|
Putnam Diversified Income Trust
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|
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The fund's portfolio
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|
12/31/13 (Unaudited)
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|
|
MORTGAGE-BACKED SECURITIES (44.7%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Agency collateralized mortgage obligations (20.7%)
|
|
|
Federal Home Loan Mortgage Corp.
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|
|
|
|
|
|
IFB Ser. 3182, Class SP, 27.934s, 2032
|
|
|
|
$967,797
|
$1,481,227
|
|
IFB Ser. 3408, Class EK, 25.123s, 2037
|
|
|
|
527,927
|
761,820
|
|
IFB Ser. 2979, Class AS, 23.662s, 2034
|
|
|
|
213,872
|
273,756
|
|
IFB Ser. 3998, Class KS, IO, 6.533s, 2027
|
|
|
|
22,454,329
|
3,550,591
|
|
IFB Ser. 4048, Class GS, IO, 6.483s, 2040
|
|
|
|
19,108,064
|
3,730,658
|
|
IFB Ser. 3860, Class SP, IO, 6.433s, 2040
|
|
|
|
30,656,294
|
4,891,518
|
|
IFB Ser. 3861, Class PS, IO, 6.433s, 2037
|
|
|
|
13,717,413
|
2,081,892
|
|
IFB Ser. 4032, Class SA, IO, 6.333s, 2042
|
|
|
|
14,203,167
|
2,729,006
|
|
IFB Ser. 4218, Class PS, IO, 6.083s, 2042
|
|
|
|
28,848,969
|
5,165,769
|
|
IFB Ser. 4125, Class SH, IO, 5.983s, 2042
|
|
|
|
17,121,946
|
3,060,205
|
|
IFB Ser. 4105, Class LS, IO, 5.983s, 2041
|
|
|
|
18,344,996
|
3,529,210
|
|
IFB Ser. 4104, Class S, IO, 5.933s, 2042
|
|
|
|
15,354,733
|
3,191,431
|
|
IFB Ser. 4240, Class SA, IO, 5.833s, 2043
|
|
|
|
134,807,052
|
30,304,625
|
|
IFB Ser. 4245, Class AS, IO, 5.833s, 2043
|
|
|
|
57,357,566
|
12,332,106
|
|
IFB Ser. 310, Class S4, IO, 5.783s, 2043
|
|
|
|
18,668,367
|
4,519,612
|
|
IFB Ser. 311, Class S1, IO, 5.783s, 2043
|
|
|
|
148,015,725
|
31,453,786
|
|
IFB Ser. 308, Class S1, IO, 5.783s, 2043
|
|
|
|
45,676,811
|
10,687,003
|
|
IFB Ser. 315, Class S1, IO, 5.753s, 2043
|
|
|
|
38,825,161
|
8,685,969
|
|
IFB Ser. 314, Class AS, IO, 5.723s, 2043
|
|
|
|
60,282,432
|
12,848,477
|
|
Ser. 3687, Class CI, IO, 5s, 2038
|
|
|
|
19,636,431
|
2,893,624
|
|
Ser. 3632, Class CI, IO, 5s, 2038
|
|
|
|
4,244,523
|
411,719
|
|
Ser. 3626, Class DI, IO, 5s, 2037
|
|
|
|
1,302,406
|
30,125
|
|
Ser. 4122, Class TI, IO, 4 1/2s, 2042
|
|
|
|
25,304,255
|
5,501,145
|
|
Ser. 4000, Class PI, IO, 4 1/2s, 2042
|
|
|
|
34,491,695
|
6,405,108
|
|
Ser. 4024, Class PI, IO, 4 1/2s, 2041
|
|
|
|
53,812,476
|
11,165,874
|
|
Ser. 3747, Class HI, IO, 4 1/2s, 2037
|
|
|
|
6,668,409
|
763,551
|
|
Ser. 4213, Class GI, IO, 4s, 2041
|
|
|
|
50,109,135
|
9,129,884
|
|
Ser. 4220, Class IE, IO, 4s, 2028
|
|
|
|
22,694,381
|
3,037,416
|
|
Ser. 4141, Class IM, IO, 3 1/2s, 2042
|
|
|
|
68,329,612
|
13,494,893
|
|
Ser. 4141, Class IQ, IO, 3 1/2s, 2042
|
|
|
|
35,574,312
|
7,025,891
|
|
Ser. 4122, Class CI, IO, 3 1/2s, 2042
|
|
|
|
34,421,846
|
5,249,332
|
|
Ser. 4105, Class HI, IO, 3 1/2s, 2041
|
|
|
|
15,039,558
|
2,413,548
|
|
Ser. 4165, Class TI, IO, 3s, 2042
|
|
|
|
39,540,454
|
5,579,158
|
|
Ser. 4210, Class PI, IO, 3s, 2041
|
|
|
|
31,677,600
|
3,573,629
|
|
Ser. T-56, Class A, IO, 0.524s, 2043
|
|
|
|
261,482
|
4,484
|
|
Ser. T-57, Class 1AX, IO, 0.399s, 2043
|
|
|
|
17,484,479
|
203,158
|
|
Ser. T-56, Class 1, IO, zero %, 2043
|
|
|
|
306,413
|
24
|
|
Ser. T-56, Class 2, IO, zero %, 2043
|
|
|
|
290,932
|
909
|
|
Ser. T-56, Class 3, IO, zero %, 2043
|
|
|
|
9,030,402
|
705
|
|
Ser. 3314, PO, zero %, 2036
|
|
|
|
157,172
|
144,216
|
|
Ser. 1208, Class F, PO, zero %, 2022
|
|
|
|
81,843
|
76,033
|
|
FRB Ser. 3326, Class WF, zero %, 2035
|
|
|
|
60,750
|
51,944
|
|
|
Federal National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 06-8, Class HP, 23.963s, 2036
|
|
|
|
1,411,256
|
2,144,488
|
|
IFB Ser. 05-45, Class DA, 23.816s, 2035
|
|
|
|
2,932,475
|
4,350,040
|
|
IFB Ser. 05-83, Class QP, 16.966s, 2034
|
|
|
|
450,814
|
581,620
|
|
Ser. 98-T2, Class A4, IO, 6 1/2s, 2036
|
|
|
|
87,301
|
14,316
|
|
IFB Ser. 12-132, Class SB, IO, 6.035s, 2042
|
|
|
|
52,331,030
|
8,650,843
|
|
IFB Ser. 13-81, Class QS, IO, 6.035s, 2041
|
|
|
|
32,896,330
|
5,781,273
|
|
IFB Ser. 13-41, Class SP, IO, 6.035s, 2040
|
|
|
|
16,191,957
|
2,671,673
|
|
IFB Ser. 13-9, Class JS, IO, 5.985s, 2043
|
|
|
|
33,709,327
|
7,771,618
|
|
IFB Ser. 13-18, Class SB, IO, 5.985s, 2041
|
|
|
|
29,199,877
|
5,086,618
|
|
IFB Ser. 12-105, Class S, IO, 5.885s, 2042
|
|
|
|
10,148,278
|
1,877,431
|
|
IFB Ser. 13-92, Class SA, IO, 5.785s, 2043
|
|
|
|
37,315,125
|
8,687,707
|
|
IFB Ser. 13-103, Class SK, IO, 5.755s, 2043
|
|
|
|
25,501,706
|
5,704,678
|
|
IFB Ser. 13-128, Class CS, IO, 5.735s, 2043
|
|
|
|
52,273,154
|
11,303,547
|
|
IFB Ser. 13-101, Class CS, IO, 5.735s, 2043
|
|
|
|
33,418,526
|
7,275,213
|
|
IFB Ser. 13-102, Class SH, IO, 5.735s, 2043
|
|
|
|
60,852,794
|
12,864,281
|
|
IFB Ser. 10-46, Class WS, IO, 5.585s, 2040
|
|
|
|
