a_premierincome.htm


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: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier 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: July 31, 2014
Date of reporting period: October 31, 2013



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
10/31/13 (Unaudited)
MORTGAGE-BACKED SECURITIES (48.2%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.6%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.904s, 2032 $583,006 $899,564
     IFB Ser. 3408, Class EK, 25.093s, 2037 212,068 315,384
     IFB Ser. 2979, Class AS, 23.635s, 2034 81,101 105,185
     IFB Ser. 3072, Class SM, 23.159s, 2035 384,499 560,376
     IFB Ser. 3072, Class SB, 23.012s, 2035 344,402 498,501
     IFB Ser. 3998, Class KS, IO, 6.526s, 2027 4,347,464 713,256
     IFB Ser. 4048, Class GS, IO, 6.476s, 2040 4,238,662 791,655
     IFB Ser. 3860, Class SP, IO, 6.426s, 2040 7,234,432 1,071,130
     IFB Ser. 4032, Class SA, IO, 6.326s, 2042 7,824,903 1,447,703
     IFB Ser. 4125, Class SH, IO, 5.976s, 2042 4,638,382 801,095
     IFB Ser. 4112, Class SC, IO, 5.976s, 2042 18,354,911 3,353,626
     IFB Ser. 4105, Class LS, IO, 5.976s, 2041 5,237,537 1,018,491
     IFB Ser. 4240, Class SA, IO, 5.826s, 2043 7,805,514 1,687,084
     IFB Ser. 311, Class S1, IO, 5.776s, 2043 13,740,593 3,075,832
     IFB Ser. 308, Class S1, IO, 5.776s, 2043 5,761,228 1,369,905
     IFB Ser. 314, Class AS, IO, 5.716s, 2043 4,329,689 960,807
     Ser. 3632, Class CI, IO, 5s, 2038 1,057,321 79,373
     Ser. 3626, Class DI, IO, 5s, 2037 364,396 8,286
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 7,332,213 1,446,646
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 4,332,045 831,319
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 17,957,856 2,803,221
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 8,822,588 1,583,743
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 944,231 91,260
     Ser. 304, Class C53, IO, 4s, 2032 4,677,254 700,045
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 10,926,756 1,704,574
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 9,900,841 1,544,531
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 4,833,149 757,983
     Ser. 304, IO, 3 1/2s, 2027 9,774,135 1,194,888
     Ser. 304, Class C37, IO, 3 1/2s, 2027 7,225,751 900,112
     Ser. 4165, Class TI, IO, 3s, 2042 20,591,305 2,870,428
     Ser. 4183, Class MI, IO, 3s, 2042 9,194,394 1,276,182
     Ser. 4210, Class PI, IO, 3s, 2041 6,384,957 736,265
     Ser. T-57, Class 1AX, IO, 0.399s, 2043 4,621,559 53,704
     FRB Ser. 3326, Class WF, zero %, 2035 4,049 3,702
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.879s, 2036 395,017 779,918
     IFB Ser. 07-53, Class SP, 23.576s, 2037 339,464 504,909
     IFB Ser. 08-24, Class SP, 22.659s, 2038 340,365 513,788
     IFB Ser. 05-75, Class GS, 19.739s, 2035 321,403 433,265
     IFB Ser. 05-83, Class QP, 16.951s, 2034 421,347 554,617
     IFB Ser. 10-99, Class NS, IO, 6.43s, 2039 5,310,168 667,329
     IFB Ser. 10-35, Class SG, IO, 6.23s, 2040 5,813,339 1,040,413
     IFB Ser. 12-132, Class SB, IO, 6.03s, 2042 15,021,622 2,277,128
     IFB Ser. 13-19, Class DS, IO, 6.03s, 2041 10,098,190 1,944,690
     IFB Ser. 13-41, Class SP, IO, 6.03s, 2040 3,513,869 629,334
     IFB Ser. 13-18, Class SB, IO, 5.98s, 2041 4,505,806 824,563
     IFB Ser. 12-105, Class S, IO, 5.88s, 2042 3,548,634 689,766
     IFB Ser. 13-101, Class CS, IO, 5.73s, 2043 5,194,474 1,189,898
     IFB Ser. 13-102, Class SH, IO, 5.73s, 2043 6,670,808 1,500,932
     IFB Ser. 10-46, Class WS, IO, 5.58s, 2040 5,001,922 608,334
     Ser. 374, Class 6, IO, 5 1/2s, 2036 866,258 132,096
     Ser. 12-132, Class PI, IO, 5s, 2042 9,870,685 1,757,673
     Ser. 398, Class C5, IO, 5s, 2039 551,150 70,382
     Ser. 10-13, Class EI, IO, 5s, 2038 279,658 8,989
     Ser. 378, Class 19, IO, 5s, 2035 2,383,038 378,975
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 21,614,278 3,512,969
     Ser. 409, Class 81, IO, 4 1/2s, 2040 10,070,879 1,819,915
     Ser. 409, Class 82, IO, 4 1/2s, 2040 10,676,418 1,954,645
     Ser. 366, Class 22, IO, 4 1/2s, 2035 1,022,821 81,304
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 4,079,760 503,565
     Ser. 418, Class C24, IO, 4s, 2043 7,588,000 1,638,576
     Ser. 13-44, Class PI, IO, 4s, 2043 6,638,769 1,188,755
     Ser. 13-60, Class IP, IO, 4s, 2042 4,763,260 869,095
     Ser. 12-96, Class PI, IO, 4s, 2041 4,482,231 698,511
     Ser. 406, Class 2, IO, 4s, 2041 4,214,946 757,426
     Ser. 406, Class 1, IO, 4s, 2041 2,887,304 526,644
     Ser. 409, Class C16, IO, 4s, 2040 7,188,934 1,357,733
     Ser. 418, Class C15, IO, 3 1/2s, 2043 15,489,000 3,340,163
     Ser. 12-145, Class TI, IO, 3s, 2042 10,104,560 1,173,139
     Ser. 13-35, Class IP, IO, 3s, 2042 8,447,431 1,031,840
     Ser. 13-53, Class JI, IO, 3s, 2041 6,823,168 955,243
     Ser. 13-23, Class PI, IO, 3s, 2041 8,905,580 974,449
     Ser. 03-W10, Class 1, IO, 1.147s, 2043 770,212 25,092
     Ser. 00-T6, IO, 0.751s, 2030 3,619,824 76,921
     Ser. 99-51, Class N, PO, zero %, 2029 42,510 40,825
Government National Mortgage Association
     IFB Ser. 10-151, Class SL, IO, 6.528s, 2039 2,400,311 425,839
     IFB Ser. 10-163, Class SI, IO, 6.454s, 2037 7,319,612 1,084,254
     Ser. 10-9, Class XD, IO, 6.425s, 2040 24,696,824 4,854,408
     IFB Ser. 10-35, Class CS, IO, 6.298s, 2040 9,359,496 1,788,881
     IFB Ser. 11-56, Class MI, IO, 6.278s, 2041 6,424,739 1,440,748
     IFB Ser. 10-67, Class SE, IO, 6.278s, 2040 2,609,823 482,713
     IFB Ser. 13-91, Class SP, IO, 6.128s, 2042 8,217,629 1,593,481
     IFB Ser. 12-149, Class LS, IO, 6.078s, 2042 9,602,434 1,658,724
     IFB Ser. 10-20, Class SE, IO, 6.078s, 2040 3,805,767 678,568
     IFB Ser. 10-26, Class QS, IO, 6.078s, 2040 5,110,256 957,304
     IFB Ser. 13-87, Class SA, IO, 6.028s, 2043 6,792,408 1,161,895
     IFB Ser. 10-120, Class SB, IO, 6.028s, 2035 1,068,600 98,642
     IFB Ser. 13-129, Class SN, IO, 5.978s, 2043 4,828,928 789,578
     IFB Ser. 13-99, Class SL, IO, 5.978s, 2043 7,807,760 1,449,511
     IFB Ser. 10-20, Class SC, IO, 5.978s, 2040 4,592,825 815,961
     IFB Ser. 12-77, Class MS, IO, 5.928s, 2042 4,033,146 942,143
     Ser. 13-149, Class MS, IO, 5.922s, 2039 8,251,000 1,333,052
     IFB Ser. 13-99, Class AS, IO, 5.878s, 2043 3,206,744 748,005
     IFB Ser. 11-17, Class S, IO, 5.878s, 2041 7,854,727 1,315,667
     IFB Ser. 10-158, Class SA, IO, 5.878s, 2040 2,550,603 457,910
     IFB Ser. 10-151, Class SA, IO, 5.878s, 2040 2,532,843 455,025
     IFB Ser. 11-128, Class TS, IO, 5 7/8s, 2041 3,481,740 743,351
     IFB Ser. 10-89, Class SD, IO, 5.758s, 2040 3,756,922 635,559
     IFB Ser. 11-70, Class SM, IO, 5.715s, 2041 5,451,000 1,342,472
     IFB Ser. 11-70, Class SH, IO, 5.715s, 2041 5,599,000 1,382,113
     IFB Ser. 10-43, Class KS, IO, 5.578s, 2040 6,079,487 948,400
     IFB Ser. 10-31, Class SA, IO, 5.578s, 2040 9,349,095 1,582,347
     IFB Ser. 10-37, Class SG, IO, 5.528s, 2040 5,139,990 835,197
     IFB Ser. 10-115, Class BS, IO, 5.228s, 2040 8,371,380 1,282,161
     Ser. 13-22, Class IE, IO, 5s, 2043 7,472,865 1,546,668
     Ser. 13-22, Class OI, IO, 5s, 2043 6,953,296 1,450,171
     Ser. 13-3, Class IT, IO, 5s, 2043 6,202,402 1,293,565
     Ser. 13-6, Class IC, IO, 5s, 2043 5,940,012 1,255,006
     Ser. 12-146, Class IO, IO, 5s, 2042 5,754,400 1,121,072
     Ser. 13-6, Class CI, IO, 5s, 2042 4,385,299 864,606
     Ser. 13-130, Class IB, IO, 5s, 2040 5,292,954 681,962
     Ser. 13-16, Class IB, IO, 5s, 2040 8,728,577 900,155
     Ser. 11-41, Class BI, IO, 5s, 2040 5,114,223 579,230
     Ser. 10-35, Class UI, IO, 5s, 2040 3,303,831 686,369
     Ser. 10-20, Class UI, IO, 5s, 2040 5,918,502 1,256,971
     Ser. 10-9, Class UI, IO, 5s, 2040 33,675,804 6,906,403
     Ser. 09-121, Class UI, IO, 5s, 2039 12,678,694 2,589,623
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 11,018,665 2,220,702
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 2,224,301 447,240
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 2,950,842 373,695
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 788,206 145,976
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 5,656,242 1,155,994
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 25,903,693 5,390,905
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 20,077,856 4,170,893
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 2,812,173 489,234
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 8,967,205 1,467,035
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 3,774,997 405,057
     Ser. 13-149, Class IL, IO, 4s, 2043(FWC) 3,995,000 717,227
     Ser. 13-149, Class LS, IO, 4s, 2043(FWC) 4,329,000 799,512
     Ser. 12-56, Class IB, IO, 4s, 2042 4,415,278 919,880
     Ser. 12-47, Class CI, IO, 4s, 2042 10,977,481 2,242,290
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 19,851,389 3,270,715
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 6,686,715 1,078,233
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 8,436,606 1,371,455
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 12,318,320 1,935,701
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 17,287,306 2,517,377
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 8,972,155 1,463,986
     Ser. 06-36, Class OD, PO, zero %, 2036 13,133 12,131
Structured Asset Securities Corp. 144A IFB Ser. 07-4, Class 1A3, IO, 5.997s, 2045 7,240,340 1,267,059
164,567,672
Commercial mortgage-backed securities (15.8%)
Banc of America Commercial Mortgage Trust FRB Ser. 05-5, Class D, 5.223s, 2045 1,456,000 1,438,819
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 632,734 314,140
     Ser. 07-5, Class XW, IO, 0.367s, 2051 183,630,719 1,793,338
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-PW17, Class AJ, 5.887s, 2050 922,000 875,900
     FRB Ser. 06-PW12, Class AJ, 5 3/4s, 2038 1,500,000 1,569,758
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 941,355
     Ser. 05-PWR7, Class B, 5.214s, 2041 1,641,000 1,659,112
Bear Stearns Commercial Mortgage Securities, Inc. 144A
     FRB Ser. 06-PW11, Class C, 5.443s, 2039 936,000 902,585
     Ser. 06-PW14, Class XW, IO, 0.639s, 2038 42,086,718 845,943
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.778s, 2049 3,592,000 3,678,743
     Ser. 06-C5, Class AJ, 5.482s, 2049 2,069,000 2,049,198
