an overview of the fund's investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover (not required for money market funds) in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| Multi-Asset Income Fund 7 |
| The fund's portfolio 2/29/24 (Unaudited) |
| COMMON STOCKS (29.1%)* | Shares | Value |
| Basic materials (0.9%) | ||
| AdvanSix, Inc. | 238 | $6,659 |
| American Vanguard Corp. | 157 | 1,683 |
| American Woodmark Corp. † | 161 | 16,139 |
| Andersons, Inc. (The) | 273 | 15,091 |
| ArcelorMittal SA (France) | 438 | 11,418 |
| Arcosa, Inc. | 43 | 3,569 |
| Atkore, Inc. † | 163 | 27,612 |
| Avient Corp. | 94 | 3,805 |
| BASF SE (Germany) | 471 | 23,964 |
| Beacon Roofing Supply, Inc. † | 42 | 3,607 |
| BHP Group, Ltd. (ASE Exchange) (Australia) | 6,102 | 174,240 |
| BHP Group, Ltd. (London Exchange) (Australia) | 385 | 11,029 |
| Boise Cascade Co. | 194 | 26,367 |
| Builders FirstSource, Inc. † | 282 | 55,041 |
| Cie de Saint-Gobain SA (France) | 1,635 | 125,818 |
| Clearwater Paper Corp. † | 103 | 4,047 |
| Commercial Metals Co. | 78 | 4,212 |
| Constellium SE (France) † | 999 | 19,371 |
| CRH PLC (Ireland) | 306 | 25,393 |
| Dole PLC (Ireland) | 878 | 10,369 |
| Dow, Inc. | 10,763 | 601,436 |
| Fortescue, Ltd. (Australia) | 6,525 | 109,976 |
| Fresh Del Monte Produce, Inc. | 318 | 7,610 |
| Frontdoor, Inc. † | 548 | 17,185 |
| Gibraltar Industries, Inc. † | 48 | 3,718 |
| Glencore PLC (United Kingdom) | 26,623 | 126,074 |
| Holcim AG (Switzerland) | 727 | 59,271 |
| Innospec, Inc. | 110 | 13,670 |
| Janus International Group, Inc. † | 295 | 4,233 |
| LightWave Logic, Inc. † | 1,195 | 5,031 |
| Limbach Holdings, Inc. † | 88 | 4,333 |
| LSB Industries, Inc. † | 454 | 3,341 |
| LyondellBasell Industries NV Class A | 567 | 56,859 |
| Minerals Technologies, Inc. | 59 | 4,269 |
| Mosaic Co. (The) | 1,555 | 48,454 |
| Mueller Industries, Inc. | 90 | 4,624 |
| Nucor Corp. | 251 | 48,267 |
| OCI NV (Netherlands) | 1,765 | 46,450 |
| Orion Engineered Carbons SA (Luxembourg) | 260 | 5,860 |
| Pilbara Minerals, Ltd. (Australia) | 4,824 | 13,170 |
| PPG Industries, Inc. | 365 | 51,684 |
| Proto Labs, Inc. † | 97 | 3,534 |
| Rio Tinto PLC (United Kingdom) | 699 | 44,814 |
| Rio Tinto, Ltd. (Australia) | 161 | 12,954 |
| Simpson Manufacturing Co., Inc. | 68 | 14,190 |
| Standex International Corp. | 28 | 4,844 |
| Sterling Construction Co., Inc. † | 250 | 26,660 |
| Sylvamo Corp. | 81 | 4,893 |
|
8 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Basic materials cont. | ||
| Tronox Holdings PLC | 1,160 | $17,052 |
| Tutor Perini Corp. † | 221 | 2,504 |
| UFP Industries, Inc. | 238 | 27,282 |
| Wacker Chemie AG (Germany) | 209 | 22,826 |
| Worthington Enterprises, Inc. | 59 | 3,665 |
| 1,990,167 | ||
| Capital goods (0.9%) | ||
| A.O. Smith Corp. | 635 | 52,642 |
| ABB, Ltd. (Switzerland) | 1,572 | 72,383 |
| Adient PLC † | 104 | 3,530 |
| Alamo Group, Inc. | 21 | 4,248 |
| Albany International Corp. Class A | 48 | 4,506 |
| American Axle & Manufacturing Holdings, Inc. † | 1,592 | 11,017 |
| Applied Industrial Technologies, Inc. | 105 | 19,938 |
| Ardagh Metal Packaging SA (Luxembourg) | 13,343 | 43,765 |
| Argan, Inc. | 78 | 3,655 |
| Belden, Inc. | 289 | 24,617 |
| Canon, Inc. (Japan) | 1,200 | 35,035 |
| Caterpillar, Inc. | 155 | 51,764 |
| CNH Industrial NV (United Kingdom) | 4,010 | 47,920 |
| Columbus McKinnon Corp./NY | 99 | 4,135 |
| Comfort Systems USA, Inc. | 26 | 7,949 |
| Cummins, Inc. | 205 | 55,065 |
| Eaton Corp. PLC | 191 | 55,199 |
| Emerson Electric Co. | 477 | 50,967 |
| Encore Wire Corp. | 61 | 14,701 |
| Enviri Corp. † | 392 | 3,081 |
| Franklin Electric Co., Inc. | 46 | 4,782 |
| GEA Group AG (Germany) | 349 | 14,058 |
| Gentherm, Inc. † | 74 | 4,208 |
| GrafTech International, Ltd. | 2,828 | 4,977 |
| Hitachi, Ltd. (Japan) | 500 | 42,239 |
| Hyster-Yale Materials Handling, Inc. | 122 | 7,183 |
| Interface, Inc. | 346 | 5,439 |
| Komatsu, Ltd. (Japan) | 3,400 | 98,562 |
| Kone Oyj Class B (Finland) | 2,193 | 107,180 |
| Leggett & Platt, Inc. | 2,667 | 54,460 |
| LKQ Corp. | 1,122 | 58,669 |
| Lockheed Martin Corp. | 109 | 46,678 |
| MYR Group, Inc. † | 16 | 2,599 |
| nLight, Inc. † | 242 | 3,202 |
| O-I Glass, Inc. † | 923 | 15,617 |
| Parker Hannifin Corp. | 98 | 52,474 |
| Powell Industries, Inc. | 135 | 25,007 |
| Republic Services, Inc. | 275 | 50,490 |
| Ryerson Holding Corp. | 414 | 13,074 |
| Shyft Group, Inc. (The) | 303 | 3,124 |
| Standard Motor Products, Inc. | 46 | 1,461 |
| Steelcase, Inc. Class A | 296 | 4,067 |
|
Multi-Asset Income Fund 9 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Capital goods cont. | ||
| Stoneridge, Inc. † | 173 | $3,040 |
| Tennant Co. | 41 | 4,641 |
| Terex Corp. | 363 | 20,818 |
| Titan International, Inc. † | 345 | 4,402 |
| Vertiv Holdings Co. Class A | 7,915 | 535,212 |
| Vinci SA (France) | 1,129 | 144,474 |
| Watts Water Technologies, Inc. Class A | 122 | 24,882 |
| 1,923,136 | ||
| Communication services (0.6%) | ||
| AT&T, Inc. | 44,560 | 754,401 |
| Comcast Corp. Class A | 2,678 | 114,752 |
| Crown Castle, Inc. R | 541 | 59,478 |
| HKT Trust & HKT, Ltd. (Units) (Hong Kong) | 10,000 | 12,197 |
| InterDigital, Inc. | 35 | 3,746 |
| KDDI Corp. (Japan) | 2,000 | 60,752 |
| Preformed Line Products Co. | 26 | 3,574 |
| Spark NZ, Ltd. (New Zealand) | 3,265 | 10,079 |
| Verizon Communications, Inc. | 3,275 | 131,066 |
| Vodafone Group PLC (United Kingdom) | 127,223 | 111,002 |
| 1,261,047 | ||
| Conglomerates (0.6%) | ||
| 3M Co. | 8,402 | 773,992 |
| AMETEK, Inc. | 309 | 55,676 |
| Marubeni Corp. (Japan) | 7,300 | 120,368 |
| Mitsubishi Corp. (Japan) | 7,300 | 156,060 |
| Mitsui & Co., Ltd. (Japan) | 3,300 | 144,243 |
| Siemens AG (Germany) | 570 | 112,701 |
| SPX Technologies, Inc. † | 36 | 4,219 |
| 1,367,259 | ||
| Consumer cyclicals (3.7%) | ||
| AAON, Inc. | 55 | 4,619 |
| Aaron's Co., Inc. (The) | 639 | 4,952 |
| Abercrombie & Fitch Co. Class A † | 41 | 5,238 |
| AGC, Inc. (Japan) | 700 | 24,994 |
| Amazon.com, Inc. † | 7,849 | 1,387,389 |
| American Eagle Outfitters, Inc. | 589 | 13,989 |
| Apogee Enterprises, Inc. | 199 | 11,385 |
| Aristocrat Leisure, Ltd. (Australia) | 2,222 | 67,348 |
| Arrowhead Pharmaceuticals, Inc. † | 177 | 5,682 |
| Automatic Data Processing, Inc. | 2,971 | 746,107 |
| Barrett Business Services, Inc. | 37 | 4,514 |
| Bayerische Motoren Werke AG (Germany) | 1,136 | 134,099 |
| Beazer Homes USA, Inc. † | 578 | 18,109 |
| Best Buy Co., Inc. | 651 | 52,653 |
| Blue Bird Corp. † | 604 | 20,439 |
| BlueLinx Holdings, Inc. † | 91 | 11,543 |
| Booking Holdings, Inc. † | 18 | 62,439 |
| BrightView Holdings, Inc. † | 423 | 3,684 |
| Buckle, Inc. (The) | 99 | 4,053 |
|
10 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Consumer cyclicals cont. | ||
| Caleres, Inc. | 469 | $18,108 |
| Cimpress PLC (Ireland) † | 169 | 16,564 |
| Daktronics, Inc. † | 494 | 4,288 |
| Dana, Inc. | 263 | 3,288 |
| Dillard's, Inc. Class A | 51 | 21,151 |
| Expedia Group, Inc. † | 277 | 37,899 |
| Ford Motor Co. | 50,311 | 625,869 |
| Forestar Group, Inc. † | 259 | 8,733 |
| G-III Apparel Group, Ltd. † | 124 | 4,125 |
| Gap, Inc. (The) | 18,978 | 359,443 |
| Geberit AG (Switzerland) | 133 | 77,182 |
| Genuine Parts Co. | 332 | 49,554 |
| GMS, Inc. † | 271 | 24,203 |
| Golden Entertainment, Inc. | 161 | 5,967 |
| Goodyear Tire & Rubber Co. (The) † | 272 | 3,231 |
| H & M Hennes & Mauritz AB Class B (Sweden) | 5,415 | 73,371 |
| Hermes International (France) | 9 | 22,499 |
| Hilton Worldwide Holdings, Inc. | 251 | 51,284 |
| Home Depot, Inc. (The) | 143 | 54,427 |
| Hovnanian Enterprises, Inc. Class A † | 79 | 12,376 |
| Huron Consulting Group, Inc. † | 40 | 3,925 |
| Industria de Diseno Textil SA (Spain) | 3,144 | 139,353 |
| International Game Technology PLC | 759 | 20,622 |
| J. Jill, Inc. † | 209 | 5,223 |
| JAKKS Pacific, Inc. † | 117 | 4,108 |
| JELD-WEN Holding, Inc. † | 792 | 14,414 |
| KB Home | 78 | 5,182 |
| Kering SA (France) | 75 | 34,455 |
| Kimberly-Clark Corp. | 395 | 47,862 |
| La Francaise des Jeux SAEM (France) | 2,063 | 86,334 |
| Las Vegas Sands Corp. | 929 | 50,649 |
| Laureate Education, Inc. | 285 | 3,822 |
| Lennar Corp. Class B | 2,365 | 348,530 |
| Light & Wonder, Inc. † | 359 | 36,083 |
| LiveRamp Holdings, Inc. † | 533 | 18,644 |
| Lowe's Cos., Inc. | 216 | 51,985 |
| LVMH Moet Hennessy Louis Vuitton SA (France) | 57 | 51,921 |
| M/I Homes, Inc. † | 174 | 22,096 |
| Masonite International Corp. † | 56 | 7,293 |
| MasterCraft Boat Holdings, Inc. † | 158 | 3,465 |
| Mercedes-Benz Group AG (Germany) | 1,945 | 154,803 |
| Meritage Homes Corp. | 53 | 8,356 |
| Modine Manufacturing Co. † | 322 | 28,887 |
| Monarch Casino & Resort, Inc. | 51 | 3,588 |
| Netflix, Inc. † | 92 | 55,469 |
| Nike, Inc. Class B | 495 | 51,445 |
| Nintendo Co., Ltd. (Japan) | 2,300 | 128,869 |
| Owens Corning | 346 | 51,824 |
| PROG Holdings, Inc. † | 322 | 9,940 |
|
Multi-Asset Income Fund 11 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Consumer cyclicals cont. | ||
| Publicis Groupe SA (France) | 1,106 | $116,883 |
| PulteGroup, Inc. | 490 | 53,106 |
| Red Rock Resorts, Inc. Class A | 387 | 22,442 |
| REV Group, Inc. | 207 | 4,272 |
| Ross Stores, Inc. | 5,275 | 785,764 |
| Ryman Hospitality Properties, Inc. R | 243 | 28,791 |
| Sinclair, Inc. | 310 | 4,604 |
| SP Plus Corp. † | 73 | 3,753 |
| Stellantis NV (Italy) | 3,741 | 97,564 |
| StoneCo., Ltd. Class A (Brazil) † | 1,354 | 23,302 |
| Subaru Corp. (Japan) | 1,400 | 31,788 |
| Tapestry, Inc. | 1,408 | 66,922 |
| Target Corp. | 321 | 49,087 |
| Taylor Wimpey PLC (United Kingdom) | 41,507 | 72,226 |
| Textainer Group Holdings, Ltd. | 81 | 4,042 |
| TJX Cos., Inc. (The) | 2,453 | 243,190 |
| Toll Brothers, Inc. | 441 | 50,556 |
| Toyota Motor Corp. (Japan) | 2,200 | 53,136 |
| Trane Technologies PLC | 198 | 55,830 |
| Travel + Leisure Co. | 1,186 | 53,002 |
| TRI Pointe Homes, Inc. † | 657 | 23,245 |
| Universal Music Group NV (Netherlands) | 476 | 14,338 |
| Upbound Group, Inc. | 56 | 1,891 |
| Urban Outfitters, Inc. † | 90 | 3,740 |
| USS Co., Ltd. (Japan) | 2,000 | 34,759 |
| Visteon Corp. † | 189 | 21,380 |
| Volkswagen AG (Preference) (Germany) | 802 | 108,645 |
| Walmart, Inc. | 8,560 | 501,702 |
| Wesfarmers, Ltd. (Australia) | 585 | 25,340 |
| 8,061,245 | ||
| Consumer staples (2.0%) | ||
| ACCO Brands Corp. | 662 | 3,694 |
| Auto Trader Group PLC (United Kingdom) | 774 | 7,234 |
| Brink's Co. (The) | 233 | 19,299 |
| British American Tobacco PLC (United Kingdom) | 4,678 | 138,473 |
| Cal-Maine Foods, Inc. | 70 | 4,024 |
| Cargurus, Inc. † | 647 | 14,325 |
| Carrols Restaurant Group, Inc. | 1,137 | 10,767 |
| CK Hutchison Holdings, Ltd. (Hong Kong) | 20,500 | 104,078 |
| Coca-Cola Co. (The) | 13,005 | 780,560 |
| Coca-Cola Consolidated, Inc. | 28 | 23,542 |
| Coles Group, Ltd. (Australia) | 1,476 | 16,214 |
| Colgate-Palmolive Co. | 577 | 49,922 |
| CoreCivic, Inc. † | 360 | 5,483 |
| Dave & Buster's Entertainment, Inc. † | 83 | 5,124 |
| DoorDash, Inc. Class A † | 757 | 94,299 |
| Eventbrite, Inc. Class A † | 1,614 | 9,038 |
| Heidrick & Struggles International, Inc. | 136 | 4,624 |
| Hudson Technologies, Inc. † | 274 | 4,014 |
|
12 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Consumer staples cont. | ||
| Imperial Brands PLC (United Kingdom) | 4,852 | $104,395 |
| Ingles Markets, Inc. Class A | 46 | 3,542 |
| Insperity, Inc. | 32 | 3,257 |
| Inter Parfums, Inc. | 142 | 20,834 |
| ITOCHU Corp. (Japan) | 2,800 | 121,697 |
| Itron, Inc. † | 302 | 27,989 |
| Japan Tobacco, Inc. (Japan) | 4,600 | 119,418 |
| John B. Sanfilippo & Son, Inc. | 46 | 4,709 |
| Kao Corp. (Japan) | 200 | 7,599 |
| Kenvue, Inc. | 2,431 | 46,189 |
| Keurig Dr Pepper, Inc. | 763 | 22,821 |
| Koninklijke Ahold Delhaize NV (Netherlands) | 4,060 | 120,759 |
| Korn Ferry | 313 | 19,926 |
| Kraft Heinz Co. (The) | 1,332 | 46,993 |
| McDonald's Corp. | 185 | 54,072 |
| Molson Coors Beverage Co. Class B | 818 | 51,060 |
| Mondelez International, Inc. Class A | 675 | 49,322 |
| Nestle SA (Switzerland) | 752 | 78,027 |
| PepsiCo, Inc. | 294 | 48,610 |
| Perdoceo Education Corp. | 524 | 9,332 |
| Philip Morris International, Inc. | 9,783 | 880,079 |
| Procter & Gamble Co. (The) | 1,278 | 203,125 |
| Reckitt Benckiser Group PLC (United Kingdom) | 1,361 | 85,865 |
| Recruit Holdings Co., Ltd. (Japan) | 200 | 8,063 |
| Resideo Technologies, Inc. † | 234 | 5,225 |
| Resources Connection, Inc. | 271 | 3,748 |
| Sally Beauty Holdings, Inc. † | 404 | 5,103 |
| Simply Good Foods Co. (The) † | 327 | 11,602 |
| Starbucks Corp. | 507 | 48,114 |
| Sumitomo Corp. (Japan) | 4,900 | 114,623 |
| Toyota Tsusho Corp. (Japan) | 100 | 6,453 |
| Tyson Foods, Inc. Class A | 905 | 49,087 |
| Uber Technologies, Inc. † | 5,808 | 461,736 |
| Unilever PLC (United Kingdom) | 3,550 | 173,264 |
| United Natural Foods, Inc. † | 234 | 3,653 |
| Upwork, Inc. † | 1,277 | 16,729 |
| USANA Health Sciences, Inc. † | 86 | 4,150 |
| ZOZO, Inc. (Japan) | 3,900 | 88,291 |
| 4,424,175 | ||
| Energy (1.3%) | ||
| Alpha Metallurgical Resources, Inc. | 66 | 24,899 |
| Antero Midstream Corp. | 4,119 | 55,195 |
| Arch Resources, Inc. | 58 | 9,587 |
| Baker Hughes Co. | 1,658 | 49,060 |
| California Resources Corp. | 72 | 3,756 |
| Chevron Corp. | 324 | 49,251 |
| CONSOL Energy, Inc. | 241 | 20,683 |
| Devon Energy Corp. | 6,660 | 293,440 |
| DMC Global, Inc. † | 214 | 3,570 |
|
Multi-Asset Income Fund 13 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Energy cont. | ||
| DNOW, Inc. † | 1,056 | $14,942 |
| Equinor ASA (Norway) | 1,711 | 42,150 |
| Exxon Mobil Corp. | 7,245 | 757,247 |
| Golar LNG, Ltd. (Norway) | 168 | 3,409 |
| Marathon Oil Corp. | 2,167 | 52,550 |
| Marathon Petroleum Corp. | 3,221 | 545,090 |
| Murphy Oil Corp. | 97 | 3,848 |
| Nabors Industries, Ltd. † | 56 | 4,389 |
| Newpark Resources, Inc. † | 598 | 3,845 |
| Norsk Hydro ASA (Norway) | 1,483 | 7,615 |
| Oceaneering International, Inc. † | 178 | 3,517 |
| OMV AG (Austria) | 2,208 | 97,222 |
| ONEOK, Inc. | 700 | 52,584 |
| Par Pacific Holdings, Inc. † | 565 | 20,408 |
| PBF Energy, Inc. Class A | 525 | 24,518 |
| Peabody Energy Corp. | 696 | 17,240 |
| Phillips 66 | 346 | 49,308 |
| Repsol SA (Spain) | 1,850 | 29,442 |
| Schlumberger, Ltd. | 957 | 46,252 |
| Shell PLC (United Kingdom) | 917 | 28,440 |
| SM Energy Co. | 249 | 10,899 |
| SunCoke Energy, Inc. | 635 | 6,801 |
| Thermon Group Holdings, Inc. † | 223 | 6,086 |
| US Silica Holdings, Inc. † | 1,189 | 13,674 |
| Valero Energy Corp. | 2,168 | 306,685 |
| W&T Offshore, Inc. | 1,292 | 3,902 |
| Warrior Met Coal, Inc. | 364 | 20,737 |
| Weatherford International PLC † | 315 | 32,322 |
| Woodside Energy Group, Ltd. (Australia) | 6,264 | 123,614 |
| 2,838,177 | ||
| Financials (5.0%) | ||
| 3i Group PLC (United Kingdom) | 3,844 | 119,754 |
| ABN AMRO Bank NV (Netherlands) | 1,103 | 17,703 |
| AGNC Investment Corp. R | 4,919 | 47,026 |
| Alexander & Baldwin, Inc. R | 428 | 6,959 |
| Allianz SE (Germany) | 508 | 139,375 |
| Ally Financial, Inc. | 1,402 | 51,860 |
| Amalgamated Financial Corp. | 159 | 3,670 |
| American Assets Trust, Inc. R | 172 | 3,710 |
| American Equity Investment Life Holding Co. † | 411 | 22,827 |
| American Express Co. | 223 | 48,931 |
| American International Group, Inc. | 660 | 48,107 |
| Ameriprise Financial, Inc. | 131 | 53,364 |
| Amundi SA (France) | 1,617 | 106,345 |
| Anywhere Real Estate, Inc. † | 1,689 | 10,590 |
| Apple Hospitality REIT, Inc. R | 332 | 5,342 |
| Associated Banc-Corp. | 188 | 3,918 |
| AvalonBay Communities, Inc. R | 280 | 49,568 |
| AXA SA (France) | 4,277 | 151,990 |
|
14 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Financials cont. | ||
| Axis Capital Holdings, Ltd. | 812 | $50,807 |
| Axos Financial, Inc. † | 418 | 21,786 |
| Banco Bilbao Vizcaya Argentaria SA (Spain) | 7,160 | 71,086 |
| Banco Latinoamericano de Comercio Exterior SA (Panama) | 155 | 4,335 |
| Bank Hapoalim MB (Israel) | 1,995 | 19,085 |
| Bank of America Corp. | 1,538 | 53,092 |
| Bank of New York Mellon Corp. (The) | 789 | 44,255 |
| Bank of NT Butterfield & Son, Ltd. (The) (Bermuda) | 181 | 5,410 |
| Banner Corp. | 320 | 14,029 |
| Barratt Developments PLC (United Kingdom) | 7,412 | 43,647 |
| Berkshire Hathaway, Inc. Class B † | 121 | 49,537 |
| BGC Group, Inc. Class A | 527 | 3,663 |
| Bread Financial Holdings, Inc. | 515 | 19,714 |
| BrightSpire Capital, Inc. R | 1,245 | 8,603 |
| Broadstone Net Lease, Inc. R | 226 | 3,370 |
| CaixaBank SA (Spain) | 26,945 | 121,439 |
| Capital One Financial Corp. | 399 | 54,906 |
| CapitaLand Ascendas REIT (Singapore) R | 2,900 | 5,905 |
| Cathay General Bancorp | 419 | 16,362 |
| Centerspace R | 140 | 7,783 |
| Central Pacific Financial Corp. | 323 | 6,027 |
| Chimera Investment Corp. R | 788 | 3,436 |
| Citigroup, Inc. | 12,998 | 721,259 |
| CNA Financial Corp. | 6,002 | 263,788 |
| CNO Financial Group, Inc. | 779 | 20,792 |
| COPT Defense Properties R | 154 | 3,731 |
| Corebridge Financial, Inc. | 24,857 | 617,199 |
| Credit Agricole SA (France) | 6,061 | 82,015 |
| CrossFirst Bankshares, Inc. † | 166 | 2,136 |
| Cushman & Wakefield PLC † | 925 | 9,241 |
| Customers Bancorp, Inc. † | 356 | 19,334 |
| DBS Group Holdings, Ltd. (Singapore) | 2,000 | 49,541 |
| Discover Financial Services | 430 | 51,901 |
| Eastern Bankshares, Inc. | 283 | 3,656 |
| Elme Communities R | 119 | 1,533 |
| Enova International, Inc. † | 300 | 18,975 |
| Enstar Group, Ltd. † | 13 | 4,003 |
| Enterprise Financial Services Corp. | 242 | 9,661 |
| EPR Properties R | 1,141 | 46,872 |
| Equitable Holdings, Inc. | 1,537 | 52,627 |
| Equity Residential R | 795 | 47,867 |
| Essent Group, Ltd. | 56 | 3,000 |
| Essential Properties Realty Trust, Inc. R | 156 | 3,727 |
| FB Financial Corp. | 209 | 7,449 |
| Fidelis Insurance Holdings, Ltd. (United Kingdom) † | 292 | 4,368 |
| First BanCorp/Puerto Rico (Puerto Rico) | 1,329 | 22,566 |
| First Financial Corp./IN | 89 | 3,313 |
| First Horizon Corp. | 3,342 | 47,122 |
| Genworth Financial, Inc. Class A † | 3,312 | 20,369 |
|
Multi-Asset Income Fund 15 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Financials cont. | ||
| Goldman Sachs Group, Inc. (The) | 136 | $52,911 |
| Goodman Group (Australia) R | 1,861 | 36,169 |
| Hancock Whitney Corp. | 548 | 23,893 |
| Hanmi Financial Corp. | 292 | 4,412 |
| Hargreaves Lansdown PLC (United Kingdom) | 1,220 | 11,217 |
| Healthpeak Properties, Inc. R | 2,670 | 44,723 |
| Heartland Financial USA, Inc. | 306 | 10,404 |
| Heritage Commerce Corp. | 435 | 3,606 |
| Hilltop Holdings, Inc. | 546 | 16,860 |
| Hong Kong Exchanges and Clearing, Ltd. (Hong Kong) | 2,400 | 74,426 |
| Hope Bancorp, Inc. | 983 | 10,784 |
| Horace Mann Educators Corp. | 288 | 10,423 |
| HSBC Holdings PLC (United Kingdom) | 5,175 | 40,142 |
| Huntington Bancshares, Inc./OH | 4,009 | 52,277 |
| Independent Bank Corp./MI | 141 | 3,447 |
| International Bancshares Corp. | 92 | 4,774 |
| Intesa Sanpaolo SpA (Italy) | 43,167 | 137,072 |
| Invesco, Ltd. | 3,118 | 48,048 |