39,198,074
|
5,264,693
|
|
Ser. 399, Class 2, IO, 5 1/2s, 2039
|
|
|
|
136,447
|
22,977
|
|
Ser. 374, Class 6, IO, 5 1/2s, 2036
|
|
|
|
5,132,037
|
927,924
|
|
Ser. 12-132, Class PI, IO, 5s, 2042
|
|
|
|
54,101,302
|
11,416,998
|
|
Ser. 398, Class C5, IO, 5s, 2039
|
|
|
|
3,140,407
|
502,465
|
|
Ser. 10-13, Class EI, IO, 5s, 2038
|
|
|
|
1,548,589
|
55,360
|
|
Ser. 378, Class 19, IO, 5s, 2035
|
|
|
|
5,109,157
|
881,330
|
|
Ser. 12-30, Class HI, IO, 4 1/2s, 2040
|
|
|
|
38,145,317
|
7,560,402
|
|
Ser. 409, Class 81, IO, 4 1/2s, 2040
|
|
|
|
36,599,439
|
7,451,661
|
|
Ser. 404, Class 2, IO, 4 1/2s, 2040
|
|
|
|
357,959
|
75,829
|
|
Ser. 366, Class 22, IO, 4 1/2s, 2035
|
|
|
|
4,902,499
|
388,474
|
|
Ser. 418, Class C24, IO, 4s, 2043
|
|
|
|
62,305,048
|
15,016,489
|
|
Ser. 13-44, Class PI, IO, 4s, 2043
|
|
|
|
24,888,835
|
4,223,324
|
|
Ser. 13-60, Class IP, IO, 4s, 2042
|
|
|
|
20,126,388
|
3,735,225
|
|
Ser. 12-96, Class PI, IO, 4s, 2041
|
|
|
|
8,476,756
|
1,528,783
|
|
Ser. 406, Class 2, IO, 4s, 2041
|
|
|
|
35,257,351
|
7,157,242
|
|
Ser. 406, Class 1, IO, 4s, 2041
|
|
|
|
24,147,648
|
4,952,683
|
|
Ser. 409, Class C16, IO, 4s, 2040
|
|
|
|
24,015,010
|
5,082,714
|
|
Ser. 405, Class 2, IO, 4s, 2040
|
|
|
|
386,136
|
76,324
|
|
Ser. 418, Class C15, IO, 3 1/2s, 2043
|
|
|
|
127,701,218
|
29,640,653
|
|
Ser. 13-70, Class CI, IO, 3 1/2s, 2043
|
|
|
|
20,280,065
|
2,871,657
|
|
Ser. 13-40, Class YI, IO, 3 1/2s, 2042
|
|
|
|
45,258,224
|
7,354,461
|
|
Ser. 12-145, Class TI, IO, 3s, 2042
|
|
|
|
37,840,970
|
4,480,371
|
|
Ser. 13-35, Class IP, IO, 3s, 2042
|
|
|
|
23,221,629
|
2,791,131
|
|
Ser. 13-53, Class JI, IO, 3s, 2041
|
|
|
|
38,183,691
|
5,441,176
|
|
Ser. 13-30, Class IP, IO, 3s, 2041
|
|
|
|
40,478,570
|
4,470,453
|
|
Ser. 03-W10, Class 1, IO, 1.128s, 2043
|
|
|
|
7,891,718
|
251,240
|
|
Ser. 00-T6, IO, 0.739s, 2030
|
|
|
|
8,952,493
|
190,240
|
|
Ser. 01-T1, Class 1, IO, 0.722s, 2040
|
|
|
|
1,054,043
|
25,792
|
|
Ser. 01-50, Class B1, IO, 0.409s, 2041
|
|
|
|
434,996
|
5,845
|
|
Ser. 02-W8, Class 1, IO, 0.321s, 2042
|
|
|
|
12,779,653
|
151,758
|
|
Ser. 99-51, Class N, PO, zero %, 2029
|
|
|
|
125,932
|
120,071
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 10-151, Class SL, IO, 6.533s, 2039
|
|
|
|
19,141,044
|
3,347,577
|
|
IFB Ser. 10-163, Class SI, IO, 6.463s, 2037
|
|
|
|
25,875,129
|
3,881,295
|
|
Ser. 10-9, Class XD, IO, 6.433s, 2040
|
|
|
|
168,821,283
|
30,315,238
|
|
IFB Ser. 11-41, Class SM, IO, 6.433s, 2041
|
|
|
|
17,645,340
|
3,483,576
|
|
IFB Ser. 11-11, Class PS, IO, 6.433s, 2040
|
|
|
|
24,550,239
|
3,928,038
|
|
IFB Ser. 11-3, Class SG, IO, 6.383s, 2041
|
|
|
|
7,047,372
|
1,354,928
|
|
IFB Ser. 10-55, Class SG, IO, 6.333s, 2040
|
|
|
|
26,130,928
|
4,660,190
|
|
IFB Ser. 10-35, Class CS, IO, 6.303s, 2040
|
|
|
|
34,006,872
|
6,461,272
|
|
IFB Ser. 11-56, Class MI, IO, 6.283s, 2041
|
|
|
|
79,840,443
|
18,086,255
|
|
IFB Ser. 10-67, Class SE, IO, 6.283s, 2040
|
|
|
|
15,748,109
|
2,779,069
|
|
IFB Ser. 13-91, Class SP, IO, 6.133s, 2042
|
|
|
|
50,695,925
|
9,408,657
|
|
IFB Ser. 12-149, Class LS, IO, 6.083s, 2042
|
|
|
|
30,141,304
|
4,999,237
|
|
IFB Ser. 10-20, Class SE, IO, 6.083s, 2040
|
|
|
|
93,212,639
|
16,013,931
|
|
IFB Ser. 10-26, Class QS, IO, 6.083s, 2040
|
|
|
|
22,893,753
|
4,235,344
|
|
IFB Ser. 13-37, Class S, IO, 6.063s, 2043
|
|
|
|
23,920,538
|
4,080,844
|
|
IFB Ser. 13-113, Class SL, IO, 6.063s, 2042
|
|
|
|
40,503,901
|
7,173,620
|
|
IFB Ser. 13-87, Class AS, IO, 6.033s, 2043
|
|
|
|
53,125,358
|
9,031,364
|
|
IFB Ser. 13-87, Class SA, IO, 6.033s, 2043
|
|
|
|
38,279,755
|
6,361,262
|
|
IFB Ser. 13-98, Class DS, IO, 6.033s, 2042
|
|
|
|
30,950,453
|
5,803,210
|
|
IFB Ser. 13-129, Class SN, IO, 5.983s, 2043
|
|
|
|
31,566,011
|
4,902,833
|
|
IFB Ser. 13-122, Class DS, IO, 5.983s, 2043
|
|
|
|
42,251,511
|
6,829,078
|
|
IFB Ser. 13-102, Class AS, IO, 5.983s, 2043
|
|
|
|
26,740,457
|
4,746,404
|
|
IFB Ser. 13-165, Class LS, IO, 5.983s, 2043
|
|
|
|
20,929,061
|
3,813,275
|
|
IFB Ser. 13-99, Class SL, IO, 5.983s, 2043
|
|
|
|
34,111,843
|
5,949,788
|
|
IFB Ser. 10-20, Class SC, IO, 5.983s, 2040
|
|
|
|
119,471,561
|
20,741,458
|
|
IFB Ser. 13-184, Class SP, IO, 5.981s, 2043
|
|
|
|
66,244,250
|
12,549,973
|
|
Ser. 13-149, Class MS, IO, 5.933s, 2039
|
|
|
|
54,768,126
|
8,728,396
|
|
IFB Ser. 13-99, Class VS, IO, 5.933s, 2043
|
|
|
|
30,349,555
|
5,156,996
|
|
IFB Ser. 12-77, Class MS, IO, 5.933s, 2042
|
|
|
|
26,552,961
|
6,109,305
|
|
IFB Ser. 13-99, Class AS, IO, 5.883s, 2043
|
|
|
|
14,638,636
|
3,286,959
|
|
IFB Ser. 11-128, Class TS, IO, 5.883s, 2041
|
|
|
|
19,599,464
|
4,008,090
|
|
IFB Ser. 11-17, Class S, IO, 5.883s, 2041
|
|
|
|
44,061,442
|
7,008,854
|
|
IFB Ser. 10-158, Class SA, IO, 5.883s, 2040
|
|
|
|
12,862,573
|
2,239,374
|
|
IFB Ser. 10-151, Class SA, IO, 5.883s, 2040