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class D, 4.878s, 2045 917,000 845,016
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.119s, 2044 2,160,000 2,095,200
     Ser. 07-CD5, Class XS, IO, 0.038s, 2044 57,452,741 248,721
Commercial Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.8s, 2049 1,138,000 1,092,480
     Ser. 07-C9, Class AJ, 5.65s, 2049 670,000 704,237
     FRB Ser. 04-LB3A, Class E, 5.361s, 2037 1,522,000 1,538,742
Commercial Mortgage Trust 144A
     FRB Ser. 13-LC6, Class D, 4.29s, 2046 3,424,000 2,956,391
     FRB Ser. 13-CR6, Class D, 4.176s, 2046 2,077,000 1,766,303
     FRB Ser. 13-CR8, Class D, 3.971s, 2046 1,648,000 1,362,776
     FRB Ser. 07-C9, Class AJFL, 0.864s, 2049 3,142,000 2,764,960
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT2A, Class E, 1.567s, 2014 (Ireland) GBP 260,928 372,351
     FRB Ser. 05-CT1A, Class D, 1.565s, 2014 (Ireland) GBP 11,104 14,955
Credit Suisse First Boston Commercial Mortgage Trust Ser. 05-C5, Class C, 5.1s, 2038 $950,000 974,237
Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, IO, 0.213s, 2039 55,051,290 985,418
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 1,084,042 44,446
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 328,181 19,622
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.417s, 2044 4,074,000 4,022,393
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.444s, 2044 473,000 473,583
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 19,893 19,893
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.047s, 2020 4,507,354 81,132
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 557,143
GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, Class AJ, 5.28s, 2044 597,000 572,953
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 1,054,000 927,520
Greenwich Capital Commercial Funding Corp.
     FRB Ser. 05-GG3, Class E, 5.087s, 2042 1,127,000 1,042,813
     FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,937,000 1,942,708
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 2,015,000 2,018,945
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.638s, 2045 2,168,000 2,133,962
     FRB Ser. 11-GC3, Class D, 5.543s, 2044 833,000 836,692
     FRB Ser. GC10, Class D, 4.415s, 2046 923,000 812,794
     Ser. 05-GG4, Class XC, IO, 0.743s, 2039 119,526,796 1,135,505
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.17s, 2030 (Cayman Islands) 729,000 485,733
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.072s, 2051 2,589,000 2,644,922
     FRB Ser. 06-LDP7, Class AJ, 5.863s, 2045 1,191,000 1,198,707
     FRB Ser. 06-LDP7, Class B, 5.863s, 2045 1,231,000 1,065,254
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 2,039,000 2,077,945
     FRB Ser. 04-CBX, Class E, 5.126s, 2037 4,261,000 3,672,982
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 573,000 568,755
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 1,965,000 1,795,554
     FRB Ser. 13-C10, Class D, 4.161s, 2047 1,358,000 1,157,696
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 07-CB20, Class B, 6.172s, 2051 1,675,000 1,644,679
     FRB Ser. 07-CB20, Class C, 6.172s, 2051 1,904,000 1,778,584
     FRB Ser. 12-LC9, Class E, 4.427s, 2047 2,803,000 2,464,906
     Ser. 07-CB20, Class X1, IO, 0.154s, 2051 114,201,218 1,011,252
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 1,951,082 2,031,337
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,056,386
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 1,131,000 1,129,190
     Ser. 06-C6, Class E, 5.541s, 2039 1,750,000 1,610,700
     Ser. 06-C6, Class D, 5.502s, 2039 1,500,000 1,421,850
     Ser. 07-C1, Class AJ, 5.484s, 2040 841,000 857,820
     FRB Ser. 06-C6, Class C, 5.482s, 2039 1,028,000 981,740
     Ser. 04-C8, Class E, 4.986s, 2039 1,467,000 1,470,668
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.377s, 2028 134,318 15
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.263s, 2051 917,000 956,614
     FRB Ser. 05-CIP1, Class B, 5.18s, 2038 1,046,000 1,004,160
     Ser. 04-KEY2, Class D, 5.046s, 2039 2,993,000 2,996,292
     Ser. 05-MCP1, Class D, 5.023s, 2043 1,017,000 974,184
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049 785,000 745,750
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 893,000 857,012
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.619s, 2037 260,347 12,054
     Ser. 07-C5, Class X, IO, 5 1/2s, 2049 3,007,186 245,086
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,533,191
     FRB Ser. 07-T27, Class AJ, 5.647s, 2042 902,000 968,658
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,119,000 972,523
     FRB Ser. 06-HQ8, Class B, 5.496s, 2044 4,110,000 3,966,972
     FRB Ser. 06-HQ8, Class D, 5.496s, 2044 1,340,000 1,246,334
     Ser. 04-IQ8, Class C, 5.3s, 2040 3,200,000 3,281,600
Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039 2,345,901 2,216,876
Morgan Stanley/Bank of America/Merrill Lynch Trust 144A Ser. 13-C10, Class D, 4.083s, 2046 1,018,000 812,272
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 376,000 282,000
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,027,708 256,927
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 4.958s, 2049 1,265,000 1,148,931
     Ser. 13-C6, Class D, 4.355s, 2046 2,512,000 2,157,306
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.997s, 2045 2,635,000 2,538,296
     FRB Ser. 06-C25, Class AJ, 5.724s, 2043 1,491,000 1,558,990
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,705,000 1,644,132
     Ser. 03-C9, Class E, 5.289s, 2035 2,500,000 2,493,750
     Ser. 07-C34, IO, 0.337s, 2046 30,167,933 365,032
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,455,000
     FRB Ser. 03-C8, Class H, 5.194s, 2035 3,208,000 3,062,678
WF-RBS Commercial Mortgage Trust 144A FRB Ser. 12-C10, Class D, 4.46s, 2045 1,914,000 1,712,877
WFRBS Commercial Mortgage Trust 144A FRB Ser. 13-C15, Class D, 4.486s, 2046 1,371,000 1,146,713
126,171,667
Residential mortgage-backed securities (non-agency) (11.8%)
Banc of America Funding Corp.
     Ser. 06-2, Class 2A2, 6 1/4s, 2036 970,859 968,965
     Ser. 06-2, Class 2A13, 6s, 2036 2,203,508 2,211,881
     FRB Ser. 07-C, Class 07-C, 2.706s, 2036 4,149,792 3,838,557
     FRB Ser. 06-G, Class 2A5, 0.453s, 2036 1,028,749 892,440
Barclays Capital, LLC Trust
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 404,912 221,122
     Ser. 13-RR1, Class 3A3, 14.249s, 2037 975,985 819,339
     Ser. 13-RR1, Class 9A4, 10.197s, 2036 650,000 652,275
     Ser. 13-RR1, Class 2A4, 9.99s, 2036 2,160,000 1,972,080
     Ser. 13-RR1, Class 3A2, 4s, 2037 894,065 889,058
     Ser. 13-RR1, Class 4A2, 4s, 2037 855,725 846,997
     Ser. 12-RR10, Class 8A2, 4s, 2036 830,813 822,338
     FRB Ser. 12-RR10, Class 9A2, 2.654s, 2035 2,320,000 2,028,840
     Ser. 13-RR1, Class 1A2, 2.443s, 2035 1,510,000 1,223,855
Barclays Capital, LLC Trust 144A
     Ser. 12-RR11, Class 3A3, 13.998s, 2036 1,887,704 1,300,628
     FRB Ser. 12-RR12, Class 2A3, 13.246s, 2035 863,183 794,129
     FRB Ser. 12-RR11, Class 5A3, 11.386s, 2037 451,665 271,496
     FRB Ser. 13-RR2, Class 3A2, 8.082s, 2036 800,000 740,000
     FRB Ser. 10-RR12, Class 6A1, 6.005s, 2037 2,291,826 2,337,663
     Ser. 12-RR12, Class 2A2, 4s, 2035 686,990 679,982
     FRB Ser. 12-RR1, Class 1A4, 2.813s, 2037 1,141,082 805,604
     FRB Ser. 09-RR11, Class 2A2, 2.43s, 2035 1,970,000 1,573,242
     Ser. 09-RR7, Class 1A7, IO, 1.731s, 2046 71,274,099 2,383,228
     Ser. 09-RR7, Class 2A7, IO, 1.572s, 2047 66,080,440 2,068,318
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.045s, 2034 79,080 5,291
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-2, Class 3A2, 8.504s, 2037 1,370,000 1,319,406
     FRB Ser. 11-12, Class 2A2, 0.54s, 2035 2,080,000 1,684,800
Countrywide Alternative Loan Trust
     Ser. 07-16CB, Class 4A7, 6s, 2037 1,514,496 1,319,277
     Ser. 07-9T1, Class 2A2, 6s, 2037 2,499,171 1,978,843
     FRB Ser. 05-81, Class A1, 0.45s, 2037 1,692,802 1,244,210
Credit Suisse Commercial Mortgage Trust 144A
     FRB Ser. 08-4R, Class 3A4, 2.723s, 2038 1,500,000 1,350,000
     FRB Ser. 08-4R, Class 1A4, 0.571s, 2037 1,200,000 909,600
DSLA Mortgage Loan Trust Ser. 04-AR2, Class X2, IO, zero %, 2044 11,679,264 599,474
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.067s, 2043 (United Kingdom) GBP 746,898 1,182,605
     FRB Ser. 03-2, Class 2C1, 2.774s, 2043 (United Kingdom) EUR 2,002,000 2,684,236
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $7,331 7,309
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.657s, 2035 2,100,000 1,942,500
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.811s, 2035 1,033,074 878,113
MLCC Mortgage Investors, Inc. Ser. 04-A, Class XA2, IO, 1.152s, 2029 15,299,133 650,213
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.52s, 2035 1,147,140 977,937
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.56s, 2035 951,260 841,865
Residential Accredit Loans, Inc. Ser. 05-QR1, Class A, 6s, 2034 5,673,127 5,780,349
WAMU Mortgage Pass-Through Certificates
     Ser. 05-AR17, Class X, IO, 1.639s, 2045 15,985,950 830,520
     Ser. 04-AR10, Class X, IO, 1.603s, 2044 4,997,673 225,286
     Ser. 05-AR11, Class X, IO, 1.515s, 2045 28,427,809 1,282,094
     FRB Ser. 06-AR1, Class 2A1B, 1.218s, 2046 5,225,866 4,441,986
     FRB Ser. 06-AR3, Class A1B, 1.148s, 2046 2,401,377 1,940,313
     FRB Ser. 07-OA4, Class A1A, 0.913s, 2047 618,289 417,345
     FRB Ser. 05-AR19, Class A1C3, 0.67s, 2045 4,565,569 3,835,078
     FRB Ser. 05-AR13, Class A1C3, 0.66s, 2045 9,209,260 7,864,708
     FRB Ser. 05-AR8, Class 2AC2, 0.63s, 2045 2,740,854 2,385,914
     FRB Ser. 05-AR11, Class A1B2, 0.62s, 2045 1,641,123 1,411,366
     FRB Ser. 05-AR13, Class A1B2, 0.6s, 2045 1,958,617 1,748,066
     FRB Ser. 05-AR17, Class A1B2, 0.58s, 2045 1,750,220 1,505,190
     FRB Ser. 05-AR15, Class A1B2, 0.58s, 2045 3,043,583 2,609,873
     FRB Ser. 05-AR19, Class A1C4, 0.57s, 2045 1,700,779 1,394,639
     FRB Ser. 05-AR11, Class A1B3, 0.57s, 2045 3,873,865 3,370,263
     FRB Ser. 05-AR8, Class 2AC3, 0.56s, 2045 953,361 829,901
     FRB Ser. 05-AR19, Class A1B3, 0.52s, 2045 1,099,575 970,375
     FRB Ser. 05-AR6, Class 2AB3, 0.44s, 2045 918,085 826,277
Wells Fargo Mortgage Backed Securities Trust Ser. 07-12, Class A7, 5 1/2s, 2037 668,107 675,456
94,262,715
Total mortgage-backed securities (cost $365,511,398) $385,002,054