| Investor AB Class B (Sweden) | 5,203 | 130,697 |
| Jackson Financial, Inc. Class A | 464 | 25,543 |
| Janus Henderson Group PLC (United Kingdom) | 1,662 | 51,788 |
| JPMorgan Chase & Co. | 5,917 | 1,100,917 |
| Julius Baer Group, Ltd. (Switzerland) | 472 | 25,235 |
| Kennedy-Wilson Holdings, Inc. | 1,159 | 10,176 |
| Kimco Realty Corp. | 2,338 | 46,199 |
| Kite Realty Group Trust R | 468 | 10,020 |
| Ladder Capital Corp. R | 326 | 3,524 |
| Lincoln National Corp. | 1,754 | 48,305 |
| M&G PLC (United Kingdom) | 37,214 | 105,553 |
| Medical Properties Trust, Inc. R | 14,660 | 61,719 |
| MetLife, Inc. | 7,246 | 505,336 |
| MFA Financial, Inc. R | 588 | 6,597 |
| MGIC Investment Corp. | 2,610 | 51,913 |
| Mr. Cooper Group, Inc. † | 354 | 25,233 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 39 | 18,142 |
| National Australia Bank, Ltd. (Australia) | 1,331 | 29,277 |
| National Bank Holdings Corp. Class A | 111 | 3,756 |
| National Health Investors, Inc. R | 190 | 10,919 |
| Navient Corp. | 1,031 | 16,764 |
| NexPoint Residential Trust, Inc. R | 116 | 3,388 |
| NMI Holdings, Inc. Class A † | 118 | 3,549 |
| Nordea Bank ABP (Finland) | 8,477 | 102,986 |
| OceanFirst Financial Corp. | 266 | 4,043 |
| OFG Bancorp (Puerto Rico) | 322 | 11,663 |
| OneMain Holdings, Inc. | 2,470 | 116,658 |
| ORIX Corp. (Japan) | 800 | 16,740 |
| Oversea-Chinese Banking Corp., Ltd. (Singapore) | 5,900 | 56,915 |
| PagSeguro Digital, Ltd. Class A (Brazil) † | 1,642 | 22,857 |
|
16 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Financials cont. | ||
| Park Hotels & Resorts, Inc. | 41,245 | $684,667 |
| Pathward Financial, Inc. | 276 | 14,032 |
| PennyMac Financial Services, Inc. | 108 | 9,172 |
| Piedmont Office Realty Trust, Inc. Class A R | 673 | 4,220 |
| PNC Financial Services Group, Inc. (The) | 349 | 51,373 |
| Popular, Inc. (Puerto Rico) | 586 | 49,036 |
| Preferred Bank/Los Angeles CA | 130 | 9,341 |
| Premier Financial Corp. | 198 | 3,837 |
| Prudential Financial, Inc. | 482 | 52,533 |
| Public Storage R | 182 | 51,664 |
| QCR Holdings, Inc. | 65 | 3,705 |
| Reinsurance Group of America, Inc. | 295 | 52,171 |
| Retail Opportunity Investments Corp. R | 826 | 10,680 |
| Rithm Capital Corp. R | 66,055 | 716,036 |
| RLJ Lodging Trust R | 1,795 | 21,307 |
| RMR Group, Inc. (The) Class A | 120 | 2,936 |
| Sekisui House, Ltd. (Japan) | 1,100 | 24,506 |
| Service Properties Trust R | 452 | 3,074 |
| Simon Property Group, Inc. R | 4,992 | 739,515 |
| Singapore Exchange, Ltd. (Singapore) | 1,300 | 9,130 |
| SITE Centers Corp. R | 265 | 3,599 |
| SLM Corp. | 2,520 | 52,492 |
| St. James's Place PLC (United Kingdom) | 5,596 | 35,531 |
| State Street Corp. | 695 | 51,242 |
| Stockland (Australia) | 31,166 | 90,958 |
| StoneX Group, Inc. † | 226 | 15,653 |
| Sunstone Hotel Investors, Inc. R | 1,858 | 20,791 |
| Swiss Re AG (Switzerland) | 664 | 80,039 |
| Synchrony Financial | 1,296 | 53,525 |
| Tanger, Inc. R | 141 | 4,062 |
| Taylor Morrison Home Corp. † | 491 | 27,796 |
| Travelers Cos., Inc. (The) | 229 | 50,600 |
| Truist Financial Corp. | 11,871 | 415,248 |
| TrustCo Bank Corp. NY | 115 | 3,138 |
| Trustmark Corp. | 430 | 11,550 |
| U.S. Bancorp | 1,165 | 48,883 |
| UMB Financial Corp. | 50 | 4,081 |
| United Overseas Bank, Ltd. (Singapore) | 5,100 | 105,938 |
| Universal Insurance Holdings, Inc. | 217 | 4,381 |
| Univest Financial Corp. | 183 | 3,664 |
| Unum Group | 939 | 46,434 |
| Urban Edge Properties R | 1,113 | 18,932 |
| Virtu Financial, Inc. Class A | 2,428 | 43,825 |
| Virtus Investment Partners, Inc. | 47 | 10,919 |
| Wells Fargo & Co. | 6,641 | 369,173 |
| Westamerica Bancorp | 254 | 11,610 |
| Xenia Hotels & Resorts, Inc. R | 133 | 2,040 |
| XP, Inc. Class A (Brazil) | 1,980 | 46,807 |
| Zions Bancorp NA | 613 | 24,171 |
| 11,039,378 |
|
Multi-Asset Income Fund 17 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Health care (3.5%) | ||
| Abbott Laboratories | 2,459 | $291,736 |
| AbbVie, Inc. | 6,030 | 1,061,582 |
| ACADIA Pharmaceuticals, Inc. † | 901 | 20,939 |
| Adaptive Biotechnologies Corp. † | 1,073 | 4,410 |
| Addus HomeCare Corp. † | 41 | 3,783 |
| Agenus, Inc. | 5,460 | 3,658 |
| Alkermes PLC † | 839 | 24,910 |
| American Well Corp. Class A † | 2,867 | 3,096 |
| Amgen, Inc. | 170 | 46,551 |
| AMN Healthcare Services, Inc. † | 56 | 3,151 |
| AngioDynamics, Inc. † | 643 | 3,530 |
| Arcellx, Inc. † | 315 | 20,733 |
| Arcturus Therapeutics Holdings, Inc. † | 546 | 21,163 |
| Arvinas, Inc. † | 454 | 20,875 |
| AstraZeneca PLC (United Kingdom) | 291 | 36,670 |
| AstraZeneca PLC (Rights) (United Kingdom) F | 230 | 69 |
| AtriCure, Inc. † | 322 | 11,260 |
| Avanos Medical, Inc. † | 274 | 5,088 |
| Axogen, Inc. † | 443 | 4,678 |
| Bayer AG (Germany) | 1,546 | 46,936 |
| Becton, Dickinson and Co. | 101 | 23,791 |
| Biohaven, Ltd. † | 470 | 22,626 |
| Bristol-Myers Squibb Co. | 17,042 | 864,882 |
| Cardinal Health, Inc. | 7,358 | 823,949 |
| Castle Biosciences, Inc. † | 230 | 4,154 |
| Catalyst Pharmaceuticals, Inc. † | 278 | 4,456 |
| Cigna Group (The) | 782 | 262,861 |
| Corcept Therapeutics, Inc. † | 222 | 5,217 |
| Cullinan Oncology, Inc. † | 211 | 3,897 |
| CVS Health Corp. | 629 | 46,779 |
| Deciphera Pharmaceuticals, Inc. † | 254 | 4,239 |
| Dyne Therapeutics, Inc. † | 290 | 7,801 |
| Elevance Health, Inc. | 105 | 52,631 |
| Eli Lilly and Co. | 88 | 66,324 |
| Enanta Pharmaceuticals, Inc. † | 203 | 2,917 |
| Entrada Therapeutics, Inc. † | 137 | 1,813 |
| Fate Therapeutics, Inc. † | 2,312 | 16,392 |
| Glaukos Corp. † | 97 | 8,593 |
| GlaxoSmithKline PLC (United Kingdom) | 7,292 | 153,221 |
| Health Catalyst, Inc. † | 679 | 5,649 |
| HealthEquity, Inc. † | 58 | 4,791 |
| ImmunityBio, Inc. † | 4,155 | 19,653 |
| Immunovant, Inc. † | 493 | 17,437 |
| Inari Medical, Inc. † | 61 | 2,813 |
| Insmed, Inc. † | 277 | 7,678 |
| Ipsen SA (France) | 355 | 39,059 |
| iTeos Therapeutics, Inc. † | 330 | 3,534 |
| Johnson & Johnson | 311 | 50,189 |
| Keros Therapeutics, Inc. † | 125 | 8,438 |
|
18 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Health care cont. | ||
| Kiniksa Pharmaceuticals, Ltd. Class A † | 375 | $7,928 |
| Koninklijke Philips NV (Netherlands) | 867 | 17,337 |
| Lantheus Holdings, Inc. † | 436 | 28,506 |
| LivaNova PLC (United Kingdom) † | 301 | 16,498 |
| MacroGenics, Inc. † | 655 | 11,751 |
| McKesson Corp. | 99 | 51,620 |
| Medtronic PLC | 568 | 47,348 |
| Merck & Co., Inc. | 8,419 | 1,070,476 |
| Nevro Corp. † | 223 | 3,247 |
| Novartis AG (Switzerland) | 2,294 | 232,137 |
| Novavax, Inc. † | 481 | 2,376 |
| Novo Nordisk A/S Class B (Denmark) | 2,493 | 296,311 |
| Nurix Therapeutics, Inc. † | 409 | 5,051 |
| Nuvation Bio, Inc. † | 1,438 | 2,689 |
| Ono Pharmaceutical Co., Ltd. (Japan) | 1,000 | 16,596 |
| Option Care Health, Inc. † | 616 | 19,878 |
| OraSure Technologies, Inc. † | 912 | 6,562 |
| Orthofix Medical, Inc. (Netherlands) † | 279 | 3,644 |
| Pacific Biosciences of California, Inc. † | 526 | 2,909 |
| PetIQ, Inc. † | 440 | 8,012 |
| Pfizer, Inc. | 30,307 | 804,954 |
| PTC Therapeutics, Inc. † | 699 | 19,705 |
| Quanterix Corp. † | 300 | 7,188 |
| RAPT Therapeutics, Inc. † | 258 | 2,211 |
| Roche Holding AG (Switzerland) | 738 | 193,565 |
| RxSight, Inc. † | 86 | 4,693 |
| Sabra Health Care REIT, Inc. R | 900 | 12,492 |
| Sagimet Biosciences, Inc. Class A † | 402 | 2,464 |
| Sanofi SA (France) | 1,674 | 159,016 |
| Schrodinger, Inc. † | 136 | 3,463 |
| Select Medical Holdings Corp. | 510 | 13,887 |
| Semler Scientific, Inc. † | 76 | 3,585 |
| Shionogi & Co., Ltd. (Japan) | 900 | 44,928 |
| SI-BONE, Inc. † | 178 | 3,088 |
| Sonic Healthcare, Ltd. (Australia) | 2,738 | 53,124 |
| Stryker Corp. | 144 | 50,266 |
| Surmodics, Inc. † | 100 | 3,190 |
| Takeda Pharmaceutical Co., Ltd. (Japan) | 2,000 | 58,525 |
| TG Therapeutics, Inc. † | 387 | 6,664 |
| UnitedHealth Group, Inc. | 93 | 45,905 |
| Veradigm, Inc. † | 1,967 | 11,782 |
| Viatris, Inc. | 4,175 | 51,645 |
| Vir Biotechnology, Inc. † | 927 | 10,419 |
| Voyager Therapeutics, Inc. † | 629 | 5,233 |
| Wave Life Sciences, Ltd. † | 971 | 4,671 |
| Zymeworks, Inc. † | 690 | 8,287 |
| 7,606,428 |
|
Multi-Asset Income Fund 19 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Technology (9.5%) | ||
| 8x8, Inc. † | 1,337 | $3,784 |
| A10 Networks, Inc. | 938 | 12,485 |
| Adeia, Inc. | 287 | 3,255 |
| Adobe, Inc. † | 85 | 47,624 |
| Agilysys, Inc. † | 112 | 8,714 |
| Allied Motion Technologies, Inc. | 83 | 2,359 |
| Alphabet, Inc. Class A † | 14,956 | 2,070,808 |
| Ambarella, Inc. † | 69 | 3,854 |
| Amkor Technology, Inc. | 113 | 3,505 |
| AppFolio, Inc. Class A † | 23 | 5,568 |
| Apple, Inc. | 19,286 | 3,485,945 |
| Applied Materials, Inc. | 298 | 60,083 |
| ASML Holding NV (Netherlands) | 239 | 224,860 |
| Atlassian Corp. Class A † | 267 | 55,381 |
| Axcelis Technologies, Inc. † | 32 | 3,605 |
| Bandwidth, Inc. Class A † | 419 | 8,606 |
| Broadcom, Inc. | 1,038 | 1,349,909 |
| Cadence Design Systems, Inc. † | 193 | 58,745 |
| Calix, Inc. † | 412 | 14,366 |
| Capcom Co., Ltd. (Japan) | 600 | 24,129 |
| CEVA, Inc. † | 163 | 3,690 |
| Cisco Systems, Inc. | 15,499 | 749,687 |
| CommVault Systems, Inc. † | 258 | 24,693 |
| CrowdStrike Holdings, Inc. Class A † | 149 | 48,298 |
| Disco Corp. (Japan) | 100 | 32,191 |
| DocuSign, Inc. † | 1,037 | 55,241 |
| Domo, Inc. Class B † | 789 | 9,081 |
| eBay, Inc. | 14,205 | 671,612 |
| EnerSys | 145 | 13,323 |
| ESCO Technologies, Inc. | 58 | 5,910 |
| Extreme Networks, Inc. † | 1,669 | 21,096 |
| Fidelity National Information Services, Inc. | 821 | 56,805 |
| Fujitsu, Ltd. (Japan) | 400 | 62,393 |
| Garmin, Ltd. | 404 | 55,489 |
| HealthStream, Inc. | 160 | 4,365 |
| Hoya Corp. (Japan) | 600 | 77,982 |
| HubSpot, Inc. † | 81 | 50,124 |
| Intapp, Inc. † | 415 | 16,280 |
| Integral Ad Science Holding Corp. † | 803 | 8,319 |
| KLA Corp. | 92 | 62,772 |
| Koei Tecmo Holdings Co., Ltd. (Japan) | 400 | 4,996 |
| Lam Research Corp. | 73 | 68,492 |
| Leidos Holdings, Inc. | 415 | 53,062 |
| MaxLinear, Inc. † | 752 | 14,619 |
| Mesa Laboratories, Inc. | 18 | 1,965 |
| Meta Platforms, Inc. Class A † | 3,875 | 1,899,254 |
| Microsoft Corp. | 7,417 | 3,067,968 |
| NEC Corp. (Japan) | 700 | 47,112 |
| NetApp, Inc. | 542 | 48,303 |
|
20 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Technology cont. | ||
| NETGEAR, Inc. † | 253 | $3,792 |
| NetScout Systems, Inc. † | 178 | 3,854 |
| Nexon Co., Ltd. (Japan) | 900 | 14,564 |
| Nomura Research Institute, Ltd. (Japan) | 300 | 8,412 |
| NVIDIA Corp. | 3,506 | 2,773,667 |
| OBIC Co., Ltd. (Japan) | 500 | 78,125 |
| Oracle Corp. Japan (Japan) | 500 | 38,254 |
| Otsuka Corp. (Japan) | 1,200 | 52,668 |
| PDF Solutions, Inc. † | 118 | 4,011 |
| Pegasystems, Inc. | 907 | 58,991 |
| Photronics, Inc. † | 153 | 4,405 |
| Phreesia, Inc. † | 486 | 12,029 |
| Pinterest, Inc. Class A † | 3,133 | 114,981 |
| PlayAGS, Inc. † | 433 | 4,018 |
| PROS Holdings, Inc. † | 309 | 11,047 |
| Q2 Holdings, Inc. † | 112 | 5,178 |
| Qualcomm, Inc. | 6,109 | 963,939 |
| Qualys, Inc. † | 142 | 24,404 |
| Rambus, Inc. † | 424 | 25,118 |
| Rapid7, Inc. † | 369 | 21,616 |
| REA Group, Ltd. (Australia) | 126 | 15,898 |
| Roku, Inc. † | 516 | 32,601 |
| Salesforce, Inc. † | 162 | 50,029 |
| Sanmina Corp. † | 61 | 3,855 |
| SAP SE (Germany) | 74 | 13,827 |
| SCSK Corp. (Japan) | 5,500 | 101,254 |
| ServiceNow, Inc. † | 76 | 58,622 |
| Shimadzu Corp. (Japan) | 300 | 8,170 |
| Silicon Laboratories, Inc. † | 199 | 27,370 |
| Smartsheet, Inc. Class A † | 993 | 41,915 |
| Snowflake, Inc. Class A † | 263 | 49,518 |
| Spotify Technology SA (Sweden) † | 248 | 63,590 |
| Square Enix Holdings Co., Ltd. (Japan) | 1,100 | 46,547 |
| Squarespace, Inc. Class A † | 645 | 21,466 |
| SS&C Technologies Holdings, Inc. | 11,574 | 737,958 |
| STMicroelectronics NV (France) | 983 | 44,330 |
| Super Micro Computer, Inc. † | 85 | 73,620 |
| Synaptics, Inc. † | 82 | 8,208 |
| TD SYNNEX Corp. | 484 | 50,288 |
| TIS, Inc. (Japan) | 1,400 | 31,517 |
| Tokyo Electron, Ltd. (Japan) | 100 | 24,593 |
| TTM Technologies, Inc. † | 635 | 9,430 |
| Unisys Corp. † | 808 | 4,194 |
| Viavi Solutions, Inc. † | 369 | 3,524 |
| Vicor Corp. † | 139 | 5,176 |
| Vimeo, Inc. † | 1,575 | 7,544 |
| Vishay Intertechnology, Inc. | 156 | 3,393 |
| Weave Communications, Inc. † | 619 | 7,756 |
| Western Union Co. (The) | 18,379 | 246,462 |
|
Multi-Asset Income Fund 21 |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Technology cont. | ||
| Xerox Holdings Corp. | 423 | $7,889 |
| Yext, Inc. † | 1,470 | 8,702 |
| 20,715,026 | ||
| Transportation (0.2%) | ||
| ArcBest Corp. | 28 | 4,000 |
| Ardmore Shipping Corp. (Ireland) | 322 | 5,226 |
| Arlo Technologies, Inc. † | 885 | 9,213 |
| CSX Corp. | 1,373 | 52,092 |
| Daseke, Inc. † | 457 | 3,770 |
| Deutsche Post AG (Germany) | 1,662 | 77,079 |
| FedEx Corp. | 185 | 46,059 |
| Hub Group, Inc. Class A † | 304 | 12,929 |
| International Seaways, Inc. | 72 | 3,811 |
| Kuehne + Nagel International AG (Switzerland) | 189 | 63,602 |
| Matson, Inc. | 214 | 23,765 |
| Norfolk Southern Corp. | 158 | 40,034 |
| Qantas Airways, Ltd. (voting rights) (Australia) † | 4,249 | 14,168 |
| Scorpio Tankers, Inc. | 336 | 22,556 |
| SG Holdings Co., Ltd. (Japan) | 900 | 11,274 |
| SITC International Holdings Co., Ltd. (Hong Kong) | 13,000 | 21,386 |
| SkyWest, Inc. † | 360 | 23,119 |
| Teekay Corp. (Bermuda) † | 959 | 7,260 |
| Teekay Tankers, Ltd. Class A (Canada) | 343 | 18,803 |
| Union Pacific Corp. | 201 | 50,992 |
| United Parcel Service, Inc. Class B | 329 | 48,778 |
| 559,916 | ||
| Utilities and power (0.9%) | ||
| ALLETE, Inc. | 358 | 20,277 |
| American Electric Power Co., Inc. | 609 | 51,881 |
| American States Water Co. | 23 | 1,642 |
| Black Hills Corp. | 68 | 3,538 |
| Centrica PLC (United Kingdom) | 20,440 | 32,471 |
| Chesapeake Utilities Corp. | 36 | 3,673 |
| Consolidated Edison, Inc. | 564 | 49,186 |
| Dominion Energy, Inc. | 1,038 | 49,648 |
| Duke Energy Corp. | 550 | 50,507 |
| E.ON SE (Germany) | 8,940 | 114,112 |
| Edison International | 786 | 53,464 |
| Endesa SA (Spain) | 1,382 | 24,855 |
| Enel SpA (Italy) | 17,111 | 108,798 |
| ENGIE SA (France) | 6,457 | 103,536 |
| Exelon Corp. | 1,464 | 52,470 |
| Glow Energy PCL (Thailand) F | 35,800 | 10 |
| Hawaiian Electric Industries, Inc. | 3,550 | 43,239 |
| Kinder Morgan, Inc. | 2,931 | 50,970 |
| New Jersey Resources Corp. | 134 | 5,576 |
| Northwest Natural Holding Co. | 195 | 7,164 |
| Otter Tail Corp. | 37 | 3,347 |
| Pinnacle West Capital Corp. | 728 | 49,744 |
|
22 Multi-Asset Income Fund |
| COMMON STOCKS (29.1%)* cont. | Shares | Value |
| Utilities and power cont. | ||
| PNM Resources, Inc. | 408 | $14,896 |
| Portland General Electric Co. | 156 | 6,267 |
| SJW Group | 102 | 5,616 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 25,989 | 38,984 |
| Tokyo Gas Co., Ltd. (Japan) | 1,900 | 41,556 |
| UGI Corp. | 2,003 | 49,033 |
| Unitil Corp. | 73 | 3,720 |
| Vistra Corp. | 17,032 | 928,925 |
| 1,969,105 | ||
| Total common stocks (cost $53,008,416) | $63,755,059 | |
| CORPORATE BONDS AND NOTES (28.2%)* |
Principal amount |
Value | |
| Basic materials (2.5%) | |||
| ATI, Inc. sr. unsec. notes 7.25%, 8/15/30 | $75,000 | $77,090 | |
| ATI, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | 135,000 | 132,260 | |
| Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 | 105,000 | 107,301 | |
| Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 | 150,000 | 133,303 | |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 6.50%, 8/1/30 | 20,000 | 20,108 | |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 | 40,000 | 38,571 | |
| Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 | 40,000 | 35,974 | |
| Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 | 70,000 | 70,417 | |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 95,000 | 87,659 | |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | 110,000 | 109,983 | |
| Builders FirstSource, Inc. 144A sr. unsec. bonds 6.375%, 3/1/34 | 40,000 | 39,907 | |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.55%, 11/15/30 (Germany) | 140,000 | 145,555 | |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 198,000 | 203,336 | |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 194,000 | 196,952 | |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 120,000 | 108,836 | |
| CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 120,000 | 106,703 | |
| CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 10,000 | 9,745 | |
| Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 140,000 | 124,968 | |
| Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) | EUR | 100,000 | 99,603 |
| FMC Corp. sr. unsec. unsub. notes 5.65%, 5/18/33 | $210,000 | 203,372 | |
| FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6.125%, 4/15/32 (Australia) | 65,000 | 64,253 | |
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 | 325,000 | 275,103 |
|
Multi-Asset Income Fund 23 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Basic materials cont. | |||
| Graphic Packaging International, LLC company guaranty sr. unsec. unsub. notes Ser. REGS, 2.625%, 2/1/29 | EUR | 100,000 | $99,657 |
| Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | $60,000 | 53,390 | |
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) | 80,000 | 78,498 | |
| Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 260,000 | 246,950 | |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 270,000 | 220,388 | |
| Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 | 55,000 | 48,538 | |
| Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada) ‡‡ | 70,000 | 61,425 | |
| Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) | 100,000 | 92,977 | |
| International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 105,000 | 101,266 | |
| International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 | 35,000 | 23,034 | |
| Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | 80,000 | 71,769 | |
| LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 | 90,000 | 78,105 | |
| Mauser Packaging Solutions Holding Co. 144A company guaranty notes 9.25%, 4/15/27 | 70,000 | 68,070 | |
| Mauser Packaging Solutions Holding Co. 144A sr. notes 7.875%, 8/15/26 | 90,000 | 91,199 | |
| Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) | 65,000 | 55,999 | |
| Mercer International, Inc. 144A sr. unsec. notes 12.875%, 10/1/28 (Canada) | 30,000 | 32,172 | |
| Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 260,000 | 225,550 | |
| Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 95,000 | 86,755 | |
| Pactiv Evergreen Group Issuer, LLC/Pactiv Evergreen Group Issuer, Inc. 144A sr. notes 4.375%, 10/15/28 | 45,000 | 41,706 | |
| PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 | 90,000 | 82,800 | |
| SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 | 120,000 | 109,650 | |
| SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 | 105,000 | 95,472 | |
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 130,000 | 123,810 | |
| Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 | 75,000 | 79,125 | |
| TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 | 110,000 | 95,700 | |
| United States Steel Corp. sr. unsec. sub. FRB 6.65%, 6/1/37 | 30,000 | 31,017 | |
| Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 | 125,000 | 78,551 | |
| Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 | 120,000 | 81,750 | |
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 161,000 | 183,158 | |
| Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R | 25,000 | 28,233 | |
| WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 | 140,000 | 141,575 | |
| WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 | 95,000 | 83,308 | |
| 5,382,596 |
|
24 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Capital goods (2.0%) | |||
| Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 | $55,000 | $47,525 | |
| Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC sr. unsec. notes Ser. REGS, 3.00%, 9/1/29 | EUR | 100,000 | 85,299 |
| Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) | $200,000 | 214,000 | |
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 170,000 | 153,088 | |
| Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | 225,000 | 211,078 | |
| Boeing Co. (The) sr. unsec. unsub. notes 6.125%, 2/15/33 | 270,000 | 280,014 | |
| Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 40,000 | 40,051 | |
| Bombardier, Inc. 144A sr. unsec. notes 7.50%, 2/1/29 (Canada) | 5,000 | 5,071 | |
| Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) | 43,000 | 43,360 | |
| Bombardier, Inc. 144A sr. unsec. unsub. notes 8.75%, 11/15/30 (Canada) | 60,000 | 62,851 | |
| Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 | 85,000 | 87,678 | |
| Chart Industries, Inc. 144A company guaranty sr. unsec. notes 9.50%, 1/1/31 | 60,000 | 64,462 | |
| Clarios Global LP 144A sr. notes 6.75%, 5/15/28 | 15,000 | 15,182 | |
| Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 | EUR | 155,000 | 166,383 |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | $35,000 | 32,772 | |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) | 80,000 | 73,350 | |
| GFL Environmental, Inc. 144A sr. notes 6.75%, 1/15/31 (Canada) | 25,000 | 25,572 | |
| Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 165,000 | 144,139 | |
| Howmet Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37 | 225,000 | 228,465 | |
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 141,000 | 126,459 | |
| Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 | 45,000 | 40,993 | |
| Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 | 120,000 | 107,141 | |
| MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 | 50,000 | 43,125 | |
| Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 | 100,000 | 101,349 | |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 | 25,000 | 25,130 | |
| Ritchie Bros Holdings, Inc. 144A company guaranty sr. notes 6.75%, 3/15/28 | 30,000 | 30,600 | |
| Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 | 60,000 | 62,925 | |
| Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 140,000 | 127,545 | |
| RTX Corp. sr. unsec. unsub. bonds 6.40%, 3/15/54 | 195,000 | 215,865 | |
| Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 | 235,000 | 228,876 | |
| Spirit AeroSystems, Inc. 144A company guaranty sr. notes 9.75%, 11/15/30 | 90,000 | 96,422 | |
| Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 | 25,000 | 27,034 | |
| Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 | 50,000 | 46,690 |
|
Multi-Asset Income Fund 25 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Capital goods cont. | |||
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 | $240,000 | $220,447 | |
| TransDigm, Inc. 144A company guaranty sr. notes 7.125%, 12/1/31 | 15,000 | 15,387 | |
| TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 | 65,000 | 65,774 | |
| TransDigm, Inc. 144A sr. notes 6.75%, 8/15/28 | 290,000 | 292,900 | |
| TransDigm, Inc. 144A sr. notes 6.625%, 3/1/32 | 60,000 | 60,375 | |
| Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 | 45,000 | 41,519 | |
| Waste Connections, Inc. sr. unsec. notes 4.25%, 12/1/28 | 215,000 | 208,307 | |
| Waste Management, Inc. company guaranty sr. unsec. notes 4.875%, 2/15/29 | 160,000 | 160,147 | |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 6.625%, 3/15/32 | 20,000 | 20,007 | |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 6.375%, 3/15/29 | 20,000 | 20,002 | |
| 4,365,359 | |||
| Communication services (2.1%) | |||
| Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France) | 200,000 | 151,434 | |
| American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31 R | 145,000 | 121,695 | |
| American Tower Corp. sr. unsec. notes 3.125%, 1/15/27 R | 275,000 | 259,409 | |
| American Tower Corp. sr. unsec. notes 2.90%, 1/15/30 R | 150,000 | 131,417 | |
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 77,000 | 70,507 | |
| AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 | 115,000 | 78,341 | |
| AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 265,000 | 209,012 | |
| AT&T, Inc. sr. unsec. unsub. bonds 2.25%, 2/1/32 | 180,000 | 144,354 | |
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 20,000 | 17,516 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 | 220,000 | 173,801 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 215,000 | 194,439 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 | 95,000 | 80,815 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 | 120,000 | 96,813 | |
| Charter Communications Operating, LLC/Charter Communications Operating Capital company guaranty sr. notes 2.25%, 1/15/29 | 100,000 | 84,381 | |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp company guaranty sr. sub. bonds 6.484%, 10/23/45 | 85,000 | 77,652 | |
| Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 | 105,000 | 75,396 | |
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 | 40,000 | 31,796 | |
| Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28 R | 75,000 | 70,635 | |
| Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27 R | 90,000 | 84,981 | |
| Crown Castle, Inc. sr. unsec. notes 4.75%, 5/15/47 R | 45,000 | 37,882 | |
| CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 | 200,000 | 117,615 | |
| DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 | 135,000 | 127,422 |
|
26 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Communication services cont. | |||
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 | $55,000 | $23,456 | |
| DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 85,000 | 67,894 | |
| Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 | 150,000 | 84,921 | |
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R | 240,000 | 215,541 | |
| Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 | 105,000 | 101,483 | |
| Frontier Communications Holdings, LLC 144A company guaranty sr. notes 8.75%, 5/15/30 | 60,000 | 61,198 | |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 | 75,000 | 35,625 | |
| Rogers Communications, Inc. company guaranty sr. unsec. notes 5.00%, 2/15/29 (Canada) | 200,000 | 198,219 | |
| Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 3.80%, 3/15/32 (Canada) | 123,000 | 109,312 | |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 130,000 | 138,283 | |
| T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 10,000 | 9,282 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.75%, 1/15/54 | 105,000 | 106,334 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.05%, 7/15/33 | 205,000 | 201,255 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 | 65,000 | 55,906 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29 | 150,000 | 137,523 | |
| Time Warner Cable Enterprises, LLC company guaranty sr. unsub. notes 8.375%, 7/15/33 | 95,000 | 105,430 | |
| Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 | 160,000 | 113,055 | |
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 315,000 | 305,732 | |
| Viasat, Inc. 144A sr. unsec. notes 7.50%, 5/30/31 | 70,000 | 49,175 | |
| 4,556,937 | |||
| Consumer cyclicals (4.3%) | |||
| ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 | 125,000 | 112,969 | |
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 160,000 | 152,200 | |
| Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. notes 7.875%, 2/15/31 | 50,000 | 49,654 | |
| American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 100,000 | 93,411 | |
| American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 | 65,000 | 58,051 | |
| Anywhere Real Estate Group, LLC/Anywhere Co-Issuer Corp. 144A company guaranty notes 7.00%, 4/15/30 | 16,000 | 14,499 | |
| Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity | 60,000 | 58,969 | |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 145,000 | 145,796 | |
| Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 145,000 | 123,696 | |
| Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 205,000 | 201,396 |
|
Multi-Asset Income Fund 27 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Consumer cyclicals cont. | |||
| Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | $195,000 | $177,131 | |
| Caesars Entertainment, Inc. 144A company guaranty sr. notes 6.50%, 2/15/32 | 15,000 | 15,112 | |
| Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 | 210,000 | 215,136 | |
| Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 | 140,000 | 127,819 | |
| Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 | 95,000 | 97,494 | |
| Carnival Corp. 144A company guaranty sr. notes 7.00%, 8/15/29 | 25,000 | 25,932 | |
| Carnival Corp. 144A company guaranty sr. unsec. unsub. notes 10.50%, 6/1/30 | 45,000 | 49,096 | |
| Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 | 120,000 | 118,497 | |
| Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) | 50,000 | 54,548 | |
| Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 | 65,000 | 56,525 | |
| CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 | 90,000 | 86,513 | |
| Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 70,000 | 65,387 | |
| Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 | 95,000 | 82,123 | |
| Crocs, Inc. 144A company guaranty sr. unsec. notes 4.25%, 3/15/29 | 50,000 | 44,876 | |
| Emerald Debt Merger Sub, LLC 144A sr. notes 6.625%, 12/15/30 | 100,000 | 100,000 | |
| Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29 | 140,000 | 138,775 | |
| FirstCash, Inc. 144A sr. unsec. notes 6.875%, 3/1/32 (Mexico) | 90,000 | 88,988 | |
| Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 | 125,000 | 117,215 | |
| Garda World Security Corp. 144A sr. notes 7.75%, 2/15/28 (Canada) | 90,000 | 91,575 | |
| Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | 216,000 | 191,175 | |
| Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 | 29,000 | 25,984 | |
| Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | 90,000 | 82,598 | |
| Goodyear Tire & Rubber Co. (The) company guaranty sr. unsec. notes 5.625%, 4/30/33 | 115,000 | 102,828 | |
| Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 | 80,000 | 51,752 | |
| GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) | 70,000 | 70,266 | |
| Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 | 170,000 | 161,634 | |
| Hyundai Capital America 144A sr. unsec. notes 6.375%, 4/8/30 (South Korea) | 17,000 | 17,881 | |
| Hyundai Capital America 144A sr. unsec. notes 5.40%, 1/8/31 (South Korea) | 46,000 | 46,048 | |
| iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 85,000 | 51,000 | |
| IHO Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany) ‡‡ | EUR | 100,000 | 116,931 |
| Interpublic Group of Cos., Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 | $100,000 | 83,350 |
|
28 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Consumer cyclicals cont. | |||
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 | $15,000 | $14,269 | |
| Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 125,000 | 112,344 | |
| Las Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29 | 95,000 | 85,918 | |
| LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 | 95,000 | 85,583 | |
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 235,000 | 231,249 | |
| Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 | 150,000 | 129,986 | |
| LGI Homes, Inc. 144A company guaranty sr. unsec. notes 8.75%, 12/15/28 | 100,000 | 104,813 | |
| Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.50%, 9/1/31 | 15,000 | 15,628 | |
| Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | 195,000 | 199,547 | |
| Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 70,000 | 70,602 | |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 40,000 | 39,850 | |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 85,000 | 75,022 | |
| Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) | 55,000 | 49,356 | |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 60,000 | 54,797 | |
| McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 145,000 | 134,707 | |
| McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 | 120,000 | 109,500 | |
| Michaels Cos., Inc. (The) 144A sr. unsec. notes 7.875%, 5/1/29 | 35,000 | 22,600 | |
| Moody's Corp. sr. unsec. notes 3.25%, 1/15/28 | 120,000 | 112,945 | |
| NCL Corp., Ltd. 144A company guaranty sr. notes 8.125%, 1/15/29 | 30,000 | 31,538 | |
| NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 | 50,000 | 51,125 | |
| Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 180,000 | 169,376 | |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 45,000 | 46,574 | |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 235,000 | 238,634 | |
| News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 80,000 | 72,305 | |
| Nexstar Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28 | 50,000 | 44,398 | |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. notes 7.375%, 2/15/31 | 60,000 | 62,620 | |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 | 50,000 | 48,102 | |
| Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 | 40,000 | 36,040 | |
| Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 130,000 | 124,269 | |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 | 65,000 | 64,134 | |
| Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/30 | 50,000 | 51,984 | |
| Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 | 115,000 | 123,705 | |
| Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32 | 15,000 | 15,040 | |
| Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 | 20,000 | 19,771 |
|
Multi-Asset Income Fund 29 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Consumer cyclicals cont. | |||
| Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 4.25%, 7/1/26 | $20,000 | $19,263 | |
| S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | 70,000 | 55,889 | |
| Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 | 75,000 | 70,313 | |
| Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 | 115,000 | 110,348 | |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 135,000 | 111,588 | |
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 | 25,000 | 25,156 | |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 105,000 | 101,850 | |
| Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 115,000 | 108,495 | |
| Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 | 130,000 | 115,906 | |
| Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | 30,000 | 26,672 | |
| Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 160,000 | 149,187 | |
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 200,000 | 181,459 | |
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 | 115,000 | 113,840 | |
| Tapestry, Inc. company guaranty sr. unsec. notes 7.85%, 11/27/33 | 49,000 | 53,006 | |
| Tapestry, Inc. company guaranty sr. unsec. notes 7.70%, 11/27/30 | 101,000 | 107,095 | |
| Taylor Morrison Communities, Inc. 144A company guaranty sr. unsec. notes 5.875%, 6/15/27 | 30,000 | 29,832 | |
| Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 | 60,000 | 56,631 | |
| Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 | 35,000 | 34,294 | |
| Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26 | 40,000 | 38,588 | |
| Univision Communications, Inc. 144A sr. notes 8.00%, 8/15/28 | 25,000 | 25,134 | |
| Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 50,000 | 48,294 | |
| Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 | 150,000 | 126,563 | |
| Viking Cruises, Ltd. 144A sr. unsec. notes 9.125%, 7/15/31 | 80,000 | 86,606 | |
| Viking Cruises, Ltd. 144A sr. unsec. notes 7.00%, 2/15/29 | 30,000 | 29,987 | |
| Warnermedia Holdings, Inc. company guaranty sr. unsec. bonds 5.05%, 3/15/42 | 65,000 | 54,660 | |
| Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 4.279%, 3/15/32 | 70,000 | 61,753 | |
| Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 3.755%, 3/15/27 | 390,000 | 369,033 | |
| White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 | 110,000 | 107,256 | |
| White Cap Parent, LLC 144A sr. unsec. notes 8.25%, 3/15/26 ‡‡ | 30,000 | 29,714 | |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 | 185,000 | 190,550 | |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 | 90,000 | 84,897 | |
| 9,337,020 |
|
30 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Consumer staples (1.4%) | |||
| 1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) | $135,000 | $118,585 | |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 80,000 | 75,096 | |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 115,000 | 110,865 | |
| Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 95,000 | 91,041 | |
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 200,000 | 191,028 | |
| Ashtead Capital, Inc. 144A notes 4.00%, 5/1/28 | 200,000 | 187,063 | |
| Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 | EUR | 100,000 | 108,561 |
| CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 | $105,000 | 93,623 | |
| Chobani, LLC/Chobani Finance Corp., Inc. 144A sr. unsec. notes 7.625%, 7/1/29 | 80,000 | 80,415 | |
| Coty, Inc. 144A company guaranty sr. notes 4.75%, 1/15/29 | 75,000 | 70,219 | |
| Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US, LLC 144A company guaranty sr. notes 6.625%, 7/15/30 | 45,000 | 45,731 | |
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 95,000 | 96,175 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. notes 4.625%, 1/15/29 | 15,000 | 13,612 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 | 80,000 | 70,660 | |
| Haleon US Capital, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/27 | 250,000 | 237,463 | |
| Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | 130,000 | 127,231 | |
| Hertz Corp. (The) 144A company guaranty sr. unsec. notes 5.00%, 12/1/29 | 110,000 | 84,272 | |
| JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL 144A company guaranty sr. unsec. bonds 6.75%, 3/15/34 | 190,000 | 195,699 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 | 205,000 | 179,703 | |
| Kenvue, Inc. company guaranty sr. unsec. notes Ser. REGS, 4.90%, 3/22/33 | 353,000 | 348,980 | |