|
|
|
|
30,911,130
|
5,383,482
|
|
IFB Ser. 10-113, Class SM, IO, 5.883s, 2040
|
|
|
|
34,028,482
|
5,487,059
|
|
IFB Ser. 13-184, Class SK, IO, 5.881s, 2043
|
|
|
|
38,894,000
|
6,962,804
|
|
IFB Ser. 10-121, Class SE, IO, 5.833s, 2040
|
|
|
|
31,456,211
|
5,033,057
|
|
IFB Ser. 10-89, Class SD, IO, 5.763s, 2040
|
|
|
|
11,830,179
|
1,996,366
|
|
IFB Ser. 11-70, Class SM, IO, 5.723s, 2041
|
|
|
|
32,221,000
|
7,807,793
|
|
IFB Ser. 11-70, Class SH, IO, 5.723s, 2041
|
|
|
|
33,097,000
|
8,027,677
|
|
IFB Ser. 10-68, Class MS, IO, 5.683s, 2040
|
|
|
|
20,672,401
|
3,255,903
|
|
IFB Ser. 10-15, Class BS, IO, 5.613s, 2040
|
|
|
|
23,193,593
|
3,523,107
|
|
IFB Ser. 10-43, Class KS, IO, 5.583s, 2040
|
|
|
|
24,580,947
|
3,731,388
|
|
IFB Ser. 10-31, Class SA, IO, 5.583s, 2040
|
|
|
|
65,531,365
|
10,792,963
|
|
IFB Ser. 10-37, Class SG, IO, 5.533s, 2040
|
|
|
|
30,847,677
|
4,883,804
|
|
IFB Ser. 10-115, Class BS, IO, 5.233s, 2040
|
|
|
|
26,299,923
|
3,898,964
|
|
Ser. 13-3, Class IT, IO, 5s, 2043
|
|
|
|
17,675,629
|
3,997,355
|
|
Ser. 13-6, Class IC, IO, 5s, 2043
|
|
|
|
15,319,332
|
3,210,626
|
|
Ser. 12-146, Class IO, IO, 5s, 2042
|
|
|
|
32,937,959
|
6,946,945
|
|
Ser. 13-6, Class CI, IO, 5s, 2042
|
|
|
|
11,470,548
|
2,337,239
|
|
Ser. 13-130, Class IB, IO, 5s, 2040
|
|
|
|
33,529,410
|
4,809,459
|
|
Ser. 13-16, Class IB, IO, 5s, 2040
|
|
|
|
48,759,009
|
5,982,672
|
|
Ser. 11-41, Class BI, IO, 5s, 2040
|
|
|
|
33,125,241
|
4,451,022
|
|
Ser. 10-35, Class UI, IO, 5s, 2040
|
|
|
|
87,592,850
|
19,727,327
|
|
Ser. 10-20, Class UI, IO, 5s, 2040
|
|
|
|
41,017,283
|
8,712,891
|
|
Ser. 10-9, Class UI, IO, 5s, 2040
|
|
|
|
196,436,097
|
43,612,880
|
|
Ser. 09-121, Class UI, IO, 5s, 2039
|
|
|
|
88,531,042
|
19,286,488
|
|
Ser. 13-34, Class IH, IO, 4 1/2s, 2043
|
|
|
|
52,692,681
|
11,458,234
|
|
Ser. 13-24, Class IC, IO, 4 1/2s, 2043
|
|
|
|
8,675,350
|
1,866,155
|
|
Ser. 13-24, Class IK, IO, 4 1/2s, 2043
|
|
|
|
26,822,217
|
5,765,704
|
|
Ser. 11-140, Class BI, IO, 4 1/2s, 2040
|
|
|
|
22,980,967
|
3,147,243
|
|
Ser. 10-35, Class AI, IO, 4 1/2s, 2040
|
|
|
|
31,839,210
|
6,507,139
|
|
Ser. 10-35, Class QI, IO, 4 1/2s, 2040
|
|
|
|
77,927,076
|
16,745,021
|
|
Ser. 10-9, Class QI, IO, 4 1/2s, 2040
|
|
|
|
128,506,939
|
28,252,137
|
|
Ser. 10-168, Class PI, IO, 4 1/2s, 2039
|
|
|
|
22,227,019
|
4,105,330
|
|
Ser. 10-158, Class IP, IO, 4 1/2s, 2039
|
|
|
|
31,568,544
|
5,506,817
|
|
Ser. 10-98, Class PI, IO, 4 1/2s, 2037
|
|
|
|
11,610,957
|
1,364,287
|
|
Ser. 13-165, Class IL, IO, 4s, 2043
|
|
|
|
19,314,960
|
3,449,652
|
|
Ser. 13-27, Class IJ, IO, 4s, 2043
|
|
|
|
25,534,617
|
5,851,002
|
|
Ser. 13-24, Class PI, IO, 4s, 2042
|
|
|
|
11,611,455
|
2,196,074
|
|
Ser. 12-106, Class QI, IO, 4s, 2042
|
|
|
|
33,956,872
|
6,331,598
|
|
Ser. 12-56, Class IB, IO, 4s, 2042
|
|
|
|
16,293,248
|
3,752,286
|
|
Ser. 13-102, Class IP, IO, 3 1/2s, 2043
|
|
|
|
31,293,033
|
4,537,552
|
|
Ser. 13-76, Class IO, IO, 3 1/2s, 2043
|
|
|
|
92,265,404
|
16,923,320
|
|
Ser. 13-28, Class IO, IO, 3 1/2s, 2043
|
|
|
|
28,601,238
|
4,567,260
|
|
Ser. 13-54, Class JI, IO, 3 1/2s, 2043
|
|
|
|
53,780,804
|
9,424,548
|
|
Ser. 13-37, Class JI, IO, 3 1/2s, 2043
|
|
|
|
50,768,216
|
8,277,250
|
|
Ser. 13-27, Class PI, IO, 3 1/2s, 2042
|
|
|
|
38,057,384
|
6,698,100
|
|
Ser. 12-140, Class IC, IO, 3 1/2s, 2042
|
|
|
|
61,316,936
|
14,409,848
|
|
Ser. 12-92, Class AI, IO, 3 1/2s, 2042
|
|
|
|
32,157,854
|
5,937,304
|
|
Ser. 12-48, Class AI, IO, 3 1/2s, 2036
|
|
|
|
26,461,649
|
5,218,502
|
|
Ser. 13-37, Class UI, IO, 3s, 2042
|
|
|
|
31,007,707
|
4,612,396
|
|
Ser. 13-41, Class MI, IO, 3s, 2041
|
|
|
|
29,855,953
|
4,256,862
|
|
Ser. 06-36, Class OD, PO, zero %, 2036
|
|
|
|
30,558
|
26,482
|
|
Ser. 06-64, PO, zero %, 2034
|
|
|
|
109,318
|
107,299
|
|
|
Structured Asset Securities Corp. 144A
|
|
|
|
|
|
|
Ser. 98-RF3, Class A, IO, 6.1s, 2028
|
|
|
|
390,441
|
50,757
|
|
IFB Ser. 07-4, Class 1A3, IO, 6.007s, 2045
|
|
|
|
120,639,598
|
21,111,930
|
|
|
|
|
1,089,109,172
|
|
Commercial mortgage-backed securities (15.4%)
|
|
|
Banc of America Commercial Mortgage Trust
|
|
|
|
|
|
|
Ser. 06-4, Class AJ, 5.695s, 2046
|
|
|
|
11,655,000
|
11,996,561
|
|
Ser. 06-1, Class B, 5.49s, 2045
|
|
|
|
4,164,000
|
3,854,345
|
|
FRB Ser. 05-1, Class B, 5.29s, 2042
|
|
|
|
6,655,000
|
6,825,501
|
|
FRB Ser. 05-6, Class B, 5.184s, 2047
|
|
|
|
7,000,000
|
7,417,648
|
|
|
Banc of America Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 01-1, Class K, 6 1/8s, 2036
|
|
|
|
2,313,936
|
1,115,315
|
|
Ser. 07-5, Class XW, IO, 0.364s, 2051
|
|
|
|
195,676,305
|
1,815,289
|
|
|
Bear Stearns Commercial Mortgage Securities Trust
|
|
|
|
|
|
|
FRB Ser. 07-PW17, Class AJ, 5.887s, 2050
|
|
|
|
3,285,000
|
3,194,663
|
|
Ser. 06-PW13, Class AJ, 5.611s, 2041
|
|
|
|
4,750,000
|
4,826,988
|
|
