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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05635)
Exact name of registrant as specified in charter: Putnam Diversified Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2013
Date of reporting period: June 30, 2013



Item 1. Schedule of Investments:













Putnam Diversified Income Trust

The fund's portfolio
6/30/13 (Unaudited)
MORTGAGE-BACKED SECURITIES (44.1%) (a)
Principal amount Value
Agency collateralized mortgage obligations (16.6%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.83s, 2032 $1,073,514 $1,688,198
     IFB Ser. 3408, Class EK, 25.019s, 2037 595,195 875,185
     IFB Ser. 2979, Class AS, 23.568s, 2034 273,772 361,152
     IFB Ser. 3727, Class PS, IO, 6.508s, 2038 16,515,055 1,672,366
     IFB Ser. 3998, Class KS, IO, 6.508s, 2027 25,160,436 3,915,593
     IFB Ser. 3895, Class SM, IO, 6.458s, 2040 12,270,227 1,909,575
     IFB Ser. 4048, Class GS, IO, 6.458s, 2040 20,662,689 3,929,837
     IFB Ser. 3860, Class SP, IO, 6.408s, 2040 34,683,583 5,121,378
     IFB Ser. 3861, Class PS, IO, 6.408s, 2037 14,985,968 2,254,639
     IFB Ser. 4032, Class SA, IO, 6.308s, 2042 16,505,552 2,775,355
     IFB Ser. 4125, Class SH, IO, 5.958s, 2042 18,556,625 3,142,008
     IFB Ser. 4105, Class LS, IO, 5.958s, 2041 18,795,867 3,641,887
     Ser. 3687, Class CI, IO, 5s, 2038 22,432,074 2,698,803
     Ser. 3632, Class CI, IO, 5s, 2038 5,368,610 387,882
     Ser. 3626, Class DI, IO, 5s, 2037 2,339,832 65,796
     Ser. 304, Class C27, IO, 4 1/2s, 2042 40,301,960 6,993,196
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 28,817,326 4,385,997
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 39,418,793 5,790,621
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 59,120,183 8,826,643
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 62,758,566 10,041,496
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 8,078,564 859,913
     Ser. 308, Class S1, 4s, 2043 (FWC) 46,341,704 10,484,347
     Ser. 3748, Class NI, IO, 4s, 2034 1,115,538 38,085
     Ser. 3740, Class KI, IO, 4s, 2033 8,759,251 69,110
     Ser. 4220, Class IE, IO, 4s, 2028 (F) 29,838,931 3,419,301
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 15,679,793 2,425,350
     Ser. 4210, Class PI, IO, 3s, 2041 32,668,368 3,818,116
     Ser. T-56, Class A, IO, 0.524s, 2043 278,414 4,807
     Ser. T-57, Class 1AX, IO, 0.004s, 2043 18,740,466 220,402
     Ser. T-56, Class 1, IO, zero %, 2043 326,898 2,452
     Ser. T-56, Class 2, IO, zero %, 2043 307,339 960
     Ser. T-56, Class 3, IO, zero %, 2043 9,689,515 127,175
     Ser. 4077, Class TO, PO, zero %, 2041 40,820,991 32,193,474
     Ser. 3314, PO, zero %, 2036 192,859 178,643
     Ser. 1208, Class F, PO, zero %, 2022 93,300 86,707
     FRB Ser. 3326, Class WF, zero %, 2035 98,211 95,261
Federal National Mortgage Association
     IFB Ser. 06-8, Class HP, 23.859s, 2036 1,546,413 2,520,978
     IFB Ser. 05-45, Class DA, 23.712s, 2035 3,212,953 4,939,703
     IFB Ser. 05-83, Class QP, 16.892s, 2034 499,152 658,911
     Ser. 98-T2, Class A4, IO, 6 1/2s, 2036 96,634 16,228
     IFB Ser. 12-88, Class SB, IO, 6.477s, 2042 38,960,663 5,974,618
     IFB Ser. 10-99, Class NS, IO, 6.407s, 2039 25,993,954 3,298,113
     IFB Ser. 12-132, Class SB, IO, 6.007s, 2042 59,214,876 8,291,859
     IFB Ser. 09-100, Class SA, IO, 6.007s, 2039 9,023,711 783,935
     IFB Ser. 13-18, Class SB, IO, 5.957s, 2041 30,128,277 5,402,000
     IFB Ser. 12-105, Class S, IO, 5.857s, 2042 11,511,786 2,043,342
     IFB Ser. 10-46, Class WS, IO, 5.557s, 2040 47,302,839 5,839,535
     Ser. 399, Class 2, IO, 5 1/2s, 2039 181,240 18,966
     Ser. 374, Class 6, IO, 5 1/2s, 2036 6,817,666 936,475
     Ser. 12-132, Class PI, IO, 5s, 2042 57,707,727 10,410,474
     Ser. 398, Class C5, IO, 5s, 2039 4,226,051 435,283
     Ser. 10-13, Class EI, IO, 5s, 2038 2,466,265 98,249
     Ser. 378, Class 19, IO, 5s, 2035 6,234,967 872,908
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 39,851,616 6,650,438
     Ser. 409, Class 81, IO, 4 1/2s, 2040 42,334,137 7,520,510
     Ser. 404, Class 2, IO, 4 1/2s, 2040 411,803 72,403
     Ser. 366, Class 22, IO, 4 1/2s, 2035 6,021,877 483,978
     Ser. 13-44, Class PI, IO, 4s, 2043 26,278,421 4,418,059
     Ser. 13-60, Class IP, IO, 4s, 2042 21,272,832 3,762,611
     Ser. 12-96, Class PI, IO, 4s, 2041 9,550,800 1,492,981
     Ser. 406, Class 2, IO, 4s, 2041 40,285,313 6,735,704
     Ser. 406, Class 1, IO, 4s, 2041 27,486,552 4,793,655
     Ser. 409, Class C16, IO, 4s, 2040 26,669,908 4,448,353
     Ser. 405, Class 2, IO, 4s, 2040 435,653 76,784
     Ser. 13-70, Class CI, IO, 3 1/2s, 2043 25,175,142 3,335,706
     Ser. 13-13, Class PI, IO, 3 1/2s, 2042 22,935,345 3,997,631
     Ser. 12-148, Class CI, IO, 3s, 2042 13,311,030 1,586,542
     Ser. 13-35, Class IP, IO, 3s, 2042 23,894,405 2,979,334
     Ser. 13-53, Class JI, IO, 3s, 2041 39,150,145 5,774,646
     Ser. 13-30, Class IP, IO, 3s, 2041 42,176,955 4,970,976
     Ser. 03-W10, Class 1, IO, 1.261s, 2043 8,892,594 341,114
     Ser. 00-T6, IO, 0.747s, 2030 9,695,119 206,021
     Ser. 01-T1, Class 1, IO, 0.731s, 2040 1,125,162 23,874
     Ser. 01-50, Class B1, IO, 0.4s, 2041 484,373 4,844
     Ser. 02-W8, Class 1, IO, 0.329s, 2042 13,507,525 160,402
     Ser. 99-51, Class N, PO, zero %, 2029 137,589 131,756
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.884s, 2041 78,421,210 81,844,296
     IFB Ser. 10-151, Class SL, IO, 6.508s, 2039 21,819,523 3,561,383
     IFB Ser. 11-51, Class DS, IO, 6.458s, 2041 30,741,419 5,110,699
     IFB Ser. 10-163, Class SI, IO, 6.437s, 2037 28,549,555 4,068,312
     IFB Ser. 11-3, Class SG, IO, 6.358s, 2041 7,914,791 1,435,506
     IFB Ser. 10-35, Class CS, IO, 6.278s, 2040 38,192,572 6,874,739
     IFB Ser. 10-67, Class SE, IO, 6.258s, 2040 17,932,803 3,098,609
     IFB Ser. 13-91, Class SP, IO, 6.108s, 2042 52,306,780 9,970,718
     IFB Ser. 12-149, Class LS, IO, 6.058s, 2042 34,510,596 5,381,496
     IFB Ser. 10-26, Class QS, IO, 6.058s, 2040 13,095,938 2,374,228
     IFB Ser. 13-87, Class SA, IO, 6.008s, 2043 43,889,000 6,802,795
     IFB Ser. 10-20, Class SC, IO, 5.958s, 2040 24,162,762 3,972,841
     IFB Ser. 12-77, Class MS, IO, 5.908s, 2042 27,976,392 6,943,740
     IFB Ser. 11-128, Class TS, IO, 5.858s, 2041 21,191,290 4,339,976
     IFB Ser. 10-158, Class SA, IO, 5.858s, 2040 14,352,775 2,363,615
     IFB Ser. 10-151, Class SA, 5.858s, 2040 14,260,094 2,350,064
     IFB Ser. 10-61, Class SJ, IO, 5.858s, 2040 20,611,799 2,932,853
     IFB Ser. 11-70, Class SM, IO, 5.698s, 2041 32,221,000 7,925,399
     IFB Ser. 11-70, Class SH, IO, 5.698s, 2041 33,097,000 8,152,453
     IFB Ser. 10-68, Class MS, IO, 5.658s, 2040 23,632,552 3,370,002
     IFB Ser. 10-43, Class KS, IO, 5.558s, 2040 27,921,610 3,833,637
     IFB Ser. 10-31, Class SA, IO, 5.558s, 2040 37,266,896 5,656,034
     IFB Ser. 10-37, Class SG, IO, 5.508s, 2040 19,271,054 2,904,919
     IFB Ser. 10-115, Class BS, IO, 5.208s, 2040 29,478,790 4,180,387
     Ser. 13-3, Class IT, IO, 5s, 2043 19,974,948 3,657,899
     Ser. 13-6, Class IC, IO, 5s, 2043 17,537,227 3,217,029
     Ser. 12-146, Class IO, IO, 5s, 2042 37,440,523 6,333,064
     Ser. 13-6, Class CI, IO, 5s, 2042 12,318,293 2,463,905
     Ser. 10-35, Class UI, IO, 5s, 2040 21,714,777 4,054,529
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 59,048,674 10,585,242
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 9,687,048 1,858,848
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 30,120,678 5,810,279
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 26,593,661 3,188,314
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 87,662,271 16,739,696
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 25,253,574 3,410,495
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 36,076,227 4,821,949
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 12,983,957 1,427,716
     Ser. 13-38, Class LI, IO, 4s, 2043 44,644,684 9,078,497
     Ser. 12-56, Class IB, IO, 4s, 2042 17,955,121 3,224,223
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 97,004,723 15,853,482
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 29,361,082 4,330,760
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 52,629,687 8,260,756
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 39,559,274 6,345,307
     Ser. 12-48, Class AI, IO, 3 1/2s, 2036 27,934,976 5,075,506
     Ser. 13-79, Class KI, IO, 3s, 2042 28,495,286 4,075,966
     Ser. 11-70, PO, zero %, 2041 61,322,563 48,331,378
     Ser. 06-36, Class OD, PO, zero %, 2036 37,580 35,200
     Ser. 06-64, PO, zero %, 2034 137,874 135,222
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 5.987s, 2045 127,987,283 22,397,775
Structured Asset Securities Corp. 144A Ser. 98-RF3, Class A, IO, 6.1s, 2028 513,752 84,769
625,258,116
Commercial mortgage-backed securities (14.6%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 14,900,000 14,871,958
     Ser. 06-1, Class B, 5.49s, 2045 4,164,000 3,774,545
     FRB Ser. 05-6, Class B, 5.358s, 2047 7,000,000 7,388,045
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 119,219 104,913
     Ser. 01-1, Class K, 6 1/8s, 2036 2,460,971 1,068,337
     Ser. 07-5, Class XW, IO, 0.532s, 2051 198,026,597 2,173,144
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-T28, Class AJ, 6.151s, 2042 (F) 1,943,000 2,160,845
     FRB Ser. 07-PW17, Class AJ, 6.083s, 2050 4,999,000 4,749,050
     FRB Ser. 06-PW12, Class AJ, 5.941s, 2038 5,354,000 5,340,545
     Ser. 06-PW13, Class AJ, 5.611s, 2041 9,500,000 9,254,767
     FRB Ser. 06-PW11, Class AJ, 5.611s, 2039 1,131,000 1,175,710
     Ser. 05-PWR7, Class D, 5.304s, 2041 (F) 4,190,000 3,875,267
     Ser. 05-PWR7, Class C, 5.235s, 2041 4,945,000 4,449,984
     Ser. 05-PWR7, Class B, 5.214s, 2041 7,239,000 7,417,857
     Ser. 05-PWR9, Class C, 5.055s, 2042 (F) 3,745,000 3,557,425
     Ser. 05-PWR9, Class AJ, 4.985s, 2042 (F) 1,723,000 1,784,691
Bear Stearns Commercial Mortgage Securities, Inc. 144A FRB Ser. 06-PW11, Class C, 5.611s, 2039 (F) 3,536,000 3,402,946
Citigroup Commercial Mortgage Trust
     Ser. 06-C5, Class AJ, 5.482s, 2049 7,097,000 6,605,022
     FRB Ser. 05-C3, Class B, 5.029s, 2043 (F) 16,007,000 14,962,415
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.323s, 2044 8,486,000 8,114,738
     Ser. 07-CD5, Class XS, IO, 0.065s, 2044 131,773,863 574,473
Comm Mortgage Trust 144A FRB Ser. 13-LC6, Class D, 4.434s, 2046 11,875,000 9,893,748
Commercial Mortgage Trust Ser. 07-C9, Class AJ, 5.65s, 2049 (F) 2,860,000 3,115,542
Commercial Mortgage Trust 144A
     FRB Ser. 13-CR6, Class D, 4.316s, 2046 7,779,000 6,896,048
     FRB Ser. 13-CR8, Class D, 3.971s, 2046 7,568,000 5,888,664
     FRB Ser. 07-C9, Class AJFL, 0.883s, 2049 (F) 19,859,000 17,277,712
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT2A, Class E, 1.55s, 2014 (Ireland) GBP 668,645 905,108
     FRB Ser. 05-CT1A, Class D, 1.55s, 2014 (Ireland) GBP 2,491,896 3,183,640
Credit Suisse First Boston Commercial Mortgage Trust