CORPORATE BONDS AND NOTES (32.2%)(a)
Principal amount Value
Basic materials (2.3%)
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) $451,000 $571,008
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 365,000 360,438
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 732,000 702,720
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 590,000 637,200
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 300,000 313,500
Boise Cascade Co. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 86,000 89,655
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 250,000 246,250
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 460,100
Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico) 210,000 238,875
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 420,000 426,300
CPG Merger Sub LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 35,000 35,700
Exopack Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)(FWC) 200,000 202,000
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 650,000 688,188
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 235,000 260,850
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 200,000 207,500
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 340,000 358,700
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 169,000 179,140
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 400,000 395,000
Grohe Holding GmbH 144A company guaranty sr. FRN notes 4.224s, 2017 (Germany) EUR 421,000 571,607
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 $754,000 909,513
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 355,000 374,525
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 500,000 507,500
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 500,000 515,000
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 661,000 741,973
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 415,000 412,925
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 145,000 129,413
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 100,000 109,500
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 615,000 621,919
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 278,220 381,958
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $615,000 701,100
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 526,000 579,915
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 81,000 85,050
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 185,000 195,638
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 200,000 194,760
NOVA Chemicals Corp. 144A sr. notes 5 1/4s, 2023 (Canada) 140,000 142,064
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 360,000 400,500
Nufarm Australia, Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 136,000 138,720
Orion Engineered Carbons Bondco GmbH 144A company guaranty sr. notes 9 5/8s, 2018 (Germany) 130,000 143,975
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 390,000 407,550
PolyOne Corp. sr. unsec. notes 5 1/4s, 2023 63,000 62,606
PQ Corp. 144A sr. notes 8 3/4s, 2018 315,000 341,775
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 298,000 336,740
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 320,000 334,400
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 265,000 259,700
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 200,000 202,686
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 75,000 81,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 95,000 103,075
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 45,000 44,550
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 480,000 544,800
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 335,000 352,588
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 528,000 538,560
USG Corp. sr. unsec. notes 9 3/4s, 2018 418,000 491,150
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 75,000 76,313
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 125,000 120,938
18,529,110
Capital goods (2.1%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 840,000 882,000
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 974,000 1,090,880
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 176,447 262,277
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) EUR 124,648 185,281
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. notes 4 7/8s, 2022 (Ireland) $200,000 197,000
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland) 365,000 363,175
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 435,000 480,131
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 325,000 333,531
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 199,000 215,915
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 56,000 65,800
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 245,000 258,475
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 244,000 247,050
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 275,000 288,063
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 528,000 576,840
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 61,000 65,880
Crown Americas, LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 386,000 358,980
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 100,000 145,304
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 $345,000 363,975
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 138,000 107,640
Gardner Denver, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2021 75,000 76,313
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg) 260,000 262,600
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020 443,000 448,538
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 215,884
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $464,000 505,760
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 660,000 864,369
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 457,000 461,570
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 455,000 433,388
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 45,000 50,400
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 230,000 234,600
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 265,000 280,238
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 135,000 193,623
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) $565,000 580,538
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 330,000 364,650
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 310,000 320,075
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 210,000 232,050
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 185,000 197,950
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 845,000 878,800
Schaeffler Holding Finance BV 144A sr. unsec. notes 6 7/8s, 2018 (Netherlands)(PIK) EUR 220,000 317,001
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 $345,000 372,600
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 330,000 361,350
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 100,000 107,000
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 662,000 691,790
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 544,000 584,800
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 105,000 114,450
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 519,000 557,925
Triumph Group, Inc. unsec. sub. FRN notes 4 7/8s, 2021 345,000 333,788
16,530,247
Communication services (4.2%)
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 549,880
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 454,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 51,075
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 296,000 308,580
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 1,331,000 1,247,813
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 767,000 715,228
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 139,000 147,166
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 96,544
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 131,000 139,515
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 404,000 418,948
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 160,000 172,800
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 510,000 504,900
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 170,000 185,725
CyrusOne LP/CyrusOne Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022 100,000 100,750
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 887,000 923,811
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 251,000 271,708
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 801,000 813,015
Equinix, Inc. sr. unsec. notes 7s, 2021 305,000 333,213
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 145,000 170,919
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 384,000 443,520
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 121,613
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 488,000 523,380
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 594,000 650,430
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 979,000 1,018,160
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 190,000 193,800
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 352,070
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 431,000 455,783
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 1,317,000 1,389,435
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg) 605,000 636,763
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 245,000 354,986
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $285,000 318,488
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 332,000 375,990
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 85,000 93,713
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 44,000 46,860
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 150,000 152,625
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 131,000 142,790
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 855,000 894,544
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 480,000 502,200
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 130,000 123,500
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 245,000 213,150
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 371,000 415,520
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 410,000 700,124
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $413,000 399,578
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 145,000 153,221
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 407,240
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 153,000 165,814
SBA Telecommunications, Inc. notes 5 3/4s, 2020 125,000 130,000
Sprint Capital Corp. company guaranty 6 7/8s, 2028 350,000 332,500
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 510,000 553,350
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 465,000 501,038
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 1,295,000 1,498,963
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 238,000 254,660
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 959,000 1,162,788
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 186,752
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 143,389
T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018 $175,000 181,781
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 680,000 960,496
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) EUR 200,000 281,146
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 1,019,053
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 305,000 448,907
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 188,811 267,769
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 535,000 712,478
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 677,000 1,009,544
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $375,000 368,438
Virgin Media Secured Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 79,000 137,542
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 535,000 881,409
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 $37,000 40,330
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 1,027,000 1,134,835
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 760,000 1,085,702
Wind Acquisition Holdings Finance SA company guaranty sr. notes 12 1/4s, 2017 (Luxembourg)(PIK) EUR 281,593 385,200
Windstream Holdings, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 $205,000 198,850
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 584,000 667,950
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 271,145
33,666,902
Consumer cyclicals (5.0%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 60,000 66,900
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 361,000 412,443
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 600,000 690,000
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 130,000 138,450
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 135,000 149,513
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023 291,000 280,815
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 244,000 244,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 83,000 78,228
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 480,000 494,400
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 225,000 221,157
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 235,000 254,388
Building Materials Corp. 144A sr. notes 7s, 2020 140,000 150,500
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 360,000 391,500
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 320,000 358,400
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 53,000 54,391
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 754,000 706,875
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 70,000 76,650
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 231,475
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 886,000 1,036,620
Chinos Intermediate Holdings A, Inc. 144A sr. unsec. notes 7 3/4s, 2019(PIK) 175,000 175,875
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 505,000 571,281
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 60,000 57,150
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 100,000 109,500
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 313,000 315,348
Clear Channel Communications, Inc. company guaranty sr. unsec. unsub. notes 9s, 2019 603,000 612,045
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 461,000 489,813
Clear Channel Worldwide Holdings, Inc. sr. unsec. notes 6 1/2s, 2022 620,000 649,450
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 487,000 471,173
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 407,000 429,385
D.R. Horton, Inc. company guaranty sr. unsec. FRN notes 5 3/4s, 2023 90,000 93,150
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 465,000 491,738
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 414,000 440,910
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 115,000 113,275
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020 240,000 244,500
General Motors Financial Co., Inc. 144A sr. unsec. notes 4 1/4s, 2023 160,000 153,600
Gibson Brands, Inc. 144A sr. unsec. notes 8 7/8s, 2018 340,000 355,300
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020 400,000 403,000
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018 145,000 147,900
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 290,000 303,775
Gray Television, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2020 326,000 341,485
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 592,985
Griffey Intermediate, Inc. / Griffey Finance Sub LLC 144A sr. notes 7s, 2020 $388,000 283,240
Grupo Televisa SAB sr. unsec. bonds 6 5/8s, 2040 (Mexico) 195,000 216,054
Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico) 69,000 78,356
Grupo Televisa, S.A.B sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 6,600,000 410,207
GTECH SpA jr. sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 515,000 759,019
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) $175,000 179,375
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 412,000 455,260
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 245,000 240,406
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 295,000 314,175
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 821,000 880,523
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 404,965 560,838
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) $175,000 181,563
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 260,000 276,250
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 695,000 764,500
L Brands, Inc. sr. notes 5 5/8s, 2022 190,000 195,938
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 134,225
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 500,000 521,250
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 160,000 151,600
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 256,000 277,760
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 196,000 221,127
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 274,000 301,400
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 335,000 330,813
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 770,000 875,875
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 145,000 160,225
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 285,000 310,650
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 255,000 288,469
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 90,000 96,300
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A sr. unsec. notes 7 1/2s, 2018(PIK) 360,000 370,800
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 1,206,979 1,327,677
Navistar International Corp. sr. notes 8 1/4s, 2021 561,000 573,623
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 665,000 684,950
Neiman Marcus Group, LLC (The) 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 301,000 309,278
Neiman Marcus Group, LLC (The) 144A company guaranty sr. unsec. notes 8s, 2021 220,000 225,225
Neiman-Marcus Group, Inc. (The) company guaranty sr. notes 7 1/8s, 2028 260,000 253,500
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 200,000 209,000
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 173,000 169,540
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 666,000 734,265
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 258,000 282,833
Owens Corning company guaranty sr. unsec. notes 9s, 2019 211,000 260,585
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 440,000 441,100
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 365,000 364,088
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 235,000 253,213
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 165,000 167,475
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 325,000 331,500
Quiksilver, Inc./QS Wholesale, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2018 50,000 53,500
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. unsec. notes 10s, 2020 50,000 54,625
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 388,000 382,180
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 175,000 163,625
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 115,000 126,788
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 555,000 599,400
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 87,000 91,133
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 354,000 394,710
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 741,000 815,100
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands) EUR 595,000 915,306
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Netherlands) $200,000 225,500
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) 255,000 254,363
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 165,000 161,288
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 165,000 168,094
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 359,000 371,565
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 50,750
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 501,000 492,233
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 25,000 26,688
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 30,000 31,875
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 255,000 274,125
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 175,000 180,250
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 85,000 81,388
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 465,000 449,888
Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom) GBP 449,000 768,521
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 $569,000 567,578
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 358,788 377,624
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 800,000 918,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 115,000 117,588
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 229,000 253,618
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 455,000 490,263
39,880,959
Consumer staples (1.6%)
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 700,000 572,250
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 211,000 190,428
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 320,000 344,000
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 115,000 125,350