FRB Ser. 06-PW11, Class AJ, 5.439s, 2039
|
|
|
|
1,580,000
|
1,622,463
|
|
Ser. 05-PWR7, Class D, 5.304s, 2041
|
|
|
|
4,190,000
|
3,884,549
|
|
Ser. 05-PWR7, Class C, 5.235s, 2041
|
|
|
|
4,945,000
|
4,698,704
|
|
Ser. 05-PWR7, Class B, 5.214s, 2041
|
|
|
|
7,239,000
|
7,321,439
|
|
Ser. 05-PWR9, Class C, 5.055s, 2042
|
|
|
|
3,745,000
|
3,540,149
|
|
Ser. 05-PWR9, Class AJ, 4.985s, 2042
|
|
|
|
1,723,000
|
1,754,531
|
|
|
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class C, 5.439s, 2039
|
|
|
|
3,536,000
|
3,444,064
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
|
|
FRB Ser. 06-C4, Class B, 5.778s, 2049
|
|
|
|
10,998,000
|
10,539,383
|
|
Ser. 06-C5, Class AJ, 5.482s, 2049
|
|
|
|
7,567,000
|
7,407,367
|
|
FRB Ser. 05-C3, Class B, 5.029s, 2043
|
|
|
|
16,007,000
|
14,856,097
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
FRB Ser. 07-CD5, Class E, 6.118s, 2044
|
|
|
|
8,486,000
|
8,231,420
|
|
Ser. 07-CD5, Class XS, IO, 0.043s, 2044
|
|
|
|
131,048,767
|
578,169
|
|
|
COMM Mortgage Trust Ser. 07-C9, Class AJ, 5.65s, 2049
|
|
|
|
2,860,000
|
2,969,252
|
|
|
COMM Mortgage Trust 144A
|
|
|
|
|
|
|
FRB Ser. 13-LC13, Class D, 5.05s, 2046
|
|
|
|
18,552,000
|
16,494,672
|
|
FRB Ser. 13-LC6, Class D, 4.29s, 2046
|
|
|
|
8,936,000
|
7,530,020
|
|
FRB Ser. 13-CR6, Class D, 4.176s, 2046
|
|
|
|
7,779,000
|
6,455,178
|
|
FRB Ser. 13-CR8, Class D, 3.971s, 2046
|
|
|
|
7,568,000
|
6,124,867
|
|
FRB Ser. 07-C9, Class AJFL, 0.86s, 2049
|
|
|
|
14,635,000
|
12,878,800
|
|
|
Commercial Mortgage Trust 144A FRB Ser. 12-LC4, Class D, 5.648s, 2044
|
|
|
|
7,782,000
|
7,632,586
|
|
|
Cornerstone Titan PLC 144A
|
|
|
|
|
|
|
FRB Ser. 05-CT2A, Class E, 1.567s, 2014 (Ireland)
|
|
|
GBP
|
643,029
|
953,017
|
|
FRB Ser. 05-CT1A, Class D, 1.565s, 2014 (Ireland)
|
|
|
GBP
|
42,903
|
70,335
|
|
|
Credit Suisse First Boston Commercial Mortgage Trust
|
|
|
|
|
|
|
Ser. 05-C5, Class C, 5.1s, 2038
|
|
|
|
$4,077,000
|
4,174,386
|
|
Ser. 05-C5, Class F, 5.1s, 2038
|
|
|
|
4,760,000
|
4,593,400
|
|
|
Credit Suisse First Boston Mortgage Securities Corp. 144A
|
|
|
|
|
|
|
Ser. 02-CP5, Class H, 6.326s, 2035
|
|
|
|
9,440,000
|
8,304,689
|
|
Ser. 02-CP5, Class M, 5 1/4s, 2035
|
|
|
|
1,223,680
|
76,480
|
|
|
Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, IO, 0.211s, 2039
|
|
|
|
214,727,044
|
1,245,417
|
|
|
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)
|
|
|
|
4,521,854
|
185,396
|
|
|
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.418s, 2044
|
|
|
|
27,897,000
|
27,498,413
|
|
|
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.032s, 2020
|
|
|
|
13,185,912
|
243,544
|
|
|
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035
|
|
|
|
3,121,100
|
1,956,627
|
|
|
GE Capital Commercial Mortgage Corp.
|
|
|
|
|
|
|
FRB Ser. 05-C4, Class AJ, 5.31s, 2045
|
|
|
|
10,193,000
|
9,893,326
|
|
FRB Ser. 06-C1, Class AJ, 5.28s, 2044
|
|
|
|
6,282,269
|
6,084,189
|
|
|
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041
|
|
|
|
4,022,000
|
3,546,921
|
|
|
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042
|
|
|
|
16,043,000
|
16,004,449
|
|
|
GS Mortgage Securities Trust
|
|
|
|
|
|
|
Ser. 06-GG8, Class AJ, 5.622s, 2039
|
|
|
|
3,663,000
|
3,587,491
|
|
Ser. 05-GG4, Class AJ, 4.782s, 2039
|
|
|
|
7,032,000
|
7,096,793
|
|
|
GS Mortgage Securities Trust 144A
|
|
|
|
|
|
|
FRB Ser. 11-GC3, Class D, 5.543s, 2044
|
|
|
|
17,502,000
|
17,622,919
|
|
FRB Ser. GC10, Class D, 4.415s, 2046
|
|
|
|
5,376,000
|
4,646,477
|
|
Ser. 05-GG4, Class XC, IO, 0.742s, 2039
|
|
|
|
341,711,836
|
2,562,839
|
|
|
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.165s, 2030 (Cayman Islands)
|
|
|
|
2,453,000
|
1,644,737
|
|
|
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class D, 4.087s, 2045
|
|
|
|
15,385,000
|
12,728,798
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
|
|
FRB Ser. 07-CB20, Class AJ, 6.071s, 2051
|
|
|
|
12,711,000
|
13,004,624
|
|
FRB Ser. 06-LDP7, Class AJ, 5.863s, 2045
|
|
|
|
10,865,000
|
10,896,997
|
|
FRB Ser. 06-LDP7, Class B, 5.863s, 2045
|
|
|
|
9,729,000
|
8,366,994
|
|
Ser. 06-LDP6, Class AJ, 5.565s, 2043
|
|
|
|
20,859,000
|
21,303,297
|
|
FRB Ser. 05-LDP3, Class D, 5.192s, 2042
|
|
|
|
7,191,000
|
6,968,798
|
|
FRB Ser. 04-CBX, Class B, 5.021s, 2037
|
|
|
|
2,344,000
|
2,378,892
|
|
FRB Ser. 05-LDP2, Class E, 4.981s, 2042
|
|
|
|
13,871,000
|
12,781,217
|
|
FRB Ser. 04-C3, Class C, 4.981s, 2042
|
|
|
|
4,777,000
|
4,681,460
|
|
FRB Ser. 13-LC11, Class D, 4.243s, 2046
|
|
|
|
13,148,000
|
11,077,337
|
|
FRB Ser. 13-C10, Class D, 4.161s, 2047
|
|
|
|
6,108,000
|
5,140,152
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust 144A
|
|
|
|
|
|
|
FRB Ser. 07-CB20, Class C, 6.171s, 2051
|
|
|
|
9,324,000
|
8,685,865
|
|
FRB Ser. 11-C3, Class E, 5.541s, 2046
|
|
|
|
6,889,000
|
6,863,511
|
|