     Ser. 05-C5, Class C, 5.1s, 2038 $4,077,000 4,173,902
     Ser. 05-C5, Class F, 5.1s, 2038 4,760,000 4,593,400
Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, IO, 0.29s, 2039 (F) 242,220,581 4,255,833
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 4,261,044 174,703
CS First Boston Mortgage Securities Corp. 144A
     Ser. 02-CP5, Class H, 6.326s, 2035 9,440,000 9,344,373
     Ser. 02-CP5, Class M, 5 1/4s, 2035 2,451,354 146,591
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.626s, 2044 8,539,000 8,174,390
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 2,235,111 2,235,111
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.073s, 2020 13,557,191 271,144
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 3,121,100 1,891,193
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 2.193s, 2037 (Cayman Islands) 169,415 166,874
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.471s, 2045 2,912,000 2,737,280
     FRB Ser. 06-C1, Class AJ, 5.47s, 2044 (F) 2,693,000 2,724,035
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 4,022,000 3,453,893
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 15,974,000 15,755,795
Greenwich Capital Commercial Funding Corp. 144A FRB Ser. 03-C1, Class J, 5.363s, 2035 (F) 13,755,000 14,008,080
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 (F) 7,032,000 7,153,959
GS Mortgage Securities Trust 144A
     FRB Ser. 11-GC3, Class D, 5.728s, 2044 3,919,000 3,851,867
     Ser. 05-GG4, Class XC, IO, 0.924s, 2039 357,721,887 3,934,941
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.193s, 2030 (Cayman Islands) 2,622,218 1,665,108
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.275s, 2051 (F) 16,694,000 17,252,430
     FRB Ser. 06-LDP7, Class AJ, 6.056s, 2045 8,605,000 8,619,276
     FRB Ser. 06-LDP7, Class B, 6.056s, 2045 9,729,000 8,036,409
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 (F) 14,869,000 15,721,595
     FRB Ser. 05-LDP3, Class D, 5.366s, 2042 7,091,000 6,489,683
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 2,344,000 2,319,205
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 13,871,000 12,350,059
     FRB Ser. 04-C3, Class C, 4.981s, 2042 4,777,000 4,585,920
     FRB Ser. 05-LDP2, Class C, 4.911s, 2042 3,650,000 3,474,435
     FRB Ser. 13-C10, Class D, 4.3s, 2047 6,108,000 4,893,469
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 07-CB20, Class C, 6 3/8s, 2051 7,955,000 7,330,533
     FRB Ser. 11-C3, Class E, 5.725s, 2046 (F) 6,889,000 7,407,323
     FRB Ser. 12-LC9, Class E, 4.575s, 2047 10,737,000 8,865,051
     Ser. 07-CB20, Class X1, IO, 0.196s, 2051 257,488,559 2,376,619
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 8,260,023 8,342,623
     Ser. 98-C4, Class J, 5.6s, 2035 3,535,000 3,828,405
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 (F) 5,227,000 5,043,343
     Ser. 06-C6, Class E, 5.541s, 2039 (F) 9,358,000 8,461,707
     FRB Ser. 06-C6, Class C, 5.482s, 2039 4,186,000 3,871,631
     Ser. 06-C1, Class AJ, 5.276s, 2041 (F) 3,523,000 3,583,484
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.388s, 2028 454,691 45
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.441s, 2051 (F) 4,285,000 4,454,651
     FRB Ser. 07-C1, Class A2, 5.934s, 2050 912,882 928,128
     FRB Ser. 05-CIP1, Class B, 5.357s, 2038 5,395,000 5,017,350
     Ser. 04-KEY2, Class D, 5.046s, 2039 4,390,000 4,247,325
     Ser. 05-MCP1, Class D, 5.023s, 2043 (F) 4,029,000 4,021,844
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049 (F) 5,301,000 5,193,782
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.965s, 2037 2,337,425 108,223
     Ser. 07-C5, Class X, IO, 5.896s, 2049 7,475,169 186,879
Morgan Stanley/Bank of America/Merrill Lynch Trust 144A
     Ser. 13-C10, Class D, 4.219s, 2046 9,166,000 7,415,477
     Ser. 13-C8, Class D, 4.312s, 2048 6,644,000 5,778,287
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 11,183,721 10,736,372
Morgan Stanley Capital I Trust
     FRB Ser. 06-HQ8, Class D, 5.677s, 2044 (F) 4,821,000 4,458,846
     Ser. 07-HQ11, Class C, 5.558s, 2044 (F) 4,619,000 4,231,327
Morgan Stanley Capital I Trust 144A FRB Ser. 04-HQ3, Class K , 6.082s, 2041 4,654,000 4,723,810
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, 3.273s, 2038 2,016,779 1,754,598
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 1,590,000 1,192,500
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 4,276,147 641,422
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C3, Class D, 5.123s, 2049 3,764,000 3,483,487
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.217s, 2045 (F) 23,191,000 23,699,558
     FRB Ser. 07-C34, Class AJ, 6.166s, 2046 5,606,000 5,324,018
     FRB Ser. 06-C25, Class AJ, 5.919s, 2043 5,419,000 5,584,280
     Ser. 06-C24, Class AJ, 5.658s, 2045 5,277,000 5,344,546
     FRB Ser. 05-C20, Class B, 5.415s, 2042 15,494,522 16,025,333
     FRB Ser. 05-C21, Class D, 5.414s, 2044 24,100,000 24,714,767
     Ser. 07-C34, IO, 0.502s, 2046 69,910,114 845,912
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 12-C6, Class D, 5.748s, 2045 5,394,000 5,063,618
     FRB Ser. 13-C11, Class D, 4.325s, 2045 3,820,000 3,177,763
     FRB Ser. 13-C14, Class D, 4.003s, 2046 5,000,000 3,913,350
549,800,309
Residential mortgage-backed securities (non-agency) (12.9%)
Adjustable Rate Mortgage Trust FRB Ser. 06-2, Class 1A1, 2.704s, 2036 9,264,770 8,106,674
Banc of America Funding Corp.
     Ser. 06-2, Class 2A2, 6 1/4s, 2036 4,190,000 4,221,425
     Ser. 06-2, Class 2A13, 6s, 2036 6,430,302 6,494,605
     FRB Ser. 06-G, Class 2A5, 0.472s, 2036 4,596,081 3,987,100
Banc of America Mortgage Securities Ser. 05-11, Class 1A10, 6s, 2035 5,800,000 5,568,000
Barclays Capital, LLC Trust
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 1,915,444 1,110,958
     Ser. 13-RR1, Class 3A3, 15.491s, 2037 3,176,803 2,636,746
     Ser. 13-RR1, Class 2A4, 10.827s, 2036 4,952,337 4,915,194
     Ser. 13-RR1, Class 9A4, 10.451s, 2036 2,377,000 2,388,885
     Ser. 13-RR1, Class 3A2, 4s, 2037 3,209,328 3,241,421
     Ser. 13-RR1, Class 4A2, 4s, 2037 3,438,536 3,429,940
     Ser. 12-RR10, Class 8A2, 4s, 2036 4,030,376 4,010,224
     Ser. 13-RR1, Class 1A2, 2.859s, 2035 5,838,493 4,232,908
     FRB Ser. 12-RR10, Class 9A2, 2.674s, 2035 9,361,295 7,676,262
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR12, Class 2A3, 13.88s, 2035 3,225,153 2,999,392
     FRB Ser. 12-RR11, Class 5A3, 12.607s, 2037 1,593,679 940,271
     FRB Ser. 13-RR2, Class 3A2, 9.049s, 2036 3,193,000 3,001,420
     FRB Ser. 10-RR12, Class 6A1, 5.998s, 2037 10,531,236 11,005,142
     Ser. 12-RR11, Class 9A2, 4s, 2037 8,614,669 8,593,132
     Ser. 12-RR12, Class 3A2, 4s, 2037 5,337,047 5,310,362
     Ser. 12-RR11, Class 4A2, 4s, 2037 5,044,769 5,032,157
     Ser. 12-RR12, Class 1A2, 4s, 2037 2,187,269 2,181,800
     Ser. 12-RR11, Class 3A2, 4s, 2036 1,761,517 1,757,114
     Ser. 12-RR12, Class 2A2, 4s, 2035 2,836,210 2,829,120
     FRB Ser. 12-RR11, Class 5A2, 4s, 2037 3,117,244 3,109,451
     FRB Ser. 09-RR6, Class 1A2, 2.47s, 2035 7,751,421 5,914,334
     Ser. 09-RR7, Class 1A7, IO, 1.779s, 2046 377,949,701 12,637,693
     Ser. 09-RR7, Class 2A7, IO, 1.604s, 2047 340,924,045 13,841,516
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 06-1, Class A1, 2.37s, 2036 3,762,884 3,593,555
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.068s, 2034 265,627 18,780
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-2, Class 3A2, 9.574s, 2037 6,434,161 6,046,825
     FRB Ser. 11-12, Class 2A2, 0.563s, 2035 8,520,000 6,730,800
Countrywide Alternative Loan Trust FRB Ser. 06-HY11, Class A1, 0.313s, 2036 7,981,864 5,527,441
Credit Suisse Commercial Mortgage Trust 144A
     FRB Ser. 08-4R, Class 3A4, 2.718s, 2038 6,487,000 5,416,645
     FRB Ser. 09-13R, Class 5A2, 0.973s, 2035 3,750,000 3,375,000
     FRB Ser. 08-4R, Class 1A4, 0.595s, 2037 5,000,000 3,400,000
DSLA Mortgage Loan Trust Ser. 04-AR2, Class X2, IO, PO, 2.484s, 2044 51,721,170 2,747,687
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.05s, 2043 (United Kingdom) GBP 2,706,624 4,042,539
     FRB Ser. 03-2, Class 2C1, 2.76s, 2043 (United Kingdom) EUR 7,263,000 9,283,710
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $47,073 46,061
Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, 7.45s, 2025 46,099 42,034
GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036 13,010,761 12,034,954
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.648s, 2035 4,000,000 3,662,800
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.858s, 2035 4,455,045 3,495,219
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.543s, 2035 8,379,955 6,829,664
Nomura Resecuritization Trust 144A FRB Ser. 11-2RA, Class 1A2, 5.195s, 2046 13,554,332 12,842,730
Residential Accredit Loans, Inc. Ser. 05-QR1, Class A, 6s, 2034 25,476,286 26,240,574
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 07-HY6, Class 2A1, 4.638s, 2037 22,337,564 18,149,271
     FRB Ser. 06-AR7, Class 3A1B, 2.47s, 2046 5,594,270 3,188,734
     FRB Ser. 04-AR14, Class B1, 2.436s, 2035 6,714,657 3,894,501
     Ser. 05-AR17, Class X, IO, PO, 1.645s, 2045 68,775,088 3,868,599
     Ser. 04-AR10, Class X, IO, PO, 1.628s, 2044 21,814,213 1,090,711
     Ser. 05-AR11, Class X, IO, PO, 1.526s, 2045 123,105,111 6,315,292
     Ser. 05-AR19, Class X, IO, PO, 1 1/2s, 2045 110,411,941 5,697,256
     FRB Ser. 06-AR1, Class 2A1B, 1.238s, 2046 16,657,482 13,784,066
     FRB Ser. 06-AR1, Class 2A1C, 1.238s, 2046 16,531,994 9,257,917
     FRB Ser. 06-AR3, Class A1B, 1.168s, 2046 11,306,001 7,970,731
     FRB Ser. 06-AR4, Class 1A1B, 1.108s, 2046 7,816,330 6,018,574
     Ser. 06-AR11, Class 2XPP, IO, PO, 0.911s, 2046 46,766,620 1,225,285
     FRB Ser. 05-AR19, Class A1C3, 0.693s, 2045 19,252,213 15,209,248
     FRB Ser. 05-AR13, Class A1C3, 0.683s, 2045 38,910,279 30,350,018
     FRB Ser. 05-AR17, Class A1C3, 0.673s, 2045 (F) 14,861,974 8,175,033
     FRB Ser. 05-AR8, Class 2AC2, 0.653s, 2045 11,956,898 9,326,380
     FRB Ser. 05-AR11, Class A1B2, 0.643s, 2045 7,104,044 6,180,518
     FRB Ser. 05-AR13, Class A1B2, 0.623s, 2045 8,807,012 7,618,065
     FRB Ser. 05-AR17, Class A1B2, 0.603s, 2045 1,848,364 1,534,142
     FRB Ser. 05-AR15, Class A1B2, 0.603s, 2045 10,105,500 8,387,565
     FRB Ser. 05-AR19, Class A1C4, 0.593s, 2045 7,204,998 5,529,836
     FRB Ser. 05-AR11, Class A1B3, 0.593s, 2045 13,762,839 12,111,299
     FRB Ser. 05-AR8, Class 2AC3, 0.583s, 2045 4,144,582 3,232,774
     FRB Ser. 05-AR1, Class A1B, 0.583s, 2045 6,457,653 5,359,852
     FRB Ser. 05-AR19, Class A1B3, 0.543s, 2045 3,855,133 3,315,414
     FRB Ser. 05-AR6, Class 2AB3, 0.463s, 2045 4,056,635 3,569,839
Wells Fargo Mortgage Backed Securities Trust
     Ser. 08-1, Class 4A1, 5 3/4s, 2038 8,944,156 9,100,679
     Ser. 07-12, Class A7, 5 1/2s, 2037 3,011,942 3,087,241
     Ser. 07-5, Class 1A1, 5 1/2s, 2037 13,206,120 13,668,334
     FRB Ser. 05-AR6, Class B1, 4.997s, 2035 5,040,197 4,586,523
487,353,961
Total mortgage-backed securities (cost $1,599,274,424) $1,662,412,386