| Kenvue, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 5.05%, 3/22/53 | 64,000 | 61,635 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 | 80,000 | 72,486 | |
| Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 | 90,000 | 75,825 | |
| Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | 45,000 | 39,754 | |
| Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 75,000 | 70,513 | |
| McDonald's Corp. sr. unsec. unsub. bonds Ser. MTN, 6.30%, 10/15/37 | 115,000 | 125,476 | |
| TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 | 85,000 | 85,101 |
|
Multi-Asset Income Fund 31 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Consumer staples cont. | |||
| US Foods, Inc. 144A company guaranty sr. unsec. notes 7.25%, 1/15/32 | $20,000 | $20,648 | |
| US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 | 50,000 | 46,939 | |
| 3,124,399 | |||
| Energy (2.9%) | |||
| Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 | 15,000 | 15,322 | |
| Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 | 70,000 | 72,096 | |
| Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 120,000 | 100,408 | |
| Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 | 110,000 | 114,897 | |
| Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 | 110,000 | 115,884 | |
| Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 105,000 | 104,711 | |
| Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 | 280,000 | 262,266 | |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | 220,000 | 183,874 | |
| Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 55,000 | 55,069 | |
| Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.625%, 11/1/30 | 10,000 | 10,701 | |
| Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 | 45,000 | 47,089 | |
| Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 | 85,000 | 90,395 | |
| Columbia Pipelines Operating Co., LLC 144A sr. unsec. bonds 6.544%, 11/15/53 | 105,000 | 112,317 | |
| Columbia Pipelines Operating Co., LLC 144A sr. unsec. notes 5.927%, 8/15/30 | 100,000 | 101,842 | |
| Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 | 125,000 | 109,301 | |
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 6.25%, 3/15/33 | 185,000 | 194,494 | |
| Ecopetrol SA sr. unsec. unsub. notes 6.875%, 4/29/30 (Colombia) | 170,000 | 165,393 | |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 260,000 | 262,106 | |
| EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 | 145,000 | 142,870 | |
| Global Partners LP/GLP Finance Corp. 144A company guaranty sr. unsec. notes 8.25%, 1/15/32 | 25,000 | 25,643 | |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 | 115,000 | 110,516 | |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 | 115,000 | 110,485 | |
| KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 5.375%, 4/24/30 (Kazakhstan) | 220,000 | 213,125 |
|
32 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Energy cont. | |||
| Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | $80,000 | $77,953 | |
| Kodiak Gas Services, LLC 144A sr. unsec. notes 7.25%, 2/15/29 | 10,000 | 10,181 | |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 | 195,000 | 194,282 | |
| Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 420,000 | 426,577 | |
| Occidental Petroleum Corp. sr. unsec. sub. notes 7.50%, 5/1/31 | 120,000 | 132,521 | |
| ONEOK, Inc. company guaranty sr. unsec. sub. bonds 6.05%, 9/1/33 | 40,000 | 41,224 | |
| ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 | 165,000 | 171,062 | |
| Ovintiv, Inc. company guaranty sr. unsec. bonds 6.25%, 7/15/33 | 80,000 | 82,255 | |
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28 | 59,000 | 59,525 | |
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/25 | 46,000 | 46,009 | |
| Permian Resources Operating, LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 | 75,000 | 73,777 | |
| Pertamina Persero PT sr. unsec. unsub. notes Ser. REGS, 2.30%, 2/9/31 (Indonesia) | 220,000 | 180,646 | |
| Petroleos Mexicanos company guaranty sr. unsec. notes Ser. REGS, 10.00%, 2/7/33 (Mexico) | 90,000 | 87,408 | |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) | 70,000 | 65,392 | |
| Petronas Capital, Ltd. company guaranty sr. unsec. unsub. bonds Ser. REGS, 2.48%, 1/28/32 (Malaysia) | 300,000 | 248,373 | |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) | 68,000 | 67,913 | |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) | 50,000 | 49,388 | |
| Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 105,000 | 96,700 | |
| Sitio Royalties Operating Partnership LP/Sitio Finance Corp. 144A sr. unsec. notes 7.875%, 11/1/28 | 80,000 | 81,768 | |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 65,000 | 64,637 | |
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 95,000 | 95,119 | |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | 210,000 | 200,714 | |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 | 125,000 | 116,250 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | 195,000 | 184,750 | |
| Transocean Aquila, Ltd. 144A company guaranty sr. notes 8.00%, 9/30/28 | 20,000 | 20,375 | |
| Transocean Titan Financing, Ltd. 144A company guaranty sr. notes 8.375%, 2/1/28 (Cayman Islands) | 120,000 | 123,150 | |
| Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 | 85,000 | 88,400 | |
| USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 | 140,000 | 139,809 | |
| Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 6.25%, 1/15/30 | 60,000 | 59,905 | |
| Venture Global LNG, Inc. 144A sr. notes 9.875%, 2/1/32 | 70,000 | 73,702 | |
| Venture Global LNG, Inc. 144A sr. notes 9.50%, 2/1/29 | 75,000 | 79,966 |
|
Multi-Asset Income Fund 33 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Energy cont. | |||
| Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 | $105,000 | $106,203 | |
| Venture Global LNG, Inc. 144A sr. notes 8.125%, 6/1/28 | 40,000 | 40,636 | |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes 7.375%, 11/1/31 | 50,000 | 51,483 | |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 | 35,000 | 33,953 | |
| 6,392,810 | |||
| Financials (5.7%) | |||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 355,000 | 300,217 | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 5.10%, 1/19/29 (Ireland) | 150,000 | 147,443 | |
| Air Lease Corp. sr. unsec. notes Ser. MTN, 3.00%, 2/1/30 | 265,000 | 230,728 | |
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 55,000 | 53,134 | |
| Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 150,000 | 133,413 | |
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 7.00%, 1/15/31 | 115,000 | 114,550 | |
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 205,000 | 225,036 | |
| Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | 205,000 | 164,114 | |
| Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 | 85,000 | 86,693 | |
| Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 250,000 | 239,846 | |
| Aretec Escrow Issuer 2, Inc. 144A company guaranty sr. unsec. notes 10.00%, 8/15/30 | 55,000 | 59,881 | |
| Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 | 75,000 | 68,901 | |
| Athene Holding, Ltd. sr. unsec. bonds 5.875%, 1/15/34 | 244,000 | 242,057 | |
| Australia and New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia) | 245,000 | 198,213 | |
| Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 200,000 | 197,322 | |
| Bank of America Corp. sr. unsec. FRB 5.468%, 1/23/35 | 285,000 | 284,176 | |
| Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 570,000 | 497,618 | |
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 100,000 | 104,853 | |
| Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) | 65,000 | 59,845 | |
| Bank of Nova Scotia (The) sr. unsec. unsub. notes 5.35%, 12/7/26 (Canada) | 185,000 | 185,673 | |
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | 130,000 | 116,568 | |
| BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France) | 200,000 | 159,833 | |
| Capital One Financial Corp. sr. unsec. unsub. FRN 7.624%, 10/30/31 | 110,000 | 120,378 | |
| Capital One Financial Corp. sr. unsec. unsub. notes 3.75%, 3/9/27 | 190,000 | 181,392 | |
| Citigroup, Inc. sub. unsec. bonds 6.174%, 5/25/34 | 64,000 | 64,480 | |
| Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 250,000 | 220,045 | |
| CNA Financial Corp. sr. unsec. notes 5.125%, 2/15/34 | 115,000 | 111,193 | |
| Corebridge Financial, Inc. sr. unsec. notes 3.85%, 4/5/29 | 125,000 | 115,919 | |
| Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 9.25%, 12/15/28 | 95,000 | 100,496 | |
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) | 170,000 | 154,436 |
|
34 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Financials cont. | |||
| Deutsche Bank AG/New York, NY unsec. sub. FRB 3.729%, 1/14/32 (Germany) | $200,000 | $163,820 | |
| EPR Properties company guaranty sr. unsec. unsub. notes 4.50%, 6/1/27 R | 47,000 | 44,427 | |
| Extra Space Storage LP company guaranty sr. unsec. notes 5.90%, 1/15/31 R | 255,000 | 261,145 | |
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 200,000 | 195,534 | |
| Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 | 95,000 | 59,678 | |
| Fifth Third Bancorp sr. unsec. unsub. FRN 6.339%, 7/27/29 | 150,000 | 153,924 | |
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 210,000 | 213,263 | |
| Ford Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27 | 205,000 | 204,603 | |
| Freedom Mortgage Corp. 144A sr. unsec. notes 12.25%, 10/1/30 | 20,000 | 22,000 | |
| Freedom Mortgage Corp. 144A sr. unsec. notes 12.00%, 10/1/28 | 165,000 | 178,406 | |
| Freedom Mortgage Corp. 144A sr. unsec. sub. notes 6.625%, 1/15/27 | 30,000 | 28,605 | |
| General Motors Financial Co., Inc. sr. unsec. notes 6.40%, 1/9/33 | 130,000 | 135,145 | |
| General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 | 40,000 | 37,066 | |
| General Motors Financial Co., Inc. sr. unsec. sub. notes 1.50%, 6/10/26 | 65,000 | 59,545 | |
| GGAM Finance, Ltd. 144A company guaranty sr. unsec. notes 8.00%, 2/15/27 (Ireland) | 30,000 | 30,749 | |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 6.75%, 12/1/33 R | 15,000 | 15,565 | |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 R | 200,000 | 197,813 | |
| HUB International, Ltd. 144A sr. notes 7.25%, 6/15/30 | 130,000 | 132,614 | |
| HUB International, Ltd. 144A sr. unsec. notes 7.375%, 1/31/32 | 40,000 | 40,127 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 | 165,000 | 139,217 | |
| ING Groep NV sr. unsec. unsub. FRN 6.083%, 9/11/27 (Netherlands) | 200,000 | 202,644 | |
| Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 | 160,000 | 113,236 | |
| Intercontinental Exchange, Inc. sr. unsec. notes 4.35%, 6/15/29 | 142,000 | 137,711 | |
| Jefferson Capital Holdings, LLC 144A sr. unsec. notes 9.50%, 2/15/29 | 115,000 | 116,154 | |
| JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 30,000 | 29,967 | |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity | 180,000 | 175,228 | |
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (CME Term SOFR 3 Month + 1.26%), 6.569%, 5/15/47 | 110,000 | 96,750 | |
| JPMorgan Chase & Co. unsec. sub. FRB 5.717%, 9/14/33 | 280,000 | 283,508 | |
| KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 | 15,000 | 13,897 | |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R | 75,000 | 67,308 | |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R | 120,000 | 110,420 | |
| Lloyds Banking Group PLC unsec. sub. FRB 3.369%, 12/14/46 (United Kingdom) | 200,000 | 135,998 | |
| LPL Holdings, Inc. company guaranty sr. unsec. notes 6.75%, 11/17/28 | 99,000 | 103,337 |
|
Multi-Asset Income Fund 35 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Financials cont. | |||
| Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 | $192,000 | $129,969 | |
| Metropolitan Life Global Funding I 144A sr. notes 2.95%, 4/9/30 | 325,000 | 285,721 | |
| Morgan Stanley sr. unsec. notes 5.123%, 2/1/29 | 270,000 | 268,231 | |
| Morgan Stanley sr. unsec. sub. bonds 5.942%, 2/7/39 | 145,000 | 142,782 | |
| Nasdaq, Inc. sr. unsec. bonds 5.95%, 8/15/53 | 39,000 | 40,102 | |
| Nasdaq, Inc. sr. unsec. sub. bonds 5.55%, 2/15/34 | 36,000 | 36,244 | |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 7.125%, 2/1/32 | 75,000 | 73,769 | |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 | 90,000 | 82,459 | |
| NatWest Group PLC sr. unsec. unsub. FRN 5.847%, 3/2/27 (United Kingdom) | 200,000 | 200,855 | |
| OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 | 95,000 | 94,461 | |
| OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 | 165,000 | 153,110 | |
| PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 7.875%, 12/15/29 | 65,000 | 66,535 | |
| PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 | 75,000 | 73,809 | |
| PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 | 90,000 | 83,062 | |
| PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | 277,000 | 256,694 | |
| Prologis LP sr. unsec. unsub. FRN 5.00%, 3/15/34 R | 145,000 | 142,498 | |
| Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30 R | 75,000 | 64,318 | |
| Truist Financial Corp. sr. unsec. unsub. FRB Ser. MTN, 5.711%, 1/24/35 | 190,000 | 188,105 | |
| UBS Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) | 250,000 | 235,124 | |
| UBS Group AG 144A sr. unsec. FRB 9.016%, 11/15/33 (Switzerland) | 250,000 | 300,804 | |
| US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 295,000 | 227,960 | |
| USI, Inc./NY 144A sr. unsec. notes 7.50%, 1/15/32 | 40,000 | 39,800 | |
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28 R | 125,000 | 121,051 | |
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27 R | 45,000 | 42,331 | |
| Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 | 250,000 | 269,395 | |
| Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) | 110,000 | 95,470 | |
| Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) | 95,000 | 64,908 | |
| 12,617,424 | |||
| Health care (2.1%) | |||
| AbbVie, Inc. sr. unsec. bonds 5.40%, 3/15/54 | 134,000 | 136,026 | |
| AbbVie, Inc. sr. unsec. bonds 5.05%, 3/15/34 | 54,000 | 54,269 | |
| AbbVie, Inc. sr. unsec. notes 4.95%, 3/15/31 | 187,000 | 187,038 | |
| Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 115,000 | 100,083 | |
| Amgen, Inc. sr. unsec. unsub. bonds 5.75%, 3/2/63 | 375,000 | 375,035 | |
| Bausch & Lomb Escrow Corp. 144A sr. notes 8.375%, 10/1/28 (Canada) | 90,000 | 94,050 |
|
36 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Health care cont. | |||
| Bristol-Myers Squibb Co. sr. unsec. notes 5.20%, 2/22/34 | $163,000 | $164,324 | |
| Bristol-Myers Squibb Co. sr. unsec. notes 4.90%, 2/22/29 | 22,000 | 21,948 | |
| Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 115,000 | 108,853 | |
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 80,000 | 72,000 | |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 10.875%, 1/15/32 | 35,000 | 35,641 | |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 | 155,000 | 141,814 | |
| CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 | 30,000 | 23,935 | |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 | 75,000 | 75,559 | |
| Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 | 100,000 | 96,731 | |
| GE Healthcare Holding, LLC company guaranty sr. unsec. notes 5.65%, 11/15/27 | 110,000 | 111,730 | |
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 25,000 | 24,848 | |
| HCA, Inc. company guaranty sr. unsec. bonds 6.00%, 4/1/54 | 111,000 | 110,165 | |
| HCA, Inc. company guaranty sr. unsec. bonds 5.60%, 4/1/34 | 84,000 | 83,631 | |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 75,000 | 74,784 | |
| HCA, Inc. company guaranty sr. unsec. sub. notes 3.625%, 3/15/32 | 55,000 | 48,046 | |
| Humana, Inc. sr. unsec. unsub. bonds 5.50%, 3/15/53 | 110,000 | 107,142 | |
| Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | 170,000 | 173,332 | |
| Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) | 200,000 | 184,257 | |
| Medline Borrower LP 144A sr. notes 3.875%, 4/1/29 | 130,000 | 116,562 | |
| Medline Borrower LP 144A sr. unsec. notes 5.25%, 10/1/29 | 45,000 | 41,624 | |
| Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 | 90,000 | 80,575 | |
| Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 | 160,000 | 154,606 | |
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 5.30%, 5/19/53 (Singapore) | 148,000 | 144,773 | |
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.75%, 5/19/33 (Singapore) | 208,000 | 202,553 | |
| Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 110,000 | 107,338 | |
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 30,000 | 28,780 | |
| Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 345,000 | 303,139 | |
| Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 | 185,000 | 181,090 | |
| Tenet Healthcare Corp. company guaranty sr. unsub. notes 6.125%, 6/15/30 | 275,000 | 272,349 | |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 230,000 | 232,716 | |
| Wyeth, LLC company guaranty sr. unsec. bonds 5.95%, 4/1/37 | 10,000 | 10,684 | |
| Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 102,000 | 85,600 | |
| 4,567,630 | |||
| Technology (2.5%) | |||
| Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28 | 50,000 | 44,599 | |
| Apple, Inc. sr. unsec. bonds 3.95%, 8/8/52 | 292,000 | 243,127 | |
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 55,000 | 50,210 |
|
Multi-Asset Income Fund 37 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Technology cont. | |||
| Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | $80,000 | $68,475 | |
| Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | 50,000 | 42,715 | |
| Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 | 60,000 | 50,834 | |
| Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25 | 50,000 | 50,050 | |
| Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | 520,000 | 484,475 | |
| Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 | 110,000 | 86,235 | |
| Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 | 55,000 | 55,364 | |
| Cisco Systems, Inc. sr. unsec. bonds 5.30%, 2/26/54 | 135,000 | 136,641 | |
| Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29 | 30,000 | 27,207 | |
| Cloud Software Group, Inc. 144A notes 9.00%, 9/30/29 | 120,000 | 111,451 | |
| Cloud Software Group, Inc. 144A sr. notes. 6.50%, 3/31/29 | 255,000 | 237,471 | |
| CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 55,000 | 49,500 | |
| CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | 30,000 | 24,450 | |
| CrowdStrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 | 95,000 | 83,832 | |
| Gen Digital, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 9/30/30 | 85,000 | 86,838 | |
| Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 210,000 | 194,586 | |
| Marvell Technology, Inc. sr. unsec. notes 5.95%, 9/15/33 | 142,000 | 146,671 | |
| Marvell Technology, Inc. sr. unsec. notes 5.75%, 2/15/29 | 143,000 | 145,689 | |
| Meta Platforms, Inc. sr. unsec. bonds 5.75%, 5/15/63 | 225,000 | 235,553 | |