FRB Ser. 12-LC9, Class E, 4.427s, 2047
|
|
|
|
6,905,000
|
6,039,306
|
|
FRB Ser. 13-C13, Class D, 4.056s, 2046
|
|
|
|
13,946,000
|
11,561,669
|
|
Ser. 07-CB20, Class X1, IO, 0.154s, 2051
|
|
|
|
255,545,588
|
2,425,639
|
|
|
LB Commercial Conduit Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 99-C1, Class G, 6.41s, 2031
|
|
|
|
8,260,023
|
8,588,656
|
|
Ser. 98-C4, Class J, 5.6s, 2035
|
|
|
|
3,535,000
|
3,954,251
|
|
|
LB-UBS Commercial Mortgage Trust
|
|
|
|
|
|
|
Ser. 06-C3, Class AJ, 5.72s, 2039
|
|
|
|
9,917,000
|
10,019,145
|
|
Ser. 06-C6, Class E, 5.541s, 2039
|
|
|
|
9,358,000
|
8,681,417
|
|
Ser. 07-C1, Class AJ, 5.484s, 2040
|
|
|
|
14,438,000
|
14,645,907
|
|
FRB Ser. 06-C6, Class C, 5.482s, 2039
|
|
|
|
4,186,000
|
4,023,793
|
|
FRB Ser. 05-C2, Class D, 5.244s, 2040
|
|
|
|
4,875,000
|
4,131,563
|
|
|
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.38s, 2028
|
|
|
|
339,683
|
37
|
|
|
Merrill Lynch Mortgage Trust
|
|
|
|
|
|
|
FRB Ser. 08-C1, Class AJ, 6.263s, 2051
|
|
|
|
4,285,000
|
4,580,665
|
|
FRB Ser. 05-CIP1, Class C, 5.21s, 2038
|
|
|
|
5,991,000
|
5,489,254
|
|
FRB Ser. 05-CIP1, Class B, 5.18s, 2038
|
|
|
|
5,395,000
|
5,179,200
|
|
Ser. 04-KEY2, Class D, 5.046s, 2039
|
|
|
|
4,390,000
|
4,402,731
|
|
Ser. 05-MCP1, Class D, 5.023s, 2043
|
|
|
|
4,029,000
|
3,903,698
|
|
|
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046
|
|
|
|
3,901,000
|
3,805,426
|
|
|
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049
|
|
|
|
10,799,000
|
10,259,050
|
|
|
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049
|
|
|
|
9,331,000
|
8,975,489
|
|
|
Mezz Cap Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 04-C1, Class X, IO, 8.59s, 2037
|
|
|
|
1,287,289
|
54,710
|
|
Ser. 07-C5, Class X, IO, 5.488s, 2049
|
|
|
|
6,713,227
|
481,338
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust 144A
|
|
|
|
|
|
|
FRB Ser. 13-C11, Class D, 4.419s, 2046
|
|
|
|
10,082,000
|
8,578,774
|
|
|
Ser. 13-C8, Class D, 4.172s, 2048
|
|
|
|
6,644,000
|
5,575,645
|
|
Ser. 13-C10, Class D, 4.083s, 2046
|
|
|
|
7,253,000
|
6,002,365
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
|
|
Ser. 07-HQ11, Class C, 5.558s, 2044
|
|
|
|
4,619,000
|
4,042,549
|
|
FRB Ser. 06-HQ8, Class D, 5.497s, 2044
|
|
|
|
8,329,000
|
7,308,698
|
|
Ser. 06-HQ10, Class AJ, 5.389s, 2041
|
|
|
|
10,341,000
|
10,406,148
|
|
Ser. 04-HQ4, Class E, 5.15s, 2040
|
|
|
|
4,766,000
|
4,766,000
|
|
|
Morgan Stanley Capital I Trust 144A
|
|
|
|
|
|
|
FRB Ser. 04-RR, Class F7, 6s, 2039
|
|
|
|
9,491,148
|
9,028,455
|
|
FRB Ser. 04-HQ3, Class K , 5.759s, 2041
|
|
|
|
13,937,000
|
14,454,063
|
|
|
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, 3.238s, 2038
|
|
|
|
2,016,779
|
1,794,934
|
|
|
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
|
|
|
|
4,233,255
|
1,058,314
|
|
|
UBS-Barclays Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
FRB Ser. 12-C3, Class D, 4.958s, 2049
|
|
|
|
2,949,000
|
2,622,474
|
|
Ser. 13-C6, Class D, 4.354s, 2046
|
|
|
|
8,788,000
|
7,459,254
|
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
FRB Ser. 06-C26, Class AJ, 5.997s, 2045
|
|
|
|
21,124,000
|
21,212,721
|
|
FRB Ser. 06-C25, Class AJ, 5.724s, 2043
|
|
|
|
11,577,000
|
11,937,045
|
|
Ser. 06-C24, Class AJ, 5.658s, 2045
|
|
|
|
15,521,000
|
15,364,238
|
|
FRB Ser. 05-C20, Class B, 5.241s, 2042
|
|
|
|
15,494,522
|
15,927,750
|
|
FRB Ser. 05-C21, Class D, 5.239s, 2044
|
|
|
|
24,100,000
|
24,752,724
|
|
Ser. 07-C34, IO, 0.337s, 2046
|
|
|
|
69,416,872
|
839,944
|
|
|
Wachovia Bank Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
FRB Ser. 04-C10, Class H, 5.429s, 2041
|
|
|
|
6,983,000
|
6,980,207
|
|
FRB Ser. 04-C11, Class G, 5.427s, 2041
|
|
|
|
5,825,000
|
5,835,019
|
|
FRB Ser. 04-C10, Class J, 5.007s, 2041
|
|
|
|
7,401,000
|
7,378,797
|
|
|
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.304s, 2046
|
|
|
|
11,908,000
|
9,857,481
|
|
|
WF-RBS Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
FRB Ser. 12-C6, Class D, 5.563s, 2045
|
|
|
|
5,394,000
|
5,213,638
|
|
FRB Ser. 13-C17, Class D, 5.127s, 2046
|
|
|
|
23,441,000
|
21,302,009
|
|
FRB Ser. 12-C9, Class D, 4.803s, 2045
|
|
|
|
1,690,000
|
1,528,774
|
|
|
FRB Ser. 13-C15, Class D, 4.486s, 2046
|
|
|
|
19,111,000
|
16,671,361
|
|
FRB Ser. 13-C12, Class D, 4.357s, 2048
|
|
|
|
10,575,000
|
9,014,976
|
|
FRB Ser. 13-C11, Class D, 4.184s, 2045
|
|
|
|
4,677,000
|
3,899,449
|
|
FRB Ser. 13-C14, Class D, 4.002s, 2046
|
|
|
|
12,895,000
|
10,567,453
|
|
|
|
|
809,656,510
|
|
Residential mortgage-backed securities (non-agency) (8.6%)
|
|
|
American Home Mortgage Assets Trust FRB Ser. 06-5, Class A1, 1.064s, 2046
|
|
|
|
16,868,179
|
8,771,453
|
|
|
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1A, 0.325s, 2047
|
|
|
|
23,038,280
|
16,391,736
|
|
|
Banc of America Funding Corp.