CORPORATE BONDS AND NOTES (33.6%) (a)
Principal amount Value
Basic materials (2.3%)
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) $1,275,000 $1,512,929
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 1,290,000 1,225,500
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 1,050,000 1,039,500
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 1,871,000 1,852,290
Ashland, Inc. 144A sr. unsec. unsub. notes 3s, 2016 3,880,000 3,899,400
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 3,422,000 3,627,320
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 155,000 147,250
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 865,000 873,650
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 990,000 967,725
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 2,735,000 2,899,100
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 (Mexico) 2,360,000 2,495,700
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico) 955,000 1,040,950
Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico) 845,000 912,600
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 580,000 562,600
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 103,000 109,695
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 1,830,000 1,756,800
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 940,000 935,300
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 1,674,000 1,732,590
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 2,579,000 2,598,343
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 2,302,000 2,267,470
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 921,000 895,673
Grohe Holding GmbH 144A company company guaranty sr. FRN notes 4.209s, 2017 (Germany) EUR 2,148,000 2,793,119
HD Supply, Inc. company guaranty sr. unsec. sub. notes 10 1/2s, 2021 $814,000 840,455
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 2,984,000 3,461,440
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 1,400,000 1,417,500
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 1,980,000 1,975,050
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 1,725,000 1,759,500
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A company guaranty sr. notes 8 7/8s, 2018 424,000 432,480
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 2,841,000 3,117,998
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 1,100,000 1,196,250
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 1,655,000 1,634,313
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 591,000 499,395
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 1,205,000 1,274,288
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 375,000 354,375
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 2,472,000 2,774,820
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,614,000 1,759,260
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 2,025,000 2,275,505
LyondellBasell Industries NV sr. unsec. unsub. notes 5 3/4s, 2024 1,155,000 1,270,114
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 2,920,000 3,177,240
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 392,000 407,680
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 750,000 781,875
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 794,000 760,255
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 2,325,000 2,493,563
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 548,000 560,330
Orion Engineered Carbons Bondco GmbH 144A company guaranty sr. notes 9 5/8s, 2018 (Germany) 154,000 166,705
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 1,560,000 1,560,000
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 1,325,000 1,305,125
PQ Corp. 144A sr. notes 8 3/4s, 2018 1,255,000 1,283,238
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 435,000 470,888
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 1,304,000 1,323,560
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 1,264,000 1,335,100
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 1,065,000 1,033,050
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 675,000 680,489
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) 82,000 89,380
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 305,000 321,775
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 405,000 428,288
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 190,000 187,150
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 1,340,000 1,370,150
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 2,169,000 2,044,283
US Coatings Acquisition, Inc./Flash Dutch 2 BV 144A company guaranty sr. notes 5 3/4s, 2021 (Netherlands) EUR 320,000 418,610
USG Corp. sr. unsec. notes 9 3/4s, 2018 $1,317,000 1,494,795
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 1,105,000 1,085,663
86,967,439
Capital goods (2.1%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 2,595,000 2,646,900
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 4,031,000 4,494,565
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg) (PIK) EUR 835,146 1,150,519
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg) (PIK) $1,084,443 1,149,510
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 500,000 680,294
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 685,000 932,003
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) $250,000 265,625
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. notes 4 7/8s, 2022 (Ireland) 735,000 683,550
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland) 1,450,000 1,392,000
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 4,330,000 4,676,400
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 1,425,000 1,425,000
Ball Corp. company guaranty sr. unsec. notes 4s, 2023 350,000 322,875
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 1,194,000 1,298,475
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017 (PIK) 1,010,000 1,020,100
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 1,008,000 1,000,440
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 1,091,000 1,112,820
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 3,139,000 3,452,900
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 181,000 190,050
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 2,280,000 2,148,900
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 475,000 654,657
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 $1,390,000 1,424,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 1,875,000 1,959,375
Exide Technologies sr. notes 8 5/8s, 2018 (In default) (NON) 537,000 327,570
Gestamp Funding Luxemburg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg) 1,070,000 1,012,223
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 1,808,000 1,821,560
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 590,000 823,459
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $2,585,000 2,765,950
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 3,324,000 4,227,545
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 1,838,000 1,838,000
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 670,000 626,450
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 864,000 941,760
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 3,373,000 3,339,270
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 1,445,000 1,506,413
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 560,000 746,950
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) $2,425,000 2,528,063
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 1,325,000 1,444,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 965,000 972,238
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 885,000 949,163
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 3,375,000 3,484,688
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 680,000 673,200
Silver II Borrower/Silver II US Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 (Luxembourg) 1,160,000 1,165,800
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 2,190,000 2,343,300
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 1,830,000 1,958,100
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 415,000 423,300
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 1,980,000 2,009,700
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 2,259,000 2,434,073
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 2,171,000 2,284,978
TransDigm, Inc. 144A sr. unsec. sub. notes 7 1/2s, 2021 455,000 465,238
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021 1,395,000 1,388,025
78,582,974
Communication services (4.4%)
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 2,000,000 2,270,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 179,000 192,425
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 1,634,000 1,707,530
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 630,000 590,625
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 3,076,000 3,260,560
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 380,000 383,800
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 531,000 545,603
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 171,000 171,214
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 2,017,000 2,102,723
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 3,103,000 3,296,938
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 1,290,000 1,238,400
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 950,000 1,014,125
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 1,255,000 1,204,800
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 2,275,000 2,451,313
CyrusOne LP/CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 395,000 404,875
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 3,373,000 3,507,920
DISH DBS Corp. company guaranty notes 7 1/8s, 2016 1,370,000 1,483,025
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 2,657,000 2,823,063
DISH DBS Corp. 144A sr. unsec. notes 4 1/4s, 2018 2,615,000 2,562,700
Equinix, Inc. sr. unsec. notes 7s, 2021 1,840,000 1,996,400
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 620,000 708,350
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 4,695,000 5,164,500
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 475,000 475,000
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 1,949,000 2,065,940
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 3,202,000 3,402,125
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 4,928,000 5,125,120
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 1,949,000 2,046,450
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 770,000 746,900
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 1,761,000 1,818,233
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 5,097,000 5,147,970
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg) 2,470,000 2,488,525
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 1,560,000 2,162,520
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $1,699,000 1,834,920
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 2,993,000 3,187,545
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 515,000 540,750
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 183,000 182,543
Lynx I Corp. 144A sr. notes 6s, 2021 GBP 2,160,000 3,252,399
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 $386,000 414,950
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 4,456,000 4,745,640
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 2,255,000 2,294,463
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 1,960,000 1,994,300
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 (Mexico) 1,368,000 1,326,960
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 (Mexico) 353,000 298,285
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 (Mexico) 1,502,000 1,160,295
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 525,000 561,750
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 1,820,000 1,724,450
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 3,202,000 3,538,210
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 2,520,000 3,909,449
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $1,638,000 1,597,050
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 610,000 656,580
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 1,375,000 1,537,441
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 2,503,000 2,709,498
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 520,000 521,300
Sprint Capital Corp. company guaranty 6 7/8s, 2028 3,610,000 3,465,600
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 4,280,000 4,804,300
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 1,886,000 1,989,730
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 1,625,000 1,868,750
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 988,000 1,037,400
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 4,027,000 4,701,523
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 495,000 676,880
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 540,000 602,224
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 2,690,000 3,536,031
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) EUR 790,000 1,034,041
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 2,398,000 3,426,530
Unitymedia GmbH 144A sr. sub. notes 9 1/2s, 2021 (Germany) EUR 665,000 959,843
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 1,855,000 2,564,021
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 627,054 859,235
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 3,270,000 4,005,011
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 1,986,000 2,741,628
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $1,518,000 1,480,050
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 162,000 267,791
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 $1,026,000 1,096,538
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 2,430,000 2,527,200
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 3,647,000 3,874,938
Wind Acquisition Finance SA company guaranty sr. notes Ser. REGS, 7 3/8s, 2018 (Luxembourg) EUR 301,000 391,350
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 4,110,000 5,343,680
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) $1,135,000 1,143,513
Wind Acquisition Holdings Finance SA company guaranty sr. notes 12 1/4s, 2017 (Luxembourg) (PIK) EUR 1,422,328 1,962,455
Windstream Corp. company guaranty sr. unsec. notes 6 3/8s, 2023 $815,000 762,025
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 710,000 756,150
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 2,884,000 3,165,190
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 780,000 807,300
164,399,377
Consumer cyclicals (5.3%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 360,000 398,700
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 274,000 137,000
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 4,005,000 3,023,775
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 1,113,000 857,010
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 2,673,000 3,027,173
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 3,304,000 3,295,740
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 765,000 797,513
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 2,870,000 3,200,050
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 565,000 593,250
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 550,000 600,875
Beazer Homes USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2023 1,909,000 1,928,090
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 962,000 962,000
Bon-Ton Department Stores, Inc. (The) 144A notes 8s, 2021 485,000 492,881
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 600,000 625,500
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 2,065,000 2,080,488
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 1,015,000 1,001,975
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 1,185,000 1,264,988
Building Materials Corp. 144A sr. notes 7s, 2020 2,425,000 2,582,625
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 1,965,000 2,087,813
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 1,865,000 2,060,825
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018 (PIK) 580,000 594,500
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 1,411,000 846,600
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 1,061,000 1,104,766
Caesars Entertainment Operating Co., Inc. 144A company guaranty sr. notes 9s, 2020 5,399,000 5,156,045
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 855,000 931,950
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 945,000 907,200
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 774,000 746,910
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 735,000 775,425
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 2,148,000 2,370,855
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 680,000 737,800
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 245,000 235,200
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty notes 10 3/4s, 2017 (PIK) 4,530,625 4,893,075
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 4,178,000 3,969,100
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 1,221,000 1,184,370
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 1,328,000 1,374,480
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 1,272,000 1,240,200
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 1,678,000 1,640,245
FelCor Lodging LP company guaranty sr. notes 10s, 2014 (R) 1,487,000 1,605,960
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 (R) 3,355,000 3,505,975
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023 (R) 450,000 437,625
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 3,940,000 4,201,711
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 2,635,000 2,853,510
General Motors Financial Co., Inc. 144A sr. unsec. notes 4 1/4s, 2023 665,000 619,281
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 1,200,000 1,224,000
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 2,495,000 2,451,610
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico) $900,000 992,472
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) 775,000 876,045
Grupo Televisa, S.A.B sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 25,900,000 1,697,361
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 $2,197,000 2,342,551
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 485,000 515,313
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017 (PIK) 900,000 918,000
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 1,324,000 1,466,330
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 1,008,000 962,640
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 1,235,000 1,290,575
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 4,588,000 4,828,870
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 2,485,000 3,289,587
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019 (PIK) $700,000 719,250
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 485,000 531,075
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 1,060,000 1,144,800
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 2,755,000 2,989,175
L Brands, Inc. sr. notes 5 5/8s, 2022 855,000 865,688
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 580,000 595,950
Lear Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2023 1,815,000 1,724,250
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 1,875,000 1,992,188
Lennar Corp. 144A company guaranty sr. unsec. notes 5s, 2022 645,000 612,750
Lottomatica Group SpA sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 2,387,000 3,223,675
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 $1,000,000 1,085,000
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 883,000 1,005,566
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default) (NON) 1,765,000 105,900
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 1,420,000 1,530,050
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 1,370,000 1,342,600
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 2,555,000 2,791,338
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 915,000 979,050
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 1,160,000 1,200,600
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 1,120,000 1,212,400
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 360,000 370,800
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016 843,000 878,836
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 (PIK) 4,615,776 4,823,486
Navistar International Corp. sr. notes 8 1/4s, 2021 2,516,000 2,471,970
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 2,625,000 2,677,500
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018 (PIK) 365,000 372,300
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 800,000 824,000
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 337,000 362,275
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 900,000 850,500
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 2,343,000 2,542,155
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 1,625,000 1,738,750
Owens Corning company guaranty sr. unsec. notes 9s, 2019 679,000 835,170
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 2,466,000 2,700,270
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 1,510,000 1,540,200
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 1,280,000 1,376,000
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 (PIK) 665,000 671,650
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 695,000 733,225
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 1,771,000 1,948,100
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 740,000 710,400
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 970,000 909,375
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 503,000 543,240
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 1,270,000 1,285,875
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 3,139,000 3,358,730
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 1,705,000 1,815,825
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands) EUR 2,595,000 3,749,336
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Netherlands) $260,000 291,850
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) 1,055,000 1,002,250
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 665,000 638,400
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 670,000 670,000
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 200,000 194,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 1,185,000 1,143,525
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 90,000 95,400
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 115,000 121,038
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 1,125,000 1,185,469
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 350,000 338,625
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 675,000 641,250
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 362,000 381,910
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 1,400,000 1,454,250
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 2,378,000 2,211,540
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016 (PIK) 2,324,050 2,376,341
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 4,975,000 5,634,188
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 475,000 473,813
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 270,000 356,141
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 $1,584,000 1,683,000
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 2,324,000 2,515,730
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 1,500,000 1,575,000
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 7 5/8s, 2018 3,384,000 3,688,560
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016 (PIK) 4,720,000 4,849,800
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 3,353,000 3,541,606
198,611,367
Consumer staples (1.9%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 16,800,000 7,594,878
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 $520,000 565,500
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A sr. unsec. notes 5 1/2s, 2023 710,000 685,150
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 970,000 926,350
Barry Callebaut Services NV 144A company guaranty sr. unsec. notes 5 1/2s, 2023 (Belgium) 630,000 625,703
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 1,492,000 1,663,580
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 3,612,000 3,792,600
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 475,000 464,313
Claire's Stores, Inc. 144A sr. notes 9s, 2019 2,170,000 2,387,000
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 470,000 440,625
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,401,000 2,728,136
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 885,000 949,163
Corrections Corp. of America 144A sr. unsec. notes 4 5/8s, 2023 (R) 480,000 470,400
Corrections Corp. of America 144A sr. unsec. notes 4 1/8s, 2020 (R) 380,000 371,450
Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 212,000 239,560
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 2,498,000 2,716,575
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 4,296,000 4,768,560
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 2,115,000 2,263,050
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 1,688,000 2,518,121
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $1,220,000 1,110,797
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 2,780,000 2,658,375
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 800,000 858,000
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 280,000 292,250
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 280,000 288,400
Hertz Holdings Netherlands BV sr. bonds Ser. REGS, 8 1/2s, 2015 (Netherlands) EUR 1,000,000 1,358,115
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 2,129,000 2,891,427
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) $680,000 712,300
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 3,515,000 3,541,363
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 955,000 988,425
Landry's Inc. 144A sr. unsec. notes 9 3/8s, 2020 475,000 497,563
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 1,645,000 1,723,138
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 910,000 973,700
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 2,730,000 2,907,450
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 2,180,000 2,125,500
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 3,845,000 4,243,919
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 595,000 658,963
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 1,405,000 1,503,350
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 3,360,000 3,679,200
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 1,987,000 2,150,928
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 920,000 979,800
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 653,000 684,018
72,997,695
Energy (6.6%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 1,947,000 1,976,205
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 2,887,000 2,677,693
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 765,000 774,563
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 605,000 482,488
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 2,010,000 1,613,025
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 3,610,000 4,056,414
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 1,992,000 1,982,040
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 570,000 571,425
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 520,000 539,500
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 1,560,000 1,641,900
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 3,906,000 4,179,420
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 1,640,000 1,820,400
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 260,000 273,650
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 565,000 766,232
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $4,650,000 5,138,250
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 475,000 480,938
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 3,280,000 3,493,200
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 1,035,000 1,024,650
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 896,000 887,040
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 2,355,000 1,265,166
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $827,000 471,390
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,829,000 1,915,878
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 7,000,000 7,367,500
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 3,415,000 3,474,763
Continental Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 720,000 700,200
Continental Resources, Inc./OK company guaranty sr. unsec. unsub. notes 7 1/8s, 2021 788,000 866,800
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 4,722,000 5,005,320
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 7 1/8s, 2022 650,000 661,375
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 7 1/8s, 2021 970,000 950,600
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 3,793,000 4,096,440
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 4,962,000 4,639,470
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 1,264,000 1,267,160
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 2,205,000 2,171,925
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 1,839,000 1,907,963
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 1,810,000 1,930,275
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 1,280,000 1,369,600
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 3,305,000 4,029,820
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 740,000 857,978
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 4,000,000 3,940,000
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 2,883,000 2,919,038
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 4,153,000 4,028,410
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 175,000 185,938
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 795,000 795,000
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 970,000 999,100
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 1,492,000 1,432,320
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 540,000 585,900
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 655,000 687,750
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 2,918,000 3,209,800
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2019 2,500,000 2,381,250
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 813,000 585,360
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 6 1/8s, 2020 (Russia) 5,000,000 5,262,500
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 4.563s, 2023 (Russia) 1,700,000 1,581,595
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 2,380,000 2,588,250
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 1,624,000 1,609,790
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 901,000 873,970
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 3,725,000 3,688,383
Neon Capital, Ltd. 144A limited recourse notes Ser. 97, 1.105s, 2013 (Cayman Islands) (F) (g) 2,649,208 308,080
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 750,000 748,125
Newfield Exploration Co. sr. unsec. sub. notes 6 7/8s, 2020 1,000,000 1,030,000
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 2,385,000 2,408,850
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 1,045,000 1,086,800
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 2,250,000 2,342,145
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 1,425,000 1,400,063
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 2,848,000 3,161,280
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 208,000 208,520
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 760,000 798,000
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 720,000 689,400
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 3,270,000 3,106,500
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 21,355,000 17,347,094
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 3,000,000 1,801,980
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 5,000,000 4,113,400
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 23,250,000 21,841,980
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 16,885,000 14,851,708
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 16,325,000 14,957,781
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 2,400,000 2,412,000
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 6,425,000 6,425,000
Petroleos Mexicanos company guaranty sr. unsec. notes 6 1/2s, 2041 (Mexico) 1,000,000 1,032,500
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 1,640,000 1,758,900
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 790,000 772,225
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 3,321,000 3,586,680
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 570,000 556,463
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 2,885,000 3,104,981
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 705,000 712,050
Samson Investment Co. 144A sr. unsec. notes 10s, 2020 3,925,000 4,135,969
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 678,000 647,490
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 620,000 616,900
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 1,545,000 1,606,800
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 1,105,000 1,157,488
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 985,000 1,034,250
Suburban Propane Partners LP/Suburban Energy Finance Corp. sr. unsec. notes 7 3/8s, 2021 2,379,000 2,474,160
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 1,915,000 1,958,088
Williams Cos., Inc. (The) notes 7 3/4s, 2031 522,000 609,669
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 690,000 832,942
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 3,600,000 3,636,000
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 1,143,000 1,171,575
249,126,846
Financials (5.0%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 976,000 936,960
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 825,000 798,188
Air Lease Corp. sr. unsec. notes 6 1/8s, 2017 1,690,000 1,749,150
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 1,815,000 1,941,633
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 4,595,000 4,951,113
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 7,290,000 8,401,725
Ally Financial, Inc. unsec. sub. notes 8s, 2018 1,333,000 1,509,623
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 3,027,000 3,692,940
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 1,200,000 1,158,000
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 1,030,000 1,451,642
Boparan Holdings, Ltd. 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) GBP 1,365,000 2,236,994
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 $1,235,000 1,302,925
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 782,000 740,945
CIT Group, Inc. sr. unsec. notes 5s, 2022 2,000,000 1,985,000
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 1,350,000 1,382,063
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 2,885,000 3,115,800
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 1,710,000 1,765,575
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 2,170,000 2,077,775
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 3,250,000 3,262,188
Dresdner Funding Trust I 144A bonds 8.151s, 2031 3,659,000 3,672,721
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 3,141,000 3,188,115
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Jersey) EUR 1,092,000 1,447,896
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 $316,000 329,430
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 4,000,000 4,200,000
Industry & Construction Bank St. Petersburg OJSC Via Or-ICB unsec. sub. FRN notes 5.01s, 2015 (Russia) 1,695,000 1,722,205
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 345,000 355,350
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 1,895,000 1,880,788
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 775,000 786,625
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 660,000 607,200
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 1,675,000 1,574,500
iStar Financial, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2018 (R) 400,000 377,500
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 (R) 2,250,000 2,334,375
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, perpetual maturity (United Kingdom) 2,158,000 2,182,278
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 2,775,000 2,910,362
MetLife Capital Trust X 144A jr. sub. FRB bonds 9 1/4s, 2068 935,000 1,234,200
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 (R) 1,140,000 1,197,000
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 1,474,000 1,562,440
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 9 5/8s, 2019 835,000 935,200
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 740,000 784,400
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 2,002,000 1,921,920
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 1,987,000 1,977,065
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 1,774,000 1,778,435
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 1,938,000 1,913,775
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 1,085,000 1,207,063
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 1,240,000 1,312,850
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 1,947,000 1,942,133
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, perpetual maturity (United Kingdom) 3,375,000 2,463,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, perpetual maturity (United Kingdom) EUR 2,550,000 2,813,027
Royal Bank of Scotland Group PLC jr. sub. FRN notes Ser. MTN, 7.64s, perpetual maturity (United Kingdom) $3,300,000 2,937,000
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sub. FRN notes 6s, 2021 (Russia) 6,000,000 5,947,355
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 2,100,000 2,178,934
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 5,200,000 5,379,400
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 4,005,000 3,929,906
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 825,000 738,375
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 1,665,000 1,739,326
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 976,000 1,251,557
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 2,000,000 2,798,546
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $3,400,000 3,290,724
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 1,956,000 2,083,140
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, perpetual maturity (Russia) 1,600,000 1,694,351
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 4,335,000 4,616,775
VTB Bank OJSC Via VTB Capital SA 144A bank guaranty sr. unsec. notes 6.551s, 2020 (Russia) 5,000,000 5,175,000
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 22,451,000 23,798,060
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 23,618,000 25,153,170
187,784,461
Health care (2.4%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 955,000 955,000
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 1,210,000 1,210,000
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 1,901,000 2,029,318
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 819,000 1,108,256
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 $2,085,000 2,148,853
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 1,610,000 1,706,600
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 3,075,000 4,424,483
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 $2,425,000 2,461,375
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 721,000 766,964
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 865,000 1,186,839
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $6,000,000 6,555,000
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 2,594,000 2,756,125
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 1,880,000 1,898,800
Envision Healthcare Holdings, Inc. 144A sr. unsec. notes 9 1/4s, 2017 (PIK) 1,925,000 1,949,063
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 1,675,000 1,742,000
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 2,160,000 2,386,800
HCA, Inc. company guaranty sr. notes 7 7/8s, 2020 1,500,000 1,615,313
HCA, Inc. sr. notes 6 1/2s, 2020 7,233,000 7,829,723
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 741,000 818,805
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 3,240,000 3,365,550
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 1,591,000 1,605,916
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 816,000 830,280
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 (PIK) 775,000 809,875
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 1,349,000 1,490,645
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 1,754,000 1,881,165
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 1,213,000 1,250,906
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 1,910,000 2,077,125
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 (R) 1,266,000 1,348,290
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 2,990,000 4,600,528
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) EUR 1,085,000 1,411,499
Service Corp. International/US sr. notes 7s, 2019 $970,000 1,025,775
Service Corp. International/US sr. notes 7s, 2017 3,136,000 3,457,440
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 755,000 753,113
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 2,523,000 2,586,075
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 2,790,000 2,957,400
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 2,005,000 2,065,150
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 834,910 834,910
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 2,400,000 2,532,000
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 2,265,000 2,383,913
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 1/2s, 2021 450,000 419,625
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 3/8s, 2021 1,485,000 1,362,488
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 350,000 357,000
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 900,000 922,500
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 290,000 286,375
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 350,000 362,250
VPII Escrow Corp. 144A sr. unsec. notes 6 3/4s, 2018 (Canada) 2,270,000 2,326,750
90,853,860
Technology (1.3%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 1,786,000 1,352,895
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 2,899,000 2,616,348
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015 (PIK) 261,000 264,263
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 4,905,000 4,972,444
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 369,000 409,590
Ceridian Corp. 144A sr. unsec. notes 11s, 2021 151,000 166,100
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 1,024,000 1,049,600
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 4,738,000 5,010,435
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 3,255,000 3,320,100
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 820,000 893,800
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 1,245,000 1,279,238
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 1,240,000 1,236,900
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 1,365,000 1,228,500
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 2,607,000 2,867,700
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 1,494,000 1,620,990
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 555,000 601,481
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 200,000 226,500
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 2,300,000 2,392,000
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 4,150,000 4,414,563
NXP BV/NXP Funding, LLC 144A sr. unsec. notes 5 3/4s, 2023 (Netherlands) 395,000 402,900
Softbank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 2,820,000 2,710,128
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 1,060,000 1,065,300
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 2,062,000 2,185,720
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 3,115,000 3,325,263
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 1,550,000 2,132,315
47,745,073
Transportation (0.4%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 6,917,000 7,469,525
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $545,000 561,350
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 2,993,000 3,224,958
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 4,085,000 4,513,925
Watco Cos LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 1,415,000 1,407,925
17,177,683
Utilities and power (1.9%)
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 5,000,000 5,625,000
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 1,960,000 2,151,100
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 665,000 620,113
Calpine Corp. 144A sr. notes 7 1/4s, 2017 6,203,000 6,466,628
Cenrais Electricas Brasileiras SA 144A sr. unsec. unsub. notes 5 3/4s, 2021 (Brazil) 500,000 483,750
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 2,495,000 2,766,965
El Paso Corp. sr. unsec. notes 7s, 2017 4,910,000 5,337,951
El Paso Natural Gas Co. debs. 8 5/8s, 2022 2,976,000 3,830,957
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 6,590,000 7,216,050
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022 875,000 966,875
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 7,000,000 7,647,500
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 4,830,000 5,276,775
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 765,000 818,550
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 485,000 518,950
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 2,730,000 3,078,075
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017 (PIK) 990,751 1,015,520
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 605,000 562,115
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 3,271,000 3,598,100
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 530,000 588,300
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 6,000,000 6,405,000
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 1,370,000 1,605,125
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 1,140,000 1,122,900
Regency Energy Partners 144A company guaranty sr. unsec. notes 4 1/2s, 2023 955,000 864,275
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 520,000 631,524
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 1,440,000 1,076,400
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 819,000 1,116,369
71,390,867
Total corporate bonds and notes (cost $1,241,036,502) $1,265,637,642