| Meta Platforms, Inc. sr. unsec. bonds 5.60%, 5/15/53 | 223,000 | 230,882 | |
| Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | 140,000 | 122,318 | |
| Micron Technology, Inc. sr. unsec. unsub. notes 5.875%, 9/15/33 | 270,000 | 275,283 | |
| MSCI, Inc. 144A company guaranty sr. unsec. notes 3.625%, 9/1/30 | 284,000 | 250,497 | |
| NCR Voyix Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 | 140,000 | 129,805 | |
| Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 70,000 | 52,217 | |
| Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 290,000 | 222,989 | |
| Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 | 225,000 | 208,971 | |
| RingCentral, Inc. 144A sr. unsec. notes 8.50%, 8/15/30 | 85,000 | 87,869 | |
| Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 | 130,000 | 109,688 | |
| salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | 100,000 | 64,288 | |
| salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | 235,000 | 156,175 | |
| Seagate HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands) | 20,000 | 22,602 | |
| Seagate HDD Cayman company guaranty sr. unsec. notes 3.125%, 7/15/29 (Cayman Islands) | 30,000 | 24,815 | |
| Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 215,000 | 183,857 | |
| ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | 250,000 | 200,559 | |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 | 145,000 | 129,956 | |
| Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 215,000 | 187,064 |
|
38 Multi-Asset Income Fund |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Technology cont. | |||
| UKG, Inc. 144A sr. notes 6.875%, 2/1/31 | $90,000 | $90,936 | |
| ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 | 160,000 | 143,349 | |
| 5,550,093 | |||
| Transportation (0.4%) | |||
| American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 | 108,750 | 107,753 | |
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 350,000 | 339,621 | |
| United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 | 80,000 | 73,792 | |
| Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 | 165,000 | 160,412 | |
| Westinghouse Air Brake Technologies Corp. company guaranty sr. unsec. unsub. bonds 5.611%, 3/11/34 | 265,000 | 266,101 | |
| 947,679 | |||
| Utilities and power (2.3%) | |||
| AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 | 170,000 | 138,674 | |
| Alexander Funding Trust II 144A sr. notes 7.467%, 7/31/28 | 100,000 | 104,662 | |
| American Electric Power Co., Inc. sr. unsec. unsub. bonds 5.625%, 3/1/33 | 230,000 | 232,145 | |
| American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | 85,000 | 81,865 | |
| American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | 60,000 | 49,271 | |
| Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 90,000 | 80,437 | |
| Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | 40,000 | 33,434 | |
| Constellation Energy Generation, LLC sr. unsec. bonds 6.50%, 10/1/53 | 106,000 | 116,335 | |
| Constellation Energy Generation, LLC sr. unsec. bonds 6.125%, 1/15/34 | 44,000 | 45,905 | |
| Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41 | 85,000 | 72,004 | |
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 22,000 | 20,781 | |
| Electricite De France SA 144A sr. unsec. unsub. bonds 4.75%, 10/13/35 (France) | 225,000 | 206,790 | |
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 70,000 | 68,495 | |
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 310,000 | 287,189 | |
| Energy Transfer LP sr. unsec. unsub. notes 6.50%, 2/1/42 | 20,000 | 20,958 | |
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | 95,000 | 79,473 | |
| Evergy Missouri West, Inc. 144A sr. notes 5.15%, 12/15/27 | 265,000 | 263,971 | |
| Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 | 100,000 | 100,519 | |
| Eversource Energy sr. unsec. unsub. notes 5.125%, 5/15/33 | 220,000 | 212,503 | |
| Exelon Corp. sr. unsec. unsub. bonds 5.45%, 3/15/34 | 150,000 | 149,270 | |
| Georgia Power Co. sr. unsec. unsub. bonds 5.25%, 3/15/34 | 60,000 | 59,729 | |
| Georgia Power Co. sr. unsec. unsub. notes 4.95%, 5/17/33 | 190,000 | 186,025 | |
| IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | 55,000 | 54,344 | |
| Kinder Morgan, Inc. company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 | 220,000 | 247,719 |
|
Multi-Asset Income Fund 39 |
| CORPORATE BONDS AND NOTES (28.2%)* cont. |
Principal amount |
Value | |
| Utilities and power cont. | |||
| NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.051%, 3/1/25 | $190,000 | $190,683 | |
| NRG Energy, Inc. 144A jr. unsec. sub. FRB 10.25%, perpetual maturity | 30,000 | 31,826 | |
| NRG Energy, Inc. 144A sr. notes 2.45%, 12/2/27 | 145,000 | 129,506 | |
| Oncor Electric Delivery Co., LLC sr. FRB 4.95%, 9/15/52 | 280,000 | 260,582 | |
| Pacific Gas and Electric Co. notes 2.10%, 8/1/27 | 40,000 | 35,822 | |
| Pacific Gas and Electric Co. sr. bonds 6.95%, 3/15/34 | 30,000 | 32,422 | |
| Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 | 85,000 | 85,470 | |
| Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 | 90,000 | 76,395 | |
| Pacific Gas and Electric Co. sr. notes 5.55%, 5/15/29 | 35,000 | 35,072 | |
| Pacific Gas and Electric Co. sr. notes 3.30%, 12/1/27 | 170,000 | 157,301 | |
| PacifiCorp sr. bonds 2.70%, 9/15/30 | 105,000 | 90,134 | |
| PG&E Corp. sr. sub. notes 5.25%, 7/1/30 | 145,000 | 136,308 | |
| Puget Sound Energy, Inc. sr. bonds 5.448%, 6/1/53 | 120,000 | 118,690 | |
| Sempra Energy sr. unsec. unsub. bonds 5.50%, 8/1/33 | 105,000 | 104,352 | |
| Southern Co. (The) sr. unsec. bonds 5.70%, 3/15/34 | 175,000 | 178,270 | |
| Southern Co. (The) sr. unsec. notes 5.50%, 3/15/29 | 35,000 | 35,498 | |
| Vistra Corp. 144A jr. unsec. sub. FRN 8.00%, 10/15/51 | 65,000 | 65,000 | |
| Vistra Operations Co., LLC 144A sr. bonds 6.95%, 10/15/33 | 245,000 | 255,264 | |
| Vistra Operations Co., LLC 144A sr. unsec. notes 7.75%, 10/15/31 | 35,000 | 36,204 | |
| 4,967,297 | |||
| Total corporate bonds and notes (cost $60,780,109) | $61,809,244 | ||
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (18.3%)* |
Principal amount |
Value |
| U.S. Government Guaranteed Mortgage Obligations (2.8%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 6.00%, 11/20/53 | $1,172,881 | $1,201,699 |
| 5.50%, 5/20/49 | 15,924 | 16,109 |
| 5.00%, 5/20/49 | 49,028 | 48,383 |
| 4.00%, with due dates from 9/20/52 to 1/20/53 | 1,154,865 | 1,074,896 |
| 3.50%, with due dates from 3/20/47 to 11/20/49 | 1,146,428 | 1,043,554 |
| 2.50%, TBA, 3/1/54 | 1,000,000 | 846,162 |
| 2.50%, with due dates from 2/20/52 to 3/20/52 | 1,192,224 | 1,000,804 |
| 2.00%, TBA, 3/1/54 | 1,000,000 | 813,806 |
| 6,045,413 | ||
| U.S. Government Agency Mortgage Obligations (15.5%) | ||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
| 6.00%, with due dates from 9/1/53 to 10/1/53 | 813,468 | 820,439 |
| 5.50%, 12/1/52 | 316,134 | 315,446 |
| 4.50%, 9/1/52 | 545,106 | 516,670 |
| 4.00%, 9/1/49 | 1,071,242 | 1,005,118 |
| 3.50%, 8/1/43 | 206,480 | 189,597 |
| 3.00%, with due dates from 3/1/43 to 8/1/52 | 1,378,539 | 1,200,989 |
| 2.50%, with due dates from 1/1/52 to 4/1/52 | 4,278,178 | 3,559,874 |
| 2.50%, 10/1/36 | 1,090,377 | 989,355 |
| 2.00%, 3/1/51 | 1,270,563 | 1,003,734 |
|
40 Multi-Asset Income Fund |
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (18.3%)* cont. |
Principal amount |
Value |
| U.S. Government Agency Mortgage Obligations cont. | ||
| Federal National Mortgage Association Pass-Through Certificates | ||
| 6.50%, 4/1/53 | $488,337 | $499,162 |
| 6.00%, 6/1/53 | 171,102 | 172,595 |
| 5.50%, with due dates from 1/1/38 to 11/1/52 | 808,243 | 813,619 |
| 5.00%, with due dates from 1/1/49 to 8/1/49 | 52,595 | 51,482 |
| 4.50%, with due dates from 5/1/49 to 1/1/53 | 569,263 | 539,415 |
| 3.50%, 6/1/56 | 1,220,281 | 1,082,771 |
| 3.50%, with due dates from 6/1/42 to 6/1/52 | 2,725,146 | 2,440,322 |
| 3.00%, with due dates from 2/1/43 to 3/1/52 | 2,814,092 | 2,443,262 |
| 2.50%, with due dates from 11/1/51 to 3/1/52 | 1,839,444 | 1,524,968 |
| 2.00%, with due dates from 10/1/50 to 3/1/52 | 5,139,349 | 4,085,353 |
| 2.00%, 3/1/36 | 1,140,020 | 1,011,057 |
| 1.50%, 1/1/51 | 1,392,744 | 1,047,569 |
| 1.50%, 7/1/36 | 1,162,378 | 1,012,340 |
| Uniform Mortgage-Backed Securities | ||
| 6.50%, TBA, 3/1/54 | 1,000,000 | 1,017,500 |
| 6.00%, TBA, 3/1/54 | 4,000,000 | 4,017,500 |
| 5.00%, TBA, 3/1/54 | 2,000,000 | 1,939,688 |
| 2.00%, TBA, 3/1/54 | 1,000,000 | 786,051 |
| 34,085,876 | ||
| Total U.S. government and agency mortgage obligations (cost $41,466,925) | $40,131,289 | |
| U.S. TREASURY OBLIGATIONS (7.0%)* |
Principal amount |
Value |
| U.S. Treasury Bonds | ||
| 3.625%, 2/15/53 | $470,000 | $410,920 |
| 3.00%, 2/15/49 | 5,000,000 | 3,874,219 |
| 2.75%, 8/15/42 # | 6,000,000 | 4,664,063 |
| U.S. Treasury Notes | ||
| 2.75%, 8/15/32 | 2,000,000 | 1,785,547 |
| 2.75%, 2/15/28 | 2,210,000 | 2,083,616 |
| 1.625%, 9/30/26 | 1,610,000 | 1,499,941 |
| 1.625%, 2/15/26 | 1,000,000 | 944,074 |
| Total U.S. treasury obligations (cost $15,797,044) | $15,262,380 | |
| MORTGAGE-BACKED SECURITIES (9.6%)* |
Principal amount |
Value | |
| Commercial mortgage-backed securities (5.0%) | |||
| AREIT CRE Trust 144A FRB Ser. 22-CRE6, Class A, 6.574%, 1/20/37 (Cayman Islands) | $263,752 | $261,018 | |
| Banc of America Commercial Mortgage Trust Ser. 15-UBS7, Class AS, 3.989%, 9/15/48 W | 205,000 | 191,988 | |
| BANK FRB Ser. 20-BN26, Class XA, IO, 1.208%, 3/15/63 W | 3,860,067 | 198,176 | |
| Barclays Commercial Mortgage Trust Ser. 19-C5, Class C, 3.71%, 11/15/52 | 402,000 | 333,530 | |
| Benchmark Mortgage Trust FRB Ser. 20-B21, Class XA, IO, 1.445%, 12/17/53 W | 5,671,999 | 378,091 | |
| CD Mortgage Trust Ser. 18-CD7, Class A4, 4.279%, 8/15/51 | 165,000 | 155,784 |
|
Multi-Asset Income Fund 41 |
| MORTGAGE-BACKED SECURITIES (9.6%)* cont. |
Principal amount |
Value | |
| Commercial mortgage-backed securities cont. | |||
| Citigroup Commercial Mortgage Trust | |||
| Ser. 14-GC21, Class B, 4.328%, 5/10/47 W | $137,000 | $129,088 | |
| FRB Ser. 15-P1, Class B, 4.316%, 9/15/48 W | 475,000 | 447,345 | |
| FRB Ser. 16-P6, Class B, 4.158%, 12/10/49 W | 368,000 | 330,312 | |
| Ser. 16-C3, Class A4, 3.154%, 11/15/49 | 252,000 | 235,860 | |
| COMM Mortgage Trust | |||
| FRB Ser. 17-COR2, Class C, 4.588%, 9/10/50 W | 660,000 | 579,289 | |
| FRB Ser. 15-CR26, Class B, 4.464%, 10/10/48 W | 332,000 | 310,335 | |
| Ser. 15-DC1, Class B, 4.035%, 2/10/48 W | 352,000 | 322,844 | |
| FRB Ser. 15-LC19, Class B, 3.829%, 2/10/48 W | 289,000 | 270,387 | |
| FRB Ser. 15-CR22, Class AM, 3.603%, 3/10/48 W | 142,000 | 135,631 | |
| COMM Mortgage Trust 144A Ser. 13-CR6, Class B, 3.397%, 3/10/46 | 209,170 | 192,859 | |
| CSAIL Commercial Mortgage Trust | |||
| Ser. 17-CX10, Class A3, 3.398%, 11/15/50 | 126,012 | 120,950 | |
| Ser. 16-C6, Class AS, 3.346%, 1/15/49 | 171,000 | 156,133 | |
| FRB Ser. 19-C15, Class XA, IO, 0.994%, 3/15/52 W | 5,277,489 | 197,770 | |
| CSMC Trust FRB Ser. 16-NXSR, Class AS, 4.049%, 12/15/49 W | 176,000 | 157,658 | |
| JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C19, Class B, 4.394%, 4/15/47 W | 331,000 | 327,388 | |
| JPMDB Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class C, 4.764%, 6/15/51 W | 187,000 | 149,939 | |
| JPMorgan Chase Commercial Mortgage Securities Trust | |||
| Ser. 14-C20, Class B, 4.399%, 7/15/47 W | 252,000 | 237,741 | |
| FRB Ser. 13-C10, Class C, 4.074%, 12/15/47 W | 110,421 | 100,996 | |
| Ladder Capital Commercial Mortgage Trust 144A FRB Ser. 17-LC26, Class XA, IO, 1.517%, 7/12/50 W | 3,082,585 | 113,509 | |
| Morgan Stanley Bank of America Merrill Lynch Trust | |||
| Ser. 14-C17, Class AS, 4.011%, 8/15/47 | 388,000 | 373,528 | |
| Ser. 14-C19, Class B, 4.00%, 12/15/47 W | 402,000 | 382,401 | |
| Ser. 16-C32, Class AS, 3.994%, 12/15/49 W | 410,000 | 376,699 | |
| Ser. 15-C22, Class B, 3.883%, 4/15/48 W | 138,000 | 125,604 | |
| Ser. 13-C9, Class B, 3.708%, 5/15/46 W | 133,736 | 124,369 | |
| FRB Ser. 16-C32, Class XA, IO, 0.647%, 12/15/49 W | 9,241,002 | 138,951 | |
| Morgan Stanley Capital I Trust | |||
| FRB Ser. 18-L1, Class C, 4.782%, 10/15/51 W | 422,000 | 355,430 | |
| Ser. 18-L1, Class AS, 4.637%, 10/15/51 W | 310,000 | 290,488 | |
| Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL10, Class AS, 8.391%, 10/25/39 | 371,000 | 370,997 | |
| Shelter Growth CRE Issuer, Ltd. 144A FRB Ser. 23-FL5, Class A, 8.07%, 5/19/38 (Bermuda) | 197,000 | 197,997 | |
| UBS Commercial Mortgage Trust Ser. 17-C1, Class A4, 3.46%, 6/15/50 | 210,000 | 196,312 | |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.293%, 11/15/48 W | 22,338 | 383 | |
| Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.11%, 10/15/44 W | 361,964 | 288,883 | |
| Wells Fargo Commercial Mortgage Trust | |||
| Ser. 18-C47, Class AS, 4.673%, 9/15/61 W | 327,000 | 314,241 | |
| Ser. 19-C49, Class B, 4.546%, 3/15/52 | 581,000 | 491,526 |
|
42 Multi-Asset Income Fund |
| MORTGAGE-BACKED SECURITIES (9.6%)* cont. |
Principal amount |
Value | |
| Commercial mortgage-backed securities cont. | |||
| Wells Fargo Commercial Mortgage Trust | |||
| Ser. 15-C31, Class AS, 4.049%, 11/15/48 | $193,000 | $184,609 | |
| Ser. 17-C39, Class B, 4.025%, 9/15/50 | 491,000 | 439,596 | |
| WF-RBS Commercial Mortgage Trust Ser. 13-C11, Class B, 3.714%, 3/15/45 W | 199,605 | 175,986 | |
| 10,862,621 | |||
| Residential mortgage-backed securities (non-agency) (4.6%) | |||
| A&D Mortgage Trust 144A | |||
| Ser. 23-NQM5, Class A1, 7.049%, 11/25/68 | 572,107 | 578,157 | |
| Ser. 23-NQM2, Class A1, 6.132%, 5/25/68 | 452,604 | 451,282 | |
| BRAVO Residential Funding Trust 144A FRB Ser. 21-HE2, Class A1, (US 30 Day Average SOFR + 0.75%), 6.072%, 11/25/69 | 403,400 | 396,784 | |
| COLT Mortgage Loan Trust 144A Ser. 23-3, Class A1, 7.18%, 9/25/68 | 855,649 | 867,778 | |
| Federal Home Loan Mortgage Corporation Structured Agency Credit Risk FRN Ser. 15-HQA1, Class M3, (US 30 Day Average SOFR + 4.81%), 10.136%, 3/25/28 | 192,421 | 198,756 | |
| Federal Home Loan Mortgage Corporation 144A | |||
| Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 8.272%, 6/25/42 | 389,658 | 400,421 | |
| Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 7.972%, 7/25/42 | 32,505 | 33,358 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA3, Class M1A, (US 30 Day Average SOFR + 2.30%), 7.622%, 8/25/42 | 437,980 | 447,170 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA4, Class M1A, (US 30 Day Average SOFR + 2.20%), 7.522%, 5/25/42 | 503,799 | 511,613 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 7.472%, 9/25/42 | 147,646 | 149,407 | |
| Structured Agency Credit Risk Debt FRN Ser. 23-HQA2, Class M1A, (US 30 Day Average SOFR + 2.00%), 7.322%, 6/25/43 | 29,222 | 29,460 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1A, (US 30 Day Average SOFR + 2.00%), 7.322%, 4/25/42 | 290,532 | 294,254 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 23-HQA3, Class A1, (US 30 Day Average SOFR + 1.85%), 7.172%, 11/25/43 | 36,467 | 36,959 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA5, Class M2, (US 30 Day Average SOFR + 1.65%), 6.972%, 1/25/34 | 27,470 | 27,591 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 6.322%, 1/25/42 | 57,067 | 56,955 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 6.172%, 9/25/41 | 72,656 | 72,327 | |
| Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (US 30 Day Average SOFR + 4.90%), 10.336%, 11/25/24 | 2,857 | 2,970 | |
| Federal National Mortgage Association 144A | |||
| Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.322%, 1/25/42 | 543,000 | 556,914 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 8.271%, 6/25/42 | 310,549 | 319,017 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R06, Class 1M1, (US 30 Day Average SOFR + 2.75%), 8.072%, 5/25/42 | 377,615 | 387,454 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R08, Class 1M1, (US 30 Day Average SOFR + 2.55%), 7.872%, 7/25/42 | 169,024 | 173,619 |
|
Multi-Asset Income Fund 43 |
| MORTGAGE-BACKED SECURITIES (9.6%)* cont. |
Principal amount |
Value | |
| Residential mortgage-backed securities (non-agency) cont. | |||
| Federal National Mortgage Association 144A | |||
| Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (US 30 Day Average SOFR + 2.26%), 7.586%, 11/25/39 | $82,775 | $83,463 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R03, Class 1M1, (US 30 Day Average SOFR + 2.10%), 7.422%, 3/25/42 | 611,479 | 619,887 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M1, (US 30 Day Average SOFR + 2.00%), 7.322%, 3/25/42 | 344,509 | 349,180 | |
| Connecticut Avenue Securities Trust FRB Ser. 23-R07, Class 2M1, (US 30 Day Average SOFR + 1.95%), 7.271%, 9/25/43 | 17,362 | 17,520 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M1, (US 30 Day Average SOFR + 1.90%), 7.222%, 4/25/42 | 191,717 | 192,196 | |
| Connecticut Avenue Securities Trust FRB Ser. 23-R06, Class 1M1, (US 30 Day Average SOFR + 1.70%), 7.022%, 7/25/43 | 57,601 | 58,033 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 6.522%, 1/25/42 | 69,322 | 69,625 | |
| FirstKey Homes Trust 144A Ser. 20-SFR2, Class A, 1.266%, 10/19/37 | 1,021,184 | 951,427 | |
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 21,849 | 20,553 | |
| Mill City Mortgage Loan Trust 144A Ser. 23-NQM1, Class A1, 6.05%, 10/25/67 | 302,608 | 301,419 | |
| MortgageIT Trust FRB Ser. 04-1, Class M2, (CME Term SOFR 1 Month + 1.12%), 6.44%, 11/25/34 | 90,549 | 84,663 | |
|
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (CME Term SOFR 1 Month + 0.54%), 5.865%, 5/25/46 |
133,441 | 115,426 | |
| Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.29%), 5.795%, 1/25/37 | 500,592 | 431,055 | |
| Tricon American Homes Trust 144A Ser. 18-SFR1, Class A, 3.53%, 5/17/37 | 816,716 | 796,080 | |
| 10,082,773 | |||
| Total mortgage-backed securities (cost $20,708,407) | $20,945,394 | ||
|
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.2%)* |
Principal amount |
Value | |
| Angola (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.75%, 4/14/32 (Angola) | $200,000 | $175,000 | |
| Argentine (Republic of) sr. unsec. unsub. bonds 3.625%, 7/9/35 (Argentina) | 280,000 | 103,778 | |
| Argentine (Republic of) sr. unsec. unsub. notes 0.75%, 7/9/30 (Argentina) | 240,000 | 110,100 | |
| Bahrain (Kingdom of) sr. unsec. notes Ser. REGS, 7.375%, 5/14/30 (Bahrain) | 200,000 | 205,750 | |
| Benin (Republic of) 144A sr. unsec. notes 7.96%, 2/13/38 (Benin) | 200,000 | 193,500 | |
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.75%, 1/14/50 (Brazil) | 330,000 | 243,803 | |
| Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | 340,000 | 294,231 | |
| Colombia (Republic of) sr. unsec. unsub. bonds 8.00%, 4/20/33 (Colombia) | 250,000 | 261,406 | |
| Colombia (Republic of) sr. unsec. unsub. notes 8.00%, 11/14/35 (Colombia) | 200,000 | 207,426 | |
| Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) | 250,000 | 218,438 |
|
44 Multi-Asset Income Fund |
|
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.2%)* cont. |