|
|
|
|
|
|
|
Ser. 06-2, Class 2A2, 6 1/4s, 2036
|
|
|
|
4,996,801
|
4,982,061
|
|
Ser. 06-2, Class 2A13, 6s, 2036
|
|
|
|
5,712,457
|
5,726,738
|
|
FRB Ser. 06-G, Class 2A5, 0.447s, 2036
|
|
|
|
4,045,680
|
3,479,285
|
|
|
Barclays Capital, LLC Trust
|
|
|
|
|
|
|
Ser. 12-RR10, Class 8A3, 15 3/4s, 2036
|
|
|
|
1,907,360
|
1,041,610
|
|
Ser. 13-RR1, Class 3A3, 13.057s, 2037
|
|
|
|
3,405,451
|
2,858,876
|
|
Ser. 13-RR1, Class 9A4, 10.132s, 2036
|
|
|
|
2,377,000
|
2,385,320
|
|
Ser. 13-RR1, Class 2A4, 9.588s, 2036
|
|
|
|
4,952,337
|
4,521,484
|
|
Ser. 13-RR1, Class 3A2, 4s, 2037
|
|
|
|
2,980,652
|
2,963,960
|
|
Ser. 13-RR1, Class 4A2, 4s, 2037
|
|
|
|
3,287,852
|
3,254,316
|
|
Ser. 12-RR10, Class 8A2, 4s, 2036
|
|
|
|
3,897,020
|
3,857,271
|
|
FRB Ser. 12-RR10, Class 9A2, 2.66s, 2035
|
|
|
|
9,361,295
|
8,186,452
|
|
Ser. 13-RR1, Class 1A2, 2.434s, 2035
|
|
|
|
5,838,493
|
4,732,099
|
|
|
Barclays Capital, LLC Trust 144A
|
|
|
|
|
|
|
FRB Ser. 12-RR12, Class 2A3, 12 5/8s, 2035
|
|
|
|
3,441,191
|
3,165,896
|
|
FRB Ser. 12-RR11, Class 5A3, 11.012s, 2037
|
|
|
|
1,591,936
|
956,913
|
|
FRB Ser. 13-RR2, Class 3A2, 7.67s, 2036
|
|
|
|
3,193,000
|
2,953,525
|
|
FRB Ser. 10-RR12, Class 6A1, 5.995s, 2037
|
|
|
|
10,311,542
|
10,520,866
|
|
Ser. 12-RR12, Class 2A2, 4s, 2035
|
|
|
|
2,619,780
|
2,593,058
|
|
FRB Ser. 12-RR1, Class 1A4, 2.758s, 2037
|
|
|
|
6,657,281
|
4,700,041
|
|
FRB Ser. 09-RR6, Class 1A2, 2.43s, 2035
|
|
|
|
7,751,421
|
6,588,708
|
|
Ser. 09-RR7, Class 1A7, IO, 1.685s, 2046
|
|
|
|
346,237,171
|
10,819,912
|
|
Ser. 09-RR7, Class 2A7, IO, 1.508s, 2047
|
|
|
|
311,379,336
|
9,746,173
|
|
FRB Ser. 12-RR1, Class 6A5, 0.358s, 2046
|
|
|
|
5,320,000
|
4,641,700
|
|
|
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.04s, 2034
|
|
|
|
265,627
|
18,505
|
|
|
Citigroup Mortgage Loan Trust, Inc. 144A
|
|
|
|
|
|
|
FRB Ser. 11-2, Class 3A2, 8.329s, 2037
|
|
|
|
6,434,161
|
6,163,412
|
|
FRB Ser. 11-12, Class 2A2, 0.535s, 2035
|
|
|
|
8,520,000
|
6,901,200
|
|
|
Countrywide Alternative Loan Trust
|
|
|
|
|
|
|
Ser. 07-16CB, Class 4A7, 6s, 2037
|
|
|
|
12,360,433
|
10,767,173
|
|
Ser. 06-5T2, Class A7, 6s, 2036
|
|
|
|
5,937,515
|
4,815,485
|
|
Ser. 07-4CB, Class 1A6, 5 3/4s, 2037
|
|
|
|
10,778,985
|
9,431,612
|
|
FRB Ser. 05-59, Class 1A1, 0.497s, 2035
|
|
|
|
14,058,929
|
10,772,654
|
|
FRB Ser. 05-56, Class 4A1, 0.475s, 2035
|
|
|
|
14,522,013
|
11,891,350
|
|
FRB Ser. 05-81, Class A1, 0.445s, 2037
|
|
|
|
10,083,352
|
7,417,314
|
|
|
Credit Suisse Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
FRB Ser. 08-4R, Class 3A4, 2.702s, 2038
|
|
|
|
6,487,000
|
5,838,300
|
|
FRB Ser. 08-4R, Class 1A4, 0.565s, 2037
|
|
|
|
5,000,000
|
3,790,000
|
|
|
DSLA Mortgage Loan Trust Ser. 04-AR2, Class X2, IO, 2.253s, 2044
|
|
|
|
47,993,693
|
2,463,425
|
|
|
Granite Mortgages PLC
|
|
|
|
|
|
|
FRB Ser. 03-2, Class 3C, 3.067s, 2043 (United Kingdom)
|
|
|
GBP
|
2,706,624
|
4,443,040
|
|
FRB Ser. 03-2, Class 2C1, 2.77s, 2043 (United Kingdom)
|
|
|
EUR
|
7,263,000
|
9,904,776
|
|
|
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021
|
|
|
|
$39,570
|
39,462
|
|
|
Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, 7.45s, 2025
|
|
|
|
37,359
|
37,263
|
|
|
GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036
|
|
|
|
12,248,185
|
11,765,606
|
|
|
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.651s, 2035
|
|
|
|
4,000,000
|
3,715,000
|
|
|
IndyMac INDX Mortgage Loan Trust FRB Ser. 06-AR15, Class A1, 0.285s, 2036
|
|
|
|
8,491,301
|
6,317,528
|
|
|
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.813s, 2035
|
|
|
|
3,887,090
|
3,304,026
|
|
|
Merrill Lynch Alternative Note Asset Trust FRB Ser. 07-OAR2, Class A1, 0.345s, 2037
|
|
|
|
8,021,210
|
7,138,877
|
|
|
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.515s, 2035
|
|
|
|
7,975,909
|
6,787,499
|
|
|
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.555s, 2035
|
|
|
|
11,136,256
|
9,855,586
|
|
|
Residential Accredit Loans, Inc. FRB Ser. 06-QO7, Class 1A1, 0.943s, 2046
|
|
|
|
39,690,628
|
25,104,322
|
|
|
WAMU Mortgage Pass-Through Certificates
|
|
|
|
|
|
|
FRB Ser. 06-AR1, Class 2A1B, 1.213s, 2046
|
|
|
|
15,986,586
|
13,988,263
|
|
FRB Ser. 06-AR3, Class A1B, 1.143s, 2046
|
|
|
|
21,897,904
|
17,693,506
|
|
FRB Ser. 06-AR4, Class 1A1B, 1.083s, 2046
|
|
|
|
9,671,300
|
8,027,179
|
|
FRB Ser. 05-AR19, Class A1C3, 0.665s, 2045
|
|
|
|
18,032,009
|
15,146,888
|
|
FRB Ser. 05-AR13, Class A1C3, 0.655s, 2045
|
|
|
|
36,269,702
|
30,974,326
|
|
FRB Ser. 05-AR8, Class 2AC2, 5/8s, 2045
|
|
|
|
11,253,470
|
9,796,145
|
|
FRB Ser. 05-AR11, Class A1B2, 0.615s, 2045
|
|
|
|
6,589,295
|
5,666,794
|
|
FRB Ser. 05-AR13, Class A1B2, 0.595s, 2045
|
|
|
|
8,209,339
|
7,306,312
|
|
FRB Ser. 05-AR17, Class A1B2, 0.575s, 2045
|
|
|
|
1,729,525
|
1,474,420
|
|
FRB Ser. 05-AR15, Class A1B2, 0.575s, 2045
|
|
|
|
10,051,137
|
8,354,907
|
|
FRB Ser. 05-AR19, Class A1C4, 0.565s, 2045
|
|
|
|
6,748,346
|
5,533,644
|
|
FRB Ser. 05-AR11, Class A1B3, 0.565s, 2045
|
|
|
|
13,118,896
|
11,479,034
|
|
FRB Ser. 05-AR8, Class 2AC3, 0.555s, 2045
|
|
|
|
3,900,755
|
3,395,607
|
|
FRB Ser. 05-AR1, Class A1B, 0.555s, 2045
|
|
|
|
6,074,448
|
5,357,663
|
|
FRB Ser. 05-AR15, Class A1B3, 0.505s, 2045
|
|
|
|
7,055,695
|
5,863,283
|
|
FRB Ser. 05-AR6, Class 2AB3, 0.435s, 2045
|
|
|
|
3,849,046
|
3,464,141
|
|
|
Wells Fargo Mortgage Backed Securities Trust Ser. 07-12, Class A7, 5 1/2s, 2037
|
|
|
|
2,694,034
|
2,723,612
|
|
|
|
|
454,768,592
|
|
|
|
Total mortgage-backed securities (cost $2,233,307,459)
|
$2,353,534,274
|
|
|
CORPORATE BONDS AND NOTES (29.2%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (2.3%)
|
|
|
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France)
|
|
|
|
$3,135,000
|
$3,970,162
|
|
|
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France)
|
|
|
|
2,090,000
|
2,053,425
|
|
|
ArcelorMittal sr. unsec. unsub. notes 5s, 2017 (France)
|
|
|
|
500,000
|
536,250
|
|
|
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022
|
|
|
|
2,921,000
|
2,782,253
|
|
|
Ashland, Inc. sr. unsec. unsub. notes 3s, 2016
|
|
|
|
3,880,000
|
3,947,900
|
|
|
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018
|
|
|
|
3,080,000
|
3,311,000
|
|
|
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issu 144A company guaranty sr. unsec. notes 5 5/8s, 2016 (Luxembourg)
|
|
|
|
1,375,000
|
1,402,500
|
|
|
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020
|
|
|
|
2,440,000
|
2,568,100
|
|
|
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany)
|
|
|
|
2,990,000
|
2,855,450
|
|
|
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)
|
|
|
|
2,735,000
|
2,912,775
|
|
|
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico)
|
|
|
|
955,000
|
1,076,763
|
|
|
Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico)
|
|
|
|
845,000
|
959,075
|
|
|
Cemex SAB de CV 144A company guaranty sr. notes 7 1/4s, 2021 (Mexico)
|
|
|
|
1,805,000
|
1,868,175
|
|
|
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico)
|
|
|
|
2,485,000
|
2,567,005
|
|
|
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico)