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (21.8%) (a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.5%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $812,545 $915,049
     3 1/2s, TBA, July 1, 2043 54,000,000 55,442,815
56,357,864
U.S. Government Agency Mortgage Obligations (20.3%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4s, August 1, 2042 (FWC) 43,887,608 45,403,155
     3 1/2s, September 1, 2042 6,672,277 6,775,229
Federal National Mortgage Association Pass-Through Certificates
     4s, TBA, July 1, 2043 67,000,000 69,821,330
     3 1/2s, with due dates from March 1, 2043 to May 1, 2043 43,315,015 43,584,966
     3 1/2s, TBA, July 1, 2043 490,000,000 497,656,250
     3s, TBA, July 1, 2043 103,000,000 100,714,688
763,955,618
Total U.S. government and agency mortgage obligations (cost $831,861,219) $820,313,482

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.2%) (a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) $2,523,035 $1,362,439
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 12,925,000 9,855,313
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 (Argentina) 3,495,000 3,564,900
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 37,188,000 32,223,402
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) 28,929,431 15,621,893
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 7,100,000 7,566,612
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) units 7,250 3,331,858
Brazil (Federal Republic of) unsub. notes 10s, 2014 (Brazil) units 20,095 9,471,050
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 182,100,000 3,044,540
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) $4,340,000 4,547,669
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2042 (Greece) (STP) EUR 1,601,000 868,649
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2041 (Greece) (STP) EUR 1,141,000 620,346
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2040 (Greece) (STP) EUR 1,601,000 861,897
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2039 (Greece) (STP) EUR 2,521,000 1,359,278
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece) (STP) EUR 8,951,000 4,843,231
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece) (STP) EUR 2,051,000 1,114,833
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece) (STP) EUR 4,111,000 2,244,404
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece) (STP) EUR 5,751,000 3,152,190
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece) (STP) EUR 3,431,000 1,871,818
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece) (STP) EUR 1,601,000 877,902
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece) (STP) EUR 3,671,000 2,015,176
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece) (STP) EUR 681,000 373,663
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece) (STP) EUR 10,181,000 5,630,549
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece) (STP) EUR 1,141,000 639,104
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece) (STP) EUR 5,751,000 3,287,158
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece) (STP) EUR 1,141,000 667,649
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece) (STP) EUR 4,831,000 2,892,981
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece) (STP) EUR 15,941,000 9,951,090
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece) (STP) EUR 1,451,000 946,311
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece) (STP) EUR 6,781,000 4,646,526
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) $3,740,000 3,644,992
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) 7,275,000 6,289,674
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 3,255,000 3,459,967
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 123,450,000 3,703,021
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $2,905,000 2,411,150
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) EUR 14,029,000 20,165,994
Poland (Government of) sr. unsec. bonds 5s, 2022 (Poland) $3,500,000 3,762,500
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal) EUR 4,199,000 5,260,446
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) $762,023 883,147
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 1,925,000 1,966,137
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,430,400 1,675,356
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 2,050,000 1,918,735
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) EUR 4,199,000 5,892,765
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) $1,300,000 1,363,622
Turkey (Republic of) sr. unsec. bonds 5 5/8s, 2021 (Turkey) 6,800,000 7,185,152
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 5,015,000 5,849,446
Turkey (Republic of) unsec. notes 6 3/4s, 2040 (Turkey) 5,080,000 5,666,080
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 (Ukraine) 2,700,000 2,484,000
Ukraine (Government of) 144A bonds 7 3/4s, 2020 (Ukraine) 5,420,000 4,945,750
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 5,200,000 5,147,943
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 5,035,000 5,011,643
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 (Ukraine) 4,500,000 4,005,000
United Mexican States unsec. bonds 6 1/2s, 2022 (Mexico) MXN 361,821,000 29,171,695
United Mexican States unsec. bonds Ser. M20, 10s, 2024 (Mexico) MXN 255,405,000 26,162,482
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) $2,900,000 1,942,652
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 (Venezuela) 4,150,000 4,153,445
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela) 4,935,000 5,161,763
Total foreign government and agency bonds and notes (cost $335,104,448) $308,738,988