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 175,000 171,500
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 235,000 229,713
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 432,000 484,380
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 464,000 504,600
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 115,000 115,863
Claire's Stores, Inc. 144A sr. notes 9s, 2019 530,000 592,275
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 110,256
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 585,000 560,869
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 142,000 162,058
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 218,000
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 115,000 110,113
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 285,000 278,588
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 279,000 310,388
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 265,000 294,813
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 380,000 413,250
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 454,000 756,100
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $310,000 281,351
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 634,000 613,395
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 155,000 168,175
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 70,000 73,325
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 170,000 178,925
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 150,000 160,875
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 837,338
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 245,000 259,088
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 115,000 124,488
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 415,000 446,125
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 210,000 223,913
Post Holdings, Inc. 144A sr. unsec. unsub. notes 7 3/8s, 2022 50,000 53,313
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 500,000 531,250
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 540,000 533,250
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 535,000 617,925
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 140,156
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 340,000 358,275
Sun Merger Sub, Inc. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2021 100,000 103,500
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 305,000 316,438
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 356,000 399,610
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 140,000 143,850
13,109,359
Energy (6.7%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 309,000 331,403
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 364,650
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 638,000 634,810
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 355,000 300,863
Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 324,000 329,265
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 484,000 509,410
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 115,000 123,050
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 360,000 385,200
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 694,000 759,930
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 370,500
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 5,475
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 145,000 214,317
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $792,000 870,210
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 115,000 121,900
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 561,350
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 250,000 259,375
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 212,670
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 515,000 340,814
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $197,000 135,930
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 293,000 320,469
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 1,135,000 1,203,100
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 795,000 827,794
Continental Resources, Inc. company guaranty sr. unsec. notes 4 1/2s, 2023 175,000 176,313
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 7 1/8s, 2021 187,000 209,440
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 685,000 729,525
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 186,000 204,135
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 79,088
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 882,000 851,130
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 340,000 343,400
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 780,000 865,862
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 638,250
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,314,113
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 316,000 372,504
Gazprom OAO Via White Nights Finance BV notes 10 1/2s, 2014 (Russia) 485,000 502,576
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 451,000 474,678
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 719,000 762,140
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 390,000 424,125
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 1,002,000 1,043,333
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 40,000 42,600
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 175,000 191,625
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 235,000 250,275
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 275,000 279,813
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 125,000 138,750
Kodiak Oil & Gas Corp. 144A sr. unsec. unsub. notes 5 1/2s, 2022 493,000 502,860
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 433,000 483,878
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7s, 2019 605,000 603,488
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) (In default)(NON) 184,000 106,720
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,213,650
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 528,000 551,100
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 242,000 243,513
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 390,000
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 620,000 588,926
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 189,450
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 237,000 245,295
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 250,000 272,500
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 270,000 291,600
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 460,000 499,234
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 345,000 351,038
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 543,000 610,875
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 368,900
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 259,875
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 728,000 729,820
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,114,435
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 140,000 140,254
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 976,102
Petroleos de Venezuela SA company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 1,650,000 1,643,400
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 3,705,000 2,973,559
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 650,000 398,125
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 910,000 854,718
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 2,205,000 1,911,713
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 6,535,000 5,865,163
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 760,000 752,400
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 315,000 313,740
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,759,680
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 325,000 354,422
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 350,000 380,625
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 175,000 174,781
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 290,000 313,200
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 255,000 257,550
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 175,000 182,875
Samson Investment Co. 144A sr. unsec. notes 10 1/4s, 2020 950,000 1,026,000
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 284,000 301,040
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 150,000 161,625
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 385,000 414,838
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 190,000 202,350
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 245,000 260,313
Tervita Corp. 144A company guaranty sr. notes 8s, 2018 (Canada) 125,000 130,000
Tervita Corp. 144A company guaranty sr. unsec. unsub. notes 9s, 2018 (Canada) CAD 125,000 124,054
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 $385,000 401,363
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 184,000 194,580
Whiting Petroleum Corp. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 266,000 279,965
Williams Cos., Inc. (The) notes 7 3/4s, 2031 158,000 179,124
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 750,000 800,625
53,421,501
Financials (4.3%)
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 205,000 208,075
Air Lease Corp. sr. unsec. notes 5 5/8s, 2017 370,000 403,300
Allegion US Holding Co., Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 269,000 279,088
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 335,000 371,013
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,544,400
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 315,000 388,238
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 375,000 371,250
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,080,000 1,089,851
Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, 2018 250,000 249,545
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 135,000 201,793
Boparan Holdings, Ltd. 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) GBP 345,000 608,490
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 $135,000 145,463
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 185,509
CIT Group, Inc. company guaranty sr. notes 5s, 2023 255,000 255,638
CIT Group, Inc. sr. unsec. notes 5s, 2022 315,000 318,938
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 332,088
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 532,863
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 411,350
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 395,000 375,250
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 506,250
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 586,238
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 706,000 755,420
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 475,000 490,438
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, 2049 (Jersey) EUR 486,000 687,891
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 $560,000 587,300
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A unsec. sub. notes 6s, 2020 388,000 397,700
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 96,000 104,880
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 20,000 20,600
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 175,000 181,563
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 125,000 121,719
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 415,000 416,038
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 265,000 287,525
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, perpetual maturity (United Kingdom) 299,000 317,936
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 709,575
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 190,275
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 505,000 522,675
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 469,000 487,760
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 9 5/8s, 2019 205,000 231,138
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 185,000 197,719
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 490,268
Nationstar Mortgage, LLC/Nationstar Capital Corp. FRN notes 6 1/2s, 2018 180,000 185,400
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 763,000 726,758
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 438,000 424,860
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 607,000 617,623
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 535,000 568,438
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 120,000 119,400
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 466,000 472,990
Royal Bank of Scotland Group PLC jr. sub. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 600,000 576,000
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, perpetual maturity (United Kingdom) EUR 700,000 907,655
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) $775,000 783,215
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia) 550,000 570,784
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 500,000 542,074
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 200,000 197,000
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 370,465
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 182,000 249,122
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 602,216
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 396,755
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 468,000 508,950
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, perpetual maturity (Russia) 1,650,000 1,809,927
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 1,065,000 1,131,563
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 3,196,000 3,521,353
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,406,000 2,556,375
34,401,973
Health care (2.4%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 455,000 464,100
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 308,000 309,540
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 325,000 350,594
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 514,321
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 $510,000 541,875
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 453,000 486,409
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 330,000 502,317
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg) $110,000 110,000
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 696,000 722,970
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 182,000 197,243
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 515,000 531,094
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 229,998
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $360,000 409,500
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 754,000 1,262,701
Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 $284,000 308,509
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 370,000 395,900
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 139,375
HCA, Inc. sr. notes 6 1/2s, 2020 1,898,000 2,111,525
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 143,840
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 740,000 789,950
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018(PIK) 200,000 208,000
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 386,000 409,160
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 202,000 210,080
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 415,000 439,900
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 335,000 376,038
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 911,000 1,024,875
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 291,000 313,553
MPH Intermediate Holding Co. 2 144A sr. unsec. notes 8 3/8s, 2018(PIK) 245,000 254,494
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 269,000 297,245
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 303,315
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 540,000 561,600
Service Corp. International/US sr. notes 7s, 2019 180,000 193,500
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 175,000 176,750
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 285,000 302,456
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 640,000 662,400
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 386,650
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 115,000 111,550
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 455,000 498,225
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 3/8s, 2021 360,000 345,600
Tenet Healthcare Corp. 144A sr. notes 6s, 2020 225,000 237,938
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 70,000 75,425
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 181,688
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 74,550
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 70,000 75,250
VPII Escrow Corp. 144A sr. unsec. notes 6 3/4s, 2018 505,000 552,975
18,794,978
Technology (1.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 180,000 188,100
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 252,000 219,240
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 890,000 849,950
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 52,000 52,325
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 643,000 647,019
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 92,000 106,720
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 183,000 198,555
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 956,000 1,102,985
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 1,136,000 1,209,840
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 175,000 195,125
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 226,000 243,233
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 315,000 346,106
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021(FWC) 505,000 513,838
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 85,000 96,688
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 250,000 252,500
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 125,000 141,250
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 430,000 437,525
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 159,000 171,720
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 670,000 663,300
SunGard Data Systems, Inc. unsec. sub. notes 6 5/8s, 2019 265,000 276,925
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 344,000 374,530
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 431,000 466,558
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 380,000 573,932
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 375,000 533,463
9,861,427
Transportation (0.4%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 1,111,000 1,294,850
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $170,000 181,263
Aguila 3 SA 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Luxembourg) 190,000 202,588
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 419,000 453,568
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 895,000 1,002,400
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 345,000 341,550
3,476,219
Utilities and power (1.9%)
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,342,350
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 351,075
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 160,000 153,600
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 1,180,000 1,289,150
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 110,000 114,125
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 85,000 85,213
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 615,000 679,149
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 940,000 1,175
El Paso Corp. sr. unsec. notes 7s, 2017 160,000 180,625
El Paso Natural Gas Co. debs. 8 5/8s, 2022 577,000 741,150
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 979,000 1,027,950
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022 220,000 253,000
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 1,390,000 1,452,550
Energy Transfer Equity L.P. company guaranty sr. unsec. notes 7 1/2s, 2020 692,000 799,260
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 208,000 223,600
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 120,000 135,000
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 644,000 743,820
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 7/8s, 2017(PIK) 250,295 261,871
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 150,000 139,923
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 441,000 493,920
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 120,750
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 100,000 100,000
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,525,000 1,749,267
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,519,375
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 279,300
Regency Energy Partners 144A company guaranty sr. unsec. notes 4 1/2s, 2023 230,000 212,750
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 145,000 179,743
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 205,000 146,063
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 364,000 514,844
15,290,598
Total corporate bonds and notes (cost $246,890,011) $256,963,273