Principal amount |
Value | |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | $150,000 | $133,500 | |
| Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 7.45%, 4/30/44 (Dominican Republic) | 100,000 | 104,727 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 153,000 | 152,388 | |
| Ecuador (Republic of) sr. unsec. unsub. bonds Ser. REGS, 3.50%, 7/31/35 (Ecuador) | 230,000 | 108,388 | |
| Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) | 400,000 | 325,000 | |
| El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 2/28/29 (El Salvador) | 90,000 | 78,075 | |
| Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) | 200,000 | 162,750 | |
| Guatemala (Republic of) sr. unsec. unsub. bonds Ser. REGS, 3.70%, 10/7/33 (Guatemala) | 240,000 | 196,800 | |
| Hungary (Government of) sr. unsec. bonds Ser. REGS, 5.50%, 6/16/34 (Hungary) | 210,000 | 203,690 | |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) | 390,000 | 377,022 | |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.55%, 1/11/28 (Indonesia) | 200,000 | 196,513 | |
| Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, 3/15/39 (Jamaica) | 100,000 | 117,278 | |
| Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) | 230,000 | 219,650 | |
| Morocco (Kingdom of) sr. unsec. bonds Ser. REGS, 3.00%, 12/15/32 (Morocco) | 200,000 | 159,000 | |
| Mozambique (Republic of) unsec. notes Ser. REGS, 9.00%, 9/15/31 (Mozambique) | 200,000 | 168,250 | |
| Nigeria (Government of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 11/28/27 (Nigeria) | 200,000 | 181,500 | |
| Oman (Sultanate of) sr. unsec. notes Ser. REGS, 7.375%, 10/28/32 (Oman) | 300,000 | 328,875 | |
| Panama (Republic of) sr. unsec. unsub. bonds 6.70%, 1/26/36 (Panama) | 275,000 | 260,563 | |
| Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | 200,000 | 191,250 | |
| People's Republic of China sr. unsec. notes Ser. REGS, 1.75%, 10/26/31 (China) | 350,000 | 293,934 | |
| Philippines (Republic of) sr. unsec. unsub. notes 3.75%, 1/14/29 (Philippines) | 200,000 | 189,009 | |
| Qatar (State of) sr. unsec. notes Ser. REGS, 3.75%, 4/16/30 (Qatar) | 300,000 | 286,531 | |
| Qatar (State of) sr. unsec. unsub. bonds Ser. REGS, 6.40%, 1/20/40 (Qatar) | 170,000 | 191,478 | |
| Romania (Government of) sr. unsec. unsub. notes 6.125%, 1/22/44 (Romania) | 100,000 | 94,823 | |
| Romania (Government of) 144A sr. unsec. unsub. notes 6.625%, 2/17/28 (Romania) | 400,000 | 410,626 | |
| Saudi Arabia (Kingdom of) sr. unsec. bonds Ser. REGS, 4.50%, 10/26/46 (Saudi Arabia) | 230,000 | 192,522 | |
| Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) | 200,000 | 202,500 |
|
Multi-Asset Income Fund 45 |
|
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.2%)* cont. |
Principal amount |
Value | |
| Serbia (Republic of) 144A sr. unsec. notes 6.50%, 9/26/33 (Serbia) | $200,000 | $202,750 | |
| South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 4/20/32 (South Africa) | 280,000 | 252,392 | |
| Turkey (Republic of) sr. unsec. unsub. notes 8.60%, 9/24/27 (Turkey) | 200,000 | 210,750 | |
| Ukraine (Government of) sr. unsec. notes Ser. REGS, 7.375%, 9/25/34 (Ukraine) (In default) † | 370,000 | 97,125 | |
| United Arab Emirates sr. unsec. unsub. bonds Ser. REGS, 2.875%, 10/19/41 (United Arab Emirates) | 230,000 | 166,293 | |
| United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | 380,000 | 300,557 | |
| United Mexican States sr. unsec. unsub. notes 4.50%, 4/22/29 (Mexico) | 200,000 | 192,319 | |
| Uruguay (Oriental Republic of) sr. unsec. bonds 5.10%, 6/18/50 (Uruguay) | 160,000 | 152,772 | |
| Total foreign government and agency bonds and notes (cost $8,987,371) | $9,115,032 | ||
| COLLATERALIZED LOAN OBLIGATIONS (2.5%)* |
Principal amount |
Value | |
| AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (CME Term SOFR 3 Month + 1.36%), 6.676%, 4/15/34 (Cayman Islands) | $250,000 | $250,214 | |
| AB BSL CLO 3, Ltd. 144A FRB Ser. 21-3A, Class B, (CME Term SOFR 3 Month + 1.96%), 7.279%, 10/20/34 (Cayman Islands) | 250,000 | 250,061 | |
| AGL CLO 17, Ltd. 144A FRB Ser. 22-17A, Class A, (CME Term SOFR 3 Month + 1.33%), 6.648%, 1/21/35 (Cayman Islands) | 250,000 | 249,890 | |
| AIMCO CLO 17, Ltd. 144A FRB Ser. 22-17A, Class A, (CME Term SOFR 3 Month + 1.52%), 6.838%, 7/20/35 (Jersey) | 250,000 | 250,701 | |
| Birch Grove CLO 8, Ltd. 144A FRB Ser. 24-8A, Class A1, (CME Term SOFR 3 Month + 1.63%), 6.937%, 4/20/37 (Jersey) ## | 150,000 | 150,053 | |
| CBAM CLO Management, Ltd. 144A FRB Ser. 21-2A, Class AR, (CME Term SOFR 3 Month + 1.45%), 6.768%, 7/17/34 (Cayman Islands) | 200,000 | 200,058 | |
| CIFC Funding, Ltd. 144A FRB Ser. 21-1A, Class BRR, (CME Term SOFR 3 Month + 1.96%), 7.374%, 10/21/31 | 250,000 | 250,010 | |
| Elevation CLO, Ltd. 144A FRB Ser. 21-13A, Class A1, (CME Term SOFR 3 Month + 1.45%), 6.766%, 7/15/34 (Cayman Islands) | 250,000 | 249,661 | |
| Elmwood CLO 19, Ltd. 144A FRB Ser. 23-6A, Class AR, (CME Term SOFR 3 Month + 1.70%), 7.017%, 10/17/36 (Cayman Islands) | 250,000 | 252,055 | |
| Hayfin US XII, Ltd. 144A FRB Ser. 18-9A, Class BR, (CME Term SOFR 3 Month + 2.06%), 7.381%, 4/28/31 (Cayman Islands) | 200,000 | 199,939 | |
| ICG US CLO, Ltd. 144A FRB Ser. 21-1A, Class ARR, (CME Term SOFR 3 Month + 1.43%), 6.751%, 7/28/34 | 250,000 | 249,993 | |
| Invesco CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (CME Term SOFR 3 Month + 1.38%), 6.696%, 7/15/34 (Cayman Islands) | 250,000 | 250,146 | |
| Jamestown CLO IX, Ltd. 144A FRB Ser. 21-9A, Class A2RR, (CME Term SOFR 3 Month + 2.11%), 7.436%, 7/25/34 (Cayman Islands) | 250,000 | 250,046 | |
|
Juniper Valley Park CLO, LLC 144A FRB Ser. 23-1A, Class A1, (CME Term SOFR 3 Month + 1.85%), 7.168%, 7/20/35 |
250,000 | 250,619 | |
| Magnetite XXXVII, Ltd. 144A FRB Ser. 23-37A, Class A, (CME Term SOFR 3 Month + 1.65%), 7.076%, 10/20/36 (Cayman Islands) | 250,000 | 251,738 | |
| Rockland Park CLO, Ltd. 144A FRB Ser. 21-1A, Class B, (CME Term SOFR 3 Month + 1.91%), 7.229%, 4/20/34 (Cayman Islands) | 250,000 | 250,054 |
|
46 Multi-Asset Income Fund |
| COLLATERALIZED LOAN OBLIGATIONS (2.5%)* cont. |
Principal amount |
Value | |
| TCW CLO, Ltd. 144A FRB Ser. 21-2A, Class AS, (CME Term SOFR 3 Month + 1.44%), 6.766%, 7/25/34 (Cayman Islands) | $200,000 | $200,207 | |
| Texas Debt Capital CLO, Ltd. 144A FRB Ser. 23-1A, Class A, (CME Term SOFR 3 Month + 1.80%), 7.118%, 4/20/36 (Cayman Islands) | 250,000 | 251,507 | |
| Venture 37 CLO, Ltd. 144A FRB Ser. 21-37A, Class A1R, (CME Term SOFR 3 Month + 1.41%), 6.726%, 7/15/32 (Cayman Islands) | 200,000 | 198,002 | |
| Venture CLO XV, Ltd. 144A FRB Ser. 21-15A, Class AR3, (CME Term SOFR 3 Month + 1.44%), 6.756%, 7/15/32 (Cayman Islands) | 300,000 | 300,114 | |
| Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (CME Term SOFR 3 Month + 1.52%), 6.836%, 1/15/32 (Cayman Islands) | 250,000 | 250,123 | |
| Zais CLO 16, Ltd. 144A FRB Ser. 21-16A, Class A1R, (CME Term SOFR 3 Month + 1.68%), 6.999%, 10/20/34 | 250,000 | 250,008 | |
| Zais CLO 18, Ltd. 144A FRB Ser. 22-18A, Class A1A, (CME Term SOFR 3 Month + 1.52%), 6.845%, 1/25/35 | 125,000 | 124,897 | |
| Total collateralized loan obligations (cost $5,347,023) | $5,380,096 | ||
| SENIOR LOANS (0.6%)*c |
Principal amount |
Value | |
| American Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 10.329%, 4/20/28 | $94,444 | $96,215 | |
| AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 9.076%, 10/19/27 | 89,091 | 89,160 | |
| Ascend Learning, LLC bank term loan FRN (CME Term SOFR 1 Month + 5.75%), 11.176%, 11/18/29 | 80,000 | 76,800 | |
| Boxer Parent Co., Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.25%), 9.576%, 12/8/28 | 10,000 | 10,027 | |
| Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 9.074%, 8/21/26 | 129,328 | 128,538 | |
| CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 3.75%), 9.176%, 11/23/27 | 113,861 | 112,153 | |
| CQP Holdco LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 8.348%, 12/31/30 | 94,503 | 94,421 | |
| Crocs, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.25%), 7.576%, 2/20/29 | 23,429 | 23,446 | |
| DIRECTV Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.83%, 8/2/29 | 30,529 | 30,443 | |
|
Genesys Cloud Services Holdings, LLC bank term loan FRN (CME Term SOFR 3 Month + 4.00%), 9.441%, 12/1/27 |
69,286 | 69,473 | |
| IRB Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 8.176%, 12/15/27 | 99,242 | 99,070 | |
|
Klockner-Pentaplast of America, Inc. bank term loan FRN (CME Term SOFR 6 Month + 4.73%), 10.268%, 2/4/26 |
49,617 | 47,633 | |
| LSF11 A5 HoldCo, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 9.676%, 10/15/28 | 14,925 | 14,918 | |
| Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.685%, 6/15/28 | 24,657 | 24,549 | |
| Mattress Firm, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.25%), 9.86%, 9/21/28 | 74,212 | 74,027 | |
| Medline Borrower LP bank term loan FRN (CME Term SOFR 1 Month + 3.00%), 8.441%, 9/30/28 | 45,000 | 45,002 | |
| Michaels Cos., Inc. (The) bank term loan FRN (CME Term SOFR 3 Month + 4.25%), 9.86%, 4/15/28 | 19,847 | 16,223 |
|
Multi-Asset Income Fund 47 |
| SENIOR LOANS (0.6%)*c cont. |
Principal amount |
Value | |
| Nouryon USA, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.424%, 4/3/28 | $34,825 | $34,803 | |
| Nouryon USA, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.419%, 4/3/28 | 34,825 | 34,789 | |
| PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.176%, 1/29/28 | 74,808 | 74,466 | |
|
Scientific Games Holdings LP bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.58%, 4/4/29 |
35,000 | 34,913 | |
| United Airlines, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.076%, 2/17/31 | 60,000 | 59,925 | |
| VM Consolidated, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.00%), 8.076%, 3/27/28 | 64,708 | 64,789 | |
| Total senior loans (cost $1,331,492) | $1,355,783 | ||
| ASSET-BACKED SECURITIES (0.5%)* |
Principal amount |
Value | |
| Foursight Capital Automobile Receivables Trust 144A Ser. 22-2, Class A2, 4.49%, 3/16/26 | $24,019 | $23,989 | |
| Harley-Davidson Motorcycle Trust Ser. 22-A, Class A3, 3.06%, 2/15/27 | 117,336 | 115,334 | |
| Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.685%, 10/22/24 | 520,000 | 518,089 | |
| Station Place Securitization Trust 144A FRB Ser. 23-2, Class A1, (CME Term SOFR 1 Month + 0.95%), 6.271%, 6/29/24 | 525,000 | 524,900 | |
| Total asset-backed securities (cost $1,148,064) | $1,182,312 | ||
| CONVERTIBLE BONDS AND NOTES (0.2%)* |
Principal amount |
Value | |
| Fiverr International, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Israel) | $65,000 | $58,013 | |
| Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 | 40,000 | 50,000 | |
| Realogy Group, LLC/Realogy Co-Issuer Corp. company guaranty cv. sr. unsec. notes 0.25%, 6/15/26 | 68,000 | 53,638 | |
| Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 70,000 | 63,569 | |
| Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 65,000 | 58,695 | |
| Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 70,000 | 58,058 | |
| Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 | 70,000 | 58,765 | |
| Total convertible bonds and notes (cost $391,906) | $400,738 | ||
| INVESTMENT COMPANIES (0.1%)* | Shares | Value |
| SPDR S&P 500 ETF Trust | 435 | $221,015 |
| SPDR S&P MidCap 400 ETF Trust | 57 | 30,096 |
| Total investment companies (cost $251,113) | $251,111 | |
|
PURCHASED OPTIONS OUTSTANDING (0.1%)* Counterparty |
Expiration date/strike |
Notional amount |
Contract amount |
Value | |
| Citibank, N.A. | |||||
| S&P 500 Index (Put) | Dec-24/4500.00 | $7,547,576 | $1,481 | $116,745 | |
| S&P 500 Index (Put) | Jun-24/4500.00 | 7,547,576 | 1,481 | 31,474 | |
| Total purchased options outstanding (cost $602,915) | $148,219 | ||||
|
48 Multi-Asset Income Fund |
| CONVERTIBLE PREFERRED STOCKS (-%)* | Shares | Value |
| Apollo Global Management, Inc. $3.38 cv. pfd. | 925 | $59,015 |
| Total convertible preferred stocks (cost $46,250) | $59,015 | |
| SHORT-TERM INVESTMENTS (4.2%)* | Shares | Value | |
| Putnam Short Term Investment Fund Class P 5.51% L | 9,061,554 | $9,061,554 | |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 5.28% P | 130,000 | 130,000 | |
| Total short-term investments (cost $9,191,554) | $9,191,554 | ||
| TOTAL INVESTMENTS | |
| Total investments (cost $219,058,589) | $228,987,226 |
| Key to holding's currency abbreviations | |
| EUR | Euro |
| USD /$ | United States Dollar |
| Key to holding's abbreviations | |
| BKNT | Bank Note |
| bp | Basis Points |
| CME | Chicago Mercantile Exchange |
| DAC | Designated Activity Company |
| ETF | Exchange Traded Fund |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| GMTN | Global Medium Term Notes |
| IO | Interest Only |
| JSC | Joint Stock Company |
| MTN | Medium Term Notes |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMICs | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate |
| SPDR | S&P Depository Receipts |
| TBA | To Be Announced Commitments |
| Notes to the fund's portfolio | |
| Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2023 through February 29, 2024 (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 Franklin Resources, Inc., and references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |
| * | Percentages indicated are based on net assets of $219,182,892. |
| † | 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. |
|
Multi-Asset Income Fund 49 |
| # | 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 $428,920 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 10). |
| ## | Forward commitment, in part or in entirety (Note 1). |
| c | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7). |
| 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). |
| 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. |
| 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. |
| 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 2/29/24 (aggregate face value $1,207,717) (Unaudited) | ||||||
| Counterparty | Currency |
Contract type* |
Delivery date |
Value |
Aggregate face value |
Unrealized appreciation/ (depreciation) |
| JPMorgan Chase Bank N.A. | ||||||
| Euro | Sell | 3/20/24 | $555,501 | $553,391 | $(2,110) | |
| Morgan Stanley & Co. International PLC | ||||||
| Euro | Sell | 3/20/24 | 197,620 | 197,917 | 297 | |
| State Street Bank and Trust Co. | ||||||
| Euro | Sell | 3/20/24 | 203,575 | 203,893 | 318 | |
| UBS AG | ||||||
| Euro | Sell | 3/20/24 | 252,086 | 252,516 | 430 | |
| Unrealized appreciation | 1,045 | |||||
| Unrealized (depreciation) | (2,110) | |||||
| Total | $(1,065) | |||||
| * The exchange currency for all contracts listed is the United States Dollar. | ||||||
|
50 Multi-Asset Income Fund |
| FUTURES CONTRACTS OUTSTANDING at 2/29/24 (Unaudited) | |||||
|
Number of contracts |
Notional amount |
Value |
Expiration date |
Unrealized appreciation/ (depreciation) |
|
| Russell 2000 Index E-Mini (Long) | 1 | $102,742 | $102,865 | Mar-24 | $3,437 |
| S&P 500 Index E-Mini (Long) | 13 | 3,312,576 | 3,317,438 | Mar-24 | 205,190 |
| U.S. Treasury Bond Ultra 30 yr (Long) | 12 | 1,534,500 | 1,534,500 | Jun-24 | 4,879 |
| U.S. Treasury Note 2 yr (Long) | 46 | 9,418,500 | 9,418,500 | Jun-24 | 5,287 |
| U.S. Treasury Note 5 yr (Long) | 8 | 855,250 | 855,250 | Jun-24 | 1,733 |
| Unrealized appreciation | 220,526 | ||||
| Unrealized (depreciation) | - | ||||
| Total | $220,526 | ||||
| WRITTEN OPTIONS OUTSTANDING at 2/29/24 (premiums $108,483) (Unaudited) | |||||
| Counterparty |
Expiration date/strike |
Notional amount |
Contract amount |
Value | |
| Citibank, N.A. | |||||
| S&P 500 Index (Put) | Dec-24/3500.00 | $7,547,576 | $1,481 | $32,013 | |
| Total | $32,013 | ||||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/29/24 (Unaudited) | |||||||
| Notional amount | Value |
Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
| $1,941,000 | $3,339 E | $(15,875) | 3/20/26 | US SOFR - Annually | 4.40% - Annually | $(19,214) | |
| 1,159,000 | 6,270 E | 30,164 | 3/20/29 | 4.10% - Annually | US SOFR - Annually | 23,894 | |
| 1,355,000 | 6,179 E | 38,366 | 3/20/34 | 3.80% - Annually | US SOFR - Annually | 44,545 | |
| 826,000 | 18,676 E | (32,718) | 3/20/54 | US SOFR - Annually | 3.50% - Annually | (51,394) | |
| Total | $19,937 | $(2,169) | |||||
| E Extended effective date. | |||||||
|
CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING - PROTECTION SOLD at 2/29/24 (Unaudited) |
||||||||
| Referenced debt* | Rating*** |
Upfront premium received (paid)** |
Notional amount |
Value |
Termi- nation date |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
| CDX NA HY Series 41 Index | B+/P | $(1,884) | $801,900 | $50,840 | 12/20/28 | 500 bp - Quarterly | $56,717 | |
| Total | $(1,884) | $56,717 | ||||||
| * Payments related to the referenced debt are made upon a credit default event. | ||||||||
| ** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
| *** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 29, 2024. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications. | ||||||||
|
Multi-Asset Income Fund 51 |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
| Valuation inputs | |||
| Investments in securities: | Level 1 | Level 2 | Level 3 |
| Common stocks*: | |||
| Basic materials | $1,990,167 | $- | $- |
| Capital goods | 1,923,136 | - | - |
| Communication services | 1,261,047 | - | - |
| Conglomerates | 1,367,259 | - | - |
| Consumer cyclicals | 8,061,245 | - | - |
| Consumer staples | 4,424,175 | - | - |
| Energy | 2,838,177 | - | - |
| Financials | 11,039,378 | - | - |
| Health care | 7,606,359 | - | 69 |
| Technology | 20,715,026 | - | - |
| Transportation | 559,916 | - | - |
| Utilities and power | 1,930,111 | 38,984 | 10 |
| Total common stocks | 63,715,996 | 38,984 | 79 |
| Asset-backed securities | - | 1,182,312 | - |
| Collateralized loan obligations | - | 5,380,096 | - |
| Convertible bonds and notes | - | 400,738 | - |
| Convertible preferred stocks | - | 59,015 | - |
| Corporate bonds and notes | - | 61,809,244 | - |
| Foreign government and agency bonds and notes | - | 9,115,032 | - |
| Investment companies | 251,111 | - | - |
| Mortgage-backed securities | - | 20,945,394 | - |
| Purchased options outstanding | - | 148,219 | - |
| Senior loans | - | 1,355,783 | - |
| U.S. government and agency mortgage obligations | - | 40,131,289 | - |
| U.S. treasury obligations | - | 15,262,380 | - |
| Short-term investments | 130,000 | 9,061,554 | - |
| Totals by level | $64,097,107 | $164,890,040 | $79 |
| Valuation inputs | |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Forward currency contracts | $- | $(1,065) | $- |
| Futures contracts | 220,526 | - | - |
| Written options outstanding | - | (32,013) | - |
| Interest rate swap contracts | - | (22,106) | - |
| Credit default contracts | - | 58,601 | - |
| Totals by level | $220,526 | $3,417 | $- |
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The accompanying notes are an integral part of these financial statements.