SENIOR LOANS (1.3%) (a) (c)
Principal amount Value
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018 $2,015,000 $1,974,700
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 1,251,863 1,253,427
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 714,894 714,894
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.443s, 2018 7,203,735 6,353,694
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 2,994,356 2,983,127
Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017 2,091,000 2,112,201
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.944s, 2019 7,349,000 6,685,297
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 2,131,416 2,124,184
First Data Corp. bank term loan FRN 4.193s, 2018 574,435 559,236
First Data Corp. bank term loan FRN 4.193s, 2017 61,131 59,802
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 1,758,535 1,691,962
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.2s, 2014 (PIK) 402,119 389,854
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.2s, 2014 (PIK) 228,888 221,907
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 1,420,000 1,418,403
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 (R) 1,070,553 1,083,935
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 488,532 490,160
Neiman Marcus Group, Inc. (The) bank term loan FRN 4s, 2018 5,702,808 5,676,079
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 1,244,600 1,216,597
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 1,015,000 1,008,656
Springleaf Financial Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 1,001,251 1,001,564
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.72s, 2017 4,000,000 2,793,000
Travelport, LLC bank term loan FRN 9 1/2s, 2016 2,450,289 2,503,889
Travelport, LLC bank term loan FRN 8 3/8s, 2016 (PIK) 730,268 724,791
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 1,260,000 1,264,275
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 4 1/2s, 2020 1,380,000 1,376,797
West Corp. bank term loan FRN Ser. B8, 3 3/4s, 2018 161,506 161,264
Total senior loans (cost $49,141,349) $47,843,695

CONVERTIBLE BONDS AND NOTES (—%) (a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 (R) $910,000 $1,079,488
Total convertible bonds and notes (cost $997,780) $1,079,488

SHORT-TERM INVESTMENTS (13.0%) (a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.06% (AFF) 127,430,575 $127,430,575
Putnam Short Term Investment Fund 0.03% (AFF) 170,292,200 170,292,200
SSgA Prime Money Market Fund 0.03% (P) 42,760,000 42,760,000
Straight-A Funding, LLC 144A commercial paper with an effective yield of 0.07%, July 3, 2013 $16,660,000 16,659,926
U.S. Treasury Bills with an effective yield of 0.10%, May 1, 2014 (SEG) (SEGSF) 35,000,000 34,964,545
U.S. Treasury Bills with effective yields ranging from 0.15% to 0.17%, July 25, 2013 (SEG) (SEGSF)(SEGCCS) 98,941,000 98,930,138
Total short-term investments (cost $491,042,397) $491,037,384

TOTAL INVESTMENTS
Total investments (cost $4,548,458,119) (b) $4,597,063,065













FORWARD CURRENCY CONTRACTS at 6/30/13 (aggregate face value $2,016,966,687) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 9/18/13 $105,652 $106,528 $(876)
British Pound Sell 9/18/13 105,652 105,622 (30)
Canadian Dollar Sell 7/17/13 248,367 279,507 31,140
Chilean Peso Buy 7/17/13 10,269,645 10,875,566 (605,921)
Chilean Peso Sell 7/17/13 10,269,645 10,466,917 197,272
Euro Sell 9/18/13 8,729,879 8,779,053 49,174
Japanese Yen Buy 8/22/13 20,541,529 20,430,109 111,420
Japanese Yen Sell 8/22/13 20,541,529 20,887,658 346,129
Peruvian New Sol Buy 7/17/13 12,519,887 13,442,523 (922,636)
Peruvian New Sol Sell 7/17/13 12,519,887 13,136,481 616,594
Singapore Dollar Sell 8/22/13 12,087,294 12,147,803 60,509
South Korean Won Buy 8/22/13 7,905,938 8,006,775 (100,837)
South Korean Won Sell 8/22/13 7,905,938 7,922,861 16,923
Swiss Franc Buy 9/18/13 3,215,628 3,300,512 (84,884)
Swiss Franc Sell 9/18/13 3,215,628 3,209,478 (6,150)
Barclays Bank PLC
Australian Dollar Sell 7/17/13 8,287,382 7,456,846 (830,536)
Brazilian Real Sell 7/17/13 8,071,831 7,840,958 (230,873)
British Pound Sell 9/18/13 12,402,650 12,553,989 151,339
Canadian Dollar Sell 7/17/13 4,501,686 4,436,097 (65,589)
Chilean Peso Buy 7/17/13 15,392,082 16,241,263 (849,181)
Chilean Peso Sell 7/17/13 15,392,082 15,771,267 379,185
Euro Sell 9/18/13 31,772,360 32,140,716 368,356
Indonesian Rupiah Sell 8/22/13 2,626,130 2,337,452 (288,678)
Japanese Yen Buy 8/22/13 32,044,107 32,005,192 38,915
Japanese Yen Sell 8/22/13 32,044,107 31,820,489 (223,618)
Malaysian Ringgit Buy 8/22/13 12,317,144 13,042,301 (725,157)
Malaysian Ringgit Sell 8/22/13 12,317,144 12,624,265 307,121
Mexican Peso Sell 7/17/13 9,946,359 10,041,423 95,064
New Taiwan Dollar Buy 8/22/13 2,681,887 2,719,240 (37,353)
New Taiwan Dollar Sell 8/22/13 2,681,887 2,699,254 17,367
Norwegian Krone Buy 9/18/13 754,019 274,846 479,173
Polish Zloty Sell 9/18/13 435,659 411,314 (24,345)
Russian Ruble Buy 9/18/13 731,607 744,208 (12,601)
Russian Ruble Sell 9/18/13 731,607 749,945 18,338
Singapore Dollar Sell 8/22/13 23,034,132 23,070,281 36,149
Swedish Krona Buy 9/18/13 562,599 863,509 (300,910)
Swiss Franc Sell 9/18/13 2,657,195 2,595,404 (61,791)
Citibank, N.A.
Australian Dollar Buy 7/17/13 29,051,742 32,699,953 (3,648,211)
Australian Dollar Sell 7/17/13 29,756,265 31,857,507 2,101,242
Brazilian Real Sell 7/17/13 5,471,813 5,203,057 (268,756)
British Pound Sell 9/18/13 11,309,340 11,381,460 72,120
Canadian Dollar Sell 7/17/13 2,965,194 2,783,979 (181,215)
Euro Buy 9/18/13 6,170,617 6,183,008 (12,391)
Japanese Yen Sell 8/22/13 2,640,278 3,487,974 847,696
Mexican Peso Buy 7/17/13 5,338,454 5,347,587 (9,133)
Mexican Peso Sell 7/17/13 5,338,454 5,352,583 14,129
South African Rand Buy 7/17/13 7,508,397 7,868,905 (360,508)
South African Rand Sell 7/17/13 7,508,397 7,943,352 434,955
Swedish Krona Buy 9/18/13 2,680,780 2,740,527 (59,747)
Swedish Krona Sell 9/18/13 2,680,780 2,656,469 (24,311)
Swiss Franc Sell 9/18/13 18,556,181 18,592,512 36,331
Thai Baht Buy 8/22/13 7,859,998 8,288,840 (428,842)
Thai Baht Sell 8/22/13 7,859,998 8,064,851 204,853
Turkish Lira Sell 9/18/13 2,600,154 2,632,969 32,815
Credit Suisse International
Australian Dollar Buy 7/17/13 25,649,162 28,705,696 (3,056,534)
Australian Dollar Sell 7/17/13 25,649,162 27,651,230 2,002,068
Brazilian Real Buy 7/17/13 11,634,220 12,394,977 (760,757)
Brazilian Real Sell 7/17/13 11,634,220 12,093,982 459,762
British Pound Buy 9/18/13 832,904 840,101 (7,197)
British Pound Sell 9/18/13 832,904 832,672 (232)
Canadian Dollar Sell 7/17/13 1,386,787 1,288,621 (98,166)
Chilean Peso Buy 7/17/13 12,844,981 13,492,873 (647,892)
Chilean Peso Sell 7/17/13 12,844,981 13,148,355 303,374
Chinese Yuan Buy 8/22/13 10,678,927 10,606,495 72,432
Chinese Yuan Sell 8/22/13 10,678,927 10,627,854 (51,073)
Czech Koruna Sell 9/18/13 5,257,082 5,356,657 99,575
Euro Buy 9/18/13 6,588,458 6,695,644 (107,186)
Indonesian Rupiah Buy 8/22/13 2,617,160 2,659,962 (42,802)
Indonesian Rupiah Sell 8/22/13 2,617,160 2,619,851 2,691
Japanese Yen Sell 8/22/13 15,474,383 16,132,404 658,021
Mexican Peso Sell 7/17/13 8,234,726 8,290,847 56,121
New Taiwan Dollar Buy 8/22/13 2,681,887 2,718,935 (37,048)
New Taiwan Dollar Sell 8/22/13 2,681,887 2,699,254 17,367
Norwegian Krone Buy 9/18/13 3,733,324 4,352,020 (618,696)
Philippine Peso Buy 8/22/13 5,162,930 5,411,779 (248,849)
Philippine Peso Sell 8/22/13 5,162,930 5,274,157 111,227
Polish Zloty Buy 9/18/13 7,850,090 8,104,986 (254,896)
Polish Zloty Sell 9/18/13 7,850,090 8,049,096 199,006
Russian Ruble Buy 9/18/13 216,596 220,293 (3,697)
Russian Ruble Sell 9/18/13 216,596 222,001 5,405
South African Rand Buy 7/17/13 10,088,370 10,369,385 (281,015)
South African Rand Sell 7/17/13 10,088,370 10,467,493 379,123
Swedish Krona Buy 9/18/13 8,661,000 8,784,632 (123,632)
Swedish Krona Sell 9/18/13 8,661,000 9,020,583 359,583
Swiss Franc Sell 9/18/13 22,145,369 22,351,759 206,390
Turkish Lira Sell 9/18/13 2,600,103 2,634,420 34,317
Deutsche Bank AG
Australian Dollar Buy 7/17/13 12,904,607 14,585,989 (1,681,382)
Australian Dollar Sell 7/17/13 12,904,607 13,451,841 547,234
Brazilian Real Buy 7/17/13 7,540,197 8,131,325 (591,128)
Brazilian Real Sell 7/17/13 7,540,197 7,837,080 296,883
British Pound Sell 9/18/13 8,952,005 9,028,767 76,762
Canadian Dollar Sell 7/17/13 10,721,314 11,119,492 398,178
Euro Sell 9/18/13 20,702,360 20,825,056 122,696
Japanese Yen Buy 8/22/13 7,948,017 7,393,345 554,672
Mexican Peso Buy 7/17/13 38,059,605 39,808,380 (1,748,775)
Mexican Peso Sell 7/17/13 38,059,605 39,699,197 1,639,592
Norwegian Krone Buy 9/18/13 1,572,543 1,640,704 (68,161)
Norwegian Krone Sell 9/18/13 1,572,543 1,573,892 1,349
Polish Zloty Buy 9/18/13 2,637,344 2,678,357 (41,013)
Polish Zloty Sell 9/18/13 2,637,344 2,691,875 54,531
Swedish Krona Buy 9/18/13 112,106 114,590 (2,484)
Swedish Krona Sell 9/18/13 112,106 111,100 (1,006)
Swiss Franc Buy 9/18/13 7,250,207 7,262,941 (12,734)
Swiss Franc Sell 9/18/13 7,250,207 7,239,395 (10,812)
Goldman Sachs International
British Pound Sell 9/18/13 3,956,559 3,991,006 34,447
Canadian Dollar Buy 7/17/13 34,524,804 35,471,841 (947,037)
Canadian Dollar Sell 7/17/13 34,524,804 35,315,343 790,539
Euro Sell 9/18/13 15,716,648 15,786,838 70,190
Japanese Yen Buy 8/22/13 39,745,713 39,262,162 483,551
Japanese Yen Sell 8/22/13 39,745,713 40,172,773 427,060
Norwegian Krone Buy 9/18/13 1,637,770 1,639,328 (1,558)
Norwegian Krone Sell 9/18/13 1,637,770 1,708,448 70,678
HSBC Bank USA, National Association
Australian Dollar Sell 7/17/13 8,191,003 7,466,161 (724,842)
British Pound Sell 9/18/13 8,522,404 8,594,697 72,293
Canadian Dollar Sell 7/17/13 5,938,944 5,947,330 8,386
Euro Sell 9/18/13 19,430,346 19,359,108 (71,238)
Indian Rupee Sell 8/22/13 3,251,331 3,314,178 62,847
Indonesian Rupiah Sell 8/22/13 2,626,130 2,506,903 (119,227)
Japanese Yen Buy 8/22/13 20,690,281 20,487,188 203,093
Japanese Yen Sell 8/22/13 20,690,281 21,060,927 370,646
Norwegian Krone Buy 9/18/13 9,083,615 8,978,176 105,439
Philippine Peso Buy 8/22/13 2,614,415 2,740,011 (125,596)
Philippine Peso Sell 8/22/13 2,614,415 2,641,952 27,537
Polish Zloty Buy 9/18/13 2,607,601 2,708,712 (101,111)
Polish Zloty Sell 9/18/13 2,607,601 2,682,009 74,408
Russian Ruble Buy 9/18/13 949,608 973,156 (23,548)
Russian Ruble Sell 9/18/13 949,608 966,555 16,947
South African Rand Buy 7/17/13 7,508,407 7,865,867 (357,460)
South African Rand Sell 7/17/13 7,508,407 7,939,995 431,588
Swedish Krona Buy 9/18/13 8,638,998 8,987,886 (348,888)
Swiss Franc Buy 9/18/13 4,895,802 5,024,956 (129,154)
Swiss Franc Sell 9/18/13 4,895,802 4,887,209 (8,593)
Thai Baht Buy 8/22/13 2,600,771 2,741,857 (141,086)
Thai Baht Sell 8/22/13 2,600,771 2,642,167 41,396
JPMorgan Chase Bank N.A.
Australian Dollar Sell 7/17/13 2,993,495 1,620,132 (1,373,363)
Brazilian Real Sell 7/17/13 5,030,847 4,920,907 (109,940)
British Pound Sell 9/18/13 3,478,160 3,508,149 29,989
Canadian Dollar Sell 7/17/13 4,751,193 4,660,611 (90,582)
Chilean Peso Buy 7/17/13 12,511,461 13,220,010 (708,549)
Chilean Peso Sell 7/17/13 12,511,461 12,651,276 139,815
Chinese Yuan Buy 8/22/13 6,200,444 6,153,798 46,646
Chinese Yuan Sell 8/22/13 6,200,444 6,170,034 (30,410)
Czech Koruna Sell 9/18/13 5,257,077 5,347,788 90,711
Euro Sell 9/18/13 13,287,203 13,237,380 (49,823)
Japanese Yen Sell 8/22/13 11,222,580 11,994,492 771,912
Malaysian Ringgit Buy 8/22/13 9,031,752 9,337,486 (305,734)
Malaysian Ringgit Sell 8/22/13 9,031,752 9,265,367 233,615
Mexican Peso Sell 7/17/13 13,073,348 13,117,836 44,488
New Taiwan Dollar Buy 8/22/13 2,681,887 2,715,078 (33,191)
New Taiwan Dollar Sell 8/22/13 2,681,887 2,701,069 19,182
Norwegian Krone Buy 9/18/13 12,177,907 12,316,742 (138,835)
Polish Zloty Sell 9/18/13 1,092,246 998,872 (93,374)
Russian Ruble Sell 9/18/13 1,400,783 1,401,122 339
Singapore Dollar Sell 8/22/13 20,237,832 20,207,858 (29,974)
South African Rand Buy 7/17/13 2,718,203 2,696,984 21,219
South African Rand Sell 7/17/13 2,718,203 2,687,361 (30,842)
South Korean Won Buy 8/22/13 8,031,969 8,129,579 (97,610)
South Korean Won Sell 8/22/13 8,031,969 8,053,403 21,434
Swedish Krona Buy 9/18/13 8,736,501 8,747,938 (11,437)
Swedish Krona Sell 9/18/13 8,736,501 8,900,964 164,463
Swiss Franc Sell 9/18/13 420,070 424,415 4,345
State Street Bank and Trust Co.
Australian Dollar Buy 7/17/13 16,677,902 17,891,617 (1,213,715)
Australian Dollar Sell 7/17/13 17,334,557 17,760,872 426,315
Brazilian Real Sell 7/17/13 3,549,704 3,258,546 (291,158)
British Pound Sell 9/18/13 9,006,732 9,117,929 111,197
Canadian Dollar Sell 7/17/13 2,988,292 2,772,026 (216,266)
Chilean Peso Buy 7/17/13 12,992,893 13,735,047 (742,154)
Chilean Peso Sell 7/17/13 12,992,893 13,137,938 145,045
Colombian Peso Buy 7/17/13 10,465,619 10,921,512 (455,893)
Colombian Peso Sell 7/17/13 10,465,619 10,629,348 163,729
Czech Koruna Sell 9/18/13 5,257,077 5,348,877 91,800
Euro Sell 9/18/13 1,441,026 1,353,336 (87,690)
Japanese Yen Sell 8/22/13 2,767,899 3,156,473 388,574
Mexican Peso Sell 7/17/13 5,105,471 5,011,240 (94,231)
Norwegian Krone Buy 9/18/13 4,139,179 4,320,660 (181,481)
Polish Zloty Buy 9/18/13 2,635,996 2,689,423 (53,427)
Polish Zloty Sell 9/18/13 2,635,996 2,758,287 122,291
Singapore Dollar Sell 8/22/13 21,653,893 21,638,421 (15,472)
South Korean Won Buy 8/22/13 5,344,216 5,337,223 6,993
South Korean Won Sell 8/22/13 5,344,216 5,266,024 (78,192)
Swedish Krona Buy 9/18/13 1,767,289 1,806,056 (38,767)
Swedish Krona Sell 9/18/13 1,767,289 1,751,398 (15,891)
Swiss Franc Sell 9/18/13 2,375,488 2,381,012 5,524
UBS AG
Australian Dollar Sell 7/17/13 6,899,163 5,780,270 (1,118,893)
British Pound Sell 9/18/13 3,113,014 3,147,660 34,646
Canadian Dollar Buy 7/17/13 25,867,322 26,527,609 (660,287)
Canadian Dollar Sell 7/17/13 25,867,322 26,598,779 731,457
Chilean Peso Buy 7/17/13 10,299,927 10,833,562 (533,635)
Chilean Peso Sell 7/17/13 10,299,927 10,506,123 206,196
Euro Buy 9/18/13 965,502 977,770 (12,268)
Japanese Yen Buy 8/22/13 14,100,872 14,025,232 75,640
Japanese Yen Sell 8/22/13 14,100,872 14,386,304 285,432
Mexican Peso Sell 7/17/13 9,530,543 9,469,788 (60,755)
New Taiwan Dollar Buy 8/22/13 4,082,346 4,159,793 (77,447)
New Taiwan Dollar Sell 8/22/13 4,082,346 4,113,619 31,273
Norwegian Krone Buy 9/18/13 7,117,185 7,431,057 (313,872)
Philippine Peso Buy 8/22/13 5,681,403 5,978,832 (297,429)
Philippine Peso Sell 8/22/13 5,681,403 5,810,453 129,050
Polish Zloty Buy 9/18/13 5,215,202 5,417,424 (202,222)
Polish Zloty Sell 9/18/13 5,215,202 5,369,658 154,456
Russian Ruble Sell 9/18/13 2,385,039 2,408,912 23,873
Singapore Dollar Sell 8/22/13 20,237,831 20,169,673 (68,158)
Swedish Krona Sell 9/18/13 10,007,225 10,275,262 268,037
Swiss Franc Sell 9/18/13 18,556,181 18,520,926 (35,255)
WestPac Banking Corp.
Australian Dollar Buy 7/17/13 25,900,203 28,261,648 (2,361,445)
Australian Dollar Sell 7/17/13 25,900,202 27,195,988 1,295,786
British Pound Sell 9/18/13 475,054 495,054 20,000
Canadian Dollar Sell 7/17/13 7,735,397 7,737,611 2,214
Euro Sell 9/18/13 13,813,509 13,893,740 80,231
Japanese Yen Sell 8/22/13 2,278,523 3,278,029 999,506
Mexican Peso Buy 7/17/13 21,551,038 22,671,664 (1,120,626)
Mexican Peso Sell 7/17/13 21,551,038 22,494,067 943,029
Total $(10,067,713)