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (23.6%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.1%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $966,156 $1,089,838
1,089,838
U.S. Government Agency Mortgage Obligations (23.4%)
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, April 1, 2016 $2,834 2,939
     5 1/2s, TBA, November 1, 2043 5,000,000 5,457,031
     4s, TBA, December 1, 2043 37,000,000 38,874,572
     4s, TBA, November 1, 2043 96,000,000 101,145,005
     3 1/2s, TBA, December 1, 2043 14,000,000 14,328,125
     3 1/2s, TBA, November 1, 2043 14,000,000 14,366,407
     3s, TBA, November 1, 2043 13,000,000 12,831,406
187,005,485
Total U.S. government and agency mortgage obligations (cost $187,016,671) $188,095,323

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.3%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) $650,790 $465,641
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 1,665,000 1,452,713
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 8,973,000 8,501,918
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) 8,017,185 5,772,373
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) BRL 3,500 1,595,900
Brazil (Federal Republic of) unsub. notes 10s, 2014 (Brazil) BRL 2,365 1,090,320
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 347,500,000 690,367
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) $565,000 603,138
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 620,000 657,975
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 425,000 371,875
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 468,000 514,215
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 1,677,959 1,676,281
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2042 (Greece)(STP) EUR 414,000 278,828
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2041 (Greece)(STP) EUR 294,000 199,785
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2040 (Greece)(STP) EUR 414,000 282,004
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2039 (Greece)(STP) EUR 644,000 440,046
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 2,254,000 1,531,928
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 524,000 353,816
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 1,044,000 706,860
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 1,444,000 982,903
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 874,000 602,687
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 414,000 288,901
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 934,000 663,135
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 174,000 125,831
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 2,574,000 1,903,119
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 294,000 222,398
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 1,444,000 1,118,634
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 294,000 234,090
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 1,214,000 998,627
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 4,054,000 3,432,766
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 374,000 325,570
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 1,724,000 1,580,247
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) $900,000 903,288
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) 1,755,000 1,574,516
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 1,686,180
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 22,650,000 701,180
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $1,275,000 1,109,250
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) EUR 3,519,000 5,395,370
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal) EUR 1,019,000 1,352,057
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) $47,905 56,878
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 200,000 209,680
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 465,000 483,019
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 4,338,406 5,171,379
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 400,000 419,232
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 300,000 282,899
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 187,524 184,316
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) EUR 1,019,000 1,541,644
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) $440,000 459,747
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 3,785,000 4,447,186
Ukraine (Government of) 144A bonds 7 3/4s, 2020 (Ukraine) 230,000 208,150
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 700,000 664,999
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 3,240,000 3,113,774
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 (Ukraine) 725,000 636,188
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,120,000 1,083,600
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 431,353
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 2,386,950
Total foreign government and agency bonds and notes (cost $70,991,548) $74,167,726

SENIOR LOANS (1.5%)(a)(c)
Principal amount Value
ADS Waste Holdings, Inc. bank term loan FRN Ser. B, 4 1/4s, 2019 $183,538 $184,494
Air Medical Group Holdings, Inc. bank term loan FRN 8 3/8s, 2018 480,000 472,800
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 317,600 318,791
Asurion, LLC/CA bank term loan FRN Ser. B1, 4 1/2s, 2019 349,121 348,630
Avaya, Inc. bank term loan FRN Ser. B3, 4.762s, 2017 348,984 322,277
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 55,543 55,729
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.488s, 2018 2,069,191 1,939,579
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 491,117 494,493
Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017 529,000 540,175
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.929s, 2019 973,000 929,945
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 337,584 338,127
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 444,077 439,544
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 685,000 690,780
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 234,410 205,743
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.18s, 2014(PIK) 199,115 197,621
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.18s, 2014(PIK) 113,335 112,485
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 344,138 346,404
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R) 240,234 241,060
J.C. Penney Corp., Inc. bank term loan FRN 6s, 2018 193,515 187,266
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 116,972 118,837
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 5s, 2020 590,000 593,196
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 199,875 197,002
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 245,000 246,991
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 295,000 295,732
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.704s, 2017 1,360,286 907,424
Travelport, LLC bank term loan FRN 9 1/2s, 2016 599,922 620,419
Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK) 122,420 123,606
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 309,225 311,312
Univision Communications, Inc. bank term loan FRN Ser. C1, 4 1/2s, 2020 154,677 155,137
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 4 1/2s, 2020 307,675 311,444
West Corp. bank term loan FRN Ser. B8, 3 3/4s, 2018 105,286 105,483
Total senior loans (cost $12,619,565) $12,352,526

PURCHASED SWAP OPTIONS OUTSTANDING (0.2%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Credit Suisse International
     2.88/3 month USD-LIBOR-BBA/Nov-23 Nov-13/2.88 $107,615,000 $1,859,587
     (3.08)/3 month USD-LIBOR-BBA/Nov-23 Nov-13/3.08 107,615,000 1,076
Total purchased swap options outstanding (cost $1,861,740) $1,860,663

PURCHASED OPTIONS OUTSTANDING (0.0%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30yr. 3s (Call) Dec-13/$98.52 $15,000,000 $113,250
Federal National Mortgage Association 30yr. 3s (Call) Dec-13/98.59 15,000,000 106,950
Total purchased options outstanding (cost $236,132) $220,200

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 815 $782,527
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 16,450 441,847
M/I Homes, Inc. $2.438 pfd. 8,790 223,321
Total preferred stocks (cost $1,108,497) $1,447,695

CONVERTIBLE PREFERRED STOCKS (0.2%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 18,917 $975,408
United Technologies Corp. $3.75 cv. pfd. 4,800 303,744
Total convertible preferred stocks (cost $1,127,836) $1,279,152

COMMON STOCKS (0.1%)(a)
Shares Value
Tribune Co.(NON) 7,741 $518,260
Tribune Co. Class 1C(F) 675,896 168,974
Trump Entertainment Resorts, Inc.(NON) 224 448
Total common stocks (cost $378,207) $687,682

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $230,000 $294,400
Total convertible bonds and notes (cost $249,991) $294,400

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 117 $10,425
Total warrants (cost $351) $10,425

SHORT-TERM INVESTMENTS (9.2%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.07%(AFF) 17,438,751 $17,438,751
SSgA Prime Money Market Fund 0.02%(P) 3,690,000 3,690,000
U.S. Treasury Bills with an effective yield of 0.13%, March 6, 2014(SEGSF) $699,000 698,867
U.S. Treasury Bills with an effective yield of 0.09%, April 3, 2014(SEGSF)(SEGCCS) 6,428,000 6,426,432
U.S. Treasury Bills with effective yields ranging from 0.08% to 0.13%, May 29, 2014(SEG)(SEGSF)(SEGCCS) 35,440,000 35,426,108
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 24, 2014(SEG)(SEGSF)(SEGCCS) 9,494,000 9,489,111
Total short-term investments (cost $73,159,308) $73,169,269