|
|
|
|
880,000
|
882,200
|
|
|
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021
|
|
|
|
1,672,000
|
1,747,240
|
|
|
Exopack Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)
|
|
|
|
1,930,000
|
1,973,425
|
|
|
Ferro Corp. sr. unsec. notes 7 7/8s, 2018
|
|
|
|
1,674,000
|
1,766,070
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia)
|
|
|
|
180,000
|
202,050
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia)
|
|
|
|
776,000
|
805,100
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)
|
|
|
|
2,572,000
|
2,710,374
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia)
|
|
|
|
1,041,000
|
1,134,690
|
|
|
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021
|
|
|
|
2,393,000
|
2,369,070
|
|
|
Grohe Holding GmbH 144A company guaranty sr. FRN notes 4.277s, 2017 (Germany)
|
|
|
EUR
|
2,148,000
|
2,954,973
|
|
|
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020
|
|
|
|
$3,475,000
|
3,744,313
|
|
|
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020
|
|
|
|
3,152,000
|
3,762,700
|
|
|
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020
|
|
|
|
1,980,000
|
2,029,500
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
4,499,000
|
4,673,336
|
|
|
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021
|
|
|
|
4,125,000
|
4,661,250
|
|
|
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020
|
|
|
|
816,000
|
902,700
|
|
|
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020
|
|
|
|
3,315,000
|
3,265,275
|
|
|
Huntsman International, LLC 144A company guaranty sr. unsec. notes 5 1/8s, 2021
|
|
|
EUR
|
700,000
|
966,601
|
|
|
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)
|
|
|
|
$383,000
|
329,380
|
|
|
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom)
|
|
|
|
1,205,000
|
1,320,981
|
|
|
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg)
|
|
|
|
5,045,000
|
5,076,531
|
|
|
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019
|
|
|
|
2,472,000
|
2,836,620
|
|
|
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020
|
|
|
|
2,634,000
|
2,930,325
|
|
|
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020
|
|
|
|
392,000
|
410,620
|
|
|
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020
|
|
|
|
3,381,000
|
3,558,503
|
|
|
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada)
|
|
|
|
794,000
|
766,210
|
|
|
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020
|
|
|
|
2,325,000
|
2,586,563
|
|
|
Nufarm Australia, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2019 (Australia)
|
|
|
|
447,000
|
464,880
|
|
|
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden)
|
|
|
|
2,910,000
|
3,128,250
|
|
|
PQ Corp. 144A sr. notes 8 3/4s, 2018
|
|
|
|
1,373,000
|
1,496,570
|
|
|
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020
|
|
|
|
435,000
|
487,200
|
|
|
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017
|
|
|
|
1,649,000
|
1,747,940
|
|
|
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020
|
|
|
|
1,264,000
|
1,355,640
|
|
|
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023
|
|
|
|
1,065,000
|
1,037,044
|
|
|
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland)
|
|
|
|
675,000
|
685,946
|
|
|
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland)
|
|
|
|
82,000
|
89,688
|
|
|
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022
|
|
|
|
305,000
|
329,400
|
|
|
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019
|
|
|
|
1,405,000
|
1,520,913
|
|
|
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023
|
|
|
|
190,000
|
189,525
|
|
|
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium)
|
|
|
|
3,110,000
|
3,529,850
|
|
|
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020
|
|
|
|
2,240,000
|
2,380,000
|
|
|
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020
|
|
|
|
1,862,000
|
1,899,240
|
|
|
USG Corp. sr. unsec. notes 9 3/4s, 2018
|
|
|
|
2,005,000
|
2,370,913
|
|
|
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021
|
|
|
|
1,735,000
|
1,808,738
|
|
|
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023
|
|
|
|
1,105,000
|
1,066,325
|
|
|
|
|
118,765,495
|
|
Capital goods (1.8%)
|
|
|
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020
|
|
|
|
6,774,000
|
7,349,790
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019
|
|
|
|
4,031,000
|
4,615,495
|
|
|
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. notes 4 7/8s, 2022 (Ireland)
|
|
|
|
735,000
|
727,650
|
|
|
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland)
|
|
|
|
2,140,000
|
2,150,700
|
|
|
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020
|
|
|
|
2,733,000
|
2,992,635
|
|
|
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022
|
|
|
|
1,425,000
|
1,442,813
|
|
|
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018
|
|
|
|
1,194,000
|
1,280,565
|
|
|
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021
|
|
|
|
500,000
|
578,750
|
|
|
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017
(PIK)
|
|
|
|
1,010,000
|
1,073,125
|
|
|
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
|
1,140,095
|
|
|
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020
|
|
|
|
3,129,000
|
3,437,989
|
|
|
Consolidated Container Co., LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020
|
|
|
|
181,000
|
192,086
|
|
|
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023
|
|
|
|
2,512,000
|
2,348,720
|
|
|
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023
|
|
|
|
812,000
|
836,360
|
|
|
Exide Technologies sr. notes 8 5/8s, 2018 (In default)
(NON)
|
|
|
|
537,000
|
383,955
|
|
|
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg)
|
|
|
|
2,115,000
|
2,154,762
|
|
|
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020
|
|
|
|
1,808,000
|
1,853,200
|
|
|
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg)
|
|
|
EUR
|
590,000
|
885,386
|
|
|
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017
|
|
|
|
$2,585,000
|
2,788,569
|
|
|
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France)
|
|
|
|
3,324,000
|
4,287,722
|
|
|
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022
|
|
|
|
3,338,000
|
3,371,380
|
|
|
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023
|
|
|
|
4,309,000
|
4,072,005
|
|
|
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018
|
|
|
|
3,126,000
|
3,290,115
|
|
|
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017
|
|
|
|
1,445,000
|
1,528,088
|
|
|
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom)
|
|
|
EUR
|
560,000
|
823,140
|
|
|
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France)
|
|
|
|
$684,000
|
714,780
|
|
|
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019
|
|
|
|
1,325,000
|
1,467,438
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020
|
|
|
|
1,750,000
|
1,785,000
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019
|
|
|
|
1,325,000
|
1,469,094
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019
|
|
|
|
3,375,000
|
3,619,688
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand)
|
|
|
|
4,095,000
|
4,371,413
|
|
|
Schaeffler Holding Finance BV 144A company guaranty sr. notes 6 7/8s, 2018 (Netherlands)