FUTURES CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Short) 18 $1,948,924             Sep-13 $60,584
Canadian Government Bond 10 yr (Long) 317 39,609,176             Sep-13 (1,423,968)
Euro-Bobl 5 yr (Long) 69 11,244,689             Sep-13 (63,947)
Euro-Bund 10 yr (Short) 249 45,868,148             Sep-13 561,390
Euro-Buxl 30 yr Bond (Short) 82 13,719,750             Sep-13 166,918
Japanese Government Bond 10 yr (Long) 22 31,653,559             Sep-13 (106,674)
Japanese Government Bond 10 yr Mini (Long) 28 4,026,094             Sep-13 (13,114)
U.K. Gilt 10 yr (Long) 3 510,583             Sep-13 (20,997)
U.S. Treasury Bond 30 yr (Long) 355 48,224,531             Sep-13 (71,236)
U.S. Treasury Note 10 yr (Long) 1,461 184,907,813             Sep-13 (679,959)
Total $(1,591,003)












TBA SALE COMMITMENTS OUTSTANDING at 6/30/13 (proceeds receivable $238,480,156) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, July 1, 2043 $51,000,000       7/15/13 $53,147,579
Federal National Mortgage Association, 3 1/2s, July 1, 2043 116,000,000       7/15/13 117,812,500
Federal National Mortgage Association, 3s, July 1, 2043 67,000,000       7/15/13 65,513,438
Total $236,473,517