TOTAL INVESTMENTS
Total investments (cost $961,151,255)(b) $995,550,388













FORWARD CURRENCY CONTRACTS at 10/31/13 (aggregate face value $413,294,216) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Brazilian Real Buy 1/3/14 $2,499,329 $2,556,875 $(57,546)
Canadian Dollar Sell 1/16/14 383 404 21
Chilean Peso Buy 1/16/14 4,301,206 4,408,364 (107,158)
Euro Buy 12/18/13 2,034,877 2,026,119 8,758
Euro Sell 12/18/13 2,034,877 2,044,811 9,934
Singapore Dollar Sell 11/20/13 2,890,381 2,813,066 (77,315)
Swiss Franc Sell 12/18/13 2,112,082 2,038,284 (73,798)
Barclays Bank PLC
Australian Dollar Buy 1/16/14 1,947,846 1,982,803 (34,957)
Brazilian Real Buy 1/3/14 4,454,263 4,570,455 (116,192)
British Pound Sell 12/18/13 3,672,174 3,575,356 (96,818)
Canadian Dollar Sell 1/16/14 2,567,494 2,568,589 1,095
Czech Koruna Sell 12/18/13 2,004,204 2,033,936 29,732
Euro Sell 12/18/13 11,739,038 11,583,334 (155,704)
Hungarian Forint Buy 12/18/13 1,871,783 1,854,417 17,366
Japanese Yen Sell 11/20/13 3,337,175 3,303,320 (33,855)
Mexican Peso Sell 1/16/14 1,972,917 1,997,577 24,660
Norwegian Krone Buy 12/18/13 2,139,211 2,135,125 4,086
Polish Zloty Buy 12/18/13 7,104,825 7,194,643 (89,818)
Singapore Dollar Sell 11/20/13 6,140,368 6,116,094 (24,274)
Swiss Franc Sell 12/18/13 2,227,515 2,157,155 (70,360)
Turkish Lira Buy 12/18/13 1,196,575 1,216,039 (19,464)
Citibank, N.A.
Australian Dollar Buy 1/16/14 621,189 619,613 1,576
Brazilian Real Buy 1/3/14 4,701,663 4,826,231 (124,568)
British Pound Buy 12/18/13 138,328 156,401 (18,073)
Canadian Dollar Sell 1/16/14 2,007,969 2,004,281 (3,688)
Euro Sell 12/18/13 698,072 711,101 13,029
Japanese Yen Sell 11/20/13 378,674 322,832 (55,842)
New Taiwan Dollar Sell 11/20/13 3,455,628 3,464,794 9,166
Swiss Franc Sell 12/18/13 4,185,906 4,051,544 (134,362)
Credit Suisse International
British Pound Buy 12/18/13 1,992,366 2,033,114 (40,748)
Canadian Dollar Sell 1/16/14 1,966,136 1,986,374 20,238
Czech Koruna Sell 12/18/13 2,004,199 2,012,957 8,758
Euro Sell 12/18/13 4,695,453 4,676,140 (19,313)
Japanese Yen Buy 11/20/13 3,115,239 3,150,028 (34,789)
Japanese Yen Sell 11/20/13 3,115,239 3,090,269 (24,970)
Mexican Peso Buy 1/16/14 3,009,270 2,989,197 20,073
Mexican Peso Sell 1/16/14 3,009,270 3,026,489 17,219
New Zealand Dollar Buy 1/16/14 1,956,586 2,017,489 (60,903)
Norwegian Krone Buy 12/18/13 2,051,549 2,074,769 (23,220)
Singapore Dollar Sell 11/20/13 5,055,349 5,061,747 6,398
South Korean Won Buy 11/20/13 4,561,488 4,528,828 32,660
Swiss Franc Sell 12/18/13 4,425,372 4,285,196 (140,176)
Deutsche Bank AG
Australian Dollar Buy 1/16/14 378,037 420,844 (42,807)
British Pound Buy 12/18/13 1,965,759 1,979,180 (13,421)
British Pound Sell 12/18/13 1,965,759 1,906,635 (59,124)
Canadian Dollar Buy 1/16/14 1,995,142 2,020,474 (25,332)
Canadian Dollar Sell 1/16/14 1,995,142 2,009,454 14,312
Euro Sell 12/18/13 8,728,544 8,616,995 (111,549)
Japanese Yen Buy 11/20/13 2,024,870 2,028,720 (3,850)
Japanese Yen Sell 11/20/13 2,024,870 2,029,945 5,075
Norwegian Krone Buy 12/18/13 2,044,203 2,116,825 (72,622)
Polish Zloty Buy 12/18/13 3,068,759 3,124,878 (56,119)
Swiss Franc Sell 12/18/13 2,216,159 2,139,383 (76,776)
Goldman Sachs International
Australian Dollar Buy 1/16/14 2,083,861 2,067,234 16,627
British Pound Buy 12/18/13 4,076,899 4,075,788 1,110
British Pound Sell 12/18/13 4,145,982 4,069,316 (76,666)
Canadian Dollar Sell 1/16/14 16,465 9,871 (6,594)
Chilean Peso Buy 1/16/14 4,825,832 4,938,739 (112,907)
Euro Sell 12/18/13 6,283,868 6,089,161 (194,707)
Japanese Yen Buy 11/20/13 1,999,305 2,023,524 (24,219)
Japanese Yen Sell 11/20/13 1,999,305 2,003,070 3,765
HSBC Bank USA, National Association
British Pound Buy 12/18/13 4,500,377 4,522,427 (22,050)
British Pound Sell 12/18/13 4,500,377 4,512,497 12,120
Canadian Dollar Sell 1/16/14 1,391,487 1,405,803 14,316
Chinese Yuan (Offshore) Sell 11/20/13 101,455 52,667 (48,788)
Euro Sell 12/18/13 1,110,451 1,061,731 (48,720)
Indian Rupee Sell 11/20/13 803,217 796,141 (7,076)
New Taiwan Dollar Sell 11/20/13 3,455,632 3,455,687 55
Swedish Krona Buy 12/18/13 1,963,850 1,937,288 26,562
Swedish Krona Sell 12/18/13 1,963,850 1,986,558 22,708
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/16/14 2,061,757 2,054,431 7,326
Brazilian Real Buy 1/3/14 4,434,487 4,550,469 (115,982)
British Pound Buy 12/18/13 6,305,849 6,298,956 6,893
British Pound Sell 12/18/13 6,311,138 6,248,694 (62,444)
Czech Koruna Buy 12/18/13 1,277,207 1,259,979 17,228
Czech Koruna Sell 12/18/13 1,277,207 1,239,191 (38,016)
Euro Sell 12/18/13 8,274,615 8,211,633 (62,982)
Hungarian Forint Buy 12/18/13 2,198,084 2,229,041 (30,957)
Japanese Yen Sell 11/20/13 41,249 71,178 29,929
Malaysian Ringgit Buy 11/20/13 5,154,278 5,105,600 48,678
Malaysian Ringgit Sell 11/20/13 5,154,278 4,934,591 (219,687)
Mexican Peso Sell 1/16/14 1,972,917 1,985,748 12,831
New Taiwan Dollar Sell 11/20/13 6,586,611 6,578,070 (8,541)
New Zealand Dollar Buy 1/16/14 1,956,586 2,017,405 (60,819)
Norwegian Krone Buy 12/18/13 2,407,762 2,419,856 (12,094)
Polish Zloty Buy 12/18/13 5,842,172 5,877,083 (34,911)
Russian Ruble Sell 12/18/13 144,737 137,557 (7,180)
Singapore Dollar Sell 11/20/13 4,564,199 4,530,472 (33,727)
South Korean Won Buy 11/20/13 6,336,382 6,313,804 22,578
Swiss Franc Buy 12/18/13 2,115,831 2,107,604 8,226
Swiss Franc Sell 12/18/13 2,149,898 2,087,280 (62,618)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/16/14 56,908 10,694 46,214
Brazilian Real Buy 1/3/14 4,717,960 4,826,433 (108,473)
British Pound Buy 12/18/13 160 162 (2)
British Pound Sell 12/18/13 160 155 (5)
Canadian Dollar Sell 1/16/14 1,993,706 2,018,101 24,395
Euro Sell 12/18/13 5,477,711 5,279,202 (198,509)
Hungarian Forint Buy 12/18/13 1,871,782 1,854,678 17,104
Japanese Yen Sell 11/20/13 2,025,960 1,986,662 (39,298)
Mexican Peso Sell 1/16/14 1,923,006 1,947,090 24,084
Swedish Krona Buy 12/18/13 1,557,431 1,573,914 (16,483)
State Street Bank and Trust Co.
Australian Dollar Buy 1/16/14 2,048,211 2,031,542 16,669
Brazilian Real Buy 1/3/14 4,137,536 4,259,418 (121,882)
British Pound Buy 12/18/13 1,992,367 2,018,844 (26,477)
Canadian Dollar Sell 1/16/14 568,714 574,559 5,845
Chilean Peso Buy 1/16/14 1,032,203 1,050,426 (18,223)
Chilean Peso Sell 1/16/14 1,032,203 1,046,277 14,074
Czech Koruna Buy 12/18/13 1,277,207 1,260,041 17,166
Czech Koruna Sell 12/18/13 1,277,207 1,240,090 (37,117)
Euro Sell 12/18/13 7,456,237 7,433,567 (22,670)
Japanese Yen Sell 11/20/13 2,610,006 2,603,082 (6,924)
New Taiwan Dollar Sell 11/20/13 6,586,615 6,577,514 (9,101)
New Zealand Dollar Buy 1/16/14 1,956,586 2,002,764 (46,178)
Norwegian Krone Buy 12/18/13 369,714 343,754 25,960
Polish Zloty Buy 12/18/13 4,036,130 4,069,057 (32,927)
Singapore Dollar Sell 11/20/13 5,495,218 5,412,320 (82,898)
South Korean Won Buy 11/20/13 7,603,217 7,545,356 57,861
Swedish Krona Buy 12/18/13 1,997,456 2,015,712 (18,256)
Swiss Franc Sell 12/18/13 298,891 223,451 (75,440)
UBS AG
Australian Dollar Buy 1/16/14 2,016,889 2,000,532 16,357
Australian Dollar Sell 1/16/14 2,016,889 1,998,399 (18,490)
British Pound Buy 12/18/13 10,227,750 10,199,551 28,199
British Pound Sell 12/18/13 10,227,750 10,195,384 (32,366)
Canadian Dollar Sell 1/16/14 2,700,458 2,714,261 13,803
Czech Koruna Sell 12/18/13 3,882,217 3,907,133 24,916
Euro Sell 12/18/13 7,364,039 7,367,075 3,036
Hungarian Forint Buy 12/18/13 2,198,083 2,251,630 (53,547)
Japanese Yen Sell 11/20/13 621,382 576,401 (44,981)
Mexican Peso Sell 1/16/14 2,074,887 2,095,777 20,890
New Zealand Dollar Buy 1/16/14 1,956,668 2,002,938 (46,270)
Norwegian Krone Buy 12/18/13 3,393,673 3,429,504 (35,831)
Russian Ruble Sell 12/18/13 536,671 509,740 (26,931)
Singapore Dollar Sell 11/20/13 5,697,360 5,626,168 (71,192)
Swedish Krona Buy 12/18/13 2,382,232 2,360,886 21,346
Swiss Franc Sell 12/18/13 1,279,244 1,101,111 (178,133)
Turkish Lira Buy 12/18/13 1,839,784 1,869,154 (29,370)
Turkish Lira Sell 12/18/13 1,839,784 1,832,704 (7,080)
WestPac Banking Corp.
Australian Dollar Buy 1/16/14 2,020,369 2,044,383 (24,014)
Canadian Dollar Sell 1/16/14 1,471,228 1,486,356 15,128
Euro Sell 12/18/13 1,571,985 1,560,562 (11,423)
Japanese Yen Sell 11/20/13 40,470 34,064 (6,406)
Total $(3,949,938)












FUTURES CONTRACTS OUTSTANDING at 10/31/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 5 $550,696             Dec-13 $7,137
Euro-Bobl 5 yr (Long) 17 2,891,911             Dec-13 52,484
Euro-Bund 10 yr (Short) 292 56,297,716             Dec-13 (1,378,267)
Euro-Buxl 30 yr (Short) 21 3,594,886             Dec-13 (81,612)
Japanese Government Bond 10 yr (Short) 2 2,950,676             Dec-13 (46,994)
Japanese Government Bond 10 yr Mini (Long) 15 2,212,244             Dec-13 34,263
U.K. Gilt 10 yr (Long) 218 38,889,935             Dec-13 393,966
U.S. Treasury Note 5 yr (Short) 170 20,686,875             Dec-13 (131,175)
U.S. Treasury Note 10 yr (Short) 26 3,311,344             Dec-13 (14,878)
Total $(1,165,076)












WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/13 (premiums $1,861,747) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Credit Suisse International
2.98/3 month USD-LIBOR-BBA/Nov-23
 Nov-13/2.98        $76,053,300 $5,324
(2.98)/3 month USD-LIBOR-BBA/Nov-23
 Nov-13/2.98        76,053,300 1,989,554
Total $1,994,878













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/13 (Unaudited)
Counterparty        Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract appreciation/
Floating rate index/Maturity date date/strike       amount (depreciation)

Credit Suisse International
     (2.70625)/3 month USD-LIBOR-BBA/Dec-23 (Written) Dec-13/2.70625 $13,500,000 $7,290
     (2.7165)/3 month USD-LIBOR-BBA/Dec-23 (Written) Dec-13/2.7165 13,500,000 810
Total $8,100












TBA SALE COMMITMENTS OUTSTANDING at 10/31/13 (proceeds receivable $53,407,871) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, November 1, 2043 $37,000,000       11/13/13 $38,982,971
Federal National Mortgage Association, 3 1/2s, November 1, 2043 14,000,000       11/13/13 14,366,406
Total $53,349,377