|
52 Multi-Asset Income Fund |
Statement of assets and liabilities 2/29/24 (Unaudited)
| ASSETS | |
| Investment in securities, at value (Notes 1 and 10): | |
| Unaffiliated issuers (identified cost $209,997,035) | $219,925,672 |
| Affiliated issuers (identified cost $9,061,554) (Note 5) | 9,061,554 |
| Cash | 6,832 |
| Foreign currency (cost $1,406) (Note 1) | 1,394 |
| Dividends, interest and other receivables | 1,572,723 |
| Receivable for shares of the fund sold | 355,793 |
| Receivable for investments sold | 2,360,446 |
| Receivable from Manager (Note 2) | 21,782 |
| Receivable for variation margin on futures contracts (Note 1) | 31,365 |
| Receivable for variation margin on centrally cleared swap contracts (Note 1) | 5,889 |
| Unrealized appreciation on forward currency contracts (Note 1) | 1,045 |
| Deposits with broker (Note 1) | 101,749 |
| Prepaid assets | 64,275 |
| Total assets | 233,510,519 |
| LIABILITIES | |
| Payable for investments purchased | 2,428,441 |
| Payable for purchases of delayed delivery securities (Note 1) | 150,000 |
| Payable for purchases of TBA securities (Note 1) | 9,520,858 |
| Payable for shares of the fund repurchased | 1,602,779 |
| Payable for custodian fees (Note 2) | 30,381 |
| Payable for investor servicing fees (Note 2) | 57,643 |
| Payable for Trustee compensation and expenses (Note 2) | 193,257 |
| Payable for administrative services (Note 2) | 698 |
| Payable for distribution fees (Note 2) | 67,367 |
| Payable for variation margin on futures contracts (Note 1) | 359 |
| Payable for variation margin on centrally cleared swap contracts (Note 1) | 2,569 |
| Unrealized depreciation on forward currency contracts (Note 1) | 2,110 |
| Written options outstanding, at value (premiums $108,483) (Note 1) | 32,013 |
| Collateral on certain derivative contracts, at value (Notes 1 and 10) | 130,000 |
| Payable to broker (Note 1) | 181 |
| Other accrued expenses | 108,971 |
| Total liabilities | 14,327,627 |
| Net assets | $219,182,892 |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1, 4 and 8) | $302,124,361 |
| Total distributable earnings (Notes 1 and 8) | (82,941,469) |
| Total - Representing net assets applicable to capital shares outstanding | $219,182,892 |
(Continued on next page)
| Multi-Asset Income Fund 53 |
Statement of assets and liabilities cont.
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share | |
| ($145,516,811 divided by 14,251,711 shares) | $10.21 |
| Offering price per class A share(100/96.00 of $10.21)* | $10.64 |
| Net asset value and offering price per class C share($8,067,469 divided by 789,905 shares)** | $10.21 |
| Net asset value, offering price and redemption price per class P share | |
| ($24,058,318 divided by 2,354,081 shares) | $10.22 |
| Net asset value, offering price and redemption price per class R share | |
| ($1,927,085 divided by 188,692 shares) | $10.21 |
| Net asset value, offering price and redemption price per class R5 share | |
| ($10,949 divided by 1,072 shares) | $10.22*** |
| Net asset value, offering price and redemption price per class R6 share | |
| ($3,915,694 divided by 383,418 shares) | $10.21 |
| Net asset value, offering price and redemption price per class Y share | |
| ($35,686,566 divided by 3,494,174 shares) | $10.21 |
*On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
**Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
***Net asset value may not recalculate due to rounding of fractional shares.
The accompanying notes are an integral part of these financial statements.
| 54 Multi-Asset Income Fund |
Statement of operations Six months ended 2/29/24 (Unaudited)
| INVESTMENT INCOME | |
| Interest (including interest income of $152,645 from investments in affiliated issuers) (Note 5) | $3,030,674 |
| Dividends (net of foreign tax of $14,128) | 869,299 |
| Total investment income | 3,899,973 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 506,058 |
| Investor servicing fees (Note 2) | 179,463 |
| Custodian fees (Note 2) | 37,756 |
| Trustee compensation and expenses (Note 2) | 4,949 |
| Distribution fees (Note 2) | 227,768 |
| Administrative services (Note 2) | 4,324 |
| Auditing and tax fees | 77,637 |
| Blue sky expense | 74,062 |
| Other | 63,831 |
| Fees waived and reimbursed by Manager (Note 2) | (334,967) |
| Total expenses | 840,881 |
| Expense reduction (Note 2) | (4,944) |
| Net expenses | 835,937 |
| Net investment income | 3,064,036 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 1,622,208 |
| Foreign currency transactions (Note 1) | 1,178 |
| Forward currency contracts (Note 1) | 7,747 |
| Futures contracts (Note 1) | 351,145 |
| Swap contracts (Note 1) | 484,934 |
| Total net realized gain | 2,467,212 |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers and TBA sale commitments | 9,517,798 |
| Assets and liabilities in foreign currencies | (1,495) |
| Forward currency contracts | (2,447) |
| Futures contracts | 451,485 |
| Swap contracts | (277,835) |
| Written options | 77,658 |
| Total change in net unrealized appreciation | 9,765,164 |
| Net gain on investments | 12,232,376 |
| Net increase in net assets resulting from operations | $15,296,412 |
The accompanying notes are an integral part of these financial statements.
| Multi-Asset Income Fund 55 |
Statement of changes in net assets
| INCREASE (DECREASE) IN NET ASSETS | Six months ended 2/29/24* | Year ended 8/31/23 |
| Operations | ||
| Net investment income | $3,064,036 | $4,818,374 |
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | 2,467,212 | (4,571,889) |
| Change in net unrealized appreciation of investments | ||
| and assets and liabilities in foreign currencies | 9,765,164 | 5,418,298 |
| Net increase in net assets resulting from operations | 15,296,412 | 5,664,783 |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
| Class A | (2,579,536) | (1,716,440) |
| Class C | (130,670) | (108,068) |
| Class P | (469,664) | (309,738) |
| Class R | (32,037) | (24,011) |
| Class R5 | (203) | (136) |
| Class R6 | (101,960) | (68,445) |
| Class Y | (712,325) | (575,021) |
| From capital gain on investments | ||
| Net realized long-term gain on investments | ||
| Class A | - | - |
| Class C | - | - |
| Class P | - | (230,793) |
| Class R | - | - |
| Class R5 | - | - |
| Class R6 | - | - |
| Class Y | - | - |
| Increase (decrease) from capital share | ||
| transactions (Notes 4 and 8) | (13,644,731) | 201,701,796 |
| Total increase (decrease) in net assets | (2,374,714) | 204,333,927 |
| NET ASSETS | ||
| Beginning of period | 221,557,606 | 17,223,679 |
| End of period | $219,182,892 | $221,557,606 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
| 56 Multi-Asset Income Fund |
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| Multi-Asset Income Fund 57 |
Financial highlights
(For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
| Ratio | Ratio of net | ||||||||||||
| Net asset | Net realized | of expenses | investment | ||||||||||
| value, | and unrealized | Total from | From net | From net | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | |||
| beginning | Net investment | gain (loss) | investment | investment | realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss) a | on investments | operations | income | on investments | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%)e |
| Class A | |||||||||||||
| February 29, 2024** | $9.70 | .13 | .56 | .69 | (.18) | - | (.18) | $10.21 | 7.19* | $145,517 | .42* | 1.38* | 65* |
| August 31, 2023‡ | 9.64 | .20 | (.02) | .18 | (.12) | - | (.12) | 9.70 | 1.85* | 142,258 | .46* | 2.05* | 109 |
| Class C | |||||||||||||
| February 29, 2024** | $9.70 | .09 | .56 | .65 | (.14) | - | (.14) | $10.21 | 6.77* | $8,067 | .79* | .96* | 65* |
| August 31, 2023‡ | 9.64 | .16 | (.02) | .14 | (.08) | - | (.08) | 9.70 | 1.44* | 12,028 | .88* | 1.64* | 109 |
| Class P | |||||||||||||
| February 29, 2024** | $9.71 | .16 | .55 | .71 | (.20) | - | (.20) | $10.22 | 7.42* | $24,058 | .20* | 1.62* | 65* |
| August 31, 2023 | 9.59 | .34 | .05 | .39 | (.15) | (.12) | (.27) | 9.71 | 4.23 | 20,177 | .41 | 3.58 | 109 |
| August 31, 2022 | 11.28 | .07 | (1.30) | (1.23) | (.08) | (.38) | (.46) | 9.59 | (11.37) | 17,224 | .23 | .66 | 124 |
| August 31, 2021 | 10.49 | .04 | .96 | 1.00 | (.21) | - | (.21) | 11.28 | 9.68 | 15,322 | .20 | .40 | 144 |
| August 31, 2020 † | 10.00 | .05 | .44 | .49 | -f | - | -f | 10.49 | 4.94* | 11,708 | .13* | .53* | 54* |
| Class R | |||||||||||||
| February 29, 2024** | $9.70 | .13 | .55 | .68 | (.17) | - | (.17) | $10.21 | 7.05* | $1,927 | .54* | 1.30* | 65* |
| August 31, 2023‡ | 9.64 | .18 | (.02) | .16 | (.10) | - | (.10) | 9.70 | 1.71* | 2,306 | .60* | 1.91* | 109 |
| Class R5 | |||||||||||||
| February 29, 2024** | $9.71 | .15 | .55 | .70 | (.19) | - | (.19) | $10.22 | 7.33* | $11 | .27* | 1.52* | 65* |
| August 31, 2023‡ | 9.64 | .21 | (.01) | .20 | (.13) | - | (.13) | 9.71 | 2.09* | 10 | .31* | 2.21* | 109 |
| Class R6 | |||||||||||||
| February 29, 2024** | $9.70 | .15 | .56 | .71 | (.20) | - | (.20) | $10.21 | 7.39* | $3,916 | .22* | 1.58* | 65* |
| August 31, 2023‡ | 9.64 | .22 | (.02) | .20 | (.14) | - | (.14) | 9.70 | 2.05* | 4,925 | .25* | 2.26* | 109 |
| Class Y | |||||||||||||
| February 29, 2024** | $9.70 | .14 | .56 | .70 | (.19) | - | (.19) | $10.21 | 7.33* | $35,687 | .29* | 1.48* | 65* |
| August 31, 2023‡ | 9.64 | .21 | (.02) | .19 | (.13) | - | (.13) | 9.70 | 1.98* | 39,854 | .32* | 2.19* | 109 |
Before July 12, 2022, the fund was managed with a materially different investment strategy and may have achieved materially different performance results under its current investment strategy from that shown for periods before this date.
* Not annualized.
** Unaudited.
† For the period December 31, 2019 (commencement of operations) to August 31, 2020.
‡ For the period February 10, 2023 (commencement of operations) to August 31, 2023.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation and/or waivers of certain fund expenses in connection with investments in Putnam Government Money Market Fund in effect during the period. As a result of such limitations and/or waivers, the expenses of each class reflect a reduction of the following amounts as a percentage of the average net assets of each class (Note 2):
| 2/29/24 | 8/31/23 | 8/31/22 | 8/31/21 | 8/31/20 | |
| Class A | 0.15% | 0.25% | N/A | N/A | N/A |
| Class C | 0.15 | 0.25 | N/A | N/A | N/A |
| Class P | 0.15 | 1.37 | 2.67% | 0.93% | 2.45% |
| Class R | 0.15 | 0.25 | N/A | N/A | N/A |
| Class R5 | 0.15 | 0.25 | N/A | N/A | N/A |
| Class R6 | 0.15 | 0.25 | N/A | N/A | N/A |
| Class Y | 0.15 | 0.25 | N/A | N/A | N/A |
e Portfolio turnover includes TBA purchase and sale commitments.
f Amount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial statements.
| 58 Multi-Asset Income Fund | Multi-Asset Income Fund 59 |
Notes to financial statements 2/29/24 (Unaudited)
Unless otherwise noted, the "reporting period" represents the period from September 1, 2023 through February 29, 2024. The following table defines commonly used references within the Notes to financial statements:
| References to | Represent |
| Franklin Templeton | Franklin Resources, Inc. |
| JPMorgan | JPMorgan Chase Bank, N.A. |
| OTC | Over-the-counter |
| PAC | The Putnam Advisory Company, LLC, an affiliate of Putnam Management |
| PIL | Putnam Investments Limited, an affiliate of Putnam Management |
| Putnam Management | Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned |
| subsidiary of Franklin Templeton | |
| SEC | Securities and Exchange Commission |
| State Street | State Street Bank and Trust Company |
Putnam Multi-Asset Income Fund (the fund) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek total return consistent with conservation of capital. Within the fund's total return orientation, the fund seeks to provide current income, along with long-term capital appreciation. The fund invests mainly in fixed-income investments, including U.S. and foreign (including emerging market) government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments) of any credit quality. The fund also invests, to a lesser extent, in equity securities (growth or value stocks or both) of U.S. and foreign (including emerging market) companies of any size. The fund has a strategic, or typical, allocation between equity and fixed-income investments. Using qualitative analysis and quantitative models and techniques, Putnam Management adjusts portfolio allocations from time to time within a certain range to try to optimize the fund's performance consistent with its goal. The strategic allocation and the range of allowable allocation for the fund is shown below:
| Class | Strategic Allocation | Range |
| Equity | 27% | 5-50% |
| Fixed-Income | 73% | 50-95% |
Putnam Management may consider, among other factors, a company's valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments and may also consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell fixed-income investments. The fund typically uses derivatives to a significant extent, such as futures, options, certain foreign currency transactions, warrants and interest rate and total return swap contracts, for both hedging and non-hedging purposes and may also use derivatives and debt instruments with terms determined by reference to a particular commodity or to all or portions of a commodities index.
| 60 Multi-Asset Income Fund |
The fund offers the following share classes. The expenses for each class of shares may differ based on the distribution and investor servicing fees of each class, which are identified in Note 2.
| Share class | Sales charge | Contingent deferred sales charge | Conversion feature |
| 1.00% on certain redemptions of shares | |||
| Class A | Up to 4.00% | bought with no initial sales charge | None |
| Converts to class A shares | |||
| Class C | None | 1.00% eliminated after one year | after 8 years |
| Class PΔ | None | None | None |
| Class R† | None | None | None |
| Class R5† | None | None | None |
| Class R6† | None | None | None |
| Class Y† | None | None | None |
Δ Only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates.
† Not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund's management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the Trust's Agreement and Declaration of Trust, any claims asserted by a shareholder against or on behalf of the Trust (or its series), including claims against Trustees and Officers, must be brought in courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946. The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
| Multi-Asset Income Fund 61 |
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
| 62 Multi-Asset Income Fund |
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, is recorded on the accrual basis. Amortization and accretion of premiums and discounts on debt securities, if any, is recorded on the accrual basis.
Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts for hedging against changes in values of securities it owns, owned or expects to own.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor
| Multi-Asset Income Fund 63 |
contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund's portfolio.
Futures contracts The fund uses futures contracts for managing exposure to market risk and for equitizing cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin."
Futures contracts outstanding at period end, if any, are listed after the fund's portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging foreign exchange risk and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund's portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging interest rate risk, for gaining exposure on interest rates and for hedging prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
| 64 Multi-Asset Income Fund |
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund's portfolio.
At the close of the reporting period, the fund has deposited cash valued at $37,983 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for hedging market risk and for gaining exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund's portfolio.