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
$240,094,100 (E) $(1,455,010)     9/18/23 2.20% 3 month USD-LIBOR-BBA $11,277,181
162,992,000 (E) 2,979,494      9/18/23 3 month USD-LIBOR-BBA 2.20% (5,663,972)
CAD 43,764,000 —      5/1/23 3 month CAD-BA-CDOR 2.135% (2,793,635)
CAD 103,450,000 —      4/26/23 2.17% 3 month CAD-BA-CDOR 6,260,713
CAD 17,076,000 —      6/3/23 2.515% 3 month CAD-BA-CDOR 573,932
Barclays Bank PLC
$13,110,000 (131,906)     6/19/23 3 month USD-LIBOR-BBA 2.00% (947,668)
16,388,000 (23,502)     6/19/15 0.40% 3 month USD-LIBOR-BBA 9,074
361,522,000 (E) 730,274      9/18/15 3 month USD-LIBOR-BBA 0.45% (300,063)
200,755,000 (E) (86,418)     9/18/15 0.45% 3 month USD-LIBOR-BBA 485,733
350,961,000 (E) 707,521      9/18/23 3 month USD-LIBOR-BBA 2.20% (17,903,941)
7,981,000 (E) (24,295)     9/18/43 3 month USD-LIBOR-BBA 3.15% (538,192)
235,784,000 (E) 90,329      9/18/18 1.15% 3 month USD-LIBOR-BBA 6,317,384
77,356,000 (E) (1,536,274)     9/18/23 2.20% 3 month USD-LIBOR-BBA 2,565,915
267,193,000 —      6/5/20 1.78% 3 month USD-LIBOR-BBA 5,753,144
140,167,000 —      6/5/28 3 month USD-LIBOR-BBA 2.87125% (4,802,635)
AUD 39,734,000 —      5/3/23 3.7425% 6 month AUD-BBR-BBSW 1,606,892
AUD 34,046,000 —      5/22/23 3.86% 6 month AUD-BBR-BBSW 1,105,445
EUR 198,611,000 —      10/16/22 1.747% 6 month EUR-EURIBOR-REUTERS 771,428
EUR 398,858,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 192,094
EUR 38,834,000 —      5/21/23 1.567% 6 month EUR-EURIBOR-Telerate 1,895,386
EUR 71,658,000 —      5/22/23 6 month EUR-EURIBOR-Telerate 1.595% (3,254,088)
EUR 13,188,000 —      5/31/23 1.751% 6 month EUR-EURIBOR-Telerate 358,122
EUR 13,803,000 —      6/6/23 1.779% 6 month EUR-EURIBOR-Telerate 337,010
GBP 36,488,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (4,440,523)
GBP 45,837,000 —      5/20/23 1.995% 6 month GBP-LIBOR-BBA 3,352,250
GBP 17,349,000 —      5/29/23 2.091% 6 month GBP-LIBOR-BBA 1,052,596
JPY 3,537,941,000 —      5/13/23 6 month JPY-LIBOR-BBA 0.7375% (913,568)
JPY 2,609,389,000 —      5/24/43 6 month JPY-LIBOR-BBA 1.95% 15,348
JPY 9,610,254,000 —      5/29/43 1.965% 6 month JPY-LIBOR-BBA (732,199)
SEK 91,037,000 —      5/2/23 2.065% 3 month SEK-STIBOR-SIDE 760,719
SEK 211,821,000 —      5/10/23 2.195% 3 month SEK-STIBOR-SIDE 1,413,762
SEK 281,009,000 —      5/16/23 2.1835% 3 month SEK-STIBOR-SIDE 1,931,417
Citibank, N.A.
$50,637,000 (E) (541,150)     9/18/43 3 month USD-LIBOR-BBA 3.15% (3,801,666)
798,778,000 (E) 128,183      9/18/15 0.45% 3 month USD-LIBOR-BBA 2,404,701
11,964,000 (E) 17,435      9/18/18 1.15% 3 month USD-LIBOR-BBA 333,404
157,115,000 (E) 401,062      9/18/23 2.20% 3 month USD-LIBOR-BBA 8,732,870
GBP 35,041,000 —      4/26/23 6 month GBP-LIBOR-BBA 1.815% (3,339,992)
PLN 38,459,000 —      1/17/23 3.84% 6 month PLN-WIBOR-WIBO 254,459
Credit Suisse International
$355,382,000 (E) 168,432      9/18/18 1.15% 3 month USD-LIBOR-BBA 9,554,070
306,832,000 (E) 116,776      9/18/15 3 month USD-LIBOR-BBA 0.45% (757,694)
412,644,300 (E) 3,775,414      9/18/23 3 month USD-LIBOR-BBA 2.20% (18,107,114)
1,000,000 (E) (1,080)     9/18/18 3 month USD-LIBOR-BBA 1.15% (27,490)
1,000,000 (E) (7,030)     9/18/43 3 month USD-LIBOR-BBA 3.15% (71,420)
103,871,200 (E) (1,748,901)     9/18/23 2.20% 3 month USD-LIBOR-BBA 3,759,388
169,857,000 (E) (201,512)     9/18/15 0.45% 3 month USD-LIBOR-BBA 282,580
17,575,000 (E) 129,481      9/18/43 3.15% 3 month USD-LIBOR-BBA 1,261,135
AUD 57,732,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8725% (1,765,074)
AUD 38,779,000 —      5/10/23 6 month AUD-BBR-BBSW 3.73% (1,612,096)
AUD 33,586,000 —      5/23/23 3.88% 6 month AUD-BBR-BBSW 1,040,719
CAD 26,103,000 —      5/6/23 3 month CAD-BA-CDOR 2.2625% (1,392,512)
CAD 28,633,000 —      4/25/23 3 month CAD-BA-CDOR 2.208% (1,638,194)
CAD 64,720,000 —      4/29/23 3 month CAD-BA-CDOR 2.15% (4,036,247)
CAD 21,281,000 —      6/20/23 3 month CAD-BA-CDOR 2.825% (177,249)
CHF 40,988,000 —      5/3/23 1.0075% 6 month CHF-LIBOR-BBA 1,917,683
CHF 40,988,000 —      5/3/23 1.01875% 6 month CHF-LIBOR-BBA 1,871,334
EUR 161,600,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (865,791)
EUR 115,620,000 —      5/22/23 6 month EUR-EURIBOR-Telerate 1.601% (5,165,199)
EUR 26,103,000 —      5/27/23 1.643% 6 month EUR-EURIBOR-Telerate 1,046,832
GBP 27,834,000 —      5/20/23 6 month GBP-LIBOR-BBA 2.0025% (2,006,036)
SEK 208,849,000 —      5/2/23 2.07% 3 month SEK-STIBOR-SIDE 1,731,211
SEK 253,289,000 —      5/27/23 3 month SEK-STIBOR-SIDE 2.2275% (1,616,669)
SEK 187,982,000 —      6/3/23 3 month SEK-STIBOR-SIDE 2.3475% (909,121)
Deutsche Bank AG
$27,666,000 (E) 19,998      9/18/18 1.15% 3 month USD-LIBOR-BBA 750,657
3,437,000 (E) (11,961)     9/18/43 3 month USD-LIBOR-BBA 3.15% (233,270)
80,708,000 (E) (7,909)     9/18/15 3 month USD-LIBOR-BBA 0.45% (237,927)
39,069,000 (E) 18,253      9/18/23 3 month USD-LIBOR-BBA 2.20% (2,053,576)
Goldman Sachs International
$210,736,000 (E) (2,450,860)     9/18/18 1.15% 3 month USD-LIBOR-BBA 3,114,678
198,546,000 —      5/21/23 3 month USD-LIBOR-BBA 2.077% (10,396,627)
98,528,000 —      5/22/23 2.06875% 3 month USD-LIBOR-BBA 5,239,946
102,286,000 (E) 548,699      9/18/43 3 month USD-LIBOR-BBA 3.15% (6,037,496)
139,276,600 (E) (642,358)     9/18/23 2.20% 3 month USD-LIBOR-BBA 6,743,481
142,876,000 (E) 275,428      9/18/18 3 month USD-LIBOR-BBA 1.15% (3,497,927)
239,766,400 (E) 4,905,512      9/18/23 3 month USD-LIBOR-BBA 2.20% (7,809,301)
1,747,376,000 (E) (159,459)     9/18/15 0.45% 3 month USD-LIBOR-BBA 4,820,562
AUD 31,806,000 —      5/1/23 3.775% 6 month AUD-BBR-BBSW 1,208,815
AUD 123,981,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8825% (3,695,384)
AUD 19,381,000 —      5/27/23 3.955% 6 month AUD-BBR-BBSW 492,439
CAD 33,993,000 —      4/25/23 3 month CAD-BA-CDOR 2.2069% (1,948,158)
CAD 50,718,000 —      5/23/23 2.41% 3 month CAD-BA-CDOR 2,119,176
CAD 26,533,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR 839,685
CHF 112,362,000 —      5/2/23 6 month CHF-LIBOR-BBA 1.008% (5,243,099)
CHF 33,725,000 —      5/13/23 1.0325% 6 month CHF-LIBOR-BBA 1,518,347
CHF 27,416,000 —      5/16/23 1.065% 6 month CHF-LIBOR-BBA 1,148,609
CHF 15,937,000 —      7/1/23 6 month CHF-LIBOR-BBA 1.5175% 169
CHF 64,100,000 —      7/2/23 6 month CHF-LIBOR-BBA 1.515% (16,966)
EUR 63,693,000 —      10/18/22 1.818% 6 month EUR-EURIBOR-REUTERS (301,033)
EUR 1,704,291,000 (E) —      8/6/17 1 year EUR-EONIA-OIS-COMPOUND 1.102% (6,189,309)
EUR 414,401,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (336,855)
EUR 414,401,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (1,103,733)
EUR 414,401,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (336,911)
EUR 414,401,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (1,156,976)
EUR 414,401,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (612,709)
EUR 414,401,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (801,711)
EUR 51,233,000 —      2/22/23 6 month EUR-EURIBOR-Telerate 1.9135% 86,268
EUR 242,196,000 —      2/22/15 0.59% 6 month EUR-EURIBOR-Telerate (455,129)
EUR 65,224,000 —      5/22/23 1.595% 6 month EUR-EURIBOR-Telerate 2,961,912
GBP 36,428,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 228,448
GBP 56,751,000 —      5/20/23 6 month GBP-LIBOR-BBA 1.9963% (4,139,948)
GBP 23,700,000 —      5/23/23 2.01625% 6 month GBP-LIBOR-BBA 1,667,642
GBP 21,523,000 —      5/30/23 2.0475% 6 month GBP-LIBOR-BBA 1,438,401
JPY 2,950,709,000 —      5/28/23 1.015% 6 month JPY-LIBOR-BBA (26,055)
SEK 228,217,000 —      5/27/23 3 month SEK-STIBOR-SIDE 2.2375% (1,426,027)
JPMorgan Chase Bank N.A.
$90,147,000 —      2/28/18 0.92% 3 month USD-LIBOR-BBA 1,885,358
528,899,600 (E) (5,462,019)     9/18/23 2.20% 3 month USD-LIBOR-BBA 22,585,528
168,207,400 (E) 3,697,421      9/18/23 3 month USD-LIBOR-BBA 2.20% (5,222,617)
132,757,000 (E) (32,051)     9/18/15 0.45% 3 month USD-LIBOR-BBA 346,306
29,586,000 —      6/7/23 3 month USD-LIBOR-BBA 2.343% (874,591)
AUD 35,664,000 —      4/30/23 3.805% 6 month AUD-BBR-BBSW 1,272,094
AUD 46,711,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8875% (1,373,917)
CAD 41,210,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR 871,669
CAD 94,245,000 —      2/26/18 3 month CAD-BA-CDOR 1.65% (2,028,636)
CAD 34,648,000 —      6/26/23 3 month CAD-BA-CDOR 2.9775% 145,752
CAD 45,263,000 —      4/26/23 2.1706% 3 month CAD-BA-CDOR 2,737,081
CAD 40,961,000 —      5/15/23 2.384% 3 month CAD-BA-CDOR 1,781,770
CAD 21,238,000 —      6/14/23 2.6025% 3 month CAD-BA-CDOR 569,690
GBP 42,976,000 —      2/20/23 2.226% 6 month GBP-LIBOR-BBA 1,260,678
GBP 212,133,000 —      2/20/15 6 month GBP-LIBOR-BBA 0.668% (414,984)
ILS 89,760,000 —      6/19/23 3 month TELBOR03 3.41% (538,650)
ILS 43,785,000 —      6/21/23 3 month TELBOR03 3.59% (81,258)
JPY 4,358,552,000 —      5/7/43 1.74375% 6 month JPY-LIBOR-BBA 2,028,181
JPY 4,167,839,000 —      6/3/43 6 month JPY-LIBOR-BBA 1.945% 13,456
JPY 1,245,406,000 —      6/7/43 1.955% 6 month JPY-LIBOR-BBA (13,999)
PLN 38,459,000 —      1/16/23 3.855% 6 month PLN-WIBOR-WIBO 202,343
PLN 38,459,000 —      1/21/23 3.81% 6 month PLN-WIBOR-WIBO 286,218
Royal Bank of Scotland PLC (The)
$41,485,000 (549,635)     6/19/23 2.00% 3 month USD-LIBOR-BBA 2,031,744
Total $(3,561,793)
(E)    Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$100,781,400 (E) $(1,662,298)     9/18/23 2.20% 3 month USD-LIBOR-BBA $3,682,139
182,435,300 (E) 5,202,535      9/18/23 3 month USD-LIBOR-BBA 2.20% (4,472,008)
79,402,500 (110,227)     6/21/23 3 month USD-LIBOR-BBA 2.3625% (2,426,337)
317,609,500 805,712      7/2/23 3 month USD-LIBOR-BBA 2.58% (2,551,421)
14,130,000 (E) 70,618      9/18/15 3 month USD-LIBOR-BBA 0.45% 30,348
106,469,000 (E) (446,718)     9/18/15 0.45% 3 month USD-LIBOR-BBA (143,282)
99,351,000 (E) (2,896,749)     9/18/23 2.20% 3 month USD-LIBOR-BBA 2,371,835
17,829,000 (235)     6/10/23 3 month USD-LIBOR-BBA 2.27% (653,772)
GBP 91,310,000 (E) (759)     12/24/18 2.04% 6 month GBP-LIBOR-BBA (1,754,788)
GBP 96,115,000 (E) (1,199)     12/24/23 6 month GBP-LIBOR-BBA 2.8675% 1,932,843
GBP 21,601,000 (E) (599)     12/24/43 3.46% 6 month GBP-LIBOR-BBA (380,063)
$116,724,000 (2,451)     7/2/28 3.20125% 3 month USD-LIBOR-BBA (546,385)
82,458,000 (E) 233,624      9/18/15 3 month USD-LIBOR-BBA 0.45% (1,383)
82,515,000 (E) 2,887,203      9/18/23 3 month USD-LIBOR-BBA 2.20% (1,488,566)
266,987,000 (E) (11,132,863)     9/18/23 2.20% 3 month USD-LIBOR-BBA 3,025,459
396,529,000 (E) (1,048,690)     9/18/15 0.45% 3 month USD-LIBOR-BBA 81,418
43,000,000 (568)     7/2/23 2.7025% 3 month USD-LIBOR-BBA (28,518)
222,518,000 (2,537)     7/2/20 3 month USD-LIBOR-BBA 2.1650% 353,270
236,700,000 (1,905)     6/26/18 1.765% 3 month USD-LIBOR-BBA (2,510,145)
60,600,000 (2,060)     6/26/43 3.55% 3 month USD-LIBOR-BBA (1,357,356)
255,300,000 (3,370)     6/26/23 3 month USD-LIBOR-BBA 2.875% 4,410,989
EUR 100,700,000 (1,780)     6/20/23 1.835% 6 month EUR-EURIBOR-Telerate 1,917,664
EUR 137,700,000 (E) (2,005)     7/2/23 2.895% 6 month EUR-EURIBOR-Telerate (186,619)
EUR 20,652,000 (354)     7/2/23 2.0125% 6 month EUR-EURIBOR-Telerate (24,279)
GBP 91,310,000 (E) (1,337)     9/10/18 6 month GBP-LIBOR-BBA 1.38% (1,788,696)
GBP 11,462,000 (233)     6/6/23 2.10% 6 month GBP-LIBOR-BBA 691,570
GBP 21,601,000 (E) (1,146)     9/10/43 6 month GBP-LIBOR-BBA 3.17875% (1,205,575)
GBP 96,115,000 (E) (2,112)     9/10/23 2.29% 6 month GBP-LIBOR-BBA 4,465,333
JPY 1,059,823,000 (366)     7/1/43 6 month JPY-LIBOR-BBA 1.871% (188,864)
$153,362,000 (E) (4,198,148)     9/18/23 2.20% 3 month USD-LIBOR-BBA 3,934,640
5,097,000 (E) 83,898      9/18/23 3 month USD-LIBOR-BBA 2.20% (186,395)
33,803,000 (E) 40,119      9/18/15 3 month USD-LIBOR-BBA 0.45% (56,220)
93,281,000 (1,959)     6/12/28 3 month USD-LIBOR-BBA 2.93% (2,566,095)
177,843,000 (2,027)     6/12/20 1.8675% 3 month USD-LIBOR-BBA 2,900,204
116,724,000 (2,451)     6/28/28 3.2625% 3 month USD-LIBOR-BBA (1,506,750)
222,518,000 (2,537)     6/28/20 3 month USD-LIBOR-BBA 2.24% 1,552,698
JPY 2,418,547,000 (866)     6/21/43 1.8975% 6 month JPY-LIBOR-BBA 251,986
Total $5,578,879
(E)    Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$17,280,467 $—      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools $445,752
Barclays Bank PLC
6,587,871 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,395
3,019,332 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 36,186
2,788,102 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 72,658
3,019,332 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (50,408)
2,666,922 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (25,910)
2,505,142 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (12,721)
8,889,365 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 151,933
8,177,773 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,180
7,092,932 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,850
18,339,892 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 367,927
78,474,724 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,574,325
4,952,475 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 99,354
10,074,766 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (35,006)
12,231,704 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (120,733)
8,745,905 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 175,456
3,975,848 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 79,762
3,903,343 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,770
3,495,504 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (34,502)
1,978,146 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (10,970)
2,516,483 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,825
30,494,031 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 29,448
16,929,623 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 339,635
9,051,400 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 137,451
25,084,688 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (87,159)
23,347,010 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 22,546
6,931,128 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (68,414)
1,294,887 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 14,945
7,103,139 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (24,680)
72,920,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (2,684,112)
2,839,961 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,743
11,252,094 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 290,249
18,195,096 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (303,767)
3,818,247 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (63,746)
37,108,624 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 744,457
19,202 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 385
3,743,121 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 6,539
38,344,508 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (133,231)
22,849,008 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (225,532)
10,587,570 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (36,787)
17,570,218 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 352,486
4,968,871 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (109,784)
4,354,931 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,889
8,729,904 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 175,135
614,745 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Ginnie Mae II pools (12,206)
35,067,255 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (194,471)
125,807,536 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 121,494
8,454,128 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (141,142)
35,519,864 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 34,302
5,772,639 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,480
18,719,719 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 21,014
13,571,429 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 15,235
154,943 —      1/12/39 (6.00%)1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,353
3,238,740 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 104,133
28,920,357 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (746,004)
1,207,777 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 838
1,240,626 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,311)
57,254,862 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (198,937)
41,935,048 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 29,104
40,896,082 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 142,097
29,953,495 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic MBX Index 6.00% 30 year Fannie Mae pools (20,789)
32,418,536 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (836,240)
4,988,238 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (128,672)
19,630,682 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (393,822)
8,968,169 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (54,478)
4,483,558 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (27,236)
4,483,558 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (27,236)
17,280,467 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 445,752
8,998,871 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (54,664)
23,372,412 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (141,978)
8,999,172 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (54,666)
28,412,857 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (570,006)
847,920 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,946)
8,056,772 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 161,631
26,491,607 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (531,463)
13,470,996 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 433,126
8,109,830 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 260,751
6,249,252 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 6,035
10,285,767 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 330,713
18,185,281 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (63,186)
7,963,845 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 205,428
4,485,584 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (15,586)
17,734,697 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 204,687
2,544,628 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 29,369
17,966,588 (40,706)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (149,845)
5,064,369 4,748      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,657)
10,216,713 4,789      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,729)
Citibank, N.A.
3,789,031 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,659
22,792,736 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 22,011
8,998,196 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 180,518
15,568,954 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (401,603)
22,090,034 —      1/12/41 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (264,743)
Credit Suisse International
13,382,891 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,924
68,663,355 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools (380,929)
10,900,391 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (181,982)
2,725,249 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (45,498)
5,634,674 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 113,040
1,131,823 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (29,196)
12,424,125 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 249,247
2,788,102 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,693
17,363,551 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (60,331)
186,823 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 4,723
630,923 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,053)
838,496 —      1/12/36 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (9,541)
745,501 —      1/12/39 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (327)
3,192,481 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 63,390
3,192,481 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (33,674)
21,340,636 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (356,282)
4,742,831 —      1/12/43 3.00% (1 month USD-LIBOR) Synthetic TRS Index 3.00% 30 year Fannie Mae pools 19,367
16,133,814 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (323,669)
13,236,158 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 341,428
17,280,467 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 445,752
8,063,173 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 161,760
7,963,845 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 205,428
23,159,735 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (464,620)
19,345,855 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (388,108)
18,783,668 41,089      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (333,671)
18,961,818 506,636      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 151,296
24,411,603 862,035      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 268,684
16,718,403 415,348      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 105,732
Deutsche Bank AG
4,136,458 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (40,829)
17,363,551 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (60,331)
483,940 —      1/12/34 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 2,333
875,412 —      1/12/36 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 2,990
Goldman Sachs International
16,638,395 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 333,792
3,465,755 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 52,630
19,017,495 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 288,793
2,666,922 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 53,503
2,505,142 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 64,620
41,680,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 1,082,846
31,260,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 781,187
6,032,387 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 69,624
5,686,945 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 114,089
10,854,374 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 217,756
10,830,729 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 279,380
22,216,569 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 379,715
22,216,569 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 379,715
317,897 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,378
7,110,594 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 183,419
5,156,082 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 133,002
21,795,156 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 437,245
11,456,565 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 229,837
34,572,457 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 891,801
31,273,687 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 806,708
8,731,985 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (30,340)
3,280,409 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,398)
58,226,004 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,501,947
14,885,551 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 383,975
5,004,747 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 100,403
16,245,824 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 325,917
6,662,530 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 101,175
6,314,994 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 95,897
2,170,444 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,541)
12,880,702 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 258,407
445,809 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 5,145
12,072,778 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 311,419
88,811,336 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,962,237
6,637,584 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 100,796
3,964,670 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 60,206
13,276,253 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 201,608
7,437,765 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 191,858
2,797,702 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 32,290
3,021,380 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 2,097
3,762,103 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 13,072
4,533,486 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools (5,089)
2,633,757 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 15,999
3,760,601 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 20,855
23,690,805 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 475,274
6,501,203 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (22,589)
5,652,809 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 113,404
10,826,638 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 217,199
10,661,822 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 213,893
10,142,839 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 203,481
11,961,895 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (41,563)
529,812 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 17,035
695,845 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Ginnie Mae II pools (10,044)
7,801,733 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (27,108)
232,631 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2,685
4,033,119 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 46,549
595,714 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,070)
1,589,199 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,522)
542,756 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,886)
8,633,361 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 173,199
3,914,468 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 45,179
7,828,791 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 90,357
4,007,318 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 80,393
7,679,136 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 154,055
5,480,525 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 109,948
17,700,897 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 355,108
8,648,296 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 173,498
24,202,124 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 413,651
23,648,134 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (474,418)
23,559,059 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (472,631)
3,504,069 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (70,297)
3,504,069 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (70,297)
9,053,081 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (233,525)
22,090,034 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 264,743
4,485,584 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (15,586)
8,814,462 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools (101,733)
8,631,695 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 131,078
15,350,453 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 307,954
15,237,861 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 393,062
16,938,157 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (339,806)
16,814,510 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 433,732
31,535,508 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 538,989
17,280,467 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 445,752
20,321,415 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 407,679
22,162,658 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 444,617
15,930,696 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 410,934
22,148,790 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 444,339
33,158,555 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (855,329)
8,951,372 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (230,902)
30,568,797 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (613,258)
30,573,598 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (613,354)
21,072,954 36,219      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (386,537)
37,547,563 1,167,495      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 264,178
EUR 100,700,000 —      6/20/23 1.84% Eurostat Eurozone HICP excluding tobacco 186,128
GBP 21,746,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (282,457)
GBP 21,746,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (330,746)
GBP 43,492,000 —      9/20/17 2.6625% GBP Non-revised UK Retail Price Index (1,322,988)
GBP 21,746,000 —      9/21/17 2.66% GBP Non-revised UK Retail Price Index (661,492)
GBP 21,746,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (330,746)
$1,446,963 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 16,700
JPMorgan Chase Bank N.A.
35,086,564 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 703,891
23,110,432 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 596,136
Royal Bank of Scotland PLC (The)
2,666,922 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 53,503
Total $12,107,093