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/13 (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.
CAD 14,591,000 $—      10/31/23 2.9075% 3 month CAD-BA-CDOR $(23,855)
Barclays Bank PLC
EUR 95,799,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 546,038
GBP 6,323,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (775,365)
Credit Suisse International
AUD 14,134,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8725% (555,480)
AUD 9,268,000 —      5/10/23 6 month AUD-BBR-BBSW 3.73% (429,328)
AUD 8,147,000 —      5/23/23 3.88% 6 month AUD-BBR-BBSW 287,985
AUD 5,457,000 —      8/26/23 6 month AUD-BBR-BBSW 4.52% 57,387
CHF 10,035,000 —      5/3/23 1.0075% 6 month CHF-LIBOR-BBA 318,361
CHF 10,035,000 —      5/3/23 1.01875% 6 month CHF-LIBOR-BBA 306,481
CHF 6,771,000 —      9/19/23 6 month CHF-LIBOR-BBA 1.6025% 142,079
CHF 4,101,000 —      10/14/23 1.535% 6 month CHF-LIBOR-BBA (49,563)
CHF 4,403,000 —      10/22/23 6 month CHF-LIBOR-BBA 1.51875% 43,256
EUR 32,040,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (213,241)
Goldman Sachs International
AUD 7,759,000 —      5/1/23 3.775% 6 month AUD-BBR-BBSW 330,469
AUD 29,873,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8825% (1,151,419)
AUD 4,933,000 —      5/27/23 3.955% 6 month AUD-BBR-BBSW 146,022
AUD 4,802,000 —      9/27/23 4.3625% 6 month AUD-BBR-BBSW 19,088
CAD 6,316,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR 125,245
CHF 27,397,000 —      5/2/23 6 month CHF-LIBOR-BBA 1.008% (866,528)
CHF 8,122,000 —      5/13/23 1.0325% 6 month CHF-LIBOR-BBA 242,611
CHF 6,596,000 —      5/16/23 1.065% 6 month CHF-LIBOR-BBA 175,289
CHF 6,309,000 —      8/12/23 1.495% 6 month CHF-LIBOR-BBA (78,130)
CHF 4,095,000 —      7/1/23 6 month CHF-LIBOR-BBA 1.5175% 72,291
CHF 14,900,000 —      7/2/23 6 month CHF-LIBOR-BBA 1.515% 258,661
CHF 14,900,000 —      7/3/23 6 month CHF-LIBOR-BBA 1.5275% 277,907
CHF 1,627,000 —      9/3/23 6 month CHF-LIBOR-BBA 1.585% 32,984
CHF 13,209,000 —      10/21/23 6 month CHF-LIBOR-BBA 1.55% 173,276
EUR 414,324,000 (E) —      8/6/17 1 month EUR-EONIA-OIS-COMPOUND 1.102% 591,238
EUR 100,389,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (15,928)
EUR 100,389,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (79,882)
EUR 100,389,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (15,928)
EUR 100,389,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (86,519)
EUR 100,389,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (50,041)
EUR 100,389,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (43,099)
GBP 6,323,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 32,154
KRW 11,900,000,000 —      7/12/18 3.07% 3 month KRW-CD-KSDA-BLOOMBERG (48,247)
KRW 28,260,000,000 —      7/12/15 3 month KRW-CD-KSDA-BLOOMBERG 2.771% 8,036
SEK 18,010,000 —      10/14/23 2.84% 3 month SEK-STIBOR-SIDE (45,737)
JPMorgan Chase Bank N.A.
CAD 23,610,000 —      2/26/18 3 month CAD-BA-CDOR 1.65% (250,401)
CAD 4,227,000 —      8/6/23 3 month CAD-BA-CDOR 3.01625% 72,578
CAD 9,229,000 —      9/17/23 3 month CAD-BA-CDOR 3.23% 301,315
ZAR 255,869,000 —      7/10/15 5.90% 3 month ZAR-JIBAR-SAFEX (77,397)
ZAR 114,955,000 —      7/10/18 3 month ZAR-JIBAR-SAFEX 7.11% 91,378
Total $—      $(203,959)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
GBP 6,838,000 $(144)     9/17/23 2.85375% 6 month GBP-LIBOR-BBA $(286,813)
EUR 48,824,000 (E) (261)     9/3/17 1.53% 1 month EUR-EONIA-OIS-COMPOUND (311,165)
EUR 9,695,000 (91)     7/17/23 1.918% 6 month EUR-EURIBOR-REUTERS (59,420)
EUR 7,418,000 (70)     7/17/23 1.906% 6 month EUR-EURIBOR-REUTERS (34,041)
EUR 1,145,000 (11)     9/3/23 6 month EUR-EURIBOR-REUTERS 2.1825% 39,909
EUR 13,223,000 (128)     10/21/23 6 month EUR-EURIBOR-REUTERS 2.168% 369,631
JPY 1,636,542,000 (294)     7/12/43 2.024375% 6 month JPY-LIBOR-BBA (1,275,494)
JPY 512,127,000 (94)     10/3/43 6 month JPY-LIBOR-BBA 1.8425% 134,286
JPY 7,875,924,000 (319)     7/12/18 6 month JPY-LIBOR-BBA 0.5175% 788,511
JPY 818,271,000 (148)     7/18/43 1.9825% 6 month JPY-LIBOR-BBA (545,764)
JPY 3,937,962,000 (161)     7/18/18 6 month JPY-LIBOR-BBA 0.4825% 321,836
JPY 5,906,943,000 (243)     8/28/18 0.4475% 6 month JPY-LIBOR-BBA (352,451)
JPY 1,232,341,000 (51)     10/3/18 0.403% 6 month JPY-LIBOR-BBA (40,553)
JPY 614,550,000 (114)     10/15/43 6 month JPY-LIBOR-BBA 1.73% (21,687)
EUR 12,900,000 (226)     9/12/23 2.33% 6 month EUR-EURIBOR-REUTERS (681,761)
$2,054,000 (129)     9/25/23 3 month USD-LIBOR-BBA 2.92% 52,684
EUR 4,387,000 (78)     10/21/23 6 month EUR-EURIBOR-REUTERS 2.171% 124,270
EUR 3,305,000 (58)     9/19/23 2.215% 6 month EUR-EURIBOR-REUTERS (123,699)
EUR 12,494,000 (227)     11/4/23 6 month EUR-EURIBOR-REUTERS 1.961% (566)
GBP 3,958,000 (80)     7/31/23 2.44375% 6 month GBP-LIBOR-BBA 47,355
JPY 1,232,341,000 (101)     10/3/18 0.403% 6 month JPY-LIBOR-BBA (40,603)
JPY 512,127,000 (177)     10/3/43 6 month JPY-LIBOR-BBA 1.843% 134,882
EUR 4,387,000 (78)     10/18/23 6 month EUR-EURIBOR-REUTERS 2.219% 152,869
EUR 13,893,000 (248)     10/15/23 6 month EUR-EURIBOR-REUTERS 2.155% 374,279
EUR 23,400,000 (414)     6/20/23 1.835% 6 month EUR-EURIBOR-Telerate 40,073
EUR 32,000,000 (E) (466)     7/2/23 2.895% 6 month EUR-EURIBOR-Telerate (127,334)
EUR 32,000,000 (E) (467)     7/3/23 2.89% 6 month EUR-EURIBOR-REUTERS (116,473)
EUR 63,657,000 (1,096)     7/15/23 1.945% 6 month EUR-EURIBOR-REUTERS (619,624)
EUR 1,475,000 (26)     9/3/23 2.1735% 6 month EUR-EURIBOR-REUTERS (49,740)
EUR 4,081,000 (E) (60)     9/3/23 3.0925% 6 month EUR-EURIBOR-REUTERS (54,307)
EUR 24,875,000 (452)     11/4/23 6 month EUR-EURIBOR-REUTERS 1.95% (36,084)
GBP 88,500,000 (E) (538)     10/23/16 6 month GBP-LIBOR-BBA 1.645% 63,317
GBP 4,599,000 (94)     8/8/23 2.5975% 6 month GBP-LIBOR-BBA (44,115)
GBP 12,400,000 (229)     10/23/20 2.144% 6 month GBP-LIBOR-BBA (35,744)
$707,029,600 (E) 1,233,735      12/18/15 3 month USD-LIBOR-BBA 0.75% (2,824,613)
383,581,100 (E) 2,718,460      12/18/18 3 month USD-LIBOR-BBA 2.05% (7,231,634)
63,653,200 (E) (404,271)     12/18/43 3 month USD-LIBOR-BBA 3.85% 2,540,963
94,463,600 (E) 2,095,144      12/18/23 3 month USD-LIBOR-BBA 3.15% (1,475,581)
45,725,000 (E) (70,131)     12/18/15 3 month USD-LIBOR-BBA 0.65% 101,338
116,936,000 (E) 989,349      12/18/18 1.95% 3 month USD-LIBOR-BBA (1,472,154)
15,567,000 (E) 425,622      12/18/23 3.05% 3 month USD-LIBOR-BBA (20,374)
EUR 6,612,000 (119)     10/22/23 6 month EUR-EURIBOR-REUTERS 2.125% 148,040
EUR 13,208,000 (240)     11/1/23 6 month EUR-EURIBOR-REUTERS 1.997% 65,575
GBP 3,196,000 (65)     8/6/23 2.581% 6 month GBP-LIBOR-BBA (24,046)
GBP 88,500,000 (E) (536)     10/21/16 6 month GBP-LIBOR-BBA 1.75% 181,097
GBP 12,400,000 (188)     10/21/20 2.222% 6 month GBP-LIBOR-BBA (142,142)
Total$6,979,387    $(12,367,067)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/13 (Unaudited)
Upfront     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.
$864,066 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $(12,101)
14,697,534 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 277,739
3,994,810 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (75,490)
1,818,472 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 36,831
Barclays Bank PLC
845,355 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,877
1,357,965 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (18,171)
1,528,863 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,395
1,352,189 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,425
4,699,005 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (65,809)
19,224,857 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (269,241)
1,213,233 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (16,991)
5,011,723 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (44,063)
541,039 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 4,469
2,162,870 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (30,291)
150,486 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,108)
1,519,313 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,848
7,090,129 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 17,958
4,906,538 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (68,715)
1,783,921 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (16,679)
4,375,668 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (38,471)
4,451,082 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,274
1,309,342 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 10,815
213,902 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,041)
1,173,033 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (10,313)
620,386 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,571
4,030,754 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (76,169)
3,056,662 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 42,600
665,403 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 9,274
5,442,092 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (76,215)
775,673 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,601
4,557,940 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,544
3,180,632 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (27,964)
3,190,923 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 26,358
1,846,842 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (16,237)
3,897,887 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (54,589)
1,098,032 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 22,239
654,468 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,453
2,544,495 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (35,635)
4,964,774 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 19,036
19,137,271 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 48,470
1,700,350 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 23,697
4,200,901 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,640
740,881 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,645
2,402,550 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,335
1,741,707 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,868
8,099,727 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 153,060
193,603 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (441)
204,884 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,801)
11,436,592 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (100,550)
6,722,606 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (15,326)
8,169,028 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 71,822
4,801,826 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic MBX Index 6.00% 30 year Fannie Mae pools 10,947
9,080,230 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 171,589
1,396,819 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 26,396
3,472,985 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 48,639
1,727,475 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,404)
863,738 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,202)
863,738 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,202)
3,994,810 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (75,490)
1,733,385 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,412)
4,502,121 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (6,265)
1,733,385 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,412)
6,732,536 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 94,288
56,511 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (497)
5,876,338 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (82,297)
4,754,085 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 66,580
2,336,667 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (38,065)
1,406,631 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (22,914)
1,364,343 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 3,456
1,783,855 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (29,060)
3,632,483 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (31,937)
1,279,886 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (24,186)
3,166,444 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (15,416)
454,376 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,212)
3,460,860 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (4,816)
2,040,784 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (17,942)
12,205,150 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 227,413
2,861,886 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 54,081
3,112,999 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 43,597
1,557,792 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,696)
1,639,192 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,412)
EUR 1,475,000 —      9/3/23 1.875% Eurostat Eurozone HICP excluding tobacco 18,729
Citibank, N.A.
$2,670,953 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,765
6,077,253 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 15,392
5,627,030 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 14,252
2,814,485 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (39,416)
4,360,622 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 82,402
2,955,774 —      1/12/41 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 32,013
6,983,346 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 97,800
2,454,007 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 34,368
3,931,329 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 55,058
5,651,428 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 106,795
3,512,852 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 71,148
Credit Suisse International
2,025,751 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,131
14,323,178 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 199,617
3,580,369 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 49,898
2,404,742 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (21,142)
5,447,353 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 75,918
5,045,714 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 70,664
3,085,285 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (58,302)
3,994,810 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (75,490)
1,279,886 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (24,186)
7,328,579 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 102,635
6,121,739 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 85,734
5,943,713 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 83,241
8,124,779 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 113,786
6,000,268 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 84,033
4,973,038 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 93,975
15,109,109 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 211,600
4,683,760 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 65,595
4,770,112 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 90,141
8,350,427 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 157,798
2,203,060 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 41,631
4,390,196 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 82,961
2,862,340 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 54,090
2,830,946 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 53,496
3,729,309 12,820      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (49,473)
3,726,876 582      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 71,564
4,625,775 (34,693)     1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 61,541
Deutsche Bank AG
2,404,742 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (21,142)
Goldman Sachs International
2,641,869 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (36,999)
656,550 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (6,138)
2,603,452 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (24,341)
996,164 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (4,850)
1,624,366 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (22,749)
1,596,559 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (30,170)
3,369,336 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (45,084)
3,369,336 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (45,084)
2,546,123 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (48,114)
771,208 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (14,573)
5,584,218 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (78,206)
2,806,617 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (39,306)
9,868,273 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (186,480)
9,158,489 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (173,067)
1,523,164 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,392)
572,208 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,031)
17,051,196 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (322,216)
4,275,994 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (80,803)
1,459,618 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (20,442)
4,225,416 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (59,176)
1,249,857 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (11,685)
1,196,238 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (11,184)
3,185,291 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (44,609)
75,148 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (366)
1,829,514 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (34,572)
13,455,768 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (272,527)
1,257,481 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (11,757)
751,164 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (7,023)
2,514,837 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (23,512)
3,093,475 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (58,457)
545,997 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,658)
16,568,727 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (232,042)
5,909,780 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (82,765)
1,073,717 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,440)
6,170,918 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (86,423)
611,289 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (8,561)
6,127,640 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (85,816)
2,086,715 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (18,346)
1,288,340 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,327)
38,476 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (187)
98,715 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (868)
263,319 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,315)
3,967,721 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (55,567)
2,657,606 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (37,219)
5,093,908 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (71,339)
3,634,783 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (50,904)
7,571,521 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (106,038)
7,669,153 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (102,619)
7,394,970 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 103,565
7,367,922 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 103,186
1,095,697 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,345
1,095,697 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,345
2,964,258 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 56,015
2,955,774 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (32,013)
587,959 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2,862
558,936 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (5,226)
3,612,652 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (50,595)
3,532,085 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (66,746)
6,266,816 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 87,766
6,127,347 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (115,788)
6,636,978 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (88,808)
3,994,810 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (75,490)
3,732,648 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (52,275)
6,699,586 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (93,826)
2,560,227 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (48,380)
5,373,242 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (75,251)
5,328,840 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 100,699
1,821,324 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 34,417
9,673,902 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 135,481
9,673,902 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 135,481
6,668,112 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 93,386
7,648,833 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 144,540
29,134,000 —      8/9/18 2.2575% USA Non Revised Consumer Price Index- Urban (CPI-U) 128,190
29,134,000 —      8/15/18 2.225% USA Non Revised Consumer Price Index- Urban (CPI-U) 85,363
EUR 23,400,000 —      6/20/23 1.84% Eurostat Eurozone HICP excluding tobacco 386,340
EUR 24,875,000 —      11/4/23 (1.825%) Eurostat Eurozone HICP excluding tobacco (53,667)
JPMorgan Chase Bank N.A.
$10,168,637 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (142,410)
6,639,210 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (125,461)
5,899,944 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (82,628)
2,974,910 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 27,814
553,258 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 7,743
Total $(21,291)      $68,829