(PIK)
|
|
|
|
2,120,000
|
2,247,200
|
|
|
Schaeffler Holding Finance BV 144A sr. unsec. notes 6 7/8s, 2018 (Netherlands)
(PIK)
|
|
|
EUR
|
1,020,000
|
1,499,684
|
|
|
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
|
1,999,275
|
|
|
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020
|
|
|
|
415,000
|
444,050
|
|
|
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021
|
|
|
|
5,479,000
|
5,657,068
|
|
|
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017
|
|
|
|
2,052,000
|
2,195,640
|
|
|
Titan International, Inc. 144A company guaranty sr. bonds 6 7/8s, 2020
|
|
|
|
1,120,000
|
1,167,600
|
|
|
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021
|
|
|
|
455,000
|
489,125
|
|
|
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020
|
|
|
|
1,460,000
|
1,427,150
|
|
|
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018
|
|
|
|
3,171,000
|
3,400,898
|
|
|
Triumph Group, Inc. company guaranty sr. unsec. sub. FRN notes 4 7/8s, 2021
|
|
|
|
1,395,000
|
1,353,150
|
|
|
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021
|
|
|
|
530,000
|
530,000
|
|
|
|
|
94,787,088
|
|
Communication services (3.7%)
|
|
|
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017
|
|
|
|
2,000,000
|
2,330,000
|
|
|
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018
|
|
|
|
244,000
|
272,365
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021
|
|
|
|
1,634,000
|
1,683,020
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022
|
|
|
|
6,802,000
|
6,342,865
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023
|
|
|
|
4,219,000
|
3,913,123
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019
|
|
|
|
1,347,000
|
1,417,718
|
|
|
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023
|
|
|
|
4,189,000
|
4,241,363
|
|
|
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020
|
|
|
|
380,000
|
386,650
|
|
|
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019
|
|
|
|
950,000
|
1,023,625
|
|
|
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023
|
|
|
|
3,742,000
|
3,667,160
|
|
|
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021
|
|
|
|
4,210,000
|
4,546,800
|
|
|
CyrusOne LP/CyrusOne Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022
|
|
|
|
357,000
|
369,495
|
|
|
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica)
|
|
|
|
3,505,000
|
3,632,056
|
|
|
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)
|
|
|
|
5,118,000
|
5,322,720
|
|
|
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021
|
|
|
|
2,657,000
|
2,816,420
|
|
|
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018
|
|
|
|
3,588,000
|
3,659,760
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018
|
|
|
|
2,620,000
|
2,999,900
|
|
|
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
|
2,109,793
|
|
|
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021
|
|
|
|
3,750,000
|
4,181,250
|
|
|
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. bonds 6 5/8s, 2022 (Bermuda)
|
|
|
|
770,000
|
793,100
|
|
|
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)
|
|
|
|
1,949,000
|
2,148,773
|
|
|
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg)
|
|
|
|
4,016,000
|
4,307,160
|
|
|
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg)
|
|
|
|
8,659,000
|
9,286,778
|
|
|
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg)
|
|
|
|
2,470,000
|
2,624,375
|
|
|
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany)
|
|
|
EUR
|
1,560,000
|
2,271,702
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019
|
|
|
|
$1,699,000
|
1,900,756
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020
|
|
|
|
2,993,000
|
3,352,160
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019
|
|
|
|
515,000
|
563,925
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020
|
|
|
|
183,000
|
193,980
|
|
|
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021
|
|
|
|
895,000
|
903,950
|
|
|
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019
|
|
|
|
386,000
|
417,363
|
|
|
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023
|
|
|
|
3,915,000
|
4,042,238
|
|
|
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021
|
|
|
|
4,663,000
|
4,837,863
|
|
|
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)
|
|
|
|
2,345,000
|
1,770,475
|
|
|
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018
|
|
|
|
3,202,000
|
3,578,235
|
|
|
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom)
|
|
|
GBP
|
2,520,000
|
4,420,452
|
|
|
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada)
|
|
|
|
$2,278,000
|
2,203,965
|
|
|
Qwest Corp. sr. unsec. notes 7 1/2s, 2014
|
|
|
|
610,000
|
640,279
|
|
|
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025
|
|
|
|
1,375,000
|
1,464,327
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019
|
|
|
|
2,843,000
|
3,049,118
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 5 3/4s, 2020
|
|
|
|
520,000
|
540,800
|
|
|
Sprint Capital Corp. company guaranty 6 7/8s, 2028
|
|
|
|
4,110,000
|
3,873,675
|
|
|
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017
|
|
|
|
4,280,000
|
4,954,100
|
|
|
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020
|
|
|
|
3,538,000
|
3,838,730
|
|
|
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018
|
|
|
|
4,427,000
|
5,323,468
|
|
|
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023
|
|
|
|
3,459,000
|
3,718,425
|
|
|
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021
|
|
|
|
5,785,000
|
6,211,644
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
EUR
|
495,000
|
716,722
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
CHF
|
540,000
|
637,128
|
|
|
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022
|
|
|
|
$1,842,000
|
1,878,840
|
|
|
T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018
|
|
|
|
880,000
|
926,200
|
|
|
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg)
|
|
|
EUR
|
2,690,000
|
3,931,514
|
|
|
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg)
|
|
|
EUR
|
790,000
|
1,155,662
|
|
|
Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany)
|
|
|
EUR
|
2,398,000
|
3,644,160
|
|
|
Unitymedia KabelBW GmbH 144A sr. sub. notes 9 1/2s, 2021 (Germany)
|
|
|
EUR
|
665,000
|
1,061,965
|
|
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany)
|
|
|
EUR
|
1,855,000
|
2,772,689
|
|
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany)
|
|
|
EUR
|
2,130,000
|
2,914,358
|
|
|
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands)
|
|
|
EUR
|
1,986,000
|
3,006,446
|
|
|
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada)
|
|
|
|
$5,063,000
|
4,949,083
|
|
|
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom)
|
|
|
GBP
|
162,000
|
291,477
|
|
|
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom)
|
|
|
GBP
|
2,160,000
|
3,666,273
|
|
|
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019
|
|
|
|
$6,375,000
|
7,076,250
|
|
|
Wind Acquisition Finance SA company guaranty sr. notes Ser. REGS, 7 3/8s, 2018 (Luxembourg)
|
|
|
EUR
|
301,000
|
437,929
|
|
|
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg)
|
|
|
EUR
|
4,110,000
|
5,979,689
|