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB Index BBB-/P $39,713 $581,000 5/11/63 300 bp $(18,213)
  CMBX NA BBB Index BBB-/P 79,608 1,321,000 5/11/63 300 bp (52,096)
  CMBX NA BBB Index BBB-/P 163,473 2,648,000 5/11/63 300 bp (100,533)
  CMBX NA BBB Index BBB-/P 155,838 2,734,000 5/11/63 300 bp (116,742)
Barclays Bank PLC
  Irish Gov't, 4.50%, 4/18/2020 — (336,426) 4,199,000 9/20/17 (100 bp) (268,510)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (685,119) 4,199,000 9/20/17 (100 bp) (276,244)
Credit Suisse International
  CMBX NA BBB Index BBB-/P 14,221 484,000 5/11/63 300 bp (34,033)
  CMBX NA BBB Index BBB-/P 10,844 1,398,000 5/11/63 300 bp (128,536)
  CMBX NA BBB Index BBB-/P 154,416 1,592,000 5/11/63 300 bp (4,306)
  CMBX NA BBB Index BBB-/P 30,845 1,612,000 5/11/63 300 bp (129,872)
  CMBX NA BBB Index BBB-/P 200,330 1,639,000 5/11/63 300 bp 36,922
  CMBX NA BBB Index BBB-/P 202,017 2,538,000 5/11/63 300 bp (51,022)
  CMBX NA BBB Index BBB-/P 199,232 2,735,000 5/11/63 300 bp (73,448)
  CMBX NA BBB Index BBB-/P 32,415 2,792,000 5/11/63 300 bp (245,947)
  CMBX NA BBB Index BBB-/P 47,813 3,112,000 5/11/63 300 bp (262,453)
  CMBX NA BBB Index BBB-/P 308,832 3,184,000 5/11/63 300 bp (8,613)
  CMBX NA BBB Index BBB-/P 361,220 3,197,000 5/11/63 300 bp 42,479
  CMBX NA BBB Index BBB-/P 211,953 3,222,000 5/11/63 300 bp (109,280)
  CMBX NA BBB Index BBB-/P 249,546 3,223,000 5/11/63 300 bp (71,787)
  CMBX NA BBB Index BBB-/P 56,804 3,224,000 5/11/63 300 bp (264,629)
  CMBX NA BBB Index BBB-/P 98,311 3,231,000 5/11/63 300 bp (223,820)
  CMBX NA BBB Index BBB-/P 258,048 3,234,000 5/11/63 300 bp (64,382)
  CMBX NA BBB Index BBB-/P 306,092 3,994,000 5/11/63 300 bp (92,110)
  CMBX NA BBB Index BBB-/P 329,484 8,029,000 5/11/63 300 bp (471,007)
  Spain Gov't, 5.50%, 7/30/2017 — (495,028) 4,199,000 9/20/17 (100 bp) (237,644)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 334,445 2,860,000 3/20/17 500 bp (1,049,371)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B+/P — EUR 2,045,000 9/20/13 715 bp 49,539
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 1,975,000 9/20/13 535 bp 32,326
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 1,975,000 9/20/13 477 bp 28,394
JPMorgan Chase Bank N.A.
  Russian Federation, 7 1/2%, 3/31/30 Baa1 — $495,000 9/20/13 276 bp 6,196
Total $(4,158,742)
*   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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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 June 30, 2013. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
ILS Israeli Shekel
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2012 through June 30, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820  Fair Value Measurements and Disclosures , references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $3,765,482,159.
(b) The aggregate identified cost on a tax basis is $4,603,091,290, resulting in gross unrealized appreciation and depreciation of $106,843,192 and $112,871,417, respectively, or net unrealized depreciation of $6,028,225.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $— $834,930,994 $707,500,419 $60,094 $127,430,575
Putnam Short Term Investment Fund * — 847,453,748 677,161,548 22,145 170,292,200
Totals $— $1,682,384,742 $1,384,661,967 $82,239 $297,722,775
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(g) The notes are secured by debt and equity securities and equity participation agreements held by Neon Capital, Ltd.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives 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.
At the close of the reporting period, the fund maintained liquid assets totaling $1,000,252,928 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 83.8%
Russia 2.2
Venezuela 2.1
Mexico 1.5
Argentina 1.4
Luxembourg 1.1
United Kingdom 1.1
Greece 1.1
Ireland 0.7
Brazil 0.6
Canada 0.6
Ukraine 0.5
Germany 0.5
Other 2.8
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations 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 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 close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value 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. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. 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. 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 and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund used futures contracts to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
An OTC interest rate swap can be purchased or sold with an upfront premium. 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. Upfront premiums are recorded as realized gains and losses at the closing of the contract. 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 recorded as a receivable or payable for variation margin. Payments received or made are recorded as realized gains or losses. 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 on its obligation to perform. The fund’s maximum risk of loss from counterparty 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. There is minimal counterparty risk with respect to centrally cleared interest rate contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In an OTC credit default contract, the protection buyer typically makes an up front payment and 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. 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. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market 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 credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. 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 of the relevant OTC credit default contract.
For the fund's average notional amount on OTC credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
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 and 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 $54,730,050 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $68,690,305.
TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. 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.
TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. 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.












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
Convertible bonds and notes $— $1,079,488 $—
Corporate bonds and notes — 1,265,329,562 308,080
Foreign government and agency bonds and notes — 308,738,988 —
Mortgage-backed securities — 1,662,412,386 —
Senior loans — 47,843,695 —
U.S. government and agency mortgage obligations — 820,313,482 —
Short-term investments 340,482,775 150,554,609 —
Totals by level $340,482,775 $4,256,272,210 $308,080



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(10,067,713) $—
Futures contracts (1,591,003) — —
TBA sale commitments — (236,473,517) —
Interest rate swap contracts — 10,587,544 —
Total return swap contracts — 9,109,440 —
Credit default contracts — (6,487,669) —
Totals by level $(1,591,003) $(233,331,915) $—


At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $850,630 $7,338,299
Foreign exchange contracts 27,344,165 37,411,878
Interest rate contracts 252,311,472 234,205,491
Total $280,506,267 $278,955,668


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Futures contracts (number of contracts) 5,000
Forward currency contracts (contract amount) $3,036,200,000
OTC interest rate swap contracts (notional) $18,330,300,000
Centrally cleared interest rate swap contracts (notional) $1,361,300,000
OTC total return swap contracts (notional) $2,806,800,000
OTC credit default swap contracts (notional) $100,200,000

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



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

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

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

Putnam Diversified Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 29, 2013

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: August 29, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 29, 2013

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