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/13 (Unaudited)
Upfront 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 $9,980 $146,000 5/11/63 300 bp $1,611
  CMBX NA BBB Index BBB-/P 19,586 325,000 5/11/63 300 bp 958
  CMBX NA BBB Index BBB-/P 40,127 650,000 5/11/63 300 bp 2,872
  CMBX NA BBB Index BBB-/P 38,247 671,000 5/11/63 300 bp (213)
Barclays Bank PLC
  CMBX NA BBB Index BBB-/P 77,713 701,000 5/11/63 300 bp 37,534
  Irish Gov't, 4.50%, 4/18/2020 — (81,643) 1,019,000 9/20/17 (100 bp) (82,395)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (166,263) 1,019,000 9/20/17 (100 bp) (79,197)
Credit Suisse International
  CMBX NA BBB Index BBB-/P 3,526 120,000 5/11/63 300 bp (3,352)
  CMBX NA BBB Index BBB-/P 2,606 336,000 5/11/63 300 bp (16,652)
  CMBX NA BBB Index BBB-/P 46,080 377,000 5/11/63 300 bp 24,471
  CMBX NA BBB Index BBB-/P 36,858 380,000 5/11/63 300 bp 15,078
  CMBX NA BBB Index BBB-/P 7,635 399,000 5/11/63 300 bp (15,235)
  CMBX NA BBB Index BBB-/P 48,395 608,000 5/11/63 300 bp 13,546
  CMBX NA BBB Index BBB-/P 48,442 665,000 5/11/63 300 bp 10,326
  CMBX NA BBB Index BBB-/P 7,802 672,000 5/11/63 300 bp (30,715)
  CMBX NA BBB Index BBB-/P 11,523 750,000 5/11/63 300 bp (31,464)
  CMBX NA BBB Index BBB-/P 85,870 760,000 5/11/63 300 bp 42,310
  CMBX NA BBB Index BBB-/P 62,716 786,000 5/11/63 300 bp 17,666
  CMBX NA BBB Index BBB-/P 61,012 788,000 5/11/63 300 bp 15,847
  CMBX NA BBB Index BBB-/P 51,903 789,000 5/11/63 300 bp 6,680
  CMBX NA BBB Index BBB-/P 24,251 797,000 5/11/63 300 bp (21,431)
  CMBX NA BBB Index BBB-/P 14,042 797,000 5/11/63 300 bp (31,639)
  CMBX NA BBB Index BBB-/P 73,649 961,000 5/11/63 300 bp 18,568
  CMBX NA BBB Index BBB-/P 66,890 1,630,000 5/11/63 300 bp (26,537)
  CMBX NA BBB Index BBB-/P 1,441 13,000 5/11/63 300 bp 696
  CMBX NA BBB Index BBB-/P 17,070 219,000 5/11/63 300 bp 4,517
  CMBX NA BBB Index BBB-/P 29,498 339,000 5/11/63 300 bp 10,067
  CMBX NA BBB Index BBB-/P 29,274 339,000 5/11/63 300 bp 9,843
  CMBX NA BBB Index BBB-/P 34,887 360,000 5/11/63 300 bp 14,253
  CMBX NA BBB Index BBB-/P 113,270 1,063,000 5/11/63 300 bp 52,343
  CMBX NA BBB Index BBB-/P 148,173 1,403,000 5/11/63 300 bp 67,757
  Spain Gov't, 5.50%, 7/30/2017 — (120,132) 1,019,000 9/20/17 (100 bp) (100,156)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 CC/F 161,961 1,385,000 3/20/17 500 bp (310,365)
Total$1,006,389$(382,408)
*   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 October 31, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
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
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 August 1, 2013 through October 31, 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 $798,142,164.
(b) The aggregate identified cost on a tax basis is $975,034,148, resulting in gross unrealized appreciation and depreciation of $35,684,198 and $15,167,958, respectively, or net unrealized appreciation of $20,516,240.
(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 Short Term Investment Fund, which is 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 Short Term Investment Fund * $19,883,474 $116,723,380 $119,168,103 $2,622 $17,438,751
* Management fees charged to 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.
(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 $312,178,706 to cover certain derivatives contracts and delayed delivery securities.
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 82.7%
Russia 2.4
Venezuela 1.8
Greece 1.6
Argentina 1.6
United Kingdom 1.3
Luxembourg 1.2
Brazil 0.8
Canada 0.7
Ireland 0.7
Germany 0.6
Ukraine 0.6
Indonesia 0.5
Mexico 0.5
Other 3.0
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 in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures 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.
Options contracts: The fund used options contracts to hedge duration and convexity and to isolate prepayment risk.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge interest rate risk and 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 and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. 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 unrealized gain or loss. 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 swap 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, to gain exposure to specific sectors or industries, to gain exposure to rates of inflation in specific regions or countries and to hedge inflation in specific regions or countries.
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 and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes an upfront 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. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the close of the contract. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties are settled through a central clearing agent through variation margin payments. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and 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 and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on 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 posted to the fund which cannot be sold or repledged totaled $662,519 at the close of the reporting period.
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 $6,073,406 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $7,023,965.
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
Common stocks *:
    Consumer cyclicals $518,260 $448 $168,974
Total common stocks 518,260 448 168,974
Convertible bonds and notes — 294,400 —
Convertible preferred stocks 303,744 975,408 —
Corporate bonds and notes — 256,963,273 —
Foreign government and agency bonds and notes — 74,167,726 —
Mortgage-backed securities — 385,002,054 —
Preferred stocks 441,847 1,005,848 —
Purchased options outstanding — 220,200 —
Purchased swap options outstanding — 1,860,663 —
Senior loans — 12,352,526 —
U.S. government and agency mortgage obligations — 188,095,323 —
Warrants — 10,425 —
Short-term investments 21,128,751 52,040,518 —
Totals by level $22,392,602 $972,988,812 $168,974



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(3,949,938) $—
Futures contracts (1,165,076) — —
Written options outstanding — — —
Written swap options outstanding — (1,994,878) —
Forward premium swap option contracts — 8,100 —
TBA sale commitments — (53,349,377) —
Interest rate swap contracts — (19,550,413) —
Total return swap contracts — 90,120 —
Credit default contracts — (1,388,797) —
Totals by level $(1,165,076) $(80,135,183) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities 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 $107,042 $1,495,839
Foreign exchange contracts 888,155 4,838,093
Equity contracts 10,425 —
Interest rate contracts 19,047,859 39,579,143
Total $20,053,481 $45,913,075


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:
Purchased equity option contracts (contract amount) $22,500,000
Purchased swap option contracts (contract amount) $276,300,000
Written swap option contracts (contract amount) $210,400,000
Futures contracts (number of contracts) 800
Forward currency contracts (contract amount) $715,600,000
OTC interest rate swap contracts (notional) $2,538,400,000
Centrally cleared interest rate swap contracts (notional) $2,586,400,000
OTC total return swap contracts (notional) $898,900,000
OTC credit default swap contracts (notional) $24,100,000
Warrants (number of warrants) 100

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 Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 27, 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: December 27, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: December 27, 2013