At the close of the reporting period, the fund has deposited cash valued at $63,766 in a segregated account to cover margin requirements on open centrally cleared credit default contracts.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
| Multi-Asset Income Fund 65 |
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund's portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund's portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $2,110 on open derivative contracts subject to the Master Agreements. There was no collateral pledged by the fund at period end for these agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund's investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $320 million syndicated unsecured committed line of credit, provided by State Street ($160 million) and JPMorgan ($160 million), and a $235.5 million unsecured uncommitted line of credit, provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund's borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds and a $75,000 fee has been paid by the participating funds to State Street as agent of the syndicated committed line of credit. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code),
| 66 Multi-Asset Income Fund |
applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund's books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At August 31, 2023, the fund had a capital loss carryover of $95,421,030 available to the extent allowed by the Code to offset future net capital gain, if any. As a result of the February 20, 2023 merger, the fund acquired $91,432,821 in capital loss carryovers from Putnam Multi-Asset Absolute Return Fund, which are subject to limitations imposed by the Code. The amounts of the combined carryovers are as follows:
| Loss carryover | ||
| Short-term | Long-term | Total |
| $54,266,929 | $41,154,101 | $95,421,030 |
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $219,213,436, resulting in gross unrealized appreciation and depreciation of $14,778,455 and $4,780,722, respectively, or net unrealized appreciation of $9,997,733.
Distributions to shareholders Distributions to shareholders from net investment income, if any, are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund's fiscal year. Reclassifications are made to the fund's capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund's average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid "double counting" of those assets). Such annual rates may vary as follows:
| 0.630% | of the first $5 billion, | 0.430% | of the next $50 billion, | |
| 0.580% | of the next $5 billion, | 0.410% | of the next $50 billion, | |
| 0.530% | of the next $10 billion, | 0.400% | of the next $100 billion and | |
| 0.480% | of the next $10 billion, | 0.395% | of any excess thereafter. |
| Multi-Asset Income Fund 67 |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.233% of the fund's average net assets.
Putnam Management has contractually agreed, through December 30, 2024, to waive fees and/or reimburse the fund's expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund's investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund's average net assets over such fiscal year-to-date period. During the reporting period, the fund's expenses were reduced by $45,280 as a result of this limit.
Putnam Management has also contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through December 30, 2024, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund's investor servicing contract and acquired fund fees and expenses, but including payments under the fund's investment management contract) would exceed an annual rate of 0.40% of the fund's average net assets. During the reporting period, the fund's expenses were reduced by $289,634 as a result of this limit.
The fund invests in Putnam Government Money Market Fund, an open-end management investment company managed by Putnam Management. Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with respect to assets invested by the fund in Putnam Government Money Market Fund. For the reporting period, management fees paid were reduced by $53 relating to the fund's investment in Putnam Government Money Market Fund.
PIL is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the equity and asset allocation portion of the fund managed by PIL and 0.20% of the average net assets of the fixed-income portion of the fund managed by PIL.
PAC is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.25% of the average net assets of the equity and asset allocation portion of the fund's assets for which PAC is engaged as sub-advisor and 0.20% of the average net assets of the fixed-income portion of the fund's assets for which PAC is engaged as sub-advisor.
On January 1, 2024, a subsidiary of Franklin Templeton acquired Putnam U.S. Holdings I, LLC ("Putnam Holdings"), the parent company of Putnam Management, PIL and PAC, in a stock and cash transaction (the "Transaction"). As a result of the Transaction, Putnam Management, PIL and PAC became indirect, wholly-owned subsidiaries of Franklin Templeton. The Transaction also resulted in the automatic termination of the investment management contract between the fund and Putnam Management, the sub-management contract for the fund between Putnam Management and PIL, and the sub-advisory contract for the fund among Putnam Management, PIL and PAC that were in place for the fund before the Transaction. However, Putnam Management, PIL and PAC continued to provide uninterrupted services with respect to the fund pursuant to new investment management, sub-management, and sub-advisory contracts that were approved by fund shareholders at a shareholder meeting held in connection with the Transaction and that took effect on January 1, 2024. The terms of the new investment management, sub-management, and sub-advisory contracts are substantially similar to those of the previous investment management, sub-management, and sub-advisory contracts, and the fee rates payable under the new investment management, sub-management, and sub-advisory contracts are the same as the fee rates under the previous investment management, sub-management, and sub-advisory contracts.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund's assets are provided by State Street. Custody fees are based on the fund's asset level, the number of its security holdings and transaction volumes.
| 68 Multi-Asset Income Fund |
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class C, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund's assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund's retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund's average assets attributable to such accounts.
Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%.
Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.15%.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $131,976 | Class R5 | 8 | |
| Class C | 8,772 | Class R6 | 1,265 | |
| Class P | 1,141 | Class Y | 34,503 | |
| Class R | 1,798 | Total | $179,463 |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.'s and State Street's fees are reduced by credits allowed on cash balances. For the reporting period, the fund's expenses were reduced by $4,944 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $186, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable from July 1, 1995 through December 31, 2023. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee's average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee's lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b-1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Franklin Templeton, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| Maximum % | Approved % | Amount | |
| Class A | 0.35% | 0.25% | $176,188 |
| Class C | 1.00% | 1.00% | 46,783 |
| Class R | 1.00% | 0.50% | 4,797 |
| Total | $227,768 |
| Multi-Asset Income Fund 69 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $3,159 from the sale of class A shares and received $48 in contingent deferred sales charges from redemptions of class C shares.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $75 on class A redemptions.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
| Investments in securities, including TBA commitments (Long-term) | $134,092,568 | $139,402,664 |
| U.S. government securities (Long-term) | 6,984,046 | 9,748,055 |
| Total | $141,076,614 | $149,150,719 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund's transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund's total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
| FOR THE PERIOD FROM 2/10/23 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 2/29/24 | TO 8/31/23 | |||
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 679,406 | $6,625,565 | 491,977 | $4,813,947 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 256,564 | 2,513,596 | 173,251 | 1,669,068 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | 15,656,153 | 150,101,805 |
| 935,970 | 9,139,161 | 16,321,381 | 156,584,820 | |
| Shares repurchased | (1,346,319) | (13,180,932) | (1,659,321) | (16,000,618) |
| Net increase (decrease) | (410,349) | $(4,041,771) | 14,662,060 | $140,584,202 |
| FOR THE PERIOD FROM 2/10/23 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 2/29/24 | TO 8/31/23 | |||
| Class C | Shares | Amount | Shares | Amount |
| Shares sold | 23,008 | $224,149 | 14,960 | $134,296 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 13,283 | 129,748 | 11,156 | 107,456 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | 1,717,846 | 16,468,814 |
| 36,291 | 353,897 | 1,743,962 | 16,710,566 | |
| Shares repurchased | (486,264) | (4,713,395) | (504,084) | (4,856,895) |
| Net increase (decrease) | (449,973) | $(4,359,498) | 1,239,878 | $11,853,671 |
| 70 Multi-Asset Income Fund |
| SIX MONTHS ENDED 2/29/24 | YEAR ENDED 8/31/23 | |||
| Class P | Shares | Amount | Shares | Amount |
| Shares sold | 654,210 | $6,240,038 | 837,606 | $8,025,200 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 47,849 | 469,664 | 56,684 | 540,531 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | - | - |
| 702,059 | 6,709,702 | 894,290 | 8,565,731 | |
| Shares repurchased | (426,627) | (4,251,166) | (610,767) | (5,888,834) |
| Net increase | 275,432 | $2,458,536 | 283,523 | $2,676,897 |
| FOR THE PERIOD FROM 2/10/23 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 2/29/24 | TO 8/31/23 | |||
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | 2,594 | $25,714 | 5,404 | $53,059 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 3,269 | 32,037 | 2,492 | 24,011 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | 232,019 | 2,224,787 |
| 5,863 | 57,751 | 239,915 | 2,301,857 | |
| Shares repurchased | (54,780) | (513,263) | (2,306) | (22,220) |
| Net increase (decrease) | (48,917) | $(455,512) | 237,609 | $2,279,637 |
| FOR THE PERIOD FROM 2/10/23 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 2/29/24 | TO 8/31/23 | |||
| Class R5 | Shares | Amount | Shares | Amount |
| Shares sold | - | $- | 1,037 | $10,002 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 21 | 203 | 14 | 136 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | - | - |
| 21 | 203 | 1,051 | 10,138 | |
| Shares repurchased | - | - | - | - |
| Net increase | 21 | $203 | 1,051 | $10,138 |
| Multi-Asset Income Fund 71 |
| FOR THE PERIOD FROM 2/10/23 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 2/29/24 | TO 8/31/23 | |||
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 46,977 | $453,460 | 51,369 | $494,815 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 10,402 | 101,960 | 7,033 | 67,776 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | 1,255,285 | 12,037,682 |
| 57,379 | 555,420 | 1,313,687 | 12,600,273 | |
| Shares repurchased | (181,439) | (1,835,943) | (806,209) | (7,663,274) |
| Net increase (decrease) | (124,060) | $(1,280,523) | 507,478 | $4,936,999 |
| FOR THE PERIOD FROM 2/10/23 | ||||
| (COMMENCEMENT OF OPERATIONS) | ||||
| SIX MONTHS ENDED 2/29/24 | TO 8/31/23 | |||
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | 98,320 | $980,784 | 233,231 | $2,250,281 |
| Shares issued in connection with | ||||
| reinvestment of distributions | 71,831 | 702,711 | 58,933 | 567,678 |
| Shares issued in connection with the | ||||
| merger of Putnam Multi-Asset Absolute | ||||
| Return Fund | - | - | 5,651,783 | 54,191,555 |
| 170,151 | 1,683,495 | 5,943,947 | 57,009,514 | |
| Shares repurchased | (782,814) | (7,649,661) | (1,837,110) | (17,649,262) |
| Net increase (decrease) | (612,663) | $(5,966,166) | 4,106,837 | $39,360,252 |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| Shares owned | Percentage of ownership | Value | |
| Class C | 1,060 | 0.13% | $10,823 |
| Class R | 1,066 | 0.56 | 10,884 |
| Class R5 | 1,072 | 100.00 | 10,949 |
| Class R6 | 1,073 | 0.28 | 10,955 |
| Class Y | 1,071 | 0.03 | 10,935 |
At the close of the reporting period, the Putnam Retirement Advantage Funds owned 11.0% of the outstanding shares of the fund.
| 72 Multi-Asset Income Fund |
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| Shares | |||||
| outstanding | |||||
| and fair | |||||
| Fair value as | Purchase | Sale | Investment | value as | |
| Name of affiliate | of 8/31/23 | cost | proceeds | income | of 2/29/24 |
| Short-term investments | |||||
| Putnam Government | |||||
| Money Market Fund | |||||
| Class G† | $- | $2,663,779 | $2,663,779 | $1,329 | $- |
| Putnam Short Term | |||||
| Investment Fund | |||||
| Class P‡ | 6,128,842 | 31,817,001 | 28,884,289 | 151,316 | 9,061,554 |
| Total Short-term | |||||
| investments | $6,128,842 | $34,480,780 | $31,548,068 | $152,645 | $9,061,554 |
† Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with respect to assets invested by the fund in Putnam Government Money Market Fund (Note 2). There were no realized or unrealized gains or losses during the period.
‡ Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market's perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
| Multi-Asset Income Fund 73 |
Note 8: Acquisition of Putnam Multi-Asset Absolute Return Fund
On February 20, 2023, the fund issued the following fund shares in exchange for the following shares of Putnam Multi-Asset Absolute Return Fund to acquire its net assets in a tax-free exchange approved by the shareholders:
| Putnam Multi-Asset | ||||
| Absolute Return Fund's | ||||
| Share class | Fund shares issued: | Share class | shares exchanged: | |
| Class A | 15,409,020 | Class A | 16,463,847 | |
| Class A* | 247,133 | Class B* | 276,840 | |
| Class C | 1,717,846 | Class C | 1,931,926 | |
| Class R | 232,019 | Class R | 254,293 | |
| Class R6 | 1,255,285 | Class R6 | 1,319,738 | |
| Class Y | 5,651,783 | Class Y | 5,977,350 |
* Putnam Multi-Asset Absolute Return Fund's Class B shares were exchanged for Class A shares of the fund.
The investment portfolio of Putnam Multi-Asset Absolute Return Fund, with a fair value of $234,554,551 and an identified cost of $238,821,615 at February 17, 2023, was the principal asset acquired by the fund. The net assets of the fund and Putnam Multi-Asset Absolute Return Fund on February 17, 2023, were $18,744,978 and $235,024,643, respectively. On February 17, 2023, Putnam Multi-Asset Absolute Return Fund had undistributed net investment income of $2,565,684, accumulated net realized loss of $113,605,864 and unrealized depreciation of $4,276,603. The aggregate net assets of the fund immediately following the acquisition were $253,769,621.
Information presented in the Statement of changes in net assets for the period ended August 31, 2023 reflect only the operations of Putnam Multi-Asset Income Fund.
Assuming the acquisition had been completed on September 1, 2022, the fund's pro forma results of operations for the prior fiscal year would have been as follows:
| Net investment income | $13,074,221 |
| Net gain on investments | $10,228,394 |
| Net increase in net assets resulting from operations | $23,302,615 |
Note 9: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| Purchased equity option contracts (contract amount) | $2,961 |
| Written equity option contracts (contract amount) | $1,481 |
| Futures contracts (number of contracts) | 100 |
| Forward currency contracts (contract amount) | $890,000 |
| Centrally cleared interest rate swap contracts (notional) | $5,200,000 |
| Centrally cleared credit default contracts (notional) | $4,900,000 |
| 74 Multi-Asset Income Fund |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| Fair value of derivative instruments as of the close of the reporting period | ||||
| ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Receivables, Net | ||||
| assets - Unrealized | ||||
| Credit contracts | appreciation | $58,601* | Payables | $- |
| Foreign exchange | ||||
| contracts | Receivables | 1,045 | Payables | 2,110 |
| Investments, | ||||
| Receivables, Net | ||||
| assets - Unrealized | ||||
| Equity contracts | appreciation | 356,846* | Payables | 32,013 |
| Receivables, Net | ||||
| assets - Unrealized | Payables, Net assets - | |||
| Interest rate contracts | appreciation | 18,078* | Unrealized depreciation | 28,285* |
| Total | $434,570 | $62,408 |
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund's portfolio. Only current day's variation margin is reported within the Statement of assets and liabilities.
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
| Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | ||||
| Derivatives not | ||||
| accounted for as | Forward | |||
| hedging instruments | currency | |||
| under ASC 815 | Futures | contracts | Swaps | Total |
| Credit contracts | $- | $- | $487,842 | $487,842 |
| Foreign exchange | ||||
| contracts | - | 7,747 | - | $7,747 |
| Equity contracts | 91,553 | - | - | $91,553 |
| Interest rate contracts | 259,592 | - | (2,908) | $256,684 |
| Total | $351,145 | $7,747 | $484,934 | $843,826 |
| Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | |||||
| on investments | |||||
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
| Credit contracts | $- | $- | $- | $(281,560) | $(281,560) |
| Foreign exchange contracts | - | - | (2,447) | - | $(2,447) |
| Equity contracts | (405,733) | 425,486 | - | - | $19,753 |
| Interest rate contracts | - | 25,999 | - | 3,725 | $29,724 |
| Total | $(405,733) | $451,485 | $(2,447) | $(277,835) | $(234,530) |
| Multi-Asset Income Fund 75 |
Note 10: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Morgan Stanley & Co. International PLC | State Street Bank and Trust Co. | UBS AG | Total | |
| Assets: | |||||||||
| Centrally cleared interest rate swap contracts§ | $4,657 | $- | $- | $- | $- | $- | $- | $- | $4,657 |
| Centrally cleared credit default contracts§ | 1,232 | - | - | - | - | - | - | - | 1,232 |
| Futures contracts§ | - | 21,874 | - | - | 9,491 | - | - | - | 31,365 |
| Forward currency contracts# | - | - | - | - | - | 297 | 318 | 430 | 1,045 |
| Purchased options**# | - | - | 148,219 | - | - | - | - | - | 148,219 |
| Total Assets | $5,889 | $21,874 | $148,219 | $- | $9,491 | $297 | $318 | $430 | $186,518 |
| Liabilities: | |||||||||
| Centrally cleared interest rate swap contracts§ | $2,569 | $- | $- | $- | $- | $- | $- | $- | $2,569 |
| Centrally cleared credit default contracts§ | - | - | - | - | - | - | - | - | - |
| Futures contracts§ | - | - | - | - | 359 | - | - | - | 359 |
| Forward currency contracts# | - | - | - | 2,110 | - | - | - | - | 2,110 |
| Written options# | - | - | 32,013 | - | - | - | - | - | 32,013 |
| Total Liabilities | $2,569 | $- | $32,013 | $2,110 | $359 | $- | $- | $- | $37,051 |
| Total Financial and Derivative Net Assets | $3,320 | $21,874 | $116,206 | $(2,110) | $9,132 | $297 | $318 | $430 | $149,467 |
| Total collateral received (pledged)†## | $- | $- | $116,206 | $- | $- | $- | $- | $- | |
| Net amount | $3,320 | $21,874 | $- | $(2,110) | $9,132 | $297 | $318 | $430 | |
| Controlled collateral received (including TBA commitments)** | $- | $- | $130,000 | $- | $- | $- | $- | $- | $130,000 |
| Uncontrolled collateral received | $- | $- | $- | $- | $- | $- | $- | $- | $- |
| Collateral (pledged) (including TBA commitments)** | $- | $- | $- | $- | $- | $- | $- | $- | $- |
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day's variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $428,920 and $101,749, respectively.
| 76 Multi-Asset Income Fund | Multi-Asset Income Fund 77 |
Shareholder meeting results (Unaudited)
November 17, 2023 special meeting
At the meeting, a new Management Contract for your fund with Putnam Investment Management, LLC was approved, as follows:
| Votes for | Votes against | Abstentions/Votes withheld |
| 11,575,049 | 298,630 | 660,324 |
At the meeting, a new Sub-Management Contract for your fund between Putnam Investment Management, LLC and Putnam Investments Limited was approved, as follows:
| Votes for | Votes against | Abstentions/Votes withheld |
| 11,571,800 | 304,622 | 657,582 |
At the meeting, a new Sub-Advisory Contract for your fund between Putnam Investment Management, LLC, Putnam Investments Limited and The Putnam Advisory Company, LLC was approved, as follows:
| Votes for | Votes against | Abstentions/Votes withheld |
| 11,523,048 | 351,402 | 659,554 |
All tabulations are rounded to the nearest whole number.
| 78 Multi-Asset Income Fund |
Fund information
| Investment Manager | Trustees | Jonathan S. Horwitz |
| Putnam Investment | Kenneth R. Leibler, Chair | Executive Vice President, |
| Management, LLC | Barbara M. Baumann, Vice Chair | Principal Executive Officer, |
| 100 Federal Street | Liaquat Ahamed | and Compliance Liaison |
| Boston, MA 02110 | Katinka Domotorffy | |
| Catharine Bond Hill | Kelley Hunt | |
| Investment Sub-Advisors | Jennifer Williams Murphy | AML Compliance Officer |
| Putnam Investments Limited | Marie Pillai | |
| 16 St James's Street | George Putnam III | Martin Lemaire |
| London, England SW1A 1ER | Robert L. Reynolds | Vice President and |
| Manoj P. Singh | Derivatives Risk Manager | |
| The Putnam Advisory Company, LLC | Mona K. Sutphen | |
| 100 Federal Street | Jane E. Trust | Alan G. McCormack |
| Boston, MA 02110 | Vice President and | |
| Officers | Derivatives Risk Manager | |
| Marketing Services | Robert L. Reynolds | |
| Putnam Retail Management | President, The Putnam Funds | Denere P. Poulack |
| Limited Partnership | Assistant Vice President, | |
| 100 Federal Street | Kevin R. Blatchford | Assistant Clerk, and |
| Boston, MA 02110 | Vice President and | Assistant Treasurer |
| Assistant Treasurer | ||
| Custodian | Janet C. Smith | |
| State Street Bank | James F. Clark | Vice President, |
| and Trust Company | Vice President and | Principal Financial Officer, |
| Chief Compliance Officer | Principal Accounting Officer, | |
| Legal Counsel | and Assistant Treasurer | |
| Ropes & Gray LLP | Michael J. Higgins | |
| Vice President, Treasurer, | Stephen J. Tate | |
| and Clerk | Vice President and | |
| Chief Legal Officer |
This report is for the information of shareholders of Putnam Multi-Asset Income Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of the fund's Quarterly Performance Summary, and the fund's Quarterly Ranking Summary. For more recent performance, please visit putnam.com or franklintempleton.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund's Statement of Additional Information contains additional information about the fund's Trustees and is available without charge upon request by calling 1-800-225-1581.
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| Item 2. Code of Ethics: |
| Not applicable |
| Item 3. Audit Committee Financial Expert: |
| Not applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not applicable |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
| Item 6. Schedule of Investments: |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
| Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
| Item 11. Controls and Procedures: |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
| (b) Changes in internal control over financial reporting: Not applicable |
| Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
| Not Applicable |
| Item 13. Recovery of Erroneously Awarded Compensation. |
| Not Applicable |
| Item 14. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) Not applicable |
| (a)(3) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| SIGNATURES |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| Putnam Asset Allocation Funds |
| By (Signature and Title): |
|
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: April 25, 2024 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By (Signature and Title): |
|
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
| Date: April 25, 2024 |
| By (Signature and Title): |
|
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: April 25, 2